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: | 811-05017 | |
Exact name of registrant as specified in charter: | Ivy Variable Insurance Portfolios | |
Address of principal executive offices: | 610 Market Street | |
Philadelphia, PA 19106 | ||
Name and address of agent for service: | David F. Connor, Esq. | |
610 Market Street | ||
Philadelphia, PA 19106 | ||
Registrant’s telephone number, including area code: | (800) 523-1918 | |
Date of fiscal year end: | December 31 | |
Date of reporting period: | June 30, 2022 |
Item 1. Reports to Stockholders
Semiannual report
Ivy Variable Insurance Portfolios
Delaware Ivy VIP Asset Strategy
Delaware Ivy VIP Balanced
Delaware Ivy VIP Energy
Delaware Ivy VIP Growth
Delaware Ivy VIP High Income
Delaware Ivy VIP International Core Equity
Delaware Ivy VIP Mid Cap Growth
Delaware Ivy VIP Natural Resources
Delaware Ivy VIP Science and Technology
Delaware Ivy VIP Small Cap Growth
Delaware Ivy VIP Smid Cap Core
June 30, 2022
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM and includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Funds Management Hong Kong Limited, Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
Other than Macquarie Bank Limited ABN 46 008 583 542 ("Macquarie Bank"), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Portfolios are governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of June 30, 2022, and subject to change for events occurring after such date.
The Portfolios are not FDIC insured and are not guaranteed. It is possible to lose the principal amount invested.
The Portfolios are distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
All third-party marks cited are the property of their respective owners.
Carefully consider the investment objectives, risk factors, charges, and expenses before investing. This and other information can be found in the prospectus and summary prospectus, which may be obtained by visiting delawarefunds.com/products/vip-literature or calling 800 523-1918. Investors should read the prospectus and summary prospectus carefully before investing.
© 2022 Macquarie Management Holdings, Inc.
Disclosure of Portfolio expenses
For the six-month period from January 1, 2022 to June 30, 2022 (Unaudited)
Delaware Ivy VIP Asset Strategy seeks to provide total return.
Delaware Ivy VIP Balanced seeks to provide total return through a combination of capital appreciation and current income.
Delaware Ivy VIP Energy seeks to provide capital growth and appreciation.
Delaware Ivy VIP Growth seeks to provide growth of capital.
Delaware Ivy VIP High Income seeks to provide total return through a combination of high current income and capital appreciation.
Delaware Ivy VIP International Core Equity seeks to provide capital growth and appreciation.
Delaware Ivy VIP Mid Cap Growth seeks to provide growth of capital.
Delaware Ivy VIP Natural Resources seeks to provide capital growth and appreciation.
Delaware Ivy VIP Science and Technology seeks to provide growth of capital.
Delaware Ivy VIP Small Cap Growth seeks to provide growth of capital.
Delaware Ivy VIP Smid Cap Core seeks to provide capital appreciation.
As a shareholder of the Portfolio, you incur ongoing costs, which may include management fees; distribution and service (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2022 to June 30, 2022.
Actual expenses
The first section of the tables shown, “Actual Portfolio return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), 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 account during this period.
