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, 2018 to June 30, 2018
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):
n | VY® | BlackRock Inflation Protected Bond Portfolio |
Classes ADV, I and S |
Voya Variable Insurance Trust
n | VY® | Goldman Sachs Bond Portfolio |
This report is submitted for general information to shareholders of the Voya mutual funds. It is not authorized for distribution to prospective shareholders unless accompanied or preceded by a prospectus which includes details regarding the funds’ investment objectives, risks, charges, expenses and other information. This information should be read carefully. |
INVESTMENT MANAGEMENT voyainvestments.com |
TABLE OF CONTENTS
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”) | 25 |
PROXY VOTING INFORMATION
A description of the policies and procedures that the Portfolios use to determine how to vote proxies related to portfolio securities is available: (1) without charge, upon request, by calling Shareholder Services toll-free at (800) 992-0180; (2) on the Portfolios’ website at www.voyainvestments.com; and (3) on the U.S. Securities and Exchange Commission’s (“SEC’s”) website at www.sec.gov. Information regarding how the Portfolios voted proxies related to portfolio securities during the most recent 12-month period ended June 30 is available without charge on the Portfolios’ website at www.voyainvestments.com and on the SEC’s website at www.sec.gov.
QUARTERLY PORTFOLIO HOLDINGS
The Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. This report contains a summary portfolio of investments for the Portfolios. The Portfolios’ Forms N-Q are available on the SEC’s website at www.sec.gov. The Portfolios’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C., and information on the operation of the Public Reference Room may be obtained by calling (800) SEC-0330. The Portfolios’ Forms N-Q, as well as a complete portfolio of investments, are available without charge upon request from the Portfolios by calling Shareholder Services toll-free at (800) 992-0180.
PRESIDENT’S LETTER
Mid-Year Outlook
Sincerely,
Dina Santoro
President
Voya Family of Funds
July 19, 2018
MARKET PERSPECTIVE: SIX MONTHS ENDED JUNE 30, 2018
BENCHMARK DESCRIPTIONS
Index | Description | ||
---|---|---|---|
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. | ||
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 1,600 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. |
SHAREHOLDER EXPENSE EXAMPLES (UNAUDITED)
Actual Portfolio Return | Hypothetical (5% return before expenses) | |||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value January 1, 2018 | Ending Account Value June 30, 2018 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2018* | Beginning Account Value January 1, 2018 | Ending Account Value June 30, 2018 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2018* | |||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | ||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 996.70 | 1.14 | % | $ | 5.64 | $ | 1,000.00 | $ | 1,019.14 | 1.14 | % | $ | 5.71 | ||||||||||||||||
Class I | 1,000.00 | 1,000.00 | 0.54 | 2.68 | 1,000.00 | 1,022.12 | 0.54 | 2.71 | ||||||||||||||||||||||||
Class S | 1,000.00 | 998.30 | 0.79 | 3.91 | 1,000.00 | 1,020.88 | 0.79 | 3.96 | ||||||||||||||||||||||||
VY® Goldman Sachs Bond Portfolio | $ | 1,000.00 | $ | 978.30 | 0.58 | % | $ | 2.84 | $ | 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+* | $ | 410,527,397 | $ | 208,844,120 | |||||||
Short-term investments at fair value** | 12,187,302 | 37,103,589 | |||||||||
Cash | — | 1,273 | |||||||||
Cash collateral for futures | — | 760,377 | |||||||||
Cash pledged for centrally cleared swaps (Note 2) | 2,047,490 | 1,128,466 | |||||||||
Cash pledged as collateral for OTC derivatives (Note 2) | 182,000 | 830,000 | |||||||||
Foreign currencies at value*** | 1,317,523 | 98,962 | |||||||||
Receivables: | |||||||||||
Investment securities sold | 474,417 | 1,487,641 | |||||||||
Investment securities sold on a delayed-delivery or when-issued basis | — | 46,133,945 | |||||||||
Fund shares sold | 77,496 | 321,647 | |||||||||
Dividends | 16,236 | 20,122 | |||||||||
Interest | 2,002,611 | 1,163,980 | |||||||||
Unrealized appreciation on forward foreign currency contracts | 377,903 | 788,493 | |||||||||
Upfront payments paid on OTC swap agreements | — | 31,355 | |||||||||
Unrealized appreciation on OTC swap agreements | 6,207,474 | — | |||||||||
Prepaid expenses | 4,074 | 2,123 | |||||||||
Reimbursement due from manager | — | 25,123 | |||||||||
Other assets | 22,132 | 4,026 | |||||||||
Total assets | 435,444,055 | 298,745,242 | |||||||||
LIABILITIES: | |||||||||||
Payable for investment securities purchased | 2,865,680 | 2,156,762 | |||||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | — | 79,347,578 | |||||||||
Payable for fund shares redeemed | 3,383,704 | 1,051,502 | |||||||||
Payable for foreign cash collateral for futures**** | 19,476 | 115,269 | |||||||||
Payable upon receipt of securities loaned | — | 217,674 | |||||||||
Sales commitmentsˆˆ | — | 5,123,731 | |||||||||
Unrealized depreciation on forward foreign currency contracts | 123,360 | 1,778,900 | |||||||||
Upfront payments received on OTC swap agreements | — | 248,459 | |||||||||
Unrealized depreciation on OTC swap agreements | — | 161,623 | |||||||||
Variation margin payable on centrally cleared swaps | 65,140 | 20,988 | |||||||||
Cash received as collateral for OTC derivatives (Note 2) | 6,400,000 | — | |||||||||
Payable for investment management fees | 168,345 | 86,292 | |||||||||
Payable for distribution and shareholder service fees | 55,344 | — | |||||||||
Payable to trustees under the deferred compensation plan (Note 6) | 22,132 | 4,026 | |||||||||
Payable for trustee fees | 2,100 | 1,089 | |||||||||
Payable for cash collateral for futures | 8,809 | — | |||||||||
Other accrued expenses and liabilities | 118,647 | 174,662 | |||||||||
Written options, at fair valueˆ | 1,098,166 | — | |||||||||
Total liabilities | 14,330,903 | 90,488,555 | |||||||||
NET ASSETS | $ | 421,113,152 | $ | 208,256,687 | |||||||
NET ASSETS WERE COMPRISED OF: | |||||||||||
Paid-in capital | $ | 496,744,068 | $ | 210,454,034 | |||||||
Undistributed net investment income | 436,476 | 7,064,704 | |||||||||
Accumulated net realized loss | (79,472,928 | ) | (5,652,609 | ) | |||||||
Net unrealized appreciation (depreciation) | 3,405,536 | (3,609,442 | ) | ||||||||
NET ASSETS | $ | 421,113,152 | $ | 208,256,687 | |||||||
+ | Including securities loaned at value | $ | — | $ | 211,176 | |||||||
* | Cost of investments in securities | $ | 413,245,510 | $ | 211,644,902 | |||||||
** | Cost of short-term investments | $ | 12,187,302 | $ | 37,103,960 | |||||||
*** | Cost of foreign currencies | $ | 1,307,670 | $ | 98,574 | |||||||
**** | Cost of payable for foreign cash collateral for futures | $ | 19,476 | $ | 115,269 | |||||||
ˆ | Premiums received on written options | $ | 1,328,672 | $ | — | |||||||
ˆˆ | Proceeds receivable from sales commitments | $ | — | $ | 5,111,797 |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Class ADV | |||||||||||
Net assets | $ | 47,221,459 | n/a | ||||||||
Shares authorized | unlimited | n/a | |||||||||
Par value | $ | 0.001 | n/a | ||||||||
Shares outstanding | 5,145,751 | n/a | |||||||||
Net asset value and redemption price per share | $ | 9.18 | n/a | ||||||||
Class I | |||||||||||
Net assets | $ | 217,227,958 | n/a | ||||||||
Shares authorized | unlimited | n/a | |||||||||
Par value | $ | 0.001 | n/a | ||||||||
Shares outstanding | 22,849,967 | n/a | |||||||||
Net asset value and redemption price per share | $ | 9.51 | n/a | ||||||||
Class S | |||||||||||
Net assets | $ | 156,663,735 | n/a | ||||||||
Shares authorized | unlimited | n/a | |||||||||
Par value | $ | 0.001 | n/a | ||||||||
Shares outstanding | 16,607,879 | n/a | |||||||||
Net asset value and redemption price per share | $ | 9.43 | n/a | ||||||||
Portfolio(1) | |||||||||||
Net assets | n/a | $ | 208,256,687 | ||||||||
Shares authorized | n/a | unlimited | |||||||||
Par value | n/a | $ | 0.001 | ||||||||
Shares outstanding | n/a | 21,027,187 | |||||||||
Net asset value and redemption price per share | n/a | $ | 9.90 |
(1) | Portfolio does not have a share class designation. |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | |||||||||||
Dividends | $ | 81,356 | $ | 113,969 | |||||||
Interest, net of foreign taxes withheld* | 5,841,470 | 3,136,449 | |||||||||
Securities lending income, net | — | 1,312 | |||||||||
Total investment income | 5,922,826 | 3,251,730 | |||||||||
EXPENSES: | |||||||||||
Investment management fees | 1,091,105 | 539,946 | |||||||||
Distribution and shareholder service fees: | |||||||||||
Class ADV | 144,344 | — | |||||||||
Class S | 196,163 | — | |||||||||
Transfer agent fees | 475 | 1,189 | |||||||||
Shareholder reporting expense | 14,480 | 7,240 | |||||||||
Professional fees | 36,200 | 32,340 | |||||||||
Custody and accounting expense | 39,820 | 172,380 | |||||||||
Trustee fees | 8,401 | 4,355 | |||||||||
Miscellaneous expense | 17,922 | 7,067 | |||||||||
Interest expense | 65 | 3 | |||||||||
Total expenses | 1,548,975 | 764,520 | |||||||||
Waived and reimbursed fees | (83,322 | ) | (135,675 | ) | |||||||
Net expenses | 1,465,653 | 628,845 | |||||||||
Net investment income | 4,457,173 | 2,622,885 | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | |||||||||||
Net realized gain (loss) on: | |||||||||||
Investments | (408,088 | ) | (1,851,937 | ) | |||||||
Forward foreign currency contracts | (199,330 | ) | (780,787 | ) | |||||||
Foreign currency related transactions | 80,579 | 58,400 | |||||||||
Futures | 732,033 | (1,242,778 | ) | ||||||||
Swaps | (28,506 | ) | (133,171 | ) | |||||||
Written options | 112,134 | — | |||||||||
Net realized gain (loss) | 288,822 | (3,950,273 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||
Investments | (7,176,460 | ) | (2,778,156 | ) | |||||||
Forward foreign currency contracts | 523,622 | (1,465,415 | ) | ||||||||
Foreign currency related transactions | 4,952 | 1,715 | |||||||||
Futures | (482,711 | ) | 379,293 | ||||||||
Swaps | 2,262,168 | 495,589 | |||||||||
Written options | (495,928 | ) | — | ||||||||
Sales commitments | — | (12,923 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | (5,364,357 | ) | (3,379,897 | ) | |||||||
Net realized and unrealized loss | (5,075,535 | ) | (7,330,170 | ) | |||||||
Decrease in net assets resulting from operations | $ | (618,362 | ) | $ | (4,707,285 | ) | |||||
* Foreign taxes withheld | $ | — | $ | 282 |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | Six Months Ended June 30, 2018 | Year Ended December 31, 2017 | ||||||||||||||||||
FROM OPERATIONS: | |||||||||||||||||||||
Net investment income | $ | 4,457,173 | $ | 6,748,664 | $ | 2,622,885 | $ | 4,699,467 | |||||||||||||
Net realized gain (loss) | 288,822 | (2,547,763 | ) | (3,950,273 | ) | 1,972,312 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | (5,364,357 | ) | 8,482,010 | (3,379,897 | ) | (312,466) | |||||||||||||||
Increase (decrease) in net assets resulting from operations | (618,362 | ) | 12,682,911 | (4,707,285 | ) | 6,359,313 | |||||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||||||||
Net investment income: | (4,792,224) | ||||||||||||||||||||
Class ADV | (462,734 | ) | (381,219 | ) | — | — | |||||||||||||||
Class I | (3,303,021 | ) | (4,397,495 | ) | — | — | |||||||||||||||
Class S | (2,058,671 | ) | (2,176,391 | ) | — | — | |||||||||||||||
Total distributions | (5,824,426 | ) | (6,955,105 | ) | — | (4,792,224) | |||||||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||||||||
Net proceeds from sale of shares | 41,140,207 | 45,993,204 | 24,537,501 | 60,709,654 | |||||||||||||||||
Reinvestment of distributions | 5,824,426 | 6,955,105 | — | 4,792,224 | |||||||||||||||||
46,964,633 | 52,948,309 | 24,537,501 | 65,501,878 | ||||||||||||||||||
Cost of shares redeemed | (53,530,326 | ) | (178,896,691 | ) | (26,525,306 | ) | (78,963,233) | ||||||||||||||
Net decrease in net assets resulting from capital share transactions | (6,565,693 | ) | (125,948,382 | ) | (1,987,805 | ) | (13,461,355) | ||||||||||||||
Net decrease in net assets | (13,008,481 | ) | (120,220,576 | ) | (6,695,090 | ) | (11,894,266) | ||||||||||||||
NET ASSETS: | |||||||||||||||||||||
Beginning of year or period | 434,121,633 | 554,342,209 | 214,951,777 | 226,846,043 | |||||||||||||||||
End of year or period | $ | 421,113,152 | $ | 434,121,633 | $ | 208,256,687 | $214,951,777 | ||||||||||||||
Undistributed net investment income at end of year or period | $ | 436,476 | $ | 1,803,729 | $ | 7,064,704 | $4,441,819 |
Income (loss) from investment operations | | Less distributions | | Ratios to average net assets | Supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return(1) | | Expenses before reductions/ additions(2)(3)(4) | | Expenses net of fee waivers and/or recoupments if any(2)(3)(4) | | Expense net of all reductions/ additions(2)(3)(4) | | Net investment income (loss)(2)(3) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||||
Year or period ended | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | ||||||||||||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-18 | 9.30 | 0.08 | • | (0.11 | ) | (0.03 | ) | 0.09 | — | — | 0.09 | — | 9.18 | (0.33 | ) | 1.18 | 1.14 | 1.14 | 1.69 | 47,221 | 36 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-17 | 9.17 | 0.09 | 0.11 | 0.20 | 0.07 | — | — | 0.07 | — | 9.30 | 2.16 | 1.17 | 1.13 | 1.13 | 0.94 | 49,769 | 101 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-16 | 8.88 | 0.05 | 0.24 | 0.29 | — | — | — | — | — | 9.17 | 3.27 | 1.21 | 1.12 | 1.12 | 0.53 | 52,110 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-18 | 9.66 | 0.11 | • | (0.11 | ) | 0.00 | * | 0.15 | — | — | 0.15 | — | 9.51 | 0.00 | 0.58 | 0.54 | 0.54 | 2.30 | 217,228 | 36 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-17 | 9.55 | 0.15 | 0.11 | 0.26 | 0.15 | — | — | 0.15 | — | 9.66 | 2.72 | 0.57 | 0.53 | 0.53 | 1.55 | 223,463 | 101 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-16 | 9.19 | 0.11 | 0.25 | 0.36 | — | — | — | — | — | 9.55 | 3.92 | 0.56 | 0.52 | 0.52 | 1.15 | 311,949 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-18 | 9.57 | 0.10 | • | (0.12 | ) | (0.02 | ) | 0.12 | — | — | 0.12 | — | 9.43 | (0.17 | ) | 0.83 | 0.79 | 0.79 | 2.06 | 156,664 | 36 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-17 | 9.45 | 0.13 | 0.10 | 0.23 | 0.11 | — | — | 0.11 | — | 9.57 | 2.48 | 0.82 | 0.78 | 0.78 | 1.29 | 160,890 | 101 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-16 | 9.12 | 0.09 | 0.24 | 0.33 | — | — | — | — | — | 9.45 | 3.62 | 0.81 | 0.77 | 0.77 | 0.89 | 190,284 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||
VY® Goldman Sachs Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-18 | 10.12 | 0.12 | • | (0.34 | ) | (0.22 | ) | — | — | — | — | — | 9.90 | (2.17 | ) | 0.71 | 0.58 | 0.58 | 2.43 | 208,257 | 209 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-17 | 10.06 | 0.22 | • | 0.07 | 0.29 | 0.23 | — | — | 0.23 | — | 10.12 | 2.93 | 0.69 | 0.58 | 0.58 | 2.16 | 214,952 | 345 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-16 | 10.02 | 0.20 | • | 0.08 | 0.28 | 0.24 | — | — | 0.24 | — | 10.06 | 2.70 | 0.66 | 0.58 | 0.58 | 2.00 | 226,846 | 490 | ||||||||||||||||||||||||||||||||||||||||||||||||||
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 or recouped by the Investment Adviser and/or Distributor or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by a Portfolio during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by an Investment Adviser and/or Distributor or recoupment of previously reimbursed fees by an Investment Adviser, but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions/additions represent the net expenses paid by a Portfolio. Net investment income (loss) is net of all such additions or reductions. | |
(4) | Ratios do not include fees and expenses charged under the variable annuity contract or variable life insurance policy. | |
(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)%. |
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
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.
(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. |
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
out and demand payment or additional collateral to cover their exposure from a Portfolio. Credit related contingent features are established between a Portfolio and its derivatives counterparties to reduce the risk that a Portfolio will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in a Portfolio’s net assets and/or a percentage decrease in a Portfolio’s NAV, which could cause a Portfolio to accelerate payment of any net liability owed to the counterparty. The contingent features are established within each Portfolio’s Master Agreements.
Purchased | Sold | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 29,370,066 | $ | 20,879,179 | ||||||
Goldman Sachs Bond | 313,391,540 | 54,787,992 |
Purchased | Sold | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 187,417,977 | $ | 180,458,104 | ||||||
Goldman Sachs Bond | 57,259,470 | 41,796,401 |
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
risk. All outstanding swap agreements are reported following the Portfolio of Investments.
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
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.
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 40,840,843 | $ | 50,663,705 | ||||||
Goldman Sachs Bond | 50,687,209 | 52,135,055 |
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 106,528,559 | $ | 109,935,596 | ||||||
Goldman Sachs Bond | 368,534,114 | 367,210,648 |
Portfolio | Fee | |||
---|---|---|---|---|
BlackRock Inflation Protected | 0.55% on the first $200 million; | |||
Bond(1) | 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 | 12.23 | % | |||||
Voya Insurance and Annuity Company | BlackRock Inflation Protected Bond | 36.08 | ||||||
Voya Retirement Conservative Portfolio | BlackRock Inflation Protected Bond | 13.36 | ||||||
Voya Retirement Moderate Portfolio | BlackRock Inflation Protected Bond | 15.59 | ||||||
Voya Solution 2025 Portfolio | Goldman Sachs Bond | 21.73 | ||||||
Voya Solution Income Portfolio | BlackRock Inflation Protected Bond | 6.52 | ||||||
Goldman Sachs Bond | 19.91 |
Portfolio | Maximum Operating Expense Limit (as a percentage of net assets) | |||
---|---|---|---|---|
BlackRock Inflation Protected | Class ADV: 1.23% | |||
Bond | Class I: 0.63% | |||
Class S: 0.88% | ||||
Goldman Sachs Bond | 0.58% |
June 30, | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | 2019 | 2020 | 2021 | Total | |||||||||||||||
Goldman Sachs Bond | $ | 115,335 | $ | 149,846 | $ | 297,203 | $ | 562,384 |
Number of Contracts | Cost | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2017 | — | $ | — | ||||||||
Options Purchased | 192 | 32,321 | |||||||||
Options Terminated in Closing Sell Transactions | (152 | ) | (21,593 | ) | |||||||
Balance at 06/30/2018 | 40 | $ | 10,728 |
EUR Notional | GBP Notional | Cost | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2017 | — | — | $ | — | ||||||||||||
Options Purchased | 3,360,000 | 2,975,000 | 52,766 | |||||||||||||
Options Terminated in Closing Sell Transactions | (1,680,000 | ) | (12,045 | ) | ||||||||||||
Options Expired | (1,680,000 | ) | (12,197 | ) | ||||||||||||
Balance at 06/30/2018 | — | 2,975,000 | $ | 28,524 |
USD Notional | EUR Notional | JPY Notional | Cost | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2017 | 25,040,000 | 10,100,000 | 1,385,780,000 | $ | 2,665,757 | |||||||||||||||
Options Purchased | 21,830,000 | — | 82,140,000 | 416,660 | ||||||||||||||||
Options Terminated in Closing Sell Transactions | (16,780,000 | ) | (10,100,000 | ) | — | (1,978,010 | ) | |||||||||||||
Balance at 06/30/2018 | 30,090,000 | — | 1,467,920,000 | $ | 1,104,407 |
EUR Notional | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2017 | 3,140,000 | $ | 217,411 | |||||||
Options Terminated in Closing Purchase Transactions | (3,140,000 | ) | (217,411 | ) | ||||||
Balance at 06/30/2018 | — | $ | — |
Number of Contracts | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2017 | — | $ | — | |||||||
Options Written | 27 | 10,459 | ||||||||
Balance at 06/30/2018 | 27 | $ | 10,459 |
GBP Notional | USD Notional | Premiums Received | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2017 | — | — | $ | — | ||||||||||
Options Written | 2,975,000 | 1,660,000 | 56,507 | |||||||||||
Options Terminated in Closing Sell Transactions | (1,660,000 | ) | (24,693 | ) | ||||||||||
Balance at 06/30/2018 | 2,975,000 | — | $ | 31,814 |
EUR Notional | USD Notional | Premiums Received | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2017 | 10,100,000 | 24,320,000 | $ | 785,319 | ||||||||||
Options Written | 9,053,000 | 231,425,000 | 1,296,663 | |||||||||||
Options Terminated in Closing Purchase Transactions | (10,100,000 | ) | (24,630,000 | ) | (795,583 | ) | ||||||||
Balance at 06/30/2018 | 9,053,000 | 231,115,000 | $ | 1,286,399 |
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 | ||||||||||||||||||||||||||||||||||||||||||
6/30/2018 | 187,096 | — | 50,516 | (444,500 | ) | (206,888 | ) | 1,727,961 | — | 462,734 | (4,074,274 | ) | (1,883,579 | ) | ||||||||||||||||||||||||||||
12/31/2017 | 317,604 | — | 41,329 | (688,549 | ) | (329,616 | ) | 2,925,393 | — | 381,219 | (6,341,985 | ) | (3,035,373 | ) | ||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||
6/30/2018 | 3,153,840 | — | 348,314 | (3,781,627 | ) | (279,473 | ) | 29,948,686 | — | 3,303,021 | (36,069,840 | ) | (2,818,133 | ) | ||||||||||||||||||||||||||||
12/31/2017 | 3,773,612 | — | 460,710 | (13,775,433 | ) | (9,541,111 | ) | 36,140,751 | — | 4,397,494 | (131,911,107 | ) | (91,372,862 | ) | ||||||||||||||||||||||||||||
Class S | ||||||||||||||||||||||||||||||||||||||||||
6/30/2018 | 1,001,270 | — | 218,800 | (1,418,528 | ) | (198,458 | ) | 9,463,560 | — | 2,058,671 | (13,386,212 | ) | (1,863,981 | ) | ||||||||||||||||||||||||||||
12/31/2017 | 732,452 | — | 229,768 | (4,288,590 | ) | (3,326,370 | ) | 6,927,060 | — | 2,176,392 | (40,643,599 | ) | (31,540,147 | ) | ||||||||||||||||||||||||||||
Goldman Sachs Bond | ||||||||||||||||||||||||||||||||||||||||||
6/30/2018 | 2,451,497 | — | — | (2,670,414 | ) | (218,917 | ) | 24,537,501 | — | — | (26,525,306 | ) | (1,987,805 | ) | ||||||||||||||||||||||||||||
12/31/2017 | 5,975,395 | — | 475,891 | (7,763,398 | ) | (1,312,112 | ) | 60,709,654 | — | 4,792,224 | (78,963,233 | ) | (13,461,355 | ) |
Counterparty | Securities Loaned at Value | Cash Collateral Received(1) | Net Amount | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
HSBC Securities (USA) Inc. | $ | 187,950 | $ | (187,950 | ) | $ | — | ||||||||
Nomura Securities International, Inc. | 23,226 | (23,226 | ) | — | |||||||||||
Total | $ | 211,176 | $ | (211,176 | ) | $ | — |
(1) | Collateral with a fair value of $217,674 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, 2018 | Year Ended December 31, 2017 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Ordinary Income | Ordinary Income | ||||||||||
BlackRock Inflation Protected Bond | $ | 5,824,426 | $ | 6,955,105 | |||||||
Goldman Sachs Bond | — | 4,792,224 |
Capital Loss Carryforwards | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Undistributed Ordinary Income | Unrealized Appreciation/ (Depreciation) | Amount | Character | Expiration | |||||||||||||||||||
BlackRock Inflation Protected Bond | $ | 1,550,040 | $ | 7,956,437 | $ | (11,740,049 | ) | Short-term | None | ||||||||||||||
(66,939,166 | ) | Long-term | None | ||||||||||||||||||||
$ | (78,679,215 | ) | |||||||||||||||||||||
Goldman Sachs Bond | 4,673,247 | (642,293 | ) | (1,371,038 | ) | Short-term | None | ||||||||||||||||
(147,745 | ) | Long-term | None | ||||||||||||||||||||
$ | (1,518,783 | ) |
Per Share Amount | Payable Date | Record Date | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Goldman Sachs Bond | $ | 0.2231 | July 16, 2018 | July 12, 2018 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) |
as of June 30, 2018
(as a percentage of net assets)
U.S. Treasury Obligations | 53.6 | % | |||||
Corporate Bonds/Notes | 25.2 | % | |||||
U.S. Government Agency Obligations | 14.2 | % | |||||
Foreign Government Bonds | 4.2 | % | |||||
Purchased Options | 0.3 | % | |||||
Assets in Excess of Other Liabilities* | 2.5 | % | |||||
Net Assets | 100.0 | % | |||||
* Includes short-term investments. |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 25.2% | |||||||||||||||||||
Communications: 0.5% | |||||||||||||||||||
2,250,000 | Alibaba Group Holding Ltd., 2.500%–3.125%, 11/28/2019–11/28/2021 | $ | 2,231,332 | 0.5 | |||||||||||||||
Consumer, Cyclical: 1.0% | |||||||||||||||||||
795,000 | (1) | BMW US Capital LLC, 2.150%, 04/06/2020 | 782,323 | 0.2 | |||||||||||||||
1,400,000 | (1) | Daimler Finance North America LLC, 3.100%, 05/04/2020 | 1,397,484 | 0.3 | |||||||||||||||
755,000 | (1) | Nissan Motor Acceptance Corp., 2.250%, 01/13/2020 | 744,410 | 0.2 | |||||||||||||||
1,295,000 | Other Securities | 1,286,251 | 0.3 | ||||||||||||||||
4,210,468 | 1.0 | ||||||||||||||||||
Consumer, Non-cyclical: 1.0% | |||||||||||||||||||
3,000,000 | Gilead Sciences, Inc., 2.350%, 02/01/2020 | 2,971,225 | 0.7 | ||||||||||||||||
1,320,000 | Other Securities | 1,308,199 | 0.3 | ||||||||||||||||
4,279,424 | 1.0 | ||||||||||||||||||
Energy: 0.4% | |||||||||||||||||||
1,495,000 | (1) | Schlumberger Finance Canada Ltd, 2.200%, 11/20/2020 | 1,458,808 | 0.4 | |||||||||||||||
Financial: 21.3% | |||||||||||||||||||
780,000 | (1) | AIG Global Funding, 1.950%, 10/18/2019 | 769,677 | 0.2 | |||||||||||||||
595,000 | (1) | AIG Global Funding, 2.150%, 07/02/2020 | 583,324 | 0.1 | |||||||||||||||
1,385,000 | American Express Credit Corp., 2.200%, 03/03/2020 | 1,367,115 | 0.3 | ||||||||||||||||
585,000 | (1) | ANZ New Zealand Int’l Ltd./London, 2.200%, 07/17/2020 | 573,494 | 0.1 | |||||||||||||||
3,000,000 | Australia & New Zealand Banking Group Ltd./New York NY, 2.050%, 09/23/2019 | 2,967,232 | 0.7 | ||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financial: (continued) | |||||||||||||||||||
500,000 | Australia & New Zealand Banking Group Ltd./New York NY, 2.700%, 11/16/2020 | $ | 493,608 | 0.1 | |||||||||||||||
5,650,000 | Bank of America Corp., 2.625%, 10/19/2020 | 5,581,256 | 1.3 | ||||||||||||||||
1,395,000 | Bank of Montreal, 3.100%, 04/13/2021 | 1,390,836 | 0.3 | ||||||||||||||||
2,500,000 | Bank of Nova Scotia/The, 3.125%, 04/20/2021 | 2,487,901 | 0.6 | ||||||||||||||||
1,285,000 | (1) | Banque Federative du Credit Mutuel SA, 2.200%, 07/20/2020 | 1,255,592 | 0.3 | |||||||||||||||
1,000,000 | Barclays Bank PLC, 3.013%, (US0003M + 0.650%), 08/07/2020 | 1,004,130 | 0.2 | ||||||||||||||||
2,665,000 | Barclays Bank PLC, 5.125%, 01/08/2020 | 2,739,676 | 0.7 | ||||||||||||||||
1,500,000 | BB&T Corp., 2.150%, 02/01/2021 | 1,459,194 | 0.4 | ||||||||||||||||
2,165,000 | BNP Paribas SA, 5.000%, 01/15/2021 | 2,248,958 | 0.5 | ||||||||||||||||
4,000,000 | Branch Banking & Trust Co., 1.450%, 05/10/2019 | 3,957,115 | 0.9 | ||||||||||||||||
2,100,000 | Citibank NA, 2.125%, 10/20/2020 | 2,049,202 | 0.5 | ||||||||||||||||
250,000 | Citibank NA, 2.826%, (US0003M + 0.500%), 06/12/2020 | 250,800 | 0.1 | ||||||||||||||||
545,000 | Citibank NA, 2.850%, 02/12/2021 | 538,887 | 0.1 | ||||||||||||||||
1,860,000 | (1) | Commonwealth Bank of Australia, 2.250%, 03/10/2020 | 1,833,790 | 0.4 | |||||||||||||||
1,835,000 | Cooperatieve Rabobank UA/NY, 3.125%, 04/26/2021 | 1,828,567 | 0.4 | ||||||||||||||||
4,000,000 | Credit Suisse AG/New York NY, 2.300%, 05/28/2019 | 3,981,331 | 1.0 | ||||||||||||||||
2,000,000 | (1) | Danske Bank A/S, 1.650%, 09/06/2019 | 1,969,614 | 0.5 | |||||||||||||||
1,000,000 | (1) | DNB Bank ASA, 2.375%, 06/02/2021 | 969,121 | 0.2 | |||||||||||||||
1,110,000 | Fifth Third Bank/Cincinnati OH, 1.625%, 09/27/2019 | 1,092,902 | 0.3 | ||||||||||||||||
1,414,000 | GE Capital International Funding Co. Unlimited Co., 2.342%, 11/15/2020 | 1,381,901 | 0.3 | ||||||||||||||||
5,000,000 | HSBC USA, Inc., 2.375%, 11/13/2019 | 4,951,842 | 1.2 | ||||||||||||||||
500,000 | JPMorgan Chase & Co., 2.400%, 06/07/2021 | 487,298 | 0.1 | ||||||||||||||||
5,685,000 | JPMorgan Chase & Co., 2.550%, 10/29/2020 | 5,603,287 | 1.3 | ||||||||||||||||
1,000,000 | (2) | JPMorgan Chase Bank NA, 2.604%, 02/01/2021 | 991,480 | 0.3 | |||||||||||||||
1,125,000 | KeyBank NA/Cleveland OH, 1.600%–3.350%, 08/22/2019–06/15/2021 | 1,121,831 | 0.3 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||||
Financial: (continued) | |||||||||||||||||||||
2,250,000 | Lloyds Bank PLC, 3.300%, 05/07/2021 | $ | 2,246,748 | 0.5 | |||||||||||||||||
1,135,000 | Manufacturers & Traders Trust Co., 2.625%, 01/25/2021 | 1,117,876 | 0.3 | ||||||||||||||||||
2,200,000 | National Australia Bank Ltd./New York, 2.125%–2.500%, 05/22/2020–01/12/2021 | 2,157,910 | 0.5 | ||||||||||||||||||
2,540,000 | (1) | New York Life Global Funding, 2.000%, 04/09/2020 | 2,494,477 | 0.6 | |||||||||||||||||
1,970,000 | (1) | Pricoa Global Funding I, 1.450%, 09/13/2019 | 1,937,317 | 0.5 | |||||||||||||||||
2,370,000 | Santander UK PLC, 2.125%, 11/03/2020 | 2,301,308 | 0.6 | ||||||||||||||||||
2,000,000 | Skandinaviska Enskilda Banken AB, 1.500%, 09/13/2019 | 1,965,150 | 0.5 | ||||||||||||||||||
2,000,000 | Sumitomo Mitsui Banking Corp., 2.450%, 01/16/2020 | 1,977,592 | 0.5 | ||||||||||||||||||
1,000,000 | Sumitomo Mitsui Financial Group, Inc., 2.934%, 03/09/2021 | 988,929 | 0.2 | ||||||||||||||||||
2,255,000 | Svenska Handelsbanken AB, 2.250%–3.350%, 06/17/2019–05/24/2021 | 2,245,572 | 0.5 | ||||||||||||||||||
295,000 | (1) | UBS AG/London, 2.200%, 06/08/2020 | 289,223 | 0.1 | |||||||||||||||||
3,200,000 | UBS AG/Stamford CT, 2.350%, 03/26/2020 | 3,164,670 | 0.7 | ||||||||||||||||||
4,700,000 | US Bank NA/Cincinnati OH, 2.000%, 01/24/2020 | 4,631,992 | 1.1 | ||||||||||||||||||
1,740,000 | Wells Fargo Bank NA, 2.600%, 01/15/2021 | 1,713,050 | 0.4 | ||||||||||||||||||
1,255,000 | Westpac Banking Corp., 1.600%, 08/19/2019 | 1,237,471 | 0.3 | ||||||||||||||||||
1,330,000 | Other Securities | 1,333,244 | 0.3 | ||||||||||||||||||
89,733,490 | 21.3 | ||||||||||||||||||||
Industrial: 0.4% | |||||||||||||||||||||
950,000 | General Dynamics Corp., 3.000%, 05/11/2021 | 947,263 | 0.2 | ||||||||||||||||||
795,000 | (1) | Siemens Financieringsmaatschappij NV, 2.200%, 03/16/2020 | 784,036 | 0.2 | |||||||||||||||||
1,731,299 | 0.4 | ||||||||||||||||||||
Technology: 0.3% | |||||||||||||||||||||
1,100,000 | Other Securities | 1,060,283 | 0.3 | ||||||||||||||||||
Utilities: 0.3% | |||||||||||||||||||||
1,280,000 | Duke Energy Progress LLC, 2.501%, (US0003M + 0.180%), 09/08/2020 | 1,282,758 | 0.3 | ||||||||||||||||||
Total Corporate Bonds/Notes (Cost $107,149,225) | 105,987,862 | 25.2 | |||||||||||||||||||
FOREIGN GOVERNMENT BONDS: 4.2% | |||||||||||||||||||||
2,120,000 | Israel Government AID Bond, 5.500%, 12/04/2023 | $ | 2,397,274 | 0.5 | |||||||||||||||||
2,500,000 | Israel Government AID Bond, 5.500%, 04/26/2024 | 2,841,641 | 0.7 | ||||||||||||||||||
EUR 2,677,264 | Italy Buoni Poliennali Del Tesoro, 1.250%–1.650%, 04/23/2020–10/27/2020 | 3,216,264 | 0.8 | ||||||||||||||||||
965,000 | Mexico Government International Bond, 3.600%, 01/30/2025 | 934,120 | 0.2 | ||||||||||||||||||
NZD 4,571,000 | New Zealand Government Inflation Linked Bond, 3.000%, 09/20/2030 | 3,781,257 | 0.9 | ||||||||||||||||||
NZD 3,035,000 | New Zealand Government Inflation Linked Bond, 2.500%, 09/20/2035– 09/20/2040 | 2,334,666 | 0.6 | ||||||||||||||||||
GBP 572,050 | United Kingdom Gilt Inflation Linked, 0.750%, 11/22/2047 | 1,403,830 | 0.3 | ||||||||||||||||||
1,525,900 | Other Securities | 893,378 | 0.2 | ||||||||||||||||||
Total Foreign Government Bonds (Cost $17,813,138) | 17,802,430 | 4.2 | |||||||||||||||||||
U.S. TREASURY OBLIGATIONS: 53.6% | |||||||||||||||||||||
Treasury Inflation Indexed Protected Securities: 53.6% | |||||||||||||||||||||
10,624,865 | 0.125%, 07/15/2026 | 10,181,608 | 2.4 | ||||||||||||||||||
22,176,987 | 0.250%, 01/15/2025 | 21,576,524 | 5.1 | ||||||||||||||||||
14,194,346 | 0.375%, 07/15/2025 | 13,948,623 | 3.3 | ||||||||||||||||||
8,022,742 | 0.375%, 01/15/2027 | 7,796,774 | 1.9 | ||||||||||||||||||
12,418,789 | 0.375%, 07/15/2027 | 12,084,828 | 2.9 | ||||||||||||||||||
24,098,194 | 0.500%, 01/15/2028 | 23,580,773 | 5.6 | ||||||||||||||||||
14,275,009 | 0.625%, 01/15/2026 | 14,201,217 | 3.4 | ||||||||||||||||||
997,121 | 0.625%, 02/15/2043 | 944,717 | 0.2 | ||||||||||||||||||
13,044,699 | (3) | 0.750%, 02/15/2042 | 12,749,325 | 3.0 | |||||||||||||||||
10,224,752 | 0.750%, 02/15/2045 | 9,930,124 | 2.4 | ||||||||||||||||||
2,662,265 | 0.875%, 02/15/2047 | 2,665,103 | 0.6 | ||||||||||||||||||
3,917,667 | 1.000%, 02/15/2046 | 4,039,049 | 1.0 | ||||||||||||||||||
9,357,544 | 1.000%, 02/15/2048 | 9,681,169 | 2.3 | ||||||||||||||||||
9,696,771 | 1.375%, 02/15/2044 | 10,835,597 | 2.6 | ||||||||||||||||||
8,741,125 | (3) | 1.750%, 01/15/2028 | 9,554,381 | 2.3 | |||||||||||||||||
6,633,597 | 2.000%, 01/15/2026 | 7,270,053 | 1.7 | ||||||||||||||||||
5,096,147 | 2.125%, 02/15/2040 | 6,412,632 | 1.5 | ||||||||||||||||||
2,968,914 | 2.125%, 02/15/2041 | 3,762,821 | 0.9 | ||||||||||||||||||
4,567,727 | 2.375%, 01/15/2025 | 5,066,236 | 1.2 | ||||||||||||||||||
7,115,168 | 2.375%, 01/15/2027 | 8,094,059 | 1.9 | ||||||||||||||||||
7,620,249 | 2.500%, 01/15/2029 | 8,960,844 | 2.1 | ||||||||||||||||||
2,780,714 | 3.375%, 04/15/2032 | 3,715,366 | 0.9 | ||||||||||||||||||
6,420,895 | 3.625%, 04/15/2028 | 8,158,151 | 1.9 | ||||||||||||||||||
7,891,583 | 3.875%, 04/15/2029 | 10,411,438 | 2.5 | ||||||||||||||||||
Total U.S. Treasury Obligations (Cost $225,809,766) | 225,621,412 | 53.6 | |||||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 14.2% | |||||||||||||||||||||
Federal Home Loan Bank: 5.2% | |||||||||||||||||||||
4,475,000 | 1.375%, 09/28/2020 | 4,352,242 | 1.0 | ||||||||||||||||||
12,810,000 | 1.375%, 02/18/2021 | 12,404,422 | 2.9 | ||||||||||||||||||
5,255,000 | 2.875%, 09/13/2024 | 5,251,159 | 1.3 | ||||||||||||||||||
22,007,823 | 5.2 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||
Federal Home Loan Mortgage Corporation: 2.4%(4) | |||||||||||||||||||
515,000 | 1.375%, 05/01/2020 | $ | 504,491 | 0.1 | |||||||||||||||
9,970,000 | 2.375%, 01/13/2022 | 9,842,144 | 2.3 | ||||||||||||||||
10,346,635 | 2.4 | ||||||||||||||||||
Federal National Mortgage Association: 6.6%(4) | |||||||||||||||||||
8,350,000 | 1.375%, 02/26/2021 | 8,082,416 | 1.9 | ||||||||||||||||
8,355,000 | 1.875%, 12/28/2020 | 8,202,338 | 1.9 | ||||||||||||||||
4,830,000 | 1.875%, 09/24/2026 | 4,418,986 | 1.1 | ||||||||||||||||
7,120,000 | 2.625%, 09/06/2024 | 7,005,019 | 1.7 | ||||||||||||||||
27,708,759 | 6.6 | ||||||||||||||||||
Total U.S. Government Agency Obligations (Cost $61,329,722) | 60,063,217 | 14.2 |
| | | Value | | Percentage of Net Assets | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PURCHASED OPTIONS(5): 0.3% | |||||||||||||||||||
Total Purchased Options (Cost $1,143,659) | 1,052,476 | 0.3 | |||||||||||||||||
Total Long-Term Investments (Cost $413,245,510) | 410,527,397 | 97.5 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 2.9% | |||||||||||||||||||
Mutual Funds: 2.9% | |||||||||||||||||||
12,187,302 | (6) | BlackRock Liquidity Funds, FedFund, Institutional Class, 1.800% (Cost $12,187,302) | 12,187,302 | 2.9 | |||||||||||||||
Total Short-Term Investments (Cost $12,187,302) | 12,187,302 | 2.9 | |||||||||||||||||
Total Investments in Securities (Cost $425,432,812) | $ | 422,714,699 | 100.4 | ||||||||||||||||
Liabilities in Excess of Other Assets | (1,601,547 | ) | (0.4 | ) | |||||||||||||||
Net Assets | $ | 421,113,152 | 100.0 |
“Other Securities” represents issues not identified as the top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in aggregate respectively as of June 30, 2018.
