VY® BrandywineGLOBAL- Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of March 31, 2020 (Unaudited) |
Principal Amount† | Value | Percentage of Net Assets | ||
CORPORATE BONDS/NOTES: 61.1% | ||||
Basic Materials: 4.1% | ||||
7,347,000 | Freeport-McMoRan, Inc., 5.450%, 03/15/2043 | $ 6,632,871 | 3.0 | |
2,610,000 | Steel Dynamics, Inc., 3.450%, 04/15/2030 | 2,379,387 | 1.1 | |
9,012,258 | 4.1 | |||
Communications: 2.9% | ||||
285,000 | Comcast Corp., 3.400%, 04/01/2030 | 309,149 | 0.2 | |
115,000 | Comcast Corp., 3.750%, 04/01/2040 | 127,366 | 0.1 | |
3,740,000 | (1) | NBCUniversal Enterprise, Inc., 1.833%, (US0003M + 0.400%), 04/01/2021 | 3,690,583 | 1.7 |
600,000 | Walt Disney Co/The, 4.625%, 03/23/2040 | 733,088 | 0.3 | |
1,055,000 | Walt Disney Co/The, 4.700%, 03/23/2050 | 1,378,482 | 0.6 | |
6,238,668 | 2.9 | |||
Consumer, Cyclical: 1.3% | ||||
230,000 | Home Depot, Inc./The, 3.300%, 04/15/2040 | 236,391 | 0.1 | |
195,000 | Home Depot, Inc./The, 3.350%, 04/15/2050 | 212,646 | 0.1 | |
430,000 | Lowe's Cos, Inc., 5.125%, 04/15/2050 | 520,086 | 0.2 | |
170,000 | Lowe's Cos, Inc., 5.000%, 04/15/2040 | 192,999 | 0.1 | |
175,000 | McDonald's Corp., 3.600%, 07/01/2030 | 183,663 | 0.1 | |
235,000 | McDonald's Corp., 3.625%, 09/01/2049 | 241,309 | 0.1 | |
325,000 | McDonald's Corp., 4.200%, 04/01/2050 | 361,658 | 0.2 | |
205,000 | NIKE, Inc., 3.250%, 03/27/2040 | 214,515 | 0.1 | |
205,000 | NIKE, Inc., 3.375%, 03/27/2050 | 225,308 | 0.1 | |
420,000 | Toyota Motor Credit Corp., 3.375%, 04/01/2030 | 425,817 | 0.2 | |
2,814,392 | 1.3 | |||
Consumer, Non-cyclical: 5.6% | ||||
8,380,000 | Anheuser-Busch InBev Worldwide, Inc., 5.450%, 01/23/2039 | 9,785,257 | 4.5 | |
460,000 | (1) | Bristol-Myers Squibb Co., 3.875%, 08/15/2025 | 500,022 | 0.2 |
150,000 | (1) | Bristol-Myers Squibb Co., 3.900%, 02/20/2028 | 167,349 | 0.1 |
185,000 | Coca-Cola Co/The, 4.125%, 03/25/2040 | 228,403 | 0.1 | |
305,000 | Coca-Cola Co/The, 4.200%, 03/25/2050 | 400,725 | 0.2 | |
325,000 | CVS Health Corp., 4.125%, 04/01/2040 | 327,802 | 0.1 | |
420,000 | CVS Health Corp., 4.250%, 04/01/2050 | 438,505 | 0.2 | |
215,000 | Procter & Gamble Co/The, 3.550%, 03/25/2040 | 251,303 | 0.1 | |
190,000 | Procter & Gamble Co/The, 3.600%, 03/25/2050 | 235,055 | 0.1 | |
12,334,421 | 5.6 | |||
Energy: 6.3% | ||||
2,610,000 | Apache Corp., 4.250%, 01/15/2044 | 1,141,175 | 0.5 | |
2,100,000 | Concho Resources, Inc., 4.875%, 10/01/2047 | 1,625,593 | 0.7 | |
720,000 | Petroleos Mexicanos, 6.750%, 09/21/2047 | 467,780 | 0.2 | |
3,820,000 | (1) | Petroleos Mexicanos, 7.690%, 01/23/2050 | 2,694,265 | 1.2 |
2,480,000 | Plains All American Pipeline L.P. / PAA Finance Corp., 4.700%, 06/15/2044 | 1,641,135 | 0.8 | |
