WILSHIRE MUTUAL FUNDS, INC. | ||||||||
LARGE COMPANY GROWTH PORTFOLIO | March 31, 2021 (Unaudited) | |||||||
SCHEDULE OF INVESTMENTS | ||||||||
Shares | Value | |||||||
COMMON STOCKS - 81.3% (a) | ||||||||
Communications - 12.4% | ||||||||
Activision Blizzard, Inc. | 3,731 | $ | 346,983 | |||||
Alphabet, Inc. - Class A (b) | 2,149 | 4,432,356 | ||||||
Alphabet, Inc. - Class C (b) | 4,085 | 8,450,354 | ||||||
Booking Holdings, Inc. (b) | 275 | 640,706 | ||||||
Electronic Arts, Inc. | 339 | 45,890 | ||||||
Facebook, Inc. - Class A (b) | 34,099 | 10,043,178 | ||||||
Godaddy, Inc. - Class A (b) | 4,063 | 315,370 | ||||||
Match Group, Inc. (b) | 412 | 56,601 | ||||||
Netflix, Inc. (b) | 2,096 | 1,093,399 | ||||||
Nexstar Media Group, Inc. - Class A | 1,960 | 275,243 | ||||||
Pinterest, Inc. - Class A (b) | 20,150 | 1,491,705 | ||||||
Roku, Inc. (b) | 249 | 81,117 | ||||||
Snap, Inc. (b) | 8,211 | 429,353 | ||||||
Take-Two Interactive Software, Inc. (b) | 1,782 | 314,879 | ||||||
The Trade Desk, Inc. - Class A (b) | 41 | 26,718 | ||||||
The Walt Disney Co. (b) | 15,528 | 2,865,227 | ||||||
T-Mobile Us, Inc. (b) | 7,162 | 897,327 | ||||||
Uber Technologies, Inc. (b) | 9,467 | 516,046 | ||||||
Zillow Group, Inc. (b) | 710 | 92,044 | ||||||
32,414,496 | ||||||||
Consumer Discretionary - 13.5% | ||||||||
Alibaba Group Holding Ltd. - ADR (b) | 14,923 | 3,383,492 | ||||||
Amazon.Com, Inc. (b) | 5,007 | 15,492,059 | ||||||
Autozone, Inc. (b) | 37 | 51,959 | ||||||
Borgwarner, Inc. | 4,709 | 218,309 | ||||||
Carvana Co (b) | 3,143 | 824,723 | ||||||
Draftkings, Inc. - Class A (b) | 12,423 | 761,903 | ||||||
Ebay, Inc. | 7,151 | 437,927 | ||||||
Etsy, Inc. (b) | 415 | 83,693 | ||||||
Las Vegas Sands Corp. | 4,548 | 276,336 | ||||||
Leslie'S, Inc. (b) | 2,106 | 51,576 | ||||||
Lithia Motors, Inc. - Class A | 703 | 274,233 | ||||||
Live Nation Entertainment, Inc. (b) | 7,681 | 650,197 | ||||||
Lowe's Cos, Inc. | 3,712 | 705,948 | ||||||
Mattel, Inc. (b) | 1,509 | 30,059 | ||||||
Mercadolibre, Inc. (b) | 102 | 150,158 | ||||||
Mgm Resorts International | 13,349 | 507,129 | ||||||
Nike, Inc. - Class B | 9,634 | 1,280,262 | ||||||
O'Reilly Automotive, Inc. (b) | 810 | 410,872 | ||||||
Peloton Interactive, Inc. (b) | 286 | 32,158 | ||||||
Pool Corp. | 1,779 | 614,182 | ||||||
Ross Stores, Inc. | 660 | 79,141 | ||||||
Starbucks Corp. | 37,519 | 4,099,701 | ||||||
Tempur Sealy International, Inc. | 1,687 | 61,677 | ||||||
Tesla, Inc. (b) | 3,464 | 2,313,710 | ||||||
The Home Depot, Inc. | 2,332 | 711,843 | ||||||
The Tjx Cos, Inc. | 1,071 | 70,847 | ||||||
Tractor Supply Co | 743 | 131,570 | ||||||
Williams-Sonoma, Inc. | 173 | 31,002 | ||||||
Yum China Holdings, Inc. | 11,500 | 680,915 | ||||||
Yum! Brands, Inc. | 8,534 | 923,208 | ||||||
35,340,789 | ||||||||
Consumer Staples - 3.0% | ||||||||
Altria Group, Inc. | 2,335 | 119,458 | ||||||
Church & Dwight Co., Inc. | 217 | 18,955 | ||||||
Colgate-Palmolive Co. | 12,704 | 1,001,456 | ||||||
Costco Wholesale Corp. | 1,223 | 431,083 | ||||||
Dollar General Corp. | 2,106 | 426,718 | ||||||
Dollar Tree, Inc. (b) | 3,889 | 445,135 | ||||||
Herbalife Nutrition Ltd. (b) | 1,491 | 66,141 | ||||||
Monster BeverAGe Corp. (b) | 32,801 | 2,987,843 | ||||||
Sprouts Farmers Market, Inc. (b) | 10,695 | 284,701 | ||||||
Sysco Corp. | 1,383 | 108,897 | ||||||
Target Corp. | 611 | 121,021 | ||||||
The Coca-Cola Co. | 3,170 | 167,091 | ||||||
The Hershey Co. | 136 | 21,510 | ||||||
The Procter & Gamble Co. | 2,336 | 316,364 | ||||||
Us Foods Holding Corp. (b) | 34,092 | 1,299,587 | ||||||
7,815,960 | ||||||||
Energy - 0.5% | ||||||||
Cheniere Energy, Inc. (b) | 532 | 38,309 | ||||||
Enphase Energy, Inc. (b) | 336 | 54,486 | ||||||
Equitrans Midstream Corp. | 9,105 | 74,297 | ||||||
Schlumberger NV | 41,853 | 1,137,983 | ||||||
1,305,075 | ||||||||
Financials - 1.8% | ||||||||
Aon PLC - Class A | 1,026 | 236,093 | ||||||
Cboe Global Markets, Inc. | 1,536 | 151,588 | ||||||
Cme Group, Inc. | 4,031 | 823,251 | ||||||
Lincoln National Corp. | 2,609 | 162,462 | ||||||
Marsh & Mclennan Cos, Inc. | 1,207 | 147,013 | ||||||
Morgan Stanley | 9,731 | 755,709 | ||||||
Sei INVestments Co. | 18,318 | 1,116,116 | ||||||
Signature Bank | 3,477 | 786,150 | ||||||
Slm Corp. | 13,364 | 240,151 | ||||||
Virtu Financial, Inc. - Class A | 8,724 | 270,880 | ||||||
4,689,413 | ||||||||
Health Care - 8.3% | ||||||||
Abbott Laboratories | 2,623 | 314,340 | ||||||
Abbvie, Inc. | 4,356 | 471,406 | ||||||
Abiomed, Inc. (b) | 74 | 23,586 | ||||||
Align Technology, Inc. (b) | 1,579 | 855,076 | ||||||
Amgen, Inc. | 958 | 238,360 | ||||||
Anthem, Inc. | 1,210 | 434,330 | ||||||
Avantor, Inc. (b) | 1,669 | 48,284 | ||||||
Cardinal Health, Inc. | 1,580 | 95,985 | ||||||
Centene Corp. (b) | 2,142 | 136,895 | ||||||
Cigna Corp. | 479 | 115,793 | ||||||
Danaher Corp. | 7,605 | 1,711,733 | ||||||
Dexcom, Inc. (b) | 1,449 | 520,756 | ||||||
Eli Lilly And Co | 1,105 | 206,436 | ||||||
Guardant Health, Inc. (b) | 1,447 | 220,885 | ||||||
