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, 2016 to June 30, 2016 |
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):
This report is submitted for general information to shareholders of the Voya mutual funds. It is not authorized for distribution to prospective shareholders unless accompanied or preceded by a prospectus which includes details regarding the funds’ investment objectives, risks, charges, expenses and other information. This information should be read carefully. |
INVESTMENT MANAGEMENT | ![]() |
voyainvestments.com |
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 | 25 |
![](https://capedge.com/proxy/N-CSRS/0001571049-16-018057/shaunmathews_8410.jpg)
![](https://capedge.com/proxy/N-CSRS/0001571049-16-018057/ing-shaunmathewssig.jpg)
President and Chief Executive Officer
Voya Family of Funds
July 25, 2016
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 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. 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, 2016 | Ending Account Value June 30, 2016 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2016* | Beginning Account Value January 1, 2016 | Ending Account Value June 30, 2016 | Annualized Expense Ratio | Expenses Paid During the Period Ended June 30, 2016* | ||||||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | |||||||||||||||||||||||||||||||||||
Class ADV | $ | 1,000.00 | $ | 1,050.70 | 1.13 | % | $ | 5.76 | $ | 1,000.00 | $ | 1,019.24 | 1.13 | % | $ | 5.67 | |||||||||||||||||||
Class I | 1,000.00 | 1,053.30 | 0.53 | 2.71 | 1,000.00 | 1,022.23 | 0.53 | 2.66 | |||||||||||||||||||||||||||
Class S | 1,000.00 | 1,051.50 | 0.78 | 3.98 | 1,000.00 | 1,020.98 | 0.78 | 3.92 | |||||||||||||||||||||||||||
VY® Goldman Sachs Bond Portfolio | $ | 1,000.00 | $ | 1,042.90 | 0.58 | % | $ | 2.95 | $ | 1,000.00 | $ | 1,021.98 | 0.58 | % | $ | 2.92 |
* | Expenses are equal to each Portfolio’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 182/366 to reflect the most recent fiscal half-year. |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||
Investments in securities at fair value+* | $ | 558,847,969 | $ | 205,417,851 | ||||||||
Short-term investments at fair value** | 19,299,817 | 13,249,169 | ||||||||||
Total investments at fair value | $ | 578,147,786 | $ | 218,667,020 | ||||||||
Cash | 624,000 | — | ||||||||||
Cash collateral for futures | 46,364 | 2,197,479 | ||||||||||
Cash pledged for centrally cleared swaps (Note 2) | 799,490 | — | ||||||||||
Cash pledged as collateral for OTC derivatives (Note 2) | 810,000 | — | ||||||||||
Foreign currencies at value*** | 876,243 | 53,690 | ||||||||||
Foreign cash collateral for futures**** | — | 97,880 | ||||||||||
Receivables: | ||||||||||||
Investment securities sold | 1,561,394 | 6,837,704 | ||||||||||
Investment securities sold on a delayed-delivery or when-issued basis | — | 42,128,516 | ||||||||||
Fund shares sold | 536,327 | 44,271 | ||||||||||
Dividends | 1,154 | 4,579 | ||||||||||
Interest | 2,759,331 | 1,205,991 | ||||||||||
Unrealized appreciation on forward foreign currency contracts | 2,080,046 | 1,120,481 | ||||||||||
Unrealized appreciation on OTC swap agreements | 664,216 | — | ||||||||||
Variation margin receivable on centrally cleared swaps | 29,933 | 519,299 | ||||||||||
Prepaid expenses | 6,585 | 1,794 | ||||||||||
Reimbursement due from manager | — | 5,713 | ||||||||||
Other assets | 14,353 | 1,303 | ||||||||||
Total assets | 588,957,222 | 272,885,720 | ||||||||||
LIABILITIES: | ||||||||||||
Payable for investment securities purchased | 2,954,062 | 2,568,151 | ||||||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | — | 52,601,133 | ||||||||||
Payable for fund shares redeemed | 1,100,763 | 2,160,479 | ||||||||||
Payable for foreign cash collateral for futures***** | 88,151 | — | ||||||||||
Payable upon receipt of securities loaned | — | 1,232,881 | ||||||||||
Sales commitmentsˆˆ | — | 10,550,468 | ||||||||||
Unrealized depreciation on forward foreign currency contracts | 2,288,012 | 1,039,208 | ||||||||||
Unrealized depreciation on OTC swap agreements | 1,066,527 | — | ||||||||||
Variation margin payable on centrally cleared swaps | — | 452,788 | ||||||||||
Cash received as collateral for OTC derivatives (Note 2) | 1,320,000 | — | ||||||||||
Payable for investment management fees | 224,809 | 77,851 | ||||||||||
Payable for distribution and shareholder service fees | 66,764 | — | ||||||||||
Payable to trustees under the deferred compensation plan (Note 6) | 14,353 | 1,303 | ||||||||||
Payable for trustee fees | 2,860 | 954 | ||||||||||
Other accrued expenses and liabilities | 93,019 | 33,089 | ||||||||||
Written options, at fair valueˆ | 1,495,207 | — | ||||||||||
Total liabilities | 10,714,527 | 70,718,305 | ||||||||||
NET ASSETS | $ | 578,242,695 | $ | 202,167,415 | ||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||
Paid-in capital | $ | 644,811,786 | $ | 193,711,445 | ||||||||
Undistributed net investment income | 3,189,405 | 6,778,965 | ||||||||||
Accumulated net realized loss | (79,065,487 | ) | (2,097,695 | ) | ||||||||
Net unrealized appreciation | 9,306,991 | 3,774,700 | ||||||||||
NET ASSETS | $ | 578,242,695 | $ | 202,167,415 | ||||||||
+ | Including securities loaned at value | $ | — | $ | 1,207,273 | |||||||
* | Cost of investments in securities | $ | 549,203,743 | $ | 201,493,743 | |||||||
** | Cost of short-term investments | $ | 19,299,817 | $ | 13,249,169 | |||||||
*** | Cost of foreign currencies | $ | 868,720 | $ | 55,611 | |||||||
**** | Cost of foreign cash collateral for futures | $ | — | $ | 97,880 | |||||||
***** | Cost of payable for foreign cash collateral for futures | $ | 88,151 | $ | — | |||||||
ˆ | Premiums received on written options | $ | 2,522,516 | $ | — | |||||||
ˆˆ | Proceeds from sales commitments | $ | — | $ | 10,489,375 |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Class ADV | ||||||||||
Net assets | $ | 53,735,282 | n/a | |||||||
Shares authorized | unlimited | n/a | ||||||||
Par value | $ | 0.001 | n/a | |||||||
Shares outstanding | 5,762,030 | n/a | ||||||||
Net asset value and redemption price per share | $ | 9.33 | n/a | |||||||
Class I | ||||||||||
Net assets | $ | 324,652,328 | n/a | |||||||
Shares authorized | unlimited | n/a | ||||||||
Par value | $ | 0.001 | n/a | |||||||
Shares outstanding | 33,536,642 | n/a | ||||||||
Net asset value and redemption price per share | $ | 9.68 | n/a | |||||||
Class S | ||||||||||
Net assets | $ | 199,855,085 | n/a | |||||||
Shares authorized | unlimited | n/a | ||||||||
Par value | $ | 0.001 | n/a | |||||||
Shares outstanding | 20,830,039 | n/a | ||||||||
Net asset value and redemption price per share | $ | 9.59 | n/a | |||||||
Portfolio(1) | ||||||||||
Net assets | n/a | $ | 202,167,415 | |||||||
Shares authorized | n/a | unlimited | ||||||||
Par value | n/a | $ | 0.001 | |||||||
Shares outstanding | n/a | 19,344,422 | ||||||||
Net asset value and redemption price per share | n/a | $ | 10.45 |
(1) | Portfolio does not have a share class designation |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||
Dividends | $ | 28,322 | $ | 25,515 | ||||||
Interest | 4,134,613 | (1) | 2,628,527 | |||||||
Securities lending income, net | — | 3,427 | ||||||||
Total investment income | 4,162,935 | 2,657,469 | ||||||||
EXPENSES: | ||||||||||
Investment management fees | 1,471,600 | 468,889 | ||||||||
Distribution and shareholder service fees: | ||||||||||
Class ADV | 187,969 | — | ||||||||
Class S | 246,540 | — | ||||||||
Transfer agent fees | 550 | 481 | ||||||||
Shareholder reporting expense | 20,020 | 7,280 | ||||||||
Registration fees | — | 18,869 | ||||||||
Professional fees | 29,120 | 18,412 | ||||||||
Custody and accounting expense | 68,250 | 104,890 | ||||||||
Trustee fees | 8,578 | 2,862 | ||||||||
Offering expense | — | 5,705 | ||||||||
Miscellaneous expense | 15,453 | 8,698 | ||||||||
Total expenses | 2,048,080 | 636,086 | ||||||||
Net waived and reimbursed fees | (140,630 | ) | (83,861 | ) | ||||||
Net expenses | 1,907,450 | 552,225 | ||||||||
Net investment income | 2,255,485 | 2,105,244 | ||||||||
REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||
Net realized gain (loss) on: | ||||||||||
Investments | (3,771,516 | ) | (272,205 | ) | ||||||
Foreign currency related transactions | (1,045,150 | ) | (699,325 | ) | ||||||
Futures | 2,158,913 | 192,506 | ||||||||
Swaps | (3,356,990 | ) | (552,901 | ) | ||||||
Written options | 2,557,147 | — | ||||||||
Net realized loss | (3,457,596 | ) | (1,331,925 | ) | ||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||
Investments | 29,726,124 | 7,468,290 | ||||||||
Foreign currency related transactions | 718,568 | 149,127 | ||||||||
Futures | 502,626 | 294,688 | ||||||||
Swaps | 54,411 | (562,197 | ) | |||||||
Written options | (714,607 | ) | — | |||||||
Sales commitments | — | (61,093 | ) | |||||||
Net change in unrealized appreciation (depreciation) | 30,287,122 | 7,288,815 | ||||||||
Net realized and unrealized gain | 26,829,526 | 5,956,890 | ||||||||
Increase in net assets resulting from operations | $ | 29,085,011 | $ | 8,062,134 |
(1) | Includes amortization of bond premiums and deflationary adjustments for U.S. Treasury and Foreign Government Inflation Bonds. Please refer to Note 2 for additional details regarding inflationary and deflationary adjustments to interest income for VY® BlackRock Inflation Protected Bond Portfolio. |
VY® BlackRock Inflation Protected Bond Portfolio | VY® Goldman Sachs Bond Portfolio | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Six Months Ended June 30, 2016 | Year Ended December 31, 2015 | Six Months Ended June 30, 2016 | February 20, 2015(1) to December 31, 2015 | |||||||||||||||
FROM OPERATIONS: | ||||||||||||||||||
Net investment income (loss) | $ | 2,255,485 | $ | (87,200 | ) | $ | 2,105,244 | $ 2,971,011 | ||||||||||
Net realized gain (loss) | (3,457,596 | ) | (9,099,153 | ) | (1,331,925 | ) | 936,940 | |||||||||||
Net change in unrealized appreciation (depreciation) | 30,287,122 | (5,773,009 | ) | 7,288,815 | (3,514,115) | |||||||||||||
Increase (decrease) in net assets resulting from operations | 29,085,011 | (14,959,362 | ) | 8,062,134 | 393,836 | |||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||||
Net investment income: | ||||||||||||||||||
Class ADV | — | (642,459 | ) | — | — | |||||||||||||
Class I | — | (3,883,410 | ) | — | — | |||||||||||||
Class S | — | (2,222,511 | ) | — | — | |||||||||||||
Return of capital: | ||||||||||||||||||
Class ADV | — | (20,331 | ) | — | — | |||||||||||||
Class I | — | (1,607,540 | ) | — | — | |||||||||||||
Class S | — | (642,177 | ) | — | — | |||||||||||||
Total distributions | — | (9,018,428 | ) | — | — | |||||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||||
Net proceeds from sale of shares | 51,011,939 | 69,871,100 | 47,091,470 | 259,113,887 | ||||||||||||||
Reinvestment of distributions | — | 9,018,428 | — | — | ||||||||||||||
51,011,939 | 78,889,528 | 47,091,470 | 259,113,887 | |||||||||||||||
Cost of shares redeemed | (69,987,908 | ) | (244,456,802 | ) | (40,753,539 | ) | (71,740,373) | |||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | (18,975,969 | ) | (165,567,274 | ) | 6,337,931 | 187,373,514 | ||||||||||||
Net increase (decrease) in net assets | 10,109,042 | (189,545,064 | ) | 14,400,065 | 187,767,350 | |||||||||||||
NET ASSETS: | ||||||||||||||||||
Beginning of year or period | 568,133,653 | 757,678,717 | 187,767,350 | — | ||||||||||||||
End of year or period | $ | 578,242,695 | $ | 568,133,653 | $ | 202,167,415 | $187,767,350 | |||||||||||
Undistributed net investment income at end of year or period | $ | 3,189,405 | $ | 933,920 | $ | 6,778,965 | $4,673,721 |
(1) | Commencement of operations. |
Income (loss) from investment operations | | Less distributions | | Ratios to average net assets | Supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year or period ended | Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return(1) | | Expenses before reductions/ additions(2)(3)(4) | | Expenses net of fee waivers and/or recoupments if any(2)(3)(4) | | Expense net of all reductions/ additions(2)(3)(4) | | Net investment income (loss)(2)(3) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||||||
| | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%) | | (%) | | (%) | | (%) | | (%) | | ($000’s) | | (%) | ||||||||||||||||||||||||||||||||||||
VY® BlackRock Inflation Protected Bond Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class ADV | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-16 | 8.88 | 0.02 | 0.43 | 0.45 | — | — | — | — | — | 9.33 | 5.07 | 1.27 | 1.13 | 1.13 | 0.32 | 53,735 | 46 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-15 | 9.24 | (0.05 | ) | (0.22 | ) | (0.27 | ) | 0.09 | — | 0.00 | * | 0.09 | — | 8.88 | (2.89 | ) | 1.30 | 1.11 | 1.11 | (0.52 | ) | 54,750 | 470 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-31-14 | 9.15 | 0.05 | 0.15 | 0.20 | 0.11 | — | — | 0.11 | — | 9.24 | 2.14 | 1.30 | 1.11 | 1.11 | 0.57 | 63,936 | 527 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-13 | 10.74 | (0.07 | )• | (0.88 | ) | (0.95 | ) | — | 0.64 | — | 0.64 | — | 9.15 | (8.98 | ) | 1.29 | 1.14 | 1.14 | (0.66 | ) | 74,204 | 613 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 10.73 | 0.02 | 0.61 | 0.63 | 0.04 | 0.58 | — | 0.62 | — | 10.74 | 5.95 | 1.28 | 1.13 | 1.13 | 0.19 | 102,747 | 475 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-16 | 9.19 | 0.04 | • | 0.45 | 0.49 | — | — | — | — | — | 9.68 | 5.33 | 0.57 | 0.53 | 0.53 | 0.95 | 324,652 | 46 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-15 | 9.54 | 0.01 | • | (0.23 | ) | (0.22 | ) | 0.08 | — | 0.05 | 0.13 | — | 9.19 | (2.35 | ) | 0.55 | 0.51 | 0.51 | 0.16 | 311,110 | 470 | ||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-14 | 9.42 | 0.11 | 0.16 | 0.27 | 0.15 | — | — | 0.15 | — | 9.54 | 2.81 | 0.55 | 0.51 | 0.51 | 1.18 | 450,442 | 527 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-13 | 10.97 | (0.00 | )* | (0.91 | ) | (0.91 | ) | — | 0.64 | — | 0.64 | — | 9.42 | (8.41 | ) | 0.54 | 0.54 | 0.54 | (0.05 | ) | 476,969 | 613 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 10.91 | 0.09 | 0.61 | 0.70 | 0.06 | 0.58 | — | 0.64 | — | 10.97 | 6.56 | 0.53 | 0.53 | 0.53 | 0.83 | 508,369 | 475 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-16 | 9.12 | 0.03 | • | 0.44 | 0.47 | — | — | — | — | — | 9.59 | 5.15 | 0.82 | 0.78 | 0.78 | 0.67 | 199,855 | 46 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-15 | 9.48 | (0.02 | ) | (0.22 | ) | (0.24 | ) | 0.09 | — | 0.03 | 0.12 | — | 9.12 | (2.61 | ) | 0.80 | 0.76 | 0.76 | (0.19 | ) | 202,274 | 470 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-14 | 9.37 | 0.09 | 0.15 | 0.24 | 0.13 | — | — | 0.13 | — | 9.48 | 2.54 | 0.80 | 0.76 | 0.76 | 0.90 | 243,300 | 527 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
12-31-13 | 10.94 | (0.04 | )• | (0.89 | ) | (0.93 | ) | — | 0.64 | — | 0.64 | — | 9.37 | (8.62 | ) | 0.79 | 0.79 | 0.79 | (0.40 | ) | 301,374 | 613 | |||||||||||||||||||||||||||||||||||||||||||||||||
12-31-12 | 10.90 | 0.06 | 0.61 | 0.67 | 0.05 | 0.58 | — | 0.63 | — | 10.94 | 6.26 | 0.78 | 0.78 | 0.78 | 0.50 | 587,903 | 475 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
VY® Goldman Sachs Bond Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
06-30-16 | 10.02 | 0.11 | • | 0.32 | 0.43 | — | — | — | — | — | 10.45 | 4.29 | 0.67 | 0.58 | 0.58 | 2.22 | 202,167 | 195 | |||||||||||||||||||||||||||||||||||||||||||||||||||||
02-20-15(5)–12-31-15 | 10.00 | 0.15 | • | (0.13 | ) | 0.02 | — | — | — | — | — | 10.02 | 0.20 | 0.61 | 0.58 | 0.58 | 1.77 | 187,767 | 507 |
(1) | Total return is calculated assuming reinvestment of all dividends, capital gain distributions and return of capital distributions, if any, at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized. |
(2) | Annualized for periods less than one year. |
(3) | Ratios reflect operating expenses of a Portfolio. Expenses before reductions/additions do not reflect amounts reimbursed by an Investment Adviser and/or Distributor or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by a Portfolio during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by an Investment Adviser and/or Distributor but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions/additions represent the net expenses paid by a Portfolio. Net investment income (loss) is net of all such additions or reductions. |
(4) | Ratios do not include fees and expenses charged under the variable annuity contract or variable life insurance policy. |
(5) | Commencement of operations. |
• | Calculated using average number of shares outstanding throughout the period. |
* | Amount is less than $0.005 or 0.005% or more than $(0.005) or (0.005)%. |
between the last bid and ask prices from the exchange on which they are principally traded. Investments in open-end registered investment companies that do not trade on an exchange are valued at the end of day NAV per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the regular trading session on the exchange where the security is principally traded.
(1) | Market value of investment securities, other assets and liabilities — at the exchange rates prevailing at Market Close. |
(2) | Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions. |
shall be made until the capital loss carryforwards have been fully utilized or expired.
derivatives may not perform as expected resulting in losses for the combined or hedged positions.
collateral pledged to Goldman Sachs Bond by any counterparty as June 30, 2016.
Buy | Sell | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 754,162,600 | $ | 69,525,111 | ||||||
Goldman Sachs Bond | 138,733,856 | 44,892,722 |
Purchased | Sold | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 160,304,899 | $ | 188,678,350 | ||||||
Goldman Sachs Bond | 40,206,916 | 10,359,558 |
Swap agreements are privately negotiated in the OTC market and may be executed in a multilateral or other trade facility platform, such as a registered commodities exchange (“centrally cleared swaps”).
deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Recovery values are assumed by market makers considering either industry standard recovery rates or entity specific factors and considerations until a credit event occurs. If a credit event has occurred, the recovery value is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value. Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues are disclosed following the Summary Portfolio of Investments and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting fair values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. The maximum amount of future payments (undiscounted) that a Portfolio as seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of June 30, 2016, for which a Portfolio is seller of protection are disclosed following the Summary Portfolio of Investments for Goldman Sachs Bond. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreements, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a Portfolio for the same referenced entity or entities.
an inflation index on that same notional amount. The party paying the floating rate pays the inflation adjusted rate multiplied by the notional amount.
