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, 2020
Table of Contents
ITEM 1. REPORTS TO STOCKHOLDERS.
Table of Contents
VARIABLE INSURANCE PORTFOLIOS |
Semiannual Report
JUNE 30, 2020 |
Ivy Variable Insurance Portfolios | ||||||||
Asset Strategy | Class I | Class II | ||||||
Balanced | Class II | |||||||
Energy | Class I | Class II | ||||||
Growth | Class II | |||||||
High Income | Class I | Class II | ||||||
International Core Equity | Class II | |||||||
Mid Cap Growth | Class I | Class II | ||||||
Natural Resources | Class II | |||||||
Science and Technology | Class I | Class II | ||||||
Small Cap Core | Class II | |||||||
Small Cap Growth | Class I | Class II |
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission (SEC), you may not be receiving paper copies of the Fund’s annual or semi-annual shareholder reports by mail, unless you specifically request paper copies of the reports from the insurance company that offers your variable annuity or variable life insurance contract or from your financial intermediary. Instead of delivering paper copies of the report, the insurance company may choose to make the reports available on a website, and will notify you by mail each time a shareholder report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the insurance company or your financial intermediary electronically by following the instructions provided by the insurance company or by contacting your financial intermediary.
You may elect to receive all future Fund shareholder reports in paper free of charge from the insurance company. You can inform the insurance company or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by following the instructions provided by the insurance company or by contacting your financial intermediary. Your election to receive reports in paper will apply to all portfolio companies available under your contract with the insurance company.
Table of Contents
CONTENTS | IVY VIP |
3 | ||||
4 | ||||
Portfolio Highlights and Schedule of Investments: | ||||
6 | ||||
13 | ||||
20 | ||||
23 | ||||
26 | ||||
34 | ||||
38 | ||||
41 | ||||
44 | ||||
47 | ||||
50 | ||||
54 | ||||
56 | ||||
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87 | ||||
88 |
2 | SEMIANNUAL REPORT | 2020 |
Table of Contents
PRESIDENT’S LETTER | IVY VIP |
JUNE 30, 2020 (UNAUDITED) | ||
Philip J. Sanders, CFA |
Dear Shareholder,
Markets thus far in 2020 have been, to use an overused word, unprecedented. In a matter of months, we have witnessed economic and market moves that typically take an entire market cycle of many years to unfold. Financial markets had been positive in early 2020, as political conflicts, trade uncertainty and global economic growth concerns waned. However, that upward trajectory suddenly reversed in late February 2020 and markets declined in response to two exogenous shocks: the COVID-19 pandemic and the collapse in energy markets. The COVID-19 pandemic caused one of the most rapid and dramatic global economic downturns in history. The U.S. stock markets dropped approximately 35% from peak in February to trough in late March. Global economic activity hit a full stop around the world, as countries and businesses implemented plans to isolate and protect each other. The pause on economic activity, along with a conflict between Russia and Saudi Arabia, caused a historic rout in oil markets. Remarkably, within about 30 days, we moved from a relatively strong domestic economy with financial market indexes hitting record highs, to a global recession.
Governments and central banks have taken unprecedented steps to mitigate the economic blow of social distancing. Monetary policy response has been broader and more rapid than at any other time in history. Global central banks have enacted aggressive stimulus through lower interest rates, quantitative easing (QE) and liquidity provisions, with some developing countries implementing QE for the first time. The U.S. Federal Reserve’s (Fed) response has been the strongest with a broad array of policy measures including an unprecedented pace of QE.
Just as global central banks are acting aggressively, governments around the world are responding with fiscal stimulus. While projected budget deficits for many countries are huge, those figures include loans designed to keep companies afloat and people employed. Up to this point, the fiscal impulse for most major countries is between 5 and 10% of gross domestic product (GDP). This is extremely aggressive both in size and speed of implementation, as we have only been facing this pandemic for a few months. More global fiscal stimulus seems probable. For instance, in addition to the $2.2 trillion CARES (Coronavirus Aid, Relief and Economic Security) Act, we expect another large fiscal stimulus in the U.S. to become law, which will likely include some form of extension to unemployment benefits and provide aid to state and local governments.
Enthusiasm about the economy possibly regaining momentum has been muted by ongoing uncertainty regarding the public health risks of reopening. While volatility has retreated sharply from the record highs of late March, it remains at elevated levels. Recent moves have shown that markets are likely to respond to changes in new
COVID-19 cases, both positively and negatively. Since the March 23 trough, the S&P 500 Index has stabilized and experienced a rapid bounce back. Year-to-date as of June 30, the Index is down 3.1%. Given this rebound, investors might wonder if the market is ahead of itself.
As we move forward and examine the investment landscape, we continue to put greater emphasis on the fundamentals and quality of asset classes and sectors. We believe it is important to stay focused on the merits of individual market sectors, industries and company business models when making investment decisions. Those fundamentals historically have tended to outweigh external factors. In today’s environment, we believe there are many high-quality businesses offering attractive entry points and cyclicals that will likely be key beneficiaries as economies continue to recover. Importantly, through this uncertain time, we remain focused on the innovation and management skill within individual companies, the ultimate drivers of long-term stock prices.
Economic Snapshot
6/30/2020 | 12/31/2019 | |||||||
S&P 500 Index | 3,100.29 | 3,230.78 | ||||||
MSCI EAFE Index | 1,780.58 | 2,036.94 | ||||||
10-Year Treasury Yield | 0.66 | % | 1.92 | % | ||||
U.S. unemployment rate | 11.1 | % | 3.5 | % | ||||
30-year fixed mortgage rate | 3.13 | % | 3.74 | % | ||||
Oil price per barrel | $39.27 | $61.14 |
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.
2020 | 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. 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, 2020.
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 in Notes to Financial Statements for further information.
4 | SEMIANNUAL REPORT | 2020 |
Table of Contents
ILLUSTRATION OF PORTFOLIO EXPENSES | IVY VIP |
(UNAUDITED)
Actual(1) | Hypothetical(2) | |||||||||||||||||||||||||||
Portfolio | Beginning Account Value 12-31-19 | Ending Account Value 6-30-20 | Expenses Paid During Period* | Beginning Account Value 12-31-19 | Ending Account Value 6-30-20 | Expenses Paid During Period* | Annualized Expense Ratio Based on the Six-Month Period | |||||||||||||||||||||
Asset Strategy |
| |||||||||||||||||||||||||||
Class I | $ | 1,000 | $ | 952.70 | $ | 3.71 | $ | 1,000 | $ | 1,021.04 | $ | 3.84 | 0.77% | |||||||||||||||
Class II | $ | 1,000 | $ | 951.50 | $ | 4.98 | $ | 1,000 | $ | 1,019.80 | $ | 5.15 | 1.02% | |||||||||||||||
Balanced |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 967.70 | $ | 5.02 | $ | 1,000 | $ | 1,019.76 | $ | 5.15 | 1.03% | |||||||||||||||
Energy |
| |||||||||||||||||||||||||||
Class I | $ | 1,000 | $ | 532.00 | $ | 3.98 | $ | 1,000 | $ | 1,019.67 | $ | 5.25 | 1.05% | |||||||||||||||
Class II | $ | 1,000 | $ | 531.30 | $ | 4.90 | $ | 1,000 | $ | 1,018.42 | $ | 6.46 | 1.30% | |||||||||||||||
Growth |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,087.90 | $ | 5.22 | $ | 1,000 | $ | 1,019.87 | $ | 5.05 | 1.00% | |||||||||||||||
High Income |
| |||||||||||||||||||||||||||
Class I | $ | 1,000 | $ | 929.30 | $ | 3.28 | $ | 1,000 | $ | 1,021.43 | $ | 3.44 | 0.69% | |||||||||||||||
Class II | $ | 1,000 | $ | 928.10 | $ | 4.53 | $ | 1,000 | $ | 1,020.18 | $ | 4.75 | 0.94% | |||||||||||||||
International Core Equity |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 892.00 | $ | 5.49 | $ | 1,000 | $ | 1,019.05 | $ | 5.86 | 1.17% | |||||||||||||||
Mid Cap Growth |
| |||||||||||||||||||||||||||
Class I | $ | 1,000 | $ | 1,119.60 | $ | 4.45 | $ | 1,000 | $ | 1,020.65 | $ | 4.24 | 0.85% | |||||||||||||||
Class II | $ | 1,000 | $ | 1,118.20 | $ | 5.83 | $ | 1,000 | $ | 1,019.41 | $ | 5.55 | 1.10% | |||||||||||||||
Natural Resources |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 772.70 | $ | 5.94 | $ | 1,000 | $ | 1,018.17 | $ | 6.76 | 1.35% | |||||||||||||||
Science and Technology |
| |||||||||||||||||||||||||||
Class I | $ | 1,000 | $ | 1,045.80 | $ | 4.71 | $ | 1,000 | $ | 1,020.31 | $ | 4.65 | 0.91% | |||||||||||||||
Class II | $ | 1,000 | $ | 1,044.40 | $ | 5.93 | $ | 1,000 | $ | 1,019.08 | $ | 5.86 | 1.16% | |||||||||||||||
Small Cap Core |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 830.40 | $ | 5.49 | $ | 1,000 | $ | 1,018.84 | $ | 6.06 | 1.21% | |||||||||||||||
Small Cap Growth |
| |||||||||||||||||||||||||||
Class I | $ | 1,000 | $ | 998.20 | $ | 4.40 | $ | 1,000 | $ | 1,020.44 | $ | 4.44 | 0.89% | |||||||||||||||
Class II | $ | 1,000 | $ | 996.90 | $ | 5.69 | $ | 1,000 | $ | 1,019.19 | $ | 5.75 | 1.14% |
* | 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 182 days in the six-month period ended June 30, 2020, and divided by 366. |
(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.
2020 | SEMIANNUAL REPORT | 5 |
Table of Contents
PORTFOLIO HIGHLIGHTS | ASSET STRATEGY |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 62.3% | |||
Information Technology | 19.9% | |||
Industrials | 9.7% | |||
Financials | 8.0% | |||
Consumer Discretionary | 7.2% | |||
Health Care | 7.2% | |||
Consumer Staples | 4.7% | |||
Energy | 1.9% | |||
Materials | 1.6% | |||
Utilities | 1.2% | |||
Communication Services | 0.9% | |||
Bullion (Gold) | 6.8% | |||
Purchased Options | 0.0% | |||
Bonds | 28.8% | |||
Corporate Debt Securities | 18.8% | |||
United States Government and Government Agency Obligations | 4.2% | |||
Loans | 3.5% | |||
Mortgage-Backed Securities | 1.4% | |||
Other Government Securities | 0.9% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 2.1% |
Country Weightings
North America | 49.5% | |||
United States | 47.0% | |||
Other North America | 2.5% | |||
Bullion (Gold) | 6.8% | |||
Europe | 26.5% | |||
France | 6.0% | |||
United Kingdom | 5.5% | |||
Germany | 5.4% | |||
Switzerland | 3.9% | |||
Other Europe | 5.7% | |||
Pacific Basin | 12.8% | |||
South America | 1.4% | |||
Bahamas/Caribbean | 0.9% | |||
Liabilities (Net of Cash and Other Assets), Cash Equivalents+ and Purchased Options | 2.1% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Microsoft Corp. | United States | Information Technology | Systems Software | |||
Amazon.com, Inc. | United States | Consumer Discretionary | Internet & Direct Marketing Retail | |||
Taiwan Semiconductor Manufacturing Co. Ltd. | Taiwan | Information Technology | Semiconductors | |||
Visa, Inc., Class A | United States | Information Technology | Data Processing & Outsourced Services | |||
Adobe, Inc. | United States | Information Technology | Application Software | |||
Zimmer Holdings, Inc. | United States | Health Care | Health Care Equipment | |||
ASML Holding N.V., Ordinary Shares | Netherlands | Information Technology | Semiconductor Equipment | |||
Intuit, Inc. | United States | Information Technology | Application Software | |||
ORIX Corp. | Japan | Financials | Consumer Finance | |||
Ingersoll-Rand, Inc. | United States | Industrials | Industrial Machinery |
See your advisor or www.ivyinvestments.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.
6 | SEMIANNUAL REPORT | 2020 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Communication Services |
| |||||||
Integrated Telecommunication Services – 0.9% |
| |||||||
Deutsche Telekom AG, Registered Shares (A) | 388 | $ | 6,514 | |||||
|
| |||||||
Total Communication Services – 0.9% |
| 6,514 | ||||||
Consumer Discretionary |
| |||||||
Apparel, Accessories & Luxury Goods – 1.1% |
| |||||||
adidas AG (A) | 28 | 7,273 | ||||||
|
| |||||||
Auto Parts & Equipment – 1.0% |
| |||||||
Aptiv plc | 86 | 6,712 | ||||||
|
| |||||||
Automobile Manufacturers – 0.9% |
| |||||||
Subaru Corp. (A) | 180 | 3,768 | ||||||
Suzuki Motor Corp. (A) | 61 | 2,075 | ||||||
|
| |||||||
5,843 | ||||||||
|
| |||||||
General Merchandise Stores – 0.9% |
| |||||||
Dollar Tree, Inc. (B) | 70 | 6,512 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 2.7% |
| |||||||
Amazon.com, Inc. (B) | 7 | 18,754 | ||||||
|
| |||||||
Leisure Facilities – 0.0% |
| |||||||
COTA Racing & Entertainment LLC, Class B (B)(C) | — | * | — | |||||
|
| |||||||
Leisure Products – 0.0% |
| |||||||
Media Group Holdings LLC, | 32 | — | * | |||||
Media Group Holdings LLC, | 4 | — | ||||||
|
| |||||||
— | * | |||||||
|
| |||||||
Restaurants – 0.6% |
| |||||||
Compass Group plc (A) | 313 | 4,313 | ||||||
|
| |||||||
Total Consumer Discretionary – 7.2% |
| 49,407 | ||||||
Consumer Staples |
| |||||||
Distillers & Vintners – 0.8% |
| |||||||
Pernod Ricard S.A. (A) | 33 | 5,183 | ||||||
|
| |||||||
Household Products – 1.0% |
| |||||||
Procter & Gamble Co. (The) | 57 | 6,854 | ||||||
|
| |||||||
Hypermarkets & Super Centers – 0.9% |
| |||||||
Wal-Mart Stores, Inc. | 53 | 6,395 | ||||||
|
| |||||||
Packaged Foods & Meats – 0.9% |
| |||||||
Nestle S.A., Registered Shares (A) | 57 | 6,316 | ||||||
|
| |||||||
Personal Products – 1.1% |
| |||||||
Beiersdorf Aktiengesellschaft (A)(F) | 66 | 7,557 | ||||||
|
| |||||||
Total Consumer Staples – 4.7% |
| 32,305 | ||||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 0.5% |
| |||||||
Canadian Natural Resources Ltd. | 215 | 3,739 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Oil & Gas Refining & Marketing – 1.4% |
| |||||||
Reliance Industries Ltd. (A) | 409 | $ | 9,307 | |||||
Reliance Industries Ltd. (A) | 27 | 288 | ||||||
|
| |||||||
9,595 | ||||||||
|
| |||||||
Total Energy – 1.9% | 13,334 | |||||||
Financials |
| |||||||
Consumer Finance – 1.5% |
| |||||||
ORIX Corp. (A) | 805 | 9,996 | ||||||
|
| |||||||
Diversified Banks – 1.5% |
| |||||||
BNP Paribas S.A. (A) | 148 | 5,912 | ||||||
UniCredit S.p.A. (A) | 420 | 3,875 | ||||||
|
| |||||||
9,787 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 0.7% |
| |||||||
Morgan Stanley | 105 | 5,077 | ||||||
|
| |||||||
Life & Health Insurance – 2.5% |
| |||||||
AIA Group Ltd. (A) | 885 | 8,282 | ||||||
Ping An Insurance (Group) Co. of China Ltd., H Shares (A) | 914 | 9,110 | ||||||
|
| |||||||
17,392 | ||||||||
|
| |||||||
Mortgage REITs – 0.1% |
| |||||||
AGNC Investment Corp. | 52 | 675 | ||||||
|
| |||||||
Other Diversified Financial Services – 0.9% |
| |||||||
Citigroup, Inc. | 121 | 6,193 | ||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.8% |
| |||||||
Housing Development Finance Corp. Ltd. (A) | 240 | 5,582 | ||||||
|
| |||||||
Total Financials – 8.0% | 54,702 | |||||||
Health Care |
| |||||||
Biotechnology – 0.9% |
| |||||||
Sarepta Therapeutics, Inc. (B) | 40 | 6,365 | ||||||
|
| |||||||
Health Care Equipment – 2.6% |
| |||||||
Koninklijke Philips Electronics N.V., Ordinary Shares (A) | 142 | 6,601 | ||||||
Zimmer Holdings, Inc. | 94 | 11,220 | ||||||
|
| |||||||
17,821 | ||||||||
|
| |||||||
Managed Health Care – 0.8% |
| |||||||
Anthem, Inc. | 22 | 5,668 | ||||||
|
| |||||||
Pharmaceuticals – 2.9% |
| |||||||
GlaxoSmithKline plc (A) | 343 | 6,925 | ||||||
Merck & Co., Inc. | 83 | 6,400 | ||||||
Merck KGaA (A) | 61 | 7,081 | ||||||
|
| |||||||
20,406 | ||||||||
|
| |||||||
Total Health Care – 7.2% | 50,260 | |||||||
Industrials |
| |||||||
Aerospace & Defense – 1.7% |
| |||||||
Airbus SE (A) | 80 | 5,754 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Aerospace & Defense (Continued) |
| |||||||
Northrop Grumman Corp. | 20 | $ | 6,051 | |||||
|
| |||||||
11,805 | ||||||||
|
| |||||||
Construction & Engineering – 1.6% |
| |||||||
Larsen & Toubro Ltd. (A) | 352 | 4,421 | ||||||
Vinci (A)(F) | 71 | 6,606 | ||||||
|
| |||||||
11,027 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 0.7% |
| |||||||
Caterpillar, Inc. | 39 | 4,982 | ||||||
|
| |||||||
Electrical Components & Equipment – 1.1% |
| |||||||
Schneider Electric S.A. (A) | 69 | 7,707 | ||||||
|
| |||||||
Industrial Machinery – 1.4% |
| |||||||
Ingersoll-Rand, Inc. (B) | 354 | 9,952 | ||||||
|
| |||||||
Railroads – 2.2% |
| |||||||
Kansas City Southern | 41 | 6,087 | ||||||
Union Pacific Corp. | 53 | 8,909 | ||||||
|
| |||||||
14,996 | ||||||||
|
| |||||||
Trading Companies & Distributors – 1.0% |
| |||||||
Ferguson plc (A) | 82 | 6,725 | ||||||
|
| |||||||
Total Industrials – 9.7% |
| 67,194 | ||||||
Information Technology |
| |||||||
Application Software – 3.3% |
| |||||||
Adobe, Inc. (B) | 28 | 12,238 | ||||||
Intuit, Inc. (G) | 36 | 10,613 | ||||||
|
| |||||||
22,851 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 3.3% |
| |||||||
Fiserv, Inc. (B) | 95 | 9,318 | ||||||
Visa, Inc., Class A | 72 | 13,827 | ||||||
|
| |||||||
23,145 | ||||||||
|
| |||||||
Electronic Equipment & Instruments – 1.1% |
| |||||||
Keyence Corp. (A) | 19 | 7,837 | ||||||
|
| |||||||
Internet Services & Infrastructure – 0.7% |
| |||||||
VeriSign, Inc. (B) | 22 | 4,627 | ||||||
|
| |||||||
IT Consulting & Other Services – 0.7% |
| |||||||
Garter, Inc., Class A (B) | 38 | 4,602 | ||||||
|
| |||||||
Semiconductor Equipment – 1.6% |
| |||||||
ASML Holding N.V., Ordinary Shares (A) | 30 | 10,944 | ||||||
|
| |||||||
Semiconductors – 3.9% |
| |||||||
QUALCOMM, Inc. (G) | 98 | 8,951 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. (A) | 1,672 | 17,861 | ||||||
|
| |||||||
26,812 | ||||||||
|
| |||||||
Systems Software – 3.0% |
| |||||||
Microsoft Corp. | 103 | 20,887 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 2.3% |
| |||||||
Apple, Inc. | 23 | 8,402 |
2020 | SEMIANNUAL REPORT | 7 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS (Continued) | Shares | Value | ||||||
Technology Hardware, Storage & Peripherals (Continued) |
| |||||||
Samsung Electronics Co. Ltd. (A) | 162 | $ | 7,171 | |||||
|
| |||||||
15,573 | ||||||||
|
| |||||||
Total Information Technology – 19.9% |
| 137,278 | ||||||
Materials |
| |||||||
Diversified Metals & Mining – 0.6% |
| |||||||
Glencore International plc (A) | 1,796 | 3,825 | ||||||
|
| |||||||
Gold – 1.0% |
| |||||||
Barrick Gold Corp. | 270 | 7,274 | ||||||
|
| |||||||
Total Materials – 1.6% |
| 11,099 | ||||||
Utilities |
| |||||||
Electric Utilities – 1.2% |
| |||||||
E.ON AG (A) | 754 | 8,509 | ||||||
|
| |||||||
Total Utilities – 1.2% |
| 8,509 | ||||||
TOTAL COMMON STOCKS – 62.3% |
| $ | 430,602 | |||||
(Cost: $408,725) |
PURCHASED OPTIONS | Number of Contracts (Unrounded) | Notional Amount | ||||||||||
AGNC Investment Corp., |
| |||||||||||
Call $14.00, Expires 9-18-20, OTC (Ctrpty: Morgan Stanley & Co., Inc.) | 2,104 | 210 | 86 | |||||||||
|
| |||||||||||
TOTAL PURCHASED OPTIONS – 0.0% |
| $ | 86 | |||||||||
(Cost: $143) |
CORPORATE DEBT SECURITIES | Principal | |||||||
Communication Services |
| |||||||
Cable & Satellite – 0.4% |
| |||||||
Altice France Holding S.A., | ||||||||
10.500%, 5-15-27 (H) | $ | 2,383 | 2,625 | |||||
|
| |||||||
Integrated Telecommunication Services – 1.3% |
| |||||||
AT&T, Inc.: | ||||||||
2.750%, 6-1-31 | 1,087 | 1,125 | ||||||
3.650%, 6-1-51 | 653 | 681 | ||||||
Frontier Communications Corp.: | ||||||||
7.625%, 4-15-24 (I) | 2,119 | 699 | ||||||
6.875%, 1-15-25 (I) | 6,323 | 1,882 | ||||||
11.000%, 9-15-25 (I) | 5,680 | 1,960 | ||||||
9.000%, 8-15-31 (I) | 2,119 | 641 | ||||||
West Corp., | ||||||||
8.500%, 10-15-25 (H) | 1,500 | 1,192 | ||||||
|
| |||||||
8,180 | ||||||||
|
| |||||||
Interactive Media & Services – 0.1% |
| |||||||
Tencent Holdings Ltd., | ||||||||
3.240%, 6-3-50 (H) | 1,090 | 1,092 | ||||||
|
| |||||||
Total Communication Services – 1.8% |
| 11,897 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Discretionary |
| |||||||
Automobile Manufacturers – 0.3% |
| |||||||
Ford Motor Co.: | ||||||||
8.500%, 4-21-23 | $ | 1,081 | $ | 1,143 | ||||
9.000%, 4-22-25 | 1,081 | 1,169 | ||||||
|
| |||||||
2,312 | ||||||||
|
| |||||||
Casinos & Gaming – 0.0% |
| |||||||
Sands China Ltd., | ||||||||
3.800%, 1-8-26 (H) | 200 | 205 | ||||||
|
| |||||||
General Merchandise Stores – 0.1% |
| |||||||
Dollar General Corp., | ||||||||
3.500%, 4-3-30 | 540 | 605 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.1% |
| |||||||
Carnival Corp., | ||||||||
11.500%, 4-1-23 (H) | 432 | 467 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.2% |
| |||||||
Amazon.com, Inc.: | ||||||||
1.500%, 6-3-30 | 1,090 | 1,105 | ||||||
2.500%, 6-3-50 | 218 | 221 | ||||||
|
| |||||||
1,326 | ||||||||
|
| |||||||
Leisure Facilities – 0.3% |
| |||||||
Circuit of the Americas LLC, Series D, | ||||||||
0.000%, 10-2-23 (C)(J) | 3,642 | 2,389 | ||||||
|
| |||||||
Total Consumer Discretionary – 1.0% |
| 7,304 | ||||||
Consumer Staples |
| |||||||
Brewers – 0.2% |
| |||||||
Anheuser-Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB): | ||||||||
3.500%, 6-1-30 | 860 | 967 | ||||||
4.500%, 6-1-50 | 432 | 515 | ||||||
|
| |||||||
1,482 | ||||||||
|
| |||||||
Tobacco – 0.4% |
| |||||||
Altria Group, Inc. (GTD by Philip Morris USA, Inc.), | ||||||||
5.950%, 2-14-49 | 1,567 | 2,054 | ||||||
B.A.T. Capital Corp. (GTD by British American Tobacco plc, B.A.T. Netherlands Finance B.V., B.A.T. International Finance B.V. and Reynolds American, Inc.), | ||||||||
4.906%, 4-2-30 | 647 | 760 | ||||||
|
| |||||||
2,814 | ||||||||
|
| |||||||
Total Consumer Staples – 0.6% | 4,296 | |||||||
Energy |
| |||||||
Integrated Oil & Gas – 1.1% |
| |||||||
Petrobras Global Finance B.V. (GTD by Petroleo Brasileiro S.A.), | ||||||||
5.600%, 1-3-31 (F) | 1,744 | 1,752 | ||||||
Petroleos Mexicanos: | ||||||||
6.490%, 1-23-27 (H) | 4,223 | 3,855 | ||||||
6.840%, 1-23-30 (H) | 1,233 | 1,081 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Integrated Oil & Gas (Continued) |
| |||||||
Petronas Capital Ltd.: | ||||||||
3.500%, 4-21-30 (H) | $ | 432 | $ | 480 | ||||
4.550%, 4-21-50 (H) | 424 | 537 | ||||||
|
| |||||||
7,705 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.6% |
| |||||||
Laredo Petroleum, Inc.: | ||||||||
9.500%, 1-15-25 | 2,741 | 1,895 | ||||||
10.125%, 1-15-28 (F) | 3,064 | 2,114 | ||||||
|
| |||||||
4,009 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 1.1% |
| |||||||
Energy Transfer Operating L.P.: | ||||||||
3.750%, 5-15-30 | 842 | 832 | ||||||
6.750%, 5-15-68 | 3,900 | 3,273 | ||||||
7.125%, 5-15-68 | 3,900 | 3,335 | ||||||
|
| |||||||
7,440 | ||||||||
|
| |||||||
Total Energy – 2.8% |
| 19,154 | ||||||
Financials |
| |||||||
Diversified Banks – 6.4% |
| |||||||
Banco de Credito del Peru, | ||||||||
3.125%, 7-1-30 (H) | 438 | 434 | ||||||
Banco Santander S.A.: | ||||||||
5.375%, 4-17-25 (H) | 1,134 | 1,241 | ||||||
2.746%, 5-28-25 | 654 | 677 | ||||||
3.490%, 5-28-30 | 436 | 467 | ||||||
Bank of New York Mellon Corp. (The), | ||||||||
4.700%, 9-20-68 | 435 | 453 | ||||||
Barclays plc: | ||||||||
7.875%, 12-29-49 | 7,618 | 7,732 | ||||||
8.000%, 9-15-68 | 2,013 | 2,086 | ||||||
BNP Paribas S.A., | ||||||||
2.219%, 6-9-26 (H) | 200 | 204 | ||||||
Credit Agricole S.A., | ||||||||
1.907%, 6-16-26 (H) | 657 | 666 | ||||||
HSBC Holdings plc: | ||||||||
2.848%, 6-4-31 | 1,086 | 1,111 | ||||||
6.875%, 12-29-49 | 1,089 | 1,105 | ||||||
ING Groep N.V., | ||||||||
6.875%, 12-29-49 (F) | 2,681 | 2,776 | ||||||
Royal Bank of Scotland Group plc (The), | ||||||||
8.625%, 12-29-49 | 5,081 | 5,283 | ||||||
Societe Generale Group, | ||||||||
7.375%, 12-29-49 (H) | 6,791 | 6,850 | ||||||
Societe Generale S.A., | ||||||||
3.653%, 7-8-35 (H) | 3,284 | 3,284 | ||||||
Standard Chartered plc, | ||||||||
7.500%, 12-29-49 (H) | 3,731 | 3,851 | ||||||
UniCredit S.p.A.: | ||||||||
5.861%, 6-19-32 (H) | 3,700 | 3,841 | ||||||
5.459%, 6-30-35 (H) | 2,672 | 2,693 | ||||||
|
| |||||||
44,754 | ||||||||
|
|
8 | SEMIANNUAL REPORT | 2020 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2020 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Capital Markets – 1.4% |
| |||||||
Credit Suisse Group AG: | ||||||||
2.193%, 6-5-26 (H) | $ | 654 | $ | 662 | ||||
6.375%, 2-21-68 (H) | 1,232 | 1,251 | ||||||
7.500%, 6-11-68 (H) | 2,852 | 3,066 | ||||||
7.125%, 7-29-68 | 4,855 | 5,003 | ||||||
|
| |||||||
9,982 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 0.3% |
| |||||||
Charles Schwab Corp. (The), | ||||||||
5.375%, 9-1-68 | 1,083 | 1,157 | ||||||
Macquarie Bank Ltd., | ||||||||
3.624%, 6-3-30 (H) | 872 | 913 | ||||||
|
| |||||||
2,070 | ||||||||
|
| |||||||
Life & Health Insurance – 0.1% |
| |||||||
AIA Group Ltd., | ||||||||
3.375%, 4-7-30 (H) | 540 | 588 | ||||||
|
| |||||||
Multi-Line Insurance – 0.7% |
| |||||||
Athene Holding Ltd., | ||||||||
6.150%, 4-3-30 | 4,313 | 4,963 | ||||||
|
| |||||||
Other Diversified Financial Services – 0.3% |
| |||||||
Grupo Aval Ltd., | ||||||||
4.375%, 2-4-30 (H) | 1,689 | 1,613 | ||||||
JPMorgan Chase & Co., | ||||||||
2.956%, 5-13-31 | 332 | 353 | ||||||
|
| |||||||
1,966 | ||||||||
|
| |||||||
Specialized Finance – 0.2% |
| |||||||
AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust: | ||||||||
4.500%, 9-15-23 | 1,022 | 1,022 | ||||||
6.500%, 7-15-25 | 436 | 457 | ||||||
|
| |||||||
1,479 | ||||||||
|
| |||||||
Total Financials – 9.4% |
| 65,802 | ||||||
Health Care |
| |||||||
Pharmaceuticals – 0.2% |
| |||||||
Teva Pharmaceutical Finance Netherlands III B.V. (GTD by Teva Pharmaceutical Industries Ltd.), | ||||||||
2.800%, 7-21-23 | 1,000 | 945 | ||||||
|
| |||||||
Total Health Care – 0.2% | 945 | |||||||
Industrials |
| |||||||
Aerospace & Defense – 1.4% |
| |||||||
Boeing Co. (The): | ||||||||
4.875%, 5-1-25 | 1,083 | 1,179 | ||||||
5.150%, 5-1-30 | 3,047 | 3,400 | ||||||
5.805%, 5-1-50 | 1,083 | 1,278 | ||||||
Wolverine Escrow LLC: | ||||||||
8.500%, 11-15-24 (H) | 2,080 | 1,362 | ||||||
9.000%, 11-15-26 (H) | 2,081 | 1,363 | ||||||
13.125%, 11-15-27 (H) | 2,081 | 1,353 | ||||||
|
| |||||||
9,935 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.3% |
| |||||||
FedEx Corp.: | ||||||||
4.250%, 5-15-30 | 1,081 | 1,234 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Air Freight & Logistics (Continued) |
| |||||||
5.250%, 5-15-50 | $ | 756 | $ | 923 | ||||
|
| |||||||
2,157 | ||||||||
|
| |||||||
Airlines – 0.2% |
| |||||||
Aerovias de Mexico S.A. de C.V. (GTD by Grupo Aeromexico S.A.B. de C.V.), | ||||||||
7.000%, 2-5-25 (H)(I) | 2,587 | 595 | ||||||
Southwest Airlines Co., | ||||||||
5.250%, 5-4-25 | 542 | 572 | ||||||
|
| |||||||
1,167 | ||||||||
|
| |||||||
Total Industrials – 1.9% |
| 13,259 | ||||||
Information Technology |
| |||||||
IT Consulting & Other Services – 0.2% |
| |||||||
Atento Luxco 1 S.A., | ||||||||
6.125%, 8-10-22 (H) | 744 | 603 | ||||||
Leidos, Inc. (GTD by Leidos Holdings, Inc.): | ||||||||
3.625%, 5-15-25 (H) | 326 | 356 | ||||||
4.375%, 5-15-30 (H) | 326 | 367 | ||||||
|
| |||||||
1,326 | ||||||||
|
| |||||||
Semiconductors – 0.3% |
| |||||||
Broadcom, Inc.: | ||||||||
4.700%, 4-15-25 (H) | 541 | 609 | ||||||
5.000%, 4-15-30 (H) | 1,081 | 1,242 | ||||||
Microchip Technology, Inc., | ||||||||
4.250%, 9-1-25 (H) | 545 | 550 | ||||||
|
| |||||||
2,401 | ||||||||
|
| |||||||
Total Information Technology – 0.5% |
| 3,727 | ||||||
Materials |
| |||||||
Construction Materials – 0.2% |
| |||||||
Hillman Group, Inc. (The), | ||||||||
6.375%, 7-15-22 (H) | 1,079 | 996 | ||||||
|
| |||||||
Steel – 0.4% |
| |||||||
CSN Resources S.A., | ||||||||
7.625%, 2-13-23 (H) | 2,960 | 2,745 | ||||||
|
| |||||||
Total Materials – 0.6% |
| 3,741 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 18.8% |
| $ | 130,125 | |||||
(Cost: $139,317) | ||||||||
MORTGAGE-BACKED SECURITIES | ||||||||
Non-Agency REMIC/CMO – 1.4% |
| |||||||
Credit Suisse Mortgage Trust, Series 2018-RPL8, Class A1 (Mortgage spread to 3-year U.S. Treasury index), | ||||||||
4.125%, 7-25-58 (H)(K) | 1,686 | 1,726 | ||||||
Ellington Financial Mortgage Trust, Series 2018-1, Class B1 (Mortgage spread to 10-year U.S. Treasury index), | ||||||||
5.574%, 10-25-58 (H)(K) | 1,500 | 1,509 |
MORTGAGE-BACKED SECURITIES (Continued) | Principal | Value | ||||||
Non-Agency REMIC/CMO (Continued) |
| |||||||
Homeward Opportunities Fund I Trust, Series 2019-1, Class B1 (Mortgage spread to 10-year U.S. Treasury index), | ||||||||
4.800%, 1-25-59 (H)(K) | $ | 1,061 | $ | 1,032 | ||||
Merrill Lynch Mortgage Investors Trust, Series 1998-C1, Class F, | ||||||||
6.250%, 11-15-26 | 602 | 602 | ||||||
Verus Securitization Trust, Series 2018-3, Class B1 (Mortgage spread to 5-year U.S. Treasury index), | ||||||||
5.694%, 10-25-58 (H)(K) | 2,100 | 1,945 | ||||||
Verus Securitization Trust, Series 2019-1, Class B1 (Mortgage spread to 10-year U.S. Treasury index), | ||||||||
5.311%, 2-25-59 (H)(K) | 3,432 | 3,028 | ||||||
|
| |||||||
9,842 | ||||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES – 1.4% |
| $ | 9,842 | |||||
(Cost: $10,561) | ||||||||
OTHER GOVERNMENT SECURITIES(L) | ||||||||
Argentina – 0.8% |
| |||||||
Province of Mendoza, | ||||||||
8.375%, 5-19-24 | 4,362 | 2,268 | ||||||
Republic of Argentina: | ||||||||
4.625%, 1-11-23 (I) | 6,531 | 2,734 | ||||||
5.875%, 1-11-28 (I) | 2,100 | 842 | ||||||
|
| |||||||
5,844 | ||||||||
|
| |||||||
Columbia – 0.1% |
| |||||||
Republic of Columbia, | ||||||||
3.125%, 4-15-31 | 327 | 324 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 0.9% |
| $ | 6,168 | |||||
(Cost: $12,911) | ||||||||
LOANS (K) | ||||||||
Communication Services |
| |||||||
Integrated Telecommunication Services – 0.7% |
| |||||||
West Corp. (3-Month ICE LIBOR plus 400 bps), | ||||||||
5.000%, 10-10-24 | 6,062 | 5,150 | ||||||
|
| |||||||
Total Communication Services – 0.7% |
| 5,150 | ||||||
Consumer Discretionary |
| |||||||
Specialty Stores – 0.4% |
| |||||||
Staples, Inc. (ICE LIBOR plus 500 bps), | ||||||||
5.687%, 4-12-26 | 3,402 | 2,917 | ||||||
|
| |||||||
Total Consumer Discretionary – 0.4% |
| 2,917 |
2020 | SEMIANNUAL REPORT | 9 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2020 (UNAUDITED)
LOANS (K) (Continued) | Principal | Value | ||||||
Energy |
| |||||||
Oil & Gas Storage & Transportation – 0.3% |
| |||||||
EPIC Crude Services L.P. (ICE LIBOR plus 500 bps), | ||||||||
5.370%, 3-1-26 | $ | 2,818 | $ | 2,151 | ||||
|
| |||||||
Total Energy – 0.3% |
| 2,151 | ||||||
Financials |
| |||||||
Property & Casualty Insurance – 0.7% |
| |||||||
Amynta Agency Borrower, Inc. (ICE LIBOR plus 400 bps), | ||||||||
4.678%, 2-28-25 | 5,283 | 4,556 | ||||||
|
| |||||||
Total Financials – 0.7% | 4,556 | |||||||
Health Care |
| |||||||
Health Care Facilities – 0.4% |
| |||||||
Surgery Center Holdings, Inc. (ICE LIBOR plus 325 bps), | ||||||||
4.250%, 8-31-24 | 2,805 | 2,454 | ||||||
|
| |||||||
Health Care Services – 0.3% |
| |||||||
Heartland Dental LLC (ICE LIBOR plus 375 bps), | ||||||||
3.678%, 4-30-25 | 2,605 | 2,311 | ||||||
|
| |||||||
Total Health Care – 0.7% |
| 4,765 | ||||||
Materials |
| |||||||
Construction Materials – 0.7% |
| |||||||
Hillman Group, Inc. (The) (ICE LIBOR plus 350 bps), | ||||||||
5.072%, 5-31-25 | 5,277 | 4,934 | ||||||
|
| |||||||
Total Materials – 0.7% |
| 4,934 | ||||||
TOTAL LOANS – 3.5% |
| $ | 24,473 | |||||
(Cost: $27,950) |
|
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | Principal | Value | ||||||
Mortgage-Backed Obligations – 1.2% |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO, | ||||||||
4.500%, 1-15-43 (M) | $ | 5,314 | $ | 825 | ||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 615 bps), | ||||||||
5.965%, 11-15-47 (K)(M) | 3,069 | 474 | ||||||
Federal National Mortgage Association Agency REMIC/CMO: | ||||||||
4.500%, 10-25-40 (M) | 2,584 | 423 | ||||||
4.500%, 5-25-47 (M) | 2,058 | 340 | ||||||
5.000%, 3-25-49 (M) | 1,988 | 303 | ||||||
Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 562 bps), | ||||||||
5.436%, 6-25-45 (K)(M) | 4,019 | 906 | ||||||
Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 625 bps): | ||||||||
5.936%, 4-25-45 (K)(M) | 1,997 | 497 | ||||||
5.916%, 4-25-46 (K)(M) | 4,661 | 918 | ||||||
5.916%, 8-25-46 (K)(M) | 4,752 | 993 | ||||||
6.066%, 6-25-48 (K)(M) | 10,624 | 2,305 | ||||||
|
| |||||||
7,984 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 1.2% |
| $ | 7,984 | |||||
(Cost: $8,143) |
| |||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
Treasury Inflation Protected Obligations – 1.3% |
| |||||||
U.S. Treasury Notes: | ||||||||
0.625%, 1-15-26 | 2,772 | 3,005 | ||||||
0.125%, 7-15-26 | 5,776 | 6,140 | ||||||
|
| |||||||
9,145 | ||||||||
|
|
UNITED STATES GOVERNMENT OBLIGATIONS (Continued) | Principal | Value | ||||||
Treasury Obligations – 1.7% |
| |||||||
U.S. Treasury Bonds: | ||||||||
2.750%, 8-15-47 | $ | 7,526 | $ | 9,829 | ||||
3.000%, 2-15-49 | 1,591 | 2,195 | ||||||
|
| |||||||
12,024 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 3.0% |
| $ | 21,169 | |||||
(Cost: $17,538) |
| |||||||
BULLION – 6.8% | Troy Ounces | |||||||
Gold | 27 | 47,359 | ||||||
|
| |||||||
(Cost: $32,745) |
| |||||||
SHORT-TERM SECURITIES | Shares | |||||||
Money Market Funds (O) – 4.6% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, 0.100% (N) | 17,625 | 17,625 | ||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, 0.120% | 14,347 | 14,347 | ||||||
|
| |||||||
31,972 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 4.6% |
| $ | 31,972 | |||||
(Cost: $31,972) |
| |||||||
TOTAL INVESTMENT SECURITIES – 102.5% |
| $ | 709,780 | |||||
(Cost: $690,005) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (2.5)% |
| (17,204 | ) | |||||
NET ASSETS – 100.0% |
| $ | 692,576 |
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, 2020, the Portfolio owned the following restricted securities: |
Security | Acquisition Date(s) | Shares | Cost | Value | ||||||||||||||||
Media Group Holdings LLC, Series H | 8-29-13 to 10-31-13 | 32 | $ | 22,329 | $ | — | * | |||||||||||||
Media Group Holdings LLC, Series T | 7-2-13 to 1-23-15 | 4 | 8,413 | — | ||||||||||||||||
|
| |||||||||||||||||||
$ | 30,742 | $ | — | * | ||||||||||||||||
|
|
10 | SEMIANNUAL REPORT | 2020 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2020 (UNAUDITED)
The total value of these securities represented 0.0% of net assets at June 30, 2020. |
(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) | All or a portion of securities with an aggregate value of $16,835 are on loan. |
(G) | All or a portion of securities with an aggregate value of $6,838 are held in collateralized accounts to cover potential obligations with respect to outstanding written options. |
(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, 2020 the total value of these securities amounted to $64,072 or 9.3% of net assets. |
(I) | Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
(J) | Zero coupon bond. |
(K) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2020. Description of the reference rate and spread, if applicable, are included in the security description. |
(L) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(M) | Interest-only security. Amount shown as principal represents notional amount for computation of interest. |
(N) | Investment made with cash collateral received from securities on loan. |
(O) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following written options were outstanding at June 30, 2020 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Notional Amount | Expiration Month | Exercise Price | Premium Received | Value | ||||||||||||||||||||||
AGNC Investment Corp. | Morgan Stanley & Co., Inc. | Put | 2,104 | 211 | September 2020 | $ | 10.00 | $ | 140 | $ | (50 | ) | ||||||||||||||||||
Morgan Stanley & Co., Inc. | Call | 2,104 | 210 | September 2020 | 17.00 | 32 | (12 | ) | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | 172 | $ | (62 | ) | ||||||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | ||||||||||||
Communication Services | $ | — | $ | 6,514 | $ | — | ||||||
Consumer Discretionary | 31,978 | 17,429 | — | * | ||||||||
Consumer Staples | 13,249 | 19,056 | — | |||||||||
Energy | 4,027 | 9,307 | — | |||||||||
Financials | 11,945 | 42,757 | — | |||||||||
Health Care | 36,254 | 14,006 | — | |||||||||
Industrials | 35,981 | 31,213 | — | |||||||||
Information Technology | 93,465 | 43,813 | — | |||||||||
Materials | 7,274 | 3,825 | — | |||||||||
Utilities | — | 8,509 | — | |||||||||
Total Common Stocks | $ | 234,173 | $ | 196,429 | $ | — | * | |||||
Purchased Options | — | 86 | — | |||||||||
Corporate Debt Securities | — | 130,125 | — | |||||||||
Mortgage-Backed Securities | — | 9,842 | — | |||||||||
Other Government Securities | — | 6,168 | — | |||||||||
Loans | — | 24,473 | — | |||||||||
United States Government Agency Obligations | — | 7,984 | — | |||||||||
United States Government Obligations | — | 21,169 | — | |||||||||
Bullion | 47,359 | — | — | |||||||||
Short-Term Securities | 31,972 | — | — | |||||||||
Total | $ | 313,504 | $ | 396,276 | $ | — | * | |||||
Liabilities | ||||||||||||
Written Options | $ | — | $ | 62 | $ | — |
2020 | SEMIANNUAL REPORT | 11 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2020 (UNAUDITED)
During the period ended June 30, 2020, securities totaling $4,938 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.
The following acronyms are used throughout this schedule:
CMO = Collaterized Mortgage Obligation
GTD = Guaranteed
ICE = Intercontinental Exchange
LIBOR = London Interbank Offered Rate
OTC = Over the Counter
REIT = Real Estate Investment Trust
REMIC = Real Estate Mortgage Investment Conduit
Country Diversification
(as a % of net assets) |
| |||
United States | 47.0% | |||
France | 6.0% | |||
United Kingdom | 5.5% | |||
Germany | 5.4% | |||
Switzerland | 3.9% | |||
Japan | 3.4% | |||
Netherlands | 3.3% | |||
India | 2.8% |
Country Diversification (Continued)
Taiwan | 2.6% | |||
Canada | 1.5% | |||
Italy | 1.5% | |||
China | 1.4% | |||
Hong Kong | 1.3% | |||
South Korea | 1.0% | |||
Mexico | 1.0% | |||
Other Countries | 3.5% | |||
Other+ | 8.9% |
+Includes gold bullion, options, liabilities (net of cash and other assets), and cash equivalents
See Accompanying Notes to Financial Statements.
12 | SEMIANNUAL REPORT | 2020 |
Table of Contents
PORTFOLIO HIGHLIGHTS | BALANCED |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 65.4% | |||
Information Technology | 18.0% | |||
Financials | 8.8% | |||
Consumer Discretionary | 8.3% | |||
Health Care | 8.3% | |||
Industrials | 7.3% | |||
Communication Services | 6.4% | |||
Consumer Staples | 4.0% | |||
Energy | 3.7% | |||
Materials | 0.6% | |||
Bonds | 33.8% | |||
Corporate Debt Securities | 20.8% | |||
United States Government and Government Agency Obligations | 12.3% | |||
Loans | 0.7% | |||
Liabilities (Net of Cash and Other Assets), | 0.8% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Apple, Inc. | Information Technology | Technology Hardware, Storage & Peripherals | ||
Microsoft Corp. | Information Technology | Systems Software | ||
Autodesk, Inc. | Information Technology | Application Software | ||
Lowe’s Co., Inc. | Consumer Discretionary | Home Improvement Retail | ||
Electronic Arts, Inc. | Communication Services | Interactive Home Entertainment | ||
Zimmer Holdings, Inc. | Health Care | Health Care Equipment | ||
Constellation Brands, Inc. | Consumer Staples | Distillers & Vintners | ||
QUALCOMM, Inc. | Information Technology | Semiconductors | ||
Cisco Systems, Inc. | Information Technology | Communications Equipment | ||
Facebook, Inc., Class A | Communication Services | Interactive Media & Services |
See your advisor or www.ivyinvestments.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.
2020 | SEMIANNUAL REPORT | 13 |
Table of Contents
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Communication Services |
| |||||||
Interactive Home Entertainment – 1.9% |
| |||||||
Electronic Arts, Inc. (A) | 44 | $ | 5,755 | |||||
|
| |||||||
Interactive Media & Services – 3.9% |
| |||||||
Alphabet, Inc., Class A (A) | 3 | 3,763 | ||||||
Alphabet, Inc., Class C (A) | 3 | 3,759 | ||||||
Facebook, Inc., Class A (A) | 20 | 4,565 | ||||||
|
| |||||||
12,087 | ||||||||
|
| |||||||
Movies & Entertainment – 0.6% |
| |||||||
Walt Disney Co. (The) | 17 | 1,900 | ||||||
|
| |||||||
Total Communication Services – 6.4% |
| 19,742 | ||||||
Consumer Discretionary |
| |||||||
Apparel, Accessories & Luxury Goods – 0.9% |
| |||||||
V.F. Corp. | 48 | 2,896 | ||||||
|
| |||||||
Automotive Retail – 0.8% |
| |||||||
O’Reilly Automotive, Inc. (A) | 5 | 2,300 | ||||||
|
| |||||||
Casinos & Gaming – 1.2% |
| |||||||
Las Vegas Sands, Inc. | 80 | 3,633 | ||||||
|
| |||||||
Home Improvement Retail – 2.2% |
| |||||||
Lowe’s Co., Inc. | 50 | 6,798 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 1.3% |
| |||||||
Amazon.com, Inc. (A) | 1 | 4,058 | ||||||
|
| |||||||
Restaurants – 0.8% |
| |||||||
Darden Restaurants, Inc. | 30 | 2,284 | ||||||
|
| |||||||
Specialty Stores – 1.1% |
| |||||||
Tractor Supply Co. | 25 | 3,289 | ||||||
|
| |||||||
Total Consumer Discretionary – 8.3% |
| 25,258 | ||||||
Consumer Staples |
| |||||||
Distillers & Vintners – 1.6% |
| |||||||
Constellation Brands, Inc. | 29 | 5,033 | ||||||
|
| |||||||
Packaged Foods & Meats – 1.0% |
| |||||||
Mondelez International, Inc., Class A | 58 | 2,989 | ||||||
|
| |||||||
Tobacco – 1.4% |
| |||||||
Philip Morris International, Inc. | 62 | 4,335 | ||||||
|
| |||||||
Total Consumer Staples – 4.0% |
| 12,357 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 1.3% |
| |||||||
Chevron Corp. | 14 | 1,205 | ||||||
Hess Corp. | 51 | 2,627 | ||||||
|
| |||||||
3,832 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.8% |
| |||||||
Canadian Natural Resources Ltd. | 151 | 2,626 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Oil & Gas Storage & Transportation – 0.6% |
| |||||||
Enterprise Products Partners L.P. | 97 | $ | 1,762 | |||||
|
| |||||||
Total Energy – 2.7% |
| 8,220 | ||||||
Financials |
| |||||||
Diversified Banks – 0.7% |
| |||||||
Northern Trust Corp. | 26 | 2,030 | ||||||
|
| |||||||
Insurance Brokers – 1.0% |
| |||||||
Aon plc (A) | 15 | 2,978 | ||||||
|
| |||||||
Investment Banking & Brokerage – 1.4% |
| |||||||
Goldman Sachs Group, Inc. (The) | 23 | 4,454 | ||||||
|
| |||||||
Multi-Sector Holdings – 1.3% |
| |||||||
Berkshire Hathaway, Inc., Class B (A) | 22 | 3,876 | ||||||
|
| |||||||
Other Diversified Financial Services – 1.6% |
| |||||||
Citigroup, Inc. | 36 | 1,833 | ||||||
JPMorgan Chase & Co. | 34 | 3,240 | ||||||
|
| |||||||
5,073 | ||||||||
|
| |||||||
Regional Banks – 1.1% |
| |||||||
PNC Financial Services Group, Inc. (The) | 33 | 3,496 | ||||||
|
| |||||||
Total Financials – 7.1% |
| 21,907 | ||||||
Health Care |
| |||||||
Health Care Equipment – 1.7% |
| |||||||
Zimmer Holdings, Inc. | 44 | 5,249 | ||||||
|
| |||||||
Health Care Technology – 1.4% |
| |||||||
Cerner Corp. | 64 | 4,384 | ||||||
|
| |||||||
Managed Health Care – 1.9% |
| |||||||
Anthem, Inc. | 16 | 4,227 | ||||||
UnitedHealth Group, Inc. | 5 | 1,561 | ||||||
|
| |||||||
5,788 | ||||||||
|
| |||||||
Pharmaceuticals – 3.2% |
| |||||||
Elanco Animal Health, Inc. (A) | 98 | 2,093 | ||||||
GlaxoSmithKline plc ADR | 94 | 3,825 | ||||||
Jazz Pharmaceuticals plc (A) | 15 | 1,669 | ||||||
Merck & Co., Inc. | 31 | 2,372 | ||||||
|
| |||||||
9,959 | ||||||||
|
| |||||||
Total Health Care – 8.2% |
| 25,380 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 2.1% |
| |||||||
Boeing Co. (The) | 15 | 2,753 | ||||||
Northrop Grumman Corp. | 5 | 1,396 | ||||||
Raytheon Technologies Corp. | 37 | 2,250 | ||||||
|
| |||||||
6,399 | ||||||||
|
| |||||||
Agricultural & Farm Machinery – 1.1% |
| |||||||
Deere & Co. | 22 | 3,429 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Electrical Components & Equipment – 0.7% |
| |||||||
Emerson Electric Co. | 34 | $ | 2,129 | |||||
|
| |||||||
Industrial Machinery – 1.0% |
| |||||||
Snap-on, Inc. | 21 | 2,940 | ||||||
|
| |||||||
Railroads – 1.4% |
| |||||||
Union Pacific Corp. | 25 | 4,206 | ||||||
|
| |||||||
Research & Consulting Services – 1.0% |
| |||||||
IHS Markit Ltd. | 39 | 2,969 | ||||||
|
| |||||||
Total Industrials – 7.3% |
| 22,072 | ||||||
Information Technology |
| |||||||
Application Software – 2.3% |
| |||||||
Autodesk, Inc. (A) | 29 | 6,986 | ||||||
|
| |||||||
Communications Equipment – 2.2% |
| |||||||
Cisco Systems, Inc. | 102 | 4,769 | ||||||
Motorola Solutions, Inc. | 16 | 2,193 | ||||||
|
| |||||||
6,962 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 1.4% |
| |||||||
Fiserv, Inc. (A) | 45 | 4,367 | ||||||
|
| |||||||
Electronic Manufacturing Services – 0.9% |
| |||||||
IPG Photonics Corp. (A) | 18 | 2,887 | ||||||
|
| |||||||
IT Consulting & Other Services – 0.8% |
| |||||||
Cognizant Technology Solutions Corp., Class A | 42 | 2,394 | ||||||
|
| |||||||
Semiconductors – 3.7% |
| |||||||
Infineon Technologies AG ADR | 148 | 3,487 | ||||||
Micron Technology, Inc. (A) | 61 | 3,144 | ||||||
QUALCOMM, Inc. | 54 | 4,944 | ||||||
|
| |||||||
11,575 | ||||||||
|
| |||||||
Systems Software – 3.3% |
| |||||||
Microsoft Corp. | 49 | 9,984 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 3.4% |
| |||||||
Apple, Inc. | 29 | 10,566 | ||||||
|
| |||||||
Total Information Technology – 18.0% |
| 55,721 | ||||||
Materials |
| |||||||
Specialty Chemicals – 0.6% |
| |||||||
Sherwin-Williams Co. (The) | 3 | 1,918 | ||||||
|
| |||||||
Total Materials – 0.6% |
| 1,918 | ||||||
TOTAL COMMON STOCKS – 62.6% |
| $ | 192,575 | |||||
(Cost: $176,924) |
|
14 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2020 (UNAUDITED)
INVESTMENT FUNDS | Shares | Value | ||||||
Registered Investment Companies – 1.7% |
| |||||||
Invesco Senior Loan ETF | 131 | $ | 2,793 | |||||
iShares iBoxx $ High Yield Corporate Bond ETF | 9 | 716 | ||||||
iShares iBoxx $ Investment Grade Corporate Bond ETF | 12 | 1,559 | ||||||
|
| |||||||
5,068 | ||||||||
|
| |||||||
TOTAL INVESTMENT FUNDS – 1.7% |
| $ | 5,068 | |||||
(Cost: $5,067) | ||||||||
PREFERRED STOCKS | ||||||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 1.0% |
| |||||||
Targa Resources Corp., | ||||||||
9.500% (A)(B) | 3 | 3,127 | ||||||
|
| |||||||
Total Energy – 1.0% |
| 3,127 | ||||||
Health Care |
| |||||||
Pharmaceuticals – 0.1% |
| |||||||
Elanco Animal Health, Inc., | ||||||||
5.000% | 8 | 307 | ||||||
|
| |||||||
Total Health Care – 0.1% |
| 307 | ||||||
TOTAL PREFERRED STOCKS – 1.1% |
| $ | 3,434 | |||||
(Cost: $3,625) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Communication Services |
| |||||||
Advertising – 0.1% |
| |||||||
Lamar Media Corp., | ||||||||
4.875%, 1-15-29 (C) | $ | 230 | 231 | |||||
|
| |||||||
Broadcasting – 0.1% |
| |||||||
Fox Corp., | ||||||||
3.050%, 4-7-25 | 340 | 368 | ||||||
|
| |||||||
Cable & Satellite – 0.5% |
| |||||||
Charter Communications Operating LLC and Charter Communications Operating Capital Corp., | ||||||||
2.800%, 4-1-31 | 360 | 365 | ||||||
Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal), | ||||||||
4.250%, 10-15-30 | 450 | 551 | ||||||
Comcast Corp. (GTD by Comcast Cable Communications LLC and NBCUniversal Media LLC), | ||||||||
3.450%, 2-1-50 | 675 | 765 | ||||||
|
| |||||||
1,681 | ||||||||
|
| |||||||
Movies & Entertainment – 0.3% |
| |||||||
Walt Disney Co. (The), | ||||||||
2.750%, 9-1-49 | 1,000 | 976 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Publishing – 0.2% |
| |||||||
Thomson Reuters Corp., | ||||||||
3.350%, 5-15-26 | $ | 425 | $ | 462 | ||||
|
| |||||||
Wireless Telecommunication Service – 0.2% |
| |||||||
T-Mobile USA, Inc., | ||||||||
3.875%, 4-15-30 (C) | 575 | 641 | ||||||
|
| |||||||
Total Communication Services – 1.4% |
| 4,359 | ||||||
Consumer Discretionary |
| |||||||
Automobile Manufacturers – 0.2% |
| |||||||
General Motors Co., | ||||||||
6.800%, 10-1-27 | 475 | 553 | ||||||
|
| |||||||
Casinos & Gaming – 0.3% |
| |||||||
Colt Merger Sub, Inc., | ||||||||
8.125%, 7-1-27 (C) | 320 | 311 | ||||||
International Game Technology plc, | ||||||||
5.250%, 1-15-29 (C) | 350 | 340 | ||||||
Las Vegas Sands Corp., | ||||||||
3.500%, 8-18-26 | 220 | 220 | ||||||
|
| |||||||
871 | ||||||||
|
| |||||||
General Merchandise Stores – 0.2% |
| |||||||
Dollar General Corp., | ||||||||
3.500%, 4-3-30 | 300 | 336 | ||||||
Target Corp., | ||||||||
2.650%, 9-15-30 | 350 | 384 | ||||||
|
| |||||||
720 | ||||||||
|
| |||||||
Homebuilding – 0.1% |
| |||||||
NVR, Inc., | ||||||||
3.000%, 5-15-30 | 400 | 418 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.0% |
| |||||||
Carnival Corp., | ||||||||
11.500%, 4-1-23 (C) | 120 | 130 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.5% |
| |||||||
Amazon.com, Inc., | ||||||||
2.800%, 8-22-24 | 1,000 | 1,087 | ||||||
Expedia Group, Inc.: | ||||||||
6.250%, 5-1-25 (C) | 360 | 384 | ||||||
7.000%, 5-1-25 (C) | 43 | 45 | ||||||
|
| |||||||
1,516 | ||||||||
|
| |||||||
Leisure Facilities – 0.1% |
| |||||||
Cedar Fair Entertainment Co., Magnum Management Corp., Canada’s Wonderland Co. and Millennium Operations LLC, | ||||||||
5.500%, 5-1-25 (C) | 350 | 352 | ||||||
|
| |||||||
Total Consumer Discretionary – 1.4% |
| 4,560 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 0.1% |
| |||||||
Archer Daniels Midland Co., | ||||||||
2.750%, 3-27-25 | 350 | 380 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Brewers – 0.1% |
| |||||||
Anheuser-Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB), | ||||||||
4.750%, 1-23-29 | $ | 312 | $ | 377 | ||||
|
| |||||||
Drug Retail – 0.1% |
| |||||||
CVS Health Corp., | ||||||||
5.050%, 3-25-48 | 300 | 390 | ||||||
|
| |||||||
Food Distributors – 0.1% |
| |||||||
U.S. Foods, Inc., | ||||||||
6.250%, 4-15-25 (C) | 120 | 122 | ||||||
|
| |||||||
Food Retail – 0.1% |
| |||||||
Alimentation Couche-Tard, Inc., | ||||||||
2.950%, 1-25-30 (C) | 350 | 363 | ||||||
|
| |||||||
Household Products – 0.1% |
| |||||||
Procter & Gamble Co. (The), | ||||||||
3.000%, 3-25-30 | 350 | 401 | ||||||
|
| |||||||
Hypermarkets & Super Centers – 1.1% |
| |||||||
Walmart, Inc., | ||||||||
4.050%, 6-29-48 | 2,500 | 3,278 | ||||||
|
| |||||||
Packaged Foods & Meats – 0.2% |
| |||||||
Nestle Holdings, Inc., | ||||||||
4.000%, 9-24-48 (C) | 555 | 715 | ||||||
|
| |||||||
Personal Products – 0.2% |
| |||||||
Estee Lauder Co., Inc. (The), | ||||||||
4.150%, 3-15-47 | 375 | 474 | ||||||
|
| |||||||
Soft Drinks – 0.7% |
| |||||||
Coca-Cola Co. (The), | ||||||||
3.375%, 3-25-27 | 400 | 459 | ||||||
Keurig Dr Pepper, Inc., | ||||||||
3.400%, 11-15-25 | 400 | 445 | ||||||
PepsiCo, Inc., | ||||||||
2.875%, 10-15-49 | 1,050 | 1,136 | ||||||
|
| |||||||
2,040 | ||||||||
|
| |||||||
Total Consumer Staples – 2.8% |
| 8,540 | ||||||
Energy |
| |||||||
Oil & Gas Drilling – 0.4% |
| |||||||
Nabors Industries Ltd., Convertible, | ||||||||
0.750%, 1-15-24 | 3,600 | 1,298 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.2% |
| |||||||
EQT Corp., | ||||||||
6.125%, 2-1-25 (D) | 500 | 498 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 0.6% |
| |||||||
Colorado Interstate Gas Co., | ||||||||
4.150%, 8-15-26 (C) | 800 | 890 | ||||||
Williams Partners L.P., | ||||||||
3.600%, 3-15-22 | 1,000 | 1,039 | ||||||
|
| |||||||
1,929 | ||||||||
|
| |||||||
Total Energy – 1.2% |
| 3,725 |
2020 | SEMIANNUAL REPORT | 15 |
Table of Contents
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2020 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.5% |
| |||||||
Apollo Management Holdings L.P., | ||||||||
2.650%, 6-5-30 (C) | $ | 600 | $ | 597 | ||||
Brookfield Finance, Inc. (GTD by Brookfield Asset Management, Inc.), | ||||||||
4.350%, 4-15-30 | 475 | 536 | ||||||
National Securities Clearing Corp., | ||||||||
1.500%, 4-23-25 (C) | 350 | 358 | ||||||
|
| |||||||
1,491 | ||||||||
|
| |||||||
Consumer Finance – 0.1% |
| |||||||
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.): | ||||||||
3.450%, 4-10-22 | 250 | 255 | ||||||
3.700%, 5-9-23 | 150 | 154 | ||||||
|
| |||||||
409 | ||||||||
|
| |||||||
Diversified Banks – 0.2% |
| |||||||
Bank of America Corp., | ||||||||
2.884%, 10-22-30 | 400 | 433 | ||||||
U.S. Bancorp, | ||||||||
3.100%, 4-27-26 | 400 | 444 | ||||||
|
| |||||||
877 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 0.9% |
| |||||||
Goldman Sachs Group, Inc. (The), | ||||||||
2.905%, 7-24-23 | 2,000 | 2,078 | ||||||
Morgan Stanley, | ||||||||
2.699%, 1-22-31 | 400 | 425 | ||||||
|
| |||||||
2,503 | ||||||||
|
| |||||||
Life & Health Insurance – 0.7% |
| |||||||
Northwestern Mutual Life Insurance Co. (The), | ||||||||
3.850%, 9-30-47 (C) | 1,000 | 1,143 | ||||||
Sumitomo Life Insurance Co., | ||||||||
4.000%, 9-14-77 (C) | 1,000 | 1,070 | ||||||
|
| |||||||
2,213 | ||||||||
|
| |||||||
Multi-Line Insurance – 0.3% |
| |||||||
Aon Corp. (GTD by Aon plc), | ||||||||
2.800%, 5-15-30 | 350 | 374 | ||||||
Aon plc (GTD by Aon Corp.), | ||||||||
2.800%, 3-15-21 | 500 | 509 | ||||||
|
| |||||||
883 | ||||||||
|
| |||||||
Other Diversified Financial Services – 0.9% |
| |||||||
Citigroup, Inc.: | ||||||||
2.666%, 1-29-31 | 350 | 363 | ||||||
5.950%, 12-29-49 | 150 | 142 | ||||||
6.250%, 12-29-49 | 750 | 796 | ||||||
JPMorgan Chase & Co.: | ||||||||
2.956%, 5-13-31 | 267 | 284 | ||||||
5.300%, 11-1-68 | 250 | 237 | ||||||
JPMorgan Chase & Co. (3-Month U.S. LIBOR plus 332 bps), | ||||||||
4.753%, 1-1-68 (E) | 750 | 662 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Other Diversified Financial Services (Continued) |
| |||||||
JPMorgan Chase & Co. (3-Month U.S. LIBOR plus 347 bps), | ||||||||
4.230%, 4-29-49 (E) | $ | 194 | $ | 177 | ||||
|
| |||||||
2,661 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.1% |
| |||||||
Berkshire Hathaway Finance Corp. (GTD by Berkshire Hathaway, Inc.), | ||||||||
2.200%, 3-15-21 | 200 | 202 | ||||||
|
| |||||||
Regional Banks – 0.2% |
| |||||||
PNC Bank N.A., | ||||||||
3.250%, 6-1-25 | 600 | 665 | ||||||
|
| |||||||
Specialized Finance – 0.1% |
| |||||||
AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust, | ||||||||
6.500%, 7-15-25 | 250 | 262 | ||||||
|
| |||||||
Total Financials – 4.0% |
| 12,166 | ||||||
Health Care |
| |||||||
Biotechnology – 0.3% |
| |||||||
Amgen, Inc., | ||||||||
3.375%, 2-21-50 | 700 | 767 | ||||||
Biogen, Inc., | ||||||||
2.250%, 5-1-30 | 235 | 237 | ||||||
|
| |||||||
1,004 | ||||||||
|
| |||||||
Health Care Supplies – 0.7% |
| |||||||
Baxter International, Inc., | ||||||||
3.750%, 10-1-25 (C) | 350 | 399 | ||||||
Dentsply Sirona, Inc., | ||||||||
3.250%, 6-1-30 | 475 | 498 | ||||||
Shire Acquisitions Investments Ireland Designated Activity Co., | ||||||||
2.875%, 9-23-23 | 1,000 | 1,059 | ||||||
|
| |||||||
1,956 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 0.2% |
| |||||||
Thermo Fisher Scientific, Inc., | ||||||||
4.133%, 3-25-25 | 350 | 400 | ||||||
|
| |||||||
Managed Health Care – 0.0% |
| |||||||
UnitedHealth Group, Inc., | ||||||||
2.000%, 5-15-30 | 125 | 131 | ||||||
|
| |||||||
Pharmaceuticals – 1.1% |
| |||||||
Bristol-Myers Squibb Co., | ||||||||
3.450%, 11-15-27 (C) | 500 | 575 | ||||||
Forest Laboratories, Inc., | ||||||||
5.000%, 12-15-21 (C) | 1,258 | 1,321 | ||||||
Johnson & Johnson, | ||||||||
3.400%, 1-15-38 | 1,000 | 1,181 | ||||||
Zoetis, Inc., | ||||||||
2.000%, 5-15-30 | 235 | 240 | ||||||
|
| |||||||
3,317 | ||||||||
|
| |||||||
Total Health Care – 2.3% |
| 6,808 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Industrials |
| |||||||
Aerospace & Defense – 1.1% |
| |||||||
BAE Systems plc, | ||||||||
3.400%, 4-15-30 (C) | $ | 350 | $ | 382 | ||||
Boeing Co. (The), | ||||||||
3.750%, 2-1-50 | 525 | 474 | ||||||
General Dynamics Corp., | ||||||||
3.625%, 4-1-30 | 350 | 410 | ||||||
L3Harris Technologies, Inc., | ||||||||
4.400%, 6-15-28 | 1,000 | 1,182 | ||||||
Raytheon Technologies Corp.: | ||||||||
2.250%, 7-1-30 | 300 | 313 | ||||||
3.125%, 7-1-50 | 175 | 187 | ||||||
Spirit AeroSystems, Inc. (GTD by Spirit AeroSystems Holdings, Inc.), | ||||||||
4.600%, 6-15-28 | 535 | 429 | ||||||
|
| |||||||
3,377 | ||||||||
|
| |||||||
Agricultural & Farm Machinery – 0.2% |
| |||||||
Deere & Co., | ||||||||
3.100%, 4-15-30 | 600 | 680 | ||||||
|
| |||||||
Air Freight & Logistics – 0.2% |
| |||||||
United Parcel Service, Inc., | ||||||||
3.900%, 4-1-25 | 650 | 738 | ||||||
|
| |||||||
Airlines – 0.3% |
| |||||||
Southwest Airlines Co.: | ||||||||
2.650%, 11-5-20 | 375 | 375 | ||||||
4.750%, 5-4-23 | 600 | 620 | ||||||
|
| |||||||
995 | ||||||||
|
| |||||||
Environmental & Facilities Services – 0.6% |
| |||||||
Republic Services, Inc., | ||||||||
3.050%, 3-1-50 | 700 | 715 | ||||||
Waste Management, Inc. (GTD by Waste Management Holdings, Inc.), | ||||||||
3.150%, 11-15-27 | 1,000 | 1,120 | ||||||
|
| |||||||
1,835 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.1% |
| |||||||
Honeywell International, Inc., | ||||||||
1.950%, 6-1-30 | 300 | 313 | ||||||
|
| |||||||
Research & Consulting Services – 0.2% |
| |||||||
CoStar Group, Inc., | ||||||||
2.800%, 7-15-30 (C) | 350 | 358 | ||||||
RELX Capital, Inc. (GTD by RELX plc), | ||||||||
3.000%, 5-22-30 | 350 | 379 | ||||||
|
| |||||||
737 | ||||||||
|
| |||||||
Total Industrials – 2.7% |
| 8,675 | ||||||
Information Technology |
| |||||||
Application Software – 0.3% |
| |||||||
Autodesk, Inc., | ||||||||
2.850%, 1-15-30 | 500 | 551 | ||||||
Infor, Inc., | ||||||||
1.750%, 7-15-25 (C) | 125 | 126 |
16 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2020 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Application Software (Continued) |
| |||||||
Intuit, Inc.: | ||||||||
1.350%, 7-15-27 | $ | 115 | $ | 115 | ||||
1.650%, 7-15-30 | 290 | 289 | ||||||
|
| |||||||
1,081 | ||||||||
|
| |||||||
Communications Equipment – 0.2% |
| |||||||
Motorola Solutions, Inc., | ||||||||
4.600%, 2-23-28 | 400 | 455 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 0.2% |
| |||||||
PayPal Holdings, Inc., | ||||||||
2.300%, 6-1-30 | 350 | 364 | ||||||
Visa, Inc., | ||||||||
2.700%, 4-15-40 | 240 | 257 | ||||||
|
| |||||||
621 | ||||||||
|
| |||||||
IT Consulting & Other Services – 0.1% |
| |||||||
Leidos, Inc. (GTD by Leidos Holdings, Inc.), | ||||||||
3.625%, 5-15-25 (C) | 175 | 191 | ||||||
|
| |||||||
Semiconductor Equipment – 0.1% |
| |||||||
Lam Research Corp., | ||||||||
1.900%, 6-15-30 | 350 | 358 | ||||||
|
| |||||||
Semiconductors – 0.5% |
| |||||||
Broadcom, Inc., | ||||||||
4.700%, 4-15-25 (C) | 300 | 338 | ||||||
Intel Corp., | ||||||||
3.250%, 11-15-49 | 500 | 570 | ||||||
Xilinx, Inc., | ||||||||
2.375%, 6-1-30 | 525 | 540 | ||||||
|
| |||||||
1,448 | ||||||||
|
| |||||||
Systems Software – 0.1% |
| |||||||
Microsoft Corp., | ||||||||
2.525%, 6-1-50 | 350 | 362 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.6% |
| |||||||
Apple, Inc.: | ||||||||
3.200%, 5-11-27 | 1,000 | 1,134 | ||||||
2.950%, 9-11-49 | 500 | 548 | ||||||
|
| |||||||
1,682 | ||||||||
|
| |||||||
Total Information Technology – 2.1% |
| 6,198 | ||||||
Materials |
| |||||||
Construction Materials – 0.4% |
| |||||||
Hillman Group, Inc. (The), | ||||||||
6.375%, 7-15-22 (C) | 1,318 | 1,216 | ||||||
|
| |||||||
Diversified Metals & Mining – 0.1% |
| |||||||
Anglo American plc, | ||||||||
4.125%, 4-15-21 (C) | 500 | 508 | ||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.1% |
| |||||||
Nutrien Ltd., | ||||||||
2.950%, 5-13-30 | 350 | 371 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Metal & Glass Containers – 0.1% |
| |||||||
Ardagh Packaging Finance plc and Ardagh Holdings USA, Inc., | ||||||||
5.250%, 8-15-27 (C) | $ | 220 | $ | 216 | ||||
|
| |||||||
Specialty Chemicals – 0.4% |
| |||||||
Ecolab, Inc., | ||||||||
3.250%, 12-1-27 | 1,000 | 1,134 | ||||||
|
| |||||||
Total Materials – 1.1% |
| 3,445 | ||||||
Real Estate |
| |||||||
Real Estate Services – 0.1% |
| |||||||
Realogy Group LLC and Realogy Co-Issuer Corp. (GTD by Realogy Intermediate Holdings LLC), | ||||||||
7.625%, 6-15-25 (C) | 350 | 349 | ||||||
|
| |||||||
Specialized REITs – 0.7% |
| |||||||
American Tower Corp., | ||||||||
2.250%, 1-15-22 | 1,200 | 1,230 | ||||||
Crown Castle International Corp.: | ||||||||
5.250%, 1-15-23 | 200 | 223 | ||||||
3.100%, 11-15-29 | 600 | 643 | ||||||
|
| |||||||
2,096 | ||||||||
|
| |||||||
Total Real Estate – 0.8% |
| 2,445 | ||||||
Utilities |
| |||||||
Electric Utilities – 0.7% |
| |||||||
Duke Energy Corp., | ||||||||
3.150%, 8-15-27 | 500 | 554 | ||||||
Entergy Texas, Inc., | ||||||||
2.550%, 6-1-21 | 300 | 305 | ||||||
Exelon Corp., | ||||||||
2.450%, 4-15-21 | 400 | 405 | ||||||
Florida Power & Light Co., | ||||||||
3.150%, 10-1-49 | 425 | 483 | ||||||
Oncor Electric Delivery Co. LLC, | ||||||||
2.750%, 5-15-30 (C) | 450 | 494 | ||||||
|
| |||||||
2,241 | ||||||||
|
| |||||||
Multi-Utilities – 0.2% |
| |||||||
Dominion Energy, Inc., | ||||||||
3.600%, 3-15-27 | 450 | 498 | ||||||
|
| |||||||
Water Utilities – 0.1% |
| |||||||
American Water Capital Corp., | ||||||||
3.750%, 9-1-47 | 375 | 435 | ||||||
|
| |||||||
Total Utilities – 1.0% |
| 3,174 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 20.8% |
| $ | 64,095 | |||||
(Cost: $62,183) |
LOANS (E) | Principal | Value | ||||||
Consumer Discretionary |
| |||||||
Casinos & Gaming – 0.2% |
| |||||||
Golden Nugget LLC, | ||||||||
0.000%, 10-4-23 (F) | $ | 867 | $ | 685 | ||||
|
| |||||||
Leisure Facilities – 0.3% |
| |||||||
United PF Holdings LLC (ICE LIBOR plus 400 bps), | ||||||||
4.308%, 1-6-27 | 1,019 | 898 | ||||||
|
| |||||||
Total Consumer Discretionary – 0.5% |
| 1,583 | ||||||
Industrials |
| |||||||
Industrial Machinery – 0.2% |
| |||||||
Form Technologies LLC (ICE LIBOR plus 850 bps), | ||||||||
9.500%, 1-30-23 | 1,100 | 601 | ||||||
|
| |||||||
Total Industrials – 0.2% |
| 601 | ||||||
TOTAL LOANS – 0.7% |
| $ | 2,184 | |||||
(Cost: $2,686) | ||||||||
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | ||||||||
Mortgage-Backed Obligations – 1.0% |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO, | ||||||||
3.000%, 6-15-45 | 679 | 719 | ||||||
Federal National Mortgage Association Agency REMIC/CMO: | ||||||||
3.500%, 6-25-29 | 440 | 478 | ||||||
3.000%, 10-25-46 | 679 | 722 | ||||||
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | ||||||||
6.500%, 10-1-28 | 54 | 60 | ||||||
6.500%, 2-1-29 | 23 | 25 | ||||||
7.500%, 4-1-31 | 26 | 29 | ||||||
7.000%, 7-1-31 | 32 | 39 | ||||||
7.000%, 9-1-31 | 56 | 67 | ||||||
6.500%, 2-1-32 | 131 | 157 | ||||||
7.000%, 2-1-32 | 84 | 99 | ||||||
7.000%, 3-1-32 | 31 | 38 | ||||||
7.000%, 7-1-32 | 61 | 72 | ||||||
5.500%, 5-1-33 | 26 | 30 | ||||||
5.500%, 6-1-33 | 29 | 33 | ||||||
4.500%, 11-1-43 | 418 | 474 | ||||||
U.S. Department of Veterans Affairs, Guaranteed REMIC Pass-Through Certificates, Vendee Mortgage Trust, Series 1997-1, Class 3A, | ||||||||
8.293%, 12-15-26 | 22 | 26 | ||||||
|
| |||||||
3,068 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 1.0% |
| $ | 3,068 | |||||
(Cost: $2,927) |
2020 | SEMIANNUAL REPORT | 17 |
Table of Contents
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2020 (UNAUDITED)
UNITED STATES GOVERNMENT OBLIGATIONS | Principal | Value | ||||||
Treasury Inflation Protected Obligations – 1.4% |
| |||||||
U.S. Treasury Bonds: | ||||||||
2.125%, 2-15-40 | $ | 1,026 | $ | 1,513 | ||||
1.000%, 2-15-46 | 487 | 630 | ||||||
U.S. Treasury Notes, | ||||||||
0.125%, 7-15-26 | 1,872 | 1,990 | ||||||
|
| |||||||
4,133 | ||||||||
|
| |||||||
Treasury Obligations – 9.9% |
| |||||||
U.S. Treasury Bonds: | ||||||||
0.625%, 5-15-30 | 525 | 524 | ||||||
3.500%, 2-15-39 | 3,000 | 4,243 | ||||||
3.750%, 8-15-41 | 150 | 221 | ||||||
U.S. Treasury Notes: | ||||||||
2.875%, 11-15-21 | 750 | 778 | ||||||
2.000%, 10-31-22 | 480 | 500 | ||||||
2.125%, 12-31-22 | 2,900 | 3,041 | ||||||
2.750%, 11-15-23 | 1,600 | 1,737 | ||||||
1.750%, 6-30-24 | 1,400 | 1,485 |
UNITED STATES GOVERNMENT OBLIGATIONS (Continued) | Principal | Value | ||||||
Treasury Obligations (Continued) |
| |||||||
2.250%, 10-31-24 | $ | 3,635 | $ | 3,949 | ||||
1.500%, 11-30-24 | 1,700 | 1,794 | ||||||
2.875%, 4-30-25 | 500 | 562 | ||||||
2.875%, 5-31-25 | 900 | 1,013 | ||||||
3.000%, 9-30-25 | 900 | 1,025 | ||||||
2.625%, 12-31-25 | 800 | 899 | ||||||
0.625%, 3-31-27 | 5,440 | 5,495 | ||||||
2.750%, 2-15-28 | 250 | 292 | ||||||
2.875%, 8-15-28 | 737 | 873 | ||||||
1.500%, 2-15-30 | 1,855 | 2,005 | ||||||
|
| |||||||
30,436 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 11.3% |
| $ | 34,569 | |||||
(Cost: $31,616) |
SHORT-TERM SECURITIES | Shares | Value | ||||||
Money Market Funds (H) – 1.1% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, 0.100% (G) | 150 | $ | 150 | |||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, 0.120% | 3,373 | 3,373 | ||||||
|
| |||||||
3,523 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.1% |
| $ | 3,523 | |||||
(Cost: $3,523) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.3% |
| $ | 308,516 | |||||
(Cost: $288,551) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.3)% |
| (826 | ) | |||||
NET ASSETS – 100.0% |
| $ | 307,690 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Restricted security. At June 30, 2020, the Portfolio owned the following restricted security: |
Security | Acquisition Date(s) | Shares | Cost | Value | ||||||||||||||||
Targa Resources Corp., 9.500% | 3-2-20 | 3 | $ | 3,225 | $ | 3,127 | ||||||||||||||
|
|
The total value of this security represented 1.0% of net assets at June 30, 2020. |
(C) | 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, 2020 the total value of these securities amounted to $14,165 or 4.6% of net assets. |
(D) | All or a portion of securities with an aggregate value of $147 are on loan. |
(E) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2020. Description of the reference rate and spread, if applicable, are included in the security description. |
(F) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(G) | Investment made with cash collateral received from securities on loan. |
(H) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | $ | 192,575 | $ | — | $ | — | ||||||
Investment Funds | 5,068 | — | — | |||||||||
Preferred Stocks | 307 | 3,127 | — | |||||||||
Corporate Debt Securities | — | 64,095 | — | |||||||||
Loans | — | 2,184 | — | |||||||||
United States Government Agency Obligations | — | 3,068 | — | |||||||||
United States Government Obligations | — | 34,569 | — | |||||||||
Short-Term Securities | 3,523 | — | — | |||||||||
Total | $ | 201,473 | $ | 107,043 | $ | — |
18 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2020 (UNAUDITED)
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
CMO = Collateralized Mortgage Obligation
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.