Hca Healthcare, Inc. | 1,209 | 227,703 | ||||||
Hologic, Inc. (b) | 4,157 | 309,198 | ||||||
Humana, Inc. | 1,060 | 444,405 | ||||||
Idexx Laboratories, Inc. (b) | 411 | 201,106 | ||||||
Illumina, Inc. (b) | 4,753 | 1,825,437 | ||||||
Intuitive Surgical, Inc. (b) | 1,155 | 853,476 | ||||||
Johnson & Johnson | 1,217 | 200,014 | ||||||
Mckesson Corp. | 2,672 | 521,147 | ||||||
Medtronic PLC | 13,059 | 1,542,660 | ||||||
Merck & Co., Inc. | 3,609 | 278,218 | ||||||
Moderna, Inc. (b) | 944 | 123,617 | ||||||
Molina Healthcare, Inc. (b) | 774 | 180,930 | ||||||
Neurocrine Biosciences, Inc. (b) | 779 | 75,758 | ||||||
Novartis AG - ADR | 27,415 | 2,343,434 | ||||||
Novo Nordisk A/S - ADR | 8,664 | 584,127 | ||||||
Quidel Corp. (b) | 1,211 | 154,923 | ||||||
Regeneron Pharmaceuticals, Inc. (b) | 3,980 | 1,883,097 | ||||||
Repligen Corp. (b) | 127 | 24,690 | ||||||
Resmed, Inc. | 1,532 | 297,239 | ||||||
Roche Holding AG - ADR | 41,936 | 1,700,924 | ||||||
Royalty Pharma PLC - Class A (c) | 4,504 | 196,465 | ||||||
Thermo Fisher Scientific, Inc. | 875 | 399,333 | ||||||
Unitedhealth Group, Inc. | 4,720 | 1,756,170 | ||||||
Vertex Pharmaceuticals, Inc. (b) | 808 | 173,631 | ||||||
Waters Corp. (b) | 642 | 182,437 | ||||||
21,874,004 | ||||||||
Industrials - 5.8% | ||||||||
3M Co | 150 | 28,902 | ||||||
Boeing Co/The | 15,261 | 3,887,282 | ||||||
Cintas Corp. | 1,920 | 655,315 | ||||||
Deere & Co. | 10,104 | 3,780,310 | ||||||
Eaton Corp. PLC | 6,629 | 916,658 | ||||||
Expeditors International Of Washington, Inc. | 20,833 | 2,243,506 | ||||||
Illinois Tool Works, Inc. | 1,019 | 225,729 | ||||||
Landstar System, Inc. | 397 | 65,529 | ||||||
Lockheed Martin Corp. | 876 | 323,682 | ||||||
Old Dominion Freight Line, Inc. | 1,473 | 354,124 | ||||||
Transdigm Group, Inc. (b) | 2,970 | 1,746,122 | ||||||
Union Pacific Corp. | 3,165 | 697,598 | ||||||
United Parcel Service, Inc. - Class B | 1,223 | 207,898 | ||||||
Xpo Logistics, Inc. (b) | 513 | 63,253 | ||||||
15,195,908 | ||||||||
Materials - 0.6% | ||||||||
Air Products And Chemicals, Inc. | 428 | 120,413 | ||||||
Amcor PLC | 22,082 | 257,918 | ||||||
Avery Dennison Corp. | 169 | 31,037 | ||||||
Berry Global Group, Inc. (b) | 958 | 58,821 | ||||||
Crown Holdings, Inc. | 2,288 | 222,027 | ||||||
EAGle Materials, Inc. | 1,565 | 210,352 | ||||||
The Sherwin-Williams Co. | 817 | 602,954 | ||||||
1,503,522 | ||||||||
Real Estate - 0.0% (d) | ||||||||
Simon Property Group, Inc. | 262 | 29,808 | ||||||
Technology - 35.4% | ||||||||
Accenture PLC - Class A | 2,641 | 729,576 | ||||||
Adobe, Inc. (b) | 8,183 | 3,889,953 | ||||||
Advanced Micro Devices, Inc. (b) | 13,777 | 1,081,494 | ||||||
Anaplan, Inc. (b) | 721 | 38,826 | ||||||
Apple, Inc. | 94,032 | 11,486,009 | ||||||
Applied Materials, Inc. | 33,577 | 4,485,887 | ||||||
Arista Networks, Inc. (b) | 432 | 130,416 | ||||||
Aspen Technology, Inc. (b) | 879 | 126,866 | ||||||
Atlassian Corp. PLC - Class A (b) | 215 | 45,313 | ||||||
Autodesk, Inc. (b) | 13,380 | 3,708,267 | ||||||
Automatic Data Processing, Inc. | 2,907 | 547,882 | ||||||
Bill.Com Holdings, Inc. (b) | 296 | 43,068 | ||||||
Booz Allen Hamilton Holding Corp. | 5,500 | 442,915 | ||||||
Broadcom, Inc. | 108 | 50,075 | ||||||
Cdw Corp. | 985 | 163,264 | ||||||
Cerner Corp. | 15,012 | 1,079,062 | ||||||
Cisco Systems, Inc./Delaware | 26,955 | 1,393,843 | ||||||
Cognizant Technology Solutions Corp. | 1,574 | 122,961 | ||||||
Coupa Software, Inc. (c)(b) | 280 | 71,254 | ||||||
Crowdstrike Holdings, Inc. (b) | 276 | 50,373 | ||||||
Datadog, Inc. - Class A (b) | 297 | 24,752 | ||||||
Dropbox, Inc. - Class A (b) | 5,342 | 142,418 | ||||||
Dynatrace, Inc. (b) | 6,007 | 289,778 | ||||||
Elastic NV (b) | 293 | 32,582 | ||||||
Factset Research Systems, Inc. | 3,244 | 1,001,066 | ||||||
Fair Isaac Corp. (b) | 444 | 215,806 | ||||||
Fidelity National Information Services, Inc. | 1,198 | 168,451 | ||||||
Fiserv, Inc. (b) | 12,873 | 1,532,402 | ||||||
Five9, Inc. (b) | 2,822 | 441,163 | ||||||
Fortinet, Inc. (b) | 3,073 | 566,723 | ||||||
Gartner, Inc. (b) | 1,818 | 331,876 | ||||||
Genpact Ltd. | 8,957 | 383,539 | ||||||
Hubspot, Inc. (b) | 265 | 120,366 | ||||||
Intuit, Inc. | 3,412 | 1,307,001 | ||||||
Jabil, Inc. | 6,718 | 350,411 | ||||||
Kla Corp. | 819 | 270,598 | ||||||
Lam Research Corp. | 630 | 375,001 | ||||||
Mastercard, Inc. | 3,534 | 1,258,281 | ||||||
Microsoft Corp. | 73,480 | 17,324,380 | ||||||
Monolithic Power Systems, Inc. | 524 | 185,082 | ||||||
Msci, Inc. | 100 | 41,928 | ||||||
Netapp, Inc. | 2,907 | 211,252 | ||||||
NVidia Corp. | 11,151 | 5,953,853 | ||||||
Nxp Semiconductors NV | 4,215 | 848,648 | ||||||
Oracle Corp. | 45,598 | 3,199,612 | ||||||
Paypal Holdings, Inc. (b) | 16,715 | 4,059,071 | ||||||
Qualcomm, Inc. | 26,922 | 3,569,588 | ||||||
Ringcentral, Inc. - Class A (b) | 2,170 | 646,400 | ||||||
S&P Global, Inc. | 3,440 | 1,213,873 | ||||||
Salesforce.Com, Inc. (b) | 19,277 | 4,084,218 | ||||||
Servicenow, Inc. (b) | 741 | 370,581 | ||||||