Hypothetical example for comparison purposes
The second section of the tables shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on a Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only. As a shareholder of the Portfolio, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Portfolios' expenses shown in the tables reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
Delaware Ivy VIP Asset Strategy
Expense analysis of an investment of $1,000
Expenses | ||||||||||||||||
Paid | ||||||||||||||||
Beginning | Ending | During | ||||||||||||||
Account | Account | Annualized | Period | |||||||||||||
Value | Value | Expense | 1/1/22 to | |||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class I | $ | 1,000.00 | $ | 834.90 | 0.60 | % | $ | 2.73 | ||||||||
Class II | 1,000.00 | 834.20 | 0.85 | % | 3.87 | |||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class I | $ | 1,000.00 | $ | 1,021.82 | 0.60 | % | $ | 3.01 | ||||||||
Class II | 1,000.00 | 1,020.58 | 0.85 | % | 4.26 |
1
Disclosure of Portfolio expenses
Delaware Ivy VIP Balanced
Expense analysis of an investment of $1,000
Expenses | ||||||||||||||||
Paid | ||||||||||||||||
Beginning | Ending | During | ||||||||||||||
Account | Account | Annualized | Period | |||||||||||||
Value | Value | Expense | 1/1/22 to | |||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class II | $ | 1,000.00 | $ | 828.20 | 1.03 | % | $ | 4.67 | ||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class II | $ | 1,000.00 | $ | 1,019.69 | 1.03 | % | $ | 5.16 |
Delaware Ivy VIP Energy
Expense analysis of an investment of $1,000
Expenses | ||||||||||||||||
Paid | ||||||||||||||||
Beginning | Ending | During | ||||||||||||||
Account | Account | Annualized | Period | |||||||||||||
Value | Value | Expense | 1/1/22 to | |||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class I | $ | 1,000.00 | $ | 1,278.30 | 0.96 | % | $ | 5.42 | ||||||||
Class II | 1,000.00 | 1,276.50 | 1.21 | % | 6.83 | |||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class I | $ | 1,000.00 | $ | 1,020.03 | 0.96 | % | $ | 4.81 | ||||||||
Class II | 1,000.00 | 1,018.79 | 1.21 | % | 6.06 |
Delaware Ivy VIP Growth
Expense analysis of an investment of $1,000
Expenses | ||||||||||||||||
Paid | ||||||||||||||||
Beginning | Ending | During | ||||||||||||||
Account | Account | Annualized | Period | |||||||||||||
Value | Value | Expense | 1/1/22 to | |||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class II | $ | 1,000.00 | $ | 729.30 | 1.00 | % | $ | 4.29 | ||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class II | $ | 1,000.00 | $ | 1,019.84 | 1.00 | % | $ | 5.01 |
Delaware Ivy VIP High Income
Expense analysis of an investment of $1,000
Expenses | ||||||||||||||||
Paid | ||||||||||||||||
Beginning | Ending | During | ||||||||||||||
Account | Account | Annualized | Period | |||||||||||||
Value | Value | Expense | 1/1/22 to | |||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class I | $ | 1,000.00 | $ | 859.50 | 0.63 | % | $ | 2.90 | ||||||||
Class II | 1,000.00 | 858.30 | 0.88 | % | 4.05 | |||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class I | $ | 1,000.00 | $ | 1,021.67 | 0.63 | % | $ | 3.16 | ||||||||
Class II | 1,000.00 | 1,020.43 | 0.88 | % | 4.41 |
Delaware Ivy VIP International Core Equity
Expense analysis of an investment of $1,000
Expenses | ||||||||||||||||
Paid | ||||||||||||||||
Beginning | Ending | During | ||||||||||||||
Account | Account | Annualized | Period | |||||||||||||
Value | Value | Expense | 1/1/22 to | |||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class II | $ | 1,000.00 | $ | 817.50 | 1.17 | % | $ | 5.27 | ||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class II | $ | 1,000.00 | $ | 1,018.99 | 1.17 | % | $ | 5.86 |
Delaware Ivy VIP Mid Cap Growth
Expense analysis of an investment of $1,000
Expenses | ||||||||||||||||
Paid | ||||||||||||||||
Beginning | Ending | During | ||||||||||||||
Account | Account | Annualized | Period | |||||||||||||
