“Level 2” and significant unobservable inputs, including the sub-advisers’ or Pricing Committee’s judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as “Level 3.” The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Short-term securities of sufficient credit quality are generally considered to be Level 2 securities under applicable accounting rules. A table summarizing each Portfolio’s investments under these levels of classification is included following the Portfolio of Investments.
GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. The beginning of period timing recognition is used for the transfers between levels of the Portfolio’s assets and liabilities. A reconciliation of Level 3 investments is presented only when a Portfolio has a significant amount of Level 3 investments.
Although the net assets and the market values are presented at the foreign exchange rates at Market Close, the Portfolios do not isolate the portion of their results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses from investments. For securities, which are subject to foreign withholding tax upon disposition, liabilities are recorded on the Statement of Assets and Liabilities for the estimated tax withholding based on the securities’ current market value. Upon disposition, realized gains or losses on such securities are recorded net of foreign withholding tax.
Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of dividends, interest, and foreign withholding tax reclaims recorded on the Portfolios’ books, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities, resulting from changes in the exchange rate. Foreign security and currency transactions may involve certain considerations and risks not typically associated with investing in U.S. companies and U.S. government securities. These risks include, but are not limited to, revaluation of currencies and future adverse political and economic developments which could cause securities and their markets to be less liquid and prices more volatile than those of comparable U.S. companies and U.S. government securities. The foregoing risks are even greater with respect to securities of issuers in emerging markets.
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
The Portfolios may utilize equalization accounting for tax purposes, whereby a portion of redemption payments are treated as distributions of income or gain.
F. Use of Estimates. The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
G. Risk Exposures and the Use of Derivative Instruments. The Portfolios’ investment strategies permit the Portfolios to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, a Portfolio will employ strategies in differing combinations to permit it to increase or decrease the level of risk, or change the level or types of exposure to risk factors. This may allow a Portfolio to pursue its objectives more quickly, and efficiently than if it were to make direct purchases or sales of securities capable of affecting a similar response to market or credit factors.
In pursuit of its investment objectives, a Portfolio may seek to increase or decrease its exposure to the following market or credit risk factors:
Credit Risk. The price of a bond or other debt instrument is likely to fall if the issuer’s actual or perceived financial health deteriorates, whether because of broad economic or issuer-specific reasons. In certain cases, the issuer could be late in paying interest or principal, or could fail to pay its financial obligations altogether.
Equity Risk. Stock prices may be volatile or have reduced liquidity in response to real or perceived impacts of factors including, but not limited to, economic conditions, changes in market interest rates, and political events. Stock markets tend to be cyclical, with periods when stock prices generally rise and periods when stock prices generally decline. Any given stock market segment may remain out of favor with investors for a short or long period of time, and stocks as an asset class may underperform bonds or other asset classes during some periods. Additionally, legislative, regulatory or tax policies or developments in these areas may adversely impact the investment techniques available to a manager, add to costs and impair the ability of a Portfolio to achieve its investment objectives.
Foreign Exchange Rate Risk. To the extent that a Portfolio invests directly in foreign (non-U.S.) currencies or in securities denominated in, or that trade in, foreign (non-U.S.) currencies, it is subject to the risk that those foreign (non-U.S.) currencies will decline in value relative to the U.S. dollar or, in the case of hedging positions, that the U.S. dollar will decline in value relative to the currency being hedged by a Portfolio through foreign currency exchange transactions.
Currency rates may fluctuate significantly over short periods of time. Currency rates may be affected by changes in market interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, by the imposition of currency controls, or other political or economic developments in the United States or abroad.
Interest Rate Risk. With bonds and other fixed rate debt instruments, a rise in market interest rates generally causes values to fall; conversely, values generally rise as market interest rates fall. The higher the credit quality of the instrument, and the longer its maturity or duration, the more sensitive it is likely to be to interest rate risk. In the case of inverse securities, the interest rate paid by the securities is a floating rate, which generally will decrease when the market rate of interest to which the inverse security is indexed increases and will increase when the market rate of interest to which the inverse security is indexed decreases. As of the date of this report, market interest rates in the United States are at or near historic lows, which may increase a Portfolio’s exposure to risks associated with rising market interest rates. Rising market interest rates could have unpredictable effects on the markets and may expose fixed-income and related markets to heightened volatility. For a fund that invests in fixed-income securities, an increase in market interest rates may lead to increased redemptions and increased portfolio turnover, which could reduce liquidity for certain investments, adversely affect values, and increase costs. If dealer capacity in fixed-income markets is insufficient for market conditions, it may further inhibit liquidity and increase volatility in the fixed-income markets. Further, recent and potential changes in government policy may affect interest rates.
Risks of Investing in Derivatives. A Portfolio’s use of derivatives can result in losses due to unanticipated changes in the market or credit risk factors and the overall market. In instances where a Portfolio is using derivatives to decrease, or hedge, exposures to market or credit risk factors for securities held by a Portfolio, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions.
13
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
Derivative instruments are subject to a number of risks, including the risk of changes in the market price of the underlying securities, credit risk with respect to the counterparty, risk of loss due to changes in market interest rates and liquidity and volatility risk. The amounts required to purchase certain derivatives may be small relative to the magnitude of exposure assumed by a Portfolio. Therefore, the purchase of certain derivatives may have an economic leveraging effect on a Portfolio and exaggerate any increase or decrease in the NAV. Derivatives may not perform as expected, so a Portfolio may not realize the intended benefits. When used for hedging purposes, the change in value of a derivative may not correlate as expected with the currency, security or other risk being hedged. When used as an alternative or substitute for direct cash investments, the return provided by the derivative may not provide the same return as direct cash investment. In addition, given their complexity, derivatives expose a Portfolio to the risk of improper valuation.
Generally, derivatives are sophisticated financial instruments whose performance is derived, at least in part, from the performance of an underlying asset or assets. Derivatives include, among other things, swap agreements, options, forwards and futures. Investments in derivatives are generally negotiated OTC with a single counterparty and as a result are subject to credit risks related to the counterparty’s ability or willingness to perform its obligations; any deterioration in the counterparty’s creditworthiness could adversely affect the value of the derivative. In addition, derivatives and their underlying securities may experience periods of illiquidity which could cause a Portfolio to hold a security it might otherwise sell, or to sell a security it otherwise might hold at inopportune times or at an unanticipated price. A manager might imperfectly judge the direction of the market. For instance, if a derivative is used as a hedge to offset investment risk in another security, the hedge might not correlate to the market’s movements and may have unexpected or undesired results such as a loss or a reduction in gains.
The U.S. government has enacted legislation that provides for new regulation of the derivatives market, including clearing, margin, reporting, and registration requirements. The European Union is (and other countries outside of the European Union are) implementing similar requirements, which will affect a Portfolio when it enters into a derivatives transaction with a counterparty organized in that country or otherwise subject to that country’s derivatives regulations. Because these requirements are new and evolving (and some of the rules are not yet final), their ultimate impact remains unclear. Central clearing is expected to reduce counterparty risk and increase liquidity, however, there is no assurance that it will achieve that result, and in the meantime, central clearing and related requirements expose a Portfolio to new kinds of costs and risks.
