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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09477
Voya Variable Insurance Trust
(Exact name of registrant as specified in charter)
7337 East Doubletree Ranch Road, Suite 100, Scottsdale, AZ |
| 85258 |
(Address of principal executive offices) |
| (Zip code) |
The Corporation Trust Company, 1209 Orange Street, Wilmington, DE 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-992-0180
Date of fiscal year end: December 31
Date of reporting period: January 1, 2015 to June 30, 2015
Item 1. Reports to Stockholders.
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1):
![](https://capedge.com/proxy/N-CSRS/0001145443-15-001087/voya_highrise-buildings.jpg)
![](https://capedge.com/proxy/N-CSRS/0001145443-15-001087/voya_banner.jpg)
This report is submitted for general information to shareholders of the Voya mutual funds. It is not authorized for distribution to prospective shareholders unless accompanied or preceded by a prospectus which includes details regarding the fund’s investment objectives, risks, charges, expenses and other information. This information should be read carefully. |
INVESTMENT MANAGEMENT voyainvestments.com | ![]() |
President’s Letter | 1 | |||||
Market Perspective | 2 | |||||
Shareholder Expense Examples | 4 | |||||
Statements of Assets and Liabilities | 5 | |||||
Statements of Operations | 7 | |||||
Statements of Changes in Net Assets | 8 | |||||
Financial Highlights | 9 | |||||
Notes to Financial Statements | 10 | |||||
Summary Portfolios of Investments | 26 | |||||
Advisory Contract Approval Discussion | 45 |
![](https://capedge.com/proxy/N-CSRS/0001145443-15-001087/shaunmathews_8410.jpg)
![](https://capedge.com/proxy/N-CSRS/0001145443-15-001087/ing-shaunmathewssig.jpg)
President and Chief Executive Officer
August 5, 2015
Index | Description | |||||
---|---|---|---|---|---|---|
Barclays High Yield Bond — 2% Issuer Constrained Composite Index | An unmanaged index that includes all fixed-income securities having a maximum quality rating of Ba1, a minimum amount outstanding of $150 million, and at least one year to maturity. | |||||
Barclays Long-Term U.S. Treasury Index | The Index includes all publicly issued, U.S. Treasury securities that have a remaining maturity of 10 or more years, are rated investment grade, and have $250 million or more of outstanding face value. | |||||
Barclays U.S. Aggregate Bond Index | An unmanaged index of publicly issued investment grade U.S. Government, mortgage-backed, asset-backed and corporate debt securities. | |||||
Barclays U.S. Corporate Investment Grade Bond Index | An unmanaged index consisting of publicly issued, fixed rate, nonconvertible, investment grade debt securities. | |||||
Barclays U.S. Mortgage Backed Securities Index | The Index tracks agency mortgage backed pass-through securities (both fixed-rate and hybrid ARM) guaranteed by Ginnie Mae (GNMA), Fannie Mae (FNMA), and Freddie Mac (FHLMC). | |||||
Barclays U.S. Treasury Bond Index | A market capitalization-weighted index that measures the performance of public obligations of the U.S. Treasury that have a remaining maturity of one year or more. | |||||
MSCI Europe ex UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe, excluding the UK. | |||||
MSCI Japan® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Japan. | |||||
MSCI UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in the UK. | |||||
MSCI World IndexSM | An unmanaged index that measures the performance of over 1,400 securities listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand and the Far East. | |||||
S&P 500® Index | An unmanaged index that measures the performance of securities of approximately 500 large-capitalization companies whose securities are traded on major U.S. stock markets. |
Actual Portfolio Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2015* | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2015* | ||||||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 998.30 | 1.11 | % | $ | 5.50 | $ | 1,000.00 | $ | 1,019.29 | 1.11 | % | $ | 5.56 | |||||||||||||||||||
Class I | 1,000.00 | 1,001.50 | 0.51 | 2.53 | 1,000.00 | 1,022.27 | 0.51 | 2.56 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 999.90 | 0.76 | 3.77 | 1,000.00 | 1,021.03 | 0.76 | 3.81 | |||||||||||||||||||||||||||
VY® Goldman Sachs Bond Portfolio(1) | $ | 1,000.00 | $ | 993.00 | 0.58 | % | $ | 2.07 | $ | 1,000.00 | $ | 1,021.92 | 0.58 | % | $ | 2.91 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 181/365 to reflect the most recent fiscal half-year. | |
(1) | Commencement of operations was February 20, 2015. Expenses paid for the actual Portolio’s return reflect the 131-day period ended June 30, 2015. |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||
Investments in securities at fair value* | $ | 616,367,407 | $ | 190,073,888 | ||||||
Short-term investments at fair value** | 99,316,849 | 38,407,435 | ||||||||
Total investments at fair value | $ | 715,684,256 | $ | 228,481,323 | ||||||
Cash | 1,181,644 | — | ||||||||
Cash collateral for futures | 4,519,630 | 2,029,545 | ||||||||
Cash pledged for centrally cleared swaps (Note 2) | 1,465,650 | — | ||||||||
Cash pledged as collateral for OTC derivatives (Note 2) | 2,380,000 | — | ||||||||
Foreign currencies at value*** | 215,213 | — | ||||||||
Foreign cash collateral for futures**** | — | 448,363 | ||||||||
Receivables: | ||||||||||
Investment securities sold | 9,811,476 | 138,698 | ||||||||
Investment securities sold on a delayed-delivery or when-issued basis | — | 19,523,086 | ||||||||
Fund shares sold | 101,986 | 42,163 | ||||||||
Dividends | 910 | 1,935 | ||||||||
Interest | 2,290,027 | 1,157,641 | ||||||||
Unrealized appreciation on forward foreign currency contracts | 2,638,987 | 285,221 | ||||||||
Unrealized appreciation on OTC swap agreements | 1,022,950 | — | ||||||||
Variation margin receivable on centrally cleared swaps | 27,533 | 261,459 | ||||||||
Prepaid expenses | 3,243 | — | ||||||||
Prepaid offering expense | — | 25,520 | ||||||||
Reimbursement due from manager | — | 9,375 | ||||||||
Other assets | 11,160 | 293 | ||||||||
Total assets | 741,354,665 | 252,404,622 | ||||||||
LIABILITIES: | ||||||||||
Payable for investment securities purchased | 13,049,710 | 2,661,402 | ||||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | — | 48,746,250 | ||||||||
Payable for fund shares redeemed | 339,716 | 92,896 | ||||||||
Payable for variation margin | 7,906 | — | ||||||||
Payable for foreign cash collateral for futures****** | 4,510,193 | — | ||||||||
Sales commitmentsˆˆ | — | 1,028,828 | ||||||||
Unrealized depreciation on forward foreign currency contracts | 576,369 | 318,483 | ||||||||
Unrealized depreciation on OTC swap agreements | 623,498 | — | ||||||||
Variation margin payable on centrally cleared swaps | 557,083 | — | ||||||||
Cash received as collateral for OTC derivatives (Note 2) | 3,210,000 | — | ||||||||
Payable for investment management fees | 279,319 | 82,084 | ||||||||
Payable for distribution and shareholder service fees | 75,504 | — | ||||||||
Payable to custodian due to bank overdraft | — | 237,991 | ||||||||
Payable to custodian due to foreign currency overdraft***** | — | 21,664 | ||||||||
Payable to trustees under the deferred compensation plan (Note 6) | 11,160 | 293 | ||||||||
Payable for trustee fees | 3,705 | 968 | ||||||||
Other accrued expenses and liabilities | 105,816 | 25,572 | ||||||||
Written options, at fair valueˆ | 3,427,363 | — | ||||||||
Total liabilities | 26,777,342 | 53,216,431 | ||||||||
NET ASSETS | $ | 714,577,323 | $ | 199,188,191 | ||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||
Paid-in capital | $ | 795,766,831 | $ | 200,608,994 | ||||||
Undistributed net investment income/accumulated net investment loss | (5,979,682 | ) | 960,688 | |||||||
Accumulated net realized loss | (55,671,877 | ) | (236,117 | ) | ||||||
Net unrealized depreciation | (19,537,949 | ) | (2,145,374 | ) | ||||||
NET ASSETS | $ | 714,577,323 | $ | 199,188,191 | ||||||
______________________ | ||||||||||
* Cost of investments in securities | $ | 639,145,375 | $ | 192,090,092 | ||||||
** Cost of short-term investments | $ | 99,316,849 | $ | 38,449,827 | ||||||
*** Cost of foreign currencies | $ | 200,662 | $ | — | ||||||
**** Cost of foreign cash collateral for futures | $ | — | $ | 448,363 | ||||||
***** Cost of foreign currency overdraft | $ | — | $ | 18,660 | ||||||
****** Cost of payable for foreign cash collateral for futures | $ | 4,510,193 | $ | — | ||||||
ˆ Premiums received on written options | $ | 4,043,719 | $ | — | ||||||
ˆˆ Proceeds from sales commitments | $ | — | $ | 1,028,555 |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Class ADV | ||||||||||
Net assets | $ | 59,464,940 | n/a | |||||||
Shares authorized | unlimited | n/a | ||||||||
Par value | $ | 0.001 | n/a | |||||||
Shares outstanding | 6,512,739 | n/a | ||||||||
Net asset value and redemption price per share | $ | 9.13 | n/a | |||||||
Class I | ||||||||||
Net assets | $ | 431,856,134 | n/a | |||||||
Shares authorized | unlimited | n/a | ||||||||
Par value | $ | 0.001 | n/a | |||||||
Shares outstanding | 45,624,780 | n/a | ||||||||
Net asset value and redemption price per share | $ | 9.47 | n/a | |||||||
Class S | ||||||||||
Net assets | $ | 223,256,249 | n/a | |||||||
Shares authorized | unlimited | n/a | ||||||||
Par value | $ | 0.001 | n/a | |||||||
Shares outstanding | 23,785,750 | n/a | ||||||||
Net asset value and redemption price per share | $ | 9.39 | n/a | |||||||
Portfolio Level(1) | ||||||||||
Net assets | n/a | $ | 199,188,191 | |||||||
Shares authorized | n/a | unlimited | ||||||||
Par value | n/a | $ | 0.001 | |||||||
Shares outstanding | n/a | 20,058,417 | ||||||||
Net asset value and redemption price per share | n/a | $ | 9.93 |
(1) | Portfolio does not have a share class designation. |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
February 20, 2015(1) to June 30, 2015 | ||||||||||
INVESTMENT INCOME: | ||||||||||
Dividends | $ | 22,735 | $ | 10,702 | ||||||
Interest, net of foreign taxes withheld* | (339,305 | )(2) | 1,353,310 | |||||||
Total investment income | (316,570 | ) | 1,364,012 | |||||||
EXPENSES: | ||||||||||
Investment management fees(3) | 1,640,269 | 311,409 | ||||||||
Distribution and shareholder service fees: | ||||||||||
Class ADV | 230,895 | — | ||||||||
Class S | 292,080 | — | ||||||||
Transfer agent fees | 622 | 651 | ||||||||
Administrative service fees(3) | 246,629 | 35,887 | ||||||||
Shareholder reporting expense | 14,480 | 3,456 | ||||||||
Professional fees | 23,530 | 18,316 | ||||||||
Custody and accounting expense | 49,775 | 34,560 | ||||||||
Trustee fees | 11,115 | 2,903 | ||||||||
Offering expense | — | 7,480 | ||||||||
Miscellaneous expense | 16,451 | 4,111 | ||||||||
Interest expense | 36 | — | ||||||||
Total expenses | 2,525,882 | 418,773 | ||||||||
Net waived and reimbursed fees | (193,165 | ) | (15,449 | ) | ||||||
Net expenses | 2,332,717 | 403,324 | ||||||||
Net investment income (loss) | (2,649,287 | ) | 960,688 | |||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||
Net realized gain (loss) on: | ||||||||||
Investments | (12,262,734 | ) | (770,830 | ) | ||||||
Foreign currency related transactions | 12,162,507 | (174,149 | ) | |||||||
Futures | (940,458 | ) | 205,406 | |||||||
Swaps | 5,820,256 | 503,456 | ||||||||
Written options | 2,777,979 | — | ||||||||
Net realized gain (loss) | 7,557,550 | (236,117 | ) | |||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||
Investments | (7,149,904 | ) | (2,058,595 | ) | ||||||
Foreign currency related transactions | (1,599,189 | ) | 14,047 | |||||||
Futures | 3,787,024 | (164,762 | ) | |||||||
Swaps | 272,933 | 64,209 | ||||||||
Written options | 358,309 | — | ||||||||
Sales commitments | — | (273 | ) | |||||||
Net change in unrealized appreciation (depreciation) | (4,330,827 | ) | (2,145,374 | ) | ||||||
Net realized and unrealized gain (loss) | 3,226,723 | (2,381,491 | ) | |||||||
Increase (decrease) in net assets resulting from operations | $ | 577,436 | $ | (1,420,803 | ) | |||||
_________________ | ||||||||||
* Foreign taxes withheld | $ | — | $ | 55 |
(1) | Commencement of operations. |
(2) | Includes amortization of bond premiums and deflationary adjustments for U.S. Treasury and Foreign Government Inflation Bonds, which exceeded accrued income for the period. Please refer to Note 2 for additional details regarding inflationary and deflationary adjustments to interest income for VY® BlackRock Inflation Protected Bond Portfolio. |
(3) | Effective May 1, 2015, the investment management fee and administration fee were combined under a single amended and restated investment management agreement. Please see Note 4 for further information. |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | February 20, 2015(1) to June 30, 2015 | |||||||||||||
FROM OPERATIONS: | |||||||||||||||
Net investment income (loss) | $ | (2,649,287 | ) | $ | 8,411,545 | $ | 960,688 | ||||||||
Net realized gain (loss) | 7,557,550 | (6,036,953 | ) | (236,117 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | (4,330,827 | ) | 20,455,555 | (2,145,374 | ) | ||||||||||
Increase (decrease) in net assets resulting from operations | 577,436 | 22,830,147 | (1,420,803 | ) | |||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||||||
Net investment income: | |||||||||||||||
Class ADV | (657,874 | ) | (782,440 | ) | — | ||||||||||
Class I | (3,988,230 | ) | (7,135,022 | ) | — | ||||||||||
Class S | (2,279,447 | ) | (3,644,355 | ) | — | ||||||||||
Total distributions | (6,925,551 | ) | (11,561,817 | ) | — | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||||||
Net proceeds from sale of shares | 24,130,927 | 80,576,920 | 213,973,356 | ||||||||||||
Reinvestment of distributions | 6,925,551 | 11,561,817 | — | ||||||||||||
31,056,478 | 92,138,737 | 213,973,356 | |||||||||||||
Cost of shares redeemed | (67,809,757 | ) | (198,275,634 | ) | (13,364,362 | ) | |||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (36,753,279 | ) | (106,136,897 | ) | 200,608,994 | ||||||||||
Net increase (decrease) in net assets | (43,101,394 | ) | (94,868,567 | ) | 199,188,191 | ||||||||||
NET ASSETS: | |||||||||||||||
Beginning of year or period | 757,678,717 | 852,547,284 | — | ||||||||||||
End of year or period | $ | 714,577,323 | $ | 757,678,717 | $ | 199,188,191 | |||||||||
Undistributed net investment income/accumulated net investment loss at end of year or period | $ | (5,979,682 | ) | $ | 3,595,156 | $ | 960,688 |
(1) | Commencement of operations. |
Income (loss) from investment operations | | Less distributions | | Ratios to average net assets | Supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return (1) | | Expenses before reductions/ additions (2)(3)(4) | | Expenses net of fee waivers and/or recoupments if any (2)(3)(4) | | Expense net of all reductions/ additions (2)(3)(4) | | Net investment income (loss) (2)(3) | | Net assets, end of year or period | | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||
Year or period ended | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-15 | 9.24 | (0.06 | )• | 0.05 | (0.01 | ) | 0.10 | — | — | 0.10 | — | 9.13 | (0.17 | ) | 1.30 | 1.11 | 1.11 | (1.21 | ) | 59,465 | 221 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-14 | 9.15 | 0.05 | 0.15 | 0.20 | 0.11 | — | — | 0.11 | — | 9.24 | 2.14 | 1.30 | 1.11 | 1.11 | 0.57 | 63,936 | 527 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-13 | 10.74 | (0.07 | )• | (0.88 | ) | (0.95 | ) | — | 0.64 | — | 0.64 | — | 9.15 | (8.98 | ) | 1.29 | 1.14 | 1.14 | (0.66 | ) | 74,204 | 613 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 10.73 | 0.02 | 0.61 | 0.63 | 0.04 | 0.58 | — | 0.62 | — | 10.74 | 5.95 | 1.28 | 1.13 | 1.13 | 0.19 | 102,747 | 475 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 10.26 | 0.14 | • | 1.01 | 1.15 | 0.23 | 0.45 | — | 0.68 | — | 10.73 | 11.50 | 1.29 | 1.13 | 1.13 | 1.36 | 63,860 | 465 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.07 | 0.04 | • | 0.47 | 0.51 | 0.11 | 0.21 | — | 0.32 | — | 10.26 | 5.07 | 1.31 | 1.11 | † | 1.11 | † | 0.36 | † | 21,390 | 413 | ||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-15 | 9.54 | (0.03 | )• | 0.05 | 0.02 | 0.09 | — | — | 0.09 | — | 9.47 | 0.15 | 0.55 | 0.51 | 0.51 | (0.57 | ) | 431,856 | 221 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-14 | 9.42 | 0.11 | 0.16 | 0.27 | 0.15 | — | — | 0.15 | — | 9.54 | 2.81 | 0.55 | 0.51 | 0.51 | 1.18 | 450,442 | 527 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-13 | 10.97 | (0.00 | )* | (0.91 | ) | (0.91 | ) | — | 0.64 | — | 0.64 | — | 9.42 | (8.41 | ) | 0.54 | 0.54 | 0.54 | (0.05 | ) | 476,969 | 613 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 10.91 | 0.09 | 0.61 | 0.70 | 0.06 | 0.58 | — | 0.64 | — | 10.97 | 6.56 | 0.53 | 0.53 | 0.53 | 0.83 | 508,369 | 475 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 10.41 | 0.26 | 0.97 | 1.23 | 0.28 | 0.45 | — | 0.73 | — | 10.91 | 12.10 | 0.54 | 0.53 | 0.53 | 2.45 | 423,197 | 465 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.15 | 0.13 | 0.46 | 0.59 | 0.12 | 0.21 | — | 0.33 | — | 10.41 | 5.89 | 0.56 | 0.51 | † | 0.51 | † | 1.23 | † | 424,890 | 413 | |||||||||||||||||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-15 | 9.48 | (0.04 | )• | 0.04 | 0.00 | * | 0.09 | — | — | 0.09 | — | 9.39 | (0.01 | ) | 0.80 | 0.76 | 0.76 | (0.87 | ) | 223,256 | 221 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-14 | 9.37 | 0.09 | 0.15 | 0.24 | 0.13 | — | — | 0.13 | — | 9.48 | 2.54 | 0.80 | 0.76 | 0.76 | 0.90 | 243,300 | 527 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-13 | 10.94 | (0.04 | )• | (0.89 | ) | (0.93 | ) | — | 0.64 | — | 0.64 | — | 9.37 | (8.62 | ) | 0.79 | 0.79 | 0.79 | (0.40 | ) | 301,374 | 613 | |||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 10.90 | 0.06 | 0.61 | 0.67 | 0.05 | 0.58 | — | 0.63 | — | 10.94 | 6.26 | 0.78 | 0.78 | 0.78 | 0.50 | 587,903 | 475 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-11 | 10.40 | 0.20 | • | 1.01 | 1.21 | 0.26 | 0.45 | — | 0.71 | — | 10.90 | 11.91 | 0.79 | 0.78 | 0.78 | 1.86 | 522,743 | 465 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-10 | 10.16 | 0.10 | 0.46 | 0.56 | 0.11 | 0.21 | — | 0.32 | — | 10.40 | 5.59 | 0.81 | 0.76 | † | 0.76 | † | 0.96 | † | 264,757 | 413 | |||||||||||||||||||||||||||||||||||||||||||||||||
VY® Goldman Sachs Bond Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
02-20-15(5)–06-30-15 | 10.00 | 0.05 | • | (0.12 | ) | (0.07 | ) | — | — | — | — | — | 9.93 | (0.70 | ) | 0.60 | 0.58 | 0.58 | 1.38 | 199,188 | 237 |