2020 | SEMIANNUAL REPORT | 19 |
Table of Contents
PORTFOLIO HIGHLIGHTS | ENERGY |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 97.5% | |||
Energy | 84.5% | |||
Information Technology | 9.4% | |||
Utilities | 3.6% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 2.5% |
Country Weightings
North America | 95.3% | |||
United States | 91.3% | |||
Canada | 4.0% | |||
Europe | 2.2% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 2.5% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Marathon Petroleum Corp. | United States | Energy | Oil & Gas Refining & Marketing | |||
Phillips 66 | United States | Energy | Oil & Gas Refining & Marketing | |||
Valero Energy Corp. | United States | Energy | Oil & Gas Refining & Marketing | |||
Wright Express Corp. | United States | Information Technology | Data Processing & Outsourced Services | |||
Hess Corp. | United States | Energy | Integrated Oil & Gas | |||
Pioneer Natural Resources Co. | United States | Energy | Oil & Gas Exploration & Production | |||
Cactus, Inc., Class A | United States | Energy | Oil & Gas Equipment & Services | |||
Concho Resources, Inc. | United States | Energy | Oil & Gas Exploration & Production | |||
Exxon Mobil Corp. | United States | Energy | Oil & Gas Exploration & Production | |||
Chevron Corp. | United States | Energy | Integrated Oil & Gas |
See your advisor or www.ivyinvestments.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.
20 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | ENERGY (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 12.0% |
| |||||||
Chevron Corp. | 13 | $ | 1,120 | |||||
Hess Corp. | 26 | 1,358 | ||||||
Suncor Energy, Inc. | 42 | 712 | ||||||
Total S.A. ADR | 19 | 729 | ||||||
|
| |||||||
3,919 | ||||||||
|
| |||||||
Oil & Gas Drilling – 1.0% |
| |||||||
Helmerich & Payne, Inc. | 17 | 332 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 19.2% |
| |||||||
Baker Hughes, Inc. | 71 | 1,098 | ||||||
Cactus, Inc., Class A | 61 | 1,264 | ||||||
ChampionX Corp. (A) | 85 | 826 | ||||||
Dril-Quip, Inc. (A) | 28 | 837 | ||||||
Halliburton Co. | 63 | 818 | ||||||
Liberty Oilfield Services, Inc., Class A | 27 | 149 | ||||||
National Oilwell Varco, Inc. | 35 | 426 | ||||||
Schlumberger Ltd. | 47 | 858 | ||||||
|
| |||||||
6,276 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 32.3% |
| |||||||
Cabot Oil & Gas Corp. | 22 | 385 | ||||||
Canadian Natural Resources Ltd. | 34 | 587 | ||||||
Concho Resources, Inc. | 24 | 1,238 | ||||||
ConocoPhillips | 25 | 1,054 | ||||||
Continental Resources, Inc. (B) | 34 | 592 | ||||||
Diamondback Energy, Inc. | 20 | 833 | ||||||
EOG Resources, Inc. | 19 | 987 | ||||||
Exxon Mobil Corp. | 25 | 1,125 | ||||||
Noble Energy, Inc. | 16 | 145 | ||||||
Parsley Energy, Inc., Class A | 92 | 983 | ||||||
Pioneer Natural Resources Co. | 13 | 1,311 | ||||||
Viper Energy Partners L.P. | 37 | 384 | ||||||
WPX Energy, Inc. (A) | 152 | 967 | ||||||
|
| |||||||
10,591 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Oil & Gas Refining & Marketing – 15.8% |
| |||||||
Marathon Petroleum Corp. | 47 | $ | 1,749 | |||||
Phillips 66 | 24 | 1,745 | ||||||
Valero Energy Corp. | 29 | 1,691 | ||||||
|
| |||||||
5,185 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 4.2% |
| |||||||
Energy Transfer L.P. | 29 | 203 | ||||||
Enterprise Products Partners L.P. | 41 | 747 | ||||||
MPLX L.P. | 11 | 182 | ||||||
Rattler Midstream L.P. | 26 | 255 | ||||||
|
| |||||||
1,387 | ||||||||
|
| |||||||
Total Energy – 84.5% |
| 27,690 | ||||||
Information Technology |
| |||||||
Application Software – 2.6% |
| |||||||
Aspen Technology, Inc. (A) | 8 | 835 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 4.2% |
| |||||||
Wright Express Corp. (A) | 8 | 1,387 | ||||||
|
| |||||||
Semiconductor Equipment – 1.4% |
| |||||||
Enphase Energy, Inc. (A) | 10 | 474 | ||||||
|
| |||||||
Semiconductors – 1.2% |
| |||||||
First Solar, Inc. (A) | 8 | 378 | ||||||
|
| |||||||
Total Information Technology – 9.4% |
| 3,074 | ||||||
Utilities |
| |||||||
Electric Utilities – 2.5% |
| |||||||
American Electric Power Co., Inc. | 4 | 314 | ||||||
Duke Energy Corp. | 4 | 313 | ||||||
NextEra Energy, Inc. | 1 | 203 | ||||||
|
| |||||||
830 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Multi-Utilities – 1.1% |
| |||||||
Dominion Energy, Inc. | 4 | $ | 349 | |||||
|
| |||||||
Total Utilities – 3.6% |
| 1,179 | ||||||
TOTAL COMMON STOCKS – 97.5% |
| $ | 31,943 | |||||
(Cost: $48,144) |
| |||||||
SHORT-TERM SECURITIES | ||||||||
Money Market Funds (D) – 4.1% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | ||||||||
0.100% (C) | 560 | 560 | ||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, | ||||||||
0.120% | 793 | 793 | ||||||
|
| |||||||
1,353 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 4.1% |
| $ | 1,353 | |||||
(Cost: $1,353) |
| |||||||
TOTAL INVESTMENT SECURITIES – 101.6% |
| $ | 33,296 | |||||
(Cost: $49,497) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.6)% |
| (513 | ) | |||||
NET ASSETS – 100.0% |
| $ | 32,783 |
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 $541 are on loan. |
(C) | Investment made with cash collateral received from securities on loan. |
(D) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | $ | 31,943 | $ | — | $ | — | ||||||
Short-Term Securities | 1,353 | — | — | |||||||||
Total | $ | 33,296 | $ | — | $ | — |
2020 | SEMIANNUAL REPORT | 21 |
Table of Contents
SCHEDULE OF INVESTMENTS | ENERGY (in thousands) |
JUNE 30, 2020 (UNAUDITED)
Country Diversification
(as a % of net assets) |
| |||
United States | 91.3% | |||
Canada | 4.0% | |||
France | 2.2% | |||
Other+ | 2.5% |
+Includes liabilities (net of cash and other assets), and cash equivalents
See Accompanying Notes to Financial Statements.
22 | SEMIANNUAL REPORT | 2020 |
Table of Contents
PORTFOLIO HIGHLIGHTS | GROWTH |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 99.1% | |||
Information Technology | 39.6% | |||
Consumer Discretionary | 18.0% | |||
Health Care | 14.0% | |||
Communication Services | 10.8% | |||
Industrials | 8.9% | |||
Consumer Staples | 3.5% | |||
Financials | 2.9% | |||
Real Estate | 1.4% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 0.9% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Microsoft Corp. | Information Technology | Systems Software | ||
Apple, Inc. | Information Technology | Technology Hardware, Storage & Peripherals | ||
Amazon.com, Inc. | Consumer Discretionary | Internet & Direct Marketing Retail | ||
Visa, Inc., Class A | Information Technology | Data Processing & Outsourced Services | ||
Alphabet, Inc., Class A | Communication Services | Interactive Media & Services | ||
Facebook, Inc., Class A | Communication Services | Interactive Media & Services | ||
Motorola Solutions, Inc. | Information Technology | Communications Equipment | ||
Adobe, Inc. | Information Technology | Application Software | ||
Coca-Cola Co. (The) | Consumer Staples | Soft Drinks | ||
Cerner Corp. | Health Care | Health Care Technology |
See your advisor or www.ivyinvestments.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.
2020 | SEMIANNUAL REPORT | 23 |
Table of Contents
SCHEDULE OF INVESTMENTS | GROWTH (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Communication Services |
| |||||||
Interactive Home Entertainment – 2.5% |
| |||||||
Electronic Arts, Inc. (A) | 152 | $ | 20,017 | |||||
|
| |||||||
Interactive Media & Services – 8.3% |
| |||||||
Alphabet, Inc., Class A (A) | 22 | 31,685 | ||||||
Alphabet, Inc., Class C (A) | 5 | 7,465 | ||||||
Facebook, Inc., Class A (A) | 126 | 28,606 | ||||||
|
| |||||||
67,756 | ||||||||
|
| |||||||
Total Communication Services – 10.8% |
| 87,773 | ||||||
Consumer Discretionary |
| |||||||
Apparel, Accessories & Luxury Goods – 1.2% |
| |||||||
V.F. Corp. | 166 | 10,145 | ||||||
|
| |||||||
Automobile Manufacturers – 1.6% |
| |||||||
Ferrari N.V. | 76 | 13,046 | ||||||
|
| |||||||
Automotive Retail – 1.1% |
| |||||||
O’Reilly Automotive, Inc. (A) | 21 | 8,720 | ||||||
|
| |||||||
Footwear – 0.7% |
| |||||||
NIKE, Inc., Class B | 61 | 5,933 | ||||||
|
| |||||||
Home Improvement Retail – 2.2% |
| |||||||
Home Depot, Inc. (The) | 73 | 18,253 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 8.6% |
| |||||||
Amazon.com, Inc. (A) | 18 | 49,035 | ||||||
Booking Holdings, Inc. (A) | 13 | 20,933 | ||||||
|
| |||||||
69,968 | ||||||||
|
| |||||||
Specialty Stores – 2.6% |
| |||||||
Tractor Supply Co. | 158 | 20,853 | ||||||
|
| |||||||
Total Consumer Discretionary – 18.0% |
| 146,918 | ||||||
Consumer Staples |
| |||||||
Personal Products – 0.5% |
| |||||||
Estee Lauder Co., Inc. (The), Class A | 22 | 4,195 | ||||||
|
| |||||||
Soft Drinks – 3.0% |
| |||||||
Coca-Cola Co. (The) | 555 | 24,779 | ||||||
|
| |||||||
Total Consumer Staples – 3.5% |
| 28,974 | ||||||
Financials |
| |||||||
Financial Exchanges & Data – 2.9% |
| |||||||
CME Group, Inc. | 49 | 7,932 | ||||||
S&P Global, Inc. | 47 | 15,638 | ||||||
|
| |||||||
23,570 | ||||||||
|
| |||||||
Total Financials – 2.9% |
| 23,570 | ||||||
Health Care |
| |||||||
Biotechnology – 1.4% |
| |||||||
Vertex Pharmaceuticals, Inc. (A) | 41 | 11,828 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care Equipment – 2.4% |
| |||||||
Danaher Corp. | 50 | $ | 8,774 | |||||
Intuitive Surgical, Inc. (A) | 19 | 11,047 | ||||||
|
| |||||||
19,821 | ||||||||
|
| |||||||
Health Care Supplies – 1.9% |
| |||||||
Cooper Cos., Inc. (The) | 54 | 15,296 | ||||||
|
| |||||||
Health Care Technology – 2.9% |
| |||||||
Cerner Corp. | 350 | 23,978 | ||||||
|
| |||||||
Life Sciences Tools & Services – 1.2% |
| |||||||
Mettler-Toledo International, Inc. (A) | 12 | 9,448 | ||||||
|
| |||||||
Managed Health Care – 2.8% |
| |||||||
UnitedHealth Group, Inc. | 76 | 22,454 | ||||||
|
| |||||||
Pharmaceuticals – 1.4% |
| |||||||
Zoetis, Inc. | 81 | 11,080 | ||||||
|
| |||||||
Total Health Care – 14.0% |
| 113,905 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 1.2% |
| |||||||
Northrop Grumman Corp. | 32 | 9,977 | ||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 0.8% |
| |||||||
Caterpillar, Inc. | 50 | 6,369 | ||||||
|
| |||||||
Industrial Machinery – 2.4% |
| |||||||
Stanley Black & Decker, Inc. | 139 | 19,434 | ||||||
|
| |||||||
Railroads – 1.2% |
| |||||||
Union Pacific Corp. | 57 | 9,690 | ||||||
|
| |||||||
Research & Consulting Services – 2.1% |
| |||||||
CoStar Group, Inc. (A) | 7 | 5,013 | ||||||
Verisk Analytics, Inc., Class A | 69 | 11,749 | ||||||
|
| |||||||
16,762 | ||||||||
|
| |||||||
Trucking – 1.2% |
| |||||||
J.B. Hunt Transport Services, Inc. | 83 | 10,016 | ||||||
|
| |||||||
Total Industrials – 8.9% |
| 72,248 | ||||||
Information Technology |
| |||||||
Application Software – 7.2% |
| |||||||
Adobe, Inc. (A) | 61 | 26,347 | ||||||
Intuit, Inc. | 53 | 15,696 | ||||||
NVIDIA Corp. | 43 | 16,417 | ||||||
|
| |||||||
58,460 | ||||||||
|
| |||||||
Communications Equipment – 3.3% |
| |||||||
Motorola Solutions, Inc. | 192 | 26,862 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 10.9% |
| |||||||
Broadridge Financial Solutions, Inc. | 115 | 14,521 | ||||||
FleetCor Technologies, Inc. (A) | 51 | 12,894 | ||||||
MasterCard, Inc., Class A | 14 | 4,025 | ||||||
PayPal, Inc. (A) | 115 | 19,960 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Data Processing & Outsourced Services (Continued) |
| |||||||
Visa, Inc., Class A | 193 | $ | 37,224 | |||||
|
| |||||||
88,624 | ||||||||
|
| |||||||
Internet Services & Infrastructure – 1.4% |
| |||||||
VeriSign, Inc. (A) | 57 | 11,884 | ||||||
|
| |||||||
Systems Software – 9.8% |
| |||||||
Microsoft Corp. | 394 | 80,129 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 7.0% |
| |||||||
Apple, Inc. | 157 | 57,291 | ||||||
|
| |||||||
Total Information Technology – 39.6% |
| 323,250 | ||||||
Real Estate |
| |||||||
Specialized REITs – 1.4% |
| |||||||
American Tower Corp., Class A | 24 | 6,231 | ||||||
Equinix, Inc. | 8 | 5,515 | ||||||
|
| |||||||
11,746 | ||||||||
|
| |||||||
Total Real Estate – 1.4% |
| 11,746 | ||||||
TOTAL COMMON STOCKS – 99.1% |
| $ | 808,384 | |||||
(Cost: $542,779) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Money Market Funds (B) – 1.0% |
| |||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, 0.120% | 8,180 | 8,180 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.0% |
| $ | 8,180 | |||||
(Cost: $8,180) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.1% |
| $ | 816,564 | |||||
(Cost: $550,959) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.1)% |
| (431 | ) | |||||
NET ASSETS – 100.0% |
| $ | 816,133 |
24 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | GROWTH (in thousands) |
JUNE 30, 2020 (UNAUDITED)
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | $ | 808,384 | $ | — | $ | — | ||||||
Short-Term Securities | 8,180 | — | — | |||||||||
Total | $ | 816,564 | $ | — | $ | — |
The following acronym is used throughout this schedule:
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 25 |
Table of Contents
PORTFOLIO HIGHLIGHTS | HIGH INCOME |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 6.4% | |||
Financials | 4.2% | |||
Consumer Discretionary | 1.2% | |||
Energy | 1.0% | |||
Health Care | 0.0% | |||
Consumer Staples | 0.0% | |||
Industrials | 0.0% | |||
Warrants | 0.0% | |||
Bonds | 89.2% | |||
Corporate Debt Securities | 66.4% | |||
Loans | 22.8% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 4.4% |
Quality Weightings
Investment Grade | 0.1% | |||
BBB | 0.1% | |||
Non-Investment Grade | 89.1% | |||
BB | 9.5% | |||
B | 43.5% | |||
CCC | 29.7% | |||
Below CCC | 1.0% | |||
Non-rated | 5.4% | |||
Liabilities (Net of Cash and Other Assets), Cash Equivalents+ and Equities | 10.8% |
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.
26 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.0% |
| |||||||
True Religion Apparel, Inc. (A)(B) | 13 | $ | — | * | ||||
|
| |||||||
Casinos & Gaming – 0.0% |
| |||||||
New Cotai Participation Corp., Class B (A)(B)(C) | — | * | — | |||||
|
| |||||||
Education Services – 0.5% |
| |||||||
Laureate Education, Inc., Class A (A) | 443 | 4,411 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.7% |
| |||||||
Studio City International Holdings Ltd. ADR (A) | 343 | 5,456 | ||||||
|
| |||||||
Total Consumer Discretionary – 1.2% |
| 9,867 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 0.0% |
| |||||||
ASG Warrant Corp. (A)(B)(C) | 1 | — | ||||||
|
| |||||||
Total Consumer Staples – 0.0% |
| — | ||||||
Energy |
| |||||||
Coal & Consumable Fuels – 0.0% |
| |||||||
Westmoreland Coal Co. (A) | 29 | 272 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.0% |
| |||||||
Larchmont Resources LLC (A)(B)(C)(D)(E) | 1 | 45 | ||||||
McDermott International, Inc. (A)(B) | 21 | — | * | |||||
|
| |||||||
45 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.0% |
| |||||||
Bellatrix Exploration Ltd. (A)(B)(D) | 436 | — | * | |||||
Sabine Oil & Gas Corp. (A)(B)(C) | — | * | 4 | |||||
|
| |||||||
4 | ||||||||
|
| |||||||
Total Energy – 0.0% |
| 321 | ||||||
Health Care |
| |||||||
Pharmaceuticals – 0.0% |
| |||||||
Advanz Pharma Corp. (A)(D) | 35 | 105 | ||||||
|
| |||||||
Total Health Care – 0.0% |
| 105 | ||||||
Industrials |
| |||||||
Air Freight & Logistics – 0.0% |
| |||||||
BIS Industries Ltd. (B)(C) | 1,605 | — | * | |||||
|
| |||||||
Total Industrials – 0.0% |
| — | * | |||||
TOTAL COMMON STOCKS – 1.2% |
| $ | 10,293 | |||||
(Cost: $13,362) | ||||||||
INVESTMENT FUNDS | ||||||||
Registered Investment Companies – 4.2% |
| |||||||
Invesco Senior Loan ETF | 424 | 9,056 | ||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 290 | 23,670 | ||||||
|
| |||||||
32,726 | ||||||||
|
|
Shares | Value | |||||||
TOTAL INVESTMENT FUNDS – 4.2% |
| $ | 32,726 | |||||
(Cost: $33,375) | ||||||||
PREFERRED STOCKS | ||||||||
Consumer Staples |
| |||||||
Agricultural Products – 0.0% |
| |||||||
Pinnacle Agriculture Enterprises LLC (A)(B)(C) | 4,583 | — | * | |||||
|
| |||||||
Total Consumer Staples – 0.0% |
| — | * | |||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 1.0% |
| |||||||
Targa Resources Corp., 9.500% (A)(C) | 8 | 7,833 | ||||||
|
| |||||||
Total Energy – 1.0% |
| 7,833 | ||||||
TOTAL PREFERRED STOCKS – 1.0% |
| $ | 7,833 | |||||
(Cost: $10,499) | ||||||||
WARRANTS | ||||||||
Oil & Gas Exploration & Production – 0.0% |
| |||||||
Ultra Resources, Inc., expires 7-14-25(B)(G) | 20 | 1 | ||||||
|
| |||||||
TOTAL WARRANTS – 0.0% |
| $ | 1 | |||||
(Cost: $5) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Communication Services |
| |||||||
Broadcasting – 1.2% |
| |||||||
Clear Channel Outdoor Holdings, Inc., | ||||||||
5.125%, 8-15-27 (F) | $ | 5,508 | 5,288 | |||||
Clear Channel Worldwide Holdings, Inc., | ||||||||
9.250%, 2-15-24 | 3,979 | 3,691 | ||||||
|
| |||||||
8,979 | ||||||||
|
| |||||||
Cable & Satellite – 9.8% |
| |||||||
Altice Financing S.A.: | ||||||||
7.500%, 5-15-26 (F) | 1,870 | 1,963 | ||||||
5.000%, 1-15-28 (F) | 1,421 | 1,412 | ||||||
Altice France Holding S.A.: | ||||||||
10.500%, 5-15-27 (F) | 12,589 | 13,867 | ||||||
6.000%, 2-15-28 (F) | 10,750 | 10,152 | ||||||
Altice France S.A.: | ||||||||
7.375%, 5-1-26 (F) | 5,343 | 5,578 | ||||||
8.125%, 2-1-27 (F) | 7,213 | 7,898 | ||||||
CCO Holdings LLC and CCO Holdings Capital Corp., | ||||||||
5.000%, 2-1-28 (F) | 4,233 | 4,371 | ||||||
CSC Holdings LLC: | ||||||||
5.500%, 5-15-26 (F) | 2,025 | 2,078 | ||||||
5.375%, 2-1-28 (F) | 4,930 | 5,152 | ||||||
5.750%, 1-15-30 (F) | 1,372 | 1,433 | ||||||
DISH DBS Corp.: | ||||||||
5.875%, 7-15-22 | 2,310 | 2,349 | ||||||
5.875%, 11-15-24 | 1,610 | 1,600 | ||||||
7.750%, 7-1-26 | 2,821 | 2,991 | ||||||
7.375%, 7-1-28 (F) | 741 | 736 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Cable & Satellite (Continued) |
| |||||||
Neptune Finco Corp., 6.625%, 10-15-25 (F) | $ | 788 | $ | 819 | ||||
VTR Comunicaciones S.p.A., 5.125%, 1-15-28 (F) | 2,964 | 3,025 | ||||||
VTR Finance B.V.: | ||||||||
6.875%, 1-15-24 (F) | 8,223 | 8,412 | ||||||
6.375%, 7-15-28 (F) | 2,826 | 2,900 | ||||||
|
| |||||||
76,736 | ||||||||
|
| |||||||
Integrated Telecommunication Services – 4.0% |
| |||||||
Frontier Communications Corp.: | ||||||||
6.875%, 1-15-25 (H) | 6,315 | 1,880 | ||||||
11.000%, 9-15-25 (H) | 8,236 | 2,842 | ||||||
8.500%, 4-1-26 (F)(H) | 11,690 | 11,053 | ||||||
Northwest Fiber LLC, 10.750%, 6-1-28 (F) | 957 | 995 | ||||||
West Corp., | 18,737 | 14,896 | ||||||
|
| |||||||
31,666 | ||||||||
|
| |||||||
Publishing – 0.3% |
| |||||||
MDC Partners, Inc., 6.500%, 5-1-24 (F) | 2,381 | 2,214 | ||||||
|
| |||||||
Wireless Telecommunication Service – 2.4% |
| |||||||
Digicel Group Ltd., | 1,351 | 1,320 | ||||||
Digicel Group Ltd. (5.000% Cash and 3.000% PIK), 8.000%, 4-1-25 (F)(I) | 573 | 143 | ||||||
Digicel Group Ltd. (7.000% Cash or 7.000% PIK), | 533 | 37 | ||||||
Digicel International Finance Ltd.: | ||||||||
8.750%, 5-25-24 (F) | 9,626 | 9,409 | ||||||
8.000%, 12-31-26 (F) | 539 | 324 | ||||||
Digicel International Finance Ltd. (6.000% Cash and 7.000% PIK), 13.000%, 12-31-25 (F)(I) | 684 | 575 | ||||||
Digicel International Finance Ltd. (8.000% Cash and 2.000% PIK or 10.000% PIK), 10.000%, 4-1-24 (I) | 4,983 | 3,438 | ||||||
Digicel Ltd., | 6,795 | 3,499 | ||||||
|
| |||||||
18,745 | ||||||||
|
| |||||||
Total Communication Services – 17.7% |
| 138,340 | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.4% |
| |||||||
Abercrombie & Fitch Management Co. (GTD by Abercrombie & Fitch Co.), | ||||||||
8.750%, 7-15-25 (F) | 2,594 | 2,555 | ||||||
L Brands, Inc.: | ||||||||
6.875%, 7-1-25 (F) | 375 | 387 | ||||||
9.375%, 7-1-25 (F) | 673 | 674 | ||||||
|
| |||||||
3,616 | ||||||||
|
| |||||||
Auto Parts & Equipment – 0.1% |
| |||||||
Adient U.S. LLC, | 597 | 643 | ||||||
|
|
2020 | SEMIANNUAL REPORT | 27 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2020 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Automobile Manufacturers – 0.4% |
| |||||||
Ford Motor Co.: | ||||||||
8.500%, 4-21-23 | $ | 1,491 | $ | 1,577 | ||||
9.000%, 4-22-25 | 1,491 | 1,612 | ||||||
|
| |||||||
3,189 | ||||||||
|
| |||||||
Automotive Retail – 1.2% |
| |||||||
Allison Transmission, Inc., | ||||||||
5.000%, 10-1-24 (F) | 781 | 779 | ||||||
Asbury Automotive Group, Inc.: | ||||||||
4.500%, 3-1-28 (F) | 2,378 | 2,307 | ||||||
4.750%, 3-1-30 (F) | 4,297 | 4,189 | ||||||
Lithia Motors, Inc., 4.625%, 12-15-27 (F) | 1,119 | 1,108 | ||||||
Sonic Automotive, Inc., 6.125%, 3-15-27 | 1,198 | 1,186 | ||||||
|
| |||||||
9,569 | ||||||||
|
| |||||||
Casinos & Gaming – 3.0% |
| |||||||
Boyd Gaming Corp.: | ||||||||
8.625%, 6-1-25 (F) | 748 | 781 | ||||||
4.750%, 12-1-27 (F) | 2,089 | 1,793 | ||||||
Colt Merger Sub, Inc.: | ||||||||
6.250%, 7-1-25 (F) | 2,963 | 2,940 | ||||||
8.125%, 7-1-27 (F) | 4,631 | 4,503 | ||||||
Everi Payments, Inc., 7.500%, 12-15-25 (F) | 3,346 | 3,204 | ||||||
Gateway Casinos & Entertainment Ltd., | 2,450 | 2,009 | ||||||
Golden Nugget, Inc., | ||||||||
6.750%, 10-15-24 (F) | 5,273 | 3,790 | ||||||
Scientific Games International, Inc. (GTD by Scientific Games Corp.): | ||||||||
5.000%, 10-15-25 (F) | 1,023 | 944 | ||||||
7.000%, 5-15-28 (F) | 282 | 226 | ||||||
7.250%, 11-15-29 (F) | 282 | 226 | ||||||
Wynn Macau Ltd.: | ||||||||
4.875%, 10-1-24 (F) | 855 | 834 | ||||||
5.500%, 10-1-27 (F) | 2,301 | 2,278 | ||||||
|
| |||||||
23,528 | ||||||||
|
| |||||||
Department Stores – 0.1% |
| |||||||
Nordstrom, Inc.: | ||||||||
4.000%, 10-15-21 | 393 | 393 | ||||||
8.750%, 5-15-25 (F) | 296 | 318 | ||||||
|
| |||||||
711 | ||||||||
|
| |||||||
Education Services – 2.3% |
| |||||||
Laureate Education, Inc., | ||||||||
8.250%, 5-1-25 (F) | 17,225 | 17,871 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.5% |
| |||||||
Boyne USA, Inc., | ||||||||
7.250%, 5-1-25 (F) | 2,468 | 2,585 | ||||||
NCL Corp. Ltd., | ||||||||
12.250%, 5-15-24 (F) | 1,507 | 1,576 | ||||||
|
| |||||||
4,161 | ||||||||
|
| |||||||
Leisure Facilities – 0.5% |
| |||||||
Cedar Fair L.P., Magnum Management Corp., Canada’s Wonderland Co. and Millennium Operations LLC, 5.375%, 4-15-27 | 2,137 | 1,913 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Leisure Facilities (Continued) |
| |||||||
Live Nation Entertainment, Inc., 4.750%, 10-15-27 (F) | $ | 1,521 | $ | 1,308 | ||||
Six Flags Theme Parks, Inc., 7.000%, 7-1-25 (F) | 297 | 307 | ||||||
|
| |||||||
3,528 | ||||||||
|
| |||||||
Specialized Consumer Services – 0.1% |
| |||||||
Nielsen Finance LLC and Nielsen Finance Co., | ||||||||
5.000%, 4-15-22 (F) | 896 | 893 | ||||||
|
| |||||||
Specialty Stores – 2.5% |
| |||||||
Party City Holdings, Inc., | ||||||||
6.625%, 8-1-26 (F) | 1,785 | 384 | ||||||
Staples, Inc.: | ||||||||
7.500%, 4-15-26 (F) | 18,924 | 14,869 | ||||||
10.750%, 4-15-27 (F) | 7,355 | 4,486 | ||||||
|
| |||||||
19,739 | ||||||||
|
| |||||||
Total Consumer Discretionary – 11.1% |
| 87,448 | ||||||
Consumer Staples |
| |||||||
Food Distributors – 0.1% |
| |||||||
Performance Food Group, Inc., | ||||||||
6.875%, 5-1-25 (F) | 373 | 385 | ||||||
|
| |||||||
Packaged Foods & Meats – 4.9% |
| |||||||
JBS USA LLC and JBS USA | ||||||||
5.875%, 7-15-24 (F) | 6,983 | 7,079 | ||||||
5.750%, 6-15-25 (F) | 4,650 | 4,708 | ||||||
JBS USA Lux S.A. and JBS USA Finance, Inc., | ||||||||
6.750%, 2-15-28 (F) | 3,115 | 3,290 | ||||||
JBS USA, JBS USA Food Co. and JBS USA Finance, Inc. (GTD by JBS S.A.): | ||||||||
6.500%, 4-15-29 (F) | 545 | 578 | ||||||
5.500%, 1-15-30 (F) | 2,078 | 2,130 | ||||||
Pilgrim’s Pride Corp.: | ||||||||
5.750%, 3-15-25 (F) | 881 | 878 | ||||||
5.875%, 9-30-27 (F) | 3,082 | 3,083 | ||||||
Post Holdings, Inc.: | ||||||||
5.000%, 8-15-26 (F) | 1,267 | 1,272 | ||||||
5.750%, 3-1-27 (F) | 7,368 | 7,626 | ||||||
Simmons Foods, Inc.: | ||||||||
7.750%, 1-15-24 (F) | 1,656 | 1,728 | ||||||
5.750%, 11-1-24 (F) | 6,704 | 6,369 | ||||||
|
| |||||||
38,741 | ||||||||
|
| |||||||
Total Consumer Staples – 5.0% |
| 39,126 | ||||||
Energy |
| |||||||
Oil & Gas Drilling – 0.6% |
| |||||||
KCA Deutag UK Finance plc, | ||||||||
7.250%, 5-15-21 (F) | 5,209 | 2,493 | ||||||
Offshore Drilling Holding S.A., 8.375%, 9-20-20 (F)(J) | 8,682 | 2,008 | ||||||
|
| |||||||
4,501 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.1% |
| |||||||
Nine Energy Service, Inc., | ||||||||
8.750%, 11-1-23 (F) | 1,917 | 934 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Exploration & Production – 3.6% |
| |||||||
Bellatrix Exploration Ltd., | ||||||||
8.500%, 9-11-23 (H) | $ | 1,022 | $ | — | * | |||
Bellatrix Exploration Ltd. | ||||||||
9.500%, 12-15-23 (H)(I) | 1,113 | — | * | |||||
Crownrock L.P., | ||||||||
5.625%, 10-15-25 (F) | 6,957 | 6,235 | ||||||
Endeavor Energy Resources L.P.: | ||||||||
5.500%, 1-30-26 (F) | 2,453 | 2,349 | ||||||
5.750%, 1-30-28 (F) | 1,789 | 1,717 | ||||||
Endeavor Energy Resources L.P. and EER Finance, Inc., | ||||||||
6.625%, 7-15-25 (F) | 1,803 | 1,817 | ||||||
EQT Corp., | ||||||||
6.125%, 2-1-25 (K) | 1,492 | 1,487 | ||||||
Extraction Oil & Gas, Inc., | ||||||||
5.625%, 2-1-26 (F)(H) | 2,389 | 460 | ||||||
Laredo Petroleum, Inc.: | ||||||||
9.500%, 1-15-25 | 4,262 | 2,946 | ||||||
10.125%, 1-15-28 (K) | 2,841 | 1,960 | ||||||
QEP Resources, Inc.: | ||||||||
5.250%, 5-1-23 | 1,438 | 949 | ||||||
5.625%, 3-1-26 | 1,085 | 689 | ||||||
Sanchez Energy Corp., | ||||||||
7.250%, 2-15-23 (F)(H) | 622 | 6 | ||||||
Seven Generations Energy Ltd.: | ||||||||
6.750%, 5-1-23 (F) | 5,646 | 5,420 | ||||||
5.375%, 9-30-25 (F) | 2,523 | 2,221 | ||||||
|
| |||||||
28,256 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 1.7% |
| |||||||
Callon Petroleum Co. (GTD by Callon Petroleum Operating Co.): | ||||||||
6.125%, 10-1-24 | 1,081 | 368 | ||||||
6.375%, 7-1-26 | 386 | 127 | ||||||
Comstock Escrow Corp., 9.750%, 8-15-26 | 10,817 | 10,118 | ||||||
EP Energy LLC and Everest Acquisition Finance, Inc.: | ||||||||
9.375%, 5-1-24 (F)(H) | 1,320 | — | * | |||||
8.000%, 2-15-25 (F)(H) | 1,386 | — | * | |||||
7.750%, 5-15-26 (F)(H) | 1,933 | 387 | ||||||
PBF Holding Co. LLC: | ||||||||
9.250%, 5-15-25 (F) | 885 | 945 | ||||||
6.000%, 2-15-28 (F) | 1,420 | 1,178 | ||||||
|
| |||||||
13,123 | ||||||||
|
| |||||||
Total Energy – 6.0% |
| 46,814 | ||||||
Financials |
| |||||||
Consumer Finance – 0.6% |
| |||||||
Alliance Data Systems Corp., 4.750%, 12-15-24 (F) | 2,991 | 2,692 | ||||||
CURO Group Holdings Corp., 8.250%, 9-1-25 (F) | 2,815 | 2,251 | ||||||
|
| |||||||
4,943 | ||||||||
|
| |||||||
Financial Exchanges & Data – 0.8% |
| |||||||
Refinitiv U.S. Holdings, Inc., | ||||||||
8.250%, 11-15-26 (F) | 5,889 | 6,378 | ||||||
|
|
28 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2020 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Insurance Brokers – 3.2% |
| |||||||
Ardonagh Midco 2 plc, 11.500%, 1-15-27 (F) | $ | 6,277 | $ | 6,308 | ||||
NFP Corp.: | ||||||||
7.000%, 5-15-25 (F) | 1,498 | 1,573 | ||||||
6.875%, 7-15-25 (F) | 14,533 | 13,946 | ||||||
8.000%, 7-15-25 (F) | 2,791 | 2,728 | ||||||
|
| |||||||
24,555 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 0.5% |
| |||||||
INTL FCStone, Inc., 8.625%, 6-15-25 (F) | 3,791 | 3,959 | ||||||
|
| |||||||
Other Diversified Financial Services – 1.5% |
| |||||||
New Cotai LLC and New Cotai Capital Corp. (10.625% Cash or 10.625% PIK), 10.625%, 5-1-19 (F)(H)(I) | 26,095 | 11,743 | ||||||
|
| |||||||
Property & Casualty Insurance – 0.8% |
| |||||||
Amwins Group, Inc., 7.750%, 7-1-26 (F) | 4,026 | 4,227 | ||||||
Hub International Ltd., 7.000%, 5-1-26 (F) | 1,827 | 1,827 | ||||||
|
| |||||||
6,054 | ||||||||
|
| |||||||
Specialized Finance – 1.7% |
| |||||||
BCPE Cycle Merger Sub II, Inc., 10.625%, 7-15-27 (F) | 5,496 | 5,661 | ||||||
Compass Group Diversified Holdings LLC, | 7,778 | 7,910 | ||||||
|
| |||||||
13,571 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.7% |
| |||||||
Provident Funding Associates L.P. and PFG Finance Corp., 6.375%, 6-15-25 (F) | 5,937 | 5,551 | ||||||
|
| |||||||
Total Financials – 9.8% |
| 76,754 | ||||||
Health Care |
| |||||||
Health Care Facilities – 1.7% |
| |||||||
RegionalCare Hospital Partners Holdings, Inc. and Legend Merger Sub, Inc., | 6,811 | 6,948 | ||||||
Surgery Center Holdings, Inc., 10.000%, 4-15-27(F)(K) | 6,654 | 6,654 | ||||||
|
| |||||||
13,602 | ||||||||
|
| |||||||
Health Care Services – 0.5% |
| |||||||
Heartland Dental LLC, 8.500%, 5-1-26 (F) | 4,714 | 4,268 | ||||||
|
| |||||||
Health Care Technology – 1.5% |
| |||||||
Verscend Holding Corp., 9.750%, 8-15-26 (F) | 11,186 | 12,053 | ||||||
|
| |||||||
Pharmaceuticals – 1.7% |
| |||||||
Advanz Pharma Corp., 8.000%, 9-6-24 | 430 | 398 | ||||||
Bausch Health Cos., Inc.: | ||||||||
9.000%, 12-15-25 (F) | 855 | 921 | ||||||
9.250%, 4-1-26 (F) | 2,515 | 2,729 | ||||||
8.500%, 1-31-27 (F) | 5,239 | 5,560 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Pharmaceuticals (Continued) |
| |||||||
Par Pharmaceutical, Inc., 7.500%, 4-1-27 (F) | $ | 2,871 | $ | 2,946 | ||||
|
| |||||||
12,554 | ||||||||
|
| |||||||
Total Health Care – 5.4% |
| 42,477 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 5.2% |
| |||||||
Arconic Rolled Products Corp., 6.125%, 2-15-28 (F) | 568 | 568 | ||||||
TransDigm UK Holdings plc, 6.875%, 5-15-26 | 2,171 | 2,019 | ||||||
TransDigm, Inc. (GTD by TransDigm Group, Inc.): | ||||||||
6.500%, 7-15-24 | 6,077 | 5,848 | ||||||
6.500%, 5-15-25 | 1,162 | 1,087 | ||||||
6.250%, 3-15-26 (F) | 7,179 | 7,174 | ||||||
6.375%, 6-15-26 | 2,490 | 2,272 | ||||||
7.500%, 3-15-27 | 2,673 | 2,569 | ||||||
5.500%, 11-15-27 | 6,936 | 6,055 | ||||||
Wolverine Escrow LLC: | ||||||||
8.500%, 11-15-24 (F) | 7,697 | 5,041 | ||||||
9.000%, 11-15-26 (F) | 11,228 | 7,354 | ||||||
13.125%, 11-15-27 (F) | 847 | 551 | ||||||
|
| |||||||
40,538 | ||||||||
|
| |||||||
Diversified Support Services – 0.3% |
| |||||||
Ahern Rentals, Inc., 7.375%, 5-15-23 (F) | 3,901 | 1,873 | ||||||
|
| |||||||
Environmental & Facilities Services – 0.4% |
| |||||||
GFL Environmental, Inc.: | ||||||||
7.000%, 6-1-26 (F) | 1,975 | 2,054 | ||||||
8.500%, 5-1-27 (F) | 572 | 622 | ||||||
Waste Pro USA, Inc., 5.500%, 2-15-26 (F) | 482 | 460 | ||||||
|
| |||||||
3,136 | ||||||||
|
| |||||||
Security & Alarm Services – 0.2% |
| |||||||
Prime Security Services Borrower LLC and Prime Finance, Inc., 6.250%, 1-15-28 (F) | 2,132 | 2,008 | ||||||
|
| |||||||
Total Industrials – 6.1% |
| 47,555 | ||||||
Information Technology |
| |||||||
Application Software – 1.9% |
| |||||||
Kronos Acquisition Holdings, Inc., 9.000%, 8-15-23 (F) | 15,902 | 15,226 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 0.2% |
| |||||||
j2 Cloud Services LLC and j2 Global, Inc., | 1,192 | 1,213 | ||||||
|
| |||||||
Electronic Equipment & Instruments – 0.4% |
| |||||||
NCR Corp.: | ||||||||
8.125%, 4-15-25 (F) | 1,183 | 1,254 | ||||||
5.750%, 9-1-27 (F) | 755 | 755 | ||||||
6.125%, 9-1-29 (F) | 966 | 971 | ||||||
|
| |||||||
2,980 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
IT Consulting & Other Services – 0.1% |
| |||||||
Sabre GLBL, Inc. (GTD by Sabre Holdings Corp.), 9.250%, 4-15-25 (F) | $ | 739 | $ | 779 | ||||
|
| |||||||
Total Information Technology – 2.6% |
| 20,198 | ||||||
Materials |
| |||||||
Aluminum – 1.0% |
| |||||||
Constellium N.V.: | ||||||||
5.750%, 5-15-24 (F) | 3,551 | 3,551 | ||||||
5.875%, 2-15-26 (F) | 2,322 | 2,332 | ||||||
Constellium SE, 5.625%, 6-15-28 (F) | 1,090 | 1,074 | ||||||
Novelis Corp. (GTD by Novelis, Inc.), 4.750%, 1-30-30 (F) | 1,137 | 1,086 | ||||||
|
| |||||||
8,043 | ||||||||
|
| |||||||
Commodity Chemicals – 0.6% |
| |||||||
NOVA Chemicals Corp.: | ||||||||
4.875%, 6-1-24 (F) | 2,943 | 2,744 | ||||||
5.250%, 6-1-27 (F) | 1,655 | 1,453 | ||||||
|
| |||||||
4,197 | ||||||||
|
| |||||||
Construction Materials – 0.7% |
| |||||||
Hillman Group, Inc. (The), 6.375%, 7-15-22 (F) | 5,883 | 5,430 | ||||||
|
| |||||||
Metal & Glass Containers – 0.4% |
| |||||||
ARD Finance S.A. | ||||||||
6.500%, 6-30-27 (F)(I) | 2,110 | 2,088 | ||||||
HudBay Minerals, Inc.: | ||||||||
7.250%, 1-15-23 (F) | 408 | 402 | ||||||
7.625%, 1-15-25 (F) | 611 | 585 | ||||||
|
| |||||||
3,075 | ||||||||
|
| |||||||
Total Materials – 2.7% | 20,745 | |||||||
TOTAL CORPORATE DEBT SECURITIES – 66.4% |
| $ | 519,457 | |||||
(Cost: $585,932) | ||||||||
LOANS (L) | ||||||||
Communication Services |
| |||||||
Advertising – 0.4% |
| |||||||
Advantage Sales & Marketing, Inc. (ICE LIBOR plus 325 bps), | ||||||||
4.250%, 7-25-21 | 786 | 715 | ||||||
Advantage Sales & Marketing, Inc. (ICE LIBOR plus 650 bps), | ||||||||
7.500%, 7-25-22 | 2,951 | 2,426 | ||||||
|
| |||||||
3,141 | ||||||||
|
| |||||||
Broadcasting – 0.7% |
| |||||||
Clear Channel Outdoor Holdings, Inc. (ICE LIBOR plus 350 bps), | ||||||||
4.260%, 8-1-26 | 6,564 | 5,934 | ||||||
|
|
2020 | SEMIANNUAL REPORT | 29 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2020 (UNAUDITED)
LOANS (L) (Continued) | Principal | Value | ||||||
Integrated Telecommunication Services – 2.4% |
| |||||||
Northwest Fiber LLC (ICE LIBOR plus 550 bps): | ||||||||
5.673%, 5-1-27 (B) | $ | 5,538 | $ | 5,483 | ||||
5.674%, 5-1-27 (B) | 1,065 | 1,054 | ||||||
West Corp. (3-Month ICE LIBOR plus 400 bps), | ||||||||
5.000%, 10-10-24 | 14,442 | 12,269 | ||||||
|
| |||||||
18,806 | ||||||||
|
| |||||||
Publishing – 0.3% |
| |||||||
Recorded Books, Inc. (ICE LIBOR plus 425 bps), | ||||||||
4.444%, 8-31-25 | 2,377 | 2,285 | ||||||
|
| |||||||
Wireless Telecommunication Service – 0.8% |
| |||||||
Digicel International Finance Ltd. (ICE LIBOR plus 325 bps), | ||||||||
3.800%, 5-27-24 | 7,887 | 6,598 | ||||||
|
| |||||||
Total Communication Services – 4.6% |
| 36,764 | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.5% |
| |||||||
Talbots, Inc. (The) (ICE LIBOR plus 700 bps), | ||||||||
8.000%, 11-28-22 | 3,763 | 3,023 | ||||||
TRLG Intermediate Holdings LLC, | ||||||||
10.000%, 10-27-22 (H) | 1,517 | 664 | ||||||
|
| |||||||
3,687 | ||||||||
|
| |||||||
Housewares & Specialties – 0.6% |
| |||||||
KIK Custom Products, Inc. (ICE LIBOR plus 400 bps), | ||||||||
5.000%, 5-15-23 | 4,573 | 4,345 | ||||||
|
| |||||||
Leisure Facilities – 0.5% |
| |||||||
United PF Holdings LLC (ICE LIBOR plus 400 bps), | ||||||||
4.308%, 1-6-27 | 3,473 | 3,062 | ||||||
United PF Holdings LLC (ICE LIBOR plus 850 bps), | ||||||||
9.500%, 12-30-26 (B) | 943 | 943 | ||||||
|
| |||||||
4,005 | ||||||||
|
| |||||||
Restaurants – 0.1% |
| |||||||
CEC Entertainment, Inc. (ICE LIBOR plus 650 bps), | ||||||||
9.572%, 8-30-26 (H) | 1,774 | 993 | ||||||
NPC International, Inc. (ICE LIBOR plus 750 bps), | ||||||||
8.500%, 4-18-25 | 3,326 | 67 | ||||||
|
| |||||||
1,060 | ||||||||
|
| |||||||
Specialized Consumer Services – 0.3% |
| |||||||
Asurion LLC (ICE LIBOR plus 600 bps), | ||||||||
6.678%, 8-4-25 | 1,861 | 1,847 | ||||||
|
|
LOANS (L) (Continued) | Principal | Value | ||||||
Specialty Stores – 1.7% |
| |||||||
Academy Sports + Outdoors (ICE LIBOR plus 400 bps), | ||||||||
5.000%, 7-2-22 | $ | 3,142 | $ | 2,509 | ||||
Academy Sports + Outdoors (ICE LIBOR plus 500 bps), | ||||||||
0.000%, 7-2-22 (M) | 1,122 | 896 | ||||||
Jo-Ann Stores, Inc. (ICE LIBOR plus 500 bps), | ||||||||
6.000%, 10-16-23 | 4,256 | 2,568 | ||||||
Jo-Ann Stores, Inc. (ICE LIBOR plus 925 bps), | ||||||||
10.250%, 5-21-24 | 3,971 | 1,390 | ||||||
Party City Holdings, Inc. (ICE LIBOR plus 250 bps): | ||||||||
3.250%, 8-19-22 | 58 | 27 | ||||||
4.100%, 8-19-22 | 1,690 | 798 | ||||||
Staples, Inc. (ICE LIBOR plus 500 bps), | ||||||||
5.687%, 4-12-26 | 6,030 | 5,171 | ||||||
|
| |||||||
13,359 | ||||||||
|
| |||||||
Textiles – 0.5% |
| |||||||
SIWF Holdings, Inc. (ICE LIBOR plus 425 bps), | ||||||||
5.322%, 6-15-25 | 4,197 | 3,904 | ||||||
|
| |||||||
Total Consumer Discretionary – 4.2% |
| 32,207 | ||||||
Energy |
| |||||||
Coal & Consumable Fuels – 0.5% |
| |||||||
Foresight Energy LLC (ICE LIBOR plus 725 bps), | ||||||||
7.363%, 3-28-22 (H) | 6,950 | 417 | ||||||
Foresight Energy LLC (ICE LIBOR plus 800 bps), | ||||||||
8.300%, 6-29-27 | 1,564 | 1,564 | ||||||
Westmoreland Coal Co. (ICE LIBOR plus 650 bps), | ||||||||
9.250%, 3-15-22 (B) | 463 | 416 | ||||||
Westmoreland Mining Holdings LLC (15.000% Cash or 15.000% PIK), | ||||||||
15.000%, 3-15-29 (B)(I) | 2,015 | 1,209 | ||||||
|
| |||||||
3,606 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.1% |
| |||||||
Larchmont Resources LLC (8.000% Cash or 8.000% PIK), | ||||||||
8.000%, 8-7-20 (B)(E)(I) | 757 | 379 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.1% |
| |||||||
California Resources Corp. (ICE LIBOR plus 1,037.50 bps), 11.375%, 12-31-21 | 2,885 | 130 | ||||||
California Resources Corp. (ICE LIBOR plus 475 bps), 5.750%, 12-31-22 | 1,928 | 658 | ||||||
|
| |||||||
788 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 0.6% |
| |||||||
EPIC Crude Services L.P. (ICE LIBOR plus 500 bps), | ||||||||
5.370%, 3-1-26 | 6,000 | 4,580 |
LOANS (L) (Continued) | Principal | Value | ||||||
Oil & Gas Storage & Transportation (Continued) |
| |||||||
Oryx Midstream Holdings LLC (ICE LIBOR plus 400 bps), | ||||||||
4.178%, 5-22-26 | $ | 376 | $ | 333 | ||||
|
| |||||||
4,913 | ||||||||
|
| |||||||
Total Energy – 1.3% |
| 9,686 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.5% |
| |||||||
Edelman Financial Holdings II, Inc. (ICE LIBOR plus 675 bps), | ||||||||
6.930%, 7-20-26 | 4,048 | 3,676 | ||||||
|
| |||||||
Other Diversified Financial Services – 0.0% |
| |||||||
New Cotai LLC (1-Month U.S. LIBOR plus 25 bps): | ||||||||
2.250%, 7-20-20 | 116 | 115 | ||||||
3.500%, 7-20-20 | 71 | 72 | ||||||
|
| |||||||
187 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.9% |
| |||||||
Amynta Agency Borrower, Inc. (ICE LIBOR plus 400 bps), | ||||||||
4.678%, 2-28-25 | 8,330 | 7,185 | ||||||
|
| |||||||
Specialized Finance – 0.5% |
| |||||||
Gulf Finance LLC (ICE LIBOR plus 525 bps), | ||||||||
6.250%, 8-25-23 | 6,032 | 3,860 | ||||||
|
| |||||||
Total Financials – 1.9% |
| 14,908 | ||||||
Health Care |
| |||||||
Health Care Equipment – 0.1% |
| |||||||
LifeScan Global Corp. (3-Month ICE LIBOR plus 950 bps), 10.675%, 10-1-25 | 632 | 441 | ||||||
|
| |||||||
Health Care Facilities – 0.4% |
| |||||||
Surgery Center Holdings, Inc. (ICE LIBOR plus 325 bps), 4.250%, 8-31-24 | 3,270 | 2,860 | ||||||
Surgery Center Holdings, Inc. (ICE LIBOR plus 800 bps), 9.000%, 8-31-24 | 337 | 337 | ||||||
|
| |||||||
3,197 | ||||||||
|
| |||||||
Health Care Services – 2.4% |
| |||||||
Heartland Dental LLC, | ||||||||
0.000%, 4-30-25 (M) | 541 | 480 | ||||||
Heartland Dental LLC (ICE LIBOR plus 375 bps), | ||||||||
3.678%, 4-30-25 | 6,251 | 5,545 | ||||||
LifePoint Health, Inc. (ICE LIBOR plus 375 bps), | ||||||||
3.928%, 11-16-25 | 2,507 | 2,344 | ||||||
U.S. Renal Care, Inc. (3-Month ICE LIBOR plus 500 bps), | ||||||||
5.178%, 6-26-26 | 10,608 | 10,182 | ||||||
|
| |||||||
18,551 | ||||||||
|
|
30 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2020 (UNAUDITED)
LOANS (L) (Continued) | Principal | Value | ||||||
Health Care Technology – 0.9% |
| |||||||
Verscend Holding Corp. (ICE LIBOR plus 450 bps), | ||||||||
4.678%, 8-27-25 | $ | 6,843 | $ | 6,598 | ||||
|
| |||||||
Pharmaceuticals – 0.2% |
| |||||||
Advanz Pharma Corp. Ltd., | ||||||||
0.000%, 9-6-24 (M) | 300 | 277 | ||||||
Concordia International Corp. (ICE LIBOR plus 550 bps), | ||||||||
6.500%, 9-6-24 | 1,146 | 1,059 | ||||||
Endo Luxembourg Finance Co. I S.a.r.l. (ICE LIBOR plus 425 bps), | ||||||||
5.000%, 4-27-24 | 736 | 694 | ||||||
|
| |||||||
2,030 | ||||||||
|
| |||||||
Total Health Care – 4.0% | 30,817 | |||||||
Industrials |
| |||||||
Building Products – 0.1% |
| |||||||
Hampton Rubber Co. & SEI Holding Corp. (ICE LIBOR plus 800 bps), | ||||||||
9.072%, 3-27-22 | 1,074 | 852 | ||||||
|
| |||||||
Construction & Engineering – 0.7% |
| |||||||
McDermott Technology Americas, Inc., | ||||||||
0.000%, 10-21-20 (M) | 446 | 442 | ||||||
McDermott Technology Americas, Inc. (ICE LIBOR plus 500 bps): | ||||||||
0.000%, 5-10-25 (H)(M) | 3,050 | 1,046 | ||||||
9.250%, 5-10-25 (H) | 5,530 | 1,898 | ||||||
McDermott Technology Americas, Inc. (ICE LIBOR plus 900 bps), | ||||||||
10.000%, 10-21-20 | 1,409 | 1,397 | ||||||
Tensar International Corp. (ICE LIBOR plus 850 bps), | ||||||||
9.500%, 7-10-22 | 1,119 | 839 | ||||||
|
| |||||||
5,622 | ||||||||
|
| |||||||
Diversified Support Services – 0.0% |
| |||||||
Creative Artists Agency LLC (ICE LIBOR plus 375 bps), | ||||||||
3.928%, 11-26-26 | 262 | 247 | ||||||
|
| |||||||
Industrial Conglomerates – 0.6% |
| |||||||
PAE Holding Corp. (ICE LIBOR plus 550 bps), 6.500%, 10-20-22 (B) | 4,824 | 4,655 |
LOANS (L) (Continued) | Principal | Value | ||||||
Industrial Conglomerates (Continued) |
| |||||||
PAE Holding Corp. (ICE LIBOR plus 950 bps), 10.500%, 10-20-23 (B) | $ | 387 | $ | 374 | ||||
|
| |||||||
5,029 | ||||||||
|
| |||||||
Industrial Machinery – 1.2% |
| |||||||
Form Technologies LLC (ICE LIBOR plus 325 bps), | ||||||||
4.700%, 1-28-22 | 2,341 | 1,896 | ||||||
Form Technologies LLC (ICE LIBOR plus 850 bps), | ||||||||
9.500%, 1-30-23 | 13,354 | 7,300 | ||||||
|
| |||||||
9,196 | ||||||||
|
| |||||||
Total Industrials – 2.6% | 20,946 | |||||||
Information Technology |
| |||||||
Application Software – 0.6% |
| |||||||
Applied Systems, Inc. (ICE LIBOR plus 700 bps), | ||||||||
8.000%, 9-19-25 | 1,954 | 1,944 | ||||||
Kronos Acquisition Holdings, Inc. (ICE LIBOR plus 700 bps), | ||||||||
8.000%, 5-15-23 (B) | 528 | 518 | ||||||
Ultimate Software Group, Inc. (The): | ||||||||
0.000%, 5-3-26 (M) | 1,404 | 1,385 | ||||||
0.000%, 5-3-27 (M) | 744 | 755 | ||||||
|
| |||||||
4,602 | ||||||||
|
| |||||||
Communications Equipment – 1.1% |
| |||||||
MLN U.S. Holdco LLC (ICE LIBOR plus 450 bps), | ||||||||
4.678%, 11-30-25 | 8,740 | 7,107 | ||||||
MLN U.S. Holdco LLC (ICE LIBOR plus 875 bps), | ||||||||
8.928%, 11-30-26 | 2,920 | 1,498 | ||||||
|
| |||||||
8,605 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 1.3% |
| |||||||
Cardtronics USA, Inc., | ||||||||
0.000%, 6-24-27 (B)(M) | 2,387 | 2,339 | ||||||
CommerceHub, Inc. (ICE LIBOR plus 375 bps), | ||||||||
3.678%, 5-21-25 (B) | 3,129 | 2,988 | ||||||
Cyxtera DC Holdings, Inc. (ICE LIBOR plus 300 bps), | ||||||||
8.250%, 5-1-25 | 3,429 | 1,195 | ||||||
Cyxtera DC Holdings, Inc. (ICE LIBOR plus 325 bps), | ||||||||
3.630%, 5-1-24 | 5,284 | 3,971 | ||||||
|
| |||||||
10,493 | ||||||||
|
|
LOANS (L) (Continued) | Principal | Value | ||||||
Internet Services & Infrastructure – 0.5% |
| |||||||
Informatica LLC, | ||||||||
7.125%, 2-14-25 | $ | 3,776 | $ | 3,771 | ||||
|
| |||||||
Total Information Technology – 3.5% |
| 27,471 | ||||||
Materials |
| |||||||
Construction Materials – 0.7% |
| |||||||
Hillman Group, Inc. (The), | ||||||||
0.000%, 5-31-25 (M) | 736 | 688 | ||||||
Hillman Group, Inc. (The) (ICE LIBOR plus 350 bps), | ||||||||
5.072%, 5-31-25 | 5,248 | 4,907 | ||||||
|
| |||||||
5,595 | ||||||||
|
| |||||||
Total Materials – 0.7% | 5,595 | |||||||
TOTAL LOANS – 22.8% |
| $ | 178,394 | |||||
(Cost: $226,553) | ||||||||
SHORT-TERM SECURITIES | Shares | |||||||
Money Market Funds (O) – 7.1% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, 0.100% (N) | 3,889 | 3,889 | ||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, 0.120% | 51,908 | 51,908 | ||||||
|
| |||||||
55,797 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 7.1% |
| $ | 55,797 | |||||
(Cost: $55,797) | ||||||||
TOTAL INVESTMENT SECURITIES – 102.7% |
| $ | 804,501 | |||||
(Cost: $925,523) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (2.7)% |
| (21,161 | ) | |||||
NET ASSETS – 100.0% |
| $ | 783,340 |
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. |
2020 | SEMIANNUAL REPORT | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2020 (UNAUDITED)
(C) | Restricted securities. At June 30, 2020, the Portfolio owned the following restricted securities: |
Security | Acquisition Date(s) | Shares | Cost | Value | ||||||||||||||||
ASG Warrant Corp. | 5-31-18 | 1 | $ | 72 | $ | — | ||||||||||||||
BIS Industries Ltd. | 12-22-17 | 1,605 | 151 | — | * | |||||||||||||||
Larchmont Resources LLC | 12-8-16 | 1 | 340 | 45 | ||||||||||||||||
New Cotai Participation Corp., Class B | 4-12-13 | — | * | 62 | — | |||||||||||||||
Sabine Oil & Gas Corp. | 12-7-16 | — | * | 12 | 4 | |||||||||||||||
Pinnacle Agriculture Enterprises LLC | 3-10-17 | 4,583 | 2,083 | — | * | |||||||||||||||
Targa Resources Corp., 9.500% | 10-24-17 | 8 | 8,416 | 7,833 | ||||||||||||||||
|
| |||||||||||||||||||
$ | 11,136 | $ | 7,882 | |||||||||||||||||
|
|
The total value of these securities represented 1.0% of net assets at June 30, 2020. |
(D) | Listed on an exchange outside the United States. |
(E) | Deemed to be an affiliate due to the Portfolio owning at least 5% of the voting securities. |
(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, 2020 the total value of these securities amounted to $455,093 or 58.1% of net assets. |
(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) | Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
(I) | 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. |
(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, 2020. |
(K) | All or a portion of securities with an aggregate value of $3,802 are on loan. |
(L) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2020. Description of the reference rate and spread, if applicable, are included in the security description. |
(M) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(N) | Investment made with cash collateral received from securities on loan. |
(O) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | $ | 9,867 | $ | — | $ | — | * | |||||
Energy | — | 272 | 49 | |||||||||
Health Care | — | 105 | — | |||||||||
Industrials | — | — | — | * | ||||||||
Total Common Stocks | $ | 9,867 | $ | 377 | $ | 49 | ||||||
Investment Funds | 32,726 | — | — | |||||||||
Preferred Stocks | — | 7,833 | — | * | ||||||||
Warrants | — | — | 1 | |||||||||
Corporate Debt Securities | — | 519,457 | — | |||||||||
Loans | — | 158,036 | 20,358 | |||||||||
Short-Term Securities | 55,797 | — | — | |||||||||
Total | $ | 98,390 | $ | 685,703 | $ | 20,408 |
32 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2020 (UNAUDITED)
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 | Warrants | Corporate Debt Securities | Loans | ||||||||||||||||
Beginning Balance 1-1-20 | $ | 350 | $ | — | * | $ | — | $ | 2,640 | $ | 20,995 | |||||||||
Net realized gain (loss) | — | — | — | (2,522 | ) | 9 | ||||||||||||||
Net change in unrealized appreciation (depreciation) | (315 | ) | — | — | 3,961 | (731 | ) | |||||||||||||
Purchases | — | — | — | — | 11,384 | |||||||||||||||
Sales | — | — | — | (4,079 | ) | (5,654 | ) | |||||||||||||
Amortization/Accretion of premium/discount | — | — | — | — | (95 | ) | ||||||||||||||
Transfers into Level 3 during the period | 14 | — | 1 | — | 10,265 | |||||||||||||||
Transfers out of Level 3 during the period | — | — | — | — | (15,815 | ) | ||||||||||||||
Ending Balance 6-30-20 | $ | 49 | $ | — | * | $ | 1 | $ | — | $ | 20,358 | |||||||||
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 6-30-20 | $ | (315 | ) | $ | — | $ | — | $ | — | $ | (696 | ) |
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.
Information about Level 3 fair value measurements:
Fair Value at 6-30-20 | Valuation Technique(s) | Unobservable Input(s) | Input value(s) | |||||||||
Assets | ||||||||||||
Common Stocks | $ | 49 | Third-party valuation service | Broker quote | N/A | |||||||
— | * | Market comparable approach | Adjusted EBITDA multiple | 4.03X | ||||||||
Preferred Stocks | — | * | Transaction | Price | $0 | |||||||
Warrants | 1 | Third-party valuation service | Broker quote | N/A | ||||||||
Loans | 20,358 | Third-party valuation service | Broker quotes | N/A |
Significant increases (decreases) in the adjusted EBITDA multiple inputs as of the reporting date would result in a higher (lower) fair value measurement.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
ETF = Exchange Traded Fund
GTD = Guaranteed
ICE = Intercontinental Exchange
PIK = Payment In Kind
LIBOR = London Interbank Offered Rate
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 33 |
Table of Contents
PORTFOLIO HIGHLIGHTS | INTERNATIONAL CORE EQUITY |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 96.6% | |||
Health Care | 14.5% | |||
Industrials | 14.1% | |||
Consumer Staples | 12.6% | |||
Financials | 12.5% | |||
Consumer Discretionary | 12.0% | |||
Materials | 8.4% | |||
Information Technology | 7.1% | |||
Energy | 6.5% | |||
Communication Services | 5.1% | |||
Real Estate | 2.3% | |||
Utilities | 1.5% | |||
Bonds | 1.0% | |||
Other Government Securities | 1.0% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 2.4% |
Country Weightings
Europe | 63.0% | |||
Germany | 15.0% | |||
France | 14.1% | |||
United Kingdom | 12.4% | |||
Switzerland | 7.5% | |||
Norway | 4.1% | |||
Netherlands | 4.1% | |||
Other Europe | 5.8% | |||
Pacific Basin | 28.6% | |||
Japan | 14.3% | |||
Australia | 4.9% | |||
Hong Kong | 3.6% | |||
Other Pacific Basin | 5.8% | |||
North America | 6.0% | |||
Canada | 4.2% | |||
Other North America | 1.8% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 2.4% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Roche Holdings AG, Genusscheine | Switzerland | Health Care | Pharmaceuticals | |||
Nestle S.A., Registered Shares | Switzerland | Consumer Staples | Packaged Foods & Meats | |||
SAP AG | Germany | Information Technology | Application Software | |||
Newcrest Mining Ltd. | Australia | Materials | Gold | |||
DNB ASA | Norway | Financials | Diversified Banks | |||
Legal & General Group plc | United Kingdom | Financials | Life & Health Insurance | |||
Airbus SE | France | Industrials | Aerospace & Defense | |||
Merck KGaA | Germany | Health Care | Pharmaceuticals | |||
SPDR Gold Trust | United States | Materials | Gold | |||
Anglo American plc | United Kingdom | Materials | Diversified Metals & Mining |
See your advisor or www.ivyinvestments.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.