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 66,116,804 | $ | 60,552,526 | ||||||
Goldman Sachs Bond | 22,503,468 | 36,229,366 |
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 184,883,165 | $ | 213,226,523 | ||||||
Goldman Sachs Bond | 359,798,373 | 357,789,481 |
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) | 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 | 9.92 | % | |||||||
Voya Insurance and Annuity Company | BlackRock Inflation Protected Bond | 33.60 | ||||||||
Voya Retirement Conservative Portfolio | BlackRock Inflation Protected Bond | 15.99 | ||||||||
Voya Retirement Moderate Portfolio | BlackRock Inflation Protected Bond | 18.65 | ||||||||
Voya Solution 2025 Portfolio | Goldman Sachs Bond | 18.81 | ||||||||
Voya Solution Income Portfolio | BlackRock Inflation Protected Bond | 8.45 | ||||||||
Goldman Sachs Bond | 23.48 |
Portfolio | Maximum Operating Expense Limit (as a percentage of net assets) | |||||
---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | Class ADV: 1.23% | |||||
Class I: 0.63% | ||||||
Class S: 0.88% | ||||||
Goldman Sachs Bond | 0.58% |
June 30, | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | 2017 | 2018 | 2019 | Total | |||||||||||||||
Goldman Sachs Bond | $ | — | $ | 15,449 | $ | 115,335 | $ | 130,784 |
AUD Notional | CAD Notional | CHF Notional | EUR Notional | GBP Notional | NZD Notional | USD Notional | Cost | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2015 | — | 46,350,000 | 20,940,000 | 22,480,000 | 11,425,000 | 8,575,000 | 138,720,000 | $ 1,522,756 | |||||||||||||||||||||||||
Options Purchased | 53,860,000 | 15,205,000 | 7,310,000 | 164,650,000 | 94,980,000 | 41,640,000 | 286,925,000 | 4,905,350 | |||||||||||||||||||||||||
Options Terminated in Closing Sell Transactions | (7,650,000 | ) | (15,450,000 | ) | — | — | (38,515,000 | ) | — | (17,350,000 | ) | (999,114) | |||||||||||||||||||||
Options Expired | (30,520,000 | ) | (46,105,000 | ) | (14,620,000 | ) | (141,045,000 | ) | (55,275,000 | ) | (50,215,000 | ) | (344,925,000 | ) | (3,699,995) | ||||||||||||||||||
Balance at 06/30/2016 | 15,690,000 | — | 13,630,000 | 46,085,000 | 12,615,000 | — | 63,370,000 | $ 1,728,997 |
USD Notional | EUR Notional | Cost | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2015 | 71,852,500 | 10,100,000 | $ | 2,127,495 | ||||||||||
Options Purchased | 8,200,000 | — | 1,046,131 | |||||||||||
Options Expired | (66,852,500 | ) | — | (625,353 | ) | |||||||||
Balance at 06/30/2016 | 13,200,000 | 10,100,000 | $ | 2,548,273 |
USD Notional | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2015 | 25,320,000 | $ | 24,236 | |||||||
Balance at 06/30/2016 | 25,320,000 | $ | 24,236 |
Number of Contracts | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2015 | — | $ | — | |||||||
Options Purchased | 5,493 | 2,840,987 | ||||||||
Options Terminated in Closing Sell Transactions | (954 | ) | (835,020 | ) | ||||||
Options Expired | (3,033 | ) | (1,530,671 | ) | ||||||
Balance at 06/30/2016 | 1,506 | $ | 475,296 |
AUD Notional | CAD Notional | CHF Notional | EUR Notional | GBP Notional | NZD Notional | USD Notional | Premiums Received | ||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2015 | — | 46,350,000 | 7,310,000 | 12,010,000 | 3,800,000 | 8,575,000 | 66,040,000 | $ 948,737 | |||||||||||||||||||||||||||
Options Written | 45,470,000 | 30,455,000 | — | 64,445,000 | 38,535,000 | 24,990,000 | 151,815,000 | 3,065,097 | |||||||||||||||||||||||||||
Options Terminated in Closing Sell Transactions | (37,820,000 | ) | (15,450,000 | ) | — | (10,335,000 | ) | (17,555,000 | ) | — | (39,970,000 | ) | (533,312) | ||||||||||||||||||||||
Options Expired | (7,650,000 | ) | (61,355,000 | ) | (7,310,000 | ) | (27,785,000 | ) | (16,150,000 | ) | (33,565,000 | ) | (126,055,000 | ) | (2,399,099) | ||||||||||||||||||||
Balance at 06/30/2016 | — | — | — | 38,335,000 | 8,630,000 | — | 51,830,000 | $ 1,081,423 |
EUR Notional | USD Notional | Premiums Received | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2015 | 10,100,000 | 106,620,000 | $ | 2,393,281 | ||||||||||
Options Written | — | 109,600,000 | 627,202 | |||||||||||
Options Terminated in Closing Purchase Transactions | — | (68,180,000 | ) | (1,670,447 | ) | |||||||||
Options Expired | — | (38,440,000 | ) | (247,275 | ) | |||||||||
Balance at 06/30/2016 | 10,100,000 | 109,600,000 | $ | 1,102,761 |
EUR Notional | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2015 | 3,140,000 | $ | 217,411 | |||||||
Balance at 06/30/2016 | 3,140,000 | $ | 217,411 |
Number of Contracts | Premiums Received | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2015 | — | $ | — | |||||||
Options Written | 2,496 | 328,964 | ||||||||
Options Terminated in Closing Purchase Transactions | (347 | ) | (107,979 | ) | ||||||
Options Expired | (920 | ) | (100,064 | ) | ||||||
Balance at 06/30/2016 | 1,229 | $ | 120,921 |
JPY Notional | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 12/31/2015 | $ | — | ||||||||
Options Purchased | 197,080,000 | 28,141 | ||||||||
Options Terminated in Closing Sell Transactions | (61,660,000 | ) | (10,772 | ) | ||||||
Options Expired | (135,420,000 | ) | (17,369 | ) | ||||||
Balance at 06/30/2016 | — | $ | — |
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 | |||||||||||||||||||||||||||||||||||||||||||
6/30/2016 | 90,887 | — | — | (492,239 | ) | (401,352 | ) | 830,967 | — | — | (4,467,248 | ) | (3,636,281 | ) | |||||||||||||||||||||||||||||
12/31/2015 | 362,010 | — | 70,953 | (1,185,810 | ) | (752,847 | ) | 3,305,470 | — | 662,790 | (10,859,486 | ) | (6,891,226 | ) | |||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||
6/30/2016 | 4,256,050 | — | — | (4,558,915 | ) | (302,865 | ) | 39,807,337 | — | — | (42,714,996 | ) | (2,907,659 | ) | |||||||||||||||||||||||||||||
12/31/2015 | 5,658,110 | — | 575,124 | (19,604,285 | ) | (13,371,051 | ) | 53,298,007 | — | 5,490,950 | (184,626,794 | ) | (125,837,837 | ) | |||||||||||||||||||||||||||||
Class S | |||||||||||||||||||||||||||||||||||||||||||
6/30/2016 | 1,099,788 | — | — | (2,440,988 | ) | (1,341,200 | ) | 10,373,635 | — | — | (22,805,664 | ) | (12,432,029 | ) | |||||||||||||||||||||||||||||
12/31/2015 | 1,412,122 | — | 301,235 | (5,210,546 | ) | (3,497,189 | ) | 13,267,623 | — | 2,864,688 | (48,970,522 | ) | (32,838,211 | ) | |||||||||||||||||||||||||||||
Goldman Sachs Bond | |||||||||||||||||||||||||||||||||||||||||||
6/30/2016 | 4,619,153 | — | — | (4,011,810 | ) | 607,343 | 47,091,470 | — | — | (40,753,539 | ) | 6,337,931 | |||||||||||||||||||||||||||||||
2/20/2015(1)– 12/31/2015 | 25,889,066 | — | — | (7,151,987 | ) | 18,737,079 | 259,113,887 | — | — | (71,740,373 | ) | 187,373,514 |
(1) | Commencement of operations. |
Counterparty | Securities Loaned at Value | Cash Collateral Received(1) | Net Amount | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citigroup Global Markets Inc. | $ | 866,607 | $ | (866,607 | ) | $ | — | |||||||
JP Morgan Clearing Corp | 48,474 | (48,474 | ) | — | ||||||||||
J.P. Morgan Securities LLC | 292,193 | (292,193 | ) | — | ||||||||||
Total | $ | 1,207,273 | $ | (1,207,273 | ) | $ | — |
(1) | Collateral with a fair value of $1,232,881 has been received in connection with the above securities lending transactions. Excess collateral received from the individual counterparty is not shown for financial reporting purposes. |
Ordinary Income | Return of Capital | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
BlackRock Inflation Protected Bond | $ | 6,748,380 | $ | 2,270,048 |
Undistributed Ordinary Income | Unrealized Appreciation/ (Depreciation) | Capital Loss Carryforwards | |||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Amount | Character | Expiration | |||||||||||||||||||||
BlackRock Inflation Protected Bond | $ | — | $ | (21,121,016 | ) | $ | (14,925,453 | ) | Short-term | None | |||||||||||||
(59,596,106 | ) | Long-term | None | ||||||||||||||||||||
$ | (74,521,559 | ) | |||||||||||||||||||||
Goldman Sachs Bond | 4,527,875 | (3,348,622 | ) | (784,736 | ) | Short-term | None |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) |
as of June 30, 2016
(as a percentage of net assets)
U.S. Treasury Obligations | 54.0 | % | |||||
Corporate Bonds/Notes | 24.3 | % | |||||
U.S. Government Agency Obligations | 13.2 | % | |||||
Foreign Government Bonds | 4.6 | % | |||||
Purchased Options | 0.6 | % | |||||
Assets in Excess of Other Liabilities* | 3.3 | % | |||||
Net Assets | 100.0 | % | |||||
* Includes short-term investments. |
Principal Amount† | | Value | | Percentage of Net Assets | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 24.3% | |||||||||||||||||||
Communications: 1.7% | |||||||||||||||||||
2,500,000 | Cisco Systems, Inc., 1.400%, 02/28/18 | $ | 2,523,255 | 0.4 | |||||||||||||||
2,530,000 | Comcast Corp., 5.700%, 05/15/18 | 2,749,328 | 0.5 | ||||||||||||||||
4,485,000 | # | NBCUniversal Enterprise, Inc., 1.662%, 04/15/18 | 4,535,165 | 0.8 | |||||||||||||||
9,807,748 | 1.7 | ||||||||||||||||||
Consumer, Cyclical: 2.0% | |||||||||||||||||||
4,350,000 | # | American Honda Finance Corp., 1.600%, 02/16/18 | 4,392,752 | 0.8 | |||||||||||||||
1,850,000 | # | BMW US Capital LLC, 1.500%, 04/11/19 | 1,859,947 | 0.3 | |||||||||||||||
290,000 | Lowe’s Cos, Inc., 1.150%, 04/15/19 | 290,563 | 0.0 | ||||||||||||||||
960,000 | # | Nissan Motor Acceptance Corp., 2.000%, 03/08/19 | 972,011 | 0.2 | |||||||||||||||
885,000 | PACCAR Financial Corp., 1.300%, 05/10/19 | 888,902 | 0.2 | ||||||||||||||||
2,900,000 | Toyota Motor Credit Corp., 1.550%, 07/13/18 | 2,928,748 | 0.5 | ||||||||||||||||
11,332,923 | 2.0 | ||||||||||||||||||
Consumer, Non-cyclical: 7.8% | |||||||||||||||||||
6,320,000 | Anheuser-Busch InBev Finance, Inc., 1.900%, 02/01/19 | 6,431,188 | 1.1 | ||||||||||||||||
2,000,000 | # | BAT International Finance PLC, 1.850%, 06/15/18 | 2,022,438 | 0.4 | |||||||||||||||
2,900,000 | Coca-Cola Co, 1.650%, 11/01/18 | 2,944,654 | 0.5 | ||||||||||||||||
5,700,000 | Gilead Sciences, Inc., 1.850%, 09/04/18 | 5,802,919 | 1.0 | ||||||||||||||||
1,595,000 | Kimberly-Clark Corp., 1.400%, 02/15/19 | 1,615,957 | 0.3 | ||||||||||||||||
4,835,000 | Medtronic, Inc., 1.375%, 04/01/18 | 4,866,848 | 0.8 | ||||||||||||||||
2,900,000 | Merck & Co., Inc., 1.100%, 01/31/18 | 2,916,684 | 0.5 | ||||||||||||||||
4,250,000 | Pfizer, Inc., 1.500%, 06/15/18 | 4,293,652 | 0.8 | ||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Consumer, Non-cyclical: (continued) | |||||||||||||||||||
4,300,000 | Philip Morris International, Inc., 1.250%, 11/09/17 | $ | 4,316,525 | 0.8 | |||||||||||||||
3,690,000 | Philip Morris International, Inc., 1.375%, 02/25/19 | 3,720,132 | 0.6 | ||||||||||||||||
2,900,000 | Procter & Gamble Co, 1.600%, 11/15/18 | 2,962,767 | 0.5 | ||||||||||||||||
2,825,000 | Sanofi, 1.250%, 04/10/18 | 2,844,134 | 0.5 | ||||||||||||||||
44,737,898 | 7.8 | ||||||||||||||||||
Energy: 0.5% | |||||||||||||||||||
2,880,000 | # | Schlumberger Holdings Corp., 1.900%, 12/21/17 | 2,899,290 | 0.5 | |||||||||||||||
Financial: 9.0% | |||||||||||||||||||
5,700,000 | # | AIG Global Funding, 1.650%, 12/15/17 | 5,726,169 | 1.0 | |||||||||||||||
4,250,000 | Bank of America NA, 2.050%, 12/07/18 | 4,312,407 | 0.8 | ||||||||||||||||
5,800,000 | Bank of New York Mellon Corp., 1.350%, 03/06/18 | 5,835,438 | 1.0 | ||||||||||||||||
2,500,000 | Berkshire Hathaway Finance Corp., 1.300%, 05/15/18 | 2,516,420 | 0.4 | ||||||||||||||||
5,700,000 | Branch Banking & Trust Co., 2.300%, 10/15/18 | 5,844,472 | 1.0 | ||||||||||||||||
2,900,000 | HSBC USA, Inc., 1.625%, 01/16/18 | 2,895,485 | 0.5 | ||||||||||||||||
5,700,000 | JPMorgan Chase & Co., 2.350%, 01/28/19 | 5,842,716 | 1.0 | ||||||||||||||||
5,700,000 | # | Metropolitan Life Global Funding I, 1.500%, 01/10/18 | 5,734,143 | 1.0 | |||||||||||||||
630,000 | # | Principal Life Global Funding II, 1.500%, 04/18/19 | 632,708 | 0.1 | |||||||||||||||
2,500,000 | Toronto-Dominion Bank, 1.950%, 01/22/19 | 2,538,800 | 0.4 | ||||||||||||||||
5,700,000 | US Bancorp, 1.950%, 11/15/18 | 5,814,120 | 1.0 | ||||||||||||||||
2,765,000 | Visa, Inc., 1.200%, 12/14/17 | 2,782,765 | 0.5 | ||||||||||||||||
1,700,000 | Wells Fargo & Co., 2.150%, 01/15/19 | 1,736,198 | 0.3 | ||||||||||||||||
52,211,841 | 9.0 | ||||||||||||||||||
Industrial: 0.8% | |||||||||||||||||||
1,435,000 | Caterpillar Financial Services Corp., 1.350%, 05/18/19 | 1,442,253 | 0.3 | ||||||||||||||||
1,300,000 | General Electric Co., 1.625%, 04/02/18 | 1,318,789 | 0.2 | ||||||||||||||||
1,935,000 | # | Siemens Financieringsmaatschappij NV, 1.450%, 05/25/18 | 1,950,416 | 0.3 | |||||||||||||||
4,711,458 | 0.8 | ||||||||||||||||||
Technology: 1.3% | |||||||||||||||||||
5,050,000 | Apple, Inc., 1.700%, 02/22/19 | 5,142,253 | 0.9 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||||||
Technology: (continued) | |||||||||||||||||||||||
2,500,000 | Oracle Corp., 1.200%, 10/15/17 | $ | 2,509,360 | 0.4 | |||||||||||||||||||
7,651,613 | 1.3 | ||||||||||||||||||||||
Utilities: 1.2% | |||||||||||||||||||||||
3,700,000 | Duke Energy Carolinas LLC, 7.000%, 11/15/18 | 4,199,289 | 0.7 | ||||||||||||||||||||
2,600,000 | Virginia Electric & Power Co., 5.950%, 09/15/17 | 2,753,637 | 0.5 | ||||||||||||||||||||
6,952,926 | 1.2 | ||||||||||||||||||||||
Total Corporate Bonds/Notes | |||||||||||||||||||||||
(Cost $139,059,389) | 140,305,697 | 24.3 | |||||||||||||||||||||
U.S. TREASURY OBLIGATIONS: 54.0% | |||||||||||||||||||||||
Treasury Inflation Indexed Protected Securities: 54.0% | |||||||||||||||||||||||
9,562,504 | 0.125%, due 07/15/24 | 9,671,640 | 1.7 | ||||||||||||||||||||
12,481,377 | 0.375%, due 07/15/23 | 12,923,267 | 2.2 | ||||||||||||||||||||
8,434,655 | 0.375%, due 07/15/25 | 8,694,012 | 1.5 | ||||||||||||||||||||
20,954,458 | 0.625%, due 01/15/24 | 21,964,945 | 3.8 | ||||||||||||||||||||
15,414,238 | 0.625%, due 01/15/26 | 16,247,269 | 2.8 | ||||||||||||||||||||
20,636,864 | 0.750%, due 02/15/42 | 20,740,316 | 3.6 | ||||||||||||||||||||
4,313,132 | 0.750%, due 02/15/45 | 4,344,946 | 0.8 | ||||||||||||||||||||
3,882,604 | 1.000%, due 02/15/46 | 4,200,061 | 0.7 | ||||||||||||||||||||
2,545,993 | 1.375%, due 02/15/44 | 2,950,717 | 0.5 | ||||||||||||||||||||
25,552,898 | S | 1.750%, due 01/15/28 | 29,918,355 | 5.2 | |||||||||||||||||||
18,323,296 | 2.000%, due 01/15/26 | 21,584,989 | 3.7 | ||||||||||||||||||||
11,342,347 | 2.125%, due 02/15/40 | 14,865,790 | 2.6 | ||||||||||||||||||||
20,934,214 | 2.125%, due 02/15/41 | 27,679,637 | 4.8 | ||||||||||||||||||||
14,351,454 | 2.375%, due 01/15/25 | 17,156,345 | 3.0 | ||||||||||||||||||||
18,451,359 | 2.375%, due 01/15/27 | 22,678,843 | 3.9 | ||||||||||||||||||||
7,366,184 | 2.500%, due 01/15/29 | 9,348,483 | 1.6 | ||||||||||||||||||||
3,646,205 | 3.375%, due 04/15/32 | 5,348,669 | 0.9 | ||||||||||||||||||||
18,942,308 | 3.625%, due 04/15/28 | 26,249,891 | 4.5 | ||||||||||||||||||||
22,221,353 | 3.875%, due 04/15/29 | 32,057,057 | 5.6 | ||||||||||||||||||||
3,534,472 | 0.250%–0.625%, due 01/15/25–02/15/43 | 3,491,857 | 0.6 | ||||||||||||||||||||
Total U.S. Treasury Obligations | |||||||||||||||||||||||
(Cost $304,344,060) | 312,117,089 | 54.0 | |||||||||||||||||||||
FOREIGN GOVERNMENT BONDS: 4.6% | |||||||||||||||||||||||
EUR 6,916,167 | Deutsche Bundesrepublik Inflation Linked Bond, 0.100%, 04/15/23 | 8,271,877 | 1.4 | ||||||||||||||||||||
EUR 605,900 | Hellenic Republic Government Bond, 25.050%, 10/15/42 | 1,950 | 0.0 | ||||||||||||||||||||
EUR 3,519,183 | Italy Buoni Poliennali Del Tesoro, 2.600%, 09/15/23 | 4,573,962 | 0.8 | ||||||||||||||||||||
EUR 879,317 | # | Italy Buoni Poliennali Del Tesoro, 1.250%, 09/15/32 | 1,029,119 | 0.2 | |||||||||||||||||||
EUR 2,766,351 | # | Italy Buoni Poliennali Del Tesoro, 2.350%, 09/15/24 | 3,530,789 | 0.6 | |||||||||||||||||||
EUR 992,836 | Italy Buoni Poliennali Del Tesoro, 2.100%–2.550%, 09/15/16–09/15/41 | 1,418,005 | 0.2 | ||||||||||||||||||||
NZD 1,236,000 | New Zealand Government Bond, 2.500%, 09/20/35 | 998,655 | 0.2 | ||||||||||||||||||||
FOREIGN GOVERNMENT BOND: (continued) | |||||||||||||||||||||||
NZD 7,848,000 | New Zealand Government Bond, 3.000%, 09/20/30 | $ | 6,717,421 | 1.2 | |||||||||||||||||||
Total Foreign Government Bonds | |||||||||||||||||||||||
(Cost $26,580,122) | 26,541,778 | 4.6 | |||||||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 13.2% | |||||||||||||||||||||||
Federal Home Loan Bank: 1.3% | |||||||||||||||||||||||
6,955,000 | 2.875%, due 09/13/24 | 7,552,852 | 1.3 | ||||||||||||||||||||
Federal Home Loan Mortgage Corporation: 4.1%## | |||||||||||||||||||||||
8,270,000 | 1.250%, due 10/02/19 | 8,370,514 | 1.4 | ||||||||||||||||||||
1,515,000 | 1.375%, due 05/01/20 | 1,538,772 | 0.3 | ||||||||||||||||||||
12,960,000 | 2.375%, due 01/13/22 | 13,739,038 | 2.4 | ||||||||||||||||||||
23,648,324 | 4.1 | ||||||||||||||||||||||
Federal National Mortgage Association: 5.9%## | |||||||||||||||||||||||
22,885,000 | 1.750%, due 09/12/19 | 23,529,670 | 4.1 | ||||||||||||||||||||
10,140,000 | 1.875%, due 12/28/20 | 10,491,422 | 1.8 | ||||||||||||||||||||
34,021,092 | 5.9 | ||||||||||||||||||||||
Other U.S. Agency Obligations: 1.9% | |||||||||||||||||||||||
11,230,000 | 1.300%, due 12/14/18 | 11,372,149 | 1.9 | ||||||||||||||||||||
Total U.S. Government Agency Obligations | |||||||||||||||||||||||
(Cost $74,443,370) | 76,594,417 | 13.2 |
# of Contracts | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PURCHASED OPTIONS: 0.6% | |||||||||||||||||||
Exchange-Traded Options: 0.1% | |||||||||||||||||||
614 | @ | 90-Day Eurodollar, Strike @ 98.250, Exp. 09/16/16 | 3,837 | 0.0 | |||||||||||||||
614 | @ | 90-Day Eurodollar, Strike @ 98.750, Exp. 09/16/16 | 11,513 | 0.0 | |||||||||||||||
278 | @ | U.S. Treasury 10-Year Note, Strike @ 133.500, Exp. 08/26/16 | 238,908 | 0.1 | |||||||||||||||
254,258 | 0.1 | ||||||||||||||||||
Options on Currencies: 0.2% | |||||||||||||||||||
7,845,000 | @ | Call AUD vs. Put USD, Strike @ 0.748, Exp. 07/20/16 Counterparty: JPMorgan Chase & Co. | 55,782 | 0.0 | |||||||||||||||
5,150,000 | @ | Call EUR vs. Put USD, Strike @ 1.138, Exp. 07/29/16 Counterparty: Deutsche Bank AG | 14,976 | 0.0 | |||||||||||||||
3,985,000 | @ | Call GBP vs. Put JPY, Strike @ 166.000, Exp. 07/14/16 Counterparty: Barclays Bank PLC | 2 | 0.0 | |||||||||||||||
11,515,000 | @ | Call USD vs. Put CAD, Strike @ 1.420, Exp. 11/03/16 Counterparty: Barclays Bank PLC | 32,380 | 0.0 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
# of Contracts | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PURCHASED OPTIONS: (continued) | |||||||||||||||||||
Options on Currencies (continued) | |||||||||||||||||||
11,515,000 | @ | Call USD vs. Put CAD, Strike @ 1.315, Exp. 11/03/16 Counterparty: Barclays Bank PLC | $ | 177,635 | 0.1 | ||||||||||||||
11,540,000 | @ | Call USD vs. Put JPY, Strike @ 110.000, Exp. 08/05/16 Counterparty: HSBC Bank PLC | 15,458 | 0.0 | |||||||||||||||
11,515,000 | @ | Call USD vs. Put MXN, Strike @ 18.290, Exp. 11/03/16 Counterparty: Barclays Bank PLC | 442,735 | 0.1 | |||||||||||||||
11,515,000 | @ | Call USD vs. Put MXN, Strike @ 19.870, Exp. 11/03/16 Counterparty: Barclays Bank PLC | 141,564 | 0.0 | |||||||||||||||
7,845,000 | @ | Put AUD vs. Call USD, Strike @ 0.703, Exp. 07/20/16 Counterparty: JPMorgan Chase & Co. | 3,653 | 0.0 | |||||||||||||||
13,630,000 | @ | Put CHF vs. Call NOK, Strike @ 7.720, Exp. 08/02/16 Counterparty: Deutsche Bank AG | 397 | 0.0 | |||||||||||||||
5,170,000 | @ | Put EUR vs. Call JPY, Strike @ 113.000, Exp. 09/22/16 Counterparty: Deutsche Bank AG | 112,690 | 0.0 | |||||||||||||||
10,140,000 | @ | Put EUR vs. Call USD, Strike @ 1.088, Exp. 11/03/16 Counterparty: BNP Paribas Bank | 152,555 | 0.0 | |||||||||||||||
10,335,000 | @ | Put EUR vs. Call USD, Strike @ 1.105, Exp. 07/08/16 Counterparty: BNP Paribas Bank | 40,869 | 0.0 | |||||||||||||||
5,150,000 | @ | Put EUR vs. Call USD, Strike @ 1.093, Exp. 07/29/16 Counterparty: Deutsche Bank AG | 29,131 | 0.0 | |||||||||||||||
10,140,000 | @ | Put EUR vs. Call USD, Strike @ 1.020, Exp. 11/03/16 Counterparty: BNP Paribas Bank | 41,739 | 0.0 | |||||||||||||||
4,315,000 | @ | Put GBP vs. Call USD, Strike @ 1.310, Exp. 08/29/16 Counterparty: Deutsche Bank AG | 89,752 | 0.0 | |||||||||||||||
4,315,000 | @ | Put GBP vs. Call USD, Strike @ 1.198, Exp. 08/29/16 Counterparty: Deutsche Bank AG | 11,549 | 0.0 | |||||||||||||||
5,770,000 | @ | Put USD vs. Call JPY, Strike @ 97.000, Exp. 08/05/16 Counterparty: HSBC Bank PLC | 16,527 | 0.0 | |||||||||||||||
1,379,394 | 0.2 | ||||||||||||||||||
PURCHASED OPTIONS: (continued) | |||||||||||||||||||
Options on Inflation Rate Caps: 0.0% | |||||||||||||||||||
7,240,000 | @ | Inflation Rate Cap on US CPI Urban Consumers NSA (CPURNSA), Portfolio receives maximum of CPURNSA minus 2.000% or $0, Exp. 11/10/16 Counterparty: Deutsche Bank AG | $ | 221 | 0.0 | ||||||||||||||
18,080,000 | @ | Inflation Rate Cap on US CPI Urban Consumers NSA (CPURNSA), Portfolio receives maximum of CPURNSA minus 2.000% or $0, Exp. 11/06/16 Counterparty: Deutsche Bank AG | 339 | 0.0 | |||||||||||||||
560 | 0.0 | ||||||||||||||||||
OTC Interest Rate Swaptions: 0.3% | |||||||||||||||||||
4,100,000 | @ | Receive a fixed rate equal to 2.680% and pay a floating rate based on the 3-month USD-LIBOR-BBA, Exp. 01/12/21 Counterparty: Deutsche Bank AG | 869,162 | 0.1 | |||||||||||||||
4,100,000 | @ | Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.680%, Exp. 01/12/21 Counterparty: Deutsche Bank AG | 308,914 | 0.1 | |||||||||||||||
5,000,000 | @ | Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 4.000%, Exp. 11/21/17 Counterparty: Barclays Bank PLC | 8,902 | 0.0 | |||||||||||||||
10,100,000 | @ | Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 2.500%, Exp. 06/08/22 Counterparty: Deutsche Bank AG | 467,798 | 0.1 | |||||||||||||||
1,654,776 | 0.3 | ||||||||||||||||||
Total Purchased Options | |||||||||||||||||||
(Cost $4,776,802) | 3,288,988 | 0.6 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $549,203,743) | 558,847,969 | 96.7 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 3.3% | |||||||||||||||||||
Mutual Funds: 3.3% | |||||||||||||||||||
19,299,817 | BlackRock Liquidity Funds, TempFund, Institutional Class, 0.430%†† | ||||||||||||||||||
(Cost $19,299,817) | $ | 19,299,817 | 3.3 | ||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $19,299,817) | 19,299,817 | 3.3 | |||||||||||||||||
Total Investments in Securities (Cost $568,503,560) | $ | 578,147,786 | 100.0 | ||||||||||||||||
Assets in Excess of Other Liabilities | 94,909 | 0.0 | |||||||||||||||||
Net Assets | $ | 578,242,695 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
†† | Rate shown is the 7-day yield as of June 30, 2016. |
# | 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 |
NZD | New Zealand Dollar |
Cost for federal income tax purposes is $570,103,502. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 13,064,369 | ||||
Gross Unrealized Depreciation | (5,020,085 | ) | ||||
Net Unrealized Appreciation | $ | 8,044,284 |
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, 2016 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Purchased Options | $ | 254,258 | $ | 3,034,730 | $ | — | $ | 3,288,988 | ||||||||||
Corporate Bonds/Notes | — | 140,305,697 | — | 140,305,697 | ||||||||||||||