6,250,000 | (1) | Saudi Arabian Oil Co., 4.375%, 04/16/2049 | 6,240,582 | 2.9 |
13,810,530 | 6.3 | |||
Financial: 22.5% | ||||
580,000 | American International Group, Inc., 4.500%, 07/16/2044 | 595,457 | 0.3 | |
5,075,000 | (2) | Bank of America Corp., 4.083%, 03/20/2051 | 5,776,627 | 2.6 |
4,505,000 | Bank of Montreal, 0.818%, (SOFRRATE + 0.680%), 03/10/2023 | 4,118,203 | 1.9 | |
3,780,000 | Canadian Imperial Bank of Commerce, 0.818%, (SOFRRATE + 0.800%), 03/17/2023 | 3,604,910 | 1.6 | |
5,530,000 | (2) | Citigroup, Inc., 5.316%, 03/26/2041 | 6,945,738 | 3.2 |
5,730,000 | (2) | JPMorgan Chase & Co., 4.493%, 03/24/2031 | 6,656,187 | 3.0 |
170,000 | Mastercard, Inc., 3.350%, 03/26/2030 | 189,303 | 0.1 | |
175,000 | Mastercard, Inc., 3.850%, 03/26/2050 | 214,609 | 0.1 | |
2,620,000 | (1) | Metropolitan Life Global Funding I, 1.695%, (SOFRRATE + 0.570%), 01/13/2023 | 2,290,973 | 1.0 |
5,530,000 | (2) | Morgan Stanley, 5.597%, 03/24/2051 | 7,844,100 | 3.6 |
170,000 | Prudential Financial, Inc., 4.350%, 02/25/2050 | 175,414 | 0.1 | |
6,440,000 | Wells Fargo & Co., 2.819%, (US0003M + 1.025%), 07/26/2021 | 6,385,541 | 2.9 | |
2,255,000 | (2) | Wells Fargo & Co., 4.478%, 04/04/2031 | 2,560,201 | 1.2 |
VY® BrandywineGLOBAL- Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of March 31, 2020 (Unaudited) (Continued) |
Principal Amount† | Value | Percentage of Net Assets | ||
CORPORATE BONDS/NOTES: (continued) | ||||
Financial: (continued) | ||||
1,545,000 | (2) | Wells Fargo & Co., 5.013%, 04/04/2051 | $ 1,975,734 | 0.9 |
49,332,997 | 22.5 | |||
Industrial: 2.5% | ||||
640,000 | 3M Co., 3.700%, 04/15/2050 | 718,156 | 0.3 | |
360,000 | Boeing Co/The, 3.950%, 08/01/2059 | 325,122 | 0.2 | |
340,000 | General Dynamics Corp., 4.250%, 04/01/2040 | 406,385 | 0.2 | |
135,000 | General Dynamics Corp., 4.250%, 04/01/2050 | 168,098 | 0.1 | |
515,000 | Northrop Grumman Corp., 5.150%, 05/01/2040 | 652,931 | 0.3 | |
520,000 | Northrop Grumman Corp., 5.250%, 05/01/2050 | 710,916 | 0.3 | |
480,000 | United Parcel Service, Inc., 5.200%, 04/01/2040 | 588,223 | 0.3 | |
1,370,000 | United Parcel Service, Inc., 5.300%, 04/01/2050 | 1,811,882 | 0.8 | |
5,381,713 | 2.5 | |||
Technology: 14.7% | ||||
4,840,000 | (1) | Dell International LLC / EMC Corp., 5.300%, 10/01/2029 | 4,718,163 | 2.2 |
4,800,000 | Hewlett Packard Enterprise Co., 6.350%, 10/15/2045 | 5,605,576 | 2.6 | |
920,000 | Intel Corp., 4.750%, 03/25/2050 | 1,212,924 | 0.6 | |
325,000 | Intel Corp., 4.950%, 03/25/2060 | 452,912 | 0.2 | |
5,770,000 | International Business Machines Corp., 4.250%, 05/15/2049 | 7,058,797 | 3.2 | |
7,200,000 | Micron Technology, Inc., 5.327%, 02/06/2029 | 7,919,744 | 3.6 | |
435,000 | NVIDIA Corp., 3.500%, 04/01/2040 | 463,760 | 0.2 | |