Value | Value | Expense | 1/1/22 to | |||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class I | $ | 1,000.00 | $ | 671.20 | 0.85 | % | $ | 3.52 | ||||||||
Class II | 1,000.00 | 670.50 | 1.10 | % | 4.56 | |||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class I | $ | 1,000.00 | $ | 1,020.58 | 0.85 | % | $ | 4.26 | ||||||||
Class II | 1,000.00 | 1,019.34 | 1.10 | % | 5.51 |
2
Delaware Ivy VIP Natural Resources
Expense analysis of an investment of $1,000
Expenses | ||||||||||||||||
Paid | ||||||||||||||||
Beginning | Ending | During | ||||||||||||||
Account | Account | Annualized | Period | |||||||||||||
Value | Value | Expense | 1/1/22 to | |||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class II | $ | 1,000.00 | $ | 1,036.90 | 1.16 | % | $ | 5.86 | ||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class II | $ | 1,000.00 | $ | 1,019.04 | 1.16 | % | $ | 5.81 |
Delaware Ivy VIP Science and Technology
Expense analysis of an investment of $1,000
Expenses | ||||||||||||||||
Paid | ||||||||||||||||
Beginning | Ending | During | ||||||||||||||
Account | Account | Annualized | Period | |||||||||||||
Value | Value | Expense | 1/1/22 to | |||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class I | $ | 1,000.00 | $ | 685.90 | 0.96 | % | $ | 4.01 | ||||||||
Class II | 1,000.00 | 685.10 | 1.21 | % | 5.06 | |||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class I | $ | 1,000.00 | $ | 1,020.03 | 0.96 | % | $ | 4.81 | ||||||||
Class II | 1,000.00 | 1,018.79 | 1.21 | % | 6.06 |
Delaware Ivy VIP Small Cap Growth
Expense analysis of an investment of $1,000
Expenses | ||||||||||||||||
Paid | ||||||||||||||||
Beginning | Ending | During | ||||||||||||||
Account | Account | Annualized | Period | |||||||||||||
Value | Value | Expense | 1/1/22 to | |||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class I | $ | 1,000.00 | $ | 731.30 | 0.89 | % | $ | 3.82 | ||||||||
Class II | 1,000.00 | 730.00 | 1.14 | % | 4.89 | |||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class I | $ | 1,000.00 | $ | 1,020.38 | 0.89 | % | $ | 4.46 | ||||||||
Class II | 1,000.00 | 1,019.14 | 1.14 | % | 5.71 |
Delaware Ivy VIP Smid Cap Core
Expense analysis of an investment of $1,000
Expenses | ||||||||||||||||
Paid | ||||||||||||||||
Beginning | Ending | During | ||||||||||||||
Account | Account | Annualized | Period | |||||||||||||
Value | Value | Expense | 1/1/22 to | |||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class II | $ | 1,000.00 | $ | 802.00 | 1.19 | % | $ | 5.32 | ||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class II | $ | 1,000.00 | $ | 1,018.89 | 1.19 | % | $ | 5.96 |
* | “Expenses Paid During Period” are equal to the relevant Portfolio's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
In addition to the Portfolios’ expenses reflected above and on the previous pages, each Portfolio also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds), including exchange-traded funds in which it invests. The tables above and on the previous pages do not reflect the expenses of any applicable Underlying Funds.
3
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Asset Strategy
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | |||||
Security type / sector | of net assets | ||||
Agency Collateralized Mortgage Obligations | 0.51 | % | |||
Agency Commercial Mortgage-Backed | |||||
Securities | 0.84 | % | |||
Agency Mortgage-Backed Securities | 5.18 | % | |||
Corporate Bonds | 14.62 | % | |||
Banking | 4.05 | % | |||
Basic Industry | 0.42 | % | |||
Capital Goods | 0.52 | % | |||
Communications | 1.97 | % | |||
Consumer Cyclical | 1.21 | % | |||
Consumer Non-Cyclical | 1.01 | % | |||
Electric | 0.77 | % | |||
Energy | 1.21 | % | |||
Financials | 1.36 | % | |||
Technology | 1.41 | % | |||
Transportation | 0.69 | % | |||
Non-Agency Commercial Mortgage-Backed | |||||
Security | 0.01 | % | |||
Sovereign Bonds | 0.28 | % | |||
US Treasury Obligations | 11.20 | % | |||