U.S. Treasury Obligations | — | 312,117,089 | — | 312,117,089 | ||||||||||||||
Foreign Government Bonds | — | 26,541,778 | — | 26,541,778 | ||||||||||||||
Short-Term Investments | 19,299,817 | — | — | 19,299,817 | ||||||||||||||
U.S. Government Agency Obligations | — | 76,594,417 | — | 76,594,417 | ||||||||||||||
Total Investments, at fair value | $ | 19,554,075 | $ | 558,593,711 | $ | — | $ | 578,147,786 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Forward Foreign Currency Contracts | — | 2,080,046 | — | 2,080,046 | ||||||||||||||
Futures | 1,621,047 | — | — | 1,621,047 | ||||||||||||||
OTC Swaps | — | 664,216 | — | 664,216 | ||||||||||||||
Total Assets | $ | 21,175,122 | $ | 561,337,973 | $ | — | $ | 582,513,095 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (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, 2016 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Centrally Cleared Swaps | $ | — | $ | (894,678 | ) | $ | — | $ | (894,678 | ) | ||||||||
Forward Foreign Currency Contracts | — | (2,288,012 | ) | — | (2,288,012 | ) | ||||||||||||
Futures | (1,497,732 | ) | — | — | (1,497,732 | ) | ||||||||||||
OTC Swaps | — | (1,066,527 | ) | — | (1,066,527 | ) | ||||||||||||
Written Options | (7,681 | ) | (1,487,526 | ) | — | (1,495,207 | ) | |||||||||||
Total Liabilities | $ | (1,505,413 | ) | $ | (5,736,743 | ) | $ | — | $ | (7,242,156 | ) |
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) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America | Australian Dollar | 1,122,389 | Buy | 07/15/16 | $ | 630,000 | $ | 627,956 | $ | (2,044 | ) | |||||||||||||||||||
Bank of America | British Pound | 870,000 | Buy | 07/15/16 | 1,192,161 | 1,158,306 | (33,855 | ) | ||||||||||||||||||||||
Bank of America | British Pound | 485,000 | Buy | 07/15/16 | 706,427 | 645,723 | (60,704 | ) | ||||||||||||||||||||||
Bank of America | British Pound | 485,000 | Buy | 07/15/16 | 659,139 | 645,722 | (13,417 | ) | ||||||||||||||||||||||
Bank of America | British Pound | 242,500 | Buy | 07/19/16 | 32,999,400 | 33,002,562 | 3,162 | |||||||||||||||||||||||
Bank of America | British Pound | 485,000 | Buy | 07/19/16 | 73,986,750 | 73,915,683 | (71,067 | ) | ||||||||||||||||||||||
Bank of America | British Pound | 242,500 | Buy | 07/19/16 | 33,132,775 | 33,134,645 | 1,870 | |||||||||||||||||||||||
Bank of America | British Pound | 970,000 | Buy | 07/19/16 | 150,023,207 | 149,861,216 | (161,991 | ) | ||||||||||||||||||||||
Bank of America | Japanese Yen | 75,761,333 | Buy | 07/15/16 | 714,587 | 733,913 | 19,326 | |||||||||||||||||||||||
Bank of America | British Pound | 995,000 | Buy | 07/19/16 | 156,508,027 | 156,316,494 | (191,533 | ) | ||||||||||||||||||||||
Barclays Bank PLC | British Pound | 590,450 | Buy | 07/15/16 | 770,141 | 701,235 | (68,906 | ) | ||||||||||||||||||||||
Barclays Bank PLC | British Pound | 507,831 | Buy | 07/15/16 | 719,111 | 676,119 | (42,992 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Japanese Yen | 155,008,572 | Buy | 07/19/16 | 995,000 | 1,172,006 | 177,006 | |||||||||||||||||||||||
BNP Paribas Bank | Japanese Yen | 76,171,287 | Buy | 07/19/16 | 485,000 | 577,231 | 92,231 | |||||||||||||||||||||||
Citigroup, Inc. | British Pound | 630,000 | Buy | 07/15/16 | 847,539 | 838,773 | (8,766 | ) | ||||||||||||||||||||||
Citigroup, Inc. | British Pound | 1,685,000 | Buy | 07/19/16 | 231,685,983 | 231,684,786 | (1,197 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Japanese Yen | 62,486,867 | Buy | 07/19/16 | 395,000 | 474,480 | 79,480 | |||||||||||||||||||||||
Citigroup, Inc. | Norwegian Krone | 5,976,507 | Buy | 07/01/16 | 996,507 | 967,456 | (29,051 | ) | ||||||||||||||||||||||
Citigroup, Inc. | British Pound | 495,000 | Buy | 07/19/16 | 78,689,565 | 78,586,250 | (103,315 | ) | ||||||||||||||||||||||
Citigroup, Inc. | Australian Dollar | 1,110,000 | Buy | 07/01/16 | 6,849,836 | 6,859,174 | 9,338 | |||||||||||||||||||||||
Deutsche Bank AG | British Pound | 1,300,000 | Buy | 07/15/16 | 1,743,365 | 1,730,803 | (12,562 | ) | ||||||||||||||||||||||
Deutsche Bank AG | British Pound | 630,000 | Buy | 07/15/16 | 86,729,580 | 86,728,190 | (1,390 | ) | ||||||||||||||||||||||
Deutsche Bank AG | British Pound | 1,310,000 | Buy | 07/15/16 | 1,744,370 | 1,744,117 | (253 | ) | ||||||||||||||||||||||
Deutsche Bank AG | British Pound | 630,000 | Buy | 07/15/16 | 1,134,416 | 1,127,494 | (6,922 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Japanese Yen | 85,085,784 | Buy | 07/15/16 | 630,000 | 615,467 | (14,533 | ) | ||||||||||||||||||||||
Deutsche Bank AG | British Pound | 970,000 | Buy | 07/15/16 | 1,433,462 | 1,291,445 | (142,017 | ) | ||||||||||||||||||||||
Deutsche Bank AG | British Pound | 1,400,000 | Buy | 07/15/16 | 2,052,369 | 1,863,941 | (188,428 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Japanese Yen | 72,056,454 | Buy | 07/19/16 | 485,000 | 537,365 | 52,365 | |||||||||||||||||||||||
Deutsche Bank AG | New Zealand Dollar | 2,065,000 | Buy | 07/15/16 | 1,457,539 | 1,473,547 | 16,008 | |||||||||||||||||||||||
Deutsche Bank AG | British Pound | 609,105 | Buy | 07/15/16 | 769,859 | 726,103 | (43,756 | ) | ||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 765,000 | Buy | 07/15/16 | 607,514 | 647,993 | 40,479 | |||||||||||||||||||||||
Deutsche Bank AG | British Pound | 608,772 | Buy | 07/15/16 | 765,000 | 726,196 | (38,804 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Swiss Franc | 1,394,088 | Buy | 07/15/16 | 1,450,000 | 1,428,674 | (21,326 | ) | ||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 1,255,000 | Buy | 08/02/16 | 1,397,869 | 1,394,268 | (3,601 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Japanese Yen | 95,164,539 | Buy | 07/19/16 | 590,000 | 726,445 | 136,445 | |||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 1,265,000 | Buy | 08/02/16 | 1,444,024 | 1,405,378 | (38,646 | ) | ||||||||||||||||||||||
Goldman Sachs & Co. | British Pound | 495,000 | Buy | 07/19/16 | 79,216,379 | 79,107,960 | (108,419 | ) | ||||||||||||||||||||||
HSBC Bank PLC | Japanese Yen | 149,373,720 | Buy | 07/15/16 | 1,080,000 | 1,089,111 | 9,111 | |||||||||||||||||||||||
HSBC Bank PLC | British Pound | 630,000 | Buy | 07/15/16 | 86,780,610 | 86,778,725 | (1,885 | ) | ||||||||||||||||||||||
HSBC Bank PLC | British Pound | 485,081 | Buy | 07/15/16 | 666,459 | 645,831 | (20,628 | ) | ||||||||||||||||||||||
HSBC Bank PLC | British Pound | 385,000 | Buy | 07/19/16 | 53,831,196 | 53,822,261 | (8,935 | ) | ||||||||||||||||||||||
HSBC Bank PLC | EU Euro | 1,545,000 | Buy | 07/15/16 | 1,228,624 | 1,308,133 | 79,509 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
HSBC Bank PLC | Swedish Krona | 12,570,109 | Buy | 07/15/16 | $ | 1,465,000 | $ | 1,450,084 | $ | (14,916 | ) | |||||||||||||||||||
HSBC Bank PLC | Japanese Yen | 90,615,520 | Buy | 07/19/16 | 605,000 | 677,400 | 72,400 | |||||||||||||||||||||||
HSBC Bank PLC | Norwegian Krone | 6,989,207 | Buy | 07/01/16 | 1,140,000 | 1,124,942 | (15,058 | ) | ||||||||||||||||||||||
HSBC Bank PLC | Japanese Yen | 88,726,326 | Buy | 09/26/16 | 780,000 | 773,439 | (6,561 | ) | ||||||||||||||||||||||
Morgan Stanley | EU Euro | 100,000 | Buy | 07/06/16 | 113,195 | 110,984 | (2,211 | ) | ||||||||||||||||||||||
Morgan Stanley | Japanese Yen | 149,148,108 | Buy | 07/15/16 | 1,080,000 | 1,086,925 | 6,925 | |||||||||||||||||||||||
Morgan Stanley | Australian Dollar | 1,868,987 | Buy | 07/15/16 | 1,020,000 | 1,055,296 | 35,296 | |||||||||||||||||||||||
Morgan Stanley | British Pound | 484,919 | Buy | 07/15/16 | 675,898 | 645,615 | (30,283 | ) | ||||||||||||||||||||||
Morgan Stanley | British Pound | 575,000 | Buy | 07/15/16 | 787,444 | 765,547 | (21,897 | ) | ||||||||||||||||||||||
Morgan Stanley | British Pound | 240,000 | Buy | 07/15/16 | 438,238 | 431,069 | (7,169 | ) | ||||||||||||||||||||||
Morgan Stanley | Japanese Yen | 114,410,150 | Buy | 07/19/16 | 840,000 | 830,045 | (9,955 | ) | ||||||||||||||||||||||
Morgan Stanley | Australian Dollar | 1,955,000 | Buy | 07/22/16 | 1,446,367 | 1,457,044 | 10,677 | |||||||||||||||||||||||
Morgan Stanley | Australian Dollar | 1,915,000 | Buy | 07/22/16 | 1,405,537 | 1,427,232 | 21,695 | |||||||||||||||||||||||
Morgan Stanley | British Pound | 385,000 | Buy | 07/19/16 | 53,712,239 | 53,704,456 | (7,783 | ) | ||||||||||||||||||||||
Morgan Stanley | Japanese Yen | 67,701,305 | Buy | 07/19/16 | 485,000 | 495,171 | 10,171 | |||||||||||||||||||||||
Morgan Stanley | British Pound | 55,900 | Buy | 07/06/16 | 81,000 | 74,419 | (6,581 | ) | ||||||||||||||||||||||
Morgan Stanley | British Pound | 507,169 | Buy | 07/15/16 | 722,541 | 675,238 | (47,303 | ) | ||||||||||||||||||||||
Morgan Stanley | British Pound | 605,000 | Buy | 07/15/16 | 857,954 | 805,489 | (52,465 | ) | ||||||||||||||||||||||
Morgan Stanley | EU Euro | 3,691,000 | Buy | 07/06/16 | 4,119,865 | 4,096,415 | (23,450 | ) | ||||||||||||||||||||||
Morgan Stanley | Australian Dollar | 1,595,000 | Buy | 07/22/16 | 1,152,364 | 1,188,740 | 36,376 | |||||||||||||||||||||||
Morgan Stanley | Australian Dollar | 1,110,000 | Buy | 07/01/16 | 6,845,539 | 6,855,390 | 9,851 | |||||||||||||||||||||||
Morgan Stanley | EU Euro | 780,000 | Buy | 09/26/16 | 88,836,820 | 88,842,307 | 5,487 | |||||||||||||||||||||||
Standard Chartered PLC | British Pound | 1,080,000 | Buy | 07/15/16 | 149,026,953 | 149,021,201 | (5,752 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Japanese Yen | 84,461,227 | Buy | 07/15/16 | 630,000 | 609,416 | (20,584 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Japanese Yen | 69,273,423 | Buy | 07/19/16 | 485,000 | 510,402 | 25,402 | |||||||||||||||||||||||
Standard Chartered PLC | Japanese Yen | 158,474,259 | Buy | 07/19/16 | 990,000 | 1,207,240 | 217,240 | |||||||||||||||||||||||
State Street Bank | New Zealand Dollar | 60,000 | Buy | 07/06/16 | 43,323 | 42,835 | (488 | ) | ||||||||||||||||||||||
UBS AG | Norwegian Krone | 1,522,476 | Buy | 07/01/16 | 253,493 | 246,362 | (7,131 | ) | ||||||||||||||||||||||
$ | (552,680 | ) | ||||||||||||||||||||||||||||
Bank of America | British Pound | 315,114 | Sell | 07/15/16 | $ | 416,400 | $ | 419,538 | $ | (3,138 | ) | |||||||||||||||||||
Bank of America | British Pound | 314,886 | Sell | 07/15/16 | 417,051 | 419,236 | (2,185 | ) | ||||||||||||||||||||||
Bank of America | Australian Dollar | 1,945,000 | Sell | 07/22/16 | 1,445,952 | 1,449,591 | (3,639 | ) | ||||||||||||||||||||||
Bank of America | Australian Dollar | 1,945,000 | Sell | 07/22/16 | 1,445,555 | 1,449,591 | (4,036 | ) | ||||||||||||||||||||||
Bank of America | Australian Dollar | 1,915,000 | Sell | 07/22/16 | 1,415,692 | 1,427,232 | (11,540 | ) | ||||||||||||||||||||||
Bank of America | Japanese Yen | 16,094,000 | Sell | 08/03/16 | 156,776 | 155,998 | 778 | |||||||||||||||||||||||
Bank of America | Japanese Yen | 19,731,000 | Sell | 07/06/16 | 177,642 | 191,083 | �� | (13,441 | ) | |||||||||||||||||||||
Barclays Bank PLC | British Pound | 507,351 | Sell | 07/15/16 | 725,057 | 675,480 | 49,577 | |||||||||||||||||||||||
Barclays Bank PLC | EU Euro | 20,976,000 | Sell | 07/06/16 | 23,423,270 | 23,279,974 | 143,296 | |||||||||||||||||||||||
BNP Paribas Bank | British Pound | 970,000 | Sell | 07/15/16 | 1,364,244 | 1,291,445 | 72,799 | |||||||||||||||||||||||
BNP Paribas Bank | Swedish Krona | 11,945,804 | Sell | 07/15/16 | 1,440,000 | 1,412,605 | 27,395 | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 20,000 | Sell | 07/06/16 | 22,375 | 22,196 | 179 | |||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 50,000 | Sell | 08/03/16 | 55,514 | 55,551 | (37 | ) | ||||||||||||||||||||||
Citigroup, Inc. | EU Euro | 80,000 | Sell | 07/06/16 | 90,896 | 88,787 | 2,109 | |||||||||||||||||||||||
Deutsche Bank AG | British Pound | 630,000 | Sell | 07/15/16 | 834,763 | 838,774 | (4,011 | ) | ||||||||||||||||||||||
Deutsche Bank AG | British Pound | 630,000 | Sell | 07/15/16 | 845,762 | 838,773 | 6,989 | |||||||||||||||||||||||
Deutsche Bank AG | British Pound | 485,000 | Sell | 07/15/16 | 663,003 | 645,722 | 17,281 | |||||||||||||||||||||||
Deutsche Bank AG | British Pound | 485,000 | Sell | 07/15/16 | 693,990 | 645,722 | 48,268 | |||||||||||||||||||||||
Deutsche Bank AG | British Pound | 580,000 | Sell | 07/15/16 | 784,082 | 772,205 | 11,877 | |||||||||||||||||||||||
Deutsche Bank AG | British Pound | 700,000 | Sell | 07/15/16 | 1,030,876 | 931,971 | 98,905 | |||||||||||||||||||||||
Deutsche Bank AG | British Pound | 700,000 | Sell | 07/15/16 | 1,030,365 | 931,971 | 98,394 | |||||||||||||||||||||||
Deutsche Bank AG | New Zealand Dollar | 1,020,000 | Sell | 07/15/16 | 719,426 | 727,853 | (8,427 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Australian Dollar | 1,940,000 | Sell | 07/22/16 | 1,434,164 | 1,445,864 | (11,700 | ) | ||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 1,270,000 | Sell | 08/02/16 | 1,443,552 | 1,410,933 | 32,619 | |||||||||||||||||||||||
Goldman Sachs & Co. | British Pound | 485,000 | Sell | 07/15/16 | 722,817 | 645,723 | 77,094 | |||||||||||||||||||||||
Goldman Sachs & Co. | British Pound | 507,649 | Sell | 07/15/16 | 722,121 | 675,878 | 46,243 | |||||||||||||||||||||||
Goldman Sachs & Co. | EU Euro | 1,265,000 | Sell | 08/02/16 | 1,433,816 | 1,405,378 | 28,438 | |||||||||||||||||||||||
HSBC Bank PLC | British Pound | 485,081 | Sell | 07/15/16 | 670,856 | 645,830 | 25,026 | |||||||||||||||||||||||
HSBC Bank PLC | New Zealand Dollar | 2,035,000 | Sell | 07/15/16 | 1,421,498 | 1,452,139 | (30,641 | ) | ||||||||||||||||||||||
Morgan Stanley | EU Euro | 50,000 | Sell | 07/06/16 | 56,964 | 55,492 | 1,472 | |||||||||||||||||||||||
Morgan Stanley | Japanese Yen | 73,170,570 | Sell | 07/15/16 | 714,587 | 708,816 | 5,771 | |||||||||||||||||||||||
Morgan Stanley | EU Euro | 25,000 | Sell | 07/06/16 | 27,913 | 27,746 | 167 | |||||||||||||||||||||||
Morgan Stanley | EU Euro | 17,344,000 | Sell | 08/03/16 | 19,270,918 | 19,269,398 | 1,520 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley | EU Euro | 34,000 | Sell | 07/06/16 | $ | 38,089 | $ | 37,734 | $ | 355 | ||||||||||||||||||||
Morgan Stanley | Japanese Yen | 19,731,000 | Sell | 07/06/16 | 177,722 | 191,084 | (13,362 | ) | ||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | British Pound | 495,303 | Sell | 07/15/16 | 713,294 | 659,440 | 53,854 | |||||||||||||||||||||||
The Royal Bank of Scotland Group PLC | British Pound | 494,697 | Sell | 07/15/16 | 714,680 | 658,633 | 56,047 | |||||||||||||||||||||||
Standard Chartered PLC | British Pound | 655,284 | Sell | 07/15/16 | 877,462 | 872,437 | 5,025 | |||||||||||||||||||||||
Standard Chartered PLC | British Pound | 654,716 | Sell | 07/15/16 | 872,398 | 871,680 | 718 | |||||||||||||||||||||||
Standard Chartered PLC | New Zealand Dollar | 9,306,000 | Sell | 08/03/16 | 6,619,953 | 6,633,875 | (13,922 | ) | ||||||||||||||||||||||
Standard Chartered PLC | New Zealand Dollar | 9,374,000 | Sell | 07/06/16 | 6,320,701 | 6,692,325 | (371,624 | ) | ||||||||||||||||||||||
UBS AG | Japanese Yen | 39,462,000 | Sell | 07/06/16 | 355,921 | 382,167 | (26,246 | ) | ||||||||||||||||||||||
Westpac Banking Corp. | Australian Dollar | 1,555,000 | Sell | 07/22/16 | 1,109,395 | 1,158,928 | (49,533 | ) | ||||||||||||||||||||||
$ | 344,714 |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
U.S. Treasury 10-Year Note | 379 | 09/21/16 | $ | 50,401,080 | $ | 582,247 | ||||||||||||
U.S. Treasury 5-Year Note | 728 | 09/30/16 | 88,935,436 | 1,038,800 | ||||||||||||||
$ | 139,336,516 | $ | 1,621,047 | |||||||||||||||
Short Contracts | ||||||||||||||||||
Euro-Bobl 5-Year | (14 | ) | 09/08/16 | (2,075,685 | ) | (16,630 | ) | |||||||||||
Euro-Bund | (65 | ) | 09/08/16 | (12,055,044 | ) | (168,679 | ) | |||||||||||
Long-Term Euro-BTP | (97 | ) | 09/08/16 | (15,351,426 | ) | (150,183 | ) | |||||||||||
U.S. Treasury 2-Year Note | (400 | ) | 09/30/16 | (87,731,248 | ) | (229,578 | ) | |||||||||||
U.S. Treasury Long Bond | (40 | ) | 09/21/16 | (6,893,750 | ) | (231,264 | ) | |||||||||||
U.S. Treasury Ultra 10-Year Note | (27 | ) | 09/21/16 | (3,933,141 | ) | (132,687 | ) | |||||||||||
U.S. Treasury Ultra Long Bond | (49 | ) | 09/21/16 | (9,132,375 | ) | (568,711 | ) | |||||||||||
$ | (137,172,669 | ) | $ | (1,497,732 | ) |
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 1.320% | Chicago Mercantile Exchange | 11/30/20 | USD 30,010,000 | $ | (436,350 | ) | $ | (436,873 | ) | |||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 1.510% | Chicago Mercantile Exchange | 01/14/21 | USD 9,360,000 | (230,221 | ) | (230,386 | ) | |||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.160% | Chicago Mercantile Exchange | 11/15/41 | USD 3,600,000 | (227,336 | ) | (227,419 | ) | |||||||||||||||
$ | (893,907 | ) | $ | (894,678 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Termination Date | Notional Amount | Fair Value | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a floating rate based on the Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index (HICPx) and pay a fixed rate equal to 0.755% Counterparty: Deutsche Bank AG | 01/18/21 | EUR 4,563,345 | $ | (44,425 | ) | $ | — | $ | (44,425 | ) | ||||||||||||
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 1.680% Counterparty: Barclays Bank PLC | 04/15/17 | USD 26,000,000 | 88,134 | — | 88,134 | |||||||||||||||||
Receive a floating rate based on the 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 | (752,067 | ) | — | $ | (752,067 | ) | ||||||||||||||
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 1.650% Counterparty: Barclays Bank PLC | 04/15/18 | USD 44,000,000 | 89,572 | — | 89,572 | |||||||||||||||||
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 1.518% Counterparty: Barclays Bank PLC | 12/11/19 | USD 15,000,000 | (14,122 | ) | — | (14,122 | ) | |||||||||||||||
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 1.375% Counterparty: Barclays Bank PLC | 01/15/20 | USD 16,000,000 | 83,328 | — | 83,328 | |||||||||||||||||
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 1.616% Counterparty: Barclays Bank PLC | 04/15/20 | USD 7,000,000 | 893 | — | 893 | |||||||||||||||||
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 1.436% Counterparty: Barclays Bank PLC | 01/15/21 | USD 28,000,000 | 99,197 | — | 99,197 | |||||||||||||||||
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 1.627% Counterparty: Citigroup, Inc. | 04/15/19 | USD 8,500,000 | 5,603 | — | 5,603 | |||||||||||||||||
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 1.649% Counterparty: Citigroup, Inc. | 12/11/21 | USD 13,000,000 | (117,055 | ) | — | (117,055 | ) | |||||||||||||||
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 1.515% Counterparty: Citigroup, Inc. | 01/15/22 | USD 34,000,000 | (15,402 | ) | — | (15,402 | ) | |||||||||||||||
Receive a floating rate based on the US CPI Urban Consumers NSA (CPURNSA) and pay a fixed rate equal to 1.560% Counterparty: Citigroup, Inc. | 01/15/23 | USD 37,000,000 | (83,133 | ) | — | (83,133 | ) | |||||||||||||||
$ | (659,477 | ) | $ | — | $ | (659,477 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Termination Date | Notional Amount | Fair Value | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 0.740% Counterparty: Deutsche Bank AG | 01/18/21 | EUR 4,563,345 | $(40,323 | ) | $ — | $ | (40,323 | ) | |||||||
Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 1.160% Counterparty: Deutsche Bank AG | 01/18/26 | EUR 4,563,345 | 142,834 | — | 142,834 | ||||||||||
Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 1.180% Counterparty: Deutsche Bank AG | 01/18/26 | EUR 4,563,345 | 154,655 | — | 154,655 | ||||||||||
$257,166 | $ — | $ | 257,166 |
Reference Entity | Counterparty | Exercise Inflation Rate | Description | Termination Date | Notional Amount | Premiums Received | Fair Value | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
�� | |||||||||||||||||
Eurostat Eurozone HICP Ex Tobacco Unrevised Series NSA Index (HICPx) | Deutsche Bank AG | 2.500% | Maximum of HICPx for January 2022 divided by HICPx for January 2012 minus 2.500% or $0. Portfolio receives premium and payment at expiration. | 04/26/22 | EUR 3,140,000 | $ | 217,411 | $ | (1,320 | ) | |||||||
$ | 217,411 | $ | (1,320 | ) |
Description | Exercise Price | Expiration Date | # of Contracts | Premiums Received | Fair Value | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90-Day Eurodollar | 98.50 | 09/16/16 | 1,229 | $ | 120,921 | $ | (7,681 | ) | ||||||||||||||
$ | 120,921 | $ | (7,681 | ) |
Notional Amount | Counterparty | Description | Exercise Price | Expiration Date | Premiums Received | Fair Value | ||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Options on Currencies | ||||||||||||||||||||||||||||
5,150,000 | HSBC Bank PLC | Call EUR vs. Put USD | 1.138 | EUR | 08/02/16 | $ | 46,964 | $ | (17,594 | ) | ||||||||||||||||||
2,585,000 | Deutsche Bank AG | Put EUR vs. Call JPY | 104.500 | EUR | 09/22/16 | 19,536 | (14,708 | ) | ||||||||||||||||||||
5,170,000 | Deutsche Bank AG | Put EUR vs. Call JPY | 108.000 | EUR | 09/22/16 | 57,382 | (50,669 | ) | ||||||||||||||||||||
20,280,000 | BNP Paribas Bank | Put EUR vs. Call USD | 1.055 | EUR | 11/03/16 | 191,174 | (162,344 | ) | ||||||||||||||||||||
5,150,000 | HSBC Bank PLC | Put EUR vs. Call USD | 1.093 | EUR | 08/02/16 | 46,450 | (32,622 | ) | ||||||||||||||||||||
8,630,000 | Deutsche Bank AG | Put GBP vs. Call USD | 1.245 | GBP | 08/29/16 | 67,764 | (55,902 | ) | ||||||||||||||||||||
23,030,000 | Barclays Bank PLC | Call USD vs. Put CAD | 1.365 | USD | 11/03/16 | 212,504 | (155,455 | ) | ||||||||||||||||||||
23,030,000 | Barclays Bank PLC | Call USD vs. Put MXN | 19.000 | USD | 11/03/16 | 402,808 | (529,181 | ) | ||||||||||||||||||||
5,770,000 | HSBC Bank PLC | Put USD vs. Call JPY | 99.000 | USD | 08/05/16 | 36,841 | (29,330 | ) | ||||||||||||||||||||
Total Written OTC Options | $ | 1,081,423 | $ | (1,047,805 | ) |
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 | 4.500% | 06/08/22 | EUR 10,100,000 | $ | 475,559 | $ | (75,896 | ) | |||||||||||||||||||||||
Put OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Pay | 1.900% | 06/07/18 | USD 41,800,000 | 177,271 | (88,656 | ) | |||||||||||||||||||||||||
Put OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Pay | 2.100% | 01/12/17 | USD 26,000,000 | 242,614 | (13,881 | ) | |||||||||||||||||||||||||
Call OTC Swaption | Deutsche Bank AG | 3-month USD-LIBOR-BBA | Receive | 0.900% | 06/07/18 | USD 41,800,000 | 207,317 | (259,968 | ) | |||||||||||||||||||||||||
Total Written Swaptions | $ | 1,102,761 | $ | (438,401 | ) |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Derivatives not accounted for as hedging instruments Asset Derivatives | Location on Statement of Assets and Liabilities | Fair Value | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Foreign exchange contracts | Investments in securities at value* | $ | 1,379,394 | |||||||
Interest rate contracts | Investments in securities at value* | 1,909,594 | ||||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | 2,080,046 | ||||||||
Interest rate contracts | Net Assets- Unrealized appreciation** | 1,621,047 | ||||||||
Interest rate contracts | Unrealized appreciation on OTC swap agreements | 664,216 | ||||||||
Total Asset Derivatives | $ | 7,654,297 | ||||||||