Counterparty Credit Risk and Credit Related Contingent Features. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to a Portfolio. Each Portfolio’s derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. A Portfolio intends to enter into financial transactions with counterparties that it believes to be creditworthy at the time of the transaction. To reduce this risk, a Portfolio has entered into master netting arrangements, established within each Portfolio’s International Swap and Derivatives Association, Inc. (“ISDA”) Master Agreements (“Master Agreements”). These Master Agreements are with select counterparties and they govern transactions, including certain OTC derivative and forward foreign currency contracts, entered into by a Portfolio and the counterparty. The Master Agreements maintain provisions for general obligations, representations, agreements, collateral, and events of default or termination. The occurrence of a specified event of termination may give a counterparty the right to terminate all of its contracts and affect settlement of all outstanding transactions under the applicable Master Agreement.
A Portfolio may also enter into collateral agreements with certain counterparties to further mitigate counterparty credit risk on OTC derivative and forward foreign currency contracts. Subject to established minimum levels, collateral is generally determined based on the net aggregate unrealized gain or loss on contracts with a certain counterparty. Collateral pledged to or from a Portfolio is held in a segregated account by a third-party agent and can be in the form of cash or debt securities issued by the U.S. government or related agencies.
At June 30, 2018, the maximum amount of loss that BlackRock Inflation Protected Bond and Goldman Sachs Bond would incur if the counterparties to their derivative transactions failed to perform would be $7,628,853 and $788,493, respectively, which represents the gross payments to be received by the Portfolios on OTC purchased options, forward foreign currency contracts, and OTC inflation-linked swaps were they to be unwound as of June 30, 2018. At June 30, 2018, BlackRock Inflation Protected Bond had received $6,400,000 in cash collateral from certain counterparties. At June 30, 2018, Goldman Sachs Bond had not received any cash collateral for their open OTC derivative transactions.
Each Portfolio has credit related contingent features that if triggered would allow its derivative counterparties to close
14
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED)
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.
At June 30, 2018, BlackRock Inflation Protected Bond and Goldman Sachs Bond had a liability position of $1,210,385 and $2,157,627, respectively, on open OTC credit default and interest rate swaps, forward foreign currency contracts and OTC written options with interest rate related contingent features. If a contingent feature would have been triggered as of June 30, 2018, the Portfolios could have been required to pay this amount in cash to its counterparties. At June 30, 2018, BlackRock Inflation Protected Bond and Goldman Sachs Bond had pledged $182,000 and $830,000, respectively, in cash collateral for their open OTC derivative transactions.
H. Forward Foreign Currency Contracts. A Portfolio may enter into forward foreign currency contracts primarily to hedge against foreign currency exchange rate risk on its non-U.S. dollar denominated investment securities. When entering into a forward foreign currency contract, a Portfolio agrees to receive or deliver a fixed quantity of foreign currency for an agreed-upon price on an agreed future date. These contracts are valued daily and a Portfolio’s net equity therein, representing unrealized gain or loss on the contracts as measured by the difference between the forward foreign exchange rates at the dates of entry into the contracts and the forward rates at the reporting date, is included in the Statements of Assets and Liabilities. Realized and unrealized gains and losses are included in the Statements of Operations. These instruments involve market and/or credit risk in excess of the amount recognized in the Statements of Assets and Liabilities. Risks arise from the possible inability of counterparties to meet the terms of their contracts and from movement in currency and securities values and interest rates. Open forward foreign currency contracts are presented following the Portfolio of Investments.
For the six months ended June 30, 2018, BlackRock Inflation Protected Bond and Goldman Sachs Bond had entered into forward foreign currency contracts with the obligation to buy and sell specified foreign currencies in the future at a currently negotiated forward rate in order to increase or decrease exposure to foreign exchange rate risk. The Portfolios use forward foreign currency contracts primarily to protect its non-U.S. dollar-denominated holdings from adverse currency movements and to gain exposure to currencies for the purposes of risk management or enhanced return.
During the six months ended June 30, 2018, BlackRock Inflation Protected Bond and Goldman Sachs Bond had average contract amounts on forward foreign currency contracts purchased and sold as disclosed below. Please refer to the tables following each respective Portfolio of Investments for open forward foreign currency contracts at June 30, 2018.
| | | | Purchased
| | Sold
|
|---|
| BlackRock Inflation Protected Bond | | | | $ | 29,370,066 | | | $ | 20,879,179 | |
| Goldman Sachs Bond | | | | | 313,391,540 | | | | 54,787,992 | |
I. Futures Contracts. Each Portfolio may enter into futures contracts involving foreign currency, interest rates, securities and security indices. A futures contract is a commitment to buy or sell a specific amount of a financial instrument at a negotiated price on a stipulated future date. Each Portfolio may buy and sell futures contracts. Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when a Portfolio’s assets are valued.
Upon entering into a futures contract, a Portfolio is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by a Portfolio each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses. Open futures contracts are reported on a table following the Portfolio of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are footnoted in the Portfolio of Investments. Cash collateral held by the broker to cover initial margin requirements on open futures contracts are noted in the Statements of Assets and Liabilities. The net change in unrealized appreciation and depreciation is reported in the Statements of Operations. Realized gains (losses) are reported in the Statements of Operations at the closing or expiration of futures contracts.
At June 30, 2018, BlackRock Inflation Protected Bond had pledged U.S. Treasury Inflation Indexed Protected Securities with an original par value of $732,000 with the broker as collateral for open futures contracts. The securities have been footnoted as pledged in the Portfolio of Investments.
15
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
Futures contracts are exposed to the market risk factor of the underlying financial instrument. Additional associated risks of entering into futures contracts include the possibility that there may be an illiquid market where a Portfolio is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of a Portfolio’s securities. With futures, there is minimal counterparty credit risk to a Portfolio since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. During the six months ended June 30, 2018, BlackRock Inflation Protected Bond and Goldman Sachs Bond had purchased and sold futures contracts on various bonds and notes as part of their duration strategy.
