VY® BrandywineGLOBAL- Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of September 30, 2021 (Unaudited) |
Principal Amount† | Value | Percentage of Net Assets | |||
CORPORATE BONDS/NOTES: 30.9% | |||||
Consumer, Cyclical: 5.1% | |||||
3,010,000 | (1) | Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.750%, 10/20/2028 | $ | 3,358,010 | 1.0 |
1,335,000 | General Motors Co., 6.250%, 10/02/2043 | 1,800,868 | 0.5 | ||
920,000 | General Motors Co., 6.800%, 10/01/2027 | 1,149,667 | 0.3 | ||
4,605,000 | General Motors Financial Co., Inc., 1.250%, (SOFRRATE + 1.200%), 11/17/2023 | 4,682,889 | 1.3 | ||
6,380,000 | Marriott International, Inc./MD, 3.500%, 10/15/2032 | 6,784,349 | 2.0 | ||
17,775,783 | 5.1 | ||||
Energy: 7.8% | |||||
6,245,000 | Marathon Oil Corp., 6.600%, 10/01/2037 | 8,272,859 | 2.4 | ||
3,905,000 | Occidental Petroleum Corp., 3.500%, 08/15/2029 | 3,976,735 | 1.2 | ||
6,185,000 | Occidental Petroleum Corp., 4.625%, 06/15/2045 | 6,335,172 | 1.8 | ||
8,940,000 | Petroleos Mexicanos, 7.690%, 01/23/2050 | 8,477,489 | 2.4 | ||
27,062,255 | 7.8 | ||||
Financial: 11.1% | |||||
5,510,000 | (1) | Athene Global Funding, 0.750%, (SOFRRATE + 0.700%), 05/24/2024 | 5,539,818 | 1.6 | |
5,635,000 | Bank of Montreal, 0.730%, (SOFRRATE + 0.680%), 03/10/2023 | 5,678,114 | 1.6 | ||
7,100,000 | Bank of Nova Scotia/The, 0.600%, (SOFRRATE + 0.550%), 09/15/2023 | 7,151,420 | 2.1 | ||
2,280,000 | (1) | Blue Owl Finance LLC, 3.125%, 06/10/2031 | 2,256,745 | 0.6 | |
5,095,000 | Canadian Imperial Bank of Commerce, 0.850%, (SOFRRATE + 0.800%), 03/17/2023 | 5,142,091 | 1.5 | ||
6,990,000 | (1) | Commonwealth Bank of Australia, 0.450%, (SOFRRATE + 0.400%), 07/07/2025 | 7,004,526 | 2.0 | |
2,695,000 | Golub Capital BDC, Inc., 2.500%, 08/24/2026 | 2,713,652 | 0.8 | ||
3,300,000 | (1) | Metropolitan Life Global Funding I, 0.620%, (SOFRRATE + 0.570%), 01/13/2023 | 3,318,902 | 0.9 | |
38,805,268 | 11.1 | ||||
Industrial: 3.2% | |||||
1,230,000 | Boeing Co/The, 3.950%, 08/01/2059 | 1,265,182 | 0.4 | ||
800,000 | Boeing Co/The, 5.705%, 05/01/2040 | 1,017,859 | 0.3 | ||
2,065,000 | Boeing Co/The, 5.805%, 05/01/2050 | 2,757,430 | 0.8 | ||
1,225,000 | Boeing Co/The, 5.930%, 05/01/2060 | 1,676,763 | 0.5 | ||
4,280,000 | Caterpillar Financial Services Corp., 0.200%, (SOFRRATE + 0.150%), 11/17/2022 | 4,281,586 | 1.2 | ||
10,998,820 | 3.2 | ||||
Technology: 2.0% | |||||
5,885,000 | Dell International LLC / EMC Corp., 5.300%, 10/01/2029 | 7,120,794 | 2.0 | ||
Utilities: 1.7% | |||||
2,960,000 | (1) | AES Corp./The, 3.950%, 07/15/2030 | 3,260,366 | 0.9 | |
2,530,000 | (1) | AES Panama Generation Holdings SRL, 4.375%, 05/31/2030 | 2,611,593 | 0.8 | |
5,871,959 | 1.7 | ||||
Total Corporate Bonds/Notes | |||||
(Cost $100,914,130) | 107,634,879 | 30.9 | |||
COLLATERALIZED MORTGAGE OBLIGATIONS: 0.7% | |||||
793,736 | (1),(2) | Angel Oak Mortgage Trust 2019-6 A1, 2.620%, 11/25/2059 | 796,661 | 0.3 | |
345,509 | (1),(2) | Angel Oak Mortgage Trust I LLC 2019-2 A1, 3.628%, 03/25/2049 | 349,236 | 0.1 | |
1,127,404 | (1),(2) | Residential Mortgage Loan Trust 2019-3 A1, 2.633%, 09/25/2059 | 1,138,037 | 0.3 | |
Total Collateralized Mortgage Obligations | |||||
(Cost $2,235,550) | 2,283,934 | 0.7 | |||
U.S. TREASURY OBLIGATIONS: 49.5% | |||||
U.S. Treasury Floating Rate Notes: 49.5% | |||||
7,175,000 | 0.069%, (USBMMY3M + 0.034%),04/30/2023 | 7,176,909 | 2.0 | ||
51,910,000 | 0.084%, (USBMMY3M + 0.049%),01/31/2023 | 51,935,978 | 14.9 | ||
31,520,000 | 0.090%, (USBMMY3M + 0.055%),07/31/2022 | 31,535,385 | 9.1 | ||
63,640,000 | 0.090%, (USBMMY3M + 0.055%),10/31/2022 | 63,671,822 | 18.3 | ||
18,050,000 | 0.149%, (USBMMY3M + 0.114%),04/30/2022 | 18,062,482 | 5.2 | ||
Total U.S. Treasury Obligations | |||||
(Cost $172,325,007) | 172,382,576 | 49.5 | |||
VY® BrandywineGLOBAL- Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of September 30, 2021 (Unaudited) (Continued) |