The following footnotes apply to either the individual securities noted or one or more of the securities aggregated and listed as a single line item.
† | Unless otherwise indicated, principal amount is shown in USD. |
(1) | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
(2) | Variable rate security. Rate shown is the rate in effect as of June 30, 2018. |
(3) | All or a portion of this security has been pledged as collateral in connection with open futures contracts. Please refer to Note 2 for additional details. |
(4) | The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies. |
(5) | The tables below the Portfolio of Investments detail open purchased options which are non-income producing securities. |
(6) | Rate shown is the 7-day yield as of June 30, 2018. |
EUR | EU Euro | |
GBP | British Pound | |
NZD | New Zealand Dollar |
US0003M 3-month LIBOR
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, 2018 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||
Investments, at fair value | ||||||||||||||||||||
Purchased Options | $ | 9,000 | $ | 1,043,476 | $ | — | $ | 1,052,476 | ||||||||||||
Corporate Bonds/Notes | — | 105,987,862 | — | 105,987,862 | ||||||||||||||||
U.S. Treasury Obligations | — | 225,621,412 | — | 225,621,412 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (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, 2018 | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table (continued) | ||||||||||||||||||||
Investments, at fair value (continued) | ||||||||||||||||||||
Foreign Government Bonds | $ | — | $ | 17,802,430 | $ | — | $ | 17,802,430 | ||||||||||||
U.S. Government Agency Obligations | — | 60,063,217 | — | 60,063,217 | ||||||||||||||||
Short-Term Investments | 12,187,302 | — | — | 12,187,302 | ||||||||||||||||
Total Investments, at fair value | 12,196,302 | 410,518,397 | — | 422,714,699 | ||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||||
Centrally Cleared Swaps | — | 1,240,209 | — | 1,240,209 | ||||||||||||||||
Forward Foreign Currency Contracts | — | 377,903 | — | 377,903 | ||||||||||||||||
Futures | 116,261 | — | — | 116,261 | ||||||||||||||||
OTC Swaps | — | 6,207,474 | — | 6,207,474 | ||||||||||||||||
Total Assets | $ | 12,312,563 | $ | 418,343,983 | $ | — | $ | 430,656,546 | ||||||||||||
Liabilities Table | ||||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||||
Centrally Cleared Swaps | $ | — | $ | (1,271,894 | ) | $ | — | $ | (1,271,894 | ) | ||||||||||
Forward Foreign Currency Contracts | — | (123,360 | ) | — | (123,360 | ) | ||||||||||||||
Futures | (663,318 | ) | — | — | (663,318 | ) | ||||||||||||||
Written Options | (11,138 | ) | (1,087,028 | ) | — | (1,098,166 | ) | |||||||||||||
Total Liabilities | $ | (674,456 | ) | $ | (2,482,282 | ) | $ | — | $ | (3,156,738 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments may include open forward foreign currency contracts, futures, centrally cleared swaps, OTC swaps and written options. Forward foreign currency contracts, futures and centrally cleared swaps are 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 6,150,735 | NZD 8,768,000 | ANZ Bank | 07/05/18 | $ | 212,155 | |||||||||
MXN 21,005,528 | USD 1,065,000 | Bank of America N.A. | 08/09/18 | (13,662 | ) | |||||||||
USD 97,849 | JPY 10,625,000 | Barclays Bank PLC | 07/05/18 | 1,869 | ||||||||||
USD 425,000 | MXN 8,802,069 | Barclays Bank PLC | 08/09/18 | (15,548 | ) | |||||||||
GBP 780,000 | USD 1,043,791 | Barclays Bank PLC | 08/14/18 | (12,369 | ) | |||||||||
NZD 8,737,000 | USD 5,904,461 | BNP Paribas | 07/05/18 | 13,122 | ||||||||||
GBP 708,000 | USD 930,507 | BNP Paribas | 07/05/18 | 3,963 | ||||||||||
USD 1,031,289 | GBP 774,000 | BNP Paribas | 07/05/18 | 9,707 | ||||||||||
USD 5,904,683 | NZD 8,737,000 | BNP Paribas | 08/06/18 | (13,061 | ) | |||||||||
USD 931,844 | GBP 708,000 | BNP Paribas | 08/06/18 | (4,029 | ) | |||||||||
USD 1,098,445 | CAD 1,421,000 | Citibank N.A. | 07/05/18 | 17,511 | ||||||||||
USD 97,942 | JPY 10,625,000 | Deutsche Bank AG | 07/05/18 | 1,962 | ||||||||||
USD 1,035,000 | MXN 20,525,603 | Deutsche Bank AG | 08/09/18 | 7,683 | ||||||||||
USD 122,778 | EUR 105,000 | Goldman Sachs International | 07/05/18 | 140 | ||||||||||
JPY 10,625,000 | USD 96,410 | Goldman Sachs International | 07/05/18 | (430 | ) | |||||||||
USD 96,617 | JPY 10,625,000 | Goldman Sachs International | 08/06/18 | 424 | ||||||||||
MXN 16,747,208 | USD 844,890 | Goldman Sachs International | 08/09/18 | (6,684 | ) | |||||||||
MXN 4,359,446 | USD 220,110 | Goldman Sachs International | 08/09/18 | (1,917 | ) | |||||||||
USD 1,060,000 | MXN 21,568,032 | Goldman Sachs International | 08/09/18 | (19,491 | ) | |||||||||
USD 1,050,000 | MXN 20,679,172 | Goldman Sachs International | 08/09/18 | 14,996 | ||||||||||
MXN 21,324,715 | USD 1,055,000 | Goldman Sachs International | 08/09/18 | 12,313 | ||||||||||
MXN 21,340,012 | USD 1,055,000 | Goldman Sachs International | 08/09/18 | 13,079 | ||||||||||
GBP 780,000 | USD 1,055,152 | Goldman Sachs International | 08/14/18 | (23,730 | ) | |||||||||
JPY 10,625,000 | USD 95,958 | HSBC Bank PLC | 07/05/18 | 23 | ||||||||||
EUR 2,612,000 | USD 3,040,263 | HSBC Bank PLC | 07/05/18 | 10,491 | ||||||||||
USD 96,163 | JPY 10,625,000 | HSBC Bank PLC | 08/06/18 | (30 | ) | |||||||||
USD 3,047,355 | EUR 2,612,000 | HSBC Bank PLC | 08/06/18 | (10,768 | ) | |||||||||
MXN 11,251,906 | USD 535,000 | JPMorgan Chase Bank N.A. | 08/09/18 | 28,164 | ||||||||||
USD 2,964,421 | EUR 2,533,000 | Morgan Stanley & Co. International PLC | 07/05/18 | 5,937 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
MXN 33,186,000 | USD 1,662,617 | The Bank of New York Mellon | 08/09/18 | $ | (1,641 | ) | ||||||||
USD 1,060,000 | MXN 20,691,815 | The Northern Trust Company | 08/09/18 | 24,364 | ||||||||||
$ | 254,543 |
Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts: | |||||||||||||||||||
90-Day Eurodollar | 87 | 12/17/18 | $ | 21,175,800 | $ | (8,288 | ) | ||||||||||||
U.S. Treasury 10-Year Note | 171 | 09/19/18 | 20,552,063 | 89,468 | |||||||||||||||
U.S. Treasury 5-Year Note | 890 | 09/28/18 | 101,119,297 | (454,660 | ) | ||||||||||||||
$ | 142,847,160 | $ | (373,480 | ) | |||||||||||||||
Short Contracts: | |||||||||||||||||||
90-Day Eurodollar | (87 | ) | 12/16/19 | (21,105,112 | ) | 12,416 | |||||||||||||
Euro-Bund | (12 | ) | 09/06/18 | (2,277,913 | ) | (26,170 | ) | ||||||||||||
Euro-OAT | (28 | ) | 09/06/18 | (5,053,217 | ) | (21,959 | ) | ||||||||||||
Long Gilt | (32 | ) | 09/26/18 | (5,197,065 | ) | (17,341 | ) | ||||||||||||
Short-Term Euro-BTP | (27 | ) | 09/06/18 | (3,489,496 | ) | (30,043 | ) | ||||||||||||
U.S. Treasury 2-Year Note | (284 | ) | 09/28/18 | (60,159,188 | ) | (39,997 | ) | ||||||||||||
U.S. Treasury Ultra 10-Year Note | (116 | ) | 09/19/18 | (14,875,187 | ) | 14,377 | |||||||||||||
U.S. Treasury Ultra Long Bond | (16 | ) | 09/19/18 | (2,553,000 | ) | (64,860 | ) | ||||||||||||
$ | (114,710,178 | ) | $ | (173,577 | ) |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Pay | 6-month EUR-EURIBOR | Semi-Annual | 0.868% | Annual | 05/31/28 | EUR | 220,000 | $ | 11 | $ | (27 | ) | |||||||||||||||
Pay | 1-day Sterling Overnight Index Average (SONIA) | At Termination Date | 0.678 | At Termination Date | 12/20/18 | GBP | 238,985,000 | (1,893 | ) | (6,913 | ) | ||||||||||||||||
Pay | 6-month JPY-LIBOR | Semi-Annual | 0.129 | Semi-Annual | 04/26/23 | JPY | 2,150,000,000 | 21,398 | 21,293 | ||||||||||||||||||
Pay | 3-month NZD-BBR-FRA | Quarterly | 3.055 | Semi-Annual | 09/08/27 | NZD | 3,766,237 | (19,778 | ) | (17,361 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.882 | Semi-Annual | 11/15/19 | USD | 12,165,000 | (134,888 | ) | (135,091 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 1.938 | Semi-Annual | 11/24/19 | USD | 12,165,000 | (128,659 | ) | (128,863 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.975 | Semi-Annual | 05/29/21 | USD | 1,400,000 | (434 | ) | (457 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.953 | Semi-Annual | 05/30/21 | USD | 1,790,000 | (1,324 | ) | (1,354 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.759 | Semi-Annual | 05/31/21 | USD | 2,530,000 | (10,944 | ) | (10,986 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.797 | Semi-Annual | 05/31/21 | USD | 1,400,000 | (5,049 | ) | (5,073 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.805 | Semi-Annual | 05/31/21 | USD | 4,720,000 | (16,309 | ) | (16,387 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.820 | Semi-Annual | 05/31/21 | USD | 2,810,000 | (8,912 | ) | (8,958 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.879 | Semi-Annual | 05/31/21 | USD | 1,400,000 | (2,877 | ) | (2,900 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.887 | Semi-Annual | 05/31/21 | USD | 1,400,000 | (2,665 | ) | (2,688 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 3.013 | Semi-Annual | 06/11/21 | USD | 980,000 | 342 | 325 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 3.059 | Semi-Annual | 06/18/21 | USD | 700,000 | 842 | 830 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 3.012 | Semi-Annual | 06/21/21 | USD | 700,000 | 210 | 199 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 3.016 | Semi-Annual | 06/21/21 | USD | 1,400,000 | 514 | 490 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 3.005 | Semi-Annual | 06/27/21 | USD | 1,395,000 | 207 | 184 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 3.013 | Semi-Annual | 06/27/21 | USD | 800,000 | 240 | 227 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.952 | Semi-Annual | 07/01/21 | USD | 700,000 | (617 | ) | (629 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.964 | Semi-Annual | 07/01/21 | USD | 700,000 | (452 | ) | (463 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.979 | Semi-Annual | 07/01/21 | USD | 470,000 | (174 | ) | (182 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.945 | Semi-Annual | 05/16/23 | USD | 3,240,000 | 6,857 | 6,799 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.917 | Semi-Annual | 03/27/28 | USD | 820,000 | (2,797 | ) | (2,814 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.795 | Semi-Annual | 04/04/28 | USD | 460,000 | (6,435 | ) | (6,444 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.866 | Semi-Annual | 04/10/28 | USD | 150,000 | (1,199 | ) | (1,202 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.876 | Semi-Annual | 04/10/28 | USD | 150,000 | (1,070 | ) | (1,073 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.913 | Semi-Annual | 04/18/28 | USD | 4,000,000 | (15,967 | ) | (16,047 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 3.049 | Semi-Annual | 05/10/28 | USD | 485,000 | 3,709 | 3,699 | ||||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 3.049 | Semi-Annual | 05/10/28 | USD | 2,695,000 | 29,171 | 29,118 | ||||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | 0.954 | Annual | 01/15/28 | EUR | 1,977,500 | (26,723 | ) | (25,802 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | 0.955 | Annual | 01/15/28 | EUR | 1,977,500 | (26,940 | ) | (26,028 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive | 6-month EUR-EURIBOR | Semi-Annual | 1.040% | Annual | 03/23/28 | EUR | 1,455,000 | $ | (31,179 | ) | $ | (31,182 | ) | ||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | 1.519 | Annual | 01/05/48 | EUR | 750,000 | (14,000 | ) | (13,599 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | 1.491 | Annual | 01/08/48 | EUR | 750,000 | (7,977 | ) | (7,378 | ) | ||||||||||||||||
Receive | 6-month GBP-LIBOR | Annual | 3.270 | Annual | 09/15/18 | GBP | 5,535,000 | (3,069 | ) | (3,269 | ) | ||||||||||||||||
Receive | 6-month GBP-LIBOR | Semi-Annual | 1.450 | Semi-Annual | 01/24/28 | GBP | 3,350,000 | 24,507 | 31,125 | ||||||||||||||||||
Receive | 6-month GBP-LIBOR | Semi-Annual | 1.520 | Semi-Annual | 01/10/48 | GBP | 1,310,000 | 44,286 | 50,367 | ||||||||||||||||||
Receive | 6-month GBP-LIBOR | Semi-Annual | 1.570 | Semi-Annual | 01/23/48 | GBP | 2,480,000 | 42,949 | 49,998 | ||||||||||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 0.273 | Semi-Annual | 11/08/27 | JPY | 270,135,000 | (2,296 | ) | (3,187 | ) | ||||||||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 0.351 | Semi-Annual | 01/11/28 | JPY | 259,320,000 | (18,290 | ) | (18,855 | ) | ||||||||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 0.320 | Semi-Annual | 04/27/28 | JPY | 504,825,000 | (17,054 | ) | (17,379 | ) | ||||||||||||||||
Receive | 3-month NZD-BBR-FRA | Quarterly | 3.067 | Semi-Annual | 09/08/27 | NZD | 1,855,013 | (10,963 | ) | (9,880 | ) | ||||||||||||||||
Receive | 3-month NZD-BBR-FRA | Quarterly | 3.070 | Semi-Annual | 09/08/27 | NZD | 1,873,750 | (11,382 | ) | (10,309 | ) | ||||||||||||||||
Receive | 3-month NZD-BBR-FRA | Quarterly | 3.215 | Semi-Annual | 05/18/28 | NZD | 1,710,000 | (20,284 | ) | (20,516 | ) | ||||||||||||||||
Receive | 3-month NZD-BBR-FRA | Quarterly | 3.219 | Semi-Annual | 05/24/28 | NZD | 1,995,000 | (24,073 | ) | (24,302 | ) | ||||||||||||||||
Receive | 3-month NZD-BBR-FRA | Quarterly | 3.220 | Semi-Annual | 05/24/28 | NZD | 1,995,000 | (24,190 | ) | (24,421 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.851 | Semi-Annual | 03/27/21 | USD | 1,880,000 | 4,407 | 4,375 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.041 | Semi-Annual | 04/29/21 | USD | 1,050,000 | (1,138 | ) | (1,155 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.012 | Semi-Annual | 05/09/21 | USD | 4,080,000 | (1,983 | ) | (2,050 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.106 | Semi-Annual | 05/17/21 | USD | 1,400,000 | (3,124 | ) | (3,147 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.821 | Semi-Annual | 06/03/21 | USD | 1,405,000 | 4,567 | 4,544 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.894 | Semi-Annual | 06/04/21 | USD | 2,950,000 | 5,545 | 5,496 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.971 | Semi-Annual | 06/04/21 | USD | 1,405,000 | 576 | 552 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.987 | Semi-Annual | 06/06/21 | USD | 1,400,000 | 174 | 150 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.993 | Semi-Annual | 06/06/21 | USD | 1,400,000 | 1 | (22 | ) | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.013 | Semi-Annual | 06/06/21 | USD | 1,400,000 | (518 | ) | (541 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.981 | Semi-Annual | 06/07/21 | USD | 3,250,000 | 758 | 704 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.027 | Semi-Annual | 06/10/21 | USD | 1,010,000 | (634 | ) | (651 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.036 | Semi-Annual | 06/10/21 | USD | 1,400,000 | (1,117 | ) | (1,141 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.058 | Semi-Annual | 06/11/21 | USD | 1,400,000 | (1,696 | ) | (1,719 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.056 | Semi-Annual | 06/13/21 | USD | 1,390,000 | (1,622 | ) | (1,645 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.110 | Semi-Annual | 06/17/21 | USD | 1,395,000 | (3,018 | ) | (3,041 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.124 | Semi-Annual | 06/17/21 | USD | 1,395,000 | (3,401 | ) | (3,424 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.913 | Semi-Annual | 04/07/22 | USD | 350,000 | 539 | 533 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.047 | Semi-Annual | 05/11/22 | USD | 140,000 | (140 | ) | (143 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.082 | Semi-Annual | 05/12/22 | USD | 1,440,000 | (2,364 | ) | (2,387 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.204 | Semi-Annual | 05/19/22 | USD | 1,440,000 | (5,630 | ) | (5,653 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.870 | Semi-Annual | 06/02/22 | USD | 1,500,000 | 3,341 | 3,317 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.081 | Semi-Annual | 06/16/22 | USD | 720,000 | (1,220 | ) | (1,232 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.082 | Semi-Annual | 06/16/22 | USD | 720,000 | (1,234 | ) | (1,246 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.042 | Semi-Annual | 06/23/22 | USD | 720,000 | (705 | ) | (717 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.049 | Semi-Annual | 06/23/22 | USD | 720,000 | (804 | ) | (816 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.768 | Semi-Annual | 04/11/23 | USD | 290,000 | 1,680 | 1,675 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.165 | Semi-Annual | 02/15/28 | USD | 3,530,000 | (56,484 | ) | (56,554 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.978 | Semi-Annual | 03/23/28 | USD | 6,070,000 | (11,058 | ) | (11,183 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.887 | Semi-Annual | 04/09/28 | USD | 75,000 | 463 | 462 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.894 | Semi-Annual | 04/09/28 | USD | 150,000 | 836 | 833 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Semi-Annual | 2.895 | Quarterly | 04/09/28 | USD | 150,000 | 817 | 814 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.900 | Semi-Annual | 04/16/28 | USD | 150,000 | 771 | 768 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.904 | Semi-Annual | 04/16/28 | USD | 150,000 | 719 | 716 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.986 | Semi-Annual | 04/23/28 | USD | 300,000 | (679 | ) | (685 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.976 | Semi-Annual | 04/24/28 | USD | 300,000 | (419 | ) | (425 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.998 | Semi-Annual | 04/24/28 | USD | 300,000 | (976 | ) | (982 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.017 | Semi-Annual | 04/24/28 | USD | 300,000 | (1,482 | ) | (1,488 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.126 | Semi-Annual | 11/15/43 | USD | 720,000 | (16,712 | ) | (16,729 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 3.200 | Semi-Annual | 11/15/43 | USD | 1,590,000 | (58,301 | ) | (58,339 | ) | ||||||||||||||||
$ | (576,885 | ) | $ | (559,541 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.588% | At Termination Date | 01/15/28 | EUR | 3,360,000 | $ | (6,137 | ) | $ | (6,280 | ) | ||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.832 | At Termination Date | 05/15/47 | EUR | 690,000 | (31,709 | ) | (31,756 | ) | ||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.974 | At Termination Date | 01/15/48 | EUR | 530,000 | (598 | ) | (286 | ) | ||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.991 | At Termination Date | 01/15/48 | EUR | 530,000 | 3,174 | 3,606 | ||||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 2.000 | At Termination Date | 02/15/48 | EUR | 750,000 | 7,657 | 8,358 | ||||||||||||||||||
Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.983 | At Termination Date | 06/15/48 | EUR | 1,050,000 | (3,549 | ) | (3,656 | ) | ||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.185 | At Termination Date | 04/15/23 | GBP | 11,470,000 | (25,355 | ) | (34,887 | ) | ||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.523 | At Termination Date | 02/15/27 | GBP | 2,845,000 | 80,604 | 82,014 | ||||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.405 | At Termination Date | 01/15/28 | GBP | 4,545,000 | 57,344 | 60,279 | ||||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.410 | At Termination Date | 02/15/28 | GBP | 2,430,000 | 50,093 | 28,180 | ||||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.338 | At Termination Date | 06/15/28 | GBP | 775,000 | (2,938 | ) | (2,979 | ) | ||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.547 | At Termination Date | 11/15/32 | GBP | 4,200,000 | 178,805 | 185,644 | ||||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.600 | At Termination Date | 11/15/42 | GBP | 2,530,000 | 230,726 | 237,711 | ||||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.514 | At Termination Date | 01/15/48 | GBP | 560,000 | 46,784 | 48,490 | ||||||||||||||||||
Pay | U.K. RPI All Items Monthly | At Termination Date | 3.510 | At Termination Date | 02/15/48 | GBP | 10,000 | 918 | (20,625 | ) | |||||||||||||||||
Pay | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 3.029 | At Termination Date | 10/01/18 | USD | 7,360,000 | 1,112 | 882 | ||||||||||||||||||
Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.380 | At Termination Date | 04/15/23 | EUR | 4,500,000 | 20,903 | 21,249 | ||||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.220 | At Termination Date | 03/15/23 | GBP | 5,265,000 | (4,239 | ) | (4,314 | ) | ||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.256 | At Termination Date | 05/15/23 | GBP | 5,815,000 | 9,792 | 9,676 | ||||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.455 | At Termination Date | 11/15/27 | GBP | 4,200,000 | (90,521 | ) | (94,610 | ) | ||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.550 | At Termination Date | 11/15/47 | GBP | 2,530,000 | (280,246 | ) | (288,348 | ) | ||||||||||||||||
Receive | U.K. RPI All Items Monthly | At Termination Date | 3.410 | At Termination Date | 03/15/48 | GBP | 510,000 | (5,299 | ) | (5,019 | ) | ||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.113 | At Termination Date | 11/09/19 | USD | 22,115,000 | 133,052 | 132,314 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.205 | At Termination Date | 03/21/22 | USD | 5,100,000 | 18,689 | 18,505 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.890 | At Termination Date | 06/29/22 | USD | 6,700,000 | 147,329 | 147,087 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.260 | At Termination Date | 05/03/23 | USD | 9,000,000 | 13,037 | 12,712 | ||||||||||||||||||
Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.248 | At Termination Date | 03/21/24 | USD | 4,900,000 | 24,096 | 23,909 | ||||||||||||||||||
$ | 573,524 | $ | 527,856 |
Counterparty | Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank PLC | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.585% | At Termination Date | 09/13/18 | USD | 11,210,000 | $ | 166,009 | $ | — | $ | 166,009 | ||||||||||||||||||||
Barclays Bank PLC | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.518 | At Termination Date | 12/11/19 | USD | 15,000,000 | 335,095 | — | 335,095 | |||||||||||||||||||||||
Barclays Bank PLC | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.375 | At Termination Date | 01/15/20 | USD | 16,000,000 | 464,391 | — | 464,391 | |||||||||||||||||||||||
Barclays Bank PLC | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 2.174 | At Termination Date | 02/16/20 | USD | 10,000,000 | 16,535 | — | 16,535 | |||||||||||||||||||||||
Barclays Bank PLC | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.437 | At Termination Date | 01/15/21 | USD | 22,000,000 | 774,750 | — | 774,750 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Counterparty | Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank N.A. | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.649% | At Termination Date | 12/11/21 | USD | 6,500,000 | $ | 198,500 | $ | — | $ | 198,500 | ||||||||||||||||||||
Citibank N.A. | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.515 | At Termination Date | 01/15/22 | USD | 34,000,000 | 1,344,299 | — | 1,344,299 | |||||||||||||||||||||||
Citibank N.A. | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.560 | At Termination Date | 01/15/23 | USD | 37,000,000 | 1,672,085 | — | 1,672,085 | |||||||||||||||||||||||
Citibank N.A. | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.660 | At Termination Date | 09/22/23 | USD | 5,500,000 | 247,639 | — | 247,639 | |||||||||||||||||||||||
Citibank N.A. | Receive | U.S. CPI Urban Consumers NSA (CPURNSA) | At Termination Date | 1.689 | At Termination Date | 09/22/24 | USD | 19,500,000 | 966,161 | — | 966,161 | |||||||||||||||||||||||
Deutsche Bank AG | Pay | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.970 | At Termination Date | 03/15/47 | EUR | 1,110,000 | 12,100 | — | 12,100 | |||||||||||||||||||||||
Deutsche Bank AG | Receive | Eurostat Eurozone HICP ex Tobacco NSA (CPTFEMU) | At Termination Date | 1.470 | At Termination Date | 03/15/27 | EUR | 1,110,000 | 9,910 | — | 9,910 | |||||||||||||||||||||||