Common Stocks | 57.52 | % | |||
Communication Services | 4.35 | % | |||
Consumer Cyclical | 0.00 | % | |||
Consumer Discretionary | 7.51 | % | |||
Consumer Staples | 4.11 | % | |||
Energy | 3.47 | % | |||
Financials | 8.91 | % | |||
Healthcare | 9.48 | % | |||
Industrials | 8.34 | % | |||
Information Technology | 10.67 | % | |||
Materials | 0.51 | % | |||
Utilities | 0.17 | % | |||
Bullion | 5.13 | % | |||
Short-Term Investments | 4.58 | % | |||
Securities Lending Collateral | 0.07 | % | |||
Total Value of Securities | 99.94 | % | |||
Obligation to Return Securities Lending | |||||
Collateral | (0.07 | %) | |||
Receivables and Other Assets Net of Liabilities | 0.13 | % | |||
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | |||||
Top 10 equity holdings | of net assets | ||||
Microsoft | 2.77 | % | |||
Canadian Natural Resources | 1.74 | % | |||
Union Pacific | 1.46 | % | |||
ConocoPhillips | 1.44 | % | |||
Regeneron Pharmaceuticals | 1.39 | % | |||
ORIX | 1.39 | % | |||
Taiwan Semiconductor Manufacturing | 1.36 | % | |||
UnitedHealth Group | 1.35 | % | |||
Deutsche Telekom | 1.35 | % | |||
Airbus | 1.26 | % |
4
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Balanced
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | |||||
Security type / sector | of net assets | ||||
Agency Collateralized Mortgage Obligations | 0.52 | % | |||
Agency Mortgage-Backed Securities | 6.16 | % | |||
Corporate Bonds | 13.12 | % | |||
Banking | 1.86 | % | |||
Basic Industry | 0.01 | % | |||
Brokerage | 0.80 | % | |||
Capital Goods | 0.70 | % | |||
Communications | 1.57 | % | |||
Consumer Cyclical | 1.14 | % | |||
Consumer Non-Cyclical | 1.56 | % | |||
Electric | 1.12 | % | |||
Energy | 0.52 | % | |||
Finance Companies | 0.28 | % | |||
Financials | 0.06 | % | |||
Insurance | 0.52 | % | |||
Real Estate Investment Trusts | 0.35 | % | |||
Technology | 2.27 | % | |||
Transportation | 0.21 | % | |||
Utilities | 0.15 | % | |||
Non-Agency Commercial Mortgage-Backed | |||||
Securities | 2.94 | % | |||
US Treasury Obligations | 10.97 | % | |||
Common Stocks | 57.14 | % | |||
Banking | 0.75 | % | |||
Communications | 3.26 | % | |||
Consumer Cyclical | 0.99 | % | |||
Consumer Discretionary | 3.10 | % | |||
Consumer Non-Cyclical | 12.68 | % | |||
Consumer Staples | 1.33 | % | |||
Energy | 1.63 | % | |||
Financials | 11.67 | % | |||
Industrials | 3.76 | % | |||
Information Technology | 1.57 | % | |||
Materials | 2.28 | % | |||
Technology | 11.01 | % | |||
Transportation | 1.24 | % | |||
Utilities | 1.87 | % | |||
Short-Term Investments | 9.15 | % | |||
Securities Lending Collateral | 0.38 | % | |||
Total Value of Securities | 100.38 | % | |||
Obligation to Return Securities Lending | |||||
Collateral | (0.38 | %) | |||
Receivables and Other Assets Net of Liabilities | 0.00 | % | |||
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | |||||
Top 10 equity holdings | of net assets | ||||
Microsoft | 4.96 | % | |||
UnitedHealth Group | 3.77 | % | |||
Eli Lilly & Co. | 1.88 | % | |||
NextEra Energy | 1.87 | % | |||
Danaher | 1.85 | % | |||
Apple | 1.83 | % | |||
Sysco | 1.68 | % | |||
ConocoPhillips | 1.63 | % | |||
Progressive | 1.62 | % | |||
TE Connectivity | 1.57 | % |
5
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Energy
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | |||||
Security type / sector | of net assets | ||||
Common Stocks◆ | 96.04 | % | |||
Consumer Staples | 1.38 | % | |||
Energy* | 86.58 | % | |||
Industrials | 3.23 | % | |||
Utilities | 4.85 | % | |||
Master Limited Partnerships | 1.06 | % | |||
Short-Term Investments | 3.30 | % | |||
Securities Lending Collateral | 1.53 | % | |||
Total Value of Securities | 101.93 | % | |||
Obligation to Return Securities Lending | |||||
Collateral | (1.53 | %) | |||
Liabilities Net of Receivables and Other Assets | (0.40 | %) | |||
Total Net Assets | 100.00 | % |
◆ | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
