NPORT-EX 2 LTB.htm VIP LIMITED-TERM BOND SOI HTML
   SCHEDULE OF INVESTMENTS   
 
   Limited-Term Bond (in thousands)    MARCH 31, 2020 (UNAUDITED)
     
     

 

ASSET-BACKED
SECURITIES		   Principal   Value

American Airlines Class AA Pass-Through Certificates, Series 2016-2,

    

3.200%, 6-15-28

   $855   $929

TOTAL ASSET-BACKED SECURITIES – 0.2%

   $929

(Cost: $855)

CORPORATE DEBT SECURITIES        

Communication Services

Cable & Satellite – 0.5%

SBA Tower Trust, Series 2014-2 (GTD by SBA Guarantor LLC and SBA Holdings LLC),

    

3.869%, 10-8-24(A)

   2,000   2,024

Integrated Telecommunication Services – 1.2%

AT&T, Inc.,

    

3.800%, 3-15-22

   2,850   2,944

Verizon Communications, Inc.,

    

5.150%, 9-15-23

   1,790   1,989
    4,933

Wireless Telecommunication Service – 1.3%

Crown Castle Towers LLC:

    

3.222%, 5-15-22(A)

   4,300   4,301

3.663%, 5-15-25(A)

   950   951
    5,252

Total Communication Services - 3.0%

   12,209

Consumer Discretionary

Automobile Manufacturers – 0.4%

Volkswagen Group of America, Inc.,

    

2.500%, 9-24-21(A)

   1,600   1,559

General Merchandise Stores – 1.2%

Dollar General Corp.,

    

3.250%, 4-15-23

   2,640   2,685

Family Dollar Stores, Inc.,

    

5.000%, 2-1-21(B)

   2,500   2,480
    5,165
Total Consumer Discretionary - 1.6%   6,724

Consumer Staples

Distillers & Vintners – 1.0%

Constellation Brands, Inc.:

    

3.200%, 2-15-23

   1,500   1,496

4.250%, 5-1-23

   1,188   1,199

Diageo Capital plc (GTD by Diageo plc),

    

3.500%, 9-18-23

   1,300   1,325
    4,020

Drug Retail – 1.0%

CVS Health Corp.:

    

2.800%, 7-20-20

   1,213   1,213

3.500%, 7-20-22

   1,425   1,462

2.750%, 12-1-22

   1,405   1,414
    4,089

Soft Drinks – 0.3%

Keurig Dr Pepper, Inc.,

    

4.057%, 5-25-23

   1,200   1,250

Total Consumer Staples - 2.3%

   9,359

Energy

Oil & Gas Equipment & Services – 0.7%

Enterprise Products Operating LLC (GTD by Enterprise Products Partners L.P.):

    

2.800%, 2-15-21

   800   799

3.500%, 2-1-22

   2,000   1,973
    2,772

Oil & Gas Exploration & Production – 0.4%

Aker BP ASA,

    

6.000%, 7-1-22(A)

   1,000   894

EQT Corp.,

    

3.000%, 10-1-22(B)

   850   710
    1,604

Oil & Gas Storage & Transportation – 2.5%

Enbridge, Inc.,

    

2.900%, 7-15-22

   2,470   2,268

EQT Midstream Partners L.P.,

    

4.750%, 7-15-23

   1,500   1,086

Kinder Morgan Energy Partners L.P.:

    

3.500%, 3-1-21

   1,000   987

3.450%, 2-15-23

   1,646   1,609

Midwest Connector Capital Co. LLC,

    

3.625%, 4-1-22(A)

   1,000   961

Plains All American Pipeline L.P. and PAA Finance Corp.,

    

3.850%, 10-15-23

   1,800   1,584

Sunoco Logistics Partners Operations L.P. (GTD by Sunoco Logistics Partners L.P.),

    

4.400%, 4-1-21

   800   797

Western Gas Partners L.P.,

    

5.375%, 6-1-21

   1,425   1,147
    10,439

Total Energy - 3.6%

   14,815

Financials

Asset Management & Custody Banks – 0.3%

Ares Capital Corp.:

    

3.625%, 1-19-22

   404   376

3.500%, 2-10-23

   1,110   985
    1,361

Consumer Finance – 1.9%

Ally Financial, Inc.,

    

4.250%, 4-15-21

   3,889   3,798

Discover Bank:

    

3.100%, 6-4-20

   1,250   1,248

3.350%, 2-6-23

   1,830   1,838

General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.),

    

3.200%, 7-6-21

   1,000   955
    7,839

Diversified Banks – 4.4%

Bank of America Corp.,

    

4.100%, 7-24-23

   2,983   3,178

Citizens Bank N.A.,

    

3.250%, 2-14-22

   1,200   1,216

KeyCorp:

    

