Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-5017
Ivy Variable Insurance Portfolios
(Exact name of registrant as specified in charter)
6300 Lamar Avenue, Overland Park, Kansas 66202
(Address of principal executive offices) (Zip code)
Jennifer K. Dulski
6300 Lamar Avenue
Overland Park, Kansas 66202
(Name and address of agent for service)
Registrant’s telephone number, including area code: (913) 236-2000
Date of fiscal year end: December 31
Date of reporting period: June 30, 2018
Table of Contents
ITEM 1. REPORTS TO STOCKHOLDERS.
Table of Contents
VARIABLE INSURANCE PORTFOLIOS |
Semiannual Report
JUNE 30, 2018 |
Ivy Variable Insurance Portfolios | ||||||||||
Pathfinder Aggressive | Class II | |||||||||
Pathfinder Conservative | Class II | |||||||||
Pathfinder Moderate | Class II | |||||||||
Pathfinder Moderately Aggressive | Class II | |||||||||
Pathfinder Moderately Conservative | Class II | |||||||||
Pathfinder Moderate — Managed Volatility | Class II | |||||||||
Pathfinder Moderately Aggressive — Managed Volatility | Class II | |||||||||
Pathfinder Moderately Conservative — Managed Volatility | Class II | |||||||||
Asset Strategy | Class I | Class II | ||||||||
Balanced | Class II | |||||||||
Core Equity | Class II | |||||||||
Corporate Bond | Class II | |||||||||
Energy | Class I | Class II | ||||||||
Global Bond | Class II | |||||||||
Global Equity Income | Class II | |||||||||
Global Growth | Class II | |||||||||
Government Money Market | Class II | |||||||||
Growth | Class II | |||||||||
High Income | Class I | Class II | ||||||||
International Core Equity | Class II | |||||||||
Limited-Term Bond | Class II | |||||||||
Micro Cap Growth | Class I | Class II | ||||||||
Mid Cap Growth | Class I | Class II | ||||||||
Natural Resources | Class II | |||||||||
Science and Technology | Class I | Class II | ||||||||
Securian Real Estate Securities | Class II | |||||||||
Small Cap Core | Class II | |||||||||
Small Cap Growth | Class II | |||||||||
Value | Class II |
Table of Contents
CONTENTS | IVY VIP |
3 | ||||
4 | ||||
Portfolio Highlights and Schedule of Investments: | ||||
7 | ||||
15 | ||||
21 | ||||
27 | ||||
30 | ||||
37 | ||||
40 | ||||
45 | ||||
49 | ||||
52 | ||||
54 | ||||
57 | ||||
66 | ||||
70 | ||||
76 | ||||
79 | ||||
82 | ||||
85 | ||||
89 | ||||
91 | ||||
94 | ||||
99 | ||||
102 | ||||
107 | ||||
112 | ||||
118 | ||||
126 | ||||
154 | ||||
155 |
2 | SEMIANNUAL REPORT | 2018 |
Table of Contents
PRESIDENT’S LETTER | IVY VIP |
JUNE 30, 2018 (UNAUDITED) | ||
Philip J. Sanders, CFA |
Dear Shareholder,
Market volatility returned strongly in the first half of 2018 as trade disputes, geopolitical tensions and uncertain global growth rates provided a choppy ride for investors. On the global economic front, the U.S. continued to set the pace as corporate earnings remained strong and business confidence continued to soar. Against that backdrop, the heightened rhetoric and growing quarrels between the U.S. and key trading partners could unsettle the markets for the remainder of the year. What might the second half of 2018 have in store for the markets and investors?
The health of the U.S. economy remains a pocket of strength for global growth despite a slow start to the year and the looming presence of higher market volatility. The U.S. Tax and Jobs Act signed into law by President Donald Trump in late 2017 and a $1.3 trillion stimulus bill passed in March of this year likely contributed to that strength. Overall business optimism remains strong despite concern over the Trump administration’s position on several issues, most notably the direction of U.S. trade policy.
We believe U.S. GDP growth remains on pace with our initial 2018 forecast of 2.9%. While inflation has picked up slightly, it is still in line with the U.S. Federal Reserve’s (Fed) target of a 2% annual rate. A strong labor market also is contributing to the upbeat U.S. economic picture. The unemployment rate fell to 3.8% in May, the lowest level in 18 years. While improving, wage gains this year have been modest given the low level of unemployment. See the table for a fiscal year-over-year comparison of some common market metrics.
Eurozone GDP performance has been tepid and weaker than expected this year, with growth at a 0.4% non-annualized rate. We believe a markedly harsh winter in areas of Europe and an uptick in work absences due to seasonal illness contributed to the less than stellar performance. We think the first-quarter slowdown was exaggerated and expect a slight rebound in growth going forward. A similar phenomenon happened in the U.K., where we also expect growth to rebound, although increasing friction in Brexit negotiations about the U.K.’s exit from the European Union (EU) has created downside risks.
Japan’s lackluster economic performance in the first quarter caused us to lower our growth projection to 1.2% for the year. However, we believe growth could pick up in the second half of 2018 based on our expectations for solid employment growth, fiscal stimulus, an influx of construction projects in anticipation of the 2020 Summer Olympics and an increasing desire for companies to make investments in capital expenditures. Given soft inflation data, we expect the Bank of Japan to continue trailing other central banks in tightening its ultra-accommodative policies.
While emerging-market economies held up well to start 2018, currency headwinds and tariffs impacting global
trade negatively impacted these markets in the second quarter. Despite the recent downturn, we expect steady global growth for the remainder of 2018, which we believe will provide opportunities for exporting countries across emerging economies.
We remain aware of risks, and believe it is important to stay focused on the fundamentals and merits of individual market sectors, industries and companies when making investment decisions. Those fundamentals historically have tended to outweigh external factors such as government policies and regulations. While those can affect every business and investor, we think the innovation and management skill within individual companies ultimately drive long-term stock prices.
Expanding valuations and corporate earnings growth have been key drivers in the equity markets. We believe continued earnings growth will need to carry more of the burden going forward. We see potential catalysts for growth in several areas and industries and our team continues to seek investment opportunities around the globe.
Economic Snapshot
6/30/2018 | 12/31/2017 | |||||||
S&P 500 Index | 2,718.37 | 2,673.61 | ||||||
MSCI EAFE Index | 1,958.64 | 2,050.79 | ||||||
10-Year Treasury Yield | 2.85 | % | 2.40 | % | ||||
U.S. unemployment rate | 4.0 | % | 4.1 | % | ||||
30-year fixed mortgage rate | 4.55 | % | 3.99 | % | ||||
Oil price per barrel | $74.15 | $60.42 |
Sources: Bloomberg, U.S. Department of Labor, MBA, CME
All government statistics shown are subject to periodic revision. The S&P 500 Index is an unmanaged index that tracks the stocks of 500 primarily large-cap U.S. companies. MSCI EAFE Index is an unmanaged index comprised of securities that represent the securities markets in Europe, Australasia and the Far East. It is not possible to invest directly in any of these indexes. Mortgage rates are from BankRate and reflect the overnight national average rate on a conventional 30-year fixed loan. Oil prices reflect the market price of West Texas intermediate grade crude.
Respectfully,
Philip J. Sanders, CFA
President
The opinions expressed in this letter are those of the President of the Ivy Variable Insurance Portfolios and are current only through the end of the period of the report, as stated on the cover. The President’s views are subject to change at any time, based on market and other conditions, and no forecasts can be guaranteed.
2018 | SEMIANNUAL REPORT | 3 |
Table of Contents
ILLUSTRATION OF PORTFOLIO EXPENSES | IVY VIP |
(UNAUDITED)
Expense Example
As a shareholder of a Portfolio, you incur ongoing costs, including management fees, distribution and service fees, and other Portfolio expenses. The following table is intended to help you understand your ongoing costs (in dollars) of investing in a Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. As a shareholder in the underlying Ivy VIP Portfolios, the Pathfinder Aggressive, Pathfinder Conservative, Pathfinder Moderate, Pathfinder Moderately Aggressive and Pathfinder Moderately Conservative Portfolios (collectively, the “Pathfinder Portfolios”) and the Pathfinder Moderate — Managed Volatility, Pathfinder Moderately Aggressive — Managed Volatility and Pathfinder Moderately Conservative — Managed Volatility Portfolios (collectively, the “Managed Volatility Portfolios”) will indirectly bear their pro rata share of the expenses incurred by the underlying funds. These expenses are not included in the Pathfinder Portfolios or Managed Volatility Portfolios annualized expense ratios or the expenses paid during the period. These expenses are, however, included in the effective expenses paid during the period. The example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ended June 30, 2018.
Actual Expenses
The first section in the following table provides information about actual investment values and actual expenses for each share class. You may use the information in this section, together with your initial investment in Portfolio shares, to estimate the expenses that you paid over the period. Simply divide the value of that investment by $1,000 (for example, a $7,500 initial investment divided by $1,000 = 7.5), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your investment during this period. In addition, there are fees and expenses imposed under the variable annuity or variable life insurance contract through which shares of the Portfolio are held. Additional fees have the effect of reducing investment returns.
Hypothetical Example for Comparison Purposes
The second section in the following table provides information about hypothetical investment values and hypothetical expenses for each share class based on the Portfolio’s actual expense ratio and an assumed rate of return of five percent per year before expenses, which is not the Portfolio’s actual return. The hypothetical investment values and expenses may not be used to estimate the actual investment value at the end of the period or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this five percent hypothetical example with the five percent hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs as a shareholder of the Portfolio and do not reflect any fees and expenses imposed under the variable annuity or variable life insurance contract through which shares of the Portfolio are held.
Expenses paid may be impacted by expense reduction arrangements. If those arrangements had not been in place, expenses paid would have been higher. See Note 6 to the Financial Statements for further information.
4 | SEMIANNUAL REPORT | 2018 |
Table of Contents
ILLUSTRATION OF PORTFOLIO EXPENSES | IVY VIP |
(UNAUDITED)
Actual(1) | Hypothetical(2) | |||||||||||||||||||||||||||
Portfolio | Beginning Account Value 12-31-17 | Ending Account Value 6-30-18 | Expenses Paid During Period* | Beginning Account Value 12-31-17 | Ending Account Value 6-30-18 | Expenses Paid During Period* | Annualized Expense Ratio Based on the Six-Month Period | |||||||||||||||||||||
Pathfinder Aggressive | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,039.90 | $ | 0.51 | $ | 1,000 | $ | 1,024.30 | $ | 0.51 | 0.10% | |||||||||||||||
Pathfinder Conservative | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,015.20 | $ | 0.40 | $ | 1,000 | $ | 1,024.39 | $ | 0.40 | 0.08% | |||||||||||||||
Pathfinder Moderate | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,019.30 | $ | 0.20 | $ | 1,000 | $ | 1,024.62 | $ | 0.20 | 0.04% | |||||||||||||||
Pathfinder Moderately Aggressive | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,023.30 | $ | 0.20 | $ | 1,000 | $ | 1,024.62 | $ | 0.20 | 0.03% | |||||||||||||||
Pathfinder Moderately Conservative | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,019.90 | $ | 0.30 | $ | 1,000 | $ | 1,024.52 | $ | 0.30 | 0.06% | |||||||||||||||
Pathfinder Moderate — Managed Volatility | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,014.30 | $ | 1.21 | $ | 1,000 | $ | 1,023.64 | $ | 1.21 | 0.23% | |||||||||||||||
Pathfinder Moderately Aggressive — Managed Volatility |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,017.50 | $ | 1.41 | $ | 1,000 | $ | 1,023.38 | $ | 1.42 | 0.28% | |||||||||||||||
Pathfinder Moderately Conservative — Managed Volatility |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,013.60 | $ | 1.51 | $ | 1,000 | $ | 1,023.30 | $ | 1.52 | 0.30% | |||||||||||||||
Asset Strategy | ||||||||||||||||||||||||||||
Class I | $ | 1,000 | $ | 1,018.50 | $ | 3.84 | $ | 1,000 | $ | 1,021.03 | $ | 3.84 | 0.76% | |||||||||||||||
Class II | $ | 1,000 | $ | 1,017.30 | $ | 5.04 | $ | 1,000 | $ | 1,019.78 | $ | 5.05 | 1.01% | |||||||||||||||
Balanced | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,016.10 | $ | 5.04 | $ | 1,000 | $ | 1,019.75 | $ | 5.05 | 1.02% | |||||||||||||||
Core Equity | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,053.20 | $ | 4.83 | $ | 1,000 | $ | 1,020.09 | $ | 4.75 | 0.95% | |||||||||||||||
Corporate Bond | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 970.90 | $ | 3.84 | $ | 1,000 | $ | 1,020.93 | $ | 3.94 | 0.78% | |||||||||||||||
Energy | ||||||||||||||||||||||||||||
Class I | $ | 1,000 | $ | 1,039.90 | $ | 4.79 | $ | 1,000 | $ | 1,020.13 | $ | 4.75 | 0.94% | |||||||||||||||
Class II | $ | 1,000 | $ | 1,038.60 | $ | 6.01 | $ | 1,000 | $ | 1,018.89 | $ | 5.96 | 1.19% | |||||||||||||||
Global Bond | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 983.50 | $ | 2.98 | $ | 1,000 | $ | 1,021.82 | $ | 3.03 | 0.60% | |||||||||||||||
Global Equity Income | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 961.70 | $ | 4.90 | $ | 1,000 | $ | 1,019.80 | $ | 5.05 | 1.01% | |||||||||||||||
Global Growth | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,058.00 | $ | 5.76 | $ | 1,000 | $ | 1,019.20 | $ | 5.65 | 1.13% | |||||||||||||||
Government Money Market | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,006.40 | $ | 2.01 | $ | 1,000 | $ | 1,022.82 | $ | 2.02 | 0.40% | |||||||||||||||
Growth | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,103.50 | $ | 5.26 | $ | 1,000 | $ | 1,019.84 | $ | 5.05 | 1.00% |
2018 | SEMIANNUAL REPORT | 5 |
Table of Contents
ILLUSTRATION OF PORTFOLIO EXPENSES | IVY VIP |
(UNAUDITED)
Actual(1) | Hypothetical(2) | |||||||||||||||||||||||||||
Portfolio | Beginning Account Value 12-31-17 | Ending Account Value 6-30-18 | Expenses Paid During Period* | Beginning Account Value 12-31-17 | Ending Account Value 6-30-18 | Expenses Paid During Period* | Annualized Expense Ratio Based on the Six-Month Period | |||||||||||||||||||||
High Income | ||||||||||||||||||||||||||||
Class I | $ | 1,000 | $ | 1,016.60 | $ | 3.33 | $ | 1,000 | $ | 1,021.50 | $ | 3.34 | 0.67% | |||||||||||||||
Class II | $ | 1,000 | $ | 1,015.30 | $ | 4.53 | $ | 1,000 | $ | 1,020.27 | $ | 4.55 | 0.91% | |||||||||||||||
International Core Equity | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 972.60 | $ | 5.62 | $ | 1,000 | $ | 1,019.05 | $ | 5.75 | 1.16% | |||||||||||||||
Limited-Term Bond | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 995.20 | $ | 3.99 | $ | 1,000 | $ | 1,020.82 | $ | 4.04 | 0.80% | |||||||||||||||
Micro Cap Growth | ||||||||||||||||||||||||||||
Class I | $ | 1,000 | $ | 1,219.90 | $ | 6.10 | $ | 1,000 | $ | 1,019.27 | $ | 5.55 | 1.11% | |||||||||||||||
Class II | $ | 1,000 | $ | 1,218.40 | $ | 7.54 | $ | 1,000 | $ | 1,018.03 | $ | 6.86 | 1.36% | |||||||||||||||
Mid Cap Growth | ||||||||||||||||||||||||||||
Class I | $ | 1,000 | $ | 1,115.00 | $ | 4.44 | $ | 1,000 | $ | 1,020.58 | $ | 4.24 | 0.85% | |||||||||||||||
Class II | $ | 1,000 | $ | 1,113.60 | $ | 5.71 | $ | 1,000 | $ | 1,019.35 | $ | 5.45 | 1.10% | |||||||||||||||
Natural Resources | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 978.60 | $ | 5.94 | $ | 1,000 | $ | 1,018.76 | $ | 6.06 | 1.22% | |||||||||||||||
Science and Technology | ||||||||||||||||||||||||||||
Class I | $ | 1,000 | $ | 1,090.80 | $ | 4.70 | $ | 1,000 | $ | 1,020.26 | $ | 4.55 | 0.91% | |||||||||||||||
Class II | $ | 1,000 | $ | 1,089.40 | $ | 6.06 | $ | 1,000 | $ | 1,019.03 | $ | 5.86 | 1.16% | |||||||||||||||
Securian Real Estate Securities | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 997.20 | $ | 6.49 | $ | 1,000 | $ | 1,018.33 | $ | 6.56 | 1.30% | |||||||||||||||
Small Cap Core | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,077.90 | $ | 6.03 | $ | 1,000 | $ | 1,019.00 | $ | 5.86 | 1.17% | |||||||||||||||
Small Cap Growth | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,118.90 | $ | 5.93 | $ | 1,000 | $ | 1,019.16 | $ | 5.65 | 1.14% | |||||||||||||||
Value | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 997.40 | $ | 4.99 | $ | 1,000 | $ | 1,019.78 | $ | 5.05 | 1.01% |
* | Portfolio expenses are equal to the Portfolio’s annualized expense ratio (provided in the table), multiplied by the average account value over the period, multiplied by 181 days in the six-month period ended June 30, 2018, and divided by 365. |
(1) | This section uses the Portfolio’s actual total return and actual Portfolio expenses. It is a guide to the actual expenses paid by the Portfolio in the period. The “Ending Account Value” shown is computed using the Portfolio’s actual return and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. A shareholder may use the information here, together with the dollar amount invested, to estimate the expenses that were paid over the period. For every thousand dollars a shareholder has invested, the expenses are listed in the last column of this section. |
(2) | This section uses a hypothetical five percent annual return and actual Portfolio expenses. It helps to compare the Portfolio’s ongoing costs with other mutual funds. A shareholder can compare the Portfolio’s ongoing costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other Portfolios. |
The above illustrations are based on ongoing costs only.
6 | SEMIANNUAL REPORT | 2018 |
Table of Contents
PORTFOLIO HIGHLIGHTS | PATHFINDER PORTFOLIOS |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Pathfinder Aggressive – Asset Allocation
Ivy VIP International Core Equity, Class II | 17.6% | |
Ivy VIP Growth, Class II | 12.3% | |
Ivy VIP Core Equity, Class II | 12.3% | |
Ivy VIP Value, Class II | 12.2% | |
Ivy VIP Global Equity Income, Class II | 11.7% | |
Ivy VIP Limited-Term Bond, Class II | 11.1% | |
Ivy VIP Mid Cap Growth, Class I | 8.6% | |
Ivy VIP Corporate Bond, Class II | 8.1% | |
Ivy VIP Small Cap Growth, Class II | 2.5% | |
Ivy VIP Small Cap Core, Class II | 1.2% | |
Ivy VIP High Income, Class I | 1.0% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.4% |
Pathfinder Conservative – Asset Allocation
Ivy VIP Limited-Term Bond, Class II | 24.1% | |
Ivy VIP Government Money Market, Class II | 20.1% | |
Ivy VIP Corporate Bond, Class II | 13.6% | |
Ivy VIP Value, Class II | 7.3% | |
Ivy VIP Growth, Class II | 7.3% | |
Ivy VIP Core Equity, Class II | 7.3% | |
Ivy VIP International Core Equity, Class II | 5.8% | |
Ivy VIP Mid Cap Growth, Class I | 5.1% | |
Ivy VIP Global Equity Income, Class II | 3.9% | |
Ivy VIP High Income, Class I | 2.5% | |
Ivy VIP Small Cap Growth, Class II | 1.5% | |
Ivy VIP Small Cap Core, Class II | 0.7% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.8% |
Pathfinder Moderate – Asset Allocation
Ivy VIP Limited-Term Bond, Class II | 19.3% | |
Ivy VIP International Core Equity, Class II | 11.8% | |
Ivy VIP Government Money Market, Class II | 10.2% | |
Ivy VIP Growth, Class II | 9.9% | |
Ivy VIP Core Equity, Class II | 9.9% | |
Ivy VIP Value, Class II | 9.8% | |
Ivy VIP Corporate Bond, Class II | 9.4% | |
Ivy VIP Global Equity Income, Class II | 7.8% | |
Ivy VIP Mid Cap Growth, Class I | 6.9% | |
Ivy VIP Small Cap Growth, Class II | 2.0% | |
Ivy VIP High Income, Class I | 1.8% | |
Ivy VIP Small Cap Core, Class II | 1.0% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.2% |
Pathfinder Moderately Aggressive – Asset Allocation
Ivy VIP Limited-Term Bond, Class II | 15.1% | |
Ivy VIP International Core Equity, Class II | 14.8% | |
Ivy VIP Growth, Class II | 11.2% | |
Ivy VIP Value, Class II | 11.1% | |
Ivy VIP Core Equity, Class II | 11.1% | |
Ivy VIP Global Equity Income, Class II | 9.9% | |
Ivy VIP Corporate Bond, Class II | 9.2% | |
Ivy VIP Mid Cap Growth, Class I | 7.8% | |
Ivy VIP Government Money Market, Class II | 5.1% | |
Ivy VIP Small Cap Growth, Class II | 2.2% | |
Ivy VIP High Income, Class I | 1.3% | |
Ivy VIP Small Cap Core, Class II | 1.1% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.1% |
Pathfinder Moderately Conservative – Asset Allocation
Ivy VIP Limited-Term Bond, Class II | 21.7% | |
Ivy VIP Government Money Market, Class II | 15.2% | |
Ivy VIP Corporate Bond, Class II | 11.4% | |
Ivy VIP International Core Equity, Class II | 8.8% | |
Ivy VIP Core Equity, Class II | 8.6% | |
Ivy VIP Growth, Class II | 8.6% | |
Ivy VIP Value, Class II | 8.5% | |
Ivy VIP Mid Cap Growth, Class I | 6.0% | |
Ivy VIP Global Equity Income, Class II | 5.9% | |
Ivy VIP High Income, Class I | 2.3% | |
Ivy VIP Small Cap Growth, Class II | 1.7% | |
Ivy VIP Small Cap Core, Class II | 0.9% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.4% |
Pathfinder Moderate – Managed Volatility – Asset Allocation
Ivy VIP Limited-Term Bond, Class II | 18.8% | |
Ivy VIP International Core Equity, Class II | 11.5% | |
Ivy VIP Government Money Market, Class II | 9.9% | |
Ivy VIP Value, Class II | 9.6% | |
Ivy VIP Growth, Class II | 9.6% | |
Ivy VIP Core Equity, Class II | 9.6% | |
Ivy VIP Corporate Bond, Class II | 9.1% | |
Ivy VIP Global Equity Income, Class II | 7.7% | |
Ivy VIP Mid Cap Growth, Class I | 6.7% | |
Ivy VIP Small Cap Growth, Class II | 1.9% | |
Ivy VIP High Income, Class I | 1.7% | |
Ivy VIP Small Cap Core, Class II | 1.0% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.9% |
2018 | SEMIANNUAL REPORT | 7 |
Table of Contents
PORTFOLIO HIGHLIGHTS | PATHFINDER PORTFOLIOS |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Pathfinder Moderately Aggressive – Managed Volatility – Asset Allocation
Ivy VIP Limited-Term Bond, Class II | 14.7% | |
Ivy VIP International Core Equity, Class II | 14.4% | |
Ivy VIP Growth, Class II | 10.9% | |
Ivy VIP Core Equity, Class II | 10.9% | |
Ivy VIP Value, Class II | 10.8% | |
Ivy VIP Global Equity Income, Class II | 9.6% | |
Ivy VIP Corporate Bond, Class II | 9.0% | |
Ivy VIP Mid Cap Growth, Class I | 7.7% | |
Ivy VIP Government Money Market, Class II | 5.0% | |
Ivy VIP Small Cap Growth, Class II | 2.2% | |
Ivy VIP High Income, Class I | 1.2% | |
Ivy VIP Small Cap Core, Class II | 1.1% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.5% |
Pathfinder Moderately Conservative – Managed Volatility – Asset Allocation
Ivy VIP Limited-Term Bond, Class II | 21.1% | |
Ivy VIP Government Money Market, Class II | 14.8% | |
Ivy VIP Corporate Bond, Class II | 11.1% | |
Ivy VIP International Core Equity, Class II | 8.6% | |
Ivy VIP Core Equity, Class II | 8.4% | |
Ivy VIP Growth, Class II | 8.4% | |
Ivy VIP Value, Class II | 8.3% | |
Ivy VIP Mid Cap Growth, Class I | 5.9% | |
Ivy VIP Global Equity Income, Class II | 5.7% | |
Ivy VIP High Income, Class I | 2.2% | |
Ivy VIP Small Cap Growth, Class II | 1.7% | |
Ivy VIP Small Cap Core, Class II | 0.8% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.0% |
The percentages of investments in the underlying funds may not currently be within the target allocation ranges disclosed in the Portfolios’ prospectus due to market movements; these percentages are expected to change over time, and deviation from the target allocation ranges due to market movements is permitted by the prospectus.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
8 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2018 (UNAUDITED)
Pathfinder Aggressive
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Core Equity, Class II | 741 | $ | 8,826 | |||||
Ivy VIP Corporate Bond, Class II | 1,144 | 5,814 | ||||||
Ivy VIP Global Equity Income, Class II | 1,125 | 8,444 | ||||||
Ivy VIP Growth, Class II | 745 | 8,858 | ||||||
Ivy VIP High Income, Class I | 209 | 725 | ||||||
Ivy VIP International Core Equity, Class II | 730 | 12,665 | ||||||
Ivy VIP Limited-Term Bond, Class II | 1,675 | 7,999 | ||||||
Ivy VIP Mid Cap Growth, Class I | 503 | 6,210 | ||||||
Ivy VIP Small Cap Core, Class II | 55 | 895 | ||||||
Ivy VIP Small Cap Growth, Class II | 161 | 1,779 | ||||||
Ivy VIP Value, Class II | 1,437 | 8,789 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL |
| $ | 71,004 | |||||
(Cost: $73,207) |
| |||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 1.4% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (A) | $ | 1,025 | 1,025 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.4% |
| $ | 1,025 | |||||
(Cost: $1,025) |
| |||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 72,029 | |||||
(Cost: $74,232) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (34 | ) | |||||
NET ASSETS – 100.0% |
| $ | 71,995 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Affiliated Mutual Funds | $ | 71,004 | $ | — | $ | — | ||||||
Short-Term Securities | — | 1,025 | — | |||||||||
|
| |||||||||||
Total | $ | 71,004 | $ | 1,025 | $ | — | ||||||
|
|
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
LIBOR = London Interbank Offered Rate
Pathfinder Conservative
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Core Equity, Class II | 648 | $ | 7,726 | |||||
Ivy VIP Corporate Bond, Class II | 2,817 | 14,312 | ||||||
Ivy VIP Global Equity Income, Class II | 547 | 4,106 | ||||||
Ivy VIP Government Money Market, Class II | 21,216 | 21,216 | ||||||
Ivy VIP Growth, Class II | 652 | 7,753 | ||||||
Ivy VIP High Income, Class I | 763 | 2,644 | ||||||
Ivy VIP International Core Equity, Class II | 355 | 6,159 | ||||||
Ivy VIP Limited-Term Bond, Class II | 5,332 | 25,460 | ||||||
Ivy VIP Mid Cap Growth, Class I | 440 | 5,435 | ||||||
Ivy VIP Small Cap Core, Class II | 48 | 783 | ||||||
Ivy VIP Small Cap Growth, Class II | 141 | 1,557 | ||||||
Ivy VIP Value, Class II | 1,258 | 7,693 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL |
| $ | 104,844 | |||||
(Cost: $107,760) |
| |||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.8% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (A) | $ | 808 | 808 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.8% |
| $ | 808 | |||||
(Cost: $808) |
| |||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 105,652 | |||||
(Cost: $108,568) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (46 | ) | |||||
NET ASSETS – 100.0% |
| $ | 105,606 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
2018 | SEMIANNUAL REPORT | 9 |
Table of Contents
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2018 (UNAUDITED)
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Affiliated Mutual Funds | $ | 104,844 | $ | — | $ | — | ||||||
Short-Term Securities | — | 808 | — | |||||||||
|
| |||||||||||
Total | $ | 104,844 | $ | 808 | $ | — | ||||||
|
|
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
LIBOR = London Interbank Offered Rate
Pathfinder Moderate
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Core Equity, Class II | 6,787 | $ | 80,854 | |||||
Ivy VIP Corporate Bond, Class II | 15,154 | 76,982 | ||||||
Ivy VIP Global Equity Income, Class II | 8,591 | 64,462 | ||||||
Ivy VIP Government Money Market, Class II | 83,275 | 83,275 | ||||||
Ivy VIP Growth, Class II | 6,825 | 81,146 | ||||||
Ivy VIP High Income, Class I | 4,193 | 14,531 | ||||||
Ivy VIP International Core Equity, Class II | 5,574 | 96,682 | ||||||
Ivy VIP Limited-Term Bond, Class II | 33,138 | 158,232 | ||||||
Ivy VIP Mid Cap Growth, Class I | 4,604 | 56,889 | ||||||
Ivy VIP Small Cap Core, Class II | 504 | 8,197 | ||||||
Ivy VIP Small Cap Growth, Class II | 1,472 | 16,297 | ||||||
Ivy VIP Value, Class II | 13,168 | 80,520 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL |
| $ | 818,067 | |||||
(Cost: $831,106) |
| |||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.2% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (A) | $ | 1,317 | 1,317 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.2% |
| $ | 1,317 | |||||
(Cost: $1,317) |
| |||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 819,384 | |||||
(Cost: $832,423) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (4 | ) | |||||
NET ASSETS – 100.0% |
| $ | 819,380 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Affiliated Mutual Funds | $ | 818,067 | $ | — | $ | — | ||||||
Short-Term Securities | — | 1,317 | — | |||||||||
|
| |||||||||||
Total | $ | 818,067 | $ | 1,317 | $ | — | ||||||
|
|
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
LIBOR = London Interbank Offered Rate
10 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2018 (UNAUDITED)
Pathfinder Moderately Aggressive
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Core Equity, Class II | 9,315 | $ | 110,973 | |||||
Ivy VIP Corporate Bond, Class II | 17,988 | 91,380 | ||||||
Ivy VIP Global Equity Income, Class II | 13,100 | 98,298 | ||||||
Ivy VIP Government Money Market, Class II | 50,798 | 50,798 | ||||||
Ivy VIP Growth, Class II | 9,367 | 111,376 | ||||||
Ivy VIP High Income, Class I | 3,654 | 12,663 | ||||||
Ivy VIP International Core Equity, Class II | 8,499 | 147,430 | ||||||
Ivy VIP Limited-Term Bond, Class II | 31,385 | 149,862 | ||||||
Ivy VIP Mid Cap Growth, Class I | 6,320 | 78,087 | ||||||
Ivy VIP Small Cap Core, Class II | 692 | 11,250 | ||||||
Ivy VIP Small Cap Growth, Class II | 2,021 | 22,369 | ||||||
Ivy VIP Value, Class II | 18,073 | 110,511 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL |
| $ | 994,997 | |||||
(Cost: $1,007,962) |
| |||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.1% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (A) | $ | 823 | 823 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.1% |
| $ | 823 | |||||
(Cost: $823) |
| |||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 995,820 | |||||
(Cost: $1,008,785) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (276 | ) | |||||
NET ASSETS – 100.0% |
| $ | 995,544 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Affiliated Mutual Funds | $ | 994,997 | $ | — | $ | — | ||||||
Short-Term Securities | — | 823 | — | |||||||||
|
| |||||||||||
Total | $ | 994,997 | $ | 823 | $ | — | ||||||
|
|
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The | following acronym is used throughout this schedule: |
LIBOR | = London Interbank Offered Rate |
Pathfinder Moderately Conservative
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Core Equity, Class II | 1,701 | $ | 20,264 | |||||
Ivy VIP Corporate Bond, Class II | 5,279 | 26,817 | ||||||
Ivy VIP Global Equity Income, Class II | 1,845 | 13,847 | ||||||
Ivy VIP Government Money Market, Class II | 35,778 | 35,778 | ||||||
Ivy VIP Growth, Class II | 1,710 | 20,337 | ||||||
Ivy VIP High Income, Class I | 1,544 | 5,351 | ||||||
Ivy VIP International Core Equity, Class II | 1,197 | 20,768 | ||||||
Ivy VIP Limited-Term Bond, Class II | 10,740 | 51,284 | ||||||
Ivy VIP Mid Cap Growth, Class I | 1,154 | 14,258 | ||||||
Ivy VIP Small Cap Core, Class II | 126 | 2,054 | ||||||
Ivy VIP Small Cap Growth, Class II | 369 | 4,085 | ||||||
Ivy VIP Value, Class II | 3,300 | 20,180 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL |
| $ | 235,023 | |||||
(Cost: $240,343) |
| |||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.4% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (A) | $ | 869 | 869 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.4% |
| $ | 869 | |||||
(Cost: $869) |
| |||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 235,892 | |||||
(Cost: $241,212) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (3 | ) | |||||
NET ASSETS – 100.0% |
| $ | 235,889 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
2018 | SEMIANNUAL REPORT | 11 |
Table of Contents
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2018 (UNAUDITED)
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Affiliated Mutual Funds | $ | 235,023 | $ | — | $ | — | ||||||
Short-Term Securities | — | 869 | — | |||||||||
|
| |||||||||||
Total | $ | 235,023 | $ | 869 | $ | — | ||||||
|
|
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
LIBOR = London Interbank Offered Rate
Pathfinder Moderate – Managed Volatility
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Core Equity, Class II | 5,012 | $ | 59,711 | |||||
Ivy VIP Corporate Bond, Class II | 11,188 | 56,838 | ||||||
Ivy VIP Global Equity Income, Class II | 6,345 | 47,610 | ||||||
Ivy VIP Government Money Market, Class II | 61,484 | 61,484 | ||||||
Ivy VIP Growth, Class II | 5,040 | 59,925 | ||||||
Ivy VIP High Income, Class I | 3,096 | 10,728 | ||||||
Ivy VIP International Core Equity, Class II | 4,117 | 71,407 | ||||||
Ivy VIP Limited-Term Bond, Class II | 24,467 | 116,826 | ||||||
Ivy VIP Mid Cap Growth, Class I | 3,400 | 42,007 | ||||||
Ivy VIP Small Cap Core, Class II | 372 | 6,052 | ||||||
Ivy VIP Small Cap Growth, Class II | 1,087 | 12,033 | ||||||
Ivy VIP Value, Class II | 9,725 | 59,464 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL |
| $ | 604,085 | |||||
(Cost: $616,389) |
| |||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (A) – 1.2% |
| |||||||
International Paper Co., | ||||||||
2.500%, 7-10-18 | $ | 4,000 | 3,997 | |||||
McCormick & Co., Inc., | ||||||||
2.410%, 7-10-18 | 2,000 | 1,999 | ||||||
Sonoco Products Co., | ||||||||
2.180%, 7-2-18 | 1,653 | 1,652 | ||||||
|
| |||||||
7,648 | ||||||||
|
| |||||||
Master Note – 0.9% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (B) | 5,596 | 5,596 | ||||||
|
| |||||||
United States Government Agency Obligations – 0.8% |
| |||||||
Overseas Private Investment Corp. (GTD by U.S. Government) (3-Month U.S. TB Rate), | ||||||||
1.960%, 7-7-18 (B) | 4,884 | 4,884 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.9% |
| $ | 18,128 | |||||
(Cost: $18,129) |
| |||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 622,213 | |||||
(Cost: $634,518) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS (C) – 0.0% |
| 70 | ||||||
NET ASSETS – 100.0% |
| $ | 622,283 |
Notes to Schedule of Investments
(A) | Rate shown is the yield to maturity at June 30, 2018. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(C) | Cash of $374 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2018 (contracts unrounded):
Description | Type | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | ||||||||||||||||||
E-mini Russell 2000 Index | Short | 30 | 9-21-18 | 1 | $ | (2,471 | ) | $ | 54 | |||||||||||||||
S&P 500 Index | Short | 10 | 9-21-18 | 3 | (6,804 | ) | 105 | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | (9,275 | ) | $ | 159 | ||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Affiliated Mutual Funds | $ | 604,085 | $ | — | $ | — | ||||||
Short-Term Securities | — | 18,128 | — | |||||||||
|
| |||||||||||
Total | $ | 604,085 | $ | 18,128 | $ | — | ||||||
|
| |||||||||||
Futures Contracts | $ | 159 | $ | — | $ | — | ||||||
|
|
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
TB = Treasury Bill
12 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2018 (UNAUDITED)
Pathfinder Moderately Aggressive – Managed Volatility
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Core Equity, Class II | 839 | $ | 9,995 | |||||
Ivy VIP Corporate Bond, Class II | 1,620 | 8,229 | ||||||
Ivy VIP Global Equity Income, Class II | 1,180 | 8,854 | ||||||
Ivy VIP Government Money Market, Class II | 4,574 | 4,574 | ||||||
Ivy VIP Growth, Class II | 844 | 10,031 | ||||||
Ivy VIP High Income, Class I | 329 | 1,140 | ||||||
Ivy VIP International Core Equity, Class II | 766 | 13,280 | ||||||
Ivy VIP Limited-Term Bond, Class II | 2,826 | 13,496 | ||||||
Ivy VIP Mid Cap Growth, Class I | 569 | 7,032 | ||||||
Ivy VIP Small Cap Core, Class II | 62 | 1,013 | ||||||
Ivy VIP Small Cap Growth, Class II | 182 | 2,014 | ||||||
Ivy VIP Value, Class II | 1,628 | 9,953 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 97.5% |
| $ | 89,611 | |||||
(Cost: $92,700) |
| |||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 2.5% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), 2.240%, 7-6-18 (A) | $ | 2,256 | 2,256 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.5% |
| $ | 2,256 | |||||
(Cost: $2,256) |
| |||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 91,867 | |||||
(Cost: $94,956) |
| |||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES (B) – 0.0% |
| 30 | ||||||
NET ASSETS – 100.0% |
| $ | 91,897 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(B) | Cash of $40 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2018 (contracts unrounded):
Description | Type | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | ||||||||||||||||||
E-mini Russell 2000 Index | Short | 4 | 9-21-18 | — | * | $ | (330 | ) | $ | 7 | ||||||||||||||
S&P 500 Index | Short | 1 | 9-21-18 | — | * | (680 | ) | 11 | ||||||||||||||||
|
| |||||||||||||||||||||||
$ | (1,010 | ) | $ | 18 | ||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Affiliated Mutual Funds | $ | 89,611 | $ | — | $ | — | ||||||
Short-Term Securities | — | 2,256 | — | |||||||||
|
| |||||||||||
Total | $ | 89,611 | $ | 2,256 | $ | — | ||||||
|
| |||||||||||
Futures Contracts | $ | 18 | $ | — | $ | — | ||||||
|
|
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
LIBOR = London Interbank Offered Rate
Pathfinder Moderately Conservative – Managed Volatility
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Core Equity, Class II | 525 | $ | 6,255 | |||||
Ivy VIP Corporate Bond, Class II | 1,629 | 8,277 | ||||||
Ivy VIP Global Equity Income, Class II | 570 | 4,275 | ||||||
Ivy VIP Government Money Market, Class II | 11,042 | 11,042 | ||||||
Ivy VIP Growth, Class II | 528 | 6,277 | ||||||
Ivy VIP High Income, Class I | 477 | 1,652 | ||||||
Ivy VIP International Core Equity, Class II | 370 | 6,411 | ||||||
Ivy VIP Limited-Term Bond, Class II | 3,315 | 15,828 | ||||||
Ivy VIP Mid Cap Growth, Class I | 356 | 4,401 | ||||||
Ivy VIP Small Cap Core, Class II | 39 | 634 | ||||||
Ivy VIP Small Cap Growth, Class II | 114 | 1,261 | ||||||
Ivy VIP Value, Class II | 1,019 | 6,229 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 97.0% |
| $ | 72,542 | |||||
(Cost: $74,450) |
| |||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 2.8% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), 2.240%, 7-6-18 (A) | $ | 2,100 | 2,100 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.8% |
| $ | 2,100 | |||||
(Cost: $2,100) |
| |||||||
TOTAL INVESTMENT SECURITIES – 99.8% |
| $ | 74,642 | |||||
(Cost: $76,550) |
| |||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES (B) – 0.2% |
| 153 | ||||||
NET ASSETS – 100.0% |
| $ | 74,795 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(B) | Cash of $37 has been pledged as collateral on open futures contracts. |
2018 | SEMIANNUAL REPORT | 13 |
Table of Contents
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2018 (UNAUDITED)
The following futures contracts were outstanding at June 30, 2018 (contracts unrounded):
Description | Type | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | ||||||||||||||||||
E-mini Russell 2000 Index | Short | 3 | 9-21-18 | — | * | $ | (247 | ) | $ | 5 | ||||||||||||||
S&P 500 Index | Short | 1 | 9-21-18 | — | * | (681 | ) | 11 | ||||||||||||||||
|
| |||||||||||||||||||||||
$ | (928 | ) | $ | 16 | ||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Affiliated Mutual Funds | $ | 72,542 | $ | — | $ | — | ||||||
Short-Term Securities | — | 2,100 | — | |||||||||
|
| |||||||||||
Total | $ | 72,542 | $ | 2,100 | $ | — | ||||||
|
| |||||||||||
Futures Contracts | $ | 16 | $ | — | $ | — | ||||||
|
|
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
LIBOR = London Interbank Offered Rate
See Accompanying Notes to Financial Statements.
14 | SEMIANNUAL REPORT | 2018 |
Table of Contents
PORTFOLIO HIGHLIGHTS | ASSET STRATEGY |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 72.8% | |||
Information Technology | 18.0% | |||
Financials | 13.9% | |||
Consumer Discretionary | 9.1% | |||
Industrials | 8.1% | |||
Consumer Staples | 7.9% | |||
Health Care | 6.7% | |||
Energy | 6.4% | |||
Materials | 1.7% | |||
Telecommunication Services | 1.0% | |||
Bullion (Gold) | 4.9% | |||
Bonds | 19.2% | |||
Corporate Debt Securities | 9.5% | |||
United States Government and Government Agency Obligations | 4.5% | |||
Loans | 3.9% | |||
Other Government Securities | 1.3% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.1% |
Country Weightings
North America | 50.5% | |||
United States | 49.5% | |||
Other North America | 1.0% | |||
Europe | 25.0% | |||
France | 6.0% | |||
Netherlands | 5.1% | |||
United Kingdom | 3.9% | |||
Other Europe | 10.0% | |||
Pacific Basin | 15.2% | |||
China | 4.8% | |||
Japan | 4.7% | |||
Other Pacific Basin | 5.7% | |||
Bullion (Gold) | 4.9% | |||
South America | 1.3% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.1% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Microsoft Corp. | United States | Information Technology | Systems Software | |||
AIA Group Ltd. | Hong Kong | Financials | Life & Health Insurance | |||
Airbus SE | France | Industrials | Aerospace & Defense | |||
Amazon.com, Inc. | United States | Consumer Discretionary | Internet & Direct Marketing Retail | |||
Pfizer, Inc. | United States | Health Care | Pharmaceuticals | |||
Home Depot, Inc. (The) | United States | Consumer Discretionary | Home Improvement Retail | |||
Adobe Systems, Inc. | United States | Information Technology | Application Software | |||
Intuit, Inc. | United States | Information Technology | Application Software | |||
Visa, Inc., Class A | United States | Information Technology | Data Processing & Outsourced Services | |||
Coca-Cola Co. (The) | United States | Consumer Staples | Soft Drinks |
See your advisor or www.waddell.com for more information on the Portfolio’s most recent published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2018 | SEMIANNUAL REPORT | 15 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Auto Parts & Equipment – 2.2% |
| |||||||
Delphi Automotive plc | 112 | $ | 10,285 | |||||
Magna International, Inc. (A) | 147 | 8,537 | ||||||
|
| |||||||
18,822 | ||||||||
|
| |||||||
Automobile Manufacturers – 1.3% |
| |||||||
Suzuki Motor Corp. (A) | 203 | 11,199 | ||||||
|
| |||||||
Broadcasting – 1.0% |
| |||||||
Discovery Holding Co., Class A (B) | 314 | 8,631 | ||||||
|
| |||||||
Home Improvement Retail – 1.9% |
| |||||||
Home Depot, Inc. (The) | 86 | 16,779 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 2.0% |
| |||||||
Amazon.com, Inc. (B) | 10 | 17,603 | ||||||
|
| |||||||
Leisure Facilities – 0.0% |
| |||||||
COTA Racing & Entertainment LLC, Class B (B) | — | * | — | |||||
|
| |||||||
Leisure Products – 0.0% |
| |||||||
Media Group Holdings LLC, Series H (B)(C)(D)(E) | 32 | — | * | |||||
Media Group Holdings LLC, Series T (B)(C)(D)(E) | 4 | 202 | ||||||
|
| |||||||
202 | ||||||||
|
| |||||||
Tires & Rubber – 0.7% |
| |||||||
Bridgestone Corp. (A) | 160 | 6,266 | ||||||
|
| |||||||
Total Consumer Discretionary – 9.1% |
| 79,502 | ||||||
Consumer Staples |
| |||||||
Brewers – 1.1% |
| |||||||
InBev N.V. (A) | 94 | 9,473 | ||||||
|
| |||||||
Hypermarkets & Super Centers – 1.3% |
| |||||||
Wal-Mart Stores, Inc. | 130 | 11,171 | ||||||
|
| |||||||
Packaged Foods & Meats – 2.2% |
| |||||||
Mondelez International, Inc., Class A | 221 | 9,040 | ||||||
Nestle S.A., Registered Shares (A) | 128 | 9,909 | ||||||
|
| |||||||
18,949 | ||||||||
|
| |||||||
Soft Drinks – 1.7% |
| |||||||
Coca-Cola Co. (The) | 332 | 14,544 | ||||||
|
| |||||||
Tobacco – 1.6% |
| |||||||
ITC Ltd. (A) | 861 | 3,346 | ||||||
Philip Morris International, Inc. | 130 | 10,464 | ||||||
|
| |||||||
13,810 | ||||||||
|
| |||||||
Total Consumer Staples – 7.9% |
| 67,947 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 1.6% |
| |||||||
Royal Dutch Shell plc, Class A (A) | 384 | 13,361 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Oil & Gas Equipment & Services – 2.4% |
| |||||||
Core Laboratories N.V. | 44 | $ | 5,604 | |||||
Halliburton Co. | 165 | 7,431 | ||||||
Schlumberger Ltd. | 121 | 8,094 | ||||||
|
| |||||||
21,129 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 2.4% |
| |||||||
Cabot Oil & Gas Corp. | 185 | 4,406 | ||||||
EOG Resources, Inc. | 84 | 10,406 | ||||||
Noble Energy, Inc. | 184 | 6,504 | ||||||
|
| |||||||
21,316 | ||||||||
|
| |||||||
Total Energy – 6.4% |
| 55,806 | ||||||
Financials |
| |||||||
Diversified Banks – 5.1% |
| |||||||
Axis Bank Ltd. (A) | 1,019 | 7,596 | ||||||
China Construction Bank Corp. (A)(B) | 6,621 | 6,118 | ||||||
Industrial and Commercial Bank of China Ltd., H Shares (A) | 7,885 | 5,899 | ||||||
Kabushiki Kaisha Mitsubishi Tokyo Financial Group (A) | 1,270 | 7,237 | ||||||
Sberbank of Russia PJSC ADR (A) | 261 | 3,773 | ||||||
Swedbank AB (A) | 347 | 7,421 | ||||||
UniCredit S.p.A. (A) | 397 | 6,636 | ||||||
|
| |||||||
44,680 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 1.1% |
| |||||||
Goldman Sachs Group, Inc. (The) | 44 | 9,685 | ||||||
|
| |||||||
Life & Health Insurance – 2.5% |
| |||||||
AIA Group Ltd. (A) | 2,510 | 21,942 | ||||||
|
| |||||||
Multi-Line Insurance – 1.3% |
| |||||||
Axa S.A. (A) | 441 | 10,810 | ||||||
|
| |||||||
Multi-Sector Holdings – 0.9% |
| |||||||
Berkshire Hathaway, Inc., Class B (B) | 43 | 7,970 | ||||||
|
| |||||||
Property & Casualty Insurance – 1.2% |
| |||||||
Tokio Marine Holdings, Inc. (A) | 230 | 10,768 | ||||||
|
| |||||||
Regional Banks – 1.8% |
| |||||||
KeyCorp | 420 | 8,216 | ||||||
PNC Financial Services Group, Inc. (The) | 57 | 7,714 | ||||||
|
| |||||||
15,930 | ||||||||
|
| |||||||
Total Financials – 13.9% |
| 121,785 | ||||||
Health Care |
| |||||||
Biotechnology – 1.0% |
| |||||||
BioMarin Pharmaceutical, Inc. (B) | 95 | 8,966 | ||||||
|
| |||||||
Health Care Equipment – 1.2% |
| |||||||
Medtronic plc | 121 | 10,354 | ||||||
|
| |||||||
Health Care Facilities – 1.2% |
| |||||||
HCA Holdings, Inc. | 103 | 10,581 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Managed Health Care – 0.3% |
| |||||||
UnitedHealth Group, Inc. | 9 | $ | 2,136 | |||||
|
| |||||||
Pharmaceuticals – 3.0% |
| |||||||
Bayer AG (A) | 76 | 8,376 | ||||||
Pfizer, Inc. | 482 | 17,491 | ||||||
|
| |||||||
25,867 | ||||||||
|
| |||||||
Total Health Care – 6.7% |
| 57,904 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 3.2% |
| |||||||
Airbus SE (A) | 154 | 18,034 | ||||||
Lockheed Martin Corp. | 32 | 9,535 | ||||||
|
| |||||||
27,569 | ||||||||
|
| |||||||
Construction & Engineering – 2.0% |
| |||||||
Larsen & Toubro Ltd. (A) | 502 | 9,344 | ||||||
Vinci (A) | 86 | 8,225 | ||||||
|
| |||||||
17,569 | ||||||||
|
| |||||||
Electrical Components & Equipment – 0.9% |
| |||||||
Schneider Electric S.A. (A) | 91 | 7,611 | ||||||
|
| |||||||
Railroads – 1.3% |
| |||||||
Union Pacific Corp. | 76 | 10,782 | ||||||
|
| |||||||
Trading Companies & Distributors – 0.7% |
| |||||||
Ferguson plc (A) | 78 | 6,365 | ||||||
|
| |||||||
Total Industrials – 8.1% |
| 69,896 | ||||||
Information Technology |
| |||||||
Application Software – 3.8% |
| |||||||
Adobe Systems, Inc. (B) | 68 | 16,489 | ||||||
Intuit, Inc. | 80 | 16,446 | ||||||
|
| |||||||
32,935 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 2.8% |
| |||||||
FleetCor Technologies, Inc. (B) | 40 | 8,363 | ||||||
Visa, Inc., Class A | 120 | 15,893 | ||||||
|
| |||||||
24,256 | ||||||||
|
| |||||||
Electronic Equipment & Instruments – 0.6% |
| |||||||
Keyence Corp. (A) | 9 | 5,029 | ||||||
|
| |||||||
Internet Software & Services – 4.0% |
| |||||||
Alibaba Group Holding Ltd. ADR (B) | 48 | 8,914 | ||||||
Alphabet, Inc., Class A (B) | 8 | 8,718 | ||||||
Baidu.com, Inc. ADR (B) | 51 | 12,293 | ||||||
MercadoLibre, Inc. | 15 | 4,475 | ||||||
|
| |||||||
34,400 | ||||||||
|
| |||||||
Semiconductor Equipment – 1.2% |
| |||||||
ASML Holding N.V., Ordinary Shares (A) | 54 | 10,666 | ||||||
|
| |||||||
Semiconductors – 2.6% |
| |||||||
Broadcom Corp., Class A | 18 | 4,415 | ||||||
Intel Corp. | 130 | 6,470 |
16 | SEMIANNUAL REPORT | 2018 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS (Continued) | Shares | Value | ||||||
Semiconductors (Continued) |
| |||||||
QUALCOMM, Inc. | 210 | $ | 11,787 | |||||
|
| |||||||
22,672 | ||||||||
|
| |||||||
Systems Software – 3.0% |
| |||||||
Microsoft Corp. | 263 | 25,927 | ||||||
|
| |||||||
Total Information Technology – 18.0% |
| 155,885 | ||||||
Materials |
| |||||||
Diversified Metals & Mining – 1.7% |
| |||||||
BHP Billiton plc (A) | 294 | 6,613 | ||||||
Glencore International plc (A) | 1,713 | 8,182 | ||||||
|
| |||||||
14,795 | ||||||||
|
| |||||||
Total Materials – 1.7% |
| 14,795 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 1.0% |
| |||||||
China Unicom Ltd. (A) | 6,860 | 8,569 | ||||||
|
| |||||||
Total Telecommunication Services – 1.0% |
| 8,569 | ||||||
TOTAL COMMON STOCKS – 72.8% |
| $ | 632,089 | |||||
(Cost: $561,017) |
| |||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Consumer Discretionary |
| |||||||
Cable & Satellite – 1.0% |
| |||||||
Altice S.A.: | ||||||||
7.750%, 5-15-22 (F)(G) | $ | 4,448 | 4,303 | |||||
7.625%, 2-15-25 (F)(G) | 4,656 | 4,284 | ||||||
|
| |||||||
8,587 | ||||||||
|
| |||||||
Leisure Facilities – 0.2% |
| |||||||
Circuit of the Americas LLC, Series D, | ||||||||
0.000%, 12-31-20 (H) | 3,642 | 1,940 | ||||||
|
| |||||||
Total Consumer Discretionary – 1.2% |
| 10,527 | ||||||
Consumer Staples |
| |||||||
Drug Retail – 0.1% |
| |||||||
CVS Health Corp., | ||||||||
4.300%, 3-25-28 | 1,483 | 1,462 | ||||||
|
| |||||||
Total Consumer Staples – 0.1% |
| 1,462 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 0.5% |
| |||||||
Petrobras Global Finance B.V. (GTD by Petroleo Brasileiro S.A.): | ||||||||
8.750%, 5-23-26 | 3,219 | 3,484 | ||||||
7.375%, 1-17-27 | 1,076 | 1,075 | ||||||
|
| |||||||
4,559 | ||||||||
|
| |||||||
Total Energy – 0.5% |
| 4,559 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Financials |
| |||||||
Diversified Banks – 4.2% |
| |||||||
Barclays plc, | ||||||||
7.875%, 12-29-49 | $ | 3,678 | $ | 3,800 | ||||
BNP Paribas S.A., | ||||||||
7.625%, 12-29-49 (F) | 2,154 | 2,248 | ||||||
HSBC Holdings plc: | ||||||||
6.875%, 12-29-49 | 3,865 | 3,996 | ||||||
6.250%, 9-23-66 | 424 | 416 | ||||||
ING Groep N.V., Certicaaten Van Aandelen, | ||||||||
6.000%, 10-16-66 | 4,280 | 4,259 | ||||||
Intesa Sanpaolo S.p.A., | ||||||||
5.710%, 1-15-26 (F) | 2,291 | 2,094 | ||||||
Royal Bank of Scotland Group plc (The): | ||||||||
7.500%, 12-29-49 | 3,395 | 3,461 | ||||||
8.625%, 12-29-49 | 8,839 | 9,394 | ||||||
Societe Generale Group, | ||||||||
7.375%, 12-29-49 (F) | 4,085 | 4,157 | ||||||
Standard Chartered plc, | ||||||||
7.500%, 12-29-49 (F) | 2,481 | 2,543 | ||||||
|
| |||||||
36,368 | ||||||||
|
| |||||||
Diversified Capital Markets – 0.3% |
| |||||||
Credit Suisse Group AG, | ||||||||
7.125%, 7-29-66 | 2,490 | 2,535 | ||||||
|
| |||||||
Specialized Finance – 0.1% |
| |||||||
Syngenta Finance N.V.: | ||||||||
4.441%, 4-24-23 (F) | 641 | 637 | ||||||
5.182%, 4-24-28 (F) | 480 | 464 | ||||||
|
| |||||||
1,101 | ||||||||
|
| |||||||
Total Financials – 4.6% |
| 40,004 | ||||||
Health Care |
| |||||||
Pharmaceuticals – 0.7% |
| |||||||
Teva Pharmaceutical Finance Co. LLC (GTD by Teva Pharmaceutical Industries Ltd.), | ||||||||
6.000%, 4-15-24 (G) | 424 | 423 | ||||||
Teva Pharmaceutical Finance Netherlands III B.V. (GTD by Teva Pharmaceutical Industries Ltd.): | ||||||||
2.800%, 7-21-23 | 3,180 | 2,746 | ||||||
3.150%, 10-1-26 | 4,168 | 3,348 | ||||||
|
| |||||||
6,517 | ||||||||
|
| |||||||
Total Health Care – 0.7% |
| 6,517 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 0.6% |
| |||||||
KLX, Inc., | ||||||||
5.875%, 12-1-22 (F) | 5,387 | 5,596 | ||||||
|
| |||||||
Security & Alarm Services – 0.7% |
| |||||||
Prime Security Services Borrower LLC, | ||||||||
9.250%, 5-15-23 (F) | 5,762 | 6,151 | ||||||
|
| |||||||
Total Industrials – 1.3% |
| 11,747 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Information Technology |
| |||||||
Data Processing & Outsourced Services – 0.2% |
| |||||||
Alliance Data Systems Corp., | ||||||||
5.375%, 8-1-22 (F) | $ | 2,189 | $ | 2,200 | ||||
|
| |||||||
Total Information Technology – 0.2% |
| 2,200 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 0.9% |
| |||||||
Frontier Communications Corp.: | ||||||||
7.625%, 4-15-24 | 2,119 | 1,462 | ||||||
6.875%, 1-15-25 (G) | 4,337 | 2,792 | ||||||
11.000%, 9-15-25 | 3,180 | 2,543 | ||||||
9.000%, 8-15-31 | 2,119 | 1,388 | ||||||
|
| |||||||
8,185 | ||||||||
|
| |||||||
Total Telecommunication Services – 0.9% |
| 8,185 | ||||||
TOTAL CORPORATE DEBT |
| $ | 85,201 | |||||
(Cost: $87,558) |
| |||||||
OTHER GOVERNMENT SECURITIES (I) | ||||||||
Argentina – 0.8% |
| |||||||
Republic of Argentina: | ||||||||
4.625%, 1-11-23 | 6,531 | 5,751 | ||||||
5.875%, 1-11-28 | 2,100 | 1,706 | ||||||
|
| |||||||
7,457 | ||||||||
|
| |||||||
Luxembourg – 0.5% |
| |||||||
Rumo Luxembourg S.a.r.l., | ||||||||
7.375%, 2-9-24 (F) | 4,101 | 4,142 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT |
| $ | 11,599 | |||||
(Cost: $12,828) |
| |||||||
LOANS (J) | ||||||||
Consumer Discretionary |
| |||||||
General Merchandise Stores – 0.3% |
| |||||||
BJ’s Wholesale Club, Inc. (ICE LIBOR plus 375 bps), | ||||||||
5.530%, 2-3-24 | 2,054 | 2,052 | ||||||
|
| |||||||
Total Consumer Discretionary – 0.3% |
| 2,052 | ||||||
Financials |
| |||||||
Investment Banking & Brokerage – 0.1% |
| |||||||
Jane Street Group LLC (ICE LIBOR plus 375 bps), | ||||||||
5.844%, 8-25-22 (E) | 732 | 736 | ||||||
|
| |||||||
Property & Casualty Insurance – 0.9% |
| |||||||
Hub International Ltd. (ICE LIBOR plus 300 bps), | ||||||||
5.360%, 4-25-25 | 530 | 526 |
2018 | SEMIANNUAL REPORT | 17 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2018 (UNAUDITED)
LOANS (J) (Continued) | Principal | Value | ||||||
Property & Casualty Insurance (Continued) |
| |||||||
USI, Inc. (ICE LIBOR plus 300 bps), | ||||||||
5.334%, 5-16-24 | $ | 7,397 | $ | 7,347 | ||||
|
| |||||||
7,873 | ||||||||
|
| |||||||
Specialized Finance – 0.4% |
| |||||||
Mayfield Agency Borrower, Inc. (ICE LIBOR plus 450 bps), | ||||||||
6.594%, 2-28-25 | 3,000 | 2,996 | ||||||
|
| |||||||
Total Financials – 1.4% |
| 11,605 | ||||||
Health Care |
| |||||||
Health Care Facilities – 0.3% |
| |||||||
Surgery Center Holdings, Inc. (ICE LIBOR plus 325 bps), 5.350%, 8-31-24 | 2,424 | 2,415 | ||||||
|
| |||||||
Health Care Services – 0.2% |
| |||||||
Heartland Dental LLC, 0.000%, 4-30-25 (E)(K) | 208 | 206 | ||||||
Heartland Dental LLC (ICE LIBOR plus 375 bps), | ||||||||
5.844%, 4-30-25 (E) | 1,386 | 1,377 | ||||||
|
| |||||||
1,583 | ||||||||
|
| |||||||
Total Health Care – 0.5% |
| 3,998 | ||||||
Industrials |
| |||||||
Construction & Engineering – 0.3% |
| |||||||
McDermott Technology (Americas), Inc. (ICE LIBOR plus 500 bps), 7.094%, 5-10-25 | 2,659 | 2,669 | ||||||
|
| |||||||
Total Industrials – 0.3% |
| 2,669 | ||||||
Information Technology |
| |||||||
Application Software – 0.3% |
| |||||||
Avaya, Inc. (ICE LIBOR plus 425 bps), 6.323%, 12-15-24 | 3,164 | 3,166 | ||||||
|
| |||||||
Total Information Technology – 0.3% |
| 3,166 |
LOANS (J) (Continued) | Principal | Value | ||||||
Materials |
| |||||||
Construction Materials – 0.5% |
| |||||||
Hillman Group, Inc. (The), 0.000%, 5-31-25 (K) | $ | 4,288 | $ | 4,269 | ||||
|
| |||||||
Total Materials – 0.5% |
| 4,269 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 0.6% |
| |||||||
West Corp. (3-Month ICE LIBOR plus 400 bps), | 5,149 | 5,126 | ||||||
|
| |||||||
Total Telecommunication Services – 0.6% |
| 5,126 | ||||||
TOTAL LOANS – 3.9% |
| $ | 32,885 | |||||
(Cost: $32,897) |
| |||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
Treasury Inflation Protected Obligations – 3.4% |
| |||||||
U.S. Treasury Notes: | ||||||||
0.125%, 4-15-21 | 7,417 | 7,302 | ||||||
0.625%, 1-15-26 | 8,268 | 8,222 | ||||||
0.125%, 7-15-26 | 6,167 | 5,907 | ||||||
1.000%, 2-15-46 | 8,339 | 8,585 | ||||||
|
| |||||||
30,016 | ||||||||
|
| |||||||
Treasury Obligations – 1.1% |
| |||||||
U.S. Treasury Bonds, 2.750%, 8-15-47 | 9,928 | 9,464 | ||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 4.5% |
| $ | 39,480 | |||||
(Cost: $40,494) |
| |||||||
BULLION – 4.9% | Troy Ounces | |||||||
Gold | 34 | 42,437 | ||||||
|
| |||||||
(Cost: $42,060) |
|
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper (L) – 1.7% |
| |||||||
Hewlett Packard Enterprise Corp., 2.110%, 7-12-18 | $ | 5,000 | $ | 4,996 | ||||
Northern Illinois Gas Co., 2.101%, 7-2-18 | 5,000 | 4,999 | ||||||
Virginia Electric and Power Co., 2.340%, 7-25-18 | 5,000 | 4,992 | ||||||
|
| |||||||
14,987 | ||||||||
|
| |||||||
Master Note – 0.1% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (M) | 526 | 526 | ||||||
|
| |||||||
Money Market Funds – 0.1% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | 789 | 789 | ||||||
|
| |||||||
Municipal Obligations – 1.1% |
| |||||||
CA Statewide Cmnty Dev Auth, Multifam Hsng Rev Bonds (The Crossings Sr Apts/Phase I), Ser 2005 I (GTD by FNMA) (BVAL plus 10 bps), 1.360%, 7-7-18 (M) | 6,660 | 6,660 | ||||||
MI Strategic Fund, Var Rate Demand Ltd. Oblig Rev Bonds, Ser 2007 (GTD by Air Prods and Chemicals, Inc.) (BVAL plus 23 bps), | ||||||||
1.610%, 7-1-18 (M) | 2,770 | 2,770 | ||||||
|
| |||||||
9,430 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 3.0% |
| $ | 25,732 | |||||
(Cost: $25,733) |
| |||||||
TOTAL INVESTMENT SECURITIES – 99.9% |
| $ | 869,423 | |||||
(Cost: $802,587) |
| |||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1% |
| 1,027 | ||||||
NET ASSETS – 100.0% |
| $ | 870,450 |
Notes to Consolidated Schedule of Investments
* | Not shown due to rounding. |
(A) | Listed on an exchange outside the United States. |
(B) | No dividends were paid during the preceding 12 months. |
(C) | Restricted securities. At June 30, 2018, the Portfolio owned the following restricted securities: |
Security | Acquisition Date(s) | Shares | Cost | Market Value | ||||||||||||||||
Media Group Holdings LLC, Series H | 8-29-13 to 10-31-13 | 32 | $ | 22,374 | $ | — | * | |||||||||||||
Media Group Holdings LLC, Series T | 7-2-13 to 1-23-15 | 4 | 8,413 | 202 | ||||||||||||||||
|
| |||||||||||||||||||
$ | 30,787 | $ | 202 | |||||||||||||||||
|
|
The total value of these securities represented 0.0% of net assets at June 30, 2018. |
18 | SEMIANNUAL REPORT | 2018 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2018 (UNAUDITED)
(D) | Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is owned by the Portfolio and consolidated as described in Note 5 of the Notes to Financial Statements. |
(E) | Securities whose value was determined using significant unobservable inputs. |
(F) | 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 June 30, 2018 the total value of these securities amounted to $38,819 or 4.5% of net assets. |
(G) | All or a portion of securities with an aggregate value of $1,208 are on loan. |
(H) | Zero coupon bond. |
(I) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(J) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Description of the reference rate and spread, if applicable, are included in the security description. |
(K) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(L) | Rate shown is the yield to maturity at June 30, 2018. |
(M) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(N) | Investment made with cash collateral received from securities on loan. |
(O) | Rate shown is the annualized 7-day yield at June 30, 2018. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Consumer Discretionary | $ | 79,300 | $ | — | $ | 202 | ||||||
Consumer Staples | 67,947 | — | — | |||||||||
Energy | 55,806 | — | — | |||||||||
Financials | 121,785 | — | — | |||||||||
Health Care | 57,904 | — | — | |||||||||
Industrials | 69,896 | — | — | |||||||||
Information Technology | 155,885 | — | — | |||||||||
Materials | 14,795 | — | — | |||||||||
Telecommunication Services | 8,569 | — | — | |||||||||
Total Common Stocks | $ | 631,887 | $ | — | $ | 202 | ||||||
Corporate Debt Securities | — | 85,201 | — | |||||||||
Other Government Securities | — | 11,599 | — | |||||||||
Loans | — | 30,566 | 2,319 | |||||||||
United States Government Obligations | — | 39,480 | — | |||||||||
Bullion | 42,437 | — | — | |||||||||
Short-Term Securities | 789 | 24,943 | — | |||||||||
Total | $ | 675,113 | $ | 191,789 | $ | 2,521 |
During the period ended June 30, 2018, securities totaling $196,281 were transferred from Level 2 to Level 1. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on June 30, 2018. Transfers out of Level 2 represent the values as of the beginning of the reporting period.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
BVAL = Bloomberg Valuation Municipal AAA Benchmark
FNMA = Federal National Mortgage Association
GTD = Guaranteed
ICE = Intercontinental Exchange
LIBOR = London Interbank Offered Rate
2018 | SEMIANNUAL REPORT | 19 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2018 (UNAUDITED)
Country Diversification
(as a % of net assets) |
| |||
United States | 49.5% | |||
France | 6.0% | |||
Netherlands | 5.1% | |||
China | 4.8% | |||
Japan | 4.7% | |||
United Kingdom | 3.9% | |||
Switzerland | 3.0% | |||
Hong Kong | 2.5% |
Country Diversification (Continued)
India | 2.4% | |||
Luxembourg | 1.5% | |||
Ireland | 1.2% | |||
Belgium | 1.1% | |||
Italy | 1.0% | |||
Canada | 1.0% | |||
Germany | 1.0% | |||
Other Countries | 3.3% | |||
Other+ | 8.0% |
+Includes gold bullion, options, cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
20 | SEMIANNUAL REPORT | 2018 |
Table of Contents
PORTFOLIO HIGHLIGHTS | BALANCED |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 66.1% | |||
Information Technology | 11.8% | |||
Financials | 10.9% | |||
Industrials | 10.7% | |||
Health Care | 10.1% | |||
Consumer Discretionary | 9.2% | |||
Energy | 6.4% | |||
Materials | 4.2% | |||
Consumer Staples | 2.8% | |||
Bonds | 30.6% | |||
Corporate Debt Securities | 23.8% | |||
United States Government and Government Agency Obligations | 5.6% | |||
Asset-Backed Securities | 0.5% | |||
Other Government Securities | 0.4% | |||
Loans | 0.3% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.3% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Union Pacific Corp. | Industrials | Railroads | ||
Lowe’s Co., Inc. | Consumer Discretionary | Home Improvement Retail | ||
Intercontinental Exchange, Inc. | Financials | Financial Exchanges & Data | ||
Las Vegas Sands, Inc. | Consumer Discretionary | Casinos & Gaming | ||
Microsoft Corp. | Information Technology | Systems Software | ||
Autodesk, Inc. | Information Technology | Application Software | ||
UnitedHealth Group, Inc. | Health Care | Managed Health Care | ||
JPMorgan Chase & Co. | Financials | Other Diversified Financial Services | ||
PNC Financial Services Group, Inc. (The) | Financials | Regional Banks | ||
Broadcom Corp., Class A | Information Technology | Semiconductors |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2018 | SEMIANNUAL REPORT | 21 |
Table of Contents
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel, Accessories & Luxury Goods – 0.3% |
| |||||||
V.F. Corp. | 11 | $ | 930 | |||||
|
| |||||||
Automotive Retail – 1.3% |
| |||||||
O’Reilly Automotive, Inc. (A) | 16 | 4,392 | ||||||
|
| |||||||
Casinos & Gaming – 2.0% |
| |||||||
Las Vegas Sands, Inc. | 92 | 7,039 | ||||||
|
| |||||||
General Merchandise Stores – 1.3% |
| |||||||
Dollar General Corp. | 46 | 4,575 | ||||||
|
| |||||||
Home Improvement Retail – 2.1% |
| |||||||
Lowe’s Co., Inc. | 76 | 7,259 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.9% |
| |||||||
Carnival Corp. | 54 | 3,102 | ||||||
|
| |||||||
Restaurants – 1.3% |
| |||||||
YUM! Brands, Inc. | 58 | 4,572 | ||||||
|
| |||||||
Total Consumer Discretionary – 9.2% |
| 31,869 | ||||||
Consumer Staples |
| |||||||
Brewers – 0.7% |
| |||||||
Anheuser-Busch InBev S.A. ADR | 25 | 2,488 | ||||||
|
| |||||||
Packaged Foods & Meats – 1.4% |
| |||||||
General Mills, Inc. | 57 | 2,521 | ||||||
Hershey Foods Corp. | 24 | 2,275 | ||||||
|
| |||||||
4,796 | ||||||||
|
| |||||||
Tobacco – 0.7% |
| |||||||
Philip Morris International, Inc. | 31 | 2,526 | ||||||
|
| |||||||
Total Consumer Staples – 2.8% |
| 9,810 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 1.7% |
| |||||||
Chevron Corp. | 47 | 5,993 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 1.7% |
| |||||||
Schlumberger Ltd. | 89 | 5,934 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.6% |
| |||||||
Cimarex Energy Co. | 18 | 1,837 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 1.0% |
| |||||||
Enterprise Products Partners L.P. | 131 | 3,634 | ||||||
|
| |||||||
Total Energy – 5.0% |
| 17,398 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 1.2% |