$ | 6,207,474 | $ | — | $6,207,474 |
Description | Put/Call | Expiration Date | Exercise Price | Number of Contracts | Notional Amount | Cost | Fair Value | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90-Day Eurodollar | Call | 03/18/19 | 97.38 | USD | 40 | 9,724,000 | $ | 10,728 | $ | 9,000 | |||||||||||||||
$ | 10,728 | $ | 9,000 |
Description | Put/Call | Expiration Date | Exercise Price | Number of Contracts | Notional Amount | Premiums Received | Fair Value | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90-Day Eurodollar | Call | 03/15/19 | 97.25 | USD | 27 | 6,563,700 | $ | 10,459 | $ | (11,138 | ) | |||||||||||||||
$ | 10,459 | $ | (11,138 | ) |
Description | Counterparty | Expiration Date | Exercise Price | Notional Amount | Cost | Fair Value | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Put GBP vs. Call USD | Barclays Bank PLC | 07/23/18 | 1.345 | GBP | 2,975,000 | $ | 28,524 | $ | 77,929 | ||||||||||||||
$ | 28,524 | $ | 77,929 |
Description | Counterparty | Expiration Date | Exercise Price | Notional Amount | Premiums Received | Fair Value | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Call GBP vs. Put USD | Barclays Bank PLC | 07/23/18 | 1.470 | GBP | 2,975,000 | $ | 31,814 | $ | (3 | ) | |||||||||||||
$ | 31,814 | $ | (3 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Description | Counterparty | Exercise Rate | Pay/ Receive Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Cost | Fair Value | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Call on 10-year Interest Rate Swap | Citibank N.A. | 2.985% | Receive | 3-month USD-LIBOR | 04/27/38 | USD | 10,000 | $ | 493 | $ | 551 | ||||||||||||||||
Call on 10-year Interest Rate Swap | Deutsche Bank AG | 3.106% | Receive | 3-month USD-LIBOR | 03/07/19 | USD | 2,230,000 | 43,819 | 56,249 | ||||||||||||||||||
Call on 10-year Interest Rate Swap | JP Morgan Chase Bank | 2.985% | Receive | 3-month USD-LIBOR | 04/27/38 | USD | 340,000 | 15,980 | 18,717 | ||||||||||||||||||
Call on 20-year Interest Rate Swap | Goldman Sachs International | 0.780% | Receive | 6-month JPY-LIBOR | 04/16/21 | JPY | 1,670,000 | 500 | 507 | ||||||||||||||||||
Call on 20-Year interest Rate Swap | JP Morgan Chase Bank | 0.780% | Receive | 6-month JPY-LIBOR | 04/16/21 | JPY | 39,400,000 | 12,334 | 11,569 | ||||||||||||||||||
Call on 30-year Interest Rate Swap | Citibank N.A. | 3.113% | Receive | 3-month USD-LIBOR | 04/26/23 | USD | 10,000 | 1,110 | 1,249 | ||||||||||||||||||
Call on 30-year Interest Rate Swap | Goldman Sachs International | 3.113% | Receive | 3-month USD-LIBOR | 04/26/23 | USD | 195,000 | 19,861 | 24,361 | ||||||||||||||||||
Put on 10-year Interest Rate Swap | Barclays Bank PLC | 1.100% | Pay | 6-month JPY-LIBOR | 06/29/22 | JPY | 1,385,780,000 | 188,508 | 91,985 | ||||||||||||||||||
Put on 10-year Interest Rate Swap | Citibank N.A. | 2.950% | Pay | 3-month USD-LIBOR | 08/22/22 | USD | 470,000 | 23,840 | 22,372 | ||||||||||||||||||
Put on 10-year Interest Rate Swap | Citibank N.A. | 2.985% | Pay | 3-month USD-LIBOR | 04/27/38 | USD | 10,000 | 461 | 470 | ||||||||||||||||||
Put on 10-year Interest Rate Swap | Deutsche Bank AG | 2.950% | Pay | 3-month USD-LIBOR | 08/22/22 | USD | 11,185,000 | 511,009 | 521,780 | ||||||||||||||||||
Put on 10-year Interest Rate Swap | Deutsche Bank AG | 3.106% | Pay | 3-month USD-LIBOR | 03/07/19 | USD | 2,230,000 | 43,820 | 29,779 | ||||||||||||||||||
Put on 10-year Interest Rate Swap | JP Morgan Chase Bank | 2.985% | Pay | 3-month USD-LIBOR | 04/27/38 | USD | 340,000 | 15,980 | 15,986 | ||||||||||||||||||
Put on 20-year Interest Rate Swap | Goldman Sachs International | 0.780% | Pay | 6-month JPY-LIBOR | 04/16/21 | JPY | 1,670,000 | 500 | 434 | ||||||||||||||||||
Put on 20-Year interest Rate Swap | JP Morgan Chase Bank | 0.780% | Pay | 6-month JPY-LIBOR | 04/16/21 | JPY | 39,400,000 | 12,334 | 9,909 | ||||||||||||||||||
Put on 30-year Interest Rate Swap | Barclays Bank PLC | 3.800% | Pay | 3-month USD-LIBOR | 06/07/21 | USD | 1,390,000 | 54,226 | 41,944 | ||||||||||||||||||
Put on 30-year Interest Rate Swap | Citibank N.A. | 3.113% | Pay | 3-month USD-LIBOR | 04/26/23 | USD | 10,000 | 929 | 876 | ||||||||||||||||||
Put on 30-year Interest Rate Swap | Citibank N.A. | 3.540% | Pay | 3-month USD-LIBOR | 06/17/19 | USD | 130,000 | 2,373 | 1,615 | ||||||||||||||||||
Put on 30-year Interest Rate Swap | Deutsche Bank AG | 3.540% | Pay | 3-month USD-LIBOR | 06/17/19 | USD | 2,995,000 | 57,280 | 37,211 | ||||||||||||||||||
Put on 30-year Interest Rate Swap | Goldman Sachs International | 3.113% | Pay | 3-month USD-LIBOR | 04/26/23 | USD | 195,000 | 19,861 | 17,082 | ||||||||||||||||||
Put on 5-Year interest Rate Swap | Barclays Bank PLC | 3.150% | Pay | 3-month USD-LIBOR | 05/14/19 | USD | 8,350,000 | 79,189 | 60,901 | ||||||||||||||||||
$ | 1,104,407 | $ | 965,547 |
Description | Counterparty | Exercise Rate | Pay/ Receive Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Premiums Received | Fair Value | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Call on 2-Year interest Rate Swap | Deutsche Bank AG | 2.400% | Pay | 3-month USD-LIBOR | 02/24/20 | USD | 2,590,000 | $ | 6,128 | $ | (7,025 | ) | |||||||||||||||
Call on 2-Year interest Rate Swap | Deutsche Bank AG | 2.400% | Pay | 3-month USD-LIBOR | 02/24/20 | USD | 61,300,000 | 186,965 | (166,272 | ) | |||||||||||||||||
Call on 2-Year interest Rate Swap | Deutsche Bank AG | 2.878% | Pay | 3-month USD-LIBOR | 04/14/20 | USD | 6,260,000 | 45,307 | (38,565 | ) | |||||||||||||||||
Call on 2-Year interest Rate Swap | Deutsche Bank AG | 2.878% | Pay | 3-month USD-LIBOR | 04/14/20 | USD | 260,000 | 1,420 | (1,602 | ) | |||||||||||||||||
Call on 2-Year interest Rate Swap | Deutsche Bank AG | 2.888% | Pay | 3-month USD-LIBOR | 04/14/20 | USD | 270,000 | 1,496 | (1,686 | ) | |||||||||||||||||
Call on 2-Year interest Rate Swap | Deutsche Bank AG | 2.900% | Pay | 3-month USD-LIBOR | 05/29/20 | USD | 3,410,000 | 25,063 | (22,865 | ) | |||||||||||||||||
Call on 2-Year interest Rate Swap | Deutsche Bank AG | 2.938% | Pay | 3-month USD-LIBOR | 04/17/20 | USD | 260,000 | 1,543 | (1,740 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Description | Counterparty | Exercise Rate | Pay/ Receive Exercise Rate | Floating Rate Index | Expiration Date | Notional Amount | Premiums Received | Fair Value | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Call on 2-Year interest Rate Swap | Deutsche Bank AG | 2.938% | Pay | 3-month USD-LIBOR | 04/17/20 | USD | 6,180,000 | $ | 42,951 | $ | (41,346 | ) | |||||||||||||||
Call on 2-Year interest Rate Swap | Goldman Sachs International | 2.888% | Pay | 3-month USD-LIBOR | 04/14/20 | USD | 6,270,000 | 45,301 | (39,159 | ) | |||||||||||||||||
Call on 2-Year interest Rate Swap | JP Morgan Chase Bank | 2.450% | Pay | 3-month USD-LIBOR | 05/30/19 | USD | 10,475,000 | 19,169 | (13,616 | ) | |||||||||||||||||
Put on 10-Year interest Rate Swap | Barclays Bank PLC | 1.650% | Receive | 3-month USD-LIBOR | 02/21/19 | EUR | 300,000 | 1,159 | (435 | ) | |||||||||||||||||
Put on 10-Year interest Rate Swap | Deutsche Bank AG | 1.650% | Receive | 6-month EUR-EURIBOR | 02/21/19 | EUR | 7,190,000 | 82,210 | (7,954 | ) | |||||||||||||||||
Put on 10-Year interest Rate Swap | Barclays Bank PLC | 3.870% | Receive | 3-month USD-LIBOR | 06/07/21 | USD | 2,950,000 | 57,793 | (45,637 | ) | |||||||||||||||||
Put on 10-Year interest Rate Swap | Citibank N.A. | 2.900% | Receive | 3-month USD-LIBOR | 04/16/19 | USD | 140,000 | 3,929 | (3,257 | ) | |||||||||||||||||
Put on 10-Year interest Rate Swap | Deutsche Bank AG | 2.900% | Receive | 3-month USD-LIBOR | 04/16/19 | USD | 3,250,000 | 85,334 | (75,606 | ) | |||||||||||||||||
Put on 10-Year interest Rate Swap | Deutsche Bank AG | 3.150% | Receive | 3-month USD-LIBOR | 05/08/19 | USD | 7,685,000 | 159,827 | (111,164 | ) | |||||||||||||||||
Put on 2-Year interest Rate Swap | Deutsche Bank AG | 2.878% | Receive | 3-month USD-LIBOR | 04/14/20 | USD | 6,260,000 | 45,307 | (48,766 | ) | |||||||||||||||||
Put on 2-Year interest Rate Swap | Deutsche Bank AG | 2.888% | Receive | 3-month USD-LIBOR | 04/14/20 | USD | 270,000 | 2,205 | (2,076 | ) | |||||||||||||||||
Put on 2-Year interest Rate Swap | Deutsche Bank AG | 2.900% | Receive | 3-month USD-LIBOR | 05/29/20 | USD | 3,410,000 | 25,063 | (26,605 | ) | |||||||||||||||||
Put on 2-Year interest Rate Swap | Deutsche Bank AG | 2.938% | Receive | 3-month USD-LIBOR | 04/17/20 | USD | 6,180,000 | 42,951 | (44,454 | ) | |||||||||||||||||
Put on 2-Year interest Rate Swap | Deutsche Bank AG | 2.938% | Receive | 3-month USD-LIBOR | 04/17/20 | USD | 260,000 | 1,985 | (1,870 | ) | |||||||||||||||||
Put on 2-Year interest Rate Swap | Deutsche Bank AG | 3.150% | Receive | 3-month USD-LIBOR | 03/21/19 | USD | 6,200,000 | 14,196 | (13,918 | ) | |||||||||||||||||
Put on 2-Year interest Rate Swap | Deutsche Bank AG | 3.150% | Receive | 3-month USD-LIBOR | 03/21/19 | USD | 260,000 | 619 | (584 | ) | |||||||||||||||||
Put on 2-Year interest Rate Swap | Deutsche Bank AG | 3.400% | Receive | 3-month USD-LIBOR | 02/24/20 | USD | 2,590,000 | 9,454 | (8,765 | ) | |||||||||||||||||
Put on 2-Year interest Rate Swap | Deutsche Bank AG | 3.400% | Receive | 3-month USD-LIBOR | 02/24/20 | USD | 61,300,000 | 232,940 | (207,454 | ) | |||||||||||||||||
Put on 2-Year interest Rate Swap | Goldman Sachs International | 2.878% | Receive | 3-month USD-LIBOR | 04/14/20 | USD | 260,000 | 2,150 | (2,025 | ) | |||||||||||||||||
Put on 2-Year interest Rate Swap | Goldman Sachs International | 2.888% | Receive | 3-month USD-LIBOR | 04/14/20 | USD | 6,270,000 | 45,301 | (48,211 | ) | |||||||||||||||||
Put on 2-Year interest Rate Swap | Goldman Sachs International | 3.150% | Receive | 3-month USD-LIBOR | 05/05/20 | USD | 3,500,000 | 19,337 | (19,181 | ) | |||||||||||||||||
Put on 2-Year interest Rate Swap | Goldman Sachs International | 3.350% | Receive | 3-month USD-LIBOR | 05/29/20 | USD | 4,790,000 | 17,424 | (20,215 | ) | |||||||||||||||||
Put on 2-Year interest Rate Swap | Goldman Sachs International | 3.450% | Receive | 3-month USD-LIBOR | 06/08/20 | USD | 4,770,000 | 19,748 | (17,642 | ) | |||||||||||||||||
Put on 2-Year interest Rate Swap | Goldman Sachs International | 3.500% | Receive | 3-month USD-LIBOR | 06/15/20 | USD | 3,020,000 | 11,249 | (10,488 | ) | |||||||||||||||||
Put on 2-Year interest Rate Swap | JP Morgan Chase Bank | 3.250% | Receive | 3-month USD-LIBOR | 05/30/19 | USD | 10,475,000 | 19,169 | (24,291 | ) | |||||||||||||||||
Put on 5-Year interest Rate Swap | Barclays Bank PLC | 0.600% | Receive | 6-month EUR-EURIBOR | 06/25/19 | EUR | 1,563,000 | 11,706 | (12,551 | ) | |||||||||||||||||
$ | 1,286,399 | $ | (1,087,025 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (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* | $ | 77,929 | |||||
Interest rate contracts | Investments in securities at value* | 974,547 | ||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | 377,903 | ||||||
Interest rate contracts | Net Assets- Unrealized appreciation** | 116,261 | ||||||
Interest rate contracts | Net Assets- Unrealized appreciation*** | 1,240,209 | ||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 6,207,474 | ||||||
Total Asset Derivatives | $ | 8,994,323 | ||||||
Liability Derivatives | ||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 123,360 | |||||
Interest rate contracts | Net Assets- Unrealized depreciation** | 663,318 | ||||||
Interest rate contracts | Net Assets- Unrealized depreciation*** | 1,271,894 | ||||||
Foreign exchange contracts | Written options, at fair value | 3 | ||||||
Interest rate contracts | Written options, at fair value | 1,098,163 | ||||||
Total Liability Derivatives | $ | 3,156,738 |
* | 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* | Forward foreign currency contracts | Futures | Swaps | Written options | Total | |||||||||||||||||||||||||
Foreign exchange contracts | $ | (24,241 | ) | $ | (199,330 | ) | $ | — | $ | — | $ | 14,600 | $ | (208,971 | ) | ||||||||||||||||
Interest rate contracts | (714,405 | ) | — | 732,033 | (28,506 | ) | 97,534 | 86,656 | |||||||||||||||||||||||
Total | $ | (738,646 | ) | $ | (199,330 | ) | $ | 732,033 | $ | (28,506 | ) | $ | 112,134 | $ | (122,315 | ) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Investments* | Forward foreign currency contracts | Futures | Swaps | Written options | Total | |||||||||||||||||||||||||
Foreign exchange contracts | $ | 77,929 | $ | 523,622 | $ | — | $ | — | $ | 31,811 | $ | 633,362 | |||||||||||||||||||
Interest rate contracts | (430,162 | ) | — | (482,711 | ) | 2,262,168 | (527,739 | ) | 821,556 | ||||||||||||||||||||||
Total | $ | (352,233 | ) | $ | 523,622 | $ | (482,711 | ) | $ | 2,262,168 | $ | (495,928 | ) | $ | 1,454,918 |
* | Amounts recognized for purchased options are included in net realized gain (loss) on investments and net change in unrealized appreciation or depreciation on investments. |
ANZ Bank | Bank of America N.A. | Barclays Bank PLC | BNP Paribas | Citibank N.A. | Deutsche Bank AG | Goldman Sachs International | HSBC Bank PLC | JP Morgan Chase Bank | Morgan Stanley & Co. International PLC | The Bank of New York Mellon | The Northern Trust Company | Totals | ||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchased options | $ | — | $ | — | $ | 272,758 | $ | — | $ | 27,133 | $ | 645,020 | $ | 42,384 | $ | — | $ | 56,181 | $ | — | $ | — | $ | — | $ | 1,043,476 | ||||||||||||||||||||||||||||
Forward foreign currency contracts | 212,155 | — | 1,869 | 26,792 | 17,511 | 9,645 | 40,952 | 10,514 | 28,164 | 5,937 | — | 24,364 | 377,903 | |||||||||||||||||||||||||||||||||||||||||
OTC Inflation-linked swaps | — | — | 1,756,779 | — | 4,428,685 | 22,010 | — | — | — | — | — | — | 6,207,474 | |||||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 212,155 | $ | — | $ | 2,031,406 | $ | 26,792 | $ | 4,473,329 | $ | 676,675 | $ | 83,336 | $ | 10,514 | $ | 84,345 | $ | 5,937 | $ | — | $ | 24,364 | $ | 7,628,853 | ||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | — | $ | 13,662 | $ | 27,917 | $ | 17,090 | $ | — | $ | — | $ | 52,252 | $ | 10,798 | $ | — | $ | — | $ | 1,641 | $ | — | $ | 123,360 | ||||||||||||||||||||||||||||
Written options | — | — | 58,625 | — | 3,256 | 830,316 | 156,921 | — | 37,907 | — | — | — | 1,087,025 | |||||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | — | $ | 13,662 | $ | 86,542 | $ | 17,090 | $ | 3,256 | $ | 830,316 | $ | 209,173 | $ | 10,798 | $ | 37,907 | $ | — | $ | 1,641 | $ | — | $ | 1,210,385 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
ANZ Bank | Bank of America N.A. | Barclays Bank PLC | BNP Paribas | Citibank N.A. | Deutsche Bank AG | Goldman Sachs International | HSBC Bank PLC | JP Morgan Chase Bank | Morgan Stanley & Co. International PLC | The Bank of New York Mellon | The Northern Trust Company | Totals | ||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net OTC derivative instruments by counterparty, at fair value | $ | 212,155 | $ | (13,662 | ) | $ | 1,944,864 | $ | 9,702 | $ | 4,470,073 | $ | (153,641 | ) | $ | (125,837 | ) | $ | (284 | ) | $ | 46,438 | $ | 5,937 | $ | (1,641 | ) | $ | 24,364 | $ | 6,418,468 | |||||||||||||||||||||||
Total collateral pledged by the Portfolio/(Received from counterparty) | $ | — | $ | — | $ | (1,944,864 | ) | $ | — | $ | (4,430,000 | ) | $ | 153,641 | $ | — | $ | — | $ | (20,000 | ) | $ | — | $ | — | $ | — | $ | (6,241,223 | ) | ||||||||||||||||||||||||
Net Exposure(1)(2) | $ | 212,155 | $ | (13,662 | ) | $ | — | $ | 9,702 | $ | 40,073 | $ | — | $ | (125,837 | ) | $ | (284 | ) | $ | 26,438 | $ | 5,937 | $ | (1,641 | ) | $ | 24,364 | $ | 177,245 |
(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, 2018, the Portfolio had received $1,950,000 in cash collateral from Barclays Bank PLC. In addition, the Portfolio had pledged $182,000 in cash collateral to Deutsche Bank AG. Excess cash collateral is not shown for financial reporting purposes. |
Cost for federal income tax purposes was $426,352,046. |
Net unrealized depreciation consisted of: | ||||||
Gross Unrealized Appreciation | $ | 9,721,217 | ||||
Gross Unrealized Depreciation | (7,205,873 | ) | ||||
Net Unrealized Appreciation | $ | 2,515,344 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) |
as of June 30, 2018
(as a percentage of net assets)
Corporate Bonds/Notes | 29.8 | % | |||||
U.S. Government Agency Obligations | 28.4 | % | |||||
Asset-Backed Securities | 18.5 | % | |||||
U.S. Treasury Obligations | 15.5 | % | |||||
Collateralized Mortgage Obligations | 3.4 | % | |||||
Foreign Government Bonds | 2.4 | % | |||||
Municipal Bonds | 1.2 | % | |||||
Commercial Mortgage-Backed Securities | 0.7 | % | |||||
Structured Products | 0.4 | % | |||||
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: 29.8% | ||||||||||||||
Basic Materials: 1.3% | ||||||||||||||
150,000 | (1) | Glencore Funding LLC, 4.125%, 05/30/2023 | $ | 149,836 | 0.1 | |||||||||
199,000 | (1) | Glencore Funding LLC, 4.625%, 04/29/2024 | 200,502 | 0.1 | ||||||||||
475,000 | (1) | Syngenta Finance NV, 3.698%, 04/24/2020 | 473,463 | 0.2 | ||||||||||
495,000 | (1) | Syngenta Finance NV, 3.933%, 04/23/2021 | 494,034 | 0.2 | ||||||||||
325,000 | (1) | Syngenta Finance NV, 4.892%, 04/24/2025 | 319,020 | 0.2 | ||||||||||
375,000 | (1) | WR Grace & Co-Conn, 5.125%, 10/01/2021 | 384,375 | 0.2 | ||||||||||
700,000 | Other Securities | 680,415 | 0.3 | |||||||||||
2,701,645 | 1.3 | |||||||||||||
Communications: 4.1% | ||||||||||||||
1,550,000 | AT&T, Inc., 3.000%–5.450%, 03/15/2022–03/01/2047 | 1,517,542 | 0.7 | |||||||||||
1,500,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.579%–4.908%, 07/23/2020–07/23/2025 | 1,508,207 | 0.7 | |||||||||||
1,566,000 | (1) | Verizon Communications, Inc., 4.329%, 09/21/2028 | 1,555,191 | 0.7 | ||||||||||
592,000 | Verizon Communications, Inc., 4.125%–5.250%, 03/16/2037–04/15/2049 | 583,176 | 0.3 | |||||||||||
350,000 | (1) | Wind Tre SpA, 5.000%, 01/20/2026 | 279,199 | 0.2 | ||||||||||
3,173,000 | Other Securities | 3,173,191 | 1.5 | |||||||||||
8,616,506 | 4.1 | |||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Consumer, Cyclical: 0.4% | ||||||||||||||
750,000 | Other Securities | $ | 760,561 | 0.4 | ||||||||||
Consumer, Non-cyclical: 3.5% | ||||||||||||||
400,000 | Anheuser-Busch InBev Finance, Inc., 4.700%–4.900%, 02/01/2036–02/01/2046 | 410,386 | 0.2 | |||||||||||
900,000 | Anheuser-Busch InBev Worldwide, Inc., 4.000%–4.600%, 04/13/2028–04/15/2048 | 897,867 | 0.4 | |||||||||||
100,000 | (1) | Bacardi Ltd., 5.300%, 05/15/2048 | 95,251 | 0.0 | ||||||||||
345,000 | (1) | BAT Capital Corp., 3.222%, 08/15/2024 | 327,105 | 0.2 | ||||||||||
350,000 | (1) | Bayer US Finance II LLC, 3.875%, 12/15/2023 | 350,310 | 0.2 | ||||||||||
725,000 | (1) | Bayer US Finance II LLC, 4.250%, 12/15/2025 | 730,304 | 0.4 | ||||||||||
500,000 | (1) | Bayer US Finance II LLC, 4.375%, 12/15/2028 | 501,784 | 0.2 | ||||||||||
475,000 | Becton Dickinson and Co., 3.209%, (US0003M + 0.875%), 12/29/2020 | 475,888 | 0.2 | |||||||||||
925,000 | Becton Dickinson and Co., 2.894%–4.685%, 06/06/2022–06/06/2047 | 895,704 | 0.5 | |||||||||||
1,600,000 | CVS Health Corp., 3.375%–5.125%, 07/20/2022–03/25/2048 | 1,574,997 | 0.7 | |||||||||||
275,000 | (1) | Keurig Dr Pepper, Inc., 4.057%, 05/25/2023 | 276,327 | 0.1 | ||||||||||
200,000 | (1) | Valeant Pharmaceuticals International, Inc., 7.000%, 03/15/2024 | 209,938 | 0.1 | ||||||||||
625,000 | Other Securities | 617,884 | 0.3 | |||||||||||
7,363,745 | 3.5 | |||||||||||||
Energy: 3.7% | ||||||||||||||
780,000 | Williams Partners L.P., 3.600%–3.900%, 03/15/2022–01/15/2025 | 772,835 | 0.4 | |||||||||||
8,421,000 | (2) | Other Securities | 6,954,563 | 3.3 | ||||||||||
7,727,398 | 3.7 | |||||||||||||
Financial: 13.5% | ||||||||||||||
125,000 | (1) | AXA Equitable Holdings, Inc., 3.900%, 04/20/2023 | 124,109 | 0.1 | ||||||||||
50,000 | (1) | AXA Equitable Holdings, Inc., 4.350%, 04/20/2028 | 47,873 | 0.0 | ||||||||||
1,510,000 | (3) | Bank of America Corp., 3.248%–6.110%, 04/01/2024–01/29/2037 | 1,469,672 | 0.7 | ||||||||||
375,000 | (1) | BNP Paribas SA, 3.375%, 01/09/2025 | 354,702 | 0.2 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Financial: (continued) | ||||||||||||||
550,000 | (1) | BNP Paribas SA, 3.500%, 03/01/2023 | $ | 536,482 | 0.2 | |||||||||
475,000 | Citigroup, Inc., 4.125%–4.600%, 03/09/2026–07/25/2028 | 464,506 | 0.2 | |||||||||||
EGP 13,900,000 | (1),(4) | Citigroup Global Markets Holdings, Inc./United States, 0.000%, 01/17/2019 | 706,390 | 0.3 | ||||||||||
300,000 | Cooperatieve Rabobank UA/NY, 2.792%, (US0003M + 0.430%), 04/26/2021 | 300,344 | 0.2 | |||||||||||
200,000 | (1) | Credit Suisse AG, 6.500%, 08/08/2023 | 213,197 | 0.1 | ||||||||||
125,000 | (1) | Great-West Lifeco Finance 2018 L.P., 4.047%, 05/17/2028 | 126,082 | 0.1 | ||||||||||
200,000 | HSBC Holdings PLC, 3.326%, (US0003M + 1.000%), 05/18/2024 | 199,559 | 0.1 | |||||||||||
550,000 | (1) | Intesa Sanpaolo SpA, 3.375%, 01/12/2023 | 505,917 | 0.2 | ||||||||||
1,825,000 | (3) | JPMorgan Chase & Co., 2.950%–3.782%, 01/15/2023-01/23/2029 | 1,741,822 | 0.8 | ||||||||||
1,700,000 | Kreditanstalt fuer Wiederaufbau, 1.125%, 08/06/2018 | 1,698,408 | 0.8 | |||||||||||
4,270,000 | Kreditanstalt fuer Wiederaufbau, 1.500%, 09/09/2019 | 4,217,496 | 2.0 | |||||||||||
1,000,000 | Morgan Stanley, 3.759%, (US0003M + 1.400%), 10/24/2023 | 1,023,494 | 0.5 | |||||||||||
1,100,000 | (3) | Morgan Stanley, 3.700%–4.000%, 04/24/2024–07/23/2025 | 1,088,618 | 0.5 | ||||||||||
200,000 | (1) | Northwestern Mutual Life Insurance Co/The, 3.850%, 09/30/2047 | 183,442 | 0.1 | ||||||||||
350,000 | Royal Bank of Canada, 2.749%, (US0003M + 0.390%), 04/30/2021 | 350,024 | 0.2 | |||||||||||
750,000 | (3) | Royal Bank of Scotland Group PLC, 3.498%–4.519%, 05/15/2023–06/25/2024 | 737,437 | 0.4 | ||||||||||
250,000 | (1) | Sumitomo Mitsui Financial Group, Inc., 4.436%, 04/02/2024 | 252,906 | 0.1 | ||||||||||
100,000 | (1) | Teachers Insurance & Annuity Association of America, 4.900%, 09/15/2044 | 105,423 | 0.1 | ||||||||||
225,000 | (1) | UBS Group Funding Switzerland AG, 3.000%, 04/15/2021 | 221,633 | 0.1 | ||||||||||
200,000 | (1),(5) | UniCredit SpA, 4.625%, 04/12/2027 | 186,196 | 0.1 | ||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Financial: (continued) | ||||||||||||||
11,472,000 | Other Securities | $ | 11,232,710 | 5.4 | ||||||||||
28,088,442 | 13.5 | |||||||||||||
Industrial: 1.3% | ||||||||||||||
175,000 | General Dynamics Corp., 2.736%, (US0003M + 0.380%), 05/11/2021 | 175,682 | 0.1 | |||||||||||
1,075,000 | Northrop Grumman Corp., 2.930%–3.250%, 01/15/2025–01/15/2028 | 1,016,783 | 0.5 | |||||||||||
300,000 | (1) | Penske Truck Leasing Co. Lp / PTL Finance Corp., 3.375%, 02/01/2022 | 295,866 | 0.1 | ||||||||||
375,000 | (1) | Sealed Air Corp., 5.250%, 04/01/2023 | 384,375 | 0.2 | ||||||||||
875,000 | Other Securities | 876,061 | 0.4 | |||||||||||
2,748,767 | 1.3 | |||||||||||||
Technology: 0.9% | ||||||||||||||
150,000 | (1) | Dell International LLC / EMC Corp., 5.450%, 06/15/2023 | 157,040 | 0.1 | ||||||||||
225,000 | (1) | Microchip Technology, Inc., 3.922%, 06/01/2021 | 225,510 | 0.1 | ||||||||||
1,450,000 | Other Securities | 1,413,118 | 0.7 | |||||||||||
1,795,668 | 0.9 | |||||||||||||
Utilities: 1.1% | ||||||||||||||
125,000 | (1) | Alliant Energy Finance LLC, 3.750%, 06/15/2023 | 125,074 | 0.1 | ||||||||||
50,000 | (1) | Alliant Energy Finance LLC, 4.250%, 06/15/2028 | 50,067 | 0.0 | ||||||||||
225,000 | (1) | NiSource, Inc., 3.650%, 06/15/2023 | 224,945 | 0.1 | ||||||||||
400,000 | Sempra Energy, 2.848%, (US0003M + 0.500%), 01/15/2021 | 400,233 | 0.2 | |||||||||||
1,630,000 | Other Securities | 1,540,846 | 0.7 | |||||||||||
2,341,165 | 1.1 | |||||||||||||
Total Corporate Bonds/Notes (Cost $63,717,470) | 62,143,897 | 29.8 | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 3.4% | ||||||||||||||
535,068 | (6) | Fannie Mae 2013-130 SN, 4.559%, (-1.000*US0001M + 6.650%), 10/25/2042 | 80,794 | 0.1 | ||||||||||