Liability Derivatives | ||||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 2,288,012 | |||||||
Interest rate contracts | Net Assets- Unrealized depreciation** | 1,497,732 | ||||||||
Interest rate contracts | Net Assets- Unrealized depreciation*** | 894,678 | ||||||||
Interest rate contracts | Unrealized depreciation on OTC swap agreements | 1,066,527 | ||||||||
Interest rate contracts | Written options, at fair value | 447,402 | ||||||||
Foreign exchange contracts | Written options, at fair value | 1,047,805 | ||||||||
Total Liability Derivatives | $ | 7,242,156 |
* | Includes purchased options. |
** | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Portfolio of Investments. |
*** | Includes cumulative appreciation/depreciation of centrally cleared swaps as reported in the table following the Portfolio of Investments. Only current day’s variation margin receivable/payable is shown on the Statement of Assets and Liabiliites. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Investments* | Foreign currency related transactions** | Futures | Swaps | Written options | Total | |||||||||||||||||||||
Foreign exchange contracts | $ | (2,463,671 | ) | $ | (1,632,641 | ) | $ | — | $ | — | $ | 2,076,048 | $ | (2,020,264 | ) | ||||||||||||
Interest rate contracts | (1,914,275 | ) | — | 2,158,913 | (3,356,990 | ) | 481,099 | (2,631,253 | ) | ||||||||||||||||||
Total | $ | (4,377,946 | ) | $ | (1,632,641 | ) | $ | 2,158,913 | $ | (3,356,990 | ) | $ | 2,557,147 | $ | (4,651,517 | ) |
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 | $ | (56,905 | ) | $ | 719,598 | $ | — | $ | — | $ | (281,677 | ) | $ | 381,016 | |||||||||||||
Interest rate contracts | 1,376 | — | 502,626 | 54,411 | (432,930 | ) | 125,483 | ||||||||||||||||||||
Total | $ | (55,529 | ) | $ | 719,598 | $ | 502,626 | $ | 54,411 | $ | (714,607 | ) | $ | 506,499 |
* | 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. | Morgan Stanley | Standard Chartered PLC | State Street Bank | The Royal Bank of Scotland Group PLC | UBS AG | Westpac Banking Corp. | Totals | ||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Purchased options | $ | — | $ | 803,218 | $ | 235,163 | $ | — | $ | 1,904,929 | $ | — | $ | 31,985 | $ | 59,435 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 3,034,730 | ||||||||||||||||||||||||||||||
Forward foreign currency contracts | 25,136 | 369,879 | 192,425 | 91,106 | 559,630 | 151,775 | 186,046 | — | 145,763 | 248,385 | — | 109,901 | — | — | 2,080,046 | |||||||||||||||||||||||||||||||||||||||||||||
OTC Inflation-linked swaps | — | 361,124 | — | 5,603 | — | — | — | �� | — | — | — | — | — | — | — | 366,727 | ||||||||||||||||||||||||||||||||||||||||||||
OTC Interest rate swaps | — | — | — | — | 297,489 | — | — | — | — | — | — | — | — | — | 297,489 | |||||||||||||||||||||||||||||||||||||||||||||
Total Assets | $ | 25,136 | $ | 1,534,221 | $ | 427,588 | $ | 96,709 | $ | 2,762,048 | $ | 151,775 | $ | 218,031 | $ | 59,435 | $ | 145,763 | $ | 248,385 | $ | — | $ | 109,901 | $ | — | $ | — | $ | 5,778,992 |
VY® BLACKROCK INFLATION PROTECTED BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (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. | Morgan Stanley | Standard Chartered PLC | State Street Bank | The Royal Bank of Scotland Group PLC | UBS AG | Westpac Banking Corp. | Totals | ||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 572,590 | $ | 111,898 | $ | — | $ | 142,366 | $ | 536,376 | $ | 108,419 | $ | 98,624 | $ | — | $ | 222,459 | $ | 411,882 | $ | 488 | $ | — | $ | 33,377 | $ | 49,533 | 2,288,012 | |||||||||||||||||||||||||||||||
OTC Inflation-linked swaps | — | 766,189 | — | 215,590 | 44,425 | — | — | — | — | — | — | — | — | — | 1,026,204 | |||||||||||||||||||||||||||||||||||||||||||||
OTC Interest rate swaps | — | — | — | — | 40,323 | — | — | — | — | — | — | — | — | — | 40,323 | |||||||||||||||||||||||||||||||||||||||||||||
Written options | — | 684,636 | 162,344 | — | 561,000 | — | 79,546 | — | — | — | — | — | — | — | 1,487,526 | |||||||||||||||||||||||||||||||||||||||||||||
Total Liabilities | $ | 572,590 | $ | 1,562,723 | $ | 162,344 | $ | 357,956 | $ | 1,182,124 | $ | 108,419 | $ | 178,170 | $ | — | $ | 222,459 | $ | 411,882 | $ | 488 | $ | — | $ | 33,377 | $ | 49,533 | $ | 4,842,065 | ||||||||||||||||||||||||||||||
Net OTC derivative instruments by counterparty, at fair value | $ | (547,454 | ) | $ | (28,502 | ) | $ | 265,244 | $ | (261,247 | ) | $ | 1,579,924 | $ | 43,356 | $ | 39,861 | $ | 59,435 | $ | (76,696 | ) | $ | (163,497 | ) | $ | (488 | ) | $ | 109,901 | $ | (33,377 | ) | $ | (49,533 | ) | 936,927 | |||||||||||||||||||||||
Total collateral pledged by the Portfolio/(Received from counterparty) | $ | — | $ | 28,502 | $ | — | $ | — | $ | (1,320,000 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (1,291,498 | ) | ||||||||||||||||||||||||||||
Net Exposure (1) (2) | $ | (547,454 | ) | $ | — | $ | 265,244 | $ | (261,247 | ) | $ | 259,924 | $ | 43,356 | $ | 39,861 | $ | 59,435 | $ | (76,696 | ) | $ | (163,497 | ) | $ | (488 | ) | $ | 109,901 | $ | (33,377 | ) | $ | (49,533 | ) | $ | (354,571 | ) |
(1) | Positive net exposure represents amounts due from each respective counterparty. Negative exposure represents amounts due from the Portfolio. Please refer to Note 2 for additional details regarding counterparty credit risk and credit related contingent features. | |
(2) | At June 30, 2016, the Portfolio had pledged $810,000 in cash collateral to Barclays Bank PLC. Excess cash collateral is not shown for financial reporting purposes. |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) |
as of June 30, 2016
(as a percentage of net assets)
U.S. Government Agency Obligations | 35.2 | % | |||||
Corporate Bonds/Notes | 29.2 | % | |||||
U.S. Treasury Obligations | 18.2 | % | |||||
Asset-Backed Securities | 10.5 | % | |||||
Foreign Government Bonds | 5.1 | % | |||||
Collateralized Mortgage Obligations | 2.3 | % | |||||
Municipal Bonds | 1.1 | % | |||||
Liabilities in Excess of Other Assets* | (1.6 | )% | |||||
Net Assets | 100.0 | % | |||||
* Includes short-term investments. |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 29.2% | |||||||||||||||||||
Basic Materials: 0.5% | |||||||||||||||||||
39,000 | # | Glencore Funding LLC, 2.500%, 01/15/19 | $ | 37,684 | 0.0 | ||||||||||||||
375,000 | # | WR Grace & Co-Conn, 5.125%, 10/01/21 | 386,250 | 0.2 | |||||||||||||||
500,000 | Other Securities | 589,591 | 0.3 | ||||||||||||||||
1,013,525 | 0.5 | ||||||||||||||||||
Communications: 4.9% | |||||||||||||||||||
775,000 | Amazon.com, Inc., 3.300%, 12/05/21 | 837,302 | 0.4 | ||||||||||||||||
325,000 | # | Charter Communications Operating LLC 4.908, 4.908%, 07/23/25 | 354,854 | 0.2 | |||||||||||||||
25,000 | # | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.579%, 07/23/20 | 26,163 | 0.0 | |||||||||||||||
500,000 | # | DISH DBS Corp., 7.750%, 07/01/26 | 517,500 | 0.3 | |||||||||||||||
775,000 | NBCUniversal Media, LLC, 4.450%, 01/15/43 | 866,235 | 0.4 | ||||||||||||||||
50,000 | # | Nielsen Finance LLC / Nielsen Finance Co., 5.000%, 04/15/22 | 51,188 | 0.0 | |||||||||||||||
350,000 | Telefonica Emisiones SAU, 5.134%, 04/27/20 | 386,710 | 0.2 | ||||||||||||||||
950,000 | Telefonica Emisiones SAU, 5.462%, 02/16/21 | 1,085,076 | 0.5 | ||||||||||||||||
1,450,000 | Verizon Communications, Inc., 5.150%, 09/15/23 | 1,691,951 | 0.9 | ||||||||||||||||
1,375,000 | Verizon Communications, Inc., 2.625%–4.150%, 02/21/20–03/15/24 | 1,463,420 | 0.7 | ||||||||||||||||
2,650,000 | Other Securities | 2,715,332 | 1.3 | ||||||||||||||||
9,995,731 | 4.9 | ||||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Consumer, Cyclical: 2.5% | |||||||||||||||||||
1,225,000 | CVS Health Corp., 3.375%–3.500%, 07/20/22–08/12/24 | $ | 1,308,388 | 0.6 | |||||||||||||||
375,000 | # | Dollar Tree, Inc., 5.750%, 03/01/23 | 400,312 | 0.2 | |||||||||||||||
1,175,000 | Ford Motor Credit Co., LLC, 5.875%, 08/02/21 | 1,349,263 | 0.7 | ||||||||||||||||
1,900,000 | Other Securities | 1,987,892 | 1.0 | ||||||||||||||||
5,045,855 | 2.5 | ||||||||||||||||||
Consumer, Non-cyclical: 6.4% | |||||||||||||||||||
625,000 | AbbVie, Inc., 2.300%–3.200%, 05/14/20–05/14/26 | 637,559 | 0.3 | ||||||||||||||||
1,810,000 | Actavis Funding SCS, 2.350%–4.850%, 03/12/18–06/15/44 | 1,863,196 | 0.9 | ||||||||||||||||
1,125,000 | Anheuser-Busch InBev Finance, Inc., 2.650%, 02/01/21 | 1,167,023 | 0.6 | ||||||||||||||||
925,000 | Anheuser-Busch InBev Finance, Inc., 3.650%–4.900%, 02/01/26–02/01/46 | 1,007,570 | 0.5 | ||||||||||||||||
800,000 | # | BAT International Finance PLC, 3.950%, 06/15/25 | 891,757 | 0.4 | |||||||||||||||
475,000 | # | Bayer US Finance LLC, 3.000%, 10/08/21 | 496,442 | 0.3 | |||||||||||||||
700,000 | # | EMD Finance LLC, 2.950%, 03/19/22 | 718,189 | 0.4 | |||||||||||||||
225,000 | # | Kraft Heinz Foods Co., 2.800%, 07/02/20 | 233,886 | 0.1 | |||||||||||||||
325,000 | # | Kraft Heinz Foods Co., 3.950%, 07/15/25 | 354,192 | 0.2 | |||||||||||||||
400,000 | # | Kraft Heinz Foods Co., 4.375%, 06/01/46 | 425,101 | 0.2 | |||||||||||||||
250,000 | # | Pernod Ricard SA, 4.450%, 01/15/22 | 275,823 | 0.1 | |||||||||||||||
1,375,000 | Reynolds American, Inc., 4.450%, 06/12/25 | 1,539,106 | 0.8 | ||||||||||||||||
3,125,000 | Other Securities | 3,305,109 | 1.6 | ||||||||||||||||
12,914,953 | 6.4 | ||||||||||||||||||
Energy: 2.3% | |||||||||||||||||||
725,000 | Williams Partners L.P., 3.600%–3.900%, 03/15/22–01/15/25 | 676,176 | 0.4 | ||||||||||||||||
3,960,000 | Other Securities(a) | 3,881,035 | 1.9 | ||||||||||||||||
4,557,211 | 2.3 | ||||||||||||||||||
Financial: 10.1% | |||||||||||||||||||
675,000 | L | Bank of America Corp., 4.000%–6.500%, 04/01/24–10/29/49 | 721,030 | 0.4 | |||||||||||||||
200,000 | # | Credit Suisse AG, 6.500%, 08/08/23 | 210,050 | 0.1 | |||||||||||||||
306,000 | # | GE Capital International Funding Co., 4.418%, 11/15/35 | 343,952 | 0.2 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||||||
Financial: (continued) | |||||||||||||||||||||||
600,000 | # | International Lease Finance Corp., 6.750%, 09/01/16 | $ | 603,235 | 0.3 | ||||||||||||||||||
575,000 | Intesa Sanpaolo SpA, 3.875%, 01/16/18 | 590,168 | 0.3 | ||||||||||||||||||||
375,000 | # | Intesa Sanpaolo SpA, 5.017%, 06/26/24 | 345,200 | 0.2 | |||||||||||||||||||
1,700,000 | KFW, 1.125%, 08/06/18 | 1,710,933 | 0.9 | ||||||||||||||||||||
775,000 | Lloyds Bank PLC, 2.350%, 09/05/19 | 780,022 | 0.4 | ||||||||||||||||||||
225,000 | # | Macquarie Bank Ltd., 6.625%, 04/07/21 | 260,401 | 0.1 | |||||||||||||||||||
250,000 | # | Meiji Yasuda Life Insurance Co., 5.200%, 10/20/45 | 274,312 | 0.1 | |||||||||||||||||||
450,000 | # | Mizuho Financial Group, Inc., 2.632%, 04/12/21 | 458,605 | 0.2 | |||||||||||||||||||
975,000 | Morgan Stanley, 3.700%–5.550%, 10/23/24–12/29/49 | 1,003,018 | 0.5 | ||||||||||||||||||||
375,000 | # | Nationwide Building Society, 3.900%, 07/21/25 | 401,591 | 0.2 | |||||||||||||||||||
500,000 | Royal Bank of Scotland PLC, 9.500%, 03/16/22 | 521,181 | 0.3 | ||||||||||||||||||||
200,000 | Royal Bank of Scotland PLC, 9.500%, 03/16/22 | 208,472 | 0.1 | ||||||||||||||||||||
1,025,000 | # | Santander UK PLC, 5.000%, 11/07/23 | 1,055,646 | 0.5 | |||||||||||||||||||
450,000 | # | Sumitomo Mitsui Financial Group, Inc., 4.436%, 04/02/24 | 482,838 | 0.2 | |||||||||||||||||||
775,000 | Synchrony Financial, 3.000%, 08/15/19 | 790,862 | 0.4 | ||||||||||||||||||||
175,000 | # | Teachers Insurance & Annuity Association of America, 4.900%, 09/15/44 | 194,892 | 0.1 | |||||||||||||||||||
225,000 | # | UBS Group Funding Jersey Ltd., 3.000%, 04/15/21 | 229,768 | 0.1 | |||||||||||||||||||
275,000 | # | WEA Finance LLC / Westfield UK & Europe Finance PLC, 3.750%, 09/17/24 | 287,308 | 0.1 | |||||||||||||||||||
8,775,000 | Other Securities | 8,972,121 | 4.4 | ||||||||||||||||||||
20,445,605 | 10.1 | ||||||||||||||||||||||
Industrial: 0.8% | |||||||||||||||||||||||
600,000 | # | Penske Truck Leasing Co. Lp / PTL Finance Corp., 3.375%, 02/01/22 | 612,701 | 0.3 | |||||||||||||||||||
200,000 | # | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 5.125%, 07/15/23 | 202,750 | 0.1 | |||||||||||||||||||
375,000 | # | Sealed Air Corp., 5.250%, 04/01/23 | 390,000 | 0.2 | |||||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||||||
Industrial: (continued) | |||||||||||||||||||||||
344,000 | Other Securities | $ | 389,212 | 0.2 | |||||||||||||||||||
1,594,663 | 0.8 | ||||||||||||||||||||||
Technology: 1.4% | |||||||||||||||||||||||
250,000 | # | Hewlett Packard Enterprise Co., 4.900%, 10/15/25 | 261,803 | 0.1 | |||||||||||||||||||
700,000 | # | NXP BV / NXP Funding LLC, 4.625%, 06/01/23 | 714,000 | 0.3 | |||||||||||||||||||
1,825,000 | Other Securities | 1,950,105 | 1.0 | ||||||||||||||||||||
2,925,908 | 1.4 | ||||||||||||||||||||||
Utilities: 0.3% | |||||||||||||||||||||||
650,000 | Other Securities | 621,150 | 0.3 | ||||||||||||||||||||
Total Corporate Bonds/Notes | |||||||||||||||||||||||
(Cost $57,870,212) | 59,114,601 | 29.2 | |||||||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 2.3% | |||||||||||||||||||||||
987,395 | Fannie Mae REMIC Trust 2016-32 FB, 0.953%, 06/25/46 | 989,326 | 0.5 | ||||||||||||||||||||
650,000 | # | FREMF Mortgage Trust 2015-K44 B, 3.811%, 01/25/48 | 630,098 | 0.3 | |||||||||||||||||||
1,331,889 | GS Mortgage Securities Trust 2007-GG10, 5.988%, 08/10/45 | 1,371,111 | 0.7 | ||||||||||||||||||||
883,413 | WaMu Mortgage Pass-Through Certificates Series 2006-AR9 Trust, 1.437%, 08/25/46 | 748,392 | 0.4 | ||||||||||||||||||||
EUR 870,289 | Other Securities | 869,517 | 0.4 | ||||||||||||||||||||
Total Collateralized Mortgage Obligations | |||||||||||||||||||||||
(Cost $4,678,277) | 4,608,444 | 2.3 | |||||||||||||||||||||
MUNICIPAL BONDS: 1.1% | |||||||||||||||||||||||
California: 0.6% | |||||||||||||||||||||||
750,000 | Other Securities | 1,101,179 | 0.6 | ||||||||||||||||||||
Puerto Rico: 0.5% | |||||||||||||||||||||||
50,000 | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.375%, 08/01/36 | 23,291 | 0.0 | ||||||||||||||||||||
1,395,000 | Puerto Rico Sales Tax Financing Corp., 5.000%–6.000%, 08/01/37–08/01/43 | 652,758 | 0.3 | ||||||||||||||||||||
635,000 | Other Securities(b) | 422,915 | 0.2 | ||||||||||||||||||||
1,098,964 | 0.5 | ||||||||||||||||||||||
Total Municipal Bonds | |||||||||||||||||||||||
(Cost $2,222,479) | 2,200,143 | 1.1 | |||||||||||||||||||||
U.S. TREASURY OBLIGATIONS: 18.2% | |||||||||||||||||||||||
Treasury Inflation Indexed Protected Securities: 4.5% | |||||||||||||||||||||||
3,208,624 | 0.125%, due 04/15/18 | 3,257,671 | 1.6 | ||||||||||||||||||||
2,255,924 | 0.625%, due 01/15/24 | 2,364,712 | 1.2 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. TREASURY OBLIGATIONS: (continued) | |||||||||||||||||||||||
Treasury Inflation Indexed Protected Securities: (continued) | |||||||||||||||||||||||
3,152,266 | 0.125%–2.500%, due 04/15/19–01/15/29 | $ | 3,396,696 | 1.7 | |||||||||||||||||||
9,019,079 | 4.5 | ||||||||||||||||||||||
U.S. Treasury Bonds: 7.1% | |||||||||||||||||||||||
1,100,000 | 3.625%, due 08/15/43 | 1,420,654 | 0.7 | ||||||||||||||||||||
7,560,000 | 3.625%, due 02/15/44 | 9,756,384 | 4.8 | ||||||||||||||||||||
2,790,000 | 2.000%–3.750%, due 05/15/25–05/15/46 | 3,152,187 | 1.6 | ||||||||||||||||||||
14,329,225 | 7.1 | ||||||||||||||||||||||
U.S. Treasury Notes: 6.1% | |||||||||||||||||||||||
4,000,000 | 0.625%, due 06/30/18 | 4,002,580 | 2.0 | ||||||||||||||||||||
700,000 | 0.750%, due 12/31/17 | 701,968 | 0.3 | ||||||||||||||||||||
2,100,000 | 0.750%, due 01/31/18 | 2,105,905 | 1.0 | ||||||||||||||||||||
1,660,000 | 0.750%, due 02/28/18 | 1,664,734 | 0.8 | ||||||||||||||||||||
1,320,000 | 0.875%, due 11/30/17 | 1,325,724 | 0.7 | ||||||||||||||||||||
2,600,000 | 1.000%, due 12/31/17 | 2,616,656 | 1.3 | ||||||||||||||||||||
12,417,567 | 6.1 | ||||||||||||||||||||||
U.S. Treasury STRIP: 0.5% | |||||||||||||||||||||||
1,500,000 | ˆ | 2.170%, due 08/15/36 | 974,116 | 0.5 | |||||||||||||||||||
Total U.S. Treasury Obligations | |||||||||||||||||||||||
(Cost $35,138,959) | 36,739,987 | 18.2 | |||||||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 35.2% | |||||||||||||||||||||||
Federal Home Loan Bank: 1.2% | |||||||||||||||||||||||
900,000 | 2.625%, due 09/12/25 | 962,656 | 0.5 | ||||||||||||||||||||
1,300,000 | 2.875%, due 06/13/25 | 1,415,318 | 0.7 | ||||||||||||||||||||
2,377,974 | 1.2 | ||||||||||||||||||||||
Federal Home Loan Mortgage Corporation: 9.3%## | |||||||||||||||||||||||
3,000,000 | 3.062%, due 12/25/24 | 3,251,391 | 1.6 | ||||||||||||||||||||
1,731,105 | 3.500%, due 04/01/43 | 1,829,298 | 0.9 | ||||||||||||||||||||
986,540 | 3.500%, due 03/01/46 | 1,054,482 | 0.5 | ||||||||||||||||||||
985,581 | 3.500%, due 03/01/46 | 1,041,644 | 0.5 | ||||||||||||||||||||
990,325 | 3.500%, due 04/01/46 | 1,052,723 | 0.5 | ||||||||||||||||||||
8,000,000 | W | 4.000%, due 07/01/45 | 8,577,895 | 4.2 | |||||||||||||||||||
605,504 | ˆ | 5.608%, due 04/15/44 | 102,278 | 0.1 | |||||||||||||||||||
265,160 | ˆ | 5.658%, due 07/15/39 | 46,569 | 0.1 | |||||||||||||||||||
1,792,831 | 2.811%–4.000%, due 01/25/25–05/01/46 | 1,908,955 | 0.9 | ||||||||||||||||||||
18,865,235 | 9.3 | ||||||||||||||||||||||
Federal National Mortgage Association: 15.7%## | |||||||||||||||||||||||
1,039,264 | 0.953%, due 06/25/46 | 1,042,230 | 0.5 | ||||||||||||||||||||
7,000,000 | W | 3.000%, due 08/01/44 | 7,251,834 | 3.6 | |||||||||||||||||||
3,000,000 | W | 3.000%, due 07/01/45 | 3,113,554 | 1.5 | |||||||||||||||||||
975,681 | 3.500%, due 10/01/42 | 1,032,328 | 0.5 | ||||||||||||||||||||
4,558,611 | 3.500%, due 01/01/46 | 4,815,403 | 2.4 | ||||||||||||||||||||
4,530,963 | 3.500%, due 01/01/46 | 4,786,198 | 2.4 | ||||||||||||||||||||
4,433,387 | 3.500%, due 01/01/46 | 4,683,125 | 2.3 | ||||||||||||||||||||
1,193,832 | 3.500%, due 05/01/46 | 1,269,982 | 0.6 | ||||||||||||||||||||
1,000,000 | 3.500%, due 06/01/46 | 1,076,110 | 0.5 | ||||||||||||||||||||
1,782,133 | ˆ | 5.247%, due 11/25/45 | 281,269 | 0.1 | |||||||||||||||||||
425,351 | ˆ | 5.247%, due 11/25/45 | 74,029 | 0.0 | |||||||||||||||||||
388,341 | ˆ | 5.647%, due 09/25/43 | 70,279 | 0.0 | |||||||||||||||||||
467,724 | ˆ | 5.647%, due 12/25/43 | 85,842 | 0.1 | |||||||||||||||||||
905,374 | ˆ | 5.697%, due 07/25/42 | 165,009 | 0.1 | |||||||||||||||||||
555,973 | ˆ | 5.797%, due 01/25/45 | 103,241 | 0.1 | |||||||||||||||||||
824,555 | ˆ | 5.797%, due 11/25/45 | 142,793 | 0.1 | |||||||||||||||||||
496,797 | ˆ | 6.097%, due 12/25/41 | 92,801 | 0.1 | |||||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||||||
Federal National Mortgage Association: (continued) | |||||||||||||||||||||||
1,562,078 | 3.500%–6.000%, due 09/01/35–01/01/46 | $ | 1,704,818 | 0.8 | |||||||||||||||||||
31,790,845 | 15.7 | ||||||||||||||||||||||
Government National Mortgage Association: 9.0% | |||||||||||||||||||||||
4,411,245 | 4.000%, due 10/20/43 | 4,714,969 | 2.3 | ||||||||||||||||||||
2,000,000 | W | 4.000%, due 07/01/44 | 2,137,969 | 1.1 | |||||||||||||||||||
4,321,094 | 4.000%, due 07/20/45 | 4,622,820 | 2.3 | ||||||||||||||||||||
1,851,458 | 4.000%, due 08/20/45 | 1,980,702 | 1.0 | ||||||||||||||||||||
1,000,000 | 4.000%, due 09/20/45 | 1,069,836 | 0.5 | ||||||||||||||||||||
965,292 | 4.000%, due 12/20/45 | 1,033,458 | 0.5 | ||||||||||||||||||||
1,185,153 | 4.000%, due 03/20/46 | 1,271,309 | 0.6 | ||||||||||||||||||||
614,719 | ˆ | 5.152%, due 09/20/44 | 91,500 | 0.1 | |||||||||||||||||||
889,620 | ˆ | 5.202%, due 01/20/46 | 139,901 | 0.1 | |||||||||||||||||||
1,382,518 | ˆ | 5.262%, due 08/20/45 | 198,075 | 0.1 | |||||||||||||||||||
348,341 | ˆ | 5.302%, due 03/20/40 | 52,738 | 0.0 | |||||||||||||||||||
126,110 | ˆ | 5.652%, due 09/20/43 | 20,702 | 0.0 | |||||||||||||||||||
1,308,722 | ˆ | 5.652%, due 10/20/43 | 177,069 | 0.1 | |||||||||||||||||||
832,488 | ˆ | 5.652%, due 11/20/43 | 137,558 | 0.1 | |||||||||||||||||||
139,272 | ˆ | 5.652%, due 03/20/44 | 23,510 | 0.0 | |||||||||||||||||||
379,028 | ˆ | 5.702%, due 06/20/43 | 60,973 | 0.0 | |||||||||||||||||||
412,070 | ˆ | 5.752%, due 09/20/45 | 64,721 | 0.0 | |||||||||||||||||||
421,463 | ˆ | 5.752%, due 11/20/45 | 66,311 | 0.0 | |||||||||||||||||||
577,906 | ˆ | 5.802%, due 02/20/40 | 95,646 | 0.1 | |||||||||||||||||||
226,778 | ˆ | 5.802%, due 12/20/42 | 36,268 | 0.0 | |||||||||||||||||||
875,856 | ˆ | 5.802%, due 08/20/45 | 136,958 | 0.1 | |||||||||||||||||||
18,132,993 | 9.0 | ||||||||||||||||||||||
Total U.S. Government Agency Obligations | |||||||||||||||||||||||
(Cost $70,153,469) | 71,167,047 | 35.2 | |||||||||||||||||||||
ASSET-BACKED SECURITIES: 10.5% | |||||||||||||||||||||||
Other Asset-Backed Securities: 10.5% | |||||||||||||||||||||||
250,000 | # | B&M CLO 2014-1 Ltd., 2.583%, 04/16/26 | 239,632 | 0.1 | |||||||||||||||||||
318,695 | # | Bank of America Student Loan Trust 2010-1 A, 1.438%, 02/25/43 | 311,833 | 0.2 | |||||||||||||||||||
48,104 | # | Bayview Opportunity Master Fund IIIb RPL Trust 2015-3 A1, 3.623%, 04/28/30 | 48,025 | 0.0 | |||||||||||||||||||
1,600,000 | # | Crown Point CLO III Ltd. 2015-3A ACOM, 2.158%, 12/31/27 | 1,567,680 | 0.8 | |||||||||||||||||||
774,658 | # | Edsouth Indenture No 9 LLC 2015-1 A, 1.253%, 10/25/56 | 744,191 | 0.4 | |||||||||||||||||||
650,000 | # | Greywolf CLO V Ltd. 2015-1A A1, 2.238%, 04/25/27 | 647,595 | 0.3 | |||||||||||||||||||
800,000 | # | Halcyon Loan Advisors Funding 2015-1A A Ltd., 2.084%, 04/20/27 | 785,427 | 0.4 | |||||||||||||||||||
1,050,000 | # | Halcyon Loan Advisors Funding 2015-2A A Ltd., 2.028%, 07/25/27 | 1,011,569 | 0.5 | |||||||||||||||||||
1,583,955 | # | ICG US CLO 2014-1 Ltd., 1.784%, 04/20/26 | 1,550,355 | 0.8 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSET-BACKED SECURITIES: (continued) | |||||||||||||||||||||||
Other Asset-Backed Securities: (continued) | |||||||||||||||||||||||
1,200,000 | # | OFSI Fund VI Ltd. 2014-6A ACOM, 1.508%, 03/20/25 | $ | 1,162,560 | 0.6 | ||||||||||||||||||
2,550,000 | # | OFSI Fund VII Ltd. 2014-7A ACOM, 1.784%, 10/18/26 | 2,495,430 | 1.2 | |||||||||||||||||||
227,273 | # | Regatta IV Funding Ltd. 2014-1A B, 2.648%, 07/25/26 | 222,286 | 0.1 | |||||||||||||||||||
364,628 | # | Scholar Funding Trust 2010-A A, 1.384%, 10/28/41 | 346,249 | 0.2 | |||||||||||||||||||
732,056 | # | SLM Student Loan Trust 2003-1 A5A, 0.763%, 12/15/32 | 659,465 | 0.3 | |||||||||||||||||||
857,715 | SLM Student Loan Trust 2005-4 A3, 0.758%, 01/25/27 | 818,682 | 0.4 | ||||||||||||||||||||
500,000 | SLM Student Loan Trust 2007-1 A5, 0.728%, 01/26/26 | 485,739 | 0.2 | ||||||||||||||||||||
750,000 | SLM Student Loan Trust 2007-2 A4, 0.698%, 07/25/22 | 703,767 | 0.4 | ||||||||||||||||||||
202,694 | SLM Student Loan Trust 2008-2 A3, 1.388%, 04/25/23 | 195,326 | 0.1 | ||||||||||||||||||||
550,000 | SLM Student Loan Trust 2008-4 A4, 2.288%, 07/25/22 | 550,759 | 0.3 | ||||||||||||||||||||
431,569 | SLM Student Loan Trust 2008-5 A4, 2.338%, 07/25/23 | 432,053 | 0.2 | ||||||||||||||||||||
1,650,000 | # | Sound Point CLO VIII Ltd. 2015-1A A, 2.158%, 04/15/27 | 1,633,675 | 0.8 | |||||||||||||||||||
300,000 | # | Sound Point CLO VIII Ltd. 2015-1A B, 2.678%, 04/15/27 | 289,805 | 0.1 | |||||||||||||||||||
900,000 | # | SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2015-T2, 2.620%, 01/15/47 | 901,375 | 0.4 | |||||||||||||||||||