During the six months ended June 30, 2018, BlackRock Inflation Protected Bond and Goldman Sachs Bond had average notional values on futures contracts purchased and sold as disclosed below. Please refer to the tables following each respective Portfolio of Investments for open futures contracts at June 30, 2018.
| | | | Purchased
| | Sold
|
|---|
| BlackRock Inflation Protected Bond | | | | $ | 187,417,977 | | | $ | 180,458,104 | |
| Goldman Sachs Bond | | | | | 57,259,470 | | | | 41,796,401 | |
J. Options Contracts. The Portfolios may purchase put and call options and may write (sell) put options and covered call options. The Portfolios may engage in option transactions as a hedge against adverse movements in the value of portfolio holdings or to increase market exposure. Option contracts are valued daily and unrealized gains or losses are recorded based upon the last sales price on the principal exchange on which the options are traded. An amount equal to the premium received by the Portfolios upon the writing of a put or call option is included in the Statements of Assets and Liabilities as a liability which is subsequently marked-to-market until it is exercised or closed, or it expires. The Portfolios will realize a gain or loss upon the expiration or closing of the option contract. When an option is exercised, the proceeds on sales of the underlying security for a written call option, the purchase cost of the security for a written put option, or the cost of the security for a purchased put or call option is adjusted by the amount of premium received or paid. Realized and unrealized gains or losses on option contracts are reflected in the accompanying financial statements. The risk in writing a covered call option is that a Portfolio gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that a Portfolio may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that a Portfolio pays a premium whether or not the option is exercised. Risks may also arise from an illiquid secondary market or from the inability of counterparties to meet the terms of the contract.
During the six months ended June 30, 2018, BlackRock Inflation Protected Bond had purchased and written options on exchange-traded futures contracts to manage its duration strategy and to generate income. Please refer to the Portfolio of Investments and the tables following for open purchased and written options on exchange-traded futures contracts at June 30, 2018.
During the six months ended June 30, 2018, BlackRock Inflation Protected Bond had purchased and written options on foreign currencies to manage its foreign exchange exposure and to generate income. Please refer to the Portfolio of Investments and the tables following for open purchased and written foreign currency options at June 30, 2018.
During the six months ended June 30, 2018, BlackRock Inflation Protected Bond had purchased and written interest rate swap options (“swaptions”) to manage its duration strategy and to generate income. Please refer to the Portfolio of Investments and the tables following for open purchased and written interest rate swaptions at June 30, 2018.
During the six months ended June 30, 2018, BlackRock Inflation Protected Bond had written inflation rate caps to generate income. There were no open written inflation rate caps at June 30, 2018.
Please refer to Note 9 for the volume of both purchased and written option activity for BlackRock Inflation Protected Bond during the six months ended June 30, 2018.
K. Swap Agreements. The Portfolios may enter into swap agreements. A swap is an agreement between two parties pursuant to which each party agrees to make one or more payments to the other at specified future intervals based on the return of an asset (such as a stock, bond or currency) or non-asset reference (such as an interest rate or index). Swap agreements are privately negotiated in the OTC market and may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“centrally cleared swaps”).
The swap agreement will specify the “notional” amount of the asset or non-asset reference to which the contract relates. Subsequent changes in market value, if any, are calculated based upon changes in the performance of the asset or non-asset reference multiplied by the notional value of the contract. The Portfolios may enter into credit default, interest rate, total return and currency swaps to manage its exposure to credit, currency and interest rate
16
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
risk. All outstanding swap agreements are reported following the Portfolio of Investments.
Swaps are marked to market daily using quotations primarily from third party pricing services, counterparties or brokers. The value of the swap contract is recorded on the Statements of Assets and Liabilities. During the term of the swap, changes in the value of the swap, if any, are recorded as unrealized gains or losses on the Statements of Operations. Upfront payments paid or received by a Portfolio when entering into the agreements are reported on the Statements of Assets and Liabilities and as a component of the changes in unrealized gains or losses on the Statements of Operations. These upfront payments represent the amounts paid or received when initially entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and the prevailing market conditions. The upfront payments are included as a component in the realized gains or losses on the Statements of Operations upon termination or maturity of the swap. A Portfolio also records net periodic payments paid or received on the swap contract as a realized gain or loss on the Statements of Operations.
In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the “CCP”) and a Portfolio’s counterparty on the swap agreement becomes the CCP. A Portfolio is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, a Portfolio is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin are footnoted as pledged on the Portfolio of Investments and cash deposited is recorded on the Statements of Assets and Liabilities as cash pledged for centrally cleared swaps. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statements of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) on the Statements of Operations.
Entering into swap agreements involves the risk that the maximum potential loss of an investment exceeds the current value of the investment as reported on the Statements of Assets and Liabilities. Other risks involve the possibility that the counterparty to the agreements may default on its obligation to perform, that there will be no liquid market for these investments and that unfavorable changes in the market will have a negative impact on the value of the index or securities underlying the respective swap agreement.
Credit Default Swap Contracts. A credit default swap is a bilateral agreement between counterparties in which the buyer of the protection agrees to make a stream of periodic payments to the seller of protection in exchange for the right to receive a specified return in the event of a default or other credit event for a referenced entity, obligation or index. As a seller of protection on credit default swaps, a Portfolio will generally receive from the buyer a fixed payment stream based on the notional amount of the swap contract. This fixed payment stream will continue until the swap contract expires or a defined credit event occurs.
A Portfolio is subject to credit risk in the normal course of pursuing its investment objectives. As a seller of protection in a credit default swap, a Portfolio may execute these contracts to manage its exposure to the market or certain sectors of the market. Certain Portfolios may also enter into credit default swaps to speculate on changes in an issuer’s credit quality, to take advantage of perceived spread advantages, or to offset an existing short equivalent (i.e. buying protection on an equivalent reference entity).
A Portfolio may sell credit default swaps which expose these Portfolios to the risk of loss from credit risk related events specified in the contract. Although contract specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default or repudiation/ moratorium. If a Portfolio is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will generally either (i) pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index. If a Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery
17
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED)
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.
Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues are disclosed following the Portfolio of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting fair values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of June 30, 2018, for which a Portfolio is seller of protection are disclosed following the Portfolio of Investments for Goldman Sachs Bond. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreements, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Portfolio for the same referenced entity or entities.
For the six months ended June 30, 2018, Goldman Sachs Bond had bought and sold credit protection on credit default swap indices (“CDX”) and single name issuers (Corporate or Sovereign). A CDX is a basket of credit instruments or exposures designed to be representative of some part of the credit market as a whole. Goldman Sachs Bond used CDX swaps to gain additional exposure within various sectors and to hedge the credit risk associated with various sectors within the credit and commercial mortgage-backed securities market. In addition, Goldman Sachs Bond bought credit protection on single name issuers to reduce its risk exposure to defaults of corporate and/or sovereign issuers.
For the period ended June 30, 2018, Goldman Sachs Bond had an average notional amount of $16,129,282 on credit default swaps to buy protection and an average notional amount of $2,400,000 on credit default swaps to sell protection. Please refer to the tables following the Portfolio of Investments for open credit default swaps to buy and sell protection at June 30, 2018.
Interest Rate Swap Contracts. An interest rate swap involves the agreement between counterparties to exchange periodic payments based on interest rates. One payment will be based on a floating rate of a specified interest rate while the other will be a fixed rate. Risks involve the future fluctuations of interest rates in which a Portfolio may make payments that are greater than what a Portfolio received from the counterparty. Other risks include credit, liquidity and market risk.