298,920 | (6) | Fannie Mae REMIC Trust 2011-124 SC, 4.459%, (-1.000*US0001M + 6.550%), 12/25/2041 | 47,659 | 0.0 | ||||||||||
283,841 | (6) | Fannie Mae REMIC Trust 2013-131 SA, 4.009%, (-1.000*US0001M + 6.100%), 12/25/2043 | 36,784 | 0.0 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | ||||||||||||||
511,131 | (6) | Fannie Mae REMIC Trust 2013-96 SY, 4.059%, (-1.000*US0001M + 6.150%), 07/25/2042 | $ | 69,884 | 0.1 | |||||||||
345,408 | (6) | Fannie Mae REMIC Trust 2014-87 MS, 4.159%, (-1.000*US0001M + 6.250%), 01/25/2045 | 46,580 | 0.0 | ||||||||||
471,692 | (6) | Fannie Mae REMIC Trust 2015-79 SA, 4.159%, (-1.000*US0001M + 6.250%), 11/25/2045 | 63,649 | 0.0 | ||||||||||
853,389 | (6) | Freddie Mac 4583 ST, 3.927%, (-1.000*US0001M + 6.000%), 05/15/2046 | 140,336 | 0.1 | ||||||||||
1,987,601 | (6) | Freddie Mac 4596 CS, 4.027%, (-1.000*US0001M + 6.100%), 06/15/2046 | 257,050 | 0.1 | ||||||||||
482,145 | (6) | Freddie Mac REMIC Trust 4320 SD, 4.027%, (-1.000*US0001M + 6.100%), 07/15/2039 | 61,768 | 0.0 | ||||||||||
325,034 | (6) | Freddie Mac Strips Series 304 C45, 3.000%, 12/15/2027 | 28,044 | 0.0 | ||||||||||
350,000 | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA2 M3, 6.741%, (US0001M + 4.650%), 10/25/2028 | 404,203 | 0.2 | |||||||||||
1,166,146 | (6) | Ginnie Mae 2015-111 IM, 4.000%, 08/20/2045 | 198,019 | 0.1 | ||||||||||
495,705 | (6) | Ginnie Mae 2015-119 SN, 4.166%, (-1.000*US0001M + 6.250%), 08/20/2045 | 75,384 | 0.0 | ||||||||||
456,785 | (6) | Ginnie Mae 2016-138 GI, 4.000%, 10/20/2046 | 83,808 | 0.1 | ||||||||||
345,610 | (6) | Ginnie Mae Series 2010-20 SE, 4.166%, (-1.000*US0001M + 6.250%), 02/20/2040 | 51,402 | 0.0 | ||||||||||
206,873 | (6) | Ginnie Mae Series 2010-31 SA, 3.666%, (-1.000*US0001M + 5.750%), 03/20/2040 | 26,467 | 0.0 | ||||||||||
135,043 | (6) | Ginnie Mae Series 2012-149 MS, 4.166%, (-1.000*US0001M + 6.250%), 12/20/2042 | 19,558 | 0.0 | ||||||||||
76,136 | (6) | Ginnie Mae Series 2013-134 DS, 4.016%, (-1.000*US0001M + 6.100%), 09/20/2043 | 10,798 | 0.0 | ||||||||||
222,737 | (6) | Ginnie Mae Series 2013-152 SG, 4.066%, (-1.000*US0001M + 6.150%), 06/20/2043 | 31,448 | 0.0 | ||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | ||||||||||||||
502,766 | (6) | Ginnie Mae Series 2013-181 SA, 4.016%, (-1.000*US0001M + 6.100%), 11/20/2043 | $ | 72,605 | 0.0 | |||||||||
529,255 | (6) | Ginnie Mae Series 2013-183 NI, 4.500%, 10/20/2042 | 65,124 | 0.0 | ||||||||||
738,054 | (6) | Ginnie Mae Series 2014-132 SL, 4.016%, (-1.000*US0001M + 6.100%), 10/20/2043 | 96,880 | 0.1 | ||||||||||
364,124 | (6) | Ginnie Mae Series 2014-133 BS, 3.516%, (-1.000*US0001M + 5.600%), 09/20/2044 | 43,388 | 0.0 | ||||||||||
86,784 | (6) | Ginnie Mae Series 2014-41 SA, 4.016%, (-1.000*US0001M + 6.100%), 03/20/2044 | 12,761 | 0.0 | ||||||||||
783,688 | (6) | Ginnie Mae Series 2015-110 MS, 3.626%, (-1.000*US0001M + 5.710%), 08/20/2045 | 101,592 | 0.1 | ||||||||||
229,639 | (6) | Ginnie Mae Series 2015-126 HS, 4.116%, (-1.000*US0001M + 6.200%), 09/20/2045 | 33,486 | 0.0 | ||||||||||
234,873 | (6) | Ginnie Mae Series 2015-159 HS, 4.116%, (-1.000*US0001M + 6.200%), 11/20/2045 | 34,522 | 0.0 | ||||||||||
991,763 | (6) | Ginnie Mae Series 2015-95 GI, 4.500%, 07/16/2045 | 208,812 | 0.1 | ||||||||||
510,718 | (6) | Ginnie Mae Series 2016-27 IA, 4.000%, 06/20/2045 | 78,875 | 0.1 | ||||||||||
543,689 | (6) | Ginnie Mae Series 2016-4 SM, 3.566%, (-1.000*US0001M + 5.650%), 01/20/2046 | 66,259 | 0.0 | ||||||||||
GBP 344,120 | Harben Finance 2017-1X A Plc, 1.423%, (BP0003M + 0.800%), 08/20/2056 | 456,090 | 0.2 | |||||||||||
GBP 653,341 | London Wall Mortgage Capital PLC 2017-FL1 A, 1.490%, (BP0003M + 0.850%), 11/15/2049 | 863,317 | 0.4 | |||||||||||
EUR 370,607 | (1),(7) | Magnolia Finance XI DAC, 2.750%, (EUR003M + 2.750%), 04/20/2020 | 431,498 | 0.2 | ||||||||||
GBP 142,717 | Ripon Mortgages PLC 1X A1, 1.423%, (BP0003M + 0.800%), 08/20/2056 | 189,190 | 0.1 | |||||||||||
GBP 1,230,937 | Ripon Mortgages PLC 1X A2, 1.423%, (BP0003M + 0.800%), 08/20/2056 | 1,631,742 | 0.8 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | ||||||||||||||
246,127 | (1),(7) | Station Place Securitization Trust 2015-2 A, 2.607%, (US0001M + 1.050%), 07/15/2019 | $ | 246,127 | 0.1 | |||||||||
625,229 | WaMu Mortgage Pass-Through Certificates Series 2006-AR9 1A, 2.558%, (12MTA + 1.000%), 08/25/2046 | 590,079 | 0.3 | |||||||||||
251,357 | Other Securities | 225,993 | 0.1 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $7,344,545) | 7,181,975 | 3.4 | ||||||||||||
MUNICIPAL BONDS: 1.2% | ||||||||||||||
California: 0.5% | ||||||||||||||
750,000 | Other Securities | 1,021,811 | 0.5 | |||||||||||
Illinois: 0.3% | ||||||||||||||
640,000 | Other Securities | 633,352 | 0.3 | |||||||||||
Minnesota: 0.1% | ||||||||||||||
176,166 | Northstar Education Finance, Inc., 1.414%, (US0003M + 0.100%), 04/28/2030 | 175,187 | 0.1 | |||||||||||
Puerto Rico: 0.3% | ||||||||||||||
1,060,000 | (2) | Other Securities | 612,938 | 0.3 | ||||||||||
Total Municipal Bonds (Cost $2,396,255) | 2,443,288 | 1.2 | ||||||||||||
STRUCTURED PRODUCTS: 0.4% | ||||||||||||||
EGP 4,890,000 | (4) | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 0.000%, 10/09/2018 | 260,874 | 0.1 | ||||||||||
EGP 5,000,000 | (1),(4) | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 0.000%, 11/01/2018 | 262,535 | 0.2 | ||||||||||
EGP 5,800,000 | (4) | JPMorgan Chase Bank N.A., Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 0.000%, 07/02/2019 | 290,178 | 0.1 | ||||||||||
Total Structured Products (Cost $827,919) | 813,587 | 0.4 | ||||||||||||
U.S. TREASURY OBLIGATIONS: 15.5% | ||||||||||||||
U.S. Treasury Bonds: 2.5% | ||||||||||||||
2,640,000 | 2.750%, 11/15/2047 | 2,516,920 | 1.2 | |||||||||||
2,650,000 | 2.875%, 11/15/2046 | 2,592,756 | 1.3 | |||||||||||
5,109,676 | 2.5 | |||||||||||||
U.S. Treasury Notes: 12.3% | ||||||||||||||
5,390,000 | 2.000%, 11/15/2026 | 5,050,388 | 2.4 | |||||||||||
9,040,000 | 2.125%, 07/31/2024 | 8,701,000 | 4.2 | |||||||||||
5,900,000 | 2.125%, 09/30/2024 | 5,671,721 | 2.7 | |||||||||||
3,110,000 | 2.125%, 11/30/2024 | 2,986,207 | 1.5 | |||||||||||
U.S. TREASURY OBLIGATIONS: (continued) | ||||||||||||||
U.S. Treasury Notes: (continued) | ||||||||||||||
1,700,000 | 2.250%, 02/15/2027 | $ | 1,622,139 | 0.8 | ||||||||||
1,490,000 | 2.875%, 04/30/2025 | 1,495,733 | 0.7 | |||||||||||
25,527,188 | 12.3 | |||||||||||||
U.S. Treasury STRIP: 0.7% | ||||||||||||||
1,930,000 | (4),(6),(8) | 0.000%, 02/15/2036 | 1,139,280 | 0.5 | ||||||||||
700,000 | (4),(6),(8) | 0.000%, 08/15/2036 | 407,149 | 0.2 | ||||||||||
1,546,429 | 0.7 | |||||||||||||
Total U.S. Treasury Obligations (Cost $33,049,926) | 32,183,293 | 15.5 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS(9): 28.4% | ||||||||||||||
Federal Home Loan Bank: 1.0% | ||||||||||||||
900,000 | 2.625%, 09/12/2025 | 875,911 | 0.4 | |||||||||||
1,300,000 | 2.875%, 06/13/2025 | 1,285,476 | 0.6 | |||||||||||
2,161,387 | 1.0 | |||||||||||||
Federal Home Loan Mortgage Corporation: 2.0%(9) | ||||||||||||||
84,237 | 4.000%, 02/01/2041 | 86,609 | 0.0 | |||||||||||
48,364 | 4.000%, 02/01/2041 | 49,693 | 0.0 | |||||||||||
4,000,000 | (10) | 4.000%, 07/01/2048 | 4,077,969 | 2.0 | ||||||||||
4,214,271 | 2.0 | |||||||||||||
Federal National Mortgage Association: 14.7%(9) | ||||||||||||||
1,400,000 | 1.875%, 09/24/2026 | 1,280,866 | 0.6 | |||||||||||
1,955,762 | 4.500%, 07/01/2047 | 2,040,981 | 1.0 | |||||||||||
981,242 | 4.500%, 10/01/2047 | 1,027,714 | 0.5 | |||||||||||
1,000,001 | 4.500%, 04/01/2048 | 1,044,370 | 0.5 | |||||||||||
1,483,943 | 4.500%, 06/01/2048 | 1,549,673 | 0.7 | |||||||||||
1,000,000 | 4.500%, 06/01/2048 | 1,043,522 | 0.5 | |||||||||||
10,000,000 | (10) | 4.500%, 07/01/2048 | 10,413,477 | 5.0 | ||||||||||
7,000,000 | (10) | 5.000%, 07/01/2048 | 7,415,523 | 3.6 | ||||||||||
4,478,584 | 3.500%–6.000%, 09/01/2035–05/01/2048 | 4,679,178 | 2.3 | |||||||||||
30,495,304 | 14.7 | |||||||||||||
Government National Mortgage Association: 10.7% | ||||||||||||||
2,580,628 | 4.000%, 10/20/2043 | 2,673,508 | 1.3 | |||||||||||
6,000,000 | (10) | 4.000%, 08/01/2044 | 6,139,570 | 2.9 | ||||||||||
1,031,649 | 4.000%, 10/20/2045 | 1,065,729 | 0.5 | |||||||||||
10,000,000 | (10) | 4.500%, 07/01/2044 | 10,395,508 | 5.0 | ||||||||||
1,934,871 | 4.000%, 07/20/2045–09/20/2047 | 1,995,682 | 1.0 | |||||||||||
22,269,997 | 10.7 | |||||||||||||
Total U.S. Government Agency Obligations (Cost $59,395,813) | 59,140,959 | 28.4 | ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 0.7% | ||||||||||||||
800,000 | (1) | Exantas Capital Corp. 2018-RSO6 A Ltd., 2.791%, (US0001M + 0.830%), 06/15/2035 | 799,997 | 0.4 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMERCIAL MORTGAGE-BACKED SECURITIES: (continued) | ||||||||||||||
600,000 | (1) | TPG Real Estate Finance 2018-FL-1 A Issuer Ltd., 2.823%, (US0001M + 0.750%), 02/15/2035 | $ | 599,996 | 0.3 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $1,400,000) | 1,399,993 | 0.7 | ||||||||||||
ASSET-BACKED SECURITIES: 18.5% | ||||||||||||||
Other Asset-Backed Securities: 10.4% | ||||||||||||||
1,050,000 | (1) | BlueMountain CLO 2014-2A AR, 3.289%, (US0003M + 0.930%), 07/20/2026 | 1,050,091 | 0.5 | ||||||||||
1,000,000 | (1) | Catamaran CLO 2013-1A AR Ltd., 3.216%, (US0003M + 0.850%), 01/27/2028 | 996,941 | 0.5 | ||||||||||
2,250,000 | (1) | CBAM 2018-5A A Ltd., 3.322%, (US0003M + 1.020%), 04/17/2031 | 2,239,886 | 1.1 | ||||||||||
1,300,000 | (1) | Crown Point CLO III Ltd. 2015-3A A1AR, 3.258%, (US0003M + 0.910%), 12/31/2027 | 1,299,986 | 0.6 | ||||||||||
1,050,000 | (1) | Cutwater 2014-1A A1AR, 3.598%, (US0003M + 1.250%), 07/15/2026 | 1,050,151 | 0.5 | ||||||||||
1,100,000 | (1) | Dryden XXVI Senior Loan Fund 2013-26A AR, 3.248%, (US0003M + 0.900%), 04/15/2029 | 1,095,508 | 0.5 | ||||||||||
350,000 | (1) | Ready Capital Mortgage Financing 2018-FL2 A LLC, 2.830%, (US0001M + 0.850%), 06/25/2035 | 350,112 | 0.2 | ||||||||||
1,110,000 | (1) | Tryon Park CLO Ltd. 2013-1A A1SR, 3.238%, (US0003M + 0.890%), 04/15/2029 | 1,108,611 | 0.5 | ||||||||||
800,000 | (1) | Halcyon Loan Advisors Funding 2015-2A A, 3.750%, (US0003M + 1.390%), 07/25/2027 | 799,990 | 0.4 | ||||||||||
1,550,000 | (1) | ICG US CLO 2014-1A A1R Ltd., 3.579%, (US0003M + 1.220%), 01/20/2030 | 1,550,927 | 0.7 | ||||||||||
1,600,000 | (1) | Madison Park Funding XXX Ltd. 2018-30A A, 3.089%, (US0003M + 0.750%), 04/15/2029 | 1,582,824 | 0.8 | ||||||||||
1,050,000 | (1) | OCP CLO 2015-9A A1R Ltd., 3.148%, (US0003M + 0.800%), 07/15/2027 | 1,048,356 | 0.5 | ||||||||||
ASSET-BACKED SECURITIES: (continued) | ||||||||||||||
Other Asset-Backed Securities: (continued) | ||||||||||||||
2,000,000 | (1) | OFSI Fund VII Ltd. 2014-7A AR, 3.255%, (US0003M + 0.900%), 10/18/2026 | $ | 1,999,976 | 1.0 | |||||||||
2,150,000 | (1) | Saranac CLO Ltd 2014-2A A1AR, 3.561%, (US0003M + 1.230%), 11/20/2029 | 2,151,542 | 1.0 | ||||||||||
1,000,000 | Soundview Home Loan Trust 2005-2 M6, 3.171%, (US0001M + 1.080%), 07/25/2035 | 1,013,528 | 0.5 | |||||||||||
800,000 | (1) | Trinitas CLO II Ltd. 2014-2A A1R, 3.528%, (US0003M + 1.180%), 07/15/2026 | 800,093 | 0.4 | ||||||||||
1,500,000 | (1) | York CLO 1 Ltd. 2014-1A AR, 3.512%, (US0003M + 1.150%), 01/22/2027 | 1,500,237 | 0.7 | ||||||||||
21,638,759 | 10.4 | |||||||||||||
Student Loan Asset-Backed Securities: 8.1% | ||||||||||||||
1,089,290 | (1) | Academic Loan Funding Trust 2012-1A A2, 3.191%, (US0001M + 1.100%), 12/27/2044 | 1,098,547 | 0.5 | ||||||||||
169,714 | (1) | Bank of America Student Loan Trust 2010-1A A, 3.160%, (US0003M + 0.800%), 02/25/2043 | 170,474 | 0.1 | ||||||||||
732,109 | (1) | ECMC Group Student Loan Trust 2016-1, 3.441%, (US0001M + 1.350%), 07/26/2066 | 745,038 | 0.4 | ||||||||||
520,117 | (1) | Edsouth Indenture No 9 LLC 2015-1 A, 2.891%, (US0001M + 0.800%), 10/25/2056 | 521,979 | 0.2 | ||||||||||
1,100,000 | (1) | EFS Volunteer No 2 LLC 2012-1 A2, 3.441%, (US0001M + 1.350%), 03/25/2036 | 1,122,888 | 0.6 | ||||||||||
650,000 | (1) | EFS Volunteer No 3 LLC 2012-1 A3, 3.091%, (US0001M + 1.000%), 04/25/2033 | 654,703 | 0.3 | ||||||||||
600,000 | Montana Higher Education Student Assistance Corp. 2012-1 A3, 2.998%, (US0001M + 1.050%), 07/20/2043 | 604,110 | 0.3 | |||||||||||
1,567,089 | (1) | Navient Student Loan Trust 2016-5A A, 3.341%, (US0001M + 1.250%), 06/25/2065 | 1,610,473 | 0.7 | ||||||||||
767,905 | (1) | Navient Student Loan Trust 2016-7 A, 3.241%, (US0001M + 1.150%), 03/25/2066 | 783,260 | 0.4 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSET-BACKED SECURITIES: (continued) | ||||||||||||||
Student Loan Asset-Backed Securities: (continued) | ||||||||||||||
1,050,000 | (1) | Nelnet Student Loan Trust 2006-1 A6, 2.780%, (US0003M + 0.450%), 08/23/2036 | $ | 1,028,964 | 0.5 | |||||||||
1,100,000 | (1) | Nelnet Student Loan Trust 2006-2 A7, 2.940%, (US0003M + 0.580%), 01/25/2037 | 1,077,516 | 0.5 | ||||||||||
786,234 | (1) | Pennsylvania Higher Education Association Student Loan Trust 2016-1, 3.241%, (US0001M + 1.150%), 09/25/2065 | 799,028 | 0.4 | ||||||||||
260,514 | (1) | Scholar Funding Trust 2010-A A, 3.109%, (US0003M + 0.750%), 10/28/2041 | 259,778 | 0.1 | ||||||||||
581,923 | (1) | SLM Student Loan Trust 2003-1 A5A, 2.451%, (US0003M + 0.110%), 12/15/2032 | 559,592 | 0.3 | ||||||||||
759,072 | (1) | SLM Student Loan Trust 2003-7A A5A, 3.541%, (US0003M + 1.200%), 12/15/2033 | 769,245 | 0.4 | ||||||||||
550,000 | (1) | SLM Student Loan Trust 2004-8A A6, 2.990%, (US0003M + 0.630%), 01/25/2040 | 553,749 | 0.2 | ||||||||||
562,133 | SLM Student Loan Trust 2005-4 A3, 2.480%, (US0003M + 0.120%), 01/25/2027 | 560,295 | 0.3 | |||||||||||
300,523 | SLM Student Loan Trust 2007-1 A5, 2.450%, (US0003M + 0.090%), 01/26/2026 | 299,794 | 0.1 | |||||||||||
750,000 | SLM Student Loan Trust 2007-2 A4, 2.420%, (US0003M + 0.060%), 07/25/2022 | 733,801 | 0.3 | |||||||||||
396,945 | SLM Student Loan Trust 2007-7 A4, 2.690%, (US0003M + 0.330%), 01/25/2022 | 389,463 | 0.2 | |||||||||||
143,502 | SLM Student Loan Trust 2008-2 A3, 3.110%, (US0003M + 0.750%), 04/25/2023 | 143,262 | 0.1 | |||||||||||
398,522 | SLM Student Loan Trust 2008-4 A4, 4.010%, (US0003M + 1.650%), 07/25/2022 | 407,070 | 0.2 | |||||||||||
1,085,340 | SLM Student Loan Trust 2008-5 A4, 4.060%, (US0003M + 1.700%), 07/25/2023 | 1,114,673 | 0.5 | |||||||||||
563,150 | SLM Student Loan Trust 2008-6 A4, 3.460%, (US0003M + 1.100%), 07/25/2023 | 568,194 | 0.3 | |||||||||||
ASSET-BACKED SECURITIES: (continued) | ||||||||||||||
Student Loan Asset-Backed Securities: (continued) | ||||||||||||||
350,000 | SLM Student Loan Trust 2008-8 A4, 3.860%, (US0003M + 1.500%), 04/25/2023 | $ | 358,500 | 0.2 | ||||||||||
16,934,396 | 8.1 | |||||||||||||
Total Asset-Backed Securities (Cost $38,217,737) | 38,573,155 | 18.5 | ||||||||||||
FOREIGN GOVERNMENT BONDS: 2.4% | ||||||||||||||
130,000 | (11),(12) | Argentina Government International Bond, 2.500% (Step Rate @ 2.500% on 03/31/2019), 12/31/2038 | 74,197 | 0.0 | ||||||||||
EUR 10,000 | (12) | Argentine Republic Government International Bond, 2.260% (Step Rate @ 2.260% on 03/31/2019), 12/31/2038 | 6,919 | 0.0 | ||||||||||
250,000 | (1) | Ecuador Government International Bond, 7.875%, 01/23/2028 | 210,363 | 0.1 | ||||||||||
EUR 100,000 | (1) | Indonesia Government International Bond, 2.150%, 07/18/2024 | 117,849 | 0.1 | ||||||||||
1,375,000 | Israel Government AID Bond, 5.500%, 09/18/2023 | 1,548,308 | 0.7 | |||||||||||
1,039,000 | Israel Government AID Bond, 5.500%, 12/04/2023 | 1,174,890 | 0.6 | |||||||||||
13,077,500 | (2),(13) | Other Securities | 1,831,447 | 0.9 | ||||||||||
Total Foreign Government Bonds (Cost $5,295,237) | 4,963,973 | 2.4 | ||||||||||||
Total Long-Term Investments (Cost $211,644,902) | 208,844,120 | 100.3 | ||||||||||||
SHORT-TERM INVESTMENTS: 17.8% | ||||||||||||||
Commercial Paper: 6.8% | ||||||||||||||
450,000 | AT&T INC Disc, 2.710%, 10/09/2018 | 446,647 | 0.2 | |||||||||||
500,000 | Duke Energy, 2.530%, 08/27/2018 | 497,995 | 0.2 | |||||||||||
420,000 | Eastman, 2.660%, 07/06/2018 | 419,816 | 0.2 | |||||||||||
523,000 | Hewlett, 2.150%, 07/11/2018 | 522,661 | 0.2 | |||||||||||
523,000 | Hewlett, 2.160%, 07/10/2018 | 522,690 | 0.3 | |||||||||||
419,000 | HP INC, 2.090%, 07/23/2018 | 418,449 | 0.2 | |||||||||||
1,000,000 | Marriott, 2.470%, 07/31/2018 | 997,905 | 0.5 | |||||||||||
950,000 | Mondelez Intl, 2.650%, 10/02/2018 | 943,570 | 0.5 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: (continued) | ||||||||||||||
Commercial Paper: (continued) | ||||||||||||||
316,000 | Nutrien, 2.690%, 07/18/2018 | $ | 315,581 | 0.1 | ||||||||||
250,000 | Nutrien Ltd DI, 2.700%, 07/16/2018 | 249,704 | 0.1 | |||||||||||
500,000 | Schlumberger, 2.420%, 08/22/2018 | 498,251 | 0.2 | |||||||||||
1,000,000 | Schlumberger, 2.530%, 09/21/2018 | 994,274 | 0.5 | |||||||||||
250,000 | Sempra, 2.470%, 07/31/2018 | 249,476 | 0.1 | |||||||||||
418,000 | Southern, 2.540%, 08/30/2018 | 416,231 | 0.2 | |||||||||||
319,000 | Suncor, 3.020%, 07/03/2018 | 318,921 | 0.2 | |||||||||||
600,000 | Suncor Energy, 2.520%, 08/21/2018 | 597,854 | 0.3 | |||||||||||
1,112,000 | United Overseas, 2.170%, 07/27/2018 | 1,110,222 | 0.5 | |||||||||||
1,214,000 | Versailles, 2.300%, 07/09/2018 | 1,213,312 | 0.6 | |||||||||||
2,000,000 | Victory Receivables, 2.380%, 10/02/2018 | 1,987,792 | 1.0 | |||||||||||
695,000 | VW, 2.500%, 08/13/2018 | 692,911 | 0.3 | |||||||||||
750,000 | VW Credit, 2.610%, 09/20/2018 | 745,630 | 0.4 | |||||||||||
14,159,892 | 6.8 | |||||||||||||
Securities Lending Collateral(14): 0.1% | ||||||||||||||
217,674 | National Bank Financial, Repurchase Agreement dated 06/29/18, 2.01%, due 07/02/18 (Repurchase Amount $217,710, collateralized by various U.S. Government Securities, 0.000%–6.000%, Market Value plus accrued interest $222,028, due 09/06/18–09/09/49) (Cost $217,674) | 217,674 | 0.1 | |||||||||||
Shares | | | | Value | | Percentage of Net Assets | ||||||||
SHORT-TERM INVESTMENTS: (continued) | ||||||||||||||
Mutual Funds: 10.9% | ||||||||||||||
22,726,023 | (15) | BlackRock Liquidity Funds, FedFund, Institutional Class, 1.800% (Cost $22,726,023) | $ | 22,726,023 | 10.9 | |||||||||
Total Short-Term Investments (Cost $37,103,960) | 37,103,589 | 17.8 | ||||||||||||
Total Investments in Securities (Cost $248,748,862) | $ | 245,947,709 | 118.1 | |||||||||||
Liabilities in Excess of Other Assets | (37,691,022 | ) | (18.1 | ) | ||||||||||
Net Assets | $ | 208,256,687 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
(1) | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
(2) | The grouping contains securities in default. |
(3) | Variable rate security. Rate shown is the rate in effect as of June 30, 2018. |
(4) | Represents a zero coupon bond. Rate shown reflects the effective yield as of June 30, 2018. |
(5) | Security, or a portion of the security, is on loan. |
(6) | 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. |
(7) | For fair value measurement disclosure purposes, security is categorized as Level 3, whose value was determined using significant unobservable inputs. |
(8) | Separate Trading of Registered Interest and Principal of Securities |
(9) | 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. |
(10) | Settlement is on a when-issued or delayed-delivery basis. |
(11) | Defaulted security |
(12) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rates shown reflect the current and next coupon rate as of June 30, 2018. |
(13) | The grouping contains securities on loan. |
(14) | Represents securities purchased with cash collateral received for securities on loan. |
(15) | Rate shown is the 7-day yield as of June 30, 2018. |
EGP | Egyptian Pound | |
EUR | EU Euro | |
GBP | British Pound | |
MXN | Mexican Peso | |
ZAR | South African Rand |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
12MTA 12-month Treasury Average
BP0003M 3-month GBP-LIBOR
EUR003M 3-month EURIBOR
US0001M 1-month LIBOR
US0003M 3-month LIBOR
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, 2018 | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | |||||||||||||||||||||
Investments, at fair value | |||||||||||||||||||||
Corporate Bonds/Notes | $ | — | $ | 62,143,897 | $ | — | $ | 62,143,897 | |||||||||||||
Collateralized Mortgage Obligations | — | 6,504,350 | 677,625 | 7,181,975 | |||||||||||||||||
Municipal Bonds | — | 2,443,288 | — | 2,443,288 | |||||||||||||||||
Structured Products | — | 813,587 | — | 813,587 | |||||||||||||||||
Commercial Mortgage-Backed Securities | — | 1,399,993 | — | 1,399,993 | |||||||||||||||||
U.S. Treasury Obligations | — | 32,183,293 | — | 32,183,293 | |||||||||||||||||
Asset-Backed Securities | — | 38,573,155 | — | 38,573,155 | |||||||||||||||||
U.S. Government Agency Obligations | — | 59,140,959 | — | 59,140,959 | |||||||||||||||||
Foreign Government Bonds | — | 4,963,973 | — | 4,963,973 | |||||||||||||||||
Short-Term Investments | 22,726,023 | 14,377,566 | — | 37,103,589 | |||||||||||||||||
Total Investments, at fair value | $ | 22,726,023 | $ | 222,544,061 | $ | 677,625 | $ | 245,947,709 | |||||||||||||
Other Financial Instruments+ | |||||||||||||||||||||
Centrally Cleared Swaps | — | 966,943 | — | 966,943 | |||||||||||||||||
Forward Foreign Currency Contracts | — | 788,493 | — | 788,493 | |||||||||||||||||
Futures | 458,373 | — | — | 458,373 | |||||||||||||||||
Total Assets | $ | 23,184,396 | $ | 224,299,497 | $ | 677,625 | $ | 248,161,518 | |||||||||||||
Liabilities Table | |||||||||||||||||||||
Other Financial Instruments+ | |||||||||||||||||||||
Centrally Cleared Swaps | $ | — | $ | (1,031,100 | ) | $ | — | $ | (1,031,100 | ) | |||||||||||
Forward Foreign Currency Contracts | — | (1,778,900 | ) | — | (1,778,900 | ) | |||||||||||||||
Futures | (41,538 | ) | — | — | (41,538 | ) | |||||||||||||||
OTC Swaps | — | (378,727 | ) | — | (378,727 | ) | |||||||||||||||
Sales Commitments | — | (5,123,731 | ) | — | (5,123,731 | ) | |||||||||||||||
Total Liabilities | $ | (41,538 | ) | $ | (8,312,458 | ) | $ | — | $ | (8,353,996 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments may include open forward foreign currency contracts, futures, centrally cleared swaps, OTC swaps and written options. Forward foreign currency contracts, futures and centrally cleared swaps are 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 182,786 | BRL 677,059 | Bank of America N.A. | 07/03/18 | $ | 8,095 | |||||||||
BRL 692,451 | USD 184,962 | Bank of America N.A. | 07/03/18 | (6,300 | ) | |||||||||
BRL 712,225 | USD 189,030 | Bank of America N.A. | 07/03/18 | (5,265 | ) | |||||||||
BRL 708,786 | USD 189,028 | Bank of America N.A. | 07/03/18 | (6,151 | ) | |||||||||
BRL 705,858 | USD 189,024 | Bank of America N.A. | 07/03/18 | (6,903 | ) | |||||||||
BRL 707,564 | USD 187,688 | Bank of America N.A. | 07/03/18 | (5,126 | ) | |||||||||
USD 186,965 | BRL 705,860 | Bank of America N.A. | 07/03/18 | 4,843 | ||||||||||
USD 187,047 | BRL 710,687 | Bank of America N.A. | 07/03/18 | 3,680 | ||||||||||
BRL 698,701 | USD 185,015 | Bank of America N.A. | 07/03/18 | (4,740 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
USD 188,029 | INR 12,930,735 | Bank of America N.A. | 07/19/18 | $ | (356 | ) | ||||||||
BRL 637,191 | USD 164,386 | Bank of America N.A. | 08/02/18 | (584 | ) | |||||||||
USD 629,841 | ZAR 7,919,556 | Bank of America N.A. | 08/08/18 | 55,249 | ||||||||||
USD 418,298 | GBP 313,955 | Bank of America N.A. | 08/14/18 | 3,144 | ||||||||||
ARS 13,674,180 | USD 556,993 | Bank of America N.A. | 08/15/18 | (105,403 | ) | |||||||||
ARS 10,939,040 | USD 412,017 | Bank of America N.A. | 08/17/18 | (51,452 | ) | |||||||||
EUR 159,053 | JPY 20,396,620 | Bank of America N.A. | 09/19/18 | 1,607 | ||||||||||
EUR 163,013 | HUF 53,645,062 | Bank of America N.A. | 09/19/18 | 385 | ||||||||||
EUR 63,079 | PLN 271,264 | Bank of America N.A. | 09/19/18 | 1,595 | ||||||||||
ZAR 2,566,471 | USD 187,981 | Bank of America N.A. | 09/19/18 | (2,812 | ) | |||||||||
USD 189,004 | ZAR 2,644,182 | Bank of America N.A. | 09/19/18 | (1,772 | ) | |||||||||