| |||||||
Blackstone Group L.P. (The) | 134 | 4,298 | ||||||
|
| |||||||
Diversified Banks – 2.3% |
| |||||||
Northern Trust Corp. | 53 | 5,437 | ||||||
U.S. Bancorp | 52 | 2,579 | ||||||
|
| |||||||
8,016 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Financial Exchanges & Data – 2.1% |
| |||||||
Intercontinental Exchange, Inc. | 98 | $ | 7,236 | |||||
|
| |||||||
Investment Banking & Brokerage – 1.4% |
| |||||||
Goldman Sachs Group, Inc. (The) | 22 | 4,793 | ||||||
|
| |||||||
Other Diversified Financial Services – 2.0% |
| |||||||
JPMorgan Chase & Co. | 65 | 6,770 | ||||||
|
| |||||||
Regional Banks – 1.9% |
| |||||||
PNC Financial Services Group, Inc. (The) | 48 | 6,548 | ||||||
|
| |||||||
Total Financials – 10.9% |
| 37,661 | ||||||
Health Care |
| |||||||
Biotechnology – 2.2% |
| |||||||
Biogen, Inc. (A) | 14 | 4,165 | ||||||
BioMarin Pharmaceutical, Inc. (A) | 37 | 3,491 | ||||||
|
| |||||||
7,656 | ||||||||
|
| |||||||
Health Care Equipment – 1.3% |
| |||||||
Medtronic plc | 53 | 4,553 | ||||||
|
| |||||||
Health Care Services – 1.6% |
| |||||||
Laboratory Corp. of America Holdings (A) | 32 | 5,716 | ||||||
|
| |||||||
Managed Health Care – 3.0% |
| |||||||
Anthem, Inc. | 15 | 3,492 | ||||||
UnitedHealth Group, Inc. | 28 | 6,863 | ||||||
|
| |||||||
10,355 | ||||||||
|
| |||||||
Pharmaceuticals – 2.0% |
| |||||||
Jazz Pharmaceuticals plc (A) | 20 | 3,473 | ||||||
Pfizer, Inc. | 92 | 3,339 | ||||||
|
| |||||||
6,812 | ||||||||
|
| |||||||
Total Health Care – 10.1% |
| 35,092 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 2.7% |
| |||||||
Boeing Co. (The) | 7 | 2,406 | ||||||
TransDigm Group, Inc. | 13 | 4,519 | ||||||
United Technologies Corp. | 21 | 2,622 | ||||||
|
| |||||||
9,547 | ||||||||
|
| |||||||
Agricultural & Farm Machinery – 1.0% |
| |||||||
Deere & Co. | 24 | 3,304 | ||||||
|
| |||||||
Airlines – 1.1% |
| |||||||
Delta Air Lines, Inc. | 80 | 3,964 | ||||||
|
| |||||||
Electrical Components & Equipment – 0.7% |
| |||||||
Emerson Electric Co. | 38 | 2,618 | ||||||
|
| |||||||
Railroads – 2.1% |
| |||||||
Union Pacific Corp. | 52 | 7,416 | ||||||
|
| |||||||
Research & Consulting Services – 0.8% |
| |||||||
Verisk Analytics, Inc., Class A (A) | 25 | 2,696 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Trucking – 1.5% |
| |||||||
Knight Transportation, Inc. | 132 | $ | 5,030 | |||||
|
| |||||||
Total Industrials – 9.9% |
| 34,575 | ||||||
Information Technology |
| |||||||
Application Software – 2.0% |
| |||||||
Autodesk, Inc. (A) | 53 | 6,887 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 1.7% |
| |||||||
MasterCard, Inc., Class A | 29 | 5,783 | ||||||
|
| |||||||
IT Consulting & Other Services – 0.9% |
| |||||||
Cognizant Technology Solutions Corp., Class A | 38 | 2,986 | ||||||
|
| |||||||
Semiconductors – 5.2% |
| |||||||
Broadcom Corp., Class A | 26 | 6,350 | ||||||
Integrated Device Technology, Inc. (A) | 99 | 3,150 | ||||||
Intel Corp. | 83 | 4,147 | ||||||
QUALCOMM, Inc. | 78 | 4,394 | ||||||
|
| |||||||
18,041 | ||||||||
|
| |||||||
Systems Software – 2.0% |
| |||||||
Microsoft Corp. | 70 | 6,938 | ||||||
|
| |||||||
Total Information Technology – 11.8% |
| 40,635 | ||||||
Materials |
| |||||||
Commodity Chemicals – 1.3% |
| |||||||
LyondellBasell Industries N.V., Class A | 40 | 4,392 | ||||||
|
| |||||||
Specialty Chemicals – 2.3% |
| |||||||
Ecolab, Inc. | 27 | 3,834 | ||||||
PPG Industries, Inc. | 40 | 4,138 | ||||||
|
| |||||||
7,972 | ||||||||
|
| |||||||
Total Materials – 3.6% |
| 12,364 | ||||||
TOTAL COMMON STOCKS – 63.3% |
| $ | 219,404 | |||||
(Cost: $185,766) |
| |||||||
PREFERRED STOCKS | ||||||||
Energy |
| |||||||
Integrated Oil & Gas – 1.4% |
| |||||||
Hess Corp., Convertible, 8.000% | 65 | 4,898 | ||||||
|
| |||||||
Total Energy – 1.4% |
| 4,898 | ||||||
Industrials |
| |||||||
Environmental & Facilities Services – 0.8% |
| |||||||
Stericycle, Inc., 5.250% | 55 | 2,704 | ||||||
|
| |||||||
Total Industrials – 0.8% |
| 2,704 |
22 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2018 (UNAUDITED)
PREFERRED STOCKS (Continued) | Shares | Value | ||||||
Materials |
| |||||||
Commodity Chemicals – 0.6% |
| |||||||
A. Schulman, Inc., Convertible, 6.000% | 2 | $ | 2,100 | |||||
|
| |||||||
Total Materials – 0.6% |
| 2,100 | ||||||
TOTAL PREFERRED STOCKS – 2.8% |
| $ | 9,702 | |||||
(Cost: $10,084) |
| |||||||
ASSET-BACKED SECURITIES | Principal | |||||||
AerCap Ireland Capital Designated Activity Co. and AerCap Global Aviation Trust, | ||||||||
3.650%, 7-21-27 | $ | 1,500 | 1,365 | |||||
AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust, | ||||||||
3.875%, 1-23-28 | 500 | 460 | ||||||
TOTAL ASSET-BACKED SECURITIES – 0.5% |
| $ | 1,825 | |||||
(Cost: $1,991) |
| |||||||
CORPORATE DEBT SECURITIES | ||||||||
Consumer Discretionary |
| |||||||
Auto Parts & Equipment – 0.3% |
| |||||||
Lear Corp., | ||||||||
3.800%, 9-15-27 | 1,000 | 939 | ||||||
|
| |||||||
Broadcasting – 0.0% |
| |||||||
Discovery Communications LLC, | ||||||||
3.300%, 5-15-22 | 200 | 196 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.6% |
| |||||||
Marriott International, Inc., | ||||||||
4.000%, 4-15-28 | 1,000 | 976 | ||||||
Wyndham Worldwide Corp.: | ||||||||
4.150%, 4-1-24 | 500 | 492 | ||||||
4.500%, 4-1-27 | 500 | 487 | ||||||
|
| |||||||
1,955 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.3% |
| |||||||
Amazon.com, Inc., | ||||||||
2.800%, 8-22-24 | 1,000 | 953 | ||||||
|
| |||||||
Total Consumer Discretionary – 1.2% |
| 4,043 | ||||||
Consumer Staples |
| |||||||
Brewers – 0.1% |
| |||||||
Molson Coors Brewing Co., | ||||||||
3.000%, 7-15-26 | 175 | 159 | ||||||
|
| |||||||
Distillers & Vintners – 0.5% |
| |||||||
Bacardi Ltd., | ||||||||
4.450%, 5-15-25 (B) | 350 | 349 | ||||||
Constellation Brands, Inc., | ||||||||
2.650%, 11-7-22 | 1,525 | 1,462 | ||||||
|
| |||||||
1,811 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Food Distributors – 0.1% |
| |||||||
Sysco Corp., | ||||||||
3.550%, 3-15-25 | $ | 500 | $ | 490 | ||||
|
| |||||||
Household Products – 0.8% |
| |||||||
Clorox Co. (The), | ||||||||
3.100%, 10-1-27 | 525 | 493 | ||||||
Colgate-Palmolive Co., | ||||||||
3.700%, 8-1-47 (C) | 2,500 | 2,334 | ||||||
|
| |||||||
2,827 | ||||||||
|
| |||||||
Tobacco – 0.2% |
| |||||||
BAT International Finance plc, | ||||||||
2.750%, 6-15-20 (B) | 600 | 593 | ||||||
|
| |||||||
Total Consumer Staples – 1.7% |
| 5,880 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 0.4% |
| |||||||
Hess Corp., | ||||||||
4.300%, 4-1-27 | 1,200 | 1,160 | ||||||
|
| |||||||
Oil & Gas Drilling – 0.7% |
| |||||||
Nabors Industries Ltd., Convertible, | ||||||||
0.750%, 1-15-24 | 3,100 | 2,433 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.3% |
| |||||||
Concho Resources, Inc., | ||||||||
4.375%, 1-15-25 | 1,025 | 1,029 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 1.6% |
| |||||||
Colorado Interstate Gas Co., | ||||||||
4.150%, 8-15-26 (B) | 800 | 775 | ||||||
Hornbeck Offshore Services, Inc., Convertible, | ||||||||
1.500%, 9-1-19 | 2,348 | 1,996 | ||||||
Plains All American Pipeline L.P. and PAA Finance Corp., | ||||||||
4.650%, 10-15-25 | 500 | 498 | ||||||
Sunoco Logistics Partners Operations L.P. (GTD by Energy Transfer Partners L.P.), | ||||||||
4.000%, 10-1-27 | 1,000 | 934 | ||||||
Williams Partners L.P.: | ||||||||
3.600%, 3-15-22 | 1,000 | 995 | ||||||
4.850%, 3-1-48 | 250 | 238 | ||||||
|
| |||||||
5,436 | ||||||||
|
| |||||||
Total Energy – 3.0% |
| 10,058 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.2% |
| |||||||
Ares Capital Corp., | ||||||||
4.875%, 11-30-18 | 700 | 705 | ||||||
|
| |||||||
Consumer Finance – 1.2% |
| |||||||
Ford Motor Credit Co. LLC, | ||||||||
3.815%, 11-2-27 (C) | 500 | 463 | ||||||
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.): | ||||||||
3.450%, 4-10-22 | 250 | 245 | ||||||
3.700%, 5-9-23 | 150 | 147 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Finance (Continued) |
| |||||||
3.500%, 11-7-24 | $ | 1,000 | $ | 952 | ||||
4.350%, 4-9-25 | 500 | 493 | ||||||
3.850%, 1-5-28 | 1,000 | 924 | ||||||
Hyundai Capital America: | ||||||||
2.875%, 8-9-18 (B) | 250 | 250 | ||||||
2.550%, 4-3-20 (B) | 500 | 491 | ||||||
|
| |||||||
3,965 | ||||||||
|
| |||||||
Diversified Banks – 2.6% |
| |||||||
Australia and New Zealand Banking Group Ltd., | ||||||||
4.400%, 5-19-26 (B) | 1,050 | 1,029 | ||||||
Bank of America Corp. (3-Month U.S. LIBOR plus 363 bps), | ||||||||
5.989%, 7-29-49 (D) | 576 | 578 | ||||||
Bank of Montreal, | ||||||||
3.803%, 12-15-32 | 1,000 | 926 | ||||||
Barclays plc, | ||||||||
5.200%, 5-12-26 | 700 | 688 | ||||||
DBS Group Holdings Ltd., | ||||||||
2.246%, 7-16-19 (B) | 1,000 | 991 | ||||||
HSBC Holdings plc, | ||||||||
3.400%, 3-8-21 | 625 | 625 | ||||||
ING Bank N.V., | ||||||||
2.500%, 10-1-19 (B) | 500 | 496 | ||||||
Mizuho Bank Ltd., | ||||||||
2.650%, 9-25-19 (B) | 1,300 | 1,293 | ||||||
Societe Generale S.A., | ||||||||
4.250%, 4-14-25 (B) | 500 | 480 | ||||||
Standard Chartered plc, | ||||||||
2.250%, 4-17-20 (B) | 1,400 | 1,370 | ||||||
U.S. Bancorp, | ||||||||
3.100%, 4-27-26 | 400 | 377 | ||||||
|
| |||||||
8,853 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 1.5% |
| |||||||
BGC Partners, Inc., | ||||||||
5.375%, 12-9-19 | 500 | 509 | ||||||
Credit Suisse Group Funding (Guernsey) Ltd., | ||||||||
2.750%, 3-26-20 | 500 | 495 | ||||||
Goldman Sachs Group, Inc. (The): | ||||||||
2.905%, 7-24-23 | 2,000 | 1,926 | ||||||
3.272%, 9-29-25 | 1,000 | 950 | ||||||
5.700%, 12-29-49 | 245 | 248 | ||||||
Morgan Stanley, | ||||||||
3.591%, 7-22-28 | 1,000 | 950 | ||||||
|
| |||||||
5,078 | ||||||||
|
| |||||||
Life & Health Insurance – 0.5% |
| |||||||
Northwestern Mutual Life Insurance Co. (The), | ||||||||
3.850%, 9-30-47 (B) | 1,000 | 915 | ||||||
Sumitomo Life Insurance Co., | ||||||||
4.000%, 9-14-77 (B) | 1,000 | 932 | ||||||
|
| |||||||
1,847 | ||||||||
|
| |||||||
Multi-Line Insurance – 0.1% |
| |||||||
Aon plc (GTD by Aon Corp.), | ||||||||
2.800%, 3-15-21 | 500 | 492 | ||||||
|
|
2018 | SEMIANNUAL REPORT | 23 |
Table of Contents
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2018 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Other Diversified Financial Services – 1.6% |
| |||||||
Citigroup, Inc.: | ||||||||
5.950%, 12-29-49 | $ | 1,400 | $ | 1,416 | ||||
6.250%, 12-29-49 | 750 | 778 | ||||||
JPMorgan Chase & Co.: | ||||||||
5.000%, 12-29-49 | 750 | 754 | ||||||
5.300%, 11-1-65 | 250 | 254 | ||||||
JPMorgan Chase & Co. (3-Month U.S. LIBOR plus 347 bps), | ||||||||
5.829%, 4-29-49 (D) | 1,500 | 1,514 | ||||||
PennantPark Investment Corp., | ||||||||
4.500%, 10-1-19 | 1,000 | 1,004 | ||||||
|
| |||||||
5,720 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.3% |
| |||||||
Berkshire Hathaway Finance Corp. (GTD by Berkshire Hathaway, Inc.), | ||||||||
2.200%, 3-15-21 | 200 | 197 | ||||||
Markel Corp., | ||||||||
3.500%, 11-1-27 | 1,000 | 928 | ||||||
|
| |||||||
1,125 | ||||||||
|
| |||||||
Regional Banks – 0.7% |
| |||||||
Citizens Financial Group, Inc., | ||||||||
3.750%, 7-1-24 | 1,500 | 1,448 | ||||||
PNC Bank N.A., | ||||||||
3.250%, 6-1-25 | 600 | 583 | ||||||
SunTrust Banks, Inc., | ||||||||
5.625%, 12-29-49 (C) | 400 | 411 | ||||||
|
| |||||||
2,442 | ||||||||
|
| |||||||
Specialized Finance – 0.4% |
| |||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp., | ||||||||
5.450%, 6-15-23 (B) | 940 | 983 | ||||||
Syngenta Finance N.V., | ||||||||
5.182%, 4-24-28 (B) | 400 | 386 | ||||||
|
| |||||||
1,369 | ||||||||
|
| |||||||
Total Financials – 9.1% |
| 31,596 | ||||||
Health Care |
| |||||||
Biotechnology – 0.3% |
| |||||||
Amgen, Inc., | ||||||||
2.125%, 5-1-20 | 1,000 | 983 | ||||||
|
| |||||||
Health Care Equipment – 0.1% |
| |||||||
Zimmer Holdings, Inc., | ||||||||
2.700%, 4-1-20 | 350 | 347 | ||||||
|
| |||||||
Health Care Services – 0.2% |
| |||||||
Quest Diagnostics, Inc., | ||||||||
3.450%, 6-1-26 | 780 | 741 | ||||||
|
| |||||||
Health Care Supplies – 0.3% |
| |||||||
Shire Acquisitions Investments Ireland Designated Activity Co., | ||||||||
2.875%, 9-23-23 | 1,000 | 940 | ||||||
|
| |||||||
Pharmaceuticals – 0.9% |
| |||||||
AbbVie, Inc., | ||||||||
3.200%, 5-14-26 | 490 | 457 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Pharmaceuticals (Continued) |
| |||||||
Celgene Corp., | ||||||||
3.450%, 11-15-27 | $ | 500 | $ | 460 | ||||
Forest Laboratories, Inc., | ||||||||
5.000%, 12-15-21 (B) | 1,258 | 1,301 | ||||||
Johnson & Johnson, | ||||||||
3.400%, 1-15-38 | 1,000 | 944 | ||||||
|
| |||||||
3,162 | ||||||||
|
| |||||||
Total Health Care – 1.8% |
| 6,173 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 0.7% |
| |||||||
Huntington Ingalls Industries, Inc., | ||||||||
3.483%, 12-1-27 | 1,000 | 940 | ||||||
Northrop Grumman Corp., | ||||||||
3.250%, 1-15-28 | 1,500 | 1,411 | ||||||
|
| |||||||
2,351 | ||||||||
|
| |||||||
Airlines – 0.3% |
| |||||||
Aviation Capital Group LLC, | ||||||||
3.500%, 11-1-27 (B) | 750 | 686 | ||||||
Southwest Airlines Co., | ||||||||
2.650%, 11-5-20 (C) | 375 | 371 | ||||||
|
| |||||||
1,057 | ||||||||
|
| |||||||
Building Products – 0.1% |
| |||||||
Owens Corning, | ||||||||
4.400%, 1-30-48 | 300 | 250 | ||||||
|
| |||||||
Electrical Components & Equipment – 0.3% |
| |||||||
Hubbell, Inc., | ||||||||
3.500%, 2-15-28 | 1,000 | 957 | ||||||
|
| |||||||
Environmental & Facilities Services – 0.2% |
| |||||||
Waste Management, Inc. (GTD by Waste Management Holdings, Inc.), | ||||||||
3.150%, 11-15-27 (C) | 1,000 | 939 | ||||||
|
| |||||||
Industrial Machinery – 0.2% |
| |||||||
Ingersoll-Rand Global Holding Co. Ltd., | ||||||||
3.750%, 8-21-28 (C) | 500 | 486 | ||||||
|
| |||||||
Railroads – 0.1% |
| |||||||
Kansas City Southern de Mexico S.A. de C.V., | ||||||||
2.350%, 5-15-20 | 291 | 286 | ||||||
|
| |||||||
Total Industrials – 1.9% |
| 6,326 | ||||||
Information Technology |
| |||||||
IT Consulting & Other Services – 0.1% |
| |||||||
Keysight Technologies, Inc., | ||||||||
4.600%, 4-6-27 | 500 | 502 | ||||||
|
| |||||||
Semiconductors – 0.6% |
| |||||||
Microchip Technology, Inc., | ||||||||
4.333%, 6-1-23 (B) | 2,000 | 2,003 | ||||||
|
| |||||||
Total Information Technology – 0.7% |
| 2,505 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Materials |
| |||||||
Diversified Metals & Mining – 0.4% |
| |||||||
Anglo American Capital plc, | ||||||||
3.625%, 9-11-24 (B) | $ | 1,000 | $ | 947 | ||||
Anglo American plc, | ||||||||
4.125%, 4-15-21 (B) | 500 | 504 | ||||||
|
| |||||||
1,451 | ||||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.3% |
| |||||||
Mosaic Co. (The), | ||||||||
4.050%, 11-15-27 | 1,000 | 955 | ||||||
|
| |||||||
Metal & Glass Containers – 0.5% |
| |||||||
BakerCorp International, Inc., | ||||||||
8.250%, 6-1-19 | 1,227 | 1,187 | ||||||
Ball Corp., | ||||||||
4.875%, 3-15-26 | 500 | 498 | ||||||
|
| |||||||
1,685 | ||||||||
|
| |||||||
Paper Packaging – 0.4% |
| |||||||
Packaging Corp. of America, | ||||||||
3.400%, 12-15-27 | 500 | 471 | ||||||
WestRock Co., | ||||||||
3.000%, 9-15-24 (B) | 1,000 | 948 | ||||||
|
| |||||||
1,419 | ||||||||
|
| |||||||
Specialty Chemicals – 0.3% |
| |||||||
Ecolab, Inc., | ||||||||
3.250%, 12-1-27 | 1,000 | 957 | ||||||
|
| |||||||
Total Materials – 1.9% |
| 6,467 | ||||||
Real Estate |
| |||||||
Health Care REITs – 0.2% |
| |||||||
Senior Housing Properties Trust, | ||||||||
4.750%, 2-15-28 | 500 | 483 | ||||||
|
| |||||||
Industrial REITs – 0.1% |
| |||||||
Air Lease Corp., | ||||||||
3.250%, 3-1-25 (C) | 500 | 462 | ||||||
|
| |||||||
Specialized REITs – 1.2% |
| |||||||
American Tower Corp.: | ||||||||
2.250%, 1-15-22 | 1,200 | 1,147 | ||||||
4.700%, 3-15-22 | 195 | 201 | ||||||
3.375%, 10-15-26 | 455 | 421 | ||||||
3.600%, 1-15-28 | 500 | 463 | ||||||
Crown Castle International Corp.: | ||||||||
5.250%, 1-15-23 | 200 | 209 | ||||||
3.200%, 9-1-24 | 500 | 472 | ||||||
3.700%, 6-15-26 | 300 | 283 | ||||||
3.650%, 9-1-27 | 1,000 | 930 | ||||||
|
| |||||||
4,126 | ||||||||
|
| |||||||
Total Real Estate – 1.5% |
| 5,071 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 0.7% |
| |||||||
AT&T, Inc.: | ||||||||
4.900%, 8-15-37 (B) | 1,000 | 948 | ||||||
5.150%, 2-15-50 (B) | 1,000 | 933 |
24 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2018 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Integrated Telecommunication Services (Continued) |
| |||||||
Sprint Spectrum Co. LLC and Sprint Spectrum Co. II LLC, | ||||||||
4.738%, 3-20-25 (B) | $ | 500 | $ | 496 | ||||
|
| |||||||
2,377 | ||||||||
|
| |||||||
Total Telecommunication Services – 0.7% |
| 2,377 | ||||||
Utilities |
| |||||||
Electric Utilities – 0.3% |
| |||||||
Duke Energy Corp., | ||||||||
3.150%, 8-15-27 | 500 | 464 | ||||||
Entergy Texas, Inc., | ||||||||
2.550%, 6-1-21 | 300 | 293 | ||||||
Exelon Corp., | ||||||||
2.450%, 4-15-21 | 400 | 389 | ||||||
|
| |||||||
1,146 | ||||||||
|
| |||||||
Total Utilities – 0.3% |
| 1,146 | ||||||
TOTAL CORPORATE DEBT |
| $ | 81,642 | |||||
(Cost: $84,586) |
| |||||||
OTHER GOVERNMENT SECURITIES (E) | ||||||||
Mexico – 0.3% |
| |||||||
United Mexican States, | ||||||||
3.750%, 1-11-28 | 1,000 | 946 | ||||||
|
| |||||||
Spain – 0.1% |
| |||||||
Telefonica Emisiones S.A.U., | ||||||||
4.665%, 3-6-38 | 500 | 467 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT |
| $ | 1,413 | |||||
(Cost: $1,496) |
| |||||||
LOANS (D) | ||||||||
Industrials |
| |||||||
Industrial Machinery – 0.3% |
| |||||||
Dynacast International LLC (ICE LIBOR plus 850 bps), | ||||||||
10.834%, 1-30-23 (F) | 1,100 | 1,100 | ||||||
|
| |||||||
Total Industrials – 0.3% |
| 1,100 | ||||||
TOTAL LOANS – 0.3% |
| $ | 1,100 | |||||
(Cost: $1,085) |
|
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | Principal | Value | ||||||
Mortgage-Backed Obligations – 1.3% |
| |||||||
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates: | ||||||||
4.500%, 6-1-44 | $ | 695 | $ | 729 | ||||
3.000%, 6-15-45 | 894 | 889 | ||||||
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | ||||||||
4.500%, 7-1-18 | 3 | 3 | ||||||
6.500%, 10-1-28 | 65 | 70 | ||||||
6.500%, 2-1-29 | 36 | 39 | ||||||
3.500%, 6-25-29 | 521 | 527 | ||||||
7.500%, 4-1-31 | 37 | 41 | ||||||
7.000%, 7-1-31 | 45 | 51 | ||||||
7.000%, 9-1-31 | 80 | 88 | ||||||
6.500%, 2-1-32 | 188 | 208 | ||||||
7.000%, 2-1-32 | 119 | 132 | ||||||
7.000%, 3-1-32 | 44 | 50 | ||||||
7.000%, 7-1-32 | 76 | 84 | ||||||
5.500%, 5-1-33 | 41 | 44 | ||||||
5.500%, 6-1-33 | 42 | 46 | ||||||
4.500%, 11-1-43 | 597 | 629 | ||||||
3.000%, 10-25-46 | 874 | 861 | ||||||
U.S. Department of Veterans Affairs, Guaranteed REMIC Pass-Through Certificates, Vendee Mortgage Trust 1997-A, Class 3-A, | ||||||||
8.293%, 12-15-26 | 34 | 38 | ||||||
|
| |||||||
4,529 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 1.3% |
| $ | 4,529 | |||||
(Cost: $4,651) |
| |||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
Treasury Inflation Protected Obligations – 3.3% |
| |||||||
U.S. Treasury Notes: | ||||||||
0.125%, 7-15-26 | 4,181 | 4,005 | ||||||
2.125%, 2-15-40 | 3,709 | 4,661 | ||||||
1.000%, 2-15-46 | 2,538 | 2,613 | ||||||
|
| |||||||
11,279 | ||||||||
|
| |||||||
Treasury Obligations – 1.0% |
| |||||||
U.S. Treasury Bonds: | ||||||||
2.250%, 11-15-25 | 240 | 231 | ||||||
3.750%, 8-15-41 | 650 | 735 |
UNITED STATES GOVERNMENT OBLIGATIONS (Continued) | Principal | Value | ||||||
Treasury Obligations (Continued) |
| |||||||
U.S. Treasury Notes: | ||||||||
2.875%, 4-30-25 | $ | 1,000 | $ | 1,004 | ||||
2.875%, 5-31-25 | 900 | 903 | ||||||
2.750%, 2-15-28 | 650 | 644 | ||||||
|
| |||||||
3,517 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 4.3% |
| $ | 14,796 | |||||
(Cost: $15,083) |
| |||||||
SHORT-TERM SECURITIES | ||||||||
Commercial Paper (G) – 1.4% |
| |||||||
Kroger Co. (The), | ||||||||
2.150%, 7-2-18 | 4,800 | 4,799 | ||||||
|
| |||||||
Master Note – 0.4% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (H) | 1,409 | 1,409 | ||||||
|
| |||||||
Money Market Funds – 0.1% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | ||||||||
1.850%, (I)(J) | 385 | 385 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.9% |
| $ | 6,593 | |||||
(Cost: $6,594) |
| |||||||
TOTAL INVESTMENT SECURITIES – 98.6% |
| $ | 341,004 | |||||
(Cost: $311,336) |
| |||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.4% |
| 5,001 | ||||||
NET ASSETS – 100.0% |
| $ | 346,005 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | 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 June 30, 2018 the total value of these securities amounted to $20,099 or 5.8% of net assets. |
(C) | All or a portion of securities with an aggregate value of $374 are on loan. |
2018 | SEMIANNUAL REPORT | 25 |
Table of Contents
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2018 (UNAUDITED)
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Description of the reference rate and spread, if applicable, are included in the security description. |
(E) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(F) | Securities whose value was determined using significant unobservable inputs. |
(G) | Rate shown is the yield to maturity at June 30, 2018. |
(H) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(I) | Investment made with cash collateral received from securities on loan. |
(J) | Rate shown is the annualized 7-day yield at June 30, 2018. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 219,404 | $ | — | $ | — | ||||||
Preferred Stocks | 7,602 | 2,100 | — | |||||||||
Asset-Backed Securities | — | 1,825 | — | |||||||||
Corporate Debt Securities | — | 81,642 | — | |||||||||
Other Government Securities | — | 1,413 | — | |||||||||
Loans | — | — | 1,100 | |||||||||
United States Government Agency Obligations | — | 4,529 | — | |||||||||
United States Government Obligations | — | 14,796 | — | |||||||||
Short-Term Securities | 385 | 6,208 | — | |||||||||
Total | $ | 227,391 | $ | 112,513 | $ | 1,100 |
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
GTD = Guaranteed
ICE = Intercontinental Exchange
LIBOR = London Interbank Offered Rate
REMIC = Real Estate Mortgage Investment Conduit
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
26 | SEMIANNUAL REPORT | 2018 |
Table of Contents
PORTFOLIO HIGHLIGHTS | CORE EQUITY |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 95.6% | |||
Information Technology | 34.6% | |||
Financials | 13.0% | |||
Consumer Discretionary | 11.8% | |||
Industrials | 11.5% | |||
Health Care | 8.7% | |||
Energy | 6.8% | |||
Consumer Staples | 4.4% | |||
Materials | 4.1% | |||
Utilities | 0.7% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 4.4% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Microsoft Corp. | Information Technology | Systems Software | ||
UnitedHealth Group, Inc. | Health Care | Managed Health Care | ||
Apple, Inc. | Information Technology | Technology Hardware, Storage & Peripherals | ||
Home Depot, Inc. (The) | Consumer Discretionary | Home Improvement Retail | ||
PayPal, Inc. | Information Technology | Data Processing & Outsourced Services | ||
JPMorgan Chase & Co. | Financials | Other Diversified Financial Services | ||
Airbus SE | Industrials | Aerospace & Defense | ||
Amazon.com, Inc. | Consumer Discretionary | Internet & Direct Marketing Retail | ||
Adobe Systems, Inc. | Information Technology | Application Software | ||
CME Group, Inc. | Financials | Financial Exchanges & Data |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2018 | SEMIANNUAL REPORT | 27 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORE EQUITY (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Auto Parts & Equipment – 1.9% |
| |||||||
Magna International, Inc. | 246 | $ | 14,300 | |||||
|
| |||||||
Broadcasting – 1.2% |
| |||||||
Discovery Holding Co., Class A (A) | 333 | 9,152 | ||||||
|
| |||||||
Casinos & Gaming – 1.0% |
| |||||||
Las Vegas Sands, Inc. | 93 | 7,117 | ||||||
|
| |||||||
General Merchandise Stores – 0.7% |
| |||||||
Dollar Tree, Inc. (A) | 64 | 5,465 | ||||||
|
| |||||||
Home Improvement Retail – 2.9% |
| |||||||
Home Depot, Inc. (The) | 109 | 21,206 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 2.6% |
| |||||||
Amazon.com, Inc. (A) | 11 | 18,868 | ||||||
|
| |||||||
Leisure Facilities – 1.5% |
| |||||||
Vail Resorts, Inc. | 39 | 10,666 | ||||||
|
| |||||||
Total Consumer Discretionary – 11.8% |
| 86,774 | ||||||
Consumer Staples |
| |||||||
Hypermarkets & Super Centers – 2.2% |
| |||||||
Costco Wholesale Corp. | 77 | 15,991 | ||||||
|
| |||||||
Soft Drinks – 0.8% |
| |||||||
Monster Beverage Corp. (A) | 110 | 6,275 | ||||||
|
| |||||||
Tobacco – 1.4% |
| |||||||
Philip Morris International, Inc. | 127 | 10,219 | ||||||
|
| |||||||
Total Consumer Staples – 4.4% |
| 32,485 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 2.1% |
| |||||||
Suncor Energy, Inc. | 368 | 14,966 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 4.7% |
| |||||||
ConocoPhillips | 261 | 18,157 | ||||||
EOG Resources, Inc. | 71 | 8,872 | ||||||
Pioneer Natural Resources Co. | 41 | 7,818 | ||||||
|
| |||||||
34,847 | ||||||||
|
| |||||||
Total Energy – 6.8% |
| 49,813 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 1.5% |
| |||||||
Blackstone Group L.P. (The) | 347 | 11,163 | ||||||
|
| |||||||
Diversified Banks – 1.8% |
| |||||||
Bank of America Corp. | 465 | 13,117 | ||||||
|
| |||||||
Financial Exchanges & Data – 2.5% |
| |||||||
CME Group, Inc. | 113 | 18,441 | ||||||
|
| |||||||
Investment Banking & Brokerage – 2.5% |
| |||||||
Morgan Stanley | 385 | 18,263 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Other Diversified Financial Services – 4.7% |
| |||||||
Citigroup, Inc. | 213 | $ | 14,260 | |||||
JPMorgan Chase & Co. | 195 | 20,361 | ||||||
|
| |||||||
34,621 | ||||||||
|
| |||||||
Total Financials – 13.0% |
| 95,605 | ||||||
Health Care |
| |||||||
Health Care Equipment – 1.4% |
| |||||||
Intuitive Surgical, Inc. (A) | 22 | 10,718 | ||||||
|
| |||||||
Managed Health Care – 4.0% |
| |||||||
Cigna Corp. | 21 | 3,535 | ||||||
UnitedHealth Group, Inc. | 106 | 25,883 | ||||||
|
| |||||||
29,418 | ||||||||
|
| |||||||
Pharmaceuticals – 3.3% |
| |||||||
Eli Lilly and Co. | 129 | 11,033 | ||||||
Zoetis, Inc. | 155 | 13,171 | ||||||
|
| |||||||
24,204 | ||||||||
|
| |||||||
Total Health Care – 8.7% |
| 64,340 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 7.9% |
| |||||||
Airbus SE (B) | 169 | 19,775 | ||||||
Lockheed Martin Corp. | 44 | 12,910 | ||||||
Northrop Grumman Corp. | 29 | 8,893 | ||||||
United Technologies Corp. | 136 | 16,942 | ||||||
|
| |||||||
58,520 | ||||||||
|
| |||||||
Railroads – 1.3% |
| |||||||
Norfolk Southern Corp. | 62 | 9,324 | ||||||
|
| |||||||
Trucking – 2.3% |
| |||||||
J.B. Hunt Transport Services, Inc. | 139 | 16,919 | ||||||
|
| |||||||
Total Industrials – 11.5% |
| 84,763 | ||||||
Information Technology |
| |||||||
Application Software – 3.6% |
| |||||||
Adobe Systems, Inc. (A) | 77 | 18,749 | ||||||
Intuit, Inc. | 37 | 7,621 | ||||||
|
| |||||||
26,370 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 7.3% |
| |||||||
MasterCard, Inc., Class A | 78 | 15,316 | ||||||
PayPal, Inc. (A) | 251 | 20,892 | ||||||
Visa, Inc., Class A | 131 | 17,329 | ||||||
|
| |||||||
53,537 | ||||||||
|
| |||||||
Electronic Manufacturing Services – 1.8% |
| |||||||
TE Connectivity Ltd. | 146 | 13,140 | ||||||
|
| |||||||
Home Entertainment Software – 3.8% |
| |||||||
Electronic Arts, Inc. (A) | 104 | 14,680 | ||||||
Take-Two Interactive Software, Inc. (A) | 114 | 13,466 | ||||||
|
| |||||||
28,146 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Internet Software & Services – 2.2% |
| |||||||
Alphabet, Inc., Class A (A) | 15 | $ | 16,486 | |||||
|
| |||||||
Semiconductor Equipment – 2.8% |
| |||||||
Applied Materials, Inc. | 284 | 13,136 | ||||||
ASML Holding N.V., NY Registry Shares | 38 | 7,424 | ||||||
|
| |||||||
20,560 | ||||||||
|
| |||||||
Semiconductors – 4.3% |
| |||||||
Analog Devices, Inc. | 144 | 13,803 | ||||||
Broadcom Corp., Class A | 73 | 17,688 | ||||||
|
| |||||||
31,491 | ||||||||
|
| |||||||
Systems Software – 5.7% |
| |||||||
Microsoft Corp. | 429 | 42,274 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 3.1% |
| |||||||
Apple, Inc. | 123 | 22,843 | ||||||
|
| |||||||
Total Information Technology – 34.6% |
| 254,847 | ||||||
Materials |
| |||||||
Commodity Chemicals – 2.2% |
| |||||||
LyondellBasell Industries N.V., Class A | 144 | 15,797 | ||||||
|
| |||||||
Diversified Chemicals – 1.9% |
| |||||||
Dow Chemical Co. (The) | 217 | 14,324 | ||||||
|
| |||||||
Total Materials – 4.1% |
| 30,121 | ||||||
Utilities |
| |||||||
Electric Utilities – 0.7% |
| |||||||
NextEra Energy, Inc. | 32 | 5,412 | ||||||
|
| |||||||
Total Utilities – 0.7% |
| 5,412 | ||||||
TOTAL COMMON STOCKS – 95.6% |
| $ | 704,160 | |||||
(Cost: $638,626) |
| |||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (C) – 3.2% |
| |||||||
E.I. du Pont de Nemours and Co., | ||||||||
2.202%, 7-2-18 | $ | 1,940 | 1,940 | |||||
Hewlett Packard Enterprise Corp., | ||||||||
2.120%, 7-11-18 | 5,000 | 4,997 | ||||||
International Paper Co., | ||||||||
2.201%, 7-3-18 | 5,000 | 4,999 | ||||||
J.M. Smucker Co. (The), | ||||||||
2.200%, 7-2-18 | 5,792 | 5,791 | ||||||
Northern Illinois Gas Co., | ||||||||
2.101%, 7-2-18 | 2,000 | 1,999 | ||||||
Virginia Electric and Power Co., | ||||||||
2.340%, 7-17-18 | 4,000 | 3,995 | ||||||
|
| |||||||
23,721 | ||||||||
|
|
28 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORE EQUITY (in thousands) |
JUNE 30, 2018 (UNAUDITED)
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Master Note – 0.8% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (D) | $ | 5,532 | $ | 5,532 | ||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 4.0% |
| $ | 29,253 | |||||
(Cost: $29,256) |
| |||||||
TOTAL INVESTMENT SECURITIES – 99.6% |
| $ | 733,413 | |||||
(Cost: $667,882) |
| |||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.4% |
| 2,976 | ||||||
NET ASSETS – 100.0% |
| $ | 736,389 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Listed on an exchange outside the United States. |
(C) | Rate shown is the yield to maturity at June 30, 2018. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following forward foreign currency contracts were outstanding at June 30, 2018:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Euro | 11,456 | U.S. Dollar | 14,001 | 7-5-18 | Citibank N.A. | $ | 620 | $ | — | |||||||||||||||||||
Euro | 4,839 | U.S. Dollar | 5,731 | 7-5-18 | Deutsche Bank AG | 79 | ��� | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 699 | $ | — | |||||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 704,160 | $ | — | $ | — | ||||||
Short-Term Securities | — | 29,253 | — | |||||||||
Total | $ | 704,160 | $ | 29,253 | $ | — | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 699 | $ | — |
During the period ended June 30, 2018, securities totaling $10,873 were transferred from Level 2 to Level 1. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on June 30, 2018. Transfers out of Level 2 represent the values as of the beginning of the reporting period.
The following acronym is used throughout this schedule:
LIBOR = London Interbank Offered Rate
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 29 |
Table of Contents
PORTFOLIO HIGHLIGHTS | CORPORATE BOND(a) |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 0.5% | |||
Bonds | 96.7% | |||
Corporate Debt Securities | 83.9% | |||
United States Government and Government Agency Obligations | 6.0% | |||
Asset-Backed Securities | 3.2% | |||
Municipal Bonds – Taxable | 1.8% | |||
Other Government Securities | 1.6% | |||
Mortgage-Backed Securities | 0.2% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.8% |
Quality Weightings
Investment Grade | 94.9% | |||
AAA | 4.2% | |||
AA | 11.6% | |||
A | 26.5% | |||
BBB | 52.6% | |||
Non-Investment Grade | 1.8% | |||
BB | 1.3% | |||
B | 0.3% | |||
Non-rated | 0.2% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ and Equities | 3.3% |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
(a)Effective April 30, 2018, the name of Bond changed to Corporate Bond.
30 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORPORATE BOND (in thousands) |
JUNE 30, 2018 (UNAUDITED)
PREFERRED STOCKS | Shares | Value | ||||||
Financials |
| |||||||
Investment Banking & Brokerage – 0.5% |
| |||||||
Morgan Stanley, 5.850% | 100 | $ | 2,569 | |||||
|
| |||||||
Total Financials – 0.5% |
| 2,569 | ||||||
TOTAL PREFERRED STOCKS – 0.5% |
| $ | 2,569 | |||||
(Cost: $2,500) | ||||||||
ASSET-BACKED SECURITIES | Principal | |||||||
AerCap Ireland Capital Designated Activity Co. and AerCap Global Aviation Trust, | ||||||||
3.650%, 7-21-27 | $ | 6,000 | 5,460 | |||||
AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust: | ||||||||
3.500%, 5-26-22 | 2,320 | 2,269 | ||||||
3.500%, 1-15-25 | 1,000 | 938 | ||||||
3.875%, 1-23-28 | 750 | 690 | ||||||
Air Canada Enhanced Equipment Trust, Series 2015-2, Class AA, | ||||||||
3.750%, 12-15-27 (A) | 904 | 886 | ||||||
American Airlines Class AA Pass Through Certificates, | ||||||||
3.200%, 6-15-28 | 922 | 874 | ||||||
American Airlines, Inc., Class AA Pass Through Certificates, | ||||||||
3.575%, 1-15-28 | 928 | 901 | ||||||
American Airlines, Inc., Class AA Pass Through Certificates, | ||||||||
3.650%, 2-15-29 | 1,442 | 1,402 | ||||||
Norwegian Air Shuttle 2016-1, Class A, | ||||||||
4.875%, 5-10-28 (A) | 2,392 | 2,278 | ||||||
United Airlines Pass-Through Certificates, Series 2016-AA, | ||||||||
3.100%, 7-7-28 | 974 | 922 | ||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES – 3.2% |
| $ | 16,620 | |||||
(Cost: $17,602) | ||||||||
CORPORATE DEBT SECURITIES | ||||||||
Consumer Discretionary |
| |||||||
Automobile Manufacturers – 0.8% |
| |||||||
BMW U.S. Capital LLC, | ||||||||
2.700%, 4-6-22 (A) | 3,500 | 3,395 | ||||||
General Motors Co., | ||||||||
4.200%, 10-1-27 | 1,000 | 958 | ||||||
|
| |||||||
4,353 | ||||||||
|
| |||||||
Broadcasting – 0.2% |
| |||||||
Discovery Communications LLC, | ||||||||
2.950%, 3-20-23 | 1,000 | 956 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Cable & Satellite – 1.6% |
| |||||||
Charter Communications Operating LLC and Charter Communications Operating Capital Corp.: | ||||||||
5.375%, 4-1-38 | $ | 1,000 | $ | 944 | ||||
5.375%, 5-1-47 | 2,500 | 2,269 | ||||||
Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal): | ||||||||
3.000%, 2-1-24 | 3,000 | 2,868 | ||||||
2.350%, 1-15-27 | 500 | 438 | ||||||
Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal), | ||||||||
3.900%, 3-1-38 | 500 | 455 | ||||||
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc., | ||||||||
3.950%, 1-15-25 | 815 | 797 | ||||||
Time Warner, Inc. (GTD by Historic TW, Inc.), | ||||||||
2.950%, 7-15-26 | 1,000 | 899 | ||||||
|
| |||||||
8,670 | ||||||||
|
| |||||||
Education Services – 0.1% |
| |||||||
President and Fellows of Harvard College, | ||||||||
3.150%, 7-15-46 | 500 | 451 | ||||||
University of Southern California, | ||||||||
3.028%, 10-1-39 | 500 | 453 | ||||||
|
| |||||||
904 | ||||||||
|
| |||||||
Footwear – 0.8% |
| |||||||
NIKE, Inc.: | ||||||||
2.375%, 11-1-26 | 1,000 | 910 | ||||||
3.875%, 11-1-45 | 3,500 | 3,369 | ||||||
|
| |||||||
4,279 | ||||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 1.4% |
| |||||||
Marriott International, Inc., | ||||||||
4.000%, 4-15-28 | 1,000 | 976 | ||||||
Marriott International, Inc., Series R, | ||||||||
3.125%, 6-15-26 (B) | 1,000 | 929 | ||||||
Royal Caribbean Cruises Ltd., | ||||||||
3.700%, 3-15-28 | 3,500 | 3,232 | ||||||
Wyndham Worldwide Corp.: | ||||||||
4.150%, 4-1-24 | 2,000 | 1,968 | ||||||
4.500%, 4-1-27 | 500 | 487 | ||||||
|
| |||||||
7,592 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.1% |
| |||||||
Amazon.com, Inc., | ||||||||
4.800%, 12-5-34 | 370 | 405 | ||||||
|
| |||||||
Movies & Entertainment – 0.2% |
| |||||||
Walt Disney Co. (The), | ||||||||
4.125%, 6-1-44 (B) | 1,000 | 964 | ||||||
|
| |||||||
Publishing – 0.1% |
| |||||||
Thomson Reuters Corp., | ||||||||
3.350%, 5-15-26 | 500 | 462 | ||||||
|
| |||||||
Total Consumer Discretionary – 5.3% |
| 28,585 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Staples |
| |||||||
Brewers – 1.2% |
| |||||||
Anheuser-Busch Inbev Finance, Inc. (GTD by AB INBEV/BBR/COB), | ||||||||
3.650%, 2-1-26 | $ | 665 | $ | 651 | ||||
Heineken N.V., | ||||||||
3.500%, 1-29-28 (A) | 2,000 | 1,924 | ||||||
Molson Coors Brewing Co.: | ||||||||
2.250%, 3-15-20 | 1,000 | 984 | ||||||
3.000%, 7-15-26 | 2,500 | 2,270 | ||||||
4.200%, 7-15-46 | 500 | 449 | ||||||
|
| |||||||
6,278 | ||||||||
|
| |||||||
Distillers & Vintners – 2.3% |
| |||||||
Bacardi Ltd., | ||||||||
4.450%, 5-15-25 (A) | 2,700 | 2,690 | ||||||
Constellation Brands, Inc.: | ||||||||
2.700%, 5-9-22 | 3,000 | 2,901 | ||||||
2.650%, 11-7-22 | 4,000 | 3,835 | ||||||
4.500%, 5-9-47 | 1,000 | 951 | ||||||
Diageo Capital plc (GTD by Diageo plc), | ||||||||
3.875%, 5-18-28 | 1,700 | 1,714 | ||||||
|
| |||||||
12,091 | ||||||||
|
| |||||||
Drug Retail – 0.2% |
| |||||||
CVS Health Corp.: | ||||||||
2.800%, 7-20-20 | 75 | 74 | ||||||
4.100%, 3-25-25 | 1,000 | 995 | ||||||
|
| |||||||
1,069 | ||||||||
|
| |||||||
Food Distributors – 1.1% |
| |||||||
McCormick & Co., Inc., | ||||||||
3.150%, 8-15-24 | 2,705 | 2,584 | ||||||
Sysco Corp.: | ||||||||
3.250%, 7-15-27 | 2,500 | 2,341 | ||||||
4.450%, 3-15-48 | 1,000 | 966 | ||||||
|
| |||||||
5,891 | ||||||||
|
| |||||||
Food Retail – 0.4% |
| |||||||
Kroger Co. (The), | ||||||||
6.800%, 12-15-18 | 2,245 | 2,285 | ||||||
|
| |||||||
Household Products – 1.2% |
| |||||||
Clorox Co. (The), | ||||||||
3.100%, 10-1-27 | 4,000 | 3,761 | ||||||
Colgate-Palmolive Co., | ||||||||
3.700%, 8-1-47 (B) | 1,000 | 933 | ||||||
Procter & Gamble Co. (The), | ||||||||
2.700%, 2-2-26 | 2,000 | 1,899 | ||||||
|
| |||||||
6,593 | ||||||||
|
| |||||||
Hypermarkets & Super Centers – 0.5% |
| |||||||
Walmart, Inc., | ||||||||
3.700%, 6-26-28 | 2,500 | 2,516 | ||||||
|
| |||||||
Packaged Foods & Meats – 2.0% |
| |||||||
Kraft Heinz Foods Co., | ||||||||
4.375%, 6-1-46 | 1,000 | 864 | ||||||
Mead Johnson Nutrition Co., | ||||||||
4.125%, 11-15-25 | 1,000 | 1,018 |
2018 | SEMIANNUAL REPORT | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORPORATE BOND (in thousands) |
JUNE 30, 2018 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Packaged Foods & Meats (Continued) |
| |||||||
Smithfield Foods, Inc.: | ||||||||
2.650%, 10-3-21 (A) | $ | 5,250 | $ | 5,002 | ||||
3.350%, 2-1-22 (A) | 3,000 | 2,896 | ||||||
4.250%, 2-1-27 (A) | 1,000 | 962 | ||||||
|
| |||||||
10,742 | ||||||||
|
| |||||||
Personal Products – 0.7% |
| |||||||
Kimberly-Clark Corp.: | ||||||||
2.750%, 2-15-26 | 1,000 | 940 | ||||||
3.200%, 7-30-46 | 3,500 | 3,011 | ||||||
|
| |||||||
3,951 | ||||||||
|
| |||||||
Soft Drinks – 0.9% |
| |||||||
Coca-Cola Co. (The): | ||||||||
1.550%, 9-1-21 | 1,500 | 1,435 | ||||||
2.875%, 10-27-25 | 500 | 478 | ||||||
2.250%, 9-1-26 | 1,000 | 906 | ||||||
PepsiCo, Inc.: | ||||||||
1.700%, 10-6-21 | 1,000 | 957 | ||||||
2.850%, 2-24-26 | 1,000 | 953 | ||||||
|
| |||||||
4,729 | ||||||||
|
| |||||||
Total Consumer Staples – 10.5% | 56,145 | |||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 0.9% |
| |||||||
Baker Hughes, a GE Co. LLC and Baker Hughes Co-Obligor, Inc.: | ||||||||
2.773%, 12-15-22 | 3,000 | 2,910 | ||||||
3.337%, 12-15-27 | 2,000 | 1,860 | ||||||
|
| |||||||
4,770 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 1.1% |
| |||||||
ConocoPhillips Co. (GTD by ConocoPhillips), | ||||||||
4.150%, 11-15-34 | 218 | 218 | ||||||
EQT Corp.: | ||||||||
8.125%, 6-1-19 | 1,575 | 1,646 | ||||||
3.000%, 10-1-22 | 4,250 | 4,093 | ||||||
|
| |||||||
5,957 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.4% |
| |||||||
Phillips 66 (GTD by Phillips 66 Co.) (3-Month U.S. LIBOR plus 60 bps), | ||||||||
2.919%, 2-26-21 (C) | 2,000 | 2,003 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 5.1% |
| |||||||
Boardwalk Pipelines L.P. (GTD by Boardwalk Pipeline Partners L.P.), | ||||||||
4.450%, 7-15-27 | 2,000 | 1,941 | ||||||
Colonial Pipeline Co., | ||||||||
4.250%, 4-15-48 (A) | 1,000 | 969 | ||||||
Colorado Interstate Gas Co., | ||||||||
4.150%, 8-15-26 (A) | 1,000 | 968 | ||||||
Enbridge, Inc., | ||||||||
2.900%, 7-15-22 | 2,000 | 1,942 | ||||||
Energy Transfer Partners L.P.: | ||||||||
4.200%, 4-15-27 | 2,000 | 1,883 | ||||||
4.950%, 6-15-28 | 1,000 | 997 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Storage & Transportation (Continued) |
| |||||||
Plains All American Pipeline L.P. and PAA Finance Corp.: | ||||||||
3.600%, 11-1-24 | $ | 1,031 | $ | 976 | ||||
4.500%, 12-15-26 | 3,500 | 3,425 | ||||||
Sabal Trail Transmission LLC, | ||||||||
4.246%, 5-1-28 (A) | 2,500 | 2,516 | ||||||
Sabine Pass Liquefaction LLC, | ||||||||
4.200%, 3-15-28 | 1,500 | 1,442 | ||||||
Sunoco Logistics Partners Operations L.P. (GTD by Energy Transfer Partners L.P.), | ||||||||
4.000%, 10-1-27 | 2,000 | 1,868 | ||||||
Sunoco Logistics Partners Operations L.P. (GTD by Sunoco Logistics Partners L.P.), | ||||||||
4.400%, 4-1-21 | 500 | 508 | ||||||
Tennessee Gas Pipeline Co., | ||||||||
7.000%, 3-15-27 | 2,000 | 2,288 | ||||||
TransCanada PipeLines Ltd., | ||||||||
4.250%, 5-15-28 | 2,500 | 2,507 | ||||||
Transcontinental Gas Pipe Line Co. LLC, | ||||||||
4.600%, 3-15-48 (A) | 1,000 | 961 | ||||||
Williams Partners L.P.: | ||||||||
3.750%, 6-15-27 | 500 | 472 | ||||||
4.850%, 3-1-48 | 1,500 | 1,428 | ||||||
|
| |||||||
27,091 | ||||||||
|
| |||||||
Total Energy – 7.5% | 39,821 | |||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.6% |
| |||||||
Ares Capital Corp.: | ||||||||
3.875%, 1-15-20 | 280 | 281 | ||||||
4.250%, 3-1-25 | 2,000 | 1,923 | ||||||
State Street Corp., | ||||||||
2.650%, 5-19-26 | 1,000 | 937 | ||||||
|
| |||||||
3,141 | ||||||||
|
| |||||||
Consumer Finance – 2.6% |
| |||||||
American Express Credit Corp., | ||||||||
2.200%, 3-3-20 | 2,000 | 1,974 | ||||||
Capital One Financial Corp.: | ||||||||
4.200%, 10-29-25 | 1,500 | 1,456 | ||||||
3.750%, 7-28-26 | 1,000 | 929 | ||||||
Discover Financial Services, | ||||||||
3.950%, 11-6-24 | 1,500 | 1,463 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
3.810%, 1-9-24 | 4,000 | 3,881 | ||||||
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.): | ||||||||
3.200%, 7-6-21 | 500 | 493 | ||||||
3.700%, 5-9-23 | 2,500 | 2,455 | ||||||
4.350%, 4-9-25 | 500 | 493 | ||||||
3.850%, 1-5-28 | 1,000 | 924 | ||||||
|
| |||||||
14,068 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Banks – 10.1% |
| |||||||
Australia and New Zealand Banking Group Ltd., | ||||||||
2.125%, 8-19-20 | $ | 1,000 | $ | 976 | ||||
Banco Santander S.A., | ||||||||
3.500%, 4-11-22 | 1,250 | 1,219 | ||||||
Bank of America Corp.: | ||||||||
2.503%, 10-21-22 | 4,000 | 3,828 | ||||||
5.875%, 9-15-66 | 1,000 | 978 | ||||||
Bank of America Corp. (3-Month U.S. LIBOR plus 77 bps), | ||||||||
3.133%, 2-5-26 (C) | 4,000 | 3,928 | ||||||
Bank of Montreal, | ||||||||
2.100%, 12-12-19 | 500 | 494 | ||||||
Bank of New York Mellon Corp. (The), | ||||||||
2.200%, 8-16-23 | 3,000 | 2,815 | ||||||
Barclays plc: | ||||||||
3.684%, 1-10-23 | 4,400 | 4,277 | ||||||
4.836%, 5-9-28 | 500 | 472 | ||||||
BB&T Corp.: | ||||||||
2.050%, 5-10-21 | 1,000 | 966 | ||||||
2.750%, 4-1-22 | 2,000 | 1,953 | ||||||
Commonwealth Bank of Australia, | ||||||||
2.000%, 9-6-21 (A) | 1,500 | 1,432 | ||||||
Fifth Third Bank N.A., | ||||||||
2.250%, 6-14-21 | 500 | 487 | ||||||
HSBC Holdings plc, | ||||||||
4.583%, 6-19-29 | 2,250 | 2,272 | ||||||
Huntington Bancshares, Inc., | ||||||||
2.300%, 1-14-22 | 500 | 480 | ||||||
Lloyds Banking Group plc, | ||||||||
3.000%, 1-11-22 | 2,000 | 1,948 | ||||||
Mitsubishi UFJ Financial Group, Inc., | ||||||||
2.998%, 2-22-22 | 500 | 491 | ||||||
Mizuho Financial Group, Inc., | ||||||||
2.953%, 2-28-22 | 3,000 | 2,927 | ||||||
Santander Holdings USA, Inc., | ||||||||
3.400%, 1-18-23 | 7,500 | 7,239 | ||||||
Swedbank AB, | ||||||||
2.800%, 3-14-22 (A) | 3,000 | 2,936 | ||||||
U.S. Bancorp: | ||||||||
3.100%, 4-27-26 | 2,500 | 2,357 | ||||||
3.150%, 4-27-27 | 1,500 | 1,433 | ||||||
Wells Fargo & Co.: | ||||||||
2.100%, 7-26-21 | 1,000 | 961 | ||||||
3.069%, 1-24-23 | 1,500 | 1,458 | ||||||
3.000%, 10-23-26 | 1,000 | 923 | ||||||
4.750%, 12-7-46 | 500 | 484 | ||||||
Westpac Banking Corp.: | ||||||||
2.150%, 3-6-20 | 2,500 | 2,460 | ||||||
2.000%, 8-19-21 | 1,000 | 958 | ||||||
4.322%, 11-23-31 | 1,000 | 963 | ||||||
|
| |||||||
54,115 | ||||||||
|
| |||||||
Diversified Capital Markets – 0.9% |
| |||||||
Credit Suisse Group AG, | ||||||||
3.574%, 1-9-23 (A) | 2,000 | 1,958 | ||||||
Deutsche Bank AG, | ||||||||
3.950%, 2-27-23 | 1,000 | 960 |
32 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORPORATE BOND (in thousands) |
JUNE 30, 2018 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Capital Markets (Continued) |
| |||||||
Deutsche Bank AG (3-Month U.S. LIBOR plus 123 bps), | ||||||||
3.549%, 2-27-23 (C) | $ | 2,000 | $ | 1,932 | ||||
|
| |||||||
4,850 | ||||||||
|
| |||||||
Insurance Brokers – 0.4% |
| |||||||
Marsh & McLennan Cos., Inc., | ||||||||
2.750%, 1-30-22 | 2,000 | 1,955 | ||||||
|
| |||||||
Investment Banking & Brokerage – 3.9% |
| |||||||
Credit Suisse Group Funding (Guernsey) Ltd., | ||||||||
3.125%, 12-10-20 | 1,500 | 1,488 | ||||||
Daiwa Securities Group, Inc., | ||||||||
3.129%, 4-19-22 (A) | 1,000 | 979 | ||||||
Goldman Sachs Group, Inc. (The): | ||||||||
3.000%, 4-26-22 | 1,000 | 977 | ||||||
2.905%, 7-24-23 | 1,000 | 963 | ||||||
3.272%, 9-29-25 | 2,500 | 2,375 | ||||||
4.250%, 10-21-25 | 500 | 492 | ||||||
3.750%, 2-25-26 | 1,000 | 969 | ||||||
3.500%, 11-16-26 | 2,000 | 1,884 | ||||||
Goldman Sachs Group, Inc. (The) (3-Month U.S. LIBOR plus 175 bps), | ||||||||
4.109%, 10-28-27 (C) | 2,000 | 2,040 | ||||||
Morgan Stanley: | ||||||||
3.875%, 1-27-26 | 1,000 | 984 | ||||||
3.125%, 7-27-26 | 2,000 | 1,860 | ||||||
3.591%, 7-22-28 | 4,500 | 4,275 | ||||||
Morgan Stanley (3-Month U.S. LIBOR plus 140 bps), | ||||||||
3.759%, 10-24-23 (C) | 1,500 | 1,535 | ||||||
|
| |||||||
20,821 | ||||||||
|
| |||||||
Life & Health Insurance – 3.8% |
| |||||||
Athene Holding Ltd., | ||||||||
4.125%, 1-12-28 | 3,000 | 2,765 | ||||||
Brighthouse Financial, Inc., | ||||||||
3.700%, 6-22-27 | 3,750 | 3,337 | ||||||
MetLife Global Funding I, | ||||||||
1.950%, 9-15-21 (A) | 2,000 | 1,915 | ||||||
New York Life Global Funding, | ||||||||
2.900%, 1-17-24 (A) | 5,500 | 5,330 | ||||||
Northwestern Mutual Life Insurance Co. (The), | ||||||||
3.850%, 9-30-47 (A) | 3,000 | 2,745 | ||||||
Principal Life Global Funding II, | ||||||||
3.000%, 4-18-26 (A) | 1,000 | 937 | ||||||
Protective Life Global Funding, | ||||||||
2.262%, 4-8-20 (A) | 2,500 | 2,460 | ||||||
Sumitomo Life Insurance Co., | ||||||||
4.000%, 9-14-77 (A) | 1,000 | 933 | ||||||
|
| |||||||
20,422 | ||||||||
|
| |||||||
Other Diversified Financial Services – 4.4% |
| |||||||
Citigroup, Inc.: | ||||||||
2.700%, 3-30-21 | 3,000 | 2,942 | ||||||
3.500%, 5-15-23 | 2,000 | 1,955 | ||||||
4.450%, 9-29-27 | 3,000 | 2,952 | ||||||
4.125%, 7-25-28 | 3,000 | 2,871 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Other Diversified Financial Services (Continued) |
| |||||||
JPMorgan Chase & Co.: | ||||||||
2.295%, 8-15-21 | $ | 3,000 | $ | 2,898 | ||||
2.700%, 5-18-23 | 3,000 | 2,879 | ||||||
3.625%, 12-1-27 | 1,500 | 1,411 | ||||||
4.950%, 6-1-45 | 1,000 | 1,017 | ||||||
TIAA Asset Management Finance Co. LLC, | ||||||||
4.125%, 11-1-24 (A) | 2,000 | 1,988 | ||||||
USAA Capital Corp., | ||||||||
2.450%, 8-1-20 (A) | 2,360 | 2,329 | ||||||
|
| |||||||
23,242 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.9% |
| |||||||
Berkshire Hathaway Finance Corp. (GTD by Berkshire Hathaway, Inc.) (3-Month ICE LIBOR plus 32 bps), | ||||||||
2.658%, 1-10-20 (C) | 3,500 | 3,512 | ||||||
Berkshire Hathaway, Inc., | ||||||||
3.125%, 3-15-26 | 1,500 | 1,445 | ||||||
|
| |||||||
4,957 | ||||||||
|
| |||||||
Regional Banks – 0.2% |
| |||||||
PNC Bank N.A.: | ||||||||
2.450%, 11-5-20 | 264 | 259 | ||||||
3.300%, 10-30-24 | 1,000 | 982 | ||||||
|
| |||||||
1,241 | ||||||||
|
| |||||||
Specialized Finance – 0.6% |
| |||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp.: | ||||||||
4.420%, 6-15-21 (A) | 500 | 507 | ||||||
5.450%, 6-15-23 (A) | 500 | 523 | ||||||
8.100%, 7-15-36 (A) | 500 | 584 | ||||||
Syngenta Finance N.V., | ||||||||
5.182%, 4-24-28 (A) | 1,400 | 1,351 | ||||||
|
| |||||||
2,965 | ||||||||
|
| |||||||
Total Financials – 28.4% | 151,777 | |||||||
Health Care |
| |||||||
Biotechnology – 0.3% |
| |||||||
Amgen, Inc., | ||||||||
2.200%, 5-11-20 | 1,500 | 1,476 | ||||||
|
| |||||||
Health Care Distributors – 1.0% |
| |||||||
AmerisourceBergen Corp., | ||||||||
3.450%, 12-15-27 | 6,000 | 5,525 | ||||||
|
| |||||||
Health Care Equipment – 0.6% |
| |||||||
Becton Dickinson & Co. (3-Month U.S. LIBOR plus 87.5 bps), | ||||||||
3.209%, 12-29-20 (C) | 3,000 | 3,005 | ||||||
|
| |||||||
Health Care Services – 0.9% |
| |||||||
Cardinal Health, Inc.: | ||||||||
3.079%, 6-15-24 | 2,500 | 2,355 | ||||||
4.368%, 6-15-47 | 1,500 | 1,321 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Health Care Services (Continued) |
| |||||||
Quest Diagnostics, Inc., | ||||||||
3.450%, 6-1-26 | $ | 1,500 | $ | 1,426 | ||||
|
| |||||||
5,102 | ||||||||
|
| |||||||
Health Care Supplies – 0.7% |
| |||||||
Abbott Laboratories, | ||||||||
3.400%, 11-30-23 | 1,000 | 986 | ||||||
Medtronic, Inc. (GTD by Medtronic Global Holdings SCA and Medtronic plc), | ||||||||
4.375%, 3-15-35 | 1,752 | 1,811 | ||||||
Shire Acquisitions Investments Ireland Designated Activity Co., | ||||||||
2.400%, 9-23-21 | 1,000 | 957 | ||||||
|
| |||||||
3,754 | ||||||||
|
| |||||||
Managed Health Care – 0.9% |
| |||||||
Humana, Inc., | ||||||||
2.900%, 12-15-22 | 5,000 | 4,856 | ||||||
|
| |||||||
Pharmaceuticals – 1.0% | ||||||||
AbbVie, Inc.: | ||||||||
4.500%, 5-14-35 | 1,400 | 1,372 | ||||||
4.300%, 5-14-36 | 500 | 478 | ||||||
Bayer U.S. Finance II LLC, | ||||||||
4.375%, 12-15-28 (A) | 2,500 | 2,504 | ||||||
Perrigo Finance Unlimited Co. (GTD by Perrigo Co. plc), | ||||||||
3.500%, 3-15-21 | 1,000 | 997 | ||||||
|
| |||||||
5,351 | ||||||||
|
| |||||||
Total Health Care – 5.4% | 29,069 | |||||||
Industrials |
| |||||||
Aerospace & Defense – 1.9% |
| |||||||
BAE Systems Holdings, Inc.: | ||||||||
3.850%, 12-15-25 (A) | 1,500 | 1,482 | ||||||
4.750%, 10-7-44 (A) | 1,000 | 1,029 | ||||||
Boeing Co. (The), | ||||||||
1.650%, 10-30-20 | 500 | 486 | ||||||
General Dynamics Corp., | ||||||||
1.875%, 8-15-23 | 3,000 | 2,783 | ||||||
Huntington Ingalls Industries, Inc., | ||||||||
3.483%, 12-1-27 | 1,000 | 940 | ||||||
Northrop Grumman Corp., | ||||||||
3.250%, 1-15-28 | 2,250 | 2,117 | ||||||
Rockwell Collins, Inc., | ||||||||
2.800%, 3-15-22 | 1,500 | 1,461 | ||||||
|
| |||||||
10,298 | ||||||||
|
| |||||||
Agricultural & Farm Machinery – 0.2% |
| |||||||
CNH Industrial N.V., | ||||||||
3.850%, 11-15-27 | 1,000 | 932 | ||||||
|
| |||||||
Air Freight & Logistics – 1.2% |
| |||||||
FedEx Corp.: | ||||||||
3.250%, 4-1-26 | 1,000 | 957 | ||||||
3.300%, 3-15-27 | 4,000 | 3,792 | ||||||
4.400%, 1-15-47 | 2,000 | 1,892 | ||||||
|
| |||||||
6,641 | ||||||||
|
|
2018 | SEMIANNUAL REPORT | 33 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORPORATE BOND (in thousands) |
JUNE 30, 2018 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Airlines – 2.3% |
| |||||||
Aviation Capital Group Corp., | ||||||||
2.875%, 1-20-22 (A) | $ | 3,000 | $ | 2,901 | ||||
Aviation Capital Group LLC, | ||||||||
3.500%, 11-1-27 (A) | 3,000 | 2,746 | ||||||
Delta Air Lines, Inc.: | ||||||||
2.600%, 12-4-20 | 5,000 | 4,891 | ||||||
3.400%, 4-19-21 | 750 | 747 | ||||||
Sydney Airport Finance, | ||||||||
3.625%, 4-28-26 (A) | 1,000 | 965 | ||||||
|
| |||||||
12,250 | ||||||||
|
| |||||||
Building Products – 0.4% |
| |||||||
Owens Corning, | ||||||||
4.400%, 1-30-48 | 500 | 417 | ||||||
WESCO Distribution, Inc. (GTD by WESCO International, Inc.), | ||||||||
5.375%, 12-15-21 | 1,875 | 1,910 | ||||||
|
| |||||||
2,327 | ||||||||
|
| |||||||
Electrical Components & Equipment – 0.6% |
| |||||||
Arrow Electronics, Inc., | ||||||||
3.250%, 9-8-24 | 2,500 | 2,336 | ||||||
Hubbell, Inc., | ||||||||
3.500%, 2-15-28 | 1,000 | 957 | ||||||
|
| |||||||
3,293 | ||||||||
|
| |||||||
Environmental & Facilities Services – 0.2% |
| |||||||
Waste Management, Inc. (GTD by Waste Management Holdings, Inc.), | ||||||||
2.400%, 5-15-23 | 1,000 | 951 | ||||||
|
| |||||||
Industrial Conglomerates – 0.4% |
| |||||||
3M Co., | ||||||||
2.875%, 10-15-27 | 2,000 | 1,892 | ||||||
|
| |||||||
Industrial Machinery – 0.5% |
| |||||||
Parker Hannifin Corp., | ||||||||
3.250%, 3-1-27 | 3,000 | 2,893 | ||||||
|
| |||||||
Railroads – 0.2% |
| |||||||
Burlington Northern Santa Fe LLC, | ||||||||
3.400%, 9-1-24 | 1,000 | 990 | ||||||
|
| |||||||
Total Industrials – 7.9% | 42,467 | |||||||
Information Technology |
| |||||||
Communications Equipment – 0.1% |
| |||||||
L-3 Communications Corp., | ||||||||
3.850%, 12-15-26 | 500 | 481 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 0.7% |
| |||||||
Visa, Inc.: | ||||||||
2.800%, 12-14-22 | 3,000 | 2,942 | ||||||
3.150%, 12-14-25 | 1,000 | 967 | ||||||
|
| |||||||
3,909 | ||||||||
|
| |||||||
Electronic Components – 1.1% |
| |||||||
Amphenol Corp., | ||||||||
3.200%, 4-1-24 | 2,500 | 2,411 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Electronic Components (Continued) |
| |||||||
Maxim Integrated Products, Inc., | ||||||||
3.450%, 6-15-27 | $ | 3,500 | $ | 3,308 | ||||
|
| |||||||
5,719 | ||||||||
|
| |||||||
Home Entertainment Software – 0.2% |
| |||||||
Activision Blizzard, Inc., | ||||||||
2.300%, 9-15-21 | 1,000 | 968 | ||||||
|
| |||||||
Internet Software & Services – 0.7% |
| |||||||
Alphabet, Inc., | ||||||||
3.375%, 2-25-24 | 2,950 | 2,970 | ||||||
Tencent Holdings Ltd., | ||||||||
3.595%, 1-19-28 (A) | 1,000 | 946 | ||||||
|
| |||||||
3,916 | ||||||||
|
| |||||||
IT Consulting & Other Services – 0.3% |
| |||||||
Keysight Technologies, Inc., | ||||||||
4.600%, 4-6-27 | 1,500 | 1,506 | ||||||
|
| |||||||
Semiconductors – 1.4% |
| |||||||
Broadcom Corp. and Broadcom Cayman Finance Ltd. (GTD by Broadcom Ltd.), | ||||||||
3.125%, 1-15-25 | 5,000 | 4,637 | ||||||
Intel Corp.: | ||||||||
3.100%, 7-29-22 | 1,000 | 1,000 | ||||||
2.875%, 5-11-24 | 2,000 | 1,936 | ||||||
|
| |||||||
7,573 | ||||||||
|
| |||||||
Systems Software – 1.2% |
| |||||||
CA, Inc., | ||||||||
5.375%, 12-1-19 | 1,080 | 1,109 | ||||||
Microsoft Corp.: | ||||||||
2.650%, 11-3-22 | 2,000 | 1,966 | ||||||
2.000%, 8-8-23 | 500 | 472 | ||||||
2.875%, 2-6-24 | 3,000 | 2,936 | ||||||
|
| |||||||
6,483 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.7% |
| |||||||
Apple, Inc., | ||||||||
2.400%, 5-3-23 | 4,000 | 3,852 | ||||||
|
| |||||||
Total Information Technology – 6.4% |
| 34,407 | ||||||
Materials |
| |||||||
Construction Materials – 0.8% |
| |||||||
Martin Marietta Materials, Inc., | ||||||||
3.500%, 12-15-27 | 4,500 | 4,174 | ||||||
|
| |||||||
Diversified Metals & Mining – 0.5% |
| |||||||
Anglo American Capital plc: | ||||||||
3.750%, 4-10-22 (A) | 1,000 | 993 | ||||||
3.625%, 9-11-24 (A) | 1,000 | 946 | ||||||
4.500%, 3-15-28 (A) | 750 | 724 | ||||||
|
| |||||||
2,663 | ||||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.4% |
| |||||||
Mosaic Co. (The), | ||||||||
3.250%, 11-15-22 | 2,500 | 2,428 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Metal & Glass Containers – 0.1% |
| |||||||
Ball Corp., | ||||||||
4.875%, 3-15-26 | $ | 500 | $ | 498 | ||||
|
| |||||||
Paper Packaging – 1.1% |
| |||||||
Packaging Corp. of America, | ||||||||
3.400%, 12-15-27 | 1,000 | 943 | ||||||
WestRock Co.: | ||||||||
3.000%, 9-15-24 (A) | 4,000 | 3,790 | ||||||
3.750%, 3-15-25 (A) | 1,000 | 981 | ||||||
|
| |||||||
5,714 | ||||||||
|
| |||||||
Specialty Chemicals – 0.3% |
| |||||||
Methanex Corp., | ||||||||
5.250%, 3-1-22 | 1,404 | 1,446 | ||||||
|
| |||||||
Total Materials – 3.2% | 16,923 | |||||||
Real Estate |
| |||||||
Health Care REITs – 0.5% |
| |||||||
Health Care REIT, Inc., | ||||||||
4.000%, 6-1-25 | 1,300 | 1,274 | ||||||
Senior Housing Properties Trust, | ||||||||
4.750%, 2-15-28 | 1,500 | 1,449 | ||||||
|
| |||||||
2,723 | ||||||||
|
| |||||||
Hotel & Resort REITs – 0.6% |
| |||||||
Hospitality Properties Trust, | ||||||||
3.950%, 1-15-28 | 3,700 | 3,379 | ||||||
|
| |||||||
Industrial REITs – 0.7% |
| |||||||
Air Lease Corp., | ||||||||
3.250%, 3-1-25 | 3,000 | 2,776 | ||||||
Aircastle Ltd., | ||||||||
5.500%, 2-15-22 | 598 | 613 | ||||||
|
| |||||||
3,389 | ||||||||
|
| |||||||
Specialized REITs – 2.1% |
| |||||||
American Tower Corp.: | ||||||||
3.000%, 6-15-23 | 2,500 | 2,396 | ||||||
4.400%, 2-15-26 | 1,000 | 993 | ||||||
3.125%, 1-15-27 | 2,500 | 2,234 | ||||||
American Tower Trust I, | ||||||||
3.652%, 3-23-28 (A) | 1,000 | 985 | ||||||
Crown Castle International Corp.: | ||||||||
2.250%, 9-1-21 | 500 | 479 | ||||||
5.250%, 1-15-23 | 1,027 | 1,076 | ||||||
3.200%, 9-1-24 | 1,250 | 1,179 | ||||||
4.000%, 3-1-27 | 2,000 | 1,925 | ||||||
|
| |||||||
11,267 | ||||||||
|
| |||||||
Total Real Estate – 3.9% | 20,758 | |||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 1.0% |
| |||||||
AT&T, Inc.: | ||||||||
4.250%, 3-1-27 | 1,500 | 1,468 | ||||||
4.900%, 8-15-37 (A) | 250 | 237 | ||||||
5.650%, 2-15-47 | 1,000 | 1,006 | ||||||
Sprint Spectrum Co. LLC and Sprint Spectrum Co. II LLC, | ||||||||
4.738%, 3-20-25 (A) | 500 | 496 |
34 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORPORATE BOND (in thousands) |
JUNE 30, 2018 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Integrated Telecommunication Services (Continued) |
| |||||||
Verizon Communications, Inc.: | ||||||||
2.625%, 8-15-26 | $ | 500 | $ | 444 | ||||
4.500%, 8-10-33 | 1,000 | 969 | ||||||
4.812%, 3-15-39 | 559 | 540 | ||||||
|
| |||||||
5,160 | ||||||||
|
| |||||||
Wireless Telecommunication Service – 0.7% |
| |||||||
Crown Castle Towers LLC, | ||||||||
3.663%, 5-15-25 (A) | 1,000 | 980 | ||||||
Sprint Spectrum L.P., | ||||||||
3.360%, 9-20-21 (A) | 813 | 803 | ||||||
Vodafone Group plc, | ||||||||
4.125%, 5-30-25 | 2,000 | 1,990 | ||||||
|
| |||||||
3,773 | ||||||||
|
| |||||||
Total Telecommunication Services – 1.7% |
| 8,933 | ||||||
Utilities |
| |||||||
Electric Utilities – 2.1% |
| |||||||
Commonwealth Edison Co., | ||||||||
3.650%, 6-15-46 | 500 | 461 | ||||||
Duke Energy Carolinas LLC, | ||||||||
3.750%, 6-1-45 | 2,000 | 1,876 | ||||||
Duke Energy Indiana LLC, | ||||||||
3.750%, 5-15-46 | 1,000 | 944 | ||||||
Edison International: | ||||||||
2.125%, 4-15-20 (B) | 1,000 | 980 | ||||||
2.950%, 3-15-23 | 2,000 | 1,921 | ||||||
4.125%, 3-15-28 | 1,000 | 984 | ||||||
Entergy Arkansas, Inc., | ||||||||
4.000%, 6-1-28 | 1,350 | 1,365 | ||||||
Kansas City Power & Light Co., | ||||||||
4.200%, 3-15-48 | 1,000 | 982 | ||||||
MidAmerican Energy Co., | ||||||||
3.950%, 8-1-47 | 1,000 | 974 | ||||||
Sierra Pacific Power Co., | ||||||||
2.600%, 5-1-26 (B) | 1,000 | 923 | ||||||
|
| |||||||
11,410 | ||||||||
|
| |||||||
Multi-Utilities – 1.2% |
| |||||||
Berkshire Hathaway Energy Co., | ||||||||
2.800%, 1-15-23 | 1,500 | 1,463 | ||||||
Dominion Resources, Inc., | ||||||||
2.750%, 1-15-22 | 3,000 | 2,909 | ||||||
Pacific Gas and Electric Co.: | ||||||||
3.300%, 12-1-27 | 1,000 | 898 | ||||||
3.950%, 12-1-47 | 1,500 | 1,282 | ||||||
|
| |||||||
6,552 | ||||||||
|
| |||||||
Water Utilities – 0.4% |
| |||||||
California Water Service Co., | ||||||||
5.875%, 5-1-19 | 2,000 | 2,047 | ||||||
|
| |||||||
Total Utilities – 3.7% | 20,009 | |||||||
TOTAL CORPORATE DEBT |
| $ | 448,894 | |||||
(Cost: $464,816) |
MORTGAGE-BACKED SECURITIES | Principal | Value | ||||||
Non-Agency REMIC/CMO – 0.2% |
| |||||||
MASTR Adjustable Rate Mortgage Trust 2005-1 (Mortgage spread to 10-year U.S. Treasury index), | ||||||||
3.635%, 3-25-35 (C) | $ | 1,130 | $ | 837 | ||||
Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004-1 (Mortgage spread to 3-year U.S. Treasury index), | ||||||||
3.779%, 2-25-34 (C) | 16 | — | * | |||||
|
| |||||||
837 | ||||||||
|
| |||||||
TOTAL MORTGAGE-BACKED |
| $ | 837 | |||||
(Cost: $1,140) | ||||||||
MUNICIPAL BONDS – TAXABLE | ||||||||
Massachusetts – 0.5% |
| |||||||
Cmnwlth of MA, Fed Hwy Grant Anticipation Notes (Accelerated Bridge Prog), Ser 2010A, | ||||||||
4.285%, 12-15-18 | 2,500 | 2,524 | ||||||
|
| |||||||
New York – 0.8% |
| |||||||
NYC Indl Dev Agy, Rental Rev Bonds (Yankee Stadium Proj), Ser 2009, | ||||||||
11.000%, 3-1-29 (A) | 3,205 | 4,255 | ||||||
|
| |||||||
Ohio – 0.4% |
| |||||||
OH State Univ, Gen Receipts Bonds (Multiyear Debt Issuance Prog), Ser 2016A, | ||||||||
3.798%, 12-1-46 | 2,000 | 1,986 | ||||||
|
| |||||||
Pennsylvania – 0.1% |
| |||||||
Cmnwlth of PA, GO Bonds, Third Ser B of 2010 (Federally Taxable – Build America Bonds), | ||||||||
4.750%, 7-15-22 | 750 | 775 | ||||||
|
| |||||||
TOTAL MUNICIPAL BONDS – TAXABLE – 1.8% |
| $ | 9,540 | |||||
(Cost: $8,492) | ||||||||
OTHER GOVERNMENT SECURITIES (D) | ||||||||
Canada – 0.6% |
| |||||||
Province de Quebec, | ||||||||
7.140%, 2-27-26 | 2,500 | 3,032 | ||||||
|
| |||||||
Mexico – 0.2% |
| |||||||
United Mexican States, | ||||||||
3.750%, 1-11-28 | 1,000 | 945 | ||||||
|
| |||||||
Spain – 0.8% |
| |||||||
Telefonica Emisiones S.A.U.: | ||||||||
4.103%, 3-8-27 | 3,000 | 2,900 | ||||||
4.665%, 3-6-38 | 1,500 | 1,402 | ||||||
|
| |||||||
4,302 | ||||||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 1.6% |
| $ | 8,279 | |||||
(Cost: $8,233) |
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | Principal | Value | ||||||
Agency Obligations – 0.2% |
| |||||||
Tennessee Valley Authority, | ||||||||
2.875%, 2-1-27 | $ | 1,000 | $ | 975 | ||||
|
| |||||||
Mortgage-Backed Obligations – 1.5% |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index): | ||||||||
4.489%, 12-25-44 (A)(C) | 5,000 | 5,143 | ||||||
4.400%, 1-25-45 (A)(C) | 3,000 | 3,078 | ||||||
Government National Mortgage Association Agency REMIC/CMO, | ||||||||
0.013%, 6-17-45 (E) | 17 | — | * | |||||
|
| |||||||
8,221 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 1.7% |
| $ | 9,196 | |||||
(Cost: $9,369) | ||||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
Treasury Obligations – 4.3% |
| |||||||
U.S. Treasury Bonds, | ||||||||
2.750%, 11-15-47 | 1,000 | 953 | ||||||
U.S. Treasury Notes: | ||||||||
2.625%, 5-15-21 | 3,000 | 3,000 | ||||||
2.000%, 10-31-22 | 5,000 | 4,854 | ||||||
2.000%, 11-30-22 | 3,000 | 2,911 | ||||||
2.875%, 4-30-25 | 5,500 | 5,521 | ||||||
2.875%, 5-15-28 | 6,000 | 6,009 | ||||||
|
| |||||||
23,248 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 4.3% |
| $ | 23,248 | |||||
(Cost: $23,316) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Commercial Paper (F) – 0.9% |
| |||||||
Sonoco Products Co., | ||||||||
2.180%, 7-2-18 | 4,619 | 4,618 | ||||||
|
| |||||||
Master Note – 1.0% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (G) | 5,580 | 5,580 | ||||||
|
| |||||||
Money Market Funds – 0.1% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | ||||||||
1.850%, (H)(I) | 329 | 329 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.0% |
| $ | 10,527 | |||||
(Cost: $10,528) |
2018 | SEMIANNUAL REPORT | 35 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORPORATE BOND (in thousands) |
JUNE 30, 2018 (UNAUDITED)
Value | ||||||||
TOTAL INVESTMENT SECURITIES – 99.2% |
| $ | 529,710 | |||||
(Cost: $545,996) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.8% |
| 4,058 | ||||||
NET ASSETS – 100.0% |
| $ | 533,768 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(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 June 30, 2018 the total value of these securities amounted to $90,338 or 16.9% of net assets. |
(B) | All or a portion of securities with an aggregate value of $321 are on loan. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Description of the reference rate and spread, if applicable, are included in the security description. |
(D) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(E) | Interest-only security. Amount shown as principal represents notional amount for computation of interest. |
(F) | Rate shown is the yield to maturity at June 30, 2018. |
(G) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(H) | Investment made with cash collateral received from securities on loan. |
(I) | Rate shown is the annualized 7-day yield at June 30, 2018. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Preferred Stocks | $ | 2,569 | $ | — | $ | — | ||||||
Asset-Backed Securities | — | 16,620 | — | |||||||||
Corporate Debt Securities | — | 448,894 | — | |||||||||
Mortgage-Backed Securities | — | 837 | — | |||||||||
Municipal Bonds | — | 9,540 | — | |||||||||
Other Government Securities | — | 8,279 | — | |||||||||
United States Government Agency Obligations | — | 9,196 | — | |||||||||
United States Government Obligations | — | 23,248 | — | |||||||||
Short-Term Securities | 329 | 10,198 | — | |||||||||
Total | $ | 2,898 | $ | 526,812 | $ | — |
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
CMO = Collateralized Mortgage Obligation
GTD = Guaranteed
ICE = Intercontinental Exchange
LIBOR = London Interbank Offered Rate
REITS = Real Estate Investment Trusts
REMIC = Real Estate Mortgage Investment Conduit
See Accompanying Notes to Financial Statements.