2.900%, 9-15-20

   250   249

5.100%, 3-24-21

   1,000   1,019

Mitsubishi UFJ Financial Group, Inc.,

    

2.998%, 2-22-22

   1,500   1,529

Mizuho Financial Group, Inc.,

    

2.953%, 2-28-22

   2,100   2,121

National Bank of Canada,

    

2.100%, 2-1-23

   1,400   1,393

Sumitomo Mitsui Financial Group, Inc.,

    

2.784%, 7-12-22

   1,710   1,718

Synchrony Bank,

    

3.000%, 6-15-22

   1,500   1,488

Truist Bank,

    

1.250%, 3-9-23

   1,350   1,308

U.S. Bancorp,

    

5.125%, 1-15-68

   3,380   3,160
    18,379

Financial Exchanges & Data – 0.4%

Intercontinental Exchange, Inc.,

    

3.450%, 9-21-23

   1,500   1,577

Investment Banking & Brokerage – 2.9%

E*TRADE Financial Corp.,

    

2.950%, 8-24-22

   1,580   1,557

Goldman Sachs Group, Inc. (The):

    

2.600%, 12-27-20

   1,900   1,900

5.750%, 1-24-22

   2,500   2,653

3.000%, 4-26-22

   1,500   1,511

Morgan Stanley,

    

4.875%, 11-1-22

   3,734   3,920

Morgan Stanley (3-Month U.S. LIBOR plus 110 bps),

    

3.000%, 5-31-23(C)

   300   310
    11,851

Life & Health Insurance – 0.3%

Reliance Standard Life Insurance II,

    

2.150%, 1-21-23(A)

   1,400   1,367

Other Diversified Financial Services – 1.5%

Citigroup, Inc.,

    

2.750%, 4-25-22

   2,000   2,010

JPMorgan Chase & Co.:

    

4.350%, 8-15-21

   1,084   1,119

3.250%, 9-23-22

   1,533   1,580

2.972%, 1-15-23

   1,500   1,527
    6,236

Total Financials - 11.7%

   48,610

Health Care

Health Care Equipment – 0.5%

Becton Dickinson & Co.,

    

2.894%, 6-6-22

   1,900   1,901

Pharmaceuticals – 1.3%

AbbVie, Inc.,

    

2.300%, 11-21-22(A)

   1,400   1,399

Elanco Animal Health, Inc.,

    

5.022%, 8-28-23(B)(D)

   1,700   1,719

Zoetis, Inc.,

    

3.250%, 2-1-23

   2,415   2,469
    5,587

Total Health Care - 1.8%

   7,488
 

Industrials

 

Aerospace & Defense – 1.1%

 

BAE Systems plc,

      

4.750%, 10-11-21(A)

      1,170        1,213  

Boeing Co. (The),

      

2.800%, 3-1-23

      2,250        2,071  

Spirit AeroSystems, Inc. (GTD by Spirit AeroSystems Holdings, Inc.),

      

3.950%, 6-15-23

      1,400        1,214  
     

 

 

  
        4,498  
     

 

 

  

Airlines – 0.4%

 

Delta Air Lines, Inc.,

      

3.400%, 4-19-21

      1,800        1,639  
     

 

 

  

Environmental & Facilities Services – 0.7%

 

Waste Management, Inc. (GTD by Waste Management Holdings, Inc.),

      

2.400%, 5-15-23

      2,818        2,771  
     

 

 

  

Industrial Conglomerates – 0.1%

 

General Electric Capital Corp.,

      

5.012%, 1-1-24

      695        698  
     

 

 

  

Total Industrials - 2.3%

 

      9,606  
            

Information Technology

Semiconductors – 1.3%

 

 

Broadcom Corp. and Broadcom Cayman Finance Ltd. (GTD by Broadcom Ltd.),

      

3.000%, 1-15-22

      1,688        1,672  

Broadcom, Inc.:

      

3.125%, 4-15-21(A)

      1,015        1,003  

3.125%, 10-15-22(A)

      810        802  

Microchip Technology, Inc.,

      

3.922%, 6-1-21

      2,000        1,949  
     

 

 

  
        5,426  
     

 

 

  

Technology Hardware, Storage & Peripherals – 0.3%

 

NetApp, Inc.,

      

3.375%, 6-15-21

      1,000        1,002  
     

 

 

  

Total Information Technology - 1.6%

 

      6,428  
            

Real Estate

 

Specialized REITs – 1.4%

 

American Tower Corp.:

      

3.300%, 2-15-21

      1,000        1,000  

2.250%, 1-15-22

      590        576  

3.070%, 3-15-23(A)

      3,335        3,276  

Crown Castle International Corp.,

      

4.875%, 4-15-22

      1,000        1,050  
     

 

 

  
        5,902  
     

 

 

  

Total Real Estate - 1.4%

 

