VY® BrandywineGLOBAL- Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of September 30, 2020 (Unaudited) |
Principal Amount† | Value | Percentage of Net Assets | ||
CORPORATE BONDS/NOTES: 56.3% | ||||
Basic Materials: 5.2% | ||||
11,110,000 | Freeport-McMoRan, Inc., 5.450%, 03/15/2043 | $ 12,355,653 | 4.0 | |
770,000 | LYB International Finance III LLC, 4.200%, 05/01/2050 | 859,508 | 0.3 | |
2,610,000 | Steel Dynamics, Inc., 3.450%, 04/15/2030 | 2,883,819 | 0.9 | |
16,098,980 | 5.2 | |||
Communications: 0.7% | ||||
600,000 | Walt Disney Co/The, 4.625%, 03/23/2040 | 760,587 | 0.2 | |
1,055,000 | Walt Disney Co/The, 4.700%, 03/23/2050 | 1,398,253 | 0.5 | |
2,158,840 | 0.7 | |||
Consumer, Cyclical: 3.7% | ||||
3,155,000 | (1) | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.750%, 10/20/2028 | 3,277,991 | 1.0 |
1,070,000 | (1) | Delta Air Lines, Inc., 7.000%, 05/01/2025 | 1,176,288 | 0.4 |
1,585,000 | General Motors Co., 6.250%, 10/02/2043 | 1,877,540 | 0.6 | |
920,000 | General Motors Co., 6.800%, 10/01/2027 | 1,120,252 | 0.4 | |
175,000 | McDonald's Corp., 3.600%, 07/01/2030 | 203,599 | 0.1 | |
235,000 | McDonald's Corp., 3.625%, 09/01/2049 | 263,943 | 0.1 | |
325,000 | McDonald's Corp., 4.200%, 04/01/2050 | 396,782 | 0.1 | |
2,860,000 | Southwest Airlines Co., 5.125%, 06/15/2027 | 3,121,194 | 1.0 | |
11,437,589 | 3.7 | |||
Consumer, Non-cyclical: 6.0% | ||||
1,905,000 | Amgen, Inc., 3.150%, 02/21/2040 | 2,031,447 | 0.7 | |
475,000 | Amgen, Inc., 3.375%, 02/21/2050 | 515,930 | 0.2 | |
2,805,000 | Anheuser-Busch InBev Worldwide, Inc., 4.500%, 06/01/2050 | 3,379,956 | 1.1 | |
775,000 | Anheuser-Busch InBev Worldwide, Inc., 4.600%, 06/01/2060 | 940,957 | 0.3 | |
8,380,000 | Anheuser-Busch InBev Worldwide, Inc., 5.450%, 01/23/2039 | 10,845,416 | 3.5 | |
460,000 | Bristol Myers Squibb Co., 3.875%, 08/15/2025 | 525,666 | 0.2 | |
150,000 | Bristol Myers Squibb Co., 3.900%, 02/20/2028 | 177,945 | 0.0 | |
18,417,317 | 6.0 | |||
Energy: 4.8% | ||||
3,980,000 | Apache Corp., 4.250%, 01/15/2044 | 3,392,950 | 1.1 | |
2,100,000 | Concho Resources, Inc., 4.875%, 10/01/2047 | 2,322,877 | 0.8 | |
1,035,000 | Exxon Mobil Corp., 3.452%, 04/15/2051 | 1,140,784 | 0.4 | |
720,000 | Petroleos Mexicanos, 6.750%, 09/21/2047 | 555,556 | 0.2 | |
6,485,000 | (1) | Petroleos Mexicanos, 7.690%, 01/23/2050 | 5,362,349 | 1.7 |
1,780,000 | Total Capital International SA, 3.127%, 05/29/2050 | 1,847,369 | 0.6 | |
14,621,885 | 4.8 | |||
Financial: 14.7% | ||||
920,000 | American International Group, Inc., 4.500%, 07/16/2044 | 1,081,097 | 0.3 | |
4,865,000 | (2) | Bank of America Corp., 4.083%, 03/20/2051 | 6,044,576 | 2.0 |
4,505,000 | Bank of Montreal, 0.754%, (SOFRRATE + 0.680%), 03/10/2023 | 4,528,762 | 1.5 | |
6,745,000 | Bank of Nova Scotia/The, 0.621%, (SOFRRATE + 0.550%), 09/15/2023 | 6,751,962 | 2.2 | |