* | To monitor compliance with the Portfolio's concentration guidelines as described in the Portfolio's Prospectus and Statement of Additional Information, the Energy sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Energy sector consisted of Energy-Alternate Sources, Oil-US Royalty Trusts, Oil Component-Exploration & Production, Oil Refining & Marketing, Oil Company-Integrated, Oil & Gas Drilling, and Oil & Gas Services. As of June 30, 2022, such amounts, as a percentage of total net assets, were 5.87%, 1.58%, 50.83%, 9.89%, 11.39%, 3.09%, and 3.93%, respectively. The percentage in any such single industry will comply with the Portfolio's concentration policy even if the percentage in the Energy sector for financial reporting purposes may exceed 25%. |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | ||||
Top 10 equity holdings | of net assets | |||
Shell | 7.48% | |||
Occidental Petroleum | 7.10% | |||
Tourmaline Oil | 5.57% | |||
EQT | 5.31% | |||
Chesapeake Energy | 5.18% | |||
EOG Resources | 5.02% | |||
Denbury | 4.84% | |||
ConocoPhillips | 4.76% | |||
Coterra Energy | 4.66% | |||
Devon Energy | 4.33% |
6
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Growth
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | ||||
Security type / sector | of net assets | |||
Common Stocks◆ | 99.36% | |||
Communication Services | 12.06% | |||
Consumer Discretionary | 12.47% | |||
Consumer Staples | 3.69% | |||
Financials | 4.46% | |||
Healthcare | 9.38% | |||
Industrials | 10.34% | |||
Information Technology* | 46.96% | |||
Short-Term Investments | 0.59% | |||
Total Value of Securities | 99.95% | |||
Receivables and Other Assets Net of Liabilities | 0.05% | |||
Total Net Assets | 100.00% |
◆ | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
* | To monitor compliance with the Portfolio’s concentration guidelines as described in the Portfolio’s Prospectus and Statement of Additional Information, the Information Technology sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Information Technology sector consisted of Commercial Services, Computers, Diversified Financial Services, Internet, Semiconductors, Software, and Telecommunications. As of June 30, 2022, such amounts, as a percentage of total net assets, were 0.94%, 8.52%, 5.53%, 3.80%, 2.68%, 21.40%, and 4.09%, respectively. The percentage in any such single industry will comply with the Portfolio’s concentration policy even if the percentage in the Information Technology sector for financial reporting purposes may exceed 25%. |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | ||||
Top 10 equity holdings | of net assets | |||
Microsoft | 12.90% | |||
Apple | 8.51% | |||
Alphabet Class A | 6.04% | |||
Amazon.com | 5.68% | |||
Visa Class A | 5.53% | |||
UnitedHealth Group | 4.18% | |||
Motorola Solutions | 4.09% | |||
CoStar Group | 3.92% | |||
VeriSign | 3.80% | |||
Coca-Cola | 3.43% |
7
Security type / sector allocations
Delaware Ivy VIP High Income
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | |||||
Security type / sector | of net assets | ||||
Convertible Bond | 0.14% | ||||
Corporate Bonds | 69.63% | ||||
Automotive | 0.51% | ||||
Banking | 0.44% | ||||
Basic Industry | 2.55% | ||||
Capital Goods | 3.42% | ||||
Communications | 9.32% | ||||
Consumer Cyclical | 0.50% | ||||
Consumer Goods | 2.22% | ||||
Energy | 11.65% | ||||
Financial Services | 3.20% | ||||
Healthcare | 6.51% | ||||
Insurance | 2.54% | ||||
Leisure | 4.44% | ||||
Media | 8.99% | ||||
Real Estate | 0.04% | ||||
Retail | 2.64% | ||||
Services | 3.44% | ||||
Technology | 0.09% | ||||
Technology & Electronics | 2.68% | ||||
Transportation | 2.12% | ||||
Utilities | 2.33% | ||||
Municipal Bonds | 0.80% | ||||
Loan Agreements | 13.47% | ||||
Common Stocks | 1.05% | ||||
Basic Industry | 0.38% | ||||
Consumer Goods | 0.00% | ||||
Energy | 0.00% | ||||
Industrials | 0.00% | ||||
Leisure | 0.27% | ||||
Retail | 0.06% | ||||
Services | 0.33% | ||||
Utilities | 0.01% | ||||
Preferred Stock | 0.02% | ||||
Exchange-Traded Funds | 3.98% | ||||
