VY® BrandywineGLOBAL- Bond Portfolio | PORTFOLIO OF INVESTMENTS |
As of March 31, 2023 (Unaudited) |
Principal Amount† | Value | Percentage of Net Assets | |||
CORPORATE BONDS/NOTES: 12.3% | |||||
Communications: 0.7% | |||||
1,821,000 | T-Mobile USA, Inc., 5.650%, 01/15/2053 | $ | 1,867,185 | 0.7 | |
Consumer, Cyclical: 1.9% | |||||
1,540,000 | General Motors Co., 5.200%, 04/01/2045 | 1,299,225 | 0.5 | ||
3,605,000 | Lowe's Cos, Inc., 5.625%, 04/15/2053 | 3,622,300 | 1.4 | ||
4,921,525 | 1.9 | ||||
Energy: 1.4% | |||||
530,000 | Devon Energy Corp., 7.875%, 09/30/2031 | 605,891 | 0.2 | ||
2,380,000 | Diamondback Energy, Inc., 6.250%, 03/15/2033 | 2,516,653 | 1.0 | ||
330,000 | Hess Corp., 7.300%, 08/15/2031 | 367,995 | 0.1 | ||
180,000 | Hess Corp., 7.875%, 10/01/2029 | 202,547 | 0.1 | ||
3,693,086 | 1.4 | ||||
Financial: 7.7% | |||||
1,204,000 | (1) | Blue Owl Finance LLC, 3.125%, 06/10/2031 | 899,292 | 0.4 | |
2,410,000 | Equinix, Inc., 2.500%, 05/15/2031 | 1,986,014 | 0.8 | ||
4,490,000 | Goldman Sachs Group, Inc./The, 5.700%, 11/01/2024 | 4,524,417 | 1.8 | ||
2,235,000 | Golub Capital BDC, Inc., 2.500%, 08/24/2026 | 1,918,875 | 0.7 | ||
5,020,000 | (1) | Jackson National Life Global Funding, 5.999%, (SOFRRATE + 1.150%), 06/28/2024 | 4,985,302 | 1.9 | |
5,450,000 | (1) | Macquarie Group Ltd., 6.207%, 11/22/2024 | 5,541,476 | 2.1 | |
19,855,376 | 7.7 | ||||
Technology: 0.6% | |||||
2,120,000 | (1) | Dell International LLC / EMC Corp., 3.375%, 12/15/2041 | 1,486,129 | 0.6 | |
Total Corporate Bonds/Notes | |||||
(Cost $31,691,950) | 31,823,301 | 12.3 | |||
U.S. TREASURY OBLIGATIONS: 46.1% | |||||
U.S. Treasury Bonds: 30.9% | |||||
3,365,000 | 2.250%,02/15/2052 | 2,511,000 | 1.0 | ||
57,130,000 | 2.875%,05/15/2052 | 48,896,362 | 18.9 | ||
32,490,000 | 3.000%,08/15/2052 | 28,550,587 | 11.0 | ||
79,957,949 | 30.9 | ||||
U.S. Treasury Notes: 15.2% | |||||
19,050,000 | 4.125%,11/15/2032 | 20,020,359 | 7.7 | ||
19,370,000 | 4.931%, (USBMMY3M + 0.200%),01/31/2025 | 19,383,169 | 7.5 | ||
39,403,528 | 15.2 | ||||
Total U.S. Treasury Obligations | |||||
(Cost $123,961,269) | 119,361,477 | 46.1 | |||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 36.2% | |||||
Federal Home Loan Bank: 3.7% | |||||
9,600,000 | 4.875%,09/13/2024 | 9,651,681 | 3.7 | ||
Federal Home Loan Mortgage Corporation: 3.7%(2) | |||||
9,700,000 | 0.375%,05/05/2023 | 9,664,864 | 3.7 | ||
Government National Mortgage Association: 4.5% | |||||
5,637,715 | 5.000%,02/20/2053 | 5,658,624 | 2.2 | ||
6,090,000 | 5.000%,03/20/2053 | 6,106,733 | 2.3 | ||
11,765,357 | 4.5 | ||||
Uniform Mortgage-Backed Securities: 24.3% | |||||
24,819,045 | 4.000%,06/01/2052 | 23,760,197 | 9.2 | ||
6,204,184 | 4.500%,09/01/2052 | 6,084,340 | 2.3 | ||
4,400,003 | 4.500%,09/01/2052 | 4,315,011 | 1.7 | ||
3,109,416 | 4.500%,10/01/2052 | 3,049,354 | 1.2 | ||
13,943,700 | 5.000%,11/01/2052 | 13,920,319 | 5.4 | ||
1,252,644 | 5.000%,12/01/2052 | 1,250,544 | 0.5 | ||
10,325,671 | 5.500%,11/01/2052 | 10,439,174 | 4.0 | ||
62,818,939 | 24.3 | ||||
Total U.S. Government Agency Obligations | |||||
(Cost $94,320,849) | 93,900,841 | 36.2 | |||
COMMERCIAL MORTGAGE-BACKED SECURITIES: 1.5% | |||||
3,089,000 | (3) | Benchmark 2020-B18 C Mortgage Trust, 3.646%, 07/15/2053 | 2,230,328 | 0.8 | |