For the six months ended June 30, 2018, BlackRock Inflation Protected Bond and Goldman Sachs Bond had entered into interest rate swaps in which they pay a floating interest rate and receive a fixed interest rate (“Long interest rate swap”) in order to increase exposure to interest rate risk. Average notional amounts on long interest rate swaps for BlackRock Inflation Protected Bond and Goldman Sachs Bond were $167,673,987 and $198,163,663, respectively.
For the six months ended June 30, 2018, BlackRock Inflation Protected Bond and Goldman Sachs Bond had entered into interest rate swaps in which they pay a fixed interest rate and receives a floating interest rate (“Short interest rate swap”) in order to decrease exposure to interest rate risk. Average notional amounts on short interest rate swaps for BlackRock Inflation Protected Bond and Goldman Sachs Bond were $57,811,902 and $122,492,244, respectively.
The Portfolios enter into interest rate swaps to adjust interest rate and yield curve exposures and to substitute for physical fixed-income securities. Please refer to the tables following each respective Portfolio of Investments for open interest rate swaps at June 30, 2018.
At June 30, 2018, BlackRock Inflation Protected Bond and Goldman Sachs Bond had pledged $2,047,490 and $1,128,466, respectively, in cash collateral for open centrally cleared swaps.
Inflation-linked Swap Contracts. In an inflation-linked swap, one party pays a fixed interest rate on a notional amount while the other party pays a floating rate linked to an inflation index on that same notional amount. The party paying the floating rate pays the inflation adjusted rate multiplied by the notional amount.
18
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
For the six months ended June 30, 2018, BlackRock Inflation Protected Bond and Goldman Sachs Bond had entered into inflation-linked swaps in which they pay a floating rate linked to an inflation index and receive a fixed interest rate (“Long inflation-linked swap”). Average notional amounts on long inflation-linked swaps for BlackRock Inflation Protected Bond and Goldman Sachs Bond were $62,529,195 and $3,436,176.
For the six months ended June 30, 2018, BlackRock Inflation Protected Bond had entered into inflation-linked swaps in which it pays a fixed interest rate and receives a floating rate linked to an inflation index (“Short inflation-linked swap”). Average notional amount on short inflation linked-bonds was $257,896,160.
BlackRock Inflation Protected Bond and Goldman Sachs Bond used inflation-linked swaps as part of their inflation strategy. Please refer to the tables following the Portfolio of Investments for BlackRock Inflation Protected Bond for open inflation-linked swaps at June 30, 2018. There were no open inflation-linked swaps for Goldman Sachs Bond at June 30, 2018.
Total Return Swap Contracts. A total return swap is an agreement that gives a Portfolio the right to receive the appreciation in the value of a specified security, index or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, a Portfolio may also be required to pay the dollar value of that decline to the counterparty. Risks of total return swaps include credit, liquidity and market risks.
For the six months ended June 30, 2018, Goldman Sachs Bond entered into total returns swaps in place of buying a local currency denominated bond where a particular market was otherwise inaccessible or as a more efficient means of gaining access to a local market. For the period ended June, 30, 2018, Goldman Sachs Bond had an average notional amount of $123,591 on total return swaps. Please refer to the table following the Portfolio of investments for open total return swaps at June 30, 2018.
L. Inflation-Indexed Bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted according to the rate of inflation. If the index measuring inflation rises or falls, the principal value of inflation-indexed bonds will be adjusted upward or downward, and consequently the interest payable on these securities (calculated with respect to a larger or smaller principal amount) will be increased or reduced, respectively. Any upward or downward adjustment in the principal amount of an inflation-indexed bond will be included in interest income in the Statement of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of US Treasury inflation-indexed bonds. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal.
M. Securities Lending. Each Portfolio may temporarily loan up to 33 1/3% of its total assets to brokers, dealers or other financial institutions in exchange for a negotiated lender’s fee. Securities lending involves two primary risks: “investment risk” and “borrower default risk.” When lending securities, the Portfolios will receive cash or U.S. government securities as collateral. Investment risk is the risk that the Portfolios will lose money from the investment of the cash collateral received from the borrower. Borrower default risk is the risk that the Portfolios will lose money due to the failure of a borrower to return a borrowed security. Loans are subject to termination at the option of the borrower or the Portfolios. Securities lending may result in leverage. The use of leverage may exaggerate any increase or decrease in the NAV, causing the Portfolios to be more volatile. The use of leverage may increase expenses and increase the impact of the Portfolios’ other risks.
N. Sales Commitments. Sales commitments involve commitments to sell fixed income securities where the unit price and the estimated principal amount are established upon entering into the contract, with the actual principal amount being within a specified range of the estimate. A Portfolio will enter into sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of sale commitments are not received until the contractual settlement date. During the time a sale commitment is outstanding, except for delayed delivery transactions, the Portfolio will maintain, in a segregated account, cash or marketable securities in an amount sufficient to meet the purchase price. Unsettled sale commitments are valued at current market value of the underlying securities. If the sale commitment is closed through the acquisition of an offsetting purchase commitment, the Portfolio realizes a gain or loss on the commitment without regard to any unrealized gain or loss on the underlying security. If the Portfolio delivers securities under the commitment, the Portfolio realizes a gain or loss from the sale of the securities, based upon the unit price established at the date the commitment was entered into. Please refer to the table following the Portfolio of Investments for open sales commitments held by Goldman Sachs Bond at June 30, 2018.
19
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED)
NOTE 2 — SIGNIFICANT ACCOUNTING POLICIES (continued)
O. Structured Products. Goldman Sachs Bond invests in structured products which are specially-designed derivative investments whose principal payments or interest payments are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The terms and conditions of these products may be ‘structured’ by the purchaser (a Portfolio) and the borrower issuing the note. The market value of these products will increase or decrease based on the performance of the underlying asset or reference. A Portfolio records the net change in the market value of the structured product on the accompanying Statements of Operations as a change in unrealized appreciation or depreciation on investments. A Portfolio records a realized gain or loss on the Statements of Operations upon the sale or maturity of the structured product. Please refer to the Portfolio of Investments for structured products held by Goldman Sachs Bond at June 30, 2018.
P. When-Issued and Delayed-Delivery Transactions. Goldman Sachs Bond may purchase or sell securities on a when-issued or forward commitment basis. The price of the underlying securities and date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The fair value of such is identified in the Portfolio of Investments. Losses may arise due to changes in the fair value of the securities or from the inability of counterparties to meet the terms of the contract. In connection with such purchases, the Portfolio is required to hold liquid assets as collateral with the Portfolio’s custodian sufficient to cover the purchase price.