1,000,000 | # | Trinitas CLO II Ltd. 2014-2A ACOM, 0.000%, 07/15/26 | 961,500 | 0.5 | |||||||||||||||||||
1,000,000 | # | Trinitas CLO Ltd. 2015-3A A2, 2.138%, 07/15/27 | 982,654 | 0.5 | |||||||||||||||||||
1,100,000 | # | Z Capital Credit Partners CLO 2015-1A ACOM Ltd., 1.737%, 07/16/27 | 1,071,620 | 0.5 | |||||||||||||||||||
553,154 | Other Securities | 474,423 | 0.2 | ||||||||||||||||||||
Total Asset-Backed Securities | |||||||||||||||||||||||
(Cost $21,438,814) | 21,293,675 | 10.5 | |||||||||||||||||||||
FOREIGN GOVERNMENT BONDS: 5.1% | |||||||||||||||||||||||
EUR 1,283,030 | Italy Buoni Poliennali Del Tesoro, 2.350%, 09/15/19 | $ | 1,549,076 | 0.8 | |||||||||||||||||||
340,000 | # | Dominican Republic International Bond, 5.500%, 01/27/25 | 347,650 | 0.2 | |||||||||||||||||||
600,000 | L | Indonesia Government International Bond, 4.125%–5.375%, 10/17/23–01/15/25 | 660,413 | 0.3 | |||||||||||||||||||
1,375,000 | Israel Government AID Bond, 5.500%, 09/18/23 | 1,740,418 | 0.9 | ||||||||||||||||||||
1,039,000 | Israel Government AID Bond, 5.500%, 12/04/23 | 1,309,211 | 0.6 | ||||||||||||||||||||
EUR 281,154 | # | Italy Buoni Poliennali Del Tesoro, 2.350%, 09/15/24 | 358,846 | 0.2 | |||||||||||||||||||
790,000 | Mexico Government International Bond, 4.600%–4.750%, 03/08/44–01/23/46 | 839,600 | 0.4 | ||||||||||||||||||||
EUR 1,100,561 | # | Spain Government Inflation Linked Bond, 0.550%, 11/30/19 | 1,261,599 | 0.6 | |||||||||||||||||||
6,788,400 | Other Securities | 2,227,141 | 1.1 | ||||||||||||||||||||
Total Foreign Government Bonds | |||||||||||||||||||||||
(Cost $9,991,533) | 10,293,954 | 5.1 | |||||||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||||||
(Cost $201,493,743) | 205,417,851 | 101.6 | |||||||||||||||||||||
SHORT-TERM INVESTMENTS: 6.6% | |||||||||||||||||||||||
Securities Lending Collateralcc: 0.6% | |||||||||||||||||||||||
1,000,000 | Royal Bank of Canada, Repurchase Agreement dated 06/30/16, 0.38%, due 07/01/16 (Repurchase Amount $1,000,010, collateralized by various U.S. Government Securities, 0.000%–8.750%, Market Value plus accrued interest $1,020,000, due 08/18/16–09/09/49) | 1,000,000 | 0.5 | ||||||||||||||||||||
232,881 | Royal Bank of Scotland PLC, Repurchase Agreement dated 06/30/16, 0.40%, due 07/01/16 (Repurchase Amount $232,884, collateralized by various U.S. Government Securities, 0.084%–3.375%, Market Value plus accrued interest $237,540, due 01/31/17–08/15/44) | 232,881 | 0.1 | ||||||||||||||||||||
1,232,881 | 0.6 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: (continued) | |||||||||||||||||||
Mutual Funds: 6.0% | |||||||||||||||||||
12,016,288 | BlackRock Liquidity Funds, TempFund, Institutional Class, 0.430%†† | ||||||||||||||||||
(Cost $12,016,288) | $ | 12,016,288 | 6.0 | ||||||||||||||||
Total Short-Term Investments (Cost $13,249,169) | 13,249,169 | 6.6 | |||||||||||||||||
Total Investments in Securities (Cost $214,742,912) | $ | 218,667,020 | 108.2 | ||||||||||||||||
Liabilities in Excess of Other Assets | (16,499,605 | ) | (8.2 | ) | |||||||||||||||
Net Assets | $ | 202,167,415 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
†† | Rate shown is the 7-day yield as of June 30, 2016. |
# | 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. |
STRIP | Separate Trading of Registered Interest and Principal of Securities |
cc | Represents securities purchased with cash collateral received for securities on loan. |
W | Settlement is on a when-issued or delayed-delivery basis. |
L | Loaned security, a portion or all of the security is on loan at June 30, 2016. |
ˆ | Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security. |
(a) | This grouping contains securities on loan. |
(b) | The grouping contains securities in default. |
EUR | EU Euro |
Cost for federal income tax purposes is $214,763,840. |
Net unrealized appreciation consists of: | ||||||
Gross Unrealized Appreciation | $ | 5,007,026 | ||||
Gross Unrealized Depreciation | (1,103,846 | ) | ||||
Net Unrealized Appreciation | $ | 3,903,180 |
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, 2016 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at fair value | ||||||||||||||||||
Corporate Bonds/Notes | $ | — | $ | 59,114,601 | $ | — | $ | 59,114,601 | ||||||||||
Collateralized Mortgage Obligations | — | 4,109,447 | 498,997 | 4,608,444 | ||||||||||||||
Municipal Bonds | — | 2,200,143 | — | 2,200,143 | ||||||||||||||
Short-Term Investments | 12,016,288 | 1,232,881 | — | 13,249,169 | ||||||||||||||
Foreign Government Bonds | — | 10,293,954 | — | 10,293,954 | ||||||||||||||
U.S. Treasury Obligations | — | 36,739,987 | — | 36,739,987 | ||||||||||||||
Asset-Backed Securities | — | 21,293,675 | — | 21,293,675 | ||||||||||||||
U.S. Government Agency Obligations | — | 71,167,047 | — | 71,167,047 | ||||||||||||||
Total Investments, at fair value | $ | 12,016,288 | $ | 206,151,735 | $ | 498,997 | $ | 218,667,020 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Centrally Cleared Swaps | — | 1,672,239 | — | 1,672,239 | ||||||||||||||
Forward Foreign Currency Contracts | — | 1,120,481 | — | 1,120,481 | ||||||||||||||
Futures | 397,112 | — | — | 397,112 | ||||||||||||||
Total Assets | $ | 12,413,400 | $ | 208,944,455 | $ | 498,997 | $ | 221,856,852 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Centrally Cleared Swaps | $ | — | $ | (2,101,863 | ) | $ | — | $ | (2,101,863 | ) | ||||||||
Forward Foreign Currency Contracts | — | (1,039,208 | ) | — | (1,039,208 | ) | ||||||||||||
Futures | (100,819 | ) | — | — | (100,819 | ) | ||||||||||||
Sales Commitments | — | (10,550,468 | ) | — | (10,550,468 | ) | ||||||||||||
Total Liabilities | $ | (100,819 | ) | $ | (13,691,539 | ) | $ | — | $ | (13,792,358 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
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) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America N.A. | South Korean Won | 379,210,566 | Buy | 07/15/16 | $ | 320,344 | $ | 329,046 | $ | 8,702 | ||||||||||||||||||||
Bank of America N.A. | Swiss Franc | 55,128 | Buy | 09/21/16 | 50,545 | 51,002 | 457 | |||||||||||||||||||||||
Bank of America N.A. | EU Euro | 50,545 | Buy | 09/21/16 | 54,772 | 54,681 | (91 | ) | ||||||||||||||||||||||
Bank of America N.A. | Japanese Yen | 18,229,680 | Buy | 09/21/16 | 180,000 | 177,024 | (2,976 | ) | ||||||||||||||||||||||
Bank of America N.A. | EU Euro | 162,000 | Buy | 09/21/16 | 51,779,088 | 51,777,446 | (1,642 | ) | ||||||||||||||||||||||
Bank of America N.A. | Japanese Yen | 18,365,668 | Buy | 09/21/16 | 179,000 | 178,345 | (655 | ) | ||||||||||||||||||||||
Bank of America N.A. | Swedish Krona | 1,542,752 | Buy | 09/21/16 | 132,180 | 139,068 | 6,888 | |||||||||||||||||||||||
Bank of America N.A. | Polish Zloty | 477,743 | Buy | 09/21/16 | 108,000 | 108,660 | 660 | |||||||||||||||||||||||
Bank of America N.A. | EU Euro | 319,000 | Buy | 09/21/16 | 346,064 | 345,092 | (972 | ) | ||||||||||||||||||||||
Bank of America N.A. | Swedish Krona | 1,480,471 | Buy | 09/21/16 | 159,000 | 157,627 | (1,373 | ) | ||||||||||||||||||||||
Bank of America N.A. | Swedish Krona | 744,652 | Buy | 09/21/16 | 79,929 | 79,289 | (640 | ) | ||||||||||||||||||||||
Bank of America N.A. | Swedish Krona | 1,481,937 | Buy | 09/21/16 | 159,000 | 157,801 | (1,199 | ) | ||||||||||||||||||||||
Bank of America N.A. | EU Euro | 160,000 | Buy | 09/21/16 | 50,309,440 | 50,310,736 | 1,296 | |||||||||||||||||||||||
Bank of America N.A. | Mexican Peso | 17,572,049 | Buy | 09/21/16 | 938,277 | 953,397 | 15,120 | |||||||||||||||||||||||
Barclays Bank PLC | Chinese Offshore Yuan | 1,181,207 | Buy | 09/01/16 | 172,246 | 176,809 | 4,563 | |||||||||||||||||||||||
Barclays Bank PLC | British Pound | 264,000 | Buy | 09/21/16 | 351,154 | 351,723 | 569 | |||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 1,059,010 | Buy | 09/21/16 | 70,000 | 70,734 | 734 | |||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 1,093,913 | Buy | 09/21/16 | 72,000 | 73,065 | 1,065 | |||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 1,122,310 | Buy | 09/21/16 | 73,022 | 74,961 | 1,939 | |||||||||||||||||||||||
Barclays Bank PLC | Canadian Dollar | 235,097 | Buy | 09/21/16 | 180,000 | 181,999 | 1,999 | |||||||||||||||||||||||
Barclays Bank PLC | Chinese Yuan | 1,125,903 | Buy | 08/18/16 | 169,024 | 168,694 | (330 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Chinese Yuan | 1,142,031 | Buy | 08/05/16 | 168,665 | 171,271 | 2,606 | |||||||||||||||||||||||
Barclays Bank PLC | �� | Chinese Yuan | 1,394,493 | Buy | 08/16/16 | 207,144 | 208,967 | 1,823 | ||||||||||||||||||||||
BNP Paribas Bank | Chinese Offshore Yuan | 4,206,793 | Buy | 09/01/16 | 617,556 | 629,695 | 12,139 | |||||||||||||||||||||||
BNP Paribas Bank | Taiwan New Dollar | 17,160,491 | Buy | 07/07/16 | 529,236 | 532,115 | 2,879 | |||||||||||||||||||||||
BNP Paribas Bank | Argentine Peso | 1,076,195 | Buy | 08/01/16 | 71,036 | 70,440 | (596 | ) | ||||||||||||||||||||||
BNP Paribas Bank | Indonesian Rupiah | 1,344,975,225 | Buy | 07/15/16 | 98,209 | 101,761 | 3,552 | |||||||||||||||||||||||
BNP Paribas Bank | Hungarian Forint | 49,728,778 | Buy | 09/21/16 | 158,000 | 156,890 | (1,110 | ) | ||||||||||||||||||||||
BNP Paribas Bank | Norwegian Krone | 844,362 | Buy | 09/21/16 | 101,208 | 100,879 | (329 | ) | ||||||||||||||||||||||
BNP Paribas Bank | EU Euro | 110,960 | Buy | 09/21/16 | 488,285 | 488,252 | (33 | ) | ||||||||||||||||||||||
BNP Paribas Bank | EU Euro | 159,000 | Buy | 09/21/16 | 172,960 | 171,991 | (969 | ) | ||||||||||||||||||||||
BNP Paribas Bank | Swedish Krona | 8,639,677 | Buy | 09/21/16 | 937,348 | 918,807 | (18,541 | ) | ||||||||||||||||||||||
BNP Paribas Bank | Hungarian Forint | 144,267,672 | Buy | 09/21/16 | 516,228 | 506,970 | (9,258 | ) | ||||||||||||||||||||||
Citibank N.A. | Russian Ruble | 4,641,106 | Buy | 07/14/16 | 72,000 | 72,373 | 373 | |||||||||||||||||||||||
Citibank N.A. | Malaysian Ringgit | 465,093 | Buy | 07/28/16 | 116,056 | 116,360 | 304 | |||||||||||||||||||||||
Citibank N.A. | Indonesian Rupiah | 1,706,940,117 | Buy | 07/15/16 | 124,367 | 129,147 | 4,780 | |||||||||||||||||||||||
Citibank N.A. | Indonesian Rupiah | 4,915,286,300 | Buy | 08/10/16 | 368,324 | 371,242 | 2,918 | |||||||||||||||||||||||
Citibank N.A. | Malaysian Ringgit | 673,923 | Buy | 07/27/16 | 164,063 | 168,546 | 4,483 | |||||||||||||||||||||||
Citibank N.A. | British Pound | 136,585 | Buy | 09/21/16 | 179,886 | 181,970 | 2,084 | |||||||||||||||||||||||
Citibank N.A. | British Pound | 136,000 | Buy | 09/21/16 | 180,331 | 181,191 | 860 | |||||||||||||||||||||||
Citibank N.A. | British Pound | 136,000 | Buy | 09/21/16 | 179,153 | 181,191 | 2,038 | |||||||||||||||||||||||
Citibank N.A. | New Zealand Dollar | 253,000 | Buy | 09/21/16 | 178,297 | 179,906 | 1,609 | |||||||||||||||||||||||
Citibank N.A. | EU Euro | 159,000 | Buy | 09/21/16 | 179,820 | 176,976 | (2,844 | ) | ||||||||||||||||||||||
Citibank N.A. | Argentine Peso | 1,143,100 | Buy | 09/29/16 | 71,000 | 72,611 | 1,611 | |||||||||||||||||||||||
Citibank N.A. | EU Euro | 70,096 | Buy | 09/21/16 | 79,488 | 78,020 | (1,468 | ) | ||||||||||||||||||||||
Citibank N.A. | South African Rand | 1,109,066 | Buy | 09/21/16 | 72,000 | 74,077 | 2,077 | |||||||||||||||||||||||
Citibank N.A. | Australian Dollar | 243,684 | Buy | 09/21/16 | 256,495 | 255,313 | (1,182 | ) | ||||||||||||||||||||||
Citibank N.A. | EU Euro | 158,000 | Buy | 09/21/16 | 179,750 | 175,862 | (3,888 | ) | ||||||||||||||||||||||
Citibank N.A. | EU Euro | 158,000 | Buy | 09/21/16 | 179,532 | 175,862 | (3,670 | ) | ||||||||||||||||||||||
Citibank N.A. | Polish Zloty | 1,368,833 | Buy | 09/21/16 | 315,000 | 310,706 | (4,294 | ) | ||||||||||||||||||||||
Citibank N.A. | Australian Dollar | 241,000 | Buy | 09/21/16 | 178,561 | 179,213 | 652 | |||||||||||||||||||||||
Citibank N.A. | EU Euro | 158,000 | Buy | 09/21/16 | 173,303 | 170,869 | (2,434 | ) | ||||||||||||||||||||||
Citibank N.A. | Swedish Krona | 5,466,403 | Buy | 09/21/16 | 590,685 | 581,607 | (9,078 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citibank N.A. | British Pound | 155,983 | Buy | 09/21/16 | $ | 225,278 | $ | 207,815 | $ | (17,463 | ) | |||||||||||||||||||
Citibank N.A. | Chinese Offshore Yuan | 1,186,783 | Buy | 09/21/16 | 179,000 | 177,476 | (1,524 | ) | ||||||||||||||||||||||
Citibank N.A. | Chinese Offshore Yuan | 4,292,097 | Buy | 09/01/16 | 627,316 | 642,464 | 15,148 | |||||||||||||||||||||||
Citibank N.A. | Chinese Offshore Yuan | 2,365,375 | Buy | 09/01/16 | 349,000 | 354,062 | 5,062 | |||||||||||||||||||||||
Credit Suisse International | Russian Ruble | 23,379,912 | Buy | 07/29/16 | 361,000 | 363,028 | 2,028 | |||||||||||||||||||||||
Credit Suisse International | Russian Ruble | 11,693,826 | Buy | 07/11/16 | 180,000 | 182,507 | 2,507 | |||||||||||||||||||||||
Credit Suisse International | Russian Ruble | 11,560,392 | Buy | 07/11/16 | 180,000 | 180,424 | 424 | |||||||||||||||||||||||
Credit Suisse International | Colombian Peso | 722,010,535 | Buy | 07/15/16 | 241,596 | 246,544 | 4,948 | |||||||||||||||||||||||
Credit Suisse International | Swiss Franc | 176,403 | Buy | 09/21/16 | 163,000 | 163,058 | 58 | |||||||||||||||||||||||
Credit Suisse International | Japanese Yen | 43,002,795 | Buy | 09/21/16 | 412,734 | 417,589 | 4,855 | |||||||||||||||||||||||
Credit Suisse International | Norwegian Krone | 666,529 | Buy | 09/21/16 | 79,422 | 79,633 | 211 | |||||||||||||||||||||||
Credit Suisse International | Swedish Krona | 718,564 | Buy | 09/21/16 | 87,241 | 85,230 | (2,011 | ) | ||||||||||||||||||||||
Credit Suisse International | Swiss Franc | 351,575 | Buy | 09/21/16 | 318,384 | 325,712 | 7,328 | |||||||||||||||||||||||
Deutsche Bank AG | South Korean Won | 212,013,000 | Buy | 07/18/16 | 180,000 | 183,940 | 3,940 | |||||||||||||||||||||||
Deutsche Bank AG | South Korean Won | 213,402,547 | Buy | 07/05/16 | 179,000 | 185,261 | 6,261 | |||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 652,322 | Buy | 07/05/16 | 179,000 | 203,005 | 24,005 | |||||||||||||||||||||||
Deutsche Bank AG | Indonesian Rupiah | 2,184,019,172 | Buy | 07/29/16 | 162,526 | 165,169 | 2,643 | |||||||||||||||||||||||
Deutsche Bank AG | South Korean Won | 213,402,547 | Buy | 08/16/16 | 181,929 | 184,973 | 3,044 | |||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 163,000 | Buy | 09/21/16 | 728,183 | 725,379 | (2,804 | ) | ||||||||||||||||||||||
Deutsche Bank AG | British Pound | 244,000 | Buy | 09/21/16 | 357,766 | 325,078 | (32,688 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 3,369,210 | Buy | 09/21/16 | 180,000 | 182,801 | 2,801 | |||||||||||||||||||||||
Deutsche Bank AG | British Pound | 59,881 | Buy | 09/21/16 | 86,637 | 79,778 | (6,859 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Chinese Yuan | 1,151,525 | Buy | 07/26/16 | 170,566 | 172,882 | 2,316 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Yuan | 584,417 | Buy | 08/03/16 | 86,363 | 87,658 | 1,295 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Yuan | 291,607 | Buy | 07/26/16 | 43,048 | 43,780 | 732 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Yuan | 1,229,581 | Buy | 08/02/16 | 181,958 | 184,450 | 2,492 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 1,170,698 | Buy | 09/01/16 | 172,000 | 175,236 | 3,236 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 1,177,221 | Buy | 09/01/16 | 178,000 | 176,213 | (1,787 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 2,370,657 | Buy | 09/21/16 | 359,000 | 354,517 | (4,483 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Chinese Offshore Yuan | 1,189,666 | Buy | 09/01/16 | 175,000 | 178,076 | 3,076 | |||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Russian Ruble | 11,778,138 | Buy | 07/08/16 | 180,000 | 183,979 | 3,979 | |||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Russian Ruble | 11,828,502 | Buy | 07/08/16 | 180,000 | 184,766 | 4,766 | |||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Malaysian Ringgit | 569,491 | Buy | 08/01/16 | 140,508 | 142,682 | 2,174 | |||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Australian Dollar | 379,061 | Buy | 08/04/16 | 280,008 | 282,371 | 2,363 | |||||||||||||||||||||||
JPMorgan Chase Bank N.A. | EU Euro | 324,000 | Buy | 09/21/16 | 1,452,294 | 1,445,490 | (6,804 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | British Pound | 131,000 | Buy | 09/21/16 | 179,656 | 174,530 | (5,126 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | New Zealand Dollar | 335,636 | Buy | 09/21/16 | 238,072 | 238,668 | 596 | |||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Swiss Franc | 174,864 | Buy | 09/21/16 | 158,000 | 162,040 | 4,040 | |||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Japanese Yen | 9,401,479 | Buy | 09/21/16 | 86,675 | 91,296 | 4,621 | |||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Mexican Peso | 16,158,682 | Buy | 09/21/16 | 864,609 | 876,712 | 12,103 | |||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Polish Zloty | 3,635,628 | Buy | 09/21/16 | 920,325 | 919,819 | (506 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Chinese Yuan | 2,320,848 | Buy | 07/12/16 | 340,064 | 349,009 | 8,945 | |||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Chinese Yuan | 3,463,724 | Buy | 07/11/16 | 506,813 | 520,936 | 14,123 | |||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Russian Ruble | 11,624,868 | Buy | 07/29/16 | 180,000 | 180,504 | 504 | |||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Malaysian Ringgit | 646,280 | Buy | 07/25/16 | 159,300 | 161,517 | 2,217 | |||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Malaysian Ringgit | 743,387 | Buy | 07/08/16 | 179,000 | 184,660 | 5,660 | |||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Malaysian Ringgit | 744,103 | Buy | 07/08/16 | 179,000 | 184,838 | 5,838 | |||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Brazilian Real | 3,607,908 | Buy | 07/05/16 | 986,738 | 1,122,795 | 136,057 | |||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Russian Ruble | 28,310,715 | Buy | 08/11/16 | 426,321 | 438,050 | 11,729 | |||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Malaysian Ringgit | 983,672 | Buy | 08/10/16 | 244,027 | 246,534 | 2,507 | |||||||||||||||||||||||
Morgan Stanley & Co. International PLC | EU Euro | 164,992 | Buy | 09/21/16 | 183,747 | 183,644 | (103 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Japanese Yen | 18,700,992 | Buy | 09/21/16 | 180,000 | 181,601 | 1,601 | |||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Swedish Krona | 1,245,708 | Buy | 09/21/16 | 152,248 | 147,756 | (4,492 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Mexican Peso | 12,276,485 | Buy | 09/21/16 | 652,935 | 666,078 | 13,143 | |||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Chinese Offshore Yuan | 659,181 | Buy | 09/01/16 | 96,664 | 98,670 | 2,006 | |||||||||||||||||||||||
The Royal Bank of Canada | Brazilian Real | 2,411,730 | Buy | 09/02/16 | 708,260 | 736,631 | 28,371 | |||||||||||||||||||||||
The Royal Bank of Canada | Canadian Dollar | 234,294 | Buy | 09/21/16 | 180,000 | 181,377 | 1,377 | |||||||||||||||||||||||
The Royal Bank of Canada | Canadian Dollar | 467,687 | Buy | 09/21/16 | 359,000 | 362,057 | 3,057 | |||||||||||||||||||||||
The Royal Bank of Canada | Canadian Dollar | 231,948 | Buy | 09/21/16 | 180,000 | 179,561 | (439 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | EU Euro | 77,117 | Buy | 09/21/16 | 86,359 | 85,835 | (524 | ) | ||||||||||||||||||||||
The Royal Bank of Scotland PLC | Colombian Peso | 525,047,400 | Buy | 07/15/16 | 180,000 | 179,287 | (713 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
The Royal Bank of Scotland PLC | Turkish Lira | 516,236 | Buy | 09/21/16 | $ | 175,000 | $ | 176,135 | $ | 1,135 | ||||||||||||||||||||
The Royal Bank of Scotland PLC | Norwegian Krone | 3,065,059 | Buy | 09/21/16 | 326,000 | 329,339 | 3,339 | |||||||||||||||||||||||
The Royal Bank of Scotland PLC | Norwegian Krone | 248,600 | Buy | 09/21/16 | 26,424 | 26,713 | 289 | |||||||||||||||||||||||
The Royal Bank of Scotland PLC | EU Euro | 163,000 | Buy | 09/21/16 | 1,531,388 | 1,531,173 | (215 | ) | ||||||||||||||||||||||
The Royal Bank of Scotland PLC | EU Euro | 161,000 | Buy | 09/21/16 | 720,448 | 717,375 | (3,073 | ) | ||||||||||||||||||||||
The Royal Bank of Scotland PLC | Turkish Lira | 532,856 | Buy | 09/21/16 | 180,000 | 181,806 | 1,806 | |||||||||||||||||||||||
The Royal Bank of Scotland PLC | EU Euro | 160,000 | Buy | 09/21/16 | 50,176,000 | 50,177,765 | 1,765 | |||||||||||||||||||||||
The Royal Bank of Scotland PLC | Mexican Peso | 1,327,335 | Buy | 09/21/16 | 72,000 | 72,016 | 16 | |||||||||||||||||||||||
The Royal Bank of Scotland PLC | British Pound | 69,925 | Buy | 09/21/16 | 101,064 | 93,160 | (7,904 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Taiwan New Dollar | 11,677,423 | Buy | 07/07/16 | 359,970 | 362,096 | 2,126 | |||||||||||||||||||||||
Standard Chartered PLC | EU Euro | 471,000 | Buy | 09/21/16 | 539,130 | 524,247 | (14,883 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Chinese Offshore Yuan | 2,370,129 | Buy | 09/21/16 | 359,000 | 354,439 | (4,561 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Chinese Offshore Yuan | 2,371,619 | Buy | 09/21/16 | 359,000 | 354,661 | (4,339 | ) | ||||||||||||||||||||||
Standard Chartered PLC | South African Rand | 1,134,904 | Buy | 09/21/16 | 72,000 | 75,803 | 3,803 | |||||||||||||||||||||||
Standard Chartered PLC | Chinese Offshore Yuan | 3,552,328 | Buy | 09/21/16 | 538,500 | 531,229 | (7,271 | ) | ||||||||||||||||||||||
Standard Chartered PLC | South African Rand | 2,835,354 | Buy | 09/21/16 | 176,933 | 189,379 | 12,446 | |||||||||||||||||||||||
Standard Chartered PLC | Chinese Yuan | 2,302,331 | Buy | 07/21/16 | 337,932 | 345,859 | 7,927 | |||||||||||||||||||||||
Standard Chartered PLC | Chinese Yuan | 2,286,437 | Buy | 07/22/16 | 337,943 | 343,432 | 5,489 | |||||||||||||||||||||||
Standard Chartered PLC | Chinese Offshore Yuan | 1,179,781 | Buy | 09/01/16 | 172,000 | 176,596 | 4,596 | |||||||||||||||||||||||
Standard Chartered PLC | Chinese Offshore Yuan | 1,188,539 | Buy | 09/01/16 | 175,000 | 177,907 | 2,907 | |||||||||||||||||||||||
State Street Bank | Canadian Dollar | 235,213 | Buy | 09/21/16 | 180,000 | 182,089 | 2,089 | |||||||||||||||||||||||
State Street Bank | EU Euro | 17,150 | Buy | 09/21/16 | 161,035 | 161,023 | (12 | ) | ||||||||||||||||||||||
State Street Bank | British Pound | 134,000 | Buy | 09/21/16 | 180,341 | 178,526 | (1,815 | ) | ||||||||||||||||||||||
State Street Bank | British Pound | 132,000 | Buy | 09/21/16 | 179,961 | 175,862 | (4,099 | ) | ||||||||||||||||||||||
State Street Bank | Japanese Yen | 18,244,754 | Buy | 09/21/16 | 179,000 | 177,170 | (1,830 | ) | ||||||||||||||||||||||
State Street Bank | Canadian Dollar | 398,083 | Buy | 09/21/16 | 310,437 | 308,173 | (2,264 | ) | ||||||||||||||||||||||
State Street Bank | Swedish Krona | 1,693,668 | Buy | 09/21/16 | 180,569 | 180,477 | (92 | ) | ||||||||||||||||||||||
State Street Bank | Norwegian Krone | 663,451 | Buy | 09/21/16 | 79,511 | 79,265 | (246 | ) | ||||||||||||||||||||||
State Street Bank | Mexican Peso | 1,187,579 | Buy | 09/21/16 | 63,086 | 64,434 | 1,348 | |||||||||||||||||||||||