PLN 5,295,313 | EUR 1,232,557 | Bank of America N.A. | 09/19/18 | (32,536 | ) | |||||||||
AUD 251,010 | NZD 270,238 | Bank of America N.A. | 09/19/18 | 2,759 | ||||||||||
USD 376,911 | JPY 41,086,159 | Bank of America N.A. | 09/19/18 | 3,742 | ||||||||||
GBP 54,853 | AUD 97,106 | Bank of America N.A. | 09/19/18 | 769 | ||||||||||
EUR 157,101 | NZD 263,631 | Bank of America N.A. | 09/19/18 | 5,996 | ||||||||||
GBP 138,086 | USD 184,763 | Bank of America N.A. | 09/19/18 | (1,875 | ) | |||||||||
EUR 157,098 | NZD 262,962 | Bank of America N.A. | 09/19/18 | 6,447 | ||||||||||
NOK 1,209,419 | EUR 127,974 | Bank of America N.A. | 09/19/18 | (1,379 | ) | |||||||||
EUR 157,111 | USD 184,886 | Bank of America N.A. | 09/19/18 | (306 | ) | |||||||||
EUR 156,993 | USD 185,385 | Bank of America N.A. | 09/19/18 | (944 | ) | |||||||||
MXN 2,610,551 | USD 126,018 | Bank of America N.A. | 09/19/18 | 3,795 | ||||||||||
NOK 1,501,612 | EUR 158,898 | Bank of America N.A. | 09/19/18 | (1,719 | ) | |||||||||
USD 367,662 | NZD 532,983 | Bank of America N.A. | 09/19/18 | 6,645 | ||||||||||
EUR 318,094 | NZD 533,664 | Bank of America N.A. | 09/19/18 | 12,229 | ||||||||||
SEK 1,622,653 | EUR 159,022 | Bank of America N.A. | 09/19/18 | (4,552 | ) | |||||||||
AUD 3,466,802 | USD 2,585,403 | Bank of America N.A. | 09/19/18 | (19,169 | ) | |||||||||
AUD 252,770 | EUR 160,078 | Bank of America N.A. | 09/19/18 | (958 | ) | |||||||||
USD 251,974 | NZD 364,391 | Bank of America N.A. | 09/19/18 | 5,153 | ||||||||||
AUD 108,208 | GBP 60,514 | Bank of America N.A. | 09/19/18 | (50 | ) | |||||||||
USD 527,663 | CLP 332,939,666 | Barclays Bank PLC | 07/05/18 | 18,106 | ||||||||||
CLP 116,804,596 | USD 185,995 | Barclays Bank PLC | 07/05/18 | (7,228 | ) | |||||||||
USD 734,453 | KRW 821,860,721 | Barclays Bank PLC | 07/09/18 | (3,177 | ) | |||||||||
KRW 212,391,313 | USD 192,053 | Barclays Bank PLC | 07/09/18 | (1,429 | ) | |||||||||
TWD 5,503,166 | USD 185,918 | Barclays Bank PLC | 07/09/18 | (5,319 | ) | |||||||||
KRW 204,973,895 | USD 184,994 | Barclays Bank PLC | 07/09/18 | (1,028 | ) | |||||||||
USD 186,061 | TWD 5,522,838 | Barclays Bank PLC | 07/09/18 | 4,816 | ||||||||||
INR 42,984,219 | USD 630,433 | Barclays Bank PLC | 07/11/18 | (3,636 | ) | |||||||||
USD 370,130 | TWD 11,132,018 | Barclays Bank PLC | 07/16/18 | 4,573 | ||||||||||
USD 184,989 | TWD 5,506,206 | Barclays Bank PLC | 07/16/18 | 4,175 | ||||||||||
USD 842,812 | TWD 25,602,931 | Barclays Bank PLC | 07/16/18 | 2,055 | ||||||||||
INR 12,501,483 | USD 182,904 | Barclays Bank PLC | 07/19/18 | (773 | ) | |||||||||
COP 767,006,328 | USD 262,494 | Barclays Bank PLC | 07/26/18 | (1,079 | ) | |||||||||
USD 187,071 | COP 550,363,559 | Barclays Bank PLC | 07/26/18 | (506 | ) | |||||||||
KRW 821,860,721 | USD 734,742 | Barclays Bank PLC | 07/26/18 | 3,470 | ||||||||||
TWD 11,090,985 | USD 373,963 | Barclays Bank PLC | 07/27/18 | (9,387 | ) | |||||||||
TWD 11,186,063 | USD 369,971 | Barclays Bank PLC | 07/27/18 | (2,270 | ) | |||||||||
USD 184,977 | TWD 5,513,048 | Barclays Bank PLC | 07/27/18 | 3,756 | ||||||||||
USD 332,062 | TWD 9,823,390 | Barclays Bank PLC | 07/27/18 | 9,154 | ||||||||||
USD 370,031 | TWD 11,160,878 | Barclays Bank PLC | 07/27/18 | 3,158 | ||||||||||
USD 189,017 | BRL 728,059 | Barclays Bank PLC | 08/02/18 | 1,856 | ||||||||||
ARS 3,024,869 | USD 124,225 | Barclays Bank PLC | 08/10/18 | (23,846 | ) | |||||||||
USD 623,583 | GBP 468,516 | Barclays Bank PLC | 08/14/18 | 4,048 | ||||||||||
USD 279,488 | GBP 208,720 | Barclays Bank PLC | 08/14/18 | 3,490 | ||||||||||
ARS 15,574,064 | USD 576,710 | Barclays Bank PLC | 08/15/18 | (62,377 | ) | |||||||||
USD 824,553 | MXN 17,273,652 | Barclays Bank PLC | 09/19/18 | (34,402 | ) | |||||||||
EUR 159,103 | USD 185,925 | Barclays Bank PLC | 09/19/18 | 995 | ||||||||||
USD 568,000 | HKD 4,405,522 | Barclays Bank PLC | 09/19/18 | 5,722 | ||||||||||
TRY 355,434 | USD 74,084 | Barclays Bank PLC | 09/19/18 | 710 | ||||||||||
JPY 20,293,038 | USD 185,088 | Barclays Bank PLC | 09/19/18 | (775 | ) | |||||||||
ZAR 2,573,093 | USD 185,008 | Barclays Bank PLC | 09/19/18 | 639 | ||||||||||
MXN 7,779,251 | USD 369,915 | Barclays Bank PLC | 09/19/18 | 16,919 | ||||||||||
GBP 140,394 | EUR 159,908 | Barclays Bank PLC | 09/19/18 | (1,921 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPY 40,795,308 | USD 371,000 | Barclays Bank PLC | 09/19/18 | $ | (473 | ) | ||||||||
NOK 1,500,537 | USD 184,947 | Barclays Bank PLC | 09/19/18 | (120 | ) | |||||||||
USD 73,987 | TRY 365,732 | Barclays Bank PLC | 09/19/18 | (2,975 | ) | |||||||||
USD 379,000 | HKD 2,939,885 | Barclays Bank PLC | 09/19/18 | 3,782 | ||||||||||
USD 148,004 | TRY 733,440 | Barclays Bank PLC | 09/19/18 | (6,335 | ) | |||||||||
USD 186,928 | ZAR 2,588,328 | Barclays Bank PLC | 09/19/18 | 182 | ||||||||||
USD 186,953 | ZAR 2,598,376 | Barclays Bank PLC | 09/19/18 | (518 | ) | |||||||||
USD 111,004 | TRY 550,028 | Barclays Bank PLC | 09/19/18 | (4,740 | ) | |||||||||
GBP 269,209 | EUR 304,512 | Barclays Bank PLC | 09/19/18 | (1,199 | ) | |||||||||
TRY 356,720 | USD 74,973 | Barclays Bank PLC | 09/19/18 | 93 | ||||||||||
USD 186,812 | EUR 159,900 | Barclays Bank PLC | 09/19/18 | (1,045 | ) | |||||||||
GBP 139,881 | EUR 159,119 | Barclays Bank PLC | 09/19/18 | (1,673 | ) | |||||||||
JPY 20,155,121 | USD 185,000 | Barclays Bank PLC | 09/19/18 | (1,939 | ) | |||||||||
JPY 40,359,485 | USD 370,089 | Barclays Bank PLC | 09/19/18 | (3,520 | ) | |||||||||
USD 188,031 | TRY 905,184 | Barclays Bank PLC | 09/19/18 | (2,449 | ) | |||||||||
USD 185,094 | CNH 1,211,093 | Barclays Bank PLC | 09/19/18 | 3,087 | ||||||||||
ZAR 1,674,682 | USD 121,630 | Barclays Bank PLC | 09/19/18 | (803 | ) | |||||||||
HUF 155,480,680 | EUR 478,476 | Barclays Bank PLC | 09/19/18 | (8,177 | ) | |||||||||
ZAR 2,605,524 | USD 187,949 | Barclays Bank PLC | 09/19/18 | 38 | ||||||||||
ZAR 33,316,423 | USD 2,497,464 | Barclays Bank PLC | 09/19/18 | (93,707 | ) | |||||||||
TRY 713,497 | USD 148,116 | Barclays Bank PLC | 09/19/18 | 2,027 | ||||||||||
GBP 497,201 | USD 668,099 | Barclays Bank PLC | 09/19/18 | (9,583 | ) | |||||||||
USD 188,420 | TRY 890,883 | Barclays Bank PLC | 09/19/18 | 950 | ||||||||||
ZAR 2,515,908 | USD 185,004 | Barclays Bank PLC | 09/19/18 | (3,483 | ) | |||||||||
USD 186,588 | EUR 159,900 | Barclays Bank PLC | 09/19/18 | (1,269 | ) | |||||||||
SEK 1,618,761 | EUR 159,096 | Barclays Bank PLC | 09/19/18 | (5,076 | ) | |||||||||
USD 617,828 | ARS 17,187,970 | Citibank N.A. | 07/03/18 | 23,602 | ||||||||||
USD 104,457 | ARS 2,213,438 | Citibank N.A. | 07/05/18 | 28,101 | ||||||||||
ARS 1,673,028 | USD 78,694 | Citibank N.A. | 07/19/18 | (21,864 | ) | |||||||||
USD 72,298 | IDR 1,018,721,310 | Citibank N.A. | 07/23/18 | 1,289 | ||||||||||
USD 187,936 | KRW 210,018,033 | Citibank N.A. | 07/26/18 | (707 | ) | |||||||||
TWD 5,715,800 | USD 193,960 | Citibank N.A. | 07/27/18 | (6,074 | ) | |||||||||
USD 190,621 | IDR 2,660,644,769 | Citibank N.A. | 07/27/18 | 5,203 | ||||||||||
IDR 1,498,001,000 | USD 104,006 | Citibank N.A. | 07/27/18 | 388 | ||||||||||
USD 187,938 | TWD 5,713,972 | Citibank N.A. | 07/27/18 | 112 | ||||||||||
ARS 17,187,970 | USD 600,139 | Citibank N.A. | 07/31/18 | (24,088 | ) | |||||||||
USD 244,400 | GBP 183,626 | Citibank N.A. | 08/14/18 | 1,585 | ||||||||||
RUB 2,668,529 | USD 41,911 | Citibank N.A. | 08/15/18 | 379 | ||||||||||
USD 184,985 | RUB 11,875,402 | Citibank N.A. | 08/20/18 | (3,105 | ) | |||||||||
EUR 144,000 | USD 168,055 | Citibank N.A. | 08/31/18 | 875 | ||||||||||
USD 75,362 | TRY 361,732 | Citibank N.A. | 09/19/18 | (758 | ) | |||||||||
NZD 276,154 | AUD 255,057 | Citibank N.A. | 09/19/18 | (1,747 | ) | |||||||||
EUR 162,915 | SEK 1,697,456 | Citibank N.A. | 09/19/18 | 724 | ||||||||||
USD 184,584 | AUD 248,030 | Citibank N.A. | 09/19/18 | 985 | ||||||||||
EUR 157,077 | CZK 4,049,843 | Citibank N.A. | 09/19/18 | 1,703 | ||||||||||
EUR 159,919 | PLN 695,823 | Citibank N.A. | 09/19/18 | 1,875 | ||||||||||
NOK 609,786 | USD 75,019 | Citibank N.A. | 09/19/18 | 91 | ||||||||||
USD 188,029 | NOK 1,525,158 | Citibank N.A. | 09/19/18 | 168 | ||||||||||
USD 189,305 | NZD 280,201 | Citibank N.A. | 09/19/18 | (490 | ) | |||||||||
PLN 378,322 | EUR 88,201 | Citibank N.A. | 09/19/18 | (2,490 | ) | |||||||||
SEK 2,495,948 | EUR 239,117 | Citibank N.A. | 09/19/18 | (554 | ) | |||||||||
SEK 10,055,621 | EUR 980,391 | Citibank N.A. | 09/19/18 | (22,253 | ) | |||||||||
USD 374,920 | AUD 510,985 | Citibank N.A. | 09/19/18 | (3,327 | ) | |||||||||
AUD 75,347 | EUR 47,480 | Citibank N.A. | 09/19/18 | (7 | ) | |||||||||
EUR 319,105 | NZD 538,288 | Citibank N.A. | 09/19/18 | 10,285 | ||||||||||
SEK 1,242,570 | EUR 121,094 | Citibank N.A. | 09/19/18 | (2,688 | ) | |||||||||
EUR 63,659 | NOK 602,746 | Citibank N.A. | 09/19/18 | 546 | ||||||||||
EUR 94,889 | SEK 974,864 | Citibank N.A. | 09/19/18 | 1,973 | ||||||||||
SEK 1,246,106 | EUR 120,613 | Citibank N.A. | 09/19/18 | (1,726 | ) | |||||||||
SEK 1,615,101 | EUR 159,046 | Citibank N.A. | 09/19/18 | (5,430 | ) | |||||||||
USD 719,288 | CNH 4,641,380 | Citibank N.A. | 09/19/18 | 21,763 | ||||||||||
NZD 513,564 | USD 357,018 | Citibank N.A. | 09/19/18 | (9,154 | ) | |||||||||
SEK 21,686,663 | EUR 2,139,853 | Citibank N.A. | 09/19/18 | (77,920 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
GBP 67,558 | USD 90,418 | Citibank N.A. | 09/19/18 | $ | (941 | ) | ||||||||
CAD 241,344 | USD 184,975 | Citibank N.A. | 09/19/18 | (1,146 | ) | |||||||||
SEK 21,708,246 | EUR 2,134,968 | Citibank N.A. | 09/19/18 | (69,756 | ) | |||||||||
EUR 238,760 | SEK 2,422,932 | Citibank N.A. | 09/19/18 | 8,336 | ||||||||||
USD 368,173 | AUD 487,014 | Citibank N.A. | 09/19/18 | 7,670 | ||||||||||
USD 91,323 | GBP 68,364 | Citibank N.A. | 09/19/18 | 779 | ||||||||||
CLP 106,965,879 | USD 164,386 | Credit Suisse International | 08/06/18 | (663 | ) | |||||||||
ZAR 2,592,381 | USD 187,914 | Credit Suisse International | 09/19/18 | (875 | ) | |||||||||
IDR 14,704,132,549 | USD 1,034,482 | Deutsche Bank AG | 07/02/18 | (8,374 | ) | |||||||||
BRL 1,395,156 | USD 369,823 | Deutsche Bank AG | 07/03/18 | (9,852 | ) | |||||||||
BRL 712,809 | USD 185,991 | Deutsche Bank AG | 07/03/18 | (2,076 | ) | |||||||||
ARS 17,187,970 | USD 810,945 | Deutsche Bank AG | 07/03/18 | (216,719 | ) | |||||||||
USD 187,047 | BRL 716,859 | Deutsche Bank AG | 07/03/18 | 2,087 | ||||||||||
BRL 711,693 | USD 185,991 | Deutsche Bank AG | 07/03/18 | (2,363 | ) | |||||||||
CLP 216,135,070 | USD 338,451 | Deutsche Bank AG | 07/05/18 | (7,661 | ) | |||||||||
KRW 198,249,136 | USD 186,045 | Deutsche Bank AG | 07/09/18 | (8,113 | ) | |||||||||
ARS 6,685,952 | USD 314,929 | Deutsche Bank AG | 07/12/18 | (86,054 | ) | |||||||||
USD 338,451 | CLP 216,135,070 | Deutsche Bank AG | 07/18/18 | 7,647 | ||||||||||
USD 116,058 | INR 7,919,685 | Deutsche Bank AG | 07/19/18 | 678 | ||||||||||
USD 185,085 | INR 12,591,303 | Deutsche Bank AG | 07/19/18 | 1,645 | ||||||||||
USD 56,493 | INR 3,857,897 | Deutsche Bank AG | 07/19/18 | 288 | ||||||||||
INR 13,238,579 | USD 193,806 | Deutsche Bank AG | 07/19/18 | (937 | ) | |||||||||
USD 99,077 | TWD 2,932,677 | Deutsche Bank AG | 07/27/18 | 2,676 | ||||||||||
USD 187,917 | IDR 2,664,284,674 | Deutsche Bank AG | 07/27/18 | 2,246 | ||||||||||
USD 197,364 | KRW 219,821,559 | Deutsche Bank AG | 07/31/18 | (131 | ) | |||||||||
USD 188,076 | KRW 210,701,554 | Deutsche Bank AG | 07/31/18 | (1,225 | ) | |||||||||
KRW 665,136,510 | USD 598,117 | Deutsche Bank AG | 08/03/18 | (462 | ) | |||||||||
USD 184,961 | THB 6,072,546 | Deutsche Bank AG | 08/14/18 | 1,461 | ||||||||||
USD 554,906 | CAD 736,551 | Deutsche Bank AG | 09/19/18 | (6,117 | ) | |||||||||
USD 447,586 | CNH 2,871,889 | Deutsche Bank AG | 09/19/18 | 15,987 | ||||||||||
HKD 3,406,372 | USD 434,815 | Deutsche Bank AG | 09/19/18 | (59 | ) | |||||||||
AUD 253,985 | USD 188,609 | Deutsche Bank AG | 09/19/18 | (602 | ) | |||||||||
GBP 3,259,875 | USD 4,346,255 | Deutsche Bank AG | 09/19/18 | (28,720 | ) | |||||||||
USD 367,169 | AUD 498,932 | Deutsche Bank AG | 09/19/18 | (2,156 | ) | |||||||||
USD 323,836 | CAD 426,636 | Deutsche Bank AG | 09/19/18 | (1,128 | ) | |||||||||
USD 188,213 | EUR 160,967 | Deutsche Bank AG | 09/19/18 | (897 | ) | |||||||||
NOK 605,390 | EUR 63,937 | Deutsche Bank AG | 09/19/18 | (546 | ) | |||||||||
USD 10,180 | HKD 79,806 | Deutsche Bank AG | 09/19/18 | (6 | ) | |||||||||
NZD 274,742 | AUD 254,891 | Deutsche Bank AG | 09/19/18 | (2,581 | ) | |||||||||
HKD 9,828,464 | USD 1,257,561 | Deutsche Bank AG | 09/19/18 | (3,151 | ) | |||||||||
AUD 255,070 | USD 188,416 | Deutsche Bank AG | 09/19/18 | 394 | ||||||||||
JPY 40,595,976 | USD 369,920 | Deutsche Bank AG | 09/19/18 | (1,204 | ) | |||||||||
EUR 156,980 | GBP 138,064 | Deutsche Bank AG | 09/19/18 | 1,567 | ||||||||||
BRL 559,558 | USD 148,503 | JPMorgan Chase Bank N.A. | 07/03/18 | (4,129 | ) | |||||||||
ARS 2,213,438 | USD 104,709 | JPMorgan Chase Bank N.A. | 07/05/18 | (28,353 | ) | |||||||||
ARS 8,978,769 | USD 351,420 | JPMorgan Chase Bank N.A. | 07/05/18 | (41,682 | ) | |||||||||
KRW 206,246,377 | USD 186,486 | JPMorgan Chase Bank N.A. | 07/09/18 | (1,378 | ) | |||||||||
USD 743,959 | INR 50,485,049 | JPMorgan Chase Bank N.A. | 07/11/18 | 7,784 | ||||||||||
USD 185,044 | INR 12,673,661 | JPMorgan Chase Bank N.A. | 07/19/18 | 405 | ||||||||||
COP 157,870,691 | USD 53,957 | JPMorgan Chase Bank N.A. | 07/23/18 | (144 | ) | |||||||||
USD 336,826 | KRW 373,894,752 | JPMorgan Chase Bank N.A. | 07/26/18 | 986 | ||||||||||
USD 186,652 | KRW 208,312,820 | JPMorgan Chase Bank N.A. | 07/26/18 | (459 | ) | |||||||||
USD 1,380,298 | KRW 1,541,792,517 | JPMorgan Chase Bank N.A. | 07/26/18 | (4,573 | ) | |||||||||
USD 190,824 | KRW 213,171,622 | JPMorgan Chase Bank N.A. | 07/26/18 | (651 | ) | |||||||||
USD 370,007 | TWD 11,153,423 | JPMorgan Chase Bank N.A. | 07/27/18 | 3,380 | ||||||||||
IDR 1,092,732,736 | USD 76,661 | JPMorgan Chase Bank N.A. | 07/27/18 | (510 | ) | |||||||||
TWD 6,717,684 | USD 221,142 | JPMorgan Chase Bank N.A. | 07/27/18 | (322 | ) | |||||||||
USD 148,094 | BRL 559,558 | JPMorgan Chase Bank N.A. | 08/02/18 | 4,249 | ||||||||||
ARS 2,004,961 | USD 76,848 | JPMorgan Chase Bank N.A. | 08/17/18 | (10,762 | ) | |||||||||
COP 2,767,110,827 | USD 944,471 | JPMorgan Chase Bank N.A. | 08/22/18 | (2,566 | ) | |||||||||
USD 1,292,600 | EUR 1,090,811 | JPMorgan Chase Bank N.A. | 08/31/18 | 12,948 | ||||||||||
NOK 1,574,539 | USD 193,543 | JPMorgan Chase Bank N.A. | 09/19/18 | 400 | ||||||||||
CNH 1,247,074 | USD 187,914 | JPMorgan Chase Bank N.A. | 09/19/18 | (498 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NOK 3,079,515 | USD 376,995 | JPMorgan Chase Bank N.A. | 09/19/18 | $ | 2,322 | |||||||||
NOK 3,913,875 | EUR 410,482 | JPMorgan Chase Bank N.A. | 09/19/18 | (160 | ) | |||||||||
TRY 2,024,868 | USD 418,863 | JPMorgan Chase Bank N.A. | 09/19/18 | 7,234 | ||||||||||
EUR 341,934 | SEK 3,518,477 | JPMorgan Chase Bank N.A. | 09/19/18 | 6,487 | ||||||||||
EUR 313,993 | GBP 275,381 | JPMorgan Chase Bank N.A. | 09/19/18 | 4,163 | ||||||||||
SGD 497,488 | EUR 314,007 | JPMorgan Chase Bank N.A. | 09/19/18 | (3,153 | ) | |||||||||
NZD 4,570,479 | USD 3,213,412 | JPMorgan Chase Bank N.A. | 09/19/18 | (117,587 | ) | |||||||||
USD 72,433 | NOK 585,114 | JPMorgan Chase Bank N.A. | 09/19/18 | 362 | ||||||||||
USD 189,391 | GBP 143,044 | JPMorgan Chase Bank N.A. | 09/19/18 | (64 | ) | |||||||||
JPY 19,101,581 | USD 174,557 | JPMorgan Chase Bank N.A. | 09/19/18 | (1,065 | ) | |||||||||
GBP 133,356 | EUR 150,951 | JPMorgan Chase Bank N.A. | 09/19/18 | (720 | ) | |||||||||
USD 4,381,977 | EUR 3,746,817 | JPMorgan Chase Bank N.A. | 09/19/18 | (19,917 | ) | |||||||||
USD 329,582 | EUR 282,332 | JPMorgan Chase Bank N.A. | 09/19/18 | (2,112 | ) | |||||||||
EUR 954,320 | GBP 837,129 | JPMorgan Chase Bank N.A. | 09/19/18 | 12,435 | ||||||||||
MXN 1,561,900 | USD 73,486 | JPMorgan Chase Bank N.A. | 09/19/18 | 4,182 | ||||||||||
HUF 51,856,662 | EUR 160,045 | JPMorgan Chase Bank N.A. | 09/19/18 | (3,269 | ) | |||||||||
AUD 233,114 | NZD 250,210 | JPMorgan Chase Bank N.A. | 09/19/18 | 3,078 | ||||||||||
CAD 242,549 | USD 184,932 | JPMorgan Chase Bank N.A. | 09/19/18 | (185 | ) | |||||||||
AUD 500,965 | USD 372,512 | JPMorgan Chase Bank N.A. | 09/19/18 | (1,683 | ) | |||||||||
USD 1,254,368 | EUR 1,070,566 | JPMorgan Chase Bank N.A. | 09/19/18 | (3,371 | ) | |||||||||
JPY 115,478,484 | USD 1,052,368 | JPMorgan Chase Bank N.A. | 09/19/18 | (3,524 | ) | |||||||||
SGD 284,665 | USD 208,446 | JPMorgan Chase Bank N.A. | 09/19/18 | 840 | ||||||||||
USD 185,224 | EUR 158,979 | JPMorgan Chase Bank N.A. | 09/19/18 | (1,550 | ) | |||||||||
EUR 314,000 | USD 373,508 | JPMorgan Chase Bank N.A. | 09/19/18 | (4,609 | ) | |||||||||
EUR 314,000 | USD 370,815 | JPMorgan Chase Bank N.A. | 09/19/18 | (1,916 | ) | |||||||||
USD 102,701 | BRL 385,541 | Morgan Stanley & Co. International PLC | 07/03/18 | 3,226 | ||||||||||
USD 186,020 | BRL 693,018 | Morgan Stanley & Co. International PLC | 07/03/18 | 7,211 | ||||||||||
USD 185,936 | BRL 694,249 | Morgan Stanley & Co. International PLC | 07/03/18 | 6,810 | ||||||||||
USD 1,289,835 | BRL 4,845,912 | Morgan Stanley & Co. International PLC | 07/03/18 | 39,520 | ||||||||||
BRL 857,637 | USD 222,936 | Morgan Stanley & Co. International PLC | 07/03/18 | (1,654 | ) | |||||||||
USD 187,039 | BRL 707,897 | Morgan Stanley & Co. International PLC | 07/03/18 | 4,391 | ||||||||||
BRL 1,398,323 | USD 369,979 | Morgan Stanley & Co. International PLC | 07/03/18 | (9,191 | ) | |||||||||
BRL 611,059 | USD 160,581 | Morgan Stanley & Co. International PLC | 07/03/18 | (2,919 | ) | |||||||||
BRL 579,284 | USD 148,058 | Morgan Stanley & Co. International PLC | 07/03/18 | 1,406 | ||||||||||
USD 452,000 | BRL 1,684,771 | Morgan Stanley & Co. International PLC | 07/03/18 | 17,304 | ||||||||||
BRL 770,748 | USD 206,973 | Morgan Stanley & Co. International PLC | 07/03/18 | (8,109 | ) | |||||||||
USD 120,043 | KRW 129,130,743 | Morgan Stanley & Co. International PLC | 07/05/18 | 4,169 | ||||||||||
KRW 129,130,743 | USD 115,683 | Morgan Stanley & Co. International PLC | 07/05/18 | 192 | ||||||||||
USD 372,041 | INR 25,157,425 | Morgan Stanley & Co. International PLC | 07/11/18 | 5,195 | ||||||||||
USD 115,737 | KRW 129,130,743 | Morgan Stanley & Co. International PLC | 07/26/18 | (251 | ) | |||||||||
USD 838,045 | TWD 25,455,605 | Morgan Stanley & Co. International PLC | 07/27/18 | 1,285 | ||||||||||
IDR 25,502,030,217 | USD 1,801,627 | Morgan Stanley & Co. International PLC | 07/27/18 | (24,416 | ) | |||||||||
USD 187,968 | TWD 5,725,895 | Morgan Stanley & Co. International PLC | 07/27/18 | (249 | ) | |||||||||
USD 187,473 | TWD 5,573,014 | Morgan Stanley & Co. International PLC | 07/27/18 | 4,281 | ||||||||||
THB 5,995,407 | USD 187,491 | Morgan Stanley & Co. International PLC | 08/14/18 | (6,322 | ) | |||||||||
IDR 17,851,535,158 | USD 1,259,812 | Morgan Stanley & Co. International PLC | 08/16/18 | (19,612 | ) | |||||||||
USD 188,046 | RUB 11,878,777 | Morgan Stanley & Co. International PLC | 08/20/18 | (97 | ) | |||||||||
RUB 13,936,895 | USD 221,142 | Morgan Stanley & Co. International PLC | 08/20/18 | (400 | ) | |||||||||
USD 184,946 | RUB 11,948,095 | Morgan Stanley & Co. International PLC | 08/20/18 | (4,295 | ) | |||||||||
RUB 8,727,826 | USD 136,292 | Morgan Stanley & Co. International PLC | 08/20/18 | 1,944 | ||||||||||
RUB 4,988,008 | USD 78,253 | Morgan Stanley & Co. International PLC | 08/20/18 | 750 | ||||||||||
USD 184,960 | RUB 11,720,452 | Morgan Stanley & Co. International PLC | 08/20/18 | (676 | ) | |||||||||
SGD 306,657 | USD 225,400 | Morgan Stanley & Co. International PLC | 09/19/18 | 54 | ||||||||||
USD 370,110 | JPY 40,574,031 | Morgan Stanley & Co. International PLC | 09/19/18 | 1,592 | ||||||||||
USD 80,955 | ZAR 1,109,479 | Morgan Stanley & Co. International PLC | 09/19/18 | 907 | ||||||||||
USD 184,266 | AUD 250,086 | Morgan Stanley & Co. International PLC | 09/19/18 | (855 | ) | |||||||||
USD 375,667 | CNH 2,439,019 | Morgan Stanley & Co. International PLC | 09/19/18 | 9,122 | ||||||||||
CNH 2,429,570 | USD 369,935 | Morgan Stanley & Co. International PLC | 09/19/18 | (4,810 | ) | |||||||||
GBP 142,282 | EUR 161,107 | Morgan Stanley & Co. International PLC | 09/19/18 | (829 | ) | |||||||||
USD 185,203 | EUR 159,059 | Morgan Stanley & Co. International PLC | 09/19/18 | (1,665 | ) | |||||||||
USD 83,993 | CAD 110,925 | Morgan Stanley & Co. International PLC | 09/19/18 | (497 | ) | |||||||||
EUR 163,047 | SEK 1,697,180 | Morgan Stanley & Co. International PLC | 09/19/18 | 909 | ||||||||||
EUR 320,000 | USD 372,965 | Morgan Stanley & Co. International PLC | 09/19/18 | 2,982 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SGD 275,785 | USD 203,493 | Morgan Stanley & Co. International PLC | 09/19/18 | $ | (736 | ) | ||||||||
USD 83,538 | ZAR 1,170,886 | Morgan Stanley & Co. International PLC | 09/19/18 | (941 | ) | |||||||||
EUR 160,910 | USD 187,555 | Morgan Stanley & Co. International PLC | 09/19/18 | 1,488 | ||||||||||
USD 74,026 | MXN 1,554,104 | Morgan Stanley & Co. International PLC | 09/19/18 | (3,254 | ) | |||||||||
USD 185,000 | JPY 20,128,869 | Morgan Stanley & Co. International PLC | 09/19/18 | 2,178 | ||||||||||
USD 185,583 | GBP 137,895 | Morgan Stanley & Co. International PLC | 09/19/18 | 2,949 | ||||||||||
USD 370,929 | CNH 2,394,586 | Morgan Stanley & Co. International PLC | 09/19/18 | 11,061 | ||||||||||
USD 186,784 | EUR 157,110 | Morgan Stanley & Co. International PLC | 09/19/18 | 2,206 | ||||||||||
USD 147,536 | CAD 190,987 | Morgan Stanley & Co. International PLC | 09/19/18 | 2,063 | ||||||||||
USD 50,159 | CZK 1,085,731 | Morgan Stanley & Co. International PLC | 09/19/18 | 1,142 | ||||||||||
USD 371,018 | CNH 2,393,819 | Morgan Stanley & Co. International PLC | 09/19/18 | 11,265 | ||||||||||
EUR 157,114 | USD 184,847 | Morgan Stanley & Co. International PLC | 09/19/18 | (265 | ) | |||||||||
EUR 318,921 | CNH 2,396,566 | Morgan Stanley & Co. International PLC | 09/19/18 | 14,515 | ||||||||||
SEK 24,023,566 | EUR 2,356,846 | Morgan Stanley & Co. International PLC | 09/19/18 | (70,347 | ) | |||||||||
USD 803,185 | SGD 1,070,171 | Morgan Stanley & Co. International PLC | 09/19/18 | 16,393 | ||||||||||
HUF 50,690,047 | EUR 156,946 | Morgan Stanley & Co. International PLC | 09/19/18 | (3,786 | ) | |||||||||
USD 58,282 | CAD 75,437 | Morgan Stanley & Co. International PLC | 09/19/18 | 822 | ||||||||||
CAD 462,052 | USD 356,382 | Morgan Stanley & Co. International PLC | 09/19/18 | (4,442 | ) | |||||||||
USD 183,499 | AUD 248,925 | Morgan Stanley & Co. International PLC | 09/19/18 | (763 | ) | |||||||||
USD 144,270 | ZAR 1,996,425 | Morgan Stanley & Co. International PLC | 09/19/18 | 230 | ||||||||||
USD 377,483 | GBP 286,232 | Morgan Stanley & Co. International PLC | 09/19/18 | (1,617 | ) | |||||||||
HUF 52,205,734 | EUR 160,045 | Morgan Stanley & Co. International PLC | 09/19/18 | (2,026 | ) | |||||||||
CNH 2,442,865 | EUR 318,991 | Morgan Stanley & Co. International PLC | 09/19/18 | (7,638 | ) | |||||||||
NZD 274,956 | USD 187,181 | Morgan Stanley & Co. International PLC | 09/19/18 | (939 | ) | |||||||||
AUD 253,903 | USD 188,562 | Morgan Stanley & Co. International PLC | 09/19/18 | (616 | ) | |||||||||
USD 185,061 | ZAR 2,494,473 | Morgan Stanley & Co. International PLC | 09/19/18 | 5,086 | ||||||||||
AUD 244,040 | USD 185,770 | Morgan Stanley & Co. International PLC | 09/19/18 | (5,125 | ) | |||||||||
AUD 964,322 | USD 715,069 | Morgan Stanley & Co. International PLC | 09/19/18 | (1,248 | ) | |||||||||
USD 194,621 | CNH 1,283,001 | Morgan Stanley & Co. International PLC | 09/19/18 | 1,806 | ||||||||||
EUR 121,685 | SEK 1,264,233 | Morgan Stanley & Co. International PLC | 09/19/18 | 949 | ||||||||||
USD 277,822 | MXN 5,758,000 | RBC Europe Limited | 08/28/18 | (9,459 | ) | |||||||||
USD 184,874 | CAD 240,185 | RBC Europe Limited | 09/19/18 | 1,928 | ||||||||||