      5,902  
            

Utilities

 

Electric Utilities – 2.4%

 

CenterPoint Energy, Inc.,

      

2.500%, 9-1-22

      3,000        2,945  

Entergy Texas, Inc.,

      

2.550%, 6-1-21

      1,275        1,279  

Evergy, Inc.,

      

5.292%, 6-15-22(D)

      1,154        1,191  

MidAmerican Energy Co.,

      

3.700%, 9-15-23

      1,045        1,075  

National Rural Utilities Cooperative Finance Corp.,

      

2.400%, 4-25-22

      1,300        1,271  

Virginia Electric and Power Co., Series C,

      

2.750%, 3-15-23

      2,000        2,014  
     

 

 

  
        9,775  
     

 

 

  

Total Utilities - 2.4%

 

      9,775  
            

TOTAL CORPORATE DEBT SECURITIES – 31.7%

 

    $ 130,916  

(Cost: $133,715)

 

MORTGAGE-BACKED SECURITIES                  

Non-Agency REMIC/CMO - 1.3%

 

COLT Funding LLC, Series 2018-4, Class M1 (Mortgage spread to 3-year U.S. Treasury index),

      

4.716%, 12-28-48(A)(C)

      1,400        1,294  

JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-FRR1, Class A-K10,

      

4.286%, 11-27-49(A)

      3,700        3,591  

Verus Securitization Trust, Series 2018-3, Class B1 (Mortgage spread to 5-year U.S. Treasury index),

      

5.694%, 10-25-58(A)(C)

      700        673  
     

 

 

  
        5,558  
     

 

 

  

TOTAL MORTGAGE-BACKED SECURITIES – 1.3%

 

    $ 5,558  

(Cost: $5,806)

 

UNITED STATES GOVERNMENT AGENCY OBLIGATIONS                  

Agency Obligations - 1.1%

 

Federal Home Loan Bank,

      

2.250%, 7-21-31

      1,640        1,661  

U.S. Department of Transportation,

      

6.001%, 12-7-21(A)

      2,500        2,712  
     

 

 

  
        4,373  
     

 

 

  

Mortgage-Backed Obligations - 12.7%

 

Federal Home Loan Mortgage Corp. Agency REMIC/CMO:

      

3.440%, 6-25-22(A)

      2,000        1,979  

2.500%, 5-15-44

      489        508  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 185 bps),

      

3.365%, 8-25-25(A)(C)

      2,077        1,745  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 250 bps),

      

4.015%, 11-25-24(A)(C)

      494        422  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 255 bps),

      

4.065%, 6-25-27(A)(C)

      489        396  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 435 bps),

      

5.865%, 11-25-21(A)(C)

      2,923        2,699  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (3-Year U.S. Treasury index plus 315 bps),

      

4.622%, 11-25-49(A)(C)

      2,120        2,120  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 1-Month U.S. LIBOR):

      

4.765%, 6-25-21(A)(C)

      593        570  

5.515%, 9-25-22(A)(C)

      359        330  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 2-year U.S. Treasury index),

      

3.630%, 11-25-47(A)(C)

      1,500        1,493  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 3-year U.S. Treasury index):

      

5.625%, 4-25-20(A)(C)

      179        179  

3.392%, 7-25-22(A)(C)

      1,720        1,696  

3.971%, 2-25-46(A)(C)

      70        70  

3.631%, 7-25-46(A)(C)

      2,000        1,923  

3.565%, 11-25-47(A)(C)

      5,000        4,874  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index):

      

3.485%, 11-25-23(A)(C)

      600        570  

3.582%, 11-25-23(A)(C)

      10,870        10,441  

3.868%, 5-25-45(A)(C)

      600        597  

3.556%, 6-25-45(A)(C)

      1,000        958  

3.565%, 11-25-47(A)(C)

      2,724        2,680  

3.541%, 2-25-48(A)(C)

      1,000        991  

3.587%, 6-25-48(A)(C)

      1,170        1,125  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 7-year U.S. Treasury index):

      

4.055%, 5-25-25(A)(C)

      225        221  

3.779%, 10-25-48(A)(C)

      1,125        1,155  

3.674%, 11-25-49(A)(C)

      1,900        1,844  

3.647%, 11-25-50(A)(C)

      5,650        5,488  

Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates:

      

3.000%, 9-1-28

      1,752        1,842  

4.500%, 8-1-30

      482        527  

Federal National Mortgage Association Agency REMIC/CMO,

      

2.000%, 10-25-41

      1,254        1,289  

Federal National Mortgage Association Fixed Rate Pass-Through Certificates:

      

4.646%, 7-1-20

      222        222  

3.680%, 2-1-21

      273        274  

4.381%, 6-1-21

      840        870  

Government National Mortgage Association Agency REMIC/CMO,

      