(1) | Total return is calculated assuming reinvestment of all dividends, capital gain distributions and return of capital distributions, if any, at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized. |
(2) | Annualized for periods less than one year. |
(3) | Ratios reflect operating expenses of a Portfolio. Expenses before reductions/additions do not reflect amounts reimbursed by an Investment Adviser and/or Distributor or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by a Portfolio during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by an Investment Adviser and/or Distributor but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions/additions represent the net expenses paid by a Portfolio. Net investment income (loss) is net of all such additions or reductions. |
(4) | Ratios do not include fees and expenses charged under the variable annuity contract or variable life insurance policy. |
(5) | Commencement of operations. |
• | Calculated using average number of shares outstanding throughout the period. |
* | Amount is less than $0.005 or 0.005% or more than $(0.005) or (0.005)%. |
† | Impact of waiving the advisory fee for the ING Institutional Prime Money Market Fund holding has less than 0.005% impact on the expense ratio and net investment income or loss ratio. |
(1) | Market value of investment securities, other assets and liabilities — at the exchange rates prevailing at the end of the day. |
(2) | Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions. |
Buy | Sell | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 24,049,854 | $ | 196,337,540 | ||||||
Goldman Sachs Bond | 26,291,281 | 33,914,386 |
Purchased | Sold | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 101,546,244 | $ | 404,025,784 | ||||||
Goldman Sachs Bond | 42,782,439 | 13,637,851 |
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 766,739,627 | $ | 486,405,616 | ||||||
Goldman Sachs Bond | 101,844,036 | 5,712,662 |
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 1,014,176,462 | $ | 1,055,654,965 | ||||||
Goldman Sachs Bond | 503,510,697 | 407,283,160 |
Portfolio | Fee | |||||
---|---|---|---|---|---|---|
BlackRock Inflation | 0.45% on the first $200 million; | |||||
Protected Bond(1) | 0.40% on the next $800 million; and | |||||
0.30% on the amount in excess of $1 billion | ||||||
Goldman Sachs Bond | 0.40% on the first $750 million; and | |||||
0.38% on assets over $750 million |
(1) | DSL had contractually agreed to waive 0.04% of the management fee. Any fees waived or reimbursed were not eligible for recoupment. |
Portfolio | Fee | |||||
---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond(1) | 0.55% on the first $200 million; 0.50% on the next $800 million; and 0.40% on the amount in excess of $1 billion | |||||
Goldman Sachs Bond | 0.50% on the first $750 million; and 0.48% on assets over $750 million |
(1) | Effective May 1, 2015, DSL has contractually agreed to waive 0.04% of the management fee. Any fees waived or reimbursed are not eligible for recoupment. Termination or modification of this obligation requires approval by the Board. |
Portfolio | Sub-Adviser | |||||
---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | BlackRock Financial Management, Inc. | |||||
Goldman Sachs Bond | Goldman Sachs Asset Management, L.P. |
Subsidiary/Affiliated Investment Company | Portfolio | Percentage | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Voya Institutional Trust Company | BlackRock Inflation Protected Bond | 8.74 | % | |||||||
Voya Insurance and Annuity Company | BlackRock Inflation Protected Bond | 30.31 | ||||||||
Voya Retirement Conservative Portfolio | BlackRock Inflation Protected Bond | 15.97 | ||||||||
Voya Retirement Moderate Portfolio | BlackRock Inflation Protected Bond | 28.07 | ||||||||
Voya Solution 2015 Portfolio | BlackRock Inflation Protected Bond | 6.45 | % | |||||||
Goldman Sachs Bond | 20.79 | |||||||||
Voya Solution 2025 Portfolio | Goldman Sachs Bond | 16.99 | ||||||||
Voya Solution Income Portfolio | Goldman Sachs Bond | 6.42 |
Portfolio | Maximum Operating Expense Limit (as a percentage of net assets) | |||||
---|---|---|---|---|---|---|
BlackRock Inflation | Class ADV: 1.23% | |||||
Protected Bond | Class I: 0.63% | |||||
Class S: 0.88% | ||||||
Goldman Sachs Bond | 0.58% |
June 30, | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | 2016 | 2017 | 2018 | Total | |||||||||||||||
Goldman Sachs Bond | $ | — | $ | — | $ | 15,449 | $ | 15,449 |
Portfolio | Days Utilized | Approximate Average Daily Balance For Days Utilized | Approximate Weighted Average Interest Rate For Days Utilized | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | 2 | $ | 574,000 | 1.13 | % |
AUD Notional | CAD Notional | CHF Notional | EUR Notional | GBP Notional | USD Notional | Cost | ||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2014 | 53,880,000 | — | — | 12,265,000 | — | 15,225,000 | $ | 579,636 | ||||||||||||||||||||||
Options Purchased | 96,750,000 | 22,180,000 | 7,180,000 | 515,135,000 | 73,160,000 | 295,935,000 | 4,304,327 | |||||||||||||||||||||||
Options Terminated in Closing Sell Transactions | — | — | — | — | (27,095,000 | ) | (45,665,000 | ) | (800,317 | ) | ||||||||||||||||||||
Options Expired | (80,970,000 | ) | — | — | (527,400,000 | ) | (36,815,000 | ) | (181,175,000 | ) | (3,122,381 | ) | ||||||||||||||||||
Balance at 06/30/2015 | 69,660,000 | 22,180,000 | 7,180,000 | — | 9,250,000 | 84,320,000 | $ | 961,265 |
USD Notional | EUR Notional | Cost | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2014 | 8,600,000 | 10,100,000 | $ | 1,754,726 | ||||||||||
Options Purchased | 197,675,000 | — | 2,332,096 | |||||||||||
Balance at 06/30/2015 | 206,275,000 | 10,100,000 | $ | 4,086,822 |
USD Notional | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2014 | 8,810,000 | $ | 17,828 | |||||||
Balance at 06/30/2015 | 8,810,000 | $ | 17,828 |
Number of Contracts | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2014 | 505 | $ | 403,132 | |||||||
Options Purchased | 5,084 | 1,588,854 | ||||||||
Options Terminated in Closing Sell Transactions | (203 | ) | (42,916 | ) | ||||||
Options Expired | (3,634 | ) | (1,355,188 | ) | ||||||
Balance at 06/30/2015 | 1,752 | $ | 593,882 |
AUD Notional | CHF Notional | EUR Notional | GBP Notional | USD Notional | Premiums Received | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2014 | 72,145,000 | — | — | — | 15,225,000 | $ | 558,081 | |||||||||||||||||||
Options Written | 36,850,000 | 7,815,625 | 53,510,000 | 12,315,000 | 66,510,000 | 2,254,559 | ||||||||||||||||||||
Options Terminated in Closing Sell Transactions | — | — | (40,275,000 | ) | — | (15,225,000 | ) | (283,540 | ) | |||||||||||||||||
Options Expired | (81,280,000 | ) | — | — | (17,155,000 | ) | (37,570,000 | ) | (1,764,945 | ) | ||||||||||||||||
Balance at 06/30/2015 | 27,715,000 | 7,815,625 | 13,235,000 | (4,840,000 | ) | 28,940,000 | $ | 764,155 |
EUR Notional | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2014 | 3,140,000 | $ | 217,411 | |||||||
Balance at 06/30/2015 | 3,140,000 | $ | 217,411 |
EUR Notional | USD Notional | Premiums Received | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2014 | 10,100,000 | 77,300,000 | $ | 1,565,560 | ||||||||||
Options Written | 6,840,000 | 74,380,000 | 2,485,095 | |||||||||||
Options Terminated in Closing Purchase Transactions | (23,700,000 | ) | (436,080 | ) | ||||||||||
Options Expired | (53,600,000 | ) | (653,920 | ) | ||||||||||
Balance at 06/30/2015 | 16,940,000 | 74,380,000 | $ | 2,960,655 |
Number of Contracts | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2014 | 377 | $ | 307,597 | |||||||
Options Written | 2,147 | 503,438 | ||||||||
Options Terminated in Closing Purchase Transactions | (825 | ) | (329,276 | ) | ||||||
Options Expired | (1,439 | ) | (380,261 | ) | ||||||
Balance at 06/30/2015 | 260 | $ | 101,498 |
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 | |||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | 144,964 | — | 70,407 | (618,862 | ) | (403,491 | ) | 1,350,340 | — | 657,874 | (5,745,494 | ) | (3,737,280 | ) | |||||||||||||||||||||||||||||
12/31/2014 | 192,234 | — | 82,393 | (1,468,409 | ) | (1,193,782 | ) | 1,792,055 | — | 782,440 | (13,751,308 | ) | (11,176,813 | ) | |||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | 1,865,990 | — | 413,714 | (3,865,483 | ) | (1,585,779 | ) | 17,935,280 | — | 3,988,230 | (37,057,450 | ) | (15,133,940 | ) | |||||||||||||||||||||||||||||
12/31/2014 | 4,923,977 | — | 729,393 | (9,069,881 | ) | (3,416,511 | ) | 47,538,861 | — | 7,135,022 | (87,633,164 | ) | (32,959,281 | ) | |||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
6/30/2015 | 505,917 | — | 237,898 | (2,626,493 | ) | (1,882,678 | ) | 4,845,307 | — | 2,279,447 | (25,006,813 | ) | (17,882,059 | ) | |||||||||||||||||||||||||||||
12/31/2014 | 3,218,636 | — | 374,784 | (10,096,768 | ) | (6,503,348 | ) | 31,246,004 | — | 3,644,355 | (96,891,162 | ) | (62,000,803 | ) | |||||||||||||||||||||||||||||
Goldman Sachs Bond | |||||||||||||||||||||||||||||||||||||||||||
2/20/2015(1)–6/30/2015 | 21,391,703 | — | — | (1,333,286 | ) | 20,058,417 | 213,973,356 | — | — | (13,364,362 | ) | 200,608,994 |
(1) | Commencement of operations. |
Six Months Ended June 30, 2015 | Year Ended December 31, 2014 | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Ordinary Income | Ordinary Income | |||||||||
BlackRock Inflation Protected Bond | $ | 6,925,551 | $ | 11,561,817 |
Capital Loss Carryforwards | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Undistributed Ordinary Income | Unrealized Appreciation/ (Depreciation) | Amount | Character | Expiration | |||||||||||||||||||
BlackRock Inflation Protected Bond | $ | 6,748,380 | $ | (17,206,132 | ) | $ | (17,379,811 | ) | Short-term | None | |||||||||||||
(46,994,646 | ) | Long-term | None | ||||||||||||||||||||
$ | (64,374,457 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) |
as of June 30, 2015
(as a percentage of net assets)
U.S. Treasury Obligations | 52.8 | % | |||||
Foreign Government Bonds | 18.7 | % | |||||
U.S. Government Agency Obligations | 14.1 | % | |||||
Purchased Options | 0.7 | % | |||||
Assets in Excess of Other Liabilities* | 13.7 | % | |||||
Net Assets | 100.0 | % | |||||
* Includes short-term investments. |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. TREASURY OBLIGATIONS: 52.8% | |||||||||||||||||||||||
Treasury Inflation Indexed Protected Securities: 52.8% | |||||||||||||||||||||||
1,875 | 0.125%, due 04/15/17 | $ | 1,900 | 0.0 | |||||||||||||||||||
17,114,990 | 0.125%, due 04/15/20 | 17,246,023 | 2.4 | ||||||||||||||||||||
6,702,993 | 0.125%, due 01/15/22 | 6,640,676 | 0.9 | ||||||||||||||||||||
14,553,225 | 0.125%, due 07/15/22 | 14,436,115 | 2.0 | ||||||||||||||||||||
45,611,785 | 0.125%, due 01/15/23 | 44,785,071 | 6.3 | ||||||||||||||||||||
10,337,961 | 0.125%, due 07/15/24 | 10,072,245 | 1.4 | ||||||||||||||||||||
27,145,651 | 0.250%, due 01/15/25 | 26,592,124 | 3.7 | ||||||||||||||||||||
10,080,382 | 0.375%, due 07/15/23 | 10,108,728 | 1.4 | ||||||||||||||||||||
249,738 | 0.625%, due 07/15/21 | 257,679 | 0.0 | ||||||||||||||||||||
7,351,573 | 0.625%, due 01/15/24 | 7,469,315 | 1.0 | ||||||||||||||||||||
2,959,766 | 0.625%, due 02/15/43 | 2,607,136 | 0.4 | ||||||||||||||||||||
15,025,284 | 0.750%, due 02/15/42 | 13,722,306 | 1.9 | ||||||||||||||||||||
10,876,419 | 0.750%, due 02/15/45 | 9,861,007 | 1.4 | ||||||||||||||||||||
32,290,571 | 1.125%, due 01/15/21 | 34,144,760 | 4.8 | ||||||||||||||||||||
14,103,570 | 1.250%, due 07/15/20 | 15,083,105 | 2.1 | ||||||||||||||||||||
5,695,216 | 1.375%, due 02/15/44 | 6,035,596 | 0.8 | ||||||||||||||||||||
30,345,043 | S | 1.750%, due 01/15/28 | 34,292,265 | 4.8 | |||||||||||||||||||
19,716,838 | 2.000%, due 01/15/26 | 22,594,274 | 3.2 | ||||||||||||||||||||
13,493,108 | 2.125%, due 02/15/40 | 16,531,162 | 2.3 | ||||||||||||||||||||
17,735,686 | 2.125%, due 02/15/41 | 21,881,403 | 3.1 | ||||||||||||||||||||
11,763,013 | 2.375%, due 01/15/25 | 13,820,623 | 1.9 | ||||||||||||||||||||
20,662,927 | 2.375%, due 01/15/27 | 24,666,369 | 3.5 | ||||||||||||||||||||
7,466,050 | 2.500%, due 01/15/29 | 9,181,494 | 1.3 | ||||||||||||||||||||
3,259,063 | 3.375%, due 04/15/32 | 4,581,528 | 0.6 | ||||||||||||||||||||
4,022,810 | 3.625%, due 04/15/28 | 5,471,022 | 0.8 | ||||||||||||||||||||
3,803,885 | 3.875%, due 04/15/29 | 5,378,929 | 0.8 | ||||||||||||||||||||
Total U.S. Treasury Obligations | |||||||||||||||||||||||
(Cost $394,336,562) | 377,462,855 | 52.8 | |||||||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 14.1% | |||||||||||||||||||||||
Federal Home Loan Mortgage Corporation: 7.1%## | |||||||||||||||||||||||
48,900,000 | 3.500%, due 06/01/45 | 50,380,768 | 7.1 | ||||||||||||||||||||
Federal National Mortgage Association: 7.0%## | |||||||||||||||||||||||
48,800,000 | 3.500%, due 07/01/45 | 50,362,560 | 7.0 | ||||||||||||||||||||
Total U.S. Government Agency Obligations | |||||||||||||||||||||||
(Cost $100,542,229) | 100,743,328 | 14.1 | |||||||||||||||||||||
FOREIGN GOVERNMENT BONDS: 18.7% | |||||||||||||||||||||||
EUR 3,642,437 | Bundesrepublik Deutschland Bundesobligation Inflation Linked Bond, 0.750%, 04/15/18 | $ | 4,233,361 | 0.6 | |||||||||||||||||||
EUR 52,690,000 | Bundesschatzanweisungen, –0.230%, 06/16/17 | 59,002,309 | 8.2 | ||||||||||||||||||||
EUR 11,646 | Deutsche Bundesrepublik Inflation Linked Bond, 1.500%, 04/15/16 | 13,077 | 0.0 | ||||||||||||||||||||
EUR 29,205,000 | France Government Bond OAT, 3.750%, 04/25/17 | 34,883,725 | 4.9 | ||||||||||||||||||||
EUR 605,900 | Hellenic Republic Government Bond, 22.590%, 10/15/42 | 3,134 | 0.0 | ||||||||||||||||||||
EUR 37,546 | Italy Buoni Poliennali Del Tesoro, 2.100%, 09/15/16 | 42,918 | 0.0 | ||||||||||||||||||||
EUR 3,278,143 | # | Italy Buoni Poliennali Del Tesoro, 2.350%, 09/15/24 | 4,028,054 | 0.6 | |||||||||||||||||||
EUR 1,181,370 | Italy Buoni Poliennali Del Tesoro, 2.550%, 09/15/41 | 1,490,074 | 0.2 | ||||||||||||||||||||
EUR 4,324,811 | Italy Buoni Poliennali Del Tesoro, 2.600%, 09/15/23 | 5,423,733 | 0.8 | ||||||||||||||||||||
MXN 113,450,001 | Mexican Udibonos, 4.000%, 06/13/19 | 7,838,087 | 1.1 | ||||||||||||||||||||
NZD 15,118,000 | New Zealand Government Bond, 3.000%, 09/20/30 | 11,539,393 | 1.6 | ||||||||||||||||||||
EUR 4,369,851 | # | Spain Government Inflation Linked Bond, 0.550%, 11/30/19 | 4,935,060 | 0.7 | |||||||||||||||||||
Total Foreign Government Bonds | |||||||||||||||||||||||
(Cost $138,606,787) | 133,432,925 | 18.7 |
# of Contracts | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PURCHASED OPTIONS: 0.7% | |||||||||||||||||||
Exchange-Traded Options: 0.1% | |||||||||||||||||||
891 | @ | Put on Eurodollar 1-Year Mid Curve, Strike @ 98.750, Exp. 07/10/15 | 44,550 | 0.0 | |||||||||||||||
439 | @ | Put on Eurodollar 1-Year Mid Curve, Strike @ 98.500, Exp. 08/14/15 | 13,719 | 0.0 | |||||||||||||||
17 | @ | Put on Eurodollar 1-Year Mid Curve, Strike @ 98.500, Exp. 07/10/15 | 106 | 0.0 | |||||||||||||||
228 | @ | U.S. Treasury 10-Year Note, Strike @ 128.500, Exp. 08/21/15 | 96,189 | 0.0 | |||||||||||||||
92 | @ | U.S. Treasury 10-Year Note, Strike @ 125.500, Exp. 07/24/15 | 48,875 | 0.0 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) (CONTINUED) |
# of Contracts | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PURCHASED OPTIONS: (continued) | |||||||||||||||||||
85 | @ | U.S. Treasury Long Bond, Strike @ 151.000, Exp. 07/24/15 | $ | 183,281 | 0.1 | ||||||||||||||
386,720 | 0.1 | ||||||||||||||||||
Options on Currencies: 0.1% | |||||||||||||||||||
9,175,000 | @ | Call AUD vs. Put USD, Strike @ 0.815, Exp. 08/13/15 Counterparty: BNP Paribas Bank | 7,787 | 0.0 | |||||||||||||||
4,625,000 | @ | Call GBP vs. Put USD, Strike @ 1.605, Exp. 07/10/15 Counterparty: Citigroup, Inc. | 3,041 | 0.0 | |||||||||||||||
27,030,000 | @ | Call USD vs. Put CAD, Strike @ 1.280, Exp. 07/02/15 Counterparty: Citigroup, Inc. | 195 | 0.0 | |||||||||||||||
23,225,000 | @ | Put AUD vs. Call JPY, Strike @ 92.500, Exp. 07/17/15 Counterparty: BNP Paribas Bank | 71,056 | 0.0 | |||||||||||||||
9,175,000 | @ | Put AUD vs. Call USD, Strike @ 0.775, Exp. 08/13/15 Counterparty: BNP Paribas Bank | 140,231 | 0.0 | |||||||||||||||
9,365,000 | @ | Put AUD vs. Call USD, Strike @ 0.753, Exp. 08/28/15 Counterparty: BNP Paribas Bank | 77,747 | 0.0 | |||||||||||||||
18,720,000 | @ | Put AUD vs. Call USD, Strike @ 0.755, Exp. 07/02/15 Counterparty: BNP Paribas Bank | 3,528 | 0.0 | |||||||||||||||
22,180,000 | @ | Put CAD vs. Call JPY, Strike @ 98.500, Exp. 07/17/15 Counterparty: Deutsche Bank AG | 196,131 | 0.1 | |||||||||||||||
7,180,000 | @ | Put CHF vs. Call SEK, Strike @ 8.250, Exp. 08/28/15 Counterparty: JPMorgan Chase & Co. | 6,047 | 0.0 | |||||||||||||||
4,625,000 | @ | Put GBP vs. Call USD, Strike @ 1.535, Exp. 07/10/15 Counterparty: Citigroup, Inc. | 3,174 | 0.0 | |||||||||||||||
27,030,000 | @ | Put USD vs. Call CAD, Strike @ 1.220, Exp. 07/02/15 Counterparty: Citigroup, Inc. | 98 | 0.0 | |||||||||||||||
15,225,000 | @ | Put USD vs. Call NOK, Strike @ 7.000, Exp. 07/15/15 Counterparty: Bank of America | 82 | 0.0 | |||||||||||||||
15,035,000 | @ | Put USD vs. Call SEK, Strike @ 7.800, Exp. 08/28/15 Counterparty: UBS AG | 41,637 | 0.0 | |||||||||||||||
550,754 | 0.1 | ||||||||||||||||||
PURCHASED OPTIONS: (continued) | |||||||||||||||||||
Options on Inflation Floors: 0.0% | |||||||||||||||||||
8,810,000 | @ | Inflation Rate Floor on Eurostat Eurozone HICP Ex Tobacco NSA (CPTFEMU), Portfolio receives maximum of 0% minus CPTFEMU., Exp. 11/19/15 Counterparty: Barclays Bank PLC | $ | 734 | 0.0 | ||||||||||||||
OTC Interest Rate Swaptions: 0.5% | |||||||||||||||||||
41,100,000 | @ | Receive a fixed rate equal to 2.100% and pay a floating rate based on the 3-month USD-LIBOR-BBA, Exp. 02/12/16 Counterparty: Deutsche Bank AG | 530,026 | 0.1 | |||||||||||||||
3,600,000 | @ | Receive a fixed rate equal to 3.000% and pay a floating rate based on 3-month USD-LIBOR-BBA, Exp. 11/21/17 Counterparty: Barclays Bank PLC | 281,279 | 0.0 | |||||||||||||||
5,000,000 | @ | Receive a floating rate based on 3-month USD-LIBOR and pay a fixed rate equal to 4.000%, Exp. 11/21/17 Counterparty: Barclays Bank PLC | 168,747 | 0.0 | |||||||||||||||
41,100,000 | @ | Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.100%, Exp. 02/12/16 Counterparty: Deutsche Bank AG | 519,735 | 0.1 | |||||||||||||||
12,400,000 | @ | Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.750%, Exp. 01/15/16 Counterparty: Deutsche Bank AG | 279,439 | 0.0 | |||||||||||||||
17,500,000 | @ | Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.750%, Exp. 01/15/16 Counterparty: Deutsche Bank AG | 307,780 | 0.1 | |||||||||||||||