EUR 319,133 | CAD 490,555 | RBC Europe Limited | 09/19/18 | 1,278 | ||||||||||
HUF 348,883,365 | EUR 1,083,778 | RBC Europe Limited | 09/19/18 | (30,245 | ) | |||||||||
EUR 62,371 | PLN 270,211 | RBC Europe Limited | 09/19/18 | 1,045 | ||||||||||
EUR 662,057 | USD 777,340 | RBC Europe Limited | 09/19/18 | 469 | ||||||||||
USD 370,032 | CNH 2,398,096 | RBC Europe Limited | 09/19/18 | 9,636 | ||||||||||
CAD 243,283 | USD 185,018 | RBC Europe Limited | 09/19/18 | 288 | ||||||||||
CAD 486,434 | USD 371,024 | RBC Europe Limited | 09/19/18 | (512 | ) | |||||||||
CAD 240,882 | USD 185,071 | RBC Europe Limited | 09/19/18 | (1,594 | ) | |||||||||
PLN 3,930,466 | USD 1,083,874 | RBC Europe Limited | 09/19/18 | (33,202 | ) | |||||||||
USD 185,037 | CNH 1,210,511 | RBC Europe Limited | 09/19/18 | 3,117 | ||||||||||
PLN 690,726 | EUR 159,078 | RBC Europe Limited | 09/19/18 | (2,250 | ) | |||||||||
USD 1,650,436 | GBP 1,233,449 | State Street Bank and Trust Co. | 08/14/18 | 19,403 | ||||||||||
JPY 20,304,405 | USD 184,948 | State Street Bank and Trust Co. | 09/19/18 | (531 | ) | |||||||||
USD 97,500 | SEK 836,338 | State Street Bank and Trust Co. | 09/19/18 | 3,555 | ||||||||||
JPY 40,309,287 | USD 368,913 | State Street Bank and Trust Co. | 09/19/18 | (2,801 | ) | |||||||||
JPY 81,445,212 | USD 740,967 | State Street Bank and Trust Co. | 09/19/18 | (1,233 | ) | |||||||||
USD 187,391 | AUD 253,990 | State Street Bank and Trust Co. | 09/19/18 | (620 | ) | |||||||||
EUR 319,095 | AUD 502,119 | State Street Bank and Trust Co. | 09/19/18 | 3,201 | ||||||||||
EUR 156,986 | SEK 1,587,959 | State Street Bank and Trust Co. | 09/19/18 | 6,058 | ||||||||||
EUR 574,792 | USD 670,455 | State Street Bank and Trust Co. | 09/19/18 | 4,831 | ||||||||||
USD 301,415 | NZD 440,949 | State Street Bank and Trust Co. | 09/19/18 | 2,737 | ||||||||||
USD 185,041 | CAD 246,155 | State Street Bank and Trust Co. | 09/19/18 | (2,453 | ) | |||||||||
CAD 120,794 | USD 90,822 | State Street Bank and Trust Co. | 09/19/18 | 1,185 | ||||||||||
USD 90,346 | NOK 732,897 | State Street Bank and Trust Co. | 09/19/18 | 72 | ||||||||||
EUR 319,089 | NZD 537,109 | State Street Bank and Trust Co. | 09/19/18 | 11,064 | ||||||||||
NZD 555,926 | AUD 508,977 | State Street Bank and Trust Co. | 09/19/18 | (203 | ) | |||||||||
USD 91,652 | SEK 785,916 | State Street Bank and Trust Co. | 09/19/18 | 3,371 | ||||||||||
CAD 126,132 | USD 97,264 | State Street Bank and Trust Co. | 09/19/18 | (1,191 | ) | |||||||||
USD 188,076 | JPY 20,565,360 | State Street Bank and Trust Co. | 09/19/18 | 1,289 | ||||||||||
SEK 869,414 | USD 97,931 | State Street Bank and Trust Co. | 09/19/18 | (270 | ) | |||||||||
CAD 75,338 | EUR 48,407 | State Street Bank and Trust Co. | 09/19/18 | 514 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Unrealized Appreciation (Depreciation) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SEK 797,128 | USD 90,794 | State Street Bank and Trust Co. | 09/19/18 | $ | (1,253 | ) | ||||||||
EUR 156,988 | SEK 1,598,705 | State Street Bank and Trust Co. | 09/19/18 | 4,853 | ||||||||||
USD 1,564,174 | CAD 2,028,108 | State Street Bank and Trust Co. | 09/19/18 | 19,387 | ||||||||||
USD 96,981 | CAD 128,045 | State Street Bank and Trust Co. | 09/19/18 | (550 | ) | |||||||||
EUR 156,974 | CAD 241,621 | State Street Bank and Trust Co. | 09/19/18 | 379 | ||||||||||
CHF 816,400 | EUR 702,758 | State Street Bank and Trust Co. | 09/19/18 | 4,481 | ||||||||||
EUR 158,991 | PLN 688,737 | State Street Bank and Trust Co. | 09/19/18 | 2,679 | ||||||||||
USD 184,313 | AUD 243,979 | UBS AG | 09/19/18 | 3,713 | ||||||||||
MXN 3,291,278 | USD 164,386 | UBS AG | 09/19/18 | (723 | ) | |||||||||
USD 114,134 | EUR 96,980 | UBS AG | 09/19/18 | 198 | ||||||||||
CNH 1,468,887 | USD 221,142 | UBS AG | 09/19/18 | (391 | ) | |||||||||
AUD 245,957 | USD 183,645 | UBS AG | 09/19/18 | (1,580 | ) | |||||||||
EUR 159,019 | USD 185,219 | UBS AG | 09/19/18 | 1,601 | ||||||||||
AUD 250,937 | NZD 269,200 | UBS AG | 09/19/18 | 3,408 | ||||||||||
USD 84,267 | NOK 673,071 | UBS AG | 09/19/18 | 1,362 | ||||||||||
EUR 319,816 | USD 371,833 | UBS AG | 09/19/18 | 3,898 | ||||||||||
JPY 20,323,787 | EUR 157,026 | UBS AG | 09/19/18 | 113 | ||||||||||
CHF 181,895 | EUR 157,026 | UBS AG | 09/19/18 | 469 | ||||||||||
NZD 263,962 | USD 184,347 | UBS AG | 09/19/18 | (5,552 | ) | |||||||||
USD 369,093 | NZD 537,097 | UBS AG | 09/19/18 | 5,289 | ||||||||||
USD 366,858 | NZD 534,241 | UBS AG | 09/19/18 | 4,988 | ||||||||||
USD 733,433 | AUD 997,896 | UBS AG | 09/19/18 | (5,240 | ) | |||||||||
USD 185,050 | NZD 263,017 | UBS AG | 09/19/18 | 6,895 | ||||||||||
USD 370,981 | EUR 318,100 | UBS AG | 09/19/18 | (2,735 | ) | |||||||||
USD 371,640 | EUR 317,946 | UBS AG | 09/19/18 | (1,894 | ) | |||||||||
NZD 275,859 | AUD 255,100 | UBS AG | 09/19/18 | (1,979 | ) | |||||||||
CAD 186,803 | USD 142,860 | UBS AG | 09/19/18 | (574 | ) | |||||||||
USD 741,783 | HKD 5,809,624 | UBS AG | 09/19/18 | 299 | ||||||||||
EUR 535,866 | NOK 5,080,840 | UBS AG | 09/19/18 | 3,725 | ||||||||||
EUR 159,019 | USD 185,140 | UBS AG | 09/19/18 | 1,681 | ||||||||||
EUR 158,995 | USD 184,944 | UBS AG | 09/19/18 | 1,849 | ||||||||||
CHF 183,905 | EUR 159,043 | UBS AG | 09/19/18 | 144 | ||||||||||
USD 170,558 | AUD 231,596 | UBS AG | 09/19/18 | (877 | ) | |||||||||
USD 186,697 | GBP 139,931 | UBS AG | 09/19/18 | 1,367 | ||||||||||
CHF 364,262 | USD 370,046 | UBS AG | 09/19/18 | 332 | ||||||||||
EUR 158,897 | SEK 1,638,355 | UBS AG | 09/19/18 | 2,642 | ||||||||||
$ | (990,407 | ) |
Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts: | |||||||||||||||||||
Australia 3-Year Bond | 92 | 09/17/18 | $ | 7,580,780 | $ | 17,053 | |||||||||||||
Euro-Bund | 11 | 09/06/18 | 2,088,087 | 9,030 | |||||||||||||||
Short-Term Euro-BTP | 12 | 09/06/18 | 1,550,887 | 2,422 | |||||||||||||||
U.S. Treasury 2-Year Note | 119 | 09/28/18 | 25,207,547 | (16,792 | ) | ||||||||||||||
U.S. Treasury 5-Year Note | 24 | 09/28/18 | 2,726,813 | (2,291 | ) | ||||||||||||||
U.S. Treasury Long Bond | 62 | 09/19/18 | 8,990,000 | 139,001 | |||||||||||||||
U.S. Treasury Ultra 10-Year Note | 4 | 09/19/18 | 512,938 | 5,591 | |||||||||||||||
U.S. Treasury Ultra Long Bond | 71 | 09/19/18 | 11,328,938 | 266,878 | |||||||||||||||
$ | 59,985,990 | $ | 420,892 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Short Contracts: | |||||||||||||||||||
3-Month Euribor | (62 | ) | 12/16/19 | $ | (18,124,453 | ) | $ | (4,571 | ) | ||||||||||
90-Day Eurodollar | (5 | ) | 12/17/18 | (1,217,000 | ) | 9,118 | |||||||||||||
90-Day Eurodollar | (18 | ) | 06/17/19 | (4,371,525 | ) | (871 | ) | ||||||||||||
90-Day Eurodollar | (146 | ) | 12/14/20 | (35,412,300 | ) | 9,280 | |||||||||||||
Euro-OAT | (12 | ) | 09/06/18 | (2,165,664 | ) | (9,588 | ) | ||||||||||||
U.S. Treasury 10-Year Note | (44 | ) | 09/19/18 | (5,288,250 | ) | (7,425 | ) | ||||||||||||
$ | (66,579,192 | ) | $ | (4,057 | ) |
Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Financing Rate (%)(2) | Termination Date | Notional Amount(3) | Fair Value(4) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX North American High Yield Index, Series 30, Version 1 | Buy | 5.000 | 06/20/23 | USD 1,605,000 | $ | (92,214 | ) | $ | 13,022 | |||||||||||||
$ | (92,214 | ) | $ | 13,022 |
Reference Entity/Obligation | Buy/Sell Protection | (Pay)/ Receive Financing Rate (%)(6) | Termination Date | Notional Amount(3) | Fair Value(4) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX North American Investment Grade Index, Series 30, Version 1 | Sell | (1.000) | 06/20/23 | USD 3,675,000 | 54,368 | $ | (7,045 | ) | ||||||||||||||
iTraxx Europe Crossover Index, Series 29, Version 1 | Sell | (1.000) | 06/20/23 | EUR 1,100,000 | 16,746 | (3,005 | ) | |||||||||||||||
71,114 | $ | (10,050 | ) |
Counterparty | Reference Entity/Obligation(2) | Buy/Sell Protection | (Pay)/ Receive Financing Rate (%) | Termination Date | Notional Amount(3) | Fair Value(4) | 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 | 50,000 | $ | (856 | ) | $ | 154 | $ | (1,010 | ) | |||||||||||||||||
Barclays Bank PLC | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 2,830,000 | (48,446 | ) | 15,480 | (63,926 | ) | ||||||||||||||||||||
Barclays Bank PLC | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 40,000 | (685 | ) | 39 | (724 | ) | ||||||||||||||||||||
Barclays Bank PLC | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 12/20/21 | USD | 90,000 | (1,531 | ) | (234 | ) | (1,297 | ) | |||||||||||||||||||
Barclays Bank PLC | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 12/20/21 | USD | 360,000 | (6,124 | ) | (993 | ) | (5,131 | ) | |||||||||||||||||||
Barclays Bank PLC | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 12/20/21 | USD 100,000 | (1,701 | ) | (48 | ) | (1,653 | ) | ||||||||||||||||||||
Citibank N.A. | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 250,000 | (4,280 | ) | 333 | (4,613 | ) | ||||||||||||||||||||
Citibank N.A. | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 1,680,000 | (28,759 | ) | 5,705 | (34,464 | ) | ||||||||||||||||||||
Citibank N.A. | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 310,000 | (5,307 | ) | 955 | (6,262 | ) | ||||||||||||||||||||
Deutsche Bank AG | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 1,080,000 | (18,488 | ) | 6,658 | (25,146 | ) | ||||||||||||||||||||
Deutsche Bank AG | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 80,000 | (1,370 | ) | 179 | (1,549 | ) | ||||||||||||||||||||
Deutsche Bank AG | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 10,000 | (171 | ) | (1 | ) | (170 | ) | |||||||||||||||||||
Deutsche Bank AG | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 06/20/21 | USD | 160,000 | (2,739 | ) | 225 | (2,964 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Counterparty | Reference Entity/Obligation(2) | Buy/Sell Protection | (Pay)/ Receive Financing Rate (%) | Termination Date | Notional Amount(3) | Fair Value(4) | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG | People’s Republic of China 7.500%, due 10/28/2027 | Buy | (1.000) | 12/20/21 | USD | 360,000 | $ | (6,124 | ) | $ | 929 | $ | (7,053 | ) | |||||||||||||||||
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 | (1,883 | ) | 339 | (2,222 | ) | ||||||||||||||||||||
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 | (856 | ) | 67 | (923 | ) | ||||||||||||||||||||
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 | (342 | ) | 51 | (393 | ) | ||||||||||||||||||||
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 | (1,883 | ) | 240 | (2,123 | ) | ||||||||||||||||||||
$ | (131,545 | ) | $ | 30,078 | $ | (161,623 | ) |
(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 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) | Payments made quarterly. |
(3) | The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make or receive as a buyer of credit protection under a credit default swap agreement would be an amount equal to the notional amount of the agreement. |
(4) | The fair values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Increasing fair values, in absolute terms, when compared to the notional amount of the agreement, represent a deterioration of the referenced obligation’s credit soundness and a greater likelihood or risk of default or other credit event occurring. |
(5) | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will generally either i) Pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or ii) Pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index. |
(6) | Payments received quarterly. |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Pay | 6-month AUD-BBSW | Semi-Annual | 2.750% | Semi-Annual | 09/19/28 | AUD | 2,180,000 | $ | (14,191 | ) | $ | 23,255 | |||||||||||||||
Pay | 3-month CAD-CDOR | Semi-Annual | 2.000 | Semi-Annual | 09/19/20 | CAD | 5,620,000 | (28,413 | ) | 3,610 | |||||||||||||||||
Pay | 3-month CAD-CDOR | Semi-Annual | 2.250 | Semi-Annual | 09/19/28 | CAD | 2,420,000 | (56,008 | ) | 19,252 | |||||||||||||||||
Pay | 6-month CHF-LIBOR | Semi-Annual | 1.000 | Annual | 06/21/28 | CHF | 1,260,000 | 3,990 | 10,266 | ||||||||||||||||||
Pay | 3-month EUR-EURIBOR | Quarterly | 0.100 | Annual | 09/19/20 | EUR | 11,740,000 | 82,194 | 26,853 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | 0.350 | Annual | 12/16/21 | EUR | 19,980,000 | 60,198 | 114,363 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | 0.750 | Annual | 06/15/23 | EUR | 15,690,000 | 114,877 | 105,172 | ||||||||||||||||||
Pay | 6-month EUR-EURIBOR | Semi-Annual | 0.500 | Annual | 09/19/23 | EUR | 12,490,000 | 132,368 | 94,191 | ||||||||||||||||||
Pay | 6-month GBP-LIBOR | Semi-Annual | 1.000 | Semi-Annual | 09/19/20 | GBP | 7,220,000 | (14,951 | ) | 2,047 | |||||||||||||||||
Pay | 6-month GBP-LIBOR | Semi-Annual | 1.200 | Semi-Annual | 11/21/23 | GBP | 5,100,000 | (56,329 | ) | 18,222 | |||||||||||||||||
Pay | 3-month NOK-NIBOR | Quarterly | 1.450 | Annual | 09/19/20 | NOK | 36,530,000 | 1,731 | (655 | ) | |||||||||||||||||
Pay | 6-month NOK-NIBOR | Semi-Annual | 1.600 | Annual | 09/19/20 | NOK | 34,830,000 | 8,103 | 1,816 | ||||||||||||||||||
Pay | 3-month SEK-STIBOR | Quarterly | (0.330) | Annual | 09/15/18 | SEK | 61,360,000 | 953 | (158 | ) | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.139 | Semi-Annual | 11/20/20 | USD | 31,040,000 | (460,462 | ) | (416,740 | ) | ||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.250 | Semi-Annual | 09/19/23 | USD | 14,490,000 | (441,990 | ) | 42,467 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.750 | Semi-Annual | 12/21/27 | USD | 4,600,000 | (40,227 | ) | 26,388 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.750 | Semi-Annual | 06/16/37 | USD | 970,000 | (18,026 | ) | 7,927 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 2.500 | Semi-Annual | 06/17/47 | USD | 640,000 | (12,294 | ) | 4,279 | |||||||||||||||||
Pay | 3-month USD-LIBOR | Quarterly | 3.000 | Semi-Annual | 06/15/48 | USD | 8,230,000 | 66,660 | 61,754 | ||||||||||||||||||
Receive | 6-month AUD-BBSW | Semi-Annual | 3.500 | Semi-Annual | 12/21/27 | AUD | 1,900,000 | (20,738 | ) | (3,455 | ) | ||||||||||||||||
Receive | 3-month CAD-CDOR | Semi-Annual | 2.250 | Semi-Annual | 09/19/23 | CAD | 410,000 | 3,443 | 266 | ||||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | 0.100 | Annual | 10/15/20 | EUR | 1,390,000 | (7,718 | ) | (6 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | 1.500 | Annual | 06/21/28 | EUR | 1,170,000 | 699 | (8,234 | ) | |||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | 1.000 | Annual | 09/19/28 | EUR | 180,000 | (1,591 | ) | (553 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | 1.500 | Annual | 09/19/38 | EUR | 3,040,000 | (55,230 | ) | (56,141 | ) | ||||||||||||||||
Receive | 6-month EUR-EURIBOR | Semi-Annual | 1.500 | Annual | 09/19/48 | EUR | 790,000 | (6,867 | ) | (19,681 | ) | ||||||||||||||||
Receive | 6-month GBP-LIBOR | Semi-Annual | 1.250 | Semi-Annual | 09/19/23 | GBP | 10,720,000 | 62,804 | (9,160 | ) | |||||||||||||||||
Receive | 6-month GBP-LIBOR | Semi-Annual | 1.500 | Semi-Annual | 09/19/28 | GBP | 640,000 | 3,997 | (2,421 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Pay/Receive Floating Rate | Floating Rate Index | Floating Rate Index Payment Frequency | Fixed Rate | Fixed Rate Payment Frequency | Maturity Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive | 6-month GBP-LIBOR | Semi-Annual | 1.400% | Semi-Annual | 11/21/28 | GBP | 3,080,000 | $ | 64,669 | $ | (13,367 | ) | |||||||||||||||
Receive | 6-month GBP-LIBOR | Semi-Annual | 1.750 | Semi-Annual | 12/14/37 | GBP | 3,840,000 | 19,478 | 11,312 | ||||||||||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 1.250 | Semi-Annual | 06/14/38 | JPY | 29,160,000 | (4,840 | ) | (2,670 | ) | ||||||||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 1.500 | Semi-Annual | 06/16/48 | JPY | 30,760,000 | (6,409 | ) | (291 | ) | ||||||||||||||||
Receive | 6-month JPY-LIBOR | Semi-Annual | 1.000 | Semi-Annual | 09/19/48 | JPY | 194,560,000 | (74,455 | ) | (14,568 | ) | ||||||||||||||||
Receive | 3-month NZD-BBR-FRA | Quarterly | 2.750 | Semi-Annual | 09/19/23 | NZD | 2,490,000 | (12,860 | ) | (16,858 | ) | ||||||||||||||||
Receive | 3-month NZD-BBR-FRA | Quarterly | 4.000 | Semi-Annual | 06/21/28 | NZD | 1,570,000 | (17,687 | ) | (18,596 | ) | ||||||||||||||||
Receive | 3-month NZD-BBR-FRA | Quarterly | 3.250 | Semi-Annual | 09/19/28 | NZD | 2,400,000 | (26,823 | ) | (28,051 | ) | ||||||||||||||||
Receive | 6-month PLZ-WIBOR | Semi-Annual | 2.550 | Annual | 03/21/23 | PLN | 6,130,000 | (10,338 | ) | (14,939 | ) | ||||||||||||||||
Receive | 3-month SEK-STIBOR | Quarterly | 0.100 | Annual | 09/19/20 | SEK | 148,930,000 | (63,309 | ) | (25,784 | ) | ||||||||||||||||
Receive | 3-month SEK-STIBOR | Quarterly | 0.500 | Annual | 12/16/21 | SEK | 158,690,000 | (33,480 | ) | (117,431 | ) | ||||||||||||||||
Receive | 3-month SEK-STIBOR | Quarterly | 0.500 | Annual | 09/19/22 | SEK | 62,270,000 | (54,846 | ) | (42,047 | ) | ||||||||||||||||
Receive | 3-month SEK-STIBOR | Quarterly | 0.750 | Annual | 09/19/23 | SEK | 152,580,000 | (223,994 | ) | (112,932 | ) | ||||||||||||||||
Receive | 3-month SEK-STIBOR | Quarterly | 2.000 | Annual | 11/02/27 | SEK | 17,590,000 | (22,954 | ) | (23,281 | ) | ||||||||||||||||
Receive | 3-month SEK-STIBOR | Quarterly | 2.250 | Annual | 12/21/27 | SEK | 22,420,000 | (55,159 | ) | (10,216 | ) | ||||||||||||||||
Receive | 3-month SEK-STIBOR | Quarterly | 1.250 | Annual | 09/19/28 | SEK | 10,040,000 | (7,457 | ) | (18,984 | ) | ||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.275 | Semi-Annual | 11/20/23 | USD | 13,450,000 | 402,839 | 380,480 | ||||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.882 | Semi-Annual | 02/28/25 | USD | 6,210,000 | 1,775 | (41,782 | ) | |||||||||||||||||
Receive | 3-month USD-LIBOR | Quarterly | 2.500 | Semi-Annual | 09/19/28 | USD | 190,000 | 7,324 | (2,049 | ) | |||||||||||||||||
$ | (811,544 | ) | $ | (67,130 | ) |
Pay/Receive Floating Rate | Reference Entity | Reference Entity Payment Frequency | Floating Rate | Floating Rate Payment Frequency | Counterparty | Termination Date | Notional Amount | Fair Value | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive | Arab Republic of Egypt Treasury Bill | At Maturity | 0.000 | At Maturity | Citibank N.A. | 10/11/18 | USD 123,591 | $ | (247,182 | ) | $(247,182) | $ | — | ||||||||||||||||
$ | (247,182 | ) | $(247,182) | $ | — |
Principal Amount | | Description | | | Contractual Settlement Date | | Fair Value | |||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
$(5,000,000) | Ginnie Mae, 4.000%, due 07/1/44 | 07/19/18 | $ | (5,123,731 | ) | |||||||
Total Sales Commitments Proceeds receivable $(5,111,797) | $ | (5,123,731 | ) |
BRL — Brazilian Real
CAD — Canadian Dollar
CHF — Swiss Franc
CLP — Chilean Peso
CNH — Chinese Offshore Yuan
COP — Colombian Peso
CZK — Czech Koruna
EUR — EU Euro
GBP — British Pound
HKD — Hong Kong Sar Dollar
HUF — Hungarian Forint
IDR — Indonesian Rupiah
INR — Indian Rupee
JPY — Japanese Yen
KRW — South Korean Won
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
NOK — Norwegian Krone
NZD — New Zealand Dollar
PLN — Polish Zloty
RUB — Russian Ruble
SEK — Swedish Krona
SGD — Singapore Dollar
THB — Thai Baht
TRY — Turkish Lira
TWD — Taiwan New Dollar
USD — United States Dollar
ZAR — South African Rand
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 | $ | 788,493 | |||||
Interest rate contracts | Net Assets- Unrealized appreciation* | 458,373 | ||||||
Credit contracts | Net Assets- Unrealized appreciation** | 13,022 | ||||||
Interest rate contracts | Net Assets- Unrealized appreciation** | 953,921 | ||||||
Credit contracts | Upfront payments paid on swap agreements | 31,355 | ||||||
Total Asset Derivatives | $ | 2,245,164 | ||||||
Liability Derivatives | ||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 1,778,900 | |||||
Interest rate contracts | Net Assets- Unrealized depreciation* | 41,538 | ||||||
Credit contracts | Net Assets- Unrealized depreciation** | 10,050 | ||||||
Interest rate contracts | Net Assets- Unrealized depreciation** | 1,021,050 | ||||||
Credit contracts | Upfront payments received on OTC swap agreements | 1,277 | ||||||
Credit contracts | Unrealized depreciation on OTC swap agreements | 161,623 | ||||||
Interest rate contracts | Upfront payments received on OTC swap agreements | 247,182 | ||||||
Total Liability Derivatives | $ | 3,261,620 |
* | 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 | Forward foreign currency contracts | Futures | Swaps | Total | |||||||||||||||||
Credit contracts | $ | — | $ | — | $ | (163,159 | ) | $ | (163,159 | ) | |||||||||||
Foreign exchange contracts | (780,787 | ) | — | — | (780,787 | ) | |||||||||||||||
Interest rate contracts | — | (1,242,778 | ) | 29,988 | (1,212,790 | ) | |||||||||||||||
Total | $ | (780,787 | ) | $ | (1,242,778 | ) | $ | (133,171 | ) | $ | (2,156,736 | ) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Forward foreign currency contracts | Futures | Swaps | Total | |||||||||||||||||
Credit contracts | $ | — | $ | — | $ | 276,890 | $ | 276,890 | |||||||||||||
Foreign exchange contracts | (1,465,415 | ) | — | — | (1,465,415 | ) | |||||||||||||||
Interest rate contracts | — | 379,293 | 218,699 | 597,992 | |||||||||||||||||
Total | $ | (1,465,415 | ) | $ | 379,293 | $ | 495,589 | $ | (590,533 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
Bank of America N.A. | Barclays Bank PLC | Citibank N.A. | Credit Suisse International | Deutsche Bank AG | JPMorgan Chase Bank N.A. | Morgan Stanley & Co. International PLC | RBC Europe Limited | State Street Bank and Trust Co. | UBS AG | Totals | |||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | |||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 126,133 | $ | 97,801 | $ | 118,432 | $ | 36,676 | $ | 71,255 | $ | 187,403 | $ | 17,761 | $ | 89,059 | $ | 43,973 | $ | 788,493 | |||||||||||||||||||||||||||
Total Assets | $ | 126,133 | $ | 97,801 | $ | 118,432 | $ | — | $ | 36,676 | $ | 71,255 | $ | 187,403 | $ | 17,761 | $ | 89,059 | $ | 43,973 | $ | 788,493 | |||||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 260,352 | $ | 308,237 | $ | 256,225 | $ | 1,538 | $ | 391,134 | $ | 260,912 | $ | 190,590 | $ | 77,262 | $ | 11,105 | $ | 21,545 | $ | 1,778,900 | |||||||||||||||||||||||||
OTC credit default swaps | — | 59,343 | 38,346 | — | 28,892 | 4,964 | — | — | — | — | 131,545 | ||||||||||||||||||||||||||||||||||||
OTC total return swaps | — | — | 247,182 | — | — | — | — | — | — | — | 247,182 | ||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | 260,352 | $ | 367,580 | $ | 541,753 | $ | 1,538 | $ | 420,026 | $ | 265,876 | $ | 190,590 | $ | 77,262 | $ | 11,105 | $ | 21,545 | $ | 2,157,627 | |||||||||||||||||||||||||
Net OTC derivative instruments by counterparty, at fair value | $ | (134,219 | ) | $ | (269,779 | ) | $ | (423,321 | ) | $ | (1,538 | ) | $ | (383,350 | ) | $ | (194,621 | ) | $ | (3,187 | ) | $ | (59,501 | ) | $ | 77,954 | $ | 22,428 | $ | (1,369,134 | ) | ||||||||||||||||
Total collateral pledged by the Portfolio/(Received from counterparty) | $ | 90,000 | $ | 250,000 | $ | 180,000 | $ | — | $ | 230,000 | $ | 80,000 | $ | — | $ | — | $ | — | $ | — | $ | 830,000 | |||||||||||||||||||||||||
Net Exposure(1) | $ | (44,219 | ) | $ | (19,779 | ) | $ | (243,321 | ) | $ | (1,538 | ) | $ | (153,350 | ) | $ | (114,621 | ) | $ | (3,187 | ) | $ | (59,501 | ) | $ | 77,954 | $ | 22,428 | $ | (539,134 | ) |
(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. |
Cost for federal income tax purposes was $247,580,332. |
Net unrealized depreciation consisted of: | ||||||
Gross Unrealized Appreciation | $ | 3,294,035 | ||||
Gross Unrealized Depreciation | (6,744,804 | ) | ||||
Net Unrealized Depreciation | $ | (3,450,769 | ) |
Voya Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Voya Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
The Bank of New York Mellon
225 Liberty Street
New York, New York 10286