To mitigate counterparty risk, a Portfolio may enter into Master Securities Forward Transaction Agreements (“MSFTA”) with its respective counterparties that provide for collateral and the right to offset amounts due to or from those counterparties under specified conditions. Subject to minimum transfer amounts, collateral requirements are determined and transfers made based on the net aggregate unrealized gain or loss on all the when-issued or delayed-delivery transactions with a particular counterparty. Cash collateral, if any, is presented on the Statement of Assets and Liabilities as an asset (Cash pledged as collateral for delayed-delivery or when-issued securities) and a liability (Cash received as collateral for delayed-delivery or when-issued securities). At June 30, 2018, there was no cash collateral pledged or received by the Portfolio for open when-issued or delayed-delivery transactions.
Q. Indemnifications. In the normal course of business, the Trusts may enter into contracts that provide certain indemnifications. The Trusts’ maximum exposure under these arrangements is dependent on future claims that may be made against the Portfolios and, therefore, cannot be estimated; however, based on experience, management considers the risk of loss from such claims remote.
NOTE 3 — INVESTMENT TRANSACTIONS
For the six months ended June 30, 2018, the cost of purchases and the proceeds from the sales of securities, excluding U.S. government and short-term securities, were as follows:
| | | | Purchases
| | Sales
|
|---|
| BlackRock Inflation Protected Bond | | | | $ | 40,840,843 | | | $ | 50,663,705 | |
| Goldman Sachs Bond | | | | | 50,687,209 | | | | 52,135,055 | |
U.S. government securities not included above were as follows:
| | | | Purchases
| | Sales
|
|---|
| BlackRock Inflation Protected Bond | | | | $ | 106,528,559 | | | $ | 109,935,596 | |
| Goldman Sachs Bond | | | | | 368,534,114 | | | | 367,210,648 | |
NOTE 4 — INVESTMENT MANAGEMENT FEES
The Portfolios have entered into investment management agreements (“Management Agreements”) with the Investment Adviser. The Investment Adviser has overall responsibility for the management of the Portfolios. The Investment Adviser oversees all investment management and portfolio management services for the Portfolios and assists in managing and supervising all aspects of the general day-to-day business activities and operations of the Portfolios, including custodial, transfer agency, dividend disbursing, accounting, auditing, compliance and related services. Each Management Agreement compensates the Investment Adviser with a management fee, computed daily and payable monthly, based on the average daily net assets of each Portfolio, at the following annual rates:
Portfolio
| | | | Fee
|
|---|
| BlackRock Inflation Protected | | | | 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. |
The Investment Adviser has entered into sub-advisory agreements with each sub-adviser. These sub-advisers
20
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED)
NOTE 4 — INVESTMENT MANAGEMENT FEES (continued)
provide investment advice for the Portfolios and are paid by the Investment Adviser based on the average daily net assets of each Portfolio. Subject to such policies as the Board or the Investment Adviser may determine, the sub-advisers manage each Portfolio’s assets in accordance with that Portfolio’s investment objectives, policies, and limitations.
Portfolio
| | | | Sub-Adviser
|
|---|
| BlackRock Inflation Protected Bond | | | | BlackRock Financial Management, Inc. |
| Goldman Sachs Bond | | | | Goldman Sachs Asset Management, L.P. |
NOTE 5 — DISTRIBUTION AND SERVICE FEE
Voya Investors Trust has entered into a shareholder service plan (the “Plan”) for the Class S shares of BlackRock Inflation Protected Bond. The Plan compensates the Distributor for the provision of shareholder services and/or account maintenance services to direct or indirect beneficial owners of Class S shares. Under the Plan, the Portfolio makes payments to the Distributor at an annual rate of 0.25% of the Portfolio’s average daily net assets attributable to Class S shares.
Class ADV shares of BlackRock Inflation Protected Bond have a shareholder service and distribution plan. The Portfolio pays the Distributor a shareholder service fee of 0.25% and a distribution fee of 0.35% of the Portfolio’s average daily net assets attributable to Class ADV shares.
NOTE 6 — OTHER TRANSACTIONS WITH AFFILIATES AND RELATED PARTIES
At June 30, 2018, the following direct or indirect, wholly-owned subsidiaries of Voya Financial, Inc. or affiliated investment companies owned more than 5% of the following Portfolios:
Subsidiary/Affiliated Investment Company
| | | | Portfolio
| | | Percentage
| |
|---|
| Voya Institutional Trust Company | | | | BlackRock Inflation Protected Bond | | | 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 | |
Under the 1940 Act, the direct or indirect beneficial owner of more than 25% of the voting securities of a company (including a fund) is presumed to control such company. Companies under common control (e.g., companies with a common owner of greater than 25% of their respective voting securities) are affiliates under the 1940 Act.
The Portfolios have adopted a deferred compensation plan (the “DC Plan”), which allows eligible independent trustees, as described in the DC Plan, to defer the receipt of all or a portion of the trustees’ fees that they are entitled to receive from the Portfolios. For purposes of determining the amount owed to the trustee under the DC Plan, the amounts deferred are invested in shares of the funds selected by the trustee (the “Notional Funds”). The Portfolios purchase shares of the Notional Funds, which are all advised by Voya Investments, in amounts equal to the trustees’ deferred fees, resulting in a Portfolio asset equal to the deferred compensation liability. Such assets, if applicable, are included as a component of “Other assets” on the accompanying Statements of Assets and Liabilities. Deferral of trustees’ fees under the DC Plan will not affect net assets of a Portfolio, and will not materially affect a Portfolio’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the DC Plan.
NOTE 7 — EXPENSE LIMITATION AGREEMENTS
The Investment Adviser has entered into written expense limitation agreements (“Expense Limitation Agreements”) with the below Portfolios, whereby the Investment Adviser has agreed to limit expenses, excluding interest, taxes, investment-related costs, leverage expenses, extraordinary expenses, and acquired fund fees and expenses to the levels listed below:
Portfolio
| | | | Maximum Operating Expense Limit (as a percentage of net assets)
|
|---|
| BlackRock Inflation Protected | | | | Class ADV: 1.23% |
| Bond | | | | Class I: 0.63% |
| | | | | Class S: 0.88% |
| Goldman Sachs Bond | | | | 0.58% |
The Investment Adviser may, at a later date, recoup from a Portfolio for fees waived and/or other expenses reimbursed by the Investment Adviser during the previous 36 months, but only if, after such recoupment, a Portfolio’s expense ratio does not exceed the percentage described above. Waived and reimbursed fees net of any recoupment by the Investment Adviser of such waived and reimbursed fees are reflected on the accompanying Statements of Operations. Amounts payable by the Investment Adviser are reflected on the accompanying Statements of Assets and Liabilities.
As of June 30, 2018, the amounts of waived and/or reimbursed fees that are subject to possible recoupment by
21
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED)
NOTE 7 — EXPENSE LIMITATION AGREEMENTS (continued)
the Investment Adviser, and the related expiration dates, are as follows:
| | | | June 30,
| | | |
|---|
Portfolio
| | | | 2019
| | 2020
| | 2021
| | Total
| |
|---|
| Goldman Sachs Bond | | | | $ | 115,335 | | | $ | 149,846 | | | $ | 297,203 | | | $ | 562,384 | | |
The Expense Limitation Agreements are contractual through May 1, 2019 and shall renew automatically for one-year terms. Termination or modification of these obligations requires approval by the Board.