36 | SEMIANNUAL REPORT | 2018 |
Table of Contents
PORTFOLIO HIGHLIGHTS | ENERGY |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 98.3% | |||
Energy | 94.7% | |||
Information Technology | 2.4% | |||
Industrials | 1.2% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.7% |
Country Weightings
North America | 92.1% | |||
United States | 90.0% | |||
Other North America | 2.1% | |||
Europe | 6.2% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.7% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Continental Resources, Inc. | United States | Energy | Oil & Gas Exploration & Production | |||
EOG Resources, Inc. | United States | Energy | Oil & Gas Exploration & Production | |||
Halliburton Co. | United States | Energy | Oil & Gas Equipment & Services | |||
Parsley Energy, Inc., Class A | United States | Energy | Oil & Gas Exploration & Production | |||
Pioneer Natural Resources Co. | United States | Energy | Oil & Gas Exploration & Production | |||
Whiting Petroleum Corp. | United States | Energy | Oil & Gas Exploration & Production | |||
Schlumberger Ltd. | United States | Energy | Oil & Gas Equipment & Services | |||
Diamondback Energy, Inc. | United States | Energy | Oil & Gas Exploration & Production | |||
WPX Energy, Inc. | United States | Energy | Oil & Gas Exploration & Production | |||
Oasis Petroleum LLC | United States | Energy | Oil & Gas Exploration & Production |
See your advisor or www.waddell.com for more information on the Portfolio’s most recent published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2018 | SEMIANNUAL REPORT | 37 |
Table of Contents
SCHEDULE OF INVESTMENTS | ENERGY (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 3.5% |
| |||||||
Chevron Corp. | 20 | $ | 2,472 | |||||
Suncor Energy, Inc. | 90 | 3,667 | ||||||
|
| |||||||
6,139 | ||||||||
|
| |||||||
Oil & Gas Drilling – 5.7% |
| |||||||
Ensco plc | 275 | 1,998 | ||||||
Patterson-UTI Energy, Inc. | 246 | 4,434 | ||||||
Transocean, Inc. (A) | 269 | 3,610 | ||||||
|
| |||||||
10,042 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services – 27.7% |
| |||||||
C&J Energy Services, Inc. (A) | 125 | 2,951 | ||||||
Cactus, Inc., Class A (A) | 100 | 3,378 | ||||||
Core Laboratories N.V. (B) | 33 | 4,102 | ||||||
Dril-Quip, Inc. (A) | 40 | 2,048 | ||||||
FMC Technologies, Inc. | 40 | 1,281 | ||||||
Forum Energy Technologies, Inc. (A) | 280 | 3,454 | ||||||
FTS International, Inc. (A) | 68 | 967 | ||||||
Halliburton Co. | 153 | 6,908 | ||||||
Helix Energy Solutions Group, Inc. (A) | 229 | 1,910 | ||||||
Hi-Crush Partners L.P. | 200 | 2,360 | ||||||
Liberty Oilfield Services, Inc., Class A (A)(B) | 61 | 1,133 | ||||||
ProPetro Holding Corp. (A) | 105 | 1,653 | ||||||
RPC, Inc. | 120 | 1,742 | ||||||
Schlumberger Ltd. | 96 | 6,421 | ||||||
Solaris Oilfield Infrastructure, Inc., Class A (A) | 117 | 1,678 | ||||||
Superior Energy Services, Inc. (A) | 380 | 3,698 | ||||||
U.S. Silica Holdings, Inc. | 116 | 2,972 | ||||||
|
| |||||||
48,656 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Oil & Gas Exploration & Production – 46.7% |
| |||||||
Anadarko Petroleum Corp. | 73 | $ | 5,344 | |||||
Centennial Resource Development, Inc., Class A (A) | 133 | 2,402 | ||||||
Concho Resources, Inc. (A) | 38 | 5,285 | ||||||
Continental Resources, Inc. (A) | 136 | 8,807 | ||||||
Devon Energy Corp. | 92 | 4,053 | ||||||
Diamondback Energy, Inc. | 49 | 6,414 | ||||||
EOG Resources, Inc. | 57 | 7,055 | ||||||
Marathon Oil Corp. | 246 | 5,130 | ||||||
Oasis Petroleum LLC (A) | 442 | 5,732 | ||||||
Parsley Energy, Inc., Class A (A) | 224 | 6,780 | ||||||
Pioneer Natural Resources Co. | 36 | 6,756 | ||||||
RSP Permian, Inc. (A) | 124 | 5,476 | ||||||
Whiting Petroleum Corp. (A) | 122 | 6,422 | ||||||
WPX Energy, Inc. (A) | 355 | 6,394 | ||||||
|
| |||||||
82,050 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 8.1% |
| |||||||
Marathon Petroleum Corp. | 55 | 3,890 | ||||||
PBF Energy, Inc., Class A | 54 | 2,275 | ||||||
Phillips 66 | 35 | 3,980 | ||||||
Valero Energy Corp. | 36 | 4,012 | ||||||
|
| |||||||
14,157 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 3.0% |
| |||||||
Energy Transfer Partners L.P. | 95 | 1,818 | ||||||
Enterprise Products Partners L.P. | 96 | 2,656 | ||||||
MPLX L.P. | 25 | 856 | ||||||
|
| |||||||
5,330 | ||||||||
|
| |||||||
Total Energy – 94.7% | 166,374 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrials |
| |||||||
Industrial Machinery – 1.2% |
| |||||||
Dover Corp. (A) | 50 | $ | 2,084 | |||||
|
| |||||||
Total Industrials – 1.2% | 2,084 | |||||||
Information Technology |
| |||||||
Data Processing & Outsourced Services – 2.4% |
| |||||||
Wright Express Corp. (A) | 22 | 4,238 | ||||||
|
| |||||||
Total Information Technology – 2.4% |
| 4,238 | ||||||
TOTAL COMMON STOCKS – 98.3% |
| $ | 172,696 | |||||
(Cost: $155,770) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (C) – 0.8% |
| |||||||
J.M. Smucker Co. (The), | ||||||||
2.200%, 7-2-18 | $ | 1,330 | 1,330 | |||||
|
| |||||||
Money Market Funds – 2.3% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | ||||||||
1.850%, (D)(E) | 4,016 | 4,016 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 3.1% |
| $ | 5,346 | |||||
(Cost: $5,346) | ||||||||
TOTAL INVESTMENT SECURITIES – 101.4% |
| $ | 178,042 | |||||
(Cost: $161,116) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.4)% |
| (2,437 | ) | |||||
NET ASSETS – 100.0% | $ | 175,605 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | All or a portion of securities with an aggregate value of $3,930 are on loan. |
(C) | Rate shown is the yield to maturity at June 30, 2018. |
(D) | Investment made with cash collateral received from securities on loan. |
(E) | Rate shown is the annualized 7-day yield at June 30, 2018. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 172,696 | $ | — | $ | — | ||||||
Short-Term Securities | 4,016 | 1,330 | — | |||||||||
Total | $ | 176,712 | $ | 1,330 | $ | — |
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
38 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | ENERGY (in thousands) |
JUNE 30, 2018 (UNAUDITED)
Country Diversification
(as a % of net assets) |
| |||
United States | 90.0% | |||
Netherlands | 2.3% | |||
Canada | 2.1% | |||
Switzerland | 2.1% | |||
United Kingdom | 1.8% | |||
Other+ | 1.7% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 39 |
Table of Contents
PORTFOLIO HIGHLIGHTS | GLOBAL BOND |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 0.9% | |||
Bonds | 96.9% | |||
Corporate Debt Securities | 60.0% | |||
United States Government and Government Agency Obligations | 23.4% | |||
Other Government Securities | 13.5% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.2% |
Quality Weightings
Investment Grade | 69.1% | |||
AAA | 23.4% | |||
AA | 2.1% | |||
A | 13.1% | |||
BBB | 30.5% | |||
Non-Investment Grade | 27.8% | |||
BB | 19.5% | |||
B | 6.9% | |||
CCC | 0.9% | |||
Non-rated | 0.5% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ and Equities | 3.1% |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
Country Weightings
North America | 48.1% | |||
United States | 40.3% | |||
Mexico | 6.2% | |||
Other North America | 1.6% | |||
Europe | 18.5% | |||
United Kingdom | 5.9% | |||
Other Europe | 12.6% | |||
South America | 11.1% | |||
Brazil | 3.9% | |||
Other South America | 7.2% | |||
Pacific Basin | 10.3% | |||
Other | 4.7% | |||
Bahamas/Caribbean | 4.0% | |||
Middle East | 1.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.2% |
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
40 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Panama |
| |||||||
Financials – 0.9% |
| |||||||
Banco Latinoamericano de Comercio Exterior S.A. | 8 | $ | 188 | |||||
|
| |||||||
Total Panama – 0.9% | $ | 188 | ||||||
TOTAL COMMON STOCKS – 0.9% |
| $ | 188 | |||||
(Cost: $194) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Argentina |
| |||||||
Energy – 0.5% |
| |||||||
Pan American Energy LLC | ||||||||
7.875%, 5-7-21 | $ | 100 | 103 | |||||
|
| |||||||
Total Argentina – 0.5% | $ | 103 | ||||||
Australia |
| |||||||
Utilities – 0.9% |
| |||||||
Ausgrid Finance Pty Ltd. | ||||||||
3.850%, 5-1-23 (A) | 200 | 200 | ||||||
|
| |||||||
Total Australia – 0.9% | $ | 200 | ||||||
Austria |
| |||||||
Consumer Staples – 0.9% |
| |||||||
ESAL GmbH (GTD by JBS S.A. and JBS Hungary Holdings Kft.) | ||||||||
6.250%, 2-5-23 (A) | 200 | 186 | ||||||
|
| |||||||
Total Austria – 0.9% | $ | 186 | ||||||
Bermuda |
| |||||||
Consumer Staples – 0.5% |
| |||||||
Bacardi Ltd. | ||||||||
4.450%, 5-15-25 (A) | 100 | 99 | ||||||
|
| |||||||
Total Bermuda – 0.5% | $ | 99 | ||||||
Brazil |
| |||||||
Consumer Staples – 0.8% |
| |||||||
Cosan Ltd. | ||||||||
5.950%, 9-20-24 (A) | 200 | 187 | ||||||
|
| |||||||
Energy – 0.0% |
| |||||||
Lancer Finance Co. (SPV) Ltd. | ||||||||
5.850%, 12-12-16 (A)(B) | 15 | — | * | |||||
|
| |||||||
Financials – 0.0% |
| |||||||
Banco Cruzeiro do Sul S.A. | ||||||||
7.000%, 7-8-13 (B) | 96 | 1 | ||||||
|
| |||||||
Materials – 0.8% |
| |||||||
Fibria Overseas Finance Ltd. | ||||||||
4.000%, 1-14-25 | 150 | 138 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Materials (Continued) |
| |||||||
Vale Overseas Ltd. | ||||||||
6.250%, 8-10-26 | $ | 50 | $ | 54 | ||||
|
| |||||||
192 | ||||||||
|
| |||||||
Total Brazil – 1.6% | $ | 380 | ||||||
British Virgin Islands |
| |||||||
Energy – 0.1% |
| |||||||
QGOG Atlantic/Alaskan Rigs Ltd. | ||||||||
5.250%, 7-30-18 (A) | 33 | 31 | ||||||
|
| |||||||
Total British Virgin Islands – 0.1% | $ | 31 | ||||||
Canada |
| |||||||
Financials – 0.7% |
| |||||||
Bank of Montreal | ||||||||
1.800%, 7-31-18 | 100 | 100 | ||||||
Royal Bank of Canada | ||||||||
4.650%, 1-27-26 | 50 | 51 | ||||||
|
| |||||||
151 | ||||||||
|
| |||||||
Total Canada – 0.7% | $ | 151 | ||||||
Cayman Islands |
| |||||||
Industrials – 0.6% |
| |||||||
Guanay Finance Ltd. | ||||||||
6.000%, 12-15-20 (A) | 135 | 135 | ||||||
|
| |||||||
Materials – 1.9% |
| |||||||
Braskem Finance Ltd. (GTD by Braskem S.A.) | ||||||||
5.750%, 4-15-21 (A) | 200 | 207 | ||||||
Inversiones CMPC S.A. (GTD by Empresas CMPC S.A.) | ||||||||
4.375%, 5-15-23 (A) | 200 | 199 | ||||||
|
| |||||||
406 | ||||||||
|
| |||||||
Telecommunication Services – 0.9% |
| |||||||
Sable International Finance Ltd. | ||||||||
6.875%, 8-1-22 (A) | 200 | 206 | ||||||
|
| |||||||
Total Cayman Islands – 3.4% | $ | 747 | ||||||
Chile |
| |||||||
Financials – 0.7% |
| |||||||
Banco Santander Chile | ||||||||
2.500%, 12-15-20 (A) | 150 | 146 | ||||||
|
| |||||||
Industrials – 0.9% |
| |||||||
LATAM Airlines Group S.A. | ||||||||
7.250%, 6-9-20 (A) | 200 | 204 | ||||||
|
| |||||||
Utilities – 0.4% |
| |||||||
Enel Chile S.A. | ||||||||
4.875%, 6-12-28 | 80 | 81 | ||||||
|
| |||||||
Total Chile – 2.0% | $ | 431 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
China |
| |||||||
Information Technology – 0.9% |
| |||||||
Tencent Holdings Ltd. | ||||||||
2.985%, 1-19-23 (A) | $ | 200 | $ | 194 | ||||
|
| |||||||
Total China – 0.9% | $ | 194 | ||||||
Columbia |
| |||||||
Financials – 0.9% |
| |||||||
Banco de Bogota S.A. | ||||||||
5.375%, 2-19-23 (A) | 200 | 204 | ||||||
|
| |||||||
Utilities – 1.0% |
| |||||||
Emgesa S.A. E.S.P. | ||||||||
8.750%, 1-25-21 (C) | COP302,000 | 108 | ||||||
Empresas Publicas de Medellin E.S.P. | ||||||||
8.375%, 2-1-21 (C) | 274,000 | 95 | ||||||
|
| |||||||
203 | ||||||||
|
| |||||||
Total Columbia – 1.9% | $ | 407 | ||||||
France |
| |||||||
Financials – 1.0% |
| |||||||
BNP Paribas S.A. | ||||||||
7.625%, 12-29-49 (A)(D) | $ | 200 | 209 | |||||
|
| |||||||
Total France – 1.0% | $ | 209 | ||||||
India |
| |||||||
Industrials – 0.9% |
| |||||||
Adani Ports and Special Economic Zone Ltd. | ||||||||
3.500%, 7-29-20 (A) | 200 | 198 | ||||||
|
| |||||||
Materials – 0.9% |
| |||||||
Vedanta Resources plc | ||||||||
6.375%, 7-30-22 (A) | 200 | 191 | ||||||
|
| |||||||
Total India – 1.8% | $ | 389 | ||||||
Indonesia |
| |||||||
Utilities – 0.9% |
| |||||||
Perusahaan Listrik Negara | ||||||||
5.450%, 5-21-28 (A) | 200 | 203 | ||||||
|
| |||||||
Total Indonesia – 0.9% | $ | 203 | ||||||
Ireland |
| |||||||
Financials – 1.6% |
| |||||||
MTS International Funding Ltd. | ||||||||
5.000%, 5-30-23 (A) | 350 | 341 | ||||||
|
| |||||||
Total Ireland – 1.6% | $ | 341 |
2018 | SEMIANNUAL REPORT | 41 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2018 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Japan |
| |||||||
Financials – 0.4% |
| |||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
3.287%, 7-25-27 | $ | 100 | $ | 95 | ||||
|
| |||||||
Total Japan – 0.4% | $ | 95 | ||||||
Luxembourg |
| |||||||
Consumer Staples – 0.8% |
| |||||||
Minerva Luxembourg S.A. | ||||||||
5.875%, 1-19-28 (A) | 200 | 175 | ||||||
|
| |||||||
Financials – 0.9% |
| |||||||
OJSC Russian Agricultural Bank | ||||||||
5.100%, 7-25-18 (A) | 200 | 200 | ||||||
|
| |||||||
Information Technology – 0.8% |
| |||||||
Atento Luxco 1 S.A. | ||||||||
6.125%, 8-10-22 (A) | 175 | 168 | ||||||
|
| |||||||
Total Luxembourg – 2.5% | $ | 543 | ||||||
Mexico |
| |||||||
Consumer Discretionary – 0.9% |
| |||||||
Nemak S.A.B. de C.V. | ||||||||
4.750%, 1-23-25 (A) | 200 | 189 | ||||||
|
| |||||||
Consumer Staples – 0.9% |
| |||||||
Grupo Bimbo S.A.B. de C.V. | ||||||||
4.875%, 6-30-20 (A) | 200 | 205 | ||||||
|
| |||||||
Financials – 1.6% |
| |||||||
Banco Santander S.A. | ||||||||
4.125%, 11-9-22 (A) | 150 | 148 | ||||||
Unifin Financiera S.A.B. de C.V. SOFOM E.N.R. | ||||||||
7.250%, 9-27-23 (A) | 200 | 190 | ||||||
|
| |||||||
338 | ||||||||
|
| |||||||
Materials – 1.7% |
| |||||||
C5 Capital (SPV) Ltd. (3-Month U.S. LIBOR plus 428 bps) | ||||||||
6.585%, 12-29-49 (A)(E) | 150 | 146 | ||||||
CEMEX S.A.B. de C.V. | ||||||||
7.750%, 4-16-26 (A) | 200 | 217 | ||||||
|
| |||||||
363 | ||||||||
|
| |||||||
Total Mexico – 5.1% |
| $ | 1,095 | |||||
Netherlands |
| |||||||
Consumer Discretionary – 0.9% |
| |||||||
VTR Finance B.V. | ||||||||
6.875%, 1-15-24 (A) | 200 | 201 | ||||||
|
| |||||||
Energy – 0.1% |
| |||||||
Petrobras Global Finance B.V. (GTD by Petroleo Brasileiro S.A.) | ||||||||
8.375%, 5-23-21 | 16 | 17 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Financials – 2.2% |
| |||||||
Cooperatieve Rabobank U.A. | ||||||||
3.875%, 2-8-22 | $ | 75 | $ | 76 | ||||
Sigma Finance, Inc. | ||||||||
4.875%, 3-27-28 (A) | 200 | 191 | ||||||
Syngenta Finance N.V. | ||||||||
5.182%, 4-24-28 (A) | 200 | 193 | ||||||
|
| |||||||
460 | ||||||||
|
| |||||||
Total Netherlands – 3.2% | $ | 678 | ||||||
Norway |
| |||||||
Energy – 0.7% |
| |||||||
Aker BP ASA | ||||||||
6.000%, 7-1-22 (A) | 150 | 153 | ||||||
|
| |||||||
Total Norway – 0.7% | $ | 153 | ||||||
Peru |
| |||||||
Financials – 0.7% |
| |||||||
Banco de Credito del Peru | ||||||||
4.250%, 4-1-23 (A) | 150 | 150 | ||||||
|
| |||||||
Total Peru – 0.7% | $ | 150 | ||||||
Qatar |
| |||||||
Energy – 0.3% |
| |||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. II | ||||||||
5.298%, 9-30-20 (A) | 68 | 70 | ||||||
|
| |||||||
Total Qatar – 0.3% | $ | 70 | ||||||
Singapore |
| |||||||
Consumer Staples – 0.5% |
| |||||||
Olam International Ltd. | ||||||||
7.500%, 8-12-20 | 100 | 104 | ||||||
|
| |||||||
Total Singapore – 0.5% | $ | 104 | ||||||
South Korea |
| |||||||
Financials – 2.0% |
| |||||||
Hyundai Capital Services, Inc. | ||||||||
2.983%, 8-29-22 (A) | 210 | 202 | ||||||
Woori Bank | ||||||||
2.625%, 7-20-21 (A) | 250 | 242 | ||||||
|
| |||||||
444 | ||||||||
|
| |||||||
Total South Korea – 2.0% | $ | 444 | ||||||
Switzerland |
| |||||||
Financials – 1.1% |
| |||||||
Credit Suisse Group AG | ||||||||
4.282%, 1-9-28 (A) | 250 | 243 | ||||||
|
| |||||||
Total Switzerland – 1.1% | $ | 243 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
United Arab Emirates |
| |||||||
�� | ||||||||
Energy – 0.9% |
| |||||||
Abu Dhabi National Energy Co. | ||||||||
4.375%, 4-23-25 (A) | $ | 200 | $ | 198 | ||||
|
| |||||||
Financials – 1.5% |
| |||||||
ICICI Bank Ltd. | ||||||||
3.500%, 3-18-20 (A) | 325 | 323 | ||||||
|
| |||||||
Total United Arab Emirates – 2.4% | $ | 521 | ||||||
United Kingdom |
| |||||||
Consumer Staples – 0.9% |
| |||||||
Imperial Tobacco Finance plc | ||||||||
3.750%, 7-21-22 (A) | 200 | 198 | ||||||
|
| |||||||
Financials – 5.0% |
| |||||||
ANZ New Zealand International Ltd. | ||||||||
3.450%, 1-21-28 (A) | 200 | 191 | ||||||
Barclays plc | ||||||||
8.250%, 12-29-49 | 200 | 203 | ||||||
HSBC Holdings plc: | ||||||||
4.583%, 6-19-29 | 300 | 303 | ||||||
5.625%, 12-29-49 | 200 | 199 | ||||||
State Bank of India | ||||||||
3.622%, 4-17-19 (A) | 200 | 200 | ||||||
|
| |||||||
1,096 | ||||||||
|
| |||||||
Total United Kingdom – 5.9% | $ | 1,294 | ||||||
United States |
| |||||||
Consumer Staples – 4.0% |
| |||||||
Anheuser-Busch Inbev S.A./N.V. (GTD by AB INBEV/BBR/COB) | ||||||||
2.650%, 2-1-21 | 500 | 493 | ||||||
Bunge Ltd. Finance Corp. | ||||||||
3.500%, 11-24-20 | 250 | 250 | ||||||
Maple Escrow Subsidiary, Inc. | ||||||||
4.597%, 5-25-28 (A) | 125 | 126 | ||||||
|
| |||||||
869 | ||||||||
|
| |||||||
Energy – 0.6% |
| |||||||
Brand Energy & Infrastructure Services, Inc. | ||||||||
8.500%, 7-15-25 (A) | 125 | 127 | ||||||
|
| |||||||
Financials – 5.3% |
| |||||||
Bank of America Corp. | ||||||||
3.593%, 7-21-28 | 125 | 119 | ||||||
BBVA Bancomer S.A. | ||||||||
6.500%, 3-10-21 (A) | 150 | 156 | ||||||
Citigroup, Inc. | ||||||||
3.520%, 10-27-28 | 125 | 117 | ||||||
Cooperatieve Rabobank U.A. | ||||||||
3.125%, 4-26-21 | 250 | 249 | ||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp. | ||||||||
3.480%, 6-1-19 (A) | 50 | 50 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||
3.814%, 4-23-29 | 100 | 95 | ||||||
JPMorgan Chase & Co. | ||||||||
3.540%, 5-1-28 | 118 | 113 |
42 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2018 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Financials (Continued) |
| |||||||
TerraForm Global Operating LLC (GTD by Terra Form Global LLC) | ||||||||
6.125%, 3-1-26 (A) | $ | 50 | $ | 49 | ||||
Wells Fargo & Co. | ||||||||
4.300%, 7-22-27 | 125 | 123 | ||||||
Wells Fargo & Co. (3-Month U.S. LIBOR plus 377 bps) | ||||||||
6.111%, 3-29-49 (E) | 125 | 127 | ||||||
|
| |||||||
1,198 | ||||||||
|
| |||||||
Health Care – 0.8% |
| |||||||
Fresenius U.S. Finance II, Inc.: | ||||||||
4.250%, 2-1-21 (A) | 100 | 102 | ||||||
4.500%, 1-15-23 (A) | 75 | 76 | ||||||
|
| |||||||
178 | ||||||||
|
| |||||||
Industrials – 1.5% |
| |||||||
Azul Investments LLP | ||||||||
5.875%, 10-26-24 (A)(D) | 200 | 170 | ||||||
BAE Systems Holdings, Inc. | ||||||||
2.850%, 12-15-20 (A) | 75 | 74 | ||||||
TransDigm, Inc. (GTD by TransDigm Group, Inc.) | ||||||||
6.000%, 7-15-22 | 82 | 82 | ||||||
|
| |||||||
326 | ||||||||
|
| |||||||
Materials – 0.2% |
| |||||||
BakerCorp International, Inc. | ||||||||
8.250%, 6-1-19 | 50 | 48 | ||||||
|
| |||||||
Real Estate – 1.9% |
| |||||||
Aircastle Ltd. | ||||||||
4.625%, 12-15-18 | 235 | 236 | ||||||
American Tower Corp. | ||||||||
3.400%, 2-15-19 | 170 | 171 | ||||||
|
| |||||||
407 | ||||||||
|
| |||||||
Telecommunication Services – 1.1% |
| |||||||
T-Mobile USA, Inc. | ||||||||
6.000%, 3-1-23 | 230 | 238 | ||||||
|
| |||||||
Utilities – 1.1% |
| |||||||
Sempra Energy | ||||||||
2.850%, 11-15-20 (D) | 250 | 247 | ||||||
|
| |||||||
Total United States – 16.5% | $ | 3,638 | ||||||
TOTAL CORPORATE DEBT |
| $ | 13,099 | |||||
(Cost: $13,531) | ||||||||
OTHER GOVERNMENT SECURITIES (G) | ||||||||
Argentina – 0.9% |
| |||||||
Republic of Argentina | ||||||||
6.875%, 4-22-21 | 200 | 197 | ||||||
|
|
OTHER GOVERNMENT SECURITIES (G) (Continued) | Principal | Value | ||||||
Brazil – 2.3% |
| |||||||
Banco Nacional de Desenvolvimento Economico e Social | ||||||||
4.750%, 5-9-24 (A) | $ | 200 | $ | 188 | ||||
Federative Republic of Brazil | ||||||||
4.875%, 1-22-21 | 300 | 304 | ||||||
|
| |||||||
492 | ||||||||
|
| |||||||
Columbia – 1.2% |
| |||||||
Republic of Colombia | ||||||||
4.375%, 7-12-21 | 250 | 255 | ||||||
|
| |||||||
Indonesia – 2.0% |
| |||||||
Republic of Indonesia: | ||||||||
3.750%, 4-25-22 (A) | 250 | 247 | ||||||
2.950%, 1-11-23 | 200 | 190 | ||||||
|
| |||||||
437 | ||||||||
|
| |||||||
Luxembourg – 0.9% |
| |||||||
Rumo Luxembourg S.a.r.l. | ||||||||
7.375%, 2-9-24 (A) | 200 | 202 | ||||||
|
| |||||||
Mexico – 1.1% |
| |||||||
United Mexican States | ||||||||
3.625%, 3-15-22 | 250 | 250 | ||||||
|
| |||||||
Qatar – 0.9% |
| |||||||
Qatar Government Bond | ||||||||
2.375%, 6-2-21 (A) | 200 | 193 | ||||||
|
| |||||||
Russia – 0.9% |
| |||||||
Russian Federation | ||||||||
3.500%, 1-16-19 (A) | 200 | 200 | ||||||
|
| |||||||
Saudi Arabia – 1.1% |
| |||||||
Saudi Arabia Government Bond | ||||||||
2.375%, 10-26-21 (A) | 250 | 240 | ||||||
|
| |||||||
South Africa – 0.9% |
| |||||||
Republic of South Africa | ||||||||
5.500%, 3-9-20 | 200 | 205 | ||||||
|
| |||||||
Turkey – 0.9% |
| |||||||
Turkey Government Bond | ||||||||
5.125%, 3-25-22 | 200 | 194 | ||||||
|
| |||||||
United States – 0.4% |
| |||||||
Republic of Argentina | ||||||||
5.625%, 1-26-22 | 100 | 93 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT |
| $ | 2,958 | |||||
(Cost: $3,064) | ||||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
United States – 23.4% |
| |||||||
U.S. Treasury Bonds | ||||||||
2.250%, 11-15-25 | 450 | 433 |
UNITED STATES GOVERNMENT OBLIGATIONS (Continued) | Principal | Value | ||||||
United States (Continued) |
| |||||||
U.S. Treasury Notes: | ||||||||
1.250%, 10-31-21 | $ | 200 | $ | 191 | ||||
1.750%, 11-30-21 | 300 | 291 | ||||||
1.875%, 10-31-22 | 100 | 97 | ||||||
1.375%, 6-30-23 | 850 | 796 | ||||||
1.625%, 10-31-23 | 800 | 755 | ||||||
2.125%, 9-30-24 | 650 | 625 | ||||||
1.500%, 8-15-26 | 460 | 415 | ||||||
2.000%, 11-15-26 | 800 | 749 | ||||||
2.375%, 5-15-27 | 775 | 746 | ||||||
|
| |||||||
5,098 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT |
| $ | 5,098 | |||||
(Cost: $5,289) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Master Note – 1.1% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps) | ||||||||
2.240%, 7-6-18 (F) | 238 | 238 | ||||||
|
| |||||||
Money Market Funds – 0.3% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares | ||||||||
1.850%, (H)(I) | 65 | 65 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.4% |
| $ | 303 | |||||
(Cost: $303) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.2% |
| $ | 21,646 | |||||
(Cost: $22,381) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.8% | 179 | |||||||
NET ASSETS – 100.0% | $ | 21,825 |
2018 | SEMIANNUAL REPORT | 43 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2018 (UNAUDITED)
Notes to Schedule of Investments
* | Not shown due to rounding. |
(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 June 30, 2018 the total value of these securities amounted to $9,933 or 45.5% of net assets. |
(B) | Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
(C) | Principal amounts are denominated in the indicated foreign currency, where applicable (COP – Columbian Peso). |
(D) | All or a portion of securities with an aggregate value of $63 are on loan. |
(E) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Description of the reference rate and spread, if applicable, are included in the security description. |
(F) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(G) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(H) | Rate shown is the annualized 7-day yield at June 30, 2018. |
(I) | Investment made with cash collateral received from securities on loan. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 188 | $ | — | $ | — | ||||||
Corporate Debt Securities | — | 13,099 | — | |||||||||
Other Government Securities | — | 2,958 | — | |||||||||
United States Government Obligations | — | 5,098 | — | |||||||||
Short-Term Securities | 65 | 238 | — | |||||||||
Total | $ | 253 | $ | 21,393 | $ | — |
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
GTD = Guaranteed
ICE = Intercontinental Exchange
LIBOR = London Interbank Offered Rate
Country Diversification
(as a % of net assets) |
| |||
United States | 40.3% | |||
Mexico | 6.2% | |||
United Kingdom | 5.9% | |||
Brazil | 3.9% | |||
Cayman Islands | 3.4% | |||
Luxembourg | 3.4% | |||
Netherlands | 3.2% | |||
Columbia | 3.1% | |||
Indonesia | 2.9% | |||
United Arab Emirates | 2.4% |
Country Diversification (Continued)
South Korea | 2.0% | |||
Chile | 2.0% | |||
India | 1.8% | |||
Ireland | 1.6% | |||
Argentina | 1.4% | |||
Qatar | 1.2% | |||
Switzerland | 1.1% | |||
Saudi Arabia | 1.1% | |||
France | 1.0% | |||
Other Countries | 9.9% | |||
Other+ | 2.2% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
44 | SEMIANNUAL REPORT | 2018 |
Table of Contents
PORTFOLIO HIGHLIGHTS | GLOBAL EQUITY INCOME(a) |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 97.6% | |||
Energy | 15.0% | |||
Health Care | 13.8% | |||
Financials | 13.5% | |||
Industrials | 12.9% | |||
Consumer Staples | 11.0% | |||
Materials | 10.5% | |||
Information Technology | 9.8% | |||
Utilities | 4.2% | |||
Telecommunication Services | 3.7% | |||
Consumer Discretionary | 3.2% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.4% |
Country Weightings
North America | 44.9% | |||
United States | 40.6% | |||
Canada | 4.3% | |||
Europe | 43.4% | |||
United Kingdom | 13.8% | |||
France | 11.3% | |||
Netherlands | 6.1% | |||
Switzerland | 4.8% | |||
Other Europe | 7.4% | |||
Pacific Basin | 8.4% | |||
Other | 0.9% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.4% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Royal Dutch Shell plc, Class A | Energy | Integrated Oil & Gas | ||
Intel Corp. | Information Technology | Semiconductors | ||
Johnson & Johnson | Health Care | Pharmaceuticals | ||
Pfizer, Inc. | Health Care | Pharmaceuticals | ||
Chevron Corp. | Energy | Integrated Oil & Gas | ||
Total S.A. | Energy | Integrated Oil & Gas | ||
Nestle S.A., Registered Shares | Consumer Staples | Packaged Foods & Meats | ||
Dow Chemical Co. (The) | Materials | Diversified Chemicals | ||
Lockheed Martin Corp. | Industrials | Aerospace & Defense | ||
Broadcom Corp., Class A | Information Technology | Semiconductors |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
(a)Effective April 30, 2018, the name of Dividend Opportunities changed to Global Equity Income.
2018 | SEMIANNUAL REPORT | 45 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL EQUITY INCOME (in thousands) |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Canada |
| |||||||
Energy – 2.3% |
| |||||||
Suncor Energy, Inc. | 186 | $ | 7,571 | |||||
|
| |||||||
Financials – 2.0% |
| |||||||
Bank of Montreal | 83 | 6,431 | ||||||
|
| |||||||
Total Canada – 4.3% |
| $ | 14,002 | |||||
China |
| |||||||
Consumer Discretionary – 0.4% |
| |||||||
ANTA Sports Products Ltd. | 246 | 1,303 | ||||||
|
| |||||||
Energy – 2.1% |
| |||||||
CNOOC Ltd. | 4,030 | 6,955 | ||||||
|
| |||||||
Total China – 2.5% |
| $ | 8,258 | |||||
France |
| |||||||
Consumer Discretionary – 1.0% |
| |||||||
LVMH Moet Hennessy – Louis Vuitton | 10 | 3,231 | ||||||
|
| |||||||
Energy – 2.9% |
| |||||||
Total S.A. (A) | 154 | 9,375 | ||||||
|
| |||||||
Financials – 1.8% |
| |||||||
BNP Paribas S.A. | 96 | 5,972 | ||||||
|
| |||||||
Industrials – 4.1% |
| |||||||
Compagnie de Saint-Gobain | 60 | 2,668 | ||||||
Schneider Electric S.A. | 77 | 6,430 | ||||||
Vinci | 44 | 4,227 | ||||||
|
| |||||||
13,325 | ||||||||
|
| |||||||
Telecommunication Services – 1.5% |
| |||||||
Orange S.A. | 300 | 5,026 | ||||||
|
| |||||||
Total France – 11.3% |
| $ | 36,929 | |||||
Hong Kong |
| |||||||
Financials – 1.0% |
| |||||||
BOC Hong Kong (Holdings) Ltd. | 699 | 3,290 | ||||||
|
| |||||||
Utilities – 0.9% |
| |||||||
Guangdong Investment Ltd. | 1,850 | 2,938 | ||||||
|
| |||||||
Total Hong Kong – 1.9% |
| $ | 6,228 | |||||
Ireland |
| |||||||
Health Care – 1.5% |
| |||||||
Medtronic plc | 57 | 4,852 | ||||||
|
| |||||||
Materials – 1.0% |
| |||||||
CRH plc | 89 | 3,144 | ||||||
|
| |||||||
Total Ireland – 2.5% |
| $ | 7,996 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Italy |
| |||||||
Utilities – 1.8% |
| |||||||
ENEL S.p.A. | 1,053 | $ | 5,849 | |||||
|
| |||||||
Total Italy – 1.8% |
| $ | 5,849 | |||||
Japan |
| |||||||
Information Technology – 1.1% |
| |||||||
Tokyo Electron Ltd. | 21 | 3,625 | ||||||
|
| |||||||
Telecommunication Services – 1.1% |
| |||||||
Nippon Telegraph and Telephone Corp. | 77 | 3,484 | ||||||
|
| |||||||
Total Japan – 2.2% |
| $ | 7,109 | |||||
Malaysia |
| |||||||
Financials – 0.7% |
| |||||||
Bumiputra-Commerce Holdings Berhad | 1,623 | 2,189 | ||||||
|
| |||||||
Total Malaysia – 0.7% |
| $ | 2,189 | |||||
Netherlands |
| |||||||
Energy – 3.7% |
| |||||||
Royal Dutch Shell plc, Class A | 347 | 12,038 | ||||||
|
| |||||||
Financials – 1.2% |
| |||||||
ING Groep N.V., Certicaaten Van Aandelen | 278 | 4,003 | ||||||
|
| |||||||
Industrials – 1.2% |
| |||||||
Koninklijke Philips Electronics N.V., Ordinary Shares | 95 | 4,054 | ||||||
|
| |||||||
Total Netherlands – 6.1% |
| $ | 20,095 | |||||
Norway |
| |||||||
Consumer Staples – 0.9% |
| |||||||
Marine Harvest ASA | 152 | 3,021 | ||||||
|
| |||||||
Total Norway – 0.9% |
| $ | 3,021 | |||||
Russia |
| |||||||
Energy – 1.1% |
| |||||||
PJSC LUKOIL ADR | 51 | 3,477 | ||||||
|
| |||||||
Total Russia – 1.1% |
| $ | 3,477 | |||||
Singapore |
| |||||||
Financials – 1.1% |
| |||||||
DBS Group Holdings Ltd. | 176 | 3,439 | ||||||
|
| |||||||
Total Singapore – 1.1% |
| $ | 3,439 | |||||
South Africa |
| |||||||
Materials – 0.9% |
| |||||||
Mondi plc | 115 | 3,122 | ||||||
|
| |||||||
Total South Africa – 0.9% |
| $ | 3,122 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Spain |
| |||||||
Financials – 1.1% |
| |||||||
Banco Santander S.A. | 698 | $ | 3,745 | |||||
|
| |||||||
Total Spain – 1.1% |
| $ | 3,745 | |||||
Switzerland |
| |||||||
Consumer Staples – 2.7% |
| |||||||
Nestle S.A., Registered Shares | 113 | 8,744 | ||||||
|
| |||||||
Health Care – 2.1% |
| |||||||
Roche Holdings AG, Genusscheine | 31 | 6,882 | ||||||
|
| |||||||
Total Switzerland – 4.8% |
| $ | 15,626 | |||||
United Kingdom |
| |||||||
Consumer Discretionary – 0.8% |
| |||||||
Bellway plc | 70 | 2,757 | ||||||
|
| |||||||
Consumer Staples – 4.4% |
| |||||||
British American Tobacco plc | 103 | 5,199 | ||||||
Unilever N.V., Certicaaten Van Aandelen | 38 | 2,101 | ||||||
Unilever plc | 124 | 6,852 | ||||||
|
| |||||||
14,152 | ||||||||
|
| |||||||
Financials – 2.5% |
| |||||||
3i Group plc | 257 | 3,050 | ||||||
HSBC Holdings plc | 145 | 1,362 | ||||||
Prudential plc | 171 | 3,913 | ||||||
|
| |||||||
8,325 | ||||||||
|
| |||||||
Health Care – 1.4% |
| |||||||
AstraZeneca plc | 65 | 4,534 | ||||||
|
| |||||||
Industrials – 1.2% |
| |||||||
BAE Systems plc | 466 | 3,981 | ||||||
|
| |||||||
Materials – 2.4% |
| |||||||
Anglo American plc (A) | 141 | 3,155 | ||||||
Rio Tinto plc | 87 | 4,843 | ||||||
|
| |||||||
7,998 | ||||||||
|
| |||||||
Telecommunication Services – 1.1% |
| |||||||
Vodafone Group plc | 1,411 | 3,423 | ||||||
|
| |||||||
Total United Kingdom – 13.8% |
| $ | 45,170 | |||||
United States |
| |||||||
Consumer Discretionary – 1.0% |
| |||||||
Home Depot, Inc. (The) | 17 | 3,219 | ||||||
|
| |||||||
Consumer Staples – 3.0% |
| |||||||
Philip Morris International, Inc. | 48 | 3,892 | ||||||
Wal-Mart Stores, Inc. | 70 | 5,957 | ||||||
|
| |||||||
9,849 | ||||||||
|
| |||||||
Energy – 2.9% |
| |||||||
Chevron Corp. | 76 | 9,634 | ||||||
|
|
46 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL EQUITY INCOME (in thousands) |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS (Continued) | Shares | Value | ||||||
Financials – 2.1% |
| |||||||
JPMorgan Chase & Co. | 31 | $ | 3,279 | |||||
KeyCorp | 176 | 3,446 | ||||||
|
| |||||||
6,725 | ||||||||
|
| |||||||
Health Care – 8.8% |
| |||||||
AbbVie, Inc. | 69 | 6,416 | ||||||
Johnson & Johnson | 92 | 11,187 | ||||||
Pfizer, Inc. | 304 | 11,033 | ||||||
|
| |||||||
28,636 | ||||||||
|
| |||||||
Industrials – 6.4% |
| |||||||
Eaton Corp. | 87 | 6,510 | ||||||
Lockheed Martin Corp. | 27 | 8,065 | ||||||
United Technologies Corp. | 49 | 6,127 | ||||||
|
| |||||||
20,702 | ||||||||
|
| |||||||
Information Technology – 8.7% |
| |||||||
Broadcom Corp., Class A | 33 | 7,983 | ||||||
Cypress Semiconductor Corp. | 204 | 3,173 | ||||||
Intel Corp. | 235 | 11,667 | ||||||
Microsoft Corp. | 56 | 5,566 | ||||||
|
| |||||||
28,389 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Materials – 6.2% |
| |||||||
Dow Chemical Co. (The) | 131 | $ | 8,607 | |||||
Eastman Chemical Co. | 80 | 7,957 | ||||||
WestRock Co. | 63 | 3,612 | ||||||
|
| |||||||
20,176 | ||||||||
|
| |||||||
Utilities – 1.5% |
| |||||||
Exelon Corp. | 115 | 4,897 | ||||||
|
| |||||||
Total United States – 40.6% |
| $ | 132,227 | |||||
TOTAL COMMON STOCKS – 97.6% |
| $ | 318,482 | |||||
(Cost: $324,273) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (B) – 0.9% |
| |||||||
J.M. Smucker Co. (The) | ||||||||
2.200%, 7-2-18 | $ | 2,964 | 2,963 | |||||
|
| |||||||
Master Note – 1.3% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps) | ||||||||
2.240%, 7-6-18 (C) | 4,229 | 4,229 | ||||||
|
|
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Money Market Funds – 0.6% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares 1.850%, (D)(E) | $ | 2,033 | $ | 2,033 | ||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.8% |
| $ | 9,225 | |||||
(Cost: $9,226) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.4% |
| $ | 327,707 | |||||
(Cost: $333,499) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.4)% |
| (1,347 | ) | |||||
NET ASSETS – 100.0% |
| $ | 326,360 |
Notes to Schedule of Investments
(A) | All or a portion of securities with an aggregate value of $2,036 are on loan. |
(B) | Rate shown is the yield to maturity at June 30, 2018. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(D) | Rate shown is the annualized 7-day yield at June 30, 2018. |
(E) | Investment made with cash collateral received from securities on loan. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 318,482 | $ | — | $ | — | ||||||
Short-Term Securities | 2,033 | 7,192 | — | |||||||||
Total | $ | 320,515 | $ | 7,192 | $ | — |
During the period ended June 30, 2018, securities totaling $15,012 were transferred from Level 2 to Level 1. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on June 30, 2018. Transfers out of Level 2 represent the values as of the beginning of the reporting period.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
LIBOR = London Interbank Offered Rate
2018 | SEMIANNUAL REPORT | 47 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL EQUITY INCOME (in thousands) |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Market Sector Diversification
(as a % of net assets) |
| |||
Energy | 15.0% | |||
Health Care | 13.8% | |||
Financials | 13.5% | |||
Industrials | 12.9% | |||
Consumer Staples | 11.0% | |||
Materials | 10.5% | |||
Information Technology | 9.8% | |||
Utilities | 4.2% | |||
Telecommunication Services | 3.7% | |||
Consumer Discretionary | 3.2% | |||
Other+ | 2.4% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
48 | SEMIANNUAL REPORT | 2018 |
Table of Contents
PORTFOLIO HIGHLIGHTS | GLOBAL GROWTH |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 96.2% | |||
Information Technology | 27.8% | |||
Consumer Discretionary | 19.9% | |||
Industrials | 13.3% | |||
Financials | 11.7% | |||
Health Care | 11.0% | |||
Energy | 7.2% | |||
Consumer Staples | 5.3% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.8% |
Country Weightings
North America | 56.9% | |||
United States | 54.8% | |||
Other North America | 2.1% | |||
Europe | 23.0% | |||
France | 9.8% | |||
United Kingdom | 5.6% | |||
Netherlands | 4.4% | |||
Other Europe | 3.2% | |||
Pacific Basin | 16.3% | |||
Japan | 7.8% | |||
China | 4.6% | |||
India | 3.4% | |||
Other Pacific Basin | 0.5% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.8% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Airbus SE | France | Industrials | Aerospace & Defense | |||
Microsoft Corp. | United States | Information Technology | Systems Software | |||
Amazon.com, Inc. | United States | Consumer Discretionary | Internet & Direct Marketing Retail | |||
MasterCard, Inc., Class A | United States | Information Technology | Data Processing & Outsourced Services | |||
Visa, Inc., Class A | United States | Information Technology | Data Processing & Outsourced Services | |||
Home Depot, Inc. (The) | United States | Consumer Discretionary | Home Improvement Retail | |||
UnitedHealth Group, Inc. | United States | Health Care | Managed Health Care | |||
Cognizant Technology Solutions Corp., Class A | United States | Information Technology | IT Consulting & Other Services | |||
CME Group, Inc. | United States | Financials | Financial Exchanges & Data | |||
Adobe Systems, Inc. | United States | Information Technology | Application Software |
See your advisor for more information on the Portfolio’s most recent published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2018 | SEMIANNUAL REPORT | 49 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL GROWTH (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Canada |
| |||||||
Energy – 2.1% |
| |||||||
Canadian Natural Resources Ltd. | 49 | $ | 1,770 | |||||
Seven Generations Energy Ltd., Class A (A) | 137 | 1,504 | ||||||
|
| |||||||
3,274 | ||||||||
|
| |||||||
Total Canada – 2.1% |
| $ | 3,274 | |||||
China |
| |||||||
Financials – 1.9% |
| |||||||
China Construction Bank Corp. (A) | 439 | 406 | ||||||
Ping An Insurance (Group) Co. of China Ltd., H Shares (B) | 282 | 2,595 | ||||||
|
| |||||||
3,001 | ||||||||
|
| |||||||
Information Technology – 2.7% |
| |||||||
Alibaba Group Holding Ltd. ADR (A) | 13 | 2,362 | ||||||
Baidu.com, Inc. ADR (A) | 8 | 1,925 | ||||||
|
| |||||||
4,287 | ||||||||
|
| |||||||
Total China – 4.6% |
| $ | 7,288 | |||||
France |
| |||||||
Consumer Discretionary – 1.0% |
| |||||||
LVMH Moet Hennessy – Louis Vuitton | 5 | 1,529 | ||||||
|
| |||||||
Consumer Staples – 0.7% |
| |||||||
Pernod Ricard S.A. | 7 | 1,103 | ||||||
|
| |||||||
Energy – 1.8% |
| |||||||
Total S.A. ADR | 47 | 2,852 | ||||||
|
| |||||||
Industrials – 6.0% |
| |||||||
Airbus SE | 68 | 7,935 | ||||||
Schneider Electric S.A. | 19 | 1,594 | ||||||
|
| |||||||
9,529 | ||||||||
|
| |||||||
Information Technology – 0.3% |
| |||||||
Ubisoft Entertainment S.A. (A) | 4 | 454 | ||||||
|
| |||||||
Total France – 9.8% |
| $ | 15,467 | |||||
Germany |
| |||||||
Health Care – 1.0% |
| |||||||
Fresenius SE & Co. KGaA | 21 | 1,666 | ||||||
|
| |||||||
Total Germany – 1.0% |
| $ | 1,666 | |||||
Hong Kong |
| |||||||
Consumer Discretionary – 0.5% |
| |||||||
Galaxy Entertainment Group | 106 | 821 | ||||||
|
| |||||||
Total Hong Kong – 0.5% |
| $ | 821 | |||||
India |
| |||||||
Financials – 3.4% |
| |||||||
HDFC Bank Ltd. | 101 | 3,105 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Financials (Continued) |
| |||||||
Housing Development Finance Corp. Ltd. | 88 | $ | 2,457 | |||||
|
| |||||||
5,562 | ||||||||
|
| |||||||
Total India – 3.4% |
| $ | 5,562 | |||||
Italy |
| |||||||
Consumer Discretionary – 2.2% |
| |||||||
Ferrari N.V. | 26 | 3,504 | ||||||
|
| |||||||
Total Italy – 2.2% |
| $ | 3,504 | |||||
Japan |
| |||||||
Consumer Discretionary – 4.5% |
| |||||||
Isuzu Motors Ltd. | 208 | 2,762 | ||||||
Start Today Co. Ltd. | 87 | 3,155 | ||||||
Subaru Corp. | 41 | 1,200 | ||||||
|
| |||||||
7,117 | ||||||||
|
| |||||||
Industrials – 3.3% |
| |||||||
Dakin Industries Ltd. | 19 | 2,217 | ||||||
Recruit Holdings Co. Ltd. | 110 | 3,052 | ||||||
|
| |||||||
5,269 | ||||||||
|
| |||||||
Total Japan – 7.8% |
| $ | 12,386 | |||||
Netherlands |
| |||||||
Consumer Staples – 1.5% |
| |||||||
Heineken N.V. | 24 | 2,416 | ||||||
|
| |||||||
Energy – 1.0% |
| |||||||
Royal Dutch Shell plc, Class B | 46 | 1,645 | ||||||
|
| |||||||
Industrials – 1.6% |
| |||||||
Koninklijke Philips Electronics N.V., Ordinary Shares | 61 | 2,581 | ||||||
|
| |||||||
Information Technology – 0.3% |
| |||||||
ASML Holding N.V., NY Registry Shares | 3 | 542 | ||||||
|
| |||||||
Total Netherlands – 4.4% |
| $ | 7,184 | |||||
United Kingdom |
| |||||||
Consumer Staples – 3.1% |
| |||||||
British American Tobacco plc | 43 | 2,195 | ||||||
Imperial Tobacco Group plc | 75 | 2,800 | ||||||
|
| |||||||
4,995 | ||||||||
|
| |||||||
Financials – 2.5% |
| |||||||
Prudential plc | 173 | 3,961 | ||||||
|
| |||||||
Total United Kingdom – 5.6% |
| $ | 8,956 | |||||
United States |
| |||||||
Consumer Discretionary – 11.7% |
| |||||||
Amazon.com, Inc. (A) | 4 | 6,774 | ||||||
Dollar General Corp. | 37 | 3,644 | ||||||
Home Depot, Inc. (The) | 24 | 4,688 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Consumer Discretionary (Continued) |
| |||||||
Lowe’s Co., Inc. | 10 | $ | 914 | |||||
Marriott International, Inc., Class A | 21 | 2,700 | ||||||
|
| |||||||
18,720 | ||||||||
|
| |||||||
Energy – 2.3% |
| |||||||
Halliburton Co. | 47 | 2,099 | ||||||
Schlumberger Ltd. | 24 | 1,614 | ||||||
|
| |||||||
3,713 | ||||||||
|
| |||||||
Financials – 3.9% |
| |||||||
CME Group, Inc. | 26 | 4,232 | ||||||
Goldman Sachs Group, Inc. (The) | 9 | 1,987 | ||||||
|
| |||||||
6,219 | ||||||||
|
| |||||||
Health Care – 10.0% |
| |||||||
Alexion Pharmaceuticals, Inc. (A) | 14 | 1,741 | ||||||
HCA Holdings, Inc. | 34 | 3,480 | ||||||
Johnson & Johnson | 27 | 3,223 | ||||||
Thermo Fisher Scientific, Inc. | 15 | 3,109 | ||||||
UnitedHealth Group, Inc. | 18 | 4,328 | ||||||
|
| |||||||
15,881 | ||||||||
|
| |||||||
Industrials – 2.4% |
| |||||||
Eaton Corp. | 22 | 1,645 | ||||||
Northrop Grumman Corp. | 7 | 2,215 | ||||||
|
| |||||||
3,860 | ||||||||
|
| |||||||
Information Technology – 24.5% |
| |||||||
Adobe Systems, Inc. (A) | 17 | 4,096 | ||||||
Applied Materials, Inc. | 17 | 802 | ||||||
Arista Networks, Inc. (A) | 7 | 1,903 | ||||||
Broadcom Corp., Class A | 8 | 1,968 | ||||||
Cognizant Technology Solutions Corp., Class A | 55 | 4,315 | ||||||
Facebook, Inc., Class A (A) | 18 | 3,505 | ||||||
MasterCard, Inc., Class A | 31 | 6,077 | ||||||
Microsoft Corp. | 74 | 7,250 | ||||||
PayPal, Inc. (A) | 40 | 3,324 | ||||||
Visa, Inc., Class A | 45 | 5,903 | ||||||
|
| |||||||
39,143 | ||||||||
|
| |||||||
Total United States – 54.8% |
| $ | 87,536 | |||||
TOTAL COMMON STOCKS – 96.2% |
| $ | 153,644 | |||||
(Cost: $127,063) |
| |||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (C) – 2.8% |
| |||||||
J.M. Smucker Co. (The) 2.200%, 7-2-18 | $ | 4,528 | 4,527 | |||||
|
| |||||||
Master Note – 0.0% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps) 2.240%, 7-6-18 (D) | 1 | 1 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.8% |
| $ | 4,528 | |||||
(Cost: $4,529) |
50 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL GROWTH (in thousands) |
JUNE 30, 2018 (UNAUDITED)
Value | ||||||||
TOTAL INVESTMENT SECURITIES – 99.0% |
| $ | 158,172 | |||||
(Cost: $131,592) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.0% |
| 1,540 | ||||||
NET ASSETS – 100.0% |
| $ | 159,712 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | All or a portion of securities with an aggregate value of $1,356 are on loan. |
(C) | Rate shown is the yield to maturity at June 30, 2018. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 153,644 | $ | — | $ | — | ||||||
Short-Term Securities | — | 4,528 | — | |||||||||
Total | $ | 153,644 | $ | 4,528 | $ | — |
During the period ended June 30, 2018, securities totaling $138,200 were transferred from Level 2 to Level 1. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on June 30, 2018. Transfers out of Level 2 represent the values as of the beginning of the reporting period.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
LIBOR = London Interbank Offered Rate
Market Sector Diversification
(as a % of net assets) | ||||
Information Technology | 27.8% | |||
Consumer Discretionary | 19.9% | |||
Industrials | 13.3% | |||
Financials | 11.7% | |||
Health Care | 11.0% | |||
Energy | 7.2% | |||
Consumer Staples | 5.3% | |||
Other+ | 3.8% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 51 |
Table of Contents
PORTFOLIO HIGHLIGHTS | GOVERNMENT MONEY MARKET |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Corporate Obligations | 0.5% | |||
Master Note | 0.5% | |||
United States Government Agency Obligations | 99.5% | |||
Cash and Other Assets (Net of Liabilities) | 0.0% |
52 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | GOVERNMENT MONEY MARKET (in thousands) |
JUNE 30, 2018 (UNAUDITED)
CORPORATE OBLIGATIONS | Principal | Value | ||||||
Master Note |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (A) | $ | 1,576 | $ | 1,576 | ||||
|
| |||||||
Total Master Note – 0.5% |
| 1,576 | ||||||
TOTAL CORPORATE OBLIGATIONS – 0.5% |
| $ | 1,576 | |||||
(Cost: $1,576) |
| |||||||
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | ||||||||
United States Government Agency Obligations – 99.5% |
| |||||||
Federal Home Loan Bank, | ||||||||
1.650%, 7-2-18 | 115,353 | 115,348 | ||||||
Overseas Private Investment Corp. (GTD by U.S. Government) (3-Month U.S. TB Rate): | ||||||||
1.960%, 7-7-18 (A) | 40,624 | 40,624 | ||||||
1.970%, 7-7-18 (A) | 24,008 | 24,008 |
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS (Continued) | Principal | Value | ||||||
United States Government Agency Obligations (Continued) |
| |||||||
2.000%, 7-7-18 (A) | $ | 78,596 | $ | 78,596 | ||||
2.050%, 7-7-18 (A) | 57,083 | 57,083 | ||||||
|
| |||||||
315,659 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 99.5% |
| $ | 315,659 | |||||
(Cost: $315,659) |
| |||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 317,235 | |||||
(Cost: $317,235) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (125 | ) | |||||
NET ASSETS – 100.0% |
| $ | 317,110 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Corporate Obligations | $ | — | $ | 1,576 | $ | — | ||||||
United States Government Agency Obligations | — | 315,659 | — | |||||||||
Total | $ | — | $ | 317,235 | $ | — |
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
TB = Treasury Bill
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 53 |
Table of Contents
PORTFOLIO HIGHLIGHTS | GROWTH |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 98.5% | |||
Information Technology | 43.9% | |||
Consumer Discretionary | 18.3% | |||
Industrials | 12.5% | |||
Health Care | 9.7% | |||
Financials | 8.8% | |||
Consumer Staples | 2.3% | |||
Energy | 1.8% | |||
Real Estate | 1.2% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.5% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Microsoft Corp. | Information Technology | Systems Software | ||
Amazon.com, Inc. | Consumer Discretionary | Internet & Direct Marketing Retail | ||
Apple, Inc. | Information Technology | Technology Hardware, Storage & Peripherals | ||
MasterCard, Inc., Class A | Information Technology | Data Processing & Outsourced Services | ||
Visa, Inc., Class A | Information Technology | Data Processing & Outsourced Services | ||
salesforce.com, Inc. | Information Technology | Application Software | ||
CME Group, Inc. | Financials | Financial Exchanges & Data | ||
Home Depot, Inc. (The) | Consumer Discretionary | Home Improvement Retail | ||
PayPal, Inc. | Information Technology | Data Processing & Outsourced Services | ||
Adobe Systems, Inc. | Information Technology | Application Software |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
54 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | GROWTH (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel, Accessories & Luxury Goods – 2.9% |
| |||||||
V.F. Corp. | 283 | $ | 23,046 | |||||
|
| |||||||
Automobile Manufacturers – 2.0% |
| |||||||
Ferrari N.V. | 115 | 15,508 | ||||||
|
| |||||||
Cable & Satellite – 0.6% |
| |||||||
Comcast Corp., Class A | 142 | 4,672 | ||||||
|
| |||||||
Footwear – 2.8% |
| |||||||
NIKE, Inc., Class B | 274 | 21,848 | ||||||
|
| |||||||
Home Improvement Retail – 3.9% |
| |||||||
Home Depot, Inc. (The) | 158 | 30,845 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 6.1% |
| |||||||
Amazon.com, Inc. (A) | 25 | 43,180 | ||||||
Booking Holdings, Inc. (A) | 2 | 4,662 | ||||||
|
| |||||||
47,842 | ||||||||
|
| |||||||
Total Consumer Discretionary – 18.3% |
| 143,761 | ||||||
Consumer Staples |
| |||||||
Soft Drinks – 1.5% |
| |||||||
Monster Beverage Corp. (A) | 208 | 11,930 | ||||||
|
| |||||||
Tobacco – 0.8% |
| |||||||
Philip Morris International, Inc. | 74 | 6,007 | ||||||
|
| |||||||
Total Consumer Staples – 2.3% |
| 17,937 | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 1.8% |
| |||||||
Halliburton Co. | 321 | 14,482 | ||||||
|
| |||||||
Total Energy – 1.8% |
| 14,482 | ||||||
Financials |
| |||||||
Financial Exchanges & Data – 6.0% |
| |||||||
CME Group, Inc. | 193 | 31,571 | ||||||
S&P Global, Inc. | 77 | 15,711 | ||||||
|
| |||||||
47,282 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 2.6% |
| |||||||
Charles Schwab Corp. (The) | 396 | 20,225 | ||||||
|
| |||||||
Other Diversified Financial Services – 0.2% |
| |||||||
Citigroup, Inc. | 30 | 2,001 | ||||||
|
| |||||||
Total Financials – 8.8% |
| 69,508 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care |
| |||||||
Health Care Equipment – 4.8% |
| |||||||
Abiomed, Inc. (A) | 17 | $ | 6,872 | |||||
Danaher Corp. | 154 | 15,206 | ||||||
Intuitive Surgical, Inc. (A) | 33 | 15,838 | ||||||
|
| |||||||
37,916 | ||||||||
|
| |||||||
Managed Health Care – 2.3% |
| |||||||
UnitedHealth Group, Inc. | 72 | 17,714 | ||||||
|
| |||||||
Pharmaceuticals – 2.6% |
| |||||||
Zoetis, Inc. | 242 | 20,633 | ||||||
|
| |||||||
Total Health Care – 9.7% |
| 76,263 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 2.5% |
| |||||||
Lockheed Martin Corp. | 25 | 7,445 | ||||||
Northrop Grumman Corp. | 40 | 12,246 | ||||||
|
| |||||||
19,691 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 2.8% |
| |||||||
Caterpillar, Inc. | 161 | 21,775 | ||||||
|
| |||||||
Industrial Machinery – 2.5% |
| |||||||
Stanley Black & Decker, Inc. | 150 | 19,855 | ||||||
|
| |||||||
Railroads – 1.0% |
| |||||||
Union Pacific Corp. | 56 | 7,877 | ||||||
|
| |||||||
Research & Consulting Services – 2.3% |
| |||||||
Verisk Analytics, Inc., Class A (A) | 166 | 17,858 | ||||||
|
| |||||||
Trucking – 1.4% |
| |||||||
J.B. Hunt Transport Services, Inc. | 92 | 11,171 | ||||||
|
| |||||||
Total Industrials – 12.5% |
| 98,227 | ||||||
Information Technology |
| |||||||
Application Software – 8.2% |
| |||||||
Adobe Systems, Inc. (A) | 105 | 25,576 | ||||||
NVIDIA Corp. | 25 | 5,993 | ||||||
salesforce.com, Inc. (A) | 239 | 32,600 | ||||||
|
| |||||||
64,169 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 13.2% |
| |||||||
FleetCor Technologies, Inc. (A) | 32 | 6,678 | ||||||
MasterCard, Inc., Class A | 180 | 35,413 | ||||||
PayPal, Inc. (A) | 336 | 27,945 | ||||||
Visa, Inc., Class A | 253 | 33,549 | ||||||
|
| |||||||
103,585 | ||||||||
|
| |||||||
Home Entertainment Software – 2.3% |
| |||||||
Electronic Arts, Inc. (A) | 127 | 17,910 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Internet Software & Services – 7.3% |
| |||||||
Alphabet, Inc., Class A (A) | 19 | $ | 21,296 | |||||
Alphabet, Inc., Class C (A) | 13 | 14,334 | ||||||
Facebook, Inc., Class A (A) | 114 | 22,172 | ||||||
|
| |||||||
57,802 | ||||||||
|
| |||||||
Semiconductor Equipment – 0.7% |
| |||||||
Lam Research Corp. | 31 | 5,336 | ||||||
|
| |||||||
Semiconductors – 0.8% |
| |||||||
Microchip Technology, Inc. | 73 | 6,666 | ||||||
|
| |||||||
Systems Software – 6.7% |
| |||||||
Microsoft Corp. | 532 | 52,441 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 4.7% |
| |||||||
Apple, Inc. | 201 | 37,131 | ||||||
|
| |||||||
Total Information Technology – 43.9% |
| 345,040 | ||||||
Real Estate |
| |||||||
Specialized REITs – 1.2% |
| |||||||
American Tower Corp., Class A | 68 | 9,760 | ||||||
|
| |||||||
Total Real Estate – 1.2% |
| 9,760 | ||||||
TOTAL COMMON STOCKS – 98.5% |
| $ | 774,978 | |||||
(Cost: $539,367) |
| |||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (B) – 1.2% |
| |||||||
J.M. Smucker Co. (The), | ||||||||
2.200%, 7-2-18 | $9,151 | 9,149 | ||||||
|
| |||||||
Master Note – 0.4% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (C) | 2,939 | 2,939 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.6% |
| $ | 12,088 | |||||
(Cost: $12,089) |
| |||||||
TOTAL INVESTMENT SECURITIES – 100.1% |
| $ | 787,066 | |||||
(Cost: $551,456) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.1)% |
| (542 | ) | |||||
NET ASSETS – 100.0% |
| $ | 786,524 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Rate shown is the yield to maturity at June 30, 2018. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
2018 | SEMIANNUAL REPORT | 55 |
Table of Contents
SCHEDULE OF INVESTMENTS | GROWTH (in thousands) |
JUNE 30, 2018 (UNAUDITED)
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 774,978 | $ | — | $ | — | ||||||
Short-Term Securities | — | 12,088 | — | |||||||||
Total | $ | 774,978 | $ | 12,088 | $ | — |
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
LIBOR = London Interbank Offered Rate
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
56 | SEMIANNUAL REPORT | 2018 |
Table of Contents
PORTFOLIO HIGHLIGHTS | HIGH INCOME |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 5.4% | |||
Financials | 3.1% | |||
Energy | 1.0% | |||
Consumer Discretionary | 0.9% | |||
Consumer Staples | 0.4% | |||
Telecommunication Services | 0.0% | |||
Industrials | 0.0% | |||
Warrants | 0.0% | |||
Bonds | 86.7% | |||
Corporate Debt Securities | 66.8% | |||
Loans | 19.9% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 7.9% |
Quality Weightings
Non-Investment Grade | 86.7% | |||
BB | 9.2% | |||
B | 45.8% | |||
CCC | 26.0% | |||
Below CCC | 1.3% | |||
Non-rated | 4.4% | |||
Cash and Other Assets (Net of Liabilities), Cash Equivalents+ and Equities | 13.3% |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2018 | SEMIANNUAL REPORT | 57 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.1% |
| |||||||
True Religion Apparel, Inc. (A)(B)(C) | 13 | $ | 1,240 | |||||
|
| |||||||
Broadcasting – 0.0% |
| |||||||
Cumulus Media, Inc., Class A (A) | 22 | 364 | ||||||
|
| |||||||
Cable & Satellite – 0.1% |
| |||||||
Altice N.V., Class A (A)(B)(D) | 78 | 316 | ||||||
Altice USA, Inc., Class A | 32 | 551 | ||||||
|
| |||||||
867 | ||||||||
|
| |||||||
Casinos & Gaming – 0.0% |
| |||||||
New Cotai Participation Corp., Class B (A)(C)(E) | — | * | 52 | |||||
|
| |||||||
Education Services – 0.7% |
| |||||||
Laureate Education, Inc., Class A (A) | 443 | 6,343 | ||||||
|
| |||||||
Total Consumer Discretionary – 0.9% |
| 8,866 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 0.0% |
| |||||||
ASG Warrant Corp. (A)(C) | 1 | — | ||||||
|
| |||||||
Total Consumer Staples – 0.0% |
| — | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 0.0% |
| |||||||
Larchmont Resources LLC (A)(B)(E)(F) | 1 | 277 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.1% |
| |||||||
Midstates Petroleum Co., Inc. (A) | 64 | 868 | ||||||
Sabine Oil & Gas Corp. (A)(E) | — | * | 13 | |||||
|
| |||||||
881 | ||||||||
|
| |||||||
Total Energy – 0.1% |
| 1,158 | ||||||
Financials |
| |||||||
Other Diversified Financial Services – 0.4% |
| |||||||
J.G. Wentworth Co. (The) (C)(E) | 364 | 3,371 | ||||||
|
| |||||||
Total Financials – 0.4% |
| 3,371 | ||||||
Industrials |
| |||||||
Air Freight & Logistics – 0.0% |
| |||||||
BIS Industries Ltd. (C)(E) | 1,605 | 103 | ||||||
|
| |||||||
Total Industrials – 0.0% |
| 103 | ||||||
TOTAL COMMON STOCKS – 1.4% |
| $ | 13,498 | |||||
(Cost: $13,386) |
|
INVESTMENT FUNDS | Shares | Value | ||||||
Registered Investment Companies – 2.7% |
| |||||||
iShares iBoxx $ High Yield Corporate Bond ETF (D) | 290 | $ | 24,673 | |||||
|
| |||||||
TOTAL INVESTMENT FUNDS – 2.7% |
| $ | 24,673 | |||||
(Cost: $25,202) |
| |||||||
PREFERRED STOCKS | ||||||||
Consumer Staples |
| |||||||
Agricultural Products – 0.4% |
| |||||||
Pinnacle Agriculture Enterprises LLC (A)(C)(E) | 4,583 | 3,794 | ||||||
|
| |||||||
Total Consumer Staples – 0.4% |
| 3,794 | ||||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 0.9% |
| |||||||
Targa Resources Corp., 9.500% (A)(E) | 8 | 8,345 | ||||||
|
| |||||||
Total Energy – 0.9% |
| 8,345 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 0.0% |
| |||||||
Frontier Communications Corp., Convertible Series A, 11.125% | 11 | 109 | ||||||
|
| |||||||
Total Telecommunication Services – 0.0% |
| 109 | ||||||
TOTAL PREFERRED STOCKS – 1.3% |
| $ | 12,248 | |||||
(Cost: $11,222) |
| |||||||
WARRANTS | ||||||||
Oil & Gas Exploration & Production – 0.0% |
| |||||||
Sabine Oil & Gas Corp., expires 12-29-29 (E)(G) | 1 | 6 | ||||||
|
| |||||||
6 | ||||||||
|
| |||||||
TOTAL WARRANTS – 0.0% |
| $ | 6 | |||||
(Cost: $7) |
| |||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Consumer Discretionary |
| |||||||
Advertising – 0.3% |
| |||||||
Acosta, Inc., | ||||||||
7.750%, 10-1-22 (H) | $ | 4,493 | 2,246 | |||||
Outfront Media Capital LLC and Outfront Media Capital Corp., | ||||||||
5.625%, 2-15-24 | 573 | 580 | ||||||
|
| |||||||
2,826 | ||||||||
|
| |||||||
Automotive Retail – 0.5% |
| |||||||
Allison Transmission, Inc., | ||||||||
5.000%, 10-1-24 (H) | 781 | 768 | ||||||
Penske Automotive Group, Inc., | ||||||||
5.500%, 5-15-26 | 474 | 465 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Automotive Retail (Continued) |
| |||||||
Sonic Automotive, Inc., | ||||||||
5.000%, 5-15-23 | $ | 3,603 | $ | 3,441 | ||||
|
| |||||||
4,674 | ||||||||
|
| |||||||
Broadcasting – 3.0% |
| |||||||
Clear Channel International B.V., | ||||||||
8.750%, 12-15-20 (H) | 725 | 750 | ||||||
Clear Channel Outdoor Holdings, Inc., | ||||||||
6.500%, 11-15-22 | 9,435 | 9,609 | ||||||
Clear Channel Worldwide Holdings, Inc., Series A, | ||||||||
7.625%, 3-15-20 | 101 | 100 | ||||||
Clear Channel Worldwide Holdings, Inc., Series B, | ||||||||
7.625%, 3-15-20 | 6,130 | 6,094 | ||||||
Sirius XM Radio, Inc.: | ||||||||
4.625%, 5-15-23 (H) | 2,524 | 2,470 | ||||||
6.000%, 7-15-24 (H) | 8,000 | 8,150 | ||||||
|
| |||||||
27,173 | ||||||||
|
| |||||||
Cable & Satellite – 8.4% |
| |||||||
Altice Financing S.A.: | ||||||||
6.625%, 2-15-23 (H) | 1,725 | 1,700 | ||||||
7.500%, 5-15-26 (H) | 4,462 | 4,316 | ||||||
Altice S.A.: | ||||||||
7.250%, 5-15-22 (H)(I) | EUR | 256 | 300 | |||||
7.750%, 5-15-22 (D)(H) | $ | 13,756 | 13,309 | |||||
6.250%, 2-15-25 (H)(I) | EUR | 354 | 395 | |||||
7.625%, 2-15-25 (D)(H) | $ | 4,103 | 3,775 | |||||
Altice U.S. Finance I Corp.: | ||||||||
5.375%, 7-15-23 (H) | 3,161 | 3,145 | ||||||
5.500%, 5-15-26 (H) | 2,745 | 2,649 | ||||||
Block Communications, Inc., | ||||||||
6.875%, 2-15-25 (H) | 609 | 607 | ||||||
CCO Holdings LLC and CCO Holdings Capital Corp.: | ||||||||
5.500%, 5-1-26 (H) | 1,187 | 1,151 | ||||||
5.000%, 2-1-28 (H) | 4,233 | 3,873 | ||||||
CSC Holdings LLC, | ||||||||
5.375%, 2-1-28 (H) | 4,930 | 4,560 | ||||||
DISH DBS Corp.: | ||||||||
6.750%, 6-1-21 | 1,936 | 1,939 | ||||||
5.875%, 7-15-22 | 2,310 | 2,171 | ||||||
5.875%, 11-15-24 | 454 | 384 | ||||||
7.750%, 7-1-26 | 1,932 | 1,693 | ||||||
Neptune Finco Corp.: | ||||||||
10.125%, 1-15-23 (H) | 4,123 | 4,546 | ||||||
6.625%, 10-15-25 (H) | 788 | 807 | ||||||
10.875%, 10-15-25 (H) | 2,746 | 3,165 | ||||||
Numericable – SFR S.A., | ||||||||
7.375%, 5-1-26 (H) | 10,505 | 10,271 | ||||||
VTR Finance B.V., | ||||||||
6.875%, 1-15-24 (H) | 11,391 | 11,445 | ||||||
|
| |||||||
76,201 | ||||||||
|
| |||||||
Casinos & Gaming – 2.7% |
| |||||||
Everi Payments, Inc., | ||||||||
7.500%, 12-15-25 (H) | 4,320 | 4,331 | ||||||
Gateway Casinos & Entertainment Ltd., | ||||||||
8.250%, 3-1-24 (H) | 2,588 | 2,730 |
58 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2018 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Casinos & Gaming (Continued) |
| |||||||
Golden Nugget, Inc.: | ||||||||
6.750%, 10-15-24 (H) | $ | 6,150 | $ | 6,151 | ||||
8.750%, 10-1-25 (H) | 2,460 | 2,527 | ||||||
Stars Group Holdings B.V. and Stars Group (U.S.) Co-Borrower LLC, | ||||||||
7.000%, 7-15-26 (H) | 2,529 | 2,554 | ||||||
Studio City Finance Ltd., | ||||||||
8.500%, 12-1-20 (H) | 4,598 | 4,621 | ||||||
Wynn Macau Ltd.: | ||||||||
4.875%, 10-1-24 (H) | 855 | 816 | ||||||
5.500%, 10-1-27 (H) | 1,226 | 1,171 | ||||||
|
| |||||||
24,901 | ||||||||
|
| |||||||
Education Services – 2.0% |
| |||||||
Laureate Education, Inc., | ||||||||
8.250%, 5-1-25 (H) | 16,978 | 18,113 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.3% |
| |||||||
Boyne USA, Inc., | ||||||||
7.250%, 5-1-25 (H) | 2,468 | 2,573 | ||||||
|
| |||||||
Leisure Facilities – 0.2% |
| |||||||
Cedar Fair L.P., Magnum Management Corp., Canada’s Wonderland Co. and Millennium Operations LLC, | ||||||||
5.375%, 4-15-27 | 2,137 | 2,105 | ||||||
|
| |||||||
Movies & Entertainment – 0.2% |
| |||||||
WMG Acquisition Corp., | ||||||||
5.500%, 4-15-26 (H) | 1,878 | 1,862 | ||||||
|
| |||||||
Publishing – 0.4% |
| |||||||
E.W. Scripps Co., | ||||||||
5.125%, 5-15-25 (H) | 351 | 329 | ||||||
MDC Partners, Inc., | ||||||||
6.500%, 5-1-24 (H) | 3,949 | 3,426 | ||||||
|
| |||||||
3,755 | ||||||||
|
| |||||||
Restaurants – 0.5% |
| |||||||
1011778 B.C. Unlimited Liability Co. and New Red Finance, Inc., | ||||||||
5.000%, 10-15-25 (H) | 4,838 | 4,578 | ||||||
|
| |||||||
Specialized Consumer Services – 0.2% |
| |||||||
Nielsen Co. (Luxembourg) S.a.r.l. (The), | ||||||||
5.500%, 10-1-21 (H) | 2,371 | 2,383 | ||||||
|
| |||||||
Specialty Stores – 0.9% |
| |||||||
Arch Merger Sub, Inc., | ||||||||
8.500%, 9-15-25 (H) | 7,241 | 6,752 | ||||||
Cumberland Farms, Inc., | ||||||||
6.750%, 5-1-25 (H) | 1,904 | 1,928 | ||||||
|
| |||||||
8,680 | ||||||||
|
| |||||||
Total Consumer Discretionary – 19.6% |
| 179,824 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Staples |
| |||||||
Food Distributors – 0.7% |
| |||||||
Performance Food Group, Inc., | ||||||||
5.500%, 6-1-24 (H) | $ | 2,754 | $ | 2,719 | ||||
U.S. Foods, Inc., | ||||||||
5.875%, 6-15-24 (H) | 2,910 | 2,961 | ||||||
|
| |||||||
5,680 | ||||||||
|
| |||||||
Packaged Foods & Meats – 3.6% |
| |||||||
JBS Investments GmbH (GTD by JBS S.A. and JBS Hungary Holdings Kft.), | ||||||||
7.750%, 10-28-20 (H) | 400 | 407 | ||||||
JBS USA LLC and JBS USA Finance, Inc.: | ||||||||
5.875%, 7-15-24 (H) | 5,436 | 5,191 | ||||||
5.750%, 6-15-25 (H) | 4,378 | 4,072 | ||||||
JBS USA Lux S.A. and JBS USA Finance, Inc., | ||||||||
6.750%, 2-15-28 (H) | 3,115 | 2,943 | ||||||
Pilgrim’s Pride Corp.: | ||||||||
5.750%, 3-15-25 (H) | 881 | 846 | ||||||
5.875%, 9-30-27 (H) | 3,082 | 2,858 | ||||||
Post Holdings, Inc.: | ||||||||
5.500%, 3-1-25 (H) | 781 | 762 | ||||||
5.000%, 8-15-26 (H) | 1,267 | 1,182 | ||||||
5.750%, 3-1-27 (H) | 5,618 | 5,421 | ||||||
Simmons Foods, Inc., | ||||||||
5.750%, 11-1-24 (H) | 10,900 | 9,456 | ||||||
|
| |||||||
33,138 | ||||||||
|
| |||||||
Total Consumer Staples – 4.3% |
| 38,818 | ||||||
Energy |
| |||||||
Oil & Gas Drilling – 1.3% |
| |||||||
Ensco plc, | ||||||||
7.750%, 2-1-26 | 2,484 | 2,347 | ||||||
KCA Deutag UK Finance plc, | ||||||||
7.250%, 5-15-21 (H) | 5,209 | 5,040 | ||||||
Offshore Drilling Holding S.A., | ||||||||
8.375%, 9-20-20 (H)(J) | 8,682 | 4,384 | ||||||
Offshore Group Investment Ltd., | ||||||||
0.000%, 11-1-19 (C)(K) | 1,693 | |||||||
Trinidad Drilling Ltd., | ||||||||
6.625%, 2-15-25 (H) | 52 | 50 | ||||||
|
| |||||||
11,821 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.8% |
| |||||||
Brand Energy & Infrastructure Services, Inc., | ||||||||
8.500%, 7-15-25 (H) | 3,292 | 3,333 | ||||||
McDermott Escrow 1, Inc. and McDermott Escrow 2, Inc., | ||||||||
10.625%, 5-1-24 (H) | 2,909 | 3,033 | ||||||
SESI LLC, | ||||||||
7.125%, 12-15-21 | 1,114 | 1,134 | ||||||
|
| |||||||
7,500 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 3.6% |
| |||||||
Bellatrix Exploration Ltd., | ||||||||
8.500%, 5-15-20 (H) | 2,965 | 1,972 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Exploration & Production (Continued) |
| |||||||
Chesapeake Energy Corp., | ||||||||
8.000%, 1-15-25 (D) | $ | 377 | $ | 384 | ||||
Crownrock L.P., | ||||||||
5.625%, 10-15-25 (H) | 7,521 | 7,258 | ||||||
Endeavor Energy Resources L.P.: | ||||||||
5.500%, 1-30-26 (H) | 2,453 | 2,380 | ||||||
5.750%, 1-30-28 (H) | 1,789 | 1,744 | ||||||
Extraction Oil & Gas, Inc., | ||||||||
5.625%, 2-1-26 (H) | 3,370 | 3,227 | ||||||
Laredo Petroleum, Inc., | ||||||||
6.250%, 3-15-23 | 821 | 822 | ||||||
Parsley Energy LLC and Parsley Finance Corp., | ||||||||
5.625%, 10-15-27 (H) | 1,752 | 1,739 | ||||||
PDC Energy, Inc., | ||||||||
6.125%, 9-15-24 | 394 | 402 | ||||||
Sanchez Energy Corp., | ||||||||
7.250%, 2-15-23 (D)(H) | 622 | 616 | ||||||
Seven Generations Energy Ltd.: | ||||||||
6.750%, 5-1-23 (H) | 5,905 | 6,112 | ||||||
5.375%, 9-30-25 (H) | 2,523 | 2,425 | ||||||
Ultra Resources, Inc., | ||||||||
6.875%, 4-15-22 (H) | 1,396 | 1,057 | ||||||
Whiting Petroleum Corp.: | ||||||||
5.750%, 3-15-21 | 1,363 | 1,393 | ||||||
6.625%, 1-15-26 (H) | 1,239 | 1,278 | ||||||
|
| |||||||
32,809 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.8% |
| |||||||
Callon Petroleum Co. (GTD by Callon Petroleum Operating Co.): | ||||||||
6.125%, 10-1-24 | 1,081 | 1,094 | ||||||
6.375%, 7-1-26 (H) | 386 | 387 | ||||||
Comstock Resources, Inc. (10.000% Cash or 12.500% PIK), | ||||||||
10.000%, 3-15-20 (L) | 2,559 | 2,674 | ||||||
EP Energy LLC and Everest Acquisition Finance, Inc., | ||||||||
7.750%, 5-15-26 (H) | 1,933 | 1,977 | ||||||
QEP Resources, Inc., | ||||||||
5.625%, 3-1-26 | 1,599 | 1,527 | ||||||
|
| |||||||
7,659 | ||||||||
|
| |||||||
Total Energy – 6.5% |
| 59,789 | ||||||
Financials |
| |||||||
Consumer Finance – 1.1% |
| |||||||
Creditcorp, | ||||||||
12.000%, 7-15-18 (H) | 4,228 | 4,228 | ||||||
CURO Financial Technologies Corp., | ||||||||
12.000%, 3-1-22 (H) | 952 | 1,033 | ||||||
Quicken Loans, Inc., | ||||||||
5.750%, 5-1-25 (H) | 5,176 | 5,066 | ||||||
|
| |||||||
10,327 | ||||||||
|
| |||||||
Insurance Brokers – 1.1% |
| |||||||
NFP Corp., | ||||||||
6.875%, 7-15-25 (H) | 10,370 | 10,163 | ||||||
|
|
2018 | SEMIANNUAL REPORT | 59 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2018 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Investment Banking & Brokerage – 0.1% |
| |||||||
VHF Parent LLC, | ||||||||
6.750%, 6-15-22 (H) | $ | 824 | $ | 854 | ||||
|
| |||||||
Other Diversified Financial Services – 4.2% |
| |||||||
Balboa Merger Sub, Inc., | ||||||||
11.375%, 12-1-21 (H) | 9,982 | 10,781 | ||||||
Icahn Enterprises L.P. and Icahn Enterprises Finance Corp.: | ||||||||
6.250%, 2-1-22 | 3,681 | 3,755 | ||||||
6.375%, 12-15-25 | 1,227 | 1,228 | ||||||
New Cotai LLC and New Cotai Capital Corp. (10.625% Cash or 10.625% PIK), | ||||||||
10.625%, 5-1-19 (H)(L) | 23,529 | 23,176 | ||||||
|
| |||||||
38,940 | ||||||||
|
| |||||||
Property & Casualty Insurance – 1.0% |
| |||||||
Amwins Group, Inc., | ||||||||
7.750%, 7-1-26 (H) | 3,153 | 3,201 | ||||||
Hub International Ltd., | ||||||||
7.000%, 5-1-26 (H) | 6,394 | 6,314 | ||||||
|
| |||||||
9,515 | ||||||||
|
| |||||||
Specialized Finance – 1.3% |
| |||||||
Compass Group Diversified Holdings LLC, | ||||||||
8.000%, 5-1-26 (H) | 2,534 | 2,471 | ||||||
Hadrian Merger Sub, Inc., | ||||||||
8.500%, 5-1-26 (H) | 4,714 | 4,584 | ||||||
TMX Finance LLC and TitleMax Finance Corp., | ||||||||
11.125%, 4-1-23 (H) | 3,903 | 3,962 | ||||||
|
| |||||||