State Street Bank | Swedish Krona | 5,466,403 | Buy | 09/21/16 | 591,289 | 581,539 | (9,750 | ) | ||||||||||||||||||||||
State Street Bank | Australian Dollar | 248,000 | Buy | 09/21/16 | 263,736 | 260,614 | (3,122 | ) | ||||||||||||||||||||||
State Street Bank | EU Euro | 188,715 | Buy | 09/21/16 | 211,318 | 210,050 | (1,268 | ) | ||||||||||||||||||||||
State Street Bank | Swedish Krona | 8,480,445 | Buy | 09/21/16 | 914,679 | 902,483 | (12,196 | ) | ||||||||||||||||||||||
UBS AG | Chinese Offshore Yuan | 1,184,048 | Buy | 09/01/16 | 172,000 | 177,235 | 5,235 | |||||||||||||||||||||||
UBS AG | British Pound | 908,000 | Buy | 07/20/16 | 1,329,340 | 1,208,953 | (120,387 | ) | ||||||||||||||||||||||
UBS AG | Taiwan New Dollar | 10,675,111 | Buy | 07/14/16 | 327,126 | 331,241 | 4,115 | |||||||||||||||||||||||
UBS AG | Malaysian Ringgit | 1,487,490 | Buy | 09/08/16 | 366,359 | 372,264 | 5,905 | |||||||||||||||||||||||
UBS AG | British Pound | 137,591 | Buy | 09/21/16 | 181,726 | 183,311 | 1,585 | |||||||||||||||||||||||
UBS AG | EU Euro | 162,000 | Buy | 09/21/16 | 724,539 | 721,544 | (2,995 | ) | ||||||||||||||||||||||
UBS AG | Swiss Franc | 348,073 | Buy | 09/21/16 | 324,000 | 321,473 | (2,527 | ) | ||||||||||||||||||||||
UBS AG | Swiss Franc | 61,700 | Buy | 09/21/16 | 56,848 | 57,051 | 203 | |||||||||||||||||||||||
UBS AG | EU Euro | 162,000 | Buy | 09/21/16 | 51,561,479 | 51,560,601 | (878 | ) | ||||||||||||||||||||||
UBS AG | EU Euro | 56,848 | Buy | 09/21/16 | 60,972 | 61,518 | 546 | |||||||||||||||||||||||
UBS AG | Hungarian Forint | 50,165,311 | Buy | 09/21/16 | 159,000 | 158,310 | (690 | ) | ||||||||||||||||||||||
UBS AG | Swedish Krona | 603,150 | Buy | 09/21/16 | 72,664 | 71,541 | (1,123 | ) | ||||||||||||||||||||||
UBS AG | EU Euro | 70,000 | Buy | 09/21/16 | 21,957,775 | 21,958,527 | 752 | |||||||||||||||||||||||
UBS AG | Norwegian Krone | 588,066 | Buy | 09/21/16 | 72,139 | 70,258 | (1,881 | ) | ||||||||||||||||||||||
UBS AG | EU Euro | 158,000 | Buy | 09/21/16 | 172,594 | 170,889 | (1,705 | ) | ||||||||||||||||||||||
UBS AG | British Pound | 54,436 | Buy | 09/21/16 | 79,345 | 72,525 | (6,820 | ) | ||||||||||||||||||||||
UBS AG | Swedish Krona | 8,495,974 | Buy | 09/21/16 | 915,850 | 904,192 | (11,658 | ) | ||||||||||||||||||||||
Westpac Banking Corp. | Chinese Offshore Yuan | 1,182,006 | Buy | 09/01/16 | 172,000 | 176,929 | 4,929 | |||||||||||||||||||||||
Westpac Banking Corp. | Japanese Yen | 96,395,986 | Buy | 08/10/16 | 923,546 | 934,578 | 11,032 | |||||||||||||||||||||||
Westpac Banking Corp. | EU Euro | 2,274,119 | Buy | 07/13/16 | 2,579,340 | 2,524,572 | (54,768 | ) | ||||||||||||||||||||||
Westpac Banking Corp. | EU Euro | 178,066 | Buy | 09/21/16 | 147,474 | 149,192 | 1,718 | |||||||||||||||||||||||
Westpac Banking Corp. | EU Euro | 564,110 | Buy | 09/21/16 | 453,070 | 477,333 | 24,263 | |||||||||||||||||||||||
Westpac Banking Corp. | Australian Dollar | 245,000 | Buy | 09/21/16 | 256,821 | 256,385 | (436 | ) | ||||||||||||||||||||||
Westpac Banking Corp. | Australian Dollar | 536,966 | Buy | 09/21/16 | 562,730 | 561,878 | (852 | ) | ||||||||||||||||||||||
Westpac Banking Corp. | Australian Dollar | 241,000 | Buy | 09/21/16 | 178,694 | 179,213 | 519 | |||||||||||||||||||||||
Westpac Banking Corp. | Australian Dollar | 256,010 | Buy | 09/21/16 | 272,521 | 269,109 | (3,412 | ) | ||||||||||||||||||||||
Westpac Banking Corp. | Australian Dollar | 1,697,388 | Buy | 09/21/16 | 1,220,422 | 1,262,214 | 41,792 | |||||||||||||||||||||||
$ | 167,672 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America N.A. | Swedish Krona | 1,330,034 | Sell | 07/29/16 | $ | 163,923 | $ | 157,375 | $ | 6,548 | ||||||||||||||||||||
Bank of America N.A. | Brazilian Real | 571,760 | Sell | 09/02/16 | 175,000 | 174,636 | 364 | |||||||||||||||||||||||
Bank of America N.A. | Singapore Dollar | 243,236 | Sell | 09/21/16 | 179,000 | 180,409 | (1,409 | ) | ||||||||||||||||||||||
Bank of America N.A. | Singapore Dollar | 259,004 | Sell | 09/21/16 | 189,926 | 192,104 | (2,178 | ) | ||||||||||||||||||||||
Bank of America N.A. | Japanese Yen | 19,195,065 | Sell | 09/21/16 | 179,000 | 186,399 | (7,399 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Chinese Offshore Yuan | 1,125,058 | Sell | 08/18/16 | 169,024 | 168,500 | 524 | |||||||||||||||||||||||
Barclays Bank PLC | Chinese Offshore Yuan | 1,141,356 | Sell | 08/05/16 | 168,665 | 171,031 | (2,366 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Chinese Offshore Yuan | 1,393,665 | Sell | 08/16/16 | 207,144 | 208,746 | (1,602 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Chinese Offshore Yuan | 2,357,327 | Sell | 09/01/16 | 347,000 | 352,857 | (5,857 | ) | ||||||||||||||||||||||
Barclays Bank PLC | Chinese Offshore Yuan | 4,065,346 | Sell | 09/01/16 | 610,412 | 608,522 | 1,890 | |||||||||||||||||||||||
Barclays Bank PLC | Brazilian Real | 607,160 | Sell | 09/02/16 | 180,000 | 185,449 | (5,449 | ) | ||||||||||||||||||||||
Barclays Bank PLC | British Pound | 131,000 | Sell | 09/21/16 | 180,080 | 174,530 | 5,550 | |||||||||||||||||||||||
Barclays Bank PLC | Singapore Dollar | 481,298 | Sell | 09/21/16 | 359,000 | 356,980 | 2,020 | |||||||||||||||||||||||
Barclays Bank PLC | South African Rand | 1,077,561 | Sell | 09/21/16 | 72,000 | 71,973 | 27 | |||||||||||||||||||||||
Barclays Bank PLC | Australian Dollar | 591,441 | Sell | 09/21/16 | 440,072 | 439,808 | 264 | |||||||||||||||||||||||
Barclays Bank PLC | British Pound | 122,000 | Sell | 09/21/16 | 179,375 | 162,539 | 16,836 | |||||||||||||||||||||||
Barclays Bank PLC | New Zealand Dollar | 126,897 | Sell | 09/21/16 | 86,359 | 90,235 | (3,876 | ) | ||||||||||||||||||||||
Barclays Bank PLC | New Zealand Dollar | 1,179,835 | Sell | 09/21/16 | 798,382 | 838,970 | (40,588 | ) | ||||||||||||||||||||||
BNP Paribas Bank | Taiwan New Dollar | 17,160,491 | Sell | 08/25/16 | 529,073 | 533,818 | (4,745 | ) | ||||||||||||||||||||||
BNP Paribas Bank | British Pound | 262,000 | Sell | 09/21/16 | 358,521 | 349,059 | 9,462 | |||||||||||||||||||||||
BNP Paribas Bank | Swedish Krona | 713,176 | Sell | 09/21/16 | 86,779 | 84,592 | 2,187 | |||||||||||||||||||||||
BNP Paribas Bank | Canadian Dollar | 233,190 | Sell | 09/21/16 | 180,000 | 180,523 | (523 | ) | ||||||||||||||||||||||
BNP Paribas Bank | Australian Dollar | 203,726 | Sell | 09/21/16 | 150,306 | 151,495 | (1,189 | ) | ||||||||||||||||||||||
BNP Paribas Bank | New Zealand Dollar | 506,000 | Sell | 09/21/16 | 358,217 | 359,812 | (1,595 | ) | ||||||||||||||||||||||
BNP Paribas Bank | Norwegian Krone | 729,127 | Sell | 09/21/16 | 87,325 | 87,112 | 213 | |||||||||||||||||||||||
BNP Paribas Bank | United Arab Emirates Dirham | 466,325 | Sell | 12/07/16 | 126,305 | 126,841 | (536 | ) | ||||||||||||||||||||||
Citibank N.A. | United Arab Emirates Dirham | 2,359,360 | Sell | 08/11/16 | 640,000 | 642,222 | (2,222 | ) | ||||||||||||||||||||||
Citibank N.A. | United Arab Emirates Dirham | 2,697,054 | Sell | 08/11/16 | 732,000 | 734,143 | (2,143 | ) | ||||||||||||||||||||||
Citibank N.A. | Chinese Offshore Yuan | 1,204,710 | Sell | 09/01/16 | 184,226 | 180,327 | 3,899 | |||||||||||||||||||||||
Citibank N.A. | Russian Ruble | 10,807,500 | Sell | 07/11/16 | 167,314 | 168,674 | (1,360 | ) | ||||||||||||||||||||||
Citibank N.A. | Indonesian Rupiah | 2,421,401,020 | Sell | 07/28/16 | 179,000 | 183,126 | (4,126 | ) | ||||||||||||||||||||||
Citibank N.A. | Taiwan New Dollar | 5,803,380 | Sell | 07/14/16 | 180,000 | 180,075 | (75 | ) | ||||||||||||||||||||||
Citibank N.A. | South Korean Won | 208,584,720 | Sell | 07/15/16 | 180,000 | 180,992 | (992 | ) | ||||||||||||||||||||||
Citibank N.A. | Mexican Peso | 3,314,855 | Sell | 08/16/16 | 173,449 | 180,536 | (7,087 | ) | ||||||||||||||||||||||
Citibank N.A. | South Korean Won | 1,303,666,577 | Sell | 07/25/16 | 1,091,300 | 1,130,670 | (39,370 | ) | ||||||||||||||||||||||
Citibank N.A. | Taiwan New Dollar | 13,921,623 | Sell | 07/14/16 | 425,477 | 431,978 | (6,501 | ) | ||||||||||||||||||||||
Citibank N.A. | Malaysian Ringgit | 669,702 | Sell | 08/10/16 | 163,056 | 167,845 | (4,789 | ) | ||||||||||||||||||||||
Citibank N.A. | Taiwan New Dollar | 8,588,876 | Sell | 08/18/16 | 267,691 | 267,129 | 562 | |||||||||||||||||||||||
Citibank N.A. | Taiwan New Dollar | 5,826,987 | Sell | 08/18/16 | 181,611 | 181,230 | 381 | |||||||||||||||||||||||
Citibank N.A. | Taiwan New Dollar | 11,686,609 | Sell | 08/22/16 | 360,921 | 363,512 | (2,591 | ) | ||||||||||||||||||||||
Citibank N.A. | British Pound | 136,585 | Sell | 09/21/16 | 180,159 | 181,970 | (1,811 | ) | ||||||||||||||||||||||
Citibank N.A. | British Pound | 136,000 | Sell | 09/21/16 | 179,947 | 181,191 | (1,244 | ) | ||||||||||||||||||||||
Citibank N.A. | EU Euro | 158,000 | Sell | 09/21/16 | 179,512 | 175,862 | 3,650 | |||||||||||||||||||||||
Citibank N.A. | British Pound | 300,560 | Sell | 09/21/16 | 440,072 | 400,432 | 39,640 | |||||||||||||||||||||||
Citibank N.A. | New Zealand Dollar | 224,375 | Sell | 09/21/16 | 158,835 | 159,551 | (716 | ) | ||||||||||||||||||||||
Citibank N.A. | EU Euro | 1,715,819 | Sell | 09/21/16 | 1,955,975 | 1,909,792 | 46,183 | |||||||||||||||||||||||
Citibank N.A. | Singapore Dollar | 244,271 | Sell | 09/21/16 | 179,000 | 181,176 | (2,176 | ) | ||||||||||||||||||||||
Citibank N.A. | Singapore Dollar | 259,004 | Sell | 09/21/16 | 187,963 | 192,104 | (4,141 | ) | ||||||||||||||||||||||
Citibank N.A. | Turkish Lira | 1,061,516 | Sell | 09/21/16 | 351,612 | 362,181 | (10,569 | ) | ||||||||||||||||||||||
Citibank N.A. | Singapore Dollar | 1,470,823 | Sell | 09/21/16 | 1,065,081 | 1,090,916 | (25,835 | ) | ||||||||||||||||||||||
Citibank N.A. | Canadian Dollar | 1,182,635 | Sell | 09/21/16 | 903,636 | 915,529 | (11,893 | ) | ||||||||||||||||||||||
Credit Suisse International | Colombian Peso | 1,123,419,818 | Sell | 07/15/16 | 370,857 | 383,613 | (12,756 | ) | ||||||||||||||||||||||
Credit Suisse International | Chilean Peso | 74,798,048 | Sell | 07/14/16 | 109,224 | 112,902 | (3,678 | ) | ||||||||||||||||||||||
Credit Suisse International | EU Euro | 89,686 | Sell | 09/21/16 | 101,199 | 99,825 | 1,374 | |||||||||||||||||||||||
Deutsche Bank AG | Malaysian Ringgit | 1,220,081 | Sell | 07/28/16 | 295,780 | 305,247 | (9,467 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Taiwan New Dollar | 5,759,325 | Sell | 07/13/16 | 179,000 | 178,690 | 310 | |||||||||||||||||||||||
Deutsche Bank AG | Thai Baht | 15,178,132 | Sell | 07/27/16 | 431,044 | 431,745 | (701 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Thai Baht | 6,378,372 | Sell | 08/11/16 | 180,547 | 181,383 | (836 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Brazilian Real | 593,100 | Sell | 09/02/16 | 180,000 | 181,155 | (1,155 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Thai Baht | 6,380,858 | Sell | 08/25/16 | 181,033 | 181,407 | (374 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Thai Baht | 6,409,457 | Sell | 09/02/16 | 181,870 | 182,193 | (323 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG | New Zealand Dollar | 255,000 | Sell | 09/21/16 | $ | 178,974 | $ | 181,329 | $ | (2,355 | ) | |||||||||||||||||||
Deutsche Bank AG | British Pound | 129,000 | Sell | 09/21/16 | 179,773 | 171,865 | 7,908 | |||||||||||||||||||||||
Deutsche Bank AG | EU Euro | 160,000 | Sell | 09/21/16 | 180,859 | 178,088 | 2,771 | |||||||||||||||||||||||
Deutsche Bank AG | Turkish Lira | 541,132 | Sell | 09/21/16 | 180,000 | 184,630 | (4,630 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Singapore Dollar | 489,733 | Sell | 09/21/16 | 359,000 | 363,237 | (4,237 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 1,204,455 | Sell | 09/01/16 | 183,000 | 180,289 | 2,711 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 3,785,116 | Sell | 09/01/16 | 568,507 | 566,577 | 1,930 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 3,612,420 | Sell | 09/01/16 | 549,000 | 540,726 | 8,274 | |||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 1,150,894 | Sell | 07/26/16 | 170,566 | 172,525 | (1,959 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 584,072 | Sell | 08/03/16 | 86,363 | 87,530 | (1,167 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 291,434 | Sell | 07/26/16 | 43,048 | 43,688 | (640 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 1,228,762 | Sell | 08/02/16 | 181,958 | 184,150 | (2,192 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 1,190,882 | Sell | 09/01/16 | 174,000 | 178,258 | (4,258 | ) | ||||||||||||||||||||||
Deutsche Bank AG | Chinese Offshore Yuan | 3,768,511 | Sell | 09/21/16 | 568,189 | 563,559 | 4,630 | |||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Chinese Offshore Yuan | 2,321,787 | Sell | 07/12/16 | 340,064 | 348,229 | (8,165 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Chinese Offshore Yuan | 3,465,077 | Sell | 07/11/16 | 506,812 | 519,721 | (12,909 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Chinese Offshore Yuan | 1,113,252 | Sell | 09/01/16 | 166,000 | 166,638 | (638 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Chinese Offshore Yuan | 1,155,042 | Sell | 09/01/16 | 179,000 | 172,893 | 6,107 | |||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Chinese Offshore Yuan | 2,406,368 | Sell | 09/01/16 | 366,000 | 360,198 | 5,802 | |||||||||||||||||||||||
JPMorgan Chase Bank N.A. | South Korean Won | 399,320,129 | Sell | 07/18/16 | 345,597 | 346,446 | (849 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Russian Ruble | 23,539,359 | Sell | 07/14/16 | 354,658 | 367,069 | (12,411 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Taiwan New Dollar | 8,571,614 | Sell | 07/07/16 | 265,704 | 265,790 | (86 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Indonesian Rupiah | 2,416,302,000 | Sell | 07/18/16 | 180,000 | 182,798 | (2,798 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | South Korean Won | 209,863,180 | Sell | 07/08/16 | 179,000 | 182,162 | (3,162 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Taiwan New Dollar | 5,880,744 | Sell | 08/03/16 | 181,532 | 182,830 | (1,298 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Indonesian Rupiah | 2,408,400,000 | Sell | 07/29/16 | 180,242 | 182,137 | (1,895 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Canadian Dollar | 69,335 | Sell | 07/15/16 | 52,787 | 53,670 | (883 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Taiwan New Dollar | 20,705,871 | Sell | 07/28/16 | 633,789 | 643,364 | (9,575 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | British Pound | 117,076 | Sell | 09/21/16 | 160,423 | 155,978 | 4,445 | |||||||||||||||||||||||
JPMorgan Chase Bank N.A. | British Pound | 140,778 | Sell | 09/21/16 | 191,189 | 187,556 | 3,633 | |||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Japanese Yen | 18,641,070 | Sell | 09/21/16 | 180,000 | 181,019 | (1,019 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | New Zealand Dollar | 123,635 | Sell | 09/21/16 | 86,789 | 87,916 | (1,127 | ) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Mexican Peso | 1,245,905 | Sell | 09/21/16 | 67,912 | 67,598 | 314 | |||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Brazilian Real | 616,299 | Sell | 07/05/16 | 179,500 | 191,794 | (12,294 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Brazilian Real | 623,856 | Sell | 07/05/16 | 179,000 | 194,146 | (15,146 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Russian Ruble | 4,978,458 | Sell | 07/14/16 | 75,168 | 77,633 | (2,465 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | South Korean Won | 209,825,820 | Sell | 07/08/16 | 180,000 | 182,129 | (2,129 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Russian Ruble | 47,409,976 | Sell | 07/27/16 | 717,000 | 736,572 | (19,572 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Taiwan New Dollar | 5,842,560 | Sell | 07/07/16 | 179,000 | 181,167 | (2,167 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Taiwan New Dollar | 5,725,315 | Sell | 07/27/16 | 179,000 | 177,877 | 1,123 | |||||||||||||||||||||||
Morgan Stanley & Co. International PLC | South Korean Won | 419,689,000 | Sell | 08/16/16 | 362,639 | 363,779 | (1,140 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Taiwan New Dollar | 11,677,814 | Sell | 07/22/16 | 358,160 | 362,636 | (4,476 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Chilean Peso | 52,667,097 | Sell | 07/28/16 | 77,939 | 79,392 | (1,453 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Taiwan New Dollar | 11,668,545 | Sell | 08/10/16 | 362,400 | 362,838 | (438 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Brazilian Real | 597,877 | Sell | 09/02/16 | 180,000 | 182,614 | (2,614 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Mexican Peso | 3,515,931 | Sell | 09/21/16 | 183,078 | 190,762 | (7,684 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | EU Euro | 486,000 | Sell | 09/21/16 | 537,500 | 540,942 | (3,442 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | British Pound | 130,000 | Sell | 09/21/16 | 179,159 | 173,197 | 5,962 | |||||||||||||||||||||||
Morgan Stanley & Co. International PLC | South African Rand | 1,100,851 | Sell | 09/21/16 | 72,000 | 73,528 | (1,528 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | New Zealand Dollar | 106,154 | Sell | 09/21/16 | 71,875 | 75,485 | (3,610 | ) | ||||||||||||||||||||||
Morgan Stanley & Co. International PLC | Canadian Dollar | 1,181,257 | Sell | 09/21/16 | 899,354 | 914,462 | (15,108 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | Brazilian Real | 608,346 | Sell | 07/05/16 | 180,000 | 189,320 | (9,320 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | Brazilian Real | 1,283,044 | Sell | 08/02/16 | 352,756 | 395,708 | (42,952 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | British Pound | 271,000 | Sell | 09/21/16 | 361,583 | 361,050 | 533 | |||||||||||||||||||||||
The Royal Bank of Canada | Mexican Peso | 1,376,582 | Sell | 09/21/16 | 72,000 | 74,688 | (2,688 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | Canadian Dollar | 232,035 | Sell | 09/21/16 | 179,000 | 179,629 | (629 | ) | ||||||||||||||||||||||
The Royal Bank of Canada | Canadian Dollar | 230,998 | Sell | 09/21/16 | 179,000 | 178,826 | 174 | |||||||||||||||||||||||
The Royal Bank of Canada | Japanese Yen | 8,489,567 | Sell | 09/21/16 | 79,564 | 82,440 | (2,876 | ) | ||||||||||||||||||||||
The Royal Bank of Scotland PLC | Turkish Lira | 540,178 | Sell | 09/21/16 | 180,000 | 184,304 | (4,304 | ) | ||||||||||||||||||||||
The Royal Bank of Scotland PLC | Mexican Peso | 3,405,866 | Sell | 09/21/16 | 180,000 | 184,790 | (4,790 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Taiwan New Dollar | 5,834,863 | Sell | 07/07/16 | 179,000 | 180,928 | (1,928 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Taiwan New Dollar | 8,588,876 | Sell | 07/07/16 | 265,663 | 266,325 | (662 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Taiwan New Dollar | 11,677,423 | Sell | 08/26/16 | 359,970 | 363,264 | (3,294 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Standard Chartered PLC | South African Rand | 1,115,078 | Sell | 09/21/16 | $ | 72,000 | $ | 74,479 | $ | (2,479 | ) | |||||||||||||||||||
Standard Chartered PLC | South African Rand | 1,111,234 | Sell | 09/21/16 | 72,000 | 74,222 | (2,222 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Australian Dollar | 119,558 | Sell | 09/21/16 | 86,359 | 88,906 | (2,547 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Hong Kong Sar Dollar | 8,237,667 | Sell | 09/21/16 | 1,061,870 | 1,062,854 | (984 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Canadian Dollar | 1,687,697 | Sell | 09/21/16 | 1,291,221 | 1,306,520 | (15,299 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Chinese Offshore Yuan | 2,302,331 | Sell | 07/21/16 | 337,932 | 345,196 | (7,264 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Chinese Offshore Yuan | 2,285,086 | Sell | 07/22/16 | 337,943 | 342,597 | (4,654 | ) | ||||||||||||||||||||||
Standard Chartered PLC | Chinese Offshore Yuan | 2,311,808 | Sell | 09/01/16 | 358,000 | 346,044 | 11,956 | |||||||||||||||||||||||
Standard Chartered PLC | Chinese Offshore Yuan | 2,248,027 | Sell | 09/01/16 | 347,000 | 336,497 | 10,503 | |||||||||||||||||||||||
Standard Chartered PLC | Chinese Offshore Yuan | 1,219,055 | Sell | 09/01/16 | 183,000 | 182,475 | 525 | |||||||||||||||||||||||
Standard Chartered PLC | United Arab Emirates Dirham | 1,238,373 | Sell | 12/07/16 | 335,103 | 336,840 | (1,737 | ) | ||||||||||||||||||||||
State Street Bank | British Pound | 130,000 | Sell | 09/21/16 | 179,577 | 173,197 | 6,380 | |||||||||||||||||||||||
State Street Bank | Singapore Dollar | 239,771 | Sell | 09/21/16 | 179,000 | 177,839 | 1,161 | |||||||||||||||||||||||
State Street Bank | British Pound | 122,000 | Sell | 09/21/16 | 179,549 | 162,539 | 17,010 | |||||||||||||||||||||||
State Street Bank | New Zealand Dollar | 205,823 | Sell | 09/21/16 | 144,490 | 146,359 | (1,869 | ) | ||||||||||||||||||||||
State Street Bank | Singapore Dollar | 259,110 | Sell | 09/21/16 | 190,431 | 192,183 | (1,752 | ) | ||||||||||||||||||||||
State Street Bank | Japanese Yen | 34,113,884 | Sell | 09/21/16 | 314,058 | 331,272 | (17,214 | ) | ||||||||||||||||||||||
UBS AG | Chinese Offshore Yuan | 3,554,920 | Sell | 09/01/16 | 518,664 | 532,120 | (13,456 | ) | ||||||||||||||||||||||
UBS AG | South Korean Won | 209,414,069 | Sell | 07/15/16 | 180,740 | 181,712 | (972 | ) | ||||||||||||||||||||||
UBS AG | British Pound | 865,269 | Sell | 07/20/16 | 1,266,780 | 1,152,058 | 114,722 | |||||||||||||||||||||||
UBS AG | Taiwan New Dollar | 5,404,707 | Sell | 07/15/16 | 165,105 | 167,721 | (2,616 | ) | ||||||||||||||||||||||
UBS AG | Taiwan New Dollar | 6,984,274 | Sell | 07/14/16 | 215,830 | 216,717 | (887 | ) | ||||||||||||||||||||||
UBS AG | British Pound | 268,000 | Sell | 09/21/16 | 360,912 | 357,053 | 3,859 | |||||||||||||||||||||||
UBS AG | British Pound | 137,591 | Sell | 09/21/16 | 182,817 | 183,311 | (494 | ) | ||||||||||||||||||||||
UBS AG | New Zealand Dollar | 113,501 | Sell | 09/21/16 | 79,428 | 80,710 | (1,282 | ) | ||||||||||||||||||||||
UBS AG | New Zealand Dollar | 327,740 | Sell | 09/21/16 | 231,237 | 233,053 | (1,816 | ) | ||||||||||||||||||||||
Westpac Banking Corp. | Chinese Offshore Yuan | 2,335,990 | Sell | 09/01/16 | 341,000 | 349,663 | (8,663 | ) | ||||||||||||||||||||||
Westpac Banking Corp. | Chinese Offshore Yuan | 2,402,744 | Sell | 09/01/16 | 366,000 | 359,656 | 6,344 | |||||||||||||||||||||||
Westpac Banking Corp. | South Korean Won | 195,217,943 | Sell | 07/15/16 | 167,345 | 169,393 | (2,048 | ) | ||||||||||||||||||||||
Westpac Banking Corp. | Malaysian Ringgit | 1,319,432 | Sell | 07/27/16 | 324,424 | 329,986 | (5,562 | ) | ||||||||||||||||||||||
Westpac Banking Corp. | Japanese Yen | 16,475,240 | Sell | 08/10/16 | 157,845 | 159,730 | (1,885 | ) | ||||||||||||||||||||||
Westpac Banking Corp. | EU Euro | 5,613,000 | Sell | 07/13/16 | 6,366,349 | 6,231,171 | 135,178 | |||||||||||||||||||||||
Westpac Banking Corp. | Australian Dollar | 483,000 | Sell | 09/21/16 | 357,676 | 359,169 | (1,493 | ) | ||||||||||||||||||||||
Westpac Banking Corp. | Australian Dollar | 333,240 | Sell | 09/21/16 | 239,966 | 247,804 | (7,838 | ) | ||||||||||||||||||||||
$ | (86,399 | ) |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