NOTE 8 — LINE OF CREDIT
Effective May 18, 2018, each Portfolio, in addition to certain other funds managed by the Investment Adviser, has entered into a 364-day unsecured committed revolving line of credit agreement (the “Credit Agreement”) with The Bank of New York Mellon (“BNY”) for an aggregate amount of $400,000,000 through May 17, 2019. The proceeds may be used only to finance temporarily: (1) the purchase or sale of investment securities; or (2) the repurchase or redemption of shares of a Portfolio or certain other funds managed by the Investment Adviser. The funds to which the line of credit is available pay a commitment fee equal to 0.15% per annum on the daily unused portion of the committed line amount payable quarterly in arrears. Prior to May 18, 2018, the predecessor line of credit was for an aggregate amount of $400,000,000 and paid a commitment fee equal to 0.15% through May 18, 2018.
Borrowings under the Credit Agreement accrue interest at the federal funds rate plus a specified margin. Repayments generally must be made within 60 days after the date of a revolving credit advance.
The Portfolios did not utilize the line of credit during the six months ended June 30, 2018.
NOTE 9 — PURCHASED AND WRITTEN OPTIONS
Transactions in purchased options on exchange-traded futures contracts for BlackRock Inflation Protected Bond during the period ended June 30, 2018 were as follows:
| | | 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 | |
Transactions in purchased foreign currency options for BlackRock Inflation Protected Bond during the period ended June 30, 2018 were as follows:
| | | 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 | |
Transactions in purchased interest rate swaptions for BlackRock Inflation Protected Bond during the period ended June 30, 2018 were as follows:
| | | | 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 | | |
Transactions in written inflation rate caps for BlackRock Inflation Protected Bond during the period ended June 30, 2018 were as follows:
| | | 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 | | | | — | | | | $ | — | |
Transactions in written options on exchange-traded futures contracts for BlackRock Inflation Protected Bond during the period ended June 30, 2018 were as follows:
| | | Number of
Contracts
| | Premiums
Received
|
|---|
| Balance at 12/31/2017 | | | | — | | | | $ | — | |
| Options Written | | | | 27 | | | | | 10,459 | |
| Balance at 06/30/2018 | | | | 27 | | | | $ | 10,459 | |
Transactions in written foreign currency options for BlackRock Inflation Protected Bond during the period ended June 30, 2018 were as follows:
| | | 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 | |
22
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED)
NOTE 9 — PURCHASED AND WRITTEN OPTIONS (continued)
Transactions in written interest rate swaptions for BlackRock Inflation Protected Bond during the period ended June 30, 2018 were as follows:
| | | 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 | |
NOTE 10 — CAPITAL SHARES
Transactions in capital shares and dollars were as follows:
| | | | | Shares
sold
| | | | Shares
issued in
merger
| | | | Reinvestment
of
distributions
| | | | Shares
redeemed
| | | | Net increase
(decrease)
in shares
outstanding
| | | | Shares
sold
| | | | Proceeds
from shares
issued in
merger
| | | | Reinvestment
of
distributions
| | | | Shares
redeemed
| | | | Net increase
(decrease)
| |
Year or period ended
| | | | | #
| | | | #
| | | | #
| | | | #
| | | | #
| | | | ($)
| | | | ($)
| | | | ($)
| | | | ($)
| | | | ($)
| |
|---|
BlackRock Inflation Protected Bond |
Class ADV |
| 6/30/2018 | | | | | 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 | ) |
NOTE 11 — SECURITIES LENDING
Under an agreement with BNY, the Portfolios can lend its securities to approved brokers, dealers and other financial institutions. Loans are collateralized by cash and U.S. government securities. The collateral must be equal to at least 105% of the market value of non-U.S. securities loaned and 102% of the market value of U.S. securities loaned. The market value of the loaned securities is determined at Market Close of a Portfolio at their last sale price or official closing price on the principal exchange or system on which they are traded and any additional collateral is delivered to a Portfolio on the next business day. The cash collateral received is invested in approved investments as defined in the Securities Lending Agreement with BNY (the “Agreement”). The Portfolios bear the risk of loss with respect to the investment of collateral with the following exception: BNY provides the Portfolios indemnification from loss with respect to the investment of collateral provided that the cash collateral is invested solely in overnight repurchase agreements
The cash collateral is invested in overnight repurchase agreements that are collateralized at 102% with securities issued or fully guaranteed by the U.S. Treasury; U.S. government or any agency, instrumentality or authority of the U.S. government. The securities purchased with cash collateral received are reflected in the Portfolio of Investments under Securities Lending Collateral.
Generally, in the event of counterparty default, a Portfolio has the right to use the collateral to offset losses incurred. The Agreement contains certain guarantees by BNY in the event of counterparty default and/or a borrower’s failure to return a loaned security; however, there would be a potential loss to a Portfolio in the event a Portfolio is delayed or prevented from exercising its right to dispose of the collateral. Engaging in securities lending could have a leveraging effect, which may intensify the credit, market and other risks associated with investing in a Portfolio.
The following is a summary of Goldman Sachs Bond’s securities lending agreements by counterparty which are subject to offset under the Agreement as of June 30, 2018:
23
NOTES TO FINANCIAL STATEMENTS AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED)
NOTE 11 — SECURITIES LENDING (continued)
Goldman Sachs Bond
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. |
NOTE 12 — FEDERAL INCOME TAXES
The amount of distributions from net investment income and net realized capital gains are determined in accordance with federal income tax regulations, which may differ from GAAP for investment companies. These book/tax differences may be either temporary or permanent. Permanent differences are reclassified within the capital accounts based on their federal tax-basis treatment; temporary differences are not reclassified. Key differences include the treatment of short-term capital gains, foreign currency transactions, and wash sale deferrals. Distributions in excess of net investment income and/or net realized capital gains for tax purposes are reported as return of capital.
Dividends paid by the Portfolios from net investment income and distributions of net realized short-term capital gains are, for federal income tax purposes, taxable as ordinary income to shareholders.
The tax composition of dividends and distributions to shareholders was as follows:
| | | 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 | |
The tax-basis components of distributable earnings and the capital loss carryforwards which may be used to offset future realized capital gains for federal income tax purposes as of December 31, 2017 were:
| | | | | | | | | | | | 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 | ) | | | | | | | | |
The Portfolios’ major tax jurisdictions are U.S. federal, Arizona state, and Massachusetts state (BlackRock Inflation Protected Bond).
As of June 30, 2018, no provision for income tax is required in the Portfolios’ financial statements as a result of tax positions taken on federal and state income tax returns for open tax years. The Portfolios’ federal and state income and federal excise tax returns for tax years for which the applicable statutes of limitations have not expired are subject to examination by the Internal Revenue Service and state department of revenue. The earliest tax year that remains subject to examination by these jurisdictions is 2013.