Square, Inc. (b) | 1,157 | 262,697 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. - ADR | 10,887 | 1,287,714 | ||||||
Teradata Corp. (b) | 1,894 | 72,995 | ||||||
Teradyne, Inc. | 1,449 | 176,314 | ||||||
Texas Instruments, Inc. | 1,364 | 257,782 | ||||||
The Western Union Co. | 9,246 | 228,006 | ||||||
Twilio, Inc. (b) | 253 | 86,212 | ||||||
Universal Display Corp. | 881 | 208,594 | ||||||
Visa, Inc. - Class A | 40,967 | 8,673,943 | ||||||
Workday, Inc. - Class A (b) | 4,693 | 1,165,882 | ||||||
Zoom Video Communications, Inc. (b) | 793 | 254,783 | ||||||
Zscaler, Inc. (b) | 127 | 21,802 | ||||||
92,904,728 | ||||||||
Total Common Stocks (Cost $106,546,947) | 213,073,703 | |||||||
U.S. TREASURY OBLIGATIONS - 0.4% | Par Value | |||||||
U.S. Treasury Notes - 0.4% | ||||||||
0.125%, due 03/31/23 (e) | $ | 170,100 | 169,994 | |||||
0.250%, due 03/15/24 (e) | 578,100 | 576,564 | ||||||
0.250%, due 10/31/25 (e) | 55,000 | 53,556 | ||||||
0.750%, due 03/31/26 (e) | 103,000 | 102,099 | ||||||
1.125%, due 02/15/31 (c)(e) | 97,000 | 91,650 | ||||||
Total U.S. Treasury Obligations (Cost $996,964) | 993,863 | |||||||
AGENCY MORTGAGE-BACKED OBLIGATIONS - 0.1% | ||||||||
Federal Home Loan Mortgage Corp. - 0.0% (d) | ||||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series K-123, 0.775%, due 12/25/30 (e)(f) | 1,399,702 | 89,247 | ||||||
Federal Home Loan Mortgage Corp. Interest-Only Strips - 0.1% | ||||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series K-108, 1.690%, due 03/25/30 (e)(f) | 459,985 | 60,036 | ||||||
Series K-1501, 0.403%, due 04/25/30 (e)(f) | 2,597,819 | 72,871 | ||||||
Series K-110, 1.698%, due 04/25/30 (e)(f) | 399,583 | 51,244 | ||||||
Series K-118, 0.962%, due 09/25/30 (e)(f) | 999,178 | 77,549 | ||||||
261,700 | ||||||||
Total Agency Mortgage-Backed Obligations (Cost $343,987) | 350,947 | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATION INTEREST-ONLY STRIPS - 0.1% | ||||||||
Benchmark 2020-B19 Mortgage Trust | ||||||||
Series 2020-B19, 1.778%, due 09/17/53 (e)(f) | 998,934 | �� | 112,041 | |||||
DBJPM 20-C9 Mortgage Trust | ||||||||
Series 2020-C9, 1.714%, due 08/15/53 (e)(f) | 709,421 | 75,211 | ||||||
Total Non-Agency Mortgage-Backed Obligation Interest-Only Strips (Cost $195,294) | 187,252 | |||||||
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS - 2.2% | ||||||||
BBCMS 2018-TALL Mortgage Trust | ||||||||
Series 2018-TALL, 0.828%, due 03/15/37 (1 Month U.S. LIBOR + 0.722%) (e)(g)(h) | 180,000 | 178,203 | ||||||
BBCMS 2020-BID Mortgage Trust | ||||||||
Series 2020-BID, 2.246%, due 10/15/37 (1 Month U.S. LIBOR + 2.140%) (e)(g)(h) | 170,000 | 170,670 | ||||||
BHMS 2018-ATLS | ||||||||
Series 2018-ATLS, 1.356%, due 07/16/35 (1 Month U.S. LIBOR + 1.250%) (e)(g)(h) | 211,000 | 210,868 | ||||||
BX Commercial Mortgage Trust 2019-XL | ||||||||
Series 2019-XL, 1.906%, due 10/15/36 (1 Month U.S. LIBOR + 1.800%) (e)(g)(h) | 169,292 | 169,186 | ||||||
BX Commercial Mortgage Trust 2020-VKNG | ||||||||
Series 2020-VKNG, 1.506%, due 10/15/37 (1 Month U.S. LIBOR + 1.400%) (e)(g)(h) | 100,000 | 100,312 | ||||||
COMM 2015-PC1 Mortgage Trust | ||||||||
Series 2015-PC1, 4.325%, due 07/12/50 (e)(f) | 350,000 | 374,123 | ||||||
Great Wolf Trust 2019-WOLF | ||||||||
Series 2019-WOLF, 1.739%, due 12/15/36 (1 Month U.S. LIBOR + 1.633%) (e)(g)(h) | 100,000 | 99,000 | ||||||
GS Mortgage Securities Trust 2018-HART | ||||||||
Series 2018-HART, 1.200%, due 10/15/31 (1 Month U.S. LIBOR + 1.090%) (e)(g)(h) | 170,000 | 169,841 | ||||||
GSCG Trust 2019-600C | ||||||||
Series 2019-600C, 2.936%, due 09/12/34 (e)(g) | 180,000 | 185,062 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2019-ICON | ||||||||
Series A, 3.884%, due 01/06/34 (e)(g) | 130,000 | 136,556 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5 | ||||||||
Series B, 5.425%, due 08/17/46 (e)(f)(g) | 210,000 | 210,553 | ||||||
JP Morgan Mortgage Trust 2017-2 | ||||||||
Series 2017-2, 3.500%, due 05/25/47 (e)(f)(g) | 121,715 | 122,100 | ||||||
JP MORGAN MORTGAGE TRUST 2018-5 | ||||||||
Series 2018-5, 3.500%, due 10/25/48 (e)(f)(g) | 264,061 | 268,168 | ||||||
JP Morgan Mortgage Trust 2019-1 | ||||||||
Series 2019-1, 4.000%, due 05/25/49 (e)(f)(g) | 48,803 | 49,742 | ||||||
JP Morgan Mortgage Trust 2019-3 | ||||||||
Series 2019-3, 4.000%, due 09/25/49 (e)(f)(g) | 13,679 | 13,885 | ||||||
JP Morgan Mortgage Trust 2019-INV3 | ||||||||
Series 2019-INV3, 3.500%, due 05/25/50 (e)(f)(g) | 225,717 | 235,345 | ||||||
JP Morgan Mortgage Trust 2020-2 | ||||||||
Series 2020-2, 3.500%, due 07/25/50 (e)(f)(g) | 236,068 | 241,510 | ||||||
JP Morgan Trust 2015-3 | ||||||||
Series 2015-3, 3.500%, due 05/25/45 (e)(f)(g) | 136,435 | 137,304 | ||||||
JPMBB Commercial Mortgage Securities Trust 2013-C12 | ||||||||
Series B, 4.105%, due 07/17/45 (e)(f) | 163,000 | 172,244 | ||||||
Manhattan West | ||||||||
Series C, 2.335%, due 09/12/39 (e)(f)(g) | 180,000 | 178,979 | ||||||
Mello Warehouse Securitization Trust 2020-1 | ||||||||