14,400,000 | @ | Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.850%, Exp. 09/16/16 Counterparty: Deutsche Bank AG | 67,325 | 0.0 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) (CONTINUED) |
# of Contracts | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PURCHASED OPTIONS: (continued) | |||||||||||||||||||
OTC Interest Rate Swaptions: (continued) | |||||||||||||||||||
28,850,000 | @ | Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.850%, Exp. 09/04/15 Counterparty: Deutsche Bank AG | $ | 106,358 | 0.0 | ||||||||||||||
14,425,000 | @ | Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.850%, Exp. 09/04/16 Counterparty: Deutsche Bank AG | 53,179 | 0.0 | |||||||||||||||
6,200,000 | @ | Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.950%, Exp. 01/15/16 Counterparty: Deutsche Bank AG | 338,735 | 0.1 | |||||||||||||||
21,700,000 | @ | Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.750%, Exp. 01/15/16 Counterparty: Deutsche Bank AG | 169,655 | 0.0 | |||||||||||||||
10,100,000 | @ | Receive a floating rate equal to the 6-month EUR-EURIBOR and pay a fixed rate equal to 2.500%, Exp. 06/08/22 Counterparty: Deutsche Bank AG | 967,833 | 0.1 | |||||||||||||||
3,790,091 | 0.5 | ||||||||||||||||||
Total Purchased Options | |||||||||||||||||||
(Cost $5,659,797) | 4,728,299 | 0.7 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $639,145,375) | 616,367,407 | 86.3 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 13.9% | |||||||||||||||||||
Mutual Funds: 13.9% | |||||||||||||||||||
48,085,155 | BlackRock Liquidity Funds, TempFund, Institutional Class, 0.090%†† | $ | 48,085,155 | 6.7 | |||||||||||||||
51,231,694 | Dreyfus Treasury & Agency Cash Management Fund — Institutional Shares, 0.010%†† | 51,231,694 | 7.2 | ||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $99,316,849) | 99,316,849 | 13.9 | |||||||||||||||||
Total Investments in Securities (Cost $738,462,224) | $ | 715,684,256 | 100.2 | ||||||||||||||||
Liabilities in Excess of Other Assets | (1,106,933 | ) | (0.2 | ) | |||||||||||||||
Net Assets | $ | 714,577,323 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
†† | Rate shown is the 7-day yield as of June 30, 2015. |
# | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
## | The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies. |
@ | Non-income producing security. |
S | All or a portion of this security has been identified by the Portfolio to cover future collateral requirements for applicable futures, options, swaps, foreign currency contracts and/or when-issued or delayed-delivery securities. |
EUR | EU Euro |
MXN | Mexican Peso |
NZD | New Zealand Dollar |
Cost for federal income tax purposes is $739,724,678. |
Net unrealized depreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 1,177,820 | ||||
Gross Unrealized Depreciation | (25,218,242 | ) | ||||
Net Unrealized Depreciation | $ | (24,040,422 | ) |
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, 2015 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Purchased Options | $ | 386,720 | $ | 4,341,579 | $ | — | $ | 4,728,299 | ||||||||||
U.S. Treasury Obligations | — | 377,462,855 | — | 377,462,855 | ||||||||||||||
Foreign Government Bonds | — | 133,432,925 | — | 133,432,925 | ||||||||||||||
Short-Term Investments | 99,316,849 | — | — | 99,316,849 | ||||||||||||||
U.S. Government Agency Obligations | — | 100,743,328 | — | 100,743,328 | ||||||||||||||
Total Investments, at fair value | $ | 99,703,569 | $ | 615,980,687 | $ | — | $ | 715,684,256 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (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, 2015 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Other Financial Instruments+ | ||||||||||||||||||
Centrally Cleared Swaps | $ | — | $ | 377,895 | $ | — | $ | 377,895 | ||||||||||
Forward Foreign Currency Contracts | — | 2,638,987 | — | 2,638,987 | ||||||||||||||
Futures | 1,685,805 | — | — | 1,685,805 | ||||||||||||||
OTC Swaps | — | 1,022,950 | — | 1,022,950 | ||||||||||||||
Total Assets | $ | 101,389,374 | $ | 620,020,519 | $ | — | $ | 721,409,893 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Centrally Cleared Swaps | $ | — | $ | (878,356 | ) | $ | — | $ | (878,356 | ) | ||||||||
Forward Foreign Currency Contracts | — | (576,369 | ) | — | (576,369 | ) | ||||||||||||
Futures | (516,703 | ) | — | — | (516,703 | ) | ||||||||||||
OTC Swaps | — | (623,498 | ) | — | (623,498 | ) | ||||||||||||
Written Options | (47,689 | ) | (3,379,674 | ) | — | (3,427,363 | ) | |||||||||||
Total Liabilities | $ | (564,392 | ) | $ | (5,457,897 | ) | $ | — | $ | (6,022,289 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, futures, centrally cleared swaps, OTC swaps and written options. Forward foreign currency contracts, futures and centrally cleared swaps are valued at the unrealized gain (loss) on the instrument. OTC swaps and written options are valued at the fair value of the instrument. |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank PLC | Canadian Dollar | 5,053,630 | Buy | 07/03/15 | $ | 4,093,500 | $ | 4,046,084 | $ | (47,416 | ) | |||||||||||||||||||
Barclays Bank PLC | Australian Dollar | 2,365,000 | Buy | 08/17/15 | 1,803,809 | 1,819,914 | 16,105 | |||||||||||||||||||||||
Citigroup, Inc. | Canadian Dollar | 5,525,000 | Buy | 07/22/15 | 4,457,932 | 4,422,288 | (35,644 | ) | ||||||||||||||||||||||
The Commonwealth Bank of Australia | Australian Dollar | 2,310,000 | Buy | 08/17/15 | 1,774,082 | 1,777,590 | 3,508 | |||||||||||||||||||||||
Deutsche Bank AG | Canadian Dollar | 8,285,817 | Buy | 07/03/15 | 6,711,500 | 6,633,867 | (77,633 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Canadian Dollar | 5,525,000 | Buy | 07/22/15 | 4,457,932 | 4,422,288 | (35,644 | ) | ||||||||||||||||||||||
Goldman Sachs & Co. | EU Euro | 406,000 | Buy | 07/06/15 | 453,547 | 452,655 | (892 | ) | ||||||||||||||||||||||
Goldman Sachs & Co. | EU Euro | 205,000 | Buy | 07/06/15 | 232,122 | 228,557 | (3,565 | ) | ||||||||||||||||||||||
HSBC Bank PLC | British Pound | 227,000 | Buy | 07/06/15 | 346,999 | 356,662 | 9,663 | |||||||||||||||||||||||
The Royal Bank of Canada | EU Euro | 1,009,000 | Buy | 07/06/15 | 1,147,682 | 1,124,948 | (22,734 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | Japanese Yen | 213,482,000 | Buy | 09/15/15 | 1,731,329 | 1,746,092 | 14,763 | |||||||||||||||||||||||
Standard Chartered Bank PLC | Mexican Peso | 56,554,000 | Buy | 09/15/15 | 3,659,209 | 3,578,810 | (80,399 | ) | ||||||||||||||||||||||
$ | (259,888 | ) | ||||||||||||||||||||||||||||
Bank of America | EU Euro | 84,389,000 | Sell | 07/06/15 | $ | 94,467,325 | $ | 94,086,427 | $ | 380,898 | ||||||||||||||||||||
Bank of America | Canadian Dollar | 6,635,691 | Sell | 07/03/15 | 5,437,500 | 5,312,728 | 124,772 | |||||||||||||||||||||||
Barclays Bank PLC | Australian Dollar | 2,380,000 | Sell | 08/17/15 | 1,836,656 | 1,831,457 | 5,199 | |||||||||||||||||||||||
Barclays Bank PLC | Mexican Peso | 123,746,000 | Sell | 07/21/15 | 8,248,084 | 7,861,835 | 386,249 | |||||||||||||||||||||||
JPMorgan Chase & Co. | New Zealand Dollar | 14,627,000 | Sell | 07/21/15 | 10,901,254 | 9,894,453 | 1,006,801 | |||||||||||||||||||||||
Deutsche Bank AG | Canadian Dollar | 6,636,034 | Sell | 07/03/15 | 5,437,500 | 5,313,002 | 124,498 | |||||||||||||||||||||||
Goldman Sachs & Co. | British Pound | 175,000 | Sell | 07/06/15 | 270,746 | 274,959 | (4,213 | ) | ||||||||||||||||||||||
HSBC Bank PLC | New Zealand Dollar | 698,000 | Sell | 07/21/15 | 486,626 | 472,163 | 14,463 | |||||||||||||||||||||||
HSBC Bank PLC | New Zealand Dollar | 1,523,000 | Sell | 07/21/15 | 1,083,251 | 1,030,236 | 53,015 | |||||||||||||||||||||||
UBS AG | EU Euro | 98,507,000 | Sell | 08/05/15 | 110,371,479 | 109,872,426 | 499,053 | |||||||||||||||||||||||
UBS AG | EU Euro | 15,738,000 | Sell | 07/06/15 | 17,278,278 | 17,546,507 | (268,229 | ) | ||||||||||||||||||||||
$ | 2,322,506 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) (CONTINUED) |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
U.S. Treasury 2-Year Note | 264 | 09/30/15 | $ | 57,799,500 | $ | 66,330 | ||||||||||||
U.S. Treasury 5-Year Note | 363 | 09/30/15 | 43,290,585 | 105,211 | ||||||||||||||
U.S. Treasury Long Bond | 100 | 09/21/15 | 15,084,375 | 16,490 | ||||||||||||||
$ | 116,174,460 | $ | 188,031 | |||||||||||||||
Short Contracts | ||||||||||||||||||
90-Day Eurodollar | (54 | ) | 12/14/15 | (13,427,775 | ) | (52,059 | ) | |||||||||||
90-Day Eurodollar | (504 | ) | 12/18/17 | (123,429,600 | ) | (54,072 | ) | |||||||||||
Euro-Bobl 5-Year | (19 | ) | 09/08/15 | (2,744,788 | ) | 12,979 | ||||||||||||
Euro-Bund | (9 | ) | 09/08/15 | (1,525,118 | ) | 32,888 | ||||||||||||
Euro-Schatz | (732 | ) | 09/08/15 | (90,808,379 | ) | (45,888 | ) | |||||||||||
Japan 10-Year Bond (TSE) | (30 | ) | 09/10/15 | (36,026,474 | ) | (221,939 | ) | |||||||||||
Long Gilt | (26 | ) | 09/28/15 | (4,727,830 | ) | (38,607 | ) | |||||||||||
Long-Term Euro-BTP | (11 | ) | 09/08/15 | (1,596,814 | ) | 36,937 | ||||||||||||
U.S. Treasury 10-Year Note | (163 | ) | 09/21/15 | (20,566,016 | ) | (104,138 | ) | |||||||||||
U.S. Treasury Ultra Long Bond | (276 | ) | 09/21/15 | (42,521,250 | ) | 1,414,970 | ||||||||||||
$ | (337,374,044 | ) | $ | 981,071 |
Clearinghouse | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.423% | Chicago Mercantile Exchange | 04/24/45 | USD 815,000 | $ | 87,357 | $ | 87,336 | |||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.380% | Chicago Mercantile Exchange | 04/24/45 | USD 855,000 | 99,314 | 99,291 | |||||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.423% | Chicago Mercantile Exchange | 04/24/45 | USD 875,000 | 93,881 | 93,858 | |||||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.391% | Chicago Mercantile Exchange | 04/24/45 | USD 855,000 | 97,432 | 97,410 | |||||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.800% | Chicago Mercantile Exchange | 02/25/25 | USD 22,800,000 | (748,347 | ) | (748,819 | ) | |||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.046% | Chicago Mercantile Exchange | 02/15/40 | USD 2,400,000 | (63,455 | ) | (63,518 | ) | |||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.065% | Chicago Mercantile Exchange | 02/15/40 | USD 2,200,000 | (65,961 | ) | (66,019 | ) | |||||||||||||||
$ | (499,779 | ) | $ | (500,461 | ) |
Termination Date | Notional Amount | Fair Value | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a fixed rate equal to 1.852% and pay a floating rate based on the 3-month US CPI Urban Consumers NSA (CPURNSA) Counterparty: Barclays Bank PLC | 03/10/16 | USD 20,575,000 | $ | 414,438 | $ | — | $ | 414,438 | ||||||||||||||
Receive a floating rate based on the 3-month US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 2.066% Counterparty: Barclays Bank PLC | 03/10/18 | USD 20,575,000 | (623,498 | ) | — | (623,498 | ) | |||||||||||||||
$ | (209,060 | ) | $ | — | $ | (209,060 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) (CONTINUED) |
Termination Date | Notional Amount | Fair Value | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive the positive price return of the Barclays Real Rates Basket. Pay a floating rate based on the 1-month USD-LIBOR-BBA plus 45 basis points, and, if negative, the absolute value of the total return of the basket. Counterparty: Barclays Bank PLC | 07/24/15 | USD 176,861,368 | $608,512 | $ | — | $ | 608,512 | |||||||||||||||
$608,512 | $ | — | $ | 608,512 |
Description | Counterparty | Exercise Rate | Exercise Index | Termination Date | Notional Amount | Premiums Received | Fair Value | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Cap- HICPx Index | Deutsche Bank AG | 2.500% | Maximum of [1-(Index Final/Index Initial)] or $0 | 04/26/22 | EUR 3,140,000 | $ | 217,411 | $ | (11,632 | ) | ||||||||||||||||||||
$ | 217,411 | $ | (11,632 | ) |
Description | Exercise Price | Expiration Date | # of Contracts | Premiums Received | Fair Value | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury 10-Year Note | 128.00 | 07/24/15 | 32 | $ | 23,454 | $ | (8,500 | ) | ||||||||||||||
U.S. Treasury 10-Year Note | 130.50 | 08/21/15 | 228 | 78,044 | (39,189 | ) | ||||||||||||||||
$ | 101,498 | $ | (47,689 | ) |
Notional Amount | Counterparty | Description | Exercise Price | Expiration Date | Premiums Received | Fair Value | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Options on Currencies | ||||||||||||||||||||||||||||
9,365,000 | BNP Paribas Bank | Call AUD vs. Put USD | 0.795 | AUD | 10/29/15 | $ | 73,629 | $ | (73,629 | ) | ||||||||||||||||||
9,175,000 | BNP Paribas Bank | Call AUD vs. Put USD | 0.815 | AUD | 08/13/15 | 76,056 | (7,849 | ) | ||||||||||||||||||||
9,175,000 | BNP Paribas Bank | Put AUD vs. Call USD | 0.775 | AUD | 08/13/15 | 220,335 | (140,231 | ) | ||||||||||||||||||||
7,815,625 | JPMorgan Chase & Co. | Call CHF vs. Put SEK | 9.750 | CHF | 08/28/15 | 42,368 | (10,640 | ) | ||||||||||||||||||||
6,635,000 | Deutsche Bank AG | Call EUR vs. Put USD | 1.150 | EUR | 08/03/15 | 77,705 | (37,260 | ) | ||||||||||||||||||||
6,600,000 | Deutsche Bank AG | Call EUR vs. Put USD | 1.155 | EUR | 08/06/15 | 82,458 | (33,058 | ) | ||||||||||||||||||||
7,195,000 | Deutsche Bank AG | Call USD vs. Put JPY | 126.500 | USD | 10/30/15 | 58,351 | (58,351 | ) | ||||||||||||||||||||
7,275,000 | Deutsche Bank AG | Call USD vs. Put JPY | 126.500 | USD | 10/30/15 | 58,964 | (58,684 | ) | ||||||||||||||||||||
7,275,000 | Deutsche Bank AG | Put USD vs. Call JPY | 113.500 | USD | 10/30/15 | 58,964 | (19,334 | ) | ||||||||||||||||||||
7,195,000 | Deutsche Bank AG | Put USD vs. Call JPY | 113.500 | USD | 10/30/15 | 15,325 | (15,325 | ) | ||||||||||||||||||||
Total Written OTC Options | $ | 764,155 | $ | (454,361 | ) |
Description | Counterparty | Floating Rate Index/Underlying Reference Entity | Pay/ Receive Floating | Exercise Rate | Expiration Date | Notional Amount | Premiums Received | Fair Value | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Put OTC Swaption | Deutsche Bank AG | 6-month EUR-EURIBOR-Reuters | Pay | 1.700% | 12/22/15 | EUR 3,420,000 | $ | 230,667 | $ | (232,263 | ) | |||||||||||||||||||||||
Put OTC Swaption | Deutsche Bank AG | 6-month EUR-EURIBOR-Reuters | Pay | 4.500% | 06/08/22 | EUR 10,100,000 | 475,560 | (225,037 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Pay | 2.550% | 01/15/16 | USD 6,200,000 | 353,313 | (664,208 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Pay | 2.900% | 02/13/17 | USD 15,300,000 | 436,915 | (580,425 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Pay | 3.100% | 03/06/17 | USD 4,690,000 | 137,814 | (145,922 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Pay | 3.100% | 03/06/17 | USD 9,400,000 | 257,372 | (292,466 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Pay | 3.100% | 03/16/17 | USD 4,700,000 | 118,787 | (148,865 | ) | |||||||||||||||||||||||||
Call OTC Swaption | Deutsche Bank AG | 6-month EUR-EURIBOR-Reuters | Receive | 1.700% | 12/22/15 | EUR 3,420,000 | 230,667 | (205,080 | ) | |||||||||||||||||||||||||
Call OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Receive | 1.900% | 02/13/17 | USD 15,300,000 | 303,162 | (155,620 | ) | |||||||||||||||||||||||||
Call OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Receive | 2.100% | 03/06/17 | USD 9,400,000 | 212,876 | (131,712 | ) | |||||||||||||||||||||||||
Call OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Receive | 2.100% | 03/16/17 | USD 4,700,000 | 114,051 | (66,367 | ) | |||||||||||||||||||||||||
Call OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Receive | 3.000% | 03/06/17 | USD 4,690,000 | 89,471 | (65,716 | ) | |||||||||||||||||||||||||
Total Written Swaptions | $ | 2,960,655 | $ | (2,913,681 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) (CONTINUED) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||
---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | |||||||||
Foreign exchange contracts | Investments in securities at value* | $ | 550,754 | ||||||
Interest rate contracts | Investments in securities at value* | 4,177,545 | |||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | 2,638,987 | |||||||
Interest rate contracts | Net Assets — Unrealized appreciation** | 377,895 | |||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 1,022,950 | |||||||
Interest rate contracts | Net Assets — Unrealized appreciation*** | 1,685,805 | |||||||
Total Asset Derivatives | $ | 10,453,936 | |||||||
Liability Derivatives | |||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 576,369 | ||||||
Interest rate contracts | Unrealized depreciation on OTC swap agreements | 623,498 | |||||||
Interest rate contracts | Net Assets — Unrealized depreciation** | 878,356 | |||||||
Interest rate contracts | Net Assets — Unrealized depreciation*** | 516,703 | |||||||
Interest rate contracts | Written options, at fair value | 2,973,002 | |||||||
Foreign exchange contracts | Written options, at fair value | 454,361 | |||||||
Total Liability Derivatives | $ | 6,022,289 |
* | Includes purchased options. |
** | 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. |
*** | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Investments* | Foreign currency related transactions** | Futures | Swaps | Written options | Total | |||||||||||||||||||||
Foreign exchange contracts | $ | (2,763,033 | ) | $ | 11,354,503 | $ | — | $ | — | $ | 1,803,125 | $ | 10,394,595 | ||||||||||||||
Interest rate contracts | (1,235,755 | ) | — | (940,458 | ) | 5,820,256 | 974,854 | 4,618,897 | |||||||||||||||||||
Total | $ | (3,998,788 | ) | $ | 11,354,503 | $ | (940,458 | ) | $ | 5,820,256 | $ | 2,777,979 | $ | 15,013,492 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Investments* | Foreign currency related transactions** | Futures | Swaps | Written options | Total | |||||||||||||||||||||||||
Foreign exchange contracts | $ | (853,660 | ) | $ | (1,081,422 | ) | $ | — | $ | — | $ | 549,528 | $ | (1,385,554 | ) | ||||||||||||||||
Interest rate contracts | 99,232 | — | 3,787,024 | 272,933 | (191,219 | ) | 3,967,970 | ||||||||||||||||||||||||
Total | $ | (754,428 | ) | $ | (1,081,422 | ) | $ | 3,787,024 | $ | 272,933 | $ | 358,309 | $ | 2,582,416 |
* | Amounts recognized for purchased options are included in net realized gain (loss) on investments. |
** | Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions. |
Bank of America | Barclays Bank PLC | BNP Paribas Bank | Citigroup, Inc. | Deutsche Bank AG | Goldman Sachs & Co. | HSBC Bank PLC | JPMorgan Chase & Co. | The Commonwealk Bank of Australia | The Royal Bank of Canada | Standard Chartered Bank PLC | UBS AG | Totals | ||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchased options | $ | 82 | $ | 450,760 | $ | 300,349 | $ | 6,508 | $ | 3,536,196 | $ | — | $ | — | $ | 6,047 | $ | — | $ | — | $ | — | $ | 41,637 | $ | 4,341,579 | ||||||||||||||||||||||||||||