NOTE 13 — SUBSEQUENT EVENTS
Dividends: Subsequent to June 30, 2018, the following Portfolio declared net investment income dividends of:
| | | Per Share
Amount
| | Payable
Date
| | Record
Date
|
|---|
Goldman Sachs Bond | | | | $ | 0.2231 | | | July 16, 2018 | | July 12, 2018 |
The Portfolios have evaluated events occurring after the Statements of Assets and Liabilities date (“subsequent events”) to determine whether any subsequent events necessitated adjustment to or disclosure in the financial statements. Other than above, no such subsequent events were identified.
24
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF JUNE 30, 2018 (UNAUDITED) |
Investment Type Allocation
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. |
Portfolio holdings are subject to change daily.
Principal
Amount†
|
|
|
|
|
|
|
| Value
|
| Percentage
of Net
Assets
|
|---|
| |
CORPORATE BONDS/NOTES: 25.2% |
| | |
| 2,250,000 | | | | | | Alibaba Group Holding Ltd., 2.500%–3.125%, 11/28/2019–11/28/2021 | | $ | 2,231,332 | | | | 0.5 | |
| |
| | |
| 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 | |
| |
| | |
| 1,495,000 | | | | (1) | | Schlumberger Finance Canada Ltd, 2.200%, 11/20/2020 | | | 1,458,808 | | | | 0.4 | |
| |
| | |
| 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) |
| | |
| 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 | |
See Accompanying Notes to Financial Statements
25
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) |
| | |
| 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 | |
| |
| | |
| 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 | |
| |
| | |
| 1,100,000 | | | | | | Other Securities | | | 1,060,283 | | | | 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 | |
See Accompanying Notes to Financial Statements
26
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% |
| | |
| 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 |
Reference Rate Abbreviations:
US0003M 3-month LIBOR
Fair Value Measurementsˆ
The following is a summary of the fair valuations according to the inputs used as of June 30, 2018 in valuing the assets and liabilities:
| | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1)
| | Significant
Other
Observable
Inputs
(Level 2)
| | Significant
Unobservable
Inputs
(Level 3)
| | Fair Value
at
June 30, 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 | |
See Accompanying Notes to Financial Statements
27
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. |
At June 30, 2018, the following forward foreign currency contracts were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Currency Purchased
| | | | Currency Sold
| | Counterparty
| | | Settlement
Date
| | Unrealized
Appreciation
(Depreciation)
|
|---|
| USD 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 | |
See Accompanying Notes to Financial Statements
28
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 | |
At June 30, 2018, the following futures contracts were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
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 | ) |
At June 30, 2018, the following centrally cleared interest rate swaps were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Pay/Receive
Floating Rate
| | | | Floating Rate Index
| | Floating
Rate Index
Payment
Frequency
| | Fixed
Rate
| | Fixed Rate
Payment
Frequency
| | | Maturity
Date
| | | | Notional Amount
| | | Fair
Value
| | Unrealized
Appreciation/
(Depreciation)
|
|---|
| Pay | | | | 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 | ) |
See Accompanying Notes to Financial Statements
29
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 | ) |
See Accompanying Notes to Financial Statements
30
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
At June 30, 2018, the following centrally cleared inflation-linked swaps were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Pay/Receive
Floating Rate
| | | | Floating Rate Index
| | Floating
Rate Index
Payment
Frequency
| | Fixed
Rate
| | Fixed Rate
Payment
Frequency
| | | Maturity
Date
| | | | Notional Amount
| | | Fair
Value
| | | Unrealized
Appreciation/
(Depreciation)
|
|---|
| Pay | | | | Eurostat Eurozone HICP ex
Tobacco NSA (CPTFEMU) | | At Termination Date | | 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 | |
At June 30, 2018, the following over-the-counter inflation-linked swaps were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Counterparty
| | | | Pay/Receive
Floating
Rate
| | Floating
Rate
Index
| | Floating
Rate Index
Payment
Frequency
| | Fixed
Rate
| | Fixed
Rate
Payment
Frequency
| | | Maturity
Date
| | | | Notional
Amount
| | | Fair
Value
| | Upfront
Payments
Paid/
(Received)
| | Unrealized
Appreciation/
(Depreciation)
|
|---|
| 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 | |
See Accompanying Notes to Financial Statements
31
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 | |
At June 30, 2018, the following purchased exchange-traded options were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Description
| | | | Put/Call
| | Expiration
Date
| | Exercise
Price
| | | Number of
Contracts
| | | Notional
Amount
| | Cost
| | Fair Value
|
|---|
| 90-Day Eurodollar | | | | Call | | 03/18/19 | | 97.38 | USD | | | 40 | | | 9,724,000 | | | $ | 10,728 | | | | $ | 9,000 | |
| | | | | | | | | | | | | | | | | | | $ | 10,728 | | | | $ | 9,000 | |
At June 30, 2018, the following exchange-traded written options were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Description
| | | | Put/Call
| | Expiration
Date
| | | Exercise
Price
| | | Number of
Contracts
| | | Notional
Amount
| | Premiums
Received
| | Fair Value
|
|---|
| 90-Day Eurodollar | | | | Call | | 03/15/19 | | | 97.25 | USD | | | 27 | | | 6,563,700 | | | $ | 10,459 | | | | $ | (11,138 | ) |
| | | | | | | | | | | | | | | | | | | | $ | 10,459 | | | | $ | (11,138 | ) |
At June 30, 2018, the following over-the-counter purchased foreign currency options were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
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 | |
At June 30, 2018, the following OTC written foreign currency options were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
Description
| | | | Counterparty
| | Expiration
Date
| | | Exercise
Price
| | | Notional
Amount
| | Premiums
Received
| | Fair Value
|
|---|
| Call GBP vs. Put USD | | | | Barclays Bank PLC | | 07/23/18 | | | 1.470 | GBP | | | 2,975,000 | | | $ | 31,814 | | | | $ | (3 | ) |
| | | | | | | | | | | | | | | | | $ | 31,814 | | | | $ | (3 | ) |
See Accompanying Notes to Financial Statements
32
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
At June 30, 2018, the following over-the-counter purchased interest rate swaptions were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
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 | |
At June 30, 2018, the following over-the-counter written interest rate swaptions were outstanding for VY® BlackRock Inflation Protected Bond Portfolio:
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 | ) |
See Accompanying Notes to Financial Statements
33
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 | ) |
Currency Abbreviations
CAD — Canadian Dollar
EUR — EU Euro
GBP — British Pound
JPY — Japanese Yen
MXN — Mexican Peso
NZD — New Zealand Dollar
USD — United States Dollar
See Accompanying Notes to Financial Statements
34
VY® BLACKROCK INFLATION
PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of June 30, 2018 was as follows:
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. |
The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2018 was as follows:
| | | Amount of Realized Gain or (Loss) on Derivatives Recognized in Income
|
|---|
Derivatives not accounted for
as hedging instruments
| | | Investments*
| | Forward foreign
currency contracts
| | Futures
| | Swaps
| | Written
options
| | Total
|
|---|
| Foreign exchange contracts | | | | $ | (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. |
The following is a summary by counterparty of the fair value of OTC derivative instruments subject to Master Netting Agreements and collateral pledged (received), if any, at June 30, 2018:
| | | | 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 | |
See Accompanying Notes to Financial Statements
35
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. |
At June 30, 2018, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
| | 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 | |
See Accompanying Notes to Financial Statements
36
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF JUNE 30, 2018 (UNAUDITED) |
Investment Type Allocation
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. |
Portfolio holdings are subject to change daily.