Australia 10-Year Bond | 15 | 09/15/16 | $ | 1,523,667 | $ | 16,099 | ||||||||||||
U.S. Treasury 2-Year Note | 51 | 09/30/16 | 11,185,734 | 72,929 | ||||||||||||||
U.S. Treasury 5-Year Note | 120 | 09/30/16 | 14,659,687 | 37,196 | ||||||||||||||
U.S. Treasury Long Bond | 25 | 09/21/16 | 4,308,594 | 181,139 | ||||||||||||||
U.S. Treasury Ultra Long Bond | 9 | 09/21/16 | 1,677,375 | 89,749 | ||||||||||||||
$ | 33,355,057 | $ | 397,112 | |||||||||||||||
Short Contracts | ||||||||||||||||||
U.S. Treasury 10-Year Note | (56 | ) | 09/21/16 | (7,447,125 | ) | (70,156 | ) | |||||||||||
U.S. Treasury Ultra 10-Year Note | (8 | ) | 09/21/16 | (1,165,375 | ) | (30,663 | ) | |||||||||||
$ | (8,612,500 | ) | $ | (100,819 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Reference Entity/Obligation | Buy/Sell Protection | (Pay)/Receive Fixed Rate (%) | Clearinghouse | Termination Date | Notional Amount(2) | Fair Value(3) | Unrealized Appreciation/ (Depreciation) | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX North American High Yield Index Series 26, Version 1 | Buy | (5.000) | Intercontinental Exchange | 06/20/21 | USD 3,700,000 | $(118,818 | ) | $ | (62,186 | ) | ||||||
CDX North American Investment Grade Index Series 26, Version 1 | Buy | (1.000) | Intercontinental Exchange | 06/20/21 | USD 14,300,000 | (156,528 | ) | (43,306 | ) | |||||||
$(275,346 | ) | $ | (105,492 | ) |
(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. |
Clearinghouse | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a fixed rate equal to 2.500% and pay a floating rate based on the 6-month AUD-BBR-BBSW | LCH.Clearnet | 09/21/26 | AUD 3,430,000 | $ | 68,912 | $ | 45,484 | |||||||||||||||
Receive a fixed rate equal to 1.500% and pay a floating rate based on the 3-month CAD-BA-CDOR | LCH.Clearnet | 09/21/21 | CAD 29,290,000 | 632,301 | 179,471 | |||||||||||||||||
Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 1.695% | LCH.Clearnet | 05/11/35 | EUR 550,000 | (59,067 | ) | (41,570 | ) | |||||||||||||||
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 1,890,000 | (202,738 | ) | (264,211 | ) | |||||||||||||||
Receive a fixed rate equal to 1.250% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 12/19/45 | EUR 920,000 | 34,192 | 27,005 | |||||||||||||||||
Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to -0.375% | LCH.Clearnet | 09/21/18 | EUR 18,770,000 | (1,279 | ) | (4,792 | ) | |||||||||||||||
Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 0.400% | LCH.Clearnet | 09/21/18 | EUR 19,540,000 | 9,598 | (6,119 | ) | ||||||||||||||||
Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to -0.160% | LCH.Clearnet | 06/22/19 | EUR 4,690,000 | (5,372 | ) | (4,028 | ) | |||||||||||||||
Receive a floating rate based on the 6-month EUR-EURIBOR-Reuters and pay a fixed rate equal to 0.500% | LCH.Clearnet | 09/21/21 | EUR 5,230,000 | (170,154 | ) | (11,211 | ) | |||||||||||||||
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 6,610,000 | 366,439 | 342,334 | |||||||||||||||||
Receive a fixed rate equal to 1.568% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 05/11/25 | EUR 2,540,000 | 138,993 | 60,082 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
Clearinghouse | Termination Date | Notional Amount | Fair Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a fixed rate equal to 0.862% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 05/25/25 | EUR 8,790,000 | $ | 127,765 | $ | 100,083 | |||||||||||||||
Receive a fixed rate equal to 1.000% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 06/16/26 | EUR 5,640,000 | 56,128 | 44,725 | |||||||||||||||||
Receive a fixed rate equal to 1.000% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 09/21/26 | EUR 7,880,000 | 534,049 | 164,547 | |||||||||||||||||
Receive a fixed rate equal to 1.500% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 12/15/26 | EUR 1,730,000 | 56,294 | 12,796 | |||||||||||||||||
Receive a fixed rate equal to 2.250% and pay a floating rate based on the 6-month EUR-EURIBOR-Reuters | LCH.Clearnet | 12/17/35 | EUR 320,000 | 33,065 | 14,388 | |||||||||||||||||
Receive a floating rate based on the 6-month GBP-LIBOR-BBA and pay a fixed rate equal to 2.250% | LCH.Clearnet | 12/11/32 | GBP 1,420,000 | (262,605 | ) | (262,744 | ) | |||||||||||||||
Receive a floating rate based on the 6-month GBP-LIBOR-BBA and pay a fixed rate equal to 1.600% | LCH.Clearnet | 06/15/46 | GBP 1,680,000 | (101,910 | ) | (88,202 | ) | |||||||||||||||
Receive a floating rate based on the 6-month GBP-LIBOR-BBA and pay a fixed rate equal to 2.250% | LCH.Clearnet | 09/21/46 | GBP 190,000 | (69,813 | ) | (24,202 | ) | |||||||||||||||
Receive a fixed rate equal to 0.400% and pay a floating rate based on the 6-month GBP-LIBOR-BBA | LCH.Clearnet | 09/21/18 | GBP 6,970,000 | 14,737 | 14,737 | |||||||||||||||||
Receive a fixed rate equal to 0.464% and pay a floating rate based on the 6-month GBP-LIBOR-BBA | LCH.Clearnet | 09/21/18 | GBP 6,750,000 | 25,706 | 19,545 | |||||||||||||||||
Receive a fixed rate equal to 1.750% and pay a floating rate based on the 6-month GBP-LIBOR-BBA | LCH.Clearnet | 09/21/21 | GBP 1,690,000 | 128,588 | 7,888 | |||||||||||||||||
Receive a floating rate based on the 6-month GBP-LIBOR-BBA and pay a fixed rate equal to 1.940% | LCH.Clearnet | 12/11/22 | GBP 1,600,000 | (125,324 | ) | (124,304 | ) | |||||||||||||||
Receive a fixed rate equal to 2.190% and pay a floating rate based on the 6-month GBP-LIBOR-BBA | LCH.Clearnet | 12/11/27 | GBP 2,800,000 | 382,134 | 378,976 | |||||||||||||||||
Receive a floating rate based on the 6-month GBP-LIBOR-BBA and pay a fixed rate equal to 2.500% | LCH.Clearnet | 12/17/35 | GBP 700,000 | (80,309 | ) | (4,661 | ) | |||||||||||||||
Receive a floating rate based on the 6-month JPY-LIBOR-BBA and pay a fixed rate equal to 2.000% | LCH.Clearnet | 12/17/35 | JPY 306,740,000 | (503,045 | ) | (193,099 | ) | |||||||||||||||
Receive a floating rate based on the 6-month JPY-LIBOR-BBA and pay a fixed rate equal to 0.900% | LCH.Clearnet | 03/30/36 | JPY 244,620,000 | (135,182 | ) | (104,253 | ) | |||||||||||||||
Receive a floating rate based on the 6-month JPY-LIBOR-BBA and pay a fixed rate equal to 0.500% | LCH.Clearnet | 09/21/36 | JPY 582,490,000 | (389,418 | ) | (213,129 | ) | |||||||||||||||
Receive a floating rate based on the 6-month JPY-LIBOR-BBA and pay a fixed rate equal to 2.000% | LCH.Clearnet | 12/19/45 | JPY 264,000,000 | (434,753 | ) | (209,338 | ) | |||||||||||||||
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 587,210,000 | (273,423 | ) | (70,030 | ) | |||||||||||||||
Receive a fixed rate equal to 3.911% and pay a floating rate based on the 28-day MXN TIIE-BANXICO | Chicago Mercantile Exchange | 11/07/16 | MXN 14,290,000 | (1,834 | ) | (1,677 | ) | |||||||||||||||
Receive a fixed rate equal to 3.920% and pay a floating rate based on the 28-day MXN TIIE-BANXICO | Chicago Mercantile Exchange | 11/08/16 | MXN 6,070,000 | (776 | ) | (707 | ) | |||||||||||||||
Receive a fixed rate equal to 3.900% and pay a floating rate based on the 28-day MXN TIIE-BANXICO | Chicago Mercantile Exchange | 11/09/16 | MXN 12,290,000 | (1,635 | ) | (1,506 | ) | |||||||||||||||
Receive a fixed rate equal to 1.614% and pay a floating rate based on the 6-month PLZ-WIBOR-WIBO | LCH.Clearnet | 09/21/18 | PLN 11,780,000 | 3,271 | 4,105 | |||||||||||||||||
Receive a fixed rate equal to 0.050% and pay a floating rate based on the 3-month SEK-STIBOR-SIDE | LCH.Clearnet | 06/15/18 | SEK 35,220,000 | 40,503 | 6,629 | |||||||||||||||||
Receive a floating rate based on the 3-month SEK-STIBOR-SIDE and pay a fixed rate equal to 0.250% | LCH.Clearnet | 09/21/21 | SEK 15,080,000 | (17,547 | ) | (19,185 | ) | |||||||||||||||
Receive a floating rate based on the 3-month SEK-STIBOR-SIDE and pay a fixed rate equal to 1.000% | LCH.Clearnet | 09/21/26 | SEK 15,880,000 | (38,560 | ) | (48,810 | ) | |||||||||||||||
Receive a fixed rate equal to 3.000% and pay a floating rate based on the 3-month USB-LIBOR-BBA | LCH.Clearnet | 12/17/35 | USD 3,580,000 | 248,501 | 108,894 |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
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 3.000% | LCH.Clearnet | 12/17/35 | USD 360,000 | $ | (24,989 | ) | $ | (7,011 | ) | |||||||||||||
Receive a fixed rate equal to 2.750% and pay a floating rate based on the 3-month USB-LIBOR-BBA | LCH.Clearnet | 12/19/45 | USD 3,090,000 | 133,904 | 34,425 | |||||||||||||||||
Receive a fixed rate equal to 2.750% and pay a floating rate based on the 3-month USB-LIBOR-BBA | LCH.Clearnet | 09/21/46 | USD 920,000 | 201,118 | 50,137 | |||||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.000% | LCH.Clearnet | 09/21/21 | USD 21,210,000 | (1,018,249 | ) | (207,440 | ) | |||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 2.250% | LCH.Clearnet | 09/21/26 | USD 5,460,000 | (438,817 | ) | (84,142 | ) | |||||||||||||||
Receive a fixed rate equal to 2.500% and pay a floating rate based on the 3-month USB-LIBOR-BBA | LCH.Clearnet | 12/15/26 | USD 5,340,000 | 162,430 | 55,988 | |||||||||||||||||
$ | (958,171 | ) | $ | (324,132 | ) |
Principal Amount | | Description | | Fair Value | ||||||
---|---|---|---|---|---|---|---|---|---|---|
$(8,000,000) | Fannie Mae | $ | (8,441,874 | ) | ||||||
(2,000,000) | Freddie Mac | (2,108,594 | ) | |||||||
Total Sales Commitments Proceeds $(10,489,375) | $ | (10,550,468 | ) |
The fair value of derivative instruments as of June 30, 2016 was as follows:
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | �� | |||||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | $ | 1,120,481 | |||||||
Interest rate contracts | Net Assets - Unrealized appreciation* | 397,112 | ||||||||
Interest rate contracts | Net Assets - Unrealized appreciation** | 1,672,238 | ||||||||
Total Asset Derivatives | $ | 3,189,831 | ||||||||
Liability Derivatives | ||||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 1,039,208 | |||||||
Interest rate contracts | Net Assets - Unrealized depreciation* | 100,819 | ||||||||
Credit contracts | Net Assets - Unrealized depreciation** | 105,492 | ||||||||
Interest rate contracts | Net Assets - Unrealized depreciation** | 1,996,371 | ||||||||
Total Liability Derivatives | $ | 3,241,890 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
** | 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. |
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 | $ | — | $ | — | $ | (335,097 | ) | $ | (335,097 | ) | |||||||
Foreign exchange contracts | (761,851 | ) | — | — | (761,851 | ) | |||||||||||
Interest rate contracts | — | 192,506 | (217,804 | ) | (25,298 | ) | |||||||||||
Total | $ | (761,851 | ) | $ | 192,506 | $ | (552,901 | ) | $ | (1,122,246 | ) |
VY® GOLDMAN SACHS BOND PORTFOLIO | SUMMARY PORTFOLIO OF INVESTMENTS AS OF JUNE 30, 2016 (UNAUDITED) (CONTINUED) |
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 | $ | — | $ | — | $ | (54,409 | ) | $ | (54,409 | ) | |||||||||
Foreign exchange contracts | 185,188 | — | — | 185,188 | |||||||||||||||
Interest rate contracts | — | 294,688 | (507,788 | ) | (213,100 | ) | |||||||||||||
Total | $ | 185,188 | $ | 294,688 | $ | (562,197 | ) | $ | (82,321 | ) |
* | 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 N.A. | Barclays Bank PLC | BNP Paribas Bank | Citibank N.A. | Credit Suisse International | Deutsche Bank AG | JPMorgan Chase Bank N.A. | Morgan Stanley & Co. International PLC | Standard Chartered Bank PLC | State Street Bank | The Royal Bank of Canada | The Royal Bank of Scotland Group PLC | UBS AG | Westpac Banking Corp. | Totals | ||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 40,035 | $ | 42,409 | $ | 30,432 | $ | 138,314 | $ | 23,733 | $ | 81,299 | $ | 81,087 | $ | 188,347 | $ | 62,278 | $ | 27,988 | $ | 33,512 | $ | 8,350 | $ | 136,922 | $ | 225,775 | $ | 1,120,481 | ||||||||||||||||||||||||||||||||
Total Assets | $ | 40,035 | $ | 42,409 | $ | 30,432 | $ | 138,314 | $ | 23,733 | $ | 81,299 | $ | 81,087 | $ | 188,347 | $ | 62,278 | $ | 27,988 | $ | 33,512 | $ | 8,350 | $ | 136,922 | $ | 225,775 | $ | 1,120,481 | ||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Forward foreign currency contracts | $ | 20,534 | $ | 60,068 | $ | 39,424 | $ | 177,486 | $ | 18,445 | $ | 82,915 | $ | 69,251 | $ | 99,861 | $ | 74,124 | $ | 57,529 | $ | 59,428 | $ | 20,999 | $ | 172,187 | $ | 86,957 | $ | 1,039,208 | ||||||||||||||||||||||||||||||||
Total Liabilities | $ | 20,534 | $ | 60,068 | $ | 39,424 | $ | 177,486 | $ | 18,445 | $ | 82,915 | $ | 69,251 | $ | 99,861 | $ | 74,124 | $ | 57,529 | $ | 59,428 | $ | 20,999 | $ | 172,187 | $ | 86,957 | $ | 1,039,208 | ||||||||||||||||||||||||||||||||
Net OTC derivative instruments by counterparty, at fair value | $ | 19,501 | $ | (17,659 | ) | $ | (8,992 | ) | $ | (39,172 | ) | $ | 5,288 | $ | (1,616 | ) | $ | 11,836 | $ | 88,486 | $ | (11,846 | ) | $ | (29,541 | ) | $ | (25,916 | ) | $ | (12,649 | ) | $ | (35,265 | ) | $ | 138,818 | $ | 81,273 | |||||||||||||||||||||||
Total collateral pledged by the Portfolio/(Received from counterparty) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||||
Net Exposure(1) | $ | 19,501 | $ | (17,659 | ) | $ | (8,992 | ) | $ | (39,172 | ) | $ | 5,288 | $ | (1,616 | ) | $ | 11,836 | $ | 88,486 | $ | (11,846 | ) | $ | (29,541 | ) | $ | (25,916 | ) | $ | (12,649 | ) | $ | (35,265 | ) | $ | 138,818 | $ | 81,273 |
(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. |
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
225 Liberty Street
New York, New York 10286
Ropes & Gray LLP
Prudential Tower
800 Boylston Street
Boston, Massachusetts 02199
RETIREMENT | INVESTMENTS | INSURANCE voyainvestments.com | ![]() VPSAR-VIT3AIS (0616-082216) |
Item 2. Code of Ethics.
Not required for semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not required for semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not required for semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not required for semi-annual filing.
Item 6. Schedule of Investments.
Complete schedule of investments filed herein.
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2016 (Unaudited) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: 29.2% | ||||||||||||||
Basic Materials: 0.5% | ||||||||||||||
275,000 | Ecolab, Inc., 5.500%, 12/08/41 | 345,801 | 0.2 | |||||||||||
39,000 | # | Glencore Funding LLC, 2.500%, 01/15/19 | 37,684 | 0.0 | ||||||||||
225,000 | LyondellBasell Industries NV, 5.000%, 04/15/19 | 243,790 | 0.1 | |||||||||||
375,000 | # | WR Grace & Co-Conn, 5.125%, 10/01/21 | 386,250 | 0.2 | ||||||||||
1,013,525 | 0.5 | |||||||||||||
Communications: 4.9% | ||||||||||||||
550,000 | 21st Century Fox America, Inc., 4.000%, 10/01/23 | 605,902 | 0.3 | |||||||||||
775,000 | Amazon.com, Inc., 3.300%, 12/05/21 | 837,302 | 0.4 | |||||||||||
175,000 | AT&T, Inc., 3.400%, 05/15/25 | 179,427 | 0.1 | |||||||||||
325,000 | AT&T, Inc., 3.800%, 03/15/22 | 346,661 | 0.2 | |||||||||||
100,000 | AT&T, Inc., 3.950%, 01/15/25 | 106,019 | 0.1 | |||||||||||
325,000 | # | Charter Communications Operating LLC 4.908, 4.908%, 07/23/25 | 354,854 | 0.2 | ||||||||||
25,000 | # | Charter Communications Operating LLC / Charter Communications Operating Capital, 3.579%, 07/23/20 | 26,163 | 0.0 | ||||||||||
275,000 | Cisco Systems, Inc., 2.200%, 02/28/21 | 283,518 | 0.1 | |||||||||||
500,000 | # | DISH DBS Corp., 7.750%, 07/01/26 | 517,500 | 0.3 | ||||||||||
175,000 | Intelsat Jackson Holdings SA, 7.250%, 04/01/19 | 128,625 | 0.1 | |||||||||||
775,000 | NBCUniversal Media, LLC, 4.450%, 01/15/43 | 866,235 | 0.4 | |||||||||||
50,000 | # | Nielsen Finance LLC / Nielsen Finance Co., 5.000%, 04/15/22 | 51,187 | 0.0 | ||||||||||
400,000 | Priceline Group, Inc./The, 3.600%, 06/01/26 | 412,660 | 0.2 | |||||||||||
175,000 | Sprint Corp., 7.875%, 09/15/23 | 143,938 | 0.1 | |||||||||||
350,000 | Telefonica Emisiones SAU, 5.134%, 04/27/20 | 386,710 | 0.2 | |||||||||||
950,000 | Telefonica Emisiones SAU, 5.462%, 02/16/21 | 1,085,077 | 0.5 | |||||||||||
275,000 | Time Warner Cable, Inc., 4.125%, 02/15/21 | 291,444 | 0.1 | |||||||||||
50,000 | Time Warner Cable, Inc., 5.000%, 02/01/20 | 54,396 | 0.0 | |||||||||||
50,000 | Time Warner Cable, Inc., 5.875%, 11/15/40 | 54,661 | 0.0 | |||||||||||
100,000 | Time Warner, Inc., 3.875%, 01/15/26 | 108,081 | 0.1 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Communications: (continued) | ||||||||||||||
800,000 | Verizon Communications, Inc., 2.625%, 02/21/20 | 828,189 | 0.4 | |||||||||||
575,000 | Verizon Communications, Inc., 4.150%, 03/15/24 | 635,231 | 0.3 | |||||||||||
1,450,000 | Verizon Communications, Inc., 5.150%, 09/15/23 | 1,691,951 | 0.8 | |||||||||||
9,995,731 | 4.9 | |||||||||||||
Consumer, Cyclical: 2.5% | ||||||||||||||
950,000 | CVS Health Corp., 3.375%, 08/12/24 | 1,011,866 | 0.5 | |||||||||||
275,000 | CVS Health Corp., 3.500%, 07/20/22 | 296,522 | 0.2 | |||||||||||
275,000 | CVS Health Corp., 2.875%, 06/01/26 | 281,662 | 0.1 | |||||||||||
375,000 | # | Dollar Tree, Inc., 5.750%, 03/01/23 | 400,312 | 0.2 | ||||||||||
1,175,000 | Ford Motor Credit Co., LLC, 5.875%, 08/02/21 | 1,349,263 | 0.7 | |||||||||||
575,000 | General Motors Financial Co., Inc., 3.500%, 07/10/19 | 595,403 | 0.3 | |||||||||||
375,000 | MGM Resorts International, 6.625%, 12/15/21 | 409,688 | 0.2 | |||||||||||
250,000 | Sally Holdings LLC / Sally Capital, Inc., 5.625%, 12/01/25 | 263,125 | 0.1 | |||||||||||
175,000 | Walgreens Boots Alliance, Inc., 2.600%, 06/01/21 | 178,086 | 0.1 | |||||||||||
200,000 | Walgreens Boots Alliance, Inc., 3.450%, 06/01/26 | 206,041 | 0.1 | |||||||||||
50,000 | Walgreens Boots Alliance, Inc., 4.800%, 11/18/44 | 53,887 | 0.0 | |||||||||||
5,045,855 | 2.5 | |||||||||||||
Consumer, Non-cyclical: 6.4% | ||||||||||||||
175,000 | AbbVie, Inc., 2.300%, 05/14/21 | 177,346 | 0.1 | |||||||||||
375,000 | AbbVie, Inc., 2.500%, 05/14/20 | 384,225 | 0.2 | |||||||||||
75,000 | AbbVie, Inc., 3.200%, 05/14/26 | 75,989 | 0.0 | |||||||||||
975,000 | Actavis Funding SCS, 2.350%, 03/12/18 | 988,696 | 0.5 | |||||||||||
250,000 | Actavis Funding SCS, 3.450%, 03/15/22 | 260,052 | 0.1 | |||||||||||
285,000 | Actavis Funding SCS, 3.800%, 03/15/25 | 297,078 | 0.1 | |||||||||||
300,000 | Actavis Funding SCS, 4.850%, 06/15/44 | 317,370 | 0.2 | |||||||||||
150,000 | Aetna, Inc., 2.800%, 06/15/23 | 153,580 | 0.1 | |||||||||||
175,000 | Aetna, Inc., 2.400%, 06/15/21 | 179,045 | 0.1 | |||||||||||
1,125,000 | Anheuser-Busch InBev Finance, Inc., 2.650%, 02/01/21 | 1,167,023 | 0.6 | |||||||||||
775,000 | Anheuser-Busch InBev Finance, Inc., 3.650%, 02/01/26 | 831,138 | 0.4 |
See Accompanying Notes to Financial Statements
1 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2016 (Unaudited) (continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Consumer, Non-cyclical: (continued) | ||||||||||||||
150,000 | Anheuser-Busch InBev Finance, Inc., 4.900%, 02/01/46 | 176,432 | 0.1 | |||||||||||
800,000 | # | BAT International Finance PLC, 3.950%, 06/15/25 | 891,757 | 0.4 | ||||||||||
475,000 | # | Bayer US Finance LLC, 3.000%, 10/08/21 | 496,442 | 0.2 | ||||||||||
200,000 | Becton Dickinson & Co., 2.675%, 12/15/19 | 205,875 | 0.1 | |||||||||||
375,000 | CHS/Community Health Systems, Inc., 5.125%, 08/01/21 | 374,062 | 0.2 | |||||||||||
700,000 | # | EMD Finance LLC, 2.950%, 03/19/22 | 718,189 | 0.4 | ||||||||||
350,000 | HCA, Inc., 6.500%, 02/15/20 | 388,937 | 0.2 | |||||||||||
225,000 | # | Kraft Heinz Foods Co., 2.800%, 07/02/20 | 233,886 | 0.1 | ||||||||||
325,000 | # | Kraft Heinz Foods Co., 3.950%, 07/15/25 | 354,193 | 0.2 | ||||||||||
400,000 | # | Kraft Heinz Foods Co., 4.375%, 06/01/46 | 425,101 | 0.2 | ||||||||||
400,000 | Mead Johnson Nutrition Co., 4.125%, 11/15/25 | 437,349 | 0.2 | |||||||||||
375,000 | Medtronic, Inc., 3.150%, 03/15/22 | 400,552 | 0.2 | |||||||||||
100,000 | Molson Coors Brewing Co., 2.100%, 07/15/21 | 100,432 | 0.0 | |||||||||||
150,000 | Molson Coors Brewing Co., 3.000%, 07/15/26 | 150,257 | 0.1 | |||||||||||
250,000 | # | Pernod Ricard SA, 4.450%, 01/15/22 | 275,823 | 0.1 | ||||||||||
200,000 | Philip Morris International, Inc., 2.750%, 02/25/26 | 206,617 | 0.1 | |||||||||||
1,375,000 | Reynolds American, Inc., 4.450%, 06/12/25 | 1,539,106 | 0.8 | |||||||||||
125,000 | Stryker Corp., 2.625%, 03/15/21 | 129,352 | 0.1 | |||||||||||
300,000 | Thermo Fisher Scientific, Inc., 3.000%, 04/15/23 | 305,956 | 0.2 | |||||||||||
225,000 | UnitedHealth Group, Inc., 4.750%, 07/15/45 | 273,093 | 0.1 | |||||||||||
12,914,953 | 6.4 | |||||||||||||
Energy: 2.3% | ||||||||||||||
350,000 | Anadarko Petroleum Corp., 3.450%, 07/15/24 | 342,849 | 0.2 | |||||||||||
400,000 | Antero Resources Corp., 5.625%, 06/01/23 | 390,000 | 0.2 | |||||||||||
420,000 | Apache Corp., 4.250%, 01/15/44 | 408,446 | 0.2 | |||||||||||
400,000 | L | ConocoPhillips Co., 3.350%, 11/15/24 | 412,794 | 0.2 | ||||||||||
150,000 | ConocoPhillips Co., 4.950%, 03/15/26 | 170,357 | 0.1 | |||||||||||
280,000 | Devon Energy Corp., 4.750%, 05/15/42 | 251,988 | 0.1 | |||||||||||
125,000 | Enbridge, Inc., 3.500%, 06/10/24 | 119,872 | 0.1 | |||||||||||
75,000 | Energy Transfer Partners L.P., 4.750%, 01/15/26 | 77,560 | 0.0 | |||||||||||
550,000 | Enterprise Products Operating L.P., 8.375%, 08/01/66 | 485,265 | 0.3 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Energy: (continued) | ||||||||||||||
75,000 | Enterprise Products Operating LLC, 7.034%, 01/15/68 | 79,050 | 0.1 | |||||||||||
50,000 | L | Laredo Petroleum, Inc., 6.250%, 03/15/23 | 47,750 | 0.0 | ||||||||||
350,000 | Occidental Petroleum Corp., 3.400%, 04/15/26 | 369,785 | 0.2 | |||||||||||
40,000 | Petrobras Global Finance BV, 4.875%, 03/17/20 | 37,600 | 0.0 | |||||||||||
200,000 | Petrobras Global Finance BV, 8.375%, 05/23/21 | 206,900 | 0.1 | |||||||||||
20,000 | Petroleos de Venezuela SA, 5.375%, 04/12/27 | 7,024 | 0.0 | |||||||||||
250,000 | Pioneer Natural Resources Co., 3.450%, 01/15/21 | 258,435 | 0.1 | |||||||||||
225,000 | Western Gas Partners L.P., 3.950%, 06/01/25 | 215,360 | 0.1 | |||||||||||
425,000 | Williams Partners L.P., 3.600%, 03/15/22 | 402,886 | 0.2 | |||||||||||
300,000 | Williams Partners L.P., 3.900%, 01/15/25 | 273,290 | 0.1 | |||||||||||
4,557,211 | 2.3 | |||||||||||||
Financial: 10.1% | ||||||||||||||
200,000 | American International Group, Inc., 3.750%, 07/10/25 | 204,317 | 0.1 | |||||||||||
375,000 | American Campus Communities Operating Partnership L.P., 3.750%, 04/15/23 | 387,729 | 0.2 | |||||||||||
550,000 | American Express Co., 6.800%, 09/01/66 | 550,687 | 0.3 | |||||||||||
125,000 | American Tower Corp., 3.300%, 02/15/21 | 130,550 | 0.1 | |||||||||||
200,000 | American Tower Corp., 3.400%, 02/15/19 | 208,396 | 0.1 | |||||||||||
450,000 | Arch Capital Group US, Inc., 5.144%, 11/01/43 | 489,458 | 0.2 | |||||||||||
550,000 | Banco Bilbao Vizcaya Argentaria SA, 3.000%, 10/20/20 | 560,774 | 0.3 | |||||||||||
400,000 | Bank of America Corp., 4.000%, 04/01/24 | 427,811 | 0.2 | |||||||||||
275,000 | L | Bank of America Corp., 6.500%, 10/29/49 | 293,219 | 0.1 | ||||||||||
325,000 | Capital One Financial Corp., 4.200%, 10/29/25 | 334,914 | 0.2 | |||||||||||
250,000 | Chubb Corp., 6.375%, 04/15/37 | 218,125 | 0.1 | |||||||||||
350,000 | Citigroup, Inc., 5.875%, 12/29/49 | 336,437 | 0.2 | |||||||||||
350,000 | Compass Bank, 5.500%, 04/01/20 | 377,581 | 0.2 | |||||||||||