Principal Amount† | Value | Percentage of Net Assets | |||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 11.3% | |||||||
Federal Home Loan Bank: 5.7% | |||||||
19,720,000 | 0.125%,03/17/2023 | $ | 19,709,586 | 5.7 | |||
Federal Home Loan Mortgage Corporation: 5.6%(3) | |||||||
19,650,000 | 0.375%,05/05/2023 | 19,692,208 | 5.6 | ||||
Total U.S. Government Agency Obligations | |||||||
(Cost $39,418,070) | 39,401,794 | 11.3 | |||||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 4.8% | |||||||
3,089,000 | (2) | Benchmark 2020-B18 C Mortgage Trust, 3.772%, 07/15/2053 | 3,277,218 | 1.0 | |||
1,520,000 | (1) | Credit Suisse Mortgage Capital Certificates 2019-ICE4 A, 1.064%, (US0001M + 0.980%), 05/15/2036 | 1,526,145 | 0.4 | |||
9,370,000 | (1),(2) | FREMF 2012-K23 B Mortgage Trust, 3.782%, 10/25/2045 | 9,612,515 | 2.8 | |||
2,000,000 | (2) | JPMDB Commercial Mortgage Securities Trust 2018-C8 C, 4.900%, 06/15/2051 | 2,157,135 | 0.6 | |||
Total Commercial Mortgage-Backed Securities | |||||||
(Cost $16,567,159) | 16,573,013 | 4.8 | |||||
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 | 776,955 | 0.2 | |||
Total Asset-Backed Securities | |||||||
(Cost $696,113) | 776,955 | 0.2 | |||||
Total Long-Term Investments | |||||||
(Cost $332,156,029) | 339,053,151 | 97.4 | |||||
Shares | Value | Percentage of Net Assets | |||||
SHORT-TERM INVESTMENTS: 3.0% | |||||||
Mutual Funds: 3.0% | |||||||
10,286,091 | (4) | BlackRock Liquidity Funds, FedFund, Institutional Class, 0.030% | |||||
(Cost $10,286,091) | 10,286,091 | 3.0 | |||||
Total Short-Term Investments | |||||||
(Cost $10,286,091) | 10,286,091 | 3.0 | |||||
Total Investments in Securities (Cost $342,442,120) | $ | 349,339,242 | 100.4 | ||||
Liabilities in Excess of Other Assets | (1,470,524 | ) | (0.4 | ) | |||
Net Assets | $ | 347,868,718 | 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, 2021. |
(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, 2021. |
Reference Rate Abbreviations: | |
SOFRRATE | Secured Overnight Financing Rate |
US0001M | 1-month LIBOR |
USBMMY3M | U.S. Treasury 3-month Bill Money Market Yield |
VY® BrandywineGLOBAL- Bond Portfolio | PORTFOLIO OF INVESTMENTS |
as of September 30, 2021 (Unaudited) (Continued) |
Fair Value Measurements |
The following is a summary of the fair valuations according to the inputs used as of September 30, 2021 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, 2021 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Corporate Bonds/Notes | $ | – | $ | 107,634,879 | $ | – | $ | 107,634,879 | ||||||||
Collateralized Mortgage Obligations | – | 2,283,934 | – | 2,283,934 | ||||||||||||
Commercial Mortgage-Backed Securities | – | 16,573,013 | – | 16,573,013 | ||||||||||||
U.S. Government Agency Obligations | – | 39,401,794 | – | 39,401,794 | ||||||||||||
Asset-Backed Securities | – | 776,955 | – | 776,955 | ||||||||||||
U.S. Treasury Obligations | – | 172,382,576 | – | 172,382,576 | ||||||||||||
Short-Term Investments | 10,286,091 | – | – | 10,286,091 | ||||||||||||
Total Investments, at fair value | $ | 10,286,091 | $ | 339,053,151 | $ | – | $ | 349,339,242 | ||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | 554,320 | – | – | 554,320 | ||||||||||||
Total Assets | $ | 10,840,411 | $ | 339,053,151 | $ | – | $ | 349,893,562 | ||||||||
+ | 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, 2021, the following futures contracts were outstanding for VY® BrandywineGLOBAL- Bond Portfolio: | ||||||||||||||||
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short Contracts: | ||||||||||||||||
U.S. Treasury Ultra Long Bond | (107 | ) | 12/21/21 | $ | (20,443,688 | ) | $ | 554,320 | ||||||||
$ | (20,443,688 | ) | $ | 554,320 |
At September 30, 2021, 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 $342,820,480. | |||||
Net unrealized appreciation consisted of: | |||||
Gross Unrealized Appreciation | $ | 7,199,724 | |||
Gross Unrealized Depreciation | (126,641 | ) | |||
Net Unrealized Appreciation | $ | 7,073,083 |