Investment Company | 0.29% | ||||
Warrants | 0.01% | ||||
Short-Term Investments | 8.80% | ||||
Securities Lending Collateral | 4.62% | ||||
Total Value of Securities | 102.81% | ||||
Obligation to Return Securities Lending | |||||
Collateral | (4.62% | ) | |||
Receivables and Other Assets Net of Liabilities | 1.81% | ||||
Total Net Assets | 100.00% |
8
Security type / country and sector allocations
Delaware Ivy VIP International Core Equity
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | |||||
Security type / country | of net assets | ||||
Common Stocks by Country | 99.00 | % | |||
Australia | 0.93 | % | |||
Austria | 1.20 | % | |||
Brazil | 3.17 | % | |||
Canada | 7.58 | % | |||
China | 5.42 | % | |||
China/Hong Kong | 6.32 | % | |||
Denmark | 4.02 | % | |||
France | 12.64 | % | |||
Germany | 10.73 | % | |||
Hong Kong | 1.64 | % | |||
Italy | 0.90 | % | |||
Japan | 11.22 | % | |||
Netherlands | 3.43 | % | |||
Norway | 1.35 | % | |||
Republic of Korea | 3.82 | % | |||
Spain | 1.26 | % | |||
Switzerland | 1.38 | % | |||
Taiwan | 1.94 | % | |||
United Kingdom | 11.50 | % | |||
United States | 8.55 | % | |||
Short-Term Investments | 0.57 | % | |||
Securities Lending Collateral | 1.37 | % | |||
Total Value of Securities | 100.94 | % | |||
Obligation to Return Securities Lending | |||||
Collateral | (1.37 | %) | |||
Receivables and Other Assets Net of Liabilities | 0.43 | % | |||
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | |||||
Common stocks by sector | of net assets | ||||
Communication Services | 2.60 | % | |||
Consumer Discretionary | 19.83 | % | |||
Consumer Staples | 7.23 | % | |||
Energy | 9.07 | % | |||
Financials | 16.63 | % | |||
Healthcare | 13.84 | % | |||
Industrials | 16.85 | % | |||
Information Technology | 7.47 | % | |||
Materials | 3.40 | % | |||
Utilities | 2.08 | % | |||
Total | 99.00 | % |
9
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Mid Cap Growth
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | |||||
Security type / sector | of net assets | ||||
Common Stocks ◆ | 99.97 | % | |||
Communication Services | 4.30 | % | |||
Consumer Discretionary | 17.39 | % | |||
Consumer Staples | 1.28 | % | |||
Financials | 6.72 | % | |||
Healthcare | 21.37 | % | |||
Industrials | 14.46 | % | |||
Information Technology* | 33.47 | % | |||
Materials | 0.98 | % | |||
Short-Term Investments | 0.33 | % | |||
Securities Lending Collateral | 1.80 | % | |||
Total Value of Securities Before Options | |||||
Written | 102.10 | % | |||
Options Written | (0.19 | %) | |||
Obligation to Return Securities Lending | |||||
Collateral | (1.80 | %) | |||
Liabilities Net of Receivables and Other Assets | (0.11 | %) | |||
Total Net Assets | 100.00 | % |
◆ | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
* | To monitor compliance with the Portfolio's concentration guidelines as described in the Portfolio's Prospectus and Statement of Additional Information, the Information Technology sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Information Technology sector consisted of Advertising, Computers, Electrical Components & Equipment, Electronics, Semiconductors, Software, and Telecommunications. As of June 30, 2022, such amounts, as a percentage of total net assets, were 1.00%, 2.74%, 2.72%, 5.91%, 9.49%, 9.06%, and 2.55%, respectively. The percentage in any such single industry will comply with the Portfolio's concentration policy even if the percentages in the Information Technology sector for financial reporting purposes may exceed 25%. |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | |||||
Top 10 equity holdings | of net assets | ||||
CoStar Group | 3.95 | % | |||
Monolithic Power Systems | 3.23 | % | |||
Chipotle Mexican Grill | 3.14 | % | |||
Dexcom | 2.93 | % | |||
MarketAxess Holdings | 2.74 | % | |||
Arista Networks | 2.55 | % | |||
Seagen | 2.23 | % | |||
Teradyne | 2.22 | % | |||
II-VI | 2.19 | % | |||
Keysight Technologies | 2.08 | % |
10