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 | |
See Accompanying Notes to Financial Statements
37
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) |
| | |
| 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) |
| | |
| 11,472,000 | | | | | | Other Securities | | $ | 11,232,710 | | | | 5.4 | |
| | | | | | | | | | 28,088,442 | | | | 13.5 | |
| |
| | |
| 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 | |
| |
| | |
| 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 | |
| |
| | |
| 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 | |
See Accompanying Notes to Financial Statements
38
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 | |
See Accompanying Notes to Financial Statements
39
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% |
| | |
| 750,000 | | | | | | Other Securities | | | 1,021,811 | | | | 0.5 | |
| | |
| 640,000 | | | | | | Other Securities | | | 633,352 | | | | 0.3 | |
| |
| | |
| 176,166 | | | | | | Northstar Education Finance, Inc., 1.414%, (US0003M + 0.100%), 04/28/2030 | | | 175,187 | | | | 0.1 | |
| | |
| 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 | |
See Accompanying Notes to Financial Statements
40
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 | |
See Accompanying Notes to Financial Statements
41
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% |
| | |
| 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 | |
See Accompanying Notes to Financial Statements
42
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) |
| | |
| 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 | |
“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) | | 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. |
| (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 |
See Accompanying Notes to Financial Statements
43
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
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
Fair Value Measurementsˆ
The following is a summary of the fair valuations according to the inputs used as of June 30, 2018 in valuing the assets and liabilities:
| | | Quoted Prices
in Active Markets
for Identical
Investments
(Level 1)
| | Significant
Other
Observable
Inputs
(Level 2)
| | Significant
Unobservable
Inputs
(Level 3)
| | Fair Value
at
June 30, 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. |
At June 30, 2018, the following forward foreign currency contracts were outstanding for VY® Goldman Sachs Bond Portfolio:
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 | ) |
See Accompanying Notes to Financial Statements
44
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 | ) |
See Accompanying Notes to Financial Statements
45
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 | ) |
See Accompanying Notes to Financial Statements
46
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 | ) |
See Accompanying Notes to Financial Statements
47
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 | |
See Accompanying Notes to Financial Statements
48
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 | |
See Accompanying Notes to Financial Statements
49
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 | ) |
At June 30, 2018, the following futures contracts were outstanding for VY® Goldman Sachs Bond Portfolio:
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 | |
See Accompanying Notes to Financial Statements
50
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 | ) |
At June 30, 2018, the following centrally cleared credit default swaps were outstanding for VY® Goldman Sachs Bond Portfolio:
Centrally Cleared Credit Default Swaps on Credit Indices — Buy Protection(1)
Reference
Entity/Obligation
| | | | Buy/Sell
Protection
| | (Pay)/ Receive
Financing
Rate (%)(2)
| | | Termination
Date
| | | Notional
Amount(3)
| | Fair
Value(4)
| | Unrealized
Appreciation/
(Depreciation)
|
|---|
| CDX North American High Yield Index, Series 30, Version 1 | | | | Buy | | 5.000 | | | 06/20/23 | | | USD 1,605,000 | | | $ | (92,214 | ) | | | $ | 13,022 | |
| | | | | | | | | | | | | | | | $ | (92,214 | ) | | | $ | 13,022 | |
Centrally Cleared Credit Default Swaps on Credit Indices — Sell Protection(5)
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 | ) |
At June 30, 2018, the following over-the-counter credit default swaps were outstanding for VY® Goldman Sachs Bond Portfolio:
Credit Default Swaps on Corporate and Sovereign Issues — Buy Protection(1)
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 | ) |
See Accompanying Notes to Financial Statements
51
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. |
At June 30, 2018, the following centrally cleared interest rate swaps were outstanding for VY® Goldman Sachs Bond Portfolio:
Pay/Receive
Floating Rate
| | | | Floating Rate Index
| | Floating
Rate Index
Payment
Frequency
| | Fixed
Rate
| | Fixed
Rate
Payment
Frequency
| | | Maturity
Date
| | | Notional
Amount
| | Fair
Value
| | Unrealized
Appreciation/
(Depreciation)
|
|---|
| Pay | | | | 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 | ) |
See Accompanying Notes to Financial Statements
52
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 | ) |
At June 30, 2018, the following over-the-counter-total return swaps were outstanding for VY® Goldman Sachs Bond Portfolio:
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) | | $ | — | |
The following sales commitments were held by the VY® Goldman Sachs Bond Portfolio at June 30, 2018:
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 | ) |
Currency AbbreviationsARS — Argentine Peso
AUD — Australian Dollar
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
See Accompanying Notes to Financial Statements
53
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
MXN — Mexican Peso
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
A summary of derivative instruments by primary risk exposure is outlined in the following tables.
The fair value of derivative instruments as of June 30, 2018 was as follows:
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. |
The effect of derivative instruments on the Portfolio’s Statement of Operations for the period ended June 30, 2018 was as follows:
| | | 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 | ) |
See Accompanying Notes to Financial Statements
54
VY® GOLDMAN SACHS
BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS
AS OF JUNE 30, 2018 (UNAUDITED) (CONTINUED) |
The following is a summary by counterparty of the fair value of OTC derivative instruments subject to Master Netting Agreements and collateral pledged (received), if any, at June 30, 2018:
| | | | 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. |
At June 30, 2018, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
| | 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 | ) |
See Accompanying Notes to Financial Statements
55
Investment Adviser
Voya Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Distributor
Voya Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Transfer Agent
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
Custodian
The Bank of New York Mellon
225 Liberty Street
New York, New York 10286
Legal Counsel
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199
Before investing, carefully consider the investment objectives, risks, charges and expenses of the variable annuity contract or variable life insurance policy and the underlying variable investment options. This and other information is contained in the prospectus for the variable annuity contract or variable life insurance policy and the underlying variable investment options. Obtain these prospectuses from your agent/registered representative and read them carefully before investing.
RETIREMENT | INVESTMENTS | INSURANCE
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
| 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
| 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
| 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
| 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
| 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
| 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
| 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
| 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
| 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
| 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
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
Mid-Year Outlook