2.000%, 3-16-42

      636        654  
     

 

 

  
        52,752  
     

 

 

  

TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 13.8%

             $ 57,125  

(Cost: $58,917)

 

 

UNITED STATES GOVERNMENT OBLIGATIONS

 

                  

Treasury Obligations - 51.0%

 

U.S. Treasury Notes:

 

2.500%, 1-31-21

      6,300        6,426  

2.500%, 2-28-21

      1,000        1,022  

2.625%, 5-15-21

      16,500        16,960  

1.500%, 8-31-21

      5,675        5,778  

2.750%, 9-15-21

      1,000        1,037  

1.500%, 9-30-21

      9,000        9,173  

2.875%, 10-15-21

      18,400        19,150  

1.500%, 11-30-21

      24,850        25,378  

2.000%, 12-31-21

      8,000        8,247  

2.125%, 12-31-21

      16,000        16,528  

1.500%, 1-31-22

      14,750        15,088  

1.875%, 2-28-22

      19,000        19,598  

1.750%, 4-30-22

      13,000        13,411  

1.750%, 5-31-22

      2,750        2,839  

2.000%, 7-31-22

      10,000        10,411  

1.375%, 10-15-22

      3,000        3,084  

2.125%, 12-31-22

      11,000        11,557  

2.375%, 1-31-23

      10,000        10,593  

2.500%, 3-31-23

      5,850        6,237  

2.750%, 4-30-23

      8,000        8,605  
     

 

 

  
        211,122  
     

 

 

  

TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 51.0%

 

      $211,122  
            

(Cost: $203,216)

 

SHORT-TERM SECURITIES      
                   

Commercial Paper(E) - 1.6%

 

AT&T, Inc.,

      

2.940%, 10-2-20

      1,000        985  

Campbell Soup Co.,

      

2.890%, 8-11-20

      1,000        990  

Ecolab, Inc.,

      

3.320%, 5-29-20

      2,000        1,989  

Sherwin-Williams Co. (The),

      

1.800%, 4-2-20

      1,000        1,000  

Walgreens Boots Alliance, Inc.,

      

3.360%, 5-4-20

      1,500        1,495  
     

 

 

  
        6,459  
     

 

 

  
     Shares         
            

Money Market Funds (G) - 0.4%

 

Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, 0.390%(F)

      576        576  

State Street Institutional U.S. Government Money Market Fund – Premier Class, 0.310%

      1,103        1,103  
     

 

 

  
        1,679  
     

 

 

  

TOTAL SHORT-TERM SECURITIES – 2.0%

 

      $8,138  
            

(Cost: $8,158)

 

TOTAL INVESTMENT SECURITIES – 100.0%

 

      $413,788  
            

(Cost: $410,667)

 

LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0%

 

      (10 ) 
            

NET ASSETS – 100.0%

 

      $413,778  
            

    

    

 

Notes to Schedule of Investments

 

(A)

Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2020 the total value of these securities amounted to $74,586 or 18.0% of net assets.

(B)

All or a portion of securities with an aggregate value of $995 are on loan.

(C)

Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2020. Description of the reference rate and spread, if applicable, are included in the security description.

(D)

Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at March 31, 2020.

(E)

Rate shown is the yield to maturity at March 31, 2020.

(F)

Investment made with cash collateral received from securities on loan.

(G)

Rate shown is the annualized 7-day yield at March 31, 2020.

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.

Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized as follows:

• Level 1 - Observable inputs such as quoted prices, available in active markets, for identical assets or liabilities.

• Level 2 - Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

• Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2020:

 

      Level 1      Level 2      Level 3

Assets

         

Investments in Securities

                

Asset-Backed Securities

    $ —      $ 929      $             —    

Corporate Debt Securities

      —        130,916        —    

Mortgage-Backed Securities

      —        5,558        —    

United States Government Agency Obligations

      —        57,125        —    

United States Government Obligations

      —        211,122        —    

Short-Term Securities

      1,679        6,459        —    
  

 

 

  

Total

    $       1,679      $     412,109      $ —    
  

 

 

  

The following acronyms are used throughout this schedule:

CMO = Collateralized Mortgage Obligation

GTD = Guaranteed

LIBOR = London Interbank Offered Rate

REIT = Real Estate Investment Trust

REMIC = Real Estate Mortgage Investment Conduit

 

For Federal income tax purposes, cost of investments owned at
March 31, 2020 and the related unrealized appreciation (depreciation)
were as follows:		  

Cost

            $ 410,667  
  

 

 

  

Gross unrealized appreciation

      9,135  

Gross unrealized depreciation

      (6,014 ) 
  

 

 

  

        

 

For Federal income tax purposes, cost of investments owned at March 31, 2020 and the related unrealized appreciation (depreciation) were as follows:

 

Net unrealized appreciation

    $ 3,121