11,017 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.3% |
| |||||||
Provident Funding Associates L.P. and PFG Finance Corp., | ||||||||
6.375%, 6-15-25 (H) | 2,943 | 2,865 | ||||||
|
| |||||||
Total Financials – 9.1% |
| 83,681 | ||||||
Health Care |
| |||||||
Health Care Facilities – 0.9% |
| |||||||
DaVita HealthCare Partners, Inc., | ||||||||
5.125%, 7-15-24 | 548 | 532 | ||||||
HCA, Inc. (GTD by HCA Holdings, Inc.), | ||||||||
5.250%, 6-15-26 | 386 | 383 | ||||||
MPH Acquisition Holdings LLC, | ||||||||
7.125%, 6-1-24 (H) | 1,906 | 1,954 | ||||||
Surgery Center Holdings, Inc., | ||||||||
8.875%, 4-15-21 (H) | 4,607 | 4,739 | ||||||
|
| |||||||
7,608 | ||||||||
|
| |||||||
Health Care Supplies – 0.9% |
| |||||||
Kinetic Concepts, Inc. and KCI USA, Inc., | ||||||||
12.500%, 11-1-21 (H) | 465 | 514 | ||||||
Universal Hospital Services, Inc., | ||||||||
7.625%, 8-15-20 | 8,232 | 8,211 | ||||||
|
| |||||||
8,725 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Life Sciences Tools & Services – 0.7% |
| |||||||
Avantor, Inc.: | ||||||||
6.000%, 10-1-24 (H) | $ | 2,149 | $ | 2,126 | ||||
9.000%, 10-1-25 (H) | 4,412 | 4,446 | ||||||
|
| |||||||
6,572 | ||||||||
|
| |||||||
Pharmaceuticals – 1.6% |
| |||||||
Concordia Healthcare Corp.: | ||||||||
9.500%, 10-21-22 (H)(M) | 10,096 | 606 | ||||||
7.000%, 4-15-23 (H)(M) | 1,144 | 68 | ||||||
Jaguar Holding Co. II and Pharmaceutical Product Development LLC, | ||||||||
6.375%, 8-1-23 (H) | 2,117 | 2,107 | ||||||
Valeant Pharmaceuticals International, Inc.: | ||||||||
5.500%, 3-1-23 (H) | 117 | 109 | ||||||
5.500%, 11-1-25 (H) | 1,252 | 1,234 | ||||||
9.000%, 12-15-25 (H) | 855 | 887 | ||||||
9.250%, 4-1-26 (H) | 2,515 | 2,612 | ||||||
8.500%, 1-31-27 (H) | 1,934 | 1,963 | ||||||
VPII Escrow Corp., | ||||||||
7.500%, 7-15-21 (H) | 1,750 | 1,777 | ||||||
VRX Escrow Corp.: | ||||||||
5.875%, 5-15-23 (H) | 1,882 | 1,768 | ||||||
6.125%, 4-15-25 (H) | 1,727 | 1,591 | ||||||
|
| |||||||
14,722 | ||||||||
|
| |||||||
Total Health Care – 4.1% |
| 37,627 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 2.7% |
| |||||||
KLX, Inc., | ||||||||
5.875%, 12-1-22 (H) | 7,169 | 7,447 | ||||||
TransDigm UK Holdings plc, | ||||||||
6.875%, 5-15-26 (H) | 2,171 | 2,201 | ||||||
TransDigm, Inc. (GTD by TransDigm Group, Inc.): | ||||||||
6.000%, 7-15-22 | 5,075 | 5,102 | ||||||
6.500%, 7-15-24 | 6,077 | 6,183 | ||||||
6.500%, 5-15-25 | 1,162 | 1,175 | ||||||
6.375%, 6-15-26 | 2,490 | 2,471 | ||||||
|
| |||||||
24,579 | ||||||||
|
| |||||||
Building Products – 0.2% |
| |||||||
Summit Materials LLC and Summit Materials Finance Corp., | ||||||||
6.125%, 7-15-23 | 777 | 789 | ||||||
WESCO Distribution, Inc. (GTD by WESCO International, Inc.), | ||||||||
5.375%, 6-15-24 | 953 | 936 | ||||||
|
| |||||||
1,725 | ||||||||
|
| |||||||
Diversified Support Services – 0.5% |
| |||||||
Ahern Rentals, Inc., | ||||||||
7.375%, 5-15-23 (H) | 3,901 | 3,803 | ||||||
Ritchie Bros. Auctioneers, Inc., | ||||||||
5.375%, 1-15-25 (H) | 690 | 669 | ||||||
United Rentals (North America), Inc. (GTD by United Rentals, Inc.), | ||||||||
5.875%, 9-15-26 | 472 | 476 | ||||||
|
| |||||||
4,948 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Environmental & Facilities Services – 1.1% |
| |||||||
GFL Environmental, Inc.: | ||||||||
5.625%, 5-1-22 (H) | $ | 820 | $ | 789 | ||||
5.375%, 3-1-23 (H) | 4,399 | 4,069 | ||||||
7.000%, 6-1-26 (H) | 3,835 | 3,672 | ||||||
Tervita Escrow Corp., | ||||||||
7.625%, 12-1-21 (H) | 1,289 | 1,315 | ||||||
Waste Pro USA, Inc., | ||||||||
5.500%, 2-15-26 (H) | 482 | 463 | ||||||
|
| |||||||
10,308 | ||||||||
|
| |||||||
Security & Alarm Services – 0.9% |
| |||||||
Prime Security Services Borrower LLC, | ||||||||
9.250%, 5-15-23 (H) | 7,504 | 8,011 | ||||||
|
| |||||||
Total Industrials – 5.4% |
| 49,571 | ||||||
Information Technology |
| |||||||
Application Software – 1.4% |
| |||||||
Kronos Acquisition Holdings, Inc., | ||||||||
9.000%, 8-15-23 (H) | 13,902 | 12,512 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 2.4% |
| |||||||
Alliance Data Systems Corp.: | ||||||||
5.875%, 11-1-21 (H) | 1,346 | 1,373 | ||||||
5.375%, 8-1-22 (H) | 6,395 | 6,426 | ||||||
Italics Merger Sub, Inc., | ||||||||
7.125%, 7-15-23 (H) | 12,951 | 13,083 | ||||||
j2 Cloud Services LLC and j2 Global, Inc., | ||||||||
6.000%, 7-15-25 (H) | 1,192 | 1,207 | ||||||
|
| |||||||
22,089 | ||||||||
|
| |||||||
IT Consulting & Other Services – 1.5% |
| |||||||
Cardtronics, Inc. and Cardtronics USA, Inc., | ||||||||
5.500%, 5-1-25 (H) | 687 | 622 | ||||||
NCR Escrow Corp.: | ||||||||
5.875%, 12-15-21 | 4,719 | 4,790 | ||||||
6.375%, 12-15-23 | 4,266 | 4,420 | ||||||
Pioneer Holding Corp., | ||||||||
9.000%, 11-1-22 (H) | 3,739 | 3,861 | ||||||
|
| |||||||
13,693 | ||||||||
|
| |||||||
Total Information Technology – 5.3% |
| 48,294 | ||||||
Materials |
| |||||||
Aluminum – 1.3% |
| |||||||
Constellium N.V.: | ||||||||
5.750%, 5-15-24 (H) | 3,551 | 3,426 | ||||||
6.625%, 3-1-25 (H) | 4,140 | 4,171 | ||||||
5.875%, 2-15-26 (H) | 2,322 | 2,241 | ||||||
Novelis Corp. (GTD by Novelis, Inc.): | ||||||||
6.250%, 8-15-24 (H) | 1,471 | 1,471 | ||||||
5.875%, 9-30-26 (H) | 985 | 943 | ||||||
|
| |||||||
12,252 | ||||||||
|
|
60 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2018 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Commodity Chemicals – 0.4% |
| |||||||
NOVA Chemicals Corp.: | ||||||||
4.875%, 6-1-24 (H) | $ | 2,943 | $ | 2,796 | ||||
5.250%, 6-1-27 (H) | 1,177 | 1,097 | ||||||
|
| |||||||
3,893 | ||||||||
|
| |||||||
Construction Materials – 0.7% |
| |||||||
Hillman Group, Inc. (The), | ||||||||
6.375%, 7-15-22 (H) | 6,615 | 6,334 | ||||||
|
| |||||||
Diversified Chemicals – 0.2% |
| |||||||
PSPC Escrow Corp., | ||||||||
6.500%, 2-1-22 (H) | 1,923 | 1,956 | ||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.7% |
| |||||||
Pinnacle Operating Corp., | ||||||||
9.000%, 5-15-23 (H) | 6,601 | 6,205 | ||||||
|
| |||||||
Metal & Glass Containers – 1.7% |
| |||||||
ARD Finance S.A. (7.125% Cash or 7.875% PIK), | ||||||||
7.125%, 9-15-23 (L) | 548 | 549 | ||||||
ARD Securities Finance S.a.r.l. (8.750% Cash or 8.750% PIK), | ||||||||
8.750%, 1-31-23 (H)(L) | 1,450 | 1,476 | ||||||
BakerCorp International, Inc., | ||||||||
8.250%, 6-1-19 | 12,540 | 12,133 | ||||||
HudBay Minerals, Inc.: | ||||||||
7.250%, 1-15-23 (H) | 408 | 420 | ||||||
7.625%, 1-15-25 (H) | 611 | 640 | ||||||
|
| |||||||
15,218 | ||||||||
|
| |||||||
Paper Packaging – 0.1% |
| |||||||
Flex Acquisition Co., Inc., | ||||||||
6.875%, 1-15-25 (H) | 727 | 700 | ||||||
|
| |||||||
Specialty Chemicals – 0.1% |
| |||||||
Kraton Polymers LLC and Kraton Polymers Capital Corp., | ||||||||
7.000%, 4-15-25 (H) | 1,082 | 1,120 | ||||||
|
| |||||||
Total Materials – 5.2% |
| 47,678 | ||||||
Real Estate |
| |||||||
Health Care REITs – 0.0% |
| |||||||
MPT Operating Partnership L.P. and MPT Finance Corp. (GTD by Medical Properties Trust, Inc.), | ||||||||
5.250%, 8-1-26 | 486 | 476 | ||||||
|
| |||||||
Total Real Estate – 0.0% |
| 476 | ||||||
Telecommunication Services |
| |||||||
Alternative Carriers – 1.0% |
| |||||||
Consolidated Communications Finance II Co., | ||||||||
6.500%, 10-1-22 | 4,720 | 4,401 | ||||||
Level 3 Communications, Inc., | ||||||||
5.750%, 12-1-22 | 1,317 | 1,317 | ||||||
Level 3 Escrow II, Inc., | ||||||||
5.375%, 8-15-22 | 3,015 | 3,015 | ||||||
|
| |||||||
8,733 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Integrated Telecommunication Services – 5.8% |
| |||||||
Frontier Communications Corp.: | ||||||||
6.875%, 1-15-25 (D) | $ | 4,973 | $ | 3,201 | ||||
11.000%, 9-15-25 (D) | 8,236 | 6,586 | ||||||
8.500%, 4-1-26 (H) | 3,126 | 3,017 | ||||||
GCI, Inc., | ||||||||
6.875%, 4-15-25 | 4,808 | 4,978 | ||||||
Olympus Merger Sub, Inc., | ||||||||
8.500%, 10-15-25 (H) | 15,487 | 14,132 | ||||||
Sprint Corp.: | ||||||||
7.250%, 9-15-21 | 9,523 | 9,904 | ||||||
7.875%, 9-15-23 | 7,201 | 7,466 | ||||||
7.125%, 6-15-24 | 2,049 | 2,069 | ||||||
7.625%, 3-1-26 | 1,879 | 1,914 | ||||||
|
| |||||||
53,267 | ||||||||
|
| |||||||
Wireless Telecommunication Service – 0.5% |
| |||||||
Sable International Finance Ltd., | ||||||||
6.875%, 8-1-22 (H) | 2,985 | 3,074 | ||||||
Sprint Nextel Corp.: | ||||||||
9.000%, 11-15-18 (H) | 211 | 215 | ||||||
7.000%, 8-15-20 | 466 | 482 | ||||||
11.500%, 11-15-21 | 389 | 459 | ||||||
|
| |||||||
4,230 | ||||||||
|
| |||||||
Total Telecommunication Services – 7.3% |
| 66,230 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 66.8% |
| $ | 611,988 | |||||
(Cost: $634,382) | ||||||||
LOANS (N) | ||||||||
Consumer Discretionary |
| |||||||
Advertising – 0.5% |
| |||||||
Advantage Sales & Marketing, Inc. (ICE LIBOR plus 325 bps), | ||||||||
5.344%, 7-25-21 | 802 | 756 | ||||||
Advantage Sales & Marketing, Inc. (ICE LIBOR plus 650 bps), | ||||||||
8.594%, 7-25-22 | 3,593 | 3,253 | ||||||
|
| |||||||
4,009 | ||||||||
|
| |||||||
Apparel Retail – 1.6% |
| |||||||
J. Crew Group, Inc., | ||||||||
0.000%, 3-5-21 (O) | 2,996 | 2,493 | ||||||
Talbots, Inc. (The) (ICE LIBOR plus 450 bps), | ||||||||
6.594%, 3-19-20 | 4,314 | 4,241 | ||||||
Talbots, Inc. (The) (ICE LIBOR plus 850 bps), | ||||||||
10.594%, 3-19-21 | 6,503 | 6,292 | ||||||
TRLG Intermediate Holdings LLC, | ||||||||
10.000%, 10-27-22 (C) | 1,544 | 1,421 | ||||||
|
| |||||||
14,447 | ||||||||
|
| |||||||
Cable & Satellite – 0.0% |
| |||||||
Liberty Cablevision of Puerto Rico LLC (ICE LIBOR plus 350 bps), | ||||||||
5.848%, 1-7-22 | 96 | 93 | ||||||
|
|
LOANS (N) (Continued) | Principal | Value | ||||||
Department Stores – 0.3% |
| |||||||
Belk, Inc. (ICE LIBOR plus 475 bps), | ||||||||
7.088%, 12-10-22 | $ | 3,129 | $ | 2,413 | ||||
|
| |||||||
Education Services – 0.7% |
| |||||||
Laureate Education, Inc. (ICE LIBOR plus 350 bps), | ||||||||
5.594%, 4-26-24 | 6,451 | 6,446 | ||||||
|
| |||||||
General Merchandise Stores – 1.5% |
| |||||||
BJ’s Wholesale Club, Inc. (ICE LIBOR plus 375 bps), | ||||||||
5.530%, 2-3-24 | 7,743 | 7,735 | ||||||
BJ’s Wholesale Club, Inc. (ICE LIBOR plus 750 bps), | ||||||||
9.530%, 1-27-25 | 6,154 | 6,208 | ||||||
|
| |||||||
13,943 | ||||||||
|
| |||||||
Housewares & Specialties – 0.3% |
| |||||||
KIK Custom Products, Inc. (ICE LIBOR plus 400 bps), | ||||||||
6.094%, 5-15-23 | 2,573 | 2,553 | ||||||
|
| |||||||
Restaurants – 0.5% |
| |||||||
NPC International, Inc. (ICE LIBOR plus 350 bps), | ||||||||
5.594%, 4-20-24 | 803 | 807 | ||||||
NPC International, Inc. (ICE LIBOR plus 750 bps), | ||||||||
9.594%, 4-18-25 | 3,326 | 3,359 | ||||||
|
| |||||||
4,166 | ||||||||
|
| |||||||
Specialized Consumer Services – 0.5% |
| |||||||
Asurion LLC: | ||||||||
0.000%, 11-3-24(O) | 2,522 | 2,509 | ||||||
0.000%, 8-4-25(O) | 1,261 | 1,258 | ||||||
Asurion LLC (ICE LIBOR plus 600 bps), | ||||||||
8.094%, 8-4-25 (C) | 600 | 608 | ||||||
|
| |||||||
4,375 | ||||||||
|
| |||||||
Specialty Stores – 1.1% |
| |||||||
Jo-Ann Stores, Inc. (ICE LIBOR plus 500 bps), | ||||||||
7.509%, 10-16-23 | 3,268 | 3,241 | ||||||
Jo-Ann Stores, Inc. (ICE LIBOR plus 925 bps), | ||||||||
11.581%, 5-21-24 (C) | 6,386 | 6,306 | ||||||
|
| |||||||
9,547 | ||||||||
|
| |||||||
Textiles – 0.4% |
| |||||||
SIWF Holdings, Inc., | ||||||||
0.000%, 5-25-25 (O) | 1,290 | 1,295 | ||||||
SIWF Holdings, Inc. (ICE LIBOR plus 425 bps), | ||||||||
6.323%, 5-25-25 | 2,579 | 2,589 | ||||||
|
| |||||||
3,884 | ||||||||
|
| |||||||
Total Consumer Discretionary – 7.4% |
| 65,876 |
2018 | SEMIANNUAL REPORT | 61 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2018 (UNAUDITED)
LOANS (N) (Continued) | Principal | Value | ||||||
Consumer Staples |
| |||||||
Food Distributors – 0.2% |
| |||||||
Dairyland USA Corp. (ICE LIBOR plus 400 bps), | ||||||||
6.090%, 6-22-22 | $ | 1,920 | $ | 1,932 | ||||
|
| |||||||
Hypermarkets & Super Centers – 0.2% |
| |||||||
GOBP Holdings, Inc. (ICE LIBOR plus 825 bps), | ||||||||
10.344%, 10-21-22 | 1,807 | 1,812 | ||||||
�� |
|
| ||||||
Total Consumer Staples – 0.4% |
| 3,744 | ||||||
Energy |
| |||||||
Coal & Consumable Fuels – 0.9% |
| |||||||
Foresight Energy LLC (ICE LIBOR plus 725 bps), | ||||||||
8.109%, 3-28-22 | 7,134 | 7,078 | ||||||
Westmoreland Coal Co. (ICE LIBOR plus 650 bps), | ||||||||
8.834%, 12-16-20 | 3,865 | 901 | ||||||
|
| |||||||
7,979 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.1% |
| |||||||
Larchmont Resources LLC (9.050% Cash or 9.050% PIK), | ||||||||
11.330%, 8-7-20 (C)(F)(L) | 886 | 872 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.2% |
| |||||||
California Resources Corp. (ICE LIBOR plus 475 bps), | ||||||||
6.838%, 12-31-22 | 1,928 | 1,960 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 0.6% |
| |||||||
Bowie Resources Holdings LLC (ICE LIBOR plus 1,075 bps), | ||||||||
12.844%, 2-16-21 (C) | 1,911 | 1,720 | ||||||
Bowie Resources Holdings LLC (ICE LIBOR plus 575 bps), | ||||||||
7.844%, 8-12-20 | 3,616 | 3,549 | ||||||
|
| |||||||
5,269 | ||||||||
|
| |||||||
Total Energy – 1.8% |
| 16,080 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.6% |
| |||||||
Edelman Financial Holdings II, Inc., | ||||||||
0.000%, 6-26-26 (O) | 4,048 | 4,071 | ||||||
Tortoise Borrower LLC (ICE LIBOR plus 400 bps), | ||||||||
6.094%, 1-31-25 (C) | 1,669 | 1,677 | ||||||
|
| |||||||
5,748 | ||||||||
|
| |||||||
Financial Exchanges & Data – 0.3% |
| |||||||
Hudson River Trading LLC (ICE LIBOR plus 425 bps), | ||||||||
6.344%, 4-3-25 (C) | 2,205 | 2,211 | ||||||
|
| |||||||
Insurance Brokers – 0.2% |
| |||||||
NFP Corp. (ICE LIBOR plus 300 bps), | ||||||||
5.094%, 1-8-24 | 1,646 | 1,634 | ||||||
|
|
LOANS (N) (Continued) | Principal | Value | ||||||
Investment Banking & Brokerage – 0.8% |
| |||||||
Jane Street Group LLC (ICE LIBOR plus 375 bps), | ||||||||
5.844%, 8-25-22 (C) | $ | 7,497 | $ | 7,543 | ||||
|
| |||||||
Property & Casualty Insurance – 0.2% |
| |||||||
Hub International Ltd. (ICE LIBOR plus 300 bps), | ||||||||
5.360%, 4-25-25 | 1,603 | 1,592 | ||||||
|
| |||||||
Specialized Finance – 1.2% |
| |||||||
Mayfield Agency Borrower, Inc. (ICE LIBOR plus 450 bps), | ||||||||
6.594%, 2-28-25 | 8,500 | 8,489 | ||||||
Mayfield Agency Borrower, Inc. (ICE LIBOR plus 850 bps), | ||||||||
10.594%, 2-28-26 (C) | 2,807 | 2,765 | ||||||
|
| |||||||
11,254 | ||||||||
|
| |||||||
Total Financials – 3.3% |
| 29,982 | ||||||
Health Care |
| |||||||
Health Care Equipment – 0.1% |
| |||||||
LifeScan Global Corp., | ||||||||
0.000%, 6-19-25 (C)(H)(O) | 632 | 605 | ||||||
|
| |||||||
Health Care Facilities – 1.0% |
| |||||||
Gentiva Health Services, Inc.: | ||||||||
0.000%, 6-21-25 (C)(O) | 7,587 | 7,530 | ||||||
0.000%, 6-21-26 (C)(O) | 1,897 | 1,916 | ||||||
|
| |||||||
9,446 | ||||||||
|
| |||||||
Health Care Services – 0.5% |
| |||||||
Heartland Dental LLC, | ||||||||
0.000%, 4-30-25 (C)(O) | 625 | 622 | ||||||
Heartland Dental LLC (ICE LIBOR plus 375 bps), | ||||||||
5.844%, 4-30-25 (C) | 4,169 | 4,143 | ||||||
|
| |||||||
4,765 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 0.0% |
| |||||||
Avantor, Inc. (ICE LIBOR plus 400 bps), | ||||||||
6.094%, 9-22-24 | 225 | 225 | ||||||
|
| |||||||
Pharmaceuticals – 0.3% |
| |||||||
Concordia International Corp. (ICE LIBOR plus 425 bps), | ||||||||
6.344%, 10-21-21 | 2,538 | 2,256 | ||||||
|
| |||||||
Total Health Care – 1.9% |
| 17,297 | ||||||
Industrials |
| |||||||
Building Products – 0.2% |
| |||||||
Hampton Rubber Co. & SEI Holding Corp. (ICE LIBOR plus 800 bps), | ||||||||
10.094%, 3-27-22 | 1,785 | 1,633 | ||||||
|
| |||||||
Construction & Engineering – 1.0% |
| |||||||
McDermott Technology (Americas), Inc. (ICE LIBOR plus 500 bps), | ||||||||
7.094%, 5-10-25 | 7,892 | 7,922 |
LOANS (N) (Continued) | Principal | Value | ||||||
Construction & Engineering (Continued) |
| |||||||
Tensar International Corp. (ICE LIBOR plus 850 bps), | ||||||||
10.834%, 7-10-22 (C) | $ | 1,119 | $ | 1,030 | ||||
|
| |||||||
8,952 | ||||||||
|
| |||||||
Diversified Support Services – 0.3% |
| |||||||
USS Ultimate Holdings, Inc. (ICE LIBOR plus 375 bps), | ||||||||
5.844%, 8-25-24 | 1,439 | 1,439 | ||||||
USS Ultimate Holdings, Inc. (ICE LIBOR plus 775 bps), | ||||||||
9.844%, 8-25-25 | 1,208 | 1,211 | ||||||
|
| |||||||
2,650 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.7% |
| |||||||
Crosby Worldwide Ltd. (ICE LIBOR plus 300 bps), | ||||||||
5.084%, 11-22-20 | 320 | 314 | ||||||
PAE Holding Corp. (ICE LIBOR plus 550 bps), | ||||||||
7.594%, 10-20-22 | 5,328 | 5,335 | ||||||
PAE Holding Corp. (ICE LIBOR plus 950 bps), | ||||||||
11.594%, 10-20-23 | 798 | 798 | ||||||
|
| |||||||
6,447 | ||||||||
|
| |||||||
Industrial Machinery – 0.9% |
| |||||||
Dynacast International LLC (ICE LIBOR plus 850 bps), | ||||||||
10.834%, 1-30-23 (C) | 7,863 | 7,863 | ||||||
|
| |||||||
Total Industrials – 3.1% |
| 27,545 | ||||||
Information Technology |
| |||||||
Application Software – 0.2% |
| |||||||
Applied Systems, Inc. (ICE LIBOR plus 700 bps), | ||||||||
9.334%, 9-18-25 | 1,954 | 2,008 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 0.6% |
| |||||||
Colorado Buyer, Inc., | ||||||||
0.000%, 5-1-25 (O) | 661 | 659 | ||||||
Colorado Buyer, Inc. (ICE LIBOR plus 300 bps), | ||||||||
9.610%, 5-1-25 | 1,510 | 1,504 | ||||||
Great Dane Merger Sub, Inc. (ICE LIBOR plus 375 bps), | ||||||||
5.860%, 5-22-25 (C) | 3,193 | 3,193 | ||||||
|
| |||||||
5,356 | ||||||||
|
| |||||||
Internet Software & Services – 0.1% |
| |||||||
TravelCLICK, Inc. & TCH-2 Holdings LLC (ICE LIBOR plus 775 bps), | ||||||||
9.844%, 11-12-21 | 959 | 957 | ||||||
|
| |||||||
Total Information Technology – 0.9% |
| 8,321 |
62 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2018 (UNAUDITED)
LOANS (N) (Continued) | Principal | Value | ||||||
Materials |
| |||||||
Paper Packaging – 0.1% |
| |||||||
Ranpak (Rack Merger) (ICE LIBOR plus 725 bps), | ||||||||
9.335%, 10-1-22 (C) | $ | 1,182 | $ | 1,185 | ||||
|
| |||||||
Total Materials – 0.1% |
| 1,185 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 1.0% |
| |||||||
West Corp. (3-Month ICE LIBOR plus 400 bps), | ||||||||
6.094%, 10-10-24 | 8,338 | 8,301 | ||||||
Westmoreland Coal Co., | ||||||||
0.000%, 5-22-19 (O) | 144 | 144 | ||||||
Westmoreland Coal Co. (3-Month U.S. LIBOR plus 825 bps), | ||||||||
10.581%, 5-22-19 | 650 | 649 | ||||||
|
| |||||||
9,094 | ||||||||
|
| |||||||
Total Telecommunication Services – 1.0% |
| 9,094 | ||||||
TOTAL LOANS – 19.9% |
| $ | 179,124 | |||||
(Cost: $182,274) |
|
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper (P) – 8.7% |
| |||||||
Abbott Laboratories, | ||||||||
2.262%, 7-2-18 | $ | 2,000 | $ | 2,000 | ||||
AT&T, Inc.: | ||||||||
2.253%, 7-6-18 | 5,000 | 4,998 | ||||||
2.440%, 7-24-18 | 5,000 | 4,992 | ||||||
Campbell Soup Co., | ||||||||
2.110%, 7-2-18 | 3,000 | 2,999 | ||||||
Hewlett Packard Enterprise Corp.: | ||||||||
2.120%, 7-11-18 | 2,500 | 2,498 | ||||||
2.110%, 7-12-18 | 5,000 | 4,997 | ||||||
International Paper Co.: | ||||||||
2.201%, 7-3-18 | 5,000 | 4,999 | ||||||
2.500%, 7-10-18 | 5,000 | 4,996 | ||||||
J.M. Smucker Co. (The), | ||||||||
2.200%, 7-2-18 | 1,325 | 1,325 | ||||||
McDonalds Corp., | ||||||||
2.450%, 7-16-18 | 4,000 | 3,996 | ||||||
NBCUniversal Enterprise, Inc., | ||||||||
2.430%, 7-19-18 | 3,000 | 2,996 | ||||||
Virginia Electric and Power Co.: | ||||||||
2.410%, 7-10-18 | 6,000 | 5,996 | ||||||
2.390%, 7-11-18 | 5,000 | 4,996 | ||||||
2.380%, 7-12-18 | 5,000 | 4,996 | ||||||
Walgreens Boots Alliance, Inc., | ||||||||
2.292%, 7-2-18 | 13,000 | 12,998 |
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Commercial Paper (P) (Continued) |
| |||||||
Wisconsin Electric Power Co.: | ||||||||
2.140%, 7-11-18 | $ | 5,000 | $ | 4,996 | ||||
2.140%, 7-13-18 | 4,500 | 4,496 | ||||||
|
| |||||||
79,274 | ||||||||
|
| |||||||
Master Note – 0.4% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (Q) | 3,221 | 3,221 | ||||||
|
| |||||||
Money Market Funds – 2.3% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund –Institutional Shares, | ||||||||
1.850%, (R)(S) | 20,699 | 20,699 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 11.4% |
| $ | 103,194 | |||||
(Cost: $103,202) |
| |||||||
TOTAL INVESTMENT SECURITIES – 103.5% |
| $ | 944,731 | |||||
(Cost: $969,675) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (3.5)% |
| (31,595 | ) | |||||
NET ASSETS – 100.0% |
| $ | 913,136 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | No dividends were paid during the preceding 12 months. |
(B) | Listed on an exchange outside the United States. |
(C) | Securities whose value was determined using significant unobservable inputs. |
(D) | All or a portion of securities with an aggregate value of $21,638 are on loan. |
(E) | Restricted securities. At June 30, 2018, the Portfolio owned the following restricted securities: |
Security | Acquisition Date(s) | Shares | Cost | Market Value | ||||||||||||||||
BIS Industries Ltd. | 12-22-17 | 1,605 | $ | 151 | $ | 103 | ||||||||||||||
J.G. Wentworth Co. (The) | 1-25-18 | 364 | 3,211 | 3,371 | ||||||||||||||||
Larchmont Resources LLC | 12-8-16 | 1 | 340 | 277 | ||||||||||||||||
New Cotai Participation Corp., Class B | 4-12-18 | — | * | 62 | 52 | |||||||||||||||
Sabine Oil & Gas Corp. | 12-7-16 | — | * | 11 | 13 | |||||||||||||||
Pinnacle Agriculture Enterprises LLC | 3-10-17 | 4,583 | 2,083 | 3,794 | ||||||||||||||||
Targa Resources Corp., 9.500% | 10-24-17 | 8 | 8,416 | 8,345 | ||||||||||||||||
Sabine Oil & Gas Corp., expires 12-29-29 | 12-7-16 | 1 | 7 | 6 | ||||||||||||||||
|
| |||||||||||||||||||
$ | 14,281 | $ | 15,961 | |||||||||||||||||
|
|
The total value of these securities represented 1.7% of net assets at June 30, 2018. |
(F) | Deemed to be an affiliate due to the Portfolio owning at least 5% of the voting securities. |
(G) | Warrants entitle the Portfolio to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
(H) | 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 June 30, 2018 the total value of these securities amounted to $472,229 or 51.7% of net assets. |
(I) | Principal amounts are denominated in the indicated foreign currency, where applicable (EUR – Euro). |
(J) | 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 June 30, 2018. |
2018 | SEMIANNUAL REPORT | 63 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2018 (UNAUDITED)
(K) | Zero coupon bond. |
(L) | Payment-in-kind bond which may pay interest in additional par and/or in cash. Rates shown are the current rate and possible payment rates. |
(M) | Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
(N) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Description of the reference rate and spread, if applicable, are included in the security description. |
(O) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(P) | Rate shown is the yield to maturity at June 30, 2018. |
(Q) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(R) | Investment made with cash collateral received from securities on loan. |
(S) | Rate shown is the annualized 7-day yield at June 30, 2018. |
The following forward foreign currency contracts were outstanding at June 30, 2018:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Euro | 849 | U.S. Dollar | 1,053 | 7-5-18 | Morgan Stanley International | $ | 61 | $ | — | |||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Consumer Discretionary | $ | 7,210 | $ | 364 | $ | 1,292 | ||||||
Energy | 868 | 290 | — | |||||||||
Financials | — | — | 3,371 | |||||||||
Industrials | — | — | 103 | |||||||||
Total Common Stocks | $ | 8,078 | $ | 654 | $ | 4,766 | ||||||
Investment Funds | 24,673 | — | — | |||||||||
Preferred Stocks | 109 | 8,345 | 3,794 | |||||||||
Warrants | — | 6 | — | |||||||||
Corporate Debt Securities | — | 611,988 | — | * | ||||||||
Loans | — | 125,914 | 53,210 | |||||||||
Short-Term Securities | 20,699 | 82,495 | — | |||||||||
Total | $ | 53,559 | $ | 829,402 | $ | 61,770 | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 61 | $ | — |
During the period ended June 30, 2018, securities totaling $814 were transferred from Level 2 to Level 1. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on June 30, 2018. Transfers out of Level 2 represent the values as of the beginning of the reporting period.
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Common Stocks | Preferred Stocks | Loans | ||||||||||
Beginning Balance 1-1-18 | $ | 1,041 | $ | 3,753 | $ | 15,721 | ||||||
Net realized gain (loss) | — | — | 18 | |||||||||
Net change in unrealized appreciation (depreciation) | 363 | 41 | 38 | |||||||||
Purchases | 3,362 | — | 36,797 | |||||||||
Sales | — | — | (2,523 | ) | ||||||||
Amortization/Accretion of premium/discount | — | — | 20 | |||||||||
Transfers into Level 3 during the period | — | — | 4,852 | |||||||||
Transfers out of Level 3 during the period | — | — | (1,713 | ) | ||||||||
Ending Balance 6-30-18 | $ | 4,766 | $ | 3,794 | $ | 53,210 | ||||||
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 6-30-18 | $ | 363 | $ | 41 | $ | 90 |
64 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2018 (UNAUDITED)
Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information. As shown above, transfers in and out of Level 3 represent the values as of the beginning of the reporting period.
Information about Level 3 fair value measurements:
Fair Value at 6-30-18 | Valuation Technique(s) | Unobservable Input(s) | Input value(s) | |||||||||
Assets | ||||||||||||
Common Stocks | $ | 1,240 | Market comparable approach | Adjusted EBITDA multiple | 9.99x | |||||||
52 | Market comparable approach | Adjusted Revenue multiple | 8.4x | |||||||||
Illquidity discount | 10% | |||||||||||
— | Market comparable approach | No market | N/A | |||||||||
3,371 | Market comparable approach | Broker quotes | N/A | |||||||||
103 | Market comparable approach | Adjusted EBITDA multiple | 5.1x | |||||||||
Preferred Stocks | 3,794 | Market comparable approach | Adjusted EBITDA multiple | 10.7x | ||||||||
Illquidity discount | 10% | |||||||||||
Loans | 53,210 | Third-party valuation service | Broker quotes | N/A |
Significant increases (decreases) in the adjusted revenue multiple and adjusted EBITDA multiple inputs could result in a higher (lower) fair value measurement. However, significant increases (decreases) in the illiquidity discount input could result in a lower (higher) fair value measurement.
The following acronyms are used throughout this schedule:
GTD = Guaranteed
ICE = Intercontinental Exchange
PIK = Payment In Kind
LIBOR = London Interbank Offered Rate
REITS = Real Estate Investment Trusts
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 65 |
Table of Contents
PORTFOLIO HIGHLIGHTS | INTERNATIONAL CORE EQUITY |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 96.6% | |||
Financials | 16.4% | |||
Industrials | 14.7% | |||
Consumer Staples | 14.2% | |||
Energy | 13.0% | |||
Information Technology | 9.4% | |||
Telecommunication Services | 7.9% | |||
Consumer Discretionary | 7.1% | |||
Materials | 7.0% | |||
Health Care | 6.5% | |||
Real Estate | 0.4% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.4% |
Country Weightings
Europe | 58.8% | |||
France | 14.7% | |||
United Kingdom | 14.3% | |||
Germany | 8.4% | |||
Switzerland | 7.5% | |||
Netherlands | 4.3% | |||
Other Europe | 9.6% | |||
Pacific Basin | 30.2% | |||
Japan | 13.9% | |||
China | 8.9% | |||
Australia | 3.5% | |||
Other Pacific Basin | 3.9% | |||
North America | 5.6% | |||
Canada | 5.6% | |||
South America | 2.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.4% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Total S.A. | France | Energy | Integrated Oil & Gas | |||
Koninklijke Ahold Delhaize N.V. | Netherlands | Consumer Staples | Food Retail | |||
Orange S.A. | France | Telecommunication Services | Integrated Telecommunication Services | |||
SAP AG | Germany | Information Technology | Application Software | |||
Bayer AG | Germany | Health Care | Pharmaceuticals | |||
Danone S.A. | France | Consumer Staples | Packaged Foods & Meats | |||
Isuzu Motors Ltd. | Japan | Consumer Discretionary | Automobile Manufacturers | |||
Roche Holdings AG, Genusscheine | Switzerland | Health Care | Pharmaceuticals | |||
Airbus SE | France | Industrials | Aerospace & Defense | |||
Ferguson plc | Switzerland | Industrials | Trading Companies & Distributors |
See your advisor for more information on the Portfolio’s most recent published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
66 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | INTERNATIONAL CORE EQUITY (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Australia |
| |||||||
Energy – 1.1% |
| |||||||
Oil Search Ltd. | 1,343 | $ | 8,843 | |||||
|
| |||||||
Materials – 2.4% |
| |||||||
BHP Billiton plc | 239 | 5,390 | ||||||
BHP Billiton plc ADR | 89 | 3,982 | ||||||
Newcrest Mining Ltd. | 575 | 9,268 | ||||||
|
| |||||||
18,640 | ||||||||
|
| |||||||
Total Australia – 3.5% |
| $ | 27,483 | |||||
Brazil |
| |||||||
Information Technology – 1.1% |
| |||||||
MercadoLibre, Inc. | 30 | 9,028 | ||||||
|
| |||||||
Telecommunication Services – 0.9% |
| |||||||
Telefonica Brasil S.A. | 298 | 3,528 | ||||||
Vivo Participacoes S.A. ADR | 325 | 3,863 | ||||||
|
| |||||||
7,391 | ||||||||
|
| |||||||
Total Brazil – 2.0% |
| $ | 16,419 | |||||
Canada |
| |||||||
Consumer Discretionary – 1.5% |
| |||||||
Magna International, Inc. | 201 | 11,670 | ||||||
|
| |||||||
Energy – 4.1% |
| |||||||
Canadian Natural Resources Ltd. | 327 | 11,791 | ||||||
Seven Generations Energy Ltd., Class A (A) | 687 | 7,572 | ||||||
Suncor Energy, Inc. | 317 | 12,890 | ||||||
|
| |||||||
32,253 | ||||||||
|
| |||||||
Total Canada – 5.6% |
| $ | 43,923 | |||||
China |
| |||||||
Consumer Discretionary – 1.0% |
| |||||||
Huayu Automotive Systems Co. Ltd., A Shares | 2,363 | 8,448 | ||||||
|
| |||||||
Consumer Staples – 1.5% |
| |||||||
Wuliangye Yibin Co. Ltd., A Shares | 1,027 | 11,765 | ||||||
|
| |||||||
Financials – 1.3% |
| |||||||
China Construction Bank Corp. (A) | 11,133 | 10,288 | ||||||
|
| |||||||
Industrials – 1.1% |
| |||||||
Han’s Laser Technology Industry Group Co. Ltd., A Shares | 1,102 | 8,832 | ||||||
|
| |||||||
Information Technology – 2.8% |
| |||||||
Alibaba Group Holding Ltd. ADR (A) | 68 | 12,579 | ||||||
Baidu.com, Inc. ADR (A) | 38 | 9,161 | ||||||
|
| |||||||
21,740 | ||||||||
|
| |||||||
Telecommunication Services – 1.2% |
| |||||||
China Unicom Ltd. | 7,418 | 9,266 | ||||||
|
| |||||||
Total China – 8.9% |
| $ | 70,339 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Denmark |
| |||||||
Industrials – 0.9% |
| |||||||
A.P. Moller – Maersk A/S | 6 | $ | 6,976 | |||||
|
| |||||||
Total Denmark – 0.9% |
| $ | 6,976 | |||||
France |
| |||||||
Consumer Staples – 1.9% |
| |||||||
Danone S.A. | 204 | 14,966 | ||||||
|
| |||||||
Energy – 3.6% |
| |||||||
Total S.A. | 465 | 28,357 | ||||||
|
| |||||||
Financials – 2.5% |
| |||||||
Axa S.A. | 407 | 9,986 | ||||||
Societe Generale S.A. | 217 | 9,135 | ||||||
|
| |||||||
19,121 | ||||||||
|
| |||||||
Industrials – 4.4% |
| |||||||
Airbus SE | 120 | 14,027 | ||||||
Schneider Electric S.A. | 128 | 10,684 | ||||||
Vinci | 97 | 9,320 | ||||||
|
| |||||||
34,031 | ||||||||
|
| |||||||
Telecommunication Services – 2.3% |
| |||||||
Orange S.A. | 1,078 | 18,065 | ||||||
|
| |||||||
Total France – 14.7% |
| $ | 114,540 | |||||
Germany |
| |||||||
Financials – 1.3% |
| |||||||
Deutsche Boerse AG | 76 | 10,154 | ||||||
|
| |||||||
Health Care – 4.7% |
| |||||||
Bayer AG | 138 | 15,218 | ||||||
Fresenius Medical Care AG & Co. KGaA | 118 | 11,853 | ||||||
Fresenius SE & Co. KGaA | 118 | 9,448 | ||||||
|
| |||||||
36,519 | ||||||||
|
| |||||||
Information Technology – 2.0% |
| |||||||
SAP AG | 138 | 15,957 | ||||||
|
| |||||||
Real Estate – 0.4% |
| |||||||
Deutsche Wohnen AG | 60 | 2,886 | ||||||
|
| |||||||
Total Germany – 8.4% |
| $ | 65,516 | |||||
Hong Kong |
| |||||||
Financials – 1.5% |
| |||||||
AIA Group Ltd. | 1,356 | 11,855 | ||||||
|
| |||||||
Total Hong Kong – 1.5% |
| $ | 11,855 | |||||
Ireland |
| |||||||
Materials – 1.6% |
| |||||||
CRH plc | 364 | 12,863 | ||||||
|
| |||||||
Total Ireland – 1.6% |
| $ | 12,863 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Italy |
| |||||||
Financials – 1.0% |
| |||||||
UniCredit S.p.A. | 486 | $ | 8,114 | |||||
|
| |||||||
Total Italy – 1.0% |
| $ | 8,114 | |||||
Japan |
| |||||||
Consumer Discretionary – 3.5% |
| |||||||
Isuzu Motors Ltd. | 1,079 | 14,346 | ||||||
Subaru Corp. | 451 | 13,137 | ||||||
|
| |||||||
27,483 | ||||||||
|
| |||||||
Consumer Staples – 1.3% |
| |||||||
Calbee, Inc. (B) | 264 | 9,924 | ||||||
|
| |||||||
Energy – 1.1% |
| |||||||
Inpex Corp. | 807 | 8,382 | ||||||
|
| |||||||
Financials – 2.3% |
| |||||||
Kabushiki Kaisha Mitsubishi Tokyo Financial Group | 1,325 | 7,553 | ||||||
Tokio Marine Holdings, Inc. | 221 | 10,357 | ||||||
|
| |||||||
17,910 | ||||||||
|
| |||||||
Industrials – 2.2% |
| |||||||
Komatsu Ltd. | 288 | 8,226 | ||||||
SMC Corp. | 24 | 8,918 | ||||||
|
| |||||||
17,144 | ||||||||
|
| |||||||
Information Technology – 1.1% |
| |||||||
Tokyo Electron Ltd. | 51 | 8,710 | ||||||
|
| |||||||
Telecommunication Services – 2.4% |
| |||||||
Nippon Telegraph and Telephone Corp. | 224 | 10,166 | ||||||
SoftBank Group Corp. | 121 | 8,706 | ||||||
|
| |||||||
18,872 | ||||||||
|
| |||||||
Total Japan – 13.9% |
| $ | 108,425 | |||||
Luxembourg |
| |||||||
Energy – 1.3% |
| |||||||
Tenaris S.A. | 314 | 5,759 | ||||||
Tenaris S.A. ADR | 128 | 4,662 | ||||||
|
| |||||||
10,421 | ||||||||
|
| |||||||
Materials – 1.0% |
| |||||||
ArcelorMittal | 282 | 8,278 | ||||||
|
| |||||||
Total Luxembourg – 2.3% |
| $ | 18,699 | |||||
Netherlands |
| |||||||
Consumer Staples – 2.5% |
| |||||||
Koninklijke Ahold Delhaize N.V. | 830 | 19,885 | ||||||
|
| |||||||
Energy – 1.8% |
| |||||||
Royal Dutch Petroleum Co., New York Shares | 58 | 4,029 |
2018 | SEMIANNUAL REPORT | 67 |
Table of Contents
SCHEDULE OF INVESTMENTS | INTERNATIONAL CORE EQUITY (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS (Continued) | Shares | Value | ||||||
Energy (Continued) |
| |||||||
Royal Dutch Shell plc, Class A | 291 | $ | 10,102 | |||||
|
| |||||||
14,131 | ||||||||
|
| |||||||
Total Netherlands – 4.3% |
| $ | 34,016 | |||||
Norway |
| |||||||
Financials – 1.3% |
| |||||||
DNB ASA | 520 | 10,171 | ||||||
|
| |||||||
Total Norway – 1.3% |
| $ | 10,171 | |||||
South Korea |
| |||||||
Information Technology – 1.2% |
| |||||||
Samsung Electronics Co. Ltd. | 226 | 9,472 | ||||||
|
| |||||||
Total South Korea – 1.2% |
| $ | 9,472 | |||||
Spain |
| |||||||
Industrials – 1.1% |
| |||||||
ACS Actividades de Construccion y Servicios S.A. | 208 | 8,437 | ||||||
|
| |||||||
Total Spain – 1.1% |
| $ | 8,437 | |||||
Sweden |
| |||||||
Financials – 1.4% |
| |||||||
Swedbank AB | 525 | 11,236 | ||||||
|
| |||||||
Total Sweden – 1.4% |
| $ | 11,236 | |||||
Switzerland |
| |||||||
Consumer Staples – 1.6% |
| |||||||
Nestle S.A., Registered Shares | 167 | 12,945 | ||||||
|
| |||||||
Financials – 1.3% |
| |||||||
UBS Group AG | 634 | 9,808 | ||||||
|
| |||||||
Health Care – 1.8% |
| |||||||
Roche Holdings AG, Genusscheine | 64 | 14,320 | ||||||
|
| |||||||
Industrials – 2.8% |
| |||||||
Adecco S.A. | 143 | 8,485 | ||||||
Ferguson plc | 166 | 13,445 | ||||||
|
| |||||||
21,930 | ||||||||
|
| |||||||
Total Switzerland – 7.5% |
| $ | 59,003 | |||||
Taiwan |
| |||||||
Information Technology – 1.2% |
| |||||||
MediaTek, Inc. | 916 | 9,013 | ||||||
|
| |||||||
Total Taiwan – 1.2% |
| $ | 9,013 | |||||
United Kingdom |
| |||||||
Consumer Discretionary – 1.1% |
| |||||||
Whitbread plc | 160 | 8,381 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Consumer Staples – 5.4% |
| |||||||
British American Tobacco plc | 216 | $ | 10,900 | |||||
Imperial Tobacco Group plc | 266 | 9,900 | ||||||
Reckitt Benckiser Group plc | 114 | 9,370 | ||||||
Unilever plc | 208 | 11,527 | ||||||
|
| |||||||
41,697 | ||||||||
|
| |||||||
Financials – 2.5% |
| |||||||
Prudential plc | 354 | 8,112 | ||||||
Standard Chartered plc | 1,261 | 11,575 | ||||||
|
| |||||||
19,687 | ||||||||
|
| |||||||
Industrials – 2.2% |
| |||||||
Babcock International Group plc | 826 | 8,917 | ||||||
BAE Systems plc | 1,034 | 8,823 | ||||||
|
| |||||||
17,740 | ||||||||
|
| |||||||
Materials – 2.0% |
| |||||||
Rio Tinto plc | 214 | 11,881 | ||||||
Rio Tinto plc ADR | 65 | 3,612 | ||||||
|
| |||||||
15,493 | ||||||||
|
| |||||||
Telecommunication Services – 1.1% |
| |||||||
BT Group plc | 2,933 | 8,432 | ||||||
|
| |||||||
Total United Kingdom – 14.3% |
| $ | 111,430 | |||||
TOTAL COMMON STOCKS – 96.6% |
| $ | 757,930 | |||||
(Cost: $721,270) |
| |||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (C) – 0.8% |
| |||||||
J.M. Smucker Co. (The) |
| |||||||
2.200%, 7-2-18 | $ | 3,623 | 3,623 | |||||
Wisconsin Gas LLC | ||||||||
2.273%, 7-9-18 | 3,000 | 2,998 | ||||||
|
| |||||||
6,621 | ||||||||
|
| |||||||
Master Note – 0.6% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps) | ||||||||
2.240%, 7-6-18(D) | 4,792 | 4,792 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.4% |
| $ | 11,413 | |||||
(Cost: $11,413) |
| |||||||
TOTAL INVESTMENT SECURITIES – 98.0% |
| $ | 769,343 | |||||
(Cost: $732,683) |
| |||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 2.0% |
| 15,445 | ||||||
NET ASSETS – 100.0% |
| $ | 784,788 |
68 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | INTERNATIONAL CORE EQUITY (in thousands) |
JUNE 30, 2018 (UNAUDITED)
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | All or a portion of securities with an aggregate value of $3,819 are on loan. |
(C) | Rate shown is the yield to maturity at June 30, 2018. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 757,930 | $ | — | $ | — | ||||||
Short-Term Securities | — | 11,413 | — | |||||||||
Total | $ | 757,930 | $ | 11,413 | $ | — |
During the period ended June 30, 2018, securities totaling $591,684 were transferred from Level 2 to Level 1. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on June 30, 2018. Transfers out of Level 2 represent the values as of the beginning of the reporting period.
The following acronym is used throughout this schedule:
ADR = American Depositary Receipts
LIBOR = London Interbank Offered Rate
Market Sector Diversification
(as a % of net assets) |
| |||
Financials | 16.4% | |||
Industrials | 14.7% | |||
Consumer Staples | 14.2% | |||
Energy | 13.0% | |||
Information Technology | 9.4% | |||
Telecommunication Services | 7.9% | |||
Consumer Discretionary | 7.1% | |||
Materials | 7.0% | |||
Health Care | 6.5% | |||
Real Estate | 0.4% | |||
Other+ | 3.4% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 69 |
Table of Contents
PORTFOLIO HIGHLIGHTS | LIMITED-TERM BOND |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 0.1% | |||
Bonds | 90.3% | |||
United States Government and Government Agency Obligations | 47.7% | |||
Corporate Debt Securities | 38.7% | |||
Municipal Bonds – Taxable | 2.9% | |||
Mortgage-Backed Securities | 0.7% | |||
Asset-Backed Securities | 0.3% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 9.6% |
Quality Weightings
Investment Grade | 87.9% | |||
AAA | 12.5% | |||
AA | 38.2% | |||
A | 13.2% | |||
BBB | 24.0% | |||
Non-Investment Grade | 2.5% | |||
BB | 1.5% | |||
B | 0.2% | |||
Non-rated | 0.8% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ and Equities | 9.6% |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
70 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2018 (UNAUDITED)
PREFERRED STOCKS | Shares | Value | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 0.1% |
| |||||||
Frontier Communications Corp., Convertible Series A, 11.125% | 50 | $ | 492 | |||||
|
| |||||||
Total Telecommunication Services – 0.1% |
| 492 | ||||||
TOTAL PREFERRED STOCKS – 0.1% | $ | 492 | ||||||
(Cost: $859) | ||||||||
ASSET-BACKED SECURITIES | Principal | |||||||
American Airlines Class AA Pass Through Certificates, Series 2016-2, | ||||||||
3.200%, 6-15-28 | $ | 922 | 874 | |||||
SBA Tower Trust, Series 2016-1 (GTD by SBA Guarantor LLC and SBA Holdings LLC), | ||||||||
2.877%, 7-9-21 (A) | 1,000 | 971 | ||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES – 0.3% |
| $ | 1,845 | |||||
(Cost: $1,928) | ||||||||
CORPORATE DEBT SECURITIES | ||||||||
Consumer Discretionary |
| |||||||
Auto Parts & Equipment – 0.6% |
| |||||||
BorgWarner Automotive, Inc., | ||||||||
8.000%, 10-1-19 | 2,000 | 2,114 | ||||||
Lear Corp., | ||||||||
5.375%, 3-15-24 | 1,257 | 1,304 | ||||||
|
| |||||||
3,418 | ||||||||
|
| |||||||
Automobile Manufacturers – 0.3% |
| |||||||
BMW U.S. Capital LLC, | ||||||||
2.150%, 4-6-20 (A) | 2,000 | 1,968 | ||||||
|
| |||||||
Broadcasting – 0.2% |
| |||||||
Discovery Communications LLC, | ||||||||
2.200%, 9-20-19 | 1,000 | 989 | ||||||
|
| |||||||
Cable & Satellite – 0.2% |
| |||||||
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc., | ||||||||
4.450%, 4-1-24 | 1,190 | 1,201 | ||||||
|
| |||||||
General Merchandise Stores – 0.8% |
| |||||||
Dollar General Corp., | ||||||||
3.250%, 4-15-23 | 1,000 | 982 | ||||||
Family Dollar Stores, Inc., | ||||||||
5.000%, 2-1-21 | 3,500 | 3,620 | ||||||
|
| |||||||
4,602 | ||||||||
|
| |||||||
Total Consumer Discretionary – 2.1% | 12,178 | |||||||
Consumer Staples |
| |||||||
Brewers – 0.6% |
| |||||||
Molson Coors Brewing Co.: | ||||||||
1.900%, 3-15-19 (B) | 3,000 | 2,979 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Brewers (Continued) |
| |||||||
2.250%, 3-15-20 | $ | 750 | $ | 738 | ||||
|
| |||||||
3,717 | ||||||||
|
| |||||||
Distillers & Vintners – 1.2% |
| |||||||
Constellation Brands, Inc.: | ||||||||
3.875%, 11-15-19 | 3,950 | 3,991 | ||||||
2.250%, 11-6-20 | 3,000 | 2,929 | ||||||
|
| |||||||
6,920 | ||||||||
|
| |||||||
Food Retail – 0.2% |
| |||||||
Kroger Co. (The), | ||||||||
6.800%, 12-15-18 (B) | 1,245 | 1,267 | ||||||
|
| |||||||
Packaged Foods & Meats – 0.5% |
| |||||||
Smithfield Foods, Inc., | ||||||||
2.700%, 1-31-20 (A) | 2,800 | 2,760 | ||||||
|
| |||||||
Total Consumer Staples – 2.5% | �� | 14,664 | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 0.6% |
| |||||||
Enterprise Products Operating LLC (GTD by Enterprise Products Partners L.P.): | ||||||||
6.500%, 1-31-19 | 1,850 | 1,888 | ||||||
2.800%, 2-15-21 | 1,800 | 1,777 | ||||||
|
| |||||||
3,665 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.8% |
| |||||||
Aker BP ASA, | ||||||||
6.000%, 7-1-22 (A) | 1,000 | 1,023 | ||||||
EQT Corp., | ||||||||
8.125%, 6-1-19 | 2,650 | 2,770 | ||||||
Exxon Mobil Corp., | ||||||||
2.397%, 3-6-22 | 1,000 | 977 | ||||||
|
| |||||||
4,770 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.4% |
| |||||||
Shell International Finance B.V. (GTD by Royal Dutch Shell plc), | ||||||||
2.000%, 11-15-18 | 2,625 | 2,620 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 3.0% |
| |||||||
Enbridge, Inc., | ||||||||
2.900%, 7-15-22 | 2,470 | 2,398 | ||||||
Energy Transfer Partners L.P.: | ||||||||
6.700%, 7-1-18 | 2,393 | 2,393 | ||||||
4.150%, 10-1-20 | 3,860 | 3,907 | ||||||
EQT Midstream Partners L.P., | ||||||||
4.750%, 7-15-23 | 1,500 | 1,497 | ||||||
Kinder Morgan Energy Partners L.P.: | ||||||||
3.500%, 3-1-21 | 1,000 | 998 | ||||||
3.450%, 2-15-23 | 1,646 | 1,589 | ||||||
MPLX L.P., | ||||||||
3.375%, 3-15-23 | 740 | 723 | ||||||
Plains All American Pipeline L.P. and PAA Finance Corp., | ||||||||
3.850%, 10-15-23 | 1,800 | 1,754 | ||||||
Spectra Energy Partners L.P., | ||||||||
2.950%, 9-25-18 | 1,475 | 1,475 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Storage & Transportation (Continued) |
| |||||||
Sunoco Logistics Partners Operations L.P. (GTD by Sunoco Logistics Partners L.P.), | ||||||||
4.400%, 4-1-21 | $ | 800 | $ | 813 | ||||
|
| |||||||
17,547 | ||||||||
|
| |||||||
Total Energy – 4.8% | 28,602 | |||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.4% |
| |||||||
Ares Capital Corp., | ||||||||
3.875%, 1-15-20 | 2,055 | 2,062 | ||||||
|
| |||||||
Consumer Finance – 5.2% |
| |||||||
Ally Financial, Inc.: | ||||||||
3.250%, 11-5-18 | 2,208 | 2,208 | ||||||
4.125%, 3-30-20 | 3,685 | 3,690 | ||||||
American Honda Finance Corp.: | ||||||||
7.625%, 10-1-18 (A) | 1,000 | 1,012 | ||||||
2.125%, 10-10-18 | 3,000 | 2,998 | ||||||
Capital One Bank USA N.A., | ||||||||
2.300%, 6-5-19 | 2,950 | 2,933 | ||||||
Capital One N.A., | ||||||||
2.400%, 9-5-19 | 2,125 | 2,106 | ||||||
Discover Bank, | ||||||||
3.100%, 6-4-20 | 2,500 | 2,487 | ||||||
Discover Financial Services, | ||||||||
3.950%, 11-6-24 | 1,000 | 975 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
2.681%, 1-9-20 | 1,000 | 991 | ||||||
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.): | ||||||||
2.400%, 5-9-19 | 3,000 | 2,986 | ||||||
3.200%, 7-6-21 | 1,000 | 987 | ||||||
3.700%, 5-9-23 | 2,450 | 2,406 | ||||||
Hyundai Capital America: | ||||||||
2.875%, 8-9-18 (A) | 1,000 | 1,000 | ||||||
2.550%, 4-3-20 (A) | 2,400 | 2,358 | ||||||
Synchrony Financial, | ||||||||
2.600%, 1-15-19 | 1,995 | 1,991 | ||||||
|
| |||||||
31,128 | ||||||||
|
| |||||||
Diversified Banks – 4.1% |
| |||||||
ABN AMRO Bank N.V., | ||||||||
2.100%, 1-18-19 (A) | 2,000 | 1,993 | ||||||
Bank of America Corp.: | ||||||||
2.625%, 4-19-21 | 1,000 | 982 | ||||||
4.100%, 7-24-23 | 1,666 | 1,694 | ||||||
Bank of New York Mellon Corp. (The), | ||||||||
2.300%, 9-11-19 | 2,550 | 2,536 | ||||||
BB&T Corp., | ||||||||
2.050%, 5-10-21 | 1,150 | 1,111 | ||||||
Branch Banking and Trust Co., | ||||||||
1.450%, 5-10-19 | 2,000 | 1,978 | ||||||
KeyBank N.A., | ||||||||
2.300%, 9-14-22 | 2,000 | 1,908 | ||||||
Mitsubishi UFJ Financial Group, Inc., | ||||||||
2.998%, 2-22-22 | 500 | 491 | ||||||
Mizuho Financial Group, Inc., | ||||||||
2.273%, 9-13-21 | 2,100 | 2,015 |
2018 | SEMIANNUAL REPORT | 71 |
Table of Contents
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2018 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Banks (Continued) |
| |||||||
Northern Trust Corp., | ||||||||
2.375%, 8-2-22 | $ | 2,269 | $ | 2,198 | ||||
Royal Bank of Canada, | ||||||||
2.350%, 10-30-20 | 5,000 | 4,905 | ||||||
U.S. Bancorp, | ||||||||
5.125%, 1-15-67 | 2,500 | 2,566 | ||||||
|
| |||||||
24,377 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 1.7% |
| |||||||
Daiwa Securities Group, Inc., | ||||||||
3.129%, 4-19-22 (A) | 2,000 | 1,959 | ||||||
Goldman Sachs Group, Inc. (The): | ||||||||
2.600%, 12-27-20 | 2,500 | 2,456 | ||||||
2.350%, 11-15-21 | 1,000 | 962 | ||||||
3.000%, 4-26-22 | 1,000 | 977 | ||||||
Morgan Stanley: | ||||||||
5.750%, 1-25-21 | 1,000 | 1,057 | ||||||
4.875%, 11-1-22 | 2,250 | 2,333 | ||||||
Morgan Stanley (3-Month U.S. LIBOR plus 110 bps), | ||||||||
3.407%, 5-31-23 (C) | 300 | 300 | ||||||
|
| |||||||
10,044 | ||||||||
|
| |||||||
Life & Health Insurance – 1.2% |
| |||||||
Athene Global Funding: | ||||||||
2.875%, 10-23-18 (A) | 2,550 | 2,549 | ||||||
2.750%, 4-20-20 (A) | 1,000 | 988 | ||||||
New York Life Global Funding, | ||||||||
1.550%, 11-2-18 (A) | 1,500 | 1,495 | ||||||
Principal Life Global Funding II, | ||||||||
2.625%, 11-19-20 (A) | 2,000 | 1,968 | ||||||
|
| |||||||
7,000 | ||||||||
|
| |||||||
Other Diversified Financial Services – 1.7% |
| |||||||
Citigroup, Inc.: | ||||||||
2.650%, 10-26-20 | 1,000 | 985 | ||||||
2.700%, 3-30-21 | 1,000 | 981 | ||||||
2.750%, 4-25-22 | 2,000 | 1,935 | ||||||
JPMorgan Chase & Co.: | ||||||||
4.250%, 10-15-20 | 1,000 | 1,021 | ||||||
2.972%, 1-15-23 | 1,500 | 1,461 | ||||||
3.000%, 2-27-30 (D) | 850 | 781 | ||||||
USAA Capital Corp., | ||||||||
2.450%, 8-1-20 (A) | 3,245 | 3,202 | ||||||
|
| |||||||
10,366 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.9% |
| |||||||
ACE INA Holdings, Inc. (GTD by ACE Ltd.), | ||||||||
2.300%, 11-3-20 | 2,543 | 2,486 | ||||||
Berkshire Hathaway, Inc., | ||||||||
2.100%, 8-14-19 | 3,000 | 2,983 | ||||||
|
| |||||||
5,469 | ||||||||
|
| |||||||
Regional Banks – 0.8% |
| |||||||
PNC Bank N.A.: | ||||||||
2.400%, 10-18-19 | 870 | 864 | ||||||
2.550%, 12-9-21 | 1,000 | 975 | ||||||
PNC Funding Corp. (GTD by PNC Financial Services Group, Inc.), | ||||||||
6.700%, 6-10-19 | 1,447 | 1,498 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Regional Banks (Continued) |
| |||||||
Sumitomo Mitsui Banking Corp. (3-Month U.S. LIBOR plus 35 bps), | ||||||||
2.703%, 1-17-20 (C) | $ | 1,000 | $ | 1,000 | ||||
Sumitomo Mitsui Trust Bank Ltd., | ||||||||
2.050%, 3-6-19 (A) | 500 | 497 | ||||||
|
| |||||||
4,834 | ||||||||
|
| |||||||
Specialized Finance – 1.1% |
| |||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp., | ||||||||
3.480%, 6-1-19 (A) | 1,875 | 1,880 | ||||||
International Lease Finance Corp., | ||||||||
6.250%, 5-15-19 | 3,500 | 3,588 | ||||||
Syngenta Finance N.V., | ||||||||
3.698%, 4-24-20 (A) | 750 | 747 | ||||||
|
| |||||||
6,215 | ||||||||
|
| |||||||
Total Financials – 17.1% | 101,495 | |||||||
Health Care |
| |||||||
Biotechnology – 0.8% |
| |||||||
Amgen, Inc., | ||||||||
2.200%, 5-11-20 | 4,940 | 4,862 | ||||||
|
| |||||||
Health Care Supplies – 0.8% |
| |||||||
Abbott Laboratories, | ||||||||
2.350%, 11-22-19 | 481 | 478 | ||||||
Catholic Health Initiatives, | ||||||||
2.600%, 8-1-18 | 3,575 | 3,575 | ||||||
Stryker Corp., | ||||||||
2.625%, 3-15-21 | 1,000 | 983 | ||||||
|
| |||||||
5,036 | ||||||||
|
| |||||||
Pharmaceuticals – 0.3% |
| |||||||
Bayer U.S. Finance II LLC, | ||||||||
3.875%, 12-15-23 (A) | 1,500 | 1,499 | ||||||
|
| |||||||
Total Health Care – 1.9% | 11,397 | |||||||
Industrials |
| |||||||
Aerospace & Defense – 0.7% |
| |||||||
BAE Systems Holdings, Inc., | ||||||||
6.375%, 6-1-19 (A) | 2,470 | 2,544 | ||||||
KLX, Inc., | ||||||||
5.875%, 12-1-22 (A) | 1,200 | 1,247 | ||||||
Northrop Grumman Corp., | ||||||||
3.250%, 8-1-23 | 680 | 672 | ||||||
|
| |||||||
4,463 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.4% |
| |||||||
FedEx Corp., | ||||||||
8.000%, 1-15-19 | 2,252 | 2,314 | ||||||
|
| |||||||
Airlines – 0.8% |
| |||||||
Aviation Capital Group Corp.: | ||||||||
2.875%, 9-17-18 (A) | 3,000 | 3,001 | ||||||
2.875%, 1-20-22 (A) | 1,000 | 967 | ||||||
Delta Air Lines, Inc., | ||||||||
3.400%, 4-19-21 (B) | 625 | 622 | ||||||
|
| |||||||
4,590 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Industrial Conglomerates – 0.2% |
| |||||||
General Electric Capital Corp., | ||||||||
5.012%, 1-1-24 | $ | 995 | $ | 1,029 | ||||
|
| |||||||
Total Industrials – 2.1% | 12,396 | |||||||
Information Technology |
| |||||||
Application Software – 0.2% |
| |||||||
salesforce.com, Inc., | ||||||||
3.250%, 4-11-23 | 1,475 | 1,467 | ||||||
|
| |||||||
Communications Equipment – 0.3% |
| |||||||
L-3 Communications Corp., | ||||||||
3.950%, 5-28-24 | 2,000 | 1,975 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 0.6% |
| |||||||
Visa, Inc., | ||||||||
2.800%, 12-14-22 | 3,750 | 3,678 | ||||||
|
| |||||||
Internet Software & Services – 0.4% |
| |||||||
Alibaba Group Holding Ltd., | ||||||||
2.800%, 6-6-23 | 2,500 | 2,406 | ||||||
|
| |||||||
Semiconductors – 1.1% |
| |||||||
Broadcom Corp. and Broadcom Cayman Finance Ltd. (GTD by Broadcom Ltd.): | ||||||||
2.375%, 1-15-20 | 4,500 | 4,441 | ||||||
3.125%, 1-15-25 | 1,050 | 974 | ||||||
Intel Corp., | ||||||||
2.450%, 7-29-20 | 1,000 | 994 | ||||||
|
| |||||||
6,409 | ||||||||
|
| |||||||
Systems Software – 0.6% |
| |||||||
CA, Inc., | ||||||||
5.375%, 12-1-19 | 1,500 | 1,540 | ||||||
Microsoft Corp., | ||||||||
2.875%, 2-6-24 | 1,750 | 1,712 | ||||||
|
| |||||||
3,252 | ||||||||
|
| |||||||
Total Information Technology – 3.2% | 19,187 | |||||||
Materials |
| |||||||
Paper Packaging – 0.2% |
| |||||||
Packaging Corp. of America, | ||||||||
2.450%, 12-15-20 | 1,175 | 1,149 | ||||||
|
| |||||||
Specialty Chemicals – 0.2% |
| |||||||
Methanex Corp., | ||||||||
3.250%, 12-15-19 | 1,500 | 1,495 | ||||||
|
| |||||||
Total Materials – 0.4% | 2,644 | |||||||
Real Estate |
| |||||||
Industrial REITs – 0.2% |
| |||||||
Air Lease Corp., | ||||||||
2.500%, 3-1-21 | 1,300 | 1,265 | ||||||
|
| |||||||
Specialized REITs – 1.2% |
| |||||||
American Tower Corp.: | ||||||||
3.300%, 2-15-21 | 2,500 | 2,497 |
72 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2018 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Specialized REITs (Continued) |
| |||||||
5.900%, 11-1-21 | $ | 800 | $ | 856 | ||||
2.250%, 1-15-22 | 2,165 | 2,069 | ||||||
Crown Castle International Corp.: | ||||||||
2.250%, 9-1-21 | 500 | 479 | ||||||
4.875%, 4-15-22 | 1,000 | 1,031 | ||||||
|
| |||||||
6,932 | ||||||||
|
| |||||||
Total Real Estate – 1.4% | 8,197 | |||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 0.4% |
| |||||||
AT&T, Inc., | ||||||||
5.875%, 10-1-19 | 2,592 | 2,681 | ||||||
|
| |||||||
Wireless Telecommunication Service – 0.2% |
| |||||||
Crown Castle Towers LLC, | ||||||||
3.222%, 5-15-22 (A) | 1,000 | 981 | ||||||
|
| |||||||
Total Telecommunication Services – 0.6% |
| 3,662 | ||||||
Utilities |
| |||||||
Electric Utilities – 2.6% |
| |||||||
CenterPoint Energy, Inc., | ||||||||
2.500%, 9-1-22 | 3,000 | 2,878 | ||||||
Duke Energy Carolinas LLC, | ||||||||
2.500%, 3-15-23 | 2,500 | 2,411 | ||||||
Emera U.S. Finance L.P. (GTD by Emera U.S. Holdings, Inc.), | ||||||||
2.150%, 6-15-19 | 1,000 | 990 | ||||||
Entergy Texas, Inc., | ||||||||
2.550%, 6-1-21 | 1,275 | 1,246 | ||||||
MidAmerican Energy Co.: | ||||||||
2.400%, 3-15-19 | 3,000 | 2,993 | ||||||
3.700%, 9-15-23 | 1,045 | 1,057 | ||||||
National Rural Utilities Cooperative Finance Corp.: | ||||||||
1.650%, 2-8-19 | 1,000 | 994 | ||||||
2.400%, 4-25-22 | 2,000 | 1,931 | ||||||
Virginia Electric and Power Co., Series C, | ||||||||
2.750%, 3-15-23 | 1,000 | 969 | ||||||
|
| |||||||
15,469 | ||||||||
|
| |||||||
Total Utilities – 2.6% | 15,469 | |||||||
TOTAL CORPORATE DEBT SECURITIES – 38.7% |
| $ | 229,891 | |||||
(Cost: $233,349) | ||||||||
MORTGAGE-BACKED SECURITIES | ||||||||
Commercial Mortgage-Backed Securities – 0.1% |
| |||||||
Bear Stearns Deutsche Bank Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-AFR1, Class C, | ||||||||
5.097%, 9-15-27 (A) | 640 | 657 | ||||||
|
|
MORTGAGE-BACKED SECURITIES (Continued) | Principal | Value | ||||||
Non-Agency REMIC/CMO – 0.6% |
| |||||||
Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-C2 (Mortgage spread to 2-year U.S. Treasury index), | ||||||||
6.520%, 10-15-41 (A)(C) | $ | 3,500 | $ | 3,585 | ||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES – 0.7% | $ | 4,242 | ||||||
(Cost: $4,459) | ||||||||
MUNICIPAL BONDS – TAXABLE | ||||||||
Alabama – 0.3% |
| |||||||
Board of Trustees of the Univ of AL, Univ of AL Gen Rev Bonds (Taxable Build America Bonds), Ser 2010-C, | ||||||||
6.100%, 7-1-38 | 1,840 | 1,937 | ||||||
|
| |||||||
California – 1.4% |
| |||||||
Alameda Corridor Trans Auth, Taxable Sr Lien Rev Bonds, Ser 1999C, | ||||||||
6.500%, 10-1-19 | 750 | 770 | ||||||
CA Various Purp GO Bonds, | ||||||||
7.700%, 11-1-30 | 3,355 | 3,709 | ||||||
CA Various Purp GO Rfdg Bonds, | ||||||||
7.950%, 3-1-36 | 2,380 | 2,568 | ||||||
The Regents of the Univ of CA, Gen Rev Bonds, Ser 2013AH, | ||||||||
1.796%, 7-1-19 | 1,500 | 1,489 | ||||||
|
| |||||||
8,536 | ||||||||
|
| |||||||
Florida – 0.3% |
| |||||||
FL Dept of Mgmt Svc, Cert of Part, Ser 2009C, | ||||||||
5.586%, 8-1-20 | 1,440 | 1,480 | ||||||
|
| |||||||
New York – 0.3% |
| |||||||
NYC GO Bonds, Fiscal 2017 Ser A-2, | ||||||||
2.460%, 8-1-26 | 1,750 | 1,624 | ||||||
|
| |||||||
Texas – 0.6% |
| |||||||
Dallas Independent Sch Dist, Unlimited Tax Sch Bldg Bonds, Ser 2010C, | ||||||||
6.450%, 2-15-35 | 1,900 | 2,058 | ||||||
Katy Independent Sch Dist (Fort Bend, Harris and Waller Cntys, TX), Unlimited Tax Sch Bldg Bonds, Ser 2010D, | ||||||||
6.349%, 2-15-41 | 1,150 | 1,212 | ||||||
|
| |||||||
3,270 | ||||||||
|
| |||||||
TOTAL MUNICIPAL BONDS – TAXABLE – 2.9% |
| $ | 16,847 | |||||
(Cost: $17,151) |
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | Principal | Value | ||||||
Agency Obligations – 1.0% |
| |||||||
Federal Home Loan Bank: | ||||||||
1.750%, 7-21-31 | $ | 1,640 | $ | 1,595 | ||||
1.700%, 7-25-31 | 1,500 | 1,440 | ||||||
2.000%, 11-25-31 | 200 | 192 | ||||||
U.S. Department of Transportation, | ||||||||
6.001%, 12-7-21 (A) | 2,500 | 2,747 | ||||||
|
| |||||||
5,974 | ||||||||
|
| |||||||
Mortgage-Backed Obligations – 7.5% |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (3-Year U.S. Treasury index plus 315 bps), | ||||||||
4.781%, 11-25-49 (A)(C) | 2,120 | 2,177 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (5-Year U.S. Treasury index plus 300 bps), | ||||||||
5.358%, 2-25-47 (A)(C) | 170 | 178 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 1-Month U.S. LIBOR): | ||||||||
5.251%, 6-25-21 (A)(C) | 593 | 598 | ||||||
6.001%, 9-25-22 (A)(C) | 401 | 407 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 1-year U.S. Treasury index), | ||||||||
4.289%, 9-25-44 (A)(C) | 2,000 | 2,001 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 2-year U.S. Treasury index), | ||||||||
3.882%, 2-25-45 (A)(C) | 1,906 | 1,912 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 3-year U.S. Treasury index): | ||||||||
5.686%, 4-25-20 (A)(C) | 880 | 912 | ||||||
4.493%, 1-25-46 (A)(C) | 1,000 | 1,023 | ||||||
4.119%, 2-25-46 (A)(C) | 70 | 71 | ||||||
4.573%, 12-25-48 (A)(C) | 2,875 | 2,947 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index): | ||||||||
3.668%, 2-25-22 (A)(C) | 1,000 | 991 | ||||||
4.489%, 12-25-44 (A)(C) | 3,047 | 3,134 | ||||||
4.005%, 5-25-45 (A)(C) | 600 | 608 | ||||||
3.616%, 8-25-46 (A)(C) | 2,370 | 2,345 | ||||||
4.753%, 11-25-46 (A)(C) | 1,557 | 1,617 | ||||||
3.681%, 11-25-47 (A)(C) | 2,724 | 2,701 | ||||||
4.012%, 2-25-50 (A)(C) | 2,014 | 1,973 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 250 bps), | ||||||||
4.501%, 11-25-24 (A)(C) | 900 | 917 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 255 bps), | ||||||||
4.551%, 6-25-27 (A)(C) | 1,646 | 1,685 |
2018 | SEMIANNUAL REPORT | 73 |
Table of Contents
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2018 (UNAUDITED)
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | Principal | Value | ||||||
Mortgage-Backed Obligations (Continued) |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 7-year U.S. Treasury index): | ||||||||
3.801%, 11-25-49 (A)(C) | $ | 1,350 | $ | 1,318 | ||||
3.764%, 11-25-50 (A)(C) | 800 | 781 | ||||||
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates: | ||||||||
3.000%, 9-1-28 | 2,497 | 2,489 | ||||||
4.500%, 8-1-30 | 698 | 727 | ||||||
2.500%, 5-15-44 | 690 | 669 | ||||||
Federal National Mortgage Association Agency REMIC/CMO, | ||||||||
2.000%, 6-25-39 | 2,186 | 2,116 | ||||||
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | ||||||||
2.210%, 10-1-19 | 2,228 | 2,227 | ||||||
4.646%, 7-1-20 | 1,524 | 1,553 | ||||||
3.680%, 2-1-21 | 763 | 764 | ||||||
4.381%, 6-1-21 | 1,243 | 1,285 | ||||||
2.000%, 10-25-41 | 1,738 | 1,650 | ||||||
Government National Mortgage Association Agency REMIC/CMO, | ||||||||
2.000%, 3-16-42 | 993 | 954 | ||||||
|
| |||||||
44,730 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 8.5% |
| $ | 50,704 | |||||
(Cost: $51,898) | ||||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
Treasury Obligations – 39.2% |
| |||||||
U.S. Treasury Notes: | ||||||||
1.250%, 12-31-18 | 10,000 | 9,954 | ||||||
1.625%, 4-30-19 | 1,500 | 1,492 | ||||||
1.250%, 5-31-19 | 10,000 | 9,903 | ||||||
1.500%, 5-31-19 | 2,500 | 2,481 | ||||||
1.625%, 7-31-19 | 12,500 | 12,397 |
UNITED STATES GOVERNMENT OBLIGATIONS (Continued) | Principal | Value | ||||||
Treasury Obligations (Continued) |
| |||||||
1.750%, 11-30-19 | $ | 15,000 | $ | 14,849 | ||||
2.375%, 4-30-20 | 15,500 | 15,459 | ||||||
2.500%, 5-31-20 | 10,000 | 9,995 | ||||||
1.750%, 10-31-20 | 25,000 | 24,531 | ||||||
2.625%, 11-15-20 | 10,000 | 10,009 | ||||||
2.625%, 5-15-21 | 21,500 | 21,499 | ||||||
2.000%, 12-31-21 | 8,000 | 7,821 | ||||||
2.125%, 12-31-21 | 16,000 | 15,708 | ||||||
1.875%, 2-28-22 | 15,000 | 14,580 | ||||||
2.000%, 7-31-22 | 24,000 | 23,345 | ||||||
2.125%, 12-31-22 | 11,000 | 10,721 | ||||||
2.375%, 1-31-23 | 10,000 | 9,848 | ||||||
2.750%, 4-30-23 (B) | 8,000 | 8,005 | ||||||
2.750%, 5-31-23 | 10,000 | 10,009 | ||||||
|
| |||||||
232,606 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 39.2% |
| $ | 232,606 | |||||
(Cost: $232,975) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Commercial Paper (E) – 8.7% |
| |||||||
AT&T, Inc., | ||||||||
3.130%, 5-30-19 | 6,000 | 5,831 | ||||||
Energy Transfer L.P.: | ||||||||
2.803%, 7-2-18 | 5,000 | 4,999 | ||||||
2.603%, 7-3-18 | 7,000 | 6,998 | ||||||
2.585%, 7-9-18 | 4,000 | 3,997 | ||||||
2.710%, 7-12-18 | 4,000 | 3,996 | ||||||
General Motors Financial Co., Inc.: | ||||||||
2.405%, 7-9-18 | 2,500 | 2,498 | ||||||
2.740%, 7-10-18 | 1,500 | 1,499 | ||||||
Hewlett Packard Enterprise Corp., | ||||||||
2.120%, 7-11-18 | 5,000 | 4,997 | ||||||
Kansas City Power & Light Co.: | ||||||||
2.222%, 7-3-18 | 2,000 | 2,000 | ||||||
2.252%, 7-6-18 | 1,500 | 1,499 | ||||||
Sherwin-Williams Co. (The): | ||||||||
2.520%, 7-2-18 | 1,000 | 1,000 | ||||||
2.100%, 7-13-18 | 1,600 | 1,598 |
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Commercial Paper (E) (Continued) |
| |||||||
Virginia Electric and Power Co.: | ||||||||
2.410%, 7-10-18 | $ | 1,000 | $ | 999 | ||||
2.340%, 7-25-18 | 2,000 | 1,997 | ||||||
Walgreens Boots Alliance, Inc., | ||||||||
2.470%, 7-12-18 | 4,000 | 3,997 | ||||||
Wisconsin Electric Power Co.: | ||||||||
2.380%, 7-12-18 | 2,000 | 1,999 | ||||||
2.140%, 7-13-18 | 2,000 | 1,998 | ||||||
|
| |||||||
51,902 | ||||||||
|
| |||||||
Master Note – 0.3% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (F) | 1,852 | 1,852 | ||||||
|
| |||||||
Money Market Funds – 0.0% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | ||||||||
1.850%, (G)(H) | 141 | 141 | ||||||
|
| |||||||
Notes – 0.1% |
| |||||||
Overseas Private Investment Corp. (GTD by U.S. Government) (3-Month U.S. TB Rate), | ||||||||
2.000%, 7-7-18 (F) | 425 | 425 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 9.1% |
| $ | 54,320 | |||||
(Cost: $54,327) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.5% |
| $ | 590,947 | |||||
(Cost: $596,946) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.5% |
| 3,044 | ||||||
NET ASSETS – 100.0% |
| $ | 593,991 |
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 June 30, 2018 the total value of these securities amounted to $75,894 or 12.8% of net assets. |
(B) | All or a portion of securities with an aggregate value of $500 are on loan. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. 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 June 30, 2018. |
(E) | Rate shown is the yield to maturity at June 30, 2018. |
(F) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
74 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2018 (UNAUDITED)
(G) | Investment made with cash collateral received from securities on loan. |
(H) | Rate shown is the annualized 7-day yield at June 30, 2018. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Preferred Stocks | $ | 492 | $ | — | $ | — | ||||||
Asset-Backed Securities | — | 1,845 | — | |||||||||
Corporate Debt Securities | — | 229,891 | — | |||||||||
Mortgage-Backed Securities | — | 4,242 | — | |||||||||
Municipal Bonds | — | 16,847 | — | |||||||||
United States Government Agency Obligations | — | 50,704 | — | |||||||||
United States Government Obligations | — | 232,606 | — | |||||||||
Short-Term Securities | 141 | 54,179 | — | |||||||||
Total | $ | 633 | $ | 590,314 | $ | — |
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
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
TB = Treasury Bill
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 75 |
Table of Contents
PORTFOLIO HIGHLIGHTS | MICRO CAP GROWTH |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 94.1% | |||
Health Care | 33.3% | |||
Information Technology | 31.8% | |||
Industrials | 14.4% | |||
Consumer Discretionary | 5.4% | |||
Energy | 3.3% | |||
Consumer Staples | 3.2% | |||
Real Estate | 2.7% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 5.9% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
8x8, Inc. | Information Technology | Application Software | ||
Aerie Pharmaceuticals, Inc. | Health Care | Pharmaceuticals | ||
Tabula Rasa HealthCare, Inc. | Health Care | Health Care Technology | ||
Mimecast Ltd. | Information Technology | Internet Software & Services | ||
Tactile Systems Technology, Inc. | Health Care | Health Care Equipment | ||
AxoGen, Inc. | Health Care | Health Care Equipment | ||
MYR Group, Inc. | Industrials | Construction & Engineering | ||
EVO Payments, Inc., Class A | Information Technology | Data Processing & Outsourced Services | ||
Kornit Digital Ltd. | Industrials | Industrial Machinery | ||
Cornerstone OnDemand, Inc. | Information Technology | Internet Software & Services |
See your advisor or www.waddell.com for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
76 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | MICRO CAP GROWTH (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.4% |
| |||||||
Boot Barn Holdings, Inc. (A) | 18 | $ | 378 | |||||
|
| |||||||
Auto Parts & Equipment – 1.9% |
| |||||||
Motorcar Parts of America, Inc. (A)(B) | 86 | 1,605 | ||||||
|
| |||||||
Home Improvement Retail – 0.4% |
| |||||||
Lumber Liquidators Holdings, Inc. (A)(B) | 14 | 344 | ||||||
|
| |||||||
Homebuilding – 0.7% |
| |||||||
Installed Building Products, Inc. (A) | 10 | 588 | ||||||
|
| |||||||
Specialty Stores – 2.0% |
| |||||||
Hibbett Sports, Inc. (A) | 21 | 469 | ||||||
Sportsman’s Warehouse Holdings, Inc. (A)(B) | 243 | 1,243 | ||||||
|
| |||||||
1,712 | ||||||||
|
| |||||||
Total Consumer Discretionary – 5.4% |
| 4,627 | ||||||
Consumer Staples |
| |||||||
Distillers & Vintners – 2.3% |
| |||||||
MGP Ingredients, Inc. | 23 | 2,004 | ||||||
|
| |||||||
Packaged Foods & Meats – 0.9% |
| |||||||
Calavo Growers, Inc. | 8 | 731 | ||||||
|
| |||||||
Total Consumer Staples – 3.2% |
| 2,735 | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 1.3% |
| |||||||
NCS Multistage Holdings, Inc. (A)(B) | 32 | 459 | ||||||
Ranger Energy Services, Inc. (A) | 67 | 618 | ||||||
|
| |||||||
1,077 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 2.0% |
| |||||||
Earthstone Energy, Inc. (A)(B) | 41 | 362 | ||||||
Ring Energy, Inc. (A) | 108 | 1,364 | ||||||
|
| |||||||
1,726 | ||||||||
|
| |||||||
Total Energy – 3.3% |
| 2,803 | ||||||
Health Care |
| |||||||
Biotechnology – 2.2% |
| |||||||
Acceleron Pharma, Inc. (A) | 9 | 427 | ||||||
Adamas Pharmaceuticals, Inc. (A)(B) | 16 | 421 | ||||||
Natera, Inc. (A) | 54 | 1,018 | ||||||
|
| |||||||
1,866 | ||||||||
|
| |||||||
Health Care Distributors – 2.1% |
| |||||||
PetIQ, Inc. (A)(B) | 68 | 1,837 | ||||||
|
| |||||||
Health Care Equipment – 11.0% |
| |||||||
AxoGen, Inc. (A) | 67 | 3,360 | ||||||
K2M Group Holdings, Inc. (A) | 96 | 2,149 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care Equipment (Continued) |
| |||||||
Tactile Systems Technology, Inc. (A) | 75 | $ | 3,915 | |||||
|
| |||||||
9,424 | ||||||||
|
| |||||||
Health Care Supplies – 1.5% |
| |||||||
OrthoPediatrics Corp. (A) | 31 | 813 | ||||||
Sientra, Inc. (A) | 24 | 464 | ||||||
|
| |||||||
1,277 | ||||||||
|
| |||||||
Health Care Technology – 8.3% |
| |||||||
Evolent Health, Inc., Class A (A) | 77 | 1,617 | ||||||
Neuronetics, Inc. (A) | 48 | 1,269 | ||||||
Tabula Rasa HealthCare, Inc. (A) | 66 | 4,226 | ||||||
|
| |||||||
7,112 | ||||||||
|
| |||||||
Pharmaceuticals – 8.2% |
| |||||||
Aerie Pharmaceuticals, Inc. (A) | 66 | 4,445 | ||||||