670,000 | NVIDIA Corp., 3.500%, 04/01/2050 | 733,527 | 0.3 | |
2,105,000 | Oracle Corp., 3.600%, 04/01/2050 | 2,106,096 | 1.0 | |
1,795,000 | Oracle Corp., 3.850%, 04/01/2060 | 1,815,075 | 0.8 | |
32,086,574 | 14.7 | |||
Utilities: 1.2% | ||||
1,680,000 | Consolidated Edison Co. of New York, Inc., 3.350%, 04/01/2030 | 1,736,427 | 0.8 | |
475,000 | Consolidated Edison Co. of New York, Inc., 3.950%, 04/01/2050 | 496,823 | 0.2 | |
295,000 | Exelon Corp., 4.050%, 04/15/2030 | 292,760 | 0.1 | |
130,000 | Exelon Corp., 4.700%, 04/15/2050 | 136,342 | 0.1 | |
2,662,352 | 1.2 | |||
Total Corporate Bonds/Notes | ||||
(Cost $133,317,960) | 133,673,905 | 61.1 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS: 2.9% | ||||
2,204,955 | (1),(2) | Angel Oak Mortgage Trust 2019-6 A1, 2.620%, 11/25/2059 | 2,196,506 | 1.0 |
1,205,148 | (1),(2) | Angel Oak Mortgage Trust I LLC 2019-2 A1, 3.628%, 03/25/2049 | 1,217,357 | 0.5 |
3,057,346 | Residential Mortgage Loan Trust 2019-3, 2.633%, 09/25/2059 | 2,980,912 | 1.4 | |
Total Collateralized Mortgage Obligations | ||||
(Cost $6,382,764) | 6,394,775 | 2.9 | ||
MUNICIPAL BONDS: 0.0% | ||||
Minnesota: 0.0% | ||||
41,451 | Northstar Education Finance, Inc., 1.894%, (US0003M + 0.100%), 04/28/2030 | 41,359 | 0.0 | |
Total Municipal Bonds | ||||
(Cost $40,842) | 41,359 | 0.0 | ||
U.S. TREASURY OBLIGATIONS: 12.4% | ||||
U.S. Treasury Bonds: 2.9% | ||||
5,110,000 | 2.375%,11/15/2049 | 6,382,111 | 2.9 | |
U.S. Treasury Floating Rate Notes: 9.5% | ||||
20,685,000 | 0.385%, (USBMMY3M + 0.300%),10/31/2021 | 20,746,325 | 9.5 | |
Total U.S. Treasury Obligations | ||||
(Cost $26,213,246) | 27,128,436 | 12.4 | ||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 15.2% | ||||
Federal Home Loan Bank: 4.5% | ||||
9,800,000 | 1.875%,07/07/2021 | 9,984,756 | 4.5 | |
Federal Home Loan Mortgage Corporation: 3.4%(3) | ||||
7,300,000 | 1.125%,08/12/2021 | 7,374,828 | 3.4 | |
Federal National Mortgage Association: 7.3%(3) | ||||
15,900,000 | 1.500%,07/30/2020 | 15,968,292 | 7.3 | |
Total U.S. Government Agency Obligations | ||||
(Cost $32,979,139) | 33,327,876 | 15.2 |
VY® BrandywineGLOBAL- Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of March 31, 2020 (Unaudited) (Continued) |
Principal Amount† | Value | Percentage of Net Assets | |||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 0.7% | |||||
1,520,000 | (1) | Credit Suisse Mortgage Capital Certificates 2019-ICE4 A, 1.685%, (US0001M + 0.980%), 05/15/2036 | $ 1,452,959 | 0.7 | |
Total Commercial Mortgage-Backed Securities | |||||
(Cost $1,453,500) | 1,452,959 | 0.7 | |||
ASSET-BACKED SECURITIES: 0.3% | |||||
Other Asset-Backed Securities: 0.3% | |||||
720,000 | (1),(2) | Towd Point Mortgage Trust 2018-3 A2, 3.875%, 05/25/2058 | 704,111 | 0.3 | |