3,780,000 | Canadian Imperial Bank of Commerce, 0.871%, (SOFRRATE + 0.800%), 03/17/2023 | 3,809,847 | 1.2 | |
520,000 | Fifth Third Bancorp, 2.550%, 05/05/2027 | 560,808 | 0.2 | |
1,750,000 | Intercontinental Exchange, Inc., 3.000%, 06/15/2050 | 1,808,642 | 0.6 | |
6,860,000 | (2) | JPMorgan Chase & Co., 4.493%, 03/24/2031 | 8,379,073 | 2.7 |
2,620,000 | (1) | Metropolitan Life Global Funding I, 0.660%, (SOFRRATE + 0.570%), 01/13/2023 | 2,630,548 | 0.8 |
290,000 | (1) | New York Life Insurance Co., 3.750%, 05/15/2050 | 327,689 | 0.1 |
310,000 | Prudential Financial, Inc., 4.350%, 02/25/2050 | 372,669 | 0.1 | |
1,280,000 | (1) | Teachers Insurance & Annuity Association of America, 3.300%, 05/15/2050 | 1,324,073 | 0.4 |
2,930,000 | Wells Fargo & Co., 1.270%, (US0003M + 1.025%), 07/26/2021 | 2,951,749 | 1.0 | |
2,695,000 | (2) | Wells Fargo & Co., 4.478%, 04/04/2031 | 3,274,235 | 1.1 |
1,070,000 | (2) | Wells Fargo & Co., 5.013%, 04/04/2051 | 1,461,092 | 0.5 |
45,306,822 | 14.7 | |||
Industrial: 4.5% | ||||
640,000 | 3M Co., 3.700%, 04/15/2050 | 769,424 | 0.2 |
VY® BrandywineGLOBAL- Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of September 30, 2020 (Unaudited) (Continued) |
Principal Amount† | Value | Percentage of Net Assets | ||
CORPORATE BONDS/NOTES: (continued) | ||||
Industrial: (continued) | ||||
940,000 | Boeing Co/The, 3.950%, 08/01/2059 | $ 850,505 | 0.3 | |
800,000 | Boeing Co/The, 5.705%, 05/01/2040 | 937,807 | 0.3 | |
1,265,000 | Boeing Co/The, 5.805%, 05/01/2050 | 1,531,706 | 0.5 | |
1,005,000 | Boeing Co/The, 5.930%, 05/01/2060 | 1,247,535 | 0.4 | |
1,435,000 | FedEx Corp., 5.250%, 05/15/2050 | 1,935,171 | 0.6 | |
3,855,000 | General Electric Co., 4.350%, 05/01/2050 | 3,935,311 | 1.3 | |
480,000 | United Parcel Service, Inc., 5.200%, 04/01/2040 | 660,278 | 0.2 | |
1,370,000 | United Parcel Service, Inc., 5.300%, 04/01/2050 | 2,026,546 | 0.7 | |
13,894,283 | 4.5 | |||
Technology: 13.9% | ||||
1,005,000 | Apple, Inc., 2.650%, 05/11/2050 | 1,049,625 | 0.3 | |
5,495,000 | (1) | Dell International LLC / EMC Corp., 5.300%, 10/01/2029 | 6,303,518 | 2.0 |
160,000 | Hewlett Packard Enterprise Co., 6.200%, 10/15/2035 | 200,706 | 0.1 | |
5,375,000 | Hewlett Packard Enterprise Co., 6.350%, 10/15/2045 | 6,838,353 | 2.2 | |
920,000 | Intel Corp., 4.750%, 03/25/2050 | 1,267,918 | 0.4 | |
325,000 | Intel Corp., 4.950%, 03/25/2060 | 475,898 | 0.2 | |
6,565,000 | International Business Machines Corp., 4.250%, 05/15/2049 | 8,206,669 | 2.7 | |
7,790,000 | Micron Technology, Inc., 5.327%, 02/06/2029 | 9,375,870 | 3.0 | |
435,000 | NVIDIA Corp., 3.500%, 04/01/2040 | 511,561 | 0.2 | |
670,000 | NVIDIA Corp., 3.500%, 04/01/2050 | 788,080 | 0.3 | |
2,105,000 | Oracle Corp., 3.600%, 04/01/2050 | 2,360,248 | 0.8 | |