Intersect ENT, Inc. (A) | 55 | 2,045 | ||||||
Revance Therapeutics, Inc. (A) | 20 | 540 | ||||||
|
| |||||||
7,030 | ||||||||
|
| |||||||
Total Health Care – 33.3% |
| 28,546 | ||||||
Industrials |
| |||||||
Aerospace��& Defense – 2.2% |
| |||||||
AAR Corp. | 9 | 420 | ||||||
Kratos Defense & Security Solutions, Inc. (A)(B) | 46 | 528 | ||||||
Mercury Computer Systems, Inc. (A) | 24 | 917 | ||||||
|
| |||||||
1,865 | ||||||||
|
| |||||||
Air Freight & Logistics – 1.3% |
| |||||||
Air Transport Services Group, Inc. (A) | 49 | 1,102 | ||||||
|
| |||||||
Building Products – 3.8% |
| |||||||
American Woodmark Corp. (A) | 15 | 1,337 | ||||||
PGT Innovations, Inc. (A) | 91 | 1,895 | ||||||
|
| |||||||
3,232 | ||||||||
|
| |||||||
Construction & Engineering – 3.6% |
| |||||||
MYR Group, Inc. (A) | 76 | 2,702 | ||||||
Sterling Construction Co., Inc. (A) | 28 | 369 | ||||||
|
| |||||||
3,071 | ||||||||
|
| |||||||
Industrial Machinery – 3.0% |
| |||||||
Kornit Digital Ltd. (A)(B) | 147 | 2,617 | ||||||
|
| |||||||
Research & Consulting Services – 0.5% |
| |||||||
Willdan Group, Inc. (A) | 15 | 464 | ||||||
|
| |||||||
Total Industrials – 14.4% |
| 12,351 | ||||||
Information Technology |
| |||||||
Application Software – 5.4% |
| |||||||
8x8, Inc. (A) | 230 | 4,603 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 3.1% |
| |||||||
EVO Payments, Inc., Class A (A) | 128 | 2,624 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Internet Software & Services – 17.7% |
| |||||||
Bandwidth, Inc., Class A (A) | 37 | $ | 1,405 | |||||
Chegg, Inc. (A) | 30 | 823 | ||||||
Cornerstone OnDemand, Inc. (A) | 52 | 2,481 | ||||||
Five9, Inc. (A) | 67 | 2,309 | ||||||
GTT Communications, Inc. (A)(B) | 28 | 1,269 | ||||||
Hortonworks, Inc. (A) | 36 | 661 | ||||||
Mimecast Ltd. (A) | 102 | 4,211 | ||||||
Q2 Holdings, Inc. (A) | 35 | 1,985 | ||||||
|
| |||||||
15,144 | ||||||||
|
| |||||||
IT Consulting & Other Services – 1.4% |
| |||||||
ForeScout Technologies, Inc. (A) | 36 | 1,249 | ||||||
|
| |||||||
Semiconductor Equipment – 1.0% |
| |||||||
Ichor Holdings Ltd. (A)(B) | 42 | 900 | ||||||
|
| |||||||
Semiconductors – 1.4% |
| |||||||
nLight, Inc. (A) | 32 | 1,048 | ||||||
NVE Corp. | 2 | 183 | ||||||
|
| |||||||
1,231 | ||||||||
|
| |||||||
Systems Software – 1.8% |
| |||||||
SailPoint Technologies Holdings, Inc. (A) | 63 | 1,547 | ||||||
|
| |||||||
Total Information Technology – 31.8% |
| 27,298 | ||||||
Real Estate |
| |||||||
Health Care REITs – 2.7% |
| |||||||
Community Healthcare Trust, Inc. | 77 | 2,293 | ||||||
|
| |||||||
Total Real Estate – 2.7% |
| 2,293 | ||||||
TOTAL COMMON STOCKS – 94.1% |
| $ | 80,653 | |||||
(Cost: $51,490) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 6.8% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (C) | $ | 5,872 | 5,872 | |||||
|
| |||||||
Money Market Funds – 6.8% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | ||||||||
1.850%, (D)(E) | 5,817 | 5,817 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 13.6% |
| $ | 11,689 | |||||
(Cost: $11,689) | ||||||||
TOTAL INVESTMENT SECURITIES – 107.7% |
| $ | 92,342 | |||||
(Cost: $63,179) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (7.7)% |
| (6,610 | ) | |||||
NET ASSETS – 100.0% |
| $ | 85,732 |
2018 | SEMIANNUAL REPORT | 77 |
Table of Contents
SCHEDULE OF INVESTMENTS | MICRO CAP GROWTH (in thousands) |
JUNE 30, 2018 (UNAUDITED)
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | All or a portion of securities with an aggregate value of $5,652 are on loan. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(D) | Investment made with cash collateral received from securities on loan. |
(E) | Rate shown is the annualized 7-day yield at June 30, 2018. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 80,653 | $ | — | $ | — | ||||||
Short-Term Securities | 5,817 | 5,872 | — | |||||||||
Total | $ | 86,470 | $ | 5,872 | $ | — |
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
LIBOR = London Interbank Offered Rate
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
78 | SEMIANNUAL REPORT | 2018 |
Table of Contents
PORTFOLIO HIGHLIGHTS | MID CAP GROWTH |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 95.4% | |||
Consumer Discretionary | 23.8% | |||
Information Technology | 21.8% | |||
Industrials | 19.7% | |||
Health Care | 17.0% | |||
Financials | 8.0% | |||
Materials | 2.6% | |||
Consumer Staples | 2.5% | |||
Purchased Options | 0.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 4.6% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Zoetis, Inc. | Health Care | Pharmaceuticals | ||
Tractor Supply Co. | Consumer Discretionary | Specialty Stores | ||
Electronic Arts, Inc. | Information Technology | Home Entertainment Software | ||
Chipotle Mexican Grill, Inc., Class A | Consumer Discretionary | Restaurants | ||
CoStar Group, Inc. | Industrials | Research & Consulting Services | ||
Intuitive Surgical, Inc. | Health Care | Health Care Equipment | ||
GrubHub, Inc. | Information Technology | Internet Software & Services | ||
Fastenal Co. | Industrials | Trading Companies & Distributors | ||
Tiffany & Co. | Consumer Discretionary | Specialty Stores | ||
Polaris Industries, Inc. | Consumer Discretionary | Leisure Products |
See your advisor or www.waddell.com for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2018 | SEMIANNUAL REPORT | 79 |
Table of Contents
SCHEDULE OF INVESTMENTS | MID CAP GROWTH (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel, Accessories & Luxury Goods – 3.7% |
| |||||||
Burberry Group plc (A) | 410 | $ | 11,681 | |||||
lululemon athletica, Inc. (B) | 126 | 15,707 | ||||||
|
| |||||||
27,388 | ||||||||
|
| |||||||
Auto Parts & Equipment – 1.4% |
| |||||||
BorgWarner, Inc. | 239 | 10,298 | ||||||
|
| |||||||
Automotive Retail – 1.8% |
| |||||||
O’Reilly Automotive, Inc. (B) | 49 | 13,540 | ||||||
|
| |||||||
Home Furnishings – 1.3% |
| |||||||
Mohawk Industries, Inc. (B) | 45 | 9,730 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 1.2% |
| |||||||
Norwegian Cruise Line Holdings Ltd. (B) | 187 | 8,856 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.4% |
| |||||||
Duluth Holdings, Inc., Class B (B)(C) | 121 | 2,875 | ||||||
|
| |||||||
Leisure Products – 2.1% |
| |||||||
Polaris Industries, Inc. | 132 | 16,132 | ||||||
|
| |||||||
Restaurants – 4.9% |
| |||||||
Chipotle Mexican Grill, Inc., Class A (B) | 48 | 20,750 | ||||||
Dunkin Brands Group, Inc. (C) | 224 | 15,497 | ||||||
|
| |||||||
36,247 | ||||||||
|
| |||||||
Specialty Stores – 7.0% |
| |||||||
Tiffany & Co. | 125 | 16,460 | ||||||
Tractor Supply Co. | 277 | 21,220 | ||||||
Ulta Beauty, Inc. (B) | 61 | 14,289 | ||||||
|
| |||||||
51,969 | ||||||||
|
| |||||||
Total Consumer Discretionary – 23.8% |
| 177,035 | ||||||
Consumer Staples |
| |||||||
Food Retail – 1.5% |
| |||||||
Sprouts Farmers Market, Inc. (B) | 514 | 11,353 | ||||||
|
| |||||||
Packaged Foods & Meats – 1.0% |
| |||||||
Hershey Foods Corp. | 75 | 6,987 | ||||||
|
| |||||||
Total Consumer Staples – 2.5% | 18,340 | |||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.7% |
| |||||||
Oaktree Capital Group LLC | 131 | 5,341 | ||||||
|
| |||||||
Financial Exchanges & Data – 2.9% |
| |||||||
CME Group, Inc. | 79 | 13,011 | ||||||
MarketAxess Holdings, Inc. | 41 | 8,178 | ||||||
|
| |||||||
21,189 | ||||||||
|
| |||||||
Regional Banks – 4.4% |
| |||||||
First Republic Bank | 139 | 13,480 | ||||||
Signature Bank (B) | 60 | 7,678 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Regional Banks (Continued) |
| |||||||
SVB Financial Group (B) | 13 | $ | 3,837 | |||||
Western Alliance Bancorp. (B) | 141 | 8,010 | ||||||
|
| |||||||
33,005 | ||||||||
|
| |||||||
Total Financials – 8.0% | 59,535 | |||||||
Health Care |
| |||||||
Biotechnology – 1.5% |
| |||||||
BioMarin Pharmaceutical, Inc. (B) | 121 | 11,397 | ||||||
|
| |||||||
Health Care Equipment – 7.9% |
| |||||||
Abiomed, Inc. (B) | 35 | 14,442 | ||||||
DexCom, Inc. (B) | 53 | 5,012 | ||||||
Edwards Lifesciences Corp. (B) | 105 | 15,321 | ||||||
Glaukos Corp. (B)(C) | 112 | 4,555 | ||||||
Intuitive Surgical, Inc. (B) | 41 | 19,388 | ||||||
|
| |||||||
58,718 | ||||||||
|
| |||||||
Health Care Services – 1.5% |
| |||||||
Laboratory Corp. of America Holdings (B) | 61 | 10,980 | ||||||
|
| |||||||
Health Care Supplies – 2.1% |
| |||||||
Cooper Cos., Inc. (The) | 33 | 7,802 | ||||||
Dentsply Sirona, Inc. | 180 | 7,897 | ||||||
|
| |||||||
15,699 | ||||||||
|
| |||||||
Pharmaceuticals – 4.0% |
| |||||||
Jazz Pharmaceuticals plc (B) | 48 | 8,198 | ||||||
Zoetis, Inc. | 250 | 21,298 | ||||||
|
| |||||||
29,496 | ||||||||
|
| |||||||
Total Health Care – 17.0% | 126,290 | |||||||
Industrials |
| |||||||
Aerospace & Defense – 1.5% |
| |||||||
Harris Corp. | 74 | 10,744 | ||||||
|
| |||||||
Air Freight & Logistics – 2.0% |
| |||||||
Expeditors International of Washington, Inc. | 203 | 14,839 | ||||||
|
| |||||||
Building Products – 3.2% |
| |||||||
A. O. Smith Corp. | 189 | 11,156 | ||||||
Allegion plc | 75 | 5,840 | ||||||
Trex Co., Inc. (B)(C) | 107 | 6,710 | ||||||
|
| |||||||
23,706 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 1.5% |
| |||||||
Westinghouse Air Brake Technologies Corp. | 112 | 11,045 | ||||||
|
| |||||||
Industrial Conglomerates – 0.5% |
| |||||||
Fortive Corp. | 49 | 3,782 | ||||||
|
| |||||||
Industrial Machinery – 2.8% |
| |||||||
IDEX Corp. | 84 | 11,479 | ||||||
Middleby Corp. (B)(C) | 91 | 9,454 | ||||||
|
| |||||||
20,933 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Railroads – 1.0% |
| |||||||
Kansas City Southern | 72 | $ | 7,598 | |||||
|
| |||||||
Research & Consulting Services – 4.7% |
| |||||||
CoStar Group, Inc. (B) | 49 | 20,340 | ||||||
TransUnion | 200 | 14,311 | ||||||
|
| |||||||
34,651 | ||||||||
|
| |||||||
Trading Companies & Distributors – 2.5% |
| |||||||
Fastenal Co. | 393 | 18,901 | ||||||
|
| |||||||
Total Industrials – 19.7% | 146,199 | |||||||
Information Technology |
| |||||||
Application Software – 3.9% |
| |||||||
Autodesk, Inc. (B) | 56 | 7,320 | ||||||
Guidewire Software, Inc. (B) | 162 | 14,386 | ||||||
Tyler Technologies, Inc. (B) | 33 | 7,307 | ||||||
|
| |||||||
29,013 | ||||||||
|
| |||||||
Communications Equipment – 1.5% |
| |||||||
Arista Networks, Inc. (B) | 43 | 10,953 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 1.7% |
| |||||||
Square, Inc., Class A (B) | 206 | 12,719 | ||||||
|
| |||||||
Electronic Components – 1.5% |
| |||||||
Maxim Integrated Products, Inc. | 192 | 11,277 | ||||||
|
| |||||||
Electronic Manufacturing Services – 0.9% |
| |||||||
IPG Photonics Corp. (B) | 29 | 6,485 | ||||||
|
| |||||||
Home Entertainment Software – 2.8% |
| |||||||
Electronic Arts, Inc. (B) | 149 | 21,032 | ||||||
|
| |||||||
Internet Software & Services – 6.1% |
| |||||||
GrubHub, Inc. (B) | 183 | 19,169 | ||||||
MercadoLibre, Inc. | 47 | 14,148 | ||||||
Pandora Media, Inc. (B)(C) | 1,504 | 11,848 | ||||||
|
| |||||||
45,165 | ||||||||
|
| |||||||
Semiconductors – 1.6% |
| |||||||
Microchip Technology, Inc. | 131 | 11,878 | ||||||
|
| |||||||
Systems Software – 1.8% |
| |||||||
ServiceNow, Inc. (B) | 81 | 13,907 | ||||||
|
| |||||||
Total Information Technology – 21.8% |
| 162,429 | ||||||
Materials |
| |||||||
Fertilizers & Agricultural Chemicals – 1.0% |
| |||||||
Scotts Miracle-Gro Co. (The) | 88 | 7,286 | ||||||
|
| |||||||
Specialty Chemicals – 1.6% |
| |||||||
Axalta Coating Systems Ltd. (B) | 389 | 11,787 | ||||||
|
| |||||||
Total Materials – 2.6% | 19,073 | |||||||
TOTAL COMMON STOCKS – 95.4% | $ | 708,901 | ||||||
(Cost: $550,123) |
80 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | MID CAP GROWTH (in thousands) |
JUNE 30, 2018 (UNAUDITED)
PURCHASED OPTIONS | Number of Contracts (Unrounded) | Notional Amount | Value | |||||||||
Nektar Therapeutics, | ||||||||||||
Call $85.00, Expires 8-17-18, OTC (Ctrpty: Barclays Bank plc) | 615 | 62 | $ | 8 | ||||||||
|
| |||||||||||
TOTAL PURCHASED OPTIONS – 0.0% |
| $ | 8 | |||||||||
(Cost: $654) |
|
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (D) – 2.9% |
| |||||||
Brown-Forman Corp., | ||||||||
2.010%, 7-16-18 | $ | 5,000 | 4,995 | |||||
McDonalds Corp., | ||||||||
2.450%, 7-16-18 | 3,000 | 2,997 | ||||||
Walgreens Boots Alliance, Inc., | ||||||||
2.292%, 7-2-18 | 4,000 | 3,999 | ||||||
Wisconsin Gas LLC, | ||||||||
2.000%, 7-10-18 | 10,000 | 9,993 | ||||||
|
| |||||||
21,984 | ||||||||
|
|
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Master Note – 0.2% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (E) | $ | 1,316 | $ | 1,316 | ||||
|
| |||||||
Money Market Funds – 1.9% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | ||||||||
1.850%, (F)(G) | 13,843 | 13,843 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 5.0% |
| $ | 37,143 | |||||
(Cost: $37,146) |
| |||||||
TOTAL INVESTMENT SECURITIES – 100.4% |
| $ | 746,052 | |||||
(Cost: $587,923) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.4)% |
| (3,196 | ) | |||||
NET ASSETS – 100.0% | $ | 742,856 |
Notes to Schedule of Investments
(A) | Listed on an exchange outside the United States. |
(B) | No dividends were paid during the preceding 12 months. |
(C) | All or a portion of securities with an aggregate value of $13,396 are on loan. |
(D) | Rate shown is the yield to maturity at June 30, 2018. |
(E) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(F) | Investment made with cash collateral received from securities on loan. |
(G) | Rate shown is the annualized 7-day yield at June 30, 2018. |
The following written options were outstanding at June 30, 2018 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Notional Amount | Expiration Month | Exercise Price | Premium Received | Value | ||||||||||||||||||||||
Chipotle Mexican Grill, Inc., Class A | N/A | Call | 102 | 10 | July 2018 | $ | 500.00 | $ | 58 | $ | (3 | ) | ||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 708,901 | $ | — | $ | — | ||||||
Purchased Options | — | 8 | — | |||||||||
Short-Term Securities | 13,843 | 23,300 | — | |||||||||
Total | $ | 722,744 | $ | 23,308 | $ | — | ||||||
Liabilities | ||||||||||||
Written Options | $ | 3 | $ | — | $ | — |
During the period ended June 30, 2018, securities totaling $24,640 were transferred from Level 2 to Level 1. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on June 30, 2018. Transfers out of Level 2 represent the values as of the beginning of the reporting period.
The following acronyms are used throughout this schedule:
LIBOR = London Interbank Offered Rate
OTC = Over the Counter
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 81 |
Table of Contents
PORTFOLIO HIGHLIGHTS | NATURAL RESOURCES |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 94.7% | |||
Energy | 59.2% | |||
Materials | 28.7% | |||
Industrials | 5.5% | |||
Consumer Staples | �� | 1.3% | ||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 5.3% |
Country Weightings
North America | 78.8% | |||
United States | 71.6% | |||
Canada | 7.2% | |||
Europe | 10.4% | |||
United Kingdom | 6.4% | |||
Other Europe | 4.0% | |||
Pacific Basin | 3.0% | |||
Other | 2.5% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 5.3% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Halliburton Co. | United States | Energy | Oil & Gas Equipment & Services | |||
EOG Resources, Inc. | United States | Energy | Oil & Gas Exploration & Production | |||
Phillips 66 | United States | Energy | Oil & Gas Refining & Marketing | |||
Chevron Corp. | United States | Energy | Integrated Oil & Gas | |||
Schlumberger Ltd. | United States | Energy | Oil & Gas Equipment & Services | |||
Parsley Energy, Inc., Class A | United States | Energy | Oil & Gas Exploration & Production | |||
BHP Billiton plc | Australia | Materials | Diversified Metals & Mining | |||
Core Laboratories N.V. | Netherlands | Energy | Oil & Gas Equipment & Services | |||
Rio Tinto plc | United Kingdom | Materials | Diversified Metals & Mining | |||
Union Pacific Corp. | United States | Industrials | Railroads |
See your advisor for more information on the Portfolio’s most recent published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
82 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | NATURAL RESOURCES (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Australia |
| |||||||
Materials – 3.0% |
| |||||||
BHP Billiton plc | 159 | $ | 3,588 | |||||
|
| |||||||
Total Australia – 3.0% |
| $ | 3,588 | |||||
Canada |
| |||||||
Industrials – 2.6% |
| |||||||
Canadian Pacific Railway Ltd. | 17 | 3,102 | ||||||
|
| |||||||
Materials – 4.6% |
| |||||||
Nutrien Ltd. | 59 | 3,222 | ||||||
West Fraser Timber Co. Ltd. | 33 | 2,285 | ||||||
|
| |||||||
5,507 | ||||||||
|
| |||||||
Total Canada – 7.2% |
| $ | 8,609 | |||||
Hong Kong |
| |||||||
Materials – 0.0% |
| |||||||
China Metal Recycling (Holdings) Ltd. (A)(B) | 1,900 | — | * | |||||
|
| |||||||
Total Hong Kong – 0.0% |
| $ | — | * | ||||
Netherlands |
| |||||||
Energy – 3.0% |
| |||||||
Core Laboratories N.V. (C) | 28 | 3,578 | ||||||
|
| |||||||
Total Netherlands – 3.0% |
| $ | 3,578 | |||||
Portugal |
| |||||||
Energy – 1.0% |
| |||||||
Galp Energia SGPS S.A., Class B | 64 | 1,212 | ||||||
|
| |||||||
Total Portugal – 1.0% |
| $ | 1,212 | |||||
South Africa |
| |||||||
Materials – 2.5% |
| |||||||
Mondi plc | 108 | 2,927 | ||||||
|
| |||||||
Total South Africa – 2.5% |
| $ | 2,927 | |||||
United Kingdom |
| |||||||
Materials – 6.4% |
| |||||||
Croda International plc | 23 | 1,464 | ||||||
Randgold Resources Ltd. ADR | 33 | 2,510 | ||||||
Rio Tinto plc | 64 | 3,543 | ||||||
|
| |||||||
7,517 | ||||||||
|
| |||||||
Total United Kingdom – 6.4% |
| $ | 7,517 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
United States |
| |||||||
Consumer Staples – 1.3% |
| |||||||
Ingredion, Inc. | 14 | $ | 1,494 | |||||
|
| |||||||
Energy – 55.2% |
| |||||||
Cabot Oil & Gas Corp. | 114 | 2,701 | ||||||
Centennial Resource Development, Inc., Class A (A) | 97 | 1,758 | ||||||
Chevron Corp. | 34 | 4,311 | ||||||
Cimarex Energy Co. | 28 | 2,833 | ||||||
Concho Resources, Inc. (A) | 19 | 2,573 | ||||||
Diamondback Energy, Inc. | 22 | 2,908 | ||||||
Enterprise Products Partners L.P. | 74 | 2,047 | ||||||
EOG Resources, Inc. | 40 | 4,952 | ||||||
EQT Midstream Partners L.P. | 22 | 1,112 | ||||||
Halliburton Co. | 159 | 7,160 | ||||||
Kosmos Energy Ltd. (A) | 77 | 641 | ||||||
Magellan Midstream Partners L.P. | 39 | 2,708 | ||||||
Marathon Petroleum Corp. | 43 | 3,034 | ||||||
MPLX L.P. | 46 | 1,558 | ||||||
Noble Energy, Inc. | 79 | 2,784 | ||||||
Parsley Energy, Inc., Class A (A) | 125 | 3,797 | ||||||
Phillips 66 | 40 | 4,515 | ||||||
RPC, Inc. (C) | 183 | 2,660 | ||||||
RSP Permian, Inc. (A) | 62 | 2,745 | ||||||
Schlumberger Ltd. | 57 | 3,824 | ||||||
Valero Energy Corp. | 11 | 1,186 | ||||||
WPX Energy, Inc. (A) | 179 | 3,236 | ||||||
|
| |||||||
65,043 | ||||||||
|
| |||||||
Industrials – 2.9% |
| |||||||
Union Pacific Corp. | 24 | 3,429 | ||||||
|
| |||||||
Materials – 12.2% |
| |||||||
Air Products and Chemicals, Inc. | 15 | 2,313 | ||||||
Crown Holdings, Inc. (A) | 33 | 1,497 | ||||||
Dow Chemical Co. (The) | 18 | 1,216 | ||||||
Ecolab, Inc. | 16 | 2,287 | ||||||
International Flavors & Fragrances, Inc. | 12 | 1,461 | ||||||
Packaging Corp. of America | 10 | 1,112 | ||||||
PPG Industries, Inc. | 15 | 1,525 | ||||||
Scotts Miracle-Gro Co. (The) | 11 | 887 | ||||||
Sealed Air Corp. | 20 | 839 | ||||||
WestRock Co. (A) | 15 | 1,222 | ||||||
|
| |||||||
14,359 | ||||||||
|
| |||||||
Total United States – 71.6% |
| $ | 84,325 | |||||
TOTAL COMMON STOCKS – 94.7% |
| $ | 111,756 | |||||
(Cost: $112,839) |
|
SHORT-TERM SECURITIES | Principal | Value | ||||||
Master Note – 4.9% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps) | ||||||||
2.240%, 7-6-18 (D) | $ | 5,764 | $ | 5,764 | ||||
|
| |||||||
Money Market Funds – 3.0% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund –Institutional Shares | ||||||||
1.850%, (E)(F) | 3,552 | 3,552 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 7.9% |
| $ | 9,316 | |||||
(Cost: $9,316) | ||||||||
TOTAL INVESTMENT SECURITIES – 102.6% |
| $ | 121,072 | |||||
(Cost: $122,155) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (2.6)% |
| (3,064 | ) | |||||
NET ASSETS – 100.0% |
| $ | 118,008 |
2018 | SEMIANNUAL REPORT | 83 |
Table of Contents
SCHEDULE OF INVESTMENTS | NATURAL RESOURCES (in thousands) |
JUNE 30, 2018 (UNAUDITED)
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | No dividends were paid during the preceding 12 months. |
(B) | Securities whose value was determined using significant unobservable inputs. |
(C) | All or a portion of securities with an aggregate value of $3,478 are on loan. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(E) | Rate shown is the annualized 7-day yield at June 30, 2018. |
(F) | Investment made with cash collateral received from securities on loan. |
The following forward foreign currency contracts were outstanding at June 30, 2018:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
British Pound | 8,717 | U.S. Dollar | 12,268 | 7-5-18 | UBS AG | $ | 762 | $ | — | |||||||||||||||||||
Canadian Dollar | 3,075 | U.S. Dollar | 2,388 | 7-5-18 | UBS AG | 49 | — | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 811 | $ | — | |||||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 111,756 | $ | — | $ | — | * | |||||
Short-Term Securities | 3,552 | 5,764 | — | |||||||||
Total | $ | 115,308 | $ | 5,764 | $ | — | * | |||||
Forward Foreign Currency Contracts | $ | — | $ | 811 | $ | — |
During the period ended June 30, 2018, securities totaling $13,782 were transferred from Level 2 to Level 1. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on June 30, 2018. Transfers out of Level 2 represent the values as of the beginning of the reporting period.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
LIBOR = London Interbank Offered Rate
Market Sector Diversification
(as a % of net assets) |
| |||
Energy | 59.2% | |||
Materials | 28.7% | |||
Industrials | 5.5% | |||
Consumer Staples | 1.3% | |||
Other+ | 5.3% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
84 | SEMIANNUAL REPORT | 2018 |
Table of Contents
PORTFOLIO HIGHLIGHTS | SCIENCE AND TECHNOLOGY |
ALL DATA AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 97.8% | |||
Information Technology | 75.2% | |||
Health Care | 14.4% | |||
Consumer Discretionary | 4.1% | |||
Telecommunication Services | 2.0% | |||
Real Estate | 1.1% | |||
Materials | 0.4% | |||
Industrials | 0.3% | |||
Utilities | 0.3% | |||
Warrants | 0.0% | |||
Purchased Options | 0.0% | |||
Bonds | 0.0% | |||
Corporate Debt Securities | 0.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.2% |
Country Weightings
North America | 84.8% | |||
United States | 84.8% | |||
Pacific Basin | 9.5% | |||
China | 4.8% | |||
India | 4.7% | |||
Europe | 3.4% | |||
Other | 0.1% | |||
Cash and Other Assets (Net of Liabilities), Cash Equivalents+ and Purchased Options | 2.2% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Microsoft Corp. | United States | Information Technology | Systems Software | |||
Micron Technology, Inc. | United States | Information Technology | Semiconductors | |||
Apple, Inc. | United States | Information Technology | Technology Hardware, Storage & Peripherals | |||
WNS (Holdings) Ltd. ADR | India | Information Technology | Data Processing & Outsourced Services | |||
Facebook, Inc., Class A | United States | Information Technology | Internet Software & Services | |||
Aspen Technology, Inc. | United States | Information Technology | Application Software | |||
Vertex Pharmaceuticals, Inc. | United States | Health Care | Biotechnology | |||
Alibaba Group Holding Ltd. ADR | China | Information Technology | Internet Software & Services | |||
Euronet Worldwide, Inc. | United States | Information Technology | Data Processing & Outsourced Services | |||
Cypress Semiconductor Corp. | United States | Information Technology | Semiconductors |
See your advisor or www.waddell.com for more information on the Portfolio’s most recent published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2018 | SEMIANNUAL REPORT | 85 |
Table of Contents
SCHEDULE OF INVESTMENTS | SCIENCE AND TECHNOLOGY (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Broadcasting – 0.3% |
| |||||||
HUYA, Inc. ADR (A)(B) | 54 | $ | 1,776 | |||||
|
| |||||||
Internet & Direct Marketing Retail – 3.8% |
| |||||||
Amazon.com, Inc. (A) | 3 | 5,439 | ||||||
Netflix, Inc. (A) | 52 | 20,276 | ||||||
|
| |||||||
25,715 | ||||||||
|
| |||||||
Total Consumer Discretionary – 4.1% |
| 27,491 | ||||||
Health Care |
| |||||||
Biotechnology – 10.4% |
| |||||||
BioMarin Pharmaceutical, Inc. (A) | 90 | 8,468 | ||||||
Evogene Ltd. (A) | 175 | 502 | ||||||
Gilead Sciences, Inc. | 91 | 6,461 | ||||||
Ionis Pharmaceuticals, Inc. (A) | 350 | 14,589 | ||||||
Sage Therapeutics, Inc. (A) | 17 | 2,661 | ||||||
Sarepta Therapeutics, Inc. (A) | 58 | 7,706 | ||||||
Vertex Pharmaceuticals, Inc. (A) | 171 | 29,114 | ||||||
|
| |||||||
69,501 | ||||||||
|
| |||||||
Health Care Equipment – 0.9% |
| |||||||
Medtronic plc | 68 | 5,821 | ||||||
|
| |||||||
Health Care Technology – 3.1% |
| |||||||
Cerner Corp. (A) | 341 | 20,359 | ||||||
|
| |||||||
Total Health Care – 14.4% |
| 95,681 | ||||||
Industrials |
| |||||||
Air Freight & Logistics – 0.3% |
| |||||||
Best, Inc. ADR (A) | 155 | 1,898 | ||||||
|
| |||||||
Total Industrials – 0.3% |
| 1,898 | ||||||
Information Technology |
| |||||||
Application Software – 8.1% |
| |||||||
ACI Worldwide, Inc. (A) | 918 | 22,645 | ||||||
Aspen Technology, Inc. (A) | 335 | 31,086 | ||||||
|
| |||||||
53,731 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 10.9% |
| |||||||
Alliance Data Systems Corp. | 56 | 13,153 | ||||||
Euronet Worldwide, Inc. (A) | 299 | 25,066 | ||||||
GreenSky, Inc., Class A (A) | 135 | 2,864 | ||||||
WNS (Holdings) Ltd. ADR (A) | 605 | 31,553 | ||||||
|
| |||||||
72,636 | ||||||||
|
| |||||||
Electronic Components – 2.4% |
| |||||||
Universal Display Corp. (B) | 186 | 15,988 | ||||||
|
| |||||||
Internet Software & Services – 14.5% |
| |||||||
Alibaba Group Holding Ltd. ADR (A) | 150 | 27,885 | ||||||
Alphabet, Inc., Class A (A) | 14 | 16,260 | ||||||
Alphabet, Inc., Class C (A) | 19 | 21,012 | ||||||
Facebook, Inc., Class A (A) | 162 | 31,519 | ||||||
|
| |||||||
96,676 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Semiconductor Equipment – 2.2% |
| |||||||
ASML Holding N.V., NY Registry Shares | 76 | $ | 14,947 | |||||
|
| |||||||
Semiconductors – 21.5% |
| |||||||
Broadcom Corp., Class A | 34 | 8,177 | ||||||
Cypress Semiconductor Corp. | 1,582 | 24,646 | ||||||
Intel Corp. | 237 | 11,771 | ||||||
Marvell Technology Group Ltd. | 591 | 12,678 | ||||||
Microchip Technology, Inc. | 77 | 7,030 | ||||||
Micron Technology, Inc. (A) | 849 | 44,536 | ||||||
QUALCOMM, Inc. | 233 | 13,065 | ||||||
Rambus, Inc. (A) | 765 | 9,587 | ||||||
Semtech Corp. (A) | 253 | 11,908 | ||||||
|
| |||||||
143,398 | ||||||||
|
| |||||||
Systems Software – 7.7% |
| |||||||
Ceridian HCM Holding, Inc. (A)(B) | 48 | 1,606 | ||||||
Microsoft Corp. | 506 | 49,847 | ||||||
|
| |||||||
51,453 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 7.9% |
| |||||||
Apple, Inc. | 173 | 31,950 | ||||||
Hewlett-Packard Co. | 897 | 20,355 | ||||||
|
| |||||||
52,305 | ||||||||
|
| |||||||
Total Information Technology – 75.2% |
| 501,134 | ||||||
Materials |
| |||||||
Fertilizers & Agricultural Chemicals – 0.4% |
| |||||||
Marrone Bio Innovations, Inc. (A)(C) | 1,150 | 2,091 | ||||||
Marrone Bio Innovations, Inc. (A)(B) | 280 | 509 | ||||||
|
| |||||||
2,600 | ||||||||
|
| |||||||
Total Materials – 0.4% | 2,600 | |||||||
Real Estate |
| |||||||
Specialized REITs – 1.1% |
| |||||||
QTS Realty Trust, Inc., Class A | 188 | 7,422 | ||||||
|
| |||||||
Total Real Estate – 1.1% |
| 7,422 | ||||||
Telecommunication Services |
| |||||||
Alternative Carriers – 2.0% |
| |||||||
Zayo Group Holdings, Inc. (A) | 359 | 13,078 | ||||||
|
| |||||||
Total Telecommunication Services – 2.0% |
| 13,078 | ||||||
Utilities |
| |||||||
Renewable Electricity – 0.3% |
| |||||||
Atlantica Yield plc | 86 | 1,731 | ||||||
|
| |||||||
Total Utilities – 0.3% | 1,731 | |||||||
TOTAL COMMON STOCKS – 97.8% | $ | 651,035 | ||||||
(Cost: $357,344) |
WARRANTS | Shares | Value | ||||||
Fertilizers & Agricultural Chemicals – 0.0% |
| |||||||
Marrone Bio Innovations, Inc., expires 12-31-20 (C)(D) | 230 | $ | 131 | |||||
Marrone Bio Innovations, Inc., expires 8-20-23 (C)(D) | 230 | — | * | |||||
|
| |||||||
131 | ||||||||
|
| |||||||
TOTAL WARRANTS – 0.0% |
| $ | 131 | |||||
(Cost: $—) |
PURCHASED OPTIONS | Number of Contracts (Unrounded) | Notional Amount | ||||||||||
Cypress Semiconductor Corp., | ||||||||||||
Call $18.00, Expires 9-21-18, OTC (Ctrpty: Citibank N.A.) | 3,089 | 309 | 100 | |||||||||
QUALCOMM, Inc., | ||||||||||||
Call $60.00, Expires 7-20-18, OTC (Ctrpty: Goldman Sachs International) | 2,325 | 233 | 109 | |||||||||
|
| |||||||||||
TOTAL PURCHASED OPTIONS – 0.0% |
| $ | 209 | |||||||||
(Cost: $576) |
CORPORATE DEBT SECURITIES | Principal | |||||||
Materials |
| |||||||
Fertilizers & Agricultural Chemicals – 0.0% |
| |||||||
Marrone Bio Innovations, Inc., | ||||||||
8.000%, 12-31-22 (C) | $ | 288 | 280 | |||||
|
| |||||||
Total Materials – 0.0% |
| 280 | ||||||
TOTAL CORPORATE DEBT |
| $ | 280 | |||||
(Cost: $287) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Master Note – 0.4% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (E) | 2,577 | 2,577 | ||||||
|
| |||||||
Money Market Funds – 1.8% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | ||||||||
1.850%, (F)(G) | 12,121 | 12,121 | ||||||
|
| |||||||
Municipal Obligations – 1.8% |
| |||||||
NY State Hsng Fin Agy, Maestro West Chelsea Hsng Rev Bonds, Ser 2015B (GTD by Wells Fargo Bank N.A.) (BVAL plus 20 bps), | ||||||||
1.970%, 7-7-18 (E) | 8,400 | 8,400 |
86 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | SCIENCE AND TECHNOLOGY (in thousands) |
JUNE 30, 2018 (UNAUDITED)
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Municipal Obligations (Continued) |
| |||||||
Univ of KS Hosp Auth, Var Rate Demand Hlth Fac Rev Bonds (KU Hlth Sys), Ser 2004 (GTD by U.S. Bank N.A.) (BVAL plus 17 bps), | ||||||||
1.540%, 7-1-18 (E) | $ | 1,500 | $ | 1,500 | ||||
University of California (1-Month U.S. LIBOR plus 8 bps), | ||||||||
1.930%, 7-7-18 (E) | 2,000 | 2,000 | ||||||
|
| |||||||
11,900 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 4.0% |
| $ | 26,598 | |||||
(Cost: $26,598) | ||||||||
TOTAL INVESTMENT SECURITIES – 101.8% |
| $ | 678,253 | |||||
(Cost: $384,805) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.8)% |
| (11,731 | ) | |||||
NET ASSETS – 100.0% |
| $ | 666,522 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | No dividends were paid during the preceding 12 months. |
(B) | All or a portion of securities with an aggregate value of $12,080 are on loan. |
(C) | Restricted securities. At June 30, 2018, the Portfolio owned the following restricted securities: |
Security | Acquisition Date(s) | Shares | Cost | Market Value | ||||||||||||||||
Marrone Bio Innovations, Inc. | 2-6-18 | 1,150 | $ | 1,231 | $ | 2,091 | ||||||||||||||
Marrone Bio Innovations, Inc., expires 12-31-20 | 2-6-18 | 230 | — | 131 | ||||||||||||||||
Marrone Bio Innovations, Inc., expires 8-20-23 | 2-6-18 | 230 | — | — | * | |||||||||||||||
Principal | 288 | 280 | ||||||||||||||||||
|
| |||||||||||||||||||
Marrone Bio Innovations, Inc., 8.000%, 12-31-22 | 8-20-15 | $ | 288 | $ | 1,519 | $ | 2,502 | |||||||||||||
|
|
The total value of these securities represented 0.4% of net assets at June 30, 2018. |
(D) | Warrants entitle the Portfolio to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
(E) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(F) | Investment made with cash collateral received from securities on loan. |
(G) | Rate shown is the annualized 7-day yield at June 30, 2018. |
The following written options were outstanding at June 30, 2018 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Notional Amount | Expiration Month | Exercise Price | Premium Received | Value | ||||||||||||||||||||||
QUALCOMM, Inc. | Goldman Sachs International | Put | 2,093 | 209 | July 2018 | $ | 52.50 | $ | 323 | $ | (110 | ) | ||||||||||||||||||
|
|
2018 | SEMIANNUAL REPORT | 87 |
Table of Contents
SCHEDULE OF INVESTMENTS | SCIENCE AND TECHNOLOGY (in thousands) |
JUNE 30, 2018 (UNAUDITED)
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Consumer Discretionary | $ | 27,491 | $ | — | $ | — | ||||||
Health Care | 95,681 | — | — | |||||||||
Industrials | 1,898 | — | — | |||||||||
Information Technology | 501,134 | — | — | |||||||||
Materials | — | 2,600 | — | |||||||||
Real Estate | 7,422 | — | — | |||||||||
Telecommunication Services | 13,078 | — | — | |||||||||
Utilities | 1,731 | — | — | |||||||||
Total Common Stocks | $ | 648,435 | $ | 2,600 | $ | — | ||||||
Warrants | — | 131 | — | |||||||||
Purchased Options | — | 209 | — | |||||||||
Corporate Debt Securities | — | 280 | — | |||||||||
Short-Term Securities | 12,121 | 14,477 | — | |||||||||
Total | $ | 660,556 | $ | 17,697 | $ | — | ||||||
Liabilities | ||||||||||||
Written Options | $ | — | $ | 110 | $ | — |
During the period ended June 30, 2018, securities totaling $1,593 were transferred from Level 3 to Level 2 due to increased availability of observable market data due to increased market activity or information for these securities. Securities totaling $308 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on December 31, 2017. Transfers between levels represent the values as of the beginning of the reporting period.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
BVAL = Bloomberg Valuation Municipal AAA Benchmark
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
OTC = Over the Counter
REIT = Real Estate Investment Trust
Country Diversification
(as a % of net assets) |
| |||
United States | 84.8% | |||
China | 4.8% | |||
India | 4.7% | |||
Netherlands | 2.2% | |||
Other Countries | 1.3% | |||
Other+ | 2.2% |
+Includes options, cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
88 | SEMIANNUAL REPORT | 2018 |
Table of Contents
PORTFOLIO HIGHLIGHTS | SECURIAN REAL ESTATE SECURITIES(a) |
ALL DATA IS AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 98.2% | |||
Real Estate | 97.0% | |||
Telecommunication Services | 1.2% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.8% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Simon Property Group, Inc. | Real Estate | Retail REITs | ||
Equinix, Inc. | Real Estate | Specialized REITs | ||
AvalonBay Communities, Inc. | Real Estate | Residential REITs | ||
Public Storage, Inc. | Real Estate | Specialized REITs | ||
ProLogis, Inc. | Real Estate | Industrial REITs | ||
Digital Realty Trust, Inc. | Real Estate | Specialized REITs | ||
Host Hotels & Resorts, Inc. | Real Estate | Hotel & Resort REITs | ||
Alexandria Real Estate Equities, Inc. | Real Estate | Office REITs | ||
SL Green Realty Corp. | Real Estate | Office REITs | ||
Sun Communities, Inc. | Real Estate | Residential REITs |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
(a)Effective April 30, 2018, the name of Advantus Real Estate Securities changed to Securian Real Estate Securities.
2018 | SEMIANNUAL REPORT | 89 |
Table of Contents
SCHEDULE OF INVESTMENTS | SECURIAN REAL ESTATE SECURITIES (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Real Estate |
| |||||||
Diversified REITs – 4.0% |
| |||||||
Liberty Property Trust | 22 | $ | 993 | |||||
STORE Capital Corp. | 24 | 652 | ||||||
|
| |||||||
1,645 | ||||||||
|
| |||||||
Health Care REITs – 7.8% |
| |||||||
HCP, Inc. | 42 | 1,090 | ||||||
Healthcare Realty Trust, Inc. | 5 | 143 | ||||||
Healthcare Trust of America, Inc., Class A | 23 | 625 | ||||||
Physicians Realty Trust | 13 | 210 | ||||||
Ventas, Inc. | 2 | 136 | ||||||
Welltower, Inc. | 16 | 1,016 | ||||||
|
| |||||||
3,220 | ||||||||
|
| |||||||
Hotel & Resort REITs – 7.5% |
| |||||||
Hilton Worldwide Holdings, Inc. | 11 | 839 | ||||||
Host Hotels & Resorts, Inc. | 67 | 1,418 | ||||||
RLJ Lodging Trust | 10 | 221 | ||||||
Summit Hotel Properties, Inc. | 16 | 232 | ||||||
Sunstone Hotel Investors, Inc. | 24 | 394 | ||||||
|
| |||||||
3,104 | ||||||||
|
| |||||||
Industrial REITs – 7.2% |
| |||||||
Duke Realty Corp. | 40 | 1,147 | ||||||
First Industrial Realty Trust, Inc. | 7 | 243 | ||||||
ProLogis, Inc. | 24 | 1,591 | ||||||
|
| |||||||
2,981 | ||||||||
|
| |||||||
Office REITs – 12.9% |
| |||||||
Alexandria Real Estate Equities, Inc. | 11 | 1,388 | ||||||
Boston Properties, Inc. | 5 | 577 | ||||||
Cousins Properties, Inc. | 40 | 389 | ||||||
Highwoods Properties, Inc. | 12 | 588 | ||||||
Kilroy Realty Corp. | 14 | 1,089 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Office REITs (Continued) |
| |||||||
SL Green Realty Corp. | 13 | $ | 1,297 | |||||
|
| |||||||
5,328 | ||||||||
|
| |||||||
Residential REITs – 24.0% |
| |||||||
American Campus Communities, Inc. | 18 | 763 | ||||||
American Homes 4 Rent | 20 | 446 | ||||||
AvalonBay Communities, Inc. | 11 | 1,833 | ||||||
Camden Property Trust | 12 | 1,085 | ||||||
Equity Lifestyle Properties, Inc. | 4 | 331 | ||||||
Equity Residential | 14 | 912 | ||||||
Essex Property Trust, Inc. | 4 | 1,017 | ||||||
Invitation Homes, Inc. | 50 | 1,162 | ||||||
Mid-America Apartment Communities, Inc. | 2 | 181 | ||||||
Sun Communities, Inc. | 12 | 1,184 | ||||||
UDR, Inc. | 27 | 1,021 | ||||||
|
| |||||||
9,935 | ||||||||
|
| |||||||
Retail REITs – 16.6% |
| |||||||
Agree Realty Corp. | 12 | 607 | ||||||
Federal Realty Investment Trust | 5 | 633 | ||||||
GGP, Inc. | 13 | 256 | ||||||
National Retail Properties, Inc. | 9 | 413 | ||||||
Realty Income Corp. | 9 | 473 | ||||||
Regency Centers Corp. | 18 | 1,097 | ||||||
Retail Opportunity Investments Corp. | 13 | 257 | ||||||
Simon Property Group, Inc. | 15 | 2,525 | ||||||
Weingarten Realty Investors | 20 | 601 | ||||||
|
| |||||||
6,862 | ||||||||
|
| |||||||
Specialized REITs – 17.0% |
| |||||||
CyrusOne, Inc. | 17 | 998 | ||||||
Digital Realty Trust, Inc. | 14 | 1,518 | ||||||
Equinix, Inc. | 4 | 1,846 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Specialized REITs (Continued) |
| |||||||
Extra Space Storage, Inc. | 9 | $ | 898 | |||||
Public Storage, Inc. | 8 | 1,747 | ||||||
|
| |||||||
7,007 | ||||||||
|
| |||||||
Total Real Estate – 97.0% |
| 40,082 | ||||||
Telecommunication Services |
| |||||||
Wireless Telecommunication Service – 1.2% |
| |||||||
SBA Communications Corp. (A) | 3 | 512 | ||||||
|
| |||||||
Total Telecommunication Services – 1.2% |
| 512 | ||||||
TOTAL COMMON STOCKS – 98.2% |
| $ | 40,594 | |||||
(Cost: $40,411) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 1.6% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (B) | $ | 651 | 651 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.6% |
| $ | 651 | |||||
(Cost: $651) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.8% |
| $ | 41,245 | |||||
(Cost: $41,062) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2% |
| 74 | ||||||
NET ASSETS – 100.0% |
| $ | 41,319 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 40,594 | $ | — | $ | — | ||||||
Short-Term Securities | — | 651 | — | |||||||||
Total | $ | 40,594 | $ | 651 | $ | — |
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
LIBOR = London Interbank Offered Rate
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
90 | SEMIANNUAL REPORT | 2018 |
Table of Contents
PORTFOLIO HIGHLIGHTS | SMALL CAP CORE |
ALL DATA AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 98.3% | |||
Information Technology | 21.3% | |||
Consumer Discretionary | 16.5% | |||
Health Care | 13.5% | |||
Financials | 13.3% | |||
Industrials | 11.8% | |||
Materials | 5.8% | |||
Consumer Staples | 4.5% | |||
Telecommunication Services | 3.8% | |||
Energy | 3.2% | |||
Real Estate | 2.7% | |||
Utilities | 1.9% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.7% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Visteon Corp. | Consumer Discretionary | Auto Parts & Equipment | ||
Webster Financial Corp. | Financials | Regional Banks | ||
Invacare Corp. | Health Care | Health Care Equipment | ||
Cabot Corp. | Materials | Commodity Chemicals | ||
Vonage Holdings Corp. | Telecommunication Services | Alternative Carriers | ||
Laredo Petroleum Holdings, Inc. | Energy | Oil & Gas Exploration & Production | ||
Post Holdings, Inc. | Consumer Staples | Packaged Foods & Meats | ||
Novanta, Inc. | Information Technology | Electronic Equipment & Instruments | ||
Red Rock Resorts, Inc., Class A | Consumer Discretionary | Casinos & Gaming | ||
Teradyne, Inc. | Information Technology | Semiconductor Equipment |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2018 | SEMIANNUAL REPORT | 91 |
Table of Contents
SCHEDULE OF INVESTMENTS | SMALL CAP CORE (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 1.6% |
| |||||||
Boot Barn Holdings, Inc. (A) | 173 | $ | 3,592 | |||||
|
| |||||||
Apparel, Accessories & Luxury Goods – 1.5% |
| |||||||
Carter’s, Inc. | 15 | 1,593 | ||||||
G-III Apparel Group Ltd. (A) | 40 | 1,794 | ||||||
|
| |||||||
3,387 | ||||||||
|
| |||||||
Auto Parts & Equipment – 4.9% |
| |||||||
Visteon Corp. (A) | 83 | 10,779 | ||||||
|
| |||||||
Casinos & Gaming – 4.0% |
| |||||||
Boyd Gaming Corp. | 92 | 3,196 | ||||||
Red Rock Resorts, Inc., Class A | 167 | 5,608 | ||||||
|
| |||||||
8,804 | ||||||||
|
| |||||||
Education Services – 1.8% |
| |||||||
Grand Canyon Education, Inc. (A) | 36 | 3,984 | ||||||
|
| |||||||
Movies & Entertainment – 2.0% |
| |||||||
World Wrestling Entertainment, Inc., Class A | 62 | 4,544 | ||||||
|
| |||||||
Restaurants – 0.7% |
| |||||||
Papa John’s International, Inc. | 30 | 1,501 | ||||||
|
| |||||||
Total Consumer Discretionary – 16.5% |
| 36,591 | ||||||
Consumer Staples |
| |||||||
Packaged Foods & Meats – 4.5% |
| |||||||
Nomad Foods Ltd. (A) | 186 | 3,573 | ||||||
Post Holdings, Inc. (A) | 75 | 6,452 | ||||||
|
| |||||||
10,025 | ||||||||
|
| |||||||
Total Consumer Staples – 4.5% |
| 10,025 | ||||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 3.2% |
| |||||||
Laredo Petroleum Holdings, Inc. (A) | 735 | 7,071 | ||||||
|
| |||||||
Total Energy – 3.2% |
| 7,071 | ||||||
Financials |
| |||||||
Consumer Finance – 0.6% |
| |||||||
Green Dot Corp., Class A (A) | 18 | 1,284 | ||||||
|
| |||||||
Multi-Line Insurance – 1.8% |
| |||||||
Kemper Corp. | 52 | 3,926 | ||||||
|
| |||||||
Property & Casualty Insurance – 1.2% |
| |||||||
Old Republic International Corp. | 139 | 2,758 | ||||||
|
| |||||||
Regional Banks – 9.7% |
| |||||||
Chemical Financial Corp. | 72 | 4,019 | ||||||
Pinnacle Financial Partners, Inc. | 62 | 3,824 | ||||||
Webster Financial Corp. | 146 | 9,294 | ||||||
Western Alliance Bancorp. (A) | 80 | 4,510 | ||||||
|
| |||||||
21,647 | ||||||||
|
| |||||||
Total Financials – 13.3% |
| 29,615 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care |
| |||||||
Health Care Equipment – 5.2% |
| |||||||
Insulet Corp. (A) | 35 | $ | 2,991 | |||||
Invacare Corp. | 457 | 8,491 | ||||||
|
| |||||||
11,482 | ||||||||
|
| |||||||
Health Care Facilities – 1.8% |
| |||||||
HealthSouth Corp. | 57 | 3,860 | ||||||
|
| |||||||
Health Care Services – 1.3% |
| |||||||
Tivity Health, Inc. (A) | 84 | 2,957 | ||||||
|
| |||||||
Health Care Supplies – 3.1% |
| |||||||
ICU Medical, Inc. (A) | 16 | 4,757 | ||||||
Sientra, Inc. (A) | 110 | 2,152 | ||||||
|
| |||||||
6,909 | ||||||||
|
| |||||||
Health Care Technology – 2.1% |
| |||||||
Evolent Health, Inc., Class A (A) | 222 | 4,677 | ||||||
|
| |||||||
Total Health Care – 13.5% |
| 29,885 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 3.1% |
| |||||||
Aerojet Rocketdyne Holdings, Inc. (A) | 58 | 1,710 | ||||||
Cubic Corp. | 36 | 2,311 | ||||||
Curtiss-Wright Corp. | 23 | 2,726 | ||||||
|
| |||||||
6,747 | ||||||||
|
| |||||||
Diversified Support Services – 1.7% |
| |||||||
Healthcare Services Group, Inc. | 86 | 3,701 | ||||||
|
| |||||||
Industrial Machinery – 4.8% |
| |||||||
ITT, Inc. | 63 | 3,293 | ||||||
RBC Bearings, Inc. (A) | 23 | 2,937 | ||||||
Rexnord Corp. (A) | 153 | 4,449 | ||||||
|
| |||||||
10,679 | ||||||||
|
| |||||||
Office Services & Supplies – 1.5% |
| |||||||
MSA Safety, Inc. | 35 | 3,382 | ||||||
|
| |||||||
Trucking – 0.7% |
| |||||||
Saia, Inc. (A) | 20 | 1,619 | ||||||
|
| |||||||
Total Industrials – 11.8% |
| 26,128 | ||||||
Information Technology |
| |||||||
Application Software – 4.9% |
| |||||||
Bottomline Technologies (de), Inc. (A) | 55 | 2,726 | ||||||
Everbridge, Inc. (A) | 85 | 4,049 | ||||||
Pluralsight, Inc., Class A (A)(B) | 166 | 4,068 | ||||||
|
| |||||||
10,843 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 1.6% |
| |||||||
EVERTEC, Inc. | 163 | 3,566 | ||||||
|
| |||||||
Electronic Equipment & Instruments – 4.8% |
| |||||||
FLIR Systems, Inc. | 95 | 4,932 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Electronic Equipment & Instruments (Continued) |
| |||||||
Novanta, Inc. (A) | 91 | $ | 5,657 | |||||
|
| |||||||
10,589 | ||||||||
|
| |||||||
Internet Software & Services – 2.1% |
| |||||||
Q2 Holdings, Inc. (A) | 83 | 4,729 | ||||||
|
| |||||||
IT Consulting & Other Services – 2.3% |
| |||||||
Booz Allen Hamilton Holding Corp. | 74 | 3,214 | ||||||
Teradata Corp. (A) | 45 | 1,795 | ||||||
|
| |||||||
5,009 | ||||||||
|
| |||||||
Semiconductor Equipment – 2.4% |
| |||||||
Teradyne, Inc. | 140 | 5,311 | ||||||
|
| |||||||
Semiconductors – 0.6% |
| |||||||
Integrated Device Technology, Inc. (A) | 44 | 1,412 | ||||||
|
| |||||||
Systems Software – 1.8% |
| |||||||
PROS Holdings, Inc. (A) | �� | 109 | 3,985 | |||||
|
| |||||||
Technology Distributors – 0.8% |
| |||||||
Avnet, Inc. | 41 | 1,750 | ||||||
|
| |||||||
Total Information Technology – 21.3% |
| 47,194 | ||||||
Materials |
| |||||||
Aluminum – 0.7% |
| |||||||
Constellium N.V., Class A (A) | 144 | 1,487 | ||||||
|
| |||||||
Commodity Chemicals – 5.1% |
| |||||||
Cabot Corp. | 137 | 8,438 | ||||||
Orion Engineered Carbons S.A. | 94 | 2,900 | ||||||
|
| |||||||
11,338 | ||||||||
|
| |||||||
Total Materials – 5.8% |
| 12,825 | ||||||
Real Estate |
| |||||||
Hotel & Resort REITs – 0.9% |
| |||||||
RLJ Lodging Trust | 95 | 2,104 | ||||||
|
| |||||||
Industrial REITs – 0.8% |
| |||||||
STAG Industrial, Inc. | 63 | 1,710 | ||||||
|
| |||||||
Retail REITs – 1.0% |
| |||||||
Agree Realty Corp. | 42 | 2,232 | ||||||
|
| |||||||
Total Real Estate – 2.7% |
| 6,046 | ||||||
Telecommunication Services |
| |||||||
Alternative Carriers – 3.8% |
| |||||||
Vonage Holdings Corp. (A) | 652 | 8,406 | ||||||
|
| |||||||
Total Telecommunication Services – 3.8% |
| 8,406 | ||||||
Utilities |
| |||||||
Electric Utilities – 0.9% |
| |||||||
ALLETE, Inc. | 26 | 2,013 | ||||||
|
|
92 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | SMALL CAP CORE (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS (Continued) | Shares | Value | ||||||
Water Utilities – 1.0% |
| |||||||
Aqua America, Inc. | 66 | $ | 2,332 | |||||
|
| |||||||
Total Utilities – 1.9% |
| 4,345 | ||||||
TOTAL COMMON STOCKS – 98.3% |
| $ | 218,131 | |||||
(Cost: $193,771) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 1.7% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (C) | $ | 3,837 | 3,837 | |||||
|
|
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Money Market Funds – 0.0% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | ||||||||
1.850%, (D)(E) | $ | 64 | $ | 64 | ||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.7% |
| $ | 3,901 | |||||
(Cost: $3,901) | ||||||||
TOTAL INVESTMENT |
| $ | 222,032 | |||||
(Cost: $197,672) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (83 | ) | |||||
NET ASSETS – 100.0% |
| $ | 221,949 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | All or a portion of securities with an aggregate value of $63 are on loan. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(D) | Investment made with cash collateral received from securities on loan. |
(E) | Rate shown is the annualized 7-day yield at June 30, 2018. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 218,131 | $ | — | $ | — | ||||||
Short-Term Securities | 64 | 3,837 | — | |||||||||
Total | $ | 218,195 | $ | 3,837 | $ | — |
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
LIBOR = London Interbank Offered Rate
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 93 |
Table of Contents
PORTFOLIO HIGHLIGHTS | SMALL CAP GROWTH |
ALL DATA AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 94.5% | |||
Information Technology | 26.0% | |||
Health Care | 20.5% | |||
Consumer Discretionary | 19.3% | |||
Industrials | 14.7% | |||
Financials | 7.2% | |||
Energy | 4.1% | |||
Materials | 1.4% | |||
Consumer Staples | 0.9% | |||
Real Estate | 0.4% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 5.5% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
AMN Healthcare Services, Inc. | Health Care | Health Care Services | ||
Teladoc, Inc. | Health Care | Health Care Services | ||
Visteon Corp. | Consumer Discretionary | Auto Parts & Equipment | ||
Booz Allen Hamilton Holding Corp. | Information Technology | IT Consulting & Other Services | ||
HealthEquity, Inc. | Health Care | Managed Health Care | ||
Zendesk, Inc. | Information Technology | Application Software | ||
Texas Roadhouse, Inc., Class A | Consumer Discretionary | Restaurants | ||
Mercury Computer Systems, Inc. | Industrials | Aerospace & Defense | ||
HubSpot, Inc. | Information Technology | Application Software | ||
Paycom Software, Inc. | Information Technology | Application Software |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
94 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | SMALL CAP GROWTH (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 4.5% |
| |||||||
Burlington Stores, Inc. (A) | 24 | $ | 3,644 | |||||
Caleres, Inc. | 78 | 2,681 | ||||||
Children’s Place Retail Stores, Inc. (The) | 26 | 3,158 | ||||||
Urban Outfitters, Inc. (A) | 114 | 5,071 | ||||||
|
| |||||||
14,554 | ||||||||
|
| |||||||
Auto Parts & Equipment – 1.7% |
| |||||||
Visteon Corp. (A) | 44 | 5,667 | ||||||
|
| |||||||
Broadcasting – 1.0% |
| |||||||
Nexstar Broadcasting Group, Inc. | 44 | 3,263 | ||||||
|
| |||||||
Distributors – 1.5% |
| |||||||
Pool Corp. | 33 | 4,985 | ||||||
|
| |||||||
Education Services – 1.1% |
| |||||||
Grand Canyon Education, Inc. (A) | 33 | 3,660 | ||||||
|
| |||||||
General Merchandise Stores – 1.3% |
| |||||||
Ollie’s Bargain Outlet Holdings, Inc. (A) | 59 | 4,310 | ||||||
|
| |||||||
Homebuilding – 1.4% |
| |||||||
Installed Building Products, Inc. (A) | 79 | 4,468 | ||||||
|
| |||||||
Homefurnishing Retail – 1.3% |
| |||||||
At Home Group, Inc. (A) | 110 | 4,288 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 1.2% |
| |||||||
Hilton Grand Vacations, Inc. (A) | 111 | 3,844 | ||||||
|
| |||||||
Restaurants – 3.2% |
| |||||||
Texas Roadhouse, Inc., Class A | 82 | 5,391 | ||||||
Wingstop, Inc. | 99 | 5,165 | ||||||
|
| |||||||
10,556 | ||||||||
|
| |||||||
Specialty Stores – 1.1% |
| |||||||
Five Below, Inc. (A) | 37 | 3,580 | ||||||
|
| |||||||
Total Consumer Discretionary – 19.3% |
| 63,175 | ||||||
Consumer Staples |
| |||||||
Food Retail – 0.9% |
| |||||||
Sprouts Farmers Market, Inc. (A) | 132 | 2,917 | ||||||
|
| |||||||
Total Consumer Staples – 0.9% |
| 2,917 | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 1.3% |
| |||||||
Keane Group, Inc. (A) | 166 | 2,267 | ||||||
RPC, Inc. (B) | 123 | 1,794 | ||||||
|
| |||||||
4,061 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 2.8% |
| |||||||
Centennial Resource Development, Inc., Class A (A) | 183 | 3,307 | ||||||
Matador Resources Co. (A) | 69 | 2,073 | ||||||
Petroleum Development Corp. (A) | 39 | 2,372 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Oil & Gas Exploration & Production (Continued) |
| |||||||
WildHorse Resource Development Corp. (A) | 57 | $ | 1,448 | |||||
|
| |||||||
9,200 | ||||||||
|
| |||||||
Total Energy – 4.1% |
| 13,261 | ||||||
Financials |
| |||||||
Investment Banking & Brokerage – 2.7% |
| |||||||
Evercore Partners, Inc. | 45 | 4,716 | ||||||
LPL Investment Holdings, Inc. | 44 | 2,885 | ||||||
Virtu Financial, Inc., Class A | 52 | 1,393 | ||||||
|
| |||||||
8,994 | ||||||||
|
| |||||||
Regional Banks – 4.5% |
| |||||||
Ameris Bancorp | 70 | 3,734 | ||||||
Heritage Financial Corp. | 70 | 2,446 | ||||||
Home BancShares, Inc. | 71 | 1,611 | ||||||
Seacoast Banking Corp. of Florida (A) | 58 | 1,830 | ||||||
Western Alliance Bancorp. (A) | 91 | 5,127 | ||||||
|
| |||||||
14,748 | ||||||||
|
| |||||||
Total Financials – 7.2% |
| 23,742 | ||||||
Health Care |
| |||||||
Health Care Equipment – 8.6% |
| |||||||
Inogen, Inc. (A) | 22 | 4,163 | ||||||
iRhythm Technologies, Inc. (A) | 48 | 3,858 | ||||||
K2M Group Holdings, Inc. (A) | 197 | 4,429 | ||||||
Nevro Corp. (A) | 49 | 3,939 | ||||||
NovoCure Ltd. (A) | 130 | 4,072 | ||||||
Penumbra, Inc. (A) | 26 | 3,584 | ||||||
Tactile Systems Technology, Inc. (A) | 80 | 4,137 | ||||||
|
| |||||||
28,182 | ||||||||
|
| |||||||
Health Care Facilities – 1.3% |
| |||||||
Acadia Healthcare Co., Inc. (A) | 100 | 4,102 | ||||||
|
| |||||||
Health Care Services – 7.6% |
| |||||||
AMN Healthcare Services, Inc. (A) | 182 | 10,691 | ||||||
Envision Healthcare Holdings, Inc. (A) | 57 | 2,526 | ||||||
LHC Group, Inc. (A) | 54 | 4,643 | ||||||
Teladoc, Inc. (A)(B) | 124 | 7,200 | ||||||
|
| |||||||
25,060 | ||||||||
|
| |||||||
Health Care Supplies – 0.1% |
| |||||||
Sientra, Inc. (A) | 24 | 472 | ||||||
|
| |||||||
Managed Health Care – 1.7% |
| |||||||
HealthEquity, Inc. (A) | 74 | 5,533 | ||||||
|
| |||||||
Pharmaceuticals – 1.2% |
| |||||||
Aerie Pharmaceuticals, Inc. (A) | 26 | 1,762 | ||||||
OptiNose, Inc. (A)(B) | 75 | 2,090 | ||||||
Tricida, Inc. (A) | 1 | 15 | ||||||
|
| |||||||
3,867 | ||||||||
|
| |||||||
Total Health Care – 20.5% |
| 67,216 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrials |
| |||||||
Aerospace & Defense – 1.6% |
| |||||||
Mercury Computer Systems, Inc. (A) | 139 | $ | 5,292 | |||||
|
| |||||||
Air Freight & Logistics – 0.8% |
| |||||||
Air Transport Services Group, Inc. (A) | 113 | 2,563 | ||||||
|
| |||||||
Construction & Engineering – 1.0% |
| |||||||
Dycom Industries, Inc. (A) | 35 | 3,346 | ||||||
|
| |||||||
Diversified Support Services – 1.1% |
| |||||||
Healthcare Services Group, Inc. | 85 | 3,688 | ||||||
|
| |||||||
Industrial Machinery – 5.2% |
| |||||||
John Bean Technologies Corp. | 54 | 4,786 | ||||||
RBC Bearings, Inc. (A) | 29 | 3,755 | ||||||
Timken Co. (The) | 85 | 3,684 | ||||||
Woodward, Inc. | 60 | 4,647 | ||||||
|
| |||||||
16,872 | ||||||||
|
| |||||||
Security & Alarm Services – 1.3% |
| |||||||
Brink’s Co. (The) | 52 | 4,175 | ||||||
|
| |||||||
Trading Companies & Distributors – 2.4% |
| |||||||
Beacon Roofing Supply, Inc. (A) | 112 | 4,793 | ||||||
Watsco, Inc. | 18 | 3,188 | ||||||
|
| |||||||
7,981 | ||||||||
|
| |||||||
Trucking – 1.3% |
| |||||||
Knight Transportation, Inc. | 111 | 4,241 | ||||||
|
| |||||||
Total Industrials – 14.7% |
| 48,158 | ||||||
Information Technology |
| |||||||
Application Software – 8.9% |
| |||||||
Ellie Mae, Inc. (A) | 23 | 2,336 | ||||||
Globant S.A. (A) | 69 | 3,919 | ||||||
HubSpot, Inc. (A) | 42 | 5,277 | ||||||
Paycom Software, Inc. (A)(B) | 53 | 5,253 | ||||||
Pluralsight, Inc., Class A (A) | 66 | 1,614 | ||||||
Tyler Technologies, Inc. (A) | 4 | 833 | ||||||
Ultimate Software Group, Inc. (The) (A)(C) | 17 | 4,328 | ||||||
Zendesk, Inc. (A) | 101 | 5,522 | ||||||
|
| |||||||
29,082 | ||||||||
|
| |||||||
Internet Software & Services – 7.0% |
| |||||||
Apptio, Inc., Class A (A) | 72 | 2,623 | ||||||
Envestnet, Inc. (A) | 56 | 3,050 | ||||||
Five9, Inc. (A) | 149 | 5,156 | ||||||
Mimecast Ltd. (A) | 78 | 3,207 | ||||||
New Relic, Inc. (A) | 33 | 3,330 | ||||||
Q2 Holdings, Inc. (A) | 74 | 4,236 | ||||||
SendGrid, Inc. (A) | 57 | 1,514 | ||||||
|
| |||||||
23,116 | ||||||||
|
| |||||||
IT Consulting & Other Services – 3.1% |
| |||||||
Booz Allen Hamilton Holding Corp. | 128 | 5,601 | ||||||
InterXion Holding N.V. (A) | 71 | 4,454 | ||||||
|
| |||||||
10,055 | ||||||||
|
|
2018 | SEMIANNUAL REPORT | 95 |
Table of Contents
SCHEDULE OF INVESTMENTS | SMALL CAP GROWTH (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS (Continued) | Shares | Value | ||||||
Semiconductors – 3.3% | ||||||||
Integrated Device Technology, Inc. (A) | 110 | $ | 3,497 | |||||
Monolithic Power Systems, Inc. | 39 | 5,209 | ||||||
Power Integrations, Inc. | 31 | 2,230 | ||||||
|
| |||||||
10,936 | ||||||||
|
| |||||||
Systems Software – 3.1% |
| |||||||
Proofpoint, Inc. (A) | 35 | 4,066 | ||||||
Varonis Systems, Inc. (A) | 61 | 4,571 | ||||||
Zscaler, Inc. (A)(B) | 42 | 1,500 | ||||||
|
| |||||||
10,137 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.6% |
| |||||||
USA Technologies, Inc. (A) | 150 | 2,105 | ||||||
|
| |||||||
Total Information Technology – 26.0% |
| 85,431 | ||||||
Materials |
| |||||||
Construction Materials – 1.4% |
| |||||||
Summit Materials, Inc., Class A (A) | 97 | 2,535 | ||||||
U.S. Concrete, Inc. (A)(B) | 41 | 2,175 | ||||||
|
| |||||||
4,710 | ||||||||
|
| |||||||
Total Materials – 1.4% |
| 4,710 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Real Estate |
| |||||||
Real Estate Services – 0.4% |
| |||||||
RE/MAX Holdings, Inc., Class A | 25 | $ | 1,327 | |||||
|
| |||||||
Total Real Estate – 0.4% |
| 1,327 | ||||||
TOTAL COMMON STOCKS – 94.5% |
| $ | 309,937 | |||||
(Cost: $241,618) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (D) – 1.5% |
| |||||||
E.I. du Pont de Nemours and Co., | ||||||||
2.202%, 7-2-18 | $ | 4,976 | 4,975 | |||||
|
| |||||||
Master Note – 0.8% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (E) | 2,772 | 2,772 | ||||||
|
| |||||||
Money Market Funds – 3.6% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | ||||||||
1.850%, (F)(G) | 11,722 | 11,722 | ||||||
|
|
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Municipal Obligations – 2.9% |
| |||||||
NY Metro Trans Auth, Trans Rev Var Rate Bonds, Ser 2005E-3 (GTD by Bank of Montreal) (BVAL plus 21 bps), | ||||||||
1.500%, 7-7-18 (E) | $ | 9,600 | $ | 9,600 | ||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 8.8% |
| $ | 29,069 | |||||
(Cost: $29,070) | ||||||||
TOTAL INVESTMENT SECURITIES – 103.3% |
| $ | 339,006 | |||||
(Cost: $270,688) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (3.3)% |
| (10,728 | ) | |||||
NET ASSETS – 100.0% |
| $ | 328,278 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | No dividends were paid during the preceding 12 months. |
(B) | All or a portion of securities with an aggregate value of $11,478 are on loan. |
(C) | All or a portion of securities with an aggregate value of $206 are held in collateralized accounts for OTC swap agreements collateral. |
(D) | Rate shown is the yield to maturity at June 30, 2018. |
(E) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(F) | Investment made with cash collateral received from securities on loan. |
(G) | Rate shown is the annualized 7-day yield at June 30, 2018. |
The following total return swap agreements were outstanding at June 30, 2018:
Underlying Security | Counterparty | Maturity Date | Notional Amount | Financing Fee(1)(2) | Value | Upfront Payments/ (Receipts) | Unrealized Depreciation | |||||||||||||||||||
Biotech Custom Index | Goldman Sachs International | 07/01/2019 | $ | 9,929 | 1-Month LIBOR less 15 bps | $ | (20 | ) | $ | — | $ | (20 | ) | |||||||||||||
|
|
(1) | The Portfolio pays the financing fee multiplied by the notional amount each month. |
(2) | At the termination date, a net cash flow is exchanged where the market-linked total return is equivalent to the return of the underlying security less a financing rate, if any. As the payer, a Portfolio would owe payments on any net positive total return, and would receive payments in the event of a negative total return. |
96 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | SMALL CAP GROWTH (in thousands) |
JUNE 30, 2018 (UNAUDITED)
The following table represents security positions within the total return basket swap as of June 30, 2018:
Reference Entity | Shares | Notional Amount | Value | % of Value | ||||||||||||
FibroGen, Inc. | — | * | $ | 337 | $ | (1 | ) | (3.4 | )% | |||||||
Loxo Oncology, Inc. | — | * | 329 | (1 | ) | (3.3 | ) | |||||||||
Ligand Pharmaceuticals, Inc. | — | * | 310 | (1 | ) | (3.1 | ) | |||||||||
Ultragenyx Pharmaceutical, Inc. | — | * | 257 | (1 | ) | (2.6 | ) | |||||||||
Array BioPharma, Inc. | — | * | 246 | (1 | ) | (2.5 | ) | |||||||||
Amicus Therapeutics, Inc. | — | * | 213 | (1 | ) | (2.1 | ) | |||||||||
Supernus Pharmaceuticals, Inc. | — | * | 209 | (1 | ) | (2.1 | ) | |||||||||
Immunomedics, Inc. | — | * | 200 | (1 | ) | (2.0 | ) | |||||||||
Horizon Pharma plc | — | * | 196 | (1 | ) | (1.9 | ) | |||||||||
Ironwood Pharmaceuticals, Inc. | — | * | 191 | (1 | ) | (1.9 | ) | |||||||||
Blueprint Medicines Corp. | — | * | 187 | (1 | ) | (1.9 | ) | |||||||||
Spark Therapeutics, Inc. | — | * | 186 | (1 | ) | (1.9 | ) | |||||||||
Heron Therapeutics, Inc. | — | * | 176 | (1 | ) | (1.8 | ) | |||||||||
Aerie Pharmaceuticals, Inc. | — | * | 173 | (1 | ) | (1.7 | ) | |||||||||
Medicines Co. (The) | — | * | 165 | (1 | ) | (1.7 | ) | |||||||||
Global Blood Therapeutics, Inc. | — | * | 165 | (1 | ) | (1.7 | ) | |||||||||
Portola Pharmaceuticals, Inc. | — | * | 163 | (1 | ) | (1.6 | ) | |||||||||
Emergent BioSolutions, Inc. | — | * | 160 | (1 | ) | (1.6 | ) | |||||||||
Clovis Oncology, Inc. | — | * | 155 | (1 | ) | (1.6 | ) | |||||||||
Myriad Genetics, Inc. | — | * | 154 | (1 | ) | (1.6 | ) | |||||||||
Halozyme Therapeutics, Inc. | — | * | 149 | — | * | (1.5 | ) | |||||||||
REGENXBIO, Inc. | — | * | 147 | — | * | (1.4 | ) | |||||||||
Spectrum Pharmaceuticals, Inc. | — | * | 139 | — | * | (1.4 | ) | |||||||||
Enanta Pharmaceuticals, Inc. | — | * | 137 | — | * | (1.4 | ) | |||||||||
Foundation Medicine, Inc. | — | * | 137 | — | * | (1.4 | ) | |||||||||
Repligen Corp. | — | * | 133 | — | * | (1.3 | ) | |||||||||
Intercept Pharmaceuticals, Inc. | — | * | 130 | — | * | (1.3 | ) | |||||||||
Insmed, Inc. | — | * | 129 | — | * | (1.3 | ) | |||||||||
Arena Pharmaceuticals, Inc. | — | * | 124 | — | * | (1.2 | ) | |||||||||
Puma Biotechnology, Inc. | — | * | 122 | — | * | (1.2 | ) | |||||||||
Xencor, Inc. | — | * | 121 | — | * | (1.2 | ) | |||||||||
Editas Medicine, Inc. | — | * | 117 | — | * | (1.2 | ) |
Reference Entity | Shares | Notional Amount | Value | % of Value | ||||||||||||
Madrigal Pharmaceuticals, Inc. | — | * | $ | 116 | $ | — | * | (1.2 | ) % | |||||||
Momenta Pharmaceuticals, Inc. | — | * | 112 | — | * | (1.1 | ) | |||||||||
Corcept Therapeutics, Inc. | — | * | 111 | — | * | (1.1 | ) | |||||||||
MyoKardia, Inc. | — | * | 110 | — | * | (1.1 | ) | |||||||||
PTC Therapeutics, Inc. | — | * | 109 | — | * | (1.1 | ) | |||||||||
Atara Biotherapeutics, Inc. | — | * | 107 | — | * | (1.1 | ) | |||||||||
Sangamo Therapeutics, Inc. | — | * | 102 | — | * | (1.0 | ) | |||||||||
Amneal Pharmaceuticals, Inc. | — | * | 101 | — | * | (1.0 | ) | |||||||||
ACADIA Pharmaceuticals, Inc. | — | * | 98 | — | * | (1.0 | ) | |||||||||
AnaptysBio, Inc. | — | * | 95 | — | * | (1.0 | ) | |||||||||
ImmunoGen, Inc. | — | * | 92 | — | * | (0.9 | ) | |||||||||
Pacira Pharmaceuticals, Inc. | — | * | 91 | — | * | (0.9 | ) | |||||||||
Acceleron Pharma, Inc. | — | * | 86 | — | * | (0.9 | ) | |||||||||
Radius Health, Inc. | — | * | 85 | — | * | (0.9 | ) | |||||||||
Arrowhead Pharmaceuticals, Inc. | — | * | 84 | — | * | (0.9 | ) | |||||||||
Aimmune Therapeutics, Inc. | — | * | 84 | — | * | (0.8 | ) | |||||||||
Zogenix, Inc. | — | * | 83 | — | * | (0.8 | ) | |||||||||
Audentes Therapeutics, Inc. | — | * | 82 | — | * | (0.8 | ) | |||||||||
Biohaven Pharmaceutical Holding Co. Ltd. | — | * | 77 | — | * | (0.8 | ) | |||||||||
Retrophin, Inc. | — | * | 76 | — | * | (0.8 | ) | |||||||||
Iovance Biotherapeutics, Inc. | — | * | 75 | — | * | (0.8 | ) | |||||||||
TherapeuticsMD, Inc. | — | * | 75 | — | * | (0.8 | ) | |||||||||
Genomic Health, Inc. | — | * | 74 | — | * | (0.7 | ) | |||||||||
Vanda Pharmaceuticals, Inc. | — | * | 70 | — | * | (0.7 | ) | |||||||||
Innoviva, Inc. | — | * | 69 | — | * | (0.7 | ) | |||||||||
Theravance Biopharma, Inc. | — | * | 69 | — | * | (0.7 | ) | |||||||||
Intrexon Corp. | — | * | 65 | — | * | (0.7 | ) | |||||||||
Intellia Therapeutics, Inc. | — | * | 65 | — | * | (0.7 | ) | |||||||||
Mirati Therapeutics, Inc. | — | * | 65 | — | * | (0.7 | ) | |||||||||
Esperion Therapeutics, Inc. | — | * | 65 | — | * | (0.7 | ) | |||||||||
Revance Therapeutics, Inc. | — | * | 64 | — | * | (0.6 | ) | |||||||||
G1 Therapeutics, Inc. | — | * | 64 | — | * | (0.6 | ) |
Reference Entity | Shares | Notional Amount | Value | % of Value | ||||||||||||
CytomX Therapeutics, Inc. | — | * | $ | 63 | $ | — | * | (0.6 | ) % | |||||||
Phibro Animal Health Corp. | — | * | 63 | — | * | (0.6 | ) | |||||||||
Flexion Therapeutics, Inc. | — | * | 62 | — | * | (0.6 | ) | |||||||||
Dynavax Technologies Corp. | — | * | 61 | — | * | (0.6 | ) | |||||||||
Omeros Corp. | — | * | 60 | — | * | (0.6 | ) | |||||||||
Endocyte, Inc. | — | * | 59 | — | * | (0.6 | ) | |||||||||
MacroGenics, Inc. | — | * | 58 | — | * | (0.6 | ) | |||||||||
Apellis Pharmaceuticals, Inc. | — | * | 57 | — | * | (0.6 | ) | |||||||||
Eagle Pharmaceuticals, Inc. | — | * | 56 | — | * | (0.6 | ) | |||||||||
TG Therapeutics, Inc. | — | * | 55 | — | * | (0.6 | ) | |||||||||
Athenex, Inc. | — | * | 55 | — | * | (0.6 | ) | |||||||||
Cambrex Corp. | — | * | 53 | — | * | (0.5 | ) | |||||||||
Karyopharm Therapeutics, Inc. | — | * | 53 | — | * | (0.5 | ) | |||||||||
Alder Biopharmaceuticals, Inc. | — | * | 52 | — | * | (0.5 | ) | |||||||||
Codexis, Inc. | — | * | 52 | — | * | (0.5 | ) | |||||||||
Collegium Pharmaceutical, Inc. | — | * | 51 | — | * | (0.5 | ) | |||||||||
Heska Corp. | — | * | 50 | — | * | (0.5 | ) | |||||||||
WaVe Life Sciences Ltd. | — | * | 49 | — | * | (0.5 | ) | |||||||||
(0.5) Biosciences, Inc. | — | * | 49 | — | * | (0.5 | ) | |||||||||
MiMedx Group, Inc. | — | * | 48 | — | * | (0.5 | ) | |||||||||
Coherus Biosciences, Inc. | — | * | 46 | — | * | (0.5 | ) | |||||||||
La Jolla Pharmaceutical Co. | — | * | 46 | — | * | (0.5 | ) | |||||||||
Sorrento Therapeutics, Inc. | — | * | 45 | — | * | (0.5 | ) | |||||||||
Cymabay Therapeutics, Inc. | — | * | 44 | — | * | (0.4 | ) | |||||||||
Progenics Pharmaceuticals, Inc. | — | * | 43 | — | * | (0.4 | ) | |||||||||
Accelerate Diagnostics, Inc. | — | * | 42 | — | * | (0.4 | ) | |||||||||
Reata Pharmaceuticals, Inc. | — | * | 40 | — | * | (0.4 | ) | |||||||||
Fate Therapeutics, Inc. | — | * | 39 | — | * | (0.4 | ) | |||||||||
$ | (20 | ) |
2018 | SEMIANNUAL REPORT | 97 |
Table of Contents
SCHEDULE OF INVESTMENTS | SMALL CAP GROWTH (in thousands) |
JUNE 30, 2018 (UNAUDITED)
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 309,937 | $ | — | $ | — | ||||||
Short-Term Securities | 11,722 | 17,347 | — | |||||||||
Total | $ | 321,659 | $ | 17,347 | $ | — | ||||||
Liabilities | ||||||||||||
Total Return Swaps | $ | — | $ | 20 | $ | — |
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
BVAL = Bloomberg Valuation Municipal AAA Benchmark
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
OTC = Over the Counter
See Accompanying Notes to Financial Statements.