34 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | INTERNATIONAL CORE EQUITY (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Australia |
| |||||||
Financials – 1.1% |
| |||||||
Australia and New Zealand Banking Group Ltd. | 519 | $ | 6,735 | |||||
|
| |||||||
Materials – 3.8% |
| |||||||
BHP Group plc | 285 | 5,841 | ||||||
BHP Group plc ADR | 116 | 4,770 | ||||||
Newcrest Mining Ltd. | 527 | 11,679 | ||||||
|
| |||||||
22,290 | ||||||||
|
| |||||||
Total Australia – 4.9% |
| $ | 29,025 | |||||
Canada |
| |||||||
Consumer Discretionary – 1.2% |
| |||||||
Dollarama, Inc. | 203 | 6,759 | ||||||
|
| |||||||
Energy – 3.0% |
| |||||||
Canadian Natural Resources Ltd. | 426 | 7,409 | ||||||
Seven Generations Energy Ltd., Class A (A) | 1,583 | 3,532 | ||||||
Suncor Energy, Inc. | 367 | 6,193 | ||||||
|
| |||||||
17,134 | ||||||||
|
| |||||||
Total Canada – 4.2% |
| $ | 23,893 | |||||
China |
| |||||||
Consumer Discretionary – 1.2% |
| |||||||
Gree Electric Appliances, Inc. of Zhuhai, A Shares | 874 | 7,019 | ||||||
|
| |||||||
Consumer Staples – 1.1% |
| |||||||
Wens Foodstuffs Group Co. Ltd., Class A | 1,991 | 6,162 | ||||||
|
| |||||||
Total China – 2.3% |
| $ | 13,181 | |||||
Denmark |
| |||||||
Health Care – 1.3% |
| |||||||
Novo Nordisk A/S ADR | 28 | 1,834 | ||||||
Novo Nordisk A/S, Class B | 87 | 5,641 | ||||||
|
| |||||||
7,475 | ||||||||
|
| |||||||
Industrials – 1.4% |
| |||||||
A.P. Moller - Maersk A/S | 5 | 6,439 | ||||||
A.P. Moller - Maersk A/S, Class A | 2 | 1,830 | ||||||
|
| |||||||
8,269 | ||||||||
|
| |||||||
Total Denmark – 2.7% |
| $ | 15,744 | |||||
France |
| |||||||
Communication Services – 2.4% |
| |||||||
Orange S.A. | 544 | 6,508 | ||||||
Ubisoft Entertainment S.A. (A) | 88 | 7,307 | ||||||
|
| |||||||
13,815 | ||||||||
|
| |||||||
Consumer Staples – 2.3% |
| |||||||
Carrefour S.A. (B) | 444 | 6,892 | ||||||
Pernod Ricard S.A. | 41 | 6,500 | ||||||
|
| |||||||
13,392 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Energy – 1.6% |
| |||||||
Total S.A. (B) | 241 | $ | 9,302 | |||||
|
| |||||||
Financials – 1.1% |
| |||||||
BNP Paribas S.A. | 161 | 6,445 | ||||||
|
| |||||||
Industrials – 3.6% |
| |||||||
Airbus SE | 157 | 11,248 | ||||||
Schneider Electric S.A. | 86 | 9,598 | ||||||
|
| |||||||
20,846 | ||||||||
|
| |||||||
Information Technology – 1.6% |
| |||||||
Cap Gemini S.A. | 79 | 9,081 | ||||||
|
| |||||||
Utilities – 1.5% |
| |||||||
ENGIE | 714 | 8,849 | ||||||
|
| |||||||
Total France – 14.1% |
| $ | 81,730 | |||||
Germany |
| |||||||
Communication Services – 0.6% |
| |||||||
Deutsche Telekom AG, Registered Shares | 218 | 3,653 | ||||||
|
| |||||||
Consumer Discretionary – 2.3% |
| |||||||
adidas AG | 24 | 6,312 | ||||||
Continental AG | 71 | 6,951 | ||||||
|
| |||||||
13,263 | ||||||||
|
| |||||||
Consumer Staples – 1.2% |
| |||||||
Beiersdorf Aktiengesellschaft | 60 | 6,793 | ||||||
|
| |||||||
Financials – 1.2% |
| |||||||
Munchener Ruckversicherungs-Gesellschaft AG, Registered Shares | 26 | 6,707 | ||||||
|
| |||||||
Health Care – 4.8% |
| |||||||
Bayer AG | 114 | 8,463 | ||||||
Fresenius Medical Care AG & Co. KGaA (A) | 103 | 8,858 | ||||||
Merck KGaA | 89 | 10,343 | ||||||
|
| |||||||
27,664 | ||||||||
|
| |||||||
Industrials – 1.2% |
| |||||||
Hochtief Aktiengesellschaft | 78 | 6,976 | ||||||
|
| |||||||
Information Technology – 2.5% |
| |||||||
SAP AG | 105 | 14,661 | ||||||
|
| |||||||
Real Estate – 1.2% |
| |||||||
Deutsche Wohnen AG | 150 | 6,747 | ||||||
|
| |||||||
Total Germany – 15.0% |
| $ | 86,464 | |||||
Hong Kong |
| |||||||
Consumer Discretionary – 1.3% |
| |||||||
Alibaba Group Holding Ltd. (A) | 276 | 7,441 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Financials – 2.3% |
| |||||||
AIA Group Ltd. | 596 | $ | 5,577 | |||||
Hong Kong Exchanges and Clearing Ltd. | 179 | 7,604 | ||||||
|
| |||||||
13,181 | ||||||||
|
| |||||||
Total Hong Kong – 3.6% |
| $ | 20,622 | |||||
India |
| |||||||
Energy – 1.1% |
| |||||||
Reliance Industries Ltd. | 290 | 6,374 | ||||||
|
| |||||||
Total India – 1.1% |
| $ | 6,374 | |||||
Ireland |
| |||||||
Materials – 1.0% |
| |||||||
CRH plc | 173 | 5,924 | ||||||
|
| |||||||
Total Ireland – 1.0% |
| $ | 5,924 | |||||
Japan |
| |||||||
Communication Services – 0.5% |
| |||||||
Dentsu Group, Inc. (B) | 129 | 3,062 | ||||||
|
| |||||||
Consumer Discretionary – 4.4% |
| |||||||
Isuzu Motors Ltd. | 818 | 7,435 | ||||||
Subaru Corp. | 481 | 10,062 | ||||||
Zozo, Inc. | 377 | 8,409 | ||||||
|
| |||||||
25,906 | ||||||||
|
| |||||||
Consumer Staples – 2.8% |
| |||||||
Asahi Breweries Ltd. (B) | 184 | 6,470 | ||||||
Seven & i Holdings Co. Ltd. | 306 | 9,997 | ||||||
|
| |||||||
16,467 | ||||||||
|
| |||||||
Financials – 1.1% |
| |||||||
ORIX Corp. | 490 | 6,083 | ||||||
|
| |||||||
Health Care – 1.1% |
| |||||||
Terumo Corp. | 168 | 6,383 | ||||||
|
| |||||||
Industrials – 2.8% |
| |||||||
SMC Corp. | 18 | 9,353 | ||||||
Taisei Corp. | 191 | 6,947 | ||||||
|
| |||||||
16,300 | ||||||||
|
| |||||||
Information Technology – 0.5% |
| |||||||
Shimadzu Corp. | 119 | 3,182 | ||||||
|
| |||||||
Real Estate – 1.1% |
| |||||||
Mitsubishi Estate Co. Ltd. | 426 | 6,354 | ||||||
|
| |||||||
Total Japan – 14.3% |
| $ | 83,737 | |||||
Luxembourg |
| |||||||
Energy – 0.8% |
| |||||||
Tenaris S.A. | 375 | 2,440 | ||||||
Tenaris S.A. ADR | 180 | 2,329 | ||||||
|
| |||||||
4,769 | ||||||||
|
| |||||||
Total Luxembourg – 0.8% |
| $ | 4,769 |
2020 | SEMIANNUAL REPORT | 35 |
Table of Contents
SCHEDULE OF INVESTMENTS | INTERNATIONAL CORE EQUITY (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS (Continued) | Shares | Value | ||||||
Netherlands |
| |||||||
Consumer Discretionary – 1.6% |
| |||||||
Prosus N.V. (A) | 98 | $ | 9,095 | |||||
|
| |||||||
Health Care – 1.3% |
| |||||||
Koninklijke Philips Electronics N.V., Ordinary Shares | 160 | 7,442 | ||||||
|
| |||||||
Industrials – 1.2% |
| |||||||
Randstad Holding N.V. | 160 | 7,166 | ||||||
|
| |||||||
Total Netherlands – 4.1% |
| $ | 23,703 | |||||
Norway |
| |||||||
Consumer Staples – 1.1% |
| |||||||
Mowi ASA | 333 | 6,349 | ||||||
|
| |||||||
Financials – 2.0% |
| |||||||
DNB ASA (A) | 860 | 11,482 | ||||||
|
| |||||||
Total Norway – 3.1% |
| $ | 17,831 | |||||
Singapore |
| |||||||
Communication Services – 0.9% |
| |||||||
Singapore Telecommunications Ltd. | 2,868 | 5,102 | ||||||
|
| |||||||
Total Singapore – 0.9% |
| $ | 5,102 | |||||
South Korea |
| |||||||
Information Technology – 1.5% |
| |||||||
Samsung Electronics Co. Ltd. | 191 | 8,453 | ||||||
|
| |||||||
Total South Korea – 1.5% |
| $ | 8,453 | |||||
Sweden |
| |||||||
Industrials – 1.3% |
| |||||||
Epiroc AB, Class A | 473 | 5,926 | ||||||
Epiroc AB, Class B | 129 | 1,587 | ||||||
|
| |||||||
7,513 | ||||||||
|
| |||||||
Total Sweden – 1.3% |
| $ | 7,513 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Switzerland |
| |||||||
Consumer Staples – 2.5% |
| |||||||
Nestle S.A., Registered Shares | 133 | $ | 14,772 | |||||
|
| |||||||
Health Care – 3.5% |
| |||||||
Alcon, Inc. | 98 | 5,637 | ||||||
Roche Holdings AG, Genusscheine | 43 | 14,798 | ||||||
|
| |||||||
20,435 | ||||||||
|
| |||||||
Industrials – 1.5% |
| |||||||
Ferguson plc | 104 | 8,508 | ||||||
|
| |||||||
Total Switzerland – 7.5% |
| $ | 43,715 | |||||
United Kingdom |
| |||||||
Communication Services – 0.7% |
| |||||||
WPP Group plc | 486 | 3,790 | ||||||
|
| |||||||
Consumer Staples – 1.6% |
| |||||||
British American Tobacco plc | 246 | 9,434 | ||||||
|
| |||||||
Financials – 3.7% |
| |||||||
Legal & General Group plc | 4,138 | 11,282 | ||||||
Lloyds Banking Group plc | 7,226 | 2,787 | ||||||
Prudential plc | 516 | 7,778 | ||||||
|
| |||||||
21,847 | ||||||||
|
| |||||||
Health Care – 2.5% |
| |||||||
GlaxoSmithKline plc | 458 | 9,255 | ||||||
GlaxoSmithKline plc ADR | 131 | 5,330 | ||||||
|
| |||||||
14,585 | ||||||||
|
| |||||||
Industrials – 1.1% |
| |||||||
BAE Systems plc | 1,032 | 6,171 | ||||||
|
| |||||||
Information Technology – 1.0% |
| |||||||
Amdocs Ltd. | 98 | 5,986 | ||||||
|
| |||||||
Materials – 1.8% |
| |||||||
Anglo American plc | 439 | 10,128 | ||||||
|
| |||||||
Total United Kingdom – 12.4% |
| $ | 71,941 | |||||
TOTAL COMMON STOCKS – 94.8% |
| $ | 549,721 | |||||
(Cost: $587,554) |
|
INVESTMENT FUNDS | Shares | Value | ||||||
United States – 1.8% |
| |||||||
SPDR Gold Trust (A) | 62 | $ | 10,334 | |||||
|
| |||||||
TOTAL INVESTMENT FUNDS – 1.8% |
| $ | 10,334 | |||||
(Cost: $7,858) | ||||||||
OTHER GOVERNMENT SECURITIES (C) | Principal | |||||||
Norway – 1.0% |
| |||||||
Norway Government Bond |
| |||||||
3.750%, 5-25-21 (D)(E) | NOK54,170 | 5,811 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 1.0% |
| $ | 5,811 | |||||
(Cost: $6,210) | ||||||||
SHORT-TERM SECURITIES | Shares | |||||||
Money Market Funds (F) – 4.9% |
| |||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class 0.120% | 12,633 | 12,633 | ||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares 0.100% (G) | 15,859 | 15,859 | ||||||
|
| |||||||
28,492 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 4.9% |
| $ | 28,492 | |||||
(Cost: $28,492) | ||||||||
TOTAL INVESTMENT SECURITIES – 102.5% |
| $ | 594,358 | |||||
(Cost: $630,114) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (2.5)% |
| (14,372 | ) | |||||
NET ASSETS – 100.0% |
| $ | 579,986 |
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 $20,376 are on loan. |
(C) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(D) | Principal amounts are denominated in the indicated foreign currency, where applicable (NOK—Norwegian Krone). |
(E) | 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, 2020 the total value of these securities amounted to $5,811 or 1.0% of net assets. |
(F) | Rate shown is the annualized 7-day yield at June 30, 2020. |
(G) | Investment made with cash collateral received from securities on loan. |
36 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | INTERNATIONAL CORE EQUITY (in thousands) |
JUNE 30, 2020 (UNAUDITED)
The following forward foreign currency contracts were outstanding at June 30, 2020:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
U.S. Dollar | 34,745 | Japanese Yen | 3,766,940 | 7-14-20 | Deutsche Bank AG | $ | 148 | $ | — |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | ||||||||||||
Communication Services | $ | — | $ | 29,422 | $ | — | ||||||
Consumer Discretionary | 15,854 | 53,629 | — | |||||||||
Consumer Staples | — | 73,369 | — | |||||||||
Energy | 19,651 | 17,928 | — | |||||||||
Financials | — | 72,480 | — | |||||||||
Health Care | 15,881 | 68,103 | — | |||||||||
Industrials | — | 81,749 | — | |||||||||
Information Technology | 5,986 | 35,377 | — | |||||||||
Materials | 4,770 | 33,572 | — | |||||||||
Real Estate | — | 13,101 | — | |||||||||
Utilities | — | 8,849 | — | |||||||||
Total Common Stocks | $ | 62,142 | $ | 487,579 | $ | — | ||||||
Investment Funds | 10,334 | — | — | |||||||||
Other Government Securities | — | 5,811 | — | |||||||||
Short-Term Securities | 28,492 | — | — | |||||||||
Total | $ | 100,968 | $ | 493,390 | $ | — | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 148 | $ | — |
The following acronym is used throughout this schedule:
ADR = American Depositary Receipts
Market Sector Diversification
(as a % of net assets) |
| |||
Health Care | 14.5% | |||
Industrials | 14.1% | |||
Financials | 12.6% | |||
Consumer Staples | 12.5% | |||
Consumer Discretionary | 12.0% | |||
Materials | 8.4% | |||
Information Technology | 7.1% |
Market Sector Diversification (Continued)
Energy | 6.5% | |||
Communication Services | 5.1% | |||
Real Estate | 2.3% | |||
Utilities | 1.5% | |||
Other Government Securities | 1.0% | |||
Other+ | 2.4% |
+Includes liabilities (net of cash and other assets), and cash equivalents
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 37 |
Table of Contents
PORTFOLIO HIGHLIGHTS | MID CAP GROWTH |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 100.1% | |||
Information Technology | 34.2% | |||
Health Care | 20.9% | |||
Industrials | 16.8% | |||
Consumer Discretionary | 12.6% | |||
Financials | 6.3% | |||
Communication Services | 4.2% | |||
Materials | 3.0% | |||
Consumer Staples | 1.3% | |||
Energy | 0.8% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | -0.1% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Chipotle Mexican Grill, Inc., Class A | Consumer Discretionary | Restaurants | ||
CoStar Group, Inc. | Industrials | Research & Consulting Services | ||
Electronic Arts, Inc. | Communication Services | Interactive Home Entertainment | ||
MarketAxess Holdings, Inc. | Financials | Financial Exchanges & Data | ||
DexCom, Inc. | Health Care | Health Care Equipment | ||
Teradyne, Inc. | Information Technology | Semiconductor Equipment | ||
Square, Inc., Class A | Information Technology | Data Processing & Outsourced Services | ||
Twilio, Inc., Class A | Information Technology | Internet Services & Infrastructure | ||
DocuSign, Inc. | Information Technology | Application Software | ||
Fastenal Co. | Industrials | Trading Companies & Distributors |
See your advisor or www.ivyinvestments.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.
38 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | MID CAP GROWTH (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Communication Services |
| |||||||
Interactive Home Entertainment – 3.2% |
| |||||||
Electronic Arts, Inc. (A) | 131 | $ | 17,291 | |||||
|
| |||||||
Interactive Media & Services – 1.0% |
| |||||||
Twitter, Inc. (A) | 176 | 5,241 | ||||||
|
| |||||||
Total Communication Services – 4.2% |
| 22,532 | ||||||
Consumer Discretionary |
| |||||||
Apparel, Accessories & Luxury Goods – 1.4% |
| |||||||
lululemon athletica, Inc. (A) | 24 | 7,622 | ||||||
|
| |||||||
Auto Parts & Equipment – 1.4% |
| |||||||
BorgWarner, Inc. | 221 | 7,808 | ||||||
|
| |||||||
Department Stores – 0.7% |
| |||||||
Nordstrom, Inc. (B) | 227 | 3,516 | ||||||
|
| |||||||
General Merchandise Stores – 0.6% |
| |||||||
Ollie’s Bargain Outlet Holdings, Inc. (A) | 32 | 3,111 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 1.2% |
| |||||||
MercadoLibre, Inc. (A) | 7 | 6,513 | ||||||
|
| |||||||
Restaurants – 3.6% |
| |||||||
Chipotle Mexican Grill, Inc., Class A (A) | 18 | 19,299 | ||||||
|
| |||||||
Specialty Stores – 3.7% |
| |||||||
Tractor Supply Co. | 87 | 11,460 | ||||||
Ulta Beauty, Inc. (A) | 41 | 8,322 | ||||||
|
| |||||||
19,782 | ||||||||
|
| |||||||
Total Consumer Discretionary – 12.6% |
| 67,651 | ||||||
Consumer Staples |
| |||||||
Packaged Foods & Meats – 1.3% |
| |||||||
Hershey Foods Corp. | 52 | 6,740 | ||||||
|
| |||||||
Total Consumer Staples – 1.3% |
| 6,740 | ||||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 0.8% |
| |||||||
Noble Energy, Inc. | 500 | 4,482 | ||||||
|
| |||||||
Total Energy – 0.8% |
| 4,482 | ||||||
Financials |
| |||||||
Financial Exchanges & Data – 3.2% |
| |||||||
MarketAxess Holdings, Inc. | 34 | 17,060 | ||||||
|
| |||||||
Regional Banks – 3.1% |
| |||||||
First Republic Bank | 87 | 9,187 | ||||||
SVB Financial Group (A) | 35 | 7,532 | ||||||
|
| |||||||
16,719 | ||||||||
|
| |||||||
Total Financials – 6.3% |
| 33,779 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care |
| |||||||
Biotechnology – 3.3% |
| |||||||
Genmab A.S. ADR (A) | 186 | $ | 6,306 | |||||
Seattle Genetics, Inc. (A) | 66 | 11,280 | ||||||
|
| |||||||
17,586 | ||||||||
|
| |||||||
Health Care Equipment – 8.7% |
| |||||||
Abiomed, Inc. (A) | 38 | 9,226 | ||||||
DexCom, Inc. (A) | 41 | 16,484 | ||||||
Edwards Lifesciences Corp. (A) | 136 | 9,409 | ||||||
Glaukos Corp. (A) | 90 | 3,468 | ||||||
Intuitive Surgical, Inc. (A) | 15 | 8,355 | ||||||
|
| |||||||
46,942 | ||||||||
|
| |||||||
Health Care Services – 2.7% |
| |||||||
Laboratory Corp. of America Holdings (A) | 47 | 7,745 | ||||||
Teladoc Health, Inc. (A) | 35 | 6,743 | ||||||
|
| |||||||
14,488 | ||||||||
|
| |||||||
Health Care Supplies – 1.6% |
| |||||||
Align Technology, Inc. (A) | 12 | 3,267 | ||||||
National Vision Holdings, Inc. (A) | 169 | 5,143 | ||||||
|
| |||||||
8,410 | ||||||||
|
| |||||||
Health Care Technology – 1.8% |
| |||||||
Cerner Corp. | 142 | 9,754 | ||||||
|
| |||||||
Life Sciences Tools & Services – 2.8% |
| |||||||
10x Genomics, Inc., Class A (A) | 29 | 2,607 | ||||||
Agilent Technologies, Inc. | 82 | 7,236 | ||||||
TECHNE Corp. | 21 | 5,500 | ||||||
|
| |||||||
15,343 | ||||||||
|
| |||||||
Total Health Care – 20.9% |
| 112,523 | ||||||
Industrials |
| |||||||
Building Products – 4.4% |
| |||||||
A. O. Smith Corp. | 192 | 9,035 | ||||||
Trane Technologies plc | 52 | 4,596 | ||||||
Trex Co., Inc. (A) | 77 | 10,060 | ||||||
|
| |||||||
23,691 | ||||||||
|
| |||||||
Industrial Machinery – 3.9% |
| |||||||
IDEX Corp. | 54 | 8,609 | ||||||
Ingersoll-Rand, Inc. (A) | 182 | 5,108 | ||||||
Middleby Corp. (A) | 91 | 7,201 | ||||||
|
| |||||||
20,918 | ||||||||
|
| |||||||
Research & Consulting Services – 5.9% |
| |||||||
CoStar Group, Inc. (A) | 26 | 18,775 | ||||||
TransUnion | 151 | 13,104 | ||||||
|
| |||||||
31,879 | ||||||||
|
| |||||||
Trading Companies & Distributors – 2.6% |
| |||||||
Fastenal Co. | 324 | 13,880 | ||||||
|
| |||||||
Total Industrials – 16.8% |
| 90,368 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Information Technology |
| |||||||
Application Software – 7.3% |
| |||||||
DocuSign, Inc. (A) | 82 | $ | 14,196 | |||||
Guidewire Software, Inc. (A) | 94 | 10,416 | ||||||
Tyler Technologies, Inc. (A) | 26 | 9,100 | ||||||
Zendesk, Inc. (A) | 61 | 5,368 | ||||||
|
| |||||||
39,080 | ||||||||
|
| |||||||
Communications Equipment – 1.4% |
| |||||||
Arista Networks, Inc. (A) | 36 | 7,527 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 2.7% |
| |||||||
Square, Inc., Class A (A) | 136 | 14,301 | ||||||
|
| |||||||
Electronic Components – 2.9% |
| |||||||
II-VI, Inc. (A) | 107 | 5,074 | ||||||
Maxim Integrated Products, Inc. | 176 | 10,645 | ||||||
|
| |||||||
15,719 | ||||||||
|
| |||||||
Electronic Equipment & Instruments – 3.8% |
| |||||||
Coherent, Inc. (A) | 40 | 5,270 | ||||||
Keysight Technologies, Inc. (A) | 117 | 11,790 | ||||||
Novanta, Inc. (A) | 33 | 3,550 | ||||||
|
| |||||||
20,610 | ||||||||
|
| |||||||
Internet Services & Infrastructure – 3.4% |
| |||||||
Twilio, Inc., Class A (A) | 65 | 14,296 | ||||||
VeriSign, Inc. (A) | 19 | 4,030 | ||||||
|
| |||||||
18,326 | ||||||||
|
| |||||||
Semiconductor Equipment – 3.4% |
| |||||||
Brooks Automation, Inc. | 79 | 3,503 | ||||||
Teradyne, Inc. | 177 | 14,994 | ||||||
|
| |||||||
18,497 | ||||||||
|
| |||||||
Semiconductors – 7.3% |
| |||||||
Advanced Micro Devices, Inc. (A) | 188 | 9,877 | ||||||
Microchip Technology, Inc. | 101 | 10,660 | ||||||
Monolithic Power Systems, Inc. | 53 | 12,637 | ||||||
Universal Display Corp. | 40 | 5,911 | ||||||
|
| |||||||
39,085 | ||||||||
|
| |||||||
Systems Software – 2.0% |
| |||||||
CrowdStrike Holdings, Inc., Class A (A) | 50 | 5,040 | ||||||
Palo Alto Networks, Inc. (A) | 24 | 5,404 | ||||||
|
| |||||||
10,444 | ||||||||
|
| |||||||
Total Information Technology – 34.2% |
| 183,589 | ||||||
Materials |
| |||||||
Fertilizers & Agricultural Chemicals – 1.4% |
| |||||||
Scotts Miracle-Gro Co. (The) | 58 | 7,764 | ||||||
|
| |||||||
Specialty Chemicals – 1.6% |
| |||||||
RPM International, Inc. | 113 | 8,465 | ||||||
|
| |||||||
Total Materials – 3.0% |
| 16,229 | ||||||
TOTAL COMMON STOCKS – 100.1% |
| $ | 537,893 | |||||
(Cost: $370,914) |
|
2020 | SEMIANNUAL REPORT | 39 |
Table of Contents
SCHEDULE OF INVESTMENTS | MID CAP GROWTH (in thousands) |
JUNE 30, 2020 (UNAUDITED)
SHORT-TERM SECURITIES | Shares | Value | ||||||
Money Market Funds (D) – 1.6% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, 0.100% (C) | 3,497 | $ | 3,497 | |||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, | ||||||||
0.120% | 5,186 | 5,186 | ||||||
|
| |||||||
8,683 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.6% |
| $ | 8,683 | |||||
(Cost: $8,683) |
| |||||||
TOTAL INVESTMENT SECURITIES – 101.7% |
| $ | 546,576 | |||||
(Cost: $379,597) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.7)% |
| (9,163 | ) | |||||
NET ASSETS – 100.0% |
| $ | 537,413 |
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 $3,419 are on loan. |
(C) | Investment made with cash collateral received from securities on loan. |
(D) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following written options were outstanding at June 30, 2020 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Notional Amount | Expiration Month | Exercise Price | Premium Received | Value | ||||||||||||||||||
Align Technology, Inc. | N/A | Put | 45 | 5 | July 2020 | $ | 210.00 | $ | 33 | $ | (3) | |||||||||||||||
Middleby Corp. | N/A | Put | 193 | 19 | July 2020 | 55.00 | 29 | (7) | ||||||||||||||||||
National Vision Holdings, Inc. | N/A | Put | 476 | 48 | July 2020 | 25.00 | 49 | (11) | ||||||||||||||||||
Nordstrom, Inc. | N/A | Put | 1,032 | 103 | July 2020 | 12.50 | 57 | (20) | ||||||||||||||||||
Square, Inc., Class A | N/A | Call | 712 | 71 | July 2020 | 95.00 | 118 | (819) | ||||||||||||||||||
Teladoc Health, Inc. | N/A | Call | 353 | 35 | July 2020 | 210.00 | 118 | (101) | ||||||||||||||||||
Twilio, Inc., Class A | N/A | Call | 325 | 33 | July 2020 | 230.00 | 130 | (161) | ||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 534 | $ | (1,122) | |||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | $ | 537,893 | $ | — | $ | — | ||||||
Short-Term Securities | 8,683 | — | — | |||||||||
Total | $ | 546,576 | $ | — | $ | — | ||||||
Liabilities | ||||||||||||
Written Options | $ | 1,101 | $ | 21 | $ | — |
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
OTC = Over the Counter
See Accompanying Notes to Financial Statements.
40 | SEMIANNUAL REPORT | 2020 |
Table of Contents
PORTFOLIO HIGHLIGHTS | NATURAL RESOURCES |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 95.3% | |||
Materials | 49.4% | |||
Energy | 29.1% | |||
Industrials | 8.5% | |||
Utilities | 4.3% | |||
Consumer Staples | 3.4% | |||
Information Technology | 0.6% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 4.7% |
Country Weightings
North America | 75.8 | % | ||
United States | 55.4 | % | ||
Canada | 20.4 | % | ||
Europe | 10.6 | % | ||
United Kingdom | 4.4 | % | ||
France | 4.2 | % | ||
Other Europe | 2.0 | % | ||
Pacific Basin | 5.5 | % | ||
Other | 3.4 | % | ||
Liabilities (Net of Cash and Other Assets), | 4.7 | % |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Barrick Gold Corp. | Canada | Materials | Gold | |||
Phillips 66 | United States | Energy | Oil & Gas Refining & Marketing | |||
Agnico-Eagle Mines Ltd. | Canada | Materials | Gold | |||
Franco-Nevada Corp. | Canada | Materials | Gold | |||
Valero Energy Corp. | United States | Energy | Oil & Gas Refining & Marketing | |||
Wheaton Precious Metals Corp. | Canada | Materials | Precious Metals & Minerals | |||
Canadian Pacific Railway Ltd. | Canada | Industrials | Railroads | |||
Union Pacific Corp. | United States | Industrials | Railroads | |||
BHP Group plc | Australia | Materials | Diversified Metals & Mining | |||
Rio Tinto plc | United Kingdom | Materials | Diversified Metals & Mining |
See your advisor or www.ivyinvestments.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.
2020 | SEMIANNUAL REPORT | 41 |
Table of Contents
SCHEDULE OF INVESTMENTS | NATURAL RESOURCES (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Australia |
| |||||||
Materials – 2.9% |
| |||||||
BHP Group plc | 99 | $ | 2,022 | |||||
|
| |||||||
Total Australia – 2.9% |
| $ | 2,022 | |||||
Canada |
| |||||||
Industrials – 3.0% |
| |||||||
Canadian Pacific Railway Ltd. | 8 | 2,121 | ||||||
|
| |||||||
Materials – 17.4% |
| |||||||
Agnico-Eagle Mines Ltd. | 40 | 2,577 | ||||||
Barrick Gold Corp. | 189 | 5,102 | ||||||
Franco-Nevada Corp. | 16 | 2,277 | ||||||
Wheaton Precious Metals Corp. | 48 | 2,126 | ||||||
|
| |||||||
12,082 | ||||||||
|
| |||||||
Total Canada – 20.4% |
| $ | 14,203 | |||||
France |
| |||||||
Energy – 2.1% |
| |||||||
Total S.A. ADR | 38 | 1,472 | ||||||
|
| |||||||
Materials – 2.1% |
| |||||||
L Air Liquide S.A. | 10 | 1,468 | ||||||
|
| |||||||
Total France – 4.2% |
| $ | 2,940 | |||||
Hong Kong |
| |||||||
Materials – 0.0% |
| |||||||
China Metal Recycling (Holdings) Ltd. (A)(B) | 1,900 | — | * | |||||
|
| |||||||
Total Hong Kong – 0.0% |
| $ | — | * | ||||
India |
| |||||||
Energy – 2.6% |
| |||||||
Reliance Industries Ltd. | 81 | 1,776 | ||||||
|
| |||||||
Total India – 2.6% |
| $ | 1,776 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Portugal |
| |||||||
Energy – 2.0% |
| |||||||
Galp Energia SGPS S.A., Class B | 118 | $ | 1,371 | |||||
|
| |||||||
Total Portugal – 2.0% |
| $ | 1,371 | |||||
South Africa |
| |||||||
Materials – 3.4% |
| |||||||
AngloGold Ashanti Ltd. ADR | 45 | $ | 1,322 | |||||
Mondi plc | 57 | 1,059 | ||||||
|
| |||||||
2,381 | ||||||||
|
| |||||||
Total South Africa – 3.4% |
| $ | 2,381 | |||||
United Kingdom |
| |||||||
Materials – 4.4% |
| |||||||
Croda International plc | 16 | 1,062 | ||||||
Rio Tinto plc | 36 | 2,002 | ||||||
|
| |||||||
3,064 | ||||||||
|
| |||||||
Total United Kingdom – 4.4% |
| $ | 3,064 | |||||
United States |
| |||||||
Consumer Staples – 3.4% |
| |||||||
Bunge Ltd. | 27 | 1,126 | ||||||
Tyson Foods, Inc. | 21 | 1,236 | ||||||
|
| |||||||
2,362 | ||||||||
|
| |||||||
Energy – 22.4% |
| |||||||
Cabot Oil & Gas Corp. | 78 | 1,336 | ||||||
Chevron Corp. | 14 | 1,278 | ||||||
Concho Resources, Inc. | 20 | 1,013 | ||||||
Diamondback Energy, Inc. | 15 | 637 | ||||||
Enterprise Products Partners L.P. | 46 | 841 | ||||||
EOG Resources, Inc. | 27 | 1,360 | ||||||
Magellan Midstream Partners L.P. | 29 | 1,244 | ||||||
Marathon Petroleum Corp. | 49 | 1,844 | ||||||
Parsley Energy, Inc., Class A | 36 | 385 | ||||||
Phillips 66 | 43 | 3,059 | ||||||
Valero Energy Corp. | 37 | 2,185 | ||||||
WPX Energy, Inc. (A) | 67 | 425 | ||||||
|
| |||||||
15,607 | ||||||||
|
| |||||||
Industrials – 5.5% |
| |||||||
Union Pacific Corp. | 12 | 2,054 | ||||||
Waste Management, Inc. | 17 | 1,769 | ||||||
|
| |||||||
3,823 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Information Technology – 0.6% |
| |||||||
Enphase Energy, Inc. (A) | 9 | $ | 425 | |||||
|
| |||||||
Materials – 19.2% |
| |||||||
Air Products and Chemicals, Inc. | 7 | 1,747 | ||||||
Albemarle Corp. | 5 | 372 | ||||||
Avery Dennison Corp. | 11 | 1,261 | ||||||
Ball Corp. | 19 | 1,328 | ||||||
FMC Corp. | 12 | 1,165 | ||||||
Graphic Packaging Holding Co. | 80 | 1,121 | ||||||
Packaging Corp. of America | 16 | 1,637 | ||||||
PPG Industries, Inc. | 13 | 1,430 | ||||||
Sherwin-Williams Co. (The) | 3 | 1,731 | ||||||
Southern Copper Corp. | 39 | 1,566 | ||||||
|
| |||||||
13,358 | ||||||||
|
| |||||||
Utilities – 4.3% |
| |||||||
Atmos Energy Corp. | 14 | 1,381 | ||||||
NextEra Energy, Inc. | 7 | 1,605 | ||||||
|
| |||||||
2,986 | ||||||||
|
| |||||||
Total United States – 55.4% |
| $ | 38,561 | |||||
TOTAL COMMON STOCKS – 95.3% |
| $ | 66,318 | |||||
(Cost: $77,054) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Money Market Funds (C) – 4.9% |
| |||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class 0.120% | 3,385 | 3,385 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 4.9% |
| $ | 3,385 | |||||
(Cost: $3,385) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.2% |
| $ | 69,703 | |||||
(Cost: $80,439) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.2)% |
| (166 | ) | |||||
NET ASSETS – 100.0% | $ | 69,537 |
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) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following forward foreign currency contracts were outstanding at June 30, 2020:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Euro | 3,925 | U.S. Dollar | 4,299 | 7-14-20 | Morgan Stanley International | $ | — | $ | 112 | |||||||||||||||||||
British Pound | 4,699 | U.S. Dollar | 5,818 | 7-14-20 | UBS AG | — | 5 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | — | $ | 117 | |||||||||||||||||||||||||
|
|
42 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | NATURAL RESOURCES (in thousands) |
JUNE 30, 2020 (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, 2020. 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 Staples | $ | 2,362 | $ | — | $ | — | ||||||
Energy | 17,133 | 3,093 | — | |||||||||
Industrials | 5,944 | — | — | |||||||||
Information Technology | 425 | — | — | |||||||||
Materials | 26,762 | 7,613 | — | * | ||||||||
Utilities | 2,986 | — | — | |||||||||
Total Common Stocks | $ | 55,612 | $ | 10,706 | $ | — | * | |||||
Short-Term Securities | 3,385 | — | — | |||||||||
Total | $ | 58,997 | $ | 10,706 | $ | — | * | |||||
Liabilities | ||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 117 | $ | — |
The following acronym is used throughout this schedule:
ADR = American Depositary Receipts
Market Sector Diversification
(as a % of net assets) |
| |||
Materials | 49.4% | |||
Energy | 29.1% | |||
Industrials | 8.5% | |||
Utilities | 4.3% | |||
Consumer Staples | 3.4% | |||
Information Technology | 0.6% | |||
Other+ | 4.7% |
+Includes liabilities (net of cash and other assets), and cash equivalents
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 43 |
Table of Contents
PORTFOLIO HIGHLIGHTS | SCIENCE AND TECHNOLOGY |
ALL DATA AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 94.2% | |||
Information Technology | 57.2% | |||
Health Care | 15.5% | |||
Communication Services | 11.4% | |||
Consumer Discretionary | 8.1% | |||
Real Estate | 1.8% | |||
Materials | 0.2% | |||
Warrants | 0.0% | |||
Bonds | 0.1% | |||
Corporate Debt Securities | 0.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 5.7% |
Country Weightings
North America | 76.8% | |||
United States | 76.8% | |||
Pacific Basin | 10.4% | |||
China | 4.7% | |||
Other Pacific Basin | 5.7% | |||
Europe | 7.1% | |||
Netherlands | 3.5% | |||
Other Europe | 3.6% | |||
Cash and Other Assets (Net of Liabilities), | 5.7% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Microsoft Corp. | United States | Information Technology | Systems Software | |||
Apple, Inc. | United States | Information Technology | Technology Hardware, Storage & Peripherals | |||
Facebook, Inc., Class A | United States | Communication Services | Interactive Media & Services | |||
Vertex Pharmaceuticals, Inc. | United States | Health Care | Biotechnology | |||
Micron Technology, Inc. | United States | Information Technology | Semiconductors | |||
Amazon.com, Inc. | United States | Consumer Discretionary | Internet & Direct Marketing Retail | |||
Alibaba Group Holding Ltd. ADR | China | Consumer Discretionary | Internet & Direct Marketing Retail | |||
Aspen Technology, Inc. | United States | Information Technology | Application Software | |||
ASML Holding N.V., NY Registry Shares | Netherlands | Information Technology | Semiconductor Equipment | |||
Cerner Corp. | United States | Health Care | Health Care Technology |
See your advisor or www.ivyinvestments.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.
44 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | SCIENCE AND TECHNOLOGY (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Communication Services |
| |||||||
Interactive Media & Services – 11.4% |
| |||||||
Alphabet, Inc., Class A (A) | 9 | $ | 13,262 | |||||
Alphabet, Inc., Class C (A) | 9 | 13,207 | ||||||
Facebook, Inc., Class A (A) | 153 | 34,730 | ||||||
Tencent Holdings Ltd. (B) | 56 | 3,607 | ||||||
|
| |||||||
64,806 | ||||||||
|
| |||||||
Total Communication Services – 11.4% |
| 64,806 | ||||||
Consumer Discretionary |
| |||||||
Internet & Direct Marketing Retail – 8.1% |
| |||||||
Alibaba Group Holding Ltd. ADR (A) | 107 | 23,090 | ||||||
Amazon.com, Inc. (A) | 8 | 23,094 | ||||||
|
| |||||||
46,184 | ||||||||
|
| |||||||
Total Consumer Discretionary – 8.1% |
| 46,184 | ||||||
Health Care |
| |||||||
Biotechnology – 10.8% |
| |||||||
CRISPR Therapeutics AG (A) | 66 | 4,887 | ||||||
Evogene Ltd. (A) | 137 | 137 | ||||||
Ionis Pharmaceuticals, Inc. (A) | 144 | 8,488 | ||||||
Moderna, Inc. (A)(C) | 171 | 10,948 | ||||||
Sarepta Therapeutics, Inc. (A) | 62 | 9,941 | ||||||
Vertex Pharmaceuticals, Inc. (A) | 93 | 27,019 | ||||||
|
| |||||||
61,420 | ||||||||
|
| |||||||
Health Care Services – 1.3% |
| |||||||
Teladoc Health, Inc. (A) | 37 | 7,115 | ||||||
|
| |||||||
Health Care Technology – 3.4% |
| |||||||
Cerner Corp. | 285 | 19,512 | ||||||
|
| |||||||
Total Health Care – 15.5% |
| 88,047 | ||||||
Information Technology |
| |||||||
Application Software – 9.5% |
| |||||||
ACI Worldwide, Inc. (A) | 681 | 18,393 | ||||||
Aspen Technology, Inc. (A) | 216 | 22,429 | ||||||
NVIDIA Corp. | 18 | 6,782 | ||||||
salesforce.com, Inc. (A) | 34 | 6,402 | ||||||
|
| |||||||
54,006 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Data Processing & Outsourced Services – 6.7% |
| |||||||
Euronet Worldwide, Inc. (A) | 147 | $ | 14,104 | |||||
Fiserv, Inc. (A) | 48 | 4,675 | ||||||
WNS (Holdings) Ltd. ADR (A) | 353 | 19,403 | ||||||
|
| |||||||
38,182 | ||||||||
|
| |||||||
Semiconductor Equipment – 3.5% |
| |||||||
ASML Holding N.V., NY Registry Shares | 54 | 20,011 | ||||||
|
| |||||||
Semiconductors – 17.3% |
| |||||||
Infineon Technologies AG (B) | 649 | 15,201 | ||||||
Microchip Technology, Inc. | 83 | 8,751 | ||||||
Micron Technology, Inc. (A) | 515 | 26,558 | ||||||
QUALCOMM, Inc. | 189 | 17,217 | ||||||
Semtech Corp. (A) | 139 | 7,257 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 120 | 6,793 | ||||||
Universal Display Corp. | 109 | 16,305 | ||||||
|
| |||||||
98,082 | ||||||||
|
| |||||||
Systems Software – 11.6% |
| |||||||
Microsoft Corp. | 289 | 58,784 | ||||||
ServiceNow, Inc. (A) | 18 | 7,188 | ||||||
|
| |||||||
65,972 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 8.6% |
| |||||||
Apple, Inc. | 117 | 42,539 | ||||||
Samsung Electronics Co. Ltd. (B) | 142 | 6,298 | ||||||
|
| |||||||
48,837 | ||||||||
|
| |||||||
Total Information Technology – 57.2% |
| 325,090 | ||||||
Materials |
| |||||||
Fertilizers & Agricultural Chemicals – 0.2% |
| |||||||
Marrone Bio Innovations, Inc. (A) | 1,138 | 1,332 | ||||||
|
| |||||||
Total Materials – 0.2% |
| 1,332 | ||||||
Real Estate |
| |||||||
Specialized REITs – 1.8% |
| |||||||
QTS Realty Trust, Inc., Class A | 160 | 10,274 | ||||||
|
| |||||||
Total Real Estate – 1.8% |
| 10,274 | ||||||
TOTAL COMMON STOCKS – 94.2% |
| $ | 535,733 | |||||
(Cost: $270,516) |
WARRANTS | Shares | Value | ||||||
Fertilizers & Agricultural Chemicals – 0.0% |
| |||||||
Marrone Bio Innovations, Inc., expires 12-15-20 (D)(E) | 85 | $ | 36 | |||||
Marrone Bio Innovations, Inc., expires 12-15-21 (D)(E) | 32 | 13 | ||||||
Marrone Bio Innovations, Inc., expires 3-15-21 (D)(E) | 38 | 16 | ||||||
Marrone Bio Innovations, Inc., expires 9-15-20 (D)(E) | 18 | 8 | ||||||
|
| |||||||
73 | ||||||||
|
| |||||||
TOTAL WARRANTS – 0.0% |
| $ | 73 | |||||
(Cost: $—) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Materials |
| |||||||
Fertilizers & Agricultural Chemicals – 0.1% |
| |||||||
Marrone Bio Innovations, Inc., | ||||||||
8.000%, 12-31-22 (D) | $ | 288 | 286 | |||||
|
| |||||||
Total Materials – 0.1% |
| 286 | ||||||
TOTAL CORPORATE DEBT |
| $ | 286 | |||||
(Cost: $287) |
| |||||||
SHORT-TERM SECURITIES | Shares | |||||||
Money Market Funds (F) — 5.6% |
| |||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, 0.120% | 32,050 | 32,050 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 5.6% |
| $ | 32,050 | |||||
(Cost: $32,050) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.9% |
| $ | 568,142 | |||||
(Cost: $302,853) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1% |
| 385 | ||||||
NET ASSETS – 100.0% |
| $ | 568,527 |
2020 | SEMIANNUAL REPORT | 45 |
Table of Contents
SCHEDULE OF INVESTMENTS | SCIENCE AND TECHNOLOGY (in thousands) |
JUNE 30, 2020 (UNAUDITED)
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) | All or a portion of securities with an aggregate value of $5,939 are on loan. |
(D) | Restricted securities. At June 30, 2020, the Portfolio owned the following restricted securities: |
Security | Acquisition Date(s) | Principal | Cost | Value | ||||||||||||
Marrone Bio Innovations, Inc., 8.000%, 12-31-22 | 8-20-15 | $ | 288 | $ | 287 | $ | 286 | |||||||||
Shares | ||||||||||||||||
Marrone Bio Innovations, Inc., expires 12-15-20 | 8-20-15 – 5-1-20 | 85 | — | 36 | ||||||||||||
Marrone Bio Innovations, Inc., expires 12-15-21 | 8-20-15 – 5-1-20 | 32 | — | 13 | ||||||||||||
Marrone Bio Innovations, Inc., expires 3-15-21 | 8-20-15 – 5-1-20 | 38 | — | 16 | ||||||||||||
Marrone Bio Innovations, Inc., expires 9-15-20 | 8-20-15 – 5-1-20 | 18 | — | 8 | ||||||||||||
|
| |||||||||||||||
$ | 287 | $ | 359 | |||||||||||||
|
|
The total value of these securities represented 0.1% of net assets at June 30, 2020. |
(E) | 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. |
(F) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | ||||||||||||
Communication Services | $ | 61,199 | $ | 3,607 | $ | — | ||||||
Consumer Discretionary | 46,184 | — | — | |||||||||
Health Care | 88,047 | — | — | |||||||||
Information Technology | 303,591 | 21,499 | — | |||||||||
Materials | 1,332 | — | — | |||||||||
Real Estate | 10,274 | — | — | |||||||||
Total Common Stocks | $ | 510,627 | $ | 25,106 | $ | — | ||||||
Warrants | — | 73 | — | |||||||||
Corporate Debt Securities | — | 286 | — | |||||||||
Short-Term Securities | 32,050 | — | — | |||||||||
Total | $ | 542,677 | $ | 25,465 | $ | — |
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
REIT = Real Estate Investment Trust
Country Diversification
(as a % of net assets) |
| |||
United States | 76.8% | |||
China | 4.7% | |||
Netherlands | 3.5% | |||
India | 3.4% |
Country Diversification (Continued)
Germany | 2.7% | |||
Taiwan | 1.2% | |||
South Korea | 1.1% | |||
Other Countries | 0.9% | |||
Other+ | 5.7% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
46 | SEMIANNUAL REPORT | 2020 |
Table of Contents
PORTFOLIO HIGHLIGHTS | SMALL CAP CORE |
ALL DATA AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 99.5% | |||
Information Technology | 19.8% | |||
Health Care | 16.2% | |||
Financials | 16.1% | |||
Industrials | 14.7% | |||
Consumer Discretionary | 10.8% | |||
Consumer Staples | 6.3% | |||
Materials | 6.2% | |||
Communication Services | 2.8% | |||
Energy | 2.4% | |||
Real Estate | 2.3% | |||
Utilities | 1.9% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.5% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Switch, Inc., Class A | Information Technology | IT Consulting & Other Services | ||
TreeHouse Foods, Inc. | Consumer Staples | Packaged Foods & Meats | ||
Chemed Corp. | Health Care | Health Care Services | ||
Knight Transportation, Inc. | Industrials | Trucking | ||
Coherent, Inc. | Information Technology | Electronic Equipment & Instruments | ||
Encompass Health Corp. | Health Care | Health Care Facilities | ||
TCF Financial Corp. | Financials | Regional Banks | ||
Halozyme Therapeutics, Inc. | Health Care | Biotechnology | ||
Kemper Corp. | Financials | Multi-Line Insurance | ||
Encore Capital Group, Inc. | Financials | Consumer Finance |
See your advisor or www.ivyinvestments.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.
2020 | SEMIANNUAL REPORT | 47 |
Table of Contents
SCHEDULE OF INVESTMENTS | SMALL CAP CORE (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Communication Services | ||||||||
Alternative Carriers – 2.8% | ||||||||
Cogent Communications Group, Inc. | 32 | $ | 2,440 | |||||
Vonage Holdings Corp. (A) | 179 | 1,801 | ||||||
|
| |||||||
4,241 | ||||||||
|
| |||||||
Total Communication Services – 2.8% | 4,241 | |||||||
Consumer Discretionary |
| |||||||
Apparel, Accessories & Luxury Goods – 0.9% |
| |||||||
Columbia Sportswear Co. | 17 | 1,398 | ||||||
|
| |||||||
Auto Parts & Equipment – 0.8% |
| |||||||
Visteon Corp. (A) | 17 | 1,168 | ||||||
|
| |||||||
Education Services – 2.4% |
| |||||||
2U, Inc. (A) | 96 | 3,645 | ||||||
|
| |||||||
Footwear – 1.5% |
| |||||||
Skechers USA, Inc. (A) | 69 | 2,177 | ||||||
|
| |||||||
Homebuilding – 2.3% |
| |||||||
KB Home | 37 | 1,127 | ||||||
TopBuild Corp. (A) | 21 | 2,384 | ||||||
|
| |||||||
3,511 | ||||||||
|
| |||||||
Homefurnishing Retail – 1.0% |
| |||||||
Restoration Hardware Holdings, Inc.(A) | 6 | 1,551 | ||||||
|
| |||||||
Leisure Products – 1.0% |
| |||||||
Polaris, Inc. | 16 | 1,495 | ||||||
|
| |||||||
Specialized Consumer Services – 0.9% |
| |||||||
frontdoor, Inc. (A) | 32 | 1,405 | ||||||
|
| |||||||
Total Consumer Discretionary – 10.8% |
| 16,350 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 1.0% |
| |||||||
Bunge Ltd. | 37 | 1,502 | ||||||
|
| |||||||
Packaged Foods & Meats – 5.3% |
| |||||||
Nomad Foods Ltd. (A) | 71 | 1,521 | ||||||
TreeHouse Foods, Inc. (A) | 149 | 6,529 | ||||||
|
| |||||||
8,050 | ||||||||
|
| |||||||
Total Consumer Staples – 6.3% | 9,552 | |||||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 2.4% |
| |||||||
Magnolia Oil & Gas Corp. (A) | 325 | 1,970 | ||||||
Parsley Energy, Inc., Class A | 155 | 1,659 | ||||||
|
| |||||||
3,629 | ||||||||
|
| |||||||
Total Energy – 2.4% | 3,629 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Financials |
| |||||||
Consumer Finance – 2.6% |
| |||||||
Encore Capital Group, Inc.(A)(B) | 115 | $ | 3,928 | |||||
|
| |||||||
Financial Exchanges & Data – 2.0% |
| |||||||
Morningstar, Inc. | 22 | 3,070 | ||||||
|
| |||||||
Investment Banking & Brokerage – 1.5% |
| |||||||
LPL Investment Holdings, Inc. | 29 | 2,280 | ||||||
|
| |||||||
Multi-Line Insurance – 2.6% |
| |||||||
Kemper Corp. | 54 | 3,941 | ||||||
|
| |||||||
Regional Banks – 6.0% |
| |||||||
First Horizon National Corp. | 144 | 1,433 | ||||||
TCF Financial Corp. | 142 | 4,180 | ||||||
Webster Financial Corp. | 120 | 3,444 | ||||||
|
| |||||||
9,057 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 1.4% |
| |||||||
Essent Group Ltd. | 61 | 2,195 | ||||||
|
| |||||||
Total Financials – 16.1% | 24,471 | |||||||
Health Care |
| |||||||
Biotechnology – 2.8% |
| |||||||
Exact Sciences Corp. (A) | 3 | 303 | ||||||
Halozyme Therapeutics, Inc. (A) | 147 | 3,953 | ||||||
|
| |||||||
4,256 | ||||||||
|
| |||||||
Health Care Equipment – 3.0% |
| |||||||
Integer Holdings Corp. (A) | 23 | 1,672 | ||||||
NuVasive, Inc. (A) | 25 | 1,398 | ||||||
Tandem Diabetes Care, Inc. (A) | 15 | 1,526 | ||||||
|
| |||||||
4,596 | ||||||||
|
| |||||||
Health Care Facilities – 2.9% |
| |||||||
Encompass Health Corp. | 71 | 4,385 | ||||||
|
| |||||||
Health Care Services – 3.3% |
| |||||||
Chemed Corp. | 11 | 4,917 | ||||||
|
| |||||||
Health Care Supplies – 2.0% |
| |||||||
Haemonetics Corp. (A) | 24 | 2,134 | ||||||
Quidel Corp. (A) | 4 | 889 | ||||||
|
| |||||||
3,023 | ||||||||
|
| |||||||
Health Care Technology – 0.9% |
| |||||||
Change Healthcare, Inc. (A) | 122 | 1,371 | ||||||
|
| |||||||
Managed Health Care – 1.3% |
| |||||||
HealthEquity, Inc. (A) | 33 | 1,963 | ||||||
|
| |||||||
Total Health Care – 16.2% | 24,511 | |||||||
Industrials |
| |||||||
Electrical Components & Equipment – 3.6% |
| |||||||
Generac Holdings, Inc. (A) | 19 | 2,311 | ||||||
nVent Electric plc | 169 | 3,172 | ||||||
|
| |||||||
5,483 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Environmental & Facilities Services – 2.0% |
| |||||||
Clean Harbors, Inc. (A) | 50 | $ | 2,983 | |||||
|
| |||||||
Industrial Machinery – 2.1% |
| |||||||
Crane Co. | 20 | 1,178 | ||||||
RBC Bearings, Inc. (A) | 15 | 2,043 | ||||||
|
| |||||||
3,221 | ||||||||
|
| |||||||
Research & Consulting Services – 4.0% |
| |||||||
FTI Consulting, Inc. (A) | 21 | 2,388 | ||||||
ICF International, Inc. | 55 | 3,584 | ||||||
|
| |||||||
5,972 | ||||||||
|
| |||||||
Trucking – 3.0% |
| |||||||
Knight Transportation, Inc. | 110 | 4,593 | ||||||
|
| |||||||
Total Industrials – 14.7% | 22,252 | |||||||
Information Technology |
| |||||||
Application Software – 1.2% |
| |||||||
Q2 Holdings, Inc. (A) | 22 | 1,881 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 3.6% |
| |||||||
Cardtronics plc, Class A (A) | 133 | 3,196 | ||||||
EVERTEC, Inc. | 79 | 2,231 | ||||||
|
| |||||||
5,427 | ||||||||
|
| |||||||
Electronic Components – 1.2% |
| |||||||
Knowles Corp. (A) | 117 | 1,788 | ||||||
|
| |||||||
Electronic Equipment & Instruments – 3.0% |
| |||||||
Coherent, Inc. (A) | 34 | 4,488 | ||||||
|
| |||||||
IT Consulting & Other Services – 4.3% |
| |||||||
Switch, Inc., Class A | 370 | 6,586 | ||||||
|
| |||||||
Semiconductor Equipment – 2.4% |
| |||||||
Brooks Automation, Inc. | 70 | 3,109 | ||||||
Enphase Energy, Inc. (A) | 12 | 567 | ||||||
|
| |||||||
3,676 | ||||||||
|
| |||||||
Semiconductors – 2.0% |
| |||||||
First Solar, Inc. (A) | 60 | 2,951 | ||||||
|
| |||||||
Systems Software – 2.1% |
| |||||||
Varonis Systems, Inc. (A) | 36 | 3,181 | ||||||
|
| |||||||
Total Information Technology – 19.8% |
| 29,978 | ||||||
Materials |
| |||||||
Commodity Chemicals – 0.9% |
| |||||||
Cabot Corp. | 38 | 1,410 | ||||||
|
| |||||||
Diversified Chemicals – 1.0% |
| |||||||
Huntsman Corp. | 86 | 1,546 | ||||||
|
| |||||||
Diversified Metals & Mining – 2.5% |
| |||||||
Compass Minerals International, Inc. | 76 | 3,724 | ||||||
|
|
48 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | SMALL CAP CORE (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS (Continued) | Shares | Value | ||||||
Specialty Chemicals – 1.8% |
| |||||||
Element Solutions, Inc. (A) | 245 | $ | 2,660 | |||||
|
| |||||||
Total Materials – 6.2% | 9,340 | |||||||
Real Estate |
| |||||||
Industrial REITs – 0.7% |
| |||||||
STAG Industrial, Inc. | 37 | 1,091 | ||||||
Retail REITs – 1.6% |
| |||||||
Agree Realty Corp. | 36 | 2,348 | ||||||
|
| |||||||
Total Real Estate – 2.3% |
| 3,439 | ||||||
Utilities |
| |||||||
Electric Utilities – 0.8% |
| |||||||
Portland General Electric Co. | 30 | 1,241 | ||||||
|
| |||||||
Gas Utilities – 1.1% |
| |||||||
ONE Gas, Inc. | 21 | 1,637 | ||||||
|
| |||||||
Total Utilities – 1.9% |
| 2,878 | ||||||
TOTAL COMMON STOCKS – 99.5% |
| $ | 150,641 | |||||
(Cost: $154,209) |
|
SHORT-TERM SECURITIES | Shares | Value | ||||||
Money Market Funds (D) – 0.5% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, 0.100% (C) | 563 | $ | 563 | |||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, 0.120% | 252 | 252 | ||||||
|
| |||||||
815 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.5% |
| $ | 815 | |||||
(Cost: $815) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 151,456 | |||||
(Cost: $155,024) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0% |
| 32 | ||||||
NET ASSETS – 100.0% |
| $ | 151,488 |
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 $549 are on loan. |
(C) | Investment made with cash collateral received from securities on loan. |
(D) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | $ | 150,641 | $ | — | $ | — | ||||||
Short-Term Securities | 815 | — | — | |||||||||
Total | $ | 151,456 | $ | — | $ | — |
The following acronym is used throughout this schedule:
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 49 |
Table of Contents
PORTFOLIO HIGHLIGHTS | SMALL CAP GROWTH |
ALL DATA AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 93.3% | |||
Health Care | 26.1% | |||
Information Technology | 26.0% | |||
Industrials | 14.9% | |||
Consumer Discretionary | 13.2% | |||
Financials | 7.7% | |||
Consumer Staples | 2.7% | |||
Communication Services | 2.3% | |||
Real Estate | 0.4% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 6.7% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Five9, Inc. | Information Technology | Application Software | ||
Wingstop, Inc. | Consumer Discretionary | Restaurants | ||
Monolithic Power Systems, Inc. | Information Technology | Semiconductors | ||
Mercury Computer Systems, Inc. | Industrials | Aerospace & Defense | ||
CareDx, Inc. | Health Care | Health Care Technology | ||
LHC Group, Inc. | Health Care | Health Care Services | ||
Knight Transportation, Inc. | Industrials | Trucking | ||
Varonis Systems, Inc. | Information Technology | Systems Software | ||
Q2 Holdings, Inc. | Information Technology | Application Software | ||
Nexstar Broadcasting Group, Inc. | Communication Services | Broadcasting |
See your advisor or www.ivyinvestments.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.
50 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | SMALL CAP GROWTH (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Communication Services |
| |||||||
Broadcasting – 2.3% |
| |||||||
Gray Television, Inc. (A) | 117 | $ | 1,631 | |||||
Nexstar Broadcasting Group, Inc. | 83 | 6,927 | ||||||
|
| |||||||
8,558 | ||||||||
|
| |||||||
Total Communication Services – 2.3% |
| 8,558 | ||||||
Consumer Discretionary |
| |||||||
Auto Parts & Equipment – 1.5% |
| |||||||
Fox Factory Holding Corp. (A) | 66 | 5,443 | ||||||
|
| |||||||
Casinos & Gaming – 1.9% |
| |||||||
Churchill Downs, Inc. | 40 | 5,291 | ||||||
Monarch Casino & Resort, Inc. (A) | 52 | 1,769 | ||||||
|
| |||||||
7,060 | ||||||||
|
| |||||||
Footwear – 0.9% |
| |||||||
Deckers Outdoor Corp. (A) | 17 | 3,411 | ||||||
|
| |||||||
Homebuilding – 2.9% |
| |||||||
Installed Building Products, Inc. (A) | 92 | 6,299 | ||||||
TopBuild Corp. (A) | 38 | 4,338 | ||||||
|
| |||||||
10,637 | ||||||||
|
| |||||||
Leisure Facilities – 0.6% |
| |||||||
SeaWorld Entertainment, Inc. (A) | 149 | 2,212 | ||||||
|
| |||||||
Leisure Products – 1.5% |
| |||||||
Malibu Boats, Inc., Class A (A) | 105 | 5,461 | ||||||
|
| |||||||
Restaurants – 3.9% |
| |||||||
Texas Roadhouse, Inc., Class A | 66 | 3,446 | ||||||
Wingstop, Inc. | 78 | 10,783 | ||||||
|
| |||||||
14,229 | ||||||||
|
| |||||||
Total Consumer Discretionary – 13.2% |
| 48,453 | ||||||
Consumer Staples |
| |||||||
Packaged Foods & Meats – 2.7% |
| |||||||
Nomad Foods Ltd. (A) | 281 | 6,018 | ||||||
TreeHouse Foods, Inc. (A) | 89 | 3,884 | ||||||
|
| |||||||
9,902 | ||||||||
|
| |||||||
Total Consumer Staples – 2.7% |
| 9,902 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.9% |
| |||||||
Hamilton Lane, Inc., Class A | 48 | 3,227 | ||||||
|
| |||||||
Insurance Brokers – 1.9% |
| |||||||
eHealth, Inc. (A) | 43 | 4,250 | ||||||
SelectQuote, Inc. (A) | 100 | 2,534 | ||||||
|
| |||||||
6,784 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 3.2% |
| |||||||
Houlihan Lokey, Inc. | 119 | 6,644 | ||||||
LPL Investment Holdings, Inc. | 64 | 5,018 | ||||||
|
| |||||||
11,662 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Regional Banks – 1.7% |
| |||||||
Prosperity Bancshares, Inc. | 48 | $ | 2,821 | |||||
Seacoast Banking Corp. of Florida (A) | 173 | 3,526 | ||||||
|
| |||||||
6,347 | ||||||||
|
| |||||||
Total Financials – 7.7% |
| 28,020 | ||||||
Health Care |
| |||||||
Biotechnology – 2.5% |
| |||||||
Acceleron Pharma, Inc. (A) | 6 | 533 | ||||||
Amicus Therapeutics, Inc. (A) | 93 | 1,401 | ||||||
Halozyme Therapeutics, Inc. (A) | 38 | 1,015 | ||||||
Insmed, Inc. (A) | 26 | 709 | ||||||
Novavax, Inc. (A) | 5 | 381 | ||||||
PTC Therapeutics, Inc. (A) | 13 | 674 | ||||||
Vericel Corp. (A) | 319 | 4,411 | ||||||
|
| |||||||
9,124 | ||||||||
|
| |||||||
Health Care Distributors – 1.9% |
| |||||||
PetIQ, Inc. (A) | 197 | 6,870 | ||||||
|
| |||||||
Health Care Equipment – 7.6% |
| |||||||
Axonics Modulation Technologies, Inc. (A) | 12 | 431 | ||||||
Insulet Corp. (A) | 25 | 4,884 | ||||||
iRhythm Technologies, Inc. (A) | 31 | 3,535 | ||||||
NovoCure Ltd. (A) | 20 | 1,185 | ||||||
Penumbra, Inc. (A) | 29 | 5,182 | ||||||
Tactile Systems Technology, Inc. (A) | 116 | 4,791 | ||||||
Tandem Diabetes Care, Inc. (A) | 51 | 5,072 | ||||||
Veracyte, Inc. (A) | 106 | 2,753 | ||||||
|
| |||||||
27,833 | ||||||||
|
| |||||||
Health Care Services – 4.2% |
| |||||||
1Life Healthcare, Inc. (A)(B) | 105 | 3,814 | ||||||
AMN Healthcare Services, Inc. (A) | 95 | 4,320 | ||||||
LHC Group, Inc. (A) | 42 | 7,356 | ||||||
|
| |||||||
15,490 | ||||||||
|
| |||||||
Health Care Supplies – 3.0% |
| |||||||
Haemonetics Corp. (A) | 71 | 6,336 | ||||||
OraSure Technologies, Inc. (A) | 117 | 1,361 | ||||||
STAAR Surgical Co. (A) | 53 | 3,254 | ||||||
|
| |||||||
10,951 | ||||||||
|
| |||||||
Health Care Technology – 6.0% |
| |||||||
CareDx, Inc. (A) | 222 | 7,857 | ||||||
HMS Holdings Corp. (A) | 192 | 6,215 | ||||||
Livongo Health, Inc. (A)(B) | 43 | 3,208 | ||||||
Omnicell, Inc. (A) | 68 | 4,778 | ||||||
|
| |||||||
22,058 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 0.2% |
| |||||||
NeoGenomics, Inc. (A) | 26 | 798 | ||||||
|
| |||||||
Managed Health Care – 0.7% |
| |||||||
HealthEquity, Inc. (A) | 46 | 2,717 | ||||||
|
| |||||||
Total Health Care – 26.1% |
| 95,841 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrials |
| |||||||
Aerospace & Defense – 2.4% |
| |||||||
Mercury Computer Systems, Inc. (A) | 112 | $ | 8,815 | |||||
|
| |||||||
Air Freight & Logistics – 1.4% |
| |||||||
Air Transport Services Group, Inc. (A) | 236 | 5,260 | ||||||
|
| |||||||
Building Products – 1.7% |
| |||||||
Simpson Manufacturing Co., Inc. | 37 | 3,094 | ||||||
Trex Co., Inc. (A) | 23 | 3,019 | ||||||
|
| |||||||
6,113 | ||||||||
|
| |||||||
Electrical Components & Equipment – 1.2% |
| |||||||
EnerSys | 67 | 4,322 | ||||||
|
| |||||||
Environmental & Facilities Services – 1.2% |
| |||||||
Clean Harbors, Inc. (A) | 72 | 4,310 | ||||||
|
| |||||||
Industrial Machinery – 3.1% |
| |||||||
Crane Co. | 72 | 4,297 | ||||||
John Bean Technologies Corp. | 45 | 3,873 | ||||||
RBC Bearings, Inc. (A) | 26 | 3,441 | ||||||
|
| |||||||
11,611 | ||||||||
|
| |||||||
Security & Alarm Services – 1.6% |
| |||||||
Brink’s Co. (The) | 128 | 5,808 | ||||||
|
| |||||||
Trucking – 2.3% |
| |||||||
Knight Transportation, Inc. | 175 | 7,280 | ||||||
Saia, Inc. (A) | 11 | 1,253 | ||||||
|
| |||||||
8,533 | ||||||||
|
| |||||||
Total Industrials – 14.9% |
| 54,772 | ||||||
Information Technology |
| |||||||
Application Software – 13.4% |
| |||||||
Envestnet, Inc. (A) | 71 | 5,253 | ||||||
Five9, Inc. (A) | 117 | 12,897 | ||||||
Globant S.A. (A) | 44 | 6,636 | ||||||
HubSpot, Inc. (A) | 12 | 2,676 | ||||||
LivePerson, Inc. (A) | 90 | 3,748 | ||||||
Mimecast Ltd. (A) | 147 | 6,119 | ||||||
Q2 Holdings, Inc. (A) | 81 | 6,963 | ||||||
Smartsheet, Inc., Class A (A) | 95 | 4,825 | ||||||
|
| |||||||
49,117 | ||||||||
|
| |||||||
Communications Equipment – 1.2% |
| |||||||
Viavi Solutions, Inc. (A) | 331 | 4,212 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 0.6% |
| |||||||
EVO Payments, Inc., Class A (A) | 100 | 2,278 | ||||||
|
| |||||||
Electronic Equipment & Instruments – 1.3% |
| |||||||
Coherent, Inc. (A) | 36 | 4,699 | ||||||
|
| |||||||
IT Consulting & Other Services – 1.7% |
| |||||||
Booz Allen Hamilton Holding Corp. | 51 | 3,955 | ||||||
Switch, Inc., Class A | 129 | 2,299 | ||||||
|
| |||||||
6,254 | ||||||||
|
|
2020 | SEMIANNUAL REPORT | 51 |
Table of Contents
SCHEDULE OF INVESTMENTS | SMALL CAP GROWTH (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS (Continued) | Shares | Value | ||||||
Semiconductor Equipment – 1.2% |
| |||||||
Enphase Energy, Inc. (A) | 93 | $ | 4,439 | |||||
|
| |||||||
Semiconductors – 2.8% |
| |||||||
Monolithic Power Systems, Inc. | 39 | 9,218 | ||||||
SiTime Corp. (A) | 24 | 1,161 | ||||||
|
| |||||||
10,379 | ||||||||
|
| |||||||
Systems Software – 3.8% |
| |||||||
Proofpoint, Inc. (A) | 60 | 6,657 | ||||||
Varonis Systems, Inc. (A) | 81 | 7,202 | ||||||
|
| |||||||
13,859 | ||||||||
|
| |||||||
Total Information Technology – 26.0% |
| 95,237 | ||||||
Real Estate |
| |||||||
Health Care REITs – 0.4% |
| |||||||
Community Healthcare Trust, Inc. | 35 | 1,412 | ||||||
|
| |||||||
Total Real Estate – 0.4% |
| 1,412 | ||||||
TOTAL COMMON STOCKS – 93.3% |
| $ | 342,195 | |||||
(Cost: $270,923) |
|
SHORT-TERM SECURITIES | Shares | Value | ||||||
Money Market Funds (D) – 6.5% |
| |||||||
Dreyfus Institutional Preferred Government Money Market | 2,801 | $ | 2,801 | |||||
State Street Institutional U.S. Government Money Market | 20,911 | 20,911 | ||||||
|
| |||||||
23,712 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 6.5% |
| $ | 23,712 | |||||
(Cost: $23,712) |
| |||||||
TOTAL INVESTMENT SECURITIES – 99.8% |
| $ | 365,907 | |||||
(Cost: $294,635) |
| |||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2% |
| 802 | ||||||
NET ASSETS – 100.0% |
| $ | 366,709 |
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 $2,746 are on loan. |
(C) | Investment made with cash collateral received from securities on loan. |
(D) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following total return swap agreements were outstanding at June 30, 2020:
Underlying Security | Long/Short | Counterparty | Maturity Date | Notional Amount | Financing Fee(1)(2) | Value | Upfront Payments/ (Receipts) | Unrealized Appreciation | ||||||||||||||||||||||||||
Biotech Custom Index | Long | JPMorgan Chase Bank N.A. | 06/29/2021 | $ | 14,041 | 1-Month LIBOR minus 0.2 bps | $ | 227 | $ | — | $ | 227 | ||||||||||||||||||||||
|
|
(1) | The Portfolio pays the financing fee multiplied by the notional amount if long on the swap agreement. If the Portfolio is short on the swap agreement, the Portfolio receives the financing fee multiplied by the notional amount. |
(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. If the Portfolio is long on the swap agreement, the Portfolio would receive payments on any net positive total return, and would owe payments in the event of a negative total return. If the Portfolio is short on the swap agreement, the Portfolio would owe payments on any net positive total return, and would receive payments in the event of a negative total return. |
52 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | SMALL CAP GROWTH (in thousands) |
JUNE 30, 2020 (UNAUDITED)
The following table represents security positions within the total return basket swap as of June 30, 2020:
Reference Entity | Shares | Notional Amount | Value | % of Value | ||||||||||||
Global Blood Therapeutics, Inc. | — | * | $ | 911 | $ | 15 | 6.5 | % | ||||||||
Repligen Corp. | — | * | 637 | 10 | 4.5 | |||||||||||
ACADIA Pharmaceuticals, Inc. | — | * | 588 | 9 | 4.2 | |||||||||||
Immunomedics, Inc. | — | * | 561 | 9 | 4.0 | |||||||||||
Iovance Biotherapeutics, Inc. | — | * | 426 | 7 | 3.0 | |||||||||||
Emergent BioSolutions, Inc. | — | * | 394 | 6 | 2.8 | |||||||||||
Acceleron Pharma, Inc. | — | * | 382 | 6 | 2.7 | |||||||||||
Ultragenyx Pharmaceutical, Inc. | — | * | 380 | 6 | 2.7 | |||||||||||
Halozyme Therapeutics, Inc. | — | * | 375 | 6 | 2.7 | |||||||||||
Arrowhead Pharmaceuticals, Inc. | — | * | 366 | 6 | 2.6 | |||||||||||
Momenta Pharmaceuticals, Inc. | — | * | 360 | 6 | 2.6 | |||||||||||
PTC Therapeutics, Inc. | — | * | 336 | 5 | 2.4 | |||||||||||
Blueprint Medicines Corp. | — | * | 332 | 5 | 2.4 | |||||||||||
MyoKardia, Inc. | — | * | 319 | 5 | 2.3 | |||||||||||
Amicus Therapeutics, Inc. | — | * | 315 | 5 | 2.2 | |||||||||||
FibroGen, Inc. | — | * | 297 | 5 | 2.1 | |||||||||||
Axsome Therapeutics, Inc. | — | * | 259 | 4 | 1.8 | |||||||||||
Mirati Therapeutics, Inc. | — | * | 247 | 4 | 1.8 | |||||||||||
Natera, Inc. | — | * | 237 | 4 | 1.7 | |||||||||||
Intercept Pharmaceuticals, Inc. | — | * | 232 | 4 | 1.6 | |||||||||||
Arena Pharmaceuticals, Inc. | — | * | 227 | 4 | 1.6 | |||||||||||
Insmed, Inc. | — | * | 207 | 3 | 1.5 | |||||||||||
Pacira BioSciences, Inc. | — | * | 193 | 3 | 1.4 | |||||||||||
Apellis Pharmaceuticals, Inc. | — | * | 191 | 3 | 1.4 | |||||||||||
Biohaven Pharmaceutical Holding Co. Ltd. | — | * | 183 | 3 | 1.3 | |||||||||||
Ironwood Pharmaceuticals, Inc. | — | * | 175 | 3 | 1.2 | |||||||||||
Invitae Corp. | — | * | 166 | 3 | 1.2 | |||||||||||
Fate Therapeutics, Inc. | — | * | 164 | 3 | 1.2 | |||||||||||
Reata Pharmaceuticals, Inc. | — | * | 154 | 3 | 1.1 | |||||||||||
REGENXBIO, Inc. | — | * | 153 | 2 | 1.1 | |||||||||||
Xencor, Inc. | — | * | 153 | 2 | 1.1 | |||||||||||
Veracyte, Inc. | — | * | 149 | 2 | 1.1 | |||||||||||
Theravance Biopharma, Inc. | — | * | 148 | 2 | 1.1 | |||||||||||
Corcept Therapeutics, Inc. | — | * | 144 | 2 | 1.0 | |||||||||||
Zogenix, Inc. | — | * | 140 | 2 | 1.0 | |||||||||||
Editas Medicine, Inc. | — | * | 134 | 2 | 1.0 | |||||||||||
Supernus Pharmaceuticals, Inc. | — | * | 133 | 2 | 1.0 | |||||||||||
Allakos, Inc. | — | * | 131 | 2 | 0.9 | |||||||||||
Allogene Therapeutics, Inc. | — | * | 130 | 2 | 0.9 | |||||||||||
Heron Therapeutics, Inc. | — | * | 121 | 2 | 0.9 | |||||||||||
Denali Therapeutics, Inc. | — | * | 120 | 2 | 0.9 | |||||||||||
Dicerna Pharmaceuticals, Inc. | — | * | 117 | 2 | 0.8 |
Reference Entity | Shares | Notional Amount | Value | % of Value | ||||||||||||
Esperion Therapeutics, Inc. | — | * | $ | 114 | $ | 2 | 0.8 | % | ||||||||
NanoString Technologies, Inc. | — | * | 112 | 2 | 0.8 | |||||||||||
Exact Sciences Corp. | — | * | 111 | 2 | 0.8 | |||||||||||
Epizyme, Inc. | — | * | 109 | 2 | 0.8 | |||||||||||
Innoviva, Inc. | — | * | 105 | 2 | 0.7 | |||||||||||
TG Therapeutics, Inc. | — | * | 95 | 2 | 0.7 | |||||||||||
Enanta Pharmaceuticals, Inc. | — | * | 92 | 2 | 0.7 | |||||||||||
Omeros Corp. | — | * | 90 | 1 | 0.6 | |||||||||||
Aimmune Therapeutics, Inc. | — | * | 87 | 1 | 0.6 | |||||||||||
Radius Health, Inc. | — | * | 81 | 1 | 0.6 | |||||||||||
Twist Bioscience Corp. | — | * | 80 | 1 | 0.6 | |||||||||||
Sangamo Therapeutics, Inc. | — | * | 76 | 1 | 0.5 | |||||||||||
Tricida, Inc. | — | * | 76 | 1 | 0.5 | |||||||||||
Aerie Pharmaceuticals, Inc. | — | * | 75 | 1 | 0.5 | |||||||||||
Madrigal Pharmaceuticals, Inc. | — | * | 75 | 1 | 0.5 | |||||||||||
Vericel Corp. | — | * | 73 | 1 | 0.5 | |||||||||||
Adverum Biotechnologies, Inc. | — | * | 72 | 1 | 0.5 | |||||||||||
Retrophin, Inc. | — | * | 71 | 1 | 0.5 | |||||||||||
Amphastar Pharmaceuticals, Inc. | — | * | 70 | 1 | 0.5 | |||||||||||
Codexis, Inc. | — | * | 70 | 1 | 0.5 | |||||||||||
Vanda Pharmaceuticals, Inc. | — | * | 69 | 1 | 0.5 | |||||||||||
PetIQ, Inc. | — | * | 62 | 1 | 0.4 | |||||||||||
Athenex, Inc. | — | * | 62 | 1 | 0.4 | |||||||||||
Phibro Animal Health Corp. | — | * | 60 | 1 | 0.4 | |||||||||||
Heska Corp. | — | * | 57 | 1 | 0.4 | |||||||||||
Portola Pharmaceuticals, Inc. | — | * | 54 | 1 | 0.4 | |||||||||||
ZIOPHARM Oncology, Inc. | — | * | 52 | 1 | 0.4 | |||||||||||
Cara Therapeutics, Inc. | — | * | 51 | 1 | 0.4 | |||||||||||
Pacific Biosciences of California, Inc. | — | * | 49 | 1 | 0.4 | |||||||||||
UroGen Pharma Ltd. | — | * | 49 | 1 | 0.3 | |||||||||||
ANI Pharmaceuticals, Inc. | — | * | 43 | 1 | 0.3 | |||||||||||
Atara Biotherapeutics, Inc. | — | * | 42 | 1 | 0.3 | |||||||||||
Clovis Oncology, Inc. | — | * | 42 | 1 | 0.3 | |||||||||||
Amneal Pharmaceuticals, Inc. | — | * | 39 | 1 | 0.3 | |||||||||||
AnaptysBio, Inc. | — | * | 37 | 1 | 0.3 | |||||||||||
Spectrum Pharmaceuticals, Inc. | — | * | 34 | 1 | 0.2 | |||||||||||
Accelerate Diagnostics, Inc. | — | * | 34 | 1 | 0.2 | |||||||||||
G1 Therapeutics, Inc. | — | * | 30 | 1 | 0.2 | |||||||||||
Voyager Therapeutics, Inc. | — | * | 30 | 1 | 0.2 | |||||||||||
Stemline Therapeutics, Inc. | — | * | 24 | — | * | 0.2 | ||||||||||
|
| |||||||||||||||
$ | 227 | |||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | $ | 342,195 | $ | — | $ | — | ||||||
Short-Term Securities | 23,712 | — | — | |||||||||
Total | $ | 365,907 | $ | — | $ | — | ||||||
Total Return Swaps | $ | — | $ | 227 | $ | — |
The following acronym is used throughout this schedule:
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 53 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY VIP |
AS OF JUNE 30, 2020 (UNAUDITED)
(In thousands, except per share amounts) | Asset Strategy(1) | Balanced | Energy | Growth | High Income | International Core Equity | Mid Cap Growth | ||||||||||||||||||||||||||||
ASSETS |
| ||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at value+^ | $ | 662,421 | $ | 308,516 | $ | 33,296 | $ | 816,564 | $ | 804,077 | $ | 594,358 | $ | 546,576 | |||||||||||||||||||||
Investments in affiliated securities at value+ | — | — | — | — | 424 | — | — | ||||||||||||||||||||||||||||
Bullion at value+ | 47,359 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Investments at Value | 709,780 | 308,516 | 33,296 | 816,564 | 804,501 | 594,358 | 546,576 | ||||||||||||||||||||||||||||
Cash | 439 | 28 | — | — | 7,034 | 1 | 26 | ||||||||||||||||||||||||||||
Cash denominated in foreign currencies at value+ | — | — | — | — | — | 964 | — | ||||||||||||||||||||||||||||
Investment securities sold receivable | 2,373 | 637 | 321 | — | 13,380 | 645 | 642 | ||||||||||||||||||||||||||||
Dividends and interest receivable | 3,190 | 965 | 32 | 539 | 11,779 | 2,337 | 67 | ||||||||||||||||||||||||||||
Capital shares sold receivable | 52 | 18 | 40 | 30 | 232 | 27 | 447 | ||||||||||||||||||||||||||||
Receivable from affiliates | — | — | — | — | — | — | 154 | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | — | — | 148 | — | ||||||||||||||||||||||||||||
Receivable from securities lending income – net | 16 | 1 | 1 | — | 4 | 22 | — | * | |||||||||||||||||||||||||||
Prepaid and other assets | — | — | — | 1 | — | * | — | — | |||||||||||||||||||||||||||
Total Assets | 715,850 | 310,165 | 33,690 | 817,134 | 836,930 | 598,502 | 547,912 | ||||||||||||||||||||||||||||
LIABILITIES | |||||||||||||||||||||||||||||||||||
Cash collateral on securities loaned at value | 17,625 | 150 | 560 | — | 3,889 | 15,859 | 3,497 | ||||||||||||||||||||||||||||
Investment securities purchased payable | 4,734 | 2,068 | 316 | — | 44,236 | 1,719 | 397 | ||||||||||||||||||||||||||||
Capital shares redeemed payable | 667 | 168 | 15 | 808 | 5,068 | 470 | 5,404 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 124 | 57 | 7 | 133 | 58 | 73 | 32 | ||||||||||||||||||||||||||||
Distribution and service fees payable | 5 | 2 | — | * | 6 | 5 | 4 | 2 | |||||||||||||||||||||||||||
Investment management fee payable | 13 | 6 | 1 | 16 | 13 | 13 | 13 | ||||||||||||||||||||||||||||
Accounting services fee payable | 14 | 8 | 1 | 17 | 17 | 13 | 12 | ||||||||||||||||||||||||||||
Written options at value+ | 62 | — | — | — | — | — | 1,122 | ||||||||||||||||||||||||||||
Other liabilities | 30 | 16 | 7 | 21 | 304 | 365 | 20 | ||||||||||||||||||||||||||||
Total Liabilities | 23,274 | 2,475 | 907 | 1,001 | 53,590 | 18,516 | 10,499 | ||||||||||||||||||||||||||||
Commitments and Contingencies | |||||||||||||||||||||||||||||||||||
(See Note 2 and Note 14) | |||||||||||||||||||||||||||||||||||
Total Net Assets | $ | 692,576 | $ | 307,690 | $ | 32,783 | $ | 816,133 | $ | 783,340 | $ | 579,986 | $ | 537,413 | |||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 663,611 | $ | 274,795 | $ | 101,158 | $ | 503,896 | $ | 961,765 | $ | 658,375 | $ | 334,308 | |||||||||||||||||||||
Accumulated earnings gain (loss) | 28,965 | 32,895 | (68,375 | ) | 312,237 | (178,425 | ) | (78,389 | ) | 203,105 | |||||||||||||||||||||||||
Total Net Assets | $ | 692,576 | $ | 307,690 | $ | 32,783 | $ | 816,133 | $ | 783,340 | �� | $ | 579,986 | $ | 537,413 | ||||||||||||||||||||
CAPITAL SHARES OUTSTANDING: | |||||||||||||||||||||||||||||||||||
Class I | 35 | N/A | 56 | N/A | 6,267 | N/A | 16,034 | ||||||||||||||||||||||||||||
Class II | 76,942 | 41,658 | 15,486 | 77,100 | 257,290 | 42,637 | 24,835 | ||||||||||||||||||||||||||||
NET ASSET VALUE PER SHARE: | |||||||||||||||||||||||||||||||||||
Class I | $ | 9.01 | N/A | $ | 2.11 | N/A | $ | 2.98 | N/A | $ | 13.19 | ||||||||||||||||||||||||
Class II | $ | 9.00 | $ | 7.39 | $ | 2.11 | $ | 10.59 | $ | 2.97 | $ | 13.60 | $ | 13.12 | |||||||||||||||||||||
+COST | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 657,260 | $ | 288,551 | $ | 49,497 | $ | 550,959 | $ | 924,427 | $ | 630,114 | $ | 379,597 | |||||||||||||||||||||
Investments in affiliated securities at cost | — | — | — | — | 1,096 | — | — | ||||||||||||||||||||||||||||
Bullion at cost | 32,745 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Cash denominated in foreign currencies at cost | — | — | — | — | — | 965 | — | ||||||||||||||||||||||||||||
Written options premiums received at cost | 172 | — | — | — | — | — | 534 | ||||||||||||||||||||||||||||
^Securities loaned at value | 16,835 | 147 | 541 | — | 3,802 | 20,376 | 3,419 |
* | Not shown due to rounding. |
(1) | Consolidated Statement of Assets and Liabilities (See Note 5 in Notes to Financial Statements). |
See Accompanying Notes to Financial Statements.
