VY® BrandywineGLOBAL- Bond Portfolio | PORTFOLIO OF INVESTMENTS |
As of September 30, 2022 (Unaudited) |
Principal Amount† | Value | Percentage of Net Assets | ||||
CORPORATE BONDS/NOTES: 7.7% | ||||||
Communications: 2.3% | ||||||
5,168,000 | (1) | Meta Platforms, Inc., 4.450%, 08/15/2052 | $ | 4,226,263 | 1.6 | |
1,981,000 | T-Mobile USA, Inc., 5.650%, 01/15/2053 | 1,876,068 | 0.7 | |||
6,102,331 | 2.3 | |||||
Consumer, Cyclical: 1.5% | ||||||
660,000 | General Motors Co., 5.200%, 04/01/2045 | 504,154 | 0.2 | |||
3,765,000 | Lowe's Cos, Inc., 5.625%, 04/15/2053 | 3,490,791 | 1.3 | |||
3,994,945 | 1.5 | |||||
Financial: 3.9% | ||||||
6,450,000 | (2) | Bank of America Corp., 4.083%, 03/20/2051 | 4,878,286 | 1.8 | ||
2,280,000 | (1) | Blue Owl Finance LLC, 3.125%, 06/10/2031 | 1,621,923 | 0.6 | ||
2,465,000 | Golub Capital BDC, Inc., 2.500%, 08/24/2026 | 2,069,175 | 0.8 | |||
2,668,000 | (2) | JPMorgan Chase & Co., 3.328%, 04/22/2052 | 1,765,900 | 0.7 | ||
10,335,284 | 3.9 | |||||
Total Corporate Bonds/Notes | ||||||
(Cost $23,042,405) | 20,432,560 | 7.7 | ||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 0.1% | ||||||
376,570 | (1),(2) | Residential Mortgage Loan Trust 2019-3 A1, 2.633%, 09/25/2059 | 366,242 | 0.1 | ||
Total Collateralized Mortgage Obligations | ||||||
(Cost $367,498) | 366,242 | 0.1 | ||||
U.S. TREASURY OBLIGATIONS: 53.4% | ||||||
U.S. Treasury Bonds: 37.8% | ||||||
12,770,000 | 1.875%,11/15/2051 | 8,450,647 | 3.2 | |||
6,460,000 | 2.000%,08/15/2051 | 4,415,511 | 1.7 | |||
41,475,000 | 2.250%,02/15/2052 | 30,147,141 | 11.3 | |||
60,330,000 | 2.875%,05/15/2052 | 50,611,214 | 19.0 | |||
8,000,000 | 3.000%,08/15/2052 | 6,906,250 | 2.6 | |||
100,530,763 | 37.8 | |||||
U.S. Treasury Floating Rate Notes: 13.6% | ||||||
29,540,000 | 3.222%, (USBMMY3M + (0.075)%),04/30/2024 | 29,501,286 | 11.1 | |||
6,820,000 | 3.332%, (USBMMY3M + 0.035%),10/31/2023 | 6,827,217 | 2.5 | |||
5,340,000 | 3.334%, (USBMMY3M + 0.037%),07/31/2024 | 5,333,935 | 2.0 | |||
41,662,438 | 15.6 | |||||
Total U.S. Treasury Obligations | ||||||
(Cost $157,071,655) | 142,193,201 | 53.4 | ||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 34.7% | ||||||
Federal Home Loan Bank: 12.0% | ||||||
26,690,000 | 0.125%,03/17/2023 | 26,246,958 | 9.9 | |||
5,740,000 | 3.375%,12/08/2023 | 5,670,838 | 2.1 | |||
31,917,796 | 12.0 | |||||
Federal Home Loan Mortgage Corporation: 13.3%(3) | ||||||
36,200,000 | 0.375%,05/05/2023 | 35,397,560 | 13.3 | |||
Uniform Mortgage-Backed Securities: 9.4% | ||||||
27,049,543 | 4.000%,06/01/2052 | 25,154,222 | 9.4 | |||
Total U.S. Government Agency Obligations | ||||||
(Cost $95,523,841) | 92,469,578 | 34.7 | ||||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 1.6% | ||||||
3,089,000 | (2) | Benchmark 2020-B18 C Mortgage Trust, 3.771%, 07/15/2053 | 2,456,069 | 0.9 | ||
2,000,000 | (2) | JPMDB Commercial Mortgage Securities Trust 2018-C8 C, 4.992%, 06/15/2051 | 1,727,809 | 0.7 | ||
Total Commercial Mortgage-Backed Securities | ||||||
(Cost $5,439,332) | 4,183,878 | 1.6 | ||||
Total Long-Term Investments | ||||||
(Cost $281,444,731) | 259,645,459 | 97.5 | ||||
Shares | Value | Percentage of Net Assets | ||||
SHORT-TERM INVESTMENTS: 1.9% | ||||||
Mutual Funds: 1.9% | ||||||
4,993,016 | (4) | BlackRock Liquidity Funds, FedFund, Institutional Class, 2.760% | ||||
(Cost $4,993,016) | 4,993,016 | 1.9 | ||||
Total Short-Term Investments | ||||||
(Cost $4,993,016) | 4,993,016 | 1.9 | ||||
Total Investments in Securities (Cost $286,437,747) | $ | 264,638,475 | 99.4 | |||
Assets in Excess of Other Liabilities | 1,641,424 | 0.6 | ||||
Net Assets | $ | 266,279,899 | 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, 2022. |
(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, 2022. |
Reference Rate Abbreviations: | |
USBMMY3M | U.S. Treasury 3-month Bill Money Market Yield |
VY® BrandywineGLOBAL- Bond Portfolio | PORTFOLIO OF INVESTMENTS |
As of September 30, 2022 (Unaudited) (Continued) |
Fair Value Measurements
The following is a summary of the fair valuations according to the inputs used as of September 30, 2022 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, 2022 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Corporate Bonds/Notes | $ | – | $ | 20,432,560 | $ | – | $ | 20,432,560 | ||||||||
Collateralized Mortgage Obligations | – | 366,242 | – | 366,242 | ||||||||||||
Commercial Mortgage-Backed Securities | – | 4,183,878 | – | 4,183,878 | ||||||||||||
U.S. Government Agency Obligations | – | 92,469,578 | – | 92,469,578 | ||||||||||||
U.S. Treasury Obligations | – | 142,193,201 | – | 142,193,201 | ||||||||||||
Short-Term Investments | 4,993,016 | – | – | 4,993,016 | ||||||||||||
Total Investments, at fair value | $ | 4,993,016 | $ | 259,645,459 | $ | – | $ | 264,638,475 |
At September 30, 2022, 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 $286,362,450. | |||||||
Net unrealized depreciation consisted of: | |||||||
Gross Unrealized Appreciation | $ | 2,397 | |||||
Gross Unrealized Depreciation | (21,726,372 | ) | |||||
Net Unrealized Depreciation | $ | (21,723,975 | ) |