98 | SEMIANNUAL REPORT | 2018 |
Table of Contents
PORTFOLIO HIGHLIGHTS | VALUE |
ALL DATA AS OF JUNE 30, 2018 (UNAUDITED)
Asset Allocation
Stocks | 96.7% | |||
Financials | 32.2% | |||
Health Care | 12.3% | |||
Consumer Discretionary | 12.1% | |||
Information Technology | 9.4% | |||
Energy | 8.0% | |||
Consumer Staples | 7.8% | |||
Industrials | 5.2% | |||
Materials | 3.7% | |||
Real Estate | 3.3% | |||
Utilities | 2.7% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.3% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
JPMorgan Chase & Co. | Financials | Other Diversified Financial Services | ||
Citigroup, Inc. | Financials | Other Diversified Financial Services | ||
Wal-Mart Stores, Inc. | Consumer Staples | Hypermarkets & Super Centers | ||
Dow Chemical Co. (The) | Materials | Diversified Chemicals | ||
CVS Caremark Corp. | Consumer Staples | Drug Retail | ||
Capital One Financial Corp. | Financials | Consumer Finance | ||
Welltower, Inc. | Real Estate | Health Care REITs | ||
American Capital Agency Corp. | Financials | Mortgage REITs | ||
Energy Transfer Partners L.P. | Energy | Oil & Gas Storage & Transportation | ||
Synchrony Financial | Financials | Consumer Finance |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2018 | SEMIANNUAL REPORT | 99 |
Table of Contents
SCHEDULE OF INVESTMENTS | VALUE (in thousands) |
JUNE 30, 2018 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Auto Parts & Equipment – 2.5% |
| |||||||
Magna International, Inc. | 220 | $ | 12,801 | |||||
|
| |||||||
Cable & Satellite – 1.6% |
| |||||||
Comcast Corp., Class A | 255 | 8,373 | ||||||
|
| |||||||
General Merchandise Stores – 5.5% |
| |||||||
Dollar Tree, Inc. (A) | 157 | 13,328 | ||||||
Target Corp. | 197 | 15,026 | ||||||
|
| |||||||
28,354 | ||||||||
|
| |||||||
Home Improvement Retail – 2.5% |
| |||||||
Lowe’s Co., Inc. | 135 | 12,854 | ||||||
|
| |||||||
Total Consumer Discretionary – 12.1% |
| 62,382 | ||||||
Consumer Staples |
| |||||||
Drug Retail – 3.6% |
| |||||||
CVS Caremark Corp. | 285 | 18,327 | ||||||
|
| |||||||
Hypermarkets & Super Centers – 4.2% |
| |||||||
Wal-Mart Stores, Inc. | 254 | 21,781 | ||||||
|
| |||||||
Total Consumer Staples – 7.8% |
| 40,108 | ||||||
Energy |
| |||||||
Oil & Gas Refining & Marketing – 2.7% |
| |||||||
Marathon Petroleum Corp. | 201 | 14,067 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 5.3% |
| |||||||
Energy Transfer Equity L.P. | 664 | 11,461 | ||||||
Energy Transfer Partners L.P. | 838 | 15,963 | ||||||
|
| |||||||
27,424 | ||||||||
|
| |||||||
Total Energy – 8.0% |
| 41,491 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 5.2% |
| |||||||
Blackstone Group L.P. (The) | 403 | 12,971 | ||||||
State Street Corp. | 151 | 14,075 | ||||||
|
| |||||||
27,046 | ||||||||
|
| |||||||
Consumer Finance – 6.3% |
| |||||||
Capital One Financial Corp. | 188 | 17,296 | ||||||
Synchrony Financial | 461 | 15,391 | ||||||
|
| |||||||
32,687 | ||||||||
|
| |||||||
Life & Health Insurance – 2.8% |
| |||||||
MetLife, Inc. | 330 | 14,370 | ||||||
|
| |||||||
Mortgage REITs – 3.1% |
| |||||||
American Capital Agency Corp. | 863 | 16,049 | ||||||
|
| |||||||
Other Diversified Financial Services – 9.3% |
| |||||||
Citigroup, Inc. | 351 | 23,456 | ||||||
JPMorgan Chase & Co. | 235 | 24,497 | ||||||
|
| |||||||
47,953 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Property & Casualty Insurance – 2.8% |
| |||||||
Allstate Corp. (The) | 155 | $ | 14,147 | |||||
|
| |||||||
Regional Banks – 2.7% |
| |||||||
SunTrust Banks, Inc. | 213 | 14,089 | ||||||
|
| |||||||
Total Financials – 32.2% |
| 166,341 | ||||||
Health Care |
| |||||||
Biotechnology – 2.6% |
| |||||||
Amgen, Inc. | 72 | 13,309 | ||||||
|
| |||||||
Health Care Facilities – 2.8% |
| |||||||
HCA Holdings, Inc. | 139 | 14,241 | ||||||
|
| |||||||
Managed Health Care – 2.7% |
| |||||||
Humana, Inc. | 47 | 13,959 | ||||||
|
| |||||||
Pharmaceuticals – 4.2% |
| |||||||
Jazz Pharmaceuticals plc (A) | 73 | 12,526 | ||||||
Pfizer, Inc. | 254 | 9,219 | ||||||
|
| |||||||
21,745 | ||||||||
|
| |||||||
Total Health Care – 12.3% |
| 63,254 | ||||||
Industrials |
| |||||||
Airlines – 2.5% |
| |||||||
Southwest Airlines Co. | 254 | 12,918 | ||||||
|
| |||||||
Electrical Components & Equipment – 2.7% |
| |||||||
Eaton Corp. | 189 | 14,089 | ||||||
|
| |||||||
Total Industrials – 5.2% |
| 27,007 | ||||||
Information Technology |
| |||||||
Semiconductor Equipment – 2.4% |
| |||||||
Lam Research Corp. | 70 | 12,151 | ||||||
|
| |||||||
Semiconductors – 4.8% |
| |||||||
Broadcom Corp., Class A | 55 | 13,224 | ||||||
Micron Technology, Inc. (A) | 223 | 11,689 | ||||||
|
| |||||||
24,913 | ||||||||
|
| |||||||
Systems Software – 2.2% |
| |||||||
Microsoft Corp. | 114 | 11,271 | ||||||
|
| |||||||
Total Information Technology – 9.4% |
| 48,335 | ||||||
Materials |
| |||||||
Diversified Chemicals – 3.7% |
| |||||||
Dow Chemical Co. (The) | 289 | 19,057 | ||||||
|
| |||||||
Total Materials – 3.7% |
| 19,057 | ||||||
Real Estate |
| |||||||
Health Care REITs – 3.3% |
| |||||||
Welltower, Inc. | 273 | 17,139 | ||||||
|
| |||||||
Total Real Estate – 3.3% |
| 17,139 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Utilities |
| |||||||
Electric Utilities – 2.7% |
| |||||||
Great Plains Energy, Inc. | 251 | $ | 14,104 | |||||
|
| |||||||
Total Utilities – 2.7% |
| 14,104 | ||||||
TOTAL COMMON STOCKS – 96.7% |
| $ | 499,218 | |||||
(Cost: $459,876) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (B) – 1.9% |
| |||||||
J.M. Smucker Co. (The), | ||||||||
2.200%, 7-2-18 | $ | 4,833 | 4,832 | |||||
River Fuel Funding Co. #3, Inc. (GTD by Bank of Nova Scotia), | ||||||||
2.230%, 7-31-18 | 5,000 | 4,991 | ||||||
|
| |||||||
9,823 | ||||||||
|
| |||||||
Master Note – 0.8% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
2.240%, 7-6-18 (C) | 4,018 | 4,018 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.7% |
| $ | 13,841 | |||||
(Cost: $13,841) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.4% |
| $ | 513,059 | |||||
(Cost: $473,717) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.6% |
| 3,021 | ||||||
NET ASSETS – 100.0% |
| $ | 516,080 |
100 | SEMIANNUAL REPORT | 2018 |
Table of Contents
SCHEDULE OF INVESTMENTS | VALUE (in thousands) |
JUNE 30, 2018 (UNAUDITED)
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Rate shown is the yield to maturity at June 30, 2018. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2018. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following written options were outstanding at June 30, 2018 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Notional Amount | Expiration Month | Exercise Price | Premium Received | Value | ||||||||||||||||
Comcast Corp., Class A | N/A | Call | 1,135 | 114 | July 2018 | $ | 34.00 | $ | 42 | $ | (38 | ) | ||||||||||||
N/A | Call | 1,135 | 113 | August 2018 | 35.00 | 65 | (79 | ) | ||||||||||||||||
CVS Caremark Corp. | N/A | Call | 186 | 19 | August 2018 | 75.00 | 28 | (5 | ) | |||||||||||||||
Energy Transfer Partners L.P. | N/A | Call | 972 | 97 | July 2018 | 20.00 | 23 | (12 | ) | |||||||||||||||
Jazz Pharmaceuticals plc | N/A | Call | 363 | 36 | July 2018 | 185.00 | 104 | (29 | ) | |||||||||||||||
N/A | Call | 363 | 36 | July 2018 | 190.00 | 62 | (11 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||
$ | 324 | $ | (174 | ) | ||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2018. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 499,218 | $ | — | $ | — | ||||||
Short-Term Securities | — | 13,841 | — | |||||||||
Total | $ | 499,218 | $ | 13,841 | $ | — | ||||||
Liabilities | ||||||||||||
Written Options | $ | 163 | $ | 11 | $ | — |
During the period ended June 30, 2018, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
LIBOR = London Interbank Offered Rate
REIT = Real Estate Investment Trust
GTD = Guaranteed
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 101 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY VIP |
AS OF JUNE 30, 2018 (UNAUDITED)
(In thousands, except per share amounts) | Pathfinder Aggressive | Pathfinder Conservative | Pathfinder Moderate | Pathfinder Moderately Aggressive | Pathfinder Moderately Conservative | Pathfinder Managed | Pathfinder Moderately Aggressive - Managed Volatility | ||||||||||||||||||||||||||||
ASSETS | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at value+ | $ | 1,025 | $ | 808 | $ | 1,317 | $ | 823 | $ | 869 | $ | 18,128 | $ | 2,256 | |||||||||||||||||||||
Investments in affiliated securities at value+ | 71,004 | 104,844 | 818,067 | 994,997 | 235,023 | 604,085 | 89,611 | ||||||||||||||||||||||||||||
Investments at Value | 72,029 | 105,652 | 819,384 | 995,820 | 235,892 | 622,213 | 91,867 | ||||||||||||||||||||||||||||
Cash | 1 | 1 | 1 | 1 | 1 | 1 | 1 | ||||||||||||||||||||||||||||
Restricted cash | — | — | — | — | — | 374 | 40 | ||||||||||||||||||||||||||||
Investment securities sold receivable | — | 191 | 182 | 676 | 130 | — | — | ||||||||||||||||||||||||||||
Dividends and interest receivable | 2 | 5 | 15 | 9 | 7 | 33 | 5 | ||||||||||||||||||||||||||||
Capital shares sold receivable | 3 | — | * | — | * | — | * | — | * | 123 | — | ||||||||||||||||||||||||
Variation margin receivable | — | — | — | — | — | 5 | 1 | ||||||||||||||||||||||||||||
Total Assets | 72,035 | 105,849 | 819,582 | 996,506 | 236,030 | 622,749 | 91,914 | ||||||||||||||||||||||||||||
LIABILITIES | |||||||||||||||||||||||||||||||||||
Investment securities purchased payable | 26 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Capital shares redeemed payable | 3 | 229 | 125 | 868 | 111 | 422 | 9 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 6 | 8 | 54 | 64 | 17 | 12 | 2 | ||||||||||||||||||||||||||||
Shareholder servicing payable | — | * | — | * | 3 | 4 | 1 | 2 | — | * | |||||||||||||||||||||||||
Investment management fee payable | — | — | — | — | — | 7 | 1 | ||||||||||||||||||||||||||||
Accounting services fee payable | 2 | 3 | 12 | 14 | 5 | 9 | 2 | ||||||||||||||||||||||||||||
Variation margin payable | — | — | — | — | — | 5 | 1 | ||||||||||||||||||||||||||||
Other liabilities | 3 | 3 | 8 | 12 | 7 | 9 | 2 | ||||||||||||||||||||||||||||
Total Liabilities | 40 | 243 | 202 | 962 | 141 | 466 | 17 | ||||||||||||||||||||||||||||
Total Net Assets | $ | 71,995 | $ | 105,606 | $ | 819,380 | $ | 995,544 | $ | 235,889 | $ | 622,283 | $ | 91,897 | |||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 67,457 | $ | 102,324 | $ | 763,457 | $ | 915,463 | $ | 224,353 | $ | 595,379 | $ | 88,341 | |||||||||||||||||||||
Undistributed net investment income | 1,747 | 1,812 | 17,776 | 22,831 | 4,595 | 12,322 | 1,899 | ||||||||||||||||||||||||||||
Accumulated net realized gain | 4,994 | 4,386 | 51,186 | 70,215 | 12,261 | 26,728 | 4,728 | ||||||||||||||||||||||||||||
Net unrealized depreciation | (2,203 | ) | (2,916 | ) | (13,039 | ) | (12,965 | ) | (5,320 | ) | (12,146 | ) | (3,071 | ) | |||||||||||||||||||||
Total Net Assets | $ | 71,995 | $ | 105,606 | $ | 819,380 | $ | 995,544 | $ | 235,889 | $ | 622,283 | $ | 91,897 | |||||||||||||||||||||
CAPITAL SHARES OUTSTANDING: | |||||||||||||||||||||||||||||||||||
Class II | 14,400 | 21,102 | 158,128 | 186,048 | 45,965 | 110,430 | 16,700 | ||||||||||||||||||||||||||||
NET ASSET VALUE PER SHARE: | |||||||||||||||||||||||||||||||||||
Class II | $ | 5.00 | $ | 5.00 | $ | 5.18 | $ | 5.35 | $ | 5.13 | $ | 5.64 | $ | 5.50 | |||||||||||||||||||||
+COST | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 1,025 | $ | 808 | $ | 1,317 | $ | 823 | $ | 869 | $ | 18,129 | $ | 2,256 | |||||||||||||||||||||
Investments in affiliated securities at cost | 73,207 | 107,760 | 831,106 | 1,007,962 | 240,343 | 616,389 | 92,700 |
* Not shown due to rounding.
See Accompanying Notes to Financial Statements.
102 | SEMIANNUAL REPORT | 2018 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY VIP |
AS OF JUNE 30, 2018 (UNAUDITED)
(In thousands, except per share amounts) | Pathfinder Moderately - Managed | Asset Strategy(1) | Balanced | Core Equity | Corporate Bond(2) | Energy | Global Bond | ||||||||||||||||||||||||||||
ASSETS |
| ||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at value+^ | $ | 2,100 | $ | 826,986 | $ | 341,004 | $ | 733,413 | $ | 529,710 | $ | 178,042 | $ | 21,646 | |||||||||||||||||||||
Investments in affiliated securities at value+ | 72,542 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Bullion at value+ | — | 42,437 | — | — | — | — | — | ||||||||||||||||||||||||||||
Investments at Value | 74,642 | 869,423 | 341,004 | 733,413 | 529,710 | 178,042 | 21,646 | ||||||||||||||||||||||||||||
Cash | 1 | — | 31 | 1 | 30 | 1 | 1 | ||||||||||||||||||||||||||||
Cash denominated in foreign currencies at value+ | — | 292 | — | — | — | — | — | ||||||||||||||||||||||||||||
Restricted cash | 37 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Investment securities sold receivable | — | 11,561 | 4,453 | 2,445 | — | 1,385 | — | ||||||||||||||||||||||||||||
Dividends and interest receivable | 5 | 3,366 | 1,088 | 211 | 4,783 | 61 | 249 | ||||||||||||||||||||||||||||
Capital shares sold receivable | 149 | 57 | — | * | 15 | 2 | 180 | 1 | |||||||||||||||||||||||||||
Receivable from affiliates | — | — | * | — | 246 | — | — | * | — | ||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | 699 | — | — | — | ||||||||||||||||||||||||||||
Receivable from securities lending income – net | — | 2 | — | * | 1 | — | * | 4 | — | * | |||||||||||||||||||||||||
Variation margin receivable | — | * | — | — | — | — | — | — | |||||||||||||||||||||||||||
Prepaid and other assets | — | — | — | — | — | * | — | — | |||||||||||||||||||||||||||
Total Assets | 74,834 | 884,701 | 346,576 | 737,031 | 534,525 | 179,673 | 21,897 | ||||||||||||||||||||||||||||
LIABILITIES | |||||||||||||||||||||||||||||||||||
Cash collateral on securities loaned at value | — | 789 | 385 | — | 329 | 4,016 | 65 | ||||||||||||||||||||||||||||
Investment securities purchased payable | — | 11,865 | — | — | — | — | — | ||||||||||||||||||||||||||||
Capital shares redeemed payable | 31 | 469 | 67 | 400 | 304 | 22 | 2 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 1 | 150 | 84 | 180 | 82 | 8 | 1 | ||||||||||||||||||||||||||||
Overdraft due to custodian | — | 859 | — | — | — | — | — | ||||||||||||||||||||||||||||
Distribution and service fees payable | — | 12 | 5 | 10 | 7 | 2 | 1 | ||||||||||||||||||||||||||||
Shareholder servicing payable | — | * | 2 | 1 | 2 | 2 | — | * | — | * | |||||||||||||||||||||||||
Investment management fee payable | 1 | 33 | 13 | 28 | 14 | 8 | — | ||||||||||||||||||||||||||||
Accounting services fee payable | 2 | 19 | 8 | 13 | 11 | 6 | 1 | ||||||||||||||||||||||||||||
Variation margin payable | 1 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Other liabilities | 3 | 53 | 8 | 9 | 8 | 6 | 2 | ||||||||||||||||||||||||||||
Total Liabilities | 39 | 14,251 | 571 | 642 | 757 | 4,068 | 72 | ||||||||||||||||||||||||||||
Total Net Assets | $ | 74,795 | $ | 870,450 | $ | 346,005 | $ | 736,389 | $ | 533,768 | $ | 175,605 | $ | 21,825 | |||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 72,370 | $ | 800,358 | $ | 298,028 | $ | 640,413 | $ | 544,462 | $ | 182,763 | $ | 23,307 | |||||||||||||||||||||
Undistributed net investment income | 1,301 | 8,031 | 2,779 | 885 | 6,986 | 101 | 355 | ||||||||||||||||||||||||||||
Accumulated net realized gain (loss) | 3,016 | (4,761 | ) | 15,530 | 28,861 | (1,394 | ) | (24,185 | ) | (1,102 | ) | ||||||||||||||||||||||||
Net unrealized appreciation (depreciation) | (1,892 | ) | 66,822 | 29,668 | 66,230 | (16,286 | ) | 16,926 | (735 | ) | |||||||||||||||||||||||||
Total Net Assets | $ | 74,795 | $ | 870,450 | $ | 346,005 | $ | 736,389 | $ | 533,768 | $ | 175,605 | $ | 21,825 | |||||||||||||||||||||
CAPITAL SHARES OUTSTANDING: | |||||||||||||||||||||||||||||||||||
Class I | N/A | 30 | N/A | N/A | N/A | 43 | N/A | ||||||||||||||||||||||||||||
Class II | 13,815 | 91,439 | 44,197 | 61,811 | 105,062 | 28,768 | 4,607 | ||||||||||||||||||||||||||||
NET ASSET VALUE PER SHARE: | |||||||||||||||||||||||||||||||||||
Class I | N/A | $ | 9.53 | N/A | N/A | N/A | $ | 6.10 | N/A | ||||||||||||||||||||||||||
Class II | $ | 5.41 | $ | 9.52 | $ | 7.83 | $ | 11.91 | $ | 5.08 | $ | 6.10 | $ | 4.74 | |||||||||||||||||||||
+COST | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 2,100 | $ | 760,527 | $ | 311,336 | $ | 667,882 | $ | 545,996 | $ | 161,116 | $ | 22,381 | |||||||||||||||||||||
Investments in affiliated securities at cost | 74,450 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Bullion at cost | — | 42,060 | — | — | — | — | — | ||||||||||||||||||||||||||||
Cash denominated in foreign currencies at cost | — | 313 | — | — | — | — | — | ||||||||||||||||||||||||||||
^Securities loaned at value | — | 1,208 | 374 | — | 321 | 3,930 | 63 |
* | Not shown due to rounding. |
(1) | Consolidated Statement of Assets and Liabilities (See Note 5 in Notes to Financial Statements). |
(2) | Effective April 30, 2018, the Portfolio’s name changed from Bond to Corporate Bond. |
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 103 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY VIP |
AS OF JUNE 30, 2018 (UNAUDITED)
(In thousands, except per share amounts) | Global Equity Income(1) | Global Growth | Government Money Market | Growth | High Income | International Core Equity | Limited- Term Bond | ||||||||||||||||||||||||||||
ASSETS |
| ||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at value+^ | $ | 327,707 | $ | 158,172 | $ | 317,235 | $ | 787,066 | $ | 943,582 | $ | 769,343 | $ | 590,947 | |||||||||||||||||||||
Investments in affiliated securities at value+ | — | — | — | — | 1,149 | — | — | ||||||||||||||||||||||||||||
Investments at Value | 327,707 | 158,172 | 317,235 | 787,066 | 944,731 | 769,343 | 590,947 | ||||||||||||||||||||||||||||
Cash | 26 | — | 1 | 1 | 1,232 | 11 | — | ||||||||||||||||||||||||||||
Cash denominated in foreign currencies at value+ | — | * | — | — | — | — | 11,392 | — | |||||||||||||||||||||||||||
Restricted cash | — | — | — | — | — | 20 | — | ||||||||||||||||||||||||||||
Investment securities sold receivable | — | 5,972 | — | — | 5,552 | 3,317 | 953 | ||||||||||||||||||||||||||||
Dividends and interest receivable | 914 | 601 | 455 | 248 | 13,096 | 3,506 | 3,888 | ||||||||||||||||||||||||||||
Capital shares sold receivable | 4 | 1 | — | 5 | 366 | 31 | 10 | ||||||||||||||||||||||||||||
Receivable from affiliates | — | 131 | — | — | — | — | — | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | — | 61 | — | — | ||||||||||||||||||||||||||||
Receivable from securities lending income – net | 16 | 3 | — | — | 23 | 45 | — | * | |||||||||||||||||||||||||||
Prepaid and other assets | — | — | 1 | 1 | 1 | — | — | ||||||||||||||||||||||||||||
Total Assets | 328,667 | 164,880 | 317,692 | 787,321 | 965,062 | 787,665 | 595,798 | ||||||||||||||||||||||||||||
LIABILITIES | |||||||||||||||||||||||||||||||||||
Cash collateral on securities loaned at value | 2,033 | — | — | — | 20,699 | — | 141 | ||||||||||||||||||||||||||||
Investment securities purchased payable | — | 4,853 | — | — | 30,518 | 2,349 | 1,248 | ||||||||||||||||||||||||||||
Capital shares redeemed payable | 202 | 101 | 476 | 466 | 560 | 354 | 210 | ||||||||||||||||||||||||||||
Distributions payable | — | — | 38 | — | — | — | — | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 35 | 64 | 44 | 256 | 70 | 75 | 21 | ||||||||||||||||||||||||||||
Overdraft due to custodian | — | 25 | — | — | — | — | 138 | ||||||||||||||||||||||||||||
Distribution and service fees payable | 4 | 2 | — | 11 | 12 | 11 | 8 | ||||||||||||||||||||||||||||
Shareholder servicing payable | 2 | 1 | 1 | 3 | 3 | 3 | 1 | ||||||||||||||||||||||||||||
Investment management fee payable | 12 | 8 | 6 | 30 | 31 | 36 | 16 | ||||||||||||||||||||||||||||
Accounting services fee payable | 9 | 8 | 8 | 17 | 18 | 17 | 12 | ||||||||||||||||||||||||||||
Other liabilities | 10 | 106 | 9 | 14 | 15 | 32 | 12 | ||||||||||||||||||||||||||||
Total Liabilities | 2,307 | 5,168 | 582 | 797 | 51,926 | 2,877 | 1,807 | ||||||||||||||||||||||||||||
Total Net Assets | $ | 326,360 | $ | 159,712 | $ | 317,110 | $ | 786,524 | $ | 913,136 | $ | 784,788 | $ | 593,991 | |||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 246,257 | $ | 43,727 | $ | 317,083 | $ | 421,571 | $ | 972,847 | $ | 703,433 | $ | 601,485 | |||||||||||||||||||||
Undistributed (distributions in excess of) net investment income | 5,401 | 1,006 | — | (286 | ) | 28,195 | 8,743 | 4,320 | |||||||||||||||||||||||||||
Accumulated net realized gain (loss) | 80,500 | 88,481 | 27 | 129,629 | (63,022 | ) | 36,542 | (5,815 | ) | ||||||||||||||||||||||||||
Net unrealized appreciation (depreciation) | (5,798 | ) | 26,498 | — | 235,610 | (24,884 | ) | 36,070 | (5,999 | ) | |||||||||||||||||||||||||
Total Net Assets | $ | 326,360 | $ | 159,712 | $ | 317,110 | $ | 786,524 | $ | 913,136 | $ | 784,788 | $ | 593,991 | |||||||||||||||||||||
CAPITAL SHARES OUTSTANDING: | |||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | 14,409 | N/A | N/A | ||||||||||||||||||||||||||||
Class II | 43,494 | 16,330 | 317,086 | 66,151 | 249,445 | 45,244 | 124,391 | ||||||||||||||||||||||||||||
NET ASSET VALUE PER SHARE: | |||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | $ | 3.47 | N/A | N/A | |||||||||||||||||||||||||||
Class II | $ | 7.50 | $ | 9.78 | $ | 1.00 | $ | 11.89 | $ | 3.46 | $ | 17.35 | $ | 4.78 | |||||||||||||||||||||
+COST | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 333,499 | $ | 131,592 | $ | 317,235 | $ | 551,456 | $ | 968,476 | $ | 732,683 | $ | 596,946 | |||||||||||||||||||||
Investments in affiliated securities at cost | — | — | — | — | 1,199 | — | — | ||||||||||||||||||||||||||||
Cash denominated in foreign currencies at cost | — | — | — | — | — | 10,040 | — | ||||||||||||||||||||||||||||
^Securities loaned at value | 2,036 | 1,356 | — | — | 21,638 | 3,819 | 500 |
* | Not shown due to rounding. |
(1) | Effective April 30, 2018, the Portfolio’s name changed from Dividend Opportunities to Global Equity Income. |
See Accompanying Notes to Financial Statements.
104 | SEMIANNUAL REPORT | 2018 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY VIP |
AS OF JUNE 30, 2018 (UNAUDITED)
(In thousands, except per share amounts) | Micro Cap Growth | Mid Cap Growth | Natural Resources | Science and Technology | Securian Real Estate Securities(1) | Small Cap Core | Small Cap Growth | ||||||||||||||||||||||||||||
ASSETS | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at value+^ | $ | 92,342 | $ | 746,052 | $ | 121,072 | $ | 678,253 | $ | 41,245 | $ | 222,032 | $ | 339,006 | |||||||||||||||||||||
Investments at Value | 92,342 | 746,052 | 121,072 | 678,253 | 41,245 | 222,032 | 339,006 | ||||||||||||||||||||||||||||
Cash | 1 | 46 | 1 | 1 | 1 | 1 | 1 | ||||||||||||||||||||||||||||
Investment securities sold receivable | — | 993 | 380 | — | 39 | — | 1,944 | ||||||||||||||||||||||||||||
Dividends and interest receivable | 10 | 279 | 122 | 425 | 142 | 112 | 146 | ||||||||||||||||||||||||||||
Capital shares sold receivable | 56 | 9,382 | 19 | 1,664 | 8 | 21 | 44 | ||||||||||||||||||||||||||||
Receivable from affiliates | — | * | 290 | — | — | — | — | 83 | |||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 811 | — | — | — | — | ||||||||||||||||||||||||||||
Receivable from securities lending income – net | 4 | 7 | 3 | 7 | — | 1 | 10 | ||||||||||||||||||||||||||||
Total Assets | 92,413 | 757,049 | 122,408 | 680,350 | 41,435 | 222,167 | 341,234 | ||||||||||||||||||||||||||||
LIABILITIES | |||||||||||||||||||||||||||||||||||
Cash collateral on securities loaned at value | 5,818 | 13,843 | 3,552 | 12,121 | — | 64 | 11,722 | ||||||||||||||||||||||||||||
Investment securities purchased payable | 811 | — | 605 | 773 | 60 | — | 865 | ||||||||||||||||||||||||||||
Capital shares redeemed payable | 33 | 246 | 207 | 670 | 42 | 95 | 197 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 7 | 30 | 17 | 83 | 5 | 31 | 105 | ||||||||||||||||||||||||||||
Distribution and service fees payable | 1 | 7 | 2 | 9 | 1 | 3 | 4 | ||||||||||||||||||||||||||||
Shareholder servicing payable | — | * | 3 | 1 | 2 | — | * | 1 | 1 | ||||||||||||||||||||||||||
Investment management fee payable | 4 | 34 | 6 | 31 | 2 | 10 | 15 | ||||||||||||||||||||||||||||
Accounting services fee payable | 4 | 14 | 5 | 14 | 2 | 7 | 10 | ||||||||||||||||||||||||||||
Swap agreements, at value | — | — | — | — | — | — | 20 | ||||||||||||||||||||||||||||
Written options at value+ | — | 3 | — | 110 | — | — | — | ||||||||||||||||||||||||||||
Other liabilities | 3 | 13 | 5 | 15 | 4 | 7 | 17 | ||||||||||||||||||||||||||||
Total Liabilities | 6,681 | 14,193 | 4,400 | 13,828 | 116 | 218 | 12,956 | ||||||||||||||||||||||||||||
Total Net Assets | $ | 85,732 | $ | 742,856 | $ | 118,008 | $ | 666,522 | $ | 41,319 | $ | 221,949 | $ | 328,278 | |||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 53,836 | $ | 507,898 | $ | 161,367 | $ | 331,401 | $ | 41,170 | $ | 165,565 | $ | 206,287 | |||||||||||||||||||||
Undistributed (distributions in excess of) net investment income | (376 | ) | (1,738 | ) | 448 | (1,986 | ) | 541 | (544 | ) | (1,320 | ) | |||||||||||||||||||||||
Accumulated net realized gain (loss) | 3,109 | 78,510 | (43,535 | ) | 43,446 | (575 | ) | 32,568 | 55,013 | ||||||||||||||||||||||||||
Net unrealized appreciation (depreciation) | 29,163 | 158,186 | (272 | ) | 293,661 | 183 | 24,360 | 68,298 | |||||||||||||||||||||||||||
Total Net Assets | $ | 85,732 | $ | 742,856 | $ | 118,008 | $ | 666,522 | $ | 41,319 | $ | 221,949 | $ | 328,278 | |||||||||||||||||||||
CAPITAL SHARES OUTSTANDING: | |||||||||||||||||||||||||||||||||||
Class I | 17 | 17,429 | N/A | 21 | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Class II | 3,122 | 42,764 | 26,111 | 22,667 | 5,927 | 13,647 | 29,656 | ||||||||||||||||||||||||||||
NET ASSET VALUE PER SHARE: | |||||||||||||||||||||||||||||||||||
Class I | $ | 27.40 | $ | 12.36 | N/A | $ | 29.42 | N/A | N/A | N/A | |||||||||||||||||||||||||
Class II | $ | 27.32 | $ | 12.34 | $ | 4.52 | $ | 29.38 | $ | 6.97 | $ | 16.26 | $ | 11.07 | |||||||||||||||||||||
+COST | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 63,179 | $ | 587,923 | $ | 122,155 | $ | 384,805 | $ | 41,062 | $ | 197,672 | $ | 270,688 | |||||||||||||||||||||
Written options premiums received at cost | — | 58 | — | 323 | — | — | — | ||||||||||||||||||||||||||||
^Securities loaned at value | 5,652 | 13,396 | 3,478 | 12,080 | — | 63 | 11,478 |
* | Not shown due to rounding. |
(1) | Effective April 30, 2018, the Portfolio’s name changed from Advantus Real Estate Securities to Securian Real Estate Securities. |
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 105 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY VIP |
AS OF JUNE 30, 2018 (UNAUDITED)
(In thousands, except per share amounts) | Value | ||||
ASSETS | |||||
Investments in unaffiliated securities at value+ | $ | 513,059 | |||
Investments at Value | 513,059 | ||||
Cash | 1 | ||||
Investment securities sold receivable | 4,403 | ||||
Dividends and interest receivable | 299 | ||||
Capital shares sold receivable | 25 | ||||
Total Assets | 517,787 | ||||
LIABILITIES | |||||
Investment securities purchased payable | 1,183 | ||||
Capital shares redeemed payable | 251 | ||||
Independent Trustees and Chief Compliance Officer fees payable | 53 | ||||
Distribution and service fees payable | 7 | ||||
Shareholder servicing payable | 1 | ||||
Investment management fee payable | 20 | ||||
Accounting services fee payable | 11 | ||||
Written options at value+ | 174 | ||||
Other liabilities | 7 | ||||
Total Liabilities | 1,707 | ||||
Total Net Assets | $ | 516,080 | |||
NET ASSETS | |||||
Capital paid in (shares authorized – unlimited) | $ | 467,167 | |||
Undistributed net investment income | 2,167 | ||||
Accumulated net realized gain | 7,254 | ||||
Net unrealized appreciation | 39,492 | ||||
Total Net Assets | $ | 516,080 | |||
CAPITAL SHARES OUTSTANDING: | |||||
Class II | 84,403 | ||||
NET ASSET VALUE PER SHARE: | |||||
Class II | $ | 6.11 | |||
+COST | |||||
Investments in unaffiliated securities at cost | $ | 473,717 | |||
Written options premiums received at cost | 324 |
See Accompanying Notes to Financial Statements.
106 | SEMIANNUAL REPORT | 2018 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (UNAUDITED)
(In thousands) | Pathfinder Aggressive | Pathfinder Conservative | Pathfinder Moderate | Pathfinder Moderately Aggressive | Pathfinder Moderately Conservative | Pathfinder Moderate - Managed Volatility | Pathfinder Moderately Aggressive - Managed Volatility | ||||||||||||||||||||||||||||
INVESTMENT INCOME | |||||||||||||||||||||||||||||||||||
Dividends from affiliated securities | $ | 1,782 | $ | 1,856 | $ | 17,980 | $ | 23,067 | $ | 4,673 | $ | 12,897 | $ | 2,033 | |||||||||||||||||||||
Interest and amortization from unaffiliated securities | 9 | 9 | 7 | 9 | 8 | 176 | 20 | ||||||||||||||||||||||||||||
Total Investment Income | 1,791 | 1,865 | 17,987 | 23,076 | 4,681 | 13,073 | 2,053 | ||||||||||||||||||||||||||||
EXPENSES | |||||||||||||||||||||||||||||||||||
Investment management fee | — | — | — | — | — | 592 | 92 | ||||||||||||||||||||||||||||
Shareholder servicing: | |||||||||||||||||||||||||||||||||||
Class II | — | * | 1 | 4 | 5 | 1 | 3 | — | * | ||||||||||||||||||||||||||
Custodian fees | 1 | 1 | 1 | 1 | 1 | 2 | 1 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 3 | 3 | 27 | 32 | 8 | 16 | 3 | ||||||||||||||||||||||||||||
Accounting services fee | 13 | 17 | 73 | 86 | 28 | 55 | 14 | ||||||||||||||||||||||||||||
Professional fees | 12 | 13 | 18 | 17 | 14 | 19 | 15 | ||||||||||||||||||||||||||||
Other | 7 | 9 | 30 | 36 | 16 | 24 | 6 | ||||||||||||||||||||||||||||
Total Expenses | 36 | 44 | 153 | 177 | 68 | 711 | 131 | ||||||||||||||||||||||||||||
Net Investment Income | 1,755 | 1,821 | 17,834 | 22,899 | 4,613 | 12,362 | 1,922 | ||||||||||||||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||||||||||||||
Investments in affiliated securities | 1,223 | 1,036 | 17,176 | 23,292 | 3,386 | 4,769 | 1,047 | ||||||||||||||||||||||||||||
Distributions of realized capital gains from affiliated securities | 3,777 | 3,357 | 34,038 | 46,954 | 8,887 | 24,385 | 4,137 | ||||||||||||||||||||||||||||
Futures contracts | — | — | — | — | — | (2,409 | ) | (459 | ) | ||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | — | * | — | * | — | — | — | 1 | — | * | |||||||||||||||||||||||||
Investments in affiliated securities | (3,777 | ) | (4,570 | ) | (52,289 | ) | (68,692 | ) | (11,993 | ) | (30,721 | ) | (5,056 | ) | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | 159 | 23 | ||||||||||||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | 1,223 | (177 | ) | (1,075 | ) | 1,554 | 280 | (3,816 | ) | (308 | ) | ||||||||||||||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 2,978 | $ | 1,644 | $ | 16,759 | $ | 24,453 | $ | 4,893 | $ | 8,546 | $ | 1,614 |
* | Not shown due to rounding. |
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 107 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (UNAUDITED)
(In thousands) | Pathfinder Moderately Conservative - Managed Volatility | Asset Strategy(1) | Balanced | Core Equity | Corporate Bond(2) | Energy | Global Bond | ||||||||||||||||||||||||||||
INVESTMENT INCOME | |||||||||||||||||||||||||||||||||||
Dividends from unaffiliated securities | $ | — | $ | 8,949 | $ | 2,233 | $ | 3,556 | $ | 73 | $ | 620 | $ | 10 | |||||||||||||||||||||
Dividends from affiliated securities | 1,416 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Foreign dividend withholding tax | — | (565 | ) | (13 | ) | (68 | ) | — | (25 | ) | — | * | |||||||||||||||||||||||
Interest and amortization from unaffiliated securities | 18 | 4,261 | 2,218 | 117 | 9,044 | 29 | 417 | ||||||||||||||||||||||||||||
Foreign interest withholding tax | — | — | — | — | — | — | — | * | |||||||||||||||||||||||||||
Securities lending income – net | — | 19 | 1 | 1 | — | 16 | — | * | |||||||||||||||||||||||||||
Total Investment Income | 1,434 | 12,664 | 4,439 | 3,606 | 9,117 | 640 | 427 | ||||||||||||||||||||||||||||
EXPENSES | |||||||||||||||||||||||||||||||||||
Investment management fee | 74 | 3,180 | 1,232 | 1,733 | 1,248 | 714 | 69 | ||||||||||||||||||||||||||||
Distribution and service fees: | |||||||||||||||||||||||||||||||||||
Class II | — | 1,136 | 440 | 619 | 657 | 209 | 28 | ||||||||||||||||||||||||||||
Shareholder servicing: | |||||||||||||||||||||||||||||||||||
Class I | N/A | — | * | N/A | N/A | N/A | — | * | N/A | ||||||||||||||||||||||||||
Class II | — | * | 4 | 2 | 2 | 2 | 1 | — | * | ||||||||||||||||||||||||||
Custodian fees | 1 | 26 | 3 | 8 | 5 | 3 | 2 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 2 | 38 | 17 | 27 | 20 | 5 | 1 | ||||||||||||||||||||||||||||
Accounting services fee | 13 | 108 | 54 | 66 | 68 | 33 | 7 | ||||||||||||||||||||||||||||
Professional fees | 14 | 69 | 23 | 19 | 27 | 18 | 20 | ||||||||||||||||||||||||||||
Other | 8 | 68 | 21 | 23 | 21 | 17 | 9 | ||||||||||||||||||||||||||||
Total Expenses | 112 | 4,629 | 1,792 | 2,497 | 2,048 | 1,000 | 136 | ||||||||||||||||||||||||||||
Less: | |||||||||||||||||||||||||||||||||||
Expenses in excess of limit | — | — | * | — | (148 | ) | — | — | * | (69 | ) | ||||||||||||||||||||||||
Total Net Expenses | 112 | 4,629 | 1,792 | 2,349 | 2,048 | 1,000 | 67 | ||||||||||||||||||||||||||||
Net Investment Income (Loss) | 1,322 | 8,035 | 2,647 | 1,257 | 7,069 | (360 | ) | 360 | |||||||||||||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | — | 49,205 | 15,699 | 28,092 | (1,379 | ) | (3,426 | ) | (36 | ) | |||||||||||||||||||||||||
Investments in affiliated securities | 698 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Distributions of realized capital gains from affiliated securities | 2,691 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Futures contracts | (376 | ) | — | — | 1,362 | — | — | — | |||||||||||||||||||||||||||
Written options | — | 133 | — | — | — | — | — | ||||||||||||||||||||||||||||
Swap agreements | — | (282 | ) | — | — | — | — | — | |||||||||||||||||||||||||||
Forward foreign currency contracts | — | — | — | (491 | ) | — | — | — | |||||||||||||||||||||||||||
Foreign currency exchange transactions | — | (98 | ) | — | 5 | — | (3 | ) | 1 | ||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | — | (40,522 | ) | (12,576 | ) | (12,398 | ) | (21,386 | ) | 10,015 | (703 | ) | |||||||||||||||||||||||
Investments in affiliated securities | (3,350 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
Futures contracts | 21 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Written options | — | (90 | ) | — | — | — | — | — | |||||||||||||||||||||||||||
Swap agreements | — | 536 | — | — | — | — | — | ||||||||||||||||||||||||||||
Forward foreign currency contracts | — | — | — | 1,005 | — | — | — | ||||||||||||||||||||||||||||
Foreign currency exchange transactions | — | (18 | ) | — | — | — | — | — | * | ||||||||||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | (316 | ) | 8,864 | 3,123 | 17,575 | (22,765 | ) | 6,586 | (738 | ) | |||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 1,006 | $ | 16,899 | $ | 5,770 | $ | 18,832 | $ | (15,696 | ) | $ | 6,226 | $ | (378 | ) |
* | Not shown due to rounding. |
(1) | Consolidated Statement of Operations (See Note 5 in Notes to Financial Statements). |
(2) | Effective April 30, 2018, the Portfolio’s name changed from Bond to Corporate Bond. |
See Accompanying Notes to Financial Statements.
108 | SEMIANNUAL REPORT | 2018 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (UNAUDITED)
(In thousands) | Global Equity Income(1) | Global Growth | Government Money Market | Growth | High Income | International Core Equity | Limited - Term Bond | ||||||||||||||||||||||||||||
INVESTMENT INCOME |
| ||||||||||||||||||||||||||||||||||
Dividends from unaffiliated securities | $ | 7,350 | $ | 3,400 | $ | — | $ | 4,223 | $ | 715 | $ | 16,080 | $ | 139 | |||||||||||||||||||||
Foreign dividend withholding tax | (236 | ) | (263 | ) | — | (23 | ) | — | (1,546 | ) | — | ||||||||||||||||||||||||
Interest and amortization from unaffiliated securities | 179 | 55 | 2,624 | 48 | 31,194 | 107 | 5,900 | ||||||||||||||||||||||||||||
Interest and amortization from affiliated securities | — | — | — | — | 43 | — | — | ||||||||||||||||||||||||||||
Foreign interest withholding tax | — | — | — | — | — | (1 | ) | — | |||||||||||||||||||||||||||
Securities lending income – net | 17 | 3 | — | — | 49 | 165 | — | * | |||||||||||||||||||||||||||
Total Investment Income | 7,310 | 3,195 | 2,624 | 4,248 | 32,001 | 14,805 | 6,039 | ||||||||||||||||||||||||||||
EXPENSES | |||||||||||||||||||||||||||||||||||
Investment management fee | 1,674 | 1,638 | 544 | 3,103 | 2,856 | 3,469 | 1,136 | ||||||||||||||||||||||||||||
Distribution and service fees: | |||||||||||||||||||||||||||||||||||
Class II | 598 | 482 | — | 1,108 | 1,096 | 1,020 | 569 | ||||||||||||||||||||||||||||
Shareholder servicing: | |||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | — | * | N/A | N/A | |||||||||||||||||||||||||||
Class II | 2 | 2 | 1 | 4 | 4 | 4 | 2 | ||||||||||||||||||||||||||||
Custodian fees | 7 | 22 | 4 | 9 | 6 | 51 | 3 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 16 | 17 | 12 | 45 | 30 | 28 | 13 | ||||||||||||||||||||||||||||
Accounting services fee | 65 | 60 | 47 | 105 | 109 | 102 | 64 | ||||||||||||||||||||||||||||
Professional fees | 27 | 24 | 12 | 24 | 50 | 30 | 25 | ||||||||||||||||||||||||||||
Other | 20 | 17 | 11 | 29 | 35 | 26 | 13 | ||||||||||||||||||||||||||||
Total Expenses | 2,409 | 2,262 | 631 | 4,427 | 4,186 | 4,730 | 1,825 | ||||||||||||||||||||||||||||
Less: | |||||||||||||||||||||||||||||||||||
Expenses in excess of limit | — | (88 | ) | — | — | — | * | — | — | ||||||||||||||||||||||||||
Reimbursement | — | — | (11 | ) | — | — | — | — | |||||||||||||||||||||||||||
Total Net Expenses | 2,409 | 2,174 | 620 | 4,427 | 4,186 | 4,730 | 1,825 | ||||||||||||||||||||||||||||
Net Investment Income (Loss) | 4,901 | 1,021 | 2,004 | (179 | ) | 27,815 | 10,075 | 4,214 | |||||||||||||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | 80,699 | 88,659 | 38 | 129,767 | (15,111 | ) | 36,655 | (2,015 | ) | ||||||||||||||||||||||||||
Futures contracts | — | 204 | — | — | — | — | — | ||||||||||||||||||||||||||||
Swap agreements | (223 | ) | (346 | ) | — | — | — | — | — | ||||||||||||||||||||||||||
Forward foreign currency contracts | — | — | — | — | (29 | ) | — | — | |||||||||||||||||||||||||||
Foreign currency exchange transactions | 145 | 52 | — | — | 3 | 269 | — | ||||||||||||||||||||||||||||
Net change in unrealized appreciation | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | (99,268 | ) | (59,715 | ) | — | (39,257 | ) | 1,673 | (68,059 | ) | (3,980 | ) | |||||||||||||||||||||||
Investments in affiliated securities | — | — | — | — | (65 | ) | — | — | |||||||||||||||||||||||||||
Forward foreign currency contracts | — | — | — | — | 81 | — | — | ||||||||||||||||||||||||||||
Foreign currency exchange transactions | (6 | ) | (35 | ) | — | — | (1 | ) | (832 | ) | — | ||||||||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | (18,653 | ) | 28,819 | 38 | 90,510 | (13,449 | ) | (31,967 | ) | (5,995 | ) | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (13,752 | ) | $ | 29,840 | $ | 2,042 | $ | 90,331 | $ | 14,366 | $ | (21,892 | ) | $ | (1,781 | ) |
* | Not shown due to rounding. |
(1) | Effective April 30, 2018, the Portfolio’s name changed from Dividend Opportunities to Global Equity Income. |
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 109 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (UNAUDITED)
(In thousands) | Micro Cap Growth | Mid Cap Growth | Natural Resources | Science and Technology | ||||||||||||||||
INVESTMENT INCOME |
| |||||||||||||||||||
Dividends from unaffiliated securities | $ | 96 | $ | 2,374 | $ | 1,195 | $ | 2,393 | ||||||||||||
Foreign dividend withholding tax | — | — | (19 | ) | (19 | ) | ||||||||||||||
Interest and amortization from unaffiliated securities | 40 | 145 | 24 | 213 | ||||||||||||||||
Securities lending income – net | 8 | 14 | 12 | 9 | ||||||||||||||||
Total Investment Income | 144 | 2,533 | 1,212 | 2,596 | ||||||||||||||||
EXPENSES | ||||||||||||||||||||
Investment management fee | 357 | 2,997 | 521 | 2,821 | ||||||||||||||||
Distribution and service fees: | ||||||||||||||||||||
Class II | 93 | 696 | 153 | 827 | ||||||||||||||||
Shareholder servicing: | ||||||||||||||||||||
Class I | — | * | 1 | N/A | — | * | ||||||||||||||
Class II | — | * | 2 | 1 | 27 | |||||||||||||||
Custodian fees | 2 | 9 | 3 | 17 | ||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 2 | 21 | 5 | 24 | ||||||||||||||||
Accounting services fee | 22 | 87 | 31 | 82 | ||||||||||||||||
Professional fees | 16 | 19 | 20 | 33 | ||||||||||||||||
Other | 20 | 26 | 11 | 28 | ||||||||||||||||
Total Expenses | 512 | 3,858 | 745 | 3,859 | ||||||||||||||||
Less: | ||||||||||||||||||||
Expenses in excess of limit | — | * | (169 | ) | — | — | ||||||||||||||
Total Net Expenses | 512 | 3,689 | 745 | 3,859 | ||||||||||||||||
Net Investment Income (Loss) | (368 | ) | (1,156 | ) | 467 | (1,263 | ) | |||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments in unaffiliated securities | 3,260 | 81,274 | 2,383 | 43,920 | ||||||||||||||||
Written options | — | 195 | — | (325 | ) | |||||||||||||||
Swap agreements | — | (2,209 | ) | — | — | |||||||||||||||
Forward foreign currency contracts | — | — | (628 | ) | — | |||||||||||||||
Foreign currency exchange transactions | — | 4 | 5 | — | * | |||||||||||||||
Net change in unrealized appreciation | ||||||||||||||||||||
Investments in unaffiliated securities | 12,283 | (8,104 | ) | (6,047 | ) | 13,672 | ||||||||||||||
Written options | — | 94 | — | 213 | ||||||||||||||||
Forward foreign currency contracts | — | — | 1,007 | — | ||||||||||||||||
Foreign currency exchange transactions | — | 2 | — | * | — | |||||||||||||||
Net Realized and Unrealized Gain (Loss) | 15,543 | 71,256 | (3,280 | ) | 57,480 | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 15,175 | $ | 70,100 | $ | (2,813 | ) | $ | 56,217 |
* | Not shown due to rounding. |
See Accompanying Notes to Financial Statements.
110 | SEMIANNUAL REPORT | 2018 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2018 (UNAUDITED)
(In thousands) | Securian Real Estate Securities(1) | Small Cap Core | Small Cap Growth | Value | ||||||||||||||||
INVESTMENT INCOME |
| |||||||||||||||||||
Dividends from unaffiliated securities | $ | 677 | $ | 1,090 | $ | 1,122 | $ | 4,049 | ||||||||||||
Foreign dividend withholding tax | — | (15 | ) | — | (18 | ) | ||||||||||||||
Interest and amortization from unaffiliated securities | 4 | 74 | 140 | 151 | ||||||||||||||||
Securities lending income – net | — | 3 | 25 | — | ||||||||||||||||
Total Investment Income | 681 | 1,152 | 1,287 | 4,182 | ||||||||||||||||
EXPENSES | ||||||||||||||||||||
Investment management fee | 178 | 1,252 | 1,601 | 1,539 | ||||||||||||||||
Distribution and service fees: | ||||||||||||||||||||
Class II | 50 | 368 | 471 | 550 | ||||||||||||||||
Shareholder servicing: | ||||||||||||||||||||
Class II | — | * | 1 | 2 | 2 | |||||||||||||||
Custodian fees | 6 | 7 | 4 | 4 | ||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 2 | 11 | 19 | 16 | ||||||||||||||||
Accounting services fee | 9 | 46 | 60 | 63 | ||||||||||||||||
Professional fees | 22 | 18 | 20 | 23 | ||||||||||||||||
Other | 9 | 16 | 19 | 27 | ||||||||||||||||
Total Expenses | 276 | 1,719 | 2,196 | 2,224 | ||||||||||||||||
Less: | ||||||||||||||||||||
Expenses in excess of limit | (18 | ) | — | (56 | ) | — | ||||||||||||||
Total Net Expenses | 258 | 1,719 | 2,140 | 2,224 | ||||||||||||||||
Net Investment Income (Loss) | 423 | (567 | ) | (853 | ) | 1,958 | ||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments in unaffiliated securities | (478 | ) | 32,556 | 53,978 | 7,097 | |||||||||||||||
Futures contracts | — | 498 | — | — | ||||||||||||||||
Written options | — | — | — | 239 | ||||||||||||||||
Swap agreements | — | — | 1,508 | (451 | ) | |||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments in unaffiliated securities | (207 | ) | (9,169 | ) | (10,111 | ) | (12,469 | ) | ||||||||||||
Written options | — | — | — | 150 | ||||||||||||||||
Swap agreements | — | — | (378 | ) | 17 | |||||||||||||||
Net Realized and Unrealized Gain (Loss) | (685 | ) | 23,885 | 44,997 | (5,417 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (262 | ) | $ | 23,318 | $ | 44,144 | $ | (3,459 | ) |
* | Not shown due to rounding. |
(1) | Effective April 30, 2018, the Portfolio’s name changed from Advantus Real Estate Securities to Securian Real Estate Securities. |
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 111 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY VIP |
Pathfinder Aggressive | Pathfinder Conservative | Pathfinder Moderate | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 1,755 | $ | 1,278 | $ | 1,821 | $ | 1,195 | $ | 17,834 | $ | 11,459 | ||||||||||||||||||
Net realized gain on investments | 5,000 | 3,790 | 4,393 | 3,528 | 51,214 | 37,067 | ||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (3,777 | ) | 8,690 | (4,570 | ) | 6,533 | (52,289 | ) | 71,897 | |||||||||||||||||||||
Net Increase in Net Assets Resulting from Operations | 2,978 | 13,758 | 1,644 | 11,256 | 16,759 | 120,423 | ||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class II | (1,280 | ) | (686 | ) | (1,197 | ) | (813 | ) | (11,471 | ) | (6,745 | ) | ||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class II | (3,787 | ) | (5,308 | ) | (3,524 | ) | (4,589 | ) | (37,048 | ) | (47,759 | ) | ||||||||||||||||||
Total Distributions to Shareholders | (5,067 | ) | (5,994 | ) | (4,721 | ) | (5,402 | ) | (48,519 | ) | (54,504 | ) | ||||||||||||||||||
Capital Share Transactions | (1,681 | ) | (6,655 | ) | (235 | ) | (11,195 | ) | (26,242 | ) | (49,008 | ) | ||||||||||||||||||
Net Increase (Decrease) in Net Assets | (3,770 | ) | 1,109 | (3,312 | ) | (5,341 | ) | (58,002 | ) | 16,911 | ||||||||||||||||||||
Net Assets, Beginning of Period | 75,765 | 74,656 | 108,918 | 114,259 | 877,382 | 860,471 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 71,995 | $ | 75,765 | $ | 105,606 | $ | 108,918 | $ | 819,380 | $ | 877,382 | ||||||||||||||||||
Undistributed net investment income | $ | 1,747 | $ | 1,272 | $ | 1,812 | $ | 1,188 | $ | 17,776 | $ | 11,413 | ||||||||||||||||||
Pathfinder Moderately Aggressive | Pathfinder Moderately Conservative | Pathfinder Moderate – Managed Volatility | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 22,899 | $ | 17,454 | $ | 4,613 | $ | 3,136 | $ | 12,362 | $ | 5,963 | ||||||||||||||||||
Net realized gain on investments | 70,246 | 48,284 | 12,273 | 9,830 | 26,745 | 18,136 | ||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (68,692 | ) | 96,068 | (11,993 | ) | 18,077 | (30,561 | ) | 47,266 | |||||||||||||||||||||
Net Increase in Net Assets Resulting from Operations | 24,453 | 161,806 | 4,893 | 31,043 | 8,546 | 71,365 | ||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class II | (17,455 | ) | (8,700 | ) | (3,136 | ) | (2,102 | ) | (5,968 | ) | (2,508 | ) | ||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class II | (48,273 | ) | (62,750 | ) | (9,820 | ) | (12,185 | ) | (18,335 | ) | (14,751 | ) | ||||||||||||||||||
Total Distributions to Shareholders | (65,728 | ) | (71,450 | ) | (12,956 | ) | (14,287 | ) | (24,303 | ) | (17,259 | ) | ||||||||||||||||||
Capital Share Transactions | (15,638 | ) | (57,768 | ) | (7,391 | ) | (26,463 | ) | 38,413 | 34,164 | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (56,913 | ) | 32,588 | (15,454 | ) | (9,707 | ) | 22,656 | 88,270 | |||||||||||||||||||||
Net Assets, Beginning of Period | 1,052,457 | 1,019,869 | 251,343 | 261,050 | 599,627 | 511,357 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 995,544 | $ | 1,052,457 | $ | 235,889 | $ | 251,343 | $ | 622,283 | $ | 599,627 | ||||||||||||||||||
Undistributed net investment income | $ | 22,831 | $ | 17,387 | $ | 4,595 | $ | 3,118 | $ | 12,322 | $ | 5,928 |
See Accompanying Notes to Financial Statements.
112 | SEMIANNUAL REPORT | 2018 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY VIP |
Pathfinder Moderately Aggressive – Managed Volatility | Pathfinder Moderately Conservative – Managed Volatility | Asset Strategy(1) | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 1,922 | $ | 1,195 | $ | 1,322 | $ | 676 | $ | 8,035 | $ | 3,256 | ||||||||||||||||||
Net realized gain (loss) on investments | 4,725 | 2,850 | 3,013 | 2,172 | 48,958 | (8,524 | ) | |||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (5,033 | ) | 8,450 | (3,329 | ) | 5,026 | (40,094 | ) | 163,252 | |||||||||||||||||||||
Net Increase in Net Assets Resulting from Operations | 1,614 | 12,495 | 1,006 | 7,874 | 16,899 | 157,984 | ||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | — | * | (4 | ) | ||||||||||||||||||||||
Class II | (1,195 | ) | (388 | ) | (675 | ) | (298 | ) | (1,115 | ) | (14,367 | ) | ||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | — | — | ||||||||||||||||||||||||
Class II | (2,867 | ) | (2,463 | ) | (2,201 | ) | (1,471 | ) | — | — | ||||||||||||||||||||
Total Distributions to Shareholders | (4,062 | ) | (2,851 | ) | (2,876 | ) | (1,769 | ) | (1,115 | ) | (14,371 | ) | ||||||||||||||||||
Capital Share Transactions | 2,042 | 5,109 | 2,527 | 915 | (81,240 | ) | (161,207 | ) | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (406 | ) | 14,753 | 657 | 7,020 | (65,456 | ) | (17,594 | ) | |||||||||||||||||||||
Net Assets, Beginning of Period | 92,303 | 77,550 | 74,138 | 67,118 | 935,906 | 953,500 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 91,897 | $ | 92,303 | $ | 74,795 | $ | 74,138 | $ | 870,450 | $ | 935,906 | ||||||||||||||||||
Undistributed net investment income | $ | 1,899 | $ | 1,172 | $ | 1,301 | $ | 654 | $ | 8,031 | $ | 1,566 | ||||||||||||||||||
Balanced | Core Equity | Corporate Bond(2) | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 2,647 | $ | 5,568 | $ | 1,257 | $ | 1,800 | $ | 7,069 | $ | 10,259 | ||||||||||||||||||
Net realized gain (loss) on investments | 15,699 | 5,417 | 28,968 | 33,743 | (1,379 | ) | 1,319 | |||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (12,576 | ) | 27,900 | (11,393 | ) | 46,168 | (21,386 | ) | 5,516 | |||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 5,770 | 38,885 | 18,832 | 81,711 | (15,696 | ) | 17,094 | |||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class II | (5,473 | ) | (5,768 | ) | (2,016 | ) | (1,910 | ) | (10,848 | ) | (6,801 | ) | ||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class II | (5,390 | ) | (10,204 | ) | (33,521 | ) | (17,268 | ) | (731 | ) | (2,999 | ) | ||||||||||||||||||
Total Distributions to Shareholders | (10,863 | ) | (15,972 | ) | (35,537 | ) | (19,178 | ) | (11,579 | ) | (9,800 | ) | ||||||||||||||||||
Capital Share Transactions | (11,362 | ) | (21,478 | ) | 308,315 | (37,436 | ) | 13,455 | 124,484 | |||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (16,455 | ) | 1,435 | 291,610 | 25,097 | (13,820 | ) | 131,778 | ||||||||||||||||||||||
Net Assets, Beginning of Period | 362,460 | 361,025 | 444,779 | 419,682 | 547,588 | 415,810 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 346,005 | $ | 362,460 | $ | 736,389 | $ | 444,779 | $ | 533,768 | $ | 547,588 | ||||||||||||||||||
Undistributed net investment income | $ | 2,779 | $ | 5,605 | $ | 885 | $ | 1,639 | $ | 6,986 | $ | 10,765 |
* | Not shown due to rounding. |
(1) | Consolidated Statements of Changes in Net Assets (See Note 5 in Notes to Financial Statements). |
(2) | Effective April 30, 2018, the Portfolio’s name changed from Bond to Corporate Bond. |
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 113 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY VIP |
Energy | Global Bond | Global Equity Income(1) | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (360 | ) | $ | 1,232 | $ | 360 | $ | 706 | $ | 4,901 | $ | 8,269 | |||||||||||||||||
Net realized gain (loss) on investments | (3,429 | ) | 92 | (35 | ) | (147 | ) | 80,621 | 37,550 | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 10,015 | (26,522 | ) | (703 | ) | 389 | (99,274 | ) | 29,124 | |||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 6,226 | (25,198 | ) | (378 | ) | 948 | (13,752 | ) | 74,943 | |||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class I | — | (2 | ) | N/A | N/A | N/A | N/A | |||||||||||||||||||||||
Class II | — | (1,270 | ) | (626 | ) | (630 | ) | (8,020 | ) | (6,575 | ) | |||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class I | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class II | — | — | — | N/A | (37,687 | ) | (16,978 | ) | ||||||||||||||||||||||
Total Distributions to Shareholders | — | (1,272 | ) | (626 | ) | (630 | ) | (45,707 | ) | (23,553 | ) | |||||||||||||||||||
Capital Share Transactions | 859 | (1,107 | ) | (337 | ) | 892 | (141,426 | ) | (33,469 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets | 7,085 | (27,577 | ) | (1,341 | ) | 1,210 | (200,885 | ) | 17,921 | |||||||||||||||||||||
Net Assets, Beginning of Period | 168,520 | 196,097 | 23,166 | 21,956 | 527,245 | 509,324 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 175,605 | $ | 168,520 | $ | 21,825 | $ | 23,166 | $ | 326,360 | $ | 527,245 | ||||||||||||||||||
Undistributed net investment income | $ | 101 | $ | 464 | $ | 355 | $ | 620 | $ | 5,401 | $ | 8,375 | ||||||||||||||||||
Global Growth | Government Money Market | Growth | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,021 | $ | 2,004 | $ | 2,004 | $ | 2,127 | $ | (179 | ) | $ | 418 | |||||||||||||||||
Net realized gain (loss) on investments | 88,569 | 25,607 | 38 | (9 | ) | 129,767 | 99,533 | |||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (59,750 | ) | 66,321 | — | — | (39,257 | ) | 125,029 | ||||||||||||||||||||||
Net Increase in Net Assets Resulting from Operations | 29,840 | 93,932 | 2,042 | 2,118 | 90,331 | 224,980 | ||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class II | (1,967 | ) | (213 | ) | (2,004 | ) | (2,127 | ) | (292 | ) | (2,229 | ) | ||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class II | (25,221 | ) | (11,360 | ) | (2 | ) | (24 | ) | (99,537 | ) | (79,352 | ) | ||||||||||||||||||
Total Distributions to Shareholders | (27,188 | ) | (11,573 | ) | (2,006 | ) | (2,151 | ) | (99,829 | ) | (81,581 | ) | ||||||||||||||||||
Capital Share Transactions | (266,537 | ) | (67,033 | ) | 47 | (96,810 | ) | (87,401 | ) | (95,388 | ) | |||||||||||||||||||
Net Increase (Decrease) in Net Assets | (263,885 | ) | 15,326 | 83 | (96,843 | ) | (96,899 | ) | 48,011 | |||||||||||||||||||||
Net Assets, Beginning of Period | 423,597 | 408,271 | 317,027 | 413,870 | 883,423 | 835,412 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 159,712 | $ | 423,597 | $ | 317,110 | $ | 317,027 | $ | 786,524 | $ | 883,423 | ||||||||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 1,006 | $ | 1,900 | $ | — | $ | — | $ | (286 | ) | $ | 185 |
(1) | Effective April 30, 2018, the Portfolio’s name changed from Dividend Opportunities to Global Equity Income. |
See Accompanying Notes to Financial Statements.