Series 2020-1, 1.259%, due 10/27/53 (1 Month U.S. LIBOR + 1.150%) (e)(g)(h) | 100,000 | 100,765 | ||||||
PSMC 2020-3 Trust | ||||||||
Series 2020-3, 3.000%, due 11/25/50 (e)(f)(g) | 157,863 | 161,532 | ||||||
Ready Capital Mortgage Financing 2021-FL5 LLC | ||||||||
Series 2021-FL5, 1.860%, due 04/25/38 (1 Month U.S. LIBOR + 1.750%) (e)(g)(h) | 350,000 | 350,219 | ||||||
Sequoia Mortgage Trust 2013-3 | ||||||||
Series 2013-3, 2.500%, due 03/25/43 (e)(f) | 127,806 | 128,100 | ||||||
Sequoia Mortgage Trust 2016-3 | ||||||||
Series 2016-3, 3.000%, due 11/25/46 (e)(f)(g) | 187,541 | 189,584 | ||||||
Sequoia Mortgage Trust 2018-8 | ||||||||
Series 2018-8, 4.000%, due 11/25/48 (e)(f)(g) | 201,616 | 205,959 | ||||||
Sequoia Mortgage Trust 2019-CH3 | ||||||||
Series 2019-CH3, 4.000%, due 10/25/49 (e)(f)(g) | 36,288 | 36,948 | ||||||
Sequoia Mortgage Trust 2020-4 | ||||||||
Series 2020-4, 2.500%, due 11/25/50 (e)(f)(g) | 200,000 | 197,215 | ||||||
Sequoia Mortgage Trust 2021-1 | ||||||||
Series A-7, 2.500%, due 03/25/51 (e)(f)(g) | 350,000 | 345,604 | ||||||
Shellpoint Co-Originator Trust 2016-1 | ||||||||
Series 2016-1, 3.500%, due 11/25/46 (e)(f)(g) | 152,684 | 154,228 | ||||||
UBS-Barclays Commercial Mortgage Trust 2012-C4 | ||||||||
Series A-5, 2.850%, due 12/12/45 (e) | 25,000 | 25,736 | ||||||
Wells Fargo Mortgage Backed Securities 2020-RR1 Trust | ||||||||
Series A-1, 3.000%, due 05/25/50 (e)(f)(g) | 295,106 | 300,206 | ||||||
WFRBS Commercial Mortgage Trust 2014-C21 | ||||||||
Series 2014-C21, 4.213%, due 08/16/47 (e)(f) | 180,000 | 191,891 | ||||||
Total Non-Agency Mortgage-Backed Obligations (Cost $5,834,466) | 5,811,638 | |||||||
ASSET BACKED SECURITIES - 1.4% | ||||||||
American Airlines 2016-2 Class AA Pass Through Trust | ||||||||
Series 2016-2, 3.200%, due 12/15/29 (e) | 51,808 | 51,430 | ||||||
Commonbond Student Loan Trust 2018-C-GS | ||||||||
Series A-1, 3.870%, due 02/25/46 (e)(g) | 200,473 | 206,083 | ||||||
Exeter Automobile Receivables Trust 2020-3 | ||||||||
Series 2020-3, 1.320%, due 07/15/25 (e) | 200,000 | 202,112 | ||||||
FedEx Corp 2020-1 Class AA Pass Through Trust | ||||||||
Series 2020-1AA, 1.875%, due 08/20/35 (e) | 66,182 | 63,719 | ||||||
Helios Issuer LLC | ||||||||
Series A, 2.980%, due 06/20/47 (e)(g) | 223,648 | 224,249 | ||||||
Laurel Road Prime Student Loan Trust 2020-A | ||||||||
Series 1.40000, 1.400%, due 11/25/50 (e)(g) | 300,000 | 294,565 | ||||||
Loanpal Solar Loan 2020-2 Ltd. | ||||||||
Series A, 2.750%, due 07/20/47 (e)(g) | 225,234 | 227,060 | ||||||
Mosaic Solar Loan Trust 2020-2 | ||||||||
Series 2020-2, 1.440%, due 08/20/46 (e)(g) | 92,454 | 89,942 | ||||||
Navient Private Education Refi Loan Trust 2021-A | ||||||||
Series A, 0.840%, due 05/15/69 (e)(g) | 145,108 | 144,596 | ||||||
Oscar US Funding XII LLC | ||||||||
Series A-4, 1.000%, due 04/10/28 (e)(g) | 200,000 | 199,177 | ||||||
PFS Financing Corp. | ||||||||
Series 2021-A, 0.710%, due 04/15/26 (e)(g) | 100,000 | 99,430 | ||||||
Santander Consumer Auto Receivables Trust 2021-A | ||||||||
Series 2021-A, 1.030%, due 11/16/26 (e)(g) | 150,000 | 148,355 | ||||||
Santander Drive Auto Receivables Trust 2020-3 | ||||||||
Series B, 0.690%, due 03/17/25 (e) | 100,000 | 100,320 | ||||||
Santander Drive Auto Receivables Trust 2020-3 | ||||||||
Series C, 1.120%, due 01/15/26 (e) | 200,000 | 201,465 | ||||||
Sofi Consumer Loan Program 2018-1 Trust | ||||||||
Series B, 3.650%, due 02/25/27 (e)(g) | 139,827 | 142,110 | ||||||
SoFi Consumer Loan Program 2020-1 Trust | ||||||||
Series B, 2.250%, due 01/25/29 (e)(g) | 350,000 | 356,221 | ||||||
Sofi Professional Loan Program 2017-C LLC | ||||||||
Series A-1, 0.709%, due 07/25/40 (1 Month U.S. LIBOR + 0.600%) (e)(g)(h) | 145,623 | 145,700 | ||||||
Sofi Professional Loan Program 2018-B Trust | ||||||||
Series 3.34000, 3.340%, due 08/25/47 (e)(g) | 184,621 | 190,304 | ||||||
Tesla Auto Lease Trust 2019-A | ||||||||
Series 2019-A, 2.680%, due 01/20/23 (e)(g) | 225,000 | 231,164 | ||||||
Vivint Solar Financing VII LLC | ||||||||
Series LLC, 2.210%, due 07/30/51 (e)(g) | 195,065 | 191,972 | ||||||
Volvo Financial Equipment LLC | ||||||||
Series A-4, 0.600%, due 03/15/28 (e)(g) | 100,000 | 100,798 | ||||||
Total Asset-Backed Securities (Cost $3,628,996) | 3,610,772 | |||||||
COLLATERALIZED LOAN OBLIGATIONS - 1.5% | ||||||||
Aimco CLO 11 Ltd. | ||||||||
1.525%, due 10/15/31 (3 Month U.S. LIBOR + 1.300%) (e)(g)(h) | 400,000 | 400,436 | ||||||
Aimco CLO 11 Ltd. | ||||||||
Series LTD, 1.605%, due 10/15/31 (3 Month U.S. LIBOR + 1.380%) (e)(g)(h) | 400,000 | 400,721 | ||||||
Benefit Street Partners CLO XIX Ltd. | ||||||||
Series A, 1.591%, due 01/18/33 (3 Month U.S. LIBOR + 1.350%) (e)(g)(h) | 350,000 | 350,984 | ||||||
Benefit Street Partners 2021-23A A1 | ||||||||
0.000%, due 04/25/34 (e) | 250,000 | 250,000 | ||||||
CIFC Funding 2020-III Ltd. | ||||||||
Series 2020-3, 1.805%, due 10/20/31 (3 Month U.S. LIBOR + 1.600%) (e)(g)(h) | 400,000 | 400,984 | ||||||