1,935,000 | Oracle Corp., 3.850%, 04/01/2060 | 2,285,459 | 0.7 | |
2,665,000 | VMware, Inc., 4.700%, 05/15/2030 | 3,160,197 | 1.0 | |
42,824,102 | 13.9 | |||
Utilities: 2.8% | ||||
2,800,000 | (1) | AES Corp./The, 3.950%, 07/15/2030 | 3,099,138 | 1.0 |
2,530,000 | (1) | AES Panama Generation Holdings SRL, 4.375%, 05/31/2030 | 2,605,267 | 0.8 |
1,680,000 | Consolidated Edison Co. of New York, Inc., 3.350%, 04/01/2030 | 1,939,525 | 0.6 | |
475,000 | Consolidated Edison Co. of New York, Inc., 3.950%, 04/01/2050 | 577,841 | 0.2 | |
420,000 | Exelon Corp., 4.700%, 04/15/2050 | 536,667 | 0.2 | |
8,758,438 | 2.8 | |||
Total Corporate Bonds/Notes | ||||
(Cost $159,635,528) | 173,518,256 | 56.3 | ||
COLLATERALIZED MORTGAGE OBLIGATIONS: 1.7% | ||||
1,806,998 | (1),(2) | Angel Oak Mortgage Trust 2019-6 A1, 2.620%, 11/25/2059 | 1,828,987 | 0.6 |
1,001,747 | (1),(2) | Angel Oak Mortgage Trust I LLC 2019-2 A1, 3.628%, 03/25/2049 | 1,027,740 | 0.3 |
2,436,542 | (1),(2) | Residential Mortgage Loan Trust 2019-3 A1, 2.633%, 09/25/2059 | 2,490,786 | 0.8 |
Total Collateralized Mortgage Obligations | ||||
(Cost $5,178,166) | 5,347,513 | 1.7 | ||
U.S. TREASURY OBLIGATIONS: 28.7% | ||||
U.S. Treasury Floating Rate Notes: 28.7% | ||||
23,200,000 | 0.155%, (USBMMY3M + 0.055%),07/31/2022 | 23,202,676 | 7.5 | |
65,085,000 | 0.214%, (USBMMY3M + 0.114%),04/30/2022 | 65,161,458 | 21.2 | |
Total U.S. Treasury Obligations | ||||
(Cost $88,337,152) | 88,364,134 | 28.7 | ||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 5.6% | ||||
Federal Home Loan Bank: 3.2% | ||||
9,800,000 | 1.875%,07/07/2021 | 9,930,675 | 3.2 | |
Federal Home Loan Mortgage Corporation: 2.4%(3) | ||||
7,300,000 | 1.125%,08/12/2021 | 7,363,727 | 2.4 | |
Total U.S. Government Agency Obligations | ||||
(Cost $17,095,671) | 17,294,402 | 5.6 | ||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 3.7% | ||||
1,520,000 | (1) | Credit Suisse Mortgage Capital Certificates 2019-ICE4 A, 1.132%, (US0001M + 0.980%), 05/15/2036 | 1,521,450 | 0.5 |
9,370,000 | (1),(2) | FREMF 2012-K23 B Mortgage Trust, 3.782%, 10/25/2045 | 9,785,740 | 3.2 |
Total Commercial Mortgage-Backed Securities | ||||
(Cost $11,126,233) | 11,307,190 | 3.7 | ||
VY® BrandywineGLOBAL- Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of September 30, 2020 (Unaudited) (Continued) |
Principal Amount† | Value | Percentage of Net Assets | ||
ASSET-BACKED SECURITIES: 0.2% | ||||
Other Asset-Backed Securities: 0.2% | ||||
720,000 | (1),(2) | Towd Point Mortgage Trust 2018-3 A2, 3.875%, 05/25/2058 | $ 786,672 | 0.2 |
Total Asset-Backed Securities | ||||
(Cost $695,835) | 786,672 | 0.2 | ||
Total Long-Term Investments | ||||
(Cost $282,068,585) | 296,618,167 | 96.2 | ||
Shares | Value | Percentage of Net Assets | |||
SHORT-TERM INVESTMENTS: 2.0% | |||||
Mutual Funds: 2.0% | |||||