114 | SEMIANNUAL REPORT | 2018 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY VIP |
High Income | International Core Equity | Limited-Term Bond | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 27,815 | $ | 60,140 | $ | 10,075 | $ | 10,487 | $ | 4,214 | $ | 6,837 | ||||||||||||||||||
Net realized gain (loss) on investments | (15,137 | ) | 2,619 | 36,924 | 31,845 | (2,015 | ) | (219 | ) | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 1,688 | (1,748 | ) | (68,891 | ) | 120,497 | (3,980 | ) | (1,166 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 14,366 | 61,011 | (21,892 | ) | 162,829 | (1,781 | ) | 5,452 | ||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class I | (3,506 | ) | (3,461 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||||
Class II | (56,012 | ) | (50,714 | ) | (11,999 | ) | (10,926 | ) | (7,043 | ) | (6,274 | ) | ||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class I | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class II | — | — | (20,981 | ) | N/A | — | N/A | |||||||||||||||||||||||
Total Distributions to Shareholders | (59,518 | ) | (54,175 | ) | (32,980 | ) | (10,926 | ) | (7,043 | ) | (6,274 | ) | ||||||||||||||||||
Capital Share Transactions | 14,873 | 91,360 | 5,079 | (53,365 | ) | 160,027 | 48,843 | |||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (30,279 | ) | 98,196 | (49,793 | ) | 98,538 | 151,203 | 48,021 | ||||||||||||||||||||||
Net Assets, Beginning of Period | 943,415 | 845,219 | 834,581 | 736,043 | 442,788 | 394,767 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 913,136 | $ | 943,415 | $ | 784,788 | $ | 834,581 | $ | 593,991 | $ | 442,788 | ||||||||||||||||||
Undistributed net investment income | $ | 28,195 | $ | 59,568 | $ | 8,743 | $ | 10,398 | $ | 4,320 | $ | 7,149 | ||||||||||||||||||
Micro Cap Growth | Mid Cap Growth | Natural Resources | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (368 | ) | $ | (647 | ) | $ | (1,156 | ) | $ | (2,225 | ) | $ | 467 | $ | 148 | ||||||||||||||
Net realized gain on investments | 3,260 | 477 | 79,264 | 31,071 | 1,760 | 2,677 | ||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 12,283 | 5,870 | (8,008 | ) | 130,796 | (5,040 | ) | 547 | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 15,175 | 5,700 | 70,100 | 159,642 | (2,813 | ) | 3,372 | |||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class I | — | — | — | — | N/A | N/A | ||||||||||||||||||||||||
Class II | — | — | — | — | (351 | ) | (179 | ) | ||||||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class I | — | (1 | ) | (6,483 | ) | (3,997 | ) | N/A | N/A | |||||||||||||||||||||
Class II | — | (215 | ) | (23,180 | ) | (15,653 | ) | — | N/A | |||||||||||||||||||||
Total Distributions to Shareholders | — | (216 | ) | (29,663 | ) | (19,650 | ) | (351 | ) | (179 | ) | |||||||||||||||||||
Capital Share Transactions | (1,522 | ) | 3,619 | (13,461 | ) | (39,555 | ) | (10,224 | ) | (15,986 | ) | |||||||||||||||||||
Net Increase (Decrease) in Net Assets | 13,653 | 9,103 | 26,976 | 100,437 | (13,388 | ) | (12,793 | ) | ||||||||||||||||||||||
Net Assets, Beginning of Period | 72,079 | 62,976 | 715,880 | 615,443 | 131,396 | 144,189 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 85,732 | $ | 72,079 | $ | 742,856 | $ | 715,880 | $ | 118,008 | $ | 131,396 | ||||||||||||||||||
Undistributed (distributions in excess of) net investment income | $ | (376 | ) | $ | (8 | ) | $ | (1,738 | ) | $ | (586 | ) | $ | 448 | $ | 327 |
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 115 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY VIP |
Science and Technology | Securian Real Estate Securities(1) | Small Cap Core | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (1,263 | ) | $ | (3,028 | ) | $ | 423 | $ | 630 | $ | (567 | ) | $ | 32 | |||||||||||||||
Net realized gain (loss) on investments | 43,595 | 27,092 | (478 | ) | 2,745 | 33,054 | 56,731 | |||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 13,885 | 136,142 | (207 | ) | (952 | ) | (9,169 | ) | (14,278 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 56,217 | 160,206 | (262 | ) | 2,423 | 23,318 | 42,485 | |||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class I | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class II | — | — | (628 | ) | (601 | ) | (353 | ) | N/A | |||||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class I | (2 | ) | (29 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||||
Class II | (1,728 | ) | (50,952 | ) | (2,688 | ) | (5,614 | ) | (55,882 | ) | (39,265 | ) | ||||||||||||||||||
Total Distributions to Shareholders | (1,730 | ) | (50,981 | ) | (3,316 | ) | (6,215 | ) | (56,235 | ) | (39,265 | ) | ||||||||||||||||||
Capital Share Transactions | (32,729 | ) | 21,079 | 1,524 | (1,653 | ) | (60,675 | ) | (36,011 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets | �� | 21,758 | 130,304 | (2,054 | ) | (5,445 | ) | (93,592 | ) | (32,791 | ) | |||||||||||||||||||
Net Assets, Beginning of Period | 644,764 | 514,460 | 43,373 | 48,818 | 315,541 | 348,332 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 666,522 | $ | 644,764 | $ | 41,319 | $ | 43,373 | $ | 221,949 | $ | 315,541 | ||||||||||||||||||
Undistributed (distributions in excess of) net investment income | $ | (1,986 | ) | $ | (723 | ) | $ | 541 | $ | 746 | $ | (544 | ) | $ | 376 | |||||||||||||||
Small Cap Growth | Value | |||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | ||||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (853 | ) | $ | (2,844 | ) | $ | 1,958 | $ | 6,592 | ||||||||||||||||||||
Net realized gain on investments | 55,486 | 61,757 | 6,885 | 13,832 | ||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (10,489 | ) | 27,162 | (12,302 | ) | 25,755 | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 44,144 | 86,075 | (3,459 | ) | 46,179 | |||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class II | (1,510 | ) | N/A | (7,704 | ) | (4,974 | ) | |||||||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class II | (58,210 | ) | (10,680 | ) | (12,385 | ) | (6,746 | ) | ||||||||||||||||||||||
Total Distributions to Shareholders | (59,720 | ) | (10,680 | ) | (20,089 | ) | (11,720 | ) | ||||||||||||||||||||||
Capital Share Transactions | (32,965 | ) | (124,424 | ) | 108,039 | 17,898 | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (48,541 | ) | (49,029 | ) | 84,491 | 52,357 | ||||||||||||||||||||||||
Net Assets, Beginning of Period | 376,819 | 425,848 | 431,589 | 379,232 | ||||||||||||||||||||||||||
Net Assets, End of Period | $ | 328,278 | $ | 376,819 | $ | 516,080 | $ | 431,589 | ||||||||||||||||||||||
Undistributed (distributions in excess of) net investment income | $ | (1,320 | ) | $ | 1,043 | $ | 2,167 | $ | 7,913 |
(1) | Effective April 30, 2018, the Portfolio’s name changed from Advantus Real Estate Securities to Securian Real Estate Securities. |
See Accompanying Notes to Financial Statements.
116 | SEMIANNUAL REPORT | 2018 |
Table of Contents
This page intentionally left blank.
2018 | SEMIANNUAL REPORT | 117 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY VIP |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | |||||||||||||||||||||||||||||
Pathfinder Aggressive Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | $ | 5.16 | $ | 0.12 | $ | 0.09 | $ | 0.21 | $ | (0.09 | ) | $ | (0.28 | ) | $ | (0.37 | ) | ||||||||||||||||||
Year ended 12-31-2017 | 4.68 | 0.08 | 0.80 | 0.88 | (0.05 | ) | (0.35 | ) | (0.40 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 5.05 | 0.04 | 0.15 | 0.19 | (0.07 | ) | (0.49 | ) | (0.56 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 5.73 | 0.07 | (0.01 | ) | 0.06 | (0.16 | ) | (0.58 | ) | (0.74 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.95 | 0.16 | 0.10 | 0.26 | (0.05 | ) | (0.43 | ) | (0.48 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 5.04 | 0.05 | 1.27 | 1.32 | (0.07 | ) | (0.34 | ) | (0.41 | ) | |||||||||||||||||||||||||
Pathfinder Conservative Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.16 | 0.09 | (0.02 | ) | 0.07 | (0.06 | ) | (0.17 | ) | (0.23 | ) | ||||||||||||||||||||||||
Year ended 12-31-2017 | 4.90 | 0.05 | 0.46 | 0.51 | (0.04 | ) | (0.21 | ) | (0.25 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 5.15 | 0.04 | 0.09 | 0.13 | (0.06 | ) | (0.32 | ) | (0.38 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 5.54 | 0.06 | (0.03 | ) | 0.03 | (0.06 | ) | (0.36 | ) | (0.42 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.77 | 0.06 | 0.12 | 0.18 | (0.06 | ) | (0.35 | ) | (0.41 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 5.33 | 0.06 | 0.70 | 0.76 | (0.08 | ) | (0.24 | ) | (0.32 | ) | |||||||||||||||||||||||||
Pathfinder Moderate Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.40 | 0.11 | (0.01 | ) | 0.10 | (0.08 | ) | (0.24 | ) | (0.32 | ) | ||||||||||||||||||||||||
Year ended 12-31-2017 | 5.02 | 0.07 | 0.64 | 0.71 | (0.04 | ) | (0.29 | ) | (0.33 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 5.34 | 0.04 | 0.13 | 0.17 | (0.07 | ) | (0.42 | ) | (0.49 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 5.87 | 0.07 | (0.02 | ) | 0.05 | (0.10 | ) | (0.48 | ) | (0.58 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 6.14 | 0.10 | 0.14 | 0.24 | (0.07 | ) | (0.44 | ) | (0.51 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 5.33 | 0.07 | 1.02 | 1.09 | (0.07 | ) | (0.21 | ) | (0.28 | ) | |||||||||||||||||||||||||
Pathfinder Moderately Aggressive Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.59 | 0.12 | 0.01 | 0.13 | (0.10 | ) | (0.27 | ) | (0.37 | ) | |||||||||||||||||||||||||
Year ended 12-31-2017 | 5.14 | 0.09 | 0.74 | 0.83 | (0.05 | ) | (0.33 | ) | (0.38 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 5.50 | 0.04 | 0.17 | 0.21 | (0.09 | ) | (0.48 | ) | (0.57 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 6.14 | 0.09 | (0.06 | ) | 0.03 | (0.14 | ) | (0.53 | ) | (0.67 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 6.38 | 0.14 | 0.14 | 0.28 | (0.07 | ) | (0.45 | ) | (0.52 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 5.45 | 0.07 | 1.19 | 1.26 | (0.07 | ) | (0.26 | ) | (0.33 | ) | |||||||||||||||||||||||||
Pathfinder Moderately Conservative Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.32 | 0.10 | 0.00 | * | 0.10 | (0.07 | ) | (0.22 | ) | (0.29 | ) | ||||||||||||||||||||||||
Year ended 12-31-2017 | 4.99 | 0.06 | 0.56 | 0.62 | (0.04 | ) | (0.25 | ) | (0.29 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 5.30 | 0.04 | 0.10 | 0.14 | (0.07 | ) | (0.38 | ) | (0.45 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 5.80 | 0.07 | (0.03 | ) | 0.04 | (0.09 | ) | (0.45 | ) | (0.54 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 6.03 | 0.08 | 0.14 | 0.22 | (0.06 | ) | (0.39 | ) | (0.45 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 5.41 | 0.06 | 0.87 | 0.93 | (0.08 | ) | (0.23 | ) | (0.31 | ) | |||||||||||||||||||||||||
Pathfinder Moderate - Managed Volatility Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.78 | 0.12 | (0.03 | ) | 0.09 | (0.06 | ) | (0.17 | ) | (0.23 | ) | ||||||||||||||||||||||||
Year ended 12-31-2017 | 5.25 | 0.06 | 0.65 | 0.71 | (0.03 | ) | (0.15 | ) | (0.18 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 5.37 | 0.03 | 0.06 | 0.09 | (0.03 | ) | (0.18 | ) | (0.21 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 5.39 | 0.05 | (0.07 | ) | (0.02 | ) | — | — | — | ||||||||||||||||||||||||||
Year ended 12-31-2014 | 5.37 | 0.06 | 0.14 | 0.20 | (0.03 | ) | (0.15 | ) | (0.18 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013(4) | 5.00 | (0.01 | ) | 0.38 | 0.37 | — | — | * | — | * | |||||||||||||||||||||||||
Pathfinder Moderately Aggressive - Managed Volatility Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.66 | 0.12 | (0.03 | ) | 0.09 | (0.07 | ) | (0.18 | ) | (0.25 | ) | ||||||||||||||||||||||||
Year ended 12-31-2017 | 5.06 | 0.07 | 0.71 | 0.78 | (0.02 | ) | (0.16 | ) | (0.18 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 5.25 | 0.03 | 0.09 | 0.12 | (0.05 | ) | (0.26 | ) | (0.31 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 5.29 | 0.06 | (0.10 | ) | (0.04 | ) | — | — | — | ||||||||||||||||||||||||||
Year ended 12-31-2014 | 5.41 | 0.09 | 0.11 | 0.20 | (0.07 | ) | (0.25 | ) | (0.32 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013(4) | 5.00 | (0.02 | ) | 0.43 | 0.41 | — | — | * | — | * | |||||||||||||||||||||||||
Pathfinder Moderately Conservative - Managed Volatility Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.55 | 0.10 | (0.02 | ) | 0.08 | (0.05 | ) | (0.17 | ) | (0.22 | ) | ||||||||||||||||||||||||
Year ended 12-31-2017 | 5.10 | 0.05 | 0.53 | 0.58 | (0.02 | ) | (0.11 | ) | (0.13 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 5.23 | 0.02 | 0.04 | 0.06 | (0.03 | ) | (0.16 | ) | (0.19 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 5.27 | 0.04 | (0.07 | ) | (0.03 | ) | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.31 | 0.04 | 0.11 | 0.15 | (0.03 | ) | (0.16 | ) | (0.19 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013(4) | 5.00 | (0.02 | ) | 0.33 | 0.31 | — | — | * | — | * |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value. Total returns do not reflect a sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | For the period from August 1, 2013 (commencement of operations of the Portfolio) through December 31, 2013. |
(5) | Ratios of expenses to average net assets excluding offering costs was 0.26%. |
(6) | Ratios of expenses to average net assets excluding offering costs was 0.29%. |
(7) | Ratios of expenses to average net assets excluding offering costs was 0.33%. |
(8) | Ratios of expenses to average net assets excluding offering costs was 0.36%. |
(9) | Ratios of expenses to average net assets excluding offering costs was 0.35%. |
(10) | Portfolio turnover is calculated at the portfolio level. Percentage indicated was calculated for the period ended December 31, 2013. |
118 | SEMIANNUAL REPORT | 2018 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||
Pathfinder Aggressive Class II Shares | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | $ | 5.00 | 3.99 | % | $ | 72 | 0.10 | %(3) | 4.76 | %(3) | 44 | % | ||||||||||||||||||
Year ended 12-31-2017 | 5.16 | 19.83 | 76 | 0.07 | 1.68 | 20 | ||||||||||||||||||||||||
Year ended 12-31-2016 | 4.68 | 4.80 | 75 | 0.08 | 0.88 | 23 | ||||||||||||||||||||||||
Year ended 12-31-2015 | 5.05 | 0.34 | 85 | 0.07 | 1.36 | 13 | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.73 | 4.86 | 85 | 0.07 | 2.73 | 28 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 5.95 | 27.13 | 86 | 0.07 | 0.96 | 38 | ||||||||||||||||||||||||
Pathfinder Conservative Class II Shares | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.00 | 1.52 | 106 | 0.08 | (3) | 3.42 | (3) | 31 | ||||||||||||||||||||||
Year ended 12-31-2017 | 5.16 | 10.51 | 109 | 0.06 | 1.06 | 30 | ||||||||||||||||||||||||
Year ended 12-31-2016 | 4.90 | 2.84 | 114 | 0.07 | 0.71 | 26 | ||||||||||||||||||||||||
Year ended 12-31-2015 | 5.15 | 0.45 | 117 | 0.06 | 1.09 | 17 | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.54 | 3.39 | 122 | 0.06 | 1.13 | 30 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 5.77 | 14.75 | 121 | 0.07 | 1.15 | 66 | ||||||||||||||||||||||||
Pathfinder Moderate Class II Shares | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.18 | 1.93 | 819 | 0.04 | (3) | 4.21 | (3) | 30 | ||||||||||||||||||||||
Year ended 12-31-2017 | 5.40 | 14.70 | 877 | 0.03 | 1.30 | 22 | ||||||||||||||||||||||||
Year ended 12-31-2016 | 5.02 | 3.65 | 860 | 0.03 | 0.78 | 19 | ||||||||||||||||||||||||
Year ended 12-31-2015 | 5.34 | 0.32 | 893 | 0.03 | 1.22 | 13 | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.87 | 4.24 | 928 | 0.03 | 1.69 | 24 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 6.14 | 20.83 | 922 | 0.03 | 1.15 | 39 | ||||||||||||||||||||||||
Pathfinder Moderately Aggressive Class II Shares | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.35 | 2.33 | 996 | 0.03 | (3) | 4.46 | (3) | 33 | ||||||||||||||||||||||
Year ended 12-31-2017 | 5.59 | 16.72 | 1,052 | 0.03 | 1.66 | 20 | ||||||||||||||||||||||||
Year ended 12-31-2016 | 5.14 | 4.52 | 1,020 | 0.04 | 0.85 | 17 | ||||||||||||||||||||||||
Year ended 12-31-2015 | 5.50 | 0.06 | 1,054 | 0.03 | 1.50 | 12 | ||||||||||||||||||||||||
Year ended 12-31-2014 | 6.14 | 4.61 | 1,098 | 0.03 | 2.30 | 23 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 6.38 | 23.81 | 1,089 | 0.03 | 1.15 | 33 | ||||||||||||||||||||||||
Pathfinder Moderately Conservative Class II Shares | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.13 | 1.99 | 236 | 0.06 | (3) | 3.79 | (3) | 27 | ||||||||||||||||||||||
Year ended 12-31-2017 | 5.32 | 12.77 | 251 | 0.05 | 1.22 | 24 | ||||||||||||||||||||||||
Year ended 12-31-2016 | 4.99 | 3.10 | 261 | 0.05 | 0.80 | 16 | ||||||||||||||||||||||||
Year ended 12-31-2015 | 5.30 | 0.33 | 272 | 0.04 | 1.20 | 16 | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.80 | 3.88 | 291 | 0.04 | 1.43 | 27 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 6.03 | 17.71 | 300 | 0.05 | 1.09 | 46 | ||||||||||||||||||||||||
Pathfinder Moderate - Managed Volatility Class II Shares | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.64 | 1.43 | 622 | 0.23 | (3) | 4.06 | (3) | 24 | ||||||||||||||||||||||
Year ended 12-31-2017 | 5.78 | 13.80 | 600 | 0.23 | 1.07 | 21 | ||||||||||||||||||||||||
Year ended 12-31-2016 | 5.25 | 1.81 | 511 | 0.24 | 0.55 | 14 | ||||||||||||||||||||||||
Year ended 12-31-2015 | 5.37 | -0.43 | 396 | 0.24 | 0.88 | 7 | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.39 | 3.75 | 203 | 0.28 | (5) | 1.06 | 23 | |||||||||||||||||||||||
Year ended 12-31-2013(4) | 5.37 | 7.50 | 34 | 0.58 | (3)(6) | -0.57 | (3) | 18 | (10) | |||||||||||||||||||||
Pathfinder Moderately Aggressive - Managed Volatility Class II Shares | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.50 | 1.75 | 92 | 0.28 | (3) | 4.16 | (3) | 31 | ||||||||||||||||||||||
Year ended 12-31-2017 | 5.66 | 15.70 | 92 | 0.27 | 1.38 | 19 | ||||||||||||||||||||||||
Year ended 12-31-2016 | 5.06 | 2.36 | 78 | 0.31 | 0.56 | 12 | ||||||||||||||||||||||||
Year ended 12-31-2015 | 5.25 | -0.71 | 67 | 0.30 | 1.13 | 7 | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.29 | 3.91 | 43 | 0.41 | (7) | 1.74 | 32 | |||||||||||||||||||||||
Year ended 12-31-2013(4) | 5.41 | 8.27 | 10 | 1.04 | (3)(8) | -1.03 | (3) | 15 | (10) | |||||||||||||||||||||
Pathfinder Moderately Conservative - Managed Volatility Class II Shares | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.41 | 1.36 | 75 | 0.30 | (3) | 3.57 | (3) | 24 | ||||||||||||||||||||||
Year ended 12-31-2017 | 5.55 | 11.84 | 74 | 0.27 | 0.96 | 26 | ||||||||||||||||||||||||
Year ended 12-31-2016 | 5.10 | 1.21 | 67 | 0.30 | 0.49 | 11 | ||||||||||||||||||||||||
Year ended 12-31-2015 | 5.23 | -0.52 | 54 | 0.30 | 0.78 | 9 | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.27 | 3.06 | 31 | 0.47 | (8) | 0.76 | 36 | |||||||||||||||||||||||
Year ended 12-31-2013(4) | 5.31 | 6.29 | 10 | 0.98 | (3)(9) | -0.97 | (3) | 21 | (10) |
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 119 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY VIP |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | |||||||||||||||||||||||||||||
Asset Strategy Class I Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | $ | 9.37 | $ | 0.10 | $ | 0.07 | $ | 0.17 | $ | (0.01 | ) | $ | — | $ | (0.01 | ) | |||||||||||||||||||
Year ended 12-31-2017(5) | 8.57 | 0.08 | 0.88 | 0.96 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 9.37 | 0.08 | 0.08 | 0.16 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2017 | 8.04 | 0.03 | 1.44 | 1.47 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2016 | 8.30 | 0.06 | (0.27 | ) | (0.21 | ) | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||||||||
Year ended 12-31-2015 | 10.87 | 0.08 | (0.77 | ) | (0.69 | ) | (0.04 | ) | (1.84 | ) | (1.88 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 13.25 | 0.11 | (0.78 | ) | (0.67 | ) | (0.06 | ) | (1.65 | ) | (1.71 | ) | |||||||||||||||||||||||
Year ended 12-31-2013 | 10.73 | 0.10 | 2.57 | 2.67 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||||||||||
Balanced Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 7.95 | 0.06 | 0.07 | 0.13 | (0.13 | ) | (0.12 | ) | (0.25 | ) | |||||||||||||||||||||||||
Year ended 12-31-2017 | 7.47 | 0.12 | 0.70 | 0.82 | (0.12 | ) | (0.22 | ) | (0.34 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 8.76 | 0.11 | 0.00 | * | 0.11 | (0.12 | ) | (1.28 | ) | (1.40 | ) | ||||||||||||||||||||||||
Year ended 12-31-2015 | 10.19 | 0.12 | (0.09 | ) | 0.03 | (0.09 | ) | (1.37 | ) | (1.46 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 10.46 | 0.09 | 0.64 | 0.73 | (0.10 | ) | (0.90 | ) | (1.00 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 9.37 | 0.10 | 2.01 | 2.11 | (0.15 | ) | (0.87 | ) | (1.02 | ) | |||||||||||||||||||||||||
Core Equity Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 12.30 | 0.03 | 0.62 | 0.65 | (0.06 | ) | (0.98 | ) | (1.04 | ) | |||||||||||||||||||||||||
Year ended 12-31-2017 | 10.67 | 0.05 | 2.09 | 2.14 | (0.05 | ) | (0.46 | ) | (0.51 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 11.75 | 0.05 | 0.32 | 0.37 | (0.05 | ) | (1.40 | ) | (1.45 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 14.18 | 0.05 | (0.06 | ) | (0.01 | ) | (0.05 | ) | (2.37 | ) | (2.42 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 15.13 | 0.05 | 1.24 | 1.29 | (0.08 | ) | (2.16 | ) | (2.24 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 12.38 | 0.07 | 3.88 | 3.95 | (0.07 | ) | (1.13 | ) | (1.20 | ) | |||||||||||||||||||||||||
Corporate Bond Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.35 | 0.07 | (0.22 | ) | (0.15 | ) | (0.11 | ) | (0.01 | ) | (0.12 | ) | |||||||||||||||||||||||
Year ended 12-31-2017 | 5.27 | 0.12 | 0.08 | 0.20 | (0.08 | ) | (0.04 | ) | (0.12 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 5.20 | 0.12 | 0.09 | 0.21 | (0.13 | ) | (0.01 | ) | (0.14 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 5.34 | 0.10 | (0.09 | ) | 0.01 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||||||||
Year ended 12-31-2014 | 5.49 | 0.13 | 0.10 | 0.23 | (0.21 | ) | (0.17 | ) | (0.38 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 5.90 | 0.14 | (0.26 | ) | (0.12 | ) | (0.20 | ) | (0.09 | ) | (0.29 | ) | |||||||||||||||||||||||
Energy Class I Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.87 | (0.01 | ) | 0.24 | 0.23 | — | — | — | |||||||||||||||||||||||||||
Year ended 12-31-2017(5) | 5.84 | 0.06 | 0.02 | 0.08 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.87 | (0.01 | ) | 0.24 | 0.23 | — | — | — | |||||||||||||||||||||||||||
Year ended 12-31-2017 | 6.77 | 0.04 | (0.90 | ) | (0.86 | ) | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||||||||
Year ended 12-31-2016 | 5.04 | (0.02 | ) | 1.76 | 1.74 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 6.51 | 0.00 | * | (1.44 | ) | (1.44 | ) | — | * | (0.03 | ) | (0.03 | ) | ||||||||||||||||||||||
Year ended 12-31-2014 | 7.50 | (0.01 | ) | (0.73 | ) | (0.74 | ) | — | (0.25 | ) | (0.25 | ) | |||||||||||||||||||||||
Year ended 12-31-2013 | 5.89 | (0.02 | ) | 1.65 | 1.63 | — | (0.02 | ) | (0.02 | ) | |||||||||||||||||||||||||
Global Bond Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 4.96 | 0.08 | (0.16 | ) | (0.08 | ) | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||||||
Year ended 12-31-2017 | 4.89 | 0.15 | 0.06 | 0.21 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2016 | 4.74 | 0.16 | 0.17 | 0.33 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2015 | 5.05 | 0.19 | (0.31 | ) | (0.12 | ) | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.16 | 0.19 | (0.18 | ) | 0.01 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 5.07 | 0.15 | (0.06 | ) | 0.09 | — | — | — | |||||||||||||||||||||||||||
Global Equity Income Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 8.58 | 0.09 | (0.39 | ) | (0.30 | ) | (0.14 | ) | (0.64 | ) | (0.78 | ) | |||||||||||||||||||||||
Year ended 12-31-2017 | 7.79 | 0.13 | 1.03 | 1.16 | (0.10 | ) | (0.27 | ) | (0.37 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 7.82 | 0.11 | 0.40 | 0.51 | (0.10 | ) | (0.44 | ) | (0.54 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 9.05 | 0.09 | (0.23 | ) | (0.14 | ) | (0.11 | ) | (0.98 | ) | (1.09 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 9.04 | 0.12 | 0.71 | 0.83 | (0.10 | ) | (0.72 | ) | (0.82 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 7.24 | 0.10 | 2.01 | 2.11 | (0.13 | ) | (0.18 | ) | (0.31 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value. Total returns do not reflect a sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | Annualized. |
(5) | For the period from April 28, 2017 (commencement of operations of the Portfolio) through December 31, 2017. |
(6) | Portfolio turnover is calculated at the portfolio level. Percentage indicated was calculated for the period ended December 31, 2017. |
.
120 | SEMIANNUAL REPORT | 2018 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income (Loss) to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income (Loss) to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||
Asset Strategy Class I Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | $ | 9.53 | 1.85 | % | $ | — | * | 0.76 | %(4) | 2.04 | %(4) | — | % | — | % | 31 | % | |||||||||||||||||||||||
Year ended 12-31-2017(5) | 9.37 | 11.16 | — | * | 0.74 | (4) | 1.30 | (4) | — | — | 39 | (6) | ||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 9.52 | 1.73 | 870 | 1.01 | (4) | 1.77 | (4) | — | — | 31 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 9.37 | 18.27 | 936 | 1.02 | 0.35 | — | — | 39 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 8.04 | -2.57 | 954 | 1.01 | 0.70 | 1.02 | 0.69 | 68 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 8.30 | -8.35 | 1,268 | 0.98 | 0.81 | 0.99 | 0.80 | 70 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 10.87 | -5.26 | 1,600 | 0.97 | 0.94 | 0.98 | 0.93 | 130 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 13.25 | 25.13 | 1,704 | 0.97 | 0.82 | 0.98 | 0.81 | 64 | ||||||||||||||||||||||||||||||||
Balanced Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 7.83 | 1.61 | 346 | 1.02 | (4) | 1.50 | (4) | — | — | 26 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 7.95 | 11.37 | 362 | 1.01 | 1.54 | — | — | 48 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 7.47 | 2.03 | 361 | 1.01 | 1.53 | — | — | 54 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 8.76 | -0.32 | 383 | 1.00 | 1.28 | — | — | 44 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 10.19 | 7.57 | 415 | 1.01 | 0.90 | — | — | 43 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 10.46 | 23.70 | 418 | 1.01 | 0.99 | — | — | 38 | ||||||||||||||||||||||||||||||||
Core Equity Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 11.91 | 5.32 | 736 | 0.95 | (4) | 0.51 | (4) | 1.01 | 0.45 | 33 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 12.30 | 20.75 | 445 | 0.95 | 0.42 | 1.00 | 0.37 | 78 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 10.67 | 3.74 | 420 | 0.95 | 0.45 | 1.01 | 0.39 | 75 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 11.75 | -0.69 | 454 | 0.95 | 0.38 | 1.00 | 0.33 | 60 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 14.18 | 9.68 | 505 | 0.95 | 0.34 | 1.00 | 0.29 | 57 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 15.13 | 33.51 | 500 | 0.96 | 0.55 | 1.01 | 0.50 | 70 | ||||||||||||||||||||||||||||||||
Corporate Bond Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 5.08 | -2.91 | 534 | 0.78 | (4) | 2.69 | (4) | — | — | 15 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 5.35 | 4.01 | 548 | 0.78 | 2.32 | — | — | 66 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 5.27 | 4.03 | 416 | 0.79 | 2.17 | — | — | 84 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 5.20 | 0.20 | 280 | 0.78 | 1.87 | — | — | 59 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 5.34 | 4.34 | 310 | 0.78 | 2.43 | — | — | 28 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 5.49 | -2.09 | 314 | 0.78 | 2.50 | — | — | 48 | ||||||||||||||||||||||||||||||||
Energy Class I Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 6.10 | 3.99 | — | * | 0.94 | (4) | -0.18 | (4) | 0.95 | (4) | -0.19 | (4) | 20 | |||||||||||||||||||||||||||
Year ended 12-31-2017(5) | 5.87 | 1.55 | — | * | 0.92 | (4) | 1.70 | (4) | — | — | 22 | (6) | ||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 6.10 | 3.86 | 176 | 1.19 | (4) | -0.43 | (4) | — | — | 20 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 5.87 | -12.64 | 169 | 1.19 | 0.75 | — | — | 22 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 6.77 | 34.55 | 196 | 1.19 | -0.27 | — | — | 31 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 5.04 | -22.14 | 117 | 1.20 | 0.08 | — | — | 34 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 6.51 | -10.56 | 118 | 1.18 | -0.10 | — | — | 21 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 7.50 | 27.76 | 99 | 1.23 | -0.24 | — | — | 33 | ||||||||||||||||||||||||||||||||
Global Bond Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 4.74 | -1.65 | 22 | 0.60 | (4) | 3.24 | (4) | 1.22 | (4) | 2.62 | (4) | 20 | ||||||||||||||||||||||||||||
Year ended 12-31-2017 | 4.96 | 4.27 | 23 | 0.50 | 3.08 | 1.12 | 2.46 | — | * | |||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 4.89 | 7.04 | 22 | 0.50 | 3.28 | 1.13 | 2.65 | 18 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 4.74 | -2.65 | 20 | 0.51 | 3.80 | 1.14 | 3.17 | 26 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 5.05 | 0.18 | 19 | 0.48 | 3.69 | 1.11 | 3.06 | 37 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 5.16 | 1.74 | 16 | 0.63 | 3.00 | 1.26 | 2.37 | 26 | ||||||||||||||||||||||||||||||||
Global Equity Income Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 7.50 | -3.83 | 326 | 1.01 | (4) | 2.05 | (4) | — | — | 64 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 8.58 | 15.56 | 527 | 1.00 | 1.60 | — | — | 35 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 7.79 | 6.95 | 509 | 1.01 | 1.43 | — | — | 59 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 7.82 | -2.06 | 515 | 1.00 | 1.14 | — | — | 50 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 9.05 | 9.84 | 511 | 1.00 | 1.33 | — | — | 42 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 9.04 | 29.61 | 484 | 1.00 | 1.23 | — | — | 53 |
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 121 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY VIP |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | |||||||||||||||||||||||||||||
Global Growth Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | $ | 9.87 | $ | 0.03 | $ | 0.55 | $ | 0.58 | $ | (0.05 | ) | $ | (0.62 | ) | $ | (0.67 | ) | ||||||||||||||||||
Year ended 12-31-2017 | 8.14 | 0.04 | 1.93 | 1.97 | — | * | (0.24 | ) | (0.24 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 8.68 | 0.01 | (0.28 | ) | (0.27 | ) | (0.02 | ) | (0.25 | ) | (0.27 | ) | |||||||||||||||||||||||
Year ended 12-31-2015 | 8.84 | 0.02 | 0.31 | 0.33 | (0.04 | ) | (0.45 | ) | (0.49 | ) | |||||||||||||||||||||||||
Year ended 12-31-2014 | 9.81 | 0.09 | 0.01 | 0.10 | (0.21 | ) | (0.86 | ) | (1.07 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 8.46 | 0.09 | 1.51 | 1.60 | (0.08 | ) | (0.17 | ) | (0.25 | ) | |||||||||||||||||||||||||
Government Money Market Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 1.00 | 0.01 | 0.00 | 0.01 | (0.01 | ) | — | * | (0.01 | ) | |||||||||||||||||||||||||
Year ended 12-31-2017 | 1.00 | 0.01 | 0.00 | * | 0.01 | (0.01 | ) | — | * | (0.01 | ) | ||||||||||||||||||||||||
Year ended 12-31-2016 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | * | — | * | ||||||||||||||||||||||
Year ended 12-31-2015 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | |||||||||||||||||||||||
Year ended 12-31-2014 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | |||||||||||||||||||||||
Year ended 12-31-2013 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | |||||||||||||||||||||||
Growth Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 12.09 | 0.00 | * | 1.23 | 1.23 | — | * | (1.43 | ) | (1.43 | ) | ||||||||||||||||||||||||
Year ended 12-31-2017 | 10.30 | 0.01 | 2.84 | 2.85 | (0.03 | ) | (1.03 | ) | (1.06 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 11.42 | 0.03 | 0.03 | 0.06 | — | * | (1.18 | ) | (1.18 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 12.08 | 0.00 | * | 0.85 | 0.85 | (0.01 | ) | (1.50 | ) | (1.51 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 13.33 | 0.01 | 1.28 | 1.29 | (0.06 | ) | (2.48 | ) | (2.54 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 10.63 | 0.03 | 3.65 | 3.68 | (0.05 | ) | (0.93 | ) | (0.98 | ) | |||||||||||||||||||||||||
High Income Class I Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 3.65 | 0.11 | (0.05 | ) | 0.06 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||||||||||
Year ended 12-31-2017(5) | 3.73 | 0.16 | (0.03 | ) | 0.13 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 3.64 | 0.11 | (0.06 | ) | 0.05 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||||||||
Year ended 12-31-2017 | 3.61 | 0.23 | 0.01 | 0.24 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2016 | 3.35 | 0.24 | 0.28 | 0.52 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2015 | 3.85 | 0.26 | (0.48 | ) | (0.22 | ) | (0.24 | ) | (0.04 | ) | (0.28 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 4.00 | 0.25 | (0.17 | ) | 0.08 | (0.20 | ) | (0.03 | ) | (0.23 | ) | ||||||||||||||||||||||||
Year ended 12-31-2013 | 3.80 | 0.27 | 0.12 | 0.39 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||||||||||
International Core Equity Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 18.58 | 0.23 | (0.69 | ) | (0.46 | ) | (0.28 | ) | (0.49 | ) | (0.77 | ) | |||||||||||||||||||||||
Year ended 12-31-2017 | 15.30 | 0.23 | 3.29 | 3.52 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2016 | 15.53 | 0.24 | (0.11 | ) | 0.13 | (0.20 | ) | (0.16 | ) | (0.36 | ) | ||||||||||||||||||||||||
Year ended 12-31-2015 | 18.00 | 0.20 | (0.06 | ) | 0.14 | (0.24 | ) | (2.37 | ) | (2.61 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 19.75 | 0.24 | 0.10 | 0.34 | (0.51 | ) | (1.58 | ) | (2.09 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 16.07 | 0.27 | 3.70 | 3.97 | (0.29 | ) | — | (0.29 | ) | ||||||||||||||||||||||||||
Limited Term Bond Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 4.88 | 0.04 | (0.06 | ) | (0.02 | ) | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||||
Year ended 12-31-2017 | 4.89 | 0.08 | (0.01 | ) | 0.07 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 4.87 | 0.08 | 0.01 | 0.09 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2015 | 4.90 | 0.06 | (0.02 | ) | 0.04 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||||
Year ended 12-31-2014 | 4.89 | 0.07 | (0.02 | ) | 0.05 | (0.03 | ) | (0.01 | ) | (0.04 | ) | ||||||||||||||||||||||||
Year ended 12-31-2013 | 4.92 | 0.05 | (0.08 | ) | (0.03 | ) | — | — | * | — | * | ||||||||||||||||||||||||
Micro Cap Growth Class I Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 22.46 | (0.09 | ) | 5.03 | 4.94 | — | — | — | |||||||||||||||||||||||||||
Year ended 12-31-2017(5) | 21.13 | (0.09 | ) | 1.49 | 1.40 | — | (0.07 | ) | (0.07 | ) | |||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 22.42 | (0.12 | ) | 5.02 | 4.90 | — | — | — | |||||||||||||||||||||||||||
Year ended 12-31-2017 | 20.66 | (0.20 | ) | 2.03 | 1.83 | — | (0.07 | ) | (0.07 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 20.62 | (0.19 | ) | 2.37 | 2.18 | — | (2.14 | ) | (2.14 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 26.73 | (0.26 | ) | (1.69 | ) | (1.95 | ) | — | (4.16 | ) | (4.16 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 31.78 | (0.32 | ) | (0.66 | ) | (0.98 | ) | — | (4.07 | ) | (4.07 | ) | |||||||||||||||||||||||
Year ended 12-31-2013 | 21.13 | (0.31 | ) | 12.05 | 11.74 | — | (1.09 | ) | (1.09 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value. Total returns do not reflect a sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | Annualized. |
(5) | For the period from April 28, 2017 (commencement of operations of the Portfolio) through December 31, 2017. |
(6) | Portfolio turnover is calculated at the portfolio level. Percentage indicated was calculated for the period ended December 31, 2017. |
.
122 | SEMIANNUAL REPORT | 2018 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income (Loss) to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income (Loss) to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||
Global Growth Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | $ | 9.78 | 5.80 | % | $ | 160 | 1.13 | %(4) | 0.53 | %(4) | 1.18 | %(4) | 0.48 | %(4) | 20 | % | ||||||||||||||||||||||||
Year ended 12-31-2017 | 9.87 | 24.52 | 424 | 1.14 | 0.47 | 1.17 | 0.44 | 54 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 8.14 | -3.04 | 408 | 1.13 | 0.09 | 1.16 | 0.06 | 71 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 8.68 | 3.39 | 507 | 1.14 | 0.23 | 1.17 | 0.20 | 54 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 8.84 | 0.96 | 431 | 1.13 | 0.93 | 1.16 | 0.90 | 65 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 9.81 | 19.23 | 419 | 1.14 | 1.06 | 1.17 | 1.03 | 49 | ||||||||||||||||||||||||||||||||
Government Money Market Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 1.00 | 0.64 | 317 | 0.40 | (4) | 1.29 | (4) | 0.41 | (4) | 1.28 | (4) | — | ||||||||||||||||||||||||||||
Year ended 12-31-2017 | 1.00 | 0.59 | 317 | 0.41 | 0.56 | 0.42 | 0.55 | — | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 1.00 | 0.13 | 414 | 0.45 | 0.13 | 0.46 | 0.12 | — | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 1.00 | 0.02 | 539 | 0.20 | 0.02 | 0.45 | -0.23 | — | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 1.00 | 0.02 | 512 | 0.15 | 0.02 | 0.45 | -0.28 | — | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 1.00 | 0.02 | 605 | 0.19 | 0.02 | 0.45 | -0.24 | — | ||||||||||||||||||||||||||||||||
Growth Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 11.89 | 10.35 | 787 | 1.00 | (4) | -0.04 | (4) | — | — | 17 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 12.09 | 29.34 | 883 | 0.99 | 0.05 | — | — | 41 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 10.30 | 1.22 | 835 | 0.98 | 0.26 | 1.00 | 0.24 | 53 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 11.42 | 7.17 | 897 | 0.96 | 0.03 | 0.99 | — | 30 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 12.08 | 11.81 | 871 | 0.96 | 0.10 | 0.99 | 0.07 | 26 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 13.33 | 36.46 | 1,201 | 0.96 | 0.30 | 0.99 | 0.27 | 43 | ||||||||||||||||||||||||||||||||
High Income Class I Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 3.47 | 1.66 | 50 | 0.66 | (4) | 6.20 | (4) | 0.66 | (4) | 6.20 | (4) | 23 | ||||||||||||||||||||||||||||
Year ended 12-31-2017(5) | 3.65 | 3.42 | 56 | 0.66 | (4) | 6.53 | (4) | — | — | 52 | (6) | |||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 3.46 | 1.53 | 863 | 0.91 | (4) | 5.96 | (4) | — | — | 23 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 3.64 | 6.68 | 887 | 0.91 | 6.22 | — | — | 52 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 3.61 | 16.19 | 845 | 0.89 | 6.97 | 0.92 | 6.94 | 36 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 3.35 | -6.50 | 725 | 0.89 | 7.01 | 0.92 | 6.98 | 44 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 3.85 | 1.90 | 818 | 0.88 | 6.31 | 0.91 | 6.28 | 55 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 4.00 | 10.50 | 689 | 0.88 | 6.99 | 0.93 | 6.94 | 84 | ||||||||||||||||||||||||||||||||
International Core Equity Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 17.35 | -2.74 | 785 | 1.16 | (4) | 2.47 | (4) | — | — | 22 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 18.58 | 23.16 | 835 | 1.16 | 1.33 | — | — | 59 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 15.30 | 1.08 | 736 | 1.17 | 1.60 | — | — | 77 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 15.53 | -0.94 | 675 | 1.16 | 1.18 | — | — | 87 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 18.00 | 1.44 | 656 | 1.16 | 1.28 | — | — | 102 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 19.75 | 24.91 | 672 | 1.16 | 1.51 | — | — | 92 | ||||||||||||||||||||||||||||||||
Limited Term Bond Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 4.78 | -0.48 | 594 | 0.80 | (4) | 1.85 | (4) | — | — | 32 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 4.88 | 1.40 | 443 | 0.80 | 1.62 | — | — | 55 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 4.89 | 1.94 | 395 | 0.81 | 1.53 | — | — | 60 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 4.87 | 0.87 | 385 | 0.80 | 1.31 | — | — | 44 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 4.90 | 0.97 | 474 | 0.80 | 1.38 | — | — | 34 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 4.89 | -0.54 | 437 | 0.82 | 1.14 | — | — | 25 | ||||||||||||||||||||||||||||||||
Micro Cap Growth Class I Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 27.40 | 21.99 | 1 | 1.11 | (4) | -0.75 | (4) | 1.12 | (4) | -0.76 | (4) | 17 | ||||||||||||||||||||||||||||
Year ended 12-31-2017(5) | 22.46 | 6.62 | — | * | 1.05 | (4) | -0.64 | (4) | — | — | 37 | (6) | ||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 27.32 | 21.84 | 85 | 1.36 | (4) | -0.98 | (4) | — | — | 17 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 22.42 | 8.83 | 72 | 1.32 | -0.90 | — | — | 37 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 20.66 | 13.29 | 63 | 1.34 | -1.01 | — | — | 45 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 20.62 | -9.16 | 59 | 1.33 | -1.11 | — | — | 79 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 26.73 | -1.74 | 72 | 1.32 | -1.16 | — | — | 51 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 31.78 | 57.28 | 79 | 1.34 | -1.19 | — | — | 61 |
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 123 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY VIP |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | |||||||||||||||||||||||||||||
Mid Cap Growth Class I Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | $ | 11.63 | $ | (0.01 | ) | $ | 1.34 | $ | 1.33 | $ | — | $ | (0.60 | ) | $ | (0.60 | ) | ||||||||||||||||||
Year ended 12-31-2017(5) | 10.30 | 0.00 | * | 1.64 | 1.64 | — | (0.31 | ) | (0.31 | ) | |||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 11.61 | (0.02 | ) | 1.33 | 1.31 | — | (0.58 | ) | (0.58 | ) | |||||||||||||||||||||||||
Year ended 12-31-2017 | 9.44 | (0.04 | ) | 2.52 | 2.48 | — | (0.31 | ) | (0.31 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 9.42 | (0.01 | ) | 0.55 | 0.54 | — | (0.52 | ) | (0.52 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 10.84 | (0.01 | ) | (0.52 | ) | (0.53 | ) | — | (0.89 | ) | (0.89 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 10.72 | (0.04 | ) | 0.82 | 0.78 | — | (0.66 | ) | (0.66 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 8.54 | (0.04 | ) | 2.54 | 2.50 | — | (0.32 | ) | (0.32 | ) | |||||||||||||||||||||||||
Natural Resources Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 4.63 | 0.02 | (0.12 | ) | (0.10 | ) | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||||||||
Year ended 12-31-2017 | 4.50 | 0.00 | * | 0.14 | 0.14 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 3.66 | 0.01 | 0.86 | 0.87 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2015 | 4.72 | 0.02 | (1.08 | ) | (1.06 | ) | — | * | — | — | * | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.43 | 0.01 | (0.72 | ) | (0.71 | ) | — | — | — | ||||||||||||||||||||||||||
Year ended 12-31-2013 | 5.04 | 0.00 | * | 0.39 | 0.39 | — | — | — | |||||||||||||||||||||||||||
Science and Technology Class I Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 27.05 | (0.02 | ) | 2.47 | 2.45 | — | (0.08 | ) | (0.08 | ) | |||||||||||||||||||||||||
Year ended 12-31-2017(5) | 25.22 | (0.04 | ) | 4.16 | 4.12 | — | (2.30 | ) | (2.30 | ) | |||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 27.04 | (0.05 | ) | 2.47 | 2.42 | — | (0.08 | ) | (0.08 | ) | |||||||||||||||||||||||||
Year ended 12-31-2017 | 22.34 | (0.13 | ) | 7.08 | 6.95 | — | (2.25 | ) | (2.25 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 22.96 | (0.11 | ) | 0.34 | 0.23 | — | (0.85 | ) | (0.85 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 25.02 | (0.15 | ) | (0.41 | ) | (0.56 | ) | — | (1.50 | ) | (1.50 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 26.58 | (0.13 | ) | 0.74 | 0.61 | — | (2.17 | ) | (2.17 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 18.10 | (0.11 | ) | 9.89 | 9.78 | — | (1.30 | ) | (1.30 | ) | |||||||||||||||||||||||||
Securian Real Estate Securities Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 7.64 | 0.07 | (0.14 | ) | (0.07 | ) | (0.11 | ) | (0.49 | ) | (0.60 | ) | |||||||||||||||||||||||
Year ended 12-31-2017 | 8.40 | 0.11 | 0.27 | 0.38 | (0.11 | ) | (1.03 | ) | (1.14 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 8.98 | 0.10 | 0.25 | 0.35 | (0.10 | ) | (0.84 | ) | (0.94 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 9.59 | 0.10 | 0.31 | 0.41 | (0.10 | ) | (0.92 | ) | (1.02 | ) | |||||||||||||||||||||||||
Year ended 12-31-2014 | 7.90 | 0.10 | 2.20 | 2.30 | (0.09 | ) | (0.52 | ) | (0.61 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 7.89 | 0.08 | 0.02 | 0.10 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||||||||||
Small Cap Core Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 18.32 | (0.03 | ) | 1.35 | 1.32 | (0.02 | ) | (3.36 | ) | (3.38 | ) | ||||||||||||||||||||||||
Year ended 12-31-2017 | 18.34 | 0.00 | * | 2.21 | 2.21 | — | (2.23 | ) | (2.23 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 15.66 | 0.01 | 4.17 | 4.18 | (0.07 | ) | (1.43 | ) | (1.50 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 17.98 | 0.05 | (0.95 | ) | (0.90 | ) | (0.02 | ) | (1.40 | ) | (1.42 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 19.90 | (0.01 | ) | 1.19 | 1.18 | (0.02 | ) | (3.08 | ) | (3.10 | ) | ||||||||||||||||||||||||
Year ended 12-31-2013 | 16.04 | (0.01 | ) | 5.20 | 5.19 | (0.16 | ) | (1.17 | ) | (1.33 | ) | ||||||||||||||||||||||||
Small Cap Growth Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 11.63 | (0.03 | ) | 1.38 | 1.35 | (0.05 | ) | (1.86 | ) | (1.91 | ) | ||||||||||||||||||||||||
Year ended 12-31-2017 | 9.69 | (0.07 | ) | 2.27 | 2.20 | — | (0.26 | ) | (0.26 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 10.60 | (0.07 | ) | 0.23 | 0.16 | — | (1.07 | ) | (1.07 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 12.15 | (0.09 | ) | 0.51 | 0.42 | — | (1.97 | ) | (1.97 | ) | |||||||||||||||||||||||||
Year ended 12-31-2014 | 13.76 | (0.10 | ) | 0.11 | 0.01 | — | (1.62 | ) | (1.62 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 9.60 | (0.10 | ) | 4.26 | 4.16 | — | — | — | |||||||||||||||||||||||||||
Value Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 6.44 | 0.03 | (0.05 | ) | (0.02 | ) | (0.12 | ) | (0.19 | ) | (0.31 | ) | |||||||||||||||||||||||
Year ended 12-31-2017 | 5.93 | 0.11 | 0.61 | 0.72 | (0.09 | ) | (0.12 | ) | (0.21 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 6.15 | 0.08 | 0.49 | 0.57 | (0.07 | ) | (0.72 | ) | (0.79 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 7.39 | 0.06 | (0.30 | ) | (0.24 | ) | (0.06 | ) | (0.94 | ) | (1.00 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 7.82 | 0.05 | 0.71 | 0.76 | (0.09 | ) | (1.10 | ) | (1.19 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 5.97 | 0.05 | 2.03 | 2.08 | (0.05 | ) | (0.18 | ) | (0.23 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value. Total returns do not reflect a sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | Annualized. |
(5) | For the period from April 28, 2017 (commencement of operations of the Portfolio) through December 31, 2017. |
(6) | Portfolio turnover is calculated at the portfolio level. Percentage indicated was calculated for the period ended December 31, 2017. |
.
124 | SEMIANNUAL REPORT | 2018 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income (Loss) to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income (Loss) to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||
Mid Cap Growth Class I Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | $ | 12.36 | 11.50 | % | $ | 215 | 0.85 | %(4) | -0.09 | %(4) | 0.90 | %(4) | -0.14 | %(4) | 27 | % | ||||||||||||||||||||||||
Year ended 12-31-2017(5) | 11.63 | 16.44 | 131 | 0.85 | (4) | 0.05 | (4) | 0.89 | (4) | 0.01 | (4) | 25 | (6) | |||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 12.34 | 11.36 | 528 | 1.10 | (4) | -0.39 | (4) | 1.15 | (4) | -0.44 | (4) | 27 | ||||||||||||||||||||||||||||
Year ended 12-31-2017 | 11.61 | 26.89 | 585 | 1.11 | -0.39 | 1.15 | -0.43 | 25 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 9.44 | 6.12 | 615 | 1.10 | -0.09 | 1.15 | -0.14 | 33 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 9.42 | -5.78 | 586 | 1.10 | -0.07 | 1.15 | -0.12 | 42 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 10.84 | 7.87 | 557 | 1.10 | -0.34 | 1.15 | -0.39 | 43 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 10.72 | 29.94 | 426 | 1.10 | -0.36 | 1.16 | -0.42 | 35 | ||||||||||||||||||||||||||||||||
Natural Resources Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 4.52 | -2.14 | 118 | 1.22 | (4) | 0.76 | (4) | — | — | 18 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 4.63 | 2.97 | 131 | 1.36 | 0.11 | — | — | 44 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 4.50 | 23.81 | 144 | 1.36 | 0.20 | — | — | 67 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 3.66 | -22.39 | 114 | 1.35 | 0.54 | — | — | 34 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 4.72 | -13.04 | 146 | 1.33 | 0.12 | — | — | 31 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 5.43 | 7.80 | 173 | 1.35 | -0.02 | — | — | 134 | ||||||||||||||||||||||||||||||||
Science and Technology Class I Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 29.42 | 9.08 | 1 | 0.91 | (4) | -0.12 | (4) | — | — | 11 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017(5) | 27.04 | 17.24 | — | * | 0.90 | (4) | -0.25 | (4) | — | — | 27 | (6) | ||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 29.38 | 8.94 | 666 | 1.16 | (4) | -0.38 | (4) | — | — | 11 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 27.04 | 32.12 | 645 | 1.15 | -0.51 | — | — | 27 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 22.34 | 1.54 | 514 | 1.15 | -0.52 | 1.17 | -0.54 | 16 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 22.96 | -2.88 | 582 | 1.13 | -0.60 | 1.15 | -0.62 | 25 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 25.02 | 2.91 | 586 | 1.13 | -0.51 | 1.15 | -0.53 | 29 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 26.58 | 56.39 | 570 | 1.14 | -0.49 | 1.16 | -0.51 | 51 | ||||||||||||||||||||||||||||||||
Securian Real Estate Securities Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 6.97 | -0.28 | 41 | 1.30 | (4) | 2.14 | (4) | 1.39 | (4) | 2.05 | (4) | 37 | ||||||||||||||||||||||||||||
Year ended 12-31-2017 | 7.64 | 5.39 | 43 | 1.22 | 1.38 | 1.31 | 1.29 | 73 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 8.39 | 4.26 | 49 | 1.20 | 1.26 | 1.29 | 1.17 | 79 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 8.98 | 4.78 | 47 | 1.19 | 1.10 | 1.28 | 1.01 | 57 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 9.59 | 30.17 | 52 | 1.21 | 1.16 | 1.30 | 1.07 | 81 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 7.90 | 1.13 | 40 | 1.24 | 1.01 | 1.33 | 0.92 | 43 | ||||||||||||||||||||||||||||||||
Small Cap Core Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 16.26 | 7.79 | 222 | 1.17 | (4) | -0.39 | (4) | — | — | 56 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 18.32 | 13.73 | 316 | 1.15 | 0.01 | — | — | 112 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 18.34 | 28.88 | 348 | 1.16 | 0.08 | — | — | 182 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 15.66 | -5.58 | 318 | 1.15 | 0.26 | — | — | 142 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 17.98 | 7.05 | 354 | 1.15 | -0.10 | — | — | 81 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 19.90 | 33.53 | 289 | 1.16 | -0.09 | — | — | 54 | ||||||||||||||||||||||||||||||||
Small Cap Growth Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 11.07 | 11.89 | 328 | 1.14 | (4) | -0.45 | (4) | 1.17 | (4) | -0.48 | (4) | 23 | ||||||||||||||||||||||||||||
Year ended 12-31-2017 | 11.63 | 23.12 | 377 | 1.15 | -0.69 | 1.17 | -0.71 | 55 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 9.69 | 2.92 | 426 | 1.14 | -0.79 | 1.16 | -0.81 | 107 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 10.60 | 1.88 | 430 | 1.13 | -0.76 | 1.15 | -0.78 | 102 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 12.15 | 1.59 | 426 | 1.14 | -0.80 | 1.16 | -0.82 | 85 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 13.76 | 43.36 | 560 | 1.14 | -0.84 | 1.16 | -0.86 | 74 | ||||||||||||||||||||||||||||||||
Value Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2018 (unaudited) | 6.11 | -0.26 | 516 | 1.01 | (4) | 0.89 | (4) | — | — | 22 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 6.44 | 12.49 | 432 | 1.00 | 1.74 | — | — | 67 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 5.93 | 11.14 | 379 | 1.02 | 1.38 | 1.03 | 1.37 | 54 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 6.15 | -3.91 | 384 | 0.99 | 0.91 | 1.00 | 0.90 | 74 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 7.39 | 10.94 | 416 | 1.00 | 0.72 | 1.01 | 0.71 | 76 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 7.82 | 35.34 | 372 | 1.00 | 0.76 | 1.01 | 0.75 | 63 |
See Accompanying Notes to Financial Statements.
2018 | SEMIANNUAL REPORT | 125 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS | IVY VIP |
JUNE 30, 2018 (UNAUDITED)
1. | ORGANIZATION |
Ivy Variable Insurance Portfolios, a Delaware statutory trust (the “Trust”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is divided into 29 series (each a “Portfolio”). Effective April 30, 2018, Advantus Real Estate Securities, Bond and Dividend Opportunities changed names to Securian Real Estate Securities, Corporate Bond and Global Equity Income, respectively. The assets belonging to each Portfolio, except Pathfinder Aggressive, Pathfinder Conservative, Pathfinder Moderate, Pathfinder Moderately Aggressive and Pathfinder Moderately Conservative (collectively, the “Pathfinder Portfolios”) and Pathfinder Moderate – Managed Volatility, Pathfinder Moderately Aggressive – Managed Volatility and Pathfinder Moderately Conservative – Managed Volatility (collectively, the “Managed Volatility Portfolios”), are held separately by the custodian. The assets belonging to each Pathfinder Portfolio and Managed Volatility Portfolio are held separately by the transfer agent for the underlying funds and the custodian. The investment objective, policies and risk factors of each Portfolio are described more fully in the Prospectus and Statement of Additional Information (“SAI”). Each Portfolio’s investment adviser is Ivy Investment Management Company (“IICO”).
Each Portfolio offers Class II shares. Asset Strategy, Energy, High Income, Micro Cap Growth, Mid Cap Growth and Science and Technology also offer Class I shares. All classes of shares have identical rights and voting privileges with respect to the Portfolio in general and exclusive voting rights on matters that affect that class alone. Net investment income, net assets and net asset value per share (“NAV”) may differ due to each class having its own expenses, such as transfer agent and shareholder servicing fees, directly attributable to that class. Class II shares have a distribution and service plan. Class I shares are not included in the plan.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by each Portfolio.
Security Transactions and Related Investment Income. Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Realized gains and losses are calculated on the identified cost basis. Interest income is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Portfolio is informed of the ex-dividend date. All or a portion of the distributions received from a real estate investment trust or publicly traded partnership may be designated as a reduction of cost of the related investment or realized gain.
Foreign Currency Translation. Each Portfolio’s accounting records are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies are translated into U.S. dollars daily, using foreign exchange rates obtained from an independent pricing service approved by the Board of Trustees of the Trust (the “Board”). Purchases and sales of investment securities and accruals of income and expenses are translated at the rate of exchange prevailing on the date of the transaction. For assets and liabilities other than investments in securities, net realized and unrealized gains and losses from foreign currency translation arise from changes in currency exchange rates. Each Portfolio combines fluctuations from currency exchange rates and fluctuations in value when computing net realized gain (loss) and net change in unrealized appreciation (depreciation) on investments. Foreign exchange rates are typically valued as of the close of the New York Stock Exchange (“NYSE”), normally 4:00 P.M. Eastern time, on each day the NYSE is open for trading.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders are recorded by each Portfolio on the business day following record date. Net investment income dividends and capital gains distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America (“U.S. GAAP”). If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a tax return of capital.
Income Taxes. It is the policy of each Portfolio to distribute all of its taxable income and capital gains to its shareholders and to otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. In addition, each Portfolio intends to pay distributions as required to avoid imposition of excise tax. Accordingly, no provision has been made for Federal income taxes. The Portfolios file income tax returns in U.S. federal and applicable state jurisdictions. The Portfolios’ tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax returns. Management of the Trust periodically reviews all tax positions to assess whether it is more likely than not that the position would be sustained upon examination by the
126 | SEMIANNUAL REPORT | 2018 |
Table of Contents
relevant tax authority based on the technical merits of each position. As of the date of these financial statements, management believes that no liability for unrecognized tax positions is required.
Segregation and Collateralization. In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”), the Dodd Frank Wall Street Reform and Consumer Protection Act, or the interpretive rules and regulations of the U.S. Commodities Futures Trading Commission require that a Portfolio either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, financial futures contracts, foreign currency exchange contracts, options written, securities with extended settlement periods, and swaps), the Portfolio will segregate collateral or designate on its books and records, cash or other liquid securities having a value at least equal to the amount that is required to be physically segregated for the benefit of the counterparty. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party has requirements to deliver/deposit cash or securities as collateral for certain investments. Certain countries require that cash reserves be held while investing in companies incorporated in that country. These cash reserves and cash collateral that has been pledged to cover obligations of the Portfolios under derivative contracts, if any, will be reported separately on the Statement of Assets and Liabilities as “Restricted cash”. Securities collateral pledged for the same purpose, if any, is noted on the Schedule of Investments.
Concentration of Market and Credit Risk. In the normal course of business, the Portfolios invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Portfolios may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Portfolios; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Portfolios may be exposed to counterparty credit risk, or the risk that an entity with which the Portfolios have unsettled or open transactions may fail to or be unable to perform on its commitments. The Portfolios manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Portfolios to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Portfolios’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded on the Portfolios’ Statement of Assets and Liabilities, less any collateral held by the Portfolios.
Certain Portfolios may hold high-yield or non-investment-grade bonds, that may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Portfolios may acquire securities in default and are not obligated to dispose of securities whose issuers subsequently default.
Certain Portfolios may enter into financial instrument transactions (such as swaps, futures, options and other derivatives) that may have off-balance sheet market risk. Off-balance sheet market risk exists when the maximum potential loss on a particular financial instrument is greater than the value of such financial instrument, as reflected on the Statement of Assets and Liabilities.
If a Portfolio invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in financial derivatives that provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Portfolio, or, in the case of hedging positions, that the Portfolio’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad.
Inflation-Indexed Bonds. Certain Portfolios may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statement of Operations, even though investors do not receive their principal until maturity.
Interest Only Obligations. These securities entitle the owner to receive only the interest portion from a bond, Treasury note or pool of mortgages. These securities are generally created by a third party separating a bond or pool of mortgages into distinct interest-only and principal-only securities. As the principal (par) amount of a bond or pool of mortgages is paid down, the amount of interest income earned by the owner will decline as well.
Loans. Certain Portfolios may invest in loans, the interest rates of which float or adjust periodically based upon a specified adjustment schedule, benchmark indicator, or prevailing interest rates, the debtor of which may be a domestic or foreign corporation, partnership or other entity (“Borrower”). Loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates generally include prime rates of
2018 | SEMIANNUAL REPORT | 127 |
Table of Contents
one or more major U.S. banks, the London Interbank Offered Rate (“LIBOR”) or certificates of deposit rates. Loans often require prepayments from excess cash flow or permit the Borrower to repay at its election. The degree to which Borrowers repay cannot be predicted with accuracy. As a result, the actual maturity may be substantially less than the stated maturities. Loans are exempt from registration under the Securities Act of 1933, as amended, may contain certain restrictions on resale, and cannot be sold publicly. A Portfolio’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties.
When a Portfolio purchases assignments, it acquires all the rights and obligations under the loan agreement of the assigning lender. Assignments may, however, be arranged through private negotiations between potential assignees and potential assignors, and the rights and obligations acquired by the purchaser of an assignment may differ from, and be more limited than those held by the assigning lender. When a Portfolio purchases a participation of a loan interest, the Portfolio typically enters into a contractual agreement with the lender or other third party selling the participation. A participation interest in loans includes the right to receive payments of principal, interest and any fees to which it is entitled from the lender and only upon receipt by the lender of payments from the Borrower, but not from the Borrower directly. When investing in a participation interest, if a Borrower is unable to meet its obligations under a loan agreement, a Portfolio generally has no direct right to enforce compliance with the terms of the loan agreement. As a result, the Portfolio assumes the credit risk of the Borrower, the selling participant, and any other persons that are interpositioned between the Portfolio and the Borrower. If the lead lender in a typical lending syndicate becomes insolvent, enters Federal Deposit Insurance Corporation (“FDIC”) receivership or, if not FDIC insured, enters into bankruptcy, the Portfolio may incur certain costs and delays in receiving payment or may suffer a loss of principal and interest.
Payment In-Kind Securities. Certain Portfolios may invest in payment in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in cash or in additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statement of Assets and Liabilities.
Securities on a When-Issued or Delayed Delivery Basis. Certain Portfolios may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by a Portfolio on a when-issued basis normally take place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of a Portfolio’s NAV to the extent the Portfolio executes such transactions while remaining substantially fully invested. When a Portfolio engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Portfolio to lose the opportunity to obtain or dispose of the security at a price and yield IICO, or the Portfolio’s investment subadviser, as applicable, consider advantageous. The Portfolio maintains internally designated assets with a value equal to or greater than the amount of its purchase commitments. The Portfolio may also sell securities that it purchased on a when-issued or delayed delivery basis prior to settlement of the original purchase.
Custodian Fees. “Custodian fees” on the Statement of Operations may include interest expense incurred by a Portfolio on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. A Portfolio pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by that Portfolio. The “Earnings credit” line item, if shown, represents earnings on cash balances maintained by that Portfolio during the period. Such interest expense and other custodian fees may be paid with these earnings.
Indemnification. The Trust’s organizational documents provide current and former Trustees and Officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Trust. In the normal course of business, the Trust may also enter into contracts that provide general indemnification. The Trust’s maximum exposure under these arrangements is unknown and is dependent on future claims that may be made against the Trust. The risk of material loss from such claims is considered remote.
Basis of Preparation. Each Portfolio is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 (“ASC 946”). The accompanying financial statements were prepared in accordance with U.S. GAAP, including but not limited to ASC 946. U.S. GAAP requires the use of estimates made by management. Management believes that estimates and valuations are appropriate; however, actual results may differ from those estimates, and the valuations reflected in the accompanying financial statements may differ from the value ultimately realized upon sale or maturity.
Subsequent Events. Management has performed a review for subsequent events through the date this report was issued.
128 | SEMIANNUAL REPORT | 2018 |
Table of Contents
3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
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. Each Portfolio calculates the NAV of its shares as of the close of the NYSE, normally 4:00 P.M. Eastern time, on each day the NYSE is open for trading.
For purposes of calculating the NAV, the portfolio securities and financial instruments are valued on each business day using pricing and valuation methods as adopted by the Board. Where market quotes are readily available, fair value is generally determined on the basis of the last reported sales price, or if no sales are reported, based on quotes obtained from a quotation reporting system, established market makers, or pricing services.
Prices for fixed-income securities are typically based on quotes that are obtained from an independent pricing service approved by the Board. To determine values of fixed-income securities, the independent pricing service utilizes such factors as current quotations by broker/dealers, coupon, maturity, quality, type of issue, trading characteristics, and other yield and risk factors it deems relevant in determining valuations. Securities that cannot be valued by the independent pricing service may be valued using quotes obtained from dealers that make markets in the securities.
Investments in Government Money Market are valued on the basis of amortized cost (which approximates value), whereby a portfolio security is valued at its cost initially, and thereafter valued to reflect a constant amortization to maturity of any discount or premium. Short-term securities with maturities of 60 days or less held in all Portfolios (with the exception of Government Money Market) are valued based on quotes that are obtained from an independent pricing service approved by the Board as described in the preceding paragraph above.
Because many foreign markets close before the NYSE, events may occur between the close of the foreign market and the close of the NYSE that could have a material impact on the valuation of foreign securities. Waddell & Reed Services Company (“WRSCO”), pursuant to procedures adopted by the Board, evaluates the impact of these events and may adjust the valuation of foreign securities to reflect the fair value as of the close of the NYSE. In addition, all securities for which values are not readily available or are deemed unreliable are appraised at fair value as determined in good faith under the supervision of the Board.
Where market quotes are not readily available, portfolio securities or financial instruments are valued at fair value, as determined in good faith by the Board or Valuation Committee pursuant to procedures approved by the Board.
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE close, that materially affect the values of a Portfolio’s securities or financial instruments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available.
The Board has delegated to WRSCO the responsibility for monitoring significant events that may materially affect the values of a Portfolio’s securities or financial instruments and for determining whether the value of the applicable securities or financial instruments should be re-evaluated in light of such significant events. The Board has established a Valuation Committee to administer and oversee the valuation process, including the use of third party pricing vendors.
The Board has adopted methods for valuing securities and financial instruments in circumstances where market quotes are not readily available. For instances in which daily market quotes are not readily available, investments may be valued, pursuant to procedures established by the Board, with reference to other securities or indices. In the event that the security or financial instrument cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or financial instrument will be determined in good faith by the Valuation Committee in accordance with the procedures adopted by the Board.
When a Portfolio uses these fair valuation methods applied by WRSCO that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Board or persons acting at its direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. The prices used by a Portfolio may differ from the value that will ultimately be realized at the time the securities are sold.
WRSCO is responsible for monitoring the implementation of the pricing and valuation policies through a series of activities to provide reasonable comfort of the accuracy of prices including: 1) periodic vendor due diligence meetings to review methodologies, new developments, and process at vendors, 2) daily and monthly multi-source pricing comparisons reviewed and submitted to the Valuation Committee, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by management and the Valuation Committee.
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
2018 | SEMIANNUAL REPORT | 129 |
Table of Contents
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.
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 input 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 its direction that are used in determining the fair value of investments.
A description of the valuation techniques applied to the Portfolios’ major classes of assets and liabilities measured at fair value on a recurring basis follows:
Asset-Backed Securities and Mortgage-Backed Securities. The fair value of asset-backed securities and mortgage-backed securities are estimated using recently executed transactions and based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, and otherwise they would be categorized as Level 3.
Bullion. The fair value of bullion is at the last settlement price at the end of each day on the board of trade or exchange upon which they are traded and are categorized in Level 1 of the fair value hierarchy.
Corporate Bonds. The fair value of corporate bonds, as obtained from an independent pricing service, is estimated using various techniques, which consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (where observable), bond spreads, fundamental data relating to the issuer, and credit default swap spreads adjusted for any basis difference between cash and derivative instruments. While most corporate bonds are categorized in Level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they are categorized in Level 3 of the fair value hierarchy.
Derivative Instruments. Forward foreign currency contracts are valued based upon the closing prices of the forward currency rates determined at the close of the NYSE, are provided by an independent pricing service. Swaps derive their value from underlying asset prices, indices, reference rates and other inputs or a combination of these factors. Swaps are valued by an independent pricing service unless the price is unavailable, in which case they are valued at the price provided by a dealer in that security. Futures contracts traded on an exchange are generally valued at the settlement price. Listed options are ordinarily valued at the mean of the last bid and ask price provided by an independent pricing service unless the price is unavailable, in which case they are valued at a quotation obtained from a broker-dealer. Over the counter (“OTC”) options are ordinarily valued at the mean of the last bid and ask price provided by an independent pricing service for a comparable listed option unless such a price is unavailable, in which case they are valued at a quotation obtained from a broker-dealer. If no comparable listed option exists from which to obtain a price from an independent pricing service and a quotation cannot be obtained from a broker-dealer, the OTC option will be valued using a model reasonably designed to provide a current market price.
Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. OTC derivative contracts include forward foreign currency contracts, swap agreements, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices. Depending on the product and the terms of the transaction, the fair value of the OTC derivative products are modeled taking into account the counterparties’ creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets, as is the case with interest rate swap and option contracts. OTC derivative products valued using pricing models with significant observable inputs are categorized within Level 2 of the fair value hierarchy.
130 | SEMIANNUAL REPORT | 2018 |
Table of Contents
Equity Securities. Equity securities traded on U.S. or foreign securities exchanges or included in a national market system are valued at the official closing price at the close of each business day unless otherwise stated below. OTC equity securities and listed securities for which no price is readily available are valued at the average of the last bid and ask prices.
Mutual funds, including investment funds, typically are valued at the NAV reported as of the valuation date.
Securities that are stated at the last reported sales price or closing price on the day of valuation taken from the primary exchange where the security is principally traded and to the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy.
Foreign securities, for which the primary trading market closes at the same time or after the NYSE, are valued based on quotations from the primary market in which they are traded and categorized in Level 1. Because many foreign securities markets and exchanges close prior to the close of the NYSE, closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intra-day trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange-traded funds, and the movement of certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Loans. Loans are valued using a price or composite price from one or more brokers or dealers as obtained from an independent pricing service. The fair value of loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources. Loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable in which case they would be categorized as Level 3.
Municipal Bonds. Municipal bonds are fair valued based on pricing models used by and obtained from an independent pricing service that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-wants lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Overdraft due to custodian. Due to the short-term nature of overdraft due to custodian, the carrying value approximates fair value and the liability is categorized as Level 2 in the fair value hierarchy.
Restricted Securities. Restricted securities that are deemed to be Rule 144A securities and illiquid, as well as restricted securities held in non-public entities, are included in Level 3 of the fair value hierarchy to the extent that significant inputs to valuation are unobservable, because they trade infrequently, if at all and, therefore, the inputs are unobservable. Restricted securities that are valued at a discount to similar publicly traded securities may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety; otherwise they may be categorized as Level 3.
U.S. Government and Agency Securities. U.S. government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, U.S. government and agency securities are normally categorized in Level 2 of the fair value hierarchy depending on the liquidity and transparency of the market.
Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information. Transfers between levels represent the values as of the beginning of the reporting period.
For fair valuations using unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the Notes to the Schedule of Investments for each respective Portfolio.
Net realized gain (loss) and net unrealized appreciation (depreciation), shown on the reconciliation of Level 3 investments, if applicable, are included on the Statement of Operations in net realized gain (loss) on investments in unaffiliated and/or affiliated securities and in net change in unrealized appreciation (depreciation) on investments in unaffiliated and/or affiliated securities, respectively. Additionally, the net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of June 30, 2018, if applicable, is included on the Statement of Operations in net change in unrealized appreciation (depreciation) on investments in unaffiliated and/or affiliated securities.
2018 | SEMIANNUAL REPORT | 131 |
Table of Contents
4. | DERIVATIVE INSTRUMENTS ($ amounts in thousands unless indicated otherwise) |
The following disclosures contain information on why and how the Portfolios use derivative instruments, the associated risks of investing in derivative instruments, and how derivative instruments affect the Portfolios’ financial positions and results of operations when presented by primary underlying risk exposure.
Forward Foreign Currency Contracts. Each Portfolio, other than Government Money Market and the Pathfinder Portfolios, may enter into forward foreign currency contracts (“forward contracts”) for the purchase or sale of a foreign currency at a negotiated rate at a future date. Forward contracts are reported on a schedule following the Schedule of Investments. Forward contracts will be valued daily based upon the closing prices of the forward currency rates provided by an independent pricing service determined at the close of the NYSE as provided by a bank, dealer or independent pricing service. The resulting unrealized appreciation and depreciation is reported on the Statement of Assets and Liabilities as a receivable or payable and on the Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) on the Statement of Operations.
Risks to a Portfolio related to the use of such contracts include both market and credit risk. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. Credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, a Portfolio’s maximum loss will consist of the aggregate unrealized gain on appreciated contracts that is not collateralized.
Core Equity, High Income and Natural Resources enter into forward foreign currency exchange contracts to obtain exposure to, or hedge exposure away from foreign currencies (foreign currency exchange rate risk).
Futures Contracts. Each Portfolio, other than Government Money Market and the Pathfinder Portfolios, may engage in buying and selling futures contracts. Upon entering into a futures contract, the Portfolio is required to deposit, in a segregated account, an amount equal to a varying specified percentage of the contract amount. This amount is known as the initial margin. Subsequent payments (variation margins) are made or received by the Portfolio each day, dependent on the daily fluctuations in the value of the underlying debt security or index.