Forward foreign currency contracts | 505,670 | 407,553 | — | — | 124,498 | — | 77,141 | 1,006,801 | 3,508 | 14,763 | — | 499,053 | 2,638,987 | |||||||||||||||||||||||||||||||||||||||||
OTC Interest rate swaps | — | 414,438 | — | — | — | — | — | — | — | — | — | — | 414,438 | |||||||||||||||||||||||||||||||||||||||||
OTC Total return swaps | — | 608,512 | — | — | — | — | — | — | 608,512 | |||||||||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 505,752 | $ | 1,881,263 | $ | 300,349 | $ | 6,508 | $ | 3,660,694 | $ | — | $ | 77,141 | $ | 1,012,848 | $ | 3,508 | $ | 14,763 | $ | — | $ | 540,690 | $ | 8,003,516 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) (CONTINUED) |
Bank of America | Barclays Bank PLC | BNP Paribas Bank | Citigroup, Inc. | Deutsche Bank AG | Goldman Sachs & Co. | HSBC Bank PLC | JPMorgan Chase & Co. | The Commonwealk Bank of Australia | The Royal Bank of Canada | Standard Chartered Bank PLC | UBS AG | Totals | ||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | — | $ | 47,416 | $ | — | $ | 35,644 | $ | 113,277 | $ | 8,670 | $ | — | $ | — | $ | — | $ | 22,734 | $ | 80,399 | $ | 268,229 | 576,369 | |||||||||||||||||||||||||||||
OTC Interest rate swaps | — | 623,498 | — | — | — | — | — | — | — | — | — | — | 623,498 | |||||||||||||||||||||||||||||||||||||||||
Written options | — | — | 221,709 | — | 3,147,325 | — | — | 10,640 | — | — | — | — | 3,379,674 | |||||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | — | $ | 670,914 | $ | 221,709 | $ | 35,644 | $ | 3,260,602 | $ | 8,670 | $ | — | $ | 10,640 | $ | — | $ | 22,734 | $ | 80,399 | $ | 268,229 | $ | 4,579,541 | ||||||||||||||||||||||||||||
Net OTC derivative instruments by counterparty, at fair value | $ | 505,752 | $ | 1,210,349 | $ | 78,640 | $ | (29,136 | ) | $ | 400,092 | $ | (8,670 | ) | $ | 77,141 | $ | 1,002,208 | $ | 3,508 | $ | (7,971 | ) | $ | (80,399 | ) | $ | 272,461 | 3,423,975 | |||||||||||||||||||||||||
Total collateral pledged by the Portfolio/(Received from counterparty) | $ | — | $ | — | $ | — | $ | — | $ | (830,000 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (830,000 | ) | ||||||||||||||||||||||||||
Net Exposure (1) | $ | 505,752 | $ | 1,210,349 | $ | 78,640 | $ | (29,136 | ) | $ | (429,908 | ) | $ | (8,670 | ) | $ | 77,141 | $ | 1,002,208 | $ | 3,508 | $ | (7,971 | ) | $ | (80,399 | ) | $ | 272,461 | $ | 2,593,975 |
(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. |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) |
as of June 30, 2015
(as a percentage of net assets)
Corporate Bonds/Notes | 28.3 | % | |||||
U.S. Treasury Obligations | 24.9 | % | |||||
U.S. Government Agency Obligations | 24.0 | % | |||||
Asset-Backed Securities | 10.7 | % | |||||
Foreign Government Bonds | 4.3 | % | |||||
Collateralized Mortgage Obligations | 2.1 | % | |||||
Municipal Bonds | 1.1 | % | |||||
Assets in Excess of Other Liabilities* | 4.6 | % | |||||
Net Assets | 100.0 | % | |||||
* Includes short-term investments. |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 28.3% | |||||||||||||||||||
Basic Materials: 0.6% | |||||||||||||||||||
375,000 | # | WR Grace & Co-Conn, 5.125%, 10/01/21 | $ | 378,750 | 0.2 | ||||||||||||||
900,000 | Other Securities | 879,492 | 0.4 | ||||||||||||||||
1,258,242 | 0.6 | ||||||||||||||||||
Communications: 4.4% | |||||||||||||||||||
825,000 | 21st Century Fox America, Inc., 3.000%–4.000%, 09/15/22–10/01/23 | 835,700 | 0.4 | ||||||||||||||||
775,000 | Amazon.com, Inc., 3.300%, 12/05/21 | 785,453 | 0.4 | ||||||||||||||||
875,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 3.800%–3.950%, 03/15/22–01/15/25 | 868,364 | 0.4 | ||||||||||||||||
775,000 | NBCUniversal Media, LLC, 4.450%, 01/15/43 | 743,874 | 0.4 | ||||||||||||||||
50,000 | # | Nielsen Finance LLC / Nielsen Finance Co., 5.000%, 04/15/22 | 49,312 | 0.0 | |||||||||||||||
1,450,000 | Verizon Communications, Inc., 5.150%, 09/15/23 | 1,591,384 | 0.8 | ||||||||||||||||
1,525,000 | Verizon Communications, Inc., 2.625%–4.150%, 02/21/20–03/15/24 | 1,542,857 | 0.8 | ||||||||||||||||
2,350,000 | Other Securities | 2,388,728 | 1.2 | ||||||||||||||||
8,805,672 | 4.4 | ||||||||||||||||||
Consumer, Cyclical: 2.1% | |||||||||||||||||||
950,000 | CVS Caremark Corp., 3.375%, 08/12/24 | 933,851 | 0.4 | ||||||||||||||||
375,000 | # | Family Tree Escrow LLC, 5.750%, 03/01/23 | 393,750 | 0.2 | |||||||||||||||
1,175,000 | Ford Motor Credit Co., LLC, 5.875%, 08/02/21 | 1,338,057 | 0.7 | ||||||||||||||||
1,600,000 | Other Securities | 1,604,513 | 0.8 | ||||||||||||||||
4,270,171 | 2.1 | ||||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Consumer, Non-cyclical: 5.6% | |||||||||||||||||||
775,000 | AbbVie, Inc., 2.500%–3.200%, 05/14/20–11/06/22 | $ | 767,621 | 0.4 | |||||||||||||||
975,000 | �� | Actavis Funding SCS, 2.350%, 03/12/18 | 980,813 | 0.5 | |||||||||||||||
1,025,000 | Actavis Funding SCS, 3.450%–4.850%, 03/15/22–06/15/44 | 1,006,589 | 0.5 | ||||||||||||||||
800,000 | # | BAT International Finance PLC, 3.950%, 06/15/25 | 809,488 | 0.4 | |||||||||||||||
475,000 | # | Bayer US Finance LLC, 3.000%, 10/08/21 | 478,331 | 0.2 | |||||||||||||||
700,000 | # | EMD Finance LLC, 2.950%, 03/19/22 | 685,537 | 0.3 | |||||||||||||||
225,000 | # | HJ Heinz Co., 2.800%, 07/02/20 | 225,231 | 0.1 | |||||||||||||||
325,000 | # | HJ Heinz Co., 3.950%, 07/15/25 | 327,490 | 0.2 | |||||||||||||||
375,000 | # | Medtronic, Inc., 3.150%, 03/15/22 | 376,666 | 0.2 | |||||||||||||||
450,000 | # | Pernod Ricard SA, 4.450%, 01/15/22 | 473,257 | 0.2 | |||||||||||||||
1,225,000 | Reynolds American, Inc., 4.450%, 06/12/25 | 1,248,650 | 0.6 | ||||||||||||||||
775,000 | Synchrony Financial, 3.000%, 08/15/19 | 780,675 | 0.4 | ||||||||||||||||
1,225,000 | Sysco Corp., 3.500%, 10/02/24 | 1,237,078 | 0.6 | ||||||||||||||||
450,000 | # | Valeant Pharmaceuticals International, Inc., 7.500%, 07/15/21 | 487,688 | 0.3 | |||||||||||||||
1,350,000 | Other Securities | 1,372,324 | 0.7 | ||||||||||||||||
11,257,438 | 5.6 | ||||||||||||||||||
Energy: 3.5% | |||||||||||||||||||
650,000 | Anadarko Petroleum Corp., 3.450%, 07/15/24 | 640,795 | 0.3 | ||||||||||||||||
400,000 | # | Antero Resources Corp., 5.625%, 06/01/23 | 388,500 | 0.2 | |||||||||||||||
375,000 | Enterprise Products Operating L.P., 8.375%, 08/01/66 | 393,750 | 0.2 | ||||||||||||||||
375,000 | Enterprise Products Operating LLC, 3.750%–7.034%, 02/15/25–01/15/68 | 384,672 | 0.2 | ||||||||||||||||
650,000 | # | MEG Energy Corp., 6.375%, 01/30/23 | 607,750 | 0.3 | |||||||||||||||
725,000 | Williams Partners L.P., 3.600%–3.900%, 03/15/22–01/15/25 | 694,939 | 0.4 | ||||||||||||||||
4,000,000 | Other Securities | 3,777,433 | 1.9 | ||||||||||||||||
6,887,839 | 3.5 | ||||||||||||||||||
Financial: 10.3% | |||||||||||||||||||
325,000 | # | AIA Group Ltd., 3.200%, 03/11/25 | 313,529 | 0.2 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financial: (continued) | |||||||||||||||||||
450,000 | # | Australia & New Zealand Banking Group Ltd., 4.500%, 03/19/24 | $ | 452,700 | 0.2 | ||||||||||||||
1,025,000 | Bank of America Corp., 4.000%–6.500%, 04/01/24–10/29/49 | 1,048,491 | 0.5 | ||||||||||||||||
1,000,000 | Barclays Bank PLC, 2.500%, 02/20/19 | 1,004,430 | 0.5 | ||||||||||||||||
350,000 | # | Credit Agricole SA, 4.375%, 03/17/25 | 335,972 | 0.2 | |||||||||||||||
600,000 | # | Credit Suisse AG, 6.500%, 08/08/23 | 657,667 | 0.3 | |||||||||||||||
300,000 | # | Credit Suisse Group AG, 6.250%, 12/29/49 | 288,525 | 0.2 | |||||||||||||||
250,000 | # | Credit Suisse Group Funding Guernsey Ltd., 3.750%, 03/26/25 | 240,786 | 0.1 | |||||||||||||||
875,000 | ING Bank NV, 4.125%, 11/21/23 | 900,184 | 0.5 | ||||||||||||||||
600,000 | # | International Lease Finance Corp., 6.750%, 09/01/16 | 632,250 | 0.3 | |||||||||||||||
575,000 | Intesa Sanpaolo SpA, 3.875%, 01/16/18 | 593,680 | 0.3 | ||||||||||||||||
975,000 | # | Intesa Sanpaolo SpA, 5.017%, 06/26/24 | 947,666 | 0.5 | |||||||||||||||
275,000 | # | LBG Capital No.1 PLC, 8.000%, 12/29/49 | 315,563 | 0.2 | |||||||||||||||
775,000 | Lloyds Bank PLC, 2.350%, 09/05/19 | 775,406 | 0.4 | ||||||||||||||||
425,000 | # | Macquarie, 6.625%, 04/07/21 | 486,930 | 0.2 | |||||||||||||||
1,050,000 | Morgan Stanley, 3.700%, 10/23/24 | 1,045,430 | 0.5 | ||||||||||||||||
750,000 | Morgan Stanley, 4.300%–5.550%, 01/27/45–12/29/49 | 725,714 | 0.4 | ||||||||||||||||
500,000 | Royal Bank of Scotland PLC/The, 9.500%, 03/16/22 | 552,637 | 0.3 | ||||||||||||||||
200,000 | Royal Bank of Scotland PLC/The, 9.500%, 03/16/22 | 221,055 | 0.1 | ||||||||||||||||
450,000 | # | Sumitomo Mitsui Financial Group, Inc., 4.436%, 04/02/24 | 459,812 | 0.2 | |||||||||||||||
400,000 | # | Teachers Insurance & Annuity Association of America, 4.900%, 09/15/44 | 407,368 | 0.2 | |||||||||||||||
275,000 | # | WEA Finance LLC / Westfield UK & Europe Finance PLC, 3.750%, 09/17/24 | 271,922 | 0.1 | |||||||||||||||
7,725,000 | Other Securities | 7,828,477 | 3.9 | ||||||||||||||||
20,506,194 | 10.3 | ||||||||||||||||||
Industrial: 0.5% | |||||||||||||||||||
600,000 | # | Penske Truck Leasing Co. Lp / PTL Finance Corp., 3.375%, 02/01/22 | 581,812 | 0.3 | |||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Industrial: (continued) | |||||||||||||||||||
375,000 | # | Sealed Air Corp., 5.250%, 04/01/23 | $ | 379,219 | 0.2 | ||||||||||||||
961,031 | 0.5 | ||||||||||||||||||
Materials: 0.3% | |||||||||||||||||||
500,000 | Other Securities | 544,283 | 0.3 | ||||||||||||||||
Technology: 1.0% | |||||||||||||||||||
975,000 | Hewlett-Packard Co., 2.750%, 01/14/19 | 985,756 | 0.5 | ||||||||||||||||
975,000 | Other Securities | 966,618 | 0.5 | ||||||||||||||||
1,952,374 | 1.0 | ||||||||||||||||||
Total Corporate Bonds/Notes | |||||||||||||||||||
(Cost $58,017,164) | 56,443,244 | 28.3 | |||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 2.1% | |||||||||||||||||||
1,050,000 | # | Edsouth Indenture No 9 LLC, 1.060%, 10/25/56 | 1,051,661 | 0.6 | |||||||||||||||
650,000 | # | FREMF Mortgage Trust, 3.811%, 01/25/48 | 637,070 | 0.3 | |||||||||||||||
1,340,268 | GS Mortgage Securities Trust 2007-GG10, 5.795%, 08/10/45 | 1,440,003 | 0.7 | ||||||||||||||||
EUR 1,012,646 | Other Securities | 1,036,984 | 0.5 | ||||||||||||||||
Total Collateralized Mortgage Obligations | |||||||||||||||||||
(Cost $4,148,856) | 4,165,718 | 2.1 | |||||||||||||||||
MUNICIPAL BONDS: 1.1% | |||||||||||||||||||
California: 0.5% | |||||||||||||||||||
750,000 | Other Securities | 961,992 | 0.5 | ||||||||||||||||
Puerto Rico: 0.6% | |||||||||||||||||||
960,000 | Commonwealth of Puerto Rico, 8.000%, 07/01/35 | 650,410 | 0.3 | ||||||||||||||||
1,195,000 | Other Securities | 581,272 | 0.3 | ||||||||||||||||
1,231,682 | 0.6 | ||||||||||||||||||
Total Municipal Bonds | |||||||||||||||||||
(Cost $2,402,097) | 2,193,674 | 1.1 | |||||||||||||||||
U.S. TREASURY OBLIGATIONS: 24.9% | |||||||||||||||||||
U.S. Treasury Bonds: 4.1% | |||||||||||||||||||
3,200,000 | 2.000%, due 02/15/25 | 3,104,749 | 1.6 | ||||||||||||||||
5,200,000 | 3.000%, due 05/15/45 | 5,072,438 | 2.5 | ||||||||||||||||
8,177,187 | 4.1 | ||||||||||||||||||
U.S. Treasury Notes: 20.8% | |||||||||||||||||||
4,600,000 | 0.500%, due 02/28/17 | 4,595,685 | 2.3 | ||||||||||||||||
6,800,000 | 1.000%, due 02/15/18 | 6,817,000 | 3.4 | ||||||||||||||||
19,600,000 | 1.375%, due 02/29/20 | 19,419,308 | 9.8 | ||||||||||||||||
3,800,000 | 1.375%, due 03/31/20 | 3,759,922 | 1.9 | ||||||||||||||||
2,000,000 | 1.375%, due 04/30/20 | 1,976,562 | 1.0 | ||||||||||||||||
2,100,000 | 1.500%, due 05/31/20 | 2,086,547 | 1.0 | ||||||||||||||||
2,800,000 | 1.875%, due 05/31/22 | 2,766,313 | 1.4 | ||||||||||||||||
41,421,337 | 20.8 | ||||||||||||||||||
Total U.S. Treasury Obligations | |||||||||||||||||||
(Cost $49,824,780) | 49,598,524 | 24.9 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: 24.0% | |||||||||||||||||||||||
Federal Home Loan Mortgage Corporation: 2.9%## | |||||||||||||||||||||||
800,000 | 2.811%, due 01/25/25 | $ | 794,903 | 0.4 | |||||||||||||||||||
3,000,000 | 3.062%, due 12/25/24 | 3,037,350 | 1.5 | ||||||||||||||||||||
1,995,677 | 3.500%, due 04/01/43 | 2,059,811 | 1.0 | ||||||||||||||||||||
5,892,064 | 2.9 | ||||||||||||||||||||||
Federal National Mortgage Association: 11.7%## | |||||||||||||||||||||||
4,000,000 | 0.750%, due 03/14/17 | 4,008,224 | 2.0 | ||||||||||||||||||||
1,000,000 | W | 2.500%, due 02/25/27 | 1,012,192 | 0.5 | |||||||||||||||||||
2,000,000 | W | 3.000%, due 03/25/43 | 1,992,695 | 1.0 | |||||||||||||||||||
9,000,000 | W | 4.000%, due 07/01/44 | 9,536,027 | 4.8 | |||||||||||||||||||
1,000,000 | W | 4.500%, due 07/01/44 | 1,081,250 | 0.5 | |||||||||||||||||||
846,341 | 6.000%, due 08/01/27 | 960,366 | 0.5 | ||||||||||||||||||||
794,809 | 6.000%, due 12/01/36 | 906,167 | 0.5 | ||||||||||||||||||||
3,321,425 | 3.000%–6.000%, due 12/01/22–08/01/43 | 3,762,325 | 1.9 | ||||||||||||||||||||
23,259,246 | 11.7 | ||||||||||||||||||||||
Government National Mortgage Association: 9.4% | |||||||||||||||||||||||
1,000,000 | 3.000%, due 03/20/43 | 1,009,531 | 0.5 | ||||||||||||||||||||
10,000,000 | 3.500%, due 02/20/42 | 10,379,298 | 5.2 | ||||||||||||||||||||
498,991 | 3.500%, due 05/20/45 | 520,718 | 0.3 | ||||||||||||||||||||
2,500,000 | 3.500%, due 06/20/45 | 2,608,857 | 1.3 | ||||||||||||||||||||
3,000,000 | 4.000%, due 07/01/44 | 3,179,473 | 1.6 | ||||||||||||||||||||
993,718 | 4.000%, due 04/20/45 | 1,060,055 | 0.5 | ||||||||||||||||||||
18,757,932 | 9.4 | ||||||||||||||||||||||
Total U.S. Government Agency Obligations | |||||||||||||||||||||||
(Cost $47,886,915) | 47,909,242 | 24.0 | |||||||||||||||||||||
ASSET-BACKED SECURITIES: 10.7% | |||||||||||||||||||||||
Other Asset-Backed Securities: 10.7% | |||||||||||||||||||||||
250,000 | # | B&M CLO 2014-1 Ltd., 2.226%, 04/16/26 | 246,891 | 0.1 | |||||||||||||||||||
129,113 | # | Bayview Opportunity Master Fund IIIb RPL Trust 2015-3, 3.623%, 04/28/30 | 129,711 | 0.1 | |||||||||||||||||||
1,600,000 | # | Crown Point CLO III Ltd. 2015-3A ACOM, 1.803%, 12/31/27 | 1,578,880 | 0.8 | |||||||||||||||||||
250,000 | # | Crown Point CLO III Ltd. 2015-3A B, 3.317%, 12/31/27 | 249,975 | 0.1 | |||||||||||||||||||
650,000 | # | Greywolf CLO V Ltd. 2015-1A A1, 1.871%, 04/25/27 | 650,110 | 0.4 | |||||||||||||||||||
250,000 | # | Greywolf CLO V Ltd. 2015-1A A2, 2.671%, 04/25/27 | 251,325 | 0.1 | |||||||||||||||||||
800,000 | # | Halcyon Loan Advisors Funding 2015-1A A Ltd., 1.721%, 04/20/27 | 792,600 | 0.4 | |||||||||||||||||||
1,050,000 | # | Halcyon Loan Advisors Funding 2015-2A A Ltd., 4.679%, 07/25/27 | 1,038,450 | 0.5 | |||||||||||||||||||
2,000,000 | # | ICG US CLO Ltd. 2014-1A ACOM, 1.545%, 04/20/26 | 1,958,800 | 1.0 | |||||||||||||||||||
ASSET-BACKED SECURITIES: (continued) | |||||||||||||||||||||||
Other Asset-Backed Securities: (continued) | |||||||||||||||||||||||
1,200,000 | # | OFSI Fund VI Ltd. 2014-6A ACOM, 1.457%, 03/20/25 | $ | 1,169,040 | 0.6 | ||||||||||||||||||
2,550,000 | # | OFSI Fund VII Ltd. 2014-7A ACOM, 1.772%, 10/18/26 | 2,512,770 | 1.2 | |||||||||||||||||||
1,350,000 | # | Regatta IV Funding Ltd. 2014-1A ACOM, 1.787%, 07/25/26 | 1,334,205 | 0.7 | |||||||||||||||||||
1,650,000 | # | Sound Point CLO VIII Ltd. 2015-1A A, 1.792%, 04/15/27 | 1,645,299 | 0.8 | |||||||||||||||||||
300,000 | # | Sound Point CLO VIII Ltd. 2015-1A B, 2.312%, 04/15/27 | 295,481 | 0.2 | |||||||||||||||||||
3,800,000 | # | SPART 2015-T1 A 6/45, 2.530%, 06/15/45 | 3,799,984 | 1.9 | |||||||||||||||||||
1,000,000 | # | Trinitas CLO II Ltd. 2014-2A ACOM, 1.651%, 07/15/26 | 981,300 | 0.5 | |||||||||||||||||||
1,000,000 | # | Trinitas CLO Ltd. 2015-3A A2, 1.790%, 07/15/27 | 996,630 | 0.5 | |||||||||||||||||||
1,100,000 | # | Z Capital Credit Partners CLO 2015-1A ACOM Ltd., 1.737%, 07/16/27 | 1,081,670 | 0.5 | |||||||||||||||||||
600,000 | Other Securities | 518,834 | 0.3 | ||||||||||||||||||||
Total Asset-Backed Securities | |||||||||||||||||||||||
(Cost $21,133,354) | 21,231,955 | 10.7 | |||||||||||||||||||||
FOREIGN GOVERNMENT BONDS: 4.3% | |||||||||||||||||||||||
200,000 | # | Costa Rica Government International Bond, 7.158%, 03/12/45 | 196,000 | 0.1 | |||||||||||||||||||
620,000 | Croatia Government International Bond, 5.500%, 04/04/23 | 640,541 | 0.3 | ||||||||||||||||||||
340,000 | # | Dominican Republic International Bond, 5.500%, 01/27/25 | 342,550 | 0.2 | |||||||||||||||||||
1,039,000 | Israel Aid Bond, 5.500%, 12/04/23 | 1,262,980 | 0.6 | ||||||||||||||||||||
1,375,000 | Israel Government AID Bond, 5.500%, 09/18/23 | 1,663,712 | 0.8 | ||||||||||||||||||||
EUR 800,000 | Italy Buoni Poliennali Del Tesoro, 3.750%, 05/01/21 | 1,002,182 | 0.5 | ||||||||||||||||||||
EUR 800,000 | # | Spain Government Bond, 5.500%, 04/30/21 | 1,091,039 | 0.6 | |||||||||||||||||||
3,058,000 | Other Securities | 2,332,527 | 1.2 | ||||||||||||||||||||
Total Foreign Government Bonds | |||||||||||||||||||||||
(Cost $8,676,926) | 8,531,531 | 4.3 | |||||||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||||||
(Cost $192,090,092) | 190,073,888 | 95.4 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 19.3% | |||||||||||||||||||
Foreign Government Bonds: 1.8% | |||||||||||||||||||
1,500,000 | # | Barclays Bank PLC, 0.889%, 04/13/16 | $ | 1,499,760 | 0.8 | ||||||||||||||
MXN 32,093,520 | Z | Mexico Cetes, 3.190%, 09/17/15 | 2,028,053 | 1.0 | |||||||||||||||
3,527,813 | 1.8 |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Funds: 17.5% | ||||||||||||||||||
34,879,622 | BlackRock Liquidity Funds, TempFund, Institutional Class, 0.090%†† | |||||||||||||||||
(Cost $34,879,622) | 34,879,622 | 17.5 | ||||||||||||||||
Total Short-Term Investments | ||||||||||||||||||
(Cost $38,449,827) | 38,407,435 | 19.3 | ||||||||||||||||
Total Investments in Securities (Cost $230,539,919) | $ | 228,481,323 | 114.7 | |||||||||||||||
Liabilities in Excess of Other Assets | (29,293,132 | ) | (14.7 | ) | ||||||||||||||
Net Assets | $ | 199,188,191 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
†† | Rate shown is the 7-day yield as of June 30, 2015. |
# | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
## | The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies. |
W | Settlement is on a when-issued or delayed-delivery basis. |
Z | Indicates Zero Coupon Bond; rate shown reflects current effective yield. |
EUR | EU Euro |
MXN | Mexican Peso |
Cost for federal income tax purposes is $230,573,915. |