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199
RETIREMENT | INVESTMENTS | INSURANCE voyainvestments.com | VPSAR-VIT3AIS (0618-082318) |
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, 2018 (Unaudited) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: 29.8% | ||||||||||||||
Basic Materials: 1.3% | ||||||||||||||
150,000 | (1) | Glencore Funding LLC, 4.125%, 05/30/2023 | 149,836 | 0.1 | ||||||||||
199,000 | (1) | Glencore Funding LLC, 4.625%, 04/29/2024 | 200,502 | 0.1 | ||||||||||
225,000 | LyondellBasell Industries NV, 5.000%, 04/15/2019 | 227,256 | 0.1 | |||||||||||
75,000 | Sherwin-Williams Co/The, 2.750%, 06/01/2022 | 72,656 | 0.0 | |||||||||||
75,000 | Sherwin-Williams Co/The, 3.125%, 06/01/2024 | 71,701 | 0.0 | |||||||||||
200,000 | Sherwin-Williams Co/The, 3.450%, 06/01/2027 | 189,128 | 0.1 | |||||||||||
125,000 | Sherwin-Williams Co/The, 4.500%, 06/01/2047 | 119,675 | 0.1 | |||||||||||
475,000 | (1) | Syngenta Finance NV, 3.698%, 04/24/2020 | 473,463 | 0.2 | ||||||||||
495,000 | (1) | Syngenta Finance NV, 3.933%, 04/23/2021 | 494,034 | 0.2 | ||||||||||
325,000 | (1) | Syngenta Finance NV, 4.892%, 04/24/2025 | 319,019 | 0.2 | ||||||||||
375,000 | (1) | WR Grace & Co-Conn, 5.125%, 10/01/2021 | 384,375 | 0.2 | ||||||||||
2,701,645 | 1.3 | |||||||||||||
Communications: 4.1% | ||||||||||||||
550,000 | 21st Century Fox America, Inc., 4.000%, 10/01/2023 | 557,643 | 0.3 | |||||||||||
100,000 | 21st Century Fox America, Inc., 6.150%, 03/01/2037 | 117,563 | 0.1 | |||||||||||
150,000 | Amazon.com, Inc., 3.875%, 08/22/2037 | 146,805 | 0.1 | |||||||||||
425,000 | AT&T, Inc., 3.000%, 06/30/2022 | 412,369 | 0.2 | |||||||||||
325,000 | AT&T, Inc., 3.800%, 03/15/2022 | 325,747 | 0.2 | |||||||||||
525,000 | AT&T, Inc., 4.250%, 03/01/2027 | 514,787 | 0.2 | |||||||||||
175,000 | AT&T, Inc., 5.150%, 03/15/2042 | 166,201 | 0.1 | |||||||||||
100,000 | AT&T, Inc., 5.450%, 03/01/2047 | 98,437 | 0.0 | |||||||||||
500,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.579%, 07/23/2020 | 500,171 | 0.2 | |||||||||||
350,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.464%, 07/23/2022 | 354,213 | 0.2 | |||||||||||
300,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.500%, 02/01/2024 | 299,958 | 0.1 | |||||||||||
350,000 | Charter Communications Operating LLC / Charter Communications Operating Capital, 4.908%, 07/23/2025 | 353,865 | 0.2 | |||||||||||
200,000 | Expedia Group, Inc., 3.800%, 02/15/2028 | 183,438 | 0.1 | |||||||||||
293,000 | NBCUniversal Media, LLC, 4.450%, 01/15/2043 | 277,377 | 0.1 | |||||||||||
230,000 | Nokia OYJ, 4.375%, 06/12/2027 | 216,775 | 0.1 | |||||||||||
200,000 | Sprint Corp., 7.625%, 03/01/2026 | 204,250 | 0.1 | |||||||||||
175,000 | Sprint Corp., 7.875%, 09/15/2023 | 181,891 | 0.1 | |||||||||||
350,000 | Telefonica Emisiones SAU, 5.462%, 02/16/2021 | 366,496 | 0.2 | |||||||||||
275,000 | Time Warner Cable LLC, 4.125%, 02/15/2021 | 276,537 | 0.1 | |||||||||||
50,000 | Time Warner Cable LLC, 5.875%, 11/15/2040 | 49,034 | 0.0 | |||||||||||
25,000 | Verizon Communications, Inc., 4.125%, 08/15/2046 | 21,422 | 0.0 | |||||||||||
1,566,000 | (1) | Verizon Communications, Inc., 4.329%, 09/21/2028 | 1,555,191 | 0.7 | ||||||||||
417,000 | Verizon Communications, Inc., 5.012%, 04/15/2049 | 407,339 | 0.2 | |||||||||||
150,000 | Verizon Communications, Inc., 5.250%, 03/16/2037 | 154,415 | 0.1 | |||||||||||
600,000 | Vodafone Group PLC, 3.750%, 01/16/2024 | 595,383 | 0.3 | |||||||||||
350,000 | (1) | Wind Tre SpA, 5.000%, 01/20/2026 | 279,199 | 0.1 | ||||||||||
8,616,506 | 4.1 | |||||||||||||
Consumer, Cyclical: 0.4% | ||||||||||||||
300,000 | Dollar Tree, Inc., 4.000%, 05/15/2025 | 293,572 | 0.1 | |||||||||||
300,000 | MGM Resorts International, 6.625%, 12/15/2021 | 316,500 | 0.2 | |||||||||||
150,000 | Walmart, Inc., 4.050%, 06/29/2048 | 150,489 | 0.1 | |||||||||||
760,561 | 0.4 | |||||||||||||
Consumer, Non-cyclical: 3.5% | ||||||||||||||
150,000 | Aetna, Inc., 2.800%, 06/15/2023 | 143,161 | 0.1 | |||||||||||
150,000 | Anheuser-Busch InBev Finance, Inc., 4.700%, 02/01/2036 | 152,376 | 0.1 |
See Accompanying Notes to Financial Statements
1 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of June 30, 2018 (Unaudited) (Continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Consumer, Non-cyclical: (continued) | ||||||||||||||
250,000 | Anheuser-Busch InBev Finance, Inc., 4.900%, 02/01/2046 | 258,010 | 0.1 | |||||||||||
800,000 | Anheuser-Busch InBev Worldwide, Inc., 4.000%, 04/13/2028 | 799,423 | 0.4 | |||||||||||
100,000 | Anheuser-Busch InBev Worldwide, Inc., 4.600%, 04/15/2048 | 98,444 | 0.1 | |||||||||||
100,000 | (1) | Bacardi Ltd., 5.300%, 05/15/2048 | 95,251 | 0.0 | ||||||||||
345,000 | (1) | BAT Capital Corp., 3.222%, 08/15/2024 | 327,105 | 0.2 | ||||||||||
350,000 | (1) | Bayer US Finance II LLC, 3.875%, 12/15/2023 | 350,310 | 0.2 | ||||||||||
725,000 | (1) | Bayer US Finance II LLC, 4.250%, 12/15/2025 | 730,304 | 0.4 | ||||||||||
500,000 | (1) | Bayer US Finance II LLC, 4.375%, 12/15/2028 | 501,784 | 0.2 | ||||||||||
525,000 | Becton Dickinson and Co., 2.894%, 06/06/2022 | 508,120 | 0.2 | |||||||||||
475,000 | Becton Dickinson and Co., 3.209%, (US0003M + 0.875%), 12/29/2020 | 475,888 | 0.2 | |||||||||||
100,000 | Becton Dickinson and Co., 3.363%, 06/06/2024 | 96,147 | 0.0 | |||||||||||
75,000 | Becton Dickinson and Co., 4.669%, 06/06/2047 | 72,706 | 0.0 | |||||||||||
225,000 | Becton Dickinson and Co., 4.685%, 12/15/2044 | 218,732 | 0.1 | |||||||||||
800,000 | CVS Health Corp., 3.375%, 08/12/2024 | 772,989 | 0.4 | |||||||||||
275,000 | CVS Health Corp., 3.500%, 07/20/2022 | 273,042 | 0.1 | |||||||||||
100,000 | CVS Health Corp., 3.875%, 07/20/2025 | 97,899 | 0.1 | |||||||||||
350,000 | CVS Health Corp., 5.050%, 03/25/2048 | 354,852 | 0.2 | |||||||||||
75,000 | CVS Health Corp., 5.125%, 07/20/2045 | 76,215 | 0.0 | |||||||||||
275,000 | (1) | Keurig Dr Pepper, Inc., 4.057%, 05/25/2023 | 276,327 | 0.1 | ||||||||||
375,000 | Reynolds American, Inc., 4.450%, 06/12/2025 | 377,418 | 0.2 | |||||||||||
100,000 | Thermo Fisher Scientific, Inc., 3.000%, 04/15/2023 | 97,304 | 0.0 | |||||||||||
200,000 | (1) | Valeant Pharmaceuticals International, Inc., 7.000%, 03/15/2024 | 209,938 | 0.1 | ||||||||||
7,363,745 | 3.5 | |||||||||||||
Energy: 3.7% | ||||||||||||||
550,000 | Anadarko Petroleum Corp., 3.450%, 07/15/2024 | 530,502 | 0.3 | |||||||||||
100,000 | Anadarko Petroleum Corp., 5.550%, 03/15/2026 | 107,303 | 0.1 | |||||||||||
349,000 | Buckeye Partners L.P., 4.875%, 02/01/2021 | 356,706 | 0.2 | |||||||||||
275,000 | Canadian Natural Resources Ltd.., 3.850%, 06/01/2027 | 268,674 | 0.1 | |||||||||||
200,000 | Concho Resources, Inc., 4.300%, 08/15/2028 | 200,139 | 0.1 | |||||||||||
425,000 | Continental Resources, Inc./OK, 4.500%, 04/15/2023 | 432,007 | 0.2 | |||||||||||
180,000 | Devon Energy Corp., 4.750%, 05/15/2042 | 176,218 | 0.1 | |||||||||||
82,000 | Devon Energy Corp., 5.600%, 07/15/2041 | 88,681 | 0.0 | |||||||||||
125,000 | Energy Transfer Partners L.P., 4.650%, 06/01/2021 | 128,077 | 0.1 | |||||||||||
125,000 | Energy Transfer Partners L.P., 5.300%, 04/15/2047 | 114,675 | 0.1 | |||||||||||
300,000 | Energy Transfer Partners L.P., 4.200%, 09/15/2023 | 299,828 | 0.1 | |||||||||||
475,000 | (2) | Enterprise Products Operating L.P., 6.066%, 08/01/2066 | 476,781 | 0.2 | ||||||||||
425,000 | EQT Midstream Partners L.P., 4.750%, 07/15/2023 | 424,641 | 0.2 | |||||||||||
275,000 | Kinder Morgan Energy Partners L.P., 3.500%, 09/01/2023 | 267,833 | 0.1 | |||||||||||
250,000 | Marathon Oil Corp., 4.400%, 07/15/2027 | 251,247 | 0.1 | |||||||||||
175,000 | MPLX L.P., 4.500%, 04/15/2038 | 162,046 | 0.1 | |||||||||||
100,000 | MPLX L.P., 4.700%, 04/15/2048 | 93,151 | 0.0 | |||||||||||
1,840,000 | (3) | Petroleos de Venezuela SA, 0.000%, 10/28/2022 | 340,400 | 0.2 | ||||||||||
EUR | 220,000 | Petroleos Mexicanos, 5.125%, 03/15/2023 | 282,171 | 0.1 | ||||||||||
100,000 | Petroleos Mexicanos, 6.500%, 03/13/2027 | 102,425 | 0.0 | |||||||||||
350,000 | Phillips 66, 3.900%, 03/15/2028 | 342,138 | 0.2 | |||||||||||
100,000 | Pioneer Natural Resources Co., 3.950%, 07/15/2022 | 101,204 | 0.0 | |||||||||||
200,000 | Plains All American Pipeline L.P. / PAA Finance Corp., 3.650%, 06/01/2022 | 196,171 | 0.1 | |||||||||||
100,000 | Plains All American Pipeline L.P. / PAA Finance Corp., 3.850%, 10/15/2023 | 97,542 | 0.0 | |||||||||||
425,000 | Plains All American Pipeline L.P. / PAA Finance Corp., 4.500%, 12/15/2026 | 416,597 | 0.2 | |||||||||||
250,000 | Reliance Industries Ltd., 4.125%, 01/28/2025 | 243,708 | 0.1 |
See Accompanying Notes to Financial Statements
2 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of June 30, 2018 (Unaudited) (Continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Energy: (continued) | ||||||||||||||
325,000 | Sabine Pass Liquefaction LLC, 5.625%, 03/01/2025 | 346,064 | 0.2 | |||||||||||
100,000 | Sabine Pass Liquefaction LLC, 6.250%, 03/15/2022 | 107,634 | 0.1 | |||||||||||
580,000 | Williams Partners L.P., 3.600%, 03/15/2022 | 577,508 | 0.3 | |||||||||||
200,000 | Williams Partners L.P., 3.900%, 01/15/2025 | 195,327 | 0.1 | |||||||||||
7,727,398 | 3.7 | |||||||||||||
Financial: 13.5% | ||||||||||||||
275,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.300%, 01/23/2023 | 264,516 | 0.1 | |||||||||||
450,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 4.625%, 07/01/2022 | 459,175 | 0.2 | |||||||||||
375,000 | American Campus Communities Operating Partnership L.P., 3.750%, 04/15/2023 | 373,278 | 0.2 | |||||||||||
107,000 | American Homes 4 Rent L.P., 4.250%, 02/15/2028 | 102,630 | 0.1 | |||||||||||
175,000 | American International Group, Inc., 4.200%, 04/01/2028 | 171,239 | 0.1 | |||||||||||
200,000 | American Tower Corp., 3.400%, 02/15/2019 | 200,570 | 0.1 | |||||||||||
125,000 | (1) | AXA Equitable Holdings, Inc., 3.900%, 04/20/2023 | 124,108 | 0.1 | ||||||||||
50,000 | (1) | AXA Equitable Holdings, Inc., 4.350%, 04/20/2028 | 47,873 | 0.0 | ||||||||||
200,000 | Banco Santander SA, 3.125%, 02/23/2023 | 189,922 | 0.1 | |||||||||||
200,000 | Banco Santander SA, 4.250%, 04/11/2027 | 190,375 | 0.1 | |||||||||||
200,000 | Banco Santander SA, 4.379%, 04/12/2028 | 191,524 | 0.1 | |||||||||||
675,000 | Bank of America Corp., 3.248%, 10/21/2027 | 629,575 | 0.3 | |||||||||||
193,000 | (2) | Bank of America Corp., 3.419%, 12/20/2028 | 181,887 | 0.1 | ||||||||||
75,000 | Bank of America Corp., 4.183%, 11/25/2027 | 73,154 | 0.0 | |||||||||||
217,000 | Bank of America Corp., 4.000%, 04/01/2024 | 218,983 | 0.1 | |||||||||||
250,000 | Bank of America Corp., 4.450%, 03/03/2026 | 250,939 | 0.1 | |||||||||||
100,000 | Bank of America Corp., 6.110%, 01/29/2037 | 115,134 | 0.1 | |||||||||||
200,000 | (2) | Barclays PLC, 6.625%, 12/31/2199 | 200,591 | 0.1 | ||||||||||
375,000 | (1) | BNP Paribas SA, 3.375%, 01/09/2025 | 354,703 | 0.2 | ||||||||||
550,000 | (1) | BNP Paribas SA, 3.500%, 03/01/2023 | 536,482 | 0.3 | ||||||||||
200,000 | China Evergrande Group, 8.750%, 06/28/2025 | 176,377 | 0.1 | |||||||||||
550,000 | CIT Group, Inc., 5.250%, 03/07/2025 | 555,500 | 0.3 | |||||||||||
575,000 | Citibank NA, 3.050%, 05/01/2020 | 574,921 | 0.3 | |||||||||||
250,000 | Citigroup, Inc., 4.125%, 07/25/2028 | 239,541 | 0.1 | |||||||||||
225,000 | Citigroup, Inc., 4.600%, 03/09/2026 | 224,965 | 0.1 | |||||||||||
EGP | 13,900,000 | (1),(4) | Citigroup Global Markets Holdings, Inc./United States, 0.000%, 01/17/2019 | 706,390 | 0.3 | |||||||||
300,000 | Cooperatieve Rabobank UA/NY, 2.792%, (US0003M + 0.430%), 04/26/2021 | 300,344 | 0.1 | |||||||||||
375,000 | Cooperatieve Rabobank UA/NY, 3.125%, 04/26/2021 | 373,685 | 0.2 | |||||||||||
200,000 | Credit Agricole SA, 4.375%, 03/17/2025 | 193,772 | 0.1 | |||||||||||
200,000 | (1) | Credit Suisse AG, 6.500%, 08/08/2023 | 213,197 | 0.1 | ||||||||||
250,000 | Credit Suisse Group Funding Guernsey Ltd., 4.550%, 04/17/2026 | 250,305 | 0.1 | |||||||||||
425,000 | Crown Castle International Corp., 3.150%, 07/15/2023 | 406,941 | 0.2 | |||||||||||
50,000 | Crown Castle International Corp., 3.650%, 09/01/2027 | 46,579 | 0.0 | |||||||||||
100,000 | Deutsche Bank AG/London, 2.500%, 02/13/2019 | 99,321 | 0.1 | |||||||||||
525,000 | Deutsche Bank AG/New York NY, 2.700%, 07/13/2020 | 510,816 | 0.2 | |||||||||||
125,000 | (1) | Great-West Lifeco Finance 2018 L.P., 4.047%, 05/17/2028 | 126,082 | 0.1 | ||||||||||
50,000 | Hartford Financial Services Group, Inc./The, 5.125%, 04/15/2022 | 52,890 | 0.0 | |||||||||||
450,000 | (2) | HSBC Holdings PLC, 3.262%, 03/13/2023 | 440,946 | 0.2 | ||||||||||
200,000 | HSBC Holdings PLC, 3.326%, (US0003M + 1.000%), 05/18/2024 | 199,559 | 0.1 | |||||||||||
325,000 | Huntington Bancshares, Inc./OH, 4.000%, 05/15/2025 | 326,374 | 0.2 | |||||||||||
500,000 | (2) | ING Bank NV, 4.125%, 11/21/2023 | 501,572 | 0.2 | ||||||||||
550,000 | (1) | Intesa Sanpaolo SpA, 3.375%, 01/12/2023 | 505,917 | 0.2 | ||||||||||
25,000 | Jefferies Group LLC / Jefferies Group Capital Finance, Inc., 4.150%, 01/23/2030 | 22,100 | 0.0 | |||||||||||
525,000 | JPMorgan Chase & Co., 2.950%, 10/01/2026 | 488,020 | 0.2 | |||||||||||
375,000 | JPMorgan Chase & Co., 2.972%, 01/15/2023 | 365,347 | 0.2 | |||||||||||
525,000 | (2) | JPMorgan Chase & Co., 3.509%, 01/23/2029 | 498,460 | 0.2 |
See Accompanying Notes to Financial Statements
3 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of June 30, 2018 (Unaudited) (Continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Financial: (continued) | ||||||||||||||
400,000 | (2) | JPMorgan Chase & Co., 3.782%, 02/01/2028 | 389,995 | 0.2 | ||||||||||
200,000 | Kaisa Group Holdings Ltd., 8.500%, 06/30/2022 | 160,250 | 0.1 | |||||||||||
1,700,000 | Kreditanstalt fuer Wiederaufbau, 1.125%, 08/06/2018 | 1,698,408 | 0.8 | |||||||||||
4,270,000 | Kreditanstalt fuer Wiederaufbau, 1.500%, 09/09/2019 | 4,217,496 | 2.0 | |||||||||||
50,000 | MetLife, Inc., 4.050%, 03/01/2045 | 46,510 | 0.0 | |||||||||||
202,000 | Mitsubishi UFJ Financial Group, Inc., 2.950%, 03/01/2021 | 199,882 | 0.1 | |||||||||||
800,000 | Morgan Stanley, 3.700%, 10/23/2024 | 790,119 | 0.4 | |||||||||||
275,000 | (2) | Morgan Stanley, 3.737%, 04/24/2024 | 273,561 | 0.1 | ||||||||||
1,000,000 | Morgan Stanley, 3.759%, (US0003M + 1.400%), 10/24/2023 | 1,023,494 | 0.5 | |||||||||||
25,000 | Morgan Stanley, 4.000%, 07/23/2025 | 24,939 | 0.0 | |||||||||||
200,000 | (1) | Northwestern Mutual Life Insurance Co/The, 3.850%, 09/30/2047 | 183,442 | 0.1 | ||||||||||
200,000 | Prudential Financial, Inc., 3.878%, 03/27/2028 | 197,995 | 0.1 | |||||||||||
350,000 | Royal Bank of Canada, 2.749%, (US0003M + 0.390%), 04/30/2021 | 350,024 | 0.2 | |||||||||||
325,000 | Royal Bank of Canada, 3.200%, 04/30/2021 | 324,966 | 0.2 | |||||||||||
425,000 | (2) | Royal Bank of Scotland Group PLC, 3.498%, 05/15/2023 | 411,955 | 0.2 | ||||||||||
325,000 | (2) | Royal Bank of Scotland Group PLC, 4.519%, 06/25/2024 | 325,482 | 0.2 | ||||||||||
450,000 | Santander Holdings USA, Inc., 2.650%, 04/17/2020 | 446,213 | 0.2 | |||||||||||
250,000 | (1) | Sumitomo Mitsui Financial Group, Inc., 4.436%, 04/02/2024 | 252,906 | 0.1 | ||||||||||
500,000 | (2) | SunTrust Bank/Atlanta GA, 2.590%, 01/29/2021 | 495,815 | 0.2 | ||||||||||
25,000 | Synchrony Financial, 4.250%, 08/15/2024 | 24,530 | 0.0 | |||||||||||
563,000 | Synchrony Financial, 4.500%, 07/23/2025 | 553,588 | 0.3 | |||||||||||
425,000 | TD Ameritrade Holding Corp., 2.950%, 04/01/2022 | 417,354 | 0.2 | |||||||||||
100,000 | (1) | Teachers Insurance & Annuity Association of America, 4.900%, 09/15/2044 | 105,423 | 0.1 | ||||||||||
225,000 | (1) | UBS Group Funding Switzerland AG, 3.000%, 04/15/2021 | 221,633 | 0.1 | ||||||||||
200,000 | (1),(5) | UniCredit SpA, 4.625%, 04/12/2027 | 186,196 | 0.1 | ||||||||||
300,000 | VEREIT Operating Partnership L.P., 3.000%, 02/06/2019 | 299,901 | 0.1 | |||||||||||
250,000 | VEREIT Operating Partnership L.P., 4.125%, 06/01/2021 | 253,556 | 0.1 | |||||||||||
750,000 | Wells Fargo & Co., 3.000%, 10/23/2026 | 693,001 | 0.3 | |||||||||||
150,000 | (2) | Westpac Banking Corp., 4.322%, 11/23/2031 | 144,727 | 0.1 | ||||||||||
100,000 | XLIT Ltd., 4.450%, 03/31/2025 | 98,502 | 0.0 | |||||||||||
28,088,442 | 13.5 | |||||||||||||
Industrial: 1.3% | ||||||||||||||
175,000 | General Dynamics Corp., 2.736%, (US0003M + 0.380%), 05/11/2021 | 175,682 | 0.1 | |||||||||||
325,000 | General Dynamics Corp., 3.000%, 05/11/2021 | 324,064 | 0.2 | |||||||||||
100,000 | General Dynamics Corp., 3.375%, 05/15/2023 | 100,234 | 0.0 | |||||||||||
425,000 | Northrop Grumman Corp., 2.930%, 01/15/2025 | 403,997 | 0.2 | |||||||||||
650,000 | Northrop Grumman Corp., 3.250%, 01/15/2028 | 612,785 | 0.3 | |||||||||||
175,000 | Oshkosh Corp., 4.600%, 05/15/2028 | 175,000 | 0.1 | |||||||||||
300,000 | (1) | Penske Truck Leasing Co. Lp / PTL Finance Corp., 3.375%, 02/01/2022 | 295,866 | 0.1 | ||||||||||
375,000 | (1) | Sealed Air Corp., 5.250%, 04/01/2023 | 384,375 | 0.2 | ||||||||||
275,000 | Union Pacific Corp., 3.950%, 09/10/2028 | 276,764 | 0.1 | |||||||||||
2,748,767 | 1.3 | |||||||||||||
Technology: 0.9% | ||||||||||||||
175,000 | Broadcom Corp. / Broadcom Cayman Finance Ltd., 2.650%, 01/15/2023 | 164,924 | 0.1 | |||||||||||
450,000 | Broadcom Corp. / Broadcom Cayman Finance Ltd., 3.000%, 01/15/2022 | 437,948 | 0.2 | |||||||||||
150,000 | (1) | Dell International LLC / EMC Corp., 5.450%, 06/15/2023 | 157,040 | 0.1 | ||||||||||
200,000 | Hewlett Packard Enterprise Co., 4.900%, 10/15/2025 | 204,381 | 0.1 | |||||||||||
225,000 | (1) | Microchip Technology, Inc., 3.922%, 06/01/2021 | 225,510 | 0.1 | ||||||||||
400,000 | Microsoft Corp., 3.125%, 11/03/2025 | 393,217 | 0.2 |
See Accompanying Notes to Financial Statements
4 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of June 30, 2018 (Unaudited) (Continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Technology: (continued) | ||||||||||||||
225,000 | Oracle Corp., 4.000%, 07/15/2046 | 212,648 | 0.1 | |||||||||||
1,795,668 | 0.9 | |||||||||||||
Utilities: 1.1% | ||||||||||||||
125,000 | (1) | Alliant Energy Finance LLC, 3.750%, 06/15/2023 | 125,074 | 0.1 | ||||||||||
50,000 | (1) | Alliant Energy Finance LLC, 4.250%, 06/15/2028 | 50,067 | 0.0 | ||||||||||
175,000 | Berkshire Hathaway Energy Co., 3.250%, 04/15/2028 | 166,571 | 0.1 | |||||||||||
175,000 | Duke Energy Carolinas LLC, 3.950%, 03/15/2048 | 170,126 | 0.1 | |||||||||||
425,000 | Duke Energy Corp., 3.150%, 08/15/2027 | 395,101 | 0.2 | |||||||||||
175,000 | Florida Power & Light Co., 3.950%, 03/01/2048 | 171,987 | 0.1 | |||||||||||
225,000 | (1) | NiSource, Inc., 3.650%, 06/15/2023 | 224,945 | 0.1 | ||||||||||
100,000 | Pacific Gas & Electric Co., 3.300%, 03/15/2027 | 90,517 | 0.0 | |||||||||||
125,000 | Pacific Gas & Electric Co., 4.000%, 12/01/2046 | 108,155 | 0.0 | |||||||||||
75,000 | Pacific Gas & Electric Co., 6.050%, 03/01/2034 | 81,199 | 0.0 | |||||||||||
400,000 | Sempra Energy, 2.848%, (US0003M + 0.500%), 01/15/2021 | 400,233 | 0.2 | |||||||||||
380,000 | Southern Co/The, 3.250%, 07/01/2026 | 357,190 | 0.2 | |||||||||||
2,341,165 | 1.1 | |||||||||||||
Total Corporate Bonds/Notes (Cost $63,717,470) | 62,143,897 | 29.8 | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 3.4% | ||||||||||||||
251,357 | CHL Mortgage Pass-Through Trust 2005-25 A12, 5.500%, 11/25/2035 | 225,993 | 0.1 | |||||||||||
535,068 | (6) | Fannie Mae 2013-130 SN, 4.559%, (-1.000*US0001M + 6.650%), 10/25/2042 | 80,794 | 0.1 | ||||||||||
298,920 | (6) | Fannie Mae REMIC Trust 2011-124 SC, 4.459%, (-1.000*US0001M + 6.550%), 12/25/2041 | 47,659 | 0.0 | ||||||||||
283,841 | (6) | Fannie Mae REMIC Trust 2013-131 SA, 4.009%, (-1.000*US0001M + 6.100%), 12/25/2043 | 36,784 | 0.0 | ||||||||||
511,131 | (6) | Fannie Mae REMIC Trust 2013-96 SY, 4.059%, (-1.000*US0001M + 6.150%), 07/25/2042 | 69,884 | 0.0 | ||||||||||
345,408 | (6) | Fannie Mae REMIC Trust 2014-87 MS, 4.159%, (-1.000*US0001M + 6.250%), 01/25/2045 | 46,580 | 0.0 | ||||||||||
471,692 | (6) | Fannie Mae REMIC Trust 2015-79 SA, 4.159%, (-1.000*US0001M + 6.250%), 11/25/2045 | 63,649 | 0.0 | ||||||||||
853,389 | (6) | Freddie Mac 4583 ST, 3.927%, (-1.000*US0001M + 6.000%), 05/15/2046 | 140,336 | 0.1 | ||||||||||
1,987,601 | (6) | Freddie Mac 4596 CS, 4.027%, (-1.000*US0001M + 6.100%), 06/15/2046 | 257,050 | 0.1 | ||||||||||
482,145 | (6) | Freddie Mac REMIC Trust 4320 SD, 4.027%, (-1.000*US0001M + 6.100%), 07/15/2039 | 61,768 | 0.0 | ||||||||||
325,034 | (6) | Freddie Mac Strips Series 304 C45, 3.000%, 12/15/2027 | 28,044 | 0.0 | ||||||||||
350,000 | Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA2 M3, 6.741%, (US0001M + 4.650%), 10/25/2028 | 404,203 | 0.2 | |||||||||||
1,166,146 | (6) | Ginnie Mae 2015-111 IM, 4.000%, 08/20/2045 | 198,019 | 0.1 | ||||||||||
495,705 | (6) | Ginnie Mae 2015-119 SN, 4.166%, (-1.000*US0001M + 6.250%), 08/20/2045 | 75,384 | 0.1 | ||||||||||
456,785 | (6) | Ginnie Mae 2016-138 GI, 4.000%, 10/20/2046 | 83,808 | 0.1 | ||||||||||
345,610 | (6) | Ginnie Mae Series 2010-20 SE, 4.166%, (-1.000*US0001M + 6.250%), 02/20/2040 | 51,402 | 0.0 | ||||||||||
206,873 | (6) | Ginnie Mae Series 2010-31 SA, 3.666%, (-1.000*US0001M + 5.750%), 03/20/2040 | 26,467 | 0.0 | ||||||||||
135,043 | (6) | Ginnie Mae Series 2012-149 MS, 4.166%, (-1.000*US0001M + 6.250%), 12/20/2042 | 19,558 | 0.0 | ||||||||||
76,136 | (6) | Ginnie Mae Series 2013-134 DS, 4.016%, (-1.000*US0001M + 6.100%), 09/20/2043 | 10,798 | 0.0 | ||||||||||
222,737 | (6) | Ginnie Mae Series 2013-152 SG, 4.066%, (-1.000*US0001M + 6.150%), 06/20/2043 | 31,448 | 0.0 | ||||||||||
502,766 | (6) | Ginnie Mae Series 2013-181 SA, 4.016%, (-1.000*US0001M + 6.100%), 11/20/2043 | 72,605 | 0.0 | ||||||||||
529,255 | (6) | Ginnie Mae Series 2013-183 NI, 4.500%, 10/20/2042 | 65,124 | 0.0 |
See Accompanying Notes to Financial Statements
5 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of June 30, 2018 (Unaudited) (Continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | ||||||||||||||
738,054 | (6) | Ginnie Mae Series 2014-132 SL, 4.016%, (-1.000*US0001M + 6.100%), 10/20/2043 | 96,880 | 0.1 | ||||||||||
364,124 | (6) | Ginnie Mae Series 2014-133 BS, 3.516%, (-1.000*US0001M + 5.600%), 09/20/2044 | 43,388 | 0.0 | ||||||||||
86,784 | (6) | Ginnie Mae Series 2014-41 SA, 4.016%, (-1.000*US0001M + 6.100%), 03/20/2044 | 12,761 | 0.0 | ||||||||||
783,688 | (6) | Ginnie Mae Series 2015-110 MS, 3.626%, (-1.000*US0001M + 5.710%), 08/20/2045 | 101,592 | 0.1 | ||||||||||
229,639 | (6) | Ginnie Mae Series 2015-126 HS, 4.116%, (-1.000*US0001M + 6.200%), 09/20/2045 | 33,486 | 0.0 | ||||||||||
234,873 | (6) | Ginnie Mae Series 2015-159 HS, 4.116%, (-1.000*US0001M + 6.200%), 11/20/2045 | 34,522 | 0.0 | ||||||||||
991,763 | (6) | Ginnie Mae Series 2015-95 GI, 4.500%, 07/16/2045 | 208,812 | 0.1 | ||||||||||
510,718 | (6) | Ginnie Mae Series 2016-27 IA, 4.000%, 06/20/2045 | 78,875 | 0.1 | ||||||||||
543,689 | (6) | Ginnie Mae Series 2016-4 SM, 3.566%, (-1.000*US0001M + 5.650%), 01/20/2046 | 66,259 | 0.0 | ||||||||||
GBP | 344,120 | Harben Finance 2017-1X A Plc, 1.423%, (BP0003M + 0.800%), 08/20/2056 | 456,090 | 0.2 | ||||||||||
GBP | 653,341 | London Wall Mortgage Capital PLC 2017-FL1 A, 1.490%, (BP0003M + 0.850%), 11/15/2049 | 863,317 | 0.4 | ||||||||||
EUR | 370,607 | (1),(7) | Magnolia Finance XI DAC, 2.750%, (EUR003M + 2.750%), 04/20/2020 | 431,498 | 0.2 | |||||||||
GBP | 142,717 | Ripon Mortgages PLC 1X A1, 1.423%, (BP0003M + 0.800%), 08/20/2056 | 189,190 | 0.1 | ||||||||||
GBP | 1,230,937 | Ripon Mortgages PLC 1X A2, 1.423%, (BP0003M + 0.800%), 08/20/2056 | 1,631,742 | 0.8 | ||||||||||
246,127 | (1),(7) | Station Place Securitization Trust 2015-2 A, 2.607%, (US0001M + 1.050%), 07/15/2019 | 246,127 | 0.1 | ||||||||||
625,229 | WaMu Mortgage Pass-Through Certificates Series 2006-AR9 1A, 2.558%, (12MTA + 1.000%), 08/25/2046 | 590,079 | 0.3 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $7,344,545) | 7,181,975 | 3.4 | ||||||||||||
MUNICIPAL BONDS: 1.2% | ||||||||||||||
California: 0.5% | ||||||||||||||
350,000 | Bay Area Toll Authority, 7.043%, 04/01/2050 | 513,383 | 0.3 | |||||||||||