200,000 | # | Credit Suisse AG, 6.500%, 08/08/23 | 210,050 | 0.1 | ||||||||||
375,000 | Crown Castle International Corp., 5.250%, 01/15/23 | 422,269 | 0.2 | |||||||||||
425,000 | Discover Financial Services, 3.750%, 03/04/25 | 429,122 | 0.2 | |||||||||||
350,000 | Education Realty Operating Partnership L.P., 4.600%, 12/01/24 | 360,041 | 0.2 |
See Accompanying Notes to Financial Statements
2 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2016 (Unaudited) (continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Financial: (continued) | ||||||||||||||
306,000 | # | GE Capital International Funding Co., 4.418%, 11/15/35 | 343,952 | 0.2 | ||||||||||
500,000 | ING Bank NV, 4.125%, 11/21/23 | 508,475 | 0.3 | |||||||||||
600,000 | # | International Lease Finance Corp., 6.750%, 09/01/16 | 603,235 | 0.3 | ||||||||||
575,000 | Intesa Sanpaolo SpA, 3.875%, 01/16/18 | 590,168 | 0.3 | |||||||||||
375,000 | # | Intesa Sanpaolo SpA, 5.017%, 06/26/24 | 345,200 | 0.2 | ||||||||||
500,000 | JPMorgan Chase & Co., 5.300%, 12/29/49 | 499,375 | 0.2 | |||||||||||
1,700,000 | KFW, 1.125%, 08/06/18 | 1,710,933 | 0.8 | |||||||||||
775,000 | Lloyds Bank PLC, 2.350%, 09/05/19 | 780,022 | 0.4 | |||||||||||
525,000 | Lloyds Banking Group PLC, 4.650%, 03/24/26 | 532,919 | 0.3 | |||||||||||
225,000 | # | Macquarie Bank Ltd., 6.625%, 04/07/21 | 260,401 | 0.1 | ||||||||||
250,000 | # | Meiji Yasuda Life Insurance Co., 5.200%, 10/20/45 | 274,312 | 0.1 | ||||||||||
350,000 | Mitsubishi UFJ Financial Group, Inc., 2.950%, 03/01/21 | 362,782 | 0.2 | |||||||||||
450,000 | # | Mizuho Financial Group, Inc., 2.632%, 04/12/21 | 458,605 | 0.2 | ||||||||||
600,000 | Morgan Stanley, 3.700%, 10/23/24 | 629,037 | 0.3 | |||||||||||
25,000 | Morgan Stanley, 4.000%, 07/23/25 | 26,834 | 0.0 | |||||||||||
350,000 | Morgan Stanley, 5.550%, 12/29/49 | 347,148 | 0.2 | |||||||||||
375,000 | # | Nationwide Building Society, 3.900%, 07/21/25 | 401,591 | 0.2 | ||||||||||
200,000 | Royal Bank of Scotland PLC, 9.500%, 03/16/22 | 208,472 | 0.1 | |||||||||||
500,000 | Royal Bank of Scotland PLC, 9.500%, 03/16/22 | 521,181 | 0.3 | |||||||||||
300,000 | Santander Bank NA, 2.000%, 01/12/18 | 299,942 | 0.1 | |||||||||||
450,000 | Santander Holdings USA, Inc./PA, 2.650%, 04/17/20 | 444,798 | 0.2 | |||||||||||
1,025,000 | # | Santander UK PLC, 5.000%, 11/07/23 | 1,055,646 | 0.5 | ||||||||||
150,000 | Select Income REIT, 3.600%, 02/01/20 | 152,781 | 0.1 | |||||||||||
450,000 | # | Sumitomo Mitsui Financial Group, Inc., 4.436%, 04/02/24 | 482,838 | 0.2 | ||||||||||
775,000 | Synchrony Financial, 3.000%, 08/15/19 | 790,862 | 0.4 | |||||||||||
425,000 | TD Ameritrade Holding Corp., 2.950%, 04/01/22 | 443,210 | 0.2 | |||||||||||
175,000 | # | Teachers Insurance & Annuity Association of America, 4.900%, 09/15/44 | 194,892 | 0.1 | ||||||||||
225,000 | # | UBS Group Funding Jersey Ltd., 3.000%, 04/15/21 | 229,768 | 0.1 | ||||||||||
300,000 | Vereit Operating Partnership L.P., 3.000%, 02/06/19 | 301,875 | 0.2 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
CORPORATE BONDS/NOTES: (continued) | ||||||||||||||
Financial: (continued) | ||||||||||||||
250,000 | VEREIT Operating Partnership L.P., 4.125%, 06/01/21 | 261,250 | 0.1 | |||||||||||
150,000 | VEREIT Operating Partnership L.P., 4.875%, 06/01/26 | 154,313 | 0.1 | |||||||||||
275,000 | # | WEA Finance LLC / Westfield UK & Europe Finance PLC, 3.750%, 09/17/24 | 287,308 | 0.1 | ||||||||||
20,445,605 | 10.1 | |||||||||||||
Industrial: 0.8% | ||||||||||||||
94,000 | General Electric Capital Corp., 6.150%, 08/07/37 | 130,456 | 0.1 | |||||||||||
600,000 | # | Penske Truck Leasing Co. Lp / PTL Finance Corp., 3.375%, 02/01/22 | 612,701 | 0.3 | ||||||||||
200,000 | # | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 5.125%, 07/15/23 | 202,750 | 0.1 | ||||||||||
250,000 | Roper Technologies, Inc., 3.000%, 12/15/20 | 258,756 | 0.1 | |||||||||||
375,000 | # | Sealed Air Corp., 5.250%, 04/01/23 | 390,000 | 0.2 | ||||||||||
1,594,663 | 0.8 | |||||||||||||
Technology: 1.4% | ||||||||||||||
425,000 | Fidelity National Information Services, Inc., 3.625%, 10/15/20 | 449,646 | 0.2 | |||||||||||
300,000 | Fiserv, Inc., 2.700%, 06/01/20 | 310,894 | 0.2 | |||||||||||
250,000 | # | Hewlett Packard Enterprise Co., 4.900%, 10/15/25 | 261,803 | 0.1 | ||||||||||
500,000 | Intel Corp., 3.700%, 07/29/25 | 556,258 | 0.3 | |||||||||||
400,000 | Microsoft Corp., 3.125%, 11/03/25 | 428,777 | 0.2 | |||||||||||
700,000 | # | NXP BV / NXP Funding LLC, 4.625%, 06/01/23 | 714,000 | 0.3 | ||||||||||
200,000 | Oracle Corp., 2.500%, 05/15/22 | 204,530 | 0.1 | |||||||||||
2,925,908 | 1.4 | |||||||||||||
Utilities: 0.3% | ||||||||||||||
250,000 | Puget Sound Energy, Inc., 6.974%, 06/01/67 | 212,813 | 0.1 | |||||||||||
400,000 | Southern Co/The, 2.350%, 07/01/21 | 408,337 | 0.2 | |||||||||||
621,150 | 0.3 | |||||||||||||
Total Corporate Bonds/Notes | ||||||||||||||
(Cost $57,870,212) | 59,114,601 | 29.2 | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 2.3% | ||||||||||||||
399,752 | CHL Mortgage Pass-Through Trust 2005-25 A12, 5.500%, 11/25/35 | 370,520 | 0.2 | |||||||||||
EUR | 470,538 | CSEMC 15-1HWA, 2.750%, 04/20/20 | 498,997 | 0.3 | ||||||||||
987,395 | Fannie Mae REMIC Trust 2016-32 FB, 0.953%, 06/25/46 | 989,326 | 0.5 |
See Accompanying Notes to Financial Statements
3 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2016 (Unaudited) (continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | ||||||||||||||
650,000 | # | FREMF Mortgage Trust 2015-K44 B, 3.811%, 01/25/48 | 630,098 | 0.3 | ||||||||||
1,331,889 | GS Mortgage Securities Trust 2007-GG10, 5.988%, 08/10/45 | 1,371,111 | 0.7 | |||||||||||
883,413 | WaMu Mortgage Pass-Through Certificates Series 2006-AR9 Trust, 1.437%, 08/25/46 | 748,392 | 0.3 | |||||||||||
Total Collateralized Mortgage Obligations | ||||||||||||||
(Cost $4,678,277) | 4,608,444 | 2.3 | ||||||||||||
MUNICIPAL BONDS: 1.1% | ||||||||||||||
California: 0.6% | ||||||||||||||
400,000 | East Bay Municipal Utility District Water System Revenue, 5.874%, 06/01/40 | 551,196 | 0.3 | |||||||||||
350,000 | Bay Area Toll Authority, 7.043%, 04/01/50 | 549,983 | 0.3 | |||||||||||
1,101,179 | 0.6 | |||||||||||||
Puerto Rico: 0.5% | ||||||||||||||
100,000 | Commonwealth of Puerto Rico, 6.000%, 07/01/39 | 65,472 | 0.0 | |||||||||||
450,000 | ± | Commonwealth of Puerto Rico, 8.000%, 07/01/35 | 300,384 | 0.2 | ||||||||||
85,000 | ± | Puerto Rico Commonwealth Aqueduct & Sewer Authority, 5.250%, 07/01/42 | 57,060 | 0.0 | ||||||||||
50,000 | Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, 5.375%, 08/01/36 | 23,290 | 0.0 | |||||||||||
50,000 | Puerto Rico Sales Tax Financing Corp., 5.250%, 08/01/41 | 23,279 | 0.0 | |||||||||||
1,000,000 | Puerto Rico Sales Tax Financing Corp., 5.500%, 08/01/37 | 467,920 | 0.2 | |||||||||||
195,000 | Puerto Rico Sales Tax Financing Corp., 5.000%, 08/01/43 | 90,297 | 0.1 | |||||||||||
150,000 | Puerto Rico Sales Tax Financing Corp., 6.000%, 08/01/39 | 71,262 | 0.0 | |||||||||||
1,098,964 | 0.5 | |||||||||||||
Total Municipal Bonds | ||||||||||||||
(Cost $2,222,479) | 2,200,143 | 1.1 | ||||||||||||
U.S. TREASURY OBLIGATIONS: 18.2% | ||||||||||||||
Treasury Inflation Indexed Protected Securities: 4.5%STRIP | ||||||||||||||
3,208,624 | 0.125%, due 04/15/18 | 3,257,671 | 1.6 | |||||||||||
510,545 | 0.125%, due 04/15/19 | 521,567 | 0.3 | |||||||||||
777,420 | 0.125%, due 01/15/23 | 788,656 | 0.4 | |||||||||||
822,496 | 0.375%, due 07/15/23 | 851,616 | 0.4 | |||||||||||
302,679 | 0.375%, due 07/15/25 | 311,986 | 0.2 | |||||||||||
2,255,924 | 0.625%, due 01/15/24 | 2,364,712 | 1.2 | |||||||||||
70,486 | 0.625%, due 01/15/26 | 74,295 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
U.S. TREASURY OBLIGATIONS: (continued) | ||||||||||||||
Treasury Inflation Indexed Protected Securities: (continued) | ||||||||||||||
668,640 | 2.500%, due 01/15/29 | 848,576 | 0.4 | |||||||||||
9,019,079 | 4.5 | |||||||||||||
U.S. Treasury Bonds: 7.1%STRIP | ||||||||||||||
200,000 | 2.000%, due 08/15/25 | 209,219 | 0.1 | |||||||||||
500,000 | 2.125%, due 05/15/25 | 528,467 | 0.3 | |||||||||||
150,000 | 2.250%, due 11/15/25 | 160,125 | 0.1 | |||||||||||
540,000 | 2.500%, due 05/15/46 | 563,372 | 0.3 | |||||||||||
800,000 | 2.875%, due 08/15/45 | 898,594 | 0.4 | |||||||||||
1,100,000 | 3.625%, due 08/15/43 | 1,420,654 | 0.7 | |||||||||||
7,560,000 | 3.625%, due 02/15/44 | 9,756,384 | 4.8 | |||||||||||
600,000 | 3.750%, due 11/15/43 | 792,410 | 0.4 | |||||||||||
14,329,225 | 7.1 | |||||||||||||
U.S. Treasury Notes: 6.1%STRIP | ||||||||||||||
4,000,000 | 0.625%, due 06/30/18 | 4,002,580 | 2.0 | |||||||||||
700,000 | 0.750%, due 12/31/17 | 701,968 | 0.3 | |||||||||||
2,100,000 | 0.750%, due 01/31/18 | 2,105,905 | 1.0 | |||||||||||
1,660,000 | 0.750%, due 02/28/18 | 1,664,734 | 0.8 | |||||||||||
1,320,000 | 0.875%, due 11/30/17 | 1,325,724 | 0.7 | |||||||||||
2,600,000 | 1.000%, due 12/31/17 | 2,616,656 | 1.3 | |||||||||||
12,417,567 | 6.1 | |||||||||||||
U.S. Treasury STRIP: 0.5%STRIP | ||||||||||||||
1,500,000 | ^ | 2.170%, due 08/15/36 | 974,116 | 0.5 | ||||||||||
Total U.S. Treasury Obligations | ||||||||||||||
(Cost $35,138,959) | 36,739,987 | 18.2 | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 35.2% | ||||||||||||||
Federal Home Loan Bank: 1.2%STRIP | ||||||||||||||
900,000 | 2.625%, due 09/12/25 | 962,656 | 0.5 | |||||||||||
1,300,000 | 2.875%, due 06/13/25 | 1,415,318 | 0.7 | |||||||||||
2,377,974 | 1.2 | |||||||||||||
Federal Home Loan Mortgage Corporation: 9.3%##STRIP | ||||||||||||||
8,000,000 | W | 4.000%, due 07/01/45 | 8,577,896 | 4.3 | ||||||||||
800,000 | 2.811%, due 01/25/25 | 851,168 | 0.4 | |||||||||||
3,000,000 | 3.062%, due 12/25/24 | 3,251,391 | 1.6 | |||||||||||
1,731,105 | 3.500%, due 04/01/43 | 1,829,298 | 0.9 | |||||||||||
986,540 | 3.500%, due 03/01/46 | 1,054,482 | 0.5 | |||||||||||
985,581 | 3.500%, due 03/01/46 | 1,041,644 | 0.5 | |||||||||||
990,325 | 3.500%, due 04/01/46 | 1,052,723 | 0.5 | |||||||||||
800,479 | 3.500%, due 05/01/46 | 851,051 | 0.4 | |||||||||||
123,729 | 4.000%, due 02/01/41 | 132,953 | 0.1 | |||||||||||
68,623 | 4.000%, due 02/01/41 | 73,782 | 0.0 | |||||||||||
605,504 | ^ | 5.608%, due 04/15/44 | 102,278 | 0.1 | ||||||||||
265,160 | ^ | 5.658%, due 07/15/39 | 46,569 | 0.0 | ||||||||||
18,865,235 | 9.3 | |||||||||||||
Federal National Mortgage Association: 15.7%##STRIP | ||||||||||||||
1,039,264 | 0.953%, due 06/25/46 | 1,042,230 | 0.5 | |||||||||||
7,000,000 | W | 3.000%, due 08/01/44 | 7,251,834 | 3.6 | ||||||||||
3,000,000 | W | 3.000%, due 07/01/45 | 3,113,554 | 1.5 | ||||||||||
975,681 | 3.500%, due 10/01/42 | 1,032,328 | 0.5 | |||||||||||
4,530,963 | 3.500%, due 01/01/46 | 4,786,198 | 2.4 | |||||||||||
4,558,611 | 3.500%, due 01/01/46 | 4,815,403 | 2.4 | |||||||||||
4,433,387 | 3.500%, due 01/01/46 | 4,683,125 | 2.3 | |||||||||||
448,753 | 3.500%, due 01/01/46 | 474,031 | 0.2 | |||||||||||
410,159 | 3.500%, due 01/01/46 | 433,264 | 0.2 | |||||||||||
113,006 | 3.500%, due 01/01/46 | 119,345 | 0.1 | |||||||||||
1,193,832 | 3.500%, due 05/01/46 | 1,269,982 | 0.6 | |||||||||||
1,000,000 | 3.500%, due 06/01/46 | 1,076,110 | 0.5 | |||||||||||
1,782,133 | ^ | 5.247%, due 11/25/45 | 281,269 | 0.1 | ||||||||||
425,351 | ^ | 5.247%, due 11/25/45 | 74,029 | 0.0 | ||||||||||
388,341 | ^ | 5.647%, due 09/25/43 | 70,279 | 0.0 | ||||||||||
467,724 | ^ | 5.647%, due 12/25/43 | 85,842 | 0.1 |
See Accompanying Notes to Financial Statements
4 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2016 (Unaudited) (continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | ||||||||||||||
Federal National Mortgage Association: (continued) | ||||||||||||||
905,374 | ^ | 5.697%, due 07/25/42 | 165,009 | 0.1 | ||||||||||
555,973 | ^ | 5.797%, due 01/25/45 | 103,241 | 0.1 | ||||||||||
824,555 | ^ | 5.797%, due 11/25/45 | 142,793 | 0.1 | ||||||||||
174,606 | 6.000%, due 09/01/35 | 199,509 | 0.1 | |||||||||||
71,440 | 6.000%, due 09/01/36 | 82,486 | 0.0 | |||||||||||
57,321 | 6.000%, due 12/01/36 | 65,508 | 0.0 | |||||||||||
137,454 | 6.000%, due 07/01/37 | 158,479 | 0.1 | |||||||||||
149,339 | 6.000%, due 08/01/38 | 172,196 | 0.1 | |||||||||||
496,797 | ^ | 6.097%, due 12/25/41 | 92,801 | 0.1 | ||||||||||
31,790,845 | 15.7 | |||||||||||||
Government National Mortgage Association: 9.0%STRIP | ||||||||||||||
4,411,245 | 4.000%, due 10/20/43 | 4,714,969 | 2.3 | |||||||||||
2,000,000 | W | 4.000%, due 07/01/44 | 2,137,969 | 1.1 | ||||||||||
4,321,094 | 4.000%, due 07/20/45 | 4,622,820 | 2.3 | |||||||||||
1,851,458 | 4.000%, due 08/20/45 | 1,980,702 | 1.0 | |||||||||||
1,000,000 | 4.000%, due 09/20/45 | 1,069,836 | 0.5 | |||||||||||
965,292 | 4.000%, due 12/20/45 | 1,033,458 | 0.5 | |||||||||||
1,185,153 | 4.000%, due 03/20/46 | 1,271,309 | 0.6 | |||||||||||
614,719 | ^ | 5.152%, due 09/20/44 | 91,500 | 0.1 | ||||||||||
889,620 | ^ | 5.202%, due 01/20/46 | 139,901 | 0.1 | ||||||||||
1,382,518 | ^ | 5.262%, due 08/20/45 | 198,075 | 0.1 | ||||||||||
348,341 | ^ | 5.302%, due 03/20/40 | 52,738 | 0.0 | ||||||||||
126,110 | ^ | 5.652%, due 09/20/43 | 20,702 | 0.0 | ||||||||||
1,308,722 | ^ | 5.652%, due 10/20/43 | 177,069 | 0.1 | ||||||||||
832,488 | ^ | 5.652%, due 11/20/43 | 137,558 | 0.1 | ||||||||||
139,272 | ^ | 5.652%, due 03/20/44 | 23,510 | 0.0 | ||||||||||
379,028 | ^ | 5.702%, due 06/20/43 | 60,973 | 0.0 | ||||||||||
412,070 | ^ | 5.752%, due 09/20/45 | 64,721 | 0.0 | ||||||||||
421,463 | ^ | 5.752%, due 11/20/45 | 66,311 | 0.0 | ||||||||||
577,906 | ^ | 5.802%, due 02/20/40 | 95,646 | 0.1 | ||||||||||
226,778 | ^ | 5.802%, due 12/20/42 | 36,268 | 0.0 | ||||||||||
875,856 | ^ | 5.802%, due 08/20/45 | 136,958 | 0.1 | ||||||||||
18,132,993 | 9.0 | |||||||||||||
Total U.S. Government Agency Obligations | ||||||||||||||
(Cost $70,153,469) | 71,167,047 | 35.2 | ||||||||||||
ASSET-BACKED SECURITIES: 10.5% | ||||||||||||||
Other Asset-Backed Securities: 10.5% | ||||||||||||||
250,000 | # | B&M CLO 2014-1 Ltd., 2.583%, 04/16/26 | 239,632 | 0.1 | ||||||||||
318,695 | # | Bank of America Student Loan Trust 2010-1 A, 1.438%, 02/25/43 | 311,833 | 0.2 | ||||||||||
48,104 | # | Bayview Opportunity Master Fund IIIb RPL Trust 2015-3 A1, 3.623%, 04/28/30 | 48,025 | 0.0 | ||||||||||
1,600,000 | # | Crown Point CLO III Ltd. 2015-3A ACOM, 2.158%, 12/31/27 | 1,567,680 | 0.8 | ||||||||||
774,658 | # | Edsouth Indenture No 9 LLC 2015-1 A, 1.253%, 10/25/56 | 744,191 | 0.4 | ||||||||||
650,000 | # | Greywolf CLO V Ltd. 2015-1A A1, 2.238%, 04/25/27 | 647,595 | 0.3 | ||||||||||
800,000 | # | Halcyon Loan Advisors Funding 2015-1A A Ltd., 2.084%, 04/20/27 | 785,427 | 0.4 | ||||||||||
1,050,000 | # | Halcyon Loan Advisors Funding 2015-2A A Ltd., 2.028%, 07/25/27 | 1,011,569 | 0.5 | ||||||||||
1,583,955 | # | ICG US CLO 2014-1 Ltd., 1.784%, 04/20/26 | 1,550,355 | 0.8 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
ASSET-BACKED SECURITIES: (continued) | ||||||||||||||
Other Asset-Backed Securities: (continued) | ||||||||||||||
1,200,000 | # | OFSI Fund VI Ltd. 2014-6A ACOM, 1.508%, 03/20/25 | 1,162,560 | 0.6 | ||||||||||
2,550,000 | # | OFSI Fund VII Ltd. 2014-7A ACOM, 1.784%, 10/18/26 | 2,495,430 | 1.2 | ||||||||||
227,273 | # | Regatta IV Funding Ltd. 2014-1A B, 2.648%, 07/25/26 | 222,287 | 0.1 | ||||||||||
364,628 | # | Scholar Funding Trust 2010-A A, 1.384%, 10/28/41 | 346,249 | 0.2 | ||||||||||
732,056 | # | SLM Student Loan Trust 2003-1 A5A, 0.763%, 12/15/32 | 659,465 | 0.3 | ||||||||||
857,715 | SLM Student Loan Trust 2005-4 A3, 0.758%, 01/25/27 | 818,682 | 0.4 | |||||||||||
500,000 | SLM Student Loan Trust 2007-1 A5, 0.728%, 01/26/26 | 485,739 | 0.2 | |||||||||||
750,000 | SLM Student Loan Trust 2007-2 A4, 0.698%, 07/25/22 | 703,766 | 0.4 | |||||||||||
202,694 | SLM Student Loan Trust 2008-2 A3, 1.388%, 04/25/23 | 195,326 | 0.1 | |||||||||||
550,000 | SLM Student Loan Trust 2008-4 A4, 2.288%, 07/25/22 | 550,759 | 0.3 | |||||||||||
431,569 | SLM Student Loan Trust 2008-5 A4, 2.338%, 07/25/23 | 432,053 | 0.2 | |||||||||||
1,650,000 | # | Sound Point CLO VIII Ltd. 2015-1A A, 2.158%, 04/15/27 | 1,633,675 | 0.8 | ||||||||||
300,000 | # | Sound Point CLO VIII Ltd. 2015-1A B, 2.678%, 04/15/27 | 289,805 | 0.1 | ||||||||||
900,000 | # | SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2015-T2, 2.620%, 01/15/47 | 901,375 | 0.4 | ||||||||||
1,000,000 | # | Trinitas CLO II Ltd. 2014-2A ACOM, 0.000%, 07/15/26 | 961,500 | 0.5 | ||||||||||
1,000,000 | # | Trinitas CLO Ltd. 2015-3A A2, 2.138%, 07/15/27 | 982,654 | 0.5 | ||||||||||
553,154 | Wells Fargo Home Equity Asset-Backed Securities 2007-2 Trust A3, 0.683%, 04/25/37 | 474,423 | 0.2 | |||||||||||
1,100,000 | # | Z Capital Credit Partners CLO 2015-1A ACOM Ltd., 1.737%, 07/16/27 | 1,071,620 | 0.5 | ||||||||||
Total Asset-Backed Securities | ||||||||||||||
(Cost $21,438,814) | 21,293,675 | 10.5 | ||||||||||||
FOREIGN GOVERNMENT BONDS: 5.1% | ||||||||||||||
300,000 | Brazil Minas SPE via State of Minas Gerais, 5.333%, 02/15/28 | 269,250 | 0.1 |
See Accompanying Notes to Financial Statements
5 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2016 (Unaudited) (continued) |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
FOREIGN GOVERNMENT BONDS: (continued) | ||||||||||||||
BRL | 518,000 | Brazil Notas do Tesouro Nacional Serie B, 6.000%, 08/15/50 | 477,105 | 0.2 | ||||||||||
EUR | 1,283,030 | Italy Buoni Poliennali Del Tesoro, 2.350%, 09/15/19 | 1,549,076 | 0.8 | ||||||||||
520,000 | Colombia Government International Bond, 4.000%, 02/26/24 | 544,700 | 0.3 | |||||||||||
160,000 | Dominican Republic International Bond, 5.500%, 01/27/25 | 163,600 | 0.1 | |||||||||||
340,000 | # | Dominican Republic International Bond, 5.500%, 01/27/25 | 347,650 | 0.2 | ||||||||||
200,000 | Indonesia Government International Bond, 4.125%, 01/15/25 | 208,792 | 0.1 | |||||||||||
400,000 | L | Indonesia Government International Bond, 5.375%, 10/17/23 | 451,621 | 0.2 | ||||||||||
1,039,000 | Israel Government AID Bond, 5.500%, 12/04/23 | 1,309,211 | 0.7 | |||||||||||
1,375,000 | Israel Government AID Bond, 5.500%, 09/18/23 | 1,740,419 | 0.9 | |||||||||||
EUR | 281,154 | # | Italy Buoni Poliennali Del Tesoro, 2.350%, 09/15/24 | 358,846 | 0.2 | |||||||||
MXN | 4,040,400 | Mexican Bonos, 7.750%, 11/23/34 | 253,599 | 0.1 | ||||||||||
640,000 | Mexico Government International Bond, 4.600%, 01/23/46 | 677,600 | 0.3 | |||||||||||
150,000 | Mexico Government International Bond, 4.750%, 03/08/44 | 162,000 | 0.1 | |||||||||||
180,000 | Petroleos de Venezuela SA, 6.000%, 11/15/26 | 63,216 | 0.0 | |||||||||||
150,000 | Petroleos de Venezuela SA, 6.000%, 05/16/24 | 53,423 | 0.0 | |||||||||||
60,000 | Petroleos de Venezuela SA, 9.000%, 11/17/21 | 25,935 | 0.0 | |||||||||||
EUR | 1,100,561 | # | Spain Government Inflation Linked Bond, 0.550%, 11/30/19 | 1,261,599 | 0.6 | |||||||||
310,000 | Venezuela Government International Bond, 6.000%, 12/09/20 | 127,488 | 0.1 | |||||||||||
20,000 | Venezuela Government International Bond, 7.000%, 12/01/18 | 10,100 | 0.0 | |||||||||||
10,000 | Venezuela Government International Bond, 7.650%, 04/21/25 | 4,125 | 0.0 | |||||||||||
200,000 | Venezuela Government International Bond, 7.750%, 10/13/19 | 90,500 | 0.1 | |||||||||||
110,000 | Venezuela Government International Bond, 8.250%, 10/13/24 | 46,475 | 0.0 | |||||||||||
70,000 | Venezuela Government International Bond, 9.250%, 05/07/28 | 30,362 | 0.0 | |||||||||||
10,000 | Venezuela Government International Bond, 9.000%, 05/07/23 | 4,312 | 0.0 | |||||||||||
30,000 | Venezuela Government International Bond, 11.750%, 10/21/26 | 14,400 | 0.0 |
Principal Amount† | Value | Percentage of Net Assets | ||||||||||||
FOREIGN GOVERNMENT BONDS: (continued) | ||||||||||||||
70,000 | Venezuela Government International Bond, 11.950%, 08/05/31 | 33,250 | 0.0 | |||||||||||
30,000 | Venezuela Government International Bond, 12.750%, 08/23/22 | 15,300 | 0.0 | |||||||||||
Total Foreign Government Bonds | ||||||||||||||
(Cost $9,991,533) | 10,293,954 | 5.1 | ||||||||||||
Total Long-Term Investments | ||||||||||||||
(Cost $201,493,743) | 205,417,851 | 101.6 | ||||||||||||
SHORT-TERM INVESTMENTS: 6.6% | ||||||||||||||
Securities Lending Collateralcc: 0.6% | ||||||||||||||
1,000,000 | Royal Bank of Canada, Repurchase Agreement dated 06/30/16, 0.38%, due 07/01/16 (Repurchase Amount $1,000,010, collateralized by various U.S. Government Securities, 0.000%-8.750%, Market Value plus accrued interest $1,020,000, due 08/18/16-09/09/49) | 1,000,000 | 0.5 | |||||||||||
232,881 | Royal Bank of Scotland PLC, Repurchase Agreement dated 06/30/16, 0.40%, due 07/01/16 (Repurchase Amount $232,884, collateralized by various U.S. Government Securities, 0.084%-3.375%, Market Value plus accrued interest $237,540, due 01/31/17-08/15/44) | 232,881 | 0.1 | |||||||||||
1,232,881 | 0.6 | |||||||||||||
Shares | Value | Percentage of Net Assets | ||||||||||||
Mutual Funds: 6.0% | ||||||||||||||
12,016,288 | BlackRock Liquidity Funds, TempFund, Institutional Class, 0.430%†† | |||||||||||||
(Cost $12,016,288) | 12,016,288 | 6.0 | ||||||||||||
Total Short-Term Investments | ||||||||||||||
(Cost $13,249,169) | 13,249,169 | 6.6 | ||||||||||||
Total Investments in Securities (Cost $214,742,912) | $ | 218,667,020 | 108.2 | |||||||||||
Liabilities in Excess of Other Assets | (16,499,605 | ) | (8.2 | ) | ||||||||||
Net Assets | $ | 202,167,415 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
†† | Rate shown is the 7-day yield as of June 30, 2016. |
See Accompanying Notes to Financial Statements
6 |
VY® Goldman Sachs Bond Portfolio | PORTFOLIO OF INVESTMENTS as of June 30, 2016 (Unaudited) (continued) |
# | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
## | The Federal Housing Finance Agency (“FHFA”) placed the Federal Home Loan Mortgage Corporation and Federal National Mortgage Association into conservatorship with FHFA as the conservator. As such, the FHFA oversees the continuing affairs of these companies. |
STRIP | Separate Trading of Registered Interest and Principal of Securities |
cc | Represents securities purchased with cash collateral received for securities on loan. |
W | Settlement is on a when-issued or delayed-delivery basis. |
L | Loaned security, a portion or all of the security is on loan at June 30, 2016. |
± | Defaulted security |
^ | Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security. |
BRL | Brazilian Real |
EUR | EU Euro |
MXN | Mexican Peso |
Cost for federal income tax purposes is $214,763,840. | ||||
Net unrealized appreciation consists of: | ||||
Gross Unrealized Appreciation | $ | 5,007,026 | ||
Gross Unrealized Depreciation | (1,103,846 | ) | ||
Net Unrealized Appreciation | $ | 3,903,180 |
See Accompanying Notes to Financial Statements
7 |
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.
N.A.
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
By | /s/ Shaun P. Mathews | |
Shaun P. Mathews | ||
President and Chief Executive Officer |
Date: September 7, 2016
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/ Shaun P. Mathews | |
Shaun P. Mathews | ||
President and Chief Executive Officer |
Date: September 7, 2016
By | /s/ Todd Modic | |
Todd Modic | ||
Senior Vice President and Chief Financial Officer | ||
Date: September 7, 2016