CIFC Funding 2021-I Ltd. | ||||||||
Series LTD, 1.246%, due 04/25/33 (3 Month U.S. LIBOR + 1.110%) (e)(g)(h) | 250,000 | 250,026 | ||||||
Marble Point CLO XIV Ltd. | ||||||||
Series FLT, 1.504%, due 01/20/32 (3 Month U.S. LIBOR + 1.280%) (e)(g)(h) | 450,000 | 450,249 | ||||||
Octagon Investment Partners 32 Ltd. | ||||||||
0.000%, due 07/15/29 (3 Month U.S. LIBOR + 1.200%) (e)(g)(h) | 250,000 | 250,000 | ||||||
Octagon Investment Partners 48 Ltd. | ||||||||
Series A, 1.732%, due 10/20/31 (3 Month U.S. LIBOR + 1.500%) (e)(g)(h) | 400,000 | 400,827 | ||||||
OHA Credit Funding 4 Ltd. | ||||||||
Series A-1, 1.552%, due 10/22/32 (3 Month U.S. LIBOR + 1.330%) (e)(g)(h) | 400,000 | 400,792 | ||||||
Sound Point CLO XXVII Ltd. | ||||||||
Series 2020-27, 1.940%, due 10/27/31 (3 Month U.S. LIBOR + 1.700%) (e)(g)(h) | 400,000 | 401,214 | ||||||
Total Collateralized Loan Obligations (Cost $3,947,962) | 3,956,233 | |||||||
CORPORATE BONDS - 3.1% | ||||||||
Basic Materials - 0.1% | ||||||||
ECo.lab, Inc. | ||||||||
4.800%, due 03/24/30 (e) | 61,000 | 72,437 | ||||||
Steel Dynamics, Inc. | ||||||||
1.650%, due 10/15/27 (e) | 74,000 | 72,549 | ||||||
144,986 | ||||||||
Communications - 0.2% | ||||||||
AT&T, Inc. | ||||||||
2.750%, due 06/01/31 (e) | 148,000 | 147,022 | ||||||
Booking Holdings, Inc. | ||||||||
4.500%, due 04/13/27 (e) | 74,000 | 85,966 | ||||||
DisCo.very Co.mmunications LLC | ||||||||
3.950%, due 06/15/25 (e) | 62,000 | 67,765 | ||||||
The Walt Disney Co. | ||||||||
2.200%, due 01/13/28 (e) | 68,000 | 69,304 | ||||||
T-Mobile USA, Inc. | ||||||||
3.750%, due 04/15/27 (e)(g) | 74,000 | 80,881 | ||||||
Verizon Co.mmunications, Inc. | ||||||||
3.376%, due 02/15/25 (e) | 141,000 | 152,805 | ||||||
4.329%, due 09/21/28 (e) | 74,000 | 84,576 | ||||||
688,319 | ||||||||
Consumer, Cyclical - 0.2% | ||||||||
American Honda Finance Corp. | ||||||||
1.200%, due 07/08/25 (e) | 70,000 | 69,750 | ||||||
Nissan Motor Co. Ltd. | ||||||||
4.810%, due 09/17/30 (e)(g) | 74,000 | 81,083 | ||||||
O'Reilly Automotive, Inc. | ||||||||
3.600%, due 09/01/27 (e) | 158,000 | 172,474 | ||||||
Ross Stores, Inc. | ||||||||
4.600%, due 04/15/25 (e) | 114,000 | 128,104 | ||||||
United Airlines 2014-2 Class A Pass Through Trust | ||||||||
Series A, 3.750%, due 03/03/28 (e) | 38,665 | 39,734 | ||||||
491,145 | ||||||||
Consumer, Non-cyclical - 0.6% | ||||||||
AbbVie, Inc. | ||||||||
3.800%, due 03/15/25 (e) | 121,000 | 131,864 | ||||||
Altria Group, Inc. | ||||||||
3.400%, due 05/06/30 (e) | 88,000 | 91,936 | ||||||
Amgen, Inc. | ||||||||
3.200%, due 11/02/27 (e) | 115,000 | 124,044 | ||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||
4.150%, due 01/23/25 (e) | 68,000 | 75,554 | ||||||
AstraZeneca PLC | ||||||||
0.700%, due 04/08/26 (e) | 81,000 | 77,971 | ||||||
BAT International Finance PLC | ||||||||
1.668%, due 03/25/26 (e) | 142,000 | 139,818 | ||||||
Co.nstellation Brands, Inc. | ||||||||
3.700%, due 12/06/26 (e) | 88,000 | 96,677 | ||||||
CVS Health Corp. | ||||||||
3.875%, due 07/20/25 (e) | 234,000 | 258,594 | ||||||
1.750%, due 08/21/30 (e) | 148,000 | 137,492 | ||||||
Global Payments, Inc. | ||||||||
2.650%, due 02/15/25 (e) | 78,000 | 81,948 | ||||||
HCA, Inc. | ||||||||
4.125%, due 06/15/29 (e) | 98,000 | 108,290 | ||||||
Keurig Dr Pepper, Inc. | ||||||||
4.417%, due 05/25/25 (e) | 67,000 | 75,009 | ||||||
PepsiCo., Inc. | ||||||||
2.625%, due 07/29/29 (e) | 79,000 | 82,478 | ||||||
Royalty Pharma PLC | ||||||||
0.750%, due 09/02/23 (e)(g) | 59,000 | 58,743 | ||||||
1.200%, due 09/02/25 (e)(g) | 61,000 | 59,769 | ||||||
1.750%, due 09/02/27 (e)(g) | 60,000 | 58,436 | ||||||
1,658,623 | ||||||||
Energy - 0.2% | ||||||||
Enterprise Products Operating LLC | ||||||||
2.800%, due 01/31/30 (e) | 74,000 | 76,270 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
3.450%, due 02/15/23 (e) | 67,000 | 70,014 | ||||||
MPLX LP | ||||||||
4.875%, due 12/01/24 (e) | 70,000 | 78,225 | ||||||
2.650%, due 08/15/30 (e) | 56,000 | 55,020 | ||||||
Phillips 66 | ||||||||
0.900%, due 02/15/24 (e) | 75,000 | 75,018 | ||||||
Total Capital International SA | ||||||||
2.434%, due 01/10/25 (e) | 70,000 | 73,186 | ||||||
427,733 | ||||||||
Financial - 1.1% | ||||||||
American International Group, Inc. | ||||||||
3.900%, due 04/01/26 (e) | 141,000 | 155,180 | ||||||
American Tower Corp. | ||||||||
5.000%, due 02/15/24 (e) | 66,000 | 73,452 | ||||||
Assurant, Inc. | ||||||||
4.200%, due 09/27/23 (e) | 67,000 | 72,373 | ||||||
Bank of America Corp. | ||||||||
4.000%, due 01/22/25 (e) | 71,000 | 77,737 | ||||||
2.496%, due 02/13/31 (3 Month U.S. LIBOR + 0.990%) (e)(f)(h) | 168,000 | 165,893 | ||||||
Brookfield Finance, Inc. | ||||||||
4.350%, due 04/15/30 (e) | 151,000 | 169,490 | ||||||
Citigroup, Inc. | ||||||||
4.450%, due 09/29/27 (e) | 76,000 | 85,434 | ||||||
Equinix, Inc. | ||||||||
1.800%, due 07/15/27 (e) | 126,000 | 123,749 | ||||||
JPMorgan Chase & Co. | ||||||||
3.875%, due 09/10/24 (e) | 183,000 | 196,665 | ||||||