54 | SEMIANNUAL REPORT | 2020 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY VIP |
AS OF JUNE 30, 2020 (UNAUDITED)
(In thousands, except per share amounts) | Natural Resources | Science and Technology | Small Cap Core | Small Cap Growth | ||||||||||||||||
ASSETS |
| |||||||||||||||||||
Investments in unaffiliated securities at value+^ | $ | 69,703 | $ | 568,142 | $ | 151,456 | $ | 365,907 | ||||||||||||
Investments at Value | 69,703 | 568,142 | 151,456 | 365,907 | ||||||||||||||||
Cash denominated in foreign currencies at value+ | — | * | — | — | — | |||||||||||||||
Investment securities sold receivable | 19 | — | 1,076 | 19,081 | ||||||||||||||||
Dividends and interest receivable | 83 | 287 | 87 | 324 | ||||||||||||||||
Capital shares sold receivable | 37 | 467 | 4 | 19 | ||||||||||||||||
Receivable from affiliates | — | — | — | 64 | ||||||||||||||||
Swap agreements, at value | — | — | — | 227 | ||||||||||||||||
Receivable from securities lending income – net | — | 2 | — | * | — | * | ||||||||||||||
Total Assets | 69,842 | 568,898 | 152,623 | 385,622 | ||||||||||||||||
LIABILITIES | ||||||||||||||||||||
Cash collateral on securities loaned at value | — | — | 563 | 2,801 | ||||||||||||||||
Investment securities purchased payable | 20 | — | 225 | 15,553 | ||||||||||||||||
Capital shares redeemed payable | 96 | 268 | 293 | 461 | ||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 15 | 54 | 29 | 66 | ||||||||||||||||
Distribution and service fees payable | — | * | 4 | 1 | 2 | |||||||||||||||
Investment management fee payable | 2 | 13 | 4 | 8 | ||||||||||||||||
Accounting services fee payable | 4 | 12 | 5 | 8 | ||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 117 | — | — | — | ||||||||||||||||
Other liabilities | 51 | 20 | 15 | 14 | ||||||||||||||||
Total Liabilities | 305 | 371 | 1,135 | 18,913 | ||||||||||||||||
Commitments and Contingencies | ||||||||||||||||||||
(See Note 2 and Note 14) | ||||||||||||||||||||
Total Net Assets | $ | 69,537 | $ | 568,527 | $ | 151,488 | $ | 366,709 | ||||||||||||
NET ASSETS | ||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 150,840 | $ | 281,149 | $ | 165,303 | $ | 280,049 | ||||||||||||
Accumulated earnings gain (loss) | (81,303 | ) | 287,378 | (13,815 | ) | 86,660 | ||||||||||||||
Total Net Assets | $ | 69,537 | $ | 568,527 | $ | 151,488 | $ | 366,709 | ||||||||||||
CAPITAL SHARES OUTSTANDING: | ||||||||||||||||||||
Class I | N/A | 59 | N/A | 5,904 | ||||||||||||||||
Class II | 23,999 | 19,051 | 14,097 | 35,964 | ||||||||||||||||
NET ASSET VALUE PER SHARE: | ||||||||||||||||||||
Class I | N/A | $ | 29.91 | N/A | $ | 8.79 | ||||||||||||||
Class II | $ | 2.90 | $ | 29.75 | $ | 10.75 | $ | 8.75 | ||||||||||||
+COST | ||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 80,439 | $ | 302,853 | $ | 155,024 | $ | 294,635 | ||||||||||||
Cash denominated in foreign currencies at cost | — | — | — | — | ||||||||||||||||
^Securities loaned at value | — | 5,939 | 549 | 2,746 |
*Not | shown due to rounding. |
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 55 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2020 (UNAUDITED)
(In thousands) | Asset Strategy(1) | Balanced | Energy | Growth | High Income | International Core Equity | Mid Cap Growth | ||||||||||||||||||||||||||||
INVESTMENT INCOME |
| ||||||||||||||||||||||||||||||||||
Dividends from unaffiliated securities | $ | 4,629 | $ | 1,929 | $ | 423 | $ | 3,567 | $ | 967 | $ | 8,469 | $ | 1,488 | |||||||||||||||||||||
Foreign dividend withholding tax | (362 | ) | (22 | ) | (7 | ) | (14 | ) | — | (763 | ) | — | |||||||||||||||||||||||
Interest and amortization from unaffiliated securities | 6,406 | 1,487 | 4 | 29 | 28,486 | 125 | 46 | ||||||||||||||||||||||||||||
Interest and amortization from affiliated securities | — | — | — | — | 33 | — | — | ||||||||||||||||||||||||||||
Securities lending income – net | 26 | 9 | 4 | — | * | 117 | 33 | 7 | |||||||||||||||||||||||||||
Total Investment Income | 10,699 | 3,403 | 424 | 3,582 | 29,603 | 7,864 | 1,541 | ||||||||||||||||||||||||||||
EXPENSES | |||||||||||||||||||||||||||||||||||
Investment management fee | 2,421 | 1,076 | 127 | 2,678 | 2,477 | 2,519 | 2,159 | ||||||||||||||||||||||||||||
Distribution and service fees: | |||||||||||||||||||||||||||||||||||
Class II | 864 | 384 | 37 | 956 | 980 | 741 | 370 | ||||||||||||||||||||||||||||
Shareholder servicing: | |||||||||||||||||||||||||||||||||||
Class I | — | * | N/A | — | * | N/A | — | * | N/A | — | * | ||||||||||||||||||||||||
Class II | — | * | — | * | — | * | — | * | — | * | — | * | — | * | |||||||||||||||||||||
Custodian fees | 21 | 4 | 5 | 5 | 10 | 37 | 10 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 18 | 15 | 2 | 41 | 28 | 15 | 13 | ||||||||||||||||||||||||||||
Accounting services fee | 88 | 47 | 10 | 95 | 101 | 75 | 70 | ||||||||||||||||||||||||||||
Professional fees | 78 | 36 | 29 | 33 | 84 | 42 | 30 | ||||||||||||||||||||||||||||
Third-party valuation service fees | — | — | — | — | — | 7 | — | * | |||||||||||||||||||||||||||
Commitment and interest expense for borrowing | — | — | — | — | 42 | — | — | ||||||||||||||||||||||||||||
Other | 40 | 12 | 4 | 22 | 35 | 19 | 16 | ||||||||||||||||||||||||||||
Total Expenses | 3,530 | 1,574 | 214 | 3,830 | 3,757 | 3,455 | 2,668 | ||||||||||||||||||||||||||||
Less: | |||||||||||||||||||||||||||||||||||
Expenses in excess of limit | — | — | (21 | ) | — | — | — | (154 | ) | ||||||||||||||||||||||||||
Total Net Expenses | 3,530 | 1,574 | 193 | 3,830 | 3,757 | 3,455 | 2,514 | ||||||||||||||||||||||||||||
Net Investment Income (Loss) | 7,169 | 1,829 | 231 | (248 | ) | 25,846 | 4,409 | (973 | ) | ||||||||||||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | 6,012 | 11,145 | (14,171 | ) | 47,210 | (9,225 | ) | (45,744 | ) | 36,487 | |||||||||||||||||||||||||
Written options | 599 | — | — | — | — | 24 | 1,393 | ||||||||||||||||||||||||||||
Forward foreign currency contracts | — | — | — | — | — | (950 | ) | — | |||||||||||||||||||||||||||
Foreign currency exchange transactions | (102 | ) | — | — | — | — | 134 | (1 | ) | ||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | (52,167 | ) | (24,748 | ) | (3,326 | ) | 19,383 | (79,253 | ) | (30,562 | ) | 22,446 | |||||||||||||||||||||||
Investments in affiliated securities | — | — | — | — | (531 | ) | — | — | |||||||||||||||||||||||||||
Written options | 110 | — | — | — | — | — | (588 | ) | |||||||||||||||||||||||||||
Forward foreign currency contracts | — | — | — | — | — | 981 | — | ||||||||||||||||||||||||||||
Foreign currency exchange transactions | 2 | — | — | — | — | 7 | — | * | |||||||||||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | (45,546 | ) | (13,603 | ) | (17,497 | ) | 66,593 | (89,009 | ) | (76,110 | ) | 59,737 | |||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (38,377 | ) | $ | (11,774 | ) | $ | (17,266 | ) | $ | 66,345 | $ | (63,163 | ) | $ | (71,701 | ) | $ | 58,764 |
* | Not shown due to rounding. |
(1) | Consolidated Statement of Operations (See Note 5 in Notes to Financial Statements). |
See Accompanying Notes to Financial Statements.
56 | SEMIANNUAL REPORT | 2020 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2020 (UNAUDITED)
(In thousands) | Natural Resources | Science and Technology | Small Cap Core | Small Cap Growth | ||||||||||||||||
INVESTMENT INCOME |
| |||||||||||||||||||
Dividends from unaffiliated securities | $ | 1,103 | $ | 1,518 | $ | 860 | $ | 694 | ||||||||||||
Foreign dividend withholding tax | (42 | ) | (80 | ) | — | — | ||||||||||||||
Interest and amortization from unaffiliated securities | 10 | 56 | 17 | 59 | ||||||||||||||||
Securities lending income – net | 1 | 7 | 2 | 9 | ||||||||||||||||
Total Investment Income | 1,072 | 1,501 | 879 | 762 | ||||||||||||||||
EXPENSES | ||||||||||||||||||||
Investment management fee | 297 | 2,274 | 676 | 1,503 | ||||||||||||||||
Distribution and service fees: | ||||||||||||||||||||
Class II | 87 | 667 | 199 | 377 | ||||||||||||||||
Shareholder servicing: | ||||||||||||||||||||
Class I | N/A | — | * | N/A | — | * | ||||||||||||||
Class II | — | * | — | * | — | * | — | * | ||||||||||||
Custodian fees | 6 | 9 | 11 | 2 | ||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 2 | 19 | 4 | 18 | ||||||||||||||||
Accounting services fee | 21 | 71 | 32 | 54 | ||||||||||||||||
Professional fees | 40 | 37 | 31 | 31 | ||||||||||||||||
Third-party valuation service fees | 1 | 2 | — | — | ||||||||||||||||
Other | 15 | 23 | 8 | 24 | ||||||||||||||||
Total Expenses | 469 | 3,102 | 961 | 2,009 | ||||||||||||||||
Less: | ||||||||||||||||||||
Expenses in excess of limit | — | — | — | (64 | ) | |||||||||||||||
Total Net Expenses | 469 | 3,102 | 961 | 1,945 | ||||||||||||||||
Net Investment Income (Loss) | 603 | (1,601 | ) | (82 | ) | (1,183 | ) | |||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments in unaffiliated securities | (19,206 | ) | 25,685 | (9,994 | ) | 16,155 | ||||||||||||||
Swap agreements | — | — | — | 1,330 | ||||||||||||||||
Forward foreign currency contracts | (106 | ) | — | — | — | |||||||||||||||
Foreign currency exchange transactions | (2 | ) | (2 | ) | — | — | ||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments in unaffiliated securities | (1,206 | ) | 160 | (20,815 | ) | (16,758 | ) | |||||||||||||
Swap agreements | — | — | — | (399 | ) | |||||||||||||||
Forward foreign currency contracts | 784 | — | — | — | ||||||||||||||||
Foreign currency exchange transactions | — | * | — | * | — | — | ||||||||||||||
Net Realized and Unrealized Gain (Loss) | (19,736 | ) | 25,843 | (30,809 | ) | 328 | ||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (19,133 | ) | $ | 24,242 | $ | (30,891 | ) | $ | (855 | ) |
* | Not shown due to rounding. |
.
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 57 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY VIP |
Asset Strategy(1) | Balanced | Energy | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 7,169 | $ | 14,981 | $ | 1,829 | $ | 4,555 | $ | 231 | $ | 177 | ||||||||||||||||||
Net realized gain (loss) on investments | 6,509 | 32,609 | 11,145 | 17,335 | (14,171 | ) | (7,223 | ) | ||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (52,055 | ) | 104,156 | (24,748 | ) | 43,391 | (3,326 | ) | 8,632 | |||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (38,377 | ) | 151,746 | (11,774 | ) | 65,281 | (17,266 | ) | 1,586 | |||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Accumulated earnings: | ||||||||||||||||||||||||||||||
(combined net investment income and net realized gains) | ||||||||||||||||||||||||||||||
Class I | (1 | ) | (20 | ) | N/A | N/A | (2 | ) | — | |||||||||||||||||||||
Class II | (3,105 | ) | (45,846 | ) | (21,608 | ) | (31,681 | ) | (234 | ) | — | |||||||||||||||||||
Total Distributions to Shareholders | (3,106 | ) | (45,866 | ) | (21,608 | ) | (31,681 | ) | (236 | ) | — | |||||||||||||||||||
Capital Share Transactions | (38,549 | ) | (86,614 | ) | 233 | (3,079 | ) | 8,628 | 873 | |||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (80,032 | ) | 19,266 | (33,149 | ) | 30,521 | (8,874 | ) | 2,459 | |||||||||||||||||||||
Net Assets, Beginning of Period | 772,608 | 753,342 | 340,839 | 310,318 | 41,657 | 39,198 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 692,576 | $ | 772,608 | $ | 307,690 | $ | 340,839 | $ | 32,783 | $ | 41,657 | ||||||||||||||||||
Growth | High Income | International Core Equity | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (248 | ) | $ | (392 | ) | $ | 25,846 | $ | 58,517 | $ | 4,409 | $ | 13,679 | ||||||||||||||||
Net realized gain (loss) on investments | 47,210 | 112,843 | (9,225 | ) | (1,766 | ) | (46,536 | ) | 645 | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 19,383 | 118,696 | (79,784 | ) | 36,407 | (29,574 | ) | 105,350 | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 66,345 | 231,147 | (63,163 | ) | 93,158 | (71,701 | ) | 119,674 | ||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Accumulated earnings: | ||||||||||||||||||||||||||||||
(combined net investment income and net realized gains) | ||||||||||||||||||||||||||||||
Class I | N/A | N/A | (1,439 | ) | (3,156 | ) | N/A | N/A | ||||||||||||||||||||||
Class II | (112,473 | ) | (186,937 | ) | (57,106 | ) | (55,287 | ) | (14,682 | ) | (70,370 | ) | ||||||||||||||||||
Total Distributions to Shareholders | (112,473 | ) | (186,937 | ) | (58,545 | ) | (58,443 | ) | (14,682 | ) | (70,370 | ) | ||||||||||||||||||
Capital Share Transactions | 71,561 | 77,299 | 19,175 | 4,104 | (32,708 | ) | (26,103 | ) | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | 25,433 | 121,509 | (102,533 | ) | 38,819 | (119,091 | ) | 23,201 | ||||||||||||||||||||||
Net Assets, Beginning of Period | 790,700 | 669,191 | 885,873 | 847,054 | 699,077 | 675,876 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 816,133 | $ | 790,700 | $ | 783,340 | $ | 885,873 | $ | 579,986 | $ | 699,077 |
(1) Consolidated Statements of Changes in Net Assets (See Note 5 in Notes to Financial Statements).
See Accompanying Notes to Financial Statements.
58 | SEMIANNUAL REPORT | 2020 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY VIP |
Mid Cap Growth | Natural Resources | Science and Technology | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (973 | ) | $ | (1,716 | ) | $ | 603 | $ | 1,676 | $ | (1,601 | ) | $ | (2,507 | ) | ||||||||||||||
Net realized gain (loss) on investments | 37,879 | 41,235 | (19,314 | ) | (8,446 | ) | 25,683 | 74,933 | ||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 21,858 | 114,679 | (422 | ) | 15,165 | 160 | 130,323 | |||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 58,764 | 154,198 | (19,133 | ) | 8,395 | 24,242 | 202,749 | |||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Accumulated earnings: | ||||||||||||||||||||||||||||||
(combined net investment income and net realized gains) | ||||||||||||||||||||||||||||||
Class I | (16,217 | ) | (35,378 | ) | N/A | N/A | (47 | ) | (80 | ) | ||||||||||||||||||||
Class II | (23,025 | ) | (46,820 | ) | (1,678 | ) | (870 | ) | (24,127 | ) | (49,737 | ) | ||||||||||||||||||
Total Distributions to Shareholders | (39,242 | ) | (82,198 | ) | (1,678 | ) | (870 | ) | (24,174 | ) | (49,817 | ) | ||||||||||||||||||
Capital Share Transactions | (29,675 | ) | 61,552 | 2,740 | (8,357 | ) | (11,964 | ) | (2,175 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (10,153 | ) | 133,552 | (18,071 | ) | (832 | ) | (11,896 | ) | 150,757 | ||||||||||||||||||||
Net Assets, Beginning of Period | 547,566 | 414,014 | 87,608 | 88,440 | 580,423 | 429,666 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 537,413 | $ | 547,566 | $ | 69,537 | $ | 87,608 | $ | 568,527 | $ | 580,423 | ||||||||||||||||||
Small Cap Core | Small Cap Growth | |||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | ||||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment loss | $ | (82 | ) | $ | (89 | ) | $ | (1,183 | ) | $ | (3,127 | ) | ||||||||||||||||||
Net realized gain (loss) on investments | (9,994 | ) | 9,076 | 17,485 | 23,488 | |||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (20,815 | ) | 32,388 | (17,157 | ) | 60,210 | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (30,891 | ) | 41,375 | (855 | ) | 80,571 | ||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Accumulated earnings: | ||||||||||||||||||||||||||||||
(combined net investment income and net realized gains) | ||||||||||||||||||||||||||||||
Class I | N/A | N/A | — | (4,305 | ) | |||||||||||||||||||||||||
Class II | (8,739 | ) | (36,690 | ) | — | (24,945 | ) | |||||||||||||||||||||||
Total Distributions to Shareholders | (8,739 | ) | (36,690 | ) | — | (29,250 | ) | |||||||||||||||||||||||
Capital Share Transactions | 3,102 | 7,974 | (21,379 | ) | (14,405 | ) | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (36,528 | ) | 12,659 | (22,234 | ) | 36,916 | ||||||||||||||||||||||||
Net Assets, Beginning of Period | 188,016 | 175,357 | 388,943 | 352,027 | ||||||||||||||||||||||||||
Net Assets, End of Period | $ | 151,488 | $ | 188,016 | $ | 366,709 | $ | 388,943 |
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 59 |
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 6-30-2020 (unaudited) | $ | 9.50 | $ | 0.10 | $ | (0.55 | ) | $ | (0.45 | ) | $ | (0.01 | ) | $ | (0.03 | ) | $ | (0.04 | ) | ||||||||||||||||
Year ended 12-31-2019 | 8.29 | 0.20 | 1.63 | 1.83 | (0.23 | ) | (0.39 | ) | (0.62 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 9.37 | 0.18 | (0.67 | ) | (0.49 | ) | (0.20 | ) | (0.39 | ) | (0.59 | ) | |||||||||||||||||||||||
Year ended 12-31-2017(4) | 8.57 | 0.08 | 0.88 | 0.96 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 9.50 | 0.09 | (0.55 | ) | (0.46 | ) | (0.01 | ) | (0.03 | ) | (0.04 | ) | |||||||||||||||||||||||
Year ended 12-31-2019 | 8.29 | 0.18 | 1.62 | 1.80 | (0.20 | ) | (0.39 | ) | (0.59 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 9.37 | 0.16 | (0.67 | ) | (0.51 | ) | (0.18 | ) | (0.39 | ) | (0.57 | ) | |||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||
Balanced |
| ||||||||||||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 8.22 | 0.04 | (0.33 | ) | (0.29 | ) | (0.11 | ) | (0.43 | ) | (0.54 | ) | |||||||||||||||||||||||
Year ended 12-31-2019 | 7.46 | 0.11 | 1.44 | 1.55 | (0.14 | ) | (0.65 | ) | (0.79 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 7.95 | 0.12 | (0.36 | ) | (0.24 | ) | (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 | ) | ||||||||||||||||||||||||
Energy |
| ||||||||||||||||||||||||||||||||||
Class I Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 4.02 | 0.02 | (1.90 | ) | (1.88 | ) | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||||
Year ended 12-31-2019 | 3.88 | 0.03 | 0.11 | 0.14 | — | — | — | ||||||||||||||||||||||||||||
Year ended 12-31-2018 | 5.87 | 0.00 | * | (1.99 | ) | (1.99 | ) | — | — | — | |||||||||||||||||||||||||
Year ended 12-31-2017(4) | 5.84 | 0.06 | 0.02 | 0.08 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 4.00 | 0.02 | (1.89 | ) | (1.87 | ) | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||||||||
Year ended 12-31-2019 | 3.87 | 0.02 | 0.11 | 0.13 | — | — | — | ||||||||||||||||||||||||||||
Year ended 12-31-2018 | 5.87 | (0.02 | ) | (1.98 | ) | (2.00 | ) | — | — | — | |||||||||||||||||||||||||
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 | ) |
* | 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) | For the period from April 28, 2017 (commencement of operations of the class) through December 31, 2017. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended December 31, 2017. |
60 | SEMIANNUAL REPORT | 2020 |
Table of Contents
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 | |||||||||||||||||||||||||||||
Growth |
| ||||||||||||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | $ | 11.33 | $ | 0.00 | * | $ | 0.90 | $ | 0.90 | $ | — | $ | (1.64 | ) | $ | (1.64 | ) | ||||||||||||||||||
Year ended 12-31-2019 | 11.02 | (0.01 | ) | 3.58 | 3.57 | — | (3.26 | ) | (3.26 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 12.09 | 0.00 | * | 0.36 | 0.36 | — | * | (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 | ) | ||||||||||||||||||||||||
High Income |
| ||||||||||||||||||||||||||||||||||
Class I Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 3.48 | 0.11 | (0.36 | ) | (0.25 | ) | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||||||||
Year ended 12-31-2019 | 3.35 | 0.24 | 0.13 | 0.37 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2018 | 3.65 | 0.23 | (0.29 | ) | (0.06 | ) | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||||||||
Year ended 12-31-2017(4) | 3.73 | 0.16 | (0.03 | ) | 0.13 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 3.47 | 0.10 | (0.36 | ) | (0.26 | ) | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||||||||
Year ended 12-31-2019 | 3.34 | 0.23 | 0.13 | 0.36 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2018 | 3.64 | 0.22 | (0.29 | ) | (0.07 | ) | (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 | ) | |||||||||||||||||||||||
International Core Equity |
| ||||||||||||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 15.65 | 0.10 | (1.81 | ) | (1.71 | ) | (0.34 | ) | — | * | (0.34 | ) | |||||||||||||||||||||||
Year ended 12-31-2019 | 14.66 | 0.29 | 2.28 | 2.57 | (0.25 | ) | (1.33 | ) | (1.58 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 18.58 | 0.30 | (3.45 | ) | (3.15 | ) | (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 | ) |
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 61 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY VIP |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
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 6-30-2020 (unaudited) | $ | 9.01 | -4.73 | % | $ | — | * | 0.77 | %(5) | 2.34 | %(5) | — | % | — | % | 29 | % | |||||||||||||||||||||||
Year ended 12-31-2019 | 9.50 | 22.08 | — | * | 0.77 | 2.19 | 0.77 | 2.19 | 46 | |||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 8.29 | -5.20 | — | * | 0.78 | 1.91 | 0.78 | 1.91 | 58 | |||||||||||||||||||||||||||||||
Year ended 12-31-2017(4) | 9.37 | 11.16 | — | * | 0.74 | (5) | 1.30 | (5) | — | — | 39 | (6) | ||||||||||||||||||||||||||||
Class II Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 9.00 | -4.85 | 692 | 1.02 | (5) | 2.08 | (5) | — | — | 29 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 9.50 | 21.78 | 772 | 1.02 | 1.94 | — | — | 46 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 8.29 | -5.44 | 753 | 1.03 | 1.65 | — | — | 58 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Balanced |
| |||||||||||||||||||||||||||||||||||||||
Class II Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 7.39 | -3.23 | 308 | 1.03 | (5) | 1.19 | (5) | — | — | 44 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 8.22 | 22.09 | 341 | 1.01 | 1.38 | — | — | 44 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 7.46 | -3.24 | 310 | 1.01 | 1.55 | — | — | 54 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Energy |
| |||||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 2.11 | -46.80 | — | * | 1.05 | (5) | 1.80 | (5) | 1.19 | (5) | 1.66 | (5) | 30 | |||||||||||||||||||||||||||
Year ended 12-31-2019 | 4.02 | 3.74 | — | * | 1.04 | 0.64 | — | — | 21 | |||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 3.88 | -33.96 | — | * | 0.94 | -0.09 | 0.94 | -0.09 | 37 | |||||||||||||||||||||||||||||||
Year ended 12-31-2017(4) | 5.87 | 1.55 | — | * | 0.92 | (5) | 1.70 | (5) | — | — | 22 | (6) | ||||||||||||||||||||||||||||
Class II Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 2.11 | -46.87 | 33 | 1.30 | (5) | 1.55 | (5) | 1.44 | (5) | 1.41 | (5) | 30 | ||||||||||||||||||||||||||||
Year ended 12-31-2019 | 4.00 | 3.48 | 42 | 1.29 | 0.42 | — | — | 21 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 3.87 | -34.14 | 39 | 1.19 | -0.41 | — | — | 37 | ||||||||||||||||||||||||||||||||
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 |
62 | SEMIANNUAL REPORT | 2020 |
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 | |||||||||||||||||||||||||||||||||
Growth |
| |||||||||||||||||||||||||||||||||||||||
Class II Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | $ | 10.59 | 8.79 | % | $ | 816 | 1.00 | % (5) | -0.06 | % (5) | — | % | — | % | 18 | % | ||||||||||||||||||||||||
Year ended 12-31-2019 | 11.33 | 36.59 | 791 | 1.00 | -0.05 | — | — | 30 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 11.02 | 2.28 | 669 | 1.00 | -0.02 | — | — | 37 | ||||||||||||||||||||||||||||||||
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 | 0.00 | 30 | ||||||||||||||||||||||||||||||||
High Income |
| |||||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 2.98 | -7.07 | 19 | 0.69 | (5) | 6.68 | (5) | — | — | 24 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 3.48 | 11.49 | 27 | 0.67 | 6.82 | — | — | 35 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 3.35 | -1.86 | 44 | 0.66 | 6.50 | 0.66 | 6.50 | 42 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2017(4) | 3.65 | 3.42 | 56 | 0.66 | (5) | 6.53 | (5) | — | — | 52 | (6) | |||||||||||||||||||||||||||||
Class II Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 2.97 | -7.19 | 764 | 0.94 | (5) | 6.43 | (5) | — | — | 24 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 3.47 | 11.19 | 859 | 0.92 | 6.57 | — | — | 35 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 3.34 | -2.11 | 803 | 0.91 | 6.27 | — | — | 42 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
International Core Equity |
| |||||||||||||||||||||||||||||||||||||||
Class II Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 13.60 | -10.80 | 580 | 1.17 | (5) | 1.49 | (5) | — | — | 44 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 15.65 | 18.69 | 699 | 1.16 | 1.93 | — | — | 69 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 14.66 | -17.81 | 676 | 1.16 | 1.70 | — | — | 51 | ||||||||||||||||||||||||||||||||
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 |
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 63 |
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 6-30-2020 (unaudited) | $ | 12.77 | $ | (0.01 | ) | $ | 1.45 | $ | 1.44 | $ | — | $ | (1.02 | ) | $ | (1.02 | ) | ||||||||||||||||||
Year ended 12-31-2019 | 11.10 | (0.02 | ) | 3.95 | 3.93 | — | (2.26 | ) | (2.26 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 11.63 | (0.02 | ) | 0.09 | 0.07 | — | (0.60 | ) | (0.60 | ) | |||||||||||||||||||||||||
Year ended 12-31-2017(4) | 10.30 | 0.00 | * | 1.64 | 1.64 | — | (0.31 | ) | (0.31 | ) | |||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 12.69 | (0.03 | ) | 1.45 | 1.42 | — | (0.99 | ) | (0.99 | ) | |||||||||||||||||||||||||
Year ended 12-31-2019 | 11.07 | (0.06 | ) | 3.94 | 3.88 | — | (2.26 | ) | (2.26 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 11.61 | (0.05 | ) | 0.09 | 0.04 | — | (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 | ) | |||||||||||||||||||||||
Natural Resources |
| ||||||||||||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 3.84 | 0.03 | (0.90 | ) | (0.87 | ) | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||||||
Year ended 12-31-2019 | 3.55 | 0.07 | 0.26 | 0.33 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2018 | 4.63 | 0.03 | (1.10 | ) | (1.07 | ) | (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 | ) | — | * | — | — | * | ||||||||||||||||||||||||
Science and Technology |
| ||||||||||||||||||||||||||||||||||
Class I Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 29.94 | (0.05 | ) | 1.34 | 1.29 | — | (1.32 | ) | (1.32 | ) | |||||||||||||||||||||||||
Year ended 12-31-2019 | 21.91 | (0.06 | ) | 10.95 | 10.89 | — | (2.86 | ) | (2.86 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 27.04 | (0.03 | ) | (1.24 | ) | (1.27 | ) | — | (3.86 | ) | (3.86 | ) | |||||||||||||||||||||||
Year ended 12-31-2017(4) | 25.22 | (0.04 | ) | 4.16 | 4.12 | — | (2.30 | ) | (2.30 | ) |
* | 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) | For the period from April 28, 2017 (commencement of operations of the class) through December 31, 2017. |
(5) | For the period from November 5, 2018 (commencement of operations of the class) through December 31, 2018. |
(6) | Annualized. |
(7) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended December 31, 2017. |
(8) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended December 31, 2018. |
(9) | Expense ratio based on the period excluding reorganization expenses was 0.89%. |
(10) | Expense ratio based on the period excluding reorganization expenses was 1.14%. |
64 | SEMIANNUAL REPORT | 2020 |
Table of Contents
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 | |||||||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | $ | 29.82 | $ | (0.08 | ) | $ | 1.32 | $ | 1.24 | $ | — | $ | (1.31 | ) | $ | (1.31 | ) | ||||||||||||||||||
Year ended 12-31-2019 | 21.84 | (0.13 | ) | 10.90 | 10.77 | — | (2.79 | ) | (2.79 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 27.04 | (0.11 | ) | (1.23 | ) | (1.34 | ) | — | (3.86 | ) | (3.86 | ) | |||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||
Small Cap Core |
| ||||||||||||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 13.71 | (0.01 | ) | (2.31 | ) | (2.32 | ) | — | (0.64 | ) | (0.64 | ) | |||||||||||||||||||||||
Year ended 12-31-2019 | 13.51 | 0.00 | * | 3.12 | 3.12 | — | (2.92 | ) | (2.92 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 18.32 | (0.06 | ) | (1.37 | ) | (1.43 | ) | (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 | ) | |||||||||||||||||||||||
Small Cap Growth |
| ||||||||||||||||||||||||||||||||||
Class I Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 8.80 | (0.02 | ) | 0.01 | (0.01 | ) | — | — | — | ||||||||||||||||||||||||||
Year ended 12-31-2019 | 7.69 | (0.05 | ) | 1.85 | 1.80 | — | (0.69 | ) | (0.69 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018(5) | 8.76 | 0.00 | * | (1.07 | ) | (1.07 | ) | — | — | — | |||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 8.77 | (0.03 | ) | 0.01 | (0.02 | ) | — | — | — | ||||||||||||||||||||||||||
Year ended 12-31-2019 | 7.68 | (0.07 | ) | 1.85 | 1.78 | — | (0.69 | ) | (0.69 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 11.63 | (0.06 | ) | 0.03 | (0.03 | ) | (0.05 | ) | (3.87 | ) | (3.92 | ) | |||||||||||||||||||||||
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 | ) |
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 65 |
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FINANCIAL HIGHLIGHTS | IVY VIP |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
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 |
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Class I Shares |
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Six-month period ended 6-30-2020 (unaudited) | $ | 13.19 | 11.96 | % | $ | 211 | 0.85 | %(6) | -0.24 | %(6) | — | % | — | % | 14 | % | ||||||||||||||||||||||||
Year ended 12-31-2019 | 12.77 | 38.28 | 233 | 0.85 | -0.20 | 0.90 | -0.25 | 20 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 11.10 | 0.20 | 184 | 0.85 | -0.14 | 0.90 | -0.19 | 53 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2017(4) | 11.63 | 16.44 | 131 | 0.85 | (6) | 0.05 | (6) | 0.89 | (6) | 0.01 | (6) | 25 | (7) | |||||||||||||||||||||||||||
Class II Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 13.12 | 11.82 | 326 | 1.10 | (6) | -0.49 | (6) | 1.16 | (6) | -0.55 | (6) | 14 | ||||||||||||||||||||||||||||
Year ended 12-31-2019 | 12.69 | 37.94 | 315 | 1.10 | -0.45 | 1.15 | -0.50 | 20 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 11.07 | -0.06 | 230 | 1.10 | -0.42 | 1.15 | -0.47 | 53 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Natural Resources |
| |||||||||||||||||||||||||||||||||||||||
Class II Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 2.90 | -22.73 | 70 | 1.35 | (6) | 1.73 | (6) | — | — | 38 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 3.84 | 9.46 | 88 | 1.24 | 1.88 | — | — | 36 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 3.55 | -23.23 | 88 | 1.21 | 0.72 | — | — | 33 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Science and Technology |
| |||||||||||||||||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 29.91 | 4.58 | 2 | 0.91 | (6) | -0.35 | (6) | — | — | 4 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 29.94 | 49.86 | 1 | 0.90 | -0.23 | — | — | 31 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 21.91 | -5.00 | 1 | 0.91 | -0.11 | 0.91 | -0.11 | 17 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2017(4) | 27.04 | 17.24 | — | * | 0.90 | (6) | -0.25 | (6) | — | — | 27 | (7) | ||||||||||||||||||||||||||||
Class II Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 29.75 | 4.44 | 567 | 1.16 | (6) | -0.60 | (6) | — | — | 4 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 29.82 | 49.48 | 579 | 1.15 | -0.48 | — | — | 31 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 21.84 | -5.23 | 429 | 1.16 | -0.38 | — | — | 17 | ||||||||||||||||||||||||||||||||
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 |
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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 | |||||||||||||||||||||||||||||||||
Small Cap Core |
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Class II Shares |
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Six-month period ended 6-30-2020 (unaudited) | $ | 10.75 | -16.96 | % | $ | 151 | 1.21 | % (6) | -0.10 | % (6) | — | % | — | % | 92 | % | ||||||||||||||||||||||||
Year ended 12-31-2019 | 13.71 | 24.33 | 188 | 1.18 | -0.05 | — | — | 126 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 13.51 | -10.49 | 175 | 1.17 | -0.34 | — | — | 112 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Small Cap Growth |
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Class I Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 8.79 | -0.18 | 52 | 0.89 | (6) | -0.46 | (6) | — | — | 28 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 8.80 | 23.68 | 58 | 0.89 | -0.60 | 0.91 | -0.62 | 41 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018(5) | 7.69 | -12.24 | 52 | 1.05 | (6)(9) | 0.15 | (6) | 1.07 | (6) | 0.13 | (6) | 52 | (8) | |||||||||||||||||||||||||||
Class II Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 8.75 | -0.31 | 315 | 1.14 | (6) | -0.71 | (6) | 1.17 | (6) | -0.74 | (6) | 28 | ||||||||||||||||||||||||||||
Year ended 12-31-2019 | 8.77 | 23.37 | 331 | 1.14 | -0.84 | 1.17 | -0.87 | 41 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 7.68 | -4.11 | 300 | 1.16 | (10) | -0.52 | 1.18 | -0.54 | 52 | |||||||||||||||||||||||||||||||
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 |
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 67 |
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NOTES TO FINANCIAL STATEMENTS | IVY VIP |
JUNE 30, 2020 (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. Asset Strategy, Balanced, Energy, Growth, High Income, International Core Equity, Mid Cap Growth, Natural Resources, Science and Technology, Small Cap Core and Small Cap Growth (each, a “Portfolio”) are eleven series of the Trust and are the only series of the Trust included in these financial statements. The assets belonging to each Portfolio are held separately by 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, Mid Cap Growth, Science and Technology and Small Cap Growth 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 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
68 | SEMIANNUAL REPORT | 2020 |
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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.
The London Interbank Offered Rate “LIBOR” is an indicative measure of the average interest rate at which major global banks could borrow from one another. LIBOR is quoted in multiple currencies and multiple time frames using data reported by private-sector banks. LIBOR is used extensively in the United States and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds and loans, floating rate mortgages, asset-backed securities, consumer loans, and interest rate swaps and other derivatives.
It is expected that a number of private-sector banks currently reporting information used to set LIBOR will stop doing so after 2021 when their current reporting commitment ends, which could either cause LIBOR to stop publication immediately or cause LIBOR’s regulator to determine that its quality has degraded to the degree that it is no longer representative of its underlying market.
Management believes that, with respect to any significant investments by a Portfolio in instruments linked to LIBOR, the impact on investments and discontinuation of LIBOR may represent a significant risk.
However, management acknowledges that the anticipated transition away from LIBOR will occur after 2021 and certain of the current investments will mature prior to that time. Furthermore, the ways in which LIBOR’s discontinuation potentially could impact the Portfolios’ investments is not fully known. The extent of that impact may vary depending on various factors, which include, but are not limited to: (i) existing fallback or termination provisions in individual contracts and (ii) whether, how, and when industry participants develop and adopt new successor reference rates and/or fallbacks for both legacy and new instruments.
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In addition, the transition to a successor rate could potentially cause (i) increased volatility or illiquidity in markets for instruments that currently rely on LIBOR, (ii) a reduction in the value of certain instruments held by a Portfolio, or (iii) reduced effectiveness of related Portfolio transactions, such as hedging.
As the impacts of the transition become clearer during the next year, Management will be evaluating the impacts of these changes.
An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. This coronavirus has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.
The individual Portfolios herein have adopted a Liquidity Risk Management Program (the “Program”). The Portfolio’s board has designated a Liquidity Risk Management Committee (the “Committee”) as the administrator of the Program. The Committee or delegates of the Committee conduct the day-to-day operation of the Program. Under the Program, the Committee manages the Portfolio’s liquidity risk, which is the risk that any Portfolio could not meet shareholder redemption requests without significant dilution of remaining shareholders’ interests in the Portfolio. This risk is managed by monitoring the degree of liquidity of the Portfolio’s investments, limiting the amount of the Portfolio’s illiquid investments, and utilizing various risk management tools and facilities available to the Portfolio for meeting shareholder redemptions, among other means. The Committee’s process of determining the degree of liquidity of the Portfolio’s investments is supported by one or more third-party liquidity assessment vendors. The Portfolio’s board reviewed a report prepared by a designee of the Committee regarding the operation, adequacy and effectiveness of the Program from the period June 1, 2019, through March 31, 2020. The report described the Program’s liquidity classification methodology and the methodology in establishing a Portfolio’s Highly Liquid Investment Minimum (“HLIM”), if necessary. The Committee reported that during the period covered by the report, there were no material changes to the Program and no significant liquidity events impacting the Portfolio or its ability to timely meet redemptions without dilution to existing shareholders. In addition, the Committee provided its assessment that the Program, including the operation of each Portfolio’s HLIM, where applicable, had been effective in managing the Portfolio’s liquidity risk.
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 one or more major U.S. banks, the 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
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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.
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.
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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.
Short-term securities with maturities of 60 days or less 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. IICO, pursuant to authority delegated by 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 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 inputs such as quoted prices, available in active markets, for identical assets or liabilities. |
• | Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, |
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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, which 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. Exchange-traded futures contracts 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 for a comparable listed option provided by an independent pricing service unless such a price is unavailable, in which case they are valued at a quotation obtained from a broker-dealer.
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.
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.
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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.
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.
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.
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.
Forward Foreign Currency Contracts. All Portfolios are authorized to 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 are 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. 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.
International Core Equity and Natural Resources enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from foreign currencies (foreign currency exchange rate risk).
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Option Contracts. Options purchased by a Portfolio are accounted for in the same manner as portfolio securities. The cost of the underlying 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.
Option contracts can be traded on a regulated exchange or traded OTC. Unlike the trades on a regulated exchange where the clearinghouse guarantees the performances of both the buyer and the seller, 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, International Core Equity and Mid Cap Growth purchase and write call and put options to increase or decrease hedging exposure to underlying instruments (which include credit risk, equity risk, foreign currency exchange rate risk, event risk and/or interest rate 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.
Swap Agreements. All Portfolios are authorized to invest in swap agreements. Swap agreements are bilaterally negotiated agreements between a Portfolio and counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”). If the OTC swap entered is one of the swaps identified by a relevant regulator as a swap that is required to be cleared, then it will be cleared through a third party, known as a central counterparty or derivatives clearing organization (“centrally cleared swaps”).
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. An early termination payment received or made at an early termination or a final payment made at the maturity of the swap is recorded as realized gain or loss on the Statement of Operations.
After a centrally cleared swap is accepted for clearing, a Portfolio may be required to deposit initial margin with a Clearing Member in the form of cash or securities. Securities deposited as initial margin, if any, are designated on the Schedule of Investments. Cash deposited as initial margin is identified on the Schedule of Investments and is recorded as restricted cash on the Statement of Assets and Liabilities.
Total return swaps involve a commitment of one party to pay 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, a basket of securities, or an index exceeds or falls short of the offsetting interest rate obligation, the Portfolio will receive a payment from or make a payment to the counterparty.
Small Cap Growth enters 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 counterparty 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 due to facts specific to certain situations (i.e., collateral may not have been posted by the counterparty due to the required collateral amount being less than the pre-agreed thresholds. Additionally, regulatory developments called stay resolutions and the ensuing required contractual amendments to the transactional documentation, including derivatives, permit the relevant regulators to preclude parties to a transaction from terminating trades, among other rights it may have in the trade agreements should a counterparty that it regulates experience financial distress. A relevant regulator also has the authority to reduce the value of certain liabilities owed by the counterparty to a
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Fund and/or convert cash liabilities of a regulated entity into equity holdings. The power given to the relevant regulators includes the ability to amend transactional agreements unilaterally, modify the maturity of eligible liabilities, reduce the amount of interest payable or change the date on which interest becomes payable, among other powers.
To prevent incurring losses due to the counterparty credit risk, IICO actively monitors the creditworthiness of the counterparties with which it has entered financial transactions. IICO consistently and frequently risk manages the credit risk of the counterparties it faces in transactions.
Collateral and rights of offset. A Portfolio mitigates 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 all OTC derivative transactions between the Portfolio and each of its counterparties. Although it is not possible to eliminate credit risk entirely, the CSA allows the Portfolio and its counterparty to reduce their exposure to the risk of payment default by the other party by holding an amount in collateral equivalent to the realized and unrealized amount of exposure to the counterparty, which is generally held by the Portfolio’s custodian. An amount of collateral is moved to/from applicable counterparties only if the amount of collateral required to be posted surpasses both the threshold and the minimum transfer amount pre-agreed in the CSA between the Portfolio and the counterparty. 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, 2020:
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 | |||||||||||||||||||||
Asset Strategy | ||||||||||||||||||||||||||||
Investments in unaffiliated securities at value* | $ | 86 | $ | — | $ | 86 | $ | (62 | ) | $ | — | $ | — | $ | 24 | |||||||||||||
International Core Equity | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts(1) | $ | 723 | $ | — | $ | 723 | $ | — | $ | — | $ | (723 | ) | $ | — | |||||||||||||
Natural Resources | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts(1) | $ | 19 | $ | — | $ | 19 | $ | (11 | ) | $ | — | $ | — | $ | 8 | |||||||||||||
Small Cap Growth | ||||||||||||||||||||||||||||
Swap agreements, at value | $ | 227 | $ | — | �� | $ | 227 | $ | — | $ | — | $ | (227 | ) | $ | — |
* | 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. |
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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 | |||||||||||||||||||||
Asset Strategy | ||||||||||||||||||||||||||||
Written options at value | $ | 62 | $ | — | $ | 62 | $ | (62 | ) | $ | — | $ | — | $ | — | |||||||||||||
Natural Resources | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts(1) | $ | 137 | $ | — | $ | 137 | $ | (11 | ) | $ | — | $ | — | $ | 126 |
(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, 2020:
Assets | Liabilities | |||||||||||||||||
Portfolio | Type of Risk Exposure | Statement of Assets & Liabilities Location | Value | Statement of Assets & Liabilities Location | Value | |||||||||||||
Asset Strategy | Equity | Investments in unaffiliated securities at value* | $ | 86 | Written options at value | $ | 62 | |||||||||||
International Core Equity | Foreign currency | Unrealized appreciation on forward foreign currency contracts | 148 | — | ||||||||||||||
Mid Cap Growth | Equity | — | Written options at value | 1,122 | ||||||||||||||
Natural Resources | Foreign currency | — | Unrealized depreciation on forward foreign currency contracts | 117 | ||||||||||||||
Small Cap Growth | Equity | Swap agreements, at value | 227 | — |
* 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, 2020:
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 | |||||||||||||||||||
Asset Strategy | Equity | $ | (311 | ) | $ | — | $ | — | $ | 599 | $ | — | $ | 288 | ||||||||||||
International Core Equity | Equity | 151 | — | — | 24 | — | 175 | |||||||||||||||||||
Foreign currency | — | — | — | — | (950 | ) | (950 | ) | ||||||||||||||||||
Mid Cap Growth | Equity | (2,760 | ) | — | — | 1,393 | — | (1,367 | ) | |||||||||||||||||
Natural Resources | Foreign currency | — | — | — | — | (106 | ) | (106 | ) | |||||||||||||||||
Small Cap Growth | Equity | — | 1,330 | — | — | — | 1,330 |
* Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
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Change in unrealized appreciation (depreciation) on derivatives recognized on the Statement of Operations for the period ended June 30, 2020:
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 | |||||||||||||||||||
Asset Strategy | Equity | $ | (57 | ) | $ | — | $ | — | $ | 110 | $ | — | $ | 53 | ||||||||||||
International Core Equity | Foreign currency | — | — | — | — | 981 | 981 | |||||||||||||||||||
Mid Cap Growth | Equity | — | — | — | (587 | ) | — | (587 | ) | |||||||||||||||||
Natural Resources | Foreign currency | — | — | — | — | 784 | 784 | |||||||||||||||||||
Small Cap Growth | Equity | — | (382 | ) | — | — | — | (382 | ) |
* Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
During the period ended June 30, 2020, 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) | ||||||||||||||||||||||||
Asset Strategy | $ | — | $ | — | $ | — | $ | — | $ | 41 | $ | 278 | ||||||||||||||||||
International Core Equity | 220 | — | — | — | — | — | ||||||||||||||||||||||||
Mid Cap Growth | — | — | — | — | 11 | 273 | ||||||||||||||||||||||||
Natural Resources | 169 | — | — | — | — | — | ||||||||||||||||||||||||
Small Cap Growth | — | — | — | 10,076 | — | — |
(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 (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 investment vehicles for the Portfolio, in order to affect 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 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, 2020 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 | $ | 692,576 | $ | 47,507 | 6.86 | % | |||||||||||||||||
VIP ASF III (SBP), LLC | 4-9-13 | 4-23-13 | 692,576 | 26 | 0.00 |
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6. | INVESTMENT MANAGEMENT AND PAYMENTS TO AFFILIATED PERSONS ($ amounts in thousands unless indicated otherwise) |
Management Fees. IICO serves as each Portfolio’s investment adviser. The management fee is accrued daily by each Portfolio 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 | $3,000 to $5,000M | $5,000 to $10,000M | Over $10,000M | ||||||||||||||||||||||||
Asset Strategy | 0.700 | 0.700 | 0.650 | 0.650 | 0.600 | 0.550 | 0.550 | 0.550 | ||||||||||||||||||||||||
Balanced | 0.700 | 0.700 | 0.650 | 0.650 | 0.600 | 0.550 | 0.550 | 0.550 | ||||||||||||||||||||||||
Energy | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | 0.760 | 0.760 | ||||||||||||||||||||||||
Growth | 0.700 | 0.700 | 0.650 | 0.650 | 0.600 | 0.550 | 0.550 | 0.550 | ||||||||||||||||||||||||
High Income | 0.625 | 0.600 | 0.550 | 0.500 | 0.500 | 0.500 | 0.500 | 0.500 | ||||||||||||||||||||||||
International Core Equity | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | 0.760 | 0.760 | ||||||||||||||||||||||||
Mid Cap Growth | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | 0.760 | 0.760 | ||||||||||||||||||||||||
Natural Resources | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | 0.730 | 0.700 | ||||||||||||||||||||||||
Science and Technology | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | 0.760 | 0.760 | ||||||||||||||||||||||||
Small Cap Core | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | 0.760 | 0.760 | ||||||||||||||||||||||||
Small Cap Growth | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | 0.760 | 0.760 |
IICO has voluntarily agreed to waive a Portfolio’s investment management fee on any Portfolio 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.
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”). 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 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 |
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 may pay a service fee to Ivy Distributors, Inc. (“IDI”) 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 IDI for amounts it expends in connection with the provision of personal services to Policyowners and/or maintenance of Policyowner accounts.
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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, 2020 were as follows:
Fund 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 | 4-30-2021 | Class II less 0.25% | $ | — | N/A | |||||||||
Energy | Class I | Contractual | 4-28-2017 | 4-30-2021 | Class II less 0.25% | $ | 21 | Shareholder Servicing | |||||||||
High Income | Class I | Contractual | 4-28-2017 | 4-30-2021 | Class II less 0.25% | $ | — | N/A | |||||||||
Mid Cap Growth | All Classes | Contractual | 4-28-2017 | 4-30-2021 | N/A | $ | 153 | (1) | Investment Management Fee | ||||||||
Class I | Contractual | 4-28-2017 | 4-30-2021 | 0.85% | $ | — | * | Shareholder Servicing | |||||||||
Class I | Contractual | 4-28-2017 | 4-30-2021 | Class II less 0.25% | $ | — | N/A | ||||||||||
Class II | Contractual | 5-1-2012 | 4-30-2021 | 1.10% | $ | 1 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Science and Technology | Class I | Contractual | 4-28-2017 | 4-30-2021 | Class II less 0.25% | $ | — | N/A | |||||||||
Small Cap Growth | All Classes | Contractual | 4-28-2017 | 4-30-2021 | N/A | $ | 63 | (1) | Investment Management Fee | ||||||||
Class I | Contractual | 11-5-2018 | 4-30-2021 | Class II less 0.25% | $ | 1 | Shareholder Servicing | ||||||||||
Class II | Contractual | 10-1-2016 | 4-30-2021 | 1.14% | $ | — | * | 12b-1 Fees and/or Shareholder Servicing |
* | Not shown due to rounding. |
(1) | Due to Class I and/or Class II contractual expense limits, investment management fees were waived for all share classes. |
Any amounts due to the Portfolios as a reimbursement but not paid as of June 30, 2020 are shown as a receivable from affiliates on the Statement of Assets and Liabilities.
7. | RELATED PARTY TRANSACTIONS (All amounts in thousands) |
Certain Portfolios are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Portfolios from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees or common officers, complies with Rule 17a-7 under the Act. Further, as defined under such procedures, each transaction is effected at the current market price. During the period ended June 30, 2020, the Portfolio below engaged in purchases and sales of securities pursuant to Rule 17a-7 under the Act (amounts in thousands):
Portfolio | Purchases | Sales | ||||||
High Income | $ | 14,181 | $ | — |
8. | INTERFUND LENDING PROGRAM |
Pursuant to an exemptive order issued by the SEC (“Order”), the Ivy Funds, Ivy Variable Insurance Portfolios and InvestEd Portfolios (collectively, the “Funds” only for purposes of this footnote 8) 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, 2020.
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9. | AFFILIATED COMPANY TRANSACTIONS (All amounts in thousands) |
A summary of the transactions in affiliated companies during the period ended June 30, 2020 follows:
Portfolio | 12-31-19 Value | Gross Additions | Gross Reductions | Realized Gain/(Loss) | Net Change in Unrealized Depreciation | 6-30-20 Value | Distributions Received | Capital Gain Distributions | ||||||||||||||||||||||||
High Income | ||||||||||||||||||||||||||||||||
Larchmont Resources LLC(1)(2)(3) | $ | 252 | $ | — | $ | — | $ | — | $ | (207 | ) | $ | 45 | $ | — | $ | — | |||||||||||||||
12-31-19 Value | Interest Received | |||||||||||||||||||||||||||||||
Larchmont Resources LLC | $ | 697 | — | — | — | $ | (318 | ) | $ | 379 | $ | 33 | $ | — |
(1) | No dividends were paid during the preceding 12 months. |
(2) | Securities whose value was determined using significant unobservable inputs. |
(3) | Restricted security. |
(4) | Payment-in-kind bond. |
10. | 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, 2020, were as follows:
Purchases | Sales | |||||||||||||||
U.S. Government | Other Issuers | U.S. Government | Other Issuers | |||||||||||||
Asset Strategy | $ | 2,875 | $ | 181,737 | $ | 10,220 | $ | 200,622 | ||||||||
Balanced | 24,345 | 108,605 | 64,994 | 89,207 | ||||||||||||
Energy | — | 18,255 | — | 9,009 | ||||||||||||
Growth | — | 135,972 | — | 180,442 | ||||||||||||
High Income | — | 217,056 | — | 180,834 | ||||||||||||
International Core Equity | — | 251,994 | — | 280,997 | ||||||||||||
Mid Cap Growth | — | 68,489 | — | 112,892 | ||||||||||||
Natural Resources | — | 27,379 | — | 25,206 | ||||||||||||
Science and Technology | — | 19,580 | — | 75,611 | ||||||||||||
Small Cap Core | — | 145,823 | — | 149,757 | ||||||||||||
Small Cap Growth | — | 96,442 | — | 124,422 |
11. | LOANS OF PORTFOLIO SECURITIES ($ amounts in thousands) |
Each Portfolio 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 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, except in the case of loans of foreign securities which are denominated and payable in U.S. dollars, in which case the collateral is required to have a value of at least 102% of the market value of the loaned securities. The market value of the loaned 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, 2020 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.
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The following is a summary of each Portfolio’s securities lending positions and related cash and non-cash collateral received as of June 30, 2020:
Portfolio | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | ||||||||||||
Asset Strategy | $ | 16,835 | $ | 17,625 | $ | — | $ | 17,625 | ||||||||
Balanced | 147 | 150 | — | 150 | ||||||||||||
Energy | 541 | 560 | — | 560 | ||||||||||||
High Income | 3,802 | 3,889 | — | 3,889 | ||||||||||||
International Core Equity | 20,376 | 15,859 | 5,619 | 21,478 | ||||||||||||
Mid Cap Growth | 3,419 | 3,497 | — | 3,497 | ||||||||||||
Science and Technology | 5,939 | — | 6,060 | 6,060 | ||||||||||||
Small Cap Core | 549 | 563 | — | 563 | ||||||||||||
Small Cap Growth | 2,746 | 2,801 | — | 2,801 |
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.
12. | BORROWINGS |
On July 1, 2019 the Trust, on behalf of High Income, along with certain other funds managed by the investment adviser (“Participating Funds”), entered into a 364-day senior unsecured revolving credit facility with Bank of New York Mellon and a group of financial institutions to be utilized to temporarily finance the repurchase or redemption of Fund shares and for other temporary or emergency purposes. The Participating Funds can borrow up to an aggregate commitment amount of $130 million at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit facility has the following terms: a commitment fee of 0.15% per annum of the daily amount of unused commitment amounts and interest at a rate equal to the higher of (a) the federal funds effective rate (but not below 0.0%) plus 1.00% per annum or (b) the one-month LIBOR rate (but not below 0.0%) plus 1.00% per annum on amounts borrowed. The agreement expires in June 2021 unless extended or renewed. As of June 30, 2020, if applicable, any outstanding borrowings would be disclosed as a payable for borrowing on the Statement of Assets and Liabilities. Commitment and interest fees, if any, paid by the Participating Funds are disclosed as part of commitment and interest expense for borrowing on the Statement of Operations. During the period ended June 30, 2020, the Participating Funds did not borrow under the credit facility.
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13. | 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:
Asset Strategy | Balanced | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||||||
Class I | — | $ | — | — | $ | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||
Class II | 1,524 | 12,950 | 1,784 | 16,459 | 801 | $ | 6,003 | 1,682 | $ | 13,146 | ||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class I | — | * | 1 | 2 | 20 | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
Class II | 364 | 3,106 | 4,849 | 45,846 | 3,038 | 21,608 | 4,279 | 31,681 | ||||||||||||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||||||
Class I | — | * | — | * | — | * | — | * | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class II | (6,238 | ) | (54,606 | ) | (16,162 | ) | (148,939 | ) | (3,644 | ) | (27,378 | ) | (6,122 | ) | (47,906 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | (4,350 | ) | $ | (38,549 | ) | (9,527 | ) | $ | (86,614 | ) | 195 | $ | 233 | (161 | ) | $ | (3,079 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Energy | Growth | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||||||
Class I | 11 | $ | 22 | 5 | $ | 21 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||
Class II | 9,604 | 19,245 | 4,050 | 16,320 | 5,130 | $ | 54,541 | 936 | $ | 10,589 | ||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class I | 1 | 2 | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Class II | 110 | 234 | — | — | 11,225 | 112,473 | 18,896 | 186,937 | ||||||||||||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||||||
Class I | (2 | ) | (4 | ) | (9 | ) | (34 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class II | (4,597 | ) | (10,871 | ) | (3,772 | ) | (15,434 | ) | (9,065 | ) | (95,453 | ) | (10,740 | ) | (120,227 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase | 5,127 | $ | 8,628 | 274 | $ | 873 | 7,290 | $ | 71,561 | 9,092 | $ | 77,299 | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
High Income | International Core Equity | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||||||
Class I | 909 | $ | 2,754 | 765 | $ | 2,711 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||
Class II | 19,026 | 59,562 | 26,909 | 92,614 | 4,592 | $ | 55,575 | 2,003 | $ | 30,385 | ||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class I | 501 | 1,439 | 936 | 3,156 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Class II | 19,910 | 57,106 | 16,418 | 55,287 | 1,149 | 14,681 | 4,945 | 70,370 | ||||||||||||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||||||
Class I | (2,970 | ) | (9,959 | ) | (7,167 | ) | (24,449 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class II | (29,177 | ) | (91,727 | ) | (36,409 | ) | (125,215 | ) | (7,766 | ) | (102,964 | ) | (8,396 | ) | (126,858 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | 8,199 | $ | 19,175 | 1,452 | $ | 4,104 | (2,025 | ) | $ | (32,708 | ) | (1,448 | ) | $ | (26,103 | ) | ||||||||||||||||||||
|
|
|
|
* | Not shown due to rounding. |
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Mid Cap Growth | Natural Resources | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||||||
Class I | 1,969 | $ | 21,327 | 1,304 | $ | 16,178 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||
Class II | 2,143 | 25,908 | 5,186 | 64,074 | 3,124 | $ | 8,511 | 3,518 | $ | 13,191 | ||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class I | 1,323 | 16,217 | 3,171 | 35,378 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Class II | 1,888 | 23,025 | 4,217 | 46,820 | 586 | 1,678 | 229 | 870 | ||||||||||||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||||||
Class I | (5,512 | ) | (66,935 | ) | (2,828 | ) | (34,889 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class II | (3,990 | ) | (49,217 | ) | (5,347 | ) | (66,009 | ) | (2,508 | ) | (7,449 | ) | (5,896 | ) | (22,418 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | (2,179 | ) | $ | (29,675 | ) | 5,703 | $ | 61,552 | 1,202 | $ | 2,740 | (2,149 | ) | $ | (8,357 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Science and Technology | Small Cap Core | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||||||
Class I | 28 | $ | 831 | 5 | $ | 144 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||
Class II | 1,519 | 41,762 | 2,087 | 58,421 | 973 | $ | 10,151 | 564 | $ | 7,839 | ||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class I | 2 | 46 | 3 | 80 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Class II | 859 | 24,127 | 1,692 | 49,737 | 822 | 8,739 | 2,817 | 36,690 | ||||||||||||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||||||
Class I | (3 | ) | (83 | ) | — | * | (17 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class II | (2,762 | ) | (78,647 | ) | (3,995 | ) | (110,540 | ) | (1,408 | ) | (15,788 | ) | (2,655 | ) | (36,555 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | (357 | ) | $ | (11,964 | ) | (208 | ) | $ | (2,175 | ) | 387 | $ | 3,102 | 726 | $ | 7,974 | ||||||||||||||||||||
|
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|
| |||||||||||||||||||||||||||||||||
Small Cap Growth | ||||||||||||||||||||||||||||||||||||
Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | |||||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | |||||||||||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||||||
Class I | 1,111 | $ | 7,824 | 477 | $ | 4,296 | ||||||||||||||||||||||||||||||
Class II | 1,150 | 9,018 | 2,202 | 19,523 | ||||||||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class I | — | — | 489 | 4,305 | ||||||||||||||||||||||||||||||||
Class II | — | — | 2,841 | 24,945 | ||||||||||||||||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||||||
Class I | (1,754 | ) | (14,020 | ) | (1,198 | ) | (10,725 | ) | ||||||||||||||||||||||||||||
Class II | (2,943 | ) | (24,201 | ) | (6,327 | ) | (56,749 | ) | ||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
Net decrease | (2,436 | ) | $ | (21,379 | ) | (1,516 | ) | $ | (14,405 | ) | ||||||||||||||||||||||||||
|
|
* | Not shown due to rounding. |
14. | COMMITMENTS |
Bridge loan commitments may obligate a Portfolio to furnish temporary financing to a borrower until permanent financing can be arranged. 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. At June 30, 2020, there were no outstanding bridge loan commitments.
84 | SEMIANNUAL REPORT | 2020 |
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15. | FEDERAL INCOME TAX MATTERS ($ amounts in thousands) |
For Federal income tax purposes, cost of investments owned at June 30, 2020 and the related unrealized appreciation (depreciation) were as follows:
Portfolio | Cost of Investments | Gross Appreciation | Gross Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Asset Strategy | $ | 719,080 | $ | 101,270 | $ | 110,395 | $ | (9,125 | ) | |||||||
Balanced | 288,421 | 36,744 | 16,649 | 20,095 | ||||||||||||
Energy | 50,170 | 713 | 17,587 | (16,874 | ) | |||||||||||
Growth | 550,984 | 284,264 | 18,684 | 265,580 | ||||||||||||
High Income | 937,593 | 11,687 | 144,779 | (133,092 | ) | |||||||||||
International Core Equity | 631,409 | 42,194 | 79,245 | (37,051 | ) | |||||||||||
Mid Cap Growth | 379,750 | 190,319 | 23,493 | 166,826 | ||||||||||||
Natural Resources | 80,437 | 6,516 | 17,250 | (10,734 | ) | |||||||||||
Science and Technology | 304,816 | 267,889 | 4,563 | 263,326 | ||||||||||||
Small Cap Core | 157,523 | 9,141 | 15,208 | (6,067 | ) | |||||||||||
Small Cap Growth | 295,113 | 86,144 | 15,350 | 70,794 |
For Federal income tax purposes, the Portfolios’ undistributed earnings and profit for the year ended December 31, 2019 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 | |||||||||||||||
Asset Strategy | $ | 1,311 | $ | 1,768 | $ | — | $ | — | $ | — | ||||||||||
Balanced | 4,355 | 17,231 | — | — | — | |||||||||||||||
Energy | 168 | — | — | — | — | |||||||||||||||
Growth | 13,692 | 98,774 | — | — | — | |||||||||||||||
High Income | 58,257 | — | — | — | — | |||||||||||||||
International Core Equity | 14,565 | 111 | — | — | — | |||||||||||||||
Mid Cap Growth | 5,351 | 33,888 | — | — | — | |||||||||||||||
Natural Resources | 1,603 | — | — | — | — | |||||||||||||||
Science and Technology | 992 | 23,177 | — | — | — | |||||||||||||||
Small Cap Core | 1,998 | 6,738 | — | — | — | |||||||||||||||
Small Cap Growth | — | — | — | 147 | — |
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, 2019 and 2018 were as follows:
December 31, 2019 | December 31, 2018 | |||||||||||||||||||
Portfolio | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | ||||||||||||||||
Asset Strategy | $ | 15,765 | $ | 30,101 | $ | 15,495 | $ | 33,725 | ||||||||||||
Balanced | 6,330 | 25,351 | 5,473 | 5,390 | ||||||||||||||||
Energy | — | — | — | — | ||||||||||||||||
Growth | 4,140 | 182,797 | 811 | 99,017 | ||||||||||||||||
High Income | 58,443 | — | 59,518 | — | ||||||||||||||||
International Core Equity | 13,997 | 56,373 | 28,472 | 4,508 | ||||||||||||||||
Mid Cap Growth | — | 82,198 | 2,816 | 26,847 | ||||||||||||||||
Natural Resources | 870 | — | 351 | — | ||||||||||||||||
Science and Technology | 1,227 | 48,590 | — | 65,685 | ||||||||||||||||
Small Cap Core | 12,737 | 23,953 | 27,706 | 28,529 | ||||||||||||||||
Small Cap Growth | — | 29,250 | 20,961 | 97,032 |
(1) | Includes short-term capital gains, if any. |
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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, 2019 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of December 31, 2019, the capital loss carryovers were as follows:
Portfolio | Short-Term Capital Loss Carryover | Long-Term Capital Loss Carryover | ||||||
Asset Strategy | $ | — | $ | — | ||||
Balanced | — | — | ||||||
Energy | 11,755 | (1) | 26,541 | (1) | ||||
Growth | — | — | ||||||
High Income | — | 61,563 | ||||||
International Core Equity | — | — | ||||||
Mid Cap Growth | — | — | ||||||
Natural Resources | 7,291 | 45,325 | ||||||
Science and Technology | — | — | ||||||
Small Cap Core | — | — | ||||||
Small Cap Growth | — | — |
(1) | $29,983 of these Capital Loss Carryovers are subject to an annual limitation of $3,708 plus any unused limitation from prior years. |
86 | SEMIANNUAL REPORT | 2020 |
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PROXY VOTING INFORMATION | IVY VIP |
(UNAUDITED)
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 1.888.923-3355 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 at www.ivyinvestments.com and on the SEC’s website at www.sec.gov.