Net unrealized depreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 355,703 | ||||
Gross Unrealized Depreciation | (2,448,295 | ) | ||||
Net Unrealized Depreciation | $ | (2,092,592 | ) |
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, 2015 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Corporate Bonds/Notes | $ | — | $ | 56,443,244 | $ | — | $ | 56,443,244 | ||||||||||
Collateralized Mortgage Obligations | — | 3,617,888 | 547,830 | 4,165,718 | ||||||||||||||
Municipal Bonds | — | 2,193,674 | — | 2,193,674 | ||||||||||||||
Foreign Government Bonds | — | 8,531,531 | — | 8,531,531 | ||||||||||||||
U.S. Treasury Obligations | — | 49,598,524 | — | 49,598,524 | ||||||||||||||
U.S. Government Agency Obligations | — | 47,909,242 | — | 47,909,242 | ||||||||||||||
Asset-Backed Securities | — | 18,115,205 | 3,116,750 | 21,231,955 | ||||||||||||||
Short-Term Investments | 34,879,622 | 3,527,813 | — | 38,407,435 | ||||||||||||||
Total Investments, at fair value | $ | 34,879,622 | $ | 189,937,121 | $ | 3,664,580 | $ | 228,481,323 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Centrally Cleared Swaps | — | 1,103,212 | — | 1,103,212 | ||||||||||||||
Forward Foreign Currency Contracts | — | 285,221 | — | 285,221 | ||||||||||||||
Futures | 127,197 | — | — | 127,197 | ||||||||||||||
Total Assets | $ | 35,006,819 | $ | 191,325,554 | $ | 3,664,580 | $ | 229,996,953 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Centrally Cleared Swaps | $ | — | $ | (1,039,003 | ) | $ | — | $ | (1,039,003 | ) | ||||||||
Forward Foreign Currency Contracts | — | (318,483 | ) | — | (318,483 | ) | ||||||||||||
Futures | (291,959 | ) | — | — | (291,959 | ) | ||||||||||||
Sales Commitments | — | (1,028,828 | ) | — | (1,028,828 | ) | ||||||||||||
Total Liabilities | $ | (291,959 | ) | $ | (2,386,314 | ) | $ | — | $ | (2,678,273 | ) |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) (CONTINUED) |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, futures, centrally cleared swaps, OTC swaps and written options. Forward foreign currency contracts, futures and centrally cleared swaps are valued at the unrealized gain (loss) on the instrument. OTC swaps and written options are valued at the fair value of the instrument. |
*Beginning Balance 2/20/2015 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | **Net Change in Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | ***Ending Balance 6/30/2015 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at fair value | ||||||||||||||||||||||||||||||||||||||
Asset-Backed Securities | $ | — | $ | 3,116,010 | $ | — | $ | 34 | $ | — | $ | 706 | $ | — | $ | — | $ | 3,116,750 | ||||||||||||||||||||
Collateralized Mortgage Obligations | — | 519,139 | — | 423 | 28,268 | — | — | 547,830 | ||||||||||||||||||||||||||||||
Total Investments, at value | $ | — | $ | 3,635,149 | $ | — | $ | 457 | $ | — | $ | 28,974 | $ | — | $ | — | $ | 3,664,580 |
* | Portfolio incepted on February 20, 2015. |
** | As of March 31, 2015 total change in unrealized gain (loss) on Level 3 securities still held at period end and included in the change in net assets was $28,974. |
*** | The Portfolio’s investments that are categorized as Level 3 were valued utilizing a single broker quote without adjustment. Such valuations are based on significant unobservable inputs. A significant change in third party information could result in a significantly lower or higher fair value in such Level 3 investments. |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America | EU Euro | 163,000 | Buy | 09/16/15 | $ | 182,192 | $ | 181,918 | $ | (274 | ) | |||||||||||||||||||
Bank of America | Mexican Peso | 10,634,587 | Buy | 09/17/15 | 683,149 | 672,878 | (10,271 | ) | ||||||||||||||||||||||
Bank of America | Hungarian Forint | 127,774,770 | Buy | 09/16/15 | 453,907 | 451,025 | (2,882 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Philippine Peso | 8,284,161 | Buy | 07/03/15 | 183,000 | 183,718 | 718 | |||||||||||||||||||||||
Barclays Bank PLC | South Korean Won | 202,992,750 | Buy | 07/27/15 | 183,000 | 181,266 | (1,734 | ) | ||||||||||||||||||||||
Barclays Bank PLC | New Zealand Dollar | 263,000 | Buy | 09/16/15 | 181,667 | 177,049 | (4,618 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Swiss Franc | 265,897 | Buy | 09/16/15 | 286,621 | 285,254 | (1,367 | ) | ||||||||||||||||||||||
Barclays Bank PLC | British Pound | 239,735 | Buy | 09/16/15 | 368,487 | 376,477 | 7,990 | |||||||||||||||||||||||
BNP Paribas Bank | Mexican Peso | 13,023,060 | Buy | 07/29/15 | 838,844 | 826,880 | (11,964 | ) | ||||||||||||||||||||||
BNP Paribas Bank | EU Euro | 326,000 | Buy | 09/16/15 | 366,902 | 363,836 | (3,066 | ) | ||||||||||||||||||||||
BNP Paribas Bank | Mexican Peso | 9,824,179 | Buy | 09/17/15 | 632,235 | 621,602 | (10,633 | ) | ||||||||||||||||||||||
BNP Paribas Bank | Swedish Krona | 1,678,253 | Buy | 09/16/15 | 202,719 | 202,777 | 58 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Japanese Yen | 47,488,000 | Buy | 07/27/15 | 380,818 | 388,144 | 7,326 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Norwegian Krone | 2,334,214 | Buy | 09/16/15 | 298,885 | 297,177 | (1,708 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | EU Euro | 326,000 | Buy | 09/16/15 | 366,066 | 363,837 | (2,229 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 9,865,380 | Buy | 09/17/15 | 634,858 | 624,209 | (10,649 | ) | ||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 326,000 | Buy | 09/16/15 | 365,424 | 363,837 | (1,587 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Australian Dollar | 467,000 | Buy | 09/16/15 | 363,898 | 358,798 | (5,100 | ) | ||||||||||||||||||||||
Citigroup, Inc. | British Pound | 115,000 | Buy | 09/16/15 | 182,683 | 180,594 | (2,089 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Hungarian Forint | 132,269,193 | Buy | 09/16/15 | 477,459 | 466,890 | (10,569 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | EU Euro | 326,000 | Buy | 09/16/15 | 366,206 | 363,837 | (2,369 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | EU Euro | 331,000 | Buy | 09/16/15 | 367,971 | 369,417 | 1,446 | |||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 573,797 | Buy | 07/02/15 | 183,000 | 184,554 | 1,554 | |||||||||||||||||||||||
Deutsche Bank AG | Indian Rupee | 74,278,346 | Buy | 07/01/15 | 1,153,301 | 1,166,431 | 13,130 | |||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 596,890 | Buy | 07/02/15 | 185,514 | 191,982 | 6,468 | |||||||||||||||||||||||
Deutsche Bank AG | Malaysian Ringgit | 696,132 | Buy | 07/31/15 | 183,000 | 184,977 | 1,977 | |||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 574,947 | Buy | 08/04/15 | 182,697 | 182,660 | (37 | ) | ||||||||||||||||||||||
Deutsche Bank AG | British Pound | 82,943 | Buy | 07/15/15 | 126,906 | 130,312 | 3,406 | |||||||||||||||||||||||
Deutsche Bank AG | Japanese Yen | 89,303,491 | Buy | 09/16/15 | 727,000 | 730,437 | 3,437 | |||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 422,333 | Buy | 09/16/15 | 471,249 | 471,350 | 101 | |||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 164,000 | Buy | 09/16/15 | 183,364 | 183,034 | (330 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 5,821,750 | Buy | 09/17/15 | 367,000 | 368,358 | 1,358 | |||||||||||||||||||||||
Deutsche Bank AG | Swedish Krona | 5,797,889 | Buy | 09/16/15 | 701,604 | 700,535 | (1,069 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Russian Ruble | 10,010,706 | Buy | 07/09/15 | 179,700 | 180,899 | 1,199 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Russian Ruble | 10,010,706 | Buy | 07/02/15 | 186,000 | 181,403 | (4,597 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Malaysian Ringgit | 683,505 | Buy | 07/13/15 | 183,000 | 181,333 | (1,667 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley | Brazilian Real | 526,379 | Buy | 07/02/15 | $ | 167,317 | $ | 169,303 | $ | 1,986 | ||||||||||||||||||||
Morgan Stanley | Brazilian Real | 589,336 | Buy | 07/02/15 | 185,000 | 189,552 | 4,552 | |||||||||||||||||||||||
Morgan Stanley | Indian Rupee | 14,479,841 | Buy | 07/31/15 | 226,655 | 226,765 | 110 | |||||||||||||||||||||||
Morgan Stanley | Brazilian Real | 114,393 | Buy | 08/04/15 | 36,104 | 36,343 | 239 | |||||||||||||||||||||||
Morgan Stanley | Turkish Lira | 462,093 | Buy | 09/16/15 | 163,825 | 168,659 | 4,834 | |||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | Chilean Peso | 115,562,798 | Buy | 07/22/15 | 183,000 | 180,426 | (2,574 | ) | ||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | Polish Zloty | 976,720 | Buy | 09/16/15 | 263,100 | 259,227 | (3,873 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | EU Euro | 645,000 | Buy | 09/16/15 | 735,616 | 719,861 | (15,755 | ) | ||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | Mexican Peso | 5,647,476 | Buy | 09/17/15 | 369,514 | 357,331 | (12,183 | ) | ||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | EU Euro | 113,676 | Buy | 09/16/15 | 127,740 | 126,870 | (870 | ) | ||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | Mexican Peso | 10,094,683 | Buy | 09/17/15 | 640,318 | 638,717 | (1,601 | ) | ||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | Mexican Peso | 10,844,809 | Buy | 09/17/15 | 695,055 | 686,180 | (8,875 | ) | ||||||||||||||||||||||
Standard Chartered Bank PLC | Malaysian Ringgit | 679,735 | Buy | 07/07/15 | 183,000 | 180,238 | (2,762 | ) | ||||||||||||||||||||||
Standard Chartered Bank PLC | Malaysian Ringgit | 684,603 | Buy | 07/13/15 | 183,000 | 181,625 | (1,375 | ) | ||||||||||||||||||||||
Standard Chartered Bank PLC | Japanese Yen | 45,323,510 | Buy | 09/16/15 | 365,000 | 370,713 | 5,713 | |||||||||||||||||||||||
Standard Chartered Bank PLC | Australian Dollar | 239,000 | Buy | 09/16/15 | 183,452 | 183,625 | 173 | |||||||||||||||||||||||
Standard Chartered Bank PLC | Polish Zloty | 895,193 | Buy | 09/16/15 | 241,458 | 237,589 | (3,869 | ) | ||||||||||||||||||||||
State Street Bank | British Pound | 231,801 | Buy | 09/16/15 | 364,433 | 364,018 | (415 | ) | ||||||||||||||||||||||
State Street Bank | EU Euro | 266,731 | Buy | 09/16/15 | 303,731 | 297,688 | (6,043 | ) | ||||||||||||||||||||||
State Street Bank | EU Euro | 325,000 | Buy | 09/16/15 | 364,994 | 362,720 | (2,274 | ) | ||||||||||||||||||||||
UBS AG | EU Euro | 327,000 | Buy | 09/16/15 | 365,352 | 364,952 | (400 | ) | ||||||||||||||||||||||
UBS AG | Japanese Yen | 45,221,310 | Buy | 09/16/15 | 365,000 | 369,877 | 4,877 | |||||||||||||||||||||||
UBS AG | EU Euro | 645,000 | Buy | 09/16/15 | 731,533 | 719,861 | (11,672 | ) | ||||||||||||||||||||||
UBS AG | Japanese Yen | 45,098,099 | Buy | 09/16/15 | 365,154 | 368,869 | 3,715 | |||||||||||||||||||||||
UBS AG | EU Euro | 110,484 | Buy | 09/16/15 | 122,342 | 123,307 | 965 | |||||||||||||||||||||||
UBS AG | Brazilian Real | 206,530 | Buy | 07/02/15 | 63,891 | 66,428 | 2,537 | |||||||||||||||||||||||
UBS AG | Brazilian Real | 1,298,081 | Buy | 07/02/15 | 403,996 | 417,510 | 13,514 | |||||||||||||||||||||||
UBS AG | Hungarian Forint | 127,852,736 | Buy | 09/16/15 | 461,662 | 451,300 | (10,362 | ) | ||||||||||||||||||||||
UBS AG | Polish Zloty | 906,042 | Buy | 09/16/15 | 246,067 | 240,469 | (5,598 | ) | ||||||||||||||||||||||
Westpac Bank | New Zealand Dollar | 268,000 | Buy | 09/16/15 | 181,628 | 180,414 | (1,214 | ) | ||||||||||||||||||||||
Westpac Bank | Australian Dollar | 239,000 | Buy | 09/16/15 | 182,417 | 183,625 | 1,208 | |||||||||||||||||||||||
Westpac Bank | New Zealand Dollar | 529,769 | Buy | 09/16/15 | 378,530 | 356,634 | (21,896 | ) | ||||||||||||||||||||||
Westpac Bank | Canadian Dollar | 359,418 | Buy | 09/16/15 | 288,542 | 287,466 | (1,076 | ) | ||||||||||||||||||||||
Westpac Bank | Indian Rupee | 11,841,607 | Buy | 07/29/15 | 185,155 | 185,483 | 328 | |||||||||||||||||||||||
$ | (110,577 | ) | ||||||||||||||||||||||||||||
Bank of America | Mexican Peso | 2,845,163 | Sell | 09/17/15 | $ | 183,000 | $ | 180,021 | $ | 2,979 | ||||||||||||||||||||
Bank of America | Mexican Peso | 31,841,394 | Sell | 09/18/15 | 2,052,430 | 2,014,554 | 37,876 | |||||||||||||||||||||||
Bank of America | Japanese Yen | 45,388,941 | Sell | 09/16/15 | 366,000 | 371,248 | (5,248 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Indian Rupee | 24,352,126 | Sell | 07/01/15 | 379,033 | 382,414 | (3,381 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Philippine Peso | 8,278,565 | Sell | 07/03/15 | 185,000 | 183,594 | 1,406 | |||||||||||||||||||||||
Barclays Bank PLC | Mexican Peso | 12,674,232 | Sell | 07/29/15 | 819,707 | 804,732 | 14,975 | |||||||||||||||||||||||
Barclays Bank PLC | Australian Dollar | 474,000 | Sell | 09/16/15 | 366,943 | 364,176 | 2,767 | |||||||||||||||||||||||
BNP Paribas Bank | Russian Ruble | 10,415,361 | Sell | 07/09/15 | 183,000 | 188,211 | (5,211 | ) | ||||||||||||||||||||||
BNP Paribas Bank | South Korean Won | 224,813,596 | Sell | 07/13/15 | 200,290 | 201,196 | (906 | ) | ||||||||||||||||||||||
BNP Paribas Bank | South Korean Won | 204,978,300 | Sell | 07/31/15 | 183,000 | 182,923 | 77 | |||||||||||||||||||||||
BNP Paribas Bank | Chinese Offshore Yuan | 2,960,242 | Sell | 09/16/15 | 473,995 | 474,052 | (57 | ) | ||||||||||||||||||||||
BNP Paribas Bank | Chinese Offshore Yuan | 3,205,170 | Sell | 09/16/15 | 513,542 | 513,275 | 267 | |||||||||||||||||||||||
BNP Paribas Bank | EU Euro | 416,000 | Sell | 09/16/15 | 467,418 | 464,283 | 3,135 | |||||||||||||||||||||||
BNP Paribas Bank | EU Euro | 113,676 | Sell | 09/16/15 | 127,937 | 126,869 | 1,068 | |||||||||||||||||||||||
BNP Paribas Bank | EU Euro | 163,000 | Sell | 09/16/15 | 182,971 | 181,918 | 1,053 | |||||||||||||||||||||||
BNP Paribas Bank | EU Euro | 323,000 | Sell | 09/16/15 | 367,055 | 360,488 | 6,567 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Japanese Yen | 22,666,288 | Sell | 09/16/15 | 183,000 | 185,394 | (2,394 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Japanese Yen | 45,194,205 | Sell | 09/16/15 | 365,000 | 369,655 | (4,655 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Japanese Yen | 38,149,007 | Sell | 07/27/15 | 306,944 | 311,812 | (4,868 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Canadian Dollar | 173,000 | Sell | 08/10/15 | 140,152 | 138,435 | 1,717 | |||||||||||||||||||||||
Citigroup, Inc. | British Pound | 144,000 | Sell | 07/15/15 | 221,511 | 226,239 | (4,728 | ) | ||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 985,000 | Sell | 09/16/15 | 1,090,631 | 1,099,322 | (8,691 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Canadian Dollar | 443,376 | Sell | 09/16/15 | 360,451 | 354,617 | 5,834 | |||||||||||||||||||||||
Citigroup, Inc. | New Zealand Dollar | 232,899 | Sell | 09/16/15 | 162,340 | 156,785 | 5,555 | |||||||||||||||||||||||
Citigroup, Inc. | British Pound | 118,125 | Sell | 09/16/15 | 180,848 | 185,502 | (4,654 | ) | ||||||||||||||||||||||
Citigroup, Inc. | South Korean Won | 409,167,504 | Sell | 07/17/15 | 366,000 | 365,951 | 49 | |||||||||||||||||||||||
Citigroup, Inc. | Russian Ruble | 4,739,109 | Sell | 07/29/15 | 85,818 | 84,957 | 861 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citigroup, Inc. | Russian Ruble | 4,684,401 | Sell | 07/29/15 | $ | 84,747 | $ | 83,976 | $ | 771 | ||||||||||||||||||||
Credit Suisse Group AG | Japanese Yen | 45,171,720 | Sell | 09/16/15 | 366,000 | 369,471 | (3,471 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | Russian Ruble | 5,716,549 | Sell | 07/27/15 | 102,000 | 102,561 | (561 | ) | ||||||||||||||||||||||
Credit Suisse Group AG | Russian Ruble | 4,396,000 | Sell | 07/27/15 | 79,717 | 78,869 | 848 | |||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 589,536 | Sell | 07/02/15 | 184,000 | 189,616 | (5,616 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 579,876 | Sell | 07/02/15 | 184,000 | 186,509 | (2,509 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 588,578 | Sell | 07/02/15 | 185,000 | 189,308 | (4,308 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 205,311 | Sell | 07/02/15 | 63,891 | 66,036 | (2,145 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Indian Rupee | 11,880,700 | Sell | 07/01/15 | 185,000 | 186,569 | (1,569 | ) | ||||||||||||||||||||||
Deutsche Bank AG | South Korean Won | 202,581,000 | Sell | 07/27/15 | 183,000 | 180,898 | 2,102 | |||||||||||||||||||||||
Deutsche Bank AG | South Korean Won | 204,904,827 | Sell | 08/03/15 | 182,000 | 182,821 | (821 | ) | ||||||||||||||||||||||
Deutsche Bank AG | South Korean Won | 409,554,000 | Sell | 07/17/15 | 366,000 | 366,296 | (296 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Singapore Dollar | 247,308 | Sell | 09/16/15 | 183,000 | 183,417 | (417 | ) | ||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 3,127,476 | Sell | 09/16/15 | 3,519,802 | 3,490,461 | 29,341 | |||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 2,874,714 | Sell | 09/17/15 | 183,000 | 181,891 | 1,109 | |||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 110,484 | Sell | 09/16/15 | 123,005 | 123,307 | (302 | ) | ||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 324,624 | Sell | 09/16/15 | 366,645 | 362,301 | 4,344 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Brazilian Real | 1,283,044 | Sell | 07/02/15 | 404,057 | 412,673 | (8,616 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Brazilian Real | 567,516 | Sell | 07/02/15 | 183,000 | 182,534 | 466 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Indian Rupee | 23,565,679 | Sell | 07/01/15 | 366,000 | 370,064 | (4,064 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Taiwan New Dollar | 11,376,982 | Sell | 07/13/15 | 365,878 | 368,618 | (2,740 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Taiwan New Dollar | 5,616,931 | Sell | 07/21/15 | 181,837 | 181,951 | (114 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Chinese Offshore Yuan | 1,137,081 | Sell | 09/16/15 | 182,000 | 182,092 | (92 | ) | ||||||||||||||||||||||
JPMorgan Chase & Co. | Turkish Lira | 516,571 | Sell | 09/16/15 | 183,000 | 188,543 | (5,543 | ) | ||||||||||||||||||||||
Morgan Stanley | Japanese Yen | 89,909,633 | Sell | 09/16/15 | 733,000 | 735,395 | (2,395 | ) | ||||||||||||||||||||||
Morgan Stanley | Brazilian Real | 575,666 | Sell | 07/02/15 | 182,000 | 185,155 | (3,155 | ) | ||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | Turkish Lira | 507,275 | Sell | 09/16/15 | 184,000 | 185,150 | (1,150 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | Brazilian Real | 570,137 | Sell | 07/02/15 | 183,000 | 183,377 | (377 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | Malaysian Ringgit | 1,808,981 | Sell | 07/07/15 | 479,480 | 479,667 | (187 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | EU Euro | 326,000 | Sell | 09/16/15 | 367,284 | 363,836 | 3,448 | |||||||||||||||||||||||