400,000 | East Bay Municipal Utility District Water System Revenue, 5.874%, 06/01/2040 | 508,428 | 0.2 | |||||||||||
1,021,811 | 0.5 | |||||||||||||
Illinois: 0.3% | ||||||||||||||
465,000 | State of Illinois, 5.100%, 06/01/2033 | 440,792 | 0.2 | |||||||||||
55,000 | State of Illinois, 6.630%, 02/01/2035 | 58,368 | 0.0 | |||||||||||
120,000 | State of Illinois, 7.350%, 07/01/2035 | 134,192 | 0.1 | |||||||||||
633,352 | 0.3 | |||||||||||||
Minnesota: 0.1% | ||||||||||||||
176,166 | Northstar Education Finance, Inc., 1.414%, (US0003M + 0.100%), 04/28/2030 | 175,187 | 0.1 | |||||||||||
Puerto Rico: 0.3% | ||||||||||||||
15,000 | (3) | Commonwealth of Puerto Rico, 5.750%, 07/01/2038 | 6,412 | 0.0 | ||||||||||
100,000 | (3) | Commonwealth of Puerto Rico, 6.000%, 07/01/2039 | 42,750 | 0.0 | ||||||||||
175,000 | (3) | Commonwealth of Puerto Rico, 8.000%, 07/01/2035 | 71,312 | 0.1 | ||||||||||
10,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 4.850%, 08/01/2036 | 8,438 | 0.0 | ||||||||||
5,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.000%, 08/01/2021 | 4,313 | 0.0 | ||||||||||
35,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.000%, 08/01/2040 | 30,188 | 0.0 | ||||||||||
90,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.000%, 08/01/2043 | 40,500 | 0.0 | ||||||||||
20,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.000%, 08/01/2046 | 17,250 | 0.0 | ||||||||||
50,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.250%, 08/01/2040 | 43,125 | 0.0 | ||||||||||
25,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.375%, 08/01/2038 | 11,250 | 0.0 | ||||||||||
75,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.500%, 08/01/2037 | 33,750 | 0.0 |
See Accompanying Notes to Financial Statements
6 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of June 30, 2018 (Unaudited) (Continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
MUNICIPAL BONDS: (continued) | ||||||||||||||
Puerto Rico: (continued) | ||||||||||||||
40,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.750%, 08/01/2037 | 18,000 | 0.0 | ||||||||||
5,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.750%, 08/01/2057 | 4,313 | 0.0 | ||||||||||
20,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.050%, 08/01/2037 | 17,225 | 0.0 | ||||||||||
10,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.050%, 08/01/2039 | 8,612 | 0.0 | ||||||||||
5,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.130%, 08/01/2028 | 4,306 | 0.0 | ||||||||||
5,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.130%, 08/01/2029 | 4,306 | 0.0 | ||||||||||
20,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.130%, 08/01/2030 | 17,225 | 0.0 | ||||||||||
15,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.130%, 08/01/2037 | 12,919 | 0.0 | ||||||||||
35,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.130%, 08/01/2038 | 30,144 | 0.0 | ||||||||||
65,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.000%, 08/01/2031 | 55,981 | 0.1 | ||||||||||
15,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.000%, 08/01/2032 | 12,919 | 0.0 | ||||||||||
40,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.000%, 08/01/2038 | 34,450 | 0.0 | ||||||||||
150,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.000%, 08/01/2039 | 67,500 | 0.1 | ||||||||||
35,000 | (3) | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 6.750%, 08/01/2032 | 15,750 | 0.0 | ||||||||||
612,938 | 0.3 | |||||||||||||
Total Municipal Bonds (Cost $2,396,255) | 2,443,288 | 1.2 | ||||||||||||
STRUCTURED PRODUCTS: 0.4% | ||||||||||||||
EGP | 4,890,000 | (4) | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 0.000%, 10/09/2018 | 260,874 | 0.1 | |||||||||
EGP | 5,000,000 | (1),(4) | Citigroup Global Markets, Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 0.000%, 11/01/2018 | 262,535 | 0.1 | |||||||||
EGP | 5,800,000 | (4) | JPMorgan Chase Bank N.A., Arab Republic of Egypt Treasury Bill Credit-Linked Notes, 0.000%, 07/02/2019 | 290,178 | 0.2 | |||||||||
Total Structured Products (Cost $827,919) | 813,587 | 0.4 | ||||||||||||
U.S. TREASURY OBLIGATIONS: 15.5% | ||||||||||||||
U.S. Treasury Bonds: 2.5% | ||||||||||||||
2,640,000 | 2.750%, 11/15/2047 | 2,516,920 | 1.2 | |||||||||||
2,650,000 | 2.875%, 11/15/2046 | 2,592,756 | 1.3 | |||||||||||
5,109,676 | 2.5 | |||||||||||||
U.S. Treasury Notes: 12.3% | ||||||||||||||
5,390,000 | 2.000%, 11/15/2026 | 5,050,388 | 2.4 | |||||||||||
9,040,000 | 2.125%, 07/31/2024 | 8,701,000 | 4.2 | |||||||||||
5,900,000 | 2.125%, 09/30/2024 | 5,671,721 | 2.7 | |||||||||||
3,110,000 | 2.125%, 11/30/2024 | 2,986,207 | 1.5 | |||||||||||
1,700,000 | 2.250%, 02/15/2027 | 1,622,139 | 0.8 | |||||||||||
1,490,000 | 2.875%, 04/30/2025 | 1,495,733 | 0.7 | |||||||||||
25,527,188 | 12.3 | |||||||||||||
U.S. Treasury STRIP: 0.7% | ||||||||||||||
1,930,000 | (4),(6),(8) | 0.000%, 02/15/2036 | 1,139,280 | 0.5 | ||||||||||
700,000 | (4),(6),(8) | 0.000%, 08/15/2036 | 407,149 | 0.2 | ||||||||||
1,546,429 | 0.7 | |||||||||||||
Total U.S. Treasury Obligations (Cost $33,049,926) | 32,183,293 | 15.5 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 28.4% | ||||||||||||||
Federal Home Loan Bank: 1.0% | ||||||||||||||
900,000 | 2.625%, 09/12/2025 | 875,911 | 0.4 | |||||||||||
1,300,000 | 2.875%, 06/13/2025 | 1,285,476 | 0.6 | |||||||||||
2,161,387 | 1.0 | |||||||||||||
Federal Home Loan Mortgage Corporation: 2.0%(9) | ||||||||||||||
84,237 | 4.000%, 02/01/2041 | 86,609 | 0.0 | |||||||||||
48,364 | 4.000%, 02/01/2041 | 49,693 | 0.0 | |||||||||||
4,000,000 | (10) | 4.000%, 07/01/2048 | 4,077,969 | 2.0 | ||||||||||
4,214,271 | 2.0 | |||||||||||||
Federal National Mortgage Association: 14.7%(9) | ||||||||||||||
1,400,000 | 1.875%, 09/24/2026 | 1,280,866 | 0.6 | |||||||||||
0 | 3.500%, 10/01/2042 | – | – | |||||||||||
0 | 3.500%, 05/01/2046 | – | – | |||||||||||
0 | 3.500%, 06/01/2046 | – | – | |||||||||||
99,114 | 4.000%, 01/01/2046 | 101,159 | 0.1 | |||||||||||
121,778 | 4.000%, 03/01/2046 | 124,287 | 0.1 | |||||||||||
135,036 | 4.000%, 03/01/2046 | 137,808 | 0.1 | |||||||||||
178,075 | 4.000%, 06/01/2046 | 181,754 | 0.1 | |||||||||||
45,215 | 4.000%, 08/01/2046 | 46,147 | 0.0 | |||||||||||
234,395 | 4.000%, 10/01/2046 | 239,225 | 0.1 | |||||||||||
51,862 | 4.000%, 10/01/2046 | 52,931 | 0.0 | |||||||||||
671,826 | 4.500%, 04/01/2045 | 709,696 | 0.3 | |||||||||||
76,919 | 4.500%, 05/01/2045 | 81,140 | 0.0 | |||||||||||
202,188 | 4.500%, 02/01/2046 | 210,772 | 0.1 | |||||||||||
0 | 4.500%, 06/01/2046 | – | – | |||||||||||
0 | 4.500%, 06/01/2047 | – | – |
See Accompanying Notes to Financial Statements
7 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of June 30, 2018 (Unaudited) (Continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | ||||||||||||||
Federal National Mortgage Association: (continued) | ||||||||||||||
1,955,762 | 4.500%, 07/01/2047 | 2,040,981 | 1.0 | |||||||||||
981,242 | 4.500%, 10/01/2047 | 1,027,714 | 0.5 | |||||||||||
140,702 | 4.500%, 11/01/2047 | 146,884 | 0.1 | |||||||||||
844,177 | 4.500%, 12/01/2047 | 879,990 | 0.4 | |||||||||||
0 | 4.500%, 01/01/2048 | – | – | |||||||||||
1,000,001 | 4.500%, 04/01/2048 | 1,044,370 | 0.5 | |||||||||||
808,544 | 4.500%, 04/01/2048 | 842,845 | 0.4 | |||||||||||
520,446 | 4.500%, 05/01/2048 | 542,617 | 0.3 | |||||||||||
1,483,943 | 4.500%, 06/01/2048 | 1,549,673 | 0.7 | |||||||||||
1,000,000 | 4.500%, 06/01/2048 | 1,043,522 | 0.5 | |||||||||||
10,000,000 | (10) | 4.500%, 07/01/2048 | 10,413,476 | 5.0 | ||||||||||
7,000,000 | (10) | 5.000%, 07/01/2048 | 7,415,523 | 3.6 | ||||||||||
109,458 | 6.000%, 09/01/2035 | 119,945 | 0.1 | |||||||||||
46,780 | 6.000%, 09/01/2036 | 51,609 | 0.0 | |||||||||||
53,141 | 6.000%, 12/01/2036 | 58,134 | 0.0 | |||||||||||
83,863 | 6.000%, 07/01/2037 | 92,021 | 0.1 | |||||||||||
55,065 | 6.000%, 08/01/2038 | 60,215 | 0.0 | |||||||||||
30,495,304 | 14.7 | |||||||||||||
Government National Mortgage Association: 10.7% | ||||||||||||||
2,580,628 | 4.000%, 10/20/2043 | 2,673,508 | 1.3 | |||||||||||
6,000,000 | (10) | 4.000%, 08/01/2044 | 6,139,570 | 2.9 | ||||||||||
402,177 | 4.000%, 07/20/2045 | 415,460 | 0.2 | |||||||||||
299,513 | 4.000%, 08/20/2045 | 309,402 | 0.1 | |||||||||||
315,246 | 4.000%, 09/20/2045 | 325,656 | 0.2 | |||||||||||
1,031,649 | 4.000%, 10/20/2045 | 1,065,729 | 0.5 | |||||||||||
0 | 4.000%, 11/20/2045 | – | – | |||||||||||
0 | 4.000%, 02/20/2046 | – | – | |||||||||||
0 | 4.000%, 03/20/2046 | – | – | |||||||||||
0 | 4.000%, 04/20/2046 | – | – | |||||||||||
0 | 4.000%, 05/20/2046 | – | – | |||||||||||
0 | 4.000%, 05/20/2047 | – | – | |||||||||||
917,934 | 4.000%, 07/20/2047 | 945,164 | 0.5 | |||||||||||
0 | 4.000%, 08/20/2047 | – | – | |||||||||||
0 | 4.000%, 09/20/2047 | – | – | |||||||||||
10,000,000 | (10) | 4.500%, 07/01/2044 | 10,395,508 | 5.0 | ||||||||||
22,269,997 | 10.7 | |||||||||||||
Total U.S. Government Agency Obligations (Cost $59,395,813) | 59,140,959 | 28.4 | ||||||||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 0.7% | ||||||||||||||
800,000 | (1) | Exantas Capital Corp. 2018-RSO6 A Ltd., 2.791%, (US0001M + 0.830%), 06/15/2035 | 799,997 | 0.4 | ||||||||||
600,000 | (1) | TPG Real Estate Finance 2018-FL-1 A Issuer Ltd., 2.823%, (US0001M + 0.750%), 02/15/2035 | 599,996 | 0.3 | ||||||||||
Total Commercial Mortgage-Backed Securities (Cost $1,400,000) | 1,399,993 | 0.7 | ||||||||||||
ASSET-BACKED SECURITIES: 18.5% | ||||||||||||||
Other Asset-Backed Securities: 10.4% | ||||||||||||||
1,050,000 | (1) | BlueMountain CLO 2014-2A AR, 3.289%, (US0003M + 0.930%), 07/20/2026 | 1,050,091 | 0.5 | ||||||||||
1,000,000 | (1) | Catamaran CLO 2013-1A AR Ltd., 3.216%, (US0003M + 0.850%), 01/27/2028 | 996,941 | 0.5 | ||||||||||
2,250,000 | (1) | CBAM 2018-5A A Ltd., 3.322%, (US0003M + 1.020%), 04/17/2031 | 2,239,886 | 1.1 | ||||||||||
1,300,000 | (1) | Crown Point CLO III Ltd. 2015-3A A1AR, 3.258%, (US0003M + 0.910%), 12/31/2027 | 1,299,986 | 0.6 | ||||||||||
1,050,000 | (1) | Cutwater 2014-1A A1AR, 3.598%, (US0003M + 1.250%), 07/15/2026 | 1,050,151 | 0.5 | ||||||||||
1,100,000 | (1) | Dryden XXVI Senior Loan Fund 2013-26A AR, 3.248%, (US0003M + 0.900%), 04/15/2029 | 1,095,508 | 0.5 | ||||||||||
800,000 | (1) | Halcyon Loan Advisors Funding 2015-2A A, 3.750%, (US0003M + 1.390%), 07/25/2027 | 799,990 | 0.4 | ||||||||||
1,550,000 | (1) | ICG US CLO 2014-1A A1R Ltd., 3.579%, (US0003M + 1.220%), 01/20/2030 | 1,550,927 | 0.7 | ||||||||||
1,600,000 | (1) | Madison Park Funding XXX Ltd. 2018-30A A, 3.089%, (US0003M + 0.750%), 04/15/2029 | 1,582,824 | 0.8 | ||||||||||
1,050,000 | (1) | OCP CLO 2015-9A A1R Ltd., 3.148%, (US0003M + 0.800%), 07/15/2027 | 1,048,356 | 0.5 | ||||||||||
2,000,000 | (1) | OFSI Fund VII Ltd. 2014-7A AR, 3.255%, (US0003M + 0.900%), 10/18/2026 | 1,999,976 | 1.0 | ||||||||||
350,000 | (1) | Ready Capital Mortgage Financing 2018-FL2 A LLC, 2.830%, (US0001M + 0.850%), 06/25/2035 | 350,112 | 0.2 | ||||||||||
2,150,000 | (1) | Saranac CLO Ltd 2014-2A A1AR, 3.561%, (US0003M + 1.230%), 11/20/2029 | 2,151,542 | 1.0 | ||||||||||
1,000,000 | Soundview Home Loan Trust 2005-2 M6, 3.171%, (US0001M + 1.080%), 07/25/2035 | 1,013,528 | 0.5 | |||||||||||
800,000 | (1) | Trinitas CLO II Ltd. 2014-2A A1R, 3.528%, (US0003M + 1.180%), 07/15/2026 | 800,093 | 0.4 | ||||||||||
1,110,000 | (1) | Tryon Park CLO Ltd. 2013-1A A1SR, 3.238%, (US0003M + 0.890%), 04/15/2029 | 1,108,611 | 0.5 | ||||||||||
1,500,000 | (1) | York CLO 1 Ltd. 2014-1A AR, 3.512%, (US0003M + 1.150%), 01/22/2027 | 1,500,237 | 0.7 | ||||||||||
21,638,759 | 10.4 | |||||||||||||
Student Loan Asset-Backed Securities: 8.1% | ||||||||||||||
1,089,290 | (1) | Academic Loan Funding Trust 2012-1A A2, 3.191%, (US0001M + 1.100%), 12/27/2044 | 1,098,547 | 0.5 |
See Accompanying Notes to Financial Statements
8 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of June 30, 2018 (Unaudited) (Continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
ASSET-BACKED SECURITIES: (continued) | ||||||||||||||
Student Loan Asset-Backed Securities: (continued) | ||||||||||||||
169,714 | (1) | Bank of America Student Loan Trust 2010-1A A, 3.160%, (US0003M + 0.800%), 02/25/2043 | 170,474 | 0.1 | ||||||||||
732,109 | (1) | ECMC Group Student Loan Trust 2016-1, 3.441%, (US0001M + 1.350%), 07/26/2066 | 745,038 | 0.3 | ||||||||||
520,117 | (1) | Edsouth Indenture No 9 LLC 2015-1 A, 2.891%, (US0001M + 0.800%), 10/25/2056 | 521,979 | 0.2 | ||||||||||
1,100,000 | (1) | EFS Volunteer No 2 LLC 2012-1 A2, 3.441%, (US0001M + 1.350%), 03/25/2036 | 1,122,888 | 0.5 | ||||||||||
650,000 | (1) | EFS Volunteer No 3 LLC 2012-1 A3, 3.091%, (US0001M + 1.000%), 04/25/2033 | 654,703 | 0.3 | ||||||||||
600,000 | Montana Higher Education Student Assistance Corp. 2012-1 A3, 2.998%, (US0001M + 1.050%), 07/20/2043 | 604,110 | 0.3 | |||||||||||
1,567,089 | (1) | Navient Student Loan Trust 2016-5A A, 3.341%, (US0001M + 1.250%), 06/25/2065 | 1,610,473 | 0.8 | ||||||||||
767,905 | (1) | Navient Student Loan Trust 2016-7 A, 3.241%, (US0001M + 1.150%), 03/25/2066 | 783,260 | 0.4 | ||||||||||
1,050,000 | (1) | Nelnet Student Loan Trust 2006-1 A6, 2.780%, (US0003M + 0.450%), 08/23/2036 | 1,028,964 | 0.5 | ||||||||||
1,100,000 | (1) | Nelnet Student Loan Trust 2006-2 A7, 2.940%, (US0003M + 0.580%), 01/25/2037 | 1,077,516 | 0.5 | ||||||||||
786,234 | (1) | Pennsylvania Higher Education Association Student Loan Trust 2016-1, 3.241%, (US0001M + 1.150%), 09/25/2065 | 799,028 | 0.4 | ||||||||||
260,514 | (1) | Scholar Funding Trust 2010-A A, 3.109%, (US0003M + 0.750%), 10/28/2041 | 259,778 | 0.1 | ||||||||||
581,923 | (1) | SLM Student Loan Trust 2003-1 A5A, 2.451%, (US0003M + 0.110%), 12/15/2032 | 559,592 | 0.3 | ||||||||||
759,072 | (1) | SLM Student Loan Trust 2003-7A A5A, 3.541%, (US0003M + 1.200%), 12/15/2033 | 769,245 | 0.4 | ||||||||||
550,000 | (1) | SLM Student Loan Trust 2004-8A A6, 2.990%, (US0003M + 0.630%), 01/25/2040 | 553,749 | 0.3 | ||||||||||
562,133 | SLM Student Loan Trust 2005-4 A3, 2.480%, (US0003M + 0.120%), 01/25/2027 | 560,295 | 0.3 | |||||||||||
300,523 | SLM Student Loan Trust 2007-1 A5, 2.450%, (US0003M + 0.090%), 01/26/2026 | 299,794 | 0.1 | |||||||||||
750,000 | SLM Student Loan Trust 2007-2 A4, 2.420%, (US0003M + 0.060%), 07/25/2022 | 733,801 | 0.3 | |||||||||||
396,945 | SLM Student Loan Trust 2007-7 A4, 2.690%, (US0003M + 0.330%), 01/25/2022 | 389,463 | 0.2 | |||||||||||
143,502 | SLM Student Loan Trust 2008-2 A3, 3.110%, (US0003M + 0.750%), 04/25/2023 | 143,262 | 0.1 | |||||||||||
398,522 | SLM Student Loan Trust 2008-4 A4, 4.010%, (US0003M + 1.650%), 07/25/2022 | 407,070 | 0.2 | |||||||||||
1,085,340 | SLM Student Loan Trust 2008-5 A4, 4.060%, (US0003M + 1.700%), 07/25/2023 | 1,114,673 | 0.5 | |||||||||||
563,150 | SLM Student Loan Trust 2008-6 A4, 3.460%, (US0003M + 1.100%), 07/25/2023 | 568,194 | 0.3 | |||||||||||
350,000 | SLM Student Loan Trust 2008-8 A4, 3.860%, (US0003M + 1.500%), 04/25/2023 | 358,500 | 0.2 | |||||||||||
16,934,396 | 8.1 | |||||||||||||
Total Asset-Backed Securities (Cost $38,217,737) | 38,573,155 | 18.5 | ||||||||||||
FOREIGN GOVERNMENT BONDS: 2.4% | ||||||||||||||
130,000 | (3),(11) | Argentina Government International Bond, 2.500% (Step Rate @ 2.500% on 03/31/2019), 12/31/2038 | 74,198 | 0.0 | ||||||||||
30,000 | (5) | Argentina Government International Bond, 7.125%, 06/28/2117 | 22,958 | 0.0 | ||||||||||
EUR | 10,000 | (11) | Argentine Republic Government International Bond, 2.260% (Step Rate @ 2.260% on 03/31/2019), 12/31/2038 | 6,919 | 0.0 | |||||||||
EUR | 160,000 | Argentine Republic Government International Bond, 3.375%, 01/15/2023 | 170,265 | 0.1 | ||||||||||
EUR | 190,000 | Argentine Republic Government International Bond, 5.250%, 01/15/2028 | 191,282 | 0.1 | ||||||||||
370,000 | Argentine Republic Government International Bond, 6.875%, 01/11/2048 | 280,464 | 0.1 | |||||||||||
250,000 | (1) | Ecuador Government International Bond, 7.875%, 01/23/2028 | 210,363 | 0.1 |
See Accompanying Notes to Financial Statements
9 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of June 30, 2018 (Unaudited) (Continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
FOREIGN GOVERNMENT BONDS: (continued) | ||||||||||||||
200,000 | Ecuador Government International Bond, 9.625%, 06/02/2027 | 186,490 | 0.1 | |||||||||||
EUR | 100,000 | (1) | Indonesia Government International Bond, 2.150%, 07/18/2024 | 117,849 | 0.1 | |||||||||
1,375,000 | Israel Government AID Bond, 5.500%, 09/18/2023 | 1,548,308 | 0.8 | |||||||||||
1,039,000 | Israel Government AID Bond, 5.500%, 12/04/2023 | 1,174,890 | 0.6 | |||||||||||
MXN | 1,032,900 | Mexican Bonos, 6.500%, 06/10/2021 | 50,401 | 0.0 | ||||||||||
MXN | 2,257,000 | Mexican Bonos, 6.500%, 06/09/2022 | 109,123 | 0.1 | ||||||||||
MXN | 434,700 | Mexican Bonos, 7.750%, 11/23/2034 | 22,112 | 0.0 | ||||||||||
MXN | 19,100 | Mexican Bonos, 8.000%, 11/07/2047 | 997 | 0.0 | ||||||||||
MXN | 656,800 | Mexico Government Bond, 8.000%, 12/07/2023 | 33,571 | 0.0 | ||||||||||
240,000 | (3) | Petroleos de Venezuela SA, 5.375%, 04/12/2027 | 54,164 | 0.0 | ||||||||||
ZAR | 990,000 | Republic of South Africa Government Bond, 6.250%, 03/31/2036 | 52,295 | 0.0 | ||||||||||
ZAR | 300,000 | Republic of South Africa Government Bond, 6.500%, 02/28/2041 | 15,606 | 0.0 | ||||||||||
ZAR | 1,490,000 | Republic of South Africa Government Bond, 7.000%, 02/28/2031 | 90,303 | 0.1 | ||||||||||
ZAR | 560,000 | Republic of South Africa Government Bond, 8.000%, 01/31/2030 | 37,299 | 0.0 | ||||||||||
ZAR | 2,647,000 | Republic of South Africa Government Bond, 8.250%, 03/31/2032 | 176,077 | 0.1 | ||||||||||
ZAR | 590,000 | Republic of South Africa Government Bond, 8.750%, 01/31/2044 | 39,354 | 0.0 | ||||||||||
ZAR | 530,000 | Republic of South Africa Government Bond, 8.875%, 02/28/2035 | 36,559 | 0.0 | ||||||||||
ZAR | 60,000 | Republic of South Africa Government Bond, 9.000%, 01/31/2040 | 4,117 | 0.0 | ||||||||||
280,000 | Turkey Government International Bond, 5.125%, 02/17/2028 | 247,309 | 0.1 | |||||||||||
40,000 | (3) | Venezuela Government International Bond, 6.000%, 12/09/2020 | 10,700 | 0.0 | ||||||||||
Total Foreign Government Bonds (Cost $5,295,237) | 4,963,973 | 2.4 | ||||||||||||
Total Long-Term Investments (Cost $211,644,902) | 208,844,120 | 100.3 | ||||||||||||
SHORT-TERM INVESTMENTS: 17.8% | ||||||||||||||
Commercial Paper: 6.8% | ||||||||||||||
450,000 | AT&T INC Disc, 2.710%, 10/09/2018 | 446,647 | 0.2 | |||||||||||
500,000 | Duke Energy, 2.530%, 08/27/2018 | 497,995 | 0.2 | |||||||||||
420,000 | Eastman, 2.660%, 07/06/2018 | 419,816 | 0.2 | |||||||||||
523,000 | Hewlett, 2.150%, 07/11/2018 | 522,661 | 0.2 | |||||||||||
523,000 | Hewlett, 2.160%, 07/10/2018 | 522,690 | 0.2 | |||||||||||
419,000 | HP INC, 2.090%, 07/23/2018 | 418,449 | 0.2 | |||||||||||
1,000,000 | Marriott, 2.470%, 07/31/2018 | 997,905 | 0.5 | |||||||||||
950,000 | Mondelez Intl, 2.650%, 10/02/2018 | 943,570 | 0.5 | |||||||||||
316,000 | Nutrien, 2.690%, 07/18/2018 | 315,581 | 0.2 | |||||||||||
250,000 | Nutrien Ltd DI, 2.700%, 07/16/2018 | 249,704 | 0.1 | |||||||||||
500,000 | Schlumberger, 2.420%, 08/22/2018 | 498,251 | 0.2 | |||||||||||
1,000,000 | Schlumberger, 2.530%, 09/21/2018 | 994,274 | 0.5 | |||||||||||
250,000 | Sempra, 2.470%, 07/31/2018 | 249,476 | 0.1 | |||||||||||
418,000 | Southern, 2.540%, 08/30/2018 | 416,231 | 0.2 | |||||||||||
319,000 | Suncor, 3.020%, 07/03/2018 | 318,921 | 0.2 | |||||||||||
600,000 | Suncor Energy, 2.520%, 08/21/2018 | 597,854 | 0.3 | |||||||||||
1,112,000 | United Overseas, 2.170%, 07/27/2018 | 1,110,222 | 0.5 | |||||||||||
1,214,000 | Versailles, 2.300%, 07/09/2018 | 1,213,312 | 0.6 | |||||||||||
2,000,000 | Victory Receivables, 2.380%, 10/02/2018 | 1,987,792 | 1.0 | |||||||||||
695,000 | VW, 2.500%, 08/13/2018 | 692,911 | 0.3 | |||||||||||
750,000 | VW Credit, 2.610%, 09/20/2018 | 745,630 | 0.4 | |||||||||||
14,159,892 | 6.8 |
See Accompanying Notes to Financial Statements
10 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of June 30, 2018 (Unaudited) (Continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
SHORT-TERM INVESTMENTS: (continued) | ||||||||||||||
Securities Lending Collateral(12): 0.1% | ||||||||||||||
217,674 | National Bank Financial, Repurchase Agreement dated 06/29/18, 2.01%, due 07/02/18 (Repurchase Amount $217,710, collateralized by various U.S. Government Securities, 0.000%-6.000%, Market Value plus accrued interest $222,028, due 09/06/18-09/09/49) (Cost $217,674) | 217,674 | 0.1 |
Shares | Value | Percentage of Net Assets | ||||||||||||
Mutual Funds: 10.9% | ||||||||||||||
22,726,023 | (13) | BlackRock Liquidity Funds, FedFund, Institutional Class, 1.800% (Cost $22,726,023) | 22,726,023 | 10.9 | ||||||||||
Total Short-Term Investments (Cost $37,103,960) | 37,103,589 | 17.8 | ||||||||||||
Total Investments in Securities (Cost $248,748,862) | $ | 245,947,709 | 118.1 | |||||||||||
Liabilities in Excess of Other Assets | (37,691,022 | ) | (18.1 | ) | ||||||||||
Net Assets | $ | 208,256,687 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
(1) | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
(2) | Variable rate security. Rate shown is the rate in effect as of June 30, 2018. |
(3) | Defaulted security |
(4) | Represents a zero coupon bond. Rate shown reflects the effective yield as of June 30, 2018. |
(5) | Security, or a portion of the security, is on loan. |
(6) | 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. |
(7) | For fair value measurement disclosure purposes, security is categorized as Level 3, whose value was determined using significant unobservable inputs. |
(8) | Separate Trading of Registered Interest and Principal of Securities |
(9) | 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. |
(10) | Settlement is on a when-issued or delayed-delivery basis. |
(11) | Step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rates shown reflect the current and next coupon rate as of June 30, 2018. |
(12) | Represents securities purchased with cash collateral received for securities on loan. |
(13) | Rate shown is the 7-day yield as of June 30, 2018. |
EGP | Egyptian Pound |
EUR | EU Euro |
GBP | British Pound |
MXN | Mexican Peso |
ZAR | South African Rand |
Reference Rate Abbreviations: | |
12MTA | 12-month Treasury Average |
BP0003M | 3-month GBP-LIBOR |
EUR003M | 3-month EURIBOR |
US0001M | 1-month LIBOR |
US0003M | 3-month LIBOR |
See Accompanying Notes to Financial Statements
11 |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
(a) | Based on our evaluation conducted within 90 days of the filing date, hereof, the design and operation of the registrant’s disclosure controls and procedures are effective to ensure that material information relating to the registrant is made known to the certifying officers by others within the appropriate entities, particularly during the period in which Forms N-CSR are being prepared, and the registrant’s disclosure controls and procedures allow timely preparation and review of the information for the registrant’s Form N-CSR and the officer certifications of such Form N-CSR. |
(b) | There were no significant changes in the registrant’s internal controls that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. Exhibits.
(a)(1) | The Code of Ethics is not required for the semi-annual filing. |
(a)(2) | A separate certification for each principal executive officer and principal financial officer of the registrant is required by Rule 30a-2 under the Act (17 CFR 270.30a-2) is attached hereto as EX-99.CERT. |
(a)(3) | Not required for semi-annual filing. |
(b) | The officer certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant): Voya Variable Insurance Trust | ||
By | /s/ Michael Bell | |
Michael Bell | ||
Chief Executive Officer |
Date: September 7, 2018
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/ Michael Bell | |
Michael Bell | ||
Chief Executive Officer |
Date: September 7, 2018
By | /s/ Todd Modic | |
Todd Modic | ||
Senior Vice President and Chief Financial Officer |
Date: September 7, 2018