2020 | SEMIANNUAL REPORT | 87 |
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QUARTERLY PORTFOLIO SCHEDULE INFORMATION | IVY VIP |
(UNAUDITED)
Portfolio holdings can be found on the Trust’s website at www.ivyinvestments.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 and/or Form NPORT-EX. 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. |
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THE IVY FUNDS VARIABLE INSURANCE PORTFOLIOS FAMILY |
Global/International Portfolios
Global Equity Income
Global Growth
International Core Equity
Domestic Equity Portfolios
Core Equity
Growth
Mid Cap Growth
Small Cap Core
Small Cap Growth
Value
Fixed Income Portfolios
Corporate Bond
Global Bond
High Income
Limited-Term Bond
Money Market Portfolio
Government Money Market
Specialty Portfolios
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
Securian Real Estate Securities
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.
2020 | SEMIANNUAL REPORT | 91 |
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SEMIANN-VIP1 (06/20)
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VARIABLE INSURANCE PORTFOLIOS |
Semiannual Report
JUNE 30, 2020 |
Ivy Variable Insurance Portfolios | ||||
Core Equity | Class II | |||
Corporate Bond | Class II | |||
Global Bond | Class II | |||
Global Equity Income | Class II | |||
Global Growth | Class II | |||
Limited-Term Bond | Class II | |||
Securian Real Estate Securities | Class II | |||
Value | Class II |
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission (SEC), you may not be receiving paper copies of the Fund’s annual or semi-annual shareholder reports by mail, unless you specifically request paper copies of the reports from the insurance company that offers your variable annuity or variable life insurance contract or from your financial intermediary. Instead of delivering paper copies of the report, the insurance company may choose to make the reports available on a website, and will notify you by mail each time a shareholder report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the insurance company or your financial intermediary electronically by following the instructions provided by the insurance company or by contacting your financial intermediary.
You may elect to receive all future Fund shareholder reports in paper free of charge from the insurance company. You can inform the insurance company or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by following the instructions provided by the insurance company or by contacting your financial intermediary. Your election to receive reports in paper will apply to all portfolio companies available under your contract with the insurance company.
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CONTENTS | IVY VIP |
3 | ||||
4 | ||||
6 | ||||
6 | ||||
9 | ||||
17 | ||||
23 | ||||
26 | ||||
29 | ||||
34 | ||||
37 | ||||
40 | ||||
41 | ||||
42 | ||||
44 | ||||
48 | ||||
62 | ||||
63 |
2 | SEMIANNUAL REPORT | 2020 |
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PRESIDENT’S LETTER | IVY VIP |
JUNE 30, 2020 (UNAUDITED) | ||
Philip J. Sanders, CFA |
Dear Shareholder,
Markets thus far in 2020 have been, to use an overused word, unprecedented. In a matter of months, we have witnessed economic and market moves that typically take an entire market cycle of many years to unfold. Financial markets had been positive in early 2020, as political conflicts, trade uncertainty and global economic growth concerns waned. However, that upward trajectory suddenly reversed in late February 2020 and markets declined in response to two exogenous shocks: the COVID-19 pandemic and the collapse in energy markets. The COVID-19 pandemic caused one of the most rapid and dramatic global economic downturns in history. The U.S. stock markets dropped approximately 35% from peak in February to trough in late March. Global economic activity hit a full stop around the world, as countries and businesses implemented plans to isolate and protect each other. The pause on economic activity, along with a conflict between Russia and Saudi Arabia, caused a historic rout in oil markets. Remarkably, within about 30 days, we moved from a relatively strong domestic economy with financial market indexes hitting record highs, to a global recession.
Governments and central banks have taken unprecedented steps to mitigate the economic blow of social distancing. Monetary policy response has been broader and more rapid than at any other time in history. Global central banks have enacted aggressive stimulus through lower interest rates, quantitative easing (QE) and liquidity provisions, with some developing countries implementing QE for the first time. The U.S. Federal Reserve’s (Fed) response has been the strongest with a broad array of policy measures including an unprecedented pace of QE.
Just as global central banks are acting aggressively, governments around the world are responding with fiscal stimulus. While projected budget deficits for many countries are huge, those figures include loans designed to keep companies afloat and people employed. Up to this point, the fiscal impulse for most major countries is between 5 and 10% of gross domestic product (GDP). This is extremely aggressive both in size and speed of implementation, as we have only been facing this pandemic for a few months. More global fiscal stimulus seems probable. For instance, in addition to the $2.2 trillion CARES (Coronavirus Aid, Relief and Economic Security) Act, we expect another large fiscal stimulus in the U.S. to become law, which will likely include some form of extension to unemployment benefits and provide aid to state and local governments.
Enthusiasm about the economy possibly regaining momentum has been muted by ongoing uncertainty regarding the public health risks of reopening. While volatility has retreated sharply from the record highs of late March, it remains at elevated levels. Recent moves have
shown that markets are likely to respond to changes in new COVID-19 cases, both positively and negatively. Since the March 23 trough, the S&P 500 Index has stabilized and experienced a rapid bounce back. Year-to-date as of June 30, the Index is down 3.1%. Given this rebound, investors might wonder if the market is ahead of itself.
As we move forward and examine the investment landscape, we continue to put greater emphasis on the fundamentals and quality of asset classes and sectors. We believe it is important to stay focused on the merits of individual market sectors, industries and company business models when making investment decisions. Those fundamentals historically have tended to outweigh external factors. In today’s environment, we believe there are many high-quality businesses offering attractive entry points and cyclicals that will likely be key beneficiaries as economies continue to recover. Importantly, through this uncertain time, we remain focused on the innovation and management skill within individual companies, the ultimate drivers of long-term stock prices.
Economic Snapshot
6/30/2020 | 12/31/2019 | |||||||
S&P 500 Index | 3,100.29 | 3,230.78 | ||||||
MSCI EAFE Index | 1,780.58 | 2,036.94 | ||||||
10-Year Treasury Yield | 0.66 | % | 1.92 | % | ||||
U.S. unemployment rate | 11.1 | % | 3.5 | % | ||||
30-year fixed mortgage rate | 3.13 | % | 3.74 | % | ||||
Oil price per barrel | $39.27 | $61.14 |
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.
2020 | SEMIANNUAL REPORT | 3 |
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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. 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, 2020.
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 5 in Notes to Financial Statements for further information.
Actual(1) | Hypothetical(2) | |||||||||||||||||||||||||||
Portfolio | Beginning Account Value 12-31-19 | Ending Account Value 6-30-20 | Expenses Paid During Period* | Beginning Account Value 12-31-19 | Ending Account Value 6-30-20 | Expenses Paid During Period* | Annualized Expense Ratio Based on the Six-Month Period | |||||||||||||||||||||
Core Equity |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 987.60 | $ | 4.67 | $ | 1,000 | $ | 1,020.12 | $ | 4.75 | 0.95% | |||||||||||||||
Corporate Bond |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,064.30 | $ | 4.03 | $ | 1,000 | $ | 1,020.98 | $ | 3.94 | 0.78% | |||||||||||||||
Global Bond |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,016.80 | $ | 3.93 | $ | 1,000 | $ | 1,020.97 | $ | 3.94 | 0.78% | |||||||||||||||
Global Equity Income |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 863.70 | $ | 4.85 | $ | 1,000 | $ | 1,019.69 | $ | 5.25 | 1.04% | |||||||||||||||
Global Growth |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 972.30 | $ | 5.52 | $ | 1,000 | $ | 1,019.25 | $ | 5.65 | 1.13% | |||||||||||||||
Limited-Term Bond |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,029.90 | $ | 4.16 | $ | 1,000 | $ | 1,020.81 | $ | 4.14 | 0.82% | |||||||||||||||
Securian Real Estate Securities |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 867.40 | $ | 6.72 | $ | 1,000 | $ | 1,017.69 | $ | 7.26 | 1.44% | |||||||||||||||
Value |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 825.60 | $ | 4.56 | $ | 1,000 | $ | 1,019.85 | $ | 5.05 | 1.01% |
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ILLUSTRATION OF PORTFOLIO EXPENSES | IVY VIP |
(UNAUDITED)
* | 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 182 days in the six-month period ended June 30, 2020, and divided by 366. |
(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.
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PORTFOLIO HIGHLIGHTS | CORE EQUITY |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 99.8% | |||
Information Technology | 27.2% | |||
Financials | 16.4% | |||
Health Care | 15.1% | |||
Communication Services | 10.6% | |||
Consumer Discretionary | 9.9% | |||
Industrials | 7.3% | |||
Consumer Staples | 7.2% | |||
Utilities | 2.2% | |||
Materials | 1.6% | |||
Energy | 1.5% | |||
Real Estate | 0.8% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 0.2% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Microsoft Corp. | Information Technology | Systems Software | ||
Apple, Inc. | Information Technology | Technology Hardware, Storage & Peripherals | ||
Amazon.com, Inc. | Consumer Discretionary | Internet & Direct Marketing Retail | ||
Union Pacific Corp. | Industrials | Railroads | ||
MasterCard, Inc., Class A | Information Technology | Data Processing & Outsourced Services | ||
Morgan Stanley | Financials | Investment Banking & Brokerage | ||
Cisco Systems, Inc. | Information Technology | Communications Equipment | ||
Danaher Corp. | Health Care | Health Care Equipment | ||
Aon plc | Financials | Insurance Brokers | ||
Citigroup, Inc. | Financials | Other Diversified Financial Services |
See your advisor or www.ivyinvestments.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.
6 | SEMIANNUAL REPORT | 2020 |
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SCHEDULE OF INVESTMENTS | CORE EQUITY (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Communication Services |
| |||||||
Cable & Satellite – 1.7% |
| |||||||
Charter Communications, Inc., Class A (A) | 22 | $ | 10,981 | |||||
|
| |||||||
Integrated Telecommunication Services – 2.1% |
| |||||||
Verizon Communications, Inc. | 250 | 13,804 | ||||||
|
| |||||||
Interactive Home Entertainment – 1.3% |
| |||||||
Take-Two Interactive Software, Inc. (A) | 64 | 8,869 | ||||||
|
| |||||||
Interactive Media & Services – 3.7% |
| |||||||
Alphabet, Inc., Class A (A) | 10 | 13,616 | ||||||
Facebook, Inc., Class A (A) | 48 | 10,812 | ||||||
|
| |||||||
24,428 | ||||||||
|
| |||||||
Movies & Entertainment – 1.8% |
| |||||||
Netflix, Inc. (A) | 27 | 12,063 | ||||||
|
| |||||||
Total Communication Services – 10.6% |
| 70,145 | ||||||
Consumer Discretionary |
| |||||||
Auto Parts & Equipment – 1.6% |
| |||||||
Aptiv plc | 136 | 10,560 | ||||||
|
| |||||||
Automotive Retail – 2.2% |
| |||||||
AutoZone, Inc. (A) | 13 | 14,524 | ||||||
|
| |||||||
Footwear – 1.5% |
| |||||||
NIKE, Inc., Class B | 102 | 9,987 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 4.6% |
| |||||||
Amazon.com, Inc. (A) | 11 | 29,986 | ||||||
|
| |||||||
Total Consumer Discretionary – 9.9% |
| 65,057 | ||||||
Consumer Staples |
| |||||||
Food Distributors – 0.8% |
| |||||||
Sysco Corp. | 99 | 5,387 | ||||||
|
| |||||||
Household Products – 1.5% |
| |||||||
Procter & Gamble Co. (The) | 83 | 9,938 | ||||||
|
| |||||||
Hypermarkets & Super Centers – 4.2% |
| |||||||
Costco Wholesale Corp. | 41 | 12,370 | ||||||
Wal-Mart Stores, Inc. | 127 | 15,206 | ||||||
|
| |||||||
27,576 | ||||||||
|
| |||||||
Packaged Foods & Meats – 0.7% |
| |||||||
General Mills, Inc. | 70 | 4,342 | ||||||
|
| |||||||
Total Consumer Staples – 7.2% |
| 47,243 | ||||||
Energy |
| |||||||
Oil & Gas Refining & Marketing – 1.5% |
| |||||||
Phillips 66 | 137 | 9,853 | ||||||
|
| |||||||
Total Energy – 1.5% |
| 9,853 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 3.8% |
| |||||||
Apollo Global Management LLC | 92 | $ | 4,604 | |||||
Blackstone Group, Inc. (The), Class A | 174 | 9,882 | ||||||
KKR & Co. | 335 | 10,360 | ||||||
|
| |||||||
24,846 | ||||||||
|
| |||||||
Consumer Finance – 1.1% |
| |||||||
Discover Financial Services | 146 | 7,302 | ||||||
|
| |||||||
Financial Exchanges & Data – 2.1% |
| |||||||
S&P Global, Inc. | 41 | 13,627 | ||||||
|
| |||||||
Insurance Brokers – 2.4% |
| |||||||
Aon plc (A) | 82 | 15,869 | ||||||
|
| |||||||
Investment Banking & Brokerage – 2.5% |
| |||||||
Morgan Stanley | 343 | 16,582 | ||||||
|
| |||||||
Other Diversified Financial Services – 2.4% |
| |||||||
Citigroup, Inc. | 309 | 15,798 | ||||||
|
| |||||||
Property & Casualty Insurance – 2.1% |
| |||||||
Progressive Corp. (The) | 173 | 13,838 | ||||||
|
| |||||||
Total Financials – 16.4% |
| 107,862 | ||||||
Health Care |
| |||||||
Health Care Equipment – 6.0% |
| |||||||
Boston Scientific Corp. (A) | 220 | 7,729 | ||||||
Danaher Corp. | 91 | 16,041 | ||||||
Zimmer Holdings, Inc. | 132 | 15,719 | ||||||
|
| |||||||
39,489 | ||||||||
|
| |||||||
Health Care Facilities – 1.0% |
| |||||||
HCA Holdings, Inc. | 68 | 6,571 | ||||||
|
| |||||||
Health Care Services – 1.4% |
| |||||||
CVS Caremark Corp. | 148 | 9,612 | ||||||
|
| |||||||
Managed Health Care – 2.3% |
| |||||||
UnitedHealth Group, Inc. | 51 | 15,156 | ||||||
|
| |||||||
Pharmaceuticals – 4.4% |
| |||||||
Eli Lilly and Co. | 68 | 11,194 | ||||||
Roche Holdings Ltd. ADR | 136 | 5,884 | ||||||
Zoetis, Inc. | 86 | 11,844 | ||||||
|
| |||||||
28,922 | ||||||||
|
| |||||||
Total Health Care – 15.1% |
| 99,750 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 2.2% |
| |||||||
Lockheed Martin Corp. | 40 | 14,689 | ||||||
|
| |||||||
Environmental & Facilities Services – 1.3% |
| |||||||
Waste Connections, Inc. | 89 | 8,369 | ||||||
|
| |||||||
Railroads – 2.7% |
| |||||||
Union Pacific Corp. | 104 | 17,660 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Trading Companies & Distributors – 1.1% |
| |||||||
United Rentals, Inc. (A) | 49 | $ | 7,272 | |||||
|
| |||||||
Total Industrials – 7.3% |
| 47,990 | ||||||
Information Technology |
| |||||||
Communications Equipment – 3.8% |
| |||||||
Cisco Systems, Inc. | 346 | 16,138 | ||||||
Motorola Solutions, Inc. | 66 | 9,189 | ||||||
|
| |||||||
25,327 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 6.1% |
| |||||||
Fidelity National Information Services, Inc. | 105 | 14,023 | ||||||
Fiserv, Inc. (A) | 90 | 8,781 | ||||||
MasterCard, Inc., Class A | 58 | 17,229 | ||||||
|
| |||||||
40,033 | ||||||||
|
| |||||||
Electronic Manufacturing Services – 1.6% |
| |||||||
TE Connectivity Ltd. | 133 | 10,813 | ||||||
|
| |||||||
Semiconductors – 3.2% |
| |||||||
Analog Devices, Inc. | 99 | 12,189 | ||||||
Texas Instruments, Inc. | 71 | 8,980 | ||||||
|
| |||||||
21,169 | ||||||||
|
| |||||||
Systems Software – 7.8% |
| |||||||
Microsoft Corp. | 254 | 51,637 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 4.7% |
| |||||||
Apple, Inc. | 84 | 30,698 | ||||||
|
| |||||||
Total Information Technology – 27.2% |
| 179,677 | ||||||
Materials |
| |||||||
Specialty Chemicals – 1.6% |
| |||||||
Sherwin-Williams Co. (The) | 19 | 10,743 | ||||||
|
| |||||||
Total Materials – 1.6% |
| 10,743 | ||||||
Real Estate |
| |||||||
Health Care REITs – 0.8% |
| |||||||
Welltower, Inc. | 107 | 5,518 | ||||||
|
| |||||||
Total Real Estate – 0.8% |
| 5,518 | ||||||
Utilities |
| |||||||
Electric Utilities – 2.2% |
| |||||||
NextEra Energy, Inc. | 61 | 14,705 | ||||||
|
| |||||||
Total Utilities – 2.2% |
| 14,705 | ||||||
TOTAL COMMON STOCKS – 99.8% |
| $ | 658,543 | |||||
(Cost: $566,235) |
2020 | SEMIANNUAL REPORT | 7 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORE EQUITY (in thousands) |
JUNE 30, 2020 (UNAUDITED)
SHORT-TERM SECURITIES | Shares | Value | ||||||
Money Market Funds (B) – 0.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, | 1,743 | $ | 1,743 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.3% |
| $ | 1,743 | |||||
(Cost: $1,743) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.1% |
| $ | 660,286 | |||||
(Cost: $567,978) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.1)% |
| (895 | ) | |||||
NET ASSETS – 100.0% |
| $ | 659,391 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | $ | 658,543 | $ | — | $ | — | ||||||
Short-Term Securities | 1,743 | — | — | |||||||||
Total | $ | 660,286 | $ | — | $ | — |
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
8 | SEMIANNUAL REPORT | 2020 |
Table of Contents
PORTFOLIO HIGHLIGHTS | CORPORATE BOND |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Bonds | 96.4% | |||
Corporate Debt Securities | 92.9% | |||
Asset-Backed Securities | 1.6% | |||
Municipal Bonds – Taxable | 1.1% | |||
Other Government Securities | 0.5% | |||
United States Government and Government Agency Obligations | 0.2% | |||
Mortgage-Backed Securities | 0.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.6% |
Quality Weightings
Investment Grade | 92.8% | |||
AAA | 2.4% | |||
AA | 7.2% | |||
A | 33.9% | |||
BBB | 49.3% | |||
Non-Investment Grade | 3.6% | |||
BB | 3.3% | |||
B | 0.2% | |||
Non-rated | 0.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.6% |
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.
2020 | SEMIANNUAL REPORT | 9 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORPORATE BOND (in thousands) |
JUNE 30, 2020 (UNAUDITED)
ASSET-BACKED SECURITIES | Principal | Value | ||||||
AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust, | ||||||||
3.500%, 5-26-22 | $ | 1,470 | $ | 1,454 | ||||
Air Canada Enhanced Equipment Trust, Series 2015-2, Class AA, | ||||||||
3.750%, 12-15-27 (A) | 807 | 763 | ||||||
American Airlines Class AA Pass-Through Certificates, Series 2016-2, | ||||||||
3.200%, 6-15-28 | 1,572 | 1,481 | ||||||
American Airlines, Inc. Pass-Through Certificates, Series 2016-1, Class AA, | ||||||||
3.575%, 1-15-28 | 833 | 806 | ||||||
American Airlines, Inc. Pass-Through Certificates, Series 2017-1, Class AA, | ||||||||
3.650%, 2-15-29 | 2,131 | 2,041 | ||||||
Delta Air Lines, Inc. Pass-Through Certificates, Series 2020AA, Class B, | ||||||||
2.000%, 6-10-28 | 1,525 | 1,454 | ||||||
United Airlines Pass-Through Certificates, Series 2016-AA, | ||||||||
3.100%, 7-7-28 | 2,561 | 2,459 | ||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES – 1.6% |
| $ | 10,458 | |||||
(Cost: $10,795) | ||||||||
CORPORATE DEBT SECURITIES | ||||||||
Communication Services |
| |||||||
Advertising – 0.2% |
| |||||||
Lamar Media Corp., | ||||||||
4.875%, 1-15-29 (A) | 1,350 | 1,357 | ||||||
|
| |||||||
Alternative Carriers – 0.7% |
| |||||||
Bell Canada (GTD by BCE, Inc.), | ||||||||
4.300%, 7-29-49 | 3,554 | 4,358 | ||||||
|
| |||||||
Broadcasting – 0.4% |
| |||||||
Fox Corp.: | ||||||||
3.500%, 4-8-30 | 1,075 | 1,200 | ||||||
5.476%, 1-25-39 | 250 | 334 | ||||||
5.576%, 1-25-49 | 750 | 1,055 | ||||||
|
| |||||||
2,589 | ||||||||
|
| |||||||
Cable & Satellite – 1.4% |
| |||||||
Charter Communications Operating LLC and Charter Communications Operating Capital Corp.: | ||||||||
4.464%, 7-23-22 | 1,800 | 1,919 | ||||||
3.700%, 4-1-51 | 650 | 633 | ||||||
Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal): | ||||||||
3.900%, 3-1-38 | 500 | 593 | ||||||
4.600%, 10-15-38 | 1,125 | 1,433 | ||||||
Comcast Corp. (GTD by Comcast Cable Communications LLC and NBCUniversal Media LLC), | ||||||||
3.250%, 11-1-39 | 3,875 | 4,299 | ||||||
|
| |||||||
8,877 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Integrated Telecommunication Services – 2.5% |
| |||||||
AT&T, Inc.: | ||||||||
3.950%, 1-15-25 | $ | 1,000 | $ | 1,118 | ||||
2.950%, 7-15-26 | 2,000 | 2,163 | ||||||
4.350%, 3-1-29 | 3,500 | 4,080 | ||||||
Verizon Communications, Inc.: | ||||||||
4.500%, 8-10-33 | 3,500 | 4,358 | ||||||
5.250%, 3-16-37 | 1,250 | 1,692 | ||||||
4.812%, 3-15-39 | 1,684 | 2,200 | ||||||
|
| |||||||
15,611 | ||||||||
|
| |||||||
Interactive Home Entertainment – 0.5% |
| |||||||
Activision Blizzard, Inc., | ||||||||
2.300%, 9-15-21 | 3,145 | 3,206 | ||||||
|
| |||||||
Movies & Entertainment – 0.3% |
| |||||||
Walt Disney Co. (The), | ||||||||
4.125%, 6-1-44 | 1,724 | 2,081 | ||||||
|
| |||||||
Publishing – 0.5% |
| |||||||
Thomson Reuters Corp.: | ||||||||
3.350%, 5-15-26 | 850 | 924 | ||||||
5.850%, 4-15-40 | 1,500 | 1,864 | ||||||
|
| |||||||
2,788 | ||||||||
|
| |||||||
Wireless Telecommunication Service – 0.9% |
| |||||||
Crown Castle Towers LLC, | ||||||||
3.663%, 5-15-25 (A) | 2,450 | 2,613 | ||||||
Sprint Spectrum L.P., | ||||||||
3.360%, 9-20-21 (A) | 1,094 | 1,107 | ||||||
T-Mobile USA, Inc., | ||||||||
3.875%, 4-15-30 (A) | 1,750 | 1,951 | ||||||
|
| |||||||
5,671 | ||||||||
|
| |||||||
Total Communication Services – 7.4% |
| 46,538 | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.3% |
| |||||||
Ross Stores, Inc., | ||||||||
5.450%, 4-15-50 | 1,425 | 1,854 | ||||||
|
| |||||||
Apparel, Accessories & Luxury Goods – 0.3% |
| |||||||
Ralph Lauren Corp., | ||||||||
2.950%, 6-15-30 | 2,025 | 2,090 | ||||||
|
| |||||||
Automotive Retail – 0.3% |
| |||||||
AutoNation, Inc., | ||||||||
4.750%, 6-1-30 | 1,700 | 1,842 | ||||||
|
| |||||||
Casinos & Gaming – 0.4% |
| |||||||
GLP Capital L.P. and GLP Financing II, Inc.: | ||||||||
5.375%, 4-15-26 | 425 | 465 | ||||||
4.000%, 1-15-30 | 640 | 636 | ||||||
Las Vegas Sands Corp., | ||||||||
3.500%, 8-18-26 | 1,595 | 1,590 | ||||||
|
| |||||||
2,691 | ||||||||
|
| |||||||
Education Services – 0.1% |
| |||||||
University of Southern California, | ||||||||
3.028%, 10-1-39 | 500 | 544 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Footwear – 0.9% |
| |||||||
NIKE, Inc.: | ||||||||
3.250%, 3-27-40 | $ | 2,500 | $ | 2,817 | ||||
3.375%, 3-27-50 | 2,575 | 2,952 | ||||||
|
| |||||||
5,769 | ||||||||
|
| |||||||
General Merchandise Stores – 0.7% |
| |||||||
Target Corp., | ||||||||
2.650%, 9-15-30 | 4,000 | 4,394 | ||||||
|
| |||||||
Home Improvement Retail – 0.3% |
| |||||||
Home Depot, Inc. (The), | ||||||||
4.200%, 4-1-43 | 1,670 | 2,066 | ||||||
|
| |||||||
Homebuilding – 0.4% |
| |||||||
NVR, Inc., | ||||||||
3.000%, 5-15-30 | 2,302 | 2,406 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.7% |
| |||||||
Carnival Corp., | ||||||||
11.500%, 4-1-23 (A) | 320 | 345 | ||||||
Royal Caribbean Cruises Ltd.: | ||||||||
2.650%, 11-28-20 (B) | 1,875 | 1,819 | ||||||
3.700%, 3-15-28 | 3,500 | 2,204 | ||||||
|
| |||||||
4,368 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.9% |
| |||||||
Amazon.com, Inc., | ||||||||
2.500%, 6-3-50 | 2,900 | 2,933 | ||||||
Booking Holdings, Inc., | ||||||||
4.625%, 4-13-30 | 1,130 | 1,322 | ||||||
Expedia Group, Inc.: | ||||||||
6.250%, 5-1-25 (A) | 1,090 | 1,164 | ||||||
7.000%, 5-1-25 (A) | 117 | 121 | ||||||
|
| |||||||
5,540 | ||||||||
|
| |||||||
Leisure Facilities – 0.2% |
| |||||||
Cedar Fair Entertainment Co., Magnum Management Corp., Canada’s Wonderland Co. and Millennium Operations LLC, | ||||||||
5.500%, 5-1-25 (A) | 1,050 | 1,055 | ||||||
|
| |||||||
Restaurants – 0.2% |
| |||||||
Darden Restaurants, Inc., | ||||||||
4.550%, 2-15-48 | 1,300 | 1,237 | ||||||
|
| |||||||
Total Consumer Discretionary – 5.7% |
| 35,856 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 0.2% |
| |||||||
Cargill, Inc., | ||||||||
2.125%, 4-23-30 (A) | 1,000 | 1,048 | ||||||
|
| |||||||
Brewers – 0.9% |
| |||||||
Anheuser-Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB): | ||||||||
4.750%, 1-23-29 | 1,713 | 2,070 | ||||||
5.550%, 1-23-49 | 2,550 | 3,413 | ||||||
|
| |||||||
5,483 | ||||||||
|
|
10 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORPORATE BOND (in thousands) |
JUNE 30, 2020 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Drug Retail – 0.4% |
| |||||||
CVS Health Corp.: | ||||||||
2.800%, 7-20-20 | $ | 75 | $ | 75 | ||||
5.050%, 3-25-48 | 1,800 | 2,341 | ||||||
|
| |||||||
2,416 | ||||||||
|
| |||||||
Food Distributors – 0.4% |
| |||||||
Sysco Corp.: | ||||||||
6.600%, 4-1-40 | 665 | 900 | ||||||
6.600%, 4-1-50 | 1,065 | 1,463 | ||||||
U.S. Foods, Inc., | ||||||||
6.250%, 4-15-25 (A) | 335 | 341 | ||||||
|
| |||||||
2,704 | ||||||||
|
| |||||||
Food Retail – 0.2% |
| |||||||
Alimentation Couche-Tard, Inc., | ||||||||
2.950%, 1-25-30 (A) | 1,600 | 1,659 | ||||||
|
| |||||||
Hypermarkets & Super Centers – 0.5% |
| |||||||
Walmart, Inc., | ||||||||
4.050%, 6-29-48 | 2,275 | 2,983 | ||||||
|
| |||||||
Packaged Foods & Meats – 1.8% |
| |||||||
Hormel Foods Corp., | ||||||||
1.800%, 6-11-30 | 3,500 | 3,562 | ||||||
Mars, Inc., | ||||||||
3.950%, 4-1-49 (A) | 2,500 | 3,152 | ||||||
Nestle Holdings, Inc.: | ||||||||
3.900%, 9-24-38 (A) | 980 | 1,217 | ||||||
4.000%, 9-24-48 (A) | 400 | 515 | ||||||
Smithfield Foods, Inc.: | ||||||||
2.650%, 10-3-21 (A) | 1,250 | 1,236 | ||||||
3.350%, 2-1-22 (A) | 1,500 | 1,489 | ||||||
|
| |||||||
11,171 | ||||||||
|
| |||||||
Personal Products – 0.4% |
| |||||||
Estee Lauder Co., Inc. (The), | ||||||||
4.150%, 3-15-47 | 1,875 | 2,367 | ||||||
|
| |||||||
Soft Drinks – 0.4% |
| |||||||
PepsiCo, Inc.: | ||||||||
3.375%, 7-29-49 | 1,200 | 1,376 | ||||||
3.625%, 3-19-50 | 1,275 | 1,550 | ||||||
|
| |||||||
2,926 | ||||||||
|
| |||||||
Tobacco – 1.5% |
| |||||||
Altria Group, Inc. (GTD by Philip Morris USA, Inc.): | ||||||||
3.490%, 2-14-22 | 1,830 | 1,909 | ||||||
2.850%, 8-9-22 | 2,550 | 2,657 | ||||||
Imperial Brands Finance plc, | ||||||||
3.125%, 7-26-24 (A) | 2,700 | 2,804 | ||||||
Philip Morris International, Inc.: | ||||||||
2.875%, 5-1-24 | 585 | 628 | ||||||
2.100%, 5-1-30 | 1,225 | 1,262 | ||||||
|
| |||||||
9,260 | ||||||||
|
| |||||||
Total Consumer Staples – 6.7% |
| 42,017 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 0.3% |
| |||||||
National Fuel Gas Co., | ||||||||
5.500%, 1-15-26 | $ | 1,875 | $ | 1,994 | ||||
|
| |||||||
Oil & Gas Equipment & Services – 0.5% |
| |||||||
Baker Hughes, a GE Co. LLC and Baker Hughes Co-Obligor, Inc., | ||||||||
2.773%, 12-15-22 | 3,000 | 3,131 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 1.9% |
| |||||||
BP Capital Markets plc (GTD by BP plc): | ||||||||
3.216%, 11-28-23 | 1,000 | 1,075 | ||||||
3.814%, 2-10-24 | 3,000 | 3,300 | ||||||
Canadian Natural Resources Ltd., | ||||||||
3.850%, 6-1-27 | 4,950 | 5,289 | ||||||
ConocoPhillips Co. (GTD by ConocoPhillips), | ||||||||
4.150%, 11-15-34 | 218 | 242 | ||||||
EQT Corp.: | ||||||||
3.000%, 10-1-22 | 1,450 | 1,348 | ||||||
6.125%, 2-1-25 | 650 | 648 | ||||||
|
| |||||||
11,902 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.4% |
| |||||||
Phillips 66 (GTD by Phillips 66 Co.) (3-Month U.S. LIBOR plus 60 bps), | ||||||||
0.960%, 2-26-21 (C) | 2,000 | 1,997 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 5.6% |
| |||||||
Boardwalk Pipelines L.P. (GTD by Boardwalk Pipeline Partners L.P.), | ||||||||
4.450%, 7-15-27 | 2,000 | 2,101 | ||||||
Cheniere Corpus Christi Holdings LLC, | ||||||||
7.000%, 6-30-24 | 1,075 | 1,223 | ||||||
Colonial Pipeline Co., | ||||||||
4.250%, 4-15-48 (A) | 1,000 | 1,134 | ||||||
Colorado Interstate Gas Co., | ||||||||
4.150%, 8-15-26 (A) | 1,000 | 1,113 | ||||||
Energy Transfer Partners L.P.: | ||||||||
4.200%, 4-15-27 | 1,000 | 1,046 | ||||||
6.000%, 6-15-48 | 1,000 | 1,037 | ||||||
EQT Midstream Partners L.P., | ||||||||
4.750%, 7-15-23 | 1,000 | 1,009 | ||||||
Kinder Morgan, Inc., | ||||||||
5.550%, 6-1-45 | 1,000 | 1,214 | ||||||
Midwest Connector Capital Co. LLC, | ||||||||
3.900%, 4-1-24 (A) | 2,435 | 2,558 | ||||||
Plains All American Pipeline L.P. and PAA Finance Corp.: | ||||||||
3.600%, 11-1-24 | 1,031 | 1,053 | ||||||
4.500%, 12-15-26 | 1,750 | 1,854 | ||||||
Sabal Trail Transmission LLC, | ||||||||
4.246%, 5-1-28 (A) | 2,500 | 2,791 | ||||||
Sabine Pass Liquefaction LLC, | ||||||||
4.200%, 3-15-28 | 2,150 | 2,306 | ||||||
Sunoco Logistics Partners Operations L.P. (GTD by Energy Transfer Partners L.P.), | ||||||||
4.000%, 10-1-27 | 2,000 | 2,049 |
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 | $ | 500 | $ | 510 | ||||
Tennessee Gas Pipeline Co., | ||||||||
7.000%, 3-15-27 | 2,000 | 2,439 | ||||||
TransCanada Corp., | ||||||||
5.100%, 3-15-49 | 3,000 | 3,826 | ||||||
Transcontinental Gas Pipe Line Co. LLC: | ||||||||
3.250%, 5-15-30 (A) | 1,225 | 1,308 | ||||||
4.600%, 3-15-48 | 1,000 | 1,137 | ||||||
Williams Partners L.P., | ||||||||
4.850%, 3-1-48 | 3,250 | 3,554 | ||||||
|
| |||||||
35,262 | ||||||||
|
| |||||||
Total Energy – 8.7% |
| 54,286 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 3.0% |
| |||||||
Apollo Management Holdings L.P., | ||||||||
2.650%, 6-5-30 (A) | 3,865 | 3,844 | ||||||
Blackstone Holdings Finance Co. LLC: | ||||||||
2.500%, 1-10-30 (A) | 1,475 | 1,538 | ||||||
3.500%, 9-10-49 (A) | 908 | 939 | ||||||
Brookfield Finance, Inc. (GTD by Brookfield Asset Management, Inc.), | ||||||||
4.350%, 4-15-30 | 3,000 | 3,385 | ||||||
KKR Group Finance Co. III LLC, | ||||||||
5.125%, 6-1-44 (A) | 1,885 | 2,266 | ||||||
National Securities Clearing Corp., | ||||||||
1.500%, 4-23-25 (A) | 5,000 | 5,114 | ||||||
Owl Rock Capital Corp.: | ||||||||
5.250%, 4-15-24 | 675 | 706 | ||||||
4.000%, 3-30-25 | 1,025 | 1,012 | ||||||
|
| |||||||
18,804 | ||||||||
|
| |||||||
Consumer Finance – 0.5% |
| |||||||
Ford Motor Credit Co. LLC: | ||||||||
5.875%, 8-2-21 | 1,500 | 1,515 | ||||||
3.810%, 1-9-24 | 1,500 | 1,440 | ||||||
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.), | ||||||||
3.200%, 7-6-21 | 500 | 506 | ||||||
|
| |||||||
3,461 | ||||||||
|
| |||||||
Diversified Banks – 7.9% |
| |||||||
Banco Santander S.A., | ||||||||
3.500%, 4-11-22 | 1,250 | 1,300 | ||||||
Bank of America Corp.: | ||||||||
2.503%, 10-21-22 | 4,000 | 4,095 | ||||||
5.875%, 9-15-66 | 2,000 | 2,043 | ||||||
Bank of America Corp. (3-Month U.S. LIBOR plus 77 bps), | ||||||||
1.311%, 2-5-26 (C) | 4,000 | 3,947 | ||||||
Bank of New York Mellon Corp. (The), | ||||||||
3.550%, 9-23-21 | 1,250 | 1,295 |
2020 | SEMIANNUAL REPORT | 11 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORPORATE BOND (in thousands) |
JUNE 30, 2020 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Banks (Continued) |
| |||||||
BB&T Corp., | ||||||||
2.750%, 4-1-22 | $ | 3,500 | $ | 3,629 | ||||
Citizens Bank N.A., | ||||||||
3.250%, 2-14-22 | 1,050 | 1,087 | ||||||
Commonwealth Bank of Australia, | ||||||||
2.000%, 9-6-21 (A) | 1,500 | 1,528 | ||||||
Danske Bank A.S., | ||||||||
2.700%, 3-2-22 (A) | 1,300 | 1,342 | ||||||
Fifth Third Bank N.A.: | ||||||||
2.250%, 6-14-21 | 500 | 508 | ||||||
3.350%, 7-26-21 | 1,500 | 1,541 | ||||||
ING Groep N.V., | ||||||||
3.550%, 4-9-24 | 1,325 | 1,442 | ||||||
Korea Development Bank, | ||||||||
3.000%, 3-19-22 | 1,125 | 1,163 | ||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||
2.998%, 2-22-22 | 500 | 518 | ||||||
3.218%, 3-7-22 | 2,000 | 2,085 | ||||||
Mizuho Financial Group, Inc., | ||||||||
2.953%, 2-28-22 | 3,000 | 3,111 | ||||||
Santander Holdings USA, Inc., | ||||||||
3.400%, 1-18-23 | 1,000 | 1,041 | ||||||
Toronto-Dominion Bank, | ||||||||
3.250%, 3-11-24 | 1,275 | 1,389 | ||||||
Truist Financial Corp., | ||||||||
3.875%, 3-19-29 | 2,455 | 2,784 | ||||||
U.S. Bancorp, | ||||||||
3.375%, 2-5-24 | 704 | 769 | ||||||
U.S. Bank N.A., | ||||||||
3.450%, 11-16-21 | 3,500 | 3,638 | ||||||
Wells Fargo & Co.: | ||||||||
2.100%, 7-26-21 | 1,000 | 1,018 | ||||||
3.069%, 1-24-23 | 1,500 | 1,554 | ||||||
4.300%, 7-22-27 | 2,580 | 2,959 | ||||||
4.150%, 1-24-29 | 1,000 | 1,173 | ||||||
4.478%, 4-4-31 | 1,275 | 1,544 | ||||||
Westpac Banking Corp., | ||||||||
2.000%, 8-19-21 | 1,000 | 1,018 | ||||||
|
| |||||||
49,521 | ||||||||
|
| |||||||
Diversified Capital Markets – 0.3% |
| |||||||
Credit Suisse Group AG, | ||||||||
3.574%, 1-9-23 (A) | 2,000 | 2,075 | ||||||
|
| |||||||
Financial Exchanges & Data – 0.3% |
| |||||||
S&P Global, Inc., | ||||||||
3.250%, 12-1-49 | 2,000 | 2,198 | ||||||
|
| |||||||
Insurance Brokers – 1.4% |
| |||||||
Brown & Brown, Inc., | ||||||||
4.200%, 9-15-24 | 2,554 | 2,769 | ||||||
Marsh & McLennan Cos., Inc.: | ||||||||
3.500%, 12-29-20 | 1,000 | 1,015 | ||||||
2.750%, 1-30-22 | 2,000 | 2,065 | ||||||
Willis North America, Inc., | ||||||||
2.950%, 9-15-29 | 2,500 | 2,649 | ||||||
|
| |||||||
8,498 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 3.5% |
| |||||||
Credit Suisse Group Funding (Guernsey) Ltd., | ||||||||
3.125%, 12-10-20 | 1,000 | 1,011 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Investment Banking & Brokerage (Continued) |
| |||||||
Daiwa Securities Group, Inc., | ||||||||
3.129%, 4-19-22 (A) | $ | 1,000 | $ | 1,030 | ||||
Goldman Sachs Group, Inc. (The): | ||||||||
3.000%, 4-26-22 | 1,000 | 1,019 | ||||||
2.905%, 7-24-23 | 1,000 | 1,039 | ||||||
4.250%, 10-21-25 | 3,250 | 3,663 | ||||||
3.500%, 11-16-26 | 2,000 | 2,200 | ||||||
4.017%, 10-31-38 | 1,500 | 1,752 | ||||||
Morgan Stanley: | ||||||||
5.000%, 11-24-25 | 2,150 | 2,512 | ||||||
3.875%, 1-27-26 | 3,850 | 4,355 | ||||||
2.699%, 1-22-31 | 1,500 | 1,593 | ||||||
Morgan Stanley (3-Month U.S. LIBOR plus 140 bps), | ||||||||
2.420%, 10-24-23 (C) | 1,500 | 1,516 | ||||||
|
| |||||||
21,690 | ||||||||
|
| |||||||
Life & Health Insurance – 3.3% |
| |||||||
Aflac, Inc., | ||||||||
4.750%, 1-15-49 | 2,250 | 2,897 | ||||||
MetLife Global Funding I, | ||||||||
1.950%, 9-15-21 (A) | 2,000 | 2,033 | ||||||
Metropolitan Life Insurance Co., | ||||||||
3.450%, 10-9-21 (A) | 3,000 | 3,108 | ||||||
New York Life Global Funding, | ||||||||
2.900%, 1-17-24 (A) | 5,500 | 5,899 | ||||||
Northwestern Mutual Life Insurance Co. (The), | ||||||||
3.850%, 9-30-47 (A) | 3,000 | 3,429 | ||||||
Principal Life Global Funding II, | ||||||||
3.000%, 4-18-26 (A) | 1,000 | 1,103 | ||||||
Protective Life Global Funding, | ||||||||
2.700%, 11-25-20 (A) | 1,000 | 1,009 | ||||||
Sumitomo Life Insurance Co., | ||||||||
4.000%, 9-14-77 (A) | 1,000 | 1,070 | ||||||
|
| |||||||
20,548 | ||||||||
|
| |||||||
Multi-Line Insurance – 0.3% |
| |||||||
Aon Corp. (GTD by Aon plc), | ||||||||
3.750%, 5-2-29 | 1,608 | 1,841 | ||||||
|
| |||||||
Other Diversified Financial Services – 4.0% |
| |||||||
Citigroup, Inc.: | ||||||||
3.500%, 5-15-23 | 2,000 | 2,135 | ||||||
3.875%, 3-26-25 | 2,000 | 2,178 | ||||||
3.520%, 10-27-28 | 1,750 | 1,928 | ||||||
2.666%, 1-29-31 | 1,925 | 1,998 | ||||||
4.412%, 3-31-31 | 1,300 | 1,538 | ||||||
4.700%, 7-30-68 | 850 | 754 | ||||||
5.000%, 3-12-69 | 2,500 | 2,353 | ||||||
JPMorgan Chase & Co.: | ||||||||
3.220%, 3-1-25 | 6,000 | 6,457 | ||||||
4.493%, 3-24-31 | 3,000 | 3,665 | ||||||
4.000%, 10-1-68 | 1,650 | 1,444 | ||||||
5.000%, 2-1-69 | 1,000 | 962 | ||||||
|
| |||||||
25,412 | ||||||||
|
| |||||||
Regional Banks – 1.3% |
| |||||||
PNC Bank N.A.: | ||||||||
2.450%, 11-5-20 | 264 | 265 | ||||||
3.300%, 10-30-24 | 1,000 | 1,101 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Regional Banks (Continued) |
| |||||||
PNC Financial Services Group, Inc. (The): | ||||||||
2.600%, 7-23-26 | $ | 1,875 | $ | 2,034 | ||||
3.450%, 4-23-29 | 2,000 | 2,307 | ||||||
SunTrust Banks, Inc., | ||||||||
3.200%, 4-1-24 | 2,500 | 2,711 | ||||||
|
| |||||||
8,418 | ||||||||
|
| |||||||
Reinsurance – 0.3% |
| |||||||
Reinsurance Group of America, Inc., | ||||||||
3.900%, 5-15-29 | 1,700 | 1,852 | ||||||
|
| |||||||
Specialized Finance – 1.0% |
| |||||||
Air Lease Corp., | ||||||||
3.000%, 2-1-30 | 1,075 | 996 | ||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp., | ||||||||
4.420%, 6-15-21 (A) | 3,000 | 3,084 | ||||||
Fidelity National Financial, Inc., | ||||||||
3.400%, 6-15-30 | 1,850 | 1,925 | ||||||
|
| |||||||
6,005 | ||||||||
|
| |||||||
Total Financials – 27.1% |
| 170,323 | ||||||
Health Care |
| |||||||
Biotechnology – 1.0% |
| |||||||
Amgen, Inc.: | ||||||||
3.875%, 11-15-21 | 2,071 | 2,149 | ||||||
4.950%, 10-1-41 | 1,500 | 1,939 | ||||||
Biogen, Inc., | ||||||||
3.150%, 5-1-50 | 2,080 | 2,003 | ||||||
|
| |||||||
6,091 | ||||||||
|
| |||||||
Health Care Distributors – 0.4% |
| |||||||
McKesson Corp., | ||||||||
3.650%, 11-30-20 | 2,500 | 2,532 | ||||||
|
| |||||||
Health Care Equipment – 1.2% |
| |||||||
Becton Dickinson & Co., | ||||||||
2.894%, 6-6-22 | 3,000 | 3,104 | ||||||
Boston Scientific Corp., | ||||||||
4.550%, 3-1-39 | 1,875 | 2,303 | ||||||
Zimmer Biomet Holdings, Inc.: | ||||||||
3.550%, 3-20-30 | 750 | 809 | ||||||
5.750%, 11-30-39 | 725 | 925 | ||||||
|
| |||||||
7,141 | ||||||||
|
| |||||||
Health Care Services – 0.4% |
| |||||||
Cigna Corp., | ||||||||
3.400%, 9-17-21 | 2,500 | 2,585 | ||||||
|
| |||||||
Health Care Supplies – 1.0% |
| |||||||
Abbott Laboratories, | ||||||||
4.750%, 11-30-36 | 1,900 | 2,556 | ||||||
Dentsply Sirona, Inc., | ||||||||
3.250%, 6-1-30 | 2,523 | 2,643 | ||||||
Shire Acquisitions Investments Ireland Designated Activity Co., | ||||||||
2.400%, 9-23-21 | 1,000 | 1,020 | ||||||
|
| |||||||
6,219 | ||||||||
|
|
12 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORPORATE BOND (in thousands) |
JUNE 30, 2020 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Life Sciences Tools & Services – 0.5% |
| |||||||
PerkinElmer, Inc., | ||||||||
3.300%, 9-15-29 | $ | 1,700 | $ | 1,822 | ||||
Thermo Fisher Scientific, Inc., | ||||||||
4.497%, 3-25-30 | 1,225 | 1,515 | ||||||
|
| |||||||
3,337 | ||||||||
|
| |||||||
Managed Health Care – 1.5% |
| |||||||
Humana, Inc., | ||||||||
2.900%, 12-15-22 | 5,000 | 5,228 | ||||||
UnitedHealth Group, Inc.: | ||||||||
3.500%, 2-15-24 | 2,500 | 2,751 | ||||||
2.000%, 5-15-30 | 425 | 445 | ||||||
3.700%, 8-15-49 | 1,000 | 1,182 | ||||||
|
| |||||||
9,606 | ||||||||
|
| |||||||
Pharmaceuticals – 2.2% |
| |||||||
Bayer U.S. Finance LLC, | ||||||||
3.000%, 10-8-21 (A) | 1,500 | 1,540 | ||||||
Elanco Animal Health, Inc.: | ||||||||
3.912%, 8-27-21 | 1,250 | 1,275 | ||||||
5.022%, 8-28-23 (D) | 1,500 | 1,575 | ||||||
Merck & Co., Inc., | ||||||||
2.450%, 6-24-50 | 1,250 | 1,254 | ||||||
Novartis Capital Corp. (GTD by Novartis AG), | ||||||||
2.750%, 8-14-50 | 3,250 | 3,432 | ||||||
Perrigo Finance Unlimited Co. (GTD by Perrigo Co. plc), | ||||||||
3.500%, 3-15-21 | 1,000 | 1,001 | ||||||
Pfizer, Inc., | ||||||||
3.900%, 3-15-39 | 500 | 617 | ||||||
Zoetis, Inc., | ||||||||
4.700%, 2-1-43 | 2,500 | 3,302 | ||||||
|
| |||||||
13,996 | ||||||||
|
| |||||||
Total Health Care – 8.2% |
| 51,507 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 2.0% |
| |||||||
BAE Systems Holdings, Inc., | ||||||||
3.850%, 12-15-25 (A) | 1,500 | 1,660 | ||||||
Boeing Co. (The): | ||||||||
1.650%, 10-30-20 (B) | 500 | 501 | ||||||
2.950%, 2-1-30 | 2,000 | 1,953 | ||||||
3.750%, 2-1-50 | 3,375 | 3,047 | ||||||
L3Harris Technologies, Inc., | ||||||||
4.400%, 6-15-28 | 1,250 | 1,478 | ||||||
Raytheon Technologies Corp.: | ||||||||
2.250%, 7-1-30 | 1,050 | 1,095 | ||||||
3.125%, 7-1-50 | 625 | 667 | ||||||
Rockwell Collins, Inc., | ||||||||
2.800%, 3-15-22 (A) | 1,500 | 1,547 | ||||||
Spirit AeroSystems, Inc. (GTD by Spirit AeroSystems Holdings, Inc.), | ||||||||
4.600%, 6-15-28 | 720 | 578 | ||||||
|
| |||||||
12,526 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Agricultural & Farm Machinery – 0.2% |
| |||||||
CNH Industrial Capital LLC (GTD by CNH Industrial Capital America LLC and New Holland Credit Co. LLC), | ||||||||
1.950%, 7-2-23 | $ | 1,050 | $ | 1,057 | ||||
|
| |||||||
Airlines – 0.8% |
| |||||||
Aviation Capital Group Corp., | ||||||||
2.875%, 1-20-22 (A) | 3,000 | 2,867 | ||||||
Southwest Airlines Co., | ||||||||
5.250%, 5-4-25 | 815 | 860 | ||||||
Sydney Airport Finance, | ||||||||
3.625%, 4-28-26 (A) | 1,000 | 1,048 | ||||||
|
| |||||||
4,775 | ||||||||
|
| |||||||
Building Products – 0.3% |
| |||||||
Allegion plc, | ||||||||
3.500%, 10-1-29 | 1,700 | 1,782 | ||||||
Masco Corp., | ||||||||
4.500%, 5-15-47 | 250 | 262 | ||||||
|
| |||||||
2,044 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 0.3% |
| |||||||
Oshkosh Corp., | ||||||||
3.100%, 3-1-30 | 1,800 | 1,812 | ||||||
|
| |||||||
Diversified Support Services – 0.3% |
| |||||||
Genpact Luxembourg S.a.r.l. (GTD by Genpact Ltd.), | ||||||||
3.375%, 12-1-24 | 1,500 | 1,548 | ||||||
|
| |||||||
Environmental & Facilities Services – 1.2% |
| |||||||
Republic Services, Inc., | ||||||||
3.050%, 3-1-50 | 3,000 | 3,063 | ||||||
Waste Connections, Inc., | ||||||||
3.500%, 5-1-29 | 1,549 | 1,739 | ||||||
Waste Management, Inc. (GTD by Waste Management Holdings, Inc.), | ||||||||
4.100%, 3-1-45 | 2,500 | 2,989 | ||||||
|
| |||||||
7,791 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.5% |
| |||||||
Carlisle Cos., Inc., | ||||||||
2.750%, 3-1-30 | 1,800 | 1,852 | ||||||
Honeywell International, Inc., | ||||||||
1.950%, 6-1-30 | 1,050 | 1,097 | ||||||
|
| |||||||
2,949 | ||||||||
|
| |||||||
Industrial Machinery – 0.6% |
| |||||||
IDEX Corp., | ||||||||
3.000%, 5-1-30 | 1,670 | 1,743 | ||||||
Roper Technologies, Inc., | ||||||||
2.950%, 9-15-29 | 2,000 | 2,184 | ||||||
|
| |||||||
3,927 | ||||||||
|
| |||||||
Railroads – 1.0% |
| |||||||
Burlington Northern Santa Fe LLC, | ||||||||
4.550%, 9-1-44 | 1,000 | 1,314 | ||||||
Kansas City Southern, | ||||||||
4.300%, 5-15-43 | 1,475 | 1,752 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Railroads (Continued) |
| |||||||
Union Pacific Corp.: | ||||||||
3.550%, 8-15-39 | $ | 1,875 | $ | 2,103 | ||||
3.250%, 2-5-50 | 1,200 | 1,312 | ||||||
|
| |||||||
6,481 | ||||||||
|
| |||||||
Research & Consulting Services – 1.0% |
| |||||||
CoStar Group, Inc., | ||||||||
2.800%, 7-15-30 (A) | 1,250 | 1,279 | ||||||
RELX Capital, Inc. (GTD by RELX plc), | ||||||||
4.000%, 3-18-29 | 2,375 | 2,757 | ||||||
Verisk Analytics, Inc., | ||||||||
4.125%, 3-15-29 | 2,050 | 2,395 | ||||||
|
| |||||||
6,431 | ||||||||
|
| |||||||
Total Industrials – 8.2% |
| 51,341 | ||||||
Information Technology |
| |||||||
Application Software – 1.5% |
| |||||||
Adobe, Inc., | ||||||||
2.300%, 2-1-30 | 3,000 | 3,239 | ||||||
Autodesk, Inc., | ||||||||
2.850%, 1-15-30 | 1,100 | 1,211 | ||||||
Infor, Inc., | ||||||||
1.750%, 7-15-25 (A) | 3,270 | 3,284 | ||||||
Intuit, Inc.: | ||||||||
1.350%, 7-15-27 | 415 | 417 | ||||||
1.650%, 7-15-30 | 1,040 | 1,036 | ||||||
NXP Semiconductors N.V., NXP B.V. and NXP Funding LLC, | ||||||||
4.300%, 6-18-29 (A) | 274 | 311 | ||||||
|
| |||||||
9,498 | ||||||||
|
| |||||||
Communications Equipment – 0.5% |
| |||||||
Motorola Solutions, Inc., | ||||||||
4.600%, 5-23-29 | 2,825 | 3,261 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 1.0% |
| |||||||
PayPal Holdings, Inc.: | ||||||||
2.650%, 10-1-26 | 2,750 | 2,988 | ||||||
2.300%, 6-1-30 | 3,000 | 3,118 | ||||||
|
| |||||||
6,106 | ||||||||
|
| |||||||
Electronic Components – 0.4% |
| |||||||
Amphenol Corp., | ||||||||
2.050%, 3-1-25 | 695 | 725 | ||||||
Maxim Integrated Products, Inc., | ||||||||
3.450%, 6-15-27 | 1,700 | 1,856 | ||||||
|
| |||||||
2,581 | ||||||||
|
| |||||||
IT Consulting & Other Services – 0.1% |
| |||||||
Leidos, Inc. (GTD by Leidos Holdings, Inc.), | ||||||||
4.375%, 5-15-30 (A) | 525 | 591 | ||||||
|
| |||||||
Semiconductor Equipment – 0.5% |
| |||||||
Applied Materials, Inc., | ||||||||
2.750%, 6-1-50 | 1,225 | 1,249 | ||||||
Lam Research Corp.: | ||||||||
3.750%, 3-15-26 | 1,275 | 1,457 | ||||||
2.875%, 6-15-50 | 415 | 429 | ||||||
|
| |||||||
3,135 | ||||||||
|
|
2020 | SEMIANNUAL REPORT | 13 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORPORATE BOND (in thousands) |
JUNE 30, 2020 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Semiconductors – 3.7% |
| |||||||
Broadcom, Inc.: | ||||||||
3.459%, 9-15-26 (A) | $ | 906 | $ | 973 | ||||
5.000%, 4-15-30 (A) | 2,000 | 2,298 | ||||||
Intel Corp.: | ||||||||
4.000%, 12-15-32 | 1,500 | 1,855 | ||||||
4.100%, 5-19-46 | 4,000 | 5,040 | ||||||
Microchip Technology, Inc., | ||||||||
3.922%, 6-1-21 | 2,750 | 2,803 | ||||||
QUALCOMM, Inc.: | ||||||||
4.800%, 5-20-45 | 500 | 654 | ||||||
4.300%, 5-20-47 | 1,500 | 1,870 | ||||||
Texas Instruments, Inc., | ||||||||
3.875%, 3-15-39 | 3,500 | 4,338 | ||||||
Xilinx, Inc., | ||||||||
2.375%, 6-1-30 | 3,125 | 3,216 | ||||||
|
| |||||||
23,047 | ||||||||
|
| |||||||
Systems Software – 0.9% |
| |||||||
Microsoft Corp., | ||||||||
3.450%, 8-8-36 | 4,500 | 5,426 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.3% |
| |||||||
Apple, Inc.: | ||||||||
2.400%, 5-3-23 | 2,895 | 3,060 | ||||||
4.500%, 2-23-36 | 2,500 | 3,297 | ||||||
NetApp, Inc., | ||||||||
3.375%, 6-15-21 | 1,038 | 1,061 | ||||||
Seagate HDD Cayman (GTD by Seagate Technology plc), | ||||||||
5.750%, 12-1-34 | 875 | 964 | ||||||
|
| |||||||
8,382 | ||||||||
|
| |||||||
Total Information Technology – 9.9% |
| 62,027 | ||||||
Materials |
| |||||||
Construction Materials – 0.2% |
| |||||||
Martin Marietta Materials, Inc., | ||||||||
2.500%, 3-15-30 | 1,250 | 1,259 | ||||||
|
| |||||||
Diversified Metals & Mining – 0.2% |
| |||||||
Anglo American Capital plc, | ||||||||
3.750%, 4-10-22 (A) | 1,500 | 1,543 | ||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.3% |
| |||||||
Nutrien Ltd., | ||||||||
5.250%, 1-15-45 | 1,320 | 1,631 | ||||||
|
| |||||||
Metal & Glass Containers – 0.2% |
| |||||||
Colonial Enterprises, Inc., | ||||||||
3.250%, 5-15-30 (A) | 1,025 | 1,111 | ||||||
|
| |||||||
Paper Packaging – 0.1% |
| |||||||
International Paper Co., | ||||||||
4.400%, 8-15-47 | 750 | 877 | ||||||
|
| |||||||
Specialty Chemicals – 0.6% |
| |||||||
Ecolab, Inc., | ||||||||
4.800%, 3-24-30 | 850 | 1,078 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Specialty Chemicals (Continued) |
| |||||||
Methanex Corp., | ||||||||
5.250%, 3-1-22 | $ | 2,404 | $ | 2,365 | ||||
|
| |||||||
3,443 | ||||||||
|
| |||||||
Total Materials – 1.6% |
| 9,864 | ||||||
Real Estate |
| |||||||
Health Care REITs – 0.2% |
| |||||||
Healthpeak Properties, Inc., | ||||||||
2.875%, 1-15-31 | 1,025 | 1,052 | ||||||
|
| |||||||
Industrial REITs – 0.1% |
| |||||||
Aircastle Ltd., | ||||||||
5.500%, 2-15-22 | 598 | 604 | ||||||
|
| |||||||
Specialized REITs – 3.0% |
| |||||||
American Tower Corp.: | ||||||||
3.070%, 3-15-23 (A) | 1,500 | 1,535 | ||||||
3.000%, 6-15-23 | 2,500 | 2,666 | ||||||
4.400%, 2-15-26 | 1,000 | 1,155 | ||||||
American Tower Trust I, | ||||||||
3.652%, 3-23-28 (A) | 1,000 | 1,080 | ||||||
Crown Castle International Corp.: | ||||||||
2.250%, 9-1-21 | 500 | 504 | ||||||
5.250%, 1-15-23 | 1,027 | 1,143 | ||||||
3.200%, 9-1-24 | 1,250 | 1,356 | ||||||
4.000%, 3-1-27 | 2,000 | 2,273 | ||||||
CubeSmart L.P. (GTD by CubeSmart), | ||||||||
4.375%, 2-15-29 | 1,615 | 1,877 | ||||||
Public Storage, Inc., | ||||||||
3.385%, 5-1-29 | 1,500 | 1,732 | ||||||
Ventas Realty L.P. (GTD by Ventas, Inc.): | ||||||||
2.650%, 1-15-25 | 1,875 | 1,880 | ||||||
4.875%, 4-15-49 | 1,500 | 1,640 | ||||||
|
| |||||||
18,841 | ||||||||
|
| |||||||
Total Real Estate – 3.3% |
| 20,497 | ||||||
Utilities |
| |||||||
Electric Utilities – 3.3% |
| |||||||
Appalachian Power Co., | ||||||||
4.500%, 3-1-49 | 1,500 | 1,860 | ||||||
CenterPoint Energy, Inc.: | ||||||||
4.250%, 11-1-28 | 1,683 | 1,956 | ||||||
2.950%, 3-1-30 | 750 | 797 | ||||||
Commonwealth Edison Co., | ||||||||
3.650%, 6-15-46 | 3,000 | 3,513 | ||||||
Duke Energy Indiana LLC, | ||||||||
3.750%, 5-15-46 | 1,000 | 1,161 | ||||||
Entergy Corp., | ||||||||
2.800%, 6-15-30 | 1,225 | 1,290 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
4.400%, 11-1-48 | 2,000 | 2,586 | ||||||
Southern California Edison Co., | ||||||||
4.125%, 3-1-48 | 1,525 | 1,781 | ||||||
Southern Co. (The), | ||||||||
4.400%, 7-1-46 | 1,875 | 2,220 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Electric Utilities (Continued) |
| |||||||
Virginia Electric and Power Co., Series B, | ||||||||
4.600%, 12-1-48 | $ | 1,500 | $ | 1,975 | ||||
Wisconsin Electric Power Co.: | ||||||||
4.250%, 6-1-44 | 250 | 288 | ||||||
4.300%, 10-15-48 | 1,250 | 1,538 | ||||||
|
| |||||||
20,965 | ||||||||
|
| |||||||
Gas Utilities – 0.3% |
| |||||||
Southern California Gas Co., | ||||||||
4.300%, 1-15-49 | 1,500 | 1,907 | ||||||
|
| |||||||
Independent Power Producers & Energy Traders – 0.4% |
| |||||||
Black Hills Corp., | ||||||||
4.350%, 5-1-33 | 2,000 | 2,275 | ||||||
|
| |||||||
Multi-Utilities – 1.6% |
| |||||||
Ameren Corp., | ||||||||
3.500%, 1-15-31 | 850 | 950 | ||||||
Baltimore Gas and Electric Co., | ||||||||
4.250%, 9-15-48 | 1,500 | 1,872 | ||||||
Dominion Energy, Inc., | ||||||||
3.600%, 3-15-27 | 2,000 | 2,212 | ||||||
Dominion Resources, Inc., | ||||||||
2.750%, 1-15-22 | 3,000 | 3,073 | ||||||
Public Service Electric and Gas Co., | ||||||||
1.900%, 3-15-21 | 2,000 | 2,019 | ||||||
|
| |||||||
10,126 | ||||||||
|
| |||||||
Water Utilities – 0.5% |
| |||||||
American Water Capital Corp., | ||||||||
4.150%, 6-1-49 | 2,500 | 3,097 | ||||||
|
| |||||||
Total Utilities – 6.1% |
| 38,370 | ||||||
TOTAL CORPORATE DEBT |
| $ | 582,626 | |||||
(Cost: $544,887) |
| |||||||
MORTGAGE-BACKED SECURITIES | ||||||||
Non-Agency REMIC/CMO – 0.1% |
| |||||||
MASTR Adjustable Rate Mortgages Trust, Series 2005-1, Class B1 (Mortgage spread to 10-year U.S. Treasury index), | ||||||||
3.760%, 3-25-35 (C) | 909 | 708 | ||||||
|
| |||||||
TOTAL MORTGAGE-BACKED |
| $ | 708 | |||||
(Cost: $905) |
| |||||||
MUNICIPAL BONDS – TAXABLE | ||||||||
New York – 0.6% |
| |||||||
NYC Indl Dev Agy, Rental Rev Bonds (Yankee Stadium Proj), Ser 2009, | ||||||||
11.000%, 3-1-29 (A) | 2,805 | 3,832 | ||||||
|
|
14 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORPORATE BOND (in thousands) |
JUNE 30, 2020 (UNAUDITED)
MUNICIPAL BONDS – TAXABLE (Continued) | Principal | Value | ||||||
Ohio – 0.4% |
| |||||||
OH State Univ, Gen Receipts Bonds (Multiyear Debt Issuance Prog), Ser 2016A, | ||||||||
3.798%, 12-1-46 | $ | 2,000 | $ | 2,520 | ||||
|
| |||||||
Pennsylvania – 0.1% |
| |||||||
Cmnwlth of PA, GO Bonds, Third Ser B of 2010 (Federally Taxable – Build America Bonds), | ||||||||
4.750%, 7-15-22 | 750 | 751 | ||||||
|
| |||||||
TOTAL MUNICIPAL BONDS – |
| $ | 7,103 | |||||
(Cost: $5,556) |
| |||||||
OTHER GOVERNMENT SECURITIES (E) | ||||||||
Canada – 0.5% |
| |||||||
Province de Quebec, | ||||||||
7.140%, 2-27-26 | 2,500 | 3,289 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT |
| $ | 3,289 | |||||
(Cost: $2,682) |
| |||||||
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | ||||||||
Agency Obligations – 0.2% |
| |||||||
Tennessee Valley Authority, | ||||||||
2.875%, 2-1-27 | 1,000 | 1,133 | ||||||
|
|
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS (Continued) | Principal | Value | ||||||
Mortgage-Backed Obligations – 0.0% |
| |||||||
Government National Mortgage Association Agency REMIC/CMO, | ||||||||
0.004%, 6-17-45 (A)(F) | $ | 11 | $ | — | * | |||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT |
| $ | 1,133 | |||||
(Cost: $1,001) |
| |||||||
SHORT-TERM SECURITIES | Shares | |||||||
Money Market Funds (H) – 3.4% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | ||||||||
0.100% (G) | 1,671 | 1,671 | ||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, | ||||||||
0.120% | 19,724 | 19,724 | ||||||
|
| |||||||
21,395 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 3.4% |
| $ | 21,395 | |||||
(Cost: $21,395) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.8% |
| $ | 626,712 | |||||
(Cost: $587,221) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES (I) – 0.2% |
| 1,111 | ||||||
NET ASSETS – 100.0% | $ | 627,823 |
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, 2020 the total value of these securities amounted to $99,751 or 15.9% of net assets. |
(B) | All or a portion of securities with an aggregate value of $1,838 are on loan. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2020. Description of the reference rate and spread, if applicable, are included in the security description. |
(D) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at June 30, 2020. |
(E) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(F) | Interest-only security. Amount shown as principal represents notional amount for computation of interest. |
(G) | Investment made with cash collateral received from securities on loan. |
(H) | Rate shown is the annualized 7-day yield at June 30, 2020. |
(I) | Cash of $114 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2020 (contracts unrounded): |
Description | Type | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Depreciation | ||||||||||||||||||||||
U.S. 10-Year Treasury Note | Short | 67 | 9-30-20 | 6,700 | $ | (9,325 | ) | $ | (19 | ) | ||||||||||||||||||
|
|
2020 | SEMIANNUAL REPORT | 15 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORPORATE BOND (in thousands) |
JUNE 30, 2020 (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, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | $ | — | $ | 10,458 | $ | — | ||||||
Corporate Debt Securities | — | 582,626 | — | |||||||||
Mortgage-Backed Securities | — | 708 | — | |||||||||
Municipal Bonds | — | 7,103 | — | |||||||||
Other Government Securities | — | 3,289 | — | |||||||||
United States Government Agency Obligations | — | 1,133 | — | |||||||||
Short-Term Securities | 21,395 | — | — | |||||||||
Total | $ | 21,395 | $ | 605,317 | $ | — | ||||||
Liabilities | ||||||||||||
Futures Contracts | $ | 19 | $ | — | $ | — |
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
See Accompanying Notes to Financial Statements.
16 | SEMIANNUAL REPORT | 2020 |
Table of Contents
PORTFOLIO HIGHLIGHTS | GLOBAL BOND |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Bonds | 97.4% | |||
Corporate Debt Securities | 84.4% | |||
Other Government Securities | 8.4% | |||
United States Government and Government Agency Obligations | 4.6% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.6% |
Quality Weightings
Investment Grade | 67.6% | |||
AAA | 3.5% | |||
AA | 3.3% | |||
A | 21.2% | |||
BBB | 39.6% | |||
Non-Investment Grade | 29.8% | |||
BB | 18.1% | |||
B | 8.0% | |||
CCC | 2.4% | |||
Below CCC | 0.8% | |||
Non-rated | 0.5% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.6% |
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.
Country Weightings
North America | 30.3% | |||
United States | 20.9% | |||
Mexico | 6.6% | |||
Other North America | 2.8% | |||
Europe | 23.0% | |||
United Kingdom | 7.8% | |||
Netherlands | 6.4% | |||
Other Europe | 8.8% | |||
South America | 19.4% | |||
Brazil | 5.7% | |||
Chile | 4.6% | |||
Other South America | 9.1% | |||
Pacific Basin | 17.6% | |||
South Korea | 3.5% | |||
Other Pacific Basin | 14.1% | |||
Middle East | 4.5% | |||
Bahamas/Caribbean | 1.6% | |||
Africa | 1.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.6% |
+ 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.