The Royal Bank of Canada | New Zealand Dollar | 242,924 | Sell | 09/16/15 | 169,930 | 163,533 | 6,397 | |||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | New Zealand Dollar | 266,000 | Sell | 09/16/15 | 181,135 | 179,068 | 2,067 | |||||||||||||||||||||||
Standard Chartered Bank PLC | Chinese Offshore Yuan | 2,288,920 | Sell | 09/16/15 | 366,000 | 366,547 | (547 | ) | ||||||||||||||||||||||
Standard Chartered Bank PLC | South Korean Won | 201,940,500 | Sell | 07/22/15 | 183,000 | 180,469 | 2,531 | |||||||||||||||||||||||
Standard Chartered Bank PLC | Taiwan New Dollar | 11,273,390 | Sell | 07/29/15 | 365,000 | 365,101 | (101 | ) | ||||||||||||||||||||||
Standard Chartered Bank PLC | Taiwan New Dollar | 5,636,740 | Sell | 08/03/15 | 182,000 | 182,544 | (544 | ) | ||||||||||||||||||||||
Standard Chartered Bank PLC | Brazilian Real | 1,283,044 | Sell | 10/02/15 | 395,903 | 399,088 | (3,185 | ) | ||||||||||||||||||||||
State Street Bank | Japanese Yen | 35,299,196 | Sell | 09/16/15 | 286,046 | 288,722 | (2,676 | ) | ||||||||||||||||||||||
State Street Bank | EU Euro | 325,000 | Sell | 09/16/15 | 366,971 | 362,721 | 4,250 | |||||||||||||||||||||||
State Street Bank | Canadian Dollar | 457,082 | Sell | 09/16/15 | 367,829 | 365,580 | 2,249 | |||||||||||||||||||||||
State Street Bank | Canadian Dollar | 460,835 | Sell | 09/16/15 | 367,000 | 368,580 | (1,580 | ) | ||||||||||||||||||||||
State Street Bank | Chinese Offshore Yuan | 2,975,631 | Sell | 09/16/15 | 476,635 | 476,517 | 118 | |||||||||||||||||||||||
State Street Bank | EU Euro | 326,000 | Sell | 09/16/15 | 367,043 | 363,836 | 3,207 | |||||||||||||||||||||||
UBS AG | EU Euro | 325,000 | Sell | 09/16/15 | 363,929 | 362,720 | 1,209 | |||||||||||||||||||||||
UBS AG | EU Euro | 327,000 | Sell | 09/16/15 | 366,316 | 364,952 | 1,364 | |||||||||||||||||||||||
UBS AG | New Zealand Dollar | 529,000 | Sell | 09/16/15 | 362,714 | 356,116 | 6,598 | |||||||||||||||||||||||
UBS AG | Japanese Yen | 22,462,938 | Sell | 09/16/15 | 183,000 | 183,730 | (730 | ) | ||||||||||||||||||||||
UBS AG | South African Rand | 2,316,260 | Sell | 09/16/15 | 183,000 | 187,824 | (4,824 | ) | ||||||||||||||||||||||
UBS AG | Singapore Dollar | 757,721 | Sell | 09/16/15 | 561,504 | 561,968 | (464 | ) | ||||||||||||||||||||||
UBS AG | South Korean Won | 205,442,500 | Sell | 07/31/15 | 182,702 | 183,337 | (635 | ) | ||||||||||||||||||||||
UBS AG | South Korean Won | 205,442,500 | Sell | 07/02/15 | 185,000 | 184,179 | 821 | |||||||||||||||||||||||
UBS AG | Malaysian Ringgit | 673,061 | Sell | 07/07/15 | 182,701 | 178,468 | 4,233 | |||||||||||||||||||||||
UBS AG | South Korean Won | 407,858,360 | Sell | 08/28/15 | 367,556 | 363,726 | 3,830 | |||||||||||||||||||||||
Westpac Bank | EU Euro | 642,354 | Sell | 08/07/15 | 723,763 | 716,488 | 7,275 | |||||||||||||||||||||||
Westpac Bank | EU Euro | 213,705 | Sell | 09/16/15 | 238,044 | 238,508 | (464 | ) | ||||||||||||||||||||||
Westpac Bank | Australian Dollar | 473,000 | Sell | 09/16/15 | 364,115 | 363,407 | 708 | |||||||||||||||||||||||
Westpac Bank | Mexican Peso | 2,850,026 | Sell | 09/17/15 | 183,000 | 180,329 | 2,671 | |||||||||||||||||||||||
Westpac Bank | Japanese Yen | 22,471,668 | Sell | 09/16/15 | 183,000 | 183,802 | (802 | ) | ||||||||||||||||||||||
Westpac Bank | EU Euro | 164,007 | Sell | 09/16/15 | 185,792 | 183,042 | 2,750 | |||||||||||||||||||||||
Westpac Bank | Singapore Dollar | 759,397 | Sell | 09/16/15 | 562,016 | 563,210 | (1,194 | ) | ||||||||||||||||||||||
Westpac Bank | Australian Dollar | 949,021 | Sell | 09/16/15 | 735,605 | 729,136 | 6,469 | |||||||||||||||||||||||
Westpac Bank | Malaysian Ringgit | 646,170 | Sell | 07/07/15 | 174,278 | 171,338 | 2,940 | |||||||||||||||||||||||
$ | 77,315 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) (CONTINUED) |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
Australia 10-Year Bond | 17 | 09/15/15 | $ | 1,642,976 | $ | 5,350 | ||||||||||||
Canada 10-Year Bond | 31 | 09/21/15 | 3,474,780 | 19,624 | ||||||||||||||
Euro-Bobl 5-Year | 268 | 09/08/15 | 38,715,958 | 37,985 | ||||||||||||||
Euro-Bund | 4 | 09/08/15 | 677,830 | 6,163 | ||||||||||||||
Long-Term Euro-BTP | 17 | 09/08/15 | 2,467,803 | (21,654 | ) | |||||||||||||
U.S. Treasury 2-Year Note | 44 | 09/30/15 | 9,633,250 | 4,015 | ||||||||||||||
U.S. Treasury 5-Year Note | 20 | 09/30/15 | 2,385,156 | 6,356 | ||||||||||||||
U.S. Treasury Ultra Long Bond | 93 | 09/21/15 | 14,327,813 | (256,491 | ) | |||||||||||||
$ | 73,325,566 | $ | (198,652 | ) | ||||||||||||||
Short Contracts | ||||||||||||||||||
Euro-OAT | (12 | ) | 09/08/15 | (1,959,509 | ) | 2,979 | ||||||||||||
U.S. Treasury 10-Year Note | (51 | ) | 09/21/15 | (6,434,766 | ) | (13,814 | ) | |||||||||||
U.S. Treasury Long Bond | (54 | ) | 09/21/15 | (8,145,562 | ) | 44,725 | ||||||||||||
$ | (16,539,837 | ) | $ | 33,890 |
Reference Entity/Obligation | Buy/Sell Protection | (Pay)/Receive Fixed Rate (%) | Clearinghouse | Termination Date | Notional Amount(2) | Fair Value(3) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX.NA.HY.24.V2 | Buy | (5.000) | Intercontinental Exchange | 06/20/20 | USD 2,850,000 | $ | (177,968 | ) | $ | 9,796 | ||||||||||||||||||||
$ | (177,968 | ) | $ | 9,796 |
Reference Entity/Obligation | Buy/Sell Protection | (Pay)/Receive Fixed Rate (%) | Clearinghouse | Termination Date | Notional Amount(2) | Fair Value(3) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX.NA.IG.24.V1 | Sell | 1.000 | Intercontinental Exchange | 06/20/20 | USD 12,350,000 | 175,839 | (40,061 | ) | ||||||||||||||||||||||
175,839 | $ | (40,061 | ) |
(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) | The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make or receive as a buyer of credit protection under a credit default swap agreement would be an amount equal to the notional amount of the agreement. |
(3) | The fair values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Increasing fair values, in absolute terms, when compared to the notional amount of the agreement, represent a deterioration of the referenced obligation’s credit soundness and a greater likelihood or risk of default or other credit event occurring. |
(4) | 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. |
Clearinghouse | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a floating rate based on the 6-month AUD-BBR-BBSW and pay a fixed rate equal to 3.500% | LCH.Clearnet | 09/16/25 | AUD 210,000 | $ | (1,416 | ) | $ | (413 | ) | |||||||||||||
Receive a fixed rate equal to 1.000% and pay a floating rate based on the 3-month CAD-CDOR | LCH.Clearnet | 04/21/17 | CAD 20,580,000 | 31,732 | 41,170 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) (CONTINUED) |
Clearinghouse | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a fixed rate equal to 2.750% and pay a floating rate based on the 3-month CAD-CDOR | LCH.Clearnet | 09/16/25 | CAD 360,000 | $ | 14,019 | $ | 3,477 | |||||||||||||||
Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 1.350% | Chicago Mercantile Exchange | 02/27/30 | EUR 4,270,000 | 294,841 | 420,970 | |||||||||||||||||
Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 2.100% | LCH.Clearnet | 06/08/30 | EUR 2,960,000 | (13,464 | ) | (5,119 | ) | |||||||||||||||
Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 1.500% | LCH.Clearnet | 09/16/30 | EUR 2,460,000 | 13,743 | 94,048 | |||||||||||||||||
Receive a fixed rate equal to 1.140% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | Chicago Mercantile Exchange | 02/27/35 | EUR 1,280,000 | (123,866 | ) | (175,502 | ) | |||||||||||||||
Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 1.695% | Chicago Mercantile Exchange | 05/11/35 | EUR 3,590,000 | 200,647 | 171,811 | |||||||||||||||||
Receive a fixed rate equal to 0.600% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | Chicago Mercantile Exchange | 05/11/20 | EUR 1,760,000 | (6,187 | ) | (6,128 | ) | |||||||||||||||
Receive a fixed rate equal to 0.550% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 05/22/20 | EUR 830,000 | (4,654 | ) | 959 | ||||||||||||||||
Receive a fixed rate equal to 0.500% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 09/16/20 | EUR 6,750,000 | (17,940 | ) | 17,910 | ||||||||||||||||
Receive a fixed rate equal to 1.100% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 05/15/24 | EUR 4,890,000 | 13,781 | 24,445 | |||||||||||||||||
Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 0.800% | Chicago Mercantile Exchange | 05/15/24 | EUR 1,630,000 | 40,682 | 31,208 | |||||||||||||||||
Receive a fixed rate equal to 1.150% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | Chicago Mercantile Exchange | 02/27/25 | EUR 4,400,000 | (150,491 | ) | (194,806 | ) | |||||||||||||||
Receive a fixed rate equal to 1.568% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | Chicago Mercantile Exchange | 05/11/25 | EUR 9,680,000 | (137,863 | ) | (142,068 | ) | |||||||||||||||
Receive a fixed rate equal to 1.850% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 06/08/25 | EUR 5,670,000 | 3,470 | 19,393 | |||||||||||||||||
Receive a fixed rate equal to 0.500% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 09/16/25 | EUR 1,290,000 | (6,566 | ) | 18,254 | ||||||||||||||||
Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 1.250% | LCH.Clearnet | 09/16/25 | EUR 3,100,000 | 15,780 | 21,322 | |||||||||||||||||
Receive a fixed rate equal to 2.000% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 09/16/25 | EUR 4,700,000 | 19,946 | 11,966 | |||||||||||||||||
Receive a fixed rate equal to 1.500% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 12/16/25 | EUR 14,770,000 | (334,071 | ) | (64,195 | ) | |||||||||||||||
Receive a floating rate based on the 6-month GBP-LIBOR-BBA and pay a fixed rate equal to 2.750% | LCH.Clearnet | 09/16/45 | GBP 1,530,000 | (206,544 | ) | (73,486 | ) | |||||||||||||||
Receive a floating rate based on the 6-month GBP-LIBOR-BBA and pay a fixed rate equal to 2.750% | LCH.Clearnet | 09/16/25 | GBP 3,520,000 | (18,585 | ) | (16,427 | ) | |||||||||||||||
Receive a fixed rate equal to 2.250% and pay a floating rate based on the 6-month GBP-LIBOR-BBA | LCH.Clearnet | 09/16/25 | GBP 1,280,000 | 10,801 | 10,773 | |||||||||||||||||
Receive a floating rate based on the 6-month GBP-LIBOR-BBA and pay a fixed rate equal to 2.750% | LCH.Clearnet | 12/16/25 | GBP 1,290,000 | (8,108 | ) | (10,991 | ) | |||||||||||||||
Receive a fixed rate equal to 1.500% and pay a floating rate based on the 6-month JPY-LIBOR-BBA | LCH.Clearnet | 09/16/45 | JPY 217,940,000 | (1,500 | ) | 25,785 | ||||||||||||||||
Receive a floating rate based on the 6-month JPY-LIBOR-BBA and pay a fixed rate equal to 0.750% | LCH.Clearnet | 09/16/25 | JPY 149,660,000 | (10,399 | ) | (7,192 | ) | |||||||||||||||
Receive a floating rate based on the 6-month JPY-LIBOR-BBA and pay a fixed rate equal to 1.000% | LCH.Clearnet | 12/16/25 | JPY 485,980,000 | 12,110 | 758 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) (CONTINUED) |
Clearinghouse | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a fixed rate equal to 1.000% and pay a floating rate based on the 6-month NOK-NIBOR-NIBR | LCH.Clearnet | 05/11/17 | NOK 44,590,000 | $ | (30,824 | ) | $ | (26,619 | ) | |||||||||||||
Receive a fixed rate equal to 1.000% and pay a floating rate based on the 6-month NOK-NIBOR-NIBR | LCH.Clearnet | 07/01/17 | NOK 19,810,000 | (13,549 | ) | 1,966 | ||||||||||||||||
Receive a floating rate based on the 6-month NZD-BBR-FRA and pay a fixed rate equal to 4.250% | LCH.Clearnet | 09/16/25 | NZD 230,000 | (4,119 | ) | (2,939 | ) | |||||||||||||||
Receive a floating rate based on the 6-month SEK-STIBOR-SIDE and pay a fixed rate equal to 0.750% | LCH.Clearnet | 09/16/20 | SEK 59,940,000 | 32,200 | (6,399 | ) | ||||||||||||||||
Receive a fixed rate equal to 1.750% and pay a floating rate based on the 6-month SEK-STIBOR-SIDE | LCH.Clearnet | 09/16/25 | SEK 4,080,000 | 3,412 | (4,404 | ) | ||||||||||||||||
Receive a fixed rate equal to 1.500% and pay a floating rate based on the 6-month SEK-STIBOR-SIDE | Chicago Mercantile Exchange | 12/16/25 | SEK 50,570,000 | (307,104 | ) | (90,713 | ) | |||||||||||||||
Receive a fixed rate equal to 2.175% and pay a floating rate based on the 3-month USB-LIBOR-BBA | Chicago Mercantile Exchange | 05/05/20 | USD 6,900,000 | (28,736 | ) | (30,974 | ) | |||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.250% | LCH.Clearnet | 09/16/20 | USD 1,400,000 | (12,638 | ) | (1,195 | ) | |||||||||||||||
Receive a fixed rate equal to 2.923% and pay a floating rate based on the 3-month USB-LIBOR-BBA | LCH.Clearnet | 06/24/21 | USD 11,700,000 | 4,827 | 8,818 | |||||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.500% | LCH.Clearnet | 09/16/22 | USD 5,800,000 | (110,900 | ) | (134,936 | ) | |||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.750% | LCH.Clearnet | 09/16/25 | USD 9,960,000 | (217,450 | ) | 26,625 | ||||||||||||||||
Receive a floating rate based on the 3-month USB-LIBOR-BBA and pay a fixed rate equal to 3.000% | LCH.Clearnet | 12/16/25 | USD 14,100,000 | 147,630 | 72,533 | |||||||||||||||||
Receive a floating rate based on the 3-month USB-LIBOR-BBA and pay a fixed rate equal to 2.606% | Chicago Mercantile Exchange | 05/05/27 | USD 2,250,000 | 67,522 | 69,225 | |||||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.218% | LCH.Clearnet | 06/24/29 | USD 3,000,000 | 275 | (4,436 | ) | ||||||||||||||||
$ | (839,556 | ) | $ | 94,474 |
Principal Amount | | Description | | Fair Value | ||||||
---|---|---|---|---|---|---|---|---|---|---|
$(1,000,000) | Freddie Mac | $ | (1,028,828 | ) | ||||||
Total Sales Commitments Proceeds $(1,028,555) | $ | (1,028,828 | ) |
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 | $ | 285,221 | |||||||
Credit contracts | Net Assets- Unrealized appreciation* | 9,796 | ||||||||
Interest rate contracts | Net Assets- Unrealized appreciation* | 1,093,416 | ||||||||
Interest rate contracts | Net Assets- Unrealized appreciation** | 127,197 | ||||||||
Total Asset Derivatives | $ | 1,515,630 | ||||||||
Liability Derivatives | ||||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 318,483 | |||||||
Credit contracts | Net Assets- Unrealized depreciation* | 40,061 | ||||||||
Interest rate contracts | Net Assets- Unrealized depreciation* | 998,942 | ||||||||
Interest rate contracts | Net Assets- Unrealized depreciation** | 291,959 | ||||||||
Total Liability Derivatives | $ | 1,649,445 |
* | Includes cumulative appreciation/depreciation of centrally cleared swaps as reported in the table following the Summary Portfolio of Investments. Only current day’s variation margin receivable/payable is shown on the Statement of Assets and Liabiliites. |
** | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2015 (UNAUDITED) (CONTINUED) |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | Futures | Swaps | Total | |||||||||||||||
Credit contracts | $ | — | $ | — | $ | 17,086 | $ | 17,086 | |||||||||||
Foreign exchange contracts | (133,004 | ) | — | — | (133,004 | ) | |||||||||||||
Interest rate contracts | — | 205,406 | 486,370 | 691,776 | |||||||||||||||
Total | $ | (133,004 | ) | $ | 205,406 | $ | 503,456 | $ | 575,858 |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Foreign currency related transactions* | Futures | Swaps | Total | |||||||||||||||
Credit contracts | $ | — | $ | — | $ | (30,265 | ) | $ | (30,265 | ) | |||||||||
Foreign exchange contracts | (33,262 | ) | — | — | (33,262 | ) | |||||||||||||
Interest rate contracts | — | (164,762 | ) | 94,474 | (70,288 | ) | |||||||||||||
Total | $ | (33,262 | ) | $ | (164,762 | ) | $ | 64,209 | $ | (133,815 | ) |
* | Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions. |
Bank of America | Barclays Bank PLC | BNP Paribas Bank | Citigroup, Inc. | Credit Suisse Group AG | Deutsche Bank AG | JPMorgan Chase & Co. | Morgan Stanley | Standard Chartered Bank PLC | State Street Bank | The Royal Bank of Canada | The Royal Bank of Scotland Group PLC | UBS AG | Westpac Bank | Totals | ||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 40,855 | $ | 27,856 | $ | 12,225 | $ | 14,787 | $ | 2,294 | $ | 68,327 | $ | 8,991 | $ | 11,721 | $ | 8,417 | $ | 9,824 | $ | 9,845 | $ | 2,067 | $ | 43,663 | $ | 24,349 | $ | 285,221 | ||||||||||||||||||||||||||||||||
Total Assets | $ | 40,855 | $ | 27,856 | $ | 12,225 | $ | 14,787 | $ | 2,294 | $ | 68,327 | $ | 8,991 | $ | 11,721 | $ | 8,417 | $ | 9,824 | $ | 9,845 | $ | 2,067 | $ | 43,663 | $ | 24,349 | $ | 285,221 | ||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 18,675 | $ | 11,100 | $ | 31,837 | $ | 42,286 | $ | 6,401 | $ | 19,419 | $ | 49,068 | $ | 5,550 | $ | 12,383 | $ | 12,988 | $ | 16,319 | $ | 31,126 | $ | 34,685 | $ | 26,646 | $ | 318,483 | ||||||||||||||||||||||||||||||||
Total Liabilities | $ | 18,675 | $ | 11,100 | $ | 31,837 | $ | 42,286 | $ | 6,401 | $ | 19,419 | $ | 49,068 | $ | 5,550 | $ | 12,383 | $ | 12,988 | $ | 16,319 | $ | 31,126 | $ | 34,685 | $ | 26,646 | $ | 318,483 | ||||||||||||||||||||||||||||||||
Net OTC derivative instruments by counterparty, at fair value | $ | 22,180 | $ | 16,756 | $ | (19,612 | ) | $ | (27,499 | ) | $ | (4,107 | ) | $ | 48,908 | $ | (40,077 | ) | $ | 6,171 | $ | (3,966 | ) | $ | (3,164 | ) | $ | (6,474 | ) | $ | (29,059 | ) | $ | 8,978 | $ | (2,297 | ) | $ | (33,262 | ) | ||||||||||||||||||||||
Total collateral pledged by the Portfolio/(Received from counterparty) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||||
Net Exposure(1) | $ | 22,180 | $ | 16,756 | $ | (19,612 | ) | $ | (27,499 | ) | $ | (4,107 | ) | $ | 48,908 | $ | (40,077 | ) | $ | 6,171 | $ | (3,966 | ) | $ | (3,164 | ) | $ | (6,474 | ) | $ | (29,059 | ) | $ | 8,978 | $ | (2,297 | ) | $ | (33,262 | ) |
(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. |
APPROVAL OF AMENDED AND RESTATED INVESTMENT MANAGEMENT AGREEMENTS
BOARD CONSIDERATION AND APPROVAL OF NEW INVESTMENT ADVISORY AND SUB-ADVISORY CONTRACTS
Sub-Advisory Contract in light of the services to be provided by Goldman Sachs as the Portfolio’s Sub-Adviser; (7) Goldman Sachs’ operations and compliance program, including its policies and procedures intended to assure compliance with the Federal securities laws, which had been reviewed and evaluated by VVIT’s Chief Compliance Officer; (8) Goldman Sachs’ financial condition; (9) the appropriateness of the selection of Goldman Sachs in light of the Portfolio’s investment objective and prospective investor base; and (10) Goldman Sachs’ Code of Ethics, which was previously approved by the Board.