Total Asset-Backed Securities | |||||
(Cost $695,700) | 704,111 | 0.3 | |||
Total Long-Term Investments | |||||
(Cost $201,083,151) | 202,723,421 | 92.6 | |||
Shares | Value | Percentage of Net Assets | |||
SHORT-TERM INVESTMENTS: 7.4% | |||||
Mutual Funds: 7.4% | |||||
16,185,892 | (4) | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.330% | |||
(Cost $16,185,892) | 16,185,892 | 7.4 | |||
Total Short-Term Investments | |||||
(Cost $16,185,892) | 16,185,892 | 7.4 | |||
Total Investments in Securities (Cost $217,269,043) | $ 218,909,313 | 100.0 | |||
Assets in Excess of Other Liabilities | 100,258 | 0.0 | |||
Net Assets | $ 219,009,571 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
(1) | Securities with purchases pursuant to Rule 144A or section 4(a)(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
(2) | Variable rate security. Rate shown is the rate in effect as of March 31, 2020. |
(3) | 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. |
(4) | Rate shown is the 7-day yield as of March 31, 2020. |
Reference Rate Abbreviations: | ||
SOFRRATE | Secured Overnight Financing Rate | |
US0001M | 1-month LIBOR | |
US0003M | 3-month LIBOR | |
USBMMY3M | U.S. Treasury 3-month Bill Money Market Yield |
VY® BrandywineGLOBAL- Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of March 31, 2020 (Unaudited) (Continued) |
Fair Value Measurements
The following is a summary of the fair valuations according to the inputs used as of March 31, 2020 in valuing the assets and liabilities:
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at March 31, 2020 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Corporate Bonds/Notes | $ | – | $ | 133,673,905 | $ | – | $ | 133,673,905 | ||||||||
Collateralized Mortgage Obligations | – | 6,394,775 | – | 6,394,775 | ||||||||||||
Municipal Bonds | – | 41,359 | – | 41,359 | ||||||||||||
Commercial Mortgage-Backed Securities | – | 1,452,959 | – | 1,452,959 | ||||||||||||
U.S. Government Agency Obligations | – | 33,327,876 | – | 33,327,876 | ||||||||||||
Asset-Backed Securities | – | 704,111 | – | 704,111 | ||||||||||||
U.S. Treasury Obligations | – | 27,128,436 | – | 27,128,436 | ||||||||||||
Short-Term Investments | 16,185,892 | – | – | 16,185,892 | ||||||||||||
Total Investments, at fair value | $ | 16,185,892 | $ | 202,723,421 | $ | – | $ | 218,909,313 |
At March 31, 2020, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments at period end were:
Cost for federal income tax purposes was $217,291,292. | ||||
Net unrealized appreciation consisted of: | ||||
Gross Unrealized Appreciation | $ | 10,161,134 | ||
Gross Unrealized Depreciation | (8,543,112 | ) | ||
Net Unrealized Appreciation | $ | 1,618,022 |