2020 | SEMIANNUAL REPORT | 17 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2020 (UNAUDITED)
CORPORATE DEBT SECURITIES | Principal | Value | ||||||
Argentina |
| |||||||
Energy – 0.8% |
| |||||||
Pampa Energia S.A. | ||||||||
7.500%, 1-24-27 (A) | $ | 150 | $ | 121 | ||||
Pan American Energy LLC | ||||||||
7.875%, 5-7-21 | 33 | 33 | ||||||
|
| |||||||
154 | ||||||||
|
| |||||||
Total Argentina – 0.8% |
| $ | 154 | |||||
Australia |
| |||||||
Utilities – 1.1% |
| |||||||
Ausgrid Finance Pty Ltd. | ||||||||
3.850%, 5-1-23 (A) | 200 | 210 | ||||||
|
| |||||||
Total Australia – 1.1% |
| $ | 210 | |||||
Austria |
| |||||||
Consumer Staples – 1.0% |
| |||||||
JBS Investments II GmbH (GTD by JBS S.A.) | ||||||||
5.750%, 1-15-28 (A) | 200 | 198 | ||||||
|
| |||||||
Total Austria – 1.0% |
| $ | 198 | |||||
Bermuda |
| |||||||
Consumer Staples – 0.5% |
| |||||||
Bacardi Ltd. | ||||||||
4.450%, 5-15-25 (A) | 100 | 109 | ||||||
|
| |||||||
Total Bermuda – 0.5% |
| $ | 109 | |||||
Brazil |
| |||||||
Industrials – 1.0% |
| |||||||
Cosan Ltd. | ||||||||
5.500%, 9-20-29 (A) | 200 | 190 | ||||||
|
| |||||||
Materials – 3.6% |
| |||||||
CSN Resources S.A. | ||||||||
7.625%, 2-13-23 (A) | 200 | 186 | ||||||
Fibria Overseas Finance Ltd. | ||||||||
4.000%, 1-14-25 | 150 | 155 | ||||||
Nexa Resources S.A. | ||||||||
6.500%, 1-18-28 (A) | 200 | 203 | ||||||
Vale Overseas Ltd. | ||||||||
6.250%, 8-10-26 | 150 | 176 | ||||||
|
| |||||||
720 | ||||||||
|
| |||||||
Utilities – 1.1% |
| |||||||
Aegea Finance S.a.r.l. | ||||||||
5.750%, 10-10-24 (A) | 200 | 203 | ||||||
|
| |||||||
Total Brazil – 5.7% |
| $ | 1,113 | |||||
Canada |
| |||||||
Consumer Staples – 0.3% |
| |||||||
Alimentation Couche-Tard, Inc. | ||||||||
2.700%, 7-26-22 (A) | 60 | 62 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Energy – 0.6% |
| |||||||
TransCanada PipeLines Ltd. | ||||||||
4.250%, 5-15-28 | $ | 100 | $ | 115 | ||||
|
| |||||||
Financials – 0.9% |
| |||||||
Brookfield Finance, Inc. (GTD by Brookfield Asset Management, Inc.) | ||||||||
4.350%, 4-15-30 | 100 | 113 | ||||||
Royal Bank of Canada | ||||||||
4.650%, 1-27-26 | 50 | 58 | ||||||
|
| |||||||
171 | ||||||||
|
| |||||||
Materials – 1.0% |
| |||||||
First Quantum Minerals Ltd. | ||||||||
6.875%, 3-1-26 (A) | 200 | 189 | ||||||
|
| |||||||
Total Canada – 2.8% |
| $ | 537 | |||||
Cayman Islands |
| |||||||
Financials – 0.8% |
| |||||||
Itau Unibanco Holdings S.A. | ||||||||
4.625%, 8-27-68 (A) | 200 | 165 | ||||||
|
| |||||||
Industrials – 0.3% |
| |||||||
LATAM Finance Ltd. | ||||||||
7.000%, 3-1-26 (A)(B) | 200 | 54 | ||||||
|
| |||||||
Total Cayman Islands – 1.1% |
| $ | 219 | |||||
Chile |
| |||||||
Energy – 0.9% |
| |||||||
GeoPark Ltd. | ||||||||
6.500%, 9-21-24 (A) | 200 | 184 | ||||||
|
| |||||||
Financials – 1.0% |
| |||||||
Banco del Estado de Chile | ||||||||
2.704%, 1-9-25 (A) | 200 | 206 | ||||||
|
| |||||||
Industrials – 1.1% |
| |||||||
Empresa de Transporte de Pasajeros Metro S.A. | ||||||||
3.650%, 5-7-30 (A) | 200 | 216 | ||||||
|
| |||||||
Materials – 1.1% |
| |||||||
Celulosa Arauco y Constitucion S.A. | ||||||||
4.500%, 8-1-24 | 200 | 211 | ||||||
|
| |||||||
Utilities – 0.5% |
| |||||||
Enel Chile S.A. | ||||||||
4.875%, 6-12-28 | 80 | 89 | ||||||
|
| |||||||
Total Chile – 4.6% |
| $ | 906 | |||||
China |
| |||||||
Communication Services – 2.1% |
| |||||||
Tencent Holdings Ltd. | ||||||||
2.985%, 1-19-23 (A) | 200 | 208 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Communication Services (Continued) |
| |||||||
Weibo Corp. | ||||||||
3.500%, 7-5-24 | $ | 200 | $ | 207 | ||||
|
| |||||||
415 | ||||||||
|
| |||||||
Consumer Discretionary – 1.1% |
| |||||||
Alibaba Group Holding Ltd. | ||||||||
3.400%, 12-6-27 | 200 | 222 | ||||||
|
| |||||||
Total China – 3.2% |
| $ | 637 | |||||
Columbia |
| |||||||
Financials – 1.1% |
| |||||||
Banco de Bogota S.A. | ||||||||
5.375%, 2-19-23 (A) | 200 | 207 | ||||||
|
| |||||||
Utilities – 1.4% |
| |||||||
Emgesa S.A. E.S.P. | ||||||||
8.750%, 1-25-21 (C) | COP302,000 | 82 | ||||||
Empresas Publicas de Medellin E.S.P. | ||||||||
4.250%, 7-18-29 (A) | $ | 200 | 200 | |||||
|
| |||||||
282 | ||||||||
|
| |||||||
Total Columbia – 2.5% |
| $ | 489 | |||||
Denmark |
| |||||||
Financials – 1.0% |
| |||||||
Danske Bank A.S. | ||||||||
2.700%, 3-2-22 (A) | 200 | 206 | ||||||
|
| |||||||
Total Denmark – 1.0% |
| $ | 206 | |||||
France |
| |||||||
Financials – 1.0% |
| |||||||
BNP Paribas S.A. | ||||||||
7.625%, 12-29-49 (A) | 200 | 203 | ||||||
|
| |||||||
Total France – 1.0% |
| $ | 203 | |||||
Hong Kong |
| |||||||
Financials – 1.1% |
| |||||||
Bangkok Bank Public Co. Ltd. | ||||||||
4.050%, 3-19-24 (A) | 200 | 216 | ||||||
|
| |||||||
Total Hong Kong – 1.1% |
| $ | 216 | |||||
India |
| |||||||
Utilities – 2.0% |
| |||||||
Adani Electricity Mumbai Ltd. | ||||||||
3.949%, 2-12-30 (A) | 200 | 186 | ||||||
Adani Green Energy (UP) Ltd., Parampujya Solar Energy Private Ltd. and Prayatna Developers Private Ltd. | ||||||||
6.250%, 12-10-24 (A) | 200 | 209 | ||||||
|
| |||||||
395 | ||||||||
|
| |||||||
Total India – 2.0% |
| $ | 395 |
18 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2020 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Indonesia |
| |||||||
Utilities – 2.3% |
| |||||||
Perusahaan Listrik Negara: | ||||||||
5.450%, 5-21-28 (A) | $ | 200 | $ | 230 | ||||
5.375%, 1-25-29 (A) | 200 | 231 | ||||||
|
| |||||||
461 | ||||||||
|
| |||||||
Total Indonesia – 2.3% |
| $ | 461 | |||||
Isle of Man |
| |||||||
Consumer Discretionary – 1.0% |
| |||||||
GOHL Capital Ltd. | ||||||||
4.250%, 1-24-27 | 200 | 202 | ||||||
|
| |||||||
Total Isle of Man – 1.0% |
| $ | 202 | |||||
Japan |
| |||||||
Financials – 1.8% |
| |||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
3.287%, 7-25-27 | 100 | 110 | ||||||
Sumitomo Mitsui Financial Group, Inc.: | ||||||||
3.748%, 7-19-23 | 110 | 119 | ||||||
3.936%, 10-16-23 | 100 | 110 | ||||||
|
| |||||||
339 | ||||||||
|
| |||||||
Total Japan – 1.8% |
| $ | 339 | |||||
Luxembourg |
| |||||||
Consumer Staples – 1.0% |
| |||||||
Minerva Luxembourg S.A. | ||||||||
5.875%, 1-19-28 (A) | 200 | 194 | ||||||
|
| |||||||
Industrials – 1.1% |
| |||||||
Rumo Luxembourg S.a.r.l. | ||||||||
7.375%, 2-9-24 (A) | 200 | 210 | ||||||
|
| |||||||
Total Luxembourg – 2.1% |
| $ | 404 | |||||
Mexico |
| |||||||
Consumer Staples – 1.1% |
| |||||||
Grupo Bimbo S.A.B. de C.V. | ||||||||
3.875%, 6-27-24 (A) | 200 | 215 | ||||||
|
| |||||||
Energy – 0.5% |
| |||||||
Petroleos Mexicanos | ||||||||
6.490%, 1-23-27 (A) | 100 | 91 | ||||||
|
| |||||||
Financials – 0.8% |
| |||||||
Banco Santander S.A. | ||||||||
4.125%, 11-9-22 (A) | 150 | 156 | ||||||
|
| |||||||
Industrials – 2.2% |
| |||||||
Aerovias de Mexico S.A. de C.V. (GTD by Grupo Aeromexico S.A.B. de C.V.) | ||||||||
7.000%, 2-5-25 (A)(B) | 200 | 46 | ||||||
Alfa S.A.B. de C.V. | ||||||||
5.250%, 3-25-24 (A) | 200 | 213 | ||||||
Grupo Kuo S.A.B. de C.V. | ||||||||
5.750%, 7-7-27 (A) | 200 | 184 | ||||||
|
| |||||||
443 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Materials – 1.0% |
| |||||||
CEMEX S.A.B. de C.V. | ||||||||
7.750%, 4-16-26 (A) | $ | 200 | $ | 204 | ||||
|
| |||||||
Total Mexico – 5.6% |
| $ | 1,109 | |||||
Netherlands |
| |||||||
Communication Services – 1.0% |
| |||||||
VTR Finance B.V. | ||||||||
6.875%, 1-15-24 (A) | 200 | 204 | ||||||
|
| |||||||
Consumer Discretionary – 1.1% |
| |||||||
Prosus N.V. | ||||||||
3.680%, 1-21-30 (A) | 200 | 209 | ||||||
|
| |||||||
Financials – 2.3% |
| |||||||
Enel Finance International N.V. | ||||||||
4.625%, 9-14-25 (A) | 200 | 228 | ||||||
Syngenta Finance N.V. | ||||||||
5.182%, 4-24-28 (A) | 200 | 213 | ||||||
|
| |||||||
441 | ||||||||
|
| |||||||
Health Care – 1.1% |
| |||||||
Teva Pharmaceutical Finance Netherlands III B.V. (GTD by Teva Pharmaceutical Industries Ltd.) | ||||||||
6.750%, 3-1-28 (D) | 200 | 211 | ||||||
|
| |||||||
Materials – 0.9% |
| |||||||
Braskem Netherlands B.V. | ||||||||
4.500%, 1-31-30 (A) | 200 | 183 | ||||||
|
| |||||||
Total Netherlands – 6.4% |
| $ | 1,248 | |||||
Nigeria |
| |||||||
Financials – 1.0% |
| |||||||
Africa Finance Corp. | ||||||||
4.375%, 4-17-26 (A) | 200 | 210 | ||||||
|
| |||||||
Total Nigeria – 1.0% |
| $ | 210 | |||||
Norway |
| |||||||
Energy – 1.6% |
| |||||||
Aker BP ASA: | ||||||||
6.000%, 7-1-22 (A) | 150 | 153 | ||||||
4.750%, 6-15-24 (A) | 150 | 151 | ||||||
|
| |||||||
304 | ||||||||
|
| |||||||
Total Norway – 1.6% |
| $ | 304 | |||||
Peru |
| |||||||
Financials – 0.8% |
| |||||||
Banco de Credito del Peru | ||||||||
4.250%, 4-1-23 (A) | 150 | 158 | ||||||
|
| |||||||
Utilities – 0.9% |
| |||||||
Fenix Power Peru S.A. | ||||||||
4.317%, 9-20-27 | 185 | 182 | ||||||
|
| |||||||
Total Peru – 1.7% |
| $ | 340 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Qatar |
| |||||||
Energy – 0.0% |
| |||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. II | ||||||||
5.298%, 9-30-20 (A) | $ | 14 | $ | 14 | ||||
|
| |||||||
Total Qatar – 0.0% |
| $ | 14 | |||||
Singapore |
| |||||||
Consumer Staples – 0.5% |
| |||||||
Olam International Ltd. | ||||||||
7.500%, 8-12-20 | 100 | 101 | ||||||
|
| |||||||
Total Singapore – 0.5% |
| $ | 101 | |||||
South Korea |
| |||||||
Financials – 3.5% |
| |||||||
Hyundai Capital Services, Inc. | ||||||||
2.983%, 8-29-22 (A) | 210 | 215 | ||||||
Korea Development Bank | ||||||||
3.250%, 2-19-24 | 200 | 216 | ||||||
Woori Bank | ||||||||
2.625%, 7-20-21 (A) | 250 | 254 | ||||||
|
| |||||||
685 | ||||||||
|
| |||||||
Total South Korea – 3.5% |
| $ | 685 | |||||
Spain |
| |||||||
Financials – 1.1% |
| |||||||
Banco Santander S.A. | ||||||||
2.706%, 6-27-24 | 200 | 210 | ||||||
|
| |||||||
Total Spain – 1.1% |
| $ | 210 | |||||
United Arab Emirates |
| |||||||
Consumer Discretionary – 1.0% |
| |||||||
GEMS MENASA Cayman Ltd. and GEMS Education Delaware LLC | ||||||||
7.125%, 7-31-26 (A) | 200 | 190 | ||||||
|
| |||||||
Energy – 1.1% |
| |||||||
Abu Dhabi National Energy Co. | ||||||||
4.375%, 4-23-25 (A) | 200 | 223 | ||||||
|
| |||||||
Total United Arab Emirates – 2.1% |
| $ | 413 | |||||
United Kingdom |
| |||||||
Communication Services – 1.0% |
| |||||||
Liquid Telecommunications Financing plc (GTD by Liquid Telecommunications Holdings Ltd.) | ||||||||
8.500%, 7-13-22 (A) | 200 | 197 | ||||||
|
| |||||||
Consumer Staples – 2.1% |
| |||||||
Imperial Tobacco Finance plc | ||||||||
3.750%, 7-21-22 (A) | 200 | 209 | ||||||
MARB BondCo plc | ||||||||
6.875%, 1-19-25 (A) | 200 | 199 | ||||||
|
| |||||||
408 | ||||||||
|
|
2020 | SEMIANNUAL REPORT | 19 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2020 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Financials – 4.7% |
| |||||||
ANZ New Zealand International Ltd. | ||||||||
3.450%, 1-21-28 (A) | $ | 200 | $ | 228 | ||||
HSBC Holdings plc | ||||||||
4.583%, 6-19-29 | 300 | 347 | ||||||
Royal Bank of Scotland Group plc (The) | ||||||||
6.000%, 12-19-23 | 100 | 112 | ||||||
State Bank of India | ||||||||
4.875%, 4-17-24 (A) | 200 | 215 | ||||||
|
| |||||||
902 | ||||||||
|
| |||||||
Total United Kingdom - 7.8% |
| $ | 1,507 | |||||
United States – 0.0% |
| |||||||
Communication Services – 1.2% |
| |||||||
T-Mobile USA, Inc. | ||||||||
6.000%, 3-1-23 | 230 | 231 | ||||||
|
| |||||||
Consumer Discretionary – 1.6% |
| |||||||
Ross Stores, Inc. | ||||||||
4.800%, 4-15-30 | 80 | 96 | ||||||
Volkswagen Group of America, Inc. | ||||||||
4.250%, 11-13-23 (A) | 200 | 219 | ||||||
|
| |||||||
315 | ||||||||
|
| |||||||
Consumer Staples – 3.2% |
| |||||||
Bunge Ltd. Finance Corp. | ||||||||
3.500%, 11-24-20 | 250 | 252 | ||||||
Keurig Dr Pepper, Inc. | ||||||||
4.597%, 5-25-28 | 125 | 150 | ||||||
Reynolds American, Inc. | ||||||||
4.450%, 6-12-25 | 200 | 225 | ||||||
|
| |||||||
627 | ||||||||
|
| |||||||
Financials – 5.7% |
| |||||||
Bank of America Corp. | ||||||||
3.593%, 7-21-28 | 125 | 140 | ||||||
BBVA Bancomer S.A. | ||||||||
5.875%, 9-13-34 (A) | 200 | 195 | ||||||
Citigroup, Inc. | ||||||||
3.520%, 10-27-28 | 125 | 138 | ||||||
Ford Motor Credit Co. LLC | ||||||||
3.096%, 5-4-23 | 200 | 189 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||
3.814%, 4-23-29 | 100 | 113 | ||||||
JPMorgan Chase & Co.: | ||||||||
3.540%, 5-1-28 | 118 | 131 | ||||||
4.000%, 10-1-68 | 50 | 44 | ||||||
TerraForm Global Operating LLC (GTD by TerraForm Global LLC) | ||||||||
6.125%, 3-1-26 (A) | 50 | 49 | ||||||
Wells Fargo & Co. | ||||||||
4.300%, 7-22-27 | 125 | 143 | ||||||
|
| |||||||
1,142 | ||||||||
|
| |||||||
Health Care – 0.9% |
| |||||||
Fresenius U.S. Finance II, Inc.: | ||||||||
4.250%, 2-1-21 (A) | 100 | 102 | ||||||
4.500%, 1-15-23 (A) | 75 | 79 | ||||||
|
| |||||||
181 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Industrials – 1.2% |
| |||||||
Azul Investments LLP | ||||||||
5.875%, 10-26-24 (A) | $ | 200 | $ | 93 | ||||
BAE Systems Holdings, Inc. | ||||||||
3.800%, 10-7-24 (A) | 75 | 82 | ||||||
Boeing Co. (The) | ||||||||
4.508%, 5-1-23 | 50 | 53 | ||||||
|
| |||||||
228 | ||||||||
|
| |||||||
Information Technology – 0.6% |
| |||||||
Broadcom, Inc. | ||||||||
5.000%, 4-15-30 (A) | 100 | 115 | ||||||
|
| |||||||
Materials – 1.4% |
| |||||||
Freeport-McMoRan, Inc. | ||||||||
4.250%, 3-1-30 | 170 | 165 | ||||||
Glencore Funding LLC | ||||||||
4.125%, 3-12-24 (A) | 100 | 107 | ||||||
|
| |||||||
272 | ||||||||
|
| |||||||
Real Estate – 0.5% |
| |||||||
Aircastle Ltd. | ||||||||
4.400%, 9-25-23 | 100 | 97 | ||||||
|
| |||||||
Total United States – 16.3% |
| $ | 3,208 | |||||
Uruguay |
| |||||||
Industrials – 0.3% |
| |||||||
Navios South American Logistics, Inc. and Navios Logistics Finance (U.S.), Inc. | ||||||||
10.750%, 7-1-25 (A) | 70 | 72 | ||||||
|
| |||||||
Total Uruguay – 0.3% |
| $ | 72 | |||||
Venezuela |
| |||||||
Financials – 0.9% |
| |||||||
Corporacion Andina de Fomento: | ||||||||
3.250%, 2-11-22 | 150 | 154 | ||||||
2.375%, 5-12-23 | 30 | 31 | ||||||
|
| |||||||
185 | ||||||||
|
| |||||||
Total Venezuela – 0.9% |
| $ | 185 | |||||
TOTAL CORPORATE DEBT SECURITIES – 84.4% |
| $ | 16,604 | |||||
(Cost: $16,335) | ||||||||
OTHER GOVERNMENT SECURITIES (E) | ||||||||
Argentina – 0.5% |
| |||||||
Republic of Argentina: | ||||||||
6.875%, 4-22-21 (B) | 150 | 63 | ||||||
5.625%, 1-26-22 (B) | 100 | 41 | ||||||
|
| |||||||
104 | ||||||||
|
| |||||||
Costa Rica – 1.0% |
| |||||||
Costa Rica Government Bond | ||||||||
4.250%, 1-26-23 (A) | 200 | 189 | ||||||
|
|
OTHER GOVERNMENT SECURITIES (E) (Continued) | Principal | Value | ||||||
Mexico – 1.0% |
| |||||||
United Mexican States | ||||||||
3.250%, 4-16-30 | $ | 200 | $ | 198 | ||||
|
| |||||||
Panama – 1.1% |
| |||||||
Republic of Panama | ||||||||
3.750%, 4-17-26 | 200 | 209 | ||||||
|
| |||||||
Qatar – 1.1% |
| |||||||
Qatar Government Bond | ||||||||
3.875%, 4-23-23 | 200 | 215 | ||||||
|
| |||||||
Saudi Arabia – 1.3% |
| |||||||
Saudi Arabia Government Bond | ||||||||
2.375%, 10-26-21 (A) | 250 | 254 | ||||||
|
| |||||||
Turkey – 1.0% |
| |||||||
Turkey Government Bond | ||||||||
6.350%, 8-10-24 | 200 | 202 | ||||||
|
| |||||||
Uruguay – 0.3% |
| |||||||
Republica Orient Uruguay | ||||||||
4.500%, 8-14-24 (D) | 50 | 55 | ||||||
|
| |||||||
Vietnam – 1.1% |
| |||||||
Vietnam Government Bond | ||||||||
4.800%, 11-19-24 (A) | 200 | 218 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 8.4% |
| $ | 1,644 | |||||
(Cost: $1,740) | ||||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
United States – 4.6% |
| |||||||
U.S. Treasury Notes: | ||||||||
1.500%, 1-15-23 | 150 | 155 | ||||||
2.125%, 9-30-24 | 100 | 108 | ||||||
2.250%, 11-15-25 | 150 | 165 | ||||||
2.375%, 5-15-27 | 125 | 141 | ||||||
1.625%, 8-15-29 | 100 | 109 | ||||||
1.750%, 11-15-29 | 200 | 221 | ||||||
|
| |||||||
899 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 4.6% |
| $ | 899 | |||||
(Cost: $825) | ||||||||
SHORT-TERM SECURITIES | Shares | |||||||
Money Market Funds (F) – 2.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class | ||||||||
0.120% | 297 | 297 |
20 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2020 (UNAUDITED)
SHORT-TERM SECURITIES (Continued) | Shares | Value | ||||||
Money Market Funds (F) (Continued) |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares | ||||||||
0.100% (G) | 118 | $ | 118 | |||||
|
| |||||||
415 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.1% |
| $ | 415 | |||||
(Cost: $415) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.5% |
| $ | 19,562 | |||||
(Cost: $19,315) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.5% |
| 90 | ||||||
NET ASSETS – 100.0% |
| $ | 19,652 |
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, 2020 the total value of these securities amounted to $11,532 or 58.7% 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 $115 are on loan. |
(E) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(F) | Rate shown is the annualized 7-day yield at June 30, 2020. |
(G) | 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, 2020. 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 Debt Securities | $ | — | $ | 16,604 | $ | — | ||||||
Other Government Securities | — | 1,644 | — | |||||||||
United States Government Obligations | — | 899 | — | |||||||||
Short-Term Securities | 415 | — | — | |||||||||
Total | $ | 415 | $ | 19,147 | $ | — |
The following acronym is used throughout this schedule:
GTD = Guaranteed
2020 | SEMIANNUAL REPORT | 21 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2020 (UNAUDITED)
Country Diversification
(as a % of net assets) | ||||
United States | 20.9% | |||
United Kingdom | 7.8% | |||
Mexico | 6.6% | |||
Netherlands | 6.4% | |||
Brazil | 5.7% | |||
Chile | 4.6% | |||
South Korea | 3.5% | |||
China | 3.2% | |||
Canada | 2.8% | |||
Columbia | 2.5% | |||
Indonesia | 2.3% | |||
United Arab Emirates | 2.1% | |||
Luxembourg | 2.1% | |||
India | 2.0% | |||
Japan | 1.8% | |||
Peru | 1.7% | |||
Norway | 1.6% |
Country Diversification (Continued)
Argentina | 1.3% | |||
Saudi Arabia | 1.3% | |||
Qatar | 1.1% | |||
Cayman Islands | 1.1% | |||
Vietnam | 1.1% | |||
Hong Kong | 1.1% | |||
Panama | 1.1% | |||
Australia | 1.1% | |||
Spain | 1.1% | |||
Costa Rica | 1.0% | |||
Nigeria | 1.0% | |||
Denmark | 1.0% | |||
France | 1.0% | |||
Isle of Man | 1.0% | |||
Turkey | 1.0% | |||
Austria | 1.0% | |||
Other Countries | 2.5% | |||
Other+ | 2.6% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
22 | SEMIANNUAL REPORT | 2020 |
Table of Contents
PORTFOLIO HIGHLIGHTS | GLOBAL EQUITY INCOME |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 98.4% | |||
Financials | 22.7% | |||
Health Care | 17.0% | |||
Information Technology | 12.0% | |||
Consumer Staples | 11.7% | |||
Utilities | 9.1% | |||
Industrials | 8.7% | |||
Materials | 5.1% | |||
Energy | 4.9% | |||
Consumer Discretionary | 4.3% | |||
Communication Services | 2.9% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 1.6% |
Country Weightings
Europe | 44.8% | |||
France | 13.3% | |||
United Kingdom | 10.2% | |||
Switzerland | 7.5% | |||
Germany | 4.0% | |||
Other Europe | 9.8% | |||
North America | 35.7% | |||
United States | 34.2% | |||
Other North America | 1.5% | |||
Pacific Basin | 17.9% | |||
Japan | 4.3% | |||
Taiwan | 3.6% | |||
Other Pacific Basin | 10.0% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 1.6% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Taiwan Semiconductor Manufacturing Co. Ltd. | Information Technology | Semiconductors | ||
Cisco Systems, Inc. | Information Technology | Communications Equipment | ||
ENEL S.p.A. | Utilities | Electric Utilities | ||
AstraZeneca plc | Health Care | Pharmaceuticals | ||
Samsung Electronics Co. Ltd. | Information Technology | Technology Hardware, Storage & Peripherals | ||
Nestle S.A., Registered Shares | Consumer Staples | Packaged Foods & Meats | ||
Roche Holdings AG, Genusscheine | Health Care | Pharmaceuticals | ||
Verizon Communications, Inc. | Communication Services | Integrated Telecommunication Services | ||
Procter & Gamble Co. (The) | Consumer Staples | Household Products | ||
Amgen, Inc. | Health Care | Biotechnology |
See your advisor or www.ivyinvestments.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.
2020 | SEMIANNUAL REPORT | 23 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL EQUITY INCOME (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Canada |
| |||||||
Financials – 1.5% |
| |||||||
Bank of Montreal | 78 | $ | 4,178 | |||||
|
| |||||||
Total Canada – 1.5% |
| $ | 4,178 | |||||
China |
| |||||||
Energy – 1.3% |
| |||||||
CNOOC Ltd. | 3,404 | 3,821 | ||||||
|
| |||||||
�� | ||||||||
Total China – 1.3% |
| $ | 3,821 | |||||
France |
| |||||||
Energy – 2.3% |
| |||||||
Total S.A. (A) | 168 | 6,485 | ||||||
|
| |||||||
Financials – 4.4% |
| |||||||
Axa S.A. (A) | 309 | 6,508 | ||||||
BNP Paribas S.A. | 153 | 6,123 | ||||||
|
| |||||||
12,631 | ||||||||
|
| |||||||
Health Care – 2.5% |
| |||||||
Sanofi-Aventis | 69 | 7,070 | ||||||
|
| |||||||
Industrials – 4.1% |
| |||||||
Schneider Electric S.A. | 67 | 7,399 | ||||||
Vinci | 45 | 4,211 | ||||||
|
| |||||||
11,610 | ||||||||
|
| |||||||
Total France – 13.3% |
| $ | 37,796 | |||||
Germany |
| |||||||
Financials – 1.0% |
| |||||||
Munchener Ruckversicherungs-Gesellschaft AG, Registered Shares | 11 | 2,890 | ||||||
|
| |||||||
Utilities – 3.0% |
| |||||||
E.ON AG | 374 | 4,220 | ||||||
RWE Aktiengesellschaft | 120 | 4,210 | ||||||
|
| |||||||
8,430 | ||||||||
|
| |||||||
Total Germany – 4.0% |
| $ | 11,320 | |||||
Hong Kong |
| |||||||
Utilities – 1.1% |
| |||||||
Guangdong Investment Ltd. | 1,816 | 3,132 | ||||||
|
| |||||||
Total Hong Kong – 1.1% |
| $ | 3,132 | |||||
Indonesia |
| |||||||
Financials – 1.4% |
| |||||||
PT Bank Mandiri (Persero) Tbk | 11,289 | 3,920 | ||||||
|
| |||||||
Total Indonesia – 1.4% |
| $ | 3,920 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Ireland |
| |||||||
Materials – 1.3% |
| |||||||
CRH plc | 111 | $ | 3,829 | |||||
|
| |||||||
Total Ireland – 1.3% |
| $ | 3,829 | |||||
Italy |
| |||||||
Utilities – 3.2% |
| |||||||
ENEL S.p.A. | 1,060 | 9,170 | ||||||
|
| |||||||
Total Italy – 3.2% |
| $ | 9,170 | |||||
Japan |
| |||||||
Consumer Discretionary – 1.4% |
| |||||||
Subaru Corp. | 187 | 3,914 | ||||||
|
| |||||||
Financials – 2.9% |
| |||||||
ORIX Corp. | 283 | 3,514 | ||||||
Tokio Marine Holdings, Inc. | 112 | 4,894 | ||||||
|
| |||||||
8,408 | ||||||||
|
| |||||||
Total Japan – 4.3% |
| $ | 12,322 | |||||
Macau |
| |||||||
Consumer Discretionary – 1.8% |
| |||||||
Sands China Ltd. | 1,308 | 5,151 | ||||||
|
| |||||||
Total Macau – 1.8% |
| $ | 5,151 | |||||
Netherlands |
| |||||||
Financials – 1.3% |
| |||||||
ING Groep N.V., Certicaaten Van Aandelen | 524 | 3,656 | ||||||
|
| |||||||
Health Care – 1.3% |
| |||||||
Koninklijke Philips Electronics N.V., Ordinary Shares | 77 | 3,586 | ||||||
|
| |||||||
Total Netherlands – 2.6% |
| $ | 7,242 | |||||
Norway |
| |||||||
Consumer Staples – 1.4% |
| |||||||
Mowi ASA | 213 | 4,069 | ||||||
|
| |||||||
Total Norway – 1.4% |
| $ | 4,069 | |||||
Russia |
| |||||||
Energy – 1.3% |
| |||||||
PJSC LUKOIL ADR | 49 | 3,625 | ||||||
|
| |||||||
Total Russia – 1.3% |
| $ | 3,625 | |||||
Singapore |
| |||||||
Financials – 1.4% |
| |||||||
DBS Group Holdings Ltd. | 262 | 3,948 | ||||||
|
| |||||||
Total Singapore – 1.4% |
| $ | 3,948 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
South Korea |
| |||||||
Information Technology – 3.0% |
| |||||||
Samsung Electronics Co. Ltd. | 193 | $ | 8,543 | |||||
|
| |||||||
Total South Korea – 3.0% |
| $ | 8,543 | |||||
Switzerland |
| |||||||
Consumer Staples – 3.0% |
| |||||||
Nestle S.A., Registered Shares | 77 | 8,524 | ||||||
|
| |||||||
Financials – 1.5% |
| |||||||
Zurich Financial Services, Registered Shares | 12 | 4,373 | ||||||
|
| |||||||
Health Care – 3.0% |
| |||||||
Roche Holdings AG, Genusscheine | 25 | 8,516 | ||||||
|
| |||||||
Total Switzerland – 7.5% |
| $ | 21,413 | |||||
Taiwan |
| |||||||
Information Technology – 3.6% |
| |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 949 | 10,135 | ||||||
|
| |||||||
Total Taiwan – 3.6% |
| $ | 10,135 | |||||
United Kingdom |
| |||||||
Financials – 1.3% |
| |||||||
3i Group plc | 366 | 3,768 | ||||||
|
| |||||||
Health Care – 5.4% |
| |||||||
AstraZeneca plc | 86 | 8,936 | ||||||
GlaxoSmithKline plc | 316 | 6,393 | ||||||
|
| |||||||
15,329 | ||||||||
|
| |||||||
Industrials – 1.2% |
| |||||||
BAE Systems plc | 594 | 3,554 | ||||||
|
| |||||||
Materials – 2.3% |
| |||||||
Anglo American plc | 279 | 6,437 | ||||||
|
| |||||||
Total United Kingdom – 10.2% |
| $ | 29,088 | |||||
United States |
| |||||||
Communication Services – 2.9% |
| |||||||
Verizon Communications, Inc. | 150 | 8,245 | ||||||
|
| |||||||
Consumer Discretionary – 1.1% |
| |||||||
V.F. Corp. | 51 | 3,091 | ||||||
|
| |||||||
Consumer Staples – 7.3% |
| |||||||
Philip Morris International, Inc. | 95 | 6,677 | ||||||
Procter & Gamble Co. (The) | 68 | 8,097 | ||||||
Sysco Corp. | 55 | 3,010 | ||||||
Wal-Mart Stores, Inc. | 26 | 3,066 | ||||||
|
| |||||||
20,850 | ||||||||
|
| |||||||
Financials – 6.0% |
| |||||||
Citigroup, Inc. | 145 | 7,398 | ||||||
KeyCorp | 311 | 3,785 |
24 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL EQUITY INCOME (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS (Continued) | Shares | Value | ||||||
Financials (Continued) |
| |||||||
Morgan Stanley | 121 | $ | 5,854 | |||||
|
| |||||||
17,037 | ||||||||
|
| |||||||
Health Care – 4.8% |
| |||||||
Amgen, Inc. | 32 | 7,460 | ||||||
CVS Caremark Corp. | 98 | 6,377 | ||||||
|
| |||||||
13,837 | ||||||||
|
| |||||||
Industrials – 3.4% |
| |||||||
Eaton Corp. | 55 | 4,799 | ||||||
Lockheed Martin Corp. | 13 | 4,738 | ||||||
|
| |||||||
9,537 | ||||||||
|
| |||||||
Information Technology – 5.4% |
| |||||||
Cisco Systems, Inc. | 204 | 9,491 | ||||||
QUALCOMM, Inc. | 65 | 5,966 | ||||||
|
| |||||||
15,457 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Materials – 1.5% |
| |||||||
Eastman Chemical Co. | 63 | $ | 4,416 | |||||
|
| |||||||
Utilities – 1.8% |
| |||||||
Exelon Corp. | 147 | 5,345 | ||||||
|
| |||||||
Total United States – 34.2% |
| $ | 97,815 | |||||
TOTAL COMMON STOCKS – 98.4% |
| $ | 280,517 | |||||
(Cost: $294,274) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Money Market Funds (B) – 5.1% |
| |||||||
State Street Institutional U.S. Government Money Market | 1,423 | 1,423 |
SHORT-TERM SECURITIES (Continued) | Shares | Value | ||||||
Money Market Funds (B) (Continued) |
| |||||||
Dreyfus Institutional Preferred Government Money Market | 13,018 | $ | 13,018 | |||||
|
| |||||||
14,441 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 5.1% |
| $ | 14,441 | |||||
(Cost: $14,441) | ||||||||
TOTAL INVESTMENT |
| $ | 294,958 | |||||
(Cost: $308,715) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (3.5)% |
| (9,941 | ) | |||||
NET ASSETS – 100.0% |
| $ | 285,017 |
Notes to Schedule of Investments
(A) | All or a portion of securities with an aggregate value of $6,582 are on loan. |
(B) | Rate shown is the annualized 7-day yield at June 30, 2020. |
(C) | 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, 2020. 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 | ||||||||||||
Communication Services | $ | 8,245 | $ | — | $ | — | ||||||
Consumer Discretionary | 3,091 | 9,065 | — | |||||||||
Consumer Staples | 20,850 | 12,593 | — | |||||||||
Energy | — | 13,931 | — | |||||||||
Financials | 21,215 | 43,594 | — | |||||||||
Health Care | 17,423 | 30,915 | — | |||||||||
Industrials | 9,537 | 15,164 | — | |||||||||
Information Technology | 15,457 | 18,678 | — | |||||||||
Materials | 4,416 | 10,266 | — | |||||||||
Utilities | 5,345 | 20,732 | — | |||||||||
Total Common Stocks | $ | 105,579 | $ | 174,938 | $ | — | ||||||
Short-Term Securities | 14,441 | — | — | |||||||||
Total | $ | 120,020 | $ | 174,938 | $ | — |
The following acronym is used throughout this schedule:
ADR = American Depositary Receipts
Market Sector Diversification
(as a % of net assets) | ||||
Financials | 22.7% | |||
Health Care | 17.0% | |||
Information Technology | 12.0% | |||
Consumer Staples | �� | 11.7% | ||
Utilities | 9.1% | |||
Industrials | 8.7% |
Market Sector Diversification (Continued)
Materials | 5.1% | |||
Energy | 4.9% | |||
Consumer Discretionary | 4.3% | |||
Communication Services | 2.9% | |||
Other+ | 1.6% |
+Includes liabilities (net of cash and other assets), and cash equivalents
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 25 |
Table of Contents
PORTFOLIO HIGHLIGHTS | GLOBAL GROWTH |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 100.3% | |||
Information Technology | 33.5% | |||
Consumer Discretionary | 14.5% | |||
Health Care | 14.0% | |||
Financials | 12.8% | |||
Industrials | 9.9% | |||
Communication Services | 6.5% | |||
Consumer Staples | 4.6% | |||
Energy | 4.5% | |||
Liabilities (Net of Cash and Other Assets) | -0.3% |
Country Weightings
North America | 61.8% | |||
United States | 58.2% | |||
Canada | 3.6% | |||
Europe | 22.6% | |||
France | 6.8% | |||
United Kingdom | 3.9% | |||
Germany | 3.7% | |||
Switzerland | 3.5% | |||
Other Europe | 4.7% | |||
Pacific Basin | 15.1% | |||
China | 7.9% | |||
Other Pacific Basin | 7.2% | |||
South America | 0.8% | |||
Liabilities (Net of Cash and Other Assets) | -0.3% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Microsoft Corp. | United States | Information Technology | Systems Software | |||
Amazon.com, Inc. | United States | Consumer Discretionary | Internet & Direct Marketing Retail | |||
Apple, Inc. | United States | Information Technology | Technology Hardware, Storage & Peripherals | |||
PayPal, Inc. | United States | Information Technology | Data Processing & Outsourced Services | |||
Ferrari N.V. | Italy | Consumer Discretionary | Automobile Manufacturers | |||
Johnson & Johnson | United States | Health Care | Pharmaceuticals | |||
Alimentation Couche-Tard, Inc., Class B | Canada | Consumer Staples | Food Retail | |||
Visa, Inc., Class A | United States | Information Technology | Data Processing & Outsourced Services | |||
Autodesk, Inc. | United States | Information Technology | Application Software | |||
Ping An Insurance (Group) Co. of China Ltd., H Shares | China | Financials | Life & Health Insurance |
See your advisor or www.ivyinvestments.com for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
26 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL GROWTH (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Brazil |
| |||||||
Consumer Discretionary – 0.4% |
| |||||||
Magazine Luiza S.A. | 41 | $ | 543 | |||||
|
| |||||||
Financials – 0.4% |
| |||||||
Banco do Brasil S.A. | 62 | 365 | ||||||
XP, Inc., Class A(A) | 5 | 212 | ||||||
|
| |||||||
577 | ||||||||
|
| |||||||
Total Brazil – 0.8% |
| $ | 1,120 | |||||
Canada |
| |||||||
Consumer Staples – 2.5% |
| |||||||
Alimentation Couche-Tard, Inc., Class B | 110 | 3,443 | ||||||
|
| |||||||
Energy – 1.1% |
| |||||||
Canadian Natural Resources Ltd. | 87 | 1,523 | ||||||
|
| |||||||
Total Canada–3.6% |
| $ | 4,966 | |||||
China |
| |||||||
Communication Services – 3.6% |
| |||||||
Baidu.com, Inc. ADR(A) | 22 | 2,658 | ||||||
Tencent Holdings Ltd. | 35 | 2,211 | ||||||
|
| |||||||
4,869 | ||||||||
|
| |||||||
Consumer Discretionary – 1.9% |
| |||||||
Alibaba Group Holding Ltd. ADR(A) | 12 | 2,544 | ||||||
|
| |||||||
Financials – 2.4% |
| |||||||
Ping An Insurance (Group) Co. of China Ltd., H Shares | 320 | 3,190 | ||||||
|
| |||||||
Total China – 7.9% |
| $ | 10,603 | |||||
France |
| |||||||
Communication Services – 1.6% |
| |||||||
Ubisoft Entertainment S.A.(A) | 27 | 2,251 | ||||||
|
| |||||||
Consumer Discretionary – 0.6% |
| |||||||
LVMH Moet Hennessy–Louis Vuitton | 2 | 861 | ||||||
|
| |||||||
Energy – 0.5% |
| |||||||
Total S.A. ADR | 19 | 735 | ||||||
|
| |||||||
Industrials – 4.1% |
| |||||||
Airbus SE | 38 | 2,752 | ||||||
Schneider Electric S.A. | 26 | 2,901 | ||||||
|
| |||||||
5,653 | ||||||||
|
| |||||||
Total France – 6.8% |
| $ | 9,500 | |||||
Germany |
| |||||||
Financials – 1.6% |
| |||||||
Deutsche Boerse AG | 12 | 2,158 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Information Technology – 2.1% |
| |||||||
Infineon Technologies AG | 119 | $ | 2,791 | |||||
|
| |||||||
Total Germany – 3.7% |
| $ | 4,949 | |||||
Hong Kong |
| |||||||
Consumer Discretionary – 1.0% |
| |||||||
Galaxy Entertainment Group | 190 | 1,303 | ||||||
|
| |||||||
Total Hong Kong – 1.0% |
| $ | 1,303 | |||||
India |
| |||||||
Energy – 2.1% |
| |||||||
Reliance Industries Ltd. | 128 | 2,805 | ||||||
|
| |||||||
Financials – 1.0% |
| |||||||
HDFC Bank Ltd. | 99 | 1,388 | ||||||
|
| |||||||
Total India–3.1% |
| $ | 4,193 | |||||
Italy |
| |||||||
Consumer Discretionary – 2.8% |
| |||||||
Ferrari N.V. | 23 | 3,858 | ||||||
|
| |||||||
Total Italy – 2.8% |
| $ | 3,858 | |||||
Japan |
| |||||||
Industrials – 1.6% |
| |||||||
Daikin Industries Ltd. | 7 | 1,181 | ||||||
Recruit Holdings Co. Ltd. | 28 | 966 | ||||||
|
| |||||||
2,147 | ||||||||
|
| |||||||
Total Japan – 1.6% |
| $ | 2,147 | |||||
Netherlands |
| |||||||
Health Care – 1.9% |
| |||||||
Koninklijke Philips Electronics N.V., Ordinary Shares | 54 | 2,501 | ||||||
|
| |||||||
Total Netherlands – 1.9% |
| $ | 2,501 | |||||
Switzerland |
| |||||||
Consumer Staples – 1.1% |
| |||||||
Nestle S.A., Registered Shares | 14 | 1,522 | ||||||
|
| |||||||
Health Care – 1.3% |
| |||||||
Alcon, Inc. | 32 | 1,848 | ||||||
|
| |||||||
Industrials – 1.1% |
| |||||||
Ferguson plc | 19 | 1,528 | ||||||
|
| |||||||
Total Switzerland – 3.5% |
| $ | 4,898 | |||||
Taiwan |
| |||||||
Information Technology – 1.5% |
| |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | 36 | 2,068 | ||||||
|
| |||||||
Total Taiwan–1.5% |
| $ | 2,068 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
United Kingdom |
| |||||||
Consumer Staples – 1.0% |
| |||||||
Diageo plc | 38 | $ | 1,276 | |||||
|
| |||||||
Financials – 1.0% |
| |||||||
Prudential plc | 90 | 1,361 | ||||||
|
| |||||||
Health Care – 1.9% |
| |||||||
AstraZeneca plc | 16 | 1,694 | ||||||
AstraZeneca plc ADR | 19 | 985 | ||||||
|
| |||||||
2,679 | ||||||||
|
| |||||||
Total United Kingdom – 3.9% |
| $ | 5,316 | |||||
United States |
| |||||||
Communication Services – 1.3% |
| |||||||
Facebook, Inc., Class A(A) | 8 | 1,806 | ||||||
|
| |||||||
Consumer Discretionary – 7.8% |
| |||||||
Amazon.com, Inc.(A) | 3 | 6,996 | ||||||
Darden Restaurants, Inc. | 14 | 1,045 | ||||||
Dollar General Corp. | 5 | 947 | ||||||
Home Depot, Inc. (The) | 6 | 1,610 | ||||||
|
| |||||||
10,598 | ||||||||
|
| |||||||
Energy – 0.8% |
| |||||||
ConocoPhillips | 26 | 1,091 | ||||||
|
| |||||||
Financials – 6.4% |
| |||||||
Citigroup, Inc. | 42 | 2,137 | ||||||
CME Group, Inc. | 6 | 998 | ||||||
Discover Financial Services | 33 | 1,659 | ||||||
Goldman Sachs Group, Inc. (The) | 10 | 1,889 | ||||||
Morgan Stanley | 42 | 2,033 | ||||||
|
| |||||||
8,716 | ||||||||
|
| |||||||
Health Care – 8.9% |
| |||||||
Abbott Laboratories | 29 | 2,681 | ||||||
HCA Holdings, Inc. | 13 | 1,242 | ||||||
Johnson & Johnson | 26 | 3,633 | ||||||
Thermo Fisher Scientific, Inc. | 8 | 2,802 | ||||||
UnitedHealth Group, Inc. | 6 | 1,640 | ||||||
|
| |||||||
11,998 | ||||||||
|
| |||||||
Industrials – 3.1% |
| |||||||
Eaton Corp. | 22 | 1,882 | ||||||
Northrop Grumman Corp. | 8 | 2,312 | ||||||
|
| |||||||
4,194 | ||||||||
|
| |||||||
Information Technology – 29.9% |
| |||||||
Adobe, Inc.(A) | 6 | 2,474 | ||||||
Ambarella, Inc.(A) | 36 | 1,652 | ||||||
Apple, Inc. | 13 | 4,713 | ||||||
Autodesk, Inc.(A) | 14 | 3,264 | ||||||
Cisco Systems, Inc. | 59 | 2,751 | ||||||
Fidelity National Information Services, Inc. | 19 | 2,611 | ||||||
Garter, Inc., Class A(A) | 10 | 1,259 | ||||||
Intuit, Inc. | 9 | 2,735 | ||||||
MasterCard, Inc., Class A | 9 | 2,718 | ||||||
Microsoft Corp. | 37 | 7,472 | ||||||
PayPal, Inc.(A) | 24 | 4,188 |
2020 | SEMIANNUAL REPORT | 27 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL GROWTH (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS (Continued) | Shares | Value | ||||||
Information Technology (Continued) |
| |||||||
VeriSign, Inc. (A) | 7 | $ | 1,527 | |||||
Visa, Inc., Class A | 18 | 3,396 | ||||||
|
| |||||||
40,760 | ||||||||
|
| |||||||
Total United States – 58.2% | $ | 79,163 | ||||||
TOTAL COMMON STOCKS – 100.3% |
| $ | 136,585 | |||||
(Cost: $106,712) | ||||||||
TOTAL INVESTMENT |
| $ | 136,585 | |||||
(Cost: $106,712) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.3)% |
| (470 | ) | |||||
NET ASSETS – 100.0% |
| $ | 136,115 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | ||||||||||||
Communication Services | $ | 4,464 | $ | 4,462 | $ | — | ||||||
Consumer Discretionary | 13,685 | 6,022 | — | |||||||||
Consumer Staples | 3,443 | 2,798 | — | |||||||||
Energy | 3,433 | 2,721 | — | |||||||||
Financials | 9,293 | 8,097 | — | |||||||||
Health Care | 15,484 | 3,542 | — | |||||||||
Industrials | 4,194 | 9,328 | — | |||||||||
Information Technology | 42,828 | 2,791 | — | |||||||||
Total Common Stocks | $ | 96,824 | $ | 39,761 | $ | — | ||||||
Total | $ | 96,824 | $ | 39,761 | $ | — |
The following acronym is used throughout this schedule:
ADR = American Depositary Receipts
Market Sector Diversification
(as a % of net assets) | ||||
Information Technology | 33.5% | |||
Consumer Discretionary | 14.5% | |||
Health Care | 14.0% | |||
Financials | 12.8% |
Market Sector Diversification (Continued)
Industrials | 9.9% | |||
Communication Services | 6.5% | |||
Consumer Staples | 4.6% | |||
Energy | 4.5% | |||
Other+ | -0.3% |
+ Includes liabilities (net of cash and other assets), and cash equivalents
See Accompanying Notes to Financial Statements.
28 | SEMIANNUAL REPORT | 2020 |
Table of Contents
PORTFOLIO HIGHLIGHTS | LIMITED-TERM BOND |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Bonds | 93.1% | |||
United States Government and Government Agency Obligations | 51.7% | |||
Corporate Debt Securities | 38.7% | |||
Mortgage-Backed Securities | 1.7% | |||
Asset-Backed Securities | 1.0% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 6.9% |
Quality Weightings
Investment Grade | 87.6% | |||
AAA | 31.8% | |||
AA | 10.5% | |||
A | 12.6% | |||
BBB | 32.7% | |||
Non-Investment Grade | 5.5% | |||
BB | 2.1% | |||
B | 0.3% | |||
Non-rated | 3.1% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 6.9% |
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.
2020 | SEMIANNUAL REPORT | 29 |
Table of Contents
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2020 (UNAUDITED)
ASSET-BACKED SECURITIES | Principal | Value | ||||||
American Airlines Class AA Pass-Through Certificates, Series 2016-2, | ||||||||
3.200%, 6-15-28 | $ | 832 | $ | 784 | ||||
SBA Tower Trust, Series 2014-2 (GTD by SBA Guarantor LLC and SBA Holdings LLC), | ||||||||
3.869%, 10-8-24 (A) | 2,000 | 2,112 | ||||||
SBA Tower Trust, Series 2017-1C (GTD by SBA Guarantor LLC and SBA Holdings LLC), | ||||||||
3.168%, 4-11-22 (A) | 1,250 | 1,263 | ||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES – 1.0% |
| $ | 4,159 | |||||
(Cost: $4,175) | ||||||||
CORPORATE DEBT SECURITIES | ||||||||
Communication Services |
| |||||||
Integrated Telecommunication Services – 1.1% |
| |||||||
AT&T, Inc., | ||||||||
3.800%, 3-15-22 | 2,850 | 3,001 | ||||||
Verizon Communications, Inc., | ||||||||
5.150%, 9-15-23 | 1,290 | 1,468 | ||||||
|
| |||||||
4,469 | ||||||||
|
| |||||||
Wireless Telecommunication Service – 1.5% |
| |||||||
Crown Castle Towers LLC: | ||||||||
3.222%, 5-15-22 (A) | 4,300 | 4,372 | ||||||
3.663%, 5-15-25 (A) | 950 | 1,013 | ||||||
Sprint Spectrum L.P., | ||||||||
3.360%, 9-20-21 (A) | 694 | 703 | ||||||
|
| |||||||
6,088 | ||||||||
|
| |||||||
Total Communication Services – 2.6% |
| 10,557 | ||||||
Consumer Discretionary |
| |||||||
Apparel, Accessories & Luxury Goods – 0.6% |
| |||||||
Ralph Lauren Corp., | ||||||||
1.700%, 6-15-22 | 1,292 | 1,314 | ||||||
VF Corp., | ||||||||
2.050%, 4-23-22 | 1,225 | 1,258 | ||||||
|
| |||||||
2,572 | ||||||||
|
| |||||||
Automobile Manufacturers – 0.4% |
| |||||||
Volkswagen Group of America, Inc., | ||||||||
2.500%, 9-24-21 (A) | 1,600 | 1,625 | ||||||
|
| |||||||
General Merchandise Stores – 1.6% |
| |||||||
Dollar General Corp., | ||||||||
3.250%, 4-15-23 | 3,440 | 3,673 | ||||||
Family Dollar Stores, Inc., | ||||||||
5.000%, 2-1-21 | 2,500 | 2,542 | ||||||
|
| |||||||
6,215 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.4% |
| |||||||
Amazon.com, Inc., | ||||||||
0.400%, 6-3-23 | 1,750 | 1,749 | ||||||
|
| |||||||
Total Consumer Discretionary – 3.0% |
| 12,161 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Staples |
| |||||||
Distillers & Vintners – 1.1% |
| |||||||
Constellation Brands, Inc.: | ||||||||
3.200%, 2-15-23 | $ | 1,500 | $ | 1,592 | ||||
4.250%, 5-1-23 | 1,188 | 1,305 | ||||||
Diageo Capital plc (GTD by Diageo plc), | ||||||||
3.500%, 9-18-23 | 1,300 | 1,411 | ||||||
|
| |||||||
4,308 | ||||||||
|
| |||||||
Drug Retail – 0.7% |
| |||||||
CVS Health Corp.: | ||||||||
3.500%, 7-20-22 | 1,425 | 1,501 | ||||||
2.750%, 12-1-22 | 1,405 | 1,466 | ||||||
|
| |||||||
2,967 | ||||||||
|
| |||||||
Soft Drinks – 0.9% |
| |||||||
Coca-Cola Refreshments USA, Inc., | ||||||||
8.000%, 9-15-22 | 2,125 | 2,452 | ||||||
Keurig Dr Pepper, Inc., | ||||||||
4.057%, 5-25-23 | 1,200 | 1,309 | ||||||
|
| |||||||
3,761 | ||||||||
|
| |||||||
Total Consumer Staples – 2.7% |
| 11,036 | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 0.2% |
| |||||||
Enterprise Products Operating LLC (GTD by Enterprise Products Partners L.P.), | ||||||||
2.800%, 2-15-21 | 800 | 811 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.4% |
| |||||||
Aker BP ASA, | ||||||||
6.000%, 7-1-22 (A) | 1,000 | 1,018 | ||||||
EQT Corp., | ||||||||
3.000%, 10-1-22 (B) | 850 | 790 | ||||||
|
| |||||||
1,808 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 3.0% |
| |||||||
Enbridge, Inc., | ||||||||
2.900%, 7-15-22 | 2,470 | 2,563 | ||||||
EQT Midstream Partners L.P., | ||||||||
4.750%, 7-15-23 | 1,500 | 1,513 | ||||||
Kinder Morgan Energy Partners L.P.: | ||||||||
3.500%, 3-1-21 | 1,000 | 1,013 | ||||||
3.450%, 2-15-23 | 1,646 | 1,725 | ||||||
Midwest Connector Capital Co. LLC, | ||||||||
3.625%, 4-1-22 (A) | 1,000 | 1,024 | ||||||
Plains All American Pipeline L.P. and PAA Finance Corp., | ||||||||
3.850%, 10-15-23 | 1,800 | 1,870 | ||||||
Sunoco Logistics Partners Operations L.P. (GTD by Sunoco Logistics Partners L.P.), | ||||||||
4.400%, 4-1-21 | 800 | 816 | ||||||
Western Gas Partners L.P., | ||||||||
5.375%, 6-1-21 | 1,425 | 1,421 | ||||||
|
| |||||||
11,945 | ||||||||
|
| |||||||
Total Energy – 3.6% |
| 14,564 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.5% |
| |||||||
Ares Capital Corp.: | ||||||||
3.625%, 1-19-22 | $ | 404 | $ | 411 | ||||
3.500%, 2-10-23 | 1,110 | 1,117 | ||||||
National Securities Clearing Corp., | ||||||||
1.200%, 4-23-23 (A) | 350 | 355 | ||||||
|
| |||||||
1,883 | ||||||||
|
| |||||||
Consumer Finance – 2.0% |
| |||||||
Ally Financial, Inc., | ||||||||
4.250%, 4-15-21 | 3,889 | 3,959 | ||||||
Discover Bank, | ||||||||
3.350%, 2-6-23 | 1,830 | 1,930 | ||||||
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.): | ||||||||
3.200%, 7-6-21 | 1,000 | 1,012 | ||||||
5.200%, 3-20-23 | 1,000 | 1,070 | ||||||
|
| |||||||
7,971 | ||||||||
|
| |||||||
Diversified Banks – 4.5% |
| |||||||
Bank of America Corp., | ||||||||
4.100%, 7-24-23 | 2,983 | 3,276 | ||||||
Citizens Bank N.A., | ||||||||
3.250%, 2-14-22 | 1,200 | 1,243 | ||||||
KeyCorp, | ||||||||
2.900%, 9-15-20 | 250 | 251 | ||||||
Mitsubishi UFJ Financial Group, Inc., | ||||||||
2.998%, 2-22-22 | 1,500 | 1,554 | ||||||
Mizuho Financial Group, Inc., | ||||||||
2.953%, 2-28-22 | 2,100 | 2,178 | ||||||
National Bank of Canada, | ||||||||
2.100%, 2-1-23 | 1,400 | 1,440 | ||||||
Sumitomo Mitsui Financial Group, Inc., | ||||||||
2.784%, 7-12-22 | 1,710 | 1,781 | ||||||
Svenska Handelsbanken AB, | ||||||||
0.625%, 6-30-23 (A) | 1,500 | 1,498 | ||||||
Synchrony Bank, | ||||||||
3.000%, 6-15-22 | 1,500 | 1,532 | ||||||
U.S. Bancorp, | ||||||||
5.125%, 1-15-68 | 3,380 | 3,279 | ||||||
|
| |||||||
18,032 | ||||||||
|
| |||||||
Financial Exchanges & Data – 0.7% |
| |||||||
Intercontinental Exchange, Inc., | ||||||||
3.450%, 9-21-23 | 1,500 | 1,627 | ||||||
Moody’s Corp., | ||||||||
2.625%, 1-15-23 | 1,250 | 1,309 | ||||||
|
| |||||||
2,936 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 2.5% |
| |||||||
E*TRADE Financial Corp., | ||||||||
2.950%, 8-24-22 | 1,580 | 1,646 | ||||||
Goldman Sachs Group, Inc. (The): | ||||||||
5.750%, 1-24-22 | 2,500 | 2,697 | ||||||
3.000%, 4-26-22 | 1,500 | 1,529 | ||||||
Morgan Stanley, | ||||||||
4.875%, 11-1-22 | 3,734 | 4,060 |
30 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2020 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Investment Banking & Brokerage (Continued) |
| |||||||
Morgan Stanley (3-Month U.S. LIBOR plus 110 bps), | ||||||||
4.000%, 5-31-23 (C) | $ | 300 | $ | 308 | ||||
|
| |||||||
10,240 | ||||||||
|
| |||||||
Life & Health Insurance – 1.0% |
| |||||||
MassMutual Global Funding II, | ||||||||
2.250%, 7-1-22 (A) | 1,250 | 1,288 | ||||||
Metropolitan Life Global Funding I, | ||||||||
0.900%, 6-8-23 (A) | 1,250 | 1,257 | ||||||
Reliance Standard Life Insurance II, | ||||||||
2.150%, 1-21-23 (A) | 1,400 | 1,428 | ||||||
|
| |||||||
3,973 | ||||||||
|
| |||||||
Multi-Line Insurance – 0.4% |
| |||||||
Athene Global Funding, | ||||||||
2.800%, 5-26-23 (A) | 1,500 | 1,530 | ||||||
|
| |||||||
Other Diversified Financial Services – 1.5% |
| |||||||
Citigroup, Inc.: | ||||||||
2.750%, 4-25-22 | 2,000 | 2,073 | ||||||
3.500%, 5-15-23 | 1,345 | 1,436 | ||||||
JPMorgan Chase & Co.: | ||||||||
4.350%, 8-15-21 | 1,084 | 1,132 | ||||||
2.972%, 1-15-23 | 1,500 | 1,553 | ||||||
|
| |||||||
6,194 | ||||||||
|
| |||||||
Regional Banks – 0.5% |
| |||||||
First Horizon National Corp., | ||||||||
3.550%, 5-26-23 | 2,000 | 2,064 | ||||||
|
| |||||||
Specialized Finance – 0.4% |
| |||||||
AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust, | ||||||||
4.500%, 9-15-23 | 1,000 | 1,000 | ||||||
Corporacion Andina de Fomento, | ||||||||
2.375%, 5-12-23 | 500 | 513 | ||||||
|
| |||||||
1,513 | ||||||||
|
| |||||||
Total Financials – 14.0% |
| 56,336 | ||||||
Health Care |
| |||||||
Health Care Equipment – 0.3% |
| |||||||
Becton Dickinson & Co., | ||||||||
2.894%, 6-6-22 | 1,000 | 1,035 | ||||||
|
| |||||||
Pharmaceuticals – 1.4% |
| |||||||
AbbVie, Inc., | ||||||||
2.300%, 11-21-22 (A) | 1,400 | 1,447 | ||||||
Elanco Animal Health, Inc., | ||||||||
5.022%, 8-28-23 (D) | 1,700 | 1,785 | ||||||
Zoetis, Inc., | ||||||||
3.250%, 2-1-23 | 2,415 | 2,549 | ||||||
|
| |||||||
5,781 | ||||||||
|
| |||||||
Total Health Care – 1.7% |
| 6,816 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Industrials |
| |||||||
Aerospace & Defense – 1.2% |
| |||||||
BAE Systems plc, | ||||||||
4.750%, 10-11-21 (A) | $ | 1,170 | $ | 1,222 | ||||
Boeing Co. (The), | ||||||||
2.800%, 3-1-23 | 2,250 | 2,292 | ||||||
Spirit AeroSystems, Inc. (GTD by Spirit AeroSystems Holdings, Inc.), | ||||||||
3.950%, 6-15-23 | 1,400 | 1,183 | ||||||
|
| |||||||
4,697 | ||||||||
|
| |||||||
Agricultural & Farm Machinery – 0.7% |
| |||||||
CNH Industrial Capital LLC (GTD by CNH Industrial Capital America LLC and New Holland Credit Co. LLC), | ||||||||
1.950%, 7-2-23 | 1,000 | 1,007 | ||||||
John Deere Capital Corp.: | ||||||||
0.550%, 7-5-22 | 750 | 752 | ||||||
0.700%, 7-5-23 | 1,250 | 1,254 | ||||||
|
| |||||||
3,013 | ||||||||
|
| |||||||
Airlines – 0.8% |
| |||||||
Delta Air Lines, Inc., | ||||||||
3.400%, 4-19-21 | 1,800 | 1,750 | ||||||
Southwest Airlines Co., | ||||||||
4.750%, 5-4-23 | 1,250 | 1,291 | ||||||
|
| |||||||
3,041 | ||||||||
|
| |||||||
Building Products – 0.2% |
| |||||||
Masco Corp., | ||||||||
3.500%, 4-1-21 | 800 | 811 | ||||||
|
| |||||||
Environmental & Facilities Services – 1.4% |
| |||||||
Waste Management, Inc. (GTD by Waste Management Holdings, Inc.): | ||||||||
2.400%, 5-15-23 | 3,843 | 4,008 | ||||||
2.950%, 6-15-24 (B) | 1,800 | 1,843 | ||||||
|
| |||||||
5,851 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.2% |
| |||||||
General Electric Capital Corp., | ||||||||
5.012%, 1-1-24 | 695 | 725 | ||||||
|
| |||||||
Total Industrials – 4.5% |
| 18,138 | ||||||
Information Technology |
| |||||||
Application Software – 0.1% |
| |||||||
Infor, Inc., | ||||||||
1.450%, 7-15-23 (A) | 500 | 504 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 0.8% |
| |||||||
Fiserv, Inc., | ||||||||
3.500%, 10-1-22 | 1,000 | 1,057 | ||||||
PayPal Holdings, Inc., | ||||||||
1.350%, 6-1-23 | 2,250 | 2,297 | ||||||
|
| |||||||
3,354 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
IT Consulting & Other Services – 0.2% |
| |||||||
Leidos, Inc. (GTD by Leidos Holdings, Inc.), | ||||||||
2.950%, 5-15-23 (A) | $ | 775 | $ | 807 | ||||
|
| |||||||
Semiconductors – 0.7% |
| |||||||
Broadcom, Inc., | ||||||||
3.125%, 10-15-22 (A) | 810 | 844 | ||||||
Microchip Technology, Inc., | ||||||||
3.922%, 6-1-21 | 2,000 | 2,039 | ||||||
|
| |||||||
2,883 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.3% |
| |||||||
NetApp, Inc., | ||||||||
3.375%, 6-15-21 | 1,000 | 1,022 | ||||||
|
| |||||||
Total Information Technology – 2.1% |
| 8,570 | ||||||
Materials |
| |||||||
Diversified Chemicals – 0.3% |
| |||||||
DuPont De Nemours, Inc., | ||||||||
2.169%, 5-1-23 | 1,225 | 1,248 | ||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.1% |
| |||||||
Nutrien Ltd., | ||||||||
1.900%, 5-13-23 | 500 | 516 | ||||||
|
| |||||||
Total Materials – 0.4% |
| 1,764 | ||||||
Real Estate |
| |||||||
Specialized REITs – 1.6% |
| |||||||
American Tower Corp.: | ||||||||
3.300%, 2-15-21 | 1,000 | 1,017 | ||||||
2.250%, 1-15-22 | 590 | 605 | ||||||
3.070%, 3-15-23 (A) | 3,335 | 3,412 | ||||||
Crown Castle International Corp.: | ||||||||
4.875%, 4-15-22 | 1,000 | 1,068 | ||||||
3.150%, 7-15-23 | 400 | 427 | ||||||
|
| |||||||
6,529 | ||||||||
|
| |||||||
Total Real Estate – 1.6% |
| 6,529 | ||||||
Utilities |
| |||||||
Electric Utilities – 2.2% |
| |||||||
CenterPoint Energy, Inc., | ||||||||
2.500%, 9-1-22 | 3,000 | 3,105 | ||||||
Entergy Texas, Inc., | ||||||||
2.550%, 6-1-21 | 1,275 | 1,295 | ||||||
Evergy, Inc., | ||||||||
5.292%, 6-15-22 (D) | 1,154 | 1,232 | ||||||
MidAmerican Energy Co., | ||||||||
3.700%, 9-15-23 | 1,045 | 1,132 | ||||||
Virginia Electric and Power Co., Series C, | ||||||||
2.750%, 3-15-23 | 2,000 | 2,103 | ||||||
|
| |||||||
8,867 | ||||||||
|
|
2020 | SEMIANNUAL REPORT | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2020 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Multi-Utilities – 0.3% |
| |||||||
Dominion Energy Gas Holdings LLC, | ||||||||
3.550%, 11-1-23 | $ | 1,235 | $ | 1,327 | ||||
|
| |||||||
Total Utilities – 2.5% |
| 10,194 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 38.7% |
| $ | 156,665 | |||||
(Cost: $153,103) | ||||||||
MORTGAGE-BACKED SECURITIES | ||||||||
Non-Agency REMIC/CMO – 1.7% |
| |||||||
COLT Funding LLC, Series 2018-4, Class M1 (Mortgage spread to 3-year U.S. Treasury index), | ||||||||
4.716%, 12-28-48 (A)(C) | 1,400 | 1,402 | ||||||
Credit Suisse Mortgage Trust, Series 2018-RPL8, Class A1 (Mortgage spread to 3-year U.S. Treasury index), | ||||||||
4.125%, 7-25-58 (A)(C) | 996 | 1,020 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-FRR1, Class A-K10, | ||||||||
4.286%, 11-27-49 (A) | 3,700 | 3,636 | ||||||
Verus Securitization Trust, Series 2018-3, Class B1 (Mortgage spread to 5-year U.S. Treasury index), | ||||||||
5.694%, 10-25-58 (A)(C) | 700 | 649 | ||||||
|
| |||||||
6,707 | ||||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES – 1.7% |
| $ | 6,707 | |||||
(Cost: $6,782) | ||||||||
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | ||||||||
Agency Obligations – 1.1% |
| |||||||
Federal Home Loan Bank, | ||||||||
2.250%, 7-21-31 | 1,640 | 1,659 | ||||||
U.S. Department of Transportation, | ||||||||
6.001%, 12-7-21 (A) | 2,500 | 2,695 | ||||||
|
| |||||||
4,354 | ||||||||
|
| |||||||
Mortgage-Backed Obligations – 12.4% |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO, | ||||||||
2.500%, 5-15-44 | 463 | 483 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 185 bps), | ||||||||
2.033%, 8-25-25 (A)(C) | 1,727 | 1,621 |
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS (Continued) | Principal | Value | ||||||
Mortgage-Backed Obligations (Continued) |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 250 bps), | ||||||||
2.683%, 11-25-24 (A)(C) | $ | 467 | $ | 451 | ||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 255 bps), | ||||||||
2.733%, 6-25-27 (A)(C) | 473 | 447 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 435 bps), | ||||||||
4.533%, 11-25-21 (A)(C) | 2,923 | 2,918 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (3-Year U.S. Treasury index plus 315 bps), | ||||||||
4.735%, 11-25-49 (A)(C) | 2,120 | 2,129 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 1-Month U.S. LIBOR): | ||||||||
3.433%, 6-25-21 (A)(C) | 189 | 187 | ||||||
4.183%, 9-25-22 (A)(C) | 359 | 356 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 2-year U.S. Treasury index), | ||||||||
3.754%, 11-25-47 (A)(C) | 1,500 | 1,509 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 3-year U.S. Treasury index): | ||||||||
3.510%, 7-25-22 (A)(C) | 1,720 | 1,775 | ||||||
4.121%, 2-25-46 (A)(C) | 70 | 71 | ||||||
3.744%, 7-25-46 (A)(C) | 2,000 | 2,053 | ||||||
3.681%, 11-25-47 (A)(C) | 5,000 | 5,048 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index): | ||||||||
3.598%, 11-25-23 (A)(C) | 600 | 610 | ||||||
3.705%, 11-25-23 (A)(C) | 10,870 | 11,161 | ||||||
4.003%, 5-25-45 (A)(C) | 600 | 623 | ||||||
3.667%, 6-25-45 (A)(C) | 1,000 | 1,032 | ||||||
3.681%, 11-25-47 (A)(C) | 2,724 | 2,808 | ||||||
3.663%, 2-25-48 (A)(C) | 1,000 | 1,024 | ||||||
3.710%, 6-25-48 (A)(C) | 1,170 | 1,245 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 7-year U.S. Treasury index): | ||||||||
3.701%, 6-25-22 (A)(C) | 2,000 | 2,069 | ||||||
4.194%, 5-25-25 (A)(C) | 225 | 244 | ||||||
3.800%, 11-25-49 (A)(C) | 1,900 | 2,002 | ||||||
3.763%, 11-25-50 (A)(C) | 5,650 | 5,942 | ||||||
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates, | ||||||||
4.500%, 8-1-30 | 449 | 487 | ||||||
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | ||||||||
3.680%, 2-1-21 | 200 | 201 | ||||||
4.381%, 6-1-21 | 736 | 759 |
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS (Continued) | Principal | Value | ||||||
Mortgage-Backed Obligations (Continued) |
| |||||||
Government National Mortgage Association Agency REMIC/CMO, | ||||||||
2.000%, 3-16-42 | $ | 597 | $ | 616 | ||||
|
| |||||||
49,871 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 13.5% |
| $ | 54,225 | |||||
(Cost: $53,290) | ||||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
Treasury Obligations – 38.2% |
| |||||||
U.S. Treasury Notes: | ||||||||
2.500%, 2-28-21 | 500 | 508 | ||||||
2.625%, 5-15-21 | 11,800 | 12,052 | ||||||
1.500%, 8-31-21 | 5,675 | 5,762 | ||||||
2.750%, 9-15-21 | 1,000 | 1,031 | ||||||
1.500%, 9-30-21 | 9,000 | 9,149 | ||||||
2.875%, 10-15-21 | 18,400 | 19,040 | ||||||
1.500%, 11-30-21 | 24,850 | 25,317 | ||||||
2.125%, 12-31-21 | 16,000 | 16,467 | ||||||
1.500%, 1-31-22 | 14,750 | 15,058 | ||||||
1.875%, 2-28-22 | 19,000 | 19,536 | ||||||
1.750%, 4-30-22 | 13,000 | 13,377 | ||||||
1.750%, 5-31-22 | 2,250 | 2,318 | ||||||
2.000%, 7-31-22 | 10,000 | 10,382 | ||||||
1.375%, 10-15-22 | 1,000 | 1,027 | ||||||
2.375%, 1-31-23 | 2,250 | 2,377 | ||||||
2.500%, 3-31-23 | 1,000 | 1,064 | ||||||
|
| |||||||
154,465 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 38.2% |
| $ | 154,465 | |||||
(Cost: $150,019) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Commercial Paper (E) – 6.6% |
| |||||||
American Honda Finance Corp. (GTD by Honda Motor Co.), | ||||||||
0.240%, 7-21-20 | 3,000 | 3,000 | ||||||
AT&T, Inc., | ||||||||
0.180%, 10-2-20 | 1,000 | 999 | ||||||
Campbell Soup Co., | ||||||||
0.380%, 8-11-20 | 1,000 | 1,000 | ||||||
General Motors Financial Co., Inc.: | ||||||||
0.670%, 7-1-20 | 7,100 | 7,100 | ||||||
0.900%, 7-7-20 | 5,000 | 4,999 | ||||||
Mondelez International, Inc.: | ||||||||
0.190%, 7-1-20 | 4,497 | 4,497 | ||||||
0.230%, 7-6-20 | 5,000 | 5,000 | ||||||
|
| |||||||
26,595 | ||||||||
|
| |||||||
Master Note – 0.2% |
| |||||||
Toyota Motor Credit Corp. (1-Week U.S. LIBOR plus 25 bps), | ||||||||
0.360%, 7-7-20 (F) | 641 | 641 | ||||||
|
|
32 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2020 (UNAUDITED)
SHORT-TERM SECURITIES (Continued) | Shares | Value | ||||||
Money Market Funds (H) – 0.3% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | ||||||||
0.100% (G) | 419 | $ | 419 | |||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, | ||||||||
0.120% | 977 | 977 | ||||||
|
| |||||||
1,396 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 7.1% |
| $ | 28,632 | |||||
(Cost: $28,627) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.2% |
| $ | 404,853 | |||||
(Cost: $395,996) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.2)% |
| (868 | ) | |||||
NET ASSETS – 100.0% |
| $ | 403,985 |
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, 2020 the total value of these securities amounted to $85,449 or 21.2% of net assets. |
(B) | All or a portion of securities with an aggregate value of $418 are on loan. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2020. Description of the reference rate and spread, if applicable, are included in the security description. |
(D) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at June 30, 2020. |
(E) | Rate shown is the yield to maturity at June 30, 2020. |
(F) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2020. 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) | Investment made with cash collateral received from securities on loan. |
(H) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | $ | — | $ | 4,159 | $ | — | ||||||
Corporate Debt Securities | — | 156,665 | — | |||||||||
Mortgage-Backed Securities | — | 6,707 | — | |||||||||
United States Government Agency Obligations | — | 54,225 | — | |||||||||
United States Government Obligations | — | 154,465 | — | |||||||||
Short-Term Securities | 1,396 | 27,236 | — | |||||||||
Total | $ | 1,396 | $ | 403,457 | $ | — |
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
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 33 |
Table of Contents
PORTFOLIO HIGHLIGHTS | SECURIAN REAL ESTATE SECURITIES |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 96.8% | |||
Real Estate | 96.4% | |||
Consumer Discretionary | 0.4% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.2% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
ProLogis, Inc. | Real Estate | Industrial REITs | ||
Equinix, Inc. | Real Estate | Specialized REITs | ||
Duke Realty Corp. | Real Estate | Industrial REITs | ||
Alexandria Real Estate Equities, Inc. | Real Estate | Office REITs | ||
Digital Realty Trust, Inc. | Real Estate | Specialized REITs | ||
Public Storage, Inc. | Real Estate | Specialized REITs | ||
Healthpeak Properties, Inc. | Real Estate | Health Care REITs | ||
Invitation Homes, Inc. | Real Estate | Residential REITs | ||
Welltower, Inc. | Real Estate | Health Care REITs | ||
AvalonBay Communities, Inc. | Real Estate | Residential REITs |
See your advisor or www.ivyinvestments.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.
