NPORT-EX 2 473293VYBrandyWineGlBdPt.htm

 

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