2.522%, due 04/22/31 (SOFR Rate + 2.040%) (e)(f)(h) | 338,000 | 336,180 | ||||||
Kite Realty Group LP | ||||||||
4.000%, due 10/01/26 (e) | 94,000 | 97,280 | ||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
3.761%, due 07/26/23 (e) | 67,000 | 71,762 | ||||||
Morgan Stanley | ||||||||
2.188%, due 04/28/26 (SOFR Rate + 1.990%) (e)(f)(h) | 223,000 | 230,344 | ||||||
0.985%, due 12/10/26 (SOFR Rate + 0.720%) (e)(f)(h) | 148,000 | 144,212 | ||||||
Owl Rock Capital Corp. | ||||||||
3.750%, due 07/22/25 (e) | 74,000 | 76,759 | ||||||
Realty, Inc.o.me Corp. | ||||||||
3.250%, due 01/15/31 (e) | 168,000 | 176,777 | ||||||
Scentre Group Trust 1 / Scentre Group Trust 2 | ||||||||
3.625%, due 01/28/26 (e)(g) | 158,000 | 170,179 | ||||||
The Toronto-Dominion Bank | ||||||||
0.750%, due 01/06/26 (e) | 148,000 | 144,062 | ||||||
Wells Fargo & Co. | ||||||||
2.406%, due 10/30/25 (3 Month U.S. LIBOR + 0.825%) (e)(f)(h) | 216,000 | 225,036 | ||||||
XLIT Ltd. | ||||||||
4.450%, due 03/31/25 (e) | 74,000 | 82,356 | ||||||
2,874,920 | ||||||||
Industrial - 0.3% | ||||||||
Amphenol Corp. | ||||||||
2.800%, due 02/15/30 (e) | 93,000 | 95,009 | ||||||
Carrier Global Corp. | ||||||||
2.722%, due 02/15/30 (e) | 188,000 | 189,531 | ||||||
FedEx Corp. | ||||||||
3.100%, due 08/05/29 (e) | 182,000 | 189,924 | ||||||
General Electric Co. | ||||||||
3.450%, due 05/01/27 (e) | 94,000 | 102,179 | ||||||
Raytheon Technologies Corp. | ||||||||
3.200%, due 03/15/24 (e) | 87,000 | 92,852 | ||||||
The Boeing Co. | ||||||||
4.875%, due 05/01/25 (e) | 76,000 | 84,655 | ||||||
754,150 | ||||||||
Technology - 0.2% | ||||||||
BroadCo.m, Inc. | ||||||||
4.150%, due 11/15/30 (e) | 226,000 | 243,212 | ||||||
Oracle Corp. | ||||||||
2.950%, due 04/01/30 (e) | 200,000 | 206,117 | ||||||
449,329 | ||||||||
Utilities - 0.3% | ||||||||
Alabama Power Co. | ||||||||
1.450%, due 09/15/30 (e) | 100,000 | 91,334 | ||||||
Duke Energy Corp. | ||||||||
3.150%, due 08/15/27 (e) | 150,000 | 159,748 | ||||||
Entergy Corp. | ||||||||
0.900%, due 09/15/25 (e) | 100,000 | 97,262 | ||||||
FirstEnergy Corp. | ||||||||
4.400%, due 07/15/27 (e) | 138,000 | 148,859 | ||||||
NextEra Energy Capital Holdings, Inc. | ||||||||
3.150%, due 04/01/24 (e) | 70,000 | 74,548 | ||||||
Sierra Pacific Power Co. | ||||||||
2.600%, due 05/01/26 (e) | 121,000 | 127,601 | ||||||
The AES Corp. | ||||||||
1.375%, due 01/15/26 (e)(g) | 75,000 | 73,174 | ||||||
772,526 | ||||||||
Total Corporate Bonds (Cost $8,489,031) | 8,261,731 | |||||||
AFFILIATED REGISTERED INVESTMENT COMPANIES - 4.8% | Shares | |||||||
Voya Emerging Markets Hard Currency Debt Fund - Class P | 209,805 | 1,988,955 | ||||||
Voya High Yield Bond Fund - Class P | 218,180 | 1,743,257 | ||||||
Voya Investment Grade Credit Fund - Class P | 137,342 | 1,514,878 | ||||||
Voya Securitized Credit Fund - Class P | 742,742 | 7,226,879 | ||||||
Total Affiliated Registered Investment Companies (Cost $12,384,923) | 12,473,969 | |||||||
Total Investments at Value - 95.0% (Cost $142,368,570) | 248,720,108 | |||||||
Other Assets in Excess of Liabilities - 5.0% | 13,223,894 | |||||||
Net Assets - 100.0% | $ | 261,944,002 |
Percentages are stated as a percent of net assets. | ||||
ADR | American Depository Receipt | |||
LIBOR | London Interbank Offered Rate | |||
SOFR | Secured Overnight Financing Rate | |||
(a) | More narrow industries are utilized for compliance purposes, whereas broad sectors are utilized for reporting purposes. | |||
(b) | Non-income producing security. | |||
(c) | This security or a partial position of this security is on loan at March 31, 2021. The total market value of securities on loan at March 31, 2021 was $359,369. | |||
(d) | Represents less than 0.1%. | |||
(e) | Level 2 security. | |||
(f) | Variable rate security. The rate listed is as of March 31, 2021. | |||
(g) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in that program or other ‘‘qualified institutional buyers.’’ As of March 31, 2021, the value of these investments was $12,199,768, or 4.7% of total net assets. | |||
(h) | Variable rate security based on a reference index and spread. The rate listed is as of March 31, 2021. | |||
The Accompanying Footnotes are an Integral Part of this Schedule of Investments. |
LARGE COMPANY GROWTH PORTFOLIO | |||||||||||
SCHEDULE OF TOTAL RETURN SWAPS | |||||||||||
March 31, 2021 (Unaudited) | |||||||||||
Reference | Pay/Receive Total Return on Reference | Financing | Maturity | Payment | Notional | Value / Unrealized | |||||
Counterparty | Entity | Entity | Rate | Date | Frequency | Shares | Amount | Appreciation | |||
Goldman Sachs Bank, USA | Russell 1000 Growth Total Return Index | Receive | (3 MO LIBOR + 0.140%) | 10/04/2021 | At Maturity | 19,258 | $ | 47,111,038 | $ | 7,128,291 | |
Total Total Return Swaps | $ | 7,128,291 | |||||||||
LIBOR - London Interbank Offered Rate. | |||||||||||
The average monthly notional amount of total return swaps during the three months ended March 31, 2021 was $52,095,422. | |||||||||||