34 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | SECURIAN REAL ESTATE SECURITIES (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Hotels, Resorts & Cruise Lines – 0.4% |
| |||||||
Marriott International, Inc., Class A | 1 | $ | 120 | |||||
|
| |||||||
Total Consumer Discretionary – 0.4% |
| 120 | ||||||
Real Estate |
| |||||||
Diversified REITs – 2.9% |
| |||||||
STORE Capital Corp. | 16 | 372 | ||||||
VEREIT, Inc. | 72 | 464 | ||||||
|
| |||||||
836 | ||||||||
|
| |||||||
Health Care REITs – 9.6% |
| |||||||
Healthcare Trust of America, Inc., Class A | 16 | 419 | ||||||
Healthpeak Properties, Inc. | 32 | 876 | ||||||
Omega Healthcare Investors, Inc. | 10 | 306 | ||||||
Physicians Realty Trust | 9 | 151 | ||||||
Ventas, Inc. | 6 | 209 | ||||||
Welltower, Inc. | 16 | 823 | ||||||
|
| |||||||
2,784 | ||||||||
|
| |||||||
Hotel & Resort REITs – 2.1% |
| |||||||
Host Hotels & Resorts, Inc. | 28 | 303 | ||||||
Park Hotels & Resorts, Inc. | 17 | 171 | ||||||
RLJ Lodging Trust | 14 | 132 | ||||||
|
| |||||||
606 | ||||||||
|
| |||||||
Industrial REITs – 15.2% |
| |||||||
Duke Realty Corp. | 34 | 1,200 | ||||||
First Industrial Realty Trust, Inc. | 15 | 584 | ||||||
ProLogis, Inc. | 28 | 2,643 | ||||||
|
| |||||||
4,427 | ||||||||
|
| |||||||
Office REITs – 9.7% |
| |||||||
Alexandria Real Estate Equities, Inc. | 7 | 1,111 | ||||||
Boston Properties, Inc. | 7 | 651 | ||||||
Cousins Properties, Inc. (A) | 17 | 500 | ||||||
Highwoods Properties, Inc. | 8 | 284 | ||||||
Kilroy Realty Corp. | 4 | 258 | ||||||
|
| |||||||
2,804 | ||||||||
|
| |||||||
Residential REITs – 20.8% |
| |||||||
American Homes 4 Rent (A) | 30 | 807 | ||||||
Apartment Investment and Management Co., Class A | 3 | 128 | ||||||
AvalonBay Communities, Inc. | 5 | 814 | ||||||
Camden Property Trust | 8 | 693 | ||||||
Equity Lifestyle Properties, Inc. | 6 | 350 | ||||||
Equity Residential | 6 | 348 | ||||||
Essex Property Trust, Inc. | 2 | 539 | ||||||
Invitation Homes, Inc. | 30 | 826 | ||||||
Mid-America Apartment Communities, Inc. | 3 | 390 | ||||||
Sun Communities, Inc. | 5 | 611 | ||||||
UDR, Inc. | 14 | 534 | ||||||
|
| |||||||
6,040 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Retail REITs – 8.5% |
| |||||||
Agree Realty Corp. | 6 | $ | 374 | |||||
Brixmor Property Group, Inc. | 26 | 335 | ||||||
Realty Income Corp. | 11 | 672 | ||||||
Regency Centers Corp. | 5 | 233 | ||||||
Simon Property Group, Inc. | 6 | 420 | ||||||
Taubman Centers, Inc. | 6 | 215 | ||||||
Weingarten Realty Investors | 12 | 218 | ||||||
|
| |||||||
2,467 | ||||||||
|
| |||||||
Specialized REITs – 27.6% |
| |||||||
American Tower Corp., Class A | 1 | 284 | ||||||
Crown Castle International Corp. | 1 | 134 | ||||||
CubeSmart | 7 | 194 | ||||||
CyrusOne, Inc. | 10 | 757 | ||||||
Digital Realty Trust, Inc. | 8 | 1,080 | ||||||
Equinix, Inc. | 4 | 2,524 | ||||||
Extra Space Storage, Inc. | 4 | 406 | ||||||
Four Corners Property Trust, Inc. | 5 | 125 | ||||||
Gaming and Leisure Properties, Inc. | 9 | 321 | ||||||
Public Storage, Inc. | 5 | 1,017 | ||||||
QTS Realty Trust, Inc., Class A | 8 | 519 | ||||||
VICI Properties, Inc. | 33 | 661 | ||||||
|
| |||||||
8,022 | ||||||||
|
| |||||||
Total Real Estate – 96.4% |
| 27,986 | ||||||
TOTAL COMMON STOCKS – 96.8% |
| $ | 28,106 | |||||
(Cost: $29,652) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Money Market Funds (B) – 2.8% |
| |||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, | 802 | 802 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.8% |
| $ | 802 | |||||
(Cost: $802) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.6% |
| $ | 28,908 | |||||
(Cost: $30,454) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.4% |
| 117 | ||||||
NET ASSETS – 100.0% |
| $ | 29,025 |
2020 | SEMIANNUAL REPORT | 35 |
Table of Contents
SCHEDULE OF INVESTMENTS | SECURIAN REAL ESTATE SECURITIES (in thousands) |
JUNE 30, 2020 (UNAUDITED)
Notes to Schedule of Investments
(A) | Listed on an exchange outside the United States. |
(B) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | $ | 28,106 | $ | — | $ | — | ||||||
Short-Term Securities | 802 | — | — | |||||||||
Total | $ | 28,908 | $ | — | $ | — |
The following acronym is used throughout this schedule:
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
36 | SEMIANNUAL REPORT | 2020 |
Table of Contents
PORTFOLIO HIGHLIGHTS | VALUE |
ALL DATA AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 98.4% | |||
Financials | 23.9% | |||
Health Care | 14.2% | |||
Information Technology | 11.6% | |||
Industrials | 8.8% | |||
Consumer Discretionary | 8.6% | |||
Consumer Staples | 7.1% | |||
Utilities | 6.8% | |||
Communication Services | 5.6% | |||
Energy | 5.5% | |||
Materials | 4.2% | |||
Real Estate | 2.1% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 1.6% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Wal-Mart Stores, Inc. | Consumer Staples | Hypermarkets & Super Centers | ||
Citigroup, Inc. | Financials | Other Diversified Financial Services | ||
CVS Caremark Corp. | Health Care | Health Care Services | ||
Comcast Corp., Class A | Communication Services | Cable & Satellite | ||
Philip Morris International, Inc. | Consumer Staples | Tobacco | ||
Fidelity National Information Services, Inc. | Information Technology | Data Processing & Outsourced Services | ||
Lam Research Corp. | Information Technology | Semiconductor Equipment | ||
Eaton Corp. | Industrials | Electrical Components & Equipment | ||
McKesson Corp. | Health Care | Health Care Distributors | ||
AutoZone, Inc. | Consumer Discretionary | Automotive Retail |
See your advisor or www.ivyinvestments.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.
2020 | SEMIANNUAL REPORT | 37 |
Table of Contents
SCHEDULE OF INVESTMENTS | VALUE (in thousands) |
JUNE 30, 2020 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Communication Services |
| |||||||
Advertising – 2.2% |
| |||||||
Omnicom Group, Inc. | 156 | $ | 8,507 | |||||
|
| |||||||
Cable & Satellite – 3.4% |
| |||||||
Comcast Corp., Class A | 347 | 13,542 | ||||||
|
| |||||||
Total Communication Services – 5.6% |
| 22,049 | ||||||
Consumer Discretionary |
| |||||||
Automotive Retail – 2.9% |
| |||||||
AutoZone, Inc. (A)(B) | 10 | 11,327 | ||||||
|
| |||||||
Casinos & Gaming – 0.6% |
| |||||||
Las Vegas Sands, Inc. | 50 | 2,260 | ||||||
|
| |||||||
General Merchandise Stores – 2.4% |
| |||||||
Target Corp. | 81 | 9,689 | ||||||
|
| |||||||
Home Improvement Retail – 2.7% |
| |||||||
Lowe’s Co., Inc. | 78 | 10,605 | ||||||
|
| |||||||
Total Consumer Discretionary – 8.6% |
| 33,881 | ||||||
Consumer Staples |
| |||||||
Hypermarkets & Super Centers – 3.7% |
| |||||||
Wal-Mart Stores, Inc. | 123 | 14,792 | ||||||
|
| |||||||
Tobacco – 3.4% |
| |||||||
Philip Morris International, Inc. | 192 | 13,423 | ||||||
|
| |||||||
Total Consumer Staples – 7.1% |
| 28,215 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 0.7% |
| |||||||
Total S.A. ADR | 70 | 2,707 | ||||||
|
| |||||||
Oil & Gas Refining & Marketing – 4.8% |
| |||||||
Phillips 66 | 130 | 9,377 | ||||||
Valero Energy Corp. | 165 | 9,708 | ||||||
|
| |||||||
19,085 | ||||||||
|
| |||||||
Total Energy – 5.5% |
| 21,792 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 2.2% |
| |||||||
Ameriprise Financial, Inc. | 57 | 8,595 | ||||||
|
| |||||||
Consumer Finance – 4.3% |
| |||||||
Capital One Financial Corp. | 147 | 9,174 | ||||||
Synchrony Financial | 351 | 7,771 | ||||||
|
| |||||||
16,945 | ||||||||
|
| |||||||
Diversified Banks – 5.3% |
| |||||||
Bank of America Corp. | 423 | 10,047 | ||||||
Bank of New York Mellon Corp. (The) | 283 | 10,929 | ||||||
|
| |||||||
20,976 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Investment Banking & Brokerage – 1.6% |
| |||||||
Morgan Stanley | 127 | $ | 6,132 | |||||
|
| |||||||
Mortgage REITs – 2.3% |
| |||||||
AGNC Investment Corp. | 718 | 9,261 | ||||||
|
| |||||||
Other Diversified Financial Services – 3.7% |
| |||||||
Citigroup, Inc. | 285 | 14,568 | ||||||
|
| |||||||
Property & Casualty Insurance – 2.8% |
| |||||||
Allstate Corp. (The) | 115 | 11,194 | ||||||
|
| |||||||
Reinsurance – 1.7% |
| |||||||
Reinsurance Group of America, Inc. | 87 | 6,790 | ||||||
|
| |||||||
Total Financials – 23.9% |
| 94,461 | ||||||
Health Care |
| |||||||
Biotechnology – 2.7% |
| |||||||
Amgen, Inc. | 45 | 10,617 | ||||||
|
| |||||||
Health Care Distributors – 2.8% |
| |||||||
McKesson Corp. | 74 | 11,332 | ||||||
|
| |||||||
Health Care Facilities – 2.6% |
| |||||||
HCA Holdings, Inc. | 105 | 10,223 | ||||||
|
| |||||||
Health Care Services – 3.4% |
| |||||||
CVS Caremark Corp. (B) | 209 | 13,572 | ||||||
|
| |||||||
Pharmaceuticals – 2.7% |
| |||||||
GlaxoSmithKline plc ADR | 260 | 10,593 | ||||||
|
| |||||||
Total Health Care – 14.2% |
| 56,337 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 3.9% |
| |||||||
Northrop Grumman Corp. | 25 | 7,781 | ||||||
Raytheon Technologies Corp. | 123 | 7,573 | ||||||
|
| |||||||
15,354 | ||||||||
|
| |||||||
Airlines – 1.0% |
| |||||||
Delta Air Lines, Inc. | 142 | 3,982 | ||||||
|
| |||||||
Electrical Components & Equipment – 3.9% |
| |||||||
Eaton Corp. | 130 | 11,409 | ||||||
nVent Electric plc | 214 | 4,003 | ||||||
|
| |||||||
15,412 | ||||||||
|
| |||||||
Total Industrials – 8.8% |
| 34,748 | ||||||
Information Technology |
| |||||||
Application Software – 2.7% |
| |||||||
NXP Semiconductors N.V. | 92 | 10,530 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 3.1% |
| |||||||
Fidelity National Information Services, Inc. | 91 | 12,226 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Semiconductor Equipment – 3.0% |
| |||||||
Lam Research Corp. | 37 | $ | 11,949 | |||||
|
| |||||||
Semiconductors – 2.8% |
| |||||||
Broadcom Corp., Class A | 36 | 11,292 | ||||||
|
| |||||||
Total Information Technology – 11.6% |
| 45,997 | ||||||
Materials |
| |||||||
Diversified Metals & Mining – 2.1% |
| |||||||
BHP Billiton Ltd. ADR | 166 | 8,265 | ||||||
|
| |||||||
Paper Packaging – 2.1% |
| |||||||
Graphic Packaging Holding Co. | 612 | 8,564 | ||||||
|
| |||||||
Total Materials – 4.2% |
| 16,829 | ||||||
Real Estate |
| |||||||
Health Care REITs – 2.1% |
| |||||||
Welltower, Inc. | 158 | 8,183 | ||||||
|
| |||||||
Total Real Estate – 2.1% |
| 8,183 | ||||||
Utilities |
| |||||||
Electric Utilities – 6.8% |
| |||||||
Duke Energy Corp. | 42 | 3,372 | ||||||
Entergy Corp. | 49 | 4,606 | ||||||
Evergy, Inc. | 141 | 8,348 | ||||||
Exelon Corp. | 294 | 10,681 | ||||||
|
| |||||||
27,007 | ||||||||
|
| |||||||
Total Utilities – 6.8% |
| 27,007 | ||||||
TOTAL COMMON STOCKS – 98.4% |
| $ | 389,499 | |||||
(Cost: $416,524) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Money Market Funds (C) – 1.6% |
| |||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, | ||||||||
0.120% | 6,294 | 6,294 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.6% |
| $ | 6,294 | |||||
(Cost: $6,294) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 395,793 | |||||
(Cost: $422,818) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (35 | ) | |||||
NET ASSETS – 100.0% |
| $ | 395,758 |
38 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | VALUE (in thousands) |
JUNE 30, 2020 (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 $2,562 are held in collateralized accounts to cover potential obligations with respect to outstanding written options. |
(C) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following written options were outstanding at June 30, 2020 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Notional Amount | Expiration Month | Exercise Price | Premium Received | Value | ||||||||||||||||||||
CenterPoint Energy, Inc. | N/A | Put | 883 | 88 | August 2020 | $ | 15.00 | $ | 75 | $ | (22 | ) | ||||||||||||||||
Graphic Packaging Holding Co. | N/A | Put | 1,253 | 125 | September 2020 | 15.00 | 248 | (222 | ) | |||||||||||||||||||
Lam Research Corp. | N/A | Call | 18 | 2 | December 2020 | 295.00 | 87 | (103 | ) | |||||||||||||||||||
nVent Electric plc | JPMorgan Chase Bank N.A. | Put | 717 | 72 | August 2020 | 25.00 | 589 | (452 | ) | |||||||||||||||||||
Reinsurance Group of America, Inc. | UBS AG | Put | 170 | 17 | October 2020 | 135.00 | 1,326 | (986 | ) | |||||||||||||||||||
JPMorgan Chase Bank N.A. | Put | 168 | 17 | October 2020 | 140.00 | 89 | (1,055 | ) | ||||||||||||||||||||
N/A | Put | 168 | 17 | January 2021 | 135.00 | 823 | (1,000 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 3,237 | $ | (3,840 | ) | ||||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | $ | 389,499 | $ | — | $ | — | ||||||
Short-Term Securities | 6,294 | — | — | |||||||||
Total | $ | 395,793 | $ | — | $ | — | ||||||
Liabilities | ||||||||||||
Written Options | $ | 22 | $ | 3,818 | $ | — |
The following acronyms are used throughout this schedule:
ADR = American Depository Receipt
OTC = Over the Counter
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 39 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY VIP |
AS OF JUNE 30, 2020 (UNAUDITED)
(In thousands, except per share amounts) | Core Equity | Corporate Bond | Global Bond | Global Equity Income | Global Growth | Limited- Term Bond | Securian Real Estate Securities | Value | ||||||||||||||||||||||||||||||||
ASSETS | ||||||||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at value+^ | $ | 660,286 | $ | 626,712 | $ | 19,562 | $ | 294,958 | $ | 136,585 | $ | 404,853 | $ | 28,908 | $ | 395,793 | ||||||||||||||||||||||||
Investments at Value | 660,286 | 626,712 | 19,562 | 294,958 | 136,585 | 404,853 | 28,908 | 395,793 | ||||||||||||||||||||||||||||||||
Cash | — | — | — | — | — | — | — | * | — | |||||||||||||||||||||||||||||||
Restricted cash | — | 114 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
Investment securities sold receivable | — | 957 | 1 | 2,093 | — | 9 | 109 | 3,444 | ||||||||||||||||||||||||||||||||
Dividends and interest receivable | 116 | 5,150 | 272 | 1,393 | 289 | 2,147 | 93 | 881 | ||||||||||||||||||||||||||||||||
Capital shares sold receivable | — | * | 634 | 16 | 2 | 23 | — | * | 8 | 10 | ||||||||||||||||||||||||||||||
Receivable from affiliates | 169 | — | — | — | 78 | — | — | — | ||||||||||||||||||||||||||||||||
Receivable from securities lending income – net | — | 1 | — | * | 16 | 1 | — | * | — | 1 | ||||||||||||||||||||||||||||||
Variation margin receivable | — | 10 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
Prepaid and other assets | — | — | * | — | — | — | — | — | — | |||||||||||||||||||||||||||||||
Total Assets | 660,571 | 633,578 | 19,851 | 298,462 | 136,976 | 407,009 | 29,118 | 400,129 | ||||||||||||||||||||||||||||||||
LIABILITIES | ||||||||||||||||||||||||||||||||||||||||
Cash collateral on securities loaned at value | — | 1,671 | 118 | 13,018 | — | 419 | — | — | ||||||||||||||||||||||||||||||||
Investment securities purchased payable | 437 | 3,354 | 70 | — | — | 1,987 | 75 | — | ||||||||||||||||||||||||||||||||
Capital shares redeemed payable | 616 | 632 | 3 | 361 | 117 | 560 | — | * | 453 | |||||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 78 | 55 | 1 | 33 | 38 | 25 | 6 | 45 | ||||||||||||||||||||||||||||||||
Overdraft due to custodian | — | — | — | — | 630 | — | — | — | ||||||||||||||||||||||||||||||||
Distribution and service fees payable | 5 | 4 | — | * | 2 | 1 | 3 | — | * | 3 | ||||||||||||||||||||||||||||||
Investment management fee payable | 12 | 8 | — | 6 | 3 | 5 | 1 | 8 | ||||||||||||||||||||||||||||||||
Accounting services fee payable | 13 | 13 | 1 | 8 | 5 | 10 | 2 | 10 | ||||||||||||||||||||||||||||||||
Written options at value+ | — | — | — | — | — | — | — | 3,840 | ||||||||||||||||||||||||||||||||
Other liabilities | 19 | 18 | 6 | 17 | 67 | 15 | 9 | 12 | ||||||||||||||||||||||||||||||||
Total Liabilities | 1,180 | 5,755 | 199 | 13,445 | 861 | 3,024 | 93 | 4,371 | ||||||||||||||||||||||||||||||||
Commitments and Contingencies | ||||||||||||||||||||||||||||||||||||||||
Total Net Assets | $ | 659,391 | $ | 627,823 | $ | 19,652 | $ | 285,017 | $ | 136,115 | $ | 403,985 | $ | 29,025 | $ | 395,758 | ||||||||||||||||||||||||
NET ASSETS | ||||||||||||||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 567,033 | $ | 565,918 | $ | 20,183 | $ | 301,758 | $ | 105,502 | $ | 391,239 | $ | 30,957 | $ | 410,385 | ||||||||||||||||||||||||
Accumulated earnings gain (loss) | 92,358 | 61,905 | (531 | ) | (16,741 | ) | 30,613 | 12,746 | (1,932 | ) | (14,627 | ) | ||||||||||||||||||||||||||||
Total Net Assets | $ | 659,391 | $ | 627,823 | $ | 19,652 | $ | 285,017 | $ | 136,115 | $ | 403,985 | $ | 29,025 | $ | 395,758 | ||||||||||||||||||||||||
CAPITAL SHARES OUTSTANDING: | ||||||||||||||||||||||||||||||||||||||||
Class II | 56,486 | 108,160 | 3,976 | 56,550 | 39,316 | 81,549 | 4,649 | 76,398 | ||||||||||||||||||||||||||||||||
NET ASSET VALUE PER SHARE: | ||||||||||||||||||||||||||||||||||||||||
Class II | $ | 11.67 | $ | 5.80 | $ | 4.94 | $ | 5.04 | $ | 3.46 | $ | 4.95 | $ | 6.24 | $ | 5.18 | ||||||||||||||||||||||||
+COST | ||||||||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 567,978 | $ | 587,221 | $ | 19,315 | $ | 308,715 | $ | 106,712 | $ | 395,996 | $ | 30,454 | $ | 422,818 | ||||||||||||||||||||||||
Written options premiums received at cost | — | — | — | — | — | — | — | 3,237 | ||||||||||||||||||||||||||||||||
^Securities loaned at value | — | 1,838 | 115 | 6,582 | — | 418 | — | — |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
40 | SEMIANNUAL REPORT | 2020 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2020 (UNAUDITED)
(In thousands) | Core Equity | Corporate Bond | Global Bond | Global Equity Income | Global Growth | Limited- Term Bond | Securian Real Estate Securities | Value | ||||||||||||||||||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||||||||||||||||||||||||||
Dividends from unaffiliated securities | $ | 5,170 | $ | — | $ | — | $ | 5,570 | $ | 897 | $ | — | $ | 517 | $ | 6,319 | ||||||||||||||||||||||||
Foreign dividend withholding tax | (6 | ) | — | — | (462 | ) | (69 | ) | — | — | (19 | ) | ||||||||||||||||||||||||||||
Interest and amortization from unaffiliated securities | 34 | 10,005 | 440 | 20 | 7 | 5,395 | 2 | 74 | ||||||||||||||||||||||||||||||||
Securities lending income – net | — | 8 | 2 | 23 | 1 | 2 | — | 34 | ||||||||||||||||||||||||||||||||
Total Investment Income | 5,198 | 10,013 | 442 | 5,151 | 836 | 5,397 | 519 | 6,408 | ||||||||||||||||||||||||||||||||
EXPENSES | ||||||||||||||||||||||||||||||||||||||||
Investment management fee | 2,295 | 1,426 | 61 | 964 | 566 | 1,028 | 137 | 1,507 | ||||||||||||||||||||||||||||||||
Distribution and service fees: | ||||||||||||||||||||||||||||||||||||||||
Class II | 819 | 750 | 25 | 344 | 166 | 514 | 38 | 538 | ||||||||||||||||||||||||||||||||
Shareholder servicing: | ||||||||||||||||||||||||||||||||||||||||
Class II | — | * | — | * | — | * | — | * | — | * | — | * | — | * | — | * | ||||||||||||||||||||||||
Custodian fees | 6 | 4 | 3 | 15 | 7 | 4 | 2 | 3 | ||||||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 38 | 26 | 3 | 7 | 8 | 14 | 3 | 12 | ||||||||||||||||||||||||||||||||
Accounting services fee | 81 | 78 | 7 | 45 | 31 | 62 | 13 | 63 | ||||||||||||||||||||||||||||||||
Professional fees | 31 | 43 | 37 | 29 | 37 | 40 | 38 | 32 | ||||||||||||||||||||||||||||||||
Third-party valuation service fees | — | * | — | * | — | 3 | 6 | — | — | — | ||||||||||||||||||||||||||||||
Other | 19 | 13 | 2 | 21 | 7 | 9 | 3 | 11 | ||||||||||||||||||||||||||||||||
Total Expenses | 3,289 | 2,340 | 138 | 1,428 | 828 | 1,671 | 234 | 2,166 | ||||||||||||||||||||||||||||||||
Less: | ||||||||||||||||||||||||||||||||||||||||
Expenses in excess of limit | (169 | ) | — | (61 | ) | — | (78 | ) | — | (14 | ) | — | ||||||||||||||||||||||||||||
Total Net Expenses | 3,120 | 2,340 | 77 | 1,428 | 750 | 1,671 | 220 | 2,166 | ||||||||||||||||||||||||||||||||
Net Investment Income | 2,078 | 7,673 | 365 | 3,723 | 86 | 3,726 | 299 | 4,242 | ||||||||||||||||||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | (1,858 | ) | 17,863 | (73 | ) | (4,873 | ) | 4,511 | 6,130 | (702 | ) | 8,470 | ||||||||||||||||||||||||||||
Futures contracts | — | (746 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||||||
Written options | — | — | — | — | — | — | — | (2,268 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange transactions | (5 | ) | — | — | * | — | (7 | ) | — | — | — | |||||||||||||||||||||||||||||
Net change in unrealized appreciation | ||||||||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | (10,525 | ) | 9,949 | (45 | ) | (38,431 | ) | (8,770 | ) | 1,730 | (4,104 | ) | (96,592 | ) | ||||||||||||||||||||||||||
Futures contracts | — | (19 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||||||
Written options | — | — | — | — | — | — | — | (769 | ) | |||||||||||||||||||||||||||||||
Foreign currency exchange transactions | — | — | — | * | 7 | — | * | — | — | — | ||||||||||||||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | (12,388 | ) | 27,047 | (118 | ) | (43,297 | ) | (4,266 | ) | 7,860 | (4,806 | ) | (91,159 | ) | ||||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (10,310 | ) | $ | 34,720 | $ | 247 | $ | (39,574 | ) | $ | (4,180 | ) | $ | 11,586 | $ | (4,507 | ) | $ | (86,917 | ) |
* | Not shown due to rounding. |
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 41 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY VIP |
Core Equity | Corporate Bond | Global Bond | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 2,078 | $ | 3,660 | $ | 7,673 | $ | 15,182 | $ | 365 | $ | 855 | ||||||||||||||||||
Net realized gain (loss) on investments | (1,863 | ) | 39,097 | 17,117 | 7,968 | (73 | ) | 71 | ||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (10,525 | ) | 141,906 | 9,930 | 40,261 | (45 | ) | 1,024 | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (10,310 | ) | 184,663 | 34,720 | 63,411 | 247 | 1,950 | |||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Accumulated earnings: | ||||||||||||||||||||||||||||||
(combined net investment income and net realized gains) | ||||||||||||||||||||||||||||||
Class II | (41,268 | ) | (73,214 | ) | (15,230 | ) | (15,235 | ) | (784 | ) | (784 | ) | ||||||||||||||||||
Total Distributions to Shareholders | (41,268 | ) | (73,214 | ) | (15,230 | ) | (15,235 | ) | (784 | ) | (784 | ) | ||||||||||||||||||
Capital Share Transactions | (12,306 | ) | (14,607 | ) | 8,531 | 7,718 | (413 | ) | (2,406 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (63,884 | ) | 96,842 | 28,021 | 55,894 | (950 | ) | (1,240 | ) | |||||||||||||||||||||
Net Assets, Beginning of Period | 723,275 | 626,433 | 599,802 | 543,908 | 20,602 | 21,842 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 659,391 | $ | 723,275 | $ | 627,823 | $ | 599,802 | $ | 19,652 | $ | 20,602 | ||||||||||||||||||
Global Equity Income | Global Growth | Limited-Term Bond | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 3,723 | $ | 7,412 | $ | 86 | $ | 596 | $ | 3,726 | $ | 9,982 | ||||||||||||||||||
Net realized gain (loss) on investments | (4,873 | ) | (1,045 | ) | 4,504 | (3,622 | ) | 6,130 | 2,068 | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (38,424 | ) | 54,983 | (8,770 | ) | 36,179 | 1,730 | 10,182 | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (39,574 | ) | 61,350 | (4,180 | ) | 33,153 | 11,586 | 22,232 | ||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Accumulated earnings: | ||||||||||||||||||||||||||||||
(combined net investment income and net realized gains) | ||||||||||||||||||||||||||||||
Class II | (8,016 | ) | (85,169 | ) | (585 | ) | (96,488 | ) | (10,693 | ) | (9,903 | ) | ||||||||||||||||||
Total Distributions to Shareholders | (8,016 | ) | (85,169 | ) | (585 | ) | (96,488 | ) | (10,693 | ) | (9,903 | ) | ||||||||||||||||||
Capital Share Transactions | 36,023 | 36,767 | (7,462 | ) | 77,403 | (49,450 | ) | (101,449 | ) | |||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (11,567 | ) | 12,948 | (12,227 | ) | 14,068 | (48,557 | ) | (89,120 | ) | ||||||||||||||||||||
Net Assets, Beginning of Period | 296,584 | 283,636 | 148,342 | 134,274 | 452,542 | 541,662 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 285,017 | $ | 296,584 | $ | 136,115 | $ | 148,342 | $ | 403,985 | $ | 452,542 |
See Accompanying Notes to Financial Statements.
42 | SEMIANNUAL REPORT | 2020 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY VIP |
Securian Real Estate Securities | Value | |||||||||||||||||||
(In thousands) | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | ||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income | $ | 299 | $ | 503 | $ | 4,242 | $ | 8,776 | ||||||||||||
Net realized gain (loss) on investments | (702 | ) | 2,485 | 6,202 | 18,462 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | (4,104 | ) | 4,986 | (97,361 | ) | 84,726 | ||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,507 | ) | 7,974 | (86,917 | ) | 111,964 | ||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||
Accumulated earnings: | ||||||||||||||||||||
(combined net investment income and net realized gains) | ||||||||||||||||||||
Class II | (2,884 | ) | (744 | ) | (26,609 | ) | (30,616 | ) | ||||||||||||
Total Distributions to Shareholders | (2,884 | ) | (744 | ) | (26,609 | ) | (30,616 | ) | ||||||||||||
Capital Share Transactions | 955 | (6,032 | ) | (1,593 | ) | (16,326 | ) | |||||||||||||
Net Increase (Decrease) in Net Assets | (6,436 | ) | 1,198 | (115,119 | ) | 65,022 | ||||||||||||||
Net Assets, Beginning of Period | 35,461 | 34,263 | 510,877 | 445,855 | ||||||||||||||||
Net Assets, End of Period | $ | 29,025 | $ | 35,461 | $ | 395,758 | $ | 510,877 |
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 43 |
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(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 | |||||||||||||||||||||||||||||
Core Equity | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended | $ | 12.63 | $ | 0.04 | $ | (0.23 | ) | $ | (0.19 | ) | $ | (0.07 | ) | $ | (0.70 | ) | $ | (0.77 | ) | ||||||||||||||||
Year ended 12-31-2019 | 10.80 | 0.06 | 3.10 | 3.16 | (0.07 | ) | (1.26 | ) | (1.33 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 12.30 | 0.07 | (0.53 | ) | (0.46 | ) | (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 | ) | |||||||||||||||||||||||
Corporate Bond | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended | 5.60 | 0.07 | 0.28 | 0.35 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2019 | 5.13 | 0.15 | 0.47 | 0.62 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2018 | 5.35 | 0.14 | (0.24 | ) | (0.10 | ) | (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 | ) | |||||||||||||||||||||||||
Global Bond | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended | 5.07 | 0.09 | (0.02 | ) | 0.07 | (0.20 | ) | — | (0.20 | ) | |||||||||||||||||||||||||
Year ended 12-31-2019 | 4.81 | 0.20 | 0.24 | 0.44 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2018 | 4.96 | 0.17 | (0.18 | ) | (0.01 | ) | (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 | ) | ||||||||||||||||||||||||
Global Equity Income | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended | 6.01 | 0.07 | (0.90 | ) | (0.83 | ) | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||||||
Year ended 12-31-2019 | 6.89 | 0.16 | 1.17 | 1.33 | (0.22 | ) | (1.99 | ) | (2.21 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 8.58 | 0.16 | (1.07 | ) | (0.91 | ) | (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 | ) |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value. Total returns do not reflect a sales charge or contingent 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. |
.
44 | SEMIANNUAL REPORT | 2020 |
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 to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||
Core Equity | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | $ | 11.67 | -1.24 | % | $ | 659 | 0.95 | %(4) | 0.64 | %(4) | 1.01 | %(4) | 0.58 | %(4) | 32 | % | ||||||||||||||||||||||||
Year ended 12-31-2019 | 12.63 | 31.09 | 723 | 0.95 | 0.53 | 1.00 | 0.48 | 80 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 10.80 | -4.51 | 626 | 0.95 | 0.59 | 1.00 | 0.54 | 99 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Corporate Bond | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 5.80 | 6.43 | 628 | 0.78 | (4) | 2.56 | (4) | — | — | 60 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 5.60 | 12.18 | 600 | 0.77 | 2.73 | — | — | 66 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 5.13 | -1.90 | 544 | 0.77 | 2.77 | — | — | 63 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Global Bond | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 4.94 | 1.68 | 20 | 0.78 | (4) | 3.72 | (4) | 1.41 | (4) | 3.09 | (4) | 29 | ||||||||||||||||||||||||||||
Year ended 12-31-2019 | 5.07 | 9.42 | 21 | 0.50 | 3.96 | 1.13 | 3.33 | 43 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 4.81 | -0.18 | 22 | 0.50 | 3.52 | 1.12 | 2.90 | 37 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 4.96 | 4.27 | 23 | 0.50 | 3.08 | 1.12 | 2.46 | 49 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Global Equity Income | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 5.04 | -13.63 | 285 | 1.04 | (4) | 2.71 | (4) | — | — | 41 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 6.01 | 23.15 | 297 | 1.02 | 2.52 | — | — | 39 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 6.89 | -11.68 | 284 | 1.01 | 2.01 | — | — | 93 | ||||||||||||||||||||||||||||||||
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 |
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 45 |
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FINANCIAL HIGHLIGHTS | IVY VIP |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income(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 | $ | 3.58 | $ | 0.00 | * | $ | (0.11 | ) | $ | (0.11 | ) | $ | (0.01 | ) | $ | — | $ | (0.01 | ) | ||||||||||||||||
Year ended 12-31-2019 | 8.67 | 0.02 | 1.45 | 1.47 | (0.06 | ) | (6.50 | ) | (6.56 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 9.87 | 0.05 | (0.58 | ) | (0.53 | ) | (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 | ) | |||||||||||||||||||||||||
Limited-Term Bond | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended | 4.95 | 0.05 | 0.09 | 0.14 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2019 | 4.84 | 0.09 | 0.11 | 0.20 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2018 | 4.88 | 0.09 | (0.05 | ) | 0.04 | (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 | ) | |||||||||||||||||||||||||
Securian Real Estate Securities | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended | 8.05 | 0.07 | (1.19 | ) | (1.12 | ) | (0.12 | ) | (0.57 | ) | (0.69 | ) | |||||||||||||||||||||||
Year ended 12-31-2019 | 6.60 | 0.17 | 1.43 | 1.60 | (0.12 | ) | (0.03 | ) | (0.15 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 7.64 | 0.10 | (0.54 | ) | (0.44 | ) | (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 | ) | |||||||||||||||||||||||||
Value | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended | 6.72 | 0.06 | (1.24 | ) | (1.18 | ) | (0.12 | ) | (0.24 | ) | (0.36 | ) | |||||||||||||||||||||||
Year ended 12-31-2019 | 5.69 | 0.11 | 1.32 | 1.43 | (0.05 | ) | (0.35 | ) | (0.40 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 6.44 | 0.07 | (0.51 | ) | (0.44 | ) | (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 | ) |
* 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 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. |
.
46 | SEMIANNUAL REPORT | 2020 |
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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 Net Assets | Ratio of Net Assets | Ratio of Net Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||
Global Growth | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | $ | 3.46 | -2.77 | % | $ | 136 | 1.13 | %(4) | 0.13 | %(4) | 1.25 | %(4) | 0.01 | %(4) | 21 | % | ||||||||||||||||||||||||
Year ended 12-31-2019 | 3.58 | 25.93 | 148 | 1.13 | 0.41 | 1.21 | 0.33 | 26 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 8.67 | -6.27 | 134 | 1.13 | 0.46 | 1.18 | 0.41 | 40 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Limited-Term Bond | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 4.95 | 2.99 | 404 | 0.82 | (4) | 1.82 | (4) | — | — | 37 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 4.95 | 4.23 | 453 | 0.79 | 1.89 | — | — | 54 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 4.84 | 0.78 | 542 | 0.79 | 1.91 | — | — | 53 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Securian Real Estate Securities | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 6.24 | -13.26 | 29 | 1.44 | (4) | 1.98 | (4) | 1.53 | (4) | 1.89 | (4) | 36 | ||||||||||||||||||||||||||||
Year ended 12-31-2019 | 8.05 | 24.43 | 35 | 1.26 | 1.36 | 1.35 | 1.27 | 54 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 6.60 | -5.57 | 34 | 1.24 | 1.45 | 1.33 | 1.36 | 71 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Value | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 5.18 | -17.44 | 396 | 1.01 | (4) | 1.98 | (4) | — | — | 29 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 6.72 | 26.33 | 511 | 1.00 | 1.81 | — | — | 62 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 5.69 | -7.24 | 446 | 1.00 | 1.09 | — | — | 56 | ||||||||||||||||||||||||||||||||
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 |
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 47 |
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NOTES TO FINANCIAL STATEMENTS | IVY VIP |
JUNE 30, 2020 (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. Core Equity, Corporate Bond, Global Bond, Global Equity Income, Global Growth, Limited-Term Bond, Securian Real Estate Securities and Value (each, a “Portfolio”) are eight series of the Trust and are the only series of the Trust included in these financial statements. The assets belonging to each Portfolio are held separately by 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”).
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.
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 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
48 | SEMIANNUAL REPORT | 2020 |
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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.
The London Interbank Offered Rate “LIBOR” is an indicative measure of the average interest rate at which major global banks could borrow from one another. LIBOR is quoted in multiple currencies and multiple time frames using data reported by private-sector banks. LIBOR is used extensively in the United States and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds and loans, floating rate mortgages, asset-backed securities, consumer loans, and interest rate swaps and other derivatives.
It is expected that a number of private-sector banks currently reporting information used to set LIBOR will stop doing so after 2021 when their current reporting commitment ends, which could either cause LIBOR to stop publication immediately or cause LIBOR’s regulator to determine that its quality has degraded to the degree that it is no longer representative of its underlying market.
Management believes that, with respect to any significant investments by a Portfolio in instruments linked to LIBOR, the impact on investments and discontinuation of LIBOR may represent a significant risk.
However, management acknowledges that the anticipated transition away from LIBOR will occur after 2021 and certain of the current investments will mature prior to that time. Furthermore, the ways in which LIBOR’s discontinuation potentially could impact the Portfolios’ investments is not fully known. The extent of that impact may vary depending on various factors, which include, but are not limited to: (i) existing fallback or termination provisions in individual contracts and (ii) whether, how, and when industry participants develop and adopt new successor reference rates and/or fallbacks for both legacy and new instruments.
In addition, the transition to a successor rate could potentially cause (i) increased volatility or illiquidity in markets for instruments that currently rely on LIBOR, (ii) a reduction in the value of certain instruments held by a Portfolio, or (iii) reduced effectiveness of related Portfolio transactions, such as hedging.
As the impacts of the transition become clearer during the next year, Management will be evaluating the impacts of these changes.
An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. This coronavirus has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in
2020 | SEMIANNUAL REPORT | 49 |
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emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.
The individual Portfolios herein have adopted a Liquidity Risk Management Program (the “Program”). The Portfolio’s board has designated a Liquidity Risk Management Committee (the “Committee”) as the administrator of the Program. The Committee or delegates of the Committee conduct the day-to-day operation of the Program. Under the Program, the Committee manages the Portfolio’s liquidity risk, which is the risk that any Portfolio could not meet shareholder redemption requests without significant dilution of remaining shareholders’ interests in the Portfolio. This risk is managed by monitoring the degree of liquidity of the Portfolio’s investments, limiting the amount of the Portfolio’s illiquid investments, and utilizing various risk management tools and facilities available to the Portfolio for meeting shareholder redemptions, among other means. The Committee’s process of determining the degree of liquidity of the Portfolio’s investments is supported by one or more third-party liquidity assessment vendors. The Portfolio’s board reviewed a report prepared by a designee of the Committee regarding the operation, adequacy and effectiveness of the Program from the period June 1, 2019, through March 31, 2020. The report described the Program’s liquidity classification methodology and the methodology in establishing a Portfolio’s Highly Liquid Investment Minimum (“HLIM”), if necessary. The Committee reported that during the period covered by the report, there were no material changes to the Program and no significant liquidity events impacting the Portfolio or its ability to timely meet redemptions without dilution to existing shareholders. In addition, the Committee provided its assessment that the Program, including the operation of each Portfolio’s HLIM, where applicable, had been effective in managing the Portfolio’s liquidity risk.
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 one or more major U.S. banks, the 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
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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.
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.
Short-term securities with maturities of 60 days or less 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.
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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. IICO, pursuant to authority delegated by 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 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 inputs such as quoted prices, available in active markets, for identical assets or liabilities. |
• | Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
• | Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at 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.
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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, which 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. Exchange-traded futures contracts 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 for a comparable listed option provided by an independent pricing service unless such a price is unavailable, in which case they are valued at a quotation obtained from a broker-dealer.
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.
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.
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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.
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.
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.
Futures Contracts. Each Portfolio is authorized to engage in buying and selling futures contracts. Upon entering into a futures contract, a 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 amounts, known as variation margin, are paid or received by the Portfolio each day, dependent on the daily fluctuations in the value of the underlying debt security or index. Options on futures contracts may also be purchased or sold by a Portfolio.
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.
Corporate Bond invests in short positions in futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk).
Option Contracts. Options purchased by a Portfolio are accounted for in the same manner as portfolio securities. The cost of the underlying 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
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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.
Option contracts can be traded on a regulated exchange or traded OTC. Unlike the trades on a regulated exchange where the clearinghouse guarantees the performances of both the buyer and the seller, 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.
Value writes call and put options to increase or decrease hedging exposure to underlying instruments (which include 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.
Collateral and rights of offset. A Portfolio mitigates 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 all OTC derivative transactions between the Portfolio and each of its counterparties. Although it is not possible to eliminate credit risk entirely, the CSA allows the Portfolio and its counterparty to reduce their exposure to the risk of payment default by the other party by holding an amount in collateral equivalent to the realized and unrealized amount of exposure to the counterparty, which is generally held by the Portfolio’s custodian. An amount of collateral is moved to/from applicable counterparties only if the amount of collateral required to be posted surpasses both the threshold and the minimum transfer amount pre-agreed in the CSA between the Portfolio and the counterparty. 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, 2020:
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 | |||||||||||||||||||||
Value | ||||||||||||||||||||||||||||
Written options at value | $ | 2,493 | $ | — | $ | 2,493 | $ | — | $ | (2,493 | ) | $ | — | $ | — |
Additional Disclosure Related to Derivative Instruments
Fair values of derivative instruments as of June 30, 2020:
Assets | Liabilities | |||||||||||||||||
Portfolio | Type of Risk Exposure | Statement of Assets & Liabilities Location | Value | Statement of Assets & Liabilities Location | Value | |||||||||||||
Corporate Bond | Interest Rate | $ | — | Unrealized depreciation on futures contracts* | $ | 19 | ||||||||||||
Value | Equity | — | Written options at value | $ | 3,840 |
* 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, 2020.
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Amount of realized gain (loss) on derivatives recognized on the Statement of Operations for the period ended June 30, 2020:
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 | |||||||||||||||||||
Corporate Bond | Interest rate | $ | — | $ | — | $ | (746 | ) | $ | — | $ | — | $ | (746 | ) | |||||||||||
Value | Equity | — | — | — | (2,268 | ) | — | (2,268 | ) |
* Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
Change in unrealized appreciation (depreciation) on derivatives recognized on the Statement of Operations for the period ended June 30, 2020:
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 | |||||||||||||||||||
Corporate Bond | Interest rate | $ | — | $ | — | $ | (19 | ) | $ | — | $ | — | $ | (19 | ) | |||||||||||
Value | Equity | — | — | — | (769 | ) | — | (769 | ) |
* Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
During the period ended June 30, 2020, 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) | ||||||||||||||||||||||||
Corporate Bond | $— | $ | — | $ | 11,819 | $ | — | $ | — | $ | — | |||||||||||||||||||
Value | — | — | — | — | — | 2,162 |
(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. | INVESTMENT MANAGEMENT AND PAYMENTS TO AFFILIATED PERSONS ($ amounts in thousands unless indicated otherwise) |
Management Fees. IICO serves as each Portfolio’s investment adviser. The management fee is accrued daily by each Portfolio 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 | ||||||||||||||||||
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 | ||||||||||||||||||
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 | ||||||||||||||||||
Limited-Term Bond | 0.500 | 0.450 | 0.400 | 0.350 | 0.350 | 0.350 | ||||||||||||||||||
Securian Real Estate Securities | 0.900 | 0.900 | 0.870 | 0.870 | 0.840 | 0.800 | ||||||||||||||||||
Value | 0.700 | 0.700 | 0.650 | 0.650 | 0.600 | 0.550 |
IICO has voluntarily agreed to waive a Portfolio’s investment management fee on any Portfolio 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 a Subadvisory Agreement with the following entity on behalf of Securian Real Estate Securities:
Securian Asset Management, Inc. (“Securian”) serves as subadvisor to Securian Real Estate Securities. The subadvisor makes 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 subadvisor.
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
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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”). 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 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 |
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 may pay a service fee to Ivy Distributors, Inc. (“IDI”) 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 IDI 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, 2020 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 | |||||||||||||
Core Equity | Class II | Contractual | 10-1-2016 | 4-30-2021 | 0.95% | $ | 169 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||||
Global Bond | Class II | Voluntary | N/A | N/A | N/A | $ | 61 | (1) | Investment Management Fee | |||||||||||
Global Growth | Class II | Contractual | 10-1-2016 | 4-30-2021 | 1.13% | $ | 78 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||||
Securian Real Estate Securities | Class II | Contractual | 12-3-2012 | 4-30-2021 | N/A | $ | 14 | (2) | Investment Management Fee |
(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 $25 million, subject to IICO’s right to change or modify this waiver. |
(2) | The Portfolio’s investment management fee is being reduced by 0.09% of average daily net assets until April 30, 2021. |
Any amounts due to the Portfolios as a reimbursement but not paid as of June 30, 2020 are shown as a receivable from affiliates on the Statement of Assets and Liabilities.
6. | INTERFUND LENDING PROGRAM |
Pursuant to an exemptive order issued by the SEC (“Order”), the Ivy Funds, Ivy Variable Insurance Portfolios and InvestEd Portfolios (collectively, the “Funds” only for purposes of this footnote 6) have the ability to lend money to, and borrow money from, each other pursuant to a master interfund lending agreement (“Interfund Lending Program”). Under the Interfund Lending Program, the Funds may lend or borrow money for temporary purposes directly to or from one another (each an “Interfund Loan”), subject to meeting the conditions of the Order. The interest rate to be charged on an Interfund Loan is the average of the overnight repurchase agreement rate and the short-term bank loan rate. The Funds made no Interfund Loans under the Interfund Lending Program during the period ended June 30, 2020.
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7. | INVESTMENT SECURITIES TRANSACTIONS ($ 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, 2020, were as follows:
Purchases | Sales | |||||||||||||||
U.S. Government | Other Issuers | U.S. Government | Other Issuers | |||||||||||||
Core Equity | $ | — | $ | 206,701 | $ | — | $ | 254,685 | ||||||||
Corporate Bond | — | 351,477 | — | 354,213 | ||||||||||||
Global Bond | 453 | 5,211 | 2,584 | 3,895 | ||||||||||||
Global Equity Income | — | 141,700 | — | 109,806 | ||||||||||||
Global Growth | — | 27,030 | — | 30,949 | ||||||||||||
Limited-Term Bond | 65,407 | 82,539 | 149,393 | 71,621 | ||||||||||||
Securian Real Estate Securities | — | 10,797 | — | 13,057 | ||||||||||||
Value | — | 119,731 | — | 138,133 |
8. | LOANS OF PORTFOLIO SECURITIES ($ amounts in thousands) |
Each Portfolio 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 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, except in the case of loans of foreign securities which are denominated and payable in U.S. dollars, in which case the collateral is required to have a value of at least 102% of the market value of the loaned securities. The market value of the loaned 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, 2020 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 each Portfolio’s securities lending positions and related cash and non-cash collateral received as of June 30, 2020:
Portfolio | Market Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | ||||||||||||
Corporate Bond | $ | 1,838 | $ | 1,671 | $ | 212 | $ | 1,883 | ||||||||
Global Bond | 115 | 118 | — | 118 | ||||||||||||
Global Equity Income | 6,582 | 13,018 | — | 13,018 | ||||||||||||
Limited-Term Bond | 418 | 419 | 11 | 430 |
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.
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9. | 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:
Core Equity | Corporate Bond | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 2,515 | $ | 26,894 | 2,145 | $ | 25,198 | 18,487 | $ | 105,659 | 15,860 | $ | 87,364 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 3,675 | 41,267 | 6,669 | 73,214 | 2,715 | 15,230 | 2,907 | 15,235 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (6,976 | ) | (80,467 | ) | (9,534 | ) | (113,019 | ) | (20,202 | ) | (112,358 | ) | (17,580 | ) | (94,881 | ) | ||||||||||||||||||||
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Net increase (decrease) | (786 | ) | $ | (12,306 | ) | (720 | ) | $ | (14,607 | ) | 1,000 | $ | 8,531 | 1,187 | $ | 7,718 | ||||||||||||||||||||
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Global Bond | Global Equity Income | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 298 | $ | 1,493 | 750 | $ | 3,702 | 14,866 | $ | 74,396 | 861 | $ | 5,716 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 164 | 784 | 162 | 784 | 1,697 | 8,016 | 15,944 | 85,169 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (550 | ) | (2,690 | ) | (1,391 | ) | (6,892 | ) | (9,376 | ) | (46,389 | ) | (8,600 | ) | (54,118 | ) | ||||||||||||||||||||
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Net increase (decrease) | (88 | ) | $ | (413 | ) | (479 | ) | $ | (2,406 | ) | 7,187 | $ | 36,023 | 8,205 | $ | 36,767 | ||||||||||||||||||||
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Global Growth | Limited-Term Bond | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 835 | $ | 2,610 | 948 | $ | 4,338 | 14,312 | $ | 71,268 | 9,392 | $ | 46,061 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 178 | 585 | 30,123 | 96,488 | 2,180 | 10,693 | 2,048 | 9,903 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (3,170 | ) | (10,657 | ) | (5,094 | ) | (23,423 | ) | (26,387 | ) | (131,411 | ) | (32,011 | ) | (157,413 | ) | ||||||||||||||||||||
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Net increase (decrease) | (2,157 | ) | $ | (7,462 | ) | 25,977 | $ | 77,403 | (9,895 | ) | $ | (49,450 | ) | (20,571 | ) | $ | (101,449 | ) | ||||||||||||||||||
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Securian Real Estate Securities | Value | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 355 | $ | 2,356 | 428 | $ | 3,239 | 12,178 | $ | 63,038 | 4,195 | $ | 26,513 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 494 | 2,884 | 99 | 744 | 5,308 | 26,609 | 5,212 | 30,616 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (606 | ) | (4,285 | ) | (1,311 | ) | (10,015 | ) | (17,071 | ) | (91,240 | ) | (11,823 | ) | (73,455 | ) | ||||||||||||||||||||
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Net increase (decrease) | 243 | $ | 955 | (784 | ) | $ | (6,032 | ) | 415 | $ | (1,593 | ) | (2,416 | ) | $ | (16,326 | ) | |||||||||||||||||||
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10. | COMMITMENTS |
Bridge loan commitments may obligate a Portfolio to furnish temporary financing to a borrower until permanent financing can be arranged. 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. At June 30, 2020, there were no outstanding bridge loan commitments.
11. | FEDERAL INCOME TAX MATTERS ($ amounts in thousands) |
For Federal income tax purposes, cost of investments owned at June 30, 2020 and the related unrealized appreciation (depreciation) were as follows:
Portfolio | Cost of Investments | Gross Appreciation | Gross Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Core Equity | $ | 568,215 | $ | 105,387 | $ | 13,316 | $ | 92,071 | ||||||||
Corporate Bond | 587,224 | 42,925 | 3,437 | 39,488 | ||||||||||||
Global Bond | 19,316 | 1,067 | 821 | 246 | ||||||||||||
Global Equity Income | 309,633 | 17,859 | 32,534 | (14,675 | ) | |||||||||||
Global Growth | 106,728 | 34,504 | 4,647 | 29,857 | ||||||||||||
Limited-Term Bond | 396,012 | 9,970 | 1,129 | 8,841 | ||||||||||||
Securian Real Estate Securities | 30,681 | 1,954 | 3,727 | (1,773 | ) | |||||||||||
Value | 420,449 | 27,477 | 52,195 | (24,718 | ) |
For Federal income tax purposes, the Portfolios’ undistributed earnings and profit for the year ended December 31, 2019 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 | |||||||||||||||
Core Equity | $ | 9,948 | $ | 31,253 | $ | — | $ | — | $ | — | ||||||||||
Corporate Bond | 15,224 | — | — | — | — | |||||||||||||||
Global Bond | 781 | — | — | — | — | |||||||||||||||
Global Equity Income | 8,009 | — | — | — | — | |||||||||||||||
Global Growth | 581 | — | — | — | — | |||||||||||||||
Limited-Term Bond | 10,690 | — | — | — | — | |||||||||||||||
Securian Real Estate Securities | 942 | 1,940 | — | — | — | |||||||||||||||
Value | 9,455 | 17,064 | — | — | — |
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.
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The tax character of dividends and distributions paid during the two fiscal years ended December 31, 2019 and 2018 were as follows:
December 31, 2019 | December 31, 2018 | |||||||||||||||||||
Portfolio | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | ||||||||||||||||
Core Equity | $ | 4,416 | $ | 68,798 | $ | 6,304 | $ | 29,233 | ||||||||||||
Corporate Bond | 15,235 | — | 11,579 | — | ||||||||||||||||
Global Bond | 784 | — | 626 | — | ||||||||||||||||
Global Equity Income | 8,357 | 76,812 | 10,709 | 34,998 | ||||||||||||||||
Global Growth | 11,998 | 84,490 | 6,600 | 20,587 | ||||||||||||||||
Limited-Term Bond | 9,903 | — | 7,043 | — | ||||||||||||||||
Securian Real Estate Securities | 582 | 162 | 1,197 | 2,119 | ||||||||||||||||
Value | 3,917 | 26,699 | 7,704 | 12,385 |
(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, 2019 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of December 31, 2019, the capital loss carryforwards were as follows:
Portfolio | Short-Term Capital Loss Carryover | Long-Term Capital Loss Carryover | ||||||
Core Equity | $ | — | $ | — | ||||
Corporate Bond | — | 2,256 | ||||||
Global Bond | 305 | 758 | ||||||
Global Equity Income | 1,165 | — | ||||||
Global Growth | 3,567 | 128 | ||||||
Limited-Term Bond | 1,018 | 4,899 | ||||||
Securian Real Estate Securities | — | — | ||||||
Value | — | — |
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PROXY VOTING INFORMATION | IVY VIP |
(UNAUDITED)
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 1.888.923-3355 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 at www.ivyinvestments.com and on the SEC’s website at www.sec.gov.
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QUARTERLY PORTFOLIO SCHEDULE INFORMATION | IVY VIP |
(UNAUDITED)
Portfolio holdings can be found on the Trust’s website at www.ivyinvestments.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 and/or Form NPORT-EX . 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. |
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THE IVY VARIABLE INSURANCE PORTFOLIOS FAMILY |
Global/International Portfolios
Global Equity Income
Global Growth
International Core Equity
Domestic Equity Portfolios
Core Equity
Growth
Mid Cap Growth
Small Cap Core
Small Cap Growth
Value
Fixed Income Portfolios
Corporate Bond
Global Bond
High Income
Limited-Term Bond
Money Market Portfolio
Government Money Market
Specialty Portfolios
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
Securian Real Estate Securities
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.
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SEMIANN-VIP2 (06/20)
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VARIABLE INSURANCE PORTFOLIOS |
Semiannual Report
JUNE 30, 2020 |
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 | |||
Government Money Market | Class II |
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission (SEC), you may not be receiving paper copies of the Fund’s annual or semi-annual shareholder reports by mail, unless you specifically request paper copies of the reports from the insurance company that offers your variable annuity or variable life insurance contract or from your financial intermediary. Instead of delivering paper copies of the report, the insurance company may choose to make the reports available on a website, and will notify you by mail each time a shareholder report is posted and provide you with a website link to access the report. Instructions for requesting paper copies will be provided by your insurance company.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the insurance company or your financial intermediary electronically by following the instructions provided by the insurance company or by contacting your financial intermediary.
You may elect to receive all future Fund shareholder reports in paper free of charge from the insurance company. You can inform the insurance company or your financial intermediary that you wish to continue receiving paper copies of your shareholder reports by following the instructions provided by the insurance company or by contacting your financial intermediary. Your election to receive reports in paper will apply to all portfolio companies available under your contract with the insurance company.
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CONTENTS | IVY VIP |
3 | ||||
4 | ||||
Portfolio Highlights and Schedule of Investments: | ||||
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12 | ||||
14 | ||||
16 | ||||
18 | ||||
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PRESIDENT’S LETTER | IVY VIP |
JUNE 30, 2020 (UNAUDITED) | ||
Philip J. Sanders, CFA |
Dear Shareholder,
Markets thus far in 2020 have been, to use an overused word, unprecedented. In a matter of months, we have witnessed economic and market moves that typically take an entire market cycle of many years to unfold. Financial markets had been positive in early 2020, as political conflicts, trade uncertainty and global economic growth concerns waned. However, that upward trajectory suddenly reversed in late February 2020 and markets declined in response to two exogenous shocks: the COVID-19 pandemic and the collapse in energy markets. The COVID-19 pandemic caused one of the most rapid and dramatic global economic downturns in history. The U.S. stock markets dropped approximately 35% from peak in February to trough in late March. Global economic activity hit a full stop around the world, as countries and businesses implemented plans to isolate and protect each other. The pause on economic activity, along with a conflict between Russia and Saudi Arabia, caused a historic rout in oil markets. Remarkably, within about 30 days, we moved from a relatively strong domestic economy with financial market indexes hitting record highs, to a global recession.
Governments and central banks have taken unprecedented steps to mitigate the economic blow of social distancing. Monetary policy response has been broader and more rapid than at any other time in history. Global central banks have enacted aggressive stimulus through lower interest rates, quantitative easing (QE) and liquidity provisions, with some developing countries implementing QE for the first time. The U.S. Federal Reserve’s (Fed) response has been the strongest with a broad array of policy measures including an unprecedented pace of QE.
Just as global central banks are acting aggressively, governments around the world are responding with fiscal stimulus. While projected budget deficits for many countries are huge, those figures include loans designed to keep companies afloat and people employed. Up to this point, the fiscal impulse for most major countries is between 5 and 10% of gross domestic product (GDP). This is extremely aggressive both in size and speed of implementation, as we have only been facing this pandemic for a few months. More global fiscal stimulus seems probable. For instance, in addition to the $2.2 trillion CARES (Coronavirus Aid, Relief and Economic Security) Act, we expect another large fiscal stimulus in the U.S. to become law, which will likely include some form of extension to unemployment benefits and provide aid to state and local governments.
Enthusiasm about the economy possibly regaining momentum has been muted by ongoing uncertainty regarding the public health risks of reopening. While volatility has retreated sharply from the record highs of late March, it remains at elevated levels. Recent moves have
shown that markets are likely to respond to changes in new COVID-19 cases, both positively and negatively. Since the March 23 trough, the S&P 500 Index has stabilized and experienced a rapid bounce back. Year-to-date as of June 30, the Index is down 3.1%. Given this rebound, investors might wonder if the market is ahead of itself.
As we move forward and examine the investment landscape, we continue to put greater emphasis on the fundamentals and quality of asset classes and sectors. We believe it is important to stay focused on the merits of individual market sectors, industries and company business models when making investment decisions. Those fundamentals historically have tended to outweigh external factors. In today’s environment, we believe there are many high-quality businesses offering attractive entry points and cyclicals that will likely be key beneficiaries as economies continue to recover. Importantly, through this uncertain time, we remain focused on the innovation and management skill within individual companies, the ultimate drivers of long-term stock prices.
Economic Snapshot
6/30/2020 | 12/31/2019 | |||||||
S&P 500 Index | 3,100.29 | 3,230.78 | ||||||
MSCI EAFE Index | 1,780.58 | 2,036.94 | ||||||
10-Year Treasury Yield | 0.66 | % | 1.92 | % | ||||
U.S. unemployment rate | 11.1 | % | 3.5 | % | ||||
30-year fixed mortgage rate | 3.13 | % | 3.74 | % | ||||
Oil price per barrel | $39.27 | $61.14 |
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.
2020 | SEMIANNUAL REPORT | 3 |
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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, 2020.
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 5 in Notes to Financial Statements for further information.
4 | SEMIANNUAL REPORT | 2020 |
Table of Contents
ILLUSTRATION OF PORTFOLIO EXPENSES | IVY VIP |
(UNAUDITED)
Actual(1) | Hypothetical(2) | |||||||||||||||||||||||||||
Portfolio | Beginning Account Value 12-31-19 | Ending Account Value 6-30-20 | Expenses Paid During Period* | Beginning Account Value 12-31-19 | Ending Account Value 6-30-20 | Expenses Paid During Period* | Annualized Expense Ratio Based on the Six-Month Period | |||||||||||||||||||||
Pathfinder Aggressive | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 967.30 | $ | 0.69 | $ | 1,000 | $ | 1,024.20 | $ | 0.71 | 0.13% | |||||||||||||||
Pathfinder Conservative | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,009.00 | $ | 0.50 | $ | 1,000 | $ | 1,024.40 | $ | 0.51 | 0.09% | |||||||||||||||
Pathfinder Moderate | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 988.50 | $ | 0.20 | $ | 1,000 | $ | 1,024.68 | $ | 0.20 | 0.04% | |||||||||||||||
Pathfinder Moderately Aggressive | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 977.90 | $ | 0.20 | $ | 1,000 | $ | 1,024.69 | $ | 0.20 | 0.04% | |||||||||||||||
Pathfinder Moderately Conservative | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 998.70 | $ | 0.30 | $ | 1,000 | $ | 1,024.55 | $ | 0.30 | 0.06% | |||||||||||||||
Pathfinder Moderate — Managed Volatility | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 961.90 | $ | 1.08 | $ | 1,000 | $ | 1,023.72 | $ | 1.11 | 0.23% | |||||||||||||||
Pathfinder Moderately Aggressive — Managed Volatility | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 950.40 | $ | 1.46 | $ | 1,000 | $ | 1,023.34 | $ | 1.52 | 0.31% | |||||||||||||||
Pathfinder Moderately Conservative — Managed Volatility | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 983.70 | $ | 1.59 | $ | 1,000 | $ | 1,023.29 | $ | 1.62 | 0.32% | |||||||||||||||
Government Money Market | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,003.70 | $ | 2.00 | $ | 1,000 | $ | 1,022.90 | $ | 2.02 | 0.40% |
* | 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 182 days in the six-month period ended June 30, 2020, and divided by 366. |
(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.
2020 | SEMIANNUAL REPORT | 5 |
Table of Contents
PORTFOLIO HIGHLIGHTS | PATHFINDER PORTFOLIOS |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Pathfinder Aggressive – Asset Allocation
Ivy VIP Growth, Class II | 16.4% | |
Ivy VIP International Core Equity, Class II | 16.1% | |
Ivy VIP Core Equity, Class II | 13.2% | |
Ivy VIP Global Equity Income, Class II | 13.2% | |
Ivy VIP Corporate Bond, Class II | 10.9% | |
Ivy VIP Value, Class II | 10.9% | |
Ivy VIP Mid Cap Growth, Class I | 9.7% | |
Ivy VIP Limited-Term Bond, Class II | 5.0% | |
Ivy VIP Small Cap Growth, Class I | 2.5% | |
Ivy VIP Small Cap Core, Class II | 1.2% | |
Ivy VIP High Income, Class I | 0.2% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 0.7% |
Pathfinder Conservative – Asset Allocation
Ivy VIP Limited-Term Bond, Class II | 25.0% | |
Ivy VIP Corporate Bond, Class II | 23.1% | |
Ivy VIP Growth, Class II | 10.2% | |
Ivy VIP Core Equity, Class II | 8.2% | |
Ivy VIP Value, Class II | 7.1% | |
Ivy VIP Government Money Market, Class II | 7.0% | |
Ivy VIP Mid Cap Growth, Class I | 6.6% | |
Ivy VIP International Core Equity, Class II | 5.3% | |
Ivy VIP Global Equity Income, Class II | 4.4% | |
Ivy VIP Small Cap Growth, Class I | 1.5% | |
Ivy VIP High Income, Class I | 1.2% | |
Ivy VIP Small Cap Core, Class II | 0.2% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.2% |
Pathfinder Moderate – Asset Allocation
Ivy VIP Corporate Bond, Class II | 16.6% | |
Ivy VIP Limited-Term Bond, Class II | 15.1% | |
Ivy VIP Growth, Class II | 13.4% | |
Ivy VIP Core Equity, Class II | 10.7% | |
Ivy VIP International Core Equity, Class II | 10.7% | |
Ivy VIP Value, Class II | 9.0% | |
Ivy VIP Global Equity Income, Class II | 8.8% | |
Ivy VIP Mid Cap Growth, Class I | 8.2% | |
Ivy VIP Government Money Market, Class II | 4.0% | |
Ivy VIP Small Cap Growth, Class I | 2.0% | |
Ivy VIP High Income, Class I | 0.7% | |
Ivy VIP Small Cap Core, Class II | 0.7% | |
Cash and Other Assets (Net of Liabilities) | 0.1% |
Pathfinder Moderately Aggressive – Asset Allocation
Ivy VIP Growth, Class II | 14.9% | |
Ivy VIP Corporate Bond, Class II | 13.5% | |
Ivy VIP International Core Equity, Class II | 13.4% | |
Ivy VIP Core Equity, Class II | 12.0% | |
Ivy VIP Global Equity Income, Class II | 11.0% | |
Ivy VIP Limited-Term Bond, Class II | 10.1% | |
Ivy VIP Value, Class II | 9.9% | |
Ivy VIP Mid Cap Growth, Class I | 8.9% | |
Ivy VIP Government Money Market, Class II | 2.3% | |
Ivy VIP Small Cap Growth, Class I | 2.3% | |
Ivy VIP Small Cap Core, Class II | 1.0% | |
Ivy VIP High Income, Class I | 0.5% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.2% |
Pathfinder Moderately Conservative – Asset Allocation
Ivy VIP Corporate Bond, Class II | 20.1% | |
Ivy VIP Limited-Term Bond, Class II | 20.1% | |
Ivy VIP Growth, Class II | 11.8% | |
Ivy VIP Core Equity, Class II | 9.4% | |
Ivy VIP International Core Equity, Class II | 8.0% | |
Ivy VIP Value, Class II | 8.0% | |
Ivy VIP Mid Cap Growth, Class I | 7.4% | |
Ivy VIP Global Equity Income, Class II | 6.6% | |
Ivy VIP Government Money Market, Class II | 5.2% | |
Ivy VIP Small Cap Growth, Class I | 1.8% | |
Ivy VIP High Income, Class I | 1.0% | |
Ivy VIP Small Cap Core, Class II | 0.5% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.1% |
6 | SEMIANNUAL REPORT | 2020 |
Table of Contents
PORTFOLIO HIGHLIGHTS | PATHFINDER PORTFOLIOS |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Pathfinder Moderate – Managed Volatility – Asset Allocation
Ivy VIP Corporate Bond, Class II | 16.0% | |
Ivy VIP Limited-Term Bond, Class II | 14.6% | |
Ivy VIP Growth, Class II | 12.9% | |
Ivy VIP International Core Equity, Class II | 10.4% | |
Ivy VIP Core Equity, Class II | 10.3% | |
Ivy VIP Value, Class II | 8.7% | |
Ivy VIP Global Equity Income, Class II | 8.5% | |
Ivy VIP Mid Cap Growth, Class I | 7.9% | |
Ivy VIP Government Money Market, Class II | 3.9% | |
Ivy VIP Small Cap Growth, Class I | 1.9% | |
Ivy VIP High Income, Class I | 0.7% | |
Ivy VIP Small Cap Core, Class II | 0.7% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.5% |
Pathfinder Moderately Aggressive – Managed Volatility – Asset Allocation
Ivy VIP Growth, Class II | 14.5% | |
Ivy VIP Corporate Bond, Class II | 13.2% | |
Ivy VIP International Core Equity, Class II | 13.1% | |
Ivy VIP Core Equity, Class II | 11.7% | |
Ivy VIP Global Equity Income, Class II | 10.8% | |
Ivy VIP Limited-Term Bond, Class II | 9.8% | |
Ivy VIP Value, Class II | 9.7% | |
Ivy VIP Mid Cap Growth, Class I | 8.7% | |
Ivy VIP Government Money Market, Class II | 2.2% | |
Ivy VIP Small Cap Growth, Class I | 2.2% | |
Ivy VIP Small Cap Core, Class II | 0.9% | |
Ivy VIP High Income, Class I | 0.5% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.7% |
Pathfinder Moderately Conservative – Managed Volatility – Asset Allocation
Ivy VIP Corporate Bond, Class II | 19.3% | |
Ivy VIP Limited-Term Bond, Class II | 19.3% | |
Ivy VIP Growth, Class II | 11.4% | |
Ivy VIP Core Equity, Class II | 9.1% | |
Ivy VIP International Core Equity, Class II | 7.8% | |
Ivy VIP Value, Class II | 7.7% | |
Ivy VIP Mid Cap Growth, Class I | 7.1% | |
Ivy VIP Global Equity Income, Class II | 6.4% | |
Ivy VIP Government Money Market, Class II | 5.0% | |
Ivy VIP Small Cap Growth, Class I | 1.7% | |
Ivy VIP High Income, Class I | 0.9% | |
Ivy VIP Small Cap Core, Class II | 0.5% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.8% |
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.
2020 | SEMIANNUAL REPORT | 7 |
Table of Contents
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2020 (UNAUDITED)
Pathfinder Aggressive
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Core Equity, Class II | 671 | $ | 7,838 | |||||
Ivy VIP Corporate Bond, Class II | 1,120 | 6,499 | ||||||
Ivy VIP Global Equity Income, Class II | 1,556 | 7,840 | ||||||
Ivy VIP Growth, Class II | 922 | 9,761 | ||||||
Ivy VIP High Income, Class I | 49 | 146 | ||||||
Ivy VIP International Core Equity, Class II | 703 | 9,569 | ||||||
Ivy VIP Limited-Term Bond, Class II | 602 | 2,982 | ||||||
Ivy VIP Mid Cap Growth, Class I | 436 | 5,749 | ||||||
Ivy VIP Small Cap Core, Class II | 66 | 711 | ||||||
Ivy VIP Small Cap Growth, Class I | 171 | 1,499 | ||||||
Ivy VIP Value, Class II | 1,247 | 6,458 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL |
| $ | 59,052 | |||||
(Cost: $68,653) |
| |||||||
SHORT-TERM SECURITIES | ||||||||
Money Market Funds (A) – 0.7% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, | 388 | 388 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.7% |
| $ | 388 | |||||
(Cost: $388) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 59,440 | |||||
(Cost: $69,041) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (15 | ) | |||||
NET ASSETS – 100.0% |
| $ | 59,425 |
Notes to Schedule of Investments
(A) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | $ | 59,052 | $ | — | $ | — | ||||||
Short-Term Securities | 388 | — | — | |||||||||
|
| |||||||||||
Total | $ | 59,440 | $ | — | $ | — | ||||||
|
|
See Accompanying Notes to Financial Statements.
Pathfinder Conservative
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Core Equity, Class II | 675 | $ | 7,877 | |||||
Ivy VIP Corporate Bond, Class II | 3,832 | 22,245 | ||||||
Ivy VIP Global Equity Income, Class II | 837 | 4,220 | ||||||
Ivy VIP Government Money Market, Class II | 6,719 | 6,719 | ||||||
Ivy VIP Growth, Class II | 931 | 9,851 | ||||||
Ivy VIP High Income, Class I | 397 | 1,181 | ||||||
Ivy VIP International Core Equity, Class II | 379 | 5,151 | ||||||
Ivy VIP Limited-Term Bond, Class II | 4,867 | 24,112 | ||||||
Ivy VIP Mid Cap Growth, Class I | 481 | 6,349 | ||||||
Ivy VIP Small Cap Core, Class II | 21 | 229 | ||||||
Ivy VIP Small Cap Growth, Class I | 165 | 1,451 | ||||||
Ivy VIP Value, Class II | 1,311 | 6,794 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 99.8% |
| $ | 96,179 | |||||
(Cost: $102,018) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Money Market Funds (A) – 0.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, | 98 | 98 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.1% |
| $ | 98 | |||||
(Cost: $98) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.9% |
| $ | 96,277 | |||||
(Cost: $102,116) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1% |
| 135 | ||||||
NET ASSETS – 100.0% |
| $ | 96,412 |
Notes to Schedule of Investments
(A) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | $ | 96,179 | $ | — | $ | — | ||||||
Short-Term Securities | 98 | — | — | |||||||||
|
| |||||||||||
Total | $ | 96,277 | $ | — | $ | — | ||||||
|
|
See Accompanying Notes to Financial Statements.
Pathfinder Moderate
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Core Equity, Class II | 5,629 | $ | 65,715 | |||||
Ivy VIP Corporate Bond, Class II | 17,506 | 101,617 | ||||||
Ivy VIP Global Equity Income, Class II | 10,719 | 54,027 | ||||||
Ivy VIP Government Money Market, Class II | 24,558 | 24,558 | ||||||
Ivy VIP Growth, Class II | 7,744 | 81,973 | ||||||
Ivy VIP High Income, Class I | 1,523 | 4,534 | ||||||
Ivy VIP International Core Equity, Class II | 4,848 | 65,946 | ||||||
Ivy VIP Limited-Term Bond, Class II | 18,679 | 92,534 | ||||||
Ivy VIP Mid Cap Growth, Class I | 3,792 | 50,031 | ||||||
Ivy VIP Small Cap Core, Class II | 410 | 4,404 | ||||||
Ivy VIP Small Cap Growth, Class I | 1,410 | 12,391 | ||||||
Ivy VIP Value, Class II | 10,642 | 55,128 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL |
| $ | 612,858 | |||||
(Cost: $676,716) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.9% |
| $ | 612,858 | |||||
(Cost: $676,716) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1% |
| 770 | ||||||
NET ASSETS – 100.0% |
| $ | 613,628 |
Notes to Schedule of Investments
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | $ | 612,858 | $ | — | $ | — | ||||||
|
| |||||||||||
Total | $ | 612,858 | $ | — | $ | — | ||||||
|
|
See Accompanying Notes to Financial Statements.
8 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2020 (UNAUDITED)
Pathfinder Moderately Aggressive
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Core Equity, Class II | 7,586 | $ | 88,560 | |||||
Ivy VIP Corporate Bond, Class II | 17,222 | 99,969 | ||||||
Ivy VIP Global Equity Income, Class II | 16,177 | 81,533 | ||||||
Ivy VIP Government Money Market, Class II | 16,669 | 16,669 | ||||||
Ivy VIP Growth, Class II | 10,425 | 110,351 | ||||||
Ivy VIP High Income, Class I | 1,225 | 3,648 | ||||||
Ivy VIP International Core Equity, Class II | 7,316 | 99,519 | ||||||
Ivy VIP Limited-Term Bond, Class II | 15,026 | 74,439 | ||||||
Ivy VIP Mid Cap Growth, Class I | 5,006 | 66,055 | ||||||
Ivy VIP Small Cap Core, Class II | 660 | 7,093 | ||||||
Ivy VIP Small Cap Growth, Class I | 1,916 | 16,831 | ||||||
Ivy VIP Value, Class II | 14,206 | 73,589 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL |
| $ | 738,256 | |||||
(Cost: $831,353) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Money Market Funds (A) – 0.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, | 704 | 704 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.1% |
| $ | 704 | |||||
(Cost: $704) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.9% |
| $ | 738,960 | |||||
(Cost: $832,057) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1% |
| 571 | ||||||
NET ASSETS – 100.0% |
| $ | 739,531 |
Notes to Schedule of Investments
(A) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | $ | 738,256 | $ | — | $ | — | ||||||
Short-Term Securities | 704 | — | — | |||||||||
|
| |||||||||||
Total | $ | 738,960 | $ | — | $ | — | ||||||
|
|
See Accompanying Notes to Financial Statements.
Pathfinder Moderately Conservative
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Core Equity, Class II | 1,499 | $ | 17,499 | |||||
Ivy VIP Corporate Bond, Class II | 6,415 | 37,234 | ||||||
Ivy VIP Global Equity Income, Class II | 2,423 | 12,210 | ||||||
Ivy VIP Government Money Market, Class II | 9,717 | 9,717 | ||||||
Ivy VIP Growth, Class II | 2,064 | 21,853 | ||||||
Ivy VIP High Income, Class I | 612 | 1,823 | ||||||
Ivy VIP International Core Equity, Class II | 1,096 | 14,904 | ||||||
Ivy VIP Limited-Term Bond, Class II | 7,508 | 37,194 | ||||||
Ivy VIP Mid Cap Growth, Class I | 1,035 | 13,662 | ||||||
Ivy VIP Small Cap Core, Class II | 82 | 885 | ||||||
Ivy VIP Small Cap Growth, Class I | 372 | 3,267 | ||||||
Ivy VIP Value, Class II | 2,869 | 14,861 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL |
| $ | 185,109 | |||||
(Cost: $200,567) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Money Market Funds (A) – 0.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, | 146 | 146 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.1% |
| $ | 146 | |||||
(Cost: $146) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 185,255 | |||||
(Cost: $200,713) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0% |
| 62 | ||||||
NET ASSETS – 100.0% |
| $ | 185,317 |
Notes to Schedule of Investments
(A) | Rate shown is the annualized 7-day yield at June 30, 2020. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | $ | 185,109 | $ | — | $ | — | ||||||
Short-Term Securities | 146 | — | — | |||||||||
|
| |||||||||||
Total | $ | 185,255 | $ | — | $ | — | ||||||
|
|
See Accompanying Notes to Financial Statements.