6,199,785 | (4) | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.000% | |||
(Cost $6,199,785) | 6,199,785 | 2.0 | |||
Total Short-Term Investments | |||||
(Cost $6,199,785) | 6,199,785 | 2.0 | |||
Total Investments in Securities (Cost $288,268,370) | $ 302,817,952 | 98.2 | |||
Assets in Excess of Other Liabilities | 5,479,156 | 1.8 | |||
Net Assets | $ 308,297,108 | 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 September 30, 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 September 30, 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 September 30, 2020 (Unaudited) (Continued) |
Fair Value Measurements
The following is a summary of the fair valuations according to the inputs used as of September 30, 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 September 30, 2020 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Corporate Bonds/Notes | $ | – | $ | 173,518,256 | $ | – | $ | 173,518,256 | ||||||||
Collateralized Mortgage Obligations | – | 5,347,513 | – | 5,347,513 | ||||||||||||
Commercial Mortgage-Backed Securities | – | 11,307,190 | – | 11,307,190 | ||||||||||||
U.S. Government Agency Obligations | – | 17,294,402 | – | 17,294,402 | ||||||||||||
Asset-Backed Securities | – | 786,672 | – | 786,672 | ||||||||||||
U.S. Treasury Obligations | – | 88,364,134 | – | 88,364,134 | ||||||||||||
Short-Term Investments | 6,199,785 | – | – | 6,199,785 | ||||||||||||
Total Investments, at fair value | $ | 6,199,785 | $ | 296,618,167 | $ | – | $ | 302,817,952 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | $ | (402,940 | ) | $ | – | $ | – | $ | (402,940 | ) | ||||||
Total Liabilities | $ | (402,940 | ) | $ | – | $ | – | $ | (402,940 | ) |
+ | Other Financial Instruments may include open forward foreign currency contracts, futures, centrally cleared swaps, OTC swaps and written options. Forward foreign currency contracts, futures and centrally cleared swaps are fair valued at the unrealized appreciation (depreciation) on the instrument. OTC swaps and written options are valued at the fair value of the instrument. |
At September 30, 2020, the following futures contracts were outstanding for VY® BrandywineGLOBAL- Bond Portfolio:
Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||
Short Contracts: | |||||||||||||
U.S. Treasury Ultra Long Bond | (267) | 12/21/20 | $ | (59,223,938 | ) | $ | (402,940 | ) | |||||
$ | (59,223,938 | ) | $ | (402,940 | ) |
At September 30, 2020, the aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments on a tax basis were: | |||||||||
Cost for federal income tax purposes was $288,290,619. | |||||||||
Net unrealized appreciation consisted of: | |||||||||
Gross Unrealized Appreciation | $ | 15,555,332 | |||||||
Gross Unrealized Depreciation | (1,430,938 | ) | |||||||
Net Unrealized Appreciation | $ | 14,124,394 | |||||||