Voya Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
Directed Services LLC
1475 Dunwoody Drive
West Chester, Pennsylvania 19380
Voya Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
The Bank of New York Mellon
One Wall Street
New York, New York 10286
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199
RETIREMENT | INVESTMENTS | INSURANCE voyainvestments.com | ![]() VPSAR-VIT3AIS (0615-0821415) |
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.
Filed herein.
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2015 (Unaudited) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 28.3% | |||||||||||||||||||
Basic Materials: 0.6% | |||||||||||||||||||
300,000 | Eastman Chemical Co., 3.800%, 03/15/25 | $ | 299,617 | 0.1 | |||||||||||||||
225,000 | Freeport-McMoRan, Inc., 5.400%, 11/14/34 | 194,129 | 0.1 | ||||||||||||||||
375,000 | Mosaic Co/The, 4.250%, 11/15/23 | 385,746 | 0.2 | ||||||||||||||||
375,000 | # | WR Grace & Co-Conn, 5.125%, 10/01/21 | 378,750 | 0.2 | |||||||||||||||
1,258,242 | 0.6 | ||||||||||||||||||
Communications: 4.4% | |||||||||||||||||||
275,000 | 21st Century Fox America, Inc., 3.000%, 09/15/22 | 268,793 | 0.1 | ||||||||||||||||
550,000 | 21st Century Fox America, Inc., 4.000%, 10/01/23 | 566,907 | 0.3 | ||||||||||||||||
775,000 | Amazon.com, Inc., 3.300%, 12/05/21 | 785,453 | 0.4 | ||||||||||||||||
525,000 | AT&T, Inc., 3.400%, 05/15/25 | 499,504 | 0.3 | ||||||||||||||||
400,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 3.800%, 03/15/22 | 402,445 | 0.2 | ||||||||||||||||
475,000 | DIRECTV Holdings LLC / DIRECTV Financing Co., Inc., 3.950%, 01/15/25 | 465,919 | 0.2 | ||||||||||||||||
325,000 | Frontier Communications Corp., 9.250%, 07/01/21 | 341,656 | 0.2 | ||||||||||||||||
175,000 | Intelsat Jackson Holdings SA, 7.250%, 04/01/19 | 178,281 | 0.1 | ||||||||||||||||
775,000 | NBCUniversal Media, LLC, 4.450%, 01/15/43 | 743,874 | 0.4 | ||||||||||||||||
50,000 | # | Nielsen Finance LLC / Nielsen Finance Co., 5.000%, 04/15/22 | 49,312 | 0.0 | |||||||||||||||
375,000 | Sprint Nextel Corp., 7.875%, 09/15/23 | 366,563 | 0.2 | ||||||||||||||||
350,000 | Telefonica Emisiones SAU, 5.134%, 04/27/20 | 382,947 | 0.2 | ||||||||||||||||
475,000 | Time Warner Cable, Inc., 4.125%, 02/15/21 | 490,538 | 0.2 | ||||||||||||||||
75,000 | Time Warner Cable, Inc., 5.000%, 02/01/20 | 80,823 | 0.0 | ||||||||||||||||
50,000 | Time Warner Cable, Inc., 5.875%, 11/15/40 | 48,416 | 0.0 | ||||||||||||||||
800,000 | Verizon Communications, Inc., 2.625%, 02/21/20 | 798,387 | 0.4 | ||||||||||||||||
725,000 | Verizon Communications, Inc., 4.150%, 03/15/24 | 744,470 | 0.4 | ||||||||||||||||
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Communications: (continued) | |||||||||||||||||||
1,450,000 | Verizon Communications, Inc., 5.150%, 09/15/23 | $ | 1,591,384 | 0.8 | |||||||||||||||
8,805,672 | 4.4 | ||||||||||||||||||
Consumer, Cyclical: 2.1% | |||||||||||||||||||
950,000 | CVS Caremark Corp., 3.375%, 08/12/24 | 933,851 | 0.5 | ||||||||||||||||
375,000 | # | Family Tree Escrow LLC, 5.750%, 03/01/23 | 393,750 | 0.2 | |||||||||||||||
1,175,000 | Ford Motor Credit Co., LLC, 5.875%, 08/02/21 | 1,338,057 | 0.7 | ||||||||||||||||
575,000 | General Motors Financial Co., Inc., 3.500%, 07/10/19 | 587,727 | 0.3 | ||||||||||||||||
375,000 | MGM Resorts International, 6.625%, 12/15/21 | 393,750 | 0.2 | ||||||||||||||||
300,000 | Walgreens Boots Alliance, Inc., 3.800%, 11/18/24 | 293,610 | 0.1 | ||||||||||||||||
350,000 | Walgreens Boots Alliance, Inc., 4.800%, 11/18/44 | 329,426 | 0.1 | ||||||||||||||||
4,270,171 | 2.1 | ||||||||||||||||||
Consumer, Non-cyclical: 5.6% | |||||||||||||||||||
550,000 | AbbVie, Inc., 2.500%, 05/14/20 | 544,738 | 0.3 | ||||||||||||||||
225,000 | AbbVie, Inc., 3.200%, 11/06/22 | 222,884 | 0.1 | ||||||||||||||||
975,000 | Actavis Funding SCS, 2.350%, 03/12/18 | 980,813 | 0.5 | ||||||||||||||||
550,000 | Actavis Funding SCS, 3.450%, 03/15/22 | 545,093 | 0.3 | ||||||||||||||||
175,000 | Actavis Funding SCS, 3.800%, 03/15/25 | 171,990 | 0.1 | ||||||||||||||||
300,000 | Actavis Funding SCS, 4.850%, 06/15/44 | 289,506 | 0.2 | ||||||||||||||||
800,000 | # | BAT International Finance PLC, 3.950%, 06/15/25 | 809,488 | 0.4 | |||||||||||||||
475,000 | # | Bayer US Finance LLC, 3.000%, 10/08/21 | 478,331 | 0.2 | |||||||||||||||
200,000 | Becton Dickinson and Co., 2.675%, 12/15/19 | 200,029 | 0.1 | ||||||||||||||||
375,000 | CHS/Community Health Systems, Inc., 5.125%, 08/01/21 | 382,969 | 0.2 | ||||||||||||||||
425,000 | ConAgra Foods, Inc., 3.200%, 01/25/23 | 397,326 | 0.2 | ||||||||||||||||
700,000 | # | EMD Finance LLC, 2.950%, 03/19/22 | 685,537 | 0.3 | |||||||||||||||
350,000 | HCA, Inc., 6.500%, 02/15/20 | 392,000 | 0.2 | ||||||||||||||||
225,000 | # | HJ Heinz Co., 2.800%, 07/02/20 | 225,231 | 0.1 | |||||||||||||||
325,000 | # | HJ Heinz Co., 3.950%, 07/15/25 | 327,489 | 0.2 | |||||||||||||||
375,000 | # | Medtronic, Inc., 3.150%, 03/15/22 | 376,666 | 0.2 | |||||||||||||||
450,000 | # | Pernod Ricard SA, 4.450%, 01/15/22 | 473,257 | 0.2 | |||||||||||||||
1,225,000 | Reynolds American, Inc., 4.450%, 06/12/25 | 1,248,650 | 0.6 | ||||||||||||||||
775,000 | Synchrony Financial, 3.000%, 08/15/19 | 780,675 | �� | 0.4 | |||||||||||||||
1,225,000 | Sysco Corp., 3.500%, 10/02/24 | 1,237,078 | 0.6 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2015 (Unaudited) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Consumer, Non-cyclical: (continued) | |||||||||||||||||||
450,000 | # | Valeant Pharmaceuticals International, Inc., 7.500%, 07/15/21 | $ | 487,688 | 0.2 | ||||||||||||||
11,257,438 | 5.6 | ||||||||||||||||||
Energy: 3.5% | |||||||||||||||||||
650,000 | Anadarko Petroleum Corp., 3.450%, 07/15/24 | 640,795 | 0.3 | ||||||||||||||||
400,000 | # | Antero Resources Corp., 5.625%, 06/01/23 | 388,500 | 0.2 | |||||||||||||||
445,000 | Apache Corp., 4.250%, 01/15/44 | 386,546 | 0.2 | ||||||||||||||||
275,000 | Chesapeake Energy Corp., 5.375%, 06/15/21 | 250,250 | 0.1 | ||||||||||||||||
400,000 | Chesapeake Energy Corp., 5.750%, 03/15/23 | 364,000 | 0.2 | ||||||||||||||||
50,000 | Cimarex Energy Co., 4.375%, 06/01/24 | 49,848 | 0.0 | ||||||||||||||||
400,000 | ConocoPhillips Co., 3.350%, 11/15/24 | 395,695 | 0.2 | ||||||||||||||||
125,000 | Continental Resources, Inc./OK, 3.800%, 06/01/24 | 113,857 | 0.1 | ||||||||||||||||
280,000 | Devon Energy Corp., 4.750%, 05/15/42 | 267,238 | 0.1 | ||||||||||||||||
125,000 | Devon Energy Corp., 5.600%, 07/15/41 | 130,897 | 0.1 | ||||||||||||||||
125,000 | Enbridge, Inc., 3.500%, 06/10/24 | 116,805 | 0.1 | ||||||||||||||||
375,000 | Enterprise Products Operating L.P., 8.375%, 08/01/66 | 393,750 | 0.2 | ||||||||||||||||
200,000 | Enterprise Products Operating LLC, 3.750%, 02/15/25 | 196,110 | 0.1 | ||||||||||||||||
175,000 | Enterprise Products Operating LLC, 7.034%, 01/15/68 | 188,562 | 0.1 | ||||||||||||||||
475,000 | Kinder Morgan, Inc./DE, 5.050%, 02/15/46 | 411,971 | 0.2 | ||||||||||||||||
50,000 | Laredo Petroleum, Inc., 6.250%, 03/15/23 | 51,125 | 0.0 | ||||||||||||||||
650,000 | # | MEG Energy Corp., 6.375%, 01/30/23 | 607,750 | 0.3 | |||||||||||||||
300,000 | Penn Virginia Resource Partners L.P. / Penn Virginia Resource Finance Corp. II, 8.375%, 06/01/20 | 325,875 | 0.2 | ||||||||||||||||
425,000 | TransCanada PipeLines Ltd, 6.350%, 05/15/67 | 404,812 | 0.2 | ||||||||||||||||
300,000 | Valero Energy Corp., 3.650%, 03/15/25 | 291,846 | 0.2 | ||||||||||||||||
225,000 | Western Gas Partners L.P., 3.950%, 06/01/25 | 216,667 | 0.1 | ||||||||||||||||
425,000 | Williams Partners L.P., 3.600%, 03/15/22 | 412,880 | 0.2 | ||||||||||||||||
300,000 | Williams Partners L.P., 3.900%, 01/15/25 | 282,060 | 0.1 | ||||||||||||||||
6,887,839 | 3.5 | ||||||||||||||||||
Financial: 10.3% | |||||||||||||||||||
325,000 | # | AIA Group Ltd., 3.200%, 03/11/25 | 313,529 | 0.2 | |||||||||||||||
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financial: (continued) | |||||||||||||||||||
375,000 | American Campus Communities Operating Partnership L.P., 3.750%, 04/15/23 | $ | 368,393 | 0.2 | |||||||||||||||
550,000 | American Express Co., 6.800%, 09/01/66 | 567,270 | 0.3 | ||||||||||||||||
200,000 | American Tower Corp., 3.400%, 02/15/19 | 204,701 | 0.1 | ||||||||||||||||
300,000 | ARC Properties Operating Partnership L.P., 3.000%, 02/06/19 | 285,375 | 0.1 | ||||||||||||||||
450,000 | Arch Capital Group US, Inc., 5.144%, 11/01/43 | 459,255 | 0.2 | ||||||||||||||||
450,000 | # | Australia & New Zealand Banking Group Ltd., 4.500%, 03/19/24 | 452,700 | 0.2 | |||||||||||||||
750,000 | Bank of America Corp., 4.000%, 04/01/24 | 763,522 | 0.4 | ||||||||||||||||
275,000 | Bank of America Corp., 6.500%, 10/29/49 | 284,969 | 0.1 | ||||||||||||||||
1,000,000 | Barclays Bank PLC, 2.500%, 02/20/19 | 1,004,430 | 0.5 | ||||||||||||||||
150,000 | Chubb Corp., 6.375%, 03/29/67 | 157,725 | 0.1 | ||||||||||||||||
350,000 | Citigroup, Inc., 5.875%, 12/29/49 | 351,207 | 0.2 | ||||||||||||||||
25,000 | Citigroup, Inc., 6.300%, 12/29/49 | 24,437 | 0.0 | ||||||||||||||||
350,000 | Compass Bank, 5.500%, 04/01/20 | 382,103 | 0.2 | ||||||||||||||||
350,000 | # | Credit Agricole SA, 4.375%, 03/17/25 | 335,972 | 0.2 | |||||||||||||||
600,000 | # | Credit Suisse AG, 6.500%, 08/08/23 | 657,667 | 0.3 | |||||||||||||||
300,000 | # | Credit Suisse Group AG, 6.250%, 12/29/49 | 288,525 | 0.1 | |||||||||||||||
250,000 | # | Credit Suisse Group Funding Guernsey Ltd., 3.750%, 03/26/25 | 240,786 | 0.1 | |||||||||||||||
375,000 | Crown Castle International Corp., 5.250%, 01/15/23 | 379,125 | 0.2 | ||||||||||||||||
250,000 | Discover Bank/Greenwood DE, 3.100%, 06/04/20 | 249,812 | 0.1 | ||||||||||||||||
425,000 | Discover Financial Services, 3.750%, 03/04/25 | 406,000 | 0.2 | ||||||||||||||||
350,000 | Education Realty Operating Partnership L.P., 4.600%, 12/01/24 | 352,593 | 0.2 | ||||||||||||||||
325,000 | General Electric Capital Corp., 6.150%, 08/07/37 | 403,657 | 0.2 | ||||||||||||||||
275,000 | HCP, Inc., 4.250%, 11/15/23 | 277,340 | 0.1 | ||||||||||||||||
375,000 | HSBC Holdings PLC, 6.375%, 03/29/49 | 377,813 | 0.2 | ||||||||||||||||
875,000 | ING Bank NV, 4.125%, 11/21/23 | 900,184 | 0.5 | ||||||||||||||||
350,000 | ING Groep NV, 6.000%, 12/31/49 | 347,156 | 0.2 | ||||||||||||||||
600,000 | # | International Lease Finance Corp., 6.750%, 09/01/16 | 632,250 | 0.3 | |||||||||||||||
575,000 | Intesa Sanpaolo SpA, 3.875%, 01/16/18 | 593,680 | 0.3 | ||||||||||||||||
975,000 | # | Intesa Sanpaolo SpA, 5.017%, 06/26/24 | 947,666 | 0.5 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2015 (Unaudited) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financial: (continued) | |||||||||||||||||||
500,000 | JPMorgan Chase & Co., 5.300%, 12/29/49 | $ | 497,550 | 0.3 | |||||||||||||||
275,000 | # | LBG Capital No.1 PLC, 8.000%, 12/29/49 | 315,563 | 0.2 | |||||||||||||||
775,000 | Lloyds Bank PLC, 2.350%, 09/05/19 | 775,406 | 0.4 | ||||||||||||||||
425,000 | # | Macquarie, 6.625%, 04/07/21 | 486,930 | 0.2 | |||||||||||||||
1,050,000 | Morgan Stanley, 3.700%, 10/23/24 | 1,045,429 | 0.5 | ||||||||||||||||
325,000 | Morgan Stanley, 4.300%, 01/27/45 | 303,264 | 0.2 | ||||||||||||||||
425,000 | Morgan Stanley, 5.550%, 12/29/49 | 422,450 | 0.2 | ||||||||||||||||
225,000 | Prudential Financial, Inc., 5.375%, 05/15/45 | 221,625 | 0.1 | ||||||||||||||||
200,000 | Royal Bank of Scotland PLC/The, 9.500%, 03/16/22 | 221,055 | 0.1 | ||||||||||||||||
500,000 | Royal Bank of Scotland PLC/The, 9.500%, 03/16/22 | 552,637 | 0.3 | ||||||||||||||||
300,000 | Santander Bank NA, 2.000%, 01/12/18 | 300,002 | 0.2 | ||||||||||||||||
450,000 | Santander Holdings USA, Inc./PA, 2.650%, 04/17/20 | 442,506 | 0.2 | ||||||||||||||||
150,000 | Select Income REIT, 3.600%, 02/01/20 | 153,397 | 0.1 | ||||||||||||||||
200,000 | Select Income REIT, 4.150%, 02/01/22 | 198,062 | 0.1 | ||||||||||||||||
450,000 | # | Sumitomo Mitsui Financial Group, Inc., 4.436%, 04/02/24 | 459,812 | 0.2 | |||||||||||||||
425,000 | TD Ameritrade Holding Corp., 2.950%, 04/01/22 | 421,374 | 0.2 | ||||||||||||||||
400,000 | # | Teachers Insurance & Annuity Association of America, 4.900%, 09/15/44 | 407,368 | 0.2 | |||||||||||||||
275,000 | # | WEA Finance LLC / Westfield UK & Europe Finance PLC, 3.750%, 09/17/24 | 271,922 | 0.1 | |||||||||||||||
20,506,194 | 10.3 | ||||||||||||||||||
Industrial: 0.5% | |||||||||||||||||||
600,000 | # | Penske Truck Leasing Co. Lp / PTL Finance Corp., 3.375%, 02/01/22 | 581,812 | 0.3 | |||||||||||||||
375,000 | # | Sealed Air Corp., 5.250%, 04/01/23 | 379,219 | 0.2 | |||||||||||||||
961,031 | 0.5 | ||||||||||||||||||
Materials: 0.3% | |||||||||||||||||||
275,000 | Ecolab, Inc., 5.500%, 12/08/41 | 300,506 | 0.2 | ||||||||||||||||
225,000 | LyondellBasell Industries NV, 5.000%, 04/15/19 | 243,777 | 0.1 | ||||||||||||||||
544,283 | 0.3 | ||||||||||||||||||
Technology: 1.0% | |||||||||||||||||||
300,000 | Fiserv, Inc., 2.700%, 06/01/20 | 299,498 | 0.2 | ||||||||||||||||
975,000 | Hewlett-Packard Co., 2.750%, 01/14/19 | 985,756 | 0.5 | ||||||||||||||||
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||||||
Technology: (continued) | |||||||||||||||||||||||
200,000 | Oracle Corp., 2.500%, 05/15/22 | $ | 194,194 | 0.1 | |||||||||||||||||||
475,000 | QUALCOMM, Inc., 3.000%, 05/20/22 | 472,926 | 0.2 | ||||||||||||||||||||
1,952,374 | 1.0 | ||||||||||||||||||||||
Total Corporate Bonds/Notes | |||||||||||||||||||||||
(Cost $58,017,164) | 56,443,244 | 28.3 | |||||||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 2.1% | |||||||||||||||||||||||
516,289 | CHL Mortgage Pass-Through Trust 2005-25, 5.500%, 11/25/35 | 489,154 | 0.3 | ||||||||||||||||||||
EUR 496,357 | CSEMC 15-1HWA, 2.790%, 04/20/20 | 547,830 | 0.3 | ||||||||||||||||||||
1,050,000 | # | Edsouth Indenture No 9 LLC, 1.060%, 10/25/56 | 1,051,661 | 0.5 | |||||||||||||||||||
650,000 | # | FREMF Mortgage Trust, 3.811%, 01/25/48 | 637,070 | 0.3 | |||||||||||||||||||
1,340,268 | GS Mortgage Securities Trust 2007-GG10, 5.795%, 08/10/45 | 1,440,003 | 0.7 | ||||||||||||||||||||
Total Collateralized Mortgage Obligations | |||||||||||||||||||||||
(Cost $4,148,856) | 4,165,718 | 2.1 | |||||||||||||||||||||
MUNICIPAL BONDS: 1.1% | |||||||||||||||||||||||
California: 0.5% | |||||||||||||||||||||||
400,000 | East Bay Municipal Utility District Water System Revenue, 5.874%, 06/01/40 | 489,520 | 0.3 | ||||||||||||||||||||
350,000 | Bay Area Toll Authority, 7.043%, 04/01/50 | 472,472 | 0.2 | ||||||||||||||||||||
961,992 | 0.5 | ||||||||||||||||||||||
Puerto Rico: 0.6% | |||||||||||||||||||||||
960,000 | Commonwealth of Puerto Rico, 8.000%, 07/01/35 | 650,410 | 0.3 | ||||||||||||||||||||
1,000,000 | Puerto Rico Sales Tax Financing Corp., 5.500%, 08/01/37 | 490,100 | 0.3 | ||||||||||||||||||||