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Natural Resources
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | |||||
Security type / sector | of net assets | ||||
Closed-Ended Trust | 3.05 | % | |||
Common Stocks ◆ | 93.01 | % | |||
Basic Industry | 23.53 | % | |||
Consumer Staples | 6.46 | % | |||
Energy* | 46.28 | % | |||
Industrials | 6.43 | % | |||
Materials | 6.91 | % | |||
Real Estate Investment Trusts | 3.40 | % | |||
Short-Term Investments | 4.11 | % | |||
Securities Lending Collateral | 7.93 | % | |||
Total Value of Securities | 108.10 | % | |||
Obligation to Return Securities Lending | |||||
Collateral | (7.93 | %) | |||
Liabilities Net of Receivables and Other Assets | (0.17 | %) | |||
Total Net Assets | 100.00 | % |
◆ | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
* | To monitor compliance with the Portfolio’s concentration guidelines as described in the Portfolio’s Prospectus and Statement of Additional Information, the Energy sectors (as disclosed herein for financial reporting purposes) are subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Energy sector consisted of Energy-Alternate Sources, Oil Component-Explore & Production, Oil Component-Integrated, Oil Refining & Marketing, Oil & Gas Drilling, Oil-US Royalty Trusts, and Oil & Gas Services. As of June 30, 2022, such amounts, as a percentage of total net assets were 6.17%, 22.58%, 3.82%, 4.88%, 1.67%, 3.51%, and 3.65%, respectively. The percentage in any such single industry will comply with the Portfolio’s concentration policy even if the percentage in the Energy sector for financial reporting purposes may exceed 25% |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | |||||
Top 10 equity holdings | of net assets | ||||
Chesapeake Energy | 5.66 | % | |||
EQT | 4.61 | % | |||
BHP Group | 4.20 | % | |||
Valero Energy | 3.98 | % | |||
Nutrien | 3.87 | % | |||
Denbury | 3.85 | % | |||
Shell | 3.83 | % | |||
Newmont | 3.69 | % | |||
Wheaton Precious Metals | 3.69 | % | |||
Schlumberger | 3.65 | % |
11
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Science and Technology
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | |||||
Security type / sector | of net assets | ||||
Corporate Bond | 0.06 | % | |||
Consumer Discretionary | 0.06 | % | |||
Common Stocks ◆ | 90.43 | % | |||
Communication Services | 15.59 | % | |||
Consumer Discretionary | 6.83 | % | |||
Healthcare | 3.96 | % | |||
Industrials | 1.64 | % | |||
Information Technology* | 62.41 | % | |||
Short-Term Investments | 9.68 | % | |||
Securities Lending Collateral | 2.18 | % | |||
Total Value of Securities | 102.35 | % | |||
Obligation to Return Securities Lending | |||||
Collateral | (2.18 | %) | |||
Liabilities Net of Receivables and Other Assets | (0.17 | %) | |||
Total Net Assets | 100.00 | % |
◆ | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
* | To monitor compliance with the Portfolio's concentration guidelines as described in the Portfolio's Prospectus and Statement of Additional Information, the Information Technology sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Information Technology sector consisted of Commercial Services, Computers, Diversified Financial Services, Electronics, Internet, Semiconductors, and Software. As of June 30, 2022, such amounts, as a percentage of total net assets were 0.76%, 7.86%, 6.79%, 2.75%, 2.29%, 20.99%, and 20.97%, respectively. The percentage in any such single industry will comply with the Portfolio's concentration policy even if the percentage in the Information Technology sector for financial reporting purposes may exceed 25%. |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | |||||
Top 10 equity holdings | of net assets | ||||
Microsoft | 11.14 | % | |||
Mastercard Class A | 6.79 | % | |||
Meta Platforms Class A | 4.81 | % | |||
Amazon.com | 4.80 | % | |||
Apple | 4.18 | % | |||
T-Mobile US | 3.74 | % | |||
ASML Holding | 3.25 | % | |||
Microchip Technology | 2.97 | % | |||
Amphenol Class A | 2.75 | % | |||