LARGE COMPANY GROWTH PORTFOLIO | |||||||
SCHEDULE OF FUTURES CONTRACTS | |||||||
March 31, 2021 (Unaudited) | |||||||
Notional | Value/Unrealized | ||||||
FUTURES CONTRACTS | Contracts | Expiration Date | Amount | (Depreciation) | |||
2-Year U.S. Treasury Note Future | 3 | 06/30/2021 | $ | 624,171 | $ | (356) | |
5-Year U.S. Treasury Note Future | 21 | 06/30/2021 | 2,049,255 | (12,673) | |||
10-Year U.S. Treasury Note Future | 2 | 06/21/2021 | 216,627 | (1,723) | |||
Ultra 10-Year U.S. Treasury Bond Future | 2 | 06/21/2021 | 183,981 | (3,035) | |||
Ultra Long-Term U.S. Treasury Bond Future | 3 | 06/21/2021 | 332,013 | (16,600) | |||
Total Futures Contracts | $ | 3,406,047 | $ | (34,387) |
The average monthly notional amount of futures contracts during the three months ended March 31, 2021 was $1,273,090. |
Notional | Value/ Unrealized | ||||||
FUTURES CONTRACTS SOLD SHORT | Contracts | Expiration Date | Amount | Appreciation | |||
5-Year U.S. Treasury Note Future | 29 | 06/30/2021 | $ | 2,829,917 | $ | 43,368 | |
10-Year U.S. Treasury Note Future | 32 | 06/21/2021 | 3,465,968 | 108,686 | |||
U.S. Treasury Long Bond Future | 6 | 06/21/2021 | 811,615 | 33,706 | |||
Ultra 10-Year U.S. Treasury Bond Future | 31 | 06/21/2021 | 2,851,649 | 159,539 | |||
Ultra Long-Term U.S. Treasury Bond Future | 6 | 06/21/2021 | 664,020 | 51,456 | |||
Total Futures Contracts Sold Short | $ | 10,623,169 | $ | 396,755 |
The average monthly notional amount of futures contracts sold short during the nine months ended March 31, 2021 was $10,410,990. |
LARGE COMPANY GROWTH PORTFOLIO | |||||||||
NOTES TO SCHEDULE OF INVESTMENTS | |||||||||
March 31, 2021 (Unaudited) | |||||||||
1. Securities Valuation | |||||||||
Securities listed or traded on U.S. exchanges, including options, futures, swaptions and swap contracts, are valued at the last sales price on the exchange where they are principally traded. In the absence of a current quotation, a security is valued at the mean between the last bid and asked prices on that exchange. Securities quoted on the National Association of Securities Dealers Automatic Quotation (NASDAQ) System, for which there have been sales, are valued at the NASDAQ official closing price. If there are no such sales, a security is valued at the mean between the last bid and ask prices. Securities traded over-the-counter (other than on NASDAQ) are valued at the last current sale price; and if there are no such sales, a security is valued at the mean between the last bid and ask prices. Debt securities are typically valued at an evaluated bid price by a third-party pricing agent employing methodologies that utilize actual market transactions, broker-supplied valuations, or other inputs designed to identify the market value for such securities. Third-party pricing agents often utilize proprietary models that are subjective and require the use of judgment and the application of various assumptions including, but not limited to, interest rates, prepayment speeds, and default rate assumptions. Debt securities that have a remaining maturity of 60 days or less are valued at prices supplied by the Portfolios’ pricing agent for such securities, if available. Otherwise such securities are valued at amortized cost if the Adviser’s Pricing Committee concludes it approximates fair value. Equity securities primarily traded on a foreign exchange are typically valued daily at a price as provided by an independent pricing service, which is an estimate of the fair value price. | |||||||||
Foreign currency contracts, including forward contracts, are valued at the applicable translation rates as supplied by the third-party pricing vendor. In the event market quotations are not readily available, such securities are valued at fair value according to procedures adopted by the Board of Directors (the “Board”) or as determined in good faith by the Adviser’s Pricing Committee, whose members include at least two representatives of Wilshire Advisors LLC, formerly known as Wilshire Associates Incorporated (the “Adviser”), one of whom is an officer of the Company, or by the Company’s Valuation Committee which is composed of Trustees of the Company. Fair value is defined as the amount the owner of a security might reasonably expect to receive upon a current sale. Securities whose value does not reflect fair value because a significant valuation event has occurred may be valued at fair value by the Pricing Committee or the Valuation Committee in accordance with the Company’s valuation procedures. Significant events may include, but are not limited to, the following: significant fluctuations in domestic markets, foreign markets or foreign currencies; occurrences not directly tied to the securities markets such as natural disasters, armed conflicts or significant governmental actions; and major announcements affecting a single issuer or an entire market or market sector. The value of fair valued securities may be different from the last sale price (or the mean between the last bid and asked prices), and there is no guarantee that a fair valued security will be sold at the price at which a Portfolio is carrying the security. | |||||||||