Futures contracts are reported on a schedule following the Schedule of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are identified on the Schedule of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted on the Statement of Assets and Liabilities. The net change in unrealized appreciation (depreciation) is reported on the Statement of Operations. Realized gains (losses) are reported on the Statement of Operations at the closing or expiration of futures contracts.
Risks of entering into futures contracts include the possibility of loss of securities or cash held as collateral, that there may be an illiquid market where the Portfolio is unable to close the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Portfolio’s securities.
Pathfinder Moderate — Managed Volatility, Pathfinder Moderately Aggressive — Managed Volatility and Pathfinder Moderately Conservative — Managed Volatility invest in long and/or short positions in futures contracts to gain exposure to, or economically hedge against changes in the value of equity securities (equity risk). Core Equity, Global Growth and Small Cap Core invest in long positions in futures contracts to gain exposure to changes in the value of equity securities (equity risk).
Option Contracts. Options purchased by a Portfolio are accounted for in the same manner as portfolio securities. The cost of instruments acquired through the exercise of call options is increased by the premium paid to purchase the call. The proceeds from instruments sold through the exercise of put options are decreased by the premium paid to purchase the put.
When a Portfolio writes (sells) an option, an amount equal to the premium received by the Portfolio is recorded as a liability. The amount of the liability is subsequently adjusted to reflect the current value of the option written. When an option expires on its stipulated expiration date or a Portfolio enters into a closing purchase transaction, the Portfolio realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the call option was sold), and the liability related to such option is extinguished. When a written call option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining whether a Portfolio has realized a gain or loss. When a written put is exercised, the cost basis of the instruments purchased by a Portfolio is reduced by the amount of the premium received.
Investments in options, whether purchased or written, involve certain risks. Writing put options and purchasing call options may increase a Portfolio’s exposure to the underlying instrument. With written options, there may be times when a Portfolio will be required to purchase or sell instruments to meet its obligation under the option contract where the required action is not beneficial to the Portfolio, due to unfavorable movement of the market price of the underlying instrument.
132 | SEMIANNUAL REPORT | 2018 |
Table of Contents
Additionally, to the extent a Portfolio enters into OTC option transactions with counterparties, the Portfolio will be exposed to the risk that counterparties to these OTC transactions will be unable to meet their obligations under the terms of the transaction.
Asset Strategy purchases and writes call and put options to increase exposure to various equity markets or certain sectors and/or, in the case of options written, to generate returns from options premiums. Mid Cap Growth purchases and writes call and put options to increase or decrease hedging exposure to underlying instruments (equity risk), increase exposure to various equity markets or certain sectors, gain exposure to or facilitate trading in certain securities and/or, in the case of options written, to generate returns from options premiums. Science and Technology purchases and writes call and put options to increase or decrease hedging exposure to underlying instruments (equity risk) and increase exposure to various equity markets or certain sectors. Value writes call and put options to generate returns from options premiums.
Swap Agreements. Each Portfolio, other than Government Money Market and the Pathfinder Portfolios, may invest in swap agreements. Swaps are marked to market daily and changes in value are recorded as unrealized appreciation (depreciation) on the Statement of Operations. Payments received or made by the Portfolio are recorded as realized gain or loss on the Statement of Operations. Any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as swap premiums paid and swap premiums received, respectively, if any, on the Statement of Assets and Liabilities and amortized over the term of the swap. A liquidation payment received or made at the termination or maturity of the swap is recorded as realized gain or loss on the Statement of Operations.
Total return swaps involve a commitment to pay or receive periodic interest payments in exchange for a market-linked return based on a security or a basket of securities including a variety of securities or representing a particular index. To the extent the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Portfolio will receive a payment from or make a payment to the counterparty.
Asset Strategy, Global Equity Income, Global Growth, Mid Cap Growth, Small Cap Growth and Value enter into total return swaps to hedge exposure to a security or market.
The creditworthiness of the counterparty with which a Portfolio enters into a swap agreement is monitored by IICO. If a firm’s creditworthiness declines, the value of the agreement would likely decline, potentially resulting in losses. If a default occurs by the counterparty to such a transaction, the Portfolio will have contractual remedies pursuant to the agreement related to the transaction. The maximum loss a Portfolio may incur consists of the aggregate unrealized gain on appreciated contracts that is not collateralized.
Collateral and rights of offset. A Portfolio may mitigate credit risk with respect to OTC derivative counterparties through credit support annexes (“CSA”) included with an International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreement which is the standard contract governing most derivative transactions between the Portfolio and each of its counterparties. The CSA allows the Portfolio and its counterparty to offset certain derivative financial instruments’ payables and/or receivables against each other with collateral, which is generally held by the Portfolio’s custodian or broker. The amount of collateral moved to/from applicable counterparties is based upon minimum transfer amounts specified in the CSA. To the extent amounts due to the Portfolio from its counterparties are not fully collateralized contractually or otherwise, the Portfolio bears the risk of loss from counterparty non-performance. See Note 2 “Segregation and Collateralization” for additional information with respect to collateral practices.
Offsetting of Assets and Liabilities. The following tables present financial instruments that are either (1) offset or (2) subject to an enforceable master netting arrangement or similar agreement as of June 30, 2018:
Assets
Gross Amounts Not Offset on the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||
Portfolio | Gross Amounts of Recognized Assets | Gross Amounts Offset on the Statement of Assets and Liabilities | Net Amounts of Assets Presented on the Statement of Assets and Liabilities | Financial Instruments and Derivatives Available for Offset | Non-Cash Collateral Received | Cash Collateral Received | Net Amount Receivable | |||||||||||||||||||||
Core Equity | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts(1) | $ | 776 | $ | — | $ | 776 | $ | — | $ | — | $ | — | $ | 776 | ||||||||||||||
High Income | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts(1) | $ | 279 | $ | — | $ | 279 | $ | — | $ | — | $ | (195 | ) | $ | 84 |
2018 | SEMIANNUAL REPORT | 133 |
Table of Contents
Gross Amounts Not Offset on the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||
Portfolio | Gross Amounts of Recognized Assets | Gross Amounts Offset on the Statement of Assets and Liabilities | Net Amounts of Assets Presented on the Statement of Assets and Liabilities | Financial Instruments and Derivatives Available for Offset | Non-Cash Collateral Received | Cash Collateral Received | Net Amount Receivable | |||||||||||||||||||||
Mid Cap Growth | ||||||||||||||||||||||||||||
Investments in unaffiliated securities at value* | $ | 8 | $ | — | $ | 8 | $ | — | $ | — | $ | — | $ | 8 | ||||||||||||||
Natural Resources | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts(1) | $ | 821 | $ | — | $ | 821 | $ | (5 | ) | $ | (816 | ) | $ | — | $ | — | ||||||||||||
Science and Technology | ||||||||||||||||||||||||||||
Investments in unaffiliated securities at value* | $ | 209 | $ | — | $ | 209 | $ | (108 | ) | $ | — | $ | — | $ | 101 |
*Purchased options are reported as investments in unaffiliated securities on the Statement of Assets and Liabilities.
(1) Amounts include forward contracts that have an offset to an open and close contract, but have not settled. These amounts are included on the Statement of Assets and Liabilities line item for Investment securities sold receivable.
Liabilities
Gross Amounts Not Offset on the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||
Portfolio | Gross Amounts of Recognized Liabilities | Gross Amounts Offset on the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented on the Statement of Assets and Liabilities | Financial Instruments and Derivatives Available for Offset | Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount Payable | |||||||||||||||||||||
Natural Resources | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts(1) | $ | 5 | $ | — | $ | 5 | $ | (5 | ) | $ | — | $ | — | $ | — | |||||||||||||
Science and Technology | ||||||||||||||||||||||||||||
Written options at value | $ | 110 | $ | — | $ | 110 | $ | (110 | ) | $ | — | $ | — | $ | — | |||||||||||||
Small Cap Growth | ||||||||||||||||||||||||||||
Swap agreements, at value | $ | 20 | $ | — | $ | 20 | $ | — | $ | (20 | ) | $ | — | $ | — |
(1) | Amounts include forward contracts that have an offset to an open and close contract, but have not settled. These amounts are included on the Statement of Assets and Liabilities line item for Investment securities purchased payable. |
Additional Disclosure Related to Derivative Instruments
Fair values of derivative instruments as of June 30, 2018:
Assets | Liabilities | |||||||||||||||||
Portfolio | Type of Risk Exposure | Statement of Assets & Liabilities Location | Value | Statement of Assets & Liabilities Location | Value | |||||||||||||
Pathfinder Moderate – Managed Volatility | Equity | Unrealized appreciation on futures contracts* | $ | 159 | $ | — | ||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | Equity | Unrealized appreciation on futures contracts* | 18 | — | ||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | Equity | Unrealized appreciation on futures contracts* | 16 | — |
134 | SEMIANNUAL REPORT | 2018 |
Table of Contents
Assets | Liabilities | |||||||||||||||||
Portfolio | Type of Risk Exposure | Statement of Assets & Liabilities Location | Value | Statement of Assets & Liabilities Location | Value | |||||||||||||
Core Equity | Foreign currency | Unrealized appreciation on forward foreign currency contracts | $ | 699 | $ | — | ||||||||||||
High Income | Foreign currency | Unrealized appreciation on forward foreign currency contracts | 61 | — | ||||||||||||||
Mid Cap Growth | Equity | Investments in unaffiliated securities at value** | 8 | Written options at value | 3 | |||||||||||||
Natural Resources | Foreign currency | Unrealized appreciation on forward foreign currency contracts | 811 | — | ||||||||||||||
Science and Technology | Equity | Investments in unaffiliated securities at value** | 209 | Written options at value | 110 | |||||||||||||
Small Cap Growth | Equity | — | Swap agreements, at value | 20 | ||||||||||||||
Value | Equity | — | Written options at value | 174 |
* The value presented includes cumulative gain (loss) on open futures contracts; however, the value reflected on the accompanying Statement of Assets and Liabilities is only the unsettled variation margin receivable (payable) as of June 30, 2018.
** Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
Amount of realized gain (loss) on derivatives recognized on the Statement of Operations for the period ended June 30, 2018:
Net realized gain (loss) on: | ||||||||||||||||||||||||||
Portfolio | Type of Risk Exposure | Investments in unaffiliated securities* | Swap agreements | Futures contracts | Written options | Forward foreign currency contracts | Total | |||||||||||||||||||
Pathfinder Moderate – Managed Volatility | Equity | $ | — | $ | — | $ | (2,409 | ) | $ | — | $ | — | $ | (2,409 | ) | |||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | Equity | — | — | (459 | ) | — | — | (459 | ) | |||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | Equity | — | — | (376 | ) | — | — | (376 | ) | |||||||||||||||||
Asset Strategy | Equity | (280 | ) | (282 | ) | — | 133 | — | (429 | ) | ||||||||||||||||
Core Equity | Equity | — | — | 1,362 | — | — | 1,362 | |||||||||||||||||||
Foreign currency | — | — | — | — | (491 | ) | (491 | ) | ||||||||||||||||||
Global Equity Income | Equity | — | (223 | ) | — | — | — | (223 | ) | |||||||||||||||||
Global Growth | Equity | — | (346 | ) | 204 | — | — | (142 | ) | |||||||||||||||||
High Income | Foreign currency | — | — | — | — | (29 | ) | (29 | ) | |||||||||||||||||
Mid Cap Growth | Equity | 46 | (2,209 | ) | — | 195 | — | (1,968 | ) | |||||||||||||||||
Natural Resources | Foreign currency | — | — | — | — | (628 | ) | (628 | ) | |||||||||||||||||
Science and Technology | Equity | (512 | ) | — | — | (325 | ) | — | (837 | ) | ||||||||||||||||
Small Cap Core | Equity | — | — | 498 | — | — | 498 | |||||||||||||||||||
Small Cap Growth | Equity | — | 1,508 | — | — | — | 1,508 | |||||||||||||||||||
Value | Equity | — | (451 | ) | — | 239 | — | (212 | ) |
* Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
2018 | SEMIANNUAL REPORT | 135 |
Table of Contents
Change in unrealized appreciation (depreciation) on derivatives recognized on the Statement of Operations for the period ended June 30, 2018:
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||
Portfolio | Type of Risk Exposure | Investments in unaffiliated securities* | Swap agreements | Futures contracts | Written options | Forward foreign currency contracts | Total | |||||||||||||||||||
Pathfinder Moderate – Managed Volatility | Equity | $ | — | $ | — | $ | 159 | $ | — | $ | — | $ | 159 | |||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | Equity | — | — | 23 | — | — | 23 | |||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | Equity | — | — | 21 | — | — | 21 | |||||||||||||||||||
Asset Strategy | Equity | 232 | 536 | — | (90 | ) | — | 678 | ||||||||||||||||||
Core Equity | Foreign currency | — | — | — | — | 1,005 | 1,005 | |||||||||||||||||||
High Income | Foreign currency | — | — | — | — | 81 | 81 | |||||||||||||||||||
Mid Cap Growth | Equity | (593 | ) | — | — | 94 | — | (499 | ) | |||||||||||||||||
Natural Resources | Foreign currency | — | — | — | — | 1,007 | 1,007 | |||||||||||||||||||
Science and Technology | Equity | (367 | ) | — | — | 213 | — | (154 | ) | |||||||||||||||||
Small Cap Growth | Equity | — | (378 | ) | — | — | — | (378 | ) | |||||||||||||||||
Value | Equity | — | 17 | — | 150 | — | 167 |
* Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
During the period ended June 30, 2018, the average derivative volume was as follows:
Portfolio | Forward foreign currency contracts(1) | Long futures contracts(2) | Short futures contracts(2) | Swap agreements(3) | Purchased options(2) | Written options(2) | ||||||||||||||||||||||||
Pathfinder Moderate – Managed Volatility | $ | $ | — | $ | 20,377 | $ | — | $ | — | $ | — | |||||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | — | — | 4,101 | — | — | — | ||||||||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | — | — | 3,652 | — | — | — | ||||||||||||||||||||||||
Asset Strategy | — | — | — | 4,257 | 7 | 6 | ||||||||||||||||||||||||
Core Equity | 121 | — | — | — | — | — | ||||||||||||||||||||||||
High Income | 12 | — | — | — | — | — | ||||||||||||||||||||||||
Mid Cap Growth | — | — | — | — | 79 | 20 | ||||||||||||||||||||||||
Natural Resources | 96 | — | — | — | — | — | ||||||||||||||||||||||||
Science and Technology | — | — | — | — | 107 | 414 | ||||||||||||||||||||||||
Small Cap Growth | — | — | — | 11,412 | — | — | ||||||||||||||||||||||||
Value | — | — | — | 4,672 | — | 88 |
(1) Average | absolute value of unrealized appreciation/depreciation during the period. |
(2) Average | value outstanding during the period. |
(3) Average | notional amount outstanding during the period. |
5. BASIS FOR CONSOLIDATION OF THE ASSET STRATEGY PORTFOLIO
Ivy VIP ASF II, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated as a wholly owned subsidiary acting as an investment vehicle for Ivy VIP Asset Strategy Portfolio (referred to as “the Portfolio” in this subsection). VIP ASF III (SBP), LLC (the “Company”), a Delaware limited liability company, was incorporated as a wholly owned company acting as an investment vehicle for the Portfolio. The Subsidiary and the Company act as an investment vehicle for the Portfolio, in order to effect certain investments for the Portfolio consistent with the Portfolio’s investment objectives and policies as specified in its prospectus and SAI.
The Portfolio’s investment portfolio has been consolidated and includes the portfolio holdings of the Portfolio, its Subsidiary and the Company. The consolidated financial statements include the accounts of the Portfolio, its Subsidiary and the Company. All inter-company transactions and balances have been eliminated. A subscription agreement was entered into between the Portfolio and its Subsidiary and the Company comprising the entire issued share capital of the
136 | SEMIANNUAL REPORT | 2018 |
Table of Contents
Subsidiary and the Company with the intent that the Portfolio will remain the sole shareholder and retain all rights. Under the Articles of Association, shares issued by the Subsidiary and the Company confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and the Company and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary and the Company.
See the table below for details regarding the structure, incorporation and relationship as of June 30, 2018 of the Subsidiary and the Company to the Portfolio (amounts in thousands).
Subsidiary/Company | Date of Incorporation | Subscription Agreement | Portfolio Net Assets | Subsidiary/ Company | Percentage of Portfolio Net Assets | ||||||||||||||||||||
Ivy VIP ASF II, Ltd. | 1-31-13 | 4-10-13 | $ | 870,450 | $ | 42,438 | 4.88 | % | |||||||||||||||||
VIP ASF III (SBP), LLC | 4-9-13 | 4-23-13 | 870,450 | 254 | 0.03 |
6. INVESTMENT MANAGEMENT AND PAYMENTS TO AFFILIATED PERSONS ($ amounts in thousands unless indicated otherwise)
Management Fees. IICO, a wholly owned subsidiary of Waddell & Reed, Inc. (“W&R”), serves as each Portfolio’s investment adviser. The management fee is accrued daily by each Portfolio, except the Pathfinder Portfolios, at the following annual rates as a percentage of average daily net assets:
Portfolio (M – Millions) | $0 to $500M | $500 to $1,000M | $1,000 to $1,500M | $1,500 to $2,000M | $2,000 to $3,000M | Over $3,000M | ||||||||||||||||||
Asset Strategy | 0.700 | % | 0.700 | % | 0.650 | % | 0.650 | % | 0.600 | % | 0.550 | % | ||||||||||||
Balanced | 0.700 | 0.700 | 0.650 | 0.650 | 0.600 | 0.550 | ||||||||||||||||||
Core Equity | 0.700 | 0.700 | 0.650 | 0.650 | 0.600 | 0.550 | ||||||||||||||||||
Corporate Bond | 0.475 | 0.475 | 0.450 | 0.400 | 0.400 | 0.400 | ||||||||||||||||||
Energy | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Global Bond | 0.625 | 0.600 | 0.550 | 0.500 | 0.500 | 0.500 | ||||||||||||||||||
Global Equity Income | 0.700 | 0.700 | 0.650 | 0.650 | 0.600 | 0.550 | ||||||||||||||||||
Global Growth | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Government Money Market | 0.350 | 0.350 | 0.300 | 0.300 | 0.300 | 0.300 | ||||||||||||||||||
Growth | 0.700 | 0.700 | 0.650 | 0.650 | 0.600 | 0.550 | ||||||||||||||||||
High Income | 0.625 | 0.600 | 0.550 | 0.500 | 0.500 | 0.500 | ||||||||||||||||||
International Core Equity | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Limited-Term Bond | 0.500 | 0.450 | 0.400 | 0.350 | 0.350 | 0.350 | ||||||||||||||||||
Micro Cap Growth | 0.950 | 0.950 | 0.930 | 0.930 | 0.900 | 0.860 | ||||||||||||||||||
Mid Cap Growth | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Natural Resources | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Science and Technology | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Securian Real Estate Securities | 0.900 | 0.900 | 0.870 | 0.870 | 0.840 | 0.800 | ||||||||||||||||||
Small Cap Core | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Small Cap Growth | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Value | 0.700 | 0.700 | 0.650 | 0.650 | 0.600 | 0.550 |
Each Managed Volatility Portfolio pays a management fee to IICO for providing investment advice and supervising its investments at the following annual rates as a percentage of average daily net assets:
Portfolio (M – Millions) | $0 to $500M | $500 to $1,000M | Over $1,000M | |||||||||
Pathfinder Moderate – Managed Volatility | 0.200 | % | 0.170 | % | 0.150 | % | ||||||
Pathfinder Moderately Aggressive – Managed Volatility | 0.200 | 0.170 | 0.150 | |||||||||
Pathfinder Moderately Conservative – Managed Volatility | 0.200 | 0.170 | 0.150 |
IICO uses all of the management fee it receives from the Managed Volatility Portfolios to pay Advantus Capital Management Inc. (“Advantus Capital”). Accordingly, Advantus Capital receives a fee based on the average daily net assets of the Managed Volatility Portfolios.
The Pathfinder Portfolios pay no management fees; however, IICO receives management fees from the underlying funds.
2018 | SEMIANNUAL REPORT | 137 |
Table of Contents
IICO has agreed to waive a Portfolio’s investment management fee on any Portfolio, except the Pathfinder Portfolios and Managed Volatility Portfolios, that is not subadvised on any day that the Portfolio’s net assets are less than $25 million, subject to IICO’s right to change or modify this waiver. See Expense Reimbursements and/or Waivers for more information.
IICO has entered into Subadvisory Agreements with the following entities on behalf of certain Portfolios:
Securian Asset Management, Inc. (“Securian”) serves as subadvisor to Securian Real Estate Securities. Advantus Capital serves as subadvisor to the Managed Volatility Portfolios. The subadvisors make investment decisions in accordance with the Portfolio’s investment objectives, policies and restrictions under the supervision of IICO and the Board of Trustees. IICO pays all applicable costs of the subadvisors.
Independent Trustees and Chief Compliance Officer Fees. Fees paid to the Independent Trustees can be paid in cash or deferred to a later date, at the election of the Trustees according to the Deferred Fee Agreement entered into between the Trust and the Trustee(s). Each Portfolio records its portion of the deferred fees as a liability on the Statement of Assets and Liabilities. All fees paid in cash plus any appreciation (depreciation) in the underlying deferred plan are shown on the Statement of Operations. Additionally, fees paid to the Chief Compliance Officer of the Portfolios are shown on the Statement of Operations.
Accounting Services Fees. The Trust has an Accounting and Administrative Services Agreement with Waddell & Reed Services Company (“WRSCO”), doing business as WI Services Company (“WISC”), an affiliate of W&R. Under the agreement, WISC acts as the agent in providing bookkeeping and accounting services and assistance to the Trust, including maintenance of Portfolio records, pricing of Portfolio shares and preparation of certain shareholder reports. For these services, each Portfolio (excluding Pathfinder Portfolios and Managed Volatility Portfolios) pays WISC a monthly fee of one-twelfth of the annual fee based on the average net asset levels shown in the following table:
(M – Millions) | $0 to $10M | $10 to $25M | $25 to $50M | $50 to $100M | $100 to $200M | $200 to $350M | $350 to $550M | $550 to $750M | $750 to $1,000M | Over $1,000M | ||||||||||||||||||||||||||||||
Annual Fee Rate | $ | 0.00 | $ | 11.50 | $ | 23.10 | $ | 35.50 | $ | 48.40 | $ | 63.20 | $ | 82.50 | $ | 96.30 | $ | 121.60 | $ | 148.50 |
Under the Accounting Services Agreement, each Pathfinder Portfolio and Managed Volatility Portfolio pays WISC a monthly fee of one-twelfth of the annual fee shown in the following table:
(M – Millions) | $0 to $10M | $10 to $25M | $25 to $50M | $50 to $100M | $100 to $200M | $200 to $350M | $350 to $550M | $550 to $750M | $750 to $1,000M | Over $1,000M | ||||||||||||||||||||||||||||||
Annual Fee Rate | $ | 0.00 | $ | 5.75 | $ | 11.55 | $ | 17.75 | $ | 24.20 | $ | 31.60 | $ | 41.25 | $ | 48.15 | $ | 60.80 | $ | 74.25 |
Each Portfolio also pays WISC a monthly administrative fee at the annual rate of 0.01%, or one basis point, for the first $1 billion of net assets with no fee charged for net assets in excess of $1 billion. This fee is voluntarily waived by WISC until a Portfolio’s net assets are at least $10 million and is included in “Accounting services fee” on the Statement of Operations.
Shareholder Servicing. Under the Transfer Agency Agreement between the Trust and WISC, each Portfolio reimburses WISC for certain out-of-pocket costs.
Service Plan. Class II. Under a Service Plan adopted by the Trust pursuant to Rule 12b–1 under the 1940 Act, each Portfolio, except Government Money Market, the Pathfinder Portfolios and the Managed Volatility Portfolios, may pay a service fee to W&R for Class II shares in an amount not to exceed 0.25% of the Portfolio’s average annual net assets. The fee is to be paid to compensate W&R for amounts it expends in connection with the provision of personal services to Policyowners and/or maintenance of Policyowner accounts.
Expense Reimbursements and/or Waivers. IICO, the Portfolios’ investment manager, IDI, the Portfolios’ distributor, and/or Waddell & Reed Services Company, doing business as WISC, the Portfolios’ transfer agent, have contractually agreed to reimburse sufficient management fees, 12b-1 fees and/or shareholder servicing fees to cap the total annual ordinary fund operating expenses (which would exclude interest, taxes, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses, if any). Portfolio and class expense limitations and related waivers/reimbursements for the period ended June 30, 2018 were as follows:
Portfolio Name | Share Class Name | Type of Expense Limit | Commencement Date | End Date | Expense Limit | Amount of Expense Waiver/ Reimbursement | Expense Reduced | ||||||||||||||||||||||||||||
Asset Strategy | Class I | Contractual | 4-28-2017 | 4-30-2019 | Class II less 0.25% | $ | — | * | Shareholder Servicing | ||||||||||||||||||||||||||
Core Equity | Class II | Contractual | 10-1-2016 | 4-30-2019 | 0.95% | $ | 148 | 12b-1 Fees and/or Shareholder Servicing |
138 | SEMIANNUAL REPORT | 2018 |
Table of Contents
Portfolio Name | Share Class Name | Type of Expense Limit | Commencement Date | End Date | Expense Limit | Amount of Expense Waiver/ Reimbursement | Expense Reduced | ||||||||||||||||||||||||||||
Energy | Class I | Contractual | 4-28-2017 | 4-30-2019 | Class II less 0.25% | $ | — | * | Shareholder Servicing | ||||||||||||||||||||||||||
Global Bond | Class II | Voluntary | N/A | N/A | N/A | $ | 69 | (1) | Investment Management Fee | ||||||||||||||||||||||||||
Global Growth | Class II | Contractual | 10-1-2016 | 4-30-2019 | 1.13% | $ | 88 | 12b-1 Fees and/or Shareholder Servicing | |||||||||||||||||||||||||||
Government Money Market | Class II | Voluntary | N/A | N/A | Reimbursement | $ | 11 | Investment Management Fee and/or Shareholder Servicing | |||||||||||||||||||||||||||
High Income | Class I | Contractual | 4-28-2017 | 4-30-2019 | Class II less 0.25% | $ | — | * | Shareholder Servicing | ||||||||||||||||||||||||||
Micro Cap Growth | Class I | Contractual | 4-28-2017 | 4-30-2019 | Class II less 0.25% | $ | — | * | Shareholder Servicing | ||||||||||||||||||||||||||
Mid Cap Growth | All Classes | Contractual | 4-28-2017 | 4-30-2019 | N/A | $ | 165 | (2) | Investment Management Fee | ||||||||||||||||||||||||||
Class I | Contractual | 4-28-2017 | 4-30-2019 | 0.85% | $ | 1 | Shareholder Servicing | ||||||||||||||||||||||||||||
Class I | Contractual | 4-28-2017 | 4-30-2019 | Class II less 0.25% | $ | — | N/A | ||||||||||||||||||||||||||||
Class II | Contractual | 5-1-2012 | 4-30-2019 | 1.10% | $ | 3 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||||||||||||||||||||
Science and Technology | Class I | Contractual | 4-28-2017 | 4-30-2019 | Class II less 0.25% | $ | — | N/A | |||||||||||||||||||||||||||
Securian Real Estate Securities | Class II | Contractual | 12-3-2012 | 4-30-2019 | N/A | $ | 18 | (3) | Investment Management Fee | ||||||||||||||||||||||||||
Small Cap Growth | Class II | Contractual | 10-1-2016 | 4-30-2019 | 1.14% | $ | 56 | 12b-1 Fees and/or Shareholder Servicing |
* | Not shown due to rounding. |
(1) | For Portfolios managed solely by IICO, IICO has voluntarily agreed to waive its management fee for any day that a portfolio’s net assets are less than $25 million, subject to IICO’s right to change or modify this waiver. |
(2) | Due to Class I and/or Class II contractual expense limits, investment management fees were waived for all share classes. |
(3) | The Portfolio’s investment management fee is being reduced by 0.09% of average daily net assets until April 30, 2019. |
Any amounts due to the Portfolios as a reimbursement but not paid as of June 30, 2018 are shown as a receivable from affiliates on the Statement of Assets and Liabilities.
7. | INTERFUND LENDING PROGRAM |
Pursuant to an exemptive order issued by the SEC (“Order”), the Trust (Ivy Funds, Ivy Variable Insurance Portfolios and InvestEd Portfolios; referred to with the Funds for purposes of this section as Funds) have the ability to lend money to, and borrow money from, each other pursuant to a master interfund lending agreement (“Interfund Lending Program”). Under the Interfund Lending Program, the Funds may lend or borrow money for temporary purposes directly to or from one another (each an “Interfund Loan”), subject to meeting the conditions of the Order. The interest rate to be charged on an Interfund Loan is the average of the overnight repurchase agreement rate and the short-term bank loan rate. The Funds made no Interfund Loans under the Interfund Lending Program during the period ended June 30, 2018.
2018 | SEMIANNUAL REPORT | 139 |
Table of Contents
8. | AFFILIATED COMPANY TRANSACTIONS (All amounts in thousands) |
A summary of the transactions in affiliated companies during the period ended June 30, 2018 follows:
12-31-17 Share Balance | Gross Additions | Gross Reductions | Realized Gain/(Loss)(1) | Distributions Received | 6-30-18 Share Balance | 6-30-18 Value | Net Change in (Depreciation) | |||||||||||||||||||||||||||||||||
Pathfinder Aggressive | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Corporate Bond, Class II | 1,103 | $ | 857 | $ | 661 | $ | 2 | $ | 119 | 1,144 | $ | 5,814 | $ | (286 | ) | |||||||||||||||||||||||||
Ivy VIP Core Equity, Class II | N/A | 9,054 | 95 | 1 | — | 741 | 8,826 | (133 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Equity Income, Class II | 133 | 7,912 | 203 | 76 | 22 | 1,125 | 8,444 | (403 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Growth, Class II | 899 | 735 | 9,348 | 815 | 135 | N/A | N/A | (257 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 1,223 | 1,938 | 7,123 | 2,265 | 13 | 745 | 8,858 | (748 | ) | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | 459 | 135 | 1,055 | (46 | ) | 101 | 209 | 725 | (29 | ) | ||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 725 | 1,539 | 1,284 | 279 | 443 | 730 | 12,665 | (1,066 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 717 | 5,001 | 445 | (3 | ) | 54 | 1,675 | 7,999 | (56 | ) | ||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | 550 | 437 | 776 | 520 | 36 | 503 | 6,210 | 150 | ||||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 309 | 1,080 | 5,475 | 280 | 477 | 55 | 895 | (365 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class II | 486 | 974 | 4,703 | 550 | 248 | 161 | 1,779 | (141 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 1,197 | 2,325 | 803 | 261 | 134 | 1,437 | 8,789 | (443 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 5,000 | $ | 1,782 | $ | 71,004 | $ | (3,777 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
12-31-17 Share Balance | Gross Additions | Gross Reductions | Realized Gain/(Loss)(1) | Distributions Received | 6-30-18 Share Balance | 6-30-18 Value | Net Change in Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||||||||
Pathfinder Conservative | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Corporate Bond, Class II | 2,953 | $ | 1,438 | $ | 2,151 | $ | 7 | $ | 329 | 2,817 | $ | 14,312 | $ | (786 | ) | |||||||||||||||||||||||||
Ivy VIP Core Equity, Class II | N/A | 7,926 | 85 | 1 | — | 648 | 7,726 | (116 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Equity Income, Class II | 1,285 | 1,487 | 7,354 | 638 | 224 | 547 | 4,106 | (1,052 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Growth, Class II | 435 | 477 | 4,439 | 601 | 67 | N/A | N/A | (332 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 21,446 | 1,893 | 2,123 | — | 135 | 21,216 | 21,216 | — | * | |||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 1,155 | 2,295 | 7,694 | 2,263 | 13 | 652 | 7,753 | (809 | ) | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | 371 | 1,502 | 147 | — | * | 84 | 763 | 2,644 | (61 | ) | ||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 351 | 756 | 601 | 129 | 220 | 355 | 6,159 | (521 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 4,167 | 7,605 | 2,079 | (5 | ) | 320 | 5,332 | 25,460 | (399 | ) | ||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | 235 | 2,838 | 245 | 171 | 15 | 440 | 5,435 | 110 | ||||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 149 | 612 | 2,358 | 165 | 237 | 48 | 783 | (208 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class II | 235 | 565 | 1,683 | 257 | 123 | 141 | 1,557 | (58 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 782 | 3,485 | 490 | 166 | 89 | 1,258 | 7,693 | (338 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 4,393 | $ | 1,856 | $ | 104,844 | $ | (4,570 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
140 | SEMIANNUAL REPORT | 2018 |
Table of Contents
12-31-17 Share Balance | Gross Additions | Gross Reductions | Realized Gain/(Loss)(1) | Distributions Received | 6-30-18 Share Balance | 6-30-18 Value | Net Change in Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||||||||
Pathfinder Moderate | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Corporate Bond, Class II | 14,973 | $ | 7,832 | $ | 7,117 | $ | 10 | $ | 1,633 | 15,154 | $ | 76,982 | $ | (3,895 | ) | |||||||||||||||||||||||||
Ivy VIP Core Equity, Class II | N/A | 83,212 | 1,141 | 12 | — | 6,787 | 80,854 | (1,217 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Equity Income, Class II | 15,576 | 11,534 | 60,733 | 14,503 | 2,659 | 8,591 | 64,462 | (20,003 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Growth, Class II | 7,036 | 4,428 | 68,716 | 9,483 | 1,063 | N/A | N/A | (5,139 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 86,686 | 4,294 | 7,705 | — | 536 | 83,275 | 83,275 | — | * | |||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 8,616 | 11,791 | 30,159 | 15,212 | 94 | 6,825 | 81,146 | (4,673 | ) | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | 4,193 | 1,282 | 1,348 | — | * | 933 | 4,193 | 14,531 | (686 | ) | ||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 5,676 | 7,165 | 7,622 | 2,177 | 3,487 | 5,574 | 96,682 | (8,333 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 24,824 | 50,817 | 11,415 | (52 | ) | 1,866 | 33,138 | 158,232 | (2,302 | ) | ||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | 3,039 | 22,859 | 2,637 | 2,298 | 199 | 4,604 | 56,889 | 1,325 | ||||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 1,933 | 6,127 | 30,519 | 2,250 | 3,001 | 504 | 8,197 | (2,810 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class II | 3,041 | 5,471 | 23,539 | 3,538 | 1,561 | 1,472 | 16,297 | (997 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 8,428 | 34,637 | 4,824 | 1,783 | 948 | 13,168 | 80,520 | (3,559 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 51,214 | $ | 17,980 | $ | 818,067 | $ | (52,289 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
12-31-17 Share Balance | Gross Additions | Gross Reductions | Realized Gain/(Loss)(1) | Distributions Received | 6-30-18 Share Balance | 6-30-18 Value | Net Change in Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||||||||
Pathfinder Moderately Aggressive | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Corporate Bond, Class II | 16,003 | $ | 16,686 | $ | 6,814 | $ | 17 | $ | 1,768 | 17,988 | $ | 91,380 | $ | (4,172 | ) | |||||||||||||||||||||||||
Ivy VIP Core Equity, Class II | N/A | 114,569 | 1,922 | 29 | — | 9,315 | 110,973 | (1,675 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Equity Income, Class II | 18,667 | 13,765 | 51,799 | 16,438 | 3,226 | 13,100 | 98,298 | (23,849 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Growth, Class II | 10,540 | 6,640 | 102,420 | 14,733 | 1,612 | N/A | N/A | (8,220 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 51,942 | 2,917 | 4,061 | — | 324 | 50,798 | 50,798 | — | * | |||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 12,477 | 16,990 | 49,012 | 22,868 | 138 | 9,367 | 111,376 | (7,471 | ) | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | 5,743 | 1,294 | 8,978 | (375 | ) | 1,294 | 3,654 | 12,663 | (582 | ) | ||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 8,502 | 11,882 | 10,130 | 2,890 | 5,289 | 8,499 | 147,430 | (12,311 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 20,718 | 59,495 | 8,817 | (31 | ) | 1,578 | 31,385 | 149,862 | (1,912 | ) | ||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | 4,097 | 31,808 | 3,230 | 3,066 | 271 | 6,320 | 78,087 | 1,860 | ||||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 2,605 | 8,315 | 41,032 | 3,001 | 4,097 | 692 | 11,250 | (3,755 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class II | 4,100 | 7,397 | 31,049 | 5,099 | 2,129 | 2,021 | 22,369 | (1,654 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 11,783 | 45,658 | 6,067 | 2,511 | 1,341 | 18,073 | 110,511 | (4,951 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 70,246 | $ | 23,067 | $ | 994,997 | $ | (68,692 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
2018 | SEMIANNUAL REPORT | 141 |
Table of Contents
12-31-17 Share Balance | Gross Additions | Gross Reductions | Realized Gain/(Loss)(1) | Distributions Received | 6-30-18 Share Balance | 6-30-18 Value | Net Change in Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||||||||
Pathfinder Moderately Conservative | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Corporate Bond, Class II | 5,563 | $ | 1,722 | $ | 3,230 | $ | 5 | $ | 609 | 5,279 | $ | 26,817 | $ | (1,460 | ) | |||||||||||||||||||||||||
Ivy VIP Core Equity, Class II | N/A | 20,817 | 249 | 4 | — | 1,701 | 20,264 | (305 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Equity Income, Class II | 2,974 | 2,214 | 10,694 | 2,081 | 510 | 1,845 | 13,847 | (3,196 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Growth, Class II | 1,511 | 968 | 14,913 | 1,896 | 229 | N/A | N/A | (968 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 37,241 | 1,645 | 3,108 | — | 231 | 35,778 | 35,778 | — | * | |||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 2,879 | 3,944 | 16,364 | 5,625 | 31 | 1,710 | 20,337 | (2,055 | ) | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | 1,029 | 2,100 | 332 | — | * | 230 | 1,544 | 5,351 | (168 | ) | ||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 1,219 | 1,449 | 1,638 | 369 | 752 | 1,197 | 20,768 | (1,699 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 8,379 | 14,763 | 3,581 | (18 | ) | 633 | 10,740 | 51,284 | (786 | ) | ||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | 762 | 5,672 | 650 | 530 | 50 | 1,154 | 14,258 | 379 | ||||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 484 | 1,546 | 7,690 | 529 | 755 | 126 | 2,054 | (673 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class II | 762 | 1,378 | 5,990 | 804 | 393 | 369 | 4,085 | (166 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 2,213 | 8,015 | 1,187 | 448 | 250 | 3,300 | 20,180 | (896 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 12,273 | $ | 4,673 | $ | 235,023 | $ | (11,993 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
12-31-17 Share Balance | Gross Additions | Gross Reductions | Realized Gain/(Loss)(1) | Distributions Received | 6-30-18 Share Balance | 6-30-18 Value | Net Change in Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||||||||
Pathfinder Moderate – Managed Volatility | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Corporate Bond, Class II | 9,942 | $ | 6,316 | $ | — | $ | — | $ | 1,176 | 11,188 | $ | 56,838 | $ | (2,704 | ) | |||||||||||||||||||||||||
Ivy VIP Core Equity, Class II | N/A | 60,599 | — | — | — | 5,012 | 59,711 | (888 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Equity Income, Class II | 10,339 | 9,477 | 39,805 | 6,833 | 1,908 | 6,345 | 47,610 | (10,781 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Growth, Class II | 4,672 | 3,667 | 46,710 | 5,991 | 762 | N/A | N/A | (3,061 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 57,557 | 3,926 | — | — | 376 | 61,484 | 61,484 | — | * | |||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 5,721 | 9,524 | 16,099 | 9,904 | 67 | 5,040 | 59,925 | (2,683 | ) | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | 2,784 | 1,082 | — | — | 670 | 3,096 | 10,728 | (500 | ) | |||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 3,769 | 6,297 | — | 396 | 2,504 | 4,117 | 71,407 | (4,923 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 16,483 | 38,043 | — | — | 1,343 | 24,467 | 116,826 | (1,649 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | 2,017 | 17,135 | — | 1,078 | 142 | 3,400 | 42,007 | 1,410 | ||||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 1,283 | 4,680 | 20,127 | 1,599 | 2,154 | 372 | 6,052 | (1,994 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class II | 2,019 | 4,230 | 15,150 | 2,263 | 1,117 | 1,087 | 12,033 | (524 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 5,593 | 25,878 | — | 1,090 | 678 | 9,725 | 59,464 | (2,424 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 29,154 | $ | 12,897 | $ | 604,085 | $ | (30,721 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
142 | SEMIANNUAL REPORT | 2018 |
Table of Contents
12-31-17 Share Balance | Gross Additions | Gross Reductions | Realized Gain/(Loss)(1) | Distributions Received | 6-30-18 Share Balance | 6-30-18 Value | Net Change in Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Corporate Bond, Class II | 1,379 | $ | 1,527 | $ | 318 | $ | — | * | $ | 156 | 1,620 | $ | 8,229 | $ | (363 | ) | ||||||||||||||||||||||||
Ivy VIP Core Equity, Class II | N/A | 10,144 | — | — | — | 839 | 9,995 | (149 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Equity Income, Class II | 1,608 | 1,317 | 4,590 | 1,025 | 284 | 1,180 | 8,854 | (1,672 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Growth, Class II | 908 | 655 | 9,041 | 1,146 | 142 | N/A | N/A | (576 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 4,476 | 291 | 193 | — | 29 | 4,574 | 4,574 | — | * | |||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 1,075 | 1,597 | 4,001 | 1,912 | 12 | 844 | 10,031 | (566 | ) | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | 495 | 128 | 738 | (31 | ) | 114 | 329 | 1,140 | (53 | ) | ||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 733 | 1,144 | 439 | 212 | 466 | 766 | 13,280 | (1,038 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 1,785 | 5,330 | 377 | (2 | ) | 139 | 2,826 | 13,496 | (168 | ) | ||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | 353 | 2,852 | 135 | 219 | 24 | 569 | 7,032 | 209 | ||||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 224 | 764 | 3,665 | 134 | 361 | 62 | 1,013 | (197 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class II | 353 | 683 | 2,725 | 353 | 188 | 182 | 2,014 | (50 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 1,015 | 4,095 | 243 | 216 | 118 | 1,628 | 9,953 | (433 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 5,184 | $ | 2,033 | $ | 89,611 | $ | (5,056 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
12-31-17 Share Balance | Gross Additions | Gross Reductions | Realized Gain/(Loss)(1) | Distributions Received | 6-30-18 Share Balance | 6-30-18 Value | Net Change in Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Corporate Bond, Class II | 1,606 | $ | 513 | $ | 399 | $ | 1 | $ | 185 | 1,629 | $ | 8,277 | $ | (433 | ) | |||||||||||||||||||||||||
Ivy VIP Core Equity, Class II | N/A | 6,348 | — | — | — | 525 | 6,255 | (93 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Equity Income, Class II | 858 | 679 | 2,962 | 471 | 154 | 570 | 4,275 | (806 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Growth, Class II | 436 | 298 | 4,286 | 589 | 69 | N/A | N/A | (317 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 10,749 | 500 | 206 | — | 69 | 11,042 | 11,042 | — | * | |||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 831 | 1,204 | 4,425 | 1,604 | 10 | 528 | 6,277 | (551 | ) | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | 297 | 641 | 21 | — | * | 70 | 477 | 1,652 | (51 | ) | ||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 352 | 447 | 103 | 65 | 228 | 370 | 6,411 | (472 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 2,419 | 4,493 | 229 | (2 | ) | 192 | 3,315 | 15,828 | (238 | ) | ||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | 220 | 1,740 | 37 | 125 | 15 | 356 | 4,401 | 142 | ||||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 140 | 471 | 2,174 | 181 | 229 | 39 | 634 | (224 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class II | 220 | 420 | 1,678 | 225 | 119 | 114 | 1,261 | (39 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 638 | 2,454 | 68 | 130 | 76 | 1,019 | 6,229 | (268 | ) | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 3,389 | $ | 1,416 | $ | 72,542 | $ | (3,350 | ) | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
2018 | SEMIANNUAL REPORT | 143 |
Table of Contents
12-31-17 Share Balance | Gross Additions | Gross Reductions | Realized Gain/(Loss) | Distributions Received | 6-30-18 Share Balance | 6-30-18 Value | Net Change in Unrealized Depreciation | |||||||||||||||||||||||||||||||||
High Income | ||||||||||||||||||||||||||||||||||||||||
Larchmont Resources LLC(2) | 1 | $ | — | $ | — | $ | — | $ | — | 1 | $ | 277 | $ | (58 | ) |
12-31-17 Principal Balance | Interest Received | 6-30-18 Principal Balance | Net Change in Unrealized Depreciation | |||||||||||||||||||||||||||||||||||||
Larchmont Resources LLC | $ | 863 | $ | 23 | $ | — | $ | — | $ | 43 | $ | 886 | $ | 872 | $(7) |
* | Not shown due to rounding. |
(1) | Included in Realized Gain/Loss, if applicable, are distributions from capital gains from the underlying securities. |
(2) | No dividends were paid during the preceding 12 months. |
9. | INVESTMENT SECURITIES TRANSACTIONS ($ amounts in thousands) |
The cost of purchases and the proceeds from maturities and sales of investment securities (excluding short-term securities) for the period ended June 30, 2018, were as follows:
Purchases | Sales | |||||||||||||||
U.S. Government | Other Issuers | U.S. Government | Other Issuers | |||||||||||||
Pathfinder Aggressive | $ | — | $ | 31,987 | $ | — | $ | 33,194 | ||||||||
Pathfinder Conservative | — | 32,879 | — | 32,486 | ||||||||||||
Pathfinder Moderate | — | 251,449 | — | 274,650 | ||||||||||||
Pathfinder Moderately Aggressive | — | 337,416 | — | 348,623 | ||||||||||||
Pathfinder Moderately Conservative | — | 66,233 | — | 73,011 | ||||||||||||
Pathfinder Moderate – Managed Volatility | — | 190,854 | — | 142,661 | ||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | — | 30,527 | — | 27,512 | ||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | — | 20,208 | — | 17,285 | ||||||||||||
Asset Strategy | 5,987 | 251,926 | 4,154 | 277,648 | ||||||||||||
Balanced | 4,291 | 86,596 | 8,804 | 107,090 | ||||||||||||
Core Equity | — | 412,498 | — | 165,603 | ||||||||||||
Corporate Bond | 15,332 | 81,897 | 18,975 | 59,150 | ||||||||||||
Energy | — | 33,292 | — | 32,746 | ||||||||||||
Global Bond | 249 | 4,079 | 1,323 | 3,768 | ||||||||||||
Global Equity Income | — | 291,052 | — | 453,118 | ||||||||||||
Global Growth | — | 71,679 | — | 356,083 | ||||||||||||
Government Money Market | — | — | — | — | ||||||||||||
Growth | — | 149,362 | — | 344,788 | ||||||||||||
High Income | — | 195,487 | — | 200,639 | ||||||||||||
International Core Equity | — | 174,536 | — | 205,473 | ||||||||||||
Limited-Term Bond | 203,041 | 54,664 | 10,376 | 120,941 | ||||||||||||
Micro Cap Growth | — | 12,244 | — | 13,895 | ||||||||||||
Mid Cap Growth | — | 189,824 | — | 257,637 | ||||||||||||
Natural Resources | — | 21,244 | — | 34,946 | ||||||||||||
Science and Technology | — | 72,434 | — | 96,530 | ||||||||||||
Securian Real Estate Securities | — | 14,626 | — | 15,907 | ||||||||||||
Small Cap Core | — | 159,208 | — | 278,837 | ||||||||||||
Small Cap Growth | — | 80,588 | — | 175,490 | ||||||||||||
Value | — | 183,265 | — | 94,203 |
10. | LOANS OF PORTFOLIO SECURITIES ($ amounts in thousands) |
Certain Portfolios may lend their portfolio securities only to borrowers that are approved by the Portfolio’s securities lending agent, The Bank of New York Mellon (“BNYM”). The borrower pledges and maintains with the Portfolio collateral consisting of cash or securities issued or guaranteed by the U.S. government. The initial collateral received by the Portfolio is required to have a value of at least 102% of the market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% of the market value for all other securities. The collateral is maintained thereafter, at a market value equal to no less than 100% of the current value of the securities on loan. The market value of the loaned
144 | SEMIANNUAL REPORT | 2018 |
Table of Contents
securities is determined at the close of each business day and any additional required collateral is delivered to the Portfolio and any excess collateral is returned by the Portfolio on the next business day. During the term of the loan, the Portfolio is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
Cash received as collateral for securities on loan may be reinvested in the Dreyfus Institutional Preferred Government Money Market Fund — Institutional Shares or certain other registered money market funds and are disclosed in the Portfolio’s Schedule of Investments and are reflected in the Statement of Assets and Liabilities as cash collateral on securities loaned at value. Non-cash collateral, in the form of securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, is not disclosed in the Portfolio’s Statement of Assets and Liabilities as it is held by the lending agent on behalf of the Portfolio and the Portfolio does not have the ability to re-hypothecate these securities. The securities on loan for each Portfolio are also disclosed in its Schedule of Investments. The total value of any securities on loan as of June 30, 2018 and the total value of the related cash collateral are disclosed in the Statement of Assets and Liabilities. Income earned by the Portfolios from securities lending activity is disclosed in the Statements of Operations.
The following is a summary of the Portfolio’s securities lending positions and related cash and non-cash collateral received as of June 30, 2018:
Portfolio | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | ||||||||||||
Asset Strategy | $ | 1,208 | $ | 789 | $ | 464 | $ | 1,253 | ||||||||
Balanced | 374 | 385 | — | 385 | ||||||||||||
Corporate Bond | 321 | 329 | — | 329 | ||||||||||||
Energy | 3,930 | 4,016 | — | 4,016 | ||||||||||||
Global Bond | 63 | 65 | — | 65 | ||||||||||||
Global Equity Income | 2,036 | 2,033 | — | 2,033 | ||||||||||||
Global Growth | 1,356 | — | 1,424 | 1,424 | ||||||||||||
High Income | 21,638 | 20,699 | 1,436 | 22,135 | ||||||||||||
International Core Equity | 3,819 | — | 4,012 | 4,012 | ||||||||||||
Limited-Term Bond | 500 | 141 | 370 | 511 | ||||||||||||
Micro Cap Growth | 5,652 | 5,818 | — | 5,818 | ||||||||||||
Mid Cap Growth | 13,396 | 13,843 | — | 13,843 | ||||||||||||
Natural Resources | 3,478 | 3,552 | — | 3,552 | ||||||||||||
Science and Technology | 12,080 | 12,121 | 218 | 12,339 | ||||||||||||
Small Cap Core | 63 | 64 | — | 64 | ||||||||||||
Small Cap Growth | 11,478 | 11,722 | — | 11,722 |
The cash collateral received amounts presented in the table above are transactions accounted for as secured borrowings and have an overnight and continuous maturity. The proceeds from the cash collateral received is invested in registered money market funds.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Portfolios benefit from a borrower indemnity provided by BNYM. BNYM’s indemnity allows for full replacement of securities lent wherein BNYM will purchase the unreturned loaned securities on the open market by applying the proceeds of the collateral or to the extent such proceeds are insufficient or the collateral is unavailable, BNYM will purchase the unreturned loan securities at BNYM’s expense. However, the Portfolio could suffer a loss if the value of the investments purchased with cash collateral falls below the value of the cash collateral received.
2018 | SEMIANNUAL REPORT | 145 |
Table of Contents
11. | CAPITAL SHARE TRANSACTIONS (All amounts in thousands) |
The Trust has authorized an unlimited number of no par value shares of beneficial interest. Transactions in shares of beneficial interest were as follows:
Pathfinder Aggressive | Pathfinder Conservative | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 399 | $ | 2,129 | 635 | $ | 3,112 | 1,261 | $ | 6,521 | 1,056 | $ | 5,265 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 1,005 | 5,066 | 1,290 | 5,994 | 942 | 4,721 | 1,111 | 5,402 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (1,680 | ) | (8,876 | ) | (3,206 | ) | (15,761 | ) | (2,216 | ) | (11,477 | ) | (4,355 | ) | (21,862 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net decrease | (276 | ) | $ | (1,681 | ) | (1,281 | ) | $ | (6,655 | ) | (13 | ) | $ | (235 | ) | (2,188 | ) | $ | (11,195 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Pathfinder Moderate | Pathfinder Moderately Aggressive | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||||||
Class II | 520 | $ | 2,777 | 898 | $ | 4,660 | 663 | $ | 3,747 | 1,200 | $ | 6,378 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 9,295 | 48,519 | 10,958 | 54,504 | 12,168 | 65,728 | 14,017 | 71,450 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (14,305 | ) | (77,538 | ) | (20,810 | ) | (108,172 | ) | (15,172 | ) | (85,113 | ) | (25,350 | ) | (135,596 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net decrease | (4,490 | ) | $ | (26,242 | ) | (8,954 | ) | $ | (49,008 | ) | (2,341 | ) | $ | (15,638 | ) | (10,133 | ) | $ | (57,768 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Pathfinder Moderately Conservative | Pathfinder Moderate – Managed Volatility | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||||||
Class II | 119 | $ | 637 | 356 | $ | 1,832 | 4,596 | $ | 26,703 | 7,845 | $ | 43,358 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 2,514 | 12,956 | 2,884 | 14,287 | 4,281 | 24,303 | 3,224 | 17,259 | ||||||||||||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||||||
Class II | (3,926 | ) | (20,984 | ) | (8,287 | ) | (42,582 | ) | (2,165 | ) | (12,593 | ) | (4,810 | ) | (26,453 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | (1,293 | ) | $ | (7,391 | ) | (5,047 | ) | $ | (26,463 | ) | 6,712 | $ | 38,413 | 6,259 | $ | 34,164 | ||||||||||||||||||||
|
|
|
|
146 | SEMIANNUAL REPORT | 2018 |
Table of Contents
Pathfinder Moderately Aggressive – Managed Volatility | Pathfinder Moderately Conservative – Managed Volatility | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 484 | $ | 2,772 | 2,023 | $ | 10,772 | 567 | $ | 3,165 | 981 | $ | 5,224 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 731 | 4,062 | 550 | 2,851 | 529 | 2,876 | 340 | 1,769 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (837 | ) | (4,792 | ) | (1,586 | ) | (8,514 | ) | (629 | ) | (3,514 | ) | (1,145 | ) | (6,078 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase | 378 | $ | 2,042 | 987 | $ | 5,109 | 467 | $ | 2,527 | 176 | $ | 915 | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Asset Strategy | Balanced | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||||||
Class I | — | $ | — | 29 | $ | 249 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||
Class II | 1,504 | 14,485 | 2,831 | 24,438 | 609 | $ | 4,856 | 1,784 | $ | 13,737 | ||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class I | — | * | — | * | — | * | 4 | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||
Class II | 115 | 1,115 | 1,579 | 14,367 | 1,388 | 10,863 | 2,160 | 15,972 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class I | — | — | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Class II | (10,059 | ) | (96,840 | ) | (23,120 | ) | (200,265 | ) | (3,380 | ) | (27,081 | ) | (6,669 | ) | (51,187 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net decrease | (8,440 | ) | $ | (81,240 | ) | (18,681 | ) | $ | (161,207 | ) | (1,383 | ) | $ | (11,362 | ) | (2,725 | ) | $ | (21,478 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Core Equity | Corporate Bond | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 26,118 | $ | 315,906 | 594 | $ | 6,694 | 7,904 | $ | 40,355 | 30,632 | $ | 163,526 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 2,972 | 35,537 | 1,802 | 19,178 | 2,296 | 11,579 | 1,856 | 9,800 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (3,453 | ) | (43,128 | ) | (5,559 | ) | (63,308 | ) | (7,405 | ) | (38,479 | ) | (9,177 | ) | (48,842 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | 25,637 | $ | 308,315 | (3,163 | ) | $ | (37,436 | ) | 2,795 | $ | 13,455 | 23,311 | $ | 124,484 | ||||||||||||||||||||||
|
|
|
|
2018 | SEMIANNUAL REPORT | 147 |
Table of Contents
Energy | Global Bond | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||||||
Class I | — | $ | — | 43 | $ | 250 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||
Class II | 3,340 | 19,795 | 6,707 | 38,703 | 321 | $ | 1,569 | 929 | $ | 4,578 | ||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class I | — | — | — | * | 2 | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
Class II | — | — | 230 | 1,270 | 132 | 626 | 129 | 630 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class I | — | — | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Class II | (3,245 | ) | (18,936 | ) | (7,220 | ) | (41,332 | ) | (519 | ) | (2,532 | ) | (876 | ) | (4,316 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | 95 | $ | 859 | (240 | ) | $ | (1,107 | ) | (66 | ) | $ | (337 | ) | 182 | $ | 892 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Global Equity Income | Global Growth | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 1,457 | $ | 11,528 | 2,410 | $ | 19,445 | 709 | $ | 7,381 | 811 | $ | 7,333 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 5,843 | 45,707 | 3,075 | 23,553 | 2,748 | 27,188 | 1,319 | 11,573 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (25,251 | ) | (198,661 | ) | (9,452 | ) | (76,467 | ) | (30,059 | ) | (301,106 | ) | (9,326 | ) | (85,939 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net decrease | (17,951 | ) | $ | (141,426 | ) | (3,967 | ) | $ | (33,469 | ) | (26,602 | ) | $ | (266,537 | ) | (7,196 | ) | $ | (67,033 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Government Money Market | Growth | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 34,435 | $ | 34,435 | 54,205 | $ | 54,205 | 630 | $ | 7,951 | 2,141 | $ | 24,866 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 1,959 | 1,959 | 1,954 | 1,954 | 8,478 | 99,829 | 7,846 | 81,581 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (36,347 | ) | (36,347 | ) | (152,969 | ) | (152,969 | ) | (16,019 | ) | (195,181 | ) | (18,007 | ) | (201,835 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | 47 | $ | 47 | (96,810 | ) | $ | (96,810 | ) | (6,911 | ) | $ | (87,401 | ) | (8,020 | ) | $ | (95,388 | ) | ||||||||||||||||||
|
|
|
|
148 | SEMIANNUAL REPORT | 2018 |
Table of Contents
High Income | International Core Equity | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||||||
Class I | 1,462 | $ | 5,080 | 32,570 | $ | 119,198 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||
Class II | 19,333 | 70,149 | 63,565 | 232,237 | 1,254 | $ | 22,847 | 2,462 | $ | 43,379 | ||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class I | 1,015 | 3,506 | 978 | 3,461 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Class II | 16,234 | 56,012 | 14,324 | 50,714 | 1,814 | 32,980 | 640 | 10,926 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class I | (3,469 | ) | (12,185 | ) | (18,146 | ) | (65,535 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class II | (29,976 | ) | (107,689 | ) | (68,269 | ) | (248,715 | ) | (2,738 | ) | (50,748 | ) | (6,296 | ) | (107,670 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | 4,599 | $ | 14,873 | 25,022 | $ | 91,360 | 330 | $ | 5,079 | (3,194 | ) | $ | (53,365 | ) | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Limited-Term Bond | Micro Cap Growth | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | — | * | $ | — | 17 | $ | 354 | |||||||||||||||||||||||||
Class II | 38,427 | $ | 183,142 | 23,779 | $ | 116,247 | 268 | 6,861 | 605 | 12,937 | ||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | — | — | — | * | 1 | |||||||||||||||||||||||||||
Class II | 1,482 | 7,043 | 1,288 | 6,273 | — | — | 9 | 215 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | — | * | (1 | ) | — | * | — | |||||||||||||||||||||||||
Class II | (6,248 | ) | (30,158 | ) | (15,069 | ) | (73,677 | ) | (344 | ) | (8,382 | ) | (464 | ) | (9,888 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | 33,661 | $ | 160,027 | 9,998 | $ | 48,843 | (76 | ) | $ | (1,522 | ) | 167 | $ | 3,619 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Mid Cap Growth | Natural Resources | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||||||
Class I | 6,406 | $ | 79,559 | 13,724 | $ | 141,656 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||
Class II | 3,790 | 46,757 | 2,996 | 31,343 | 1,627 | $ | 7,401 | 4,910 | $ | 20,925 | ||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class I | 534 | 6,483 | 404 | 3,997 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Class II | 1,911 | 23,180 | 1,582 | 15,653 | 75 | 351 | 43 | 179 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class I | (818 | ) | (10,086 | ) | (2,821 | ) | (31,392 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class II | (13,280 | ) | (159,354 | ) | (19,448 | ) | (200,812 | ) | (3,966 | ) | (17,976 | ) | (8,593 | ) | (37,090 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net decrease | (1,457 | ) | $ | (13,461 | ) | (3,563 | ) | $ | (39,555 | ) | (2,264 | ) | $ | (10,224 | ) | (3,640 | ) | $ | (15,986 | ) | ||||||||||||||||
|
|
|
|
2018 | SEMIANNUAL REPORT | 149 |
Table of Contents
Science and Technology | Securian Real Estate Securities | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||||||
Class I | 6 | $ | 169 | 17 | $ | 430 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||
Class II | 1,619 | 46,559 | 3,393 | 87,491 | 367 | $ | 2,583 | 664 | $ | 5,272 | ||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class I | — | * | 2 | 1 | 16 | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
Class II | 59 | 1,728 | 2,024 | 50,952 | 509 | 3,316 | 857 | 6,215 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class I | — | * | (11 | ) | (1 | ) | (29 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class II | (2,845 | ) | (81,176 | ) | (4,615 | ) | (117,781 | ) | (625 | ) | (4,375 | ) | (1,660 | ) | (13,140 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | (1,161 | ) | $ | (32,729 | ) | 819 | $ | 21,079 | 251 | $ | 1,524 | (139 | ) | $ | (1,653 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Small Cap Core | Small Cap Growth | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||||||
Class II | 314 | $ | 5,595 | 1,738 | $ | 30,054 | 943 | $ | 11,176 | 1,483 | $ | 15,659 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 3,561 | 56,235 | 2,444 | 39,265 | 5,494 | 59,720 | 1,060 | 10,680 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (7,456 | ) | (122,505 | ) | (5,943 | ) | (105,330 | ) | (9,189 | ) | (103,861 | ) | (14,095 | ) | (150,763 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net decrease | (3,581 | ) | $ | (60,675 | ) | (1,761 | ) | $ | (36,011 | ) | (2,752 | ) | $ | (32,965 | ) | (11,552 | ) | $ | (124,424 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Value | ||||||||||||||||||||||||||||||||||||
Six months ended 6-30-18 (Unaudited) | Year ended 12-31-17 | |||||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | |||||||||||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||||||
Class II | 19,201 | $ | 120,427 | 13,536 | $ | 82,603 | ||||||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 3,219 | 20,089 | 2,016 | 11,720 | ||||||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (5,050 | ) | (32,477 | ) | (12,513 | ) | (76,425 | ) | ||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
Net increase | 17,370 | $ | 108,039 | 3,039 | $ | 17,898 | ||||||||||||||||||||||||||||||
|
|
* | Not shown due to rounding. |
12. | COMMITMENTS ($ amounts in thousands) |
Bridge loan commitments may obligate a Portfolio to furnish temporary financing to a borrower until permanent financing can be arranged. At period ended June 30, 2018, High Income had outstanding bridge loan commitments of $6,422. In connection with these commitments, the Portfolio earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income is included in interest income on the Statements of Operations.
150 | SEMIANNUAL REPORT | 2018 |
Table of Contents
13. | FEDERAL INCOME TAX MATTERS ($ amounts in thousands) |
For Federal income tax purposes, cost of investments owned at June 30, 2018 and the related unrealized appreciation (depreciation) were as follows:
Portfolio | Cost of Investments | Gross Appreciation | Gross Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Pathfinder Aggressive | $ | 74,239 | $ | 1,085 | $ | 3,295 | $ | (2,210 | ) | |||||||
Pathfinder Conservative | 108,573 | 375 | 3,296 | (2,921 | ) | |||||||||||
Pathfinder Moderate | 832,454 | 9,761 | 22,831 | (13,070 | ) | |||||||||||
Pathfinder Moderately Aggressive | 1,008,810 | 11,767 | 24,757 | (12,990 | ) | |||||||||||
Pathfinder Moderately Conservative | 241,224 | 1,822 | 7,154 | (5,332 | ) | |||||||||||
Pathfinder Moderate – Managed Volatility | 634,524 | 7,248 | 19,559 | (12,311 | ) | |||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | 94,959 | 612 | 3,704 | (3,092 | ) | |||||||||||
Pathfinder Moderately Conservative – Managed Volatility | 76,551 | 548 | 2,457 | (1,909 | ) | |||||||||||
Asset Strategy | 806,792 | 122,833 | 60,245 | 62,588 | ||||||||||||
Balanced | 311,407 | 38,233 | 8,636 | 29,597 | ||||||||||||
Core Equity | 668,608 | 72,475 | 7,670 | 64,805 | ||||||||||||
Corporate Bond | 546,005 | 2,632 | 18,927 | (16,295 | ) | |||||||||||
Energy | 161,162 | 28,604 | 11,724 | 16,880 | ||||||||||||
Global Bond | 22,381 | 85 | 820 | (735 | ) | |||||||||||
Global Equity Income | 333,593 | 13,241 | 19,127 | (5,886 | ) | |||||||||||
Global Growth | 131,709 | 29,695 | 3,232 | 26,463 | ||||||||||||
Government Money Market | 317,235 | — | — | — | ||||||||||||
Growth | 551,542 | 245,596 | 10,072 | 235,524 | ||||||||||||
High Income | 969,474 | 13,222 | 37,965 | (24,743 | ) | |||||||||||
International Core Equity | 734,301 | 74,190 | 39,148 | 35,042 | ||||||||||||
Limited-Term Bond | 596,841 | 459 | 6,353 | (5,894 | ) | |||||||||||
Micro Cap Growth | 63,179 | 31,846 | 2,683 | 29,163 | ||||||||||||
Mid Cap Growth | 589,082 | 184,989 | 28,142 | 156,847 | ||||||||||||
Natural Resources | 122,389 | 9,857 | 11,174 | (1,317 | ) | |||||||||||
Science and Technology | 384,951 | 303,388 | 10,086 | 293,302 | ||||||||||||
Securian Real Estate Securities | 41,199 | 1,536 | 1,490 | 46 | ||||||||||||
Small Cap Core | 197,823 | 29,527 | 5,318 | 24,209 | ||||||||||||
Small Cap Growth | 271,133 | 73,803 | 5,930 | 67,873 | ||||||||||||
Value | 473,868 | 48,376 | 9,185 | 39,191 |
For Federal income tax purposes, the Portfolios’ distributed and undistributed earnings and profit for the year ended December 31, 2017 and the post-October and late-year ordinary activity updated with information available through the date of this report were as follows:
Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Tax Return of Capital | Post- October Capital Losses Deferred | Late-Year Ordinary Losses Deferred | |||||||||||||||
Pathfinder Aggressive | $ | 1,673 | $ | 3,390 | $ | — | $ | — | $ | — | ||||||||||
Pathfinder Conservative | 1,746 | 2,970 | — | — | — | |||||||||||||||
Pathfinder Moderate | 15,399 | 33,099 | — | — | — | |||||||||||||||
Pathfinder Moderately Aggressive | 23,986 | 41,725 | — | — | — | |||||||||||||||
Pathfinder Moderately Conservative | 4,181 | 8,769 | — | — | — | |||||||||||||||
Pathfinder Moderate – Managed Volatility | 8,534 | 15,742 | — | — | — | |||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | 1,567 | 2,491 | — | — | — | |||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | 1,056 | 1,818 | — | �� | — | — | ||||||||||||||
Asset Strategy | 1,212 | — | — | — | — | |||||||||||||||
Balanced | 5,526 | 5,388 | — | — | — | |||||||||||||||
Core Equity | 6,155 | 28,755 | — | — | — | |||||||||||||||
Corporate Bond | 11,574 | — | — | — | — | |||||||||||||||
Energy | — | — | — | — | 73 |
2018 | SEMIANNUAL REPORT | 151 |
Table of Contents
Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Tax Return of Capital | Post- October Capital Losses Deferred | Late-Year Ordinary Losses Deferred | |||||||||||||||
Global Bond | $ | 625 | $ | — | $ | — | $ | — | $ | — | ||||||||||
Global Equity Income | 11,044 | 35,025 | — | — | — | |||||||||||||||
Global Growth | 6,598 | 20,586 | — | — | — | |||||||||||||||
Government Money Market | 47 | — | — | — | — | |||||||||||||||
Growth | 965 | 99,013 | — | — | — | |||||||||||||||
High Income | 59,413 | — | — | — | — | |||||||||||||||
International Core Equity | 28,470 | 4,504 | — | — | — | |||||||||||||||
Limited-Term Bond | 7,034 | — | — | — | — | |||||||||||||||
Micro Cap Growth | — | — | — | 140 | — | |||||||||||||||
Mid Cap Growth | 2,737 | 26,555 | — | — | — | |||||||||||||||
Natural Resources | — | — | — | — | 66 | |||||||||||||||
Science and Technology | — | 1,728 | — | — | 712 | |||||||||||||||
Securian Real Estate Securities | 1,196 | 2,117 | — | — | — | |||||||||||||||
Small Cap Core | 27,727 | 28,527 | — | — | — | |||||||||||||||
Small Cap Growth | 17,190 | 42,526 | — | — | — | |||||||||||||||
Value | 7,839 | 12,753 | — | — | — |
Internal Revenue Code regulations permit each Portfolio to elect to defer into its next fiscal year capital losses and certain specified ordinary items incurred between each November 1 and the end of its fiscal year. Each Portfolio is also permitted to defer into its next fiscal certain ordinary losses that generated between each January 1 and the end of its fiscal year.
The tax character of dividends and distributions paid during the two fiscal years ended December 31, 2017 and 2016 were as follows:
December 31, 2017 | December 31, 2016 | |||||||||||||||||||
Portfolio | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | ||||||||||||||||
Pathfinder Aggressive | $ | 1,058 | $ | 4,936 | $ | 1,209 | $ | 7,733 | ||||||||||||
Pathfinder Conservative | 1,230 | 4,172 | 1,341 | 7,033 | ||||||||||||||||
Pathfinder Moderate | 9,628 | 44,876 | 11,309 | 68,308 | ||||||||||||||||
Pathfinder Moderately Aggressive | 13,001 | 58,449 | 16,506 | 90,370 | ||||||||||||||||
Pathfinder Moderately Conservative | 2,870 | 11,417 | 3,428 | 19,152 | ||||||||||||||||
Pathfinder Moderate – Managed Volatility | 2,508 | 14,751 | 2,612 | 15,290 | ||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | 388 | 2,463 | 624 | 3,420 | ||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | 298 | 1,471 | 327 | 1,832 | ||||||||||||||||
Asset Strategy | 14,371 | — | 6,389 | — | ||||||||||||||||
Balanced | 5,768 | 10,204 | 10,433 | 49,291 | ||||||||||||||||
Core Equity | 1,910 | 17,268 | 8,956 | 44,866 | ||||||||||||||||
Corporate Bond | 8,771 | 1,029 | 6,593 | 742 | ||||||||||||||||
Energy | 1,272 | — | 203 | — | ||||||||||||||||
Global Bond | 630 | — | 731 | — | ||||||||||||||||
Global Equity Income | 6,575 | 16,978 | 6,264 | 28,123 | ||||||||||||||||
Global Growth | 213 | 11,360 | 1,644 | 13,615 | ||||||||||||||||
Government Money Market | 2,151 | — | 699 | — | ||||||||||||||||
Growth | 2,229 | 79,352 | 5,166 | 84,877 | ||||||||||||||||
High Income | 54,175 | — | 56,542 | — | ||||||||||||||||
International Core Equity | 10,926 | — | 8,908 | 7,187 | ||||||||||||||||
Limited-Term Bond | 6,274 | — | 5,755 | — | ||||||||||||||||
Micro Cap Growth | — | 216 | — | 6,098 | ||||||||||||||||
Mid Cap Growth | — | 19,650 | 4,666 | 28,331 | ||||||||||||||||
Natural Resources | 179 | — | 875 | — | ||||||||||||||||
Science and Technology | 3,112 | 47,869 | — | 20,982 | ||||||||||||||||
Securian Real Estate Securities | 687 | 5,528 | 516 | 4,360 | ||||||||||||||||
Small Cap Core | 34,485 | 4,780 | 1,333 | 28,403 |
152 | SEMIANNUAL REPORT | 2018 |
Table of Contents
December 31, 2017 | December 31, 2016 | |||||||||||||||||||
Portfolio | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | ||||||||||||||||
Small Cap Growth | $ | — | $ | 10,680 | $ | — | $ | 45,145 | ||||||||||||
Value | 5,834 | 5,886 | 12,259 | 36,661 |
(1) | Includes short-term capital gains distributed, if any. |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Accumulated capital losses represent net capital loss carryovers as of December 31, 2017 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Portfolio is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years which have only an eight year carryforward period. As a result of this ordering rule, pre-enactment capital loss carryovers may expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. The Portfolio’s first fiscal year end subject to the Modernization Act was December 31, 2011. The following table shows the expiration dates for capital loss carryovers from pre-enactment taxable years and the amounts of capital loss carryovers, if any, by each of the applicable portfolios electing to be taxed as a regulated investment company during the period end December 31, 2017:
Pre-Enactment | Post-Enactment | |||||||||||
Portfolio | 2018 | Short-Term Capital Loss Carryover | Long-Term Capital Loss Carryover | |||||||||
Pathfinder Aggressive | $ | — | $ | — | $ | — | ||||||
Pathfinder Conservative | — | — | — | |||||||||
Pathfinder Moderate | — | — | — | |||||||||
Pathfinder Moderately Aggressive | — | — | — | |||||||||
Pathfinder Moderately Conservative | — | — | — | |||||||||
Pathfinder Moderate – Managed Volatility | — | — | — | |||||||||
Pathfinder Moderately Aggressive – Managed Volatility | — | — | — | |||||||||
Pathfinder Moderately Conservative – Managed Volatility | — | — | — | |||||||||
Asset Strategy | — | 49,771 | 83 | |||||||||
Balanced | — | — | — | |||||||||
Core Equity | — | — | — | |||||||||
Corporate Bond | — | — | — | |||||||||
Energy | 432 | 8,261 | 11,486 | |||||||||
Global Bond | — | 285 | 779 | |||||||||
Global Equity Income | — | — | — | |||||||||
Global Growth | — | — | — | |||||||||
Government Money Market | — | — | — | |||||||||
Growth | — | — | — | |||||||||
High Income | — | — | 47,552 | |||||||||
International Core Equity | — | — | — | |||||||||
Limited-Term Bond | — | 722 | 3,046 | |||||||||
Micro Cap Growth | — | — | — | |||||||||
Mid Cap Growth | — | — | — | |||||||||
Natural Resources | — | 4,747 | 40,126 | |||||||||
Science and Technology | — | — | — | |||||||||
Securian Real Estate Securities | — | — | — | |||||||||
Small Cap Core | — | — | — | |||||||||
Small Cap Growth | — | — | — | |||||||||
Value | — | — | — |
2018 | SEMIANNUAL REPORT | 153 |
Table of Contents
PROXY VOTING INFORMATION | IVY VIP |
Proxy Voting Guidelines
A description of the policies and procedures Ivy Variable Insurance Portfolios uses to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1.888.WADDELL and (ii) on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.
Proxy Voting Records
Information regarding how the Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on Form N-PX through Waddell & Reed’s website at www.waddell.com and on the SEC’s website at www.sec.gov.
154 | SEMIANNUAL REPORT | 2018 |
Table of Contents
QUARTERLY PORTFOLIO SCHEDULE INFORMATION | IVY VIP |
Portfolio holdings can be found on the Trust’s website at www.waddell.com. Alternatively, a complete schedule of portfolio holdings of each Portfolio for the first and third quarters of each fiscal year is filed with the SEC and can be found on the Trust’s Form N-Q. These holdings may be viewed in the following ways:
• | On the SEC’s website at www.sec.gov. |
• | For review and copy at the SEC’s Public Reference Room in Washington, DC. Information on the operations of the Public Reference Room may be obtained by calling 1.800.SEC.0330. |
2018 | SEMIANNUAL REPORT | 155 |
Table of Contents
This page has been intentionally left blank
156 | SEMIANNUAL REPORT | 2018 |
Table of Contents
This page has been intentionally left blank
2018 | SEMIANNUAL REPORT | 157 |
Table of Contents
This page has been intentionally left blank
158 | SEMIANNUAL REPORT | 2018 |
Table of Contents
THE IVY VARIABLE INSURANCE PORTFOLIOS FAMILY |
Global/International Portfolios
Global Equity Income1
1(formerly known as Dividend Opportunities)
Global Growth
International Core Equity
Domestic Equity Portfolios
Core Equity
Growth
Micro Cap Growth
Mid Cap Growth
Small Cap Core
Small Cap Growth
Value
Fixed Income Portfolios
Corporate Bond1
1(formerly know as Bond)
Global Bond
High Income
Limited-Term Bond
Money Market Portfolio
Government Money Market
Specialty Portfolios
Securian Real Estate Securities1
1(formerly known as Advantus Real Estate Securities)
Asset Strategy
Balanced
Energy
Natural Resources
Pathfinder Aggressive
Pathfinder Conservative
Pathfinder Moderate
Pathfinder Moderately Aggressive
Pathfinder Moderately Conservative
Pathfinder Moderate — Managed Volatility
Pathfinder Moderately Aggressive — Managed Volatility
Pathfinder Moderately Conservative — Managed
Volatility
Science and Technology
The underlying portfolios discussed in this report are only available as investment options in variable annuity and variable life insurance contracts issued by life insurance companies. They are not offered or made available directly to the general public.
This report is submitted for the general information of the shareholders of Ivy Variable Insurance Portfolios. It is not authorized for distribution to prospective investors in a Portfolio unless accompanied with or preceded by the current Portfolio prospectus as well as the variable product prospectus.
2018 | SEMIANNUAL REPORT | 159 |
Table of Contents
SEMIANN-IVYVIP (06-18)
Table of Contents
ITEM 2. CODE OF ETHICS
Required in annual report only.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
Required in annual report only.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Required in annual report only.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
See Item 1 Shareholder Report.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s board of directors.
ITEM 11. CONTROLS AND PROCEDURES.
(a) | The Registrant’s Principal Executive Officer and Principal Financial Officer, or persons performing similar functions, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, have concluded that such controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective and adequately designed to ensure that information required to be disclosed by the Registrant in its reports that it files or submits is accumulated and communicated to the Registrant’s management, including the Principal Executive Officer and Principal Financial Officer, or persons performing similar functions, as appropriate, to allow timely decisions regarding required disclosure. |
Table of Contents
(b) | There were no significant changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the registrant’s second fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. EXHIBITS.
(a)(1) Required in annual report only.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)).
Attached hereto as Exhibit 99.CERT.
(b) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)).
Attached hereto as Exhibit 99.906CERT.
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
IVY VARIABLE INSURANCE PORTFOLIOS
(Registrant)
By | /s/ Jennifer K. Dulski | |
Jennifer K. Dulski, Secretary | ||
Date: | September 7, 2018 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/ Philip J. Sanders | |
Philip J. Sanders, Principal Executive Officer | ||
Date: | September 7, 2018 | |
By | /s/ Joseph W. Kauten | |
Joseph W. Kauten, Principal Financial Officer | ||
Date: | September 7, 2018 |