Pathfinder Moderate – Managed Volatility
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Core Equity, Class II | 5,888 | $ | 68,735 | |||||
Ivy VIP Corporate Bond, Class II | 18,302 | 106,234 | ||||||
Ivy VIP Global Equity Income, Class II | 11,213 | 56,517 | ||||||
Ivy VIP Government Money Market, Class II | 25,677 | 25,677 | ||||||
Ivy VIP Growth, Class II | 8,098 | 85,717 | ||||||
Ivy VIP High Income, Class I | 1,592 | 4,742 | ||||||
Ivy VIP International Core Equity, Class II | 5,071 | 68,984 | ||||||
Ivy VIP Limited-Term Bond, Class II | 19,529 | 96,745 | ||||||
Ivy VIP Mid Cap Growth, Class I | 3,965 | 52,319 | ||||||
Ivy VIP Small Cap Core, Class II | 429 | 4,609 | ||||||
Ivy VIP Small Cap Growth, Class I | 1,475 | 12,960 | ||||||
Ivy VIP Value, Class II | 11,135 | 57,683 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL |
| $ | 640,922 | |||||
(Cost: $698,696) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Money Market Funds (A) – 2.6% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, | 17,286 | 17,286 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.6% |
| $ | 17,286 | |||||
(Cost: $17,286) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.1% |
| $ | 658,208 | |||||
(Cost: $715,982) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES (B) – 0.9% |
| 6,125 | ||||||
NET ASSETS – 100.0% |
| $ | 664,333 |
Notes to Schedule of Investments
(A) | Rate shown is the annualized 7-day yield at June 30, 2020. |
(B) | Cash of $7,536 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2020 (contracts unrounded):
Description | Type | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | ||||||||||||||||
E-mini Russell 2000 Index | Short | 150 | 9-19-20 | 8 | $ | (10,782 | ) | $ | 502 | |||||||||||||
E-mini S&P 500 Index | Short | 548 | 9-19-20 | 27 | (84,671 | ) | 103 | |||||||||||||||
|
| |||||||||||||||||||||
$ | (95,453 | ) | $ | 605 | ||||||||||||||||||
|
|
2020 | SEMIANNUAL REPORT | 9 |
Table of Contents
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2020 (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, 2020. 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 | $ | 640,922 | $ | — | $ | — | ||||||
Short-Term Securities | 17,286 | — | — | |||||||||
|
| |||||||||||
Total | $ | 658,208 | $ | — | $ | — | ||||||
|
| |||||||||||
Futures Contracts | $ | 605 | $ | — | $ | — | ||||||
|
|
See Accompanying Notes to Financial Statements.
Pathfinder Moderately Aggressive – Managed Volatility
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Core Equity, Class II | 860 | $ | 10,034 | |||||
Ivy VIP Corporate Bond, Class II | 1,951 | 11,322 | ||||||
Ivy VIP Global Equity Income, Class II | 1,833 | 9,238 | ||||||
Ivy VIP Government Money Market, Class II | 1,888 | 1,888 | ||||||
Ivy VIP Growth, Class II | 1,181 | 12,500 | ||||||
Ivy VIP High Income, Class I | 139 | 413 | ||||||
Ivy VIP International Core Equity, Class II | 829 | 11,276 | ||||||
Ivy VIP Limited-Term Bond, Class II | 1,702 | 8,431 | ||||||
Ivy VIP Mid Cap Growth, Class I | 567 | 7,483 | ||||||
Ivy VIP Small Cap Core, Class II | 75 | 804 | ||||||
Ivy VIP Small Cap Growth, Class I | 217 | 1,907 | ||||||
Ivy VIP Value, Class II | 1,610 | 8,339 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL |
| $ | 83,635 | |||||
(Cost: $94,824) | ||||||||
SHORT-TERM SECURITIES | �� | |||||||
Money Market Funds (A) – 1.8% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.120% | 1,568 | 1,568 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.8% |
| $ | 1,568 | |||||
(Cost: $1,568) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.1% |
| $ | 85,203 | |||||
(Cost: $96,392) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES (B) – 0.9% |
| 778 | ||||||
NET ASSETS – 100.0% |
| $ | 85,981 |
Notes to Schedule of Investments
(A) | Rate shown is the annualized 7-day yield at June 30, 2020. |
(B) | Cash of $962 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2020 (contracts unrounded):
Description | Type | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | ||||||||||||||||
E-mini Russell 2000 Index | Short | 19 | 9-19-20 | 1 | $ | (1,366 | ) | $ | 63 | |||||||||||||
E-mini S&P 500 Index | Short | 70 | 9-19-20 | 3 | (10,815 | ) | 10 | |||||||||||||||
|
| |||||||||||||||||||||
$ | (12,181 | ) | $ | 73 | ||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | $ | 83,635 | $ | — | $ | — | ||||||
Short-Term Securities | 1,568 | — | — | |||||||||
|
| |||||||||||
Total | $ | 85,203 | $ | — | $ | — | ||||||
|
| |||||||||||
Futures Contracts | $ | 73 | $ | — | $ | — | ||||||
|
|
See Accompanying Notes to Financial Statements.
10 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2020 (UNAUDITED)
Pathfinder Moderately Conservative – Managed Volatility
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Core Equity, Class II | 615 | $ | 7,179 | |||||
Ivy VIP Corporate Bond, Class II | 2,630 | 15,269 | ||||||
Ivy VIP Global Equity Income, Class II | 994 | 5,010 | ||||||
Ivy VIP Government Money Market, Class II | 3,985 | 3,985 | ||||||
Ivy VIP Growth, Class II | 847 | 8,964 | ||||||
Ivy VIP High Income, Class I | 251 | 747 | ||||||
Ivy VIP International Core Equity, Class II | 450 | 6,115 | ||||||
Ivy VIP Limited-Term Bond, Class II | 3,079 | 15,252 | ||||||
Ivy VIP Mid Cap Growth, Class I | 425 | 5,604 | ||||||
Ivy VIP Small Cap Core, Class II | 34 | 363 | ||||||
Ivy VIP Small Cap Growth, Class I | 153 | 1,340 | ||||||
Ivy VIP Value, Class II | 1,177 | 6,099 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 96.2% |
| $ | 75,927 | |||||
(Cost: $81,655) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Money Market Funds (A) – 2.5% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, | 1,946 | 1,946 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.5% |
| $ | 1,946 | |||||
(Cost: $1,946) | ||||||||
TOTAL INVESTMENT SECURITIES – 98.7% |
| $ | 77,873 | |||||
(Cost: $83,601) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES (B) – 1.3% |
| 1,054 | ||||||
NET ASSETS – 100.0% |
| $ | 78,927 |
Notes to Schedule of Investments
(A) | Rate shown is the annualized 7-day yield at June 30, 2020. |
(B) | Cash of $887 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2020 (contracts unrounded):
Description | Type | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation | ||||||||||||||||
E-mini Russell 2000 Index | Short | 13 | 9-19-20 | 1 | $ | (935 | ) | $ | 44 | |||||||||||||
E-mini S&P 500 Index | Short | 67 | 9-19-20 | 3 | (10,352 | ) | 84 | |||||||||||||||
|
| |||||||||||||||||||||
$ | (11,287 | ) | $ | 128 | ||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2020. 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 | $ | 75,927 | $ | — | $ | — | ||||||
Short-Term Securities | 1,946 | — | — | |||||||||
|
| |||||||||||
Total | $ | 77,873 | $ | — | $ | — | ||||||
|
| |||||||||||
Futures Contracts | $ | 128 | $ | — | $ | — | ||||||
|
|
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 11 |
Table of Contents
PORTFOLIO HIGHLIGHTS | GOVERNMENT MONEY MARKET |
ALL DATA IS AS OF JUNE 30, 2020 (UNAUDITED)
Asset Allocation
Investment Funds | 43.3% | |||
Money Market Funds | 43.3% | |||
Corporate Obligations | 0.6% | |||
Master Note | 0.6% | |||
United States Government Agency Obligations | 56.1% | |||
Liabilities (Net of Cash and Other Assets) | 0.0% |
12 | SEMIANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | GOVERNMENT MONEY MARKET (in thousands) |
JUNE 30, 2020 (UNAUDITED)
INVESTMENT FUNDS | Shares | Value | ||||||
Money Market Funds (A) – 43.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, | 63,293 | $ | 63,293 | |||||
|
| |||||||
TOTAL INVESTMENT FUNDS – 43.3% |
| $ | 63,293 | |||||
(Cost: $63,293) | ||||||||
CORPORATE OBLIGATIONS | Principal | |||||||
Master Note |
| |||||||
Toyota Motor Credit Corp. (1-Week U.S. LIBOR plus 25 bps), 0.360%, 7-7-20 (B) | $ | 887 | 887 | |||||
|
| |||||||
Total Master Note – 0.6% |
| 887 | ||||||
TOTAL CORPORATE OBLIGATIONS – 0.6% |
| $ | 887 | |||||
(Cost: $887) | ||||||||
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | ||||||||
United States Government Agency Obligations – 56.1% |
| |||||||
U.S. International Development Finance Corp. (GTD by U.S. Government) (3-Month U.S. TB Rate): | ||||||||
0.350%, 7-7-20 (B) | 20,500 | 20,500 | ||||||
0.370%, 7-7-20 (B) | 21,110 | 21,110 | ||||||
0.400%, 7-7-20 (B) | 18,900 | 18,901 | ||||||
0.450%, 7-7-20 (B) | 21,432 | 21,432 | ||||||
|
| |||||||
81,943 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 56.1% |
| $ | 81,943 | |||||
(Cost: $81,943) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 146,123 | |||||
(Cost: $146,123) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (68 | ) | |||||
NET ASSETS – 100.0% |
| $ | 146,055 |
Notes to Schedule of Investments
(A) | Rate shown is the annualized 7-day yield at June 30, 2020. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2020. 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, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Investment Funds | $ | 63,293 | $ | — | $ | — | ||||||
Corporate Obligations | — | 887 | — | |||||||||
United States Government Agency Obligations | — | 81,943 | — | |||||||||
|
| |||||||||||
Total | $ | 63,293 | $ | 82,830 | $ | — | ||||||
|
|
The following acronyms are used throughout this schedule:
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
TB = Treasury Bill
2020 | SEMIANNUAL REPORT | 13 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY VIP |
AS OF JUNE 30, 2020 (UNAUDITED)
(In thousands, except per share amounts) | Pathfinder Aggressive | Pathfinder Conservative | Pathfinder Moderate | Pathfinder Moderately Aggressive | Pathfinder Moderately Conservative | Pathfinder Moderate - Managed | Pathfinder Moderately - Managed | Pathfinder Moderately - Managed | ||||||||||||||||||||||||||||||||
ASSETS |
| |||||||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at value+ | $ | 388 | $ | 98 | $ | — | $ | 704 | $ | 146 | $ | 17,286 | $ | 1,568 | $ | 1,946 | ||||||||||||||||||||||||
Investments in affiliated securities at value+ | 59,052 | 96,179 | 612,858 | 738,256 | 185,109 | 640,922 | 83,635 | 75,927 | ||||||||||||||||||||||||||||||||
Investments at Value | 59,440 | 96,277 | 612,858 | 738,960 | 185,255 | 658,208 | 85,203 | 77,873 | ||||||||||||||||||||||||||||||||
Restricted cash | — | — | — | — | — | 7,536 | 962 | 887 | ||||||||||||||||||||||||||||||||
Investment securities sold receivable | — | 302 | 2,090 | 796 | 254 | — | — | — | ||||||||||||||||||||||||||||||||
Dividends and interest receivable | — | * | — | * | — | * | — | * | — | * | 2 | — | * | — | * | |||||||||||||||||||||||||
Capital shares sold receivable | — | * | — | * | 1 | — | * | — | * | 3 | — | * | 336 | |||||||||||||||||||||||||||
Total Assets | 59,440 | 96,579 | 614,949 | 739,756 | 185,509 | 665,749 | 86,165 | 79,096 | ||||||||||||||||||||||||||||||||
LIABILITIES | ||||||||||||||||||||||||||||||||||||||||
Capital shares redeemed payable | 2 | 151 | 653 | 135 | 165 | 100 | 12 | 7 | ||||||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 6 | 8 | 55 | 65 | 17 | 18 | 3 | 2 | ||||||||||||||||||||||||||||||||
Overdraft due to custodian | — | — | 590 | — | — | — | — | — | ||||||||||||||||||||||||||||||||
Investment management fee payable | — | — | — | — | — | 3 | — | 1 | ||||||||||||||||||||||||||||||||
Accounting services fee payable | 2 | 2 | 9 | 10 | 3 | 9 | 2 | 2 | ||||||||||||||||||||||||||||||||
Variation margin payable | — | — | — | — | — | 1,273 | 162 | 152 | ||||||||||||||||||||||||||||||||
Other liabilities | 5 | 6 | 14 | 15 | 7 | 13 | 5 | 5 | ||||||||||||||||||||||||||||||||
Total Liabilities | 15 | 167 | 1,321 | 225 | 192 | 1,416 | 184 | 169 | ||||||||||||||||||||||||||||||||
Total Net Assets | $ | 59,425 | $ | 96,412 | $ | 613,628 | $ | 739,531 | $ | 185,317 | $ | 664,333 | $ | 85,981 | $ | 78,927 | ||||||||||||||||||||||||
NET ASSETS | ||||||||||||||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 65,028 | $ | 97,191 | $ | 641,663 | $ | 788,124 | $ | 190,512 | $ | 698,420 | $ | 94,184 | $ | 81,093 | ||||||||||||||||||||||||
Accumulated earnings loss | (5,603 | ) | (779 | ) | (28,035 | ) | (48,593 | ) | (5,195 | ) | (34,087 | ) | (8,203 | ) | (2,166 | ) | ||||||||||||||||||||||||
Total Net Assets | $ | 59,425 | $ | 96,412 | $ | 613,628 | $ | 739,531 | $ | 185,317 | $ | 664,333 | $ | 85,981 | $ | 78,927 | ||||||||||||||||||||||||
CAPITAL SHARES OUTSTANDING: | ||||||||||||||||||||||||||||||||||||||||
Class II | 14,459 | 20,255 | 137,927 | 167,968 | 40,020 | 130,663 | 18,187 | 15,595 | ||||||||||||||||||||||||||||||||
NET ASSET VALUE PER SHARE: | ||||||||||||||||||||||||||||||||||||||||
Class II | $ | 4.11 | $ | 4.76 | $ | 4.45 | $ | 4.40 | $ | 4.63 | $ | 5.08 | $ | 4.73 | $ | 5.06 | ||||||||||||||||||||||||
+COST | ||||||||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 388 | $ | 98 | $ | — | $ | 704 | $ | 146 | $ | 17,286 | $ | 1,568 | $ | 1,946 | ||||||||||||||||||||||||
Investments in affiliated securities at cost | 68,653 | 102,018 | 676,716 | 831,353 | 200,567 | 698,696 | 94,824 | 81,655 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
14 | SEMIANNUAL REPORT | 2020 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY VIP |
AS OF JUNE 30, 2020 (UNAUDITED)
(In thousands, except per share amounts) | Government Money Market | ||||
ASSETS |
| ||||
Investments in unaffiliated securities at value+ | $ | 146,123 | |||
Investments at Value | 146,123 | ||||
Dividends and interest receivable | 75 | ||||
Capital shares sold receivable | 10 | ||||
Receivable from affiliates | 29 | ||||
Prepaid and other assets | 1 | ||||
Total Assets | 146,238 | ||||
LIABILITIES | |||||
Capital shares redeemed payable | 140 | ||||
Distributions payable | — | * | |||
Independent Trustees and Chief Compliance Officer fees payable | 32 | ||||
Investment management fee payable | 1 | ||||
Accounting services fee payable | 5 | ||||
Other liabilities | 5 | ||||
Total Liabilities | 183 | ||||
Total Net Assets | $ | 146,055 | |||
NET ASSETS | |||||
Capital paid in (shares authorized – unlimited) | $ | 146,055 | |||
Accumulated earnings gain | — | * | |||
Total Net Assets | $ | 146,055 | |||
CAPITAL SHARES OUTSTANDING: | |||||
Class II | 146,059 | ||||
NET ASSET VALUE PER SHARE: | |||||
Class II | $ | 1.00 | |||
+COST | |||||
Investments in unaffiliated securities at cost | $ | 146,123 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 15 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2020 (UNAUDITED)
(In thousands) | Pathfinder Aggressive | Pathfinder Conservative | Pathfinder Moderate | Pathfinder Moderately Aggressive | Pathfinder Moderately Conservative | Pathfinder - Managed | Pathfinder - Managed | Pathfinder - Managed | ||||||||||||||||||||||||||||||||
INVESTMENT INCOME |
| |||||||||||||||||||||||||||||||||||||||
Dividends from affiliated securities | $ | 1,246 | $ | 2,117 | $ | 13,072 | $ | 15,492 | $ | 4,035 | $ | 13,609 | $ | 1,743 | $ | 1,652 | ||||||||||||||||||||||||
Interest and amortization from unaffiliated securities | 1 | 2 | 4 | 3 | 1 | 61 | 7 | 7 | ||||||||||||||||||||||||||||||||
Total Investment Income | 1,247 | 2,119 | 13,076 | 15,495 | 4,036 | 13,670 | 1,750 | 1,659 | ||||||||||||||||||||||||||||||||
EXPENSES | ||||||||||||||||||||||||||||||||||||||||
Investment management fee | — | — | — | — | — | 638 | 86 | 78 | ||||||||||||||||||||||||||||||||
Distribution and service fees: | ||||||||||||||||||||||||||||||||||||||||
Shareholder servicing: | ||||||||||||||||||||||||||||||||||||||||
Class II | — | * | — | * | — | * | — | * | — | * | — | * | — | * | — | * | ||||||||||||||||||||||||
Custodian fees | — | * | 1 | 1 | 2 | 1 | 1 | 1 | 1 | |||||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 2 | 2 | 13 | 16 | 4 | 18 | 3 | 2 | ||||||||||||||||||||||||||||||||
Accounting services fee | 12 | 14 | 55 | 63 | 23 | 57 | 13 | 13 | ||||||||||||||||||||||||||||||||
Professional fees | 23 | 23 | 26 | 26 | 23 | 29 | 25 | 25 | ||||||||||||||||||||||||||||||||
Insurance fees | 1 | 1 | 11 | 13 | 3 | 10 | 1 | 1 | ||||||||||||||||||||||||||||||||
Printing fees | 2 | 3 | 8 | 9 | 4 | 7 | 1 | 2 | ||||||||||||||||||||||||||||||||
Other | — | * | — | * | 1 | 1 | — | * | 1 | 1 | — | * | ||||||||||||||||||||||||||||
Total Expenses | 40 | 44 | 115 | 130 | 58 | 761 | 131 | 122 | ||||||||||||||||||||||||||||||||
Net Investment Income | 1,207 | 2,075 | 12,961 | 15,365 | 3,978 | 12,909 | 1,619 | 1,537 | ||||||||||||||||||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | — | — | — | — | — | — | — | — | * | |||||||||||||||||||||||||||||||
Investments in affiliated securities | 616 | 744 | 4,295 | 4,395 | 1,283 | 10,777 | 1,073 | 1,385 | ||||||||||||||||||||||||||||||||
Distributions of realized capital gains from affiliated securities | 2,218 | 2,303 | 18,746 | 24,920 | 5,066 | 19,500 | 2,800 | 2,073 | ||||||||||||||||||||||||||||||||
Futures contracts | — | — | — | — | — | (20,629 | ) | (2,620 | ) | (1,605 | ) | |||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | — | * | — | * | — | * | — | * | — | — | * | — | * | — | * | |||||||||||||||||||||||||
Investments in affiliated securities | (6,251 | ) | (4,442 | ) | (45,812 | ) | (64,880 | ) | (11,156 | ) | (50,844 | ) | (7,609 | ) | (4,804 | ) | ||||||||||||||||||||||||
Futures contracts | — | — | — | — | — | 1,184 | 140 | 195 | ||||||||||||||||||||||||||||||||
Net Realized and Unrealized Loss | (3,417 | ) | (1,395 | ) | (22,771 | ) | (35,565 | ) | (4,807 | ) | (40,012 | ) | (6,216 | ) | (2,756 | ) | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (2,210 | ) | $ | 680 | $ | (9,810 | ) | $ | (20,200 | ) | $ | (829 | ) | $ | (27,103 | ) | $ | (4,597 | ) | $ | (1,219 | ) |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
16 | SEMIANNUAL REPORT | 2020 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2020 (UNAUDITED)
(In thousands) | Government Money Market | ||||
INVESTMENT INCOME |
| ||||
Interest and amortization from unaffiliated securities | $ | 921 | |||
Total Investment Income | 921 | ||||
EXPENSES | |||||
Investment management fee | 271 | ||||
Distribution and service fees: | |||||
Shareholder servicing: | |||||
Class II | — | * | |||
Custodian fees | 2 | ||||
Independent Trustees and Chief Compliance Officer fees | 5 | ||||
Accounting services fee | 32 | ||||
Professional fees | 20 | ||||
Other | 4 | ||||
Total Expenses | 334 | ||||
Less: | |||||
Expenses in excess of limit | (29 | ) | |||
Total Net Expenses | 305 | ||||
Net Investment Income | 616 | ||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments in unaffiliated securities | — | * | |||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments in unaffiliated securities | — | ||||
Net Realized and Unrealized Gain | — | * | |||
Net Increase in Net Assets Resulting from Operations | $ | 616 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 17 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY VIP |
Pathfinder Aggressive | Pathfinder Conservative | Pathfinder Moderate | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 1,207 | $ | 907 | $ | 2,075 | $ | 1,687 | $ | 12,961 | $ | 11,452 | ||||||||||||||||||
Net realized gain on investments | 2,834 | 7,868 | 3,047 | 6,321 | 23,041 | 68,117 | ||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (6,251 | ) | 4,449 | (4,442 | ) | 5,418 | (45,812 | ) | 44,037 | |||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (2,210 | ) | 13,224 | 680 | 13,426 | (9,810 | ) | 123,606 | ||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Accumulated earnings: | ||||||||||||||||||||||||||||||
(combined net investment income and net realized gains) | ||||||||||||||||||||||||||||||
Class II | (8,769 | ) | (7,374 | ) | (7,982 | ) | (6,905 | ) | (79,595 | ) | (75,615 | ) | ||||||||||||||||||
Total Distributions to Shareholders | (8,769 | ) | (7,374 | ) | (7,982 | ) | (6,905 | ) | (79,595 | ) | (75,615 | ) | ||||||||||||||||||
Capital Share Transactions | 4,266 | 1,498 | 4,901 | (1,287 | ) | 23,114 | (70,658 | ) | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (6,713 | ) | 7,348 | (2,401 | ) | 5,234 | (66,291 | ) | (22,667 | ) | ||||||||||||||||||||
Net Assets, Beginning of Period | 66,138 | 58,790 | 98,813 | 93,579 | 679,919 | 702,586 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 59,425 | $ | 66,138 | $ | 96,412 | $ | 98,813 | $ | 613,628 | $ | 679,919 | ||||||||||||||||||
Pathfinder Moderately Aggressive | Pathfinder Moderately Conservative | Pathfinder Moderate - Managed Volatility | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 15,365 | $ | 13,376 | $ | 3,978 | $ | 3,491 | $ | 12,909 | $ | 9,293 | ||||||||||||||||||
Net realized gain on investments | 29,315 | 96,363 | 6,349 | 16,658 | 9,648 | 52,655 | ||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (64,880 | ) | 55,859 | (11,156 | ) | 12,370 | (49,660 | ) | 42,967 | |||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (20,200 | ) | 165,598 | (829 | ) | 32,519 | (27,103 | ) | 104,915 | |||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Accumulated earnings: | ||||||||||||||||||||||||||||||
(combined net investment income and net realized gains) | ||||||||||||||||||||||||||||||
Class II | (109,757 | ) | (102,589 | ) | (20,114 | ) | (18,438 | ) | (60,610 | ) | (43,825 | ) | ||||||||||||||||||
Total Distributions to Shareholders | (109,757 | ) | (102,589 | ) | (20,114 | ) | (18,438 | ) | (60,610 | ) | (43,825 | ) | ||||||||||||||||||
Capital Share Transactions | 40,581 | (72,019 | ) | 4,529 | (17,598 | ) | 44,954 | 40,173 | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (89,376 | ) | (9,010 | ) | (16,414 | ) | (3,517 | ) | (42,759 | ) | 101,263 | |||||||||||||||||||
Net Assets, Beginning of Period | 828,907 | 837,917 | 201,731 | 205,248 | 707,092 | 605,829 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 739,531 | $ | 828,907 | $ | 185,317 | $ | 201,731 | $ | 664,333 | $ | 707,092 |
See Accompanying Notes to Financial Statements.
18 | SEMIANNUAL REPORT | 2020 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY VIP |
Pathfinder Moderately Aggressive - Managed Volatility | Pathfinder Moderately Conservative - Managed Volatility | Government Money Market | ||||||||||||||||||||||
(In thousands) | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | ||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 1,619 | $ | 1,203 | $ | 1,537 | $ | 1,133 | $ | 616 | $ | 3,937 | ||||||||||||
Net realized gain on investments | 1,253 | 8,777 | 1,853 | 5,094 | — | * | — | * | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | (7,469 | ) | 5,825 | (4,609 | ) | 4,537 | — | — | ||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (4,597 | ) | 15,805 | (1,219 | ) | 10,764 | 616 | 3,937 | ||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Accumulated earnings: | ||||||||||||||||||||||||
(combined net investment income and net realized gains) | ||||||||||||||||||||||||
Class II | (9,697 | ) | (7,558 | ) | (6,043 | ) | (4,908 | ) | (616 | ) | (3,964 | ) | ||||||||||||
Total Distributions to Shareholders | (9,697 | ) | (7,558 | ) | (6,043 | ) | (4,908 | ) | (616 | ) | (3,964 | ) | ||||||||||||
Capital Share Transactions | 6,995 | 1,066 | 5,743 | 1,754 | (37,968 | ) | (54,886 | ) | ||||||||||||||||
Net Increase (Decrease) in Net Assets | (7,299 | ) | 9,313 | (1,519 | ) | 7,610 | (37,968 | ) | (54,913 | ) | ||||||||||||||
Net Assets, Beginning of Period | 93,280 | 83,967 | 80,446 | 72,836 | 184,023 | 238,936 | ||||||||||||||||||
Net Assets, End of Period | $ | 85,981 | $ | 93,280 | $ | 78,927 | $ | 80,446 | $ | 146,055 | $ | 184,023 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 19 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY VIP |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
Net Asset | Net Investment Income(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 | $ | 5.00 | $ | 0.09 | $ | (0.29 | ) | $ | (0.20 | ) | $ | (0.07 | ) | $ | (0.62 | ) | $ | (0.69 | ) | ||||||||||||||||
Year ended 12-31-2019 | 4.60 | 0.07 | 0.92 | 0.99 | (0.14 | ) | (0.45 | ) | (0.59 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 5.16 | 0.13 | (0.32 | ) | (0.19 | ) | (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 | ) | ||||||||||||||||||||||||
Pathfinder Conservative |
| ||||||||||||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended | 5.15 | 0.11 | (0.07 | ) | 0.04 | (0.09 | ) | (0.34 | ) | (0.43 | ) | ||||||||||||||||||||||||
Year ended 12-31-2019 | 4.83 | 0.09 | 0.59 | 0.68 | (0.10 | ) | (0.26 | ) | (0.36 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 5.16 | 0.10 | (0.20 | ) | (0.10 | ) | (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 | ) | ||||||||||||||||||||||||
Pathfinder Moderate | |||||||||||||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended | 5.19 | 0.10 | (0.19 | ) | (0.09 | ) | (0.09 | ) | (0.56 | ) | (0.65 | ) | |||||||||||||||||||||||
Year ended 12-31-2019 | 4.89 | 0.08 | 0.79 | 0.87 | (0.14 | ) | (0.43 | ) | (0.57 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 5.40 | 0.12 | (0.31 | ) | (0.19 | ) | (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 | ) | ||||||||||||||||||||||||
Pathfinder Moderately Aggressive | |||||||||||||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended | 5.32 | 0.10 | (0.26 | ) | (0.16 | ) | (0.09 | ) | (0.67 | ) | (0.76 | ) | |||||||||||||||||||||||
Year ended 12-31-2019 | 4.98 | 0.08 | 0.92 | 1.00 | (0.15 | ) | (0.51 | ) | (0.66 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 5.59 | 0.13 | (0.37 | ) | (0.24 | ) | (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 | ) | ||||||||||||||||||||||||
Pathfinder Moderately Conservative | |||||||||||||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended | 5.22 | 0.10 | (0.13 | ) | (0.03 | ) | (0.10 | ) | (0.46 | ) | (0.56 | ) | |||||||||||||||||||||||
Year ended 12-31-2019 | 4.90 | 0.08 | 0.70 | 0.78 | (0.12 | ) | (0.34 | ) | (0.46 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 5.32 | 0.11 | (0.24 | ) | (0.13 | ) | (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 | ) |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value. Total returns do not reflect a sales charge or contingent 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) | Does not include expenses of underlying VIP Portfolios in which the Portfolio invests. |
(5) | Annualized. |
.
20 | SEMIANNUAL REPORT | 2020 |
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 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 | |||||||||||||||||||||||||||||||||
Pathfinder Aggressive |
| |||||||||||||||||||||||||||||||||||||||
Class II Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | $ | 4.11 | -3.27 | % | $ | 59 | 0.13 | %(4)(5) | 4.06 | %(4)(5) | — | % | — | % | 19 | % | ||||||||||||||||||||||||
Year ended 12-31-2019 | 5.00 | 23.24 | 66 | 0.09 | (4) | 1.41 | (4) | — | — | 18 | ||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 4.60 | -4.27 | 59 | 0.09 | (4) | 2.49 | (4) | — | — | 51 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 5.16 | 19.83 | 76 | 0.07 | (4) | 1.68 | (4) | — | — | 20 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 4.68 | 4.80 | 75 | 0.08 | (4) | 0.88 | (4) | — | — | 23 | ||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 5.05 | 0.34 | 85 | 0.07 | (4) | 1.36 | (4) | — | — | 13 | ||||||||||||||||||||||||||||||
Pathfinder Conservative |
| |||||||||||||||||||||||||||||||||||||||
Class II Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 4.76 | 0.90 | 96 | 0.09 | (4)(5) | 4.41 | (4)(5) | — | — | 23 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 5.15 | 14.66 | 99 | 0.07 | (4) | 1.71 | (4) | — | — | 31 | ||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 4.83 | -1.93 | 94 | 0.07 | (4) | 1.89 | (4) | — | — | 39 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 5.16 | 10.51 | 109 | 0.06 | (4) | 1.06 | (4) | — | — | 30 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 4.90 | 2.84 | 114 | 0.07 | (4) | 0.71 | (4) | — | — | 26 | ||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 5.15 | 0.45 | 117 | 0.06 | (4) | 1.09 | (4) | — | — | 17 | ||||||||||||||||||||||||||||||
Pathfinder Moderate |
| |||||||||||||||||||||||||||||||||||||||
Class II Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 4.45 | -1.15 | 614 | 0.04 | (4)(5) | 4.22 | (4)(5) | — | — | 18 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 5.19 | 19.05 | 680 | 0.04 | (4) | 1.62 | (4) | — | — | 17 | ||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 4.89 | -3.90 | 703 | 0.03 | (4) | 2.26 | (4) | — | — | 36 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 5.40 | 14.70 | 877 | 0.03 | (4) | 1.30 | (4) | — | — | 22 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 5.02 | 3.65 | 860 | 0.03 | (4) | 0.78 | (4) | — | — | 19 | ||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 5.34 | 0.32 | 893 | 0.03 | (4) | 1.22 | (4) | — | — | 13 | ||||||||||||||||||||||||||||||
Pathfinder Moderately Aggressive |
| |||||||||||||||||||||||||||||||||||||||
Class II Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 4.40 | -2.21 | 740 | 0.04 | (4)(5) | 4.16 | (4)(5) | — | — | 16 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 5.32 | 21.40 | 829 | 0.03 | (4) | 1.56 | (4) | — | — | 19 | ||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 4.98 | -4.71 | 838 | 0.03 | (4) | 2.35 | (4) | — | — | 39 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 5.59 | 16.72 | 1,052 | 0.03 | (4) | 1.66 | (4) | — | — | 20 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 5.14 | 4.52 | 1,020 | 0.04 | (4) | 0.85 | (4) | — | — | 17 | ||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 5.50 | 0.06 | 1,054 | 0.03 | (4) | 1.50 | (4) | — | — | 12 | ||||||||||||||||||||||||||||||
Pathfinder Moderately Conservative |
| |||||||||||||||||||||||||||||||||||||||
Class II Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 4.63 | -0.13 | 185 | 0.06 | (4)(5) | 4.31 | (4)(5) | — | — | 19 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 5.22 | 16.85 | 202 | 0.05 | (4) | 1.67 | (4) | — | — | 18 | ||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 4.90 | -2.67 | 205 | 0.05 | (4) | 2.07 | (4) | — | — | 34 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 5.32 | 12.77 | 251 | 0.05 | (4) | 1.22 | (4) | — | — | 24 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 4.99 | 3.10 | 261 | 0.05 | (4) | 0.80 | (4) | — | — | 16 | ||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 5.30 | 0.33 | 272 | 0.04 | (4) | 1.20 | (4) | — | — | 16 |
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 21 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY VIP |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
Net Asset | Net Investment Income(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 Moderate – Managed Volatility |
| ||||||||||||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended | $ | 5.84 | $ | 0.11 | $ | (0.36 | ) | $ | (0.25 | ) | $ | (0.08 | ) | $ | (0.43 | ) | $ | (0.51 | ) | ||||||||||||||||
Year ended 12-31-2019 | 5.33 | 0.08 | 0.82 | 0.90 | (0.11 | ) | (0.28 | ) | (0.39 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 5.78 | 0.11 | (0.33 | ) | (0.22 | ) | (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 | ) | — | — | — | ||||||||||||||||||||||||||
Pathfinder Moderately Aggressive –Managed Volatility |
| ||||||||||||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended | 5.63 | 0.10 | (0.41 | ) | (0.31 | ) | (0.07 | ) | (0.52 | ) | (0.59 | ) | |||||||||||||||||||||||
Year ended 12-31-2019 | 5.15 | 0.07 | 0.88 | 0.95 | (0.12 | ) | (0.35 | ) | (0.47 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 5.66 | 0.11 | (0.37 | ) | (0.26 | ) | (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 | ) | — | — | — | ||||||||||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility |
| ||||||||||||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended | 5.58 | 0.10 | (0.20 | ) | (0.10 | ) | (0.08 | ) | (0.34 | ) | (0.42 | ) | |||||||||||||||||||||||
Year ended 12-31-2019 | 5.19 | 0.08 | 0.66 | 0.74 | (0.10 | ) | (0.25 | ) | (0.35 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 5.55 | 0.10 | (0.24 | ) | (0.14 | ) | (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 | ) | ||||||||||||||||||||||||
Government Money Market |
| ||||||||||||||||||||||||||||||||||
Class II Shares |
| ||||||||||||||||||||||||||||||||||
Six-month period ended | 1.00 | 0.00 | * | 0.00 | 0.00 | * | — | * | — | — | * | ||||||||||||||||||||||||
Year ended 12-31-2019 | 1.00 | 0.02 | 0.00 | 0.02 | (0.02 | ) | — | * | (0.02 | ) | |||||||||||||||||||||||||
Year ended 12-31-2018 | 1.00 | 0.02 | 0.00 | * | 0.02 | (0.02 | ) | — | * | (0.02 | ) | ||||||||||||||||||||||||
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 | * | — | * | �� | — | — | * |
* | 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 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) | Does not include expenses of underlying VIP Portfolios in which the Portfolio invests. |
(5) | Annualized. |
.
22 | SEMIANNUAL REPORT | 2020 |
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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 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 | |||||||||||||||||||||||||||||||||
Pathfinder Moderate – Managed Volatility |
| |||||||||||||||||||||||||||||||||||||||
Class II Shares |
| |||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | $ | 5.08 | -3.81 | % | $ | 664 | 0.23 | %(4)(5) | 3.91 | %(4)(5) | — | % | — | % | 37 | % | ||||||||||||||||||||||||
Year ended 12-31-2019 | 5.84 | 17.32 | 707 | 0.23 | (4) | 1.39 | (4) | — | — | 9 | ||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 5.33 | -4.00 | 606 | 0.23 | (4) | 2.00 | (4) | — | — | 28 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 5.78 | 13.80 | 600 | 0.23 | (4) | 1.07 | (4) | — | — | 21 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 5.25 | 1.81 | 511 | 0.24 | (4) | 0.55 | (4) | — | — | 14 | ||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 5.37 | -0.43 | 396 | 0.24 | (4) | 0.88 | (4) | — | — | 7 | ||||||||||||||||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility |
| |||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 4.73 | -4.96 | 86 | 0.31 | (4)(5) | 3.78 | (4)(5) | — | — | 35 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 5.63 | 19.29 | 93 | 0.27 | (4) | 1.32 | (4) | — | — | 16 | ||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 5.15 | -4.75 | 84 | 0.27 | (4) | 2.04 | (4) | — | — | 37 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 5.66 | 15.70 | 92 | 0.27 | (4) | 1.38 | (4) | — | — | 19 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 5.06 | 2.36 | 78 | 0.31 | (4) | 0.56 | (4) | — | — | 12 | ||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 5.25 | -0.71 | 67 | 0.30 | (4) | 1.13 | (4) | — | — | 7 | ||||||||||||||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility |
| |||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 5.06 | -1.63 | 79 | 0.32 | (4)(5) | 3.97 | (4)(5) | — | — | 35 | ||||||||||||||||||||||||||||||
Year ended 12-31-2019 | 5.58 | 14.89 | 80 | 0.27 | (4) | 1.45 | (4) | — | — | 14 | ||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 5.19 | -2.90 | 73 | 0.29 | (4) | 1.79 | (4) | — | — | 28 | ||||||||||||||||||||||||||||||
Year ended 12-31-2017 | 5.55 | 11.84 | 74 | 0.27 | (4) | 0.96 | (4) | — | — | 26 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 5.10 | 1.21 | 67 | 0.30 | (4) | 0.49 | (4) | — | — | 11 | ||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 5.23 | -0.52 | 54 | 0.30 | (4) | 0.78 | (4) | — | — | 9 | ||||||||||||||||||||||||||||||
Government Money Market |
| |||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2020 (unaudited) | 1.00 | 0.37 | 146 | 0.40 | (5) | 0.80 | (5) | 0.43 | (5) | 0.77 | (5) | — | ||||||||||||||||||||||||||||
Year ended 12-31-2019 | 1.00 | 1.83 | 184 | 0.42 | 1.82 | — | — | — | ||||||||||||||||||||||||||||||||
Year ended 12-31-2018 | 1.00 | 1.53 | 239 | 0.40 | 1.49 | — | — | — | ||||||||||||||||||||||||||||||||
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 | — |
See Accompanying Notes to Financial Statements.
2020 | SEMIANNUAL REPORT | 23 |
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NOTES TO FINANCIAL STATEMENTS | IVY VIP |
JUNE 30, 2020 (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. Pathfinder Aggressive, Pathfinder Conservative, Pathfinder Moderate, Pathfinder Moderately Aggressive and Pathfinder Moderately Conservative (collectively, the “Pathfinder Portfolios”), Pathfinder Moderate – Managed Volatility, Pathfinder Moderately Aggressive – Managed Volatility and Pathfinder Moderately Conservative – Managed Volatility (collectively, the “Managed Volatility Portfolios”) and Government Money Market (each, a “Portfolio”) are nine series of the Trust and are the only series of the Trust included in the financial statements. The assets belonging to Government Money Market 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”).
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. Income or short-term capital gain distributions received from registered investment companies, if any, are recorded as dividend income. Long-term capital gain distributions received from registered investment companies, if any, are recorded as realized gains.
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.
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 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
24 | SEMIANNUAL REPORT | 2020 |
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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. Because each Pathfinder Portfolio and Managed Volatility Portfolio invests substantially all of its assets in Ivy Variable Insurance Portfolios mutual funds (“Underlying Funds”), the risks associated with investing in the Portfolios are closely related to the risks associated with the securities and other investments held by the Underlying Funds.
In the normal course of business, Government Money Market and the Underlying Funds may 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 Government Money Market and the Underlying Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Underlying Funds; 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, Government Money Market and the Underlying Funds may be exposed to counterparty credit risk, or the risk that an entity with which Government Money Market or the Underlying Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. Government Money Market and the Underlying Funds 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 Underlying Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties.
Certain Underlying Funds 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 Underlying Funds may acquire securities in default and are not obligated to dispose of securities whose issuers subsequently default.
Certain Underlying Funds 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.
If an Underlying Fund 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 Underlying Funds, or, in the case of hedging positions, that the Underlying Fund’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.
The London Interbank Offered Rate “LIBOR” is an indicative measure of the average interest rate at which major global banks could borrow from one another. LIBOR is quoted in multiple currencies and multiple time frames using data reported by private-sector banks. LIBOR is used extensively in the United States and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds and loans, floating rate mortgages, asset-backed securities, consumer loans, and interest rate swaps and other derivatives.
It is expected that a number of private-sector banks currently reporting information used to set LIBOR will stop doing so after 2021 when their current reporting commitment ends, which could either cause LIBOR to stop publication immediately or cause LIBOR’s regulator to determine that its quality has degraded to the degree that it is no longer representative of its underlying market.
Management believes that, with respect to any significant investments by a Portfolio or Underlying Fund in instruments linked to LIBOR, the impact on investments and discontinuation of LIBOR may represent a significant risk.
However, management acknowledges that the anticipated transition away from LIBOR will occur after 2021 and certain of the current investments will mature prior to that time. Furthermore, the ways in which LIBOR’s discontinuation potentially could impact an Underlying Fund’s investments is not fully known. The extent of that impact may vary depending on various factors, which include, but are not limited to: (i) existing fallback or termination provisions in individual contracts and (ii) whether, how, and when industry participants develop and adopt new successor reference rates and/or fallbacks for both legacy and new instruments.
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In addition, the transition to a successor rate could potentially cause (i) increased volatility or illiquidity in markets for instruments that currently rely on LIBOR, (ii) a reduction in the value of certain instruments held by an Underlying Fund, or (iii) reduced effectiveness of related Underlying Fund transactions, such as hedging.
As the impacts of the transition become clearer during the next year, Management will be evaluating the impacts of these changes.
An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. This coronavirus has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.
The individual Portfolios herein have adopted a Liquidity Risk Management Program (the “Program”). The Portfolio’s board has designated a Liquidity Risk Management Committee (the “Committee”) as the administrator of the Program. The Committee or delegates of the Committee conduct the day-to-day operation of the Program. Under the Program, the Committee manages the Portfolio’s liquidity risk, which is the risk that any Portfolio could not meet shareholder redemption requests without significant dilution of remaining shareholders’ interests in the Portfolio. This risk is managed by monitoring the degree of liquidity of the Portfolio’s investments, limiting the amount of the Portfolio’s illiquid investments, and utilizing various risk management tools and facilities available to the Portfolio for meeting shareholder redemptions, among other means. The Committee’s process of determining the degree of liquidity of the Portfolio’s investments is supported by one or more third-party liquidity assessment vendors. The Portfolio’s board reviewed a report prepared by a designee of the Committee regarding the operation, adequacy and effectiveness of the Program from the period June 1, 2019, through March 31, 2020. The report described the Program’s liquidity classification methodology and the methodology in establishing a Portfolio’s Highly Liquid Investment Minimum (“HLIM”), if necessary. The Committee reported that during the period covered by the report, there were no material changes to the Program and no significant liquidity events impacting the Portfolio or its ability to timely meet redemptions without dilution to existing shareholders. In addition, the Committee provided its assessment that the Program, including the operation of each Portfolio’s HLIM, where applicable, had been effective in managing the Portfolio’s liquidity risk.
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.
3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investments in affiliated mutual funds within the Ivy Variable Insurance Portfolios family are valued at their Net Asset Value (“NAV”) as reported by the Underlying Funds. 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.
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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. For purposes of calculating the NAV, the portfolio securities 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.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputs is summarized as follows:
• | Level 1 – Observable inputs such as quoted prices, available in active markets, for identical assets or liabilities. |
• | Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
• | Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at 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:
Derivative Instruments. Exchange-traded futures contracts are generally valued at the settlement 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.
Equity Securities. Investments in registered open-end investment management companies will be valued based upon the NAV of such investments and are categorized as Level 1 of the fair value hierarchy.
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.
Short-term Investments. Short-term investments having a maturity of 60 days or less are valued based on quotes that are obtained from an independent pricing service authorized by the Board. These investments are categorized as Level 2 of the fair value hierarchy.
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.
Futures Contracts. Each Managed Volatility Portfolio is authorized to engage in buying and selling futures contracts. Upon entering into a futures contract, a 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 amounts, known as variation margin, are paid or received by the Portfolio each day, dependent on the daily fluctuations in the value of the underlying debt security or index. Options on futures contracts may also be purchased or sold by a Portfolio.
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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).
Additional Disclosure Related to Derivative Instruments
Fair values of derivative instruments as of June 30, 2020:
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* | $ | 605 | $ | — | ||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | Equity | Unrealized appreciation on futures contracts* | 73 | — | ||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | Equity | Unrealized appreciation on futures contracts* | 128 | — |
* 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, 2020.
Amount of realized gain (loss) on derivatives recognized on the Statement of Operations for the period ended June 30, 2020:
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 | $ | — | $ | — | $ | (20,629 | ) | $ | — | $ | — | $ | (20,629 | ) | |||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | Equity | — | — | (2,620 | ) | — | — | (2,620 | ) | |||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | Equity | — | — | (1,605 | ) | — | — | (1,605 | ) |
* Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
Change in unrealized appreciation (depreciation) on derivatives recognized on the Statement of Operations for the period ended June 30, 2020:
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 | $ | — | $ | — | $ | 1,184 | $ | — | $ | — | $ | 1,184 | |||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | Equity | — | — | 140 | — | — | 140 | |||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | Equity | — | — | 195 | — | — | 195 |
* Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
28 | SEMIANNUAL REPORT | 2020 |
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During the period ended June 30, 2020, 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 | $ | $ | — | $ | 97,120 | $ | — | $ | — | $ | — | |||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | — | 124 | 12,345 | — | — | — | ||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | — | 1,783 | 11,914 | — | — | — |
(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. | INVESTMENT MANAGEMENT AND PAYMENTS TO AFFILIATED PERSONS ($ amounts in thousands unless indicated otherwise) |
Management Fees. IICO serves as each Portfolio’s investment adviser. The management fee is accrued daily by Government Money Market at the following annual rates as a percentage of average daily net assets:
Portfolio (M – Millions) | $0 to $1,000M | Over $1,000M | ||||||
Government Money Market | 0.350 | 0.300 |
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 Securian Asset Management Inc. (“Securian”). Accordingly, Securian 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.
IICO has entered into Subadvisory Agreements with the following entity on behalf of certain Portfolios:
Securian serves as subadvisor to the Managed Volatility Portfolios. The subadvisor makes 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 subadvisor.
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”). 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 Government Money Market 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 |
2020 | SEMIANNUAL REPORT | 29 |
Table of Contents
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.
Expense Reimbursements and/or Waivers. IICO, the Portfolios’ investment manager, has determined to voluntarily waive and/or reimburse sufficient expenses of Government Money Market to the extent necessary to maintain a yield of not less than zero. There is no guarantee that Class II of Government Money Market Fund will maintain such a yield. IICO may amend or terminate this voluntary waiver and/or reimbursement at any time without prior notice to shareholders. Government Money Market class expense limitations and related waivers/reimbursements for the period ended June 30, 2020 were as follows:
Portfolio Name | Share Name | Type of Expense Limit | Commencement Date | End Date | Expense Limit | Amount of Expense Waiver/ Reimbursement | Expense Reduced | |||||||
Government Money Market | Class II | Voluntary | N/A | N/A | To maintain minimum yield | $29 | Investment Management Fees and/or Shareholder Servicing |
Any amounts due to the Portfolios as a reimbursement but not paid as of June 30, 2020 are shown as a receivable from affiliates on the Statement of Assets and Liabilities.
6. | INTERFUND LENDING PROGRAM |
Pursuant to an exemptive order issued by the SEC (“Order”), the Ivy Funds, Ivy Variable Insurance Portfolios and InvestEd Portfolios (collectively, the “Funds” only for purposes of this footnote 6) 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, 2020.
7. | AFFILIATED COMPANY TRANSACTIONS (All amounts in thousands) |
A summary of the transactions in affiliated companies during the period ended June 30, 2020 follows:
12-31-19 Value | Gross Additions | Gross Reductions | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation) | 6-30-20 Value | Distributions Received | Capital Gain Distributions | |||||||||||||||||||||||||||||||||
Pathfinder Aggressive | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Core Equity, Class II | $ | 8,842 | $ | 781 | $ | 1,150 | $ | 33 | $ | (668 | ) | $ | 7,838 | $ | 119 | $ | 373 | |||||||||||||||||||||||
Ivy VIP Corporate Bond, Class II | 5,896 | 1,580 | 1,161 | 73 | 111 | 6,499 | 156 | – | ||||||||||||||||||||||||||||||||
Ivy VIP Global Equity Income, Class II | 7,851 | 2,187 | 909 | 49 | (1,338 | ) | 7,840 | 223 | – | |||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 8,952 | 2,516 | 1,158 | 84 | (633 | ) | 9,761 | 161 | 1,165 | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | 323 | 26 | 180 | (10 | ) | (13 | ) | 146 | 11 | – | ||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 11,721 | 1,059 | 1,780 | 42 | (1,473 | ) | 9,569 | 248 | 2 | |||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 4,595 | 559 | 2,201 | 72 | (43 | ) | 2,982 | 79 | – | |||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | 6,379 | 613 | 1,445 | 280 | (78 | ) | 5,749 | 67 | 375 | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 828 | 142 | 86 | 4 | (177 | ) | 711 | 10 | 32 | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class I | 1,671 | 125 | 304 | 13 | (6 | ) | 1,499 | – | – | |||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 8,690 | 1,502 | 1,777 | (24 | ) | (1,933 | ) | 6,458 | 172 | 271 | ||||||||||||||||||||||||||||||
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$ | 65,748 | $ | 616 | $ | (6,251 | ) | $ | 59,052 | $ | 1,246 | $ | 2,218 | ||||||||||||||||||||||||||||
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30 | SEMIANNUAL REPORT | 2020 |
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12-31-19 Value | Gross Additions | Gross Reductions | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation) | 6-30-20 Value | Distributions Received | Capital Gain Distributions | |||||||||||||||||||||||||||||||||
Pathfinder Conservative | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Core Equity, Class II | $ | 8,365 | $ | 1,490 | $ | 1,365 | $ | 31 | $ | (644 | ) | $ | 7,877 | $ | 122 | $ | 381 | |||||||||||||||||||||||
Ivy VIP Corporate Bond, Class II | 18,661 | 5,699 | 2,748 | 180 | 453 | 22,245 | 541 | – | ||||||||||||||||||||||||||||||||
Ivy VIP Global Equity Income, Class II | 3,977 | 1,592 | 691 | 21 | (679 | ) | 4,220 | 122 | – | |||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 8,639 | 1,319 | 3,239 | – | – | 6,719 | 29 | – | ||||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 8,472 | 3,076 | 1,151 | 72 | (618 | ) | 9,851 | 166 | 1,198 | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | 1,474 | 293 | 414 | (8 | ) | (164 | ) | 1,181 | 93 | – | ||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 5,937 | 1,098 | 1,167 | 21 | (738 | ) | 5,151 | 135 | 1 | |||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 26,285 | 4,537 | 6,772 | 153 | (91 | ) | 24,112 | 646 | – | |||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | 6,620 | 1,396 | 1,922 | 233 | 22 | 6,349 | 76 | 421 | ||||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 254 | 73 | 44 | (1 | ) | (53 | ) | 229 | 3 | 11 | ||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class I | 1,524 | 282 | 373 | 21 | (3 | ) | 1,451 | – | – | |||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 8,223 | 2,478 | 2,001 | 21 | (1,927 | ) | 6,794 | 184 | 291 | |||||||||||||||||||||||||||||||
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$ | 98,431 | $ | 744 | $ | (4,442 | ) | $ | 96,179 | $ | 2,117 | $ | 2,303 | ||||||||||||||||||||||||||||
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12-31-19 Value | Gross Additions | Gross Reductions | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation) | 6-30-20 Value | Distributions Received | Capital Gain Distributions | |||||||||||||||||||||||||||||||||
Pathfinder Moderate | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Core Equity, Class II | $ | 74,751 | $ | 5,464 | $ | 9,182 | $ | 88 | $ | (5,406 | ) | $ | 65,715 | $ | 1,003 | $ | 3,132 | |||||||||||||||||||||||
Ivy VIP Corporate Bond, Class II | 94,712 | 18,484 | 14,605 | 913 | 2,113 | 101,617 | 2,438 | – | ||||||||||||||||||||||||||||||||
Ivy VIP Global Equity Income, Class II | 54,513 | 15,424 | 7,024 | 225 | (9,111 | ) | 54,027 | 1,538 | – | |||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 36,306 | 3,401 | 15,149 | – | – | 24,558 | 115 | – | ||||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 75,699 | 18,155 | 7,311 | 634 | (5,204 | ) | 81,973 | 1,360 | 9,810 | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | 6,732 | 685 | 2,204 | (130 | ) | (549 | ) | 4,534 | 351 | – | ||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 81,384 | 7,391 | 13,023 | (180 | ) | (9,626 | ) | 65,946 | 1,710 | 13 | ||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 107,267 | 12,643 | 27,678 | 564 | (262 | ) | 92,534 | 2,442 | – | |||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | 55,941 | 5,835 | 13,579 | 2,106 | (272 | ) | 50,031 | 587 | 3,269 | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 5,183 | 940 | 646 | (57 | ) | (1,016 | ) | 4,404 | 59 | 200 | ||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class I | 13,931 | 1,154 | 2,779 | 98 | (13 | ) | 12,391 | – | – | |||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 73,454 | 13,725 | 15,619 | 34 | (16,466 | ) | 55,128 | 1,469 | 2,322 | |||||||||||||||||||||||||||||||
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$ | 679,873 | $ | 4,295 | $ | (45,812 | ) | $ | 612,858 | $ | 13,072 | $ | 18,746 | ||||||||||||||||||||||||||||
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12-31-19 Value | Gross Additions | Gross Reductions | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation) | 6-30-20 Value | Distributions Received | Capital Gain Distributions | |||||||||||||||||||||||||||||||||
Pathfinder Moderately Aggressive | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Core Equity, Class II | $ | 101,226 | $ | 6,491 | $ | 11,960 | $ | 62 | $ | (7,259 | ) | $ | 88,560 | $ | 1,337 | $ | 4,177 | |||||||||||||||||||||||
Ivy VIP Corporate Bond, Class II | 98,711 | 14,335 | 16,242 | 1,018 | 2,147 | 99,969 | 2,375 | – | ||||||||||||||||||||||||||||||||
Ivy VIP Global Equity Income, Class II | 82,676 | 22,220 | 9,884 | 347 | (13,826 | ) | 81,533 | 2,298 | – | |||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 30,144 | 2,549 | 16,024 | – | – | 16,669 | 90 | – | ||||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 102,502 | 24,972 | 10,972 | 970 | (7,121 | ) | 110,351 | 1,812 | 13,067 | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | 6,132 | 555 | 2,489 | (147 | ) | (403 | ) | 3,648 | 280 | – | ||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 123,429 | 10,056 | 19,021 | (623 | ) | (14,322 | ) | 99,519 | 2,553 | 20 | ||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 81,987 | 11,171 | 18,889 | 271 | (101 | ) | 74,439 | 1,945 | – | |||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | 74,252 | 6,716 | 17,225 | 2,717 | (405 | ) | 66,055 | 767 | 4,271 | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 8,375 | 1,394 | 945 | (75 | ) | (1,656 | ) | 7,093 | 95 | 318 | ||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class I | 19,011 | 1,328 | 3,589 | 95 | (14 | ) | 16,831 | – | – | |||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 99,473 | 16,922 | 20,646 | (240 | ) | (21,920 | ) | 73,589 | 1,940 | 3,067 | ||||||||||||||||||||||||||||||
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$ | 827,918 | $ | 4,395 | $ | (64,880 | ) | $ | 738,256 | $ | 15,492 | $ | 24,920 | ||||||||||||||||||||||||||||
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2020 | SEMIANNUAL REPORT | 31 |
Table of Contents
12-31-19 Value | Gross Additions | Gross Reductions | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation) | 6-30-20 Value | Distributions Received | Capital Gain Distributions | |||||||||||||||||||||||||||||||||
Pathfinder Moderately Conservative | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Core Equity, Class II | $ | 19,638 | $ | 1,860 | $ | 2,602 | $ | 38 | $ | (1,435 | ) | $ | 17,499 | $ | 270 | $ | 843 | |||||||||||||||||||||||
Ivy VIP Corporate Bond, Class II | 32,110 | 8,694 | 4,604 | 296 | 738 | 37,234 | 903 | – | ||||||||||||||||||||||||||||||||
Ivy VIP Global Equity Income, Class II | 12,156 | 3,719 | 1,684 | 47 | (2,028 | ) | 12,210 | 351 | – | |||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 14,197 | 1,312 | 5,792 | – | – | 9,717 | 45 | – | ||||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 19,888 | 5,209 | 2,029 | 154 | (1,369 | ) | 21,853 | 366 | 2,644 | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | 2,500 | 300 | 706 | (42 | ) | (229 | ) | 1,823 | 143 | – | ||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 18,149 | 1,958 | 3,029 | (118 | ) | (2,056 | ) | 14,904 | 391 | 3 | ||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 43,724 | 4,908 | 11,573 | 258 | (123 | ) | 37,194 | 992 | – | |||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | 15,062 | 1,903 | 3,826 | 585 | (62 | ) | 13,662 | 162 | 902 | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 1,029 | 210 | 140 | (11 | ) | (203 | ) | 885 | 12 | 41 | ||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class I | 3,624 | 375 | 762 | 33 | (3 | ) | 3,267 | – | – | |||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 19,300 | 4,090 | 4,186 | 43 | (4,386 | ) | 14,861 | 400 | 633 | |||||||||||||||||||||||||||||||
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$ | 201,377 | $ | 1,283 | $ | (11,156 | ) | $ | 185,109 | $ | 4,035 | $ | 5,066 | ||||||||||||||||||||||||||||
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12-31-19 Value | Gross Additions | Gross Reductions | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation) | 6-30-20 Value | Distributions Received | Capital Gain Distributions | |||||||||||||||||||||||||||||||||
Pathfinder Moderate – Managed Volatility | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Core Equity, Class II | $ | 75,930 | $ | 19,149 | $ | 21,275 | $ | 989 | $ | (6,058 | ) | $ | 68,735 | $ | 1,044 | $ | 3,261 | |||||||||||||||||||||||
Ivy VIP Corporate Bond, Class II | 96,210 | 39,657 | 32,441 | 1,837 | 971 | 106,234 | 2,537 | – | ||||||||||||||||||||||||||||||||
Ivy VIP Global Equity Income, Class II | 55,446 | 27,161 | 17,313 | 568 | (9,345 | ) | 56,517 | 1,602 | – | |||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 36,995 | 8,654 | 19,972 | – | – | 25,677 | 119 | – | ||||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 76,894 | 33,564 | 20,481 | 1,405 | (5,665 | ) | 85,717 | 1,412 | 10,189 | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | 6,879 | 1,680 | 3,089 | (163 | ) | (565 | ) | 4,742 | 366 | – | ||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 82,775 | 26,449 | 31,336 | 763 | (9,667 | ) | 68,984 | 1,780 | 14 | |||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 109,238 | 32,129 | 44,704 | 1,164 | (1,082 | ) | 96,745 | 2,542 | – | |||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | 56,810 | 16,016 | 22,692 | 3,282 | (1,097 | ) | 52,319 | 611 | 3,402 | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 5,279 | 1,912 | 1,497 | 31 | (1,116 | ) | 4,609 | 62 | 208 | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class I | 14,154 | 3,672 | 5,031 | 230 | (65 | ) | 12,960 | – | – | |||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 74,645 | 27,624 | 28,102 | 671 | (17,155 | ) | 57,683 | 1,534 | 2,426 | |||||||||||||||||||||||||||||||
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$ | 691,255 | $ | 10,777 | $ | (50,844 | ) | $ | 640,922 | $ | 13,609 | $ | 19,500 | ||||||||||||||||||||||||||||
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12-31-19 Value | Gross Additions | Gross Reductions | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation) | 6-30-20 Value | Distributions Received | Capital Gain Distributions | |||||||||||||||||||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Core Equity, Class II | $ | 11,170 | $ | 2,611 | $ | 2,990 | $ | 85 | $ | (842 | ) | $ | 10,034 | $ | 151 | $ | 470 | |||||||||||||||||||||||
Ivy VIP Corporate Bond, Class II | 10,897 | 3,707 | 3,592 | 195 | 115 | 11,322 | 267 | – | ||||||||||||||||||||||||||||||||
Ivy VIP Global Equity Income, Class II | 9,131 | 4,234 | 2,676 | 69 | (1,520 | ) | 9,238 | 258 | – | |||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 3,321 | 651 | 2,084 | – | – | 1,888 | 10 | – | ||||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 11,311 | 4,880 | 3,054 | 205 | (842 | ) | 12,500 | 203 | 1,466 | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | 680 | 142 | 345 | (21 | ) | (43 | ) | 413 | 32 | – | ||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 13,632 | 3,284 | 4,016 | 48 | (1,672 | ) | 11,276 | 287 | 2 | |||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 9,079 | 2,840 | 3,492 | 46 | (42 | ) | 8,431 | 219 | – | |||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | 8,193 | 2,120 | 3,109 | 373 | (94 | ) | 7,483 | 86 | 480 | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 925 | 315 | 244 | 3 | (195 | ) | 804 | 11 | 36 | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class I | 2,098 | 498 | 705 | 25 | (9 | ) | 1,907 | – | – | |||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 10,980 | 3,755 | 3,976 | 45 | (2,465 | ) | 8,339 | 219 | 346 | |||||||||||||||||||||||||||||||
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$ | 91,417 | $ | 1,073 | $ | (7,609 | ) | $ | 83,635 | $ | 1,743 | $ | 2,800 | ||||||||||||||||||||||||||||
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32 | SEMIANNUAL REPORT | 2020 |
Table of Contents
12-31-19 Value | Gross Additions | Gross Reductions | Realized Gain/(Loss) | Net Change in Unrealized Appreciation/ (Depreciation) | 6-30-20 Value | Distributions Received | Capital Gain Distributions | |||||||||||||||||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Core Equity, Class II | $ | 7,649 | $ | 2,008 | $ | 2,010 | $ | 128 | $ | (596 | ) | $ | 7,179 | $ | 111 | $ | 345 | |||||||||||||||||||||||
Ivy VIP Corporate Bond, Class II | 12,506 | 6,157 | 3,800 | 195 | 211 | 15,269 | 370 | – | ||||||||||||||||||||||||||||||||
Ivy VIP Global Equity Income, Class II | 4,740 | 2,373 | 1,382 | 86 | (807 | ) | 5,010 | 144 | – | |||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 5,560 | 1,255 | 2,830 | – | – | 3,985 | 18 | – | ||||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 7,747 | 3,511 | 1,901 | 147 | (540 | ) | 8,964 | 150 | 1,081 | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | 980 | 260 | 383 | (12 | ) | (98 | ) | 747 | 58 | – | ||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 7,076 | 1,873 | 2,048 | 122 | (908 | ) | 6,115 | 160 | 1 | |||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 17,048 | 4,730 | 6,559 | 197 | (164 | ) | 15,252 | 406 | – | |||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | 5,866 | 1,716 | 2,277 | 339 | (40 | ) | 5,604 | 66 | 369 | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 403 | 148 | 108 | 5 | (85 | ) | 363 | 5 | 17 | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class I | 1,412 | 376 | 483 | 40 | (5 | ) | 1,340 | – | – | |||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 7,519 | 2,885 | 2,671 | 138 | (1,772 | ) | 6,099 | 164 | 260 | |||||||||||||||||||||||||||||||
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$ | 78,506 | $ | 1,385 | $ | (4,804 | ) | $ | 75,927 | $ | 1,652 | $ | 2,073 | ||||||||||||||||||||||||||||
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8. | 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, 2020, were as follows:
Purchases | Sales | ||||||||||||||||||||||||
U.S. Government | Other Issuers | U.S. Government | Other Issuers | ||||||||||||||||||||||
Pathfinder Aggressive | $ | — | $ | 11,090 | $ | — | $ | 12,151 | |||||||||||||||||
Pathfinder Conservative | — | 23,333 | — | 21,887 | |||||||||||||||||||||
Pathfinder Moderate | — | 103,301 | — | 128,799 | |||||||||||||||||||||
Pathfinder Moderately Aggressive | — | 118,709 | — | 147,886 | |||||||||||||||||||||
Pathfinder Moderately Conservative | — | 34,538 | — | 40,933 | |||||||||||||||||||||
Pathfinder Moderate – Managed Volatility | — | 237,667 | — | 247,933 | |||||||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | — | 29,037 | — | 30,283 | |||||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | — | 27,292 | — | 26,452 | |||||||||||||||||||||
Government Money Market | — | — | — | — |
9. | 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 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 264 | $ | 1,152 | 904 | $ | 4,399 | 1,729 | $ | 8,635 | 2,758 | $ | 13,757 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 2,257 | 8,769 | 1,655 | 7,374 | 1,740 | 7,982 | 1,443 | 6,905 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (1,281 | ) | (5,655 | ) | (2,113 | ) | (10,275 | ) | (2,387 | ) | (11,716 | ) | (4,383 | ) | (21,949 | ) | ||||||||||||||||||||
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Net increase (decrease) | 1,240 | $ | 4,266 | 446 | $ | 1,498 | 1,082 | $ | 4,901 | (182 | ) | $ | (1,287 | ) | ||||||||||||||||||||||
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Table of Contents
Pathfinder Moderate | Pathfinder Moderately Aggressive | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 74 | $ | 349 | 183 | $ | 932 | 416 | $ | 1,946 | 411 | $ | 2,138 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 18,744 | 79,595 | 16,016 | 75,614 | 26,250 | 109,757 | 21,454 | 102,589 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (11,780 | ) | (56,830 | ) | (29,129 | ) | (147,204 | ) | (14,491 | ) | (71,122 | ) | (34,231 | ) | (176,746 | ) | ||||||||||||||||||||
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Net increase (decrease) | 7,038 | $ | 23,114 | (12,930 | ) | $ | (70,658 | ) | 12,175 | $ | 40,581 | (12,366 | ) | $ | (72,019 | ) | ||||||||||||||||||||
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Pathfinder Moderately Conservative | Pathfinder Moderate – Managed Volatility | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 205 | $ | 1,013 | 617 | $ | 3,094 | 591 | $ | 3,231 | 5,714 | $ | 32,066 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 4,529 | 20,114 | 3,846 | 18,438 | 12,381 | 60,610 | 8,200 | 43,825 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (3,371 | ) | (16,598 | ) | (7,714 | ) | (39,130 | ) | (3,475 | ) | (18,887 | ) | (6,337 | ) | (35,718 | ) | ||||||||||||||||||||
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Net increase (decrease) | 1,363 | $ | 4,529 | (3,251 | ) | $ | (17,598 | ) | 9,497 | $ | 44,954 | 7,577 | $ | 40,173 | ||||||||||||||||||||||
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Pathfinder Moderately Aggressive – Managed Volatility | Pathfinder Moderately Conservative – Managed Volatility | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 633 | $ | 3,154 | 915 | $ | 4,945 | 745 | $ | 3,854 | 1,302 | $ | 7,038 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 2,141 | 9,697 | 1,483 | 7,558 | 1,234 | 6,043 | 950 | 4,908 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (1,162 | ) | (5,856 | ) | (2,123 | ) | (11,437 | ) | (793 | ) | (4,154 | ) | (1,885 | ) | (10,192 | ) | ||||||||||||||||||||
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Net increase | 1,612 | $ | 6,995 | 275 | $ | 1,066 | 1,186 | $ | 5,743 | 367 | $ | 1,754 | ||||||||||||||||||||||||
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Government Money Market | ||||||||||||||||||||||||||||||||||||
Six months ended 6-30-20 (Unaudited) | Year ended 12-31-19 | |||||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | |||||||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 44,744 | $ | 44,744 | 54,880 | $ | 54,880 | ||||||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 609 | 609 | 3,958 | 3,958 | ||||||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (83,321 | ) | (83,321 | ) | (113,724 | ) | (113,724 | ) | ||||||||||||||||||||||||||||
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Net decrease | (37,968 | ) | $ | (37,968 | ) | (54,886 | ) | $ | (54,886 | ) | ||||||||||||||||||||||||||
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34 | SEMIANNUAL REPORT | 2020 |
Table of Contents
10. | FEDERAL INCOME TAX MATTERS ($ amounts in thousands) |
For Federal income tax purposes, cost of investments owned at June 30, 2020 and the related unrealized appreciation (depreciation) were as follows:
Portfolio | Cost of Investments | Gross Appreciation | Gross Depreciation | Net Unrealized Depreciation | ||||||||||||
Pathfinder Aggressive | $ | 69,092 | $ | 1,226 | $ | 10,878 | $ | (9,652 | ) | |||||||
Pathfinder Conservative | 102,269 | 1,581 | 7,573 | (5,992 | ) | |||||||||||
Pathfinder Moderate | 677,462 | 10,736 | 75,340 | (64,604 | ) | |||||||||||
Pathfinder Moderately Aggressive | 832,978 | 13,521 | 107,539 | (94,018 | ) | |||||||||||
Pathfinder Moderately Conservative | 200,947 | 3,303 | 18,995 | (15,692 | ) | |||||||||||
Pathfinder Moderate – Managed Volatility | 716,815 | 11,171 | 69,778 | (58,607 | ) | |||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | 96,566 | 1,415 | 12,778 | (11,363 | ) | |||||||||||
Pathfinder Moderately Conservative – Managed Volatility | 83,609 | 1,409 | 7,145 | (5,736 | ) | |||||||||||
Government Money Market | 146,123 | — | — | — |
For Federal income tax purposes, the Portfolios’ undistributed earnings and profit for the year ended December 31, 2019 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 | $ | 1,186 | $ | 7,577 | $ | — | $ | — | $ | — | |||||||||||||||
Pathfinder Conservative | 2,096 | 5,881 | — | — | — | ||||||||||||||||||||
Pathfinder Moderate | 14,424 | 65,145 | — | — | — | ||||||||||||||||||||
Pathfinder Moderately Aggressive | 17,237 | 92,499 | — | — | — | ||||||||||||||||||||
Pathfinder Moderately Conservative | 4,260 | 15,849 | — | — | — | ||||||||||||||||||||
Pathfinder Moderate – Managed Volatility | 9,288 | 51,310 | — | — | — | ||||||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | 1,199 | 8,494 | — | — | — | ||||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | 1,131 | 4,908 | — | — | — | ||||||||||||||||||||
Government Money Market | 49 | — | — | — | — |
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, 2019 and 2018 were as follows:
December 31, 2019 | December 31, 2018 | ||||||||||||||||||||||||
Portfolio | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | |||||||||||||||||||||
Pathfinder Aggressive | $ | 1,922 | $ | 5,452 | $ | 1,675 | $ | 3,392 | |||||||||||||||||
Pathfinder Conservative | 2,143 | 4,762 | 1,750 | 2,972 | |||||||||||||||||||||
Pathfinder Moderate | 19,550 | 56,065 | 15,410 | 33,109 | |||||||||||||||||||||
Pathfinder Moderately Aggressive | 24,441 | 78,148 | 24,003 | 41,725 | |||||||||||||||||||||
Pathfinder Moderately Conservative | 5,005 | 13,433 | 4,186 | 8,769 | |||||||||||||||||||||
Pathfinder Moderate – Managed Volatility | 12,479 | 31,346 | 8,544 | 15,759 | |||||||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | 2,045 | 5,513 | 1,570 | 2,492 | |||||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | 1,340 | 3,568 | 1,057 | 1,819 | |||||||||||||||||||||
Government Money Market | 3,948 | 16 | 4,344 | — |
(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.
2020 | SEMIANNUAL REPORT | 35 |
Table of Contents
PROXY VOTING INFORMATION | IVY VIP |
(UNAUDITED)
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 1.888.923.3355 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 at www.ivyinvestments.com and on the SEC’s website at www.sec.gov.
36 | SEMIANNUAL REPORT | 2020 |
Table of Contents
QUARTERLY PORTFOLIO SCHEDULE INFORMATION | IVY VIP |
(UNAUDITED)
Portfolio holdings can be found on the Trust’s website at www.ivyinvestments.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 and/or Form NPORT-EX. 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. |
2020 | SEMIANNUAL REPORT | 37 |
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38 | SEMIANNUAL REPORT | 2020 |
Table of Contents
THE IVY VARIABLE INSURANCE PORTFOLIOS FAMILY |
Global/International Portfolios
Global Equity Income
Global Growth
International Core Equity
Domestic Equity Portfolios
Core Equity
Growth
Mid Cap Growth
Small Cap Core
Small Cap Growth
Value
Fixed Income Portfolios
Corporate Bond
Global Bond
High Income
Limited-Term Bond
Money Market Portfolio
Government Money Market
Specialty Portfolios
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
Securian Real Estate Securities
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.
2020 | SEMIANNUAL REPORT | 39 |
Table of Contents
SEMIANN-VIP-PF (06/20)
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.
Table of Contents
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. |
(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. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
(a)(1) | Required in annual report only. |
(a)(2) |
Attached hereto as Exhibit 99.CERT.
(b) |
Attached hereto as Exhibit 99.906CERT.
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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 2, 2020 |
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 2, 2020 | |
By | /s/ Joseph W. Kauten | |
Joseph W. Kauten, Principal Financial Officer | ||
Date: | September 2, 2020 |