2,000,000 | (3) | JPMDB Commercial Mortgage Securities Trust 2018-C8 C, 4.811%, 06/15/2051 | 1,716,322 | 0.7 | |
Total Commercial Mortgage-Backed Securities | |||||
(Cost $5,436,171) | 3,946,650 | 1.5 | |||
Total Long-Term Investments | |||||
(Cost $255,410,239) | 249,032,269 | 96.1 | |||
VY® BrandywineGLOBAL- Bond Portfolio | PORTFOLIO OF INVESTMENTS |
As of March 31, 2023 (Unaudited) (Continued) |
Shares | Value | Percentage of Net Assets | ||||
SHORT-TERM INVESTMENTS: 1.1% | ||||||
Mutual Funds: 1.1% | ||||||
2,801,135 | (4) | BlackRock Liquidity Funds, FedFund, Institutional Class, 4.720% | ||||
(Cost $2,801,135) | $ | 2,801,135 | 1.1 | |||
Total Short-Term Investments | ||||||
(Cost $2,801,135) | 2,801,135 | 1.1 | ||||
Total Investments in Securities (Cost $258,211,374) | $ | 251,833,404 | 97.2 | |||
Assets in Excess of Other Liabilities | 7,243,568 | 2.8 | ||||
Net Assets | $ | 259,076,972 | 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) | 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. |
(3) | Variable rate security. Rate shown is the rate in effect as of March 31, 2023. |
(4) | Rate shown is the 7-day yield as of March 31, 2023. |
Reference Rate Abbreviations: | |
SOFRRATE | 1-day Secured Overnight Financing Rate |
USBMMY3M | U.S. Treasury 3-month Bill Money Market Yield |
Fair Value Measurements
The following is a summary of the fair valuations according to the inputs used as of March 31, 2023 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, 2023 | |||||||||||||
Asset Table | ||||||||||||||||
Investments, at fair value | ||||||||||||||||
Corporate Bonds/Notes | $ | – | $ | 31,823,301 | $ | – | $ | 31,823,301 | ||||||||
Commercial Mortgage-Backed Securities | – | 3,946,650 | – | 3,946,650 | ||||||||||||
U.S. Government Agency Obligations | – | 93,900,841 | – | 93,900,841 | ||||||||||||
U.S. Treasury Obligations | – | 119,361,477 | – | 119,361,477 | ||||||||||||
Short-Term Investments | 2,801,135 | – | – | 2,801,135 | ||||||||||||
Total Investments, at fair value | $ | 2,801,135 | $ | 249,032,269 | $ | – | $ | 251,833,404 | ||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | 774,440 | – | – | 774,440 | ||||||||||||
Total Assets | $ | 3,575,575 | $ | 249,032,269 | $ | – | $ | 252,607,844 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||
Futures | $ | (71,733 | ) | $ | – | $ | – | $ | (71,733 | ) | ||||||
Total Liabilities | $ | (71,733 | ) | $ | – | $ | – | $ | (71,733 | ) |
+ | 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. |
VY® BrandywineGLOBAL- Bond Portfolio | PORTFOLIO OF INVESTMENTS |
As of March 31, 2023 (Unaudited) (Continued) |
At March 31, 2023, the following futures contracts were outstanding for VY® BrandywineGLOBAL- Bond Portfolio:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||
Long Contracts: | ||||||||||||
U.S. Treasury 5-Year Note | 290 | 06/30/23 | $ | 31,757,266 | $ | 774,440 | ||||||
U.S. Treasury Ultra 10-Year Note | 275 | 06/21/23 | 33,313,672 | (71,733 | ) | |||||||
$ | 65,070,938 | $ | 702,707 |
At March 31, 2023, 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 $258,465,982. | ||||
Net unrealized depreciation consisted of: | ||||
Gross Unrealized Appreciation | $ | 3,362,242 | ||
Gross Unrealized Depreciation | (9,292,112 | ) | ||
Net Unrealized Depreciation | $ | (5,929,870 | ) |