195,000 | Puerto Rico Sales Tax Financing Corp., 5.000%, 08/01/43 | 91,172 | 0.0 | ||||||||||||||||||||
1,231,682 | 0.6 | ||||||||||||||||||||||
Total Municipal Bonds | |||||||||||||||||||||||
(Cost $2,402,097) | 2,193,674 | 1.1 | |||||||||||||||||||||
U.S. TREASURY OBLIGATIONS: 24.9% | |||||||||||||||||||||||
U.S. Treasury Bonds: 4.1% | |||||||||||||||||||||||
3,200,000 | 2.000%, due 02/15/25 | 3,104,749 | 1.6 | ||||||||||||||||||||
5,200,000 | 3.000%, due 05/15/45 | 5,072,438 | 2.5 | ||||||||||||||||||||
8,177,187 | 4.1 | ||||||||||||||||||||||
U.S. Treasury Notes: 20.8% | |||||||||||||||||||||||
4,600,000 | 0.500%, due 02/28/17 | 4,595,685 | 2.3 | ||||||||||||||||||||
6,800,000 | 1.000%, due 02/15/18 | 6,817,000 | 3.4 | ||||||||||||||||||||
19,600,000 | 1.375%, due 02/29/20 | 19,419,308 | 9.8 | ||||||||||||||||||||
3,800,000 | 1.375%, due 03/31/20 | 3,759,922 | 1.9 | ||||||||||||||||||||
2,000,000 | 1.375%, due 04/30/20 | 1,976,562 | 1.0 | ||||||||||||||||||||
2,100,000 | 1.500%, due 05/31/20 | 2,086,547 | 1.0 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2015 (Unaudited) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. TREASURY OBLIGATIONS: (continued) | |||||||||||||||||||
U.S. Treasury Notes: (continued) | |||||||||||||||||||
2,800,000 | 1.875%, due 05/31/22 | $ | 2,766,313 | 1.4 | |||||||||||||||
41,421,337 | 20.8 | ||||||||||||||||||
Total U.S. Treasury Obligations | |||||||||||||||||||
(Cost $49,824,780) | 49,598,524 | 24.9 | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 24.0% | |||||||||||||||||||
Federal Home Loan Mortgage Corporation: 2.9%## | |||||||||||||||||||
800,000 | 2.811%, due 01/25/25 | 794,903 | 0.4 | ||||||||||||||||
3,000,000 | 3.062%, due 12/25/24 | 3,037,350 | 1.5 | ||||||||||||||||
1,995,677 | 3.500%, due 04/01/43 | 2,059,811 | 1.0 | ||||||||||||||||
5,892,064 | 2.9 | ||||||||||||||||||
Federal National Mortgage Association: 11.7%## | |||||||||||||||||||
4,000,000 | 0.750%, due 03/14/17 | 4,008,224 | 2.0 | ||||||||||||||||
1,000,000 | W | 2.500%, due 02/25/27 | 1,012,192 | 0.5 | |||||||||||||||
2,000,000 | W | 3.000%, due 03/25/43 | 1,992,695 | 1.0 | |||||||||||||||
163,148 | 3.000%, due 08/01/43 | 163,215 | 0.1 | ||||||||||||||||
9,000,000 | W | 4.000%, due 07/01/44 | 9,536,027 | 4.8 | |||||||||||||||
1,000,000 | W | 4.500%, due 07/01/44 | 1,081,250 | 0.5 | |||||||||||||||
407,235 | 6.000%, due 12/01/22 | 462,053 | 0.2 | ||||||||||||||||
143,761 | 6.000%, due 06/01/23 | 163,941 | 0.1 | ||||||||||||||||
846,341 | 6.000%, due 08/01/27 | 960,366 | 0.5 | ||||||||||||||||
257,788 | 6.000%, due 09/01/35 | 296,174 | 0.1 | ||||||||||||||||
100,034 | 6.000%, due 03/01/36 | 114,180 | 0.1 | ||||||||||||||||
98,501 | 6.000%, due 09/01/36 | 112,635 | 0.1 | ||||||||||||||||
288,688 | 6.000%, due 09/01/36 | 328,277 | 0.2 | ||||||||||||||||
794,809 | 6.000%, due 12/01/36 | 906,167 | 0.4 | ||||||||||||||||
118,054 | 6.000%, due 12/01/36 | 133,973 | 0.1 | ||||||||||||||||
171,774 | 6.000%, due 07/01/37 | 197,092 | 0.1 | ||||||||||||||||
401,144 | 6.000%, due 01/01/38 | 455,685 | 0.2 | ||||||||||||||||
180,464 | 6.000%, due 08/01/38 | 207,027 | 0.1 | ||||||||||||||||
517,878 | 6.000%, due 09/01/39 | 590,069 | 0.3 | ||||||||||||||||
472,956 | 6.000%, due 04/01/40 | 538,004 | 0.3 | ||||||||||||||||
23,259,246 | 11.7 | ||||||||||||||||||
Government National Mortgage Association: 9.4% | |||||||||||||||||||
1,000,000 | 3.000%, due 03/20/43 | 1,009,531 | 0.5 | ||||||||||||||||
10,000,000 | 3.500%, due 02/20/42 | 10,379,298 | 5.2 | ||||||||||||||||
498,991 | 3.500%, due 05/20/45 | 520,718 | 0.3 | ||||||||||||||||
2,500,000 | 3.500%, due 06/20/45 | 2,608,857 | 1.3 | ||||||||||||||||
3,000,000 | 4.000%, due 07/01/44 | 3,179,473 | 1.6 | ||||||||||||||||
993,718 | 4.000%, due 04/20/45 | 1,060,055 | 0.5 | ||||||||||||||||
18,757,932 | 9.4 | ||||||||||||||||||
Total U.S. Government Agency Obligations | |||||||||||||||||||
(Cost $47,886,915) | 47,909,242 | 24.0 | |||||||||||||||||
ASSET-BACKED SECURITIES: 10.7% | |||||||||||||||||||
Other Asset-Backed Securities: 10.7% | |||||||||||||||||||
250,000 | # | B&M CLO 2014-1 Ltd., 2.226%, 04/16/26 | 246,891 | 0.1 | |||||||||||||||
129,113 | # | Bayview Opportunity Master Fund IIIb RPL Trust 2015-3, 3.623%, 04/28/30 | 129,711 | 0.1 | |||||||||||||||
1,600,000 | # | Crown Point CLO III Ltd. 2015-3A ACOM, 1.803%, 12/31/27 | 1,578,880 | 0.8 | |||||||||||||||
250,000 | # | Crown Point CLO III Ltd. 2015-3A B, 3.317%, 12/31/27 | 249,975 | 0.1 | |||||||||||||||
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSET-BACKED SECURITIES: (continued) | |||||||||||||||||||
Other Asset-Backed Securities: (continued) | |||||||||||||||||||
650,000 | # | Greywolf CLO V Ltd. 2015-1A A1, 1.871%, 04/25/27 | $ | 650,110 | 0.3 | ||||||||||||||
250,000 | # | Greywolf CLO V Ltd. 2015-1A A2, 2.671%, 04/25/27 | 251,325 | 0.1 | |||||||||||||||
800,000 | # | Halcyon Loan Advisors Funding 2015-1A A Ltd., 1.721%, 04/20/27 | 792,600 | 0.4 | |||||||||||||||
1,050,000 | # | Halcyon Loan Advisors Funding 2015-2A A Ltd., 4.679%, 07/25/27 | 1,038,450 | 0.6 | |||||||||||||||
2,000,000 | # | ICG US CLO Ltd. 2014-1A ACOM, 1.545%, 04/20/26 | 1,958,800 | 1.0 | |||||||||||||||
1,200,000 | # | OFSI Fund VI Ltd. 2014-6A ACOM, 1.457%, 03/20/25 | 1,169,040 | 0.6 | |||||||||||||||
2,550,000 | # | OFSI Fund VII Ltd. 2014-7A ACOM, 1.772%, 10/18/26 | 2,512,770 | 1.3 | |||||||||||||||
1,350,000 | # | Regatta IV Funding Ltd. 2014-1A ACOM, 1.787%, 07/25/26 | 1,334,205 | 0.7 | |||||||||||||||
1,650,000 | # | Sound Point CLO VIII Ltd. 2015-1A A, 1.792%, 04/15/27 | 1,645,299 | 0.8 | |||||||||||||||
300,000 | # | Sound Point CLO VIII Ltd. 2015-1A B, 2.312%, 04/15/27 | 295,481 | 0.1 | |||||||||||||||
3,800,000 | # | SPART 2015-T1 A 6/45, 2.530%, 06/15/45 | 3,799,984 | 1.9 | |||||||||||||||
1,000,000 | # | Trinitas CLO II Ltd. 2014-2A ACOM, 1.651%, 07/15/26 | 981,300 | 0.5 | |||||||||||||||
1,000,000 | # | Trinitas CLO Ltd. 2015-3A A2, 1.790%, 07/15/27 | 996,630 | 0.5 | |||||||||||||||
600,000 | Wells Fargo Home Equity Asset-Backed Securities 2007-2 Trust, 0.417%, 04/25/37 | 518,834 | 0.3 | ||||||||||||||||
1,100,000 | # | Z Capital Credit Partners CLO 2015-1A ACOM Ltd., 1.737%, 07/16/27 | 1,081,670 | 0.5 | |||||||||||||||
Total Asset-Backed Securities | |||||||||||||||||||
(Cost $21,133,354) | 21,231,955 | 10.7 | |||||||||||||||||
FOREIGN GOVERNMENT BONDS: 4.3% | |||||||||||||||||||
300,000 | Brazil Minas SPE via State of Minas Gerais, 5.333%, 02/15/28 | 285,000 | 0.1 | ||||||||||||||||
BRL 518,000 | Brazil Notas do Tesouro Nacional Serie B, 08/15/50 | 450,327 | 0.2 | ||||||||||||||||
320,000 | Colombia Government International Bond, 4.000%, 02/26/24 | 319,200 | 0.2 | ||||||||||||||||
200,000 | # | Costa Rica Government International Bond, 7.158%, 03/12/45 | 196,000 | 0.1 | |||||||||||||||
620,000 | Croatia Government International Bond, 5.500%, 04/04/23 | 640,541 | 0.3 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2015 (Unaudited) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FOREIGN GOVERNMENT BONDS: (continued) | |||||||||||||||||||
340,000 | # | Dominican Republic International Bond, 5.500%, 01/27/25 | $ | 342,550 | 0.2 | ||||||||||||||
160,000 | Dominican Republic International Bond, 5.500%, 01/27/25 | 161,200 | 0.1 | ||||||||||||||||
1,039,000 | Israel Aid Bond, 5.500%, 12/04/23 | 1,262,980 | 0.6 | ||||||||||||||||
1,375,000 | Israel Government AID Bond, 5.500%, 09/18/23 | 1,663,712 | 0.8 | ||||||||||||||||
EUR 800,000 | Italy Buoni Poliennali Del Tesoro, 3.750%, 05/01/21 | 1,002,182 | 0.5 | ||||||||||||||||
160,000 | Mexico Government International Bond, 4.750%, 03/08/44 | 153,600 | 0.1 | ||||||||||||||||
640,000 | Mexico Government International Bond, 4.600%, 01/23/46 | 596,000 | 0.3 | ||||||||||||||||
60,000 | Petroleos de Venezuela SA, 9.000%, 11/17/21 | 24,750 | 0.0 | ||||||||||||||||
70,000 | Petroleos de Venezuela SA, 6.000%, 11/15/26 | 25,025 | 0.0 | ||||||||||||||||
20,000 | Petroleos de Venezuela SA, 6.000%, 05/16/24 | 7,200 | 0.0 | ||||||||||||||||
EUR 800,000 | # | Spain Government Bond, 5.500%, 04/30/21 | 1,091,039 | 0.6 | |||||||||||||||
350,000 | Venezuela Government International Bond, 6.000%, 12/09/20 | 132,125 | 0.1 | ||||||||||||||||
10,000 | Venezuela Government International Bond, 7.000%, 03/31/38 | 3,575 | 0.0 | ||||||||||||||||
290,000 | Venezuela Government International Bond, 7.650%, 04/21/25 | 108,025 | 0.1 | ||||||||||||||||
40,000 | Venezuela Government International Bond, 8.250%, 10/13/24 | 15,200 | 0.0 | ||||||||||||||||
10,000 | Venezuela Government International Bond, 9.250%, 05/07/28 | 3,875 | 0.0 | ||||||||||||||||
20,000 | Venezuela Government International Bond, 9.250%, 09/15/27 | 8,600 | 0.0 | ||||||||||||||||
10,000 | Venezuela Government International Bond, 9.000%, 05/07/23 | 3,950 | 0.0 | ||||||||||||||||
30,000 | Venezuela Government International Bond, 11.750%, 10/21/26 | 13,125 | 0.0 | ||||||||||||||||
50,000 | Venezuela Government International Bond, 11.950%, 08/05/31 | 21,750 | 0.0 | ||||||||||||||||
Total Foreign Government Bonds | |||||||||||||||||||
(Cost $8,676,927) | 8,531,531 | 4.3 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $192,090,093) | 190,073,888 | 95.4 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 19.3% | |||||||||||||||||||
Foreign Government Bonds: 1.8% | |||||||||||||||||||
1,500,000 | # | Barclays Bank PLC, 0.889%, 04/13/16 | 1,499,760 | 0.8 | |||||||||||||||
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Foreign Government Bonds: (continued) | |||||||||||||||||||
MXN 32,093,520 | Z | Mexico Cetes, 3.190%, 09/17/15 | $ | 2,028,053 | 1.0 | ||||||||||||||
3,527,813 | 1.8 |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Funds: 17.5% | ||||||||||||||||||
34,879,622 | BlackRock Liquidity Funds, TempFund, Institutional Class, 0.090%†† | |||||||||||||||||
(Cost $34,879,622) | 34,879,622 | 17.5 | ||||||||||||||||
Total Short-Term Investments | ||||||||||||||||||
(Cost $38,449,826) | 38,407,435 | 19.3 | ||||||||||||||||
Total Investments in Securities (Cost $230,539,919) | $ | 228,481,323 | 114.7 | |||||||||||||||
Liabilities in Excess of Other Assets | (29,293,132 | ) | (14.7 | ) | ||||||||||||||
Net Assets | $ | 199,188,191 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
†† | Rate shown is the 7-day yield as of June 30, 2015. |
# | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
## | The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies. |
W | Settlement is on a when-issued or delayed-delivery basis. |
Z | Indicates Zero Coupon Bond; rate shown reflects current effective yield. |
BRL | Brazilian Real |
EUR | EU Euro |
MXN | Mexican Peso |
Cost for federal income tax purposes is $230,573,915. |
Net unrealized depreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 355,703 | ||||
Gross Unrealized Depreciation | (2,448,295 | ) | ||||
Net Unrealized Depreciation | $ | (2,092,592 | ) |
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 Purchases.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
The Board has a Nominating Committee for the purpose of considering and presenting to the Board candidates it proposes for nomination to fill Independent Trustee vacancies on the Board. The Committee currently consists of all Independent Trustees of the Board. (6 individuals). The Nominating Committee operates pursuant to a Charter approved by the Board. The primary purpose of the Nominating Committee is to consider and present to the Board the candidates it proposes for nomination to fill vacancies on the Board. In evaluating candidates, the Nominating Committee may consider a variety of factors, but it has not at this time set any specific minimum qualifications that must be met. Specific qualifications of candidates for Board membership will be based on the needs of the Board at the time of nomination.
The Nominating Committee is willing to consider nominations received from shareholders and shall assess shareholder nominees in the same manner as it reviews its own nominees. A shareholder nominee for director should be submitted in writing to the Fund’s Secretary. Any such shareholder nomination should include at a minimum the following information as to each individual proposed for nomination as trustee: such individual’s written consent to be named in the proxy statement as a nominee (if nominated) and to serve as a trustee (if elected), and all information relating to such individual that is required to be disclosed in the solicitation of proxies for election of trustees, or is otherwise required, in each case under applicable federal securities laws, rules and regulations.
The secretary shall submit all nominations received in a timely manner to the Nominating Committee. To be timely, any such submission must be delivered to the Fund’s Secretary not earlier than the 90th day prior to such meeting and not later than the close of business on the later of the 60th day prior to such meeting or the 10th day following the day on which public announcement of the date of the meeting is first made, by either disclosure in a press release or in a document publicly filed by the Fund with the Securities and Exchange Commission.
Item 11. Controls and Procedures.
(a)
Based on our evaluation conducted within 90 days of the filing date, hereof, the design and operation of the registrant’s disclosure controls and procedures are effective to ensure that material information relating to the registrant is made known to the certifying officers by others within the appropriate entities, particularly during the period in which Forms N-CSR are being prepared, and the registrant’s disclosure controls and procedures allow timely preparation and review of the information for the registrant’s Form N-CSR and the officer certifications of such Form N-CSR.
(b)
There were no significant changes in the registrant’s internal controls that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1)
The Code of Ethics is not required for the semi-annual filing.
(a)(2)
A separate certification for each principal executive officer and principal financial officer of the registrant as 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
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By | /s/ Shaun P. Mathews |
| Shaun P. Mathews |
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Date: | September 4, 2015 |
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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.
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By | /s/ Shaun P. Mathews |
| Shaun P. Mathews |
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Date: | September 4, 2015 |
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By | /s/ Todd Modic |
| Todd Modic |
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Date: | September 4, 2015 |
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