In accordance with the authoritative guidance on fair value measurements and disclosures under U.S. GAAP, the Portfolios disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. The objective of a fair value measurement is to determine the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (an exit price). Accordingly, the fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The guidance establishes three levels of the fair value hierarchy as follows: ● Level 1 – Unadjusted quoted prices in active markets for identical, unrestricted assets or liabilities that the Portfolios have the ability to access at the measurement date; ● Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, etc.); and ● Level 3 – Prices, inputs or exotic modeling techniques which are both significant to the fair value measurement and unobservable (supported by little or no market activity). | |||||||||
The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. During the period ended March 31 2021, there have been no significant changes to the Portfolio’s fair value methodologies. | |||||||||
The following is a summary of the inputs used to value the Portfolio’s investments as of March 31, 2021: |
Large Company Growth Portfolio | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 213,073,703 | $ | - | $ | - | $ | 213,073,703 | ||||||||
U.S. Treasury Obligations | - | 993,863 | - | 993,863 | ||||||||||||
Agency Mortgage-Backed Obligations | - | 89,247 | - | 89,247 | ||||||||||||
Agency Mortgage-Backed Obligations | ||||||||||||||||
Interest-Only Strips | - | 261,700 | - | 261,700 | ||||||||||||
Non-Agency Mortgage-Backed Obligations | - | 5,811,638 | - | 5,811,638 | ||||||||||||
Non-Agency Mortgage-Backed Obligations | ||||||||||||||||
Interest-Only Strips | - | 187,252 | - | 187,252 | ||||||||||||
Asset-Backed Securities | - | 3,610,772 | - | 3,610,772 | ||||||||||||
Collateralized Loan Obligations | - | 3,956,233 | - | 3,956,233 | ||||||||||||
Corporate Bonds | - | 8,261,731 | - | 8,261,731 | ||||||||||||
Affiliated Registered Investment Companies | 12,473,969 | - | - | 12,473,969 | ||||||||||||
Total | $ | 225,547,672 | $ | 23,172,436 | $ | - | $ | 248,720,108 | ||||||||
Other Financial Instruments** | ||||||||||||||||
Asset | ||||||||||||||||
Unrealized appreciation on futures contracts | $ | 396,755 | $ | - | $ | - | $ | 396,755 | ||||||||
Unrealized appreciation on swap contracts | - | 7,128,291 | - | 7,128,291 | ||||||||||||
Total Assets | $ | 396,755 | $ | 7,128,291 | $ | - | $ | 7,525,046 | ||||||||
Liabilities | ||||||||||||||||
Unrealized depreciation on futures contracts | $ | (34,031 | ) | $ | - | $ | - | $ | (34,031 | ) | ||||||
Total Liabilities | $ | (34,031 | ) | $ | - | $ | - | $ | (34,031 | ) |
** Other financial instruments are derivative financial instruments not reflected in the Schedule of Investments, | |||||||||
such as futures contracts and swap contracts. These contracts are valued at the unrealized | |||||||||
appreciation (depreciation) on the instrument. | |||||||||
Refer to the Portfolio's Schedules of Investments for a listing of the securities by industry or sector type. Large Company Growth Portfolio did not hold any assets or liabilities that were measured at fair value on a recurring basis using significant unobservable inputs (Level 3) as of March 31, 2021. |
2. Affiliated Investments | ||||||||||||||||
Due to Voya managing a portion of Large Company Growth Portfolio during the three months ended March 31, 2021, certain securities held by such Portfolio are considered | ||||||||||||||||
affiliated investments. Purchases and sales of shares of affiliated registered investment companies by Large Company Growth Portfolio during the three months ended | ||||||||||||||||
March 31, 2021 and the value of such investments as of March 31, 2021 were as follows: |
Counterparty | Value as of December 31, 2020 | Purchases | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Value as of March 31, 2021 | Income Distribution | |||||||||||||||||||||
Voya Emerging Markets Hard | ||||||||||||||||||||||||||||
Hard Currency Debt - Class P | $ | 2,089,744 | $ | 26,674 | $ | - | $ | - | $ | (127,463 | ) | $ | 1,988,955 | $ | 26,578 | |||||||||||||
Voya High Yield Bond Fund - Class P | 2,526,256 | 37,600 | (800,000 | ) | 20,095 | (40,694 | ) | 1,743,257 | 34,498 | |||||||||||||||||||
Voya Investment Grade Credit Fund - Class P | 2,468,643 | 19,260 | (850,000 | ) | (62,475 | ) | (60,550 | ) | 1,514,878 | - | ||||||||||||||||||
Voya Securitized Credit Fund - Class P | 8,303,211 | 70,910 | (1,200,000 | ) | 35,020 | 17,738 | 7,226,879 | 68,716 | ||||||||||||||||||||
$ | 4,616,000 | $ | 154,444 | $ | (2,850,000 | ) | $ | (7,360 | ) | $ | (210,969 | ) | $ | 12,473,969 | $ | 129,792 | ||||||||||||