Analog Devices | 2.67 | % |
12
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Small Cap Growth
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | |||||
Security type / sector | of net assets | ||||
Common Stocks | 96.28 | % | |||
Communication Services | 2.70 | % | |||
Consumer Discretionary | 14.36 | % | |||
Consumer Staples | 4.71 | % | |||
Energy | 3.82 | % | |||
Financials | 5.62 | % | |||
Healthcare | 23.32 | % | |||
Industrials | 15.73 | % | |||
Information Technology | 23.79 | % | |||
Materials | 1.02 | % | |||
Real Estate | 0.69 | % | |||
Technology | 0.52 | % | |||
Short-Term Investments | 3.39 | % | |||
Securities Lending Collateral | 0.84 | % | |||
Total Value of Securities | 100.51 | % | |||
Obligation to Return Securities Lending | |||||
Collateral | (0.84 | %) | |||
Receivables and Other Assets Net of Liabilities | 0.33 | % | |||
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | |||||
Top 10 equity holdings | of net assets | ||||
BJ's Wholesale Club Holdings | 2.48 | % | |||
Globant | 2.42 | % | |||
Omnicell | 2.40 | % | |||
SiTime | 2.27 | % | |||
CryoPort | 2.27 | % | |||
Nexstar Media Group Class A | 2.25 | % | |||
Marriott Vacations Worldwide | 2.19 | % | |||
Clean Harbors | 2.09 | % | |||
Viavi Solutions | 2.01 | % | |||
Paycor HCM | 2.01 | % |
13
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Smid Cap Core
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | |||||
Security type / sector | of net assets | ||||
Common Stocks | 97.75 | % | |||
Basic Materials | 8.12 | % | |||
Business Services | 4.62 | % | |||
Capital Goods | 11.55 | % | |||
Communications Services | 0.74 | % | |||
Consumer Discretionary | 5.32 | % | |||
Consumer Services | 1.80 | % | |||
Consumer Staples | 3.09 | % | |||
Credit Cyclicals | 2.77 | % | |||
Energy | 5.53 | % | |||
Financials | 14.38 | % | |||
Healthcare | 13.81 | % | |||
Information Technology | 0.77 | % | |||
Media | 1.10 | % | |||
Real Estate Investment Trusts | 6.29 | % | |||
Technology | 12.77 | % | |||
Transportation | 2.93 | % | |||
Utilities | 2.16 | % | |||
Short-Term Investments | 2.35 | % | |||
Securities Lending Collateral | 0.03 | % | |||
Total Value of Securities | 100.13 | % | |||
Obligation to Return Securities Lending | |||||
Collateral | (0.03 | %) | |||
Liabilities Net of Receivables and Other Assets | (0.10 | %) | |||
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | |||||
Top 10 equity holdings | of net assets | ||||
Diamondback Energy | 2.73 | % | |||
Quanta Services | 1.97 | % | |||
Reliance Steel & Aluminum | 1.86 | % | |||
ExlService Holdings | 1.63 | % | |||
Huntsman | 1.49 | % | |||
Chesapeake Energy | 1.45 | % | |||
Catalent | 1.39 | % | |||
Liberty Energy Class A | 1.35 | % | |||
East West Bancorp | 1.32 | % | |||
Primerica | 1.18 | % |
14
Consolidated schedules of investments
Delaware Ivy VIP Asset Strategy
June 30, 2022 (Unaudited)
Principal | |||||||
amount° | Value (US $) | ||||||
Agency Collateralized Mortgage Obligations – 0.51% | |||||||
Fannie Mae Interest Strip | |||||||
Series 413 C35 4.50% | |||||||
10/25/40 Σ | 1,259,392 | $ | 226,976 | ||||
Fannie Mae REMICs | |||||||
Series 2015-18 NS 4.496% | |||||||
(6.12% minus LIBOR01M, | |||||||
Cap 6.12%) 4/25/45 Σ | 1,191,694 | 174,703 | |||||
Series 2015-37 SB 3.996% | |||||||
(5.62% minus LIBOR01M, | |||||||
Cap 5.62%) 6/25/45 Σ | 2,440,050 | 293,897 | |||||
Series 2016-22 ST 4.476% | |||||||
(6.10% minus LIBOR01M, | |||||||
Cap 6.10%) 4/25/46 Σ | 2,857,269 | 295,114 | |||||
Series 2016-48 US 4.476% | |||||||
(6.10% minus LIBOR01M, | |||||||
Cap 6.10%) 8/25/46 Σ | 2,943,196 | 333,592 | |||||
Series 2017-33 AI 4.50% | |||||||
5/25/47 Σ | 1,193,377 | 233,858 | |||||
Series 2018-44 DS 4.626% | |||||||
(6.25% minus LIBOR01M, | |||||||
Cap 6.25%) 6/25/48 Σ | 5,517,799 | 666,682 | |||||
Series 2019-13 IP 5.00% | |||||||
3/25/49 Σ | 780,358 | 149,924 | |||||
Series 4740 SB 4.826% | |||||||
(6.15% minus LIBOR01M, | |||||||
Cap 6.15%) 11/15/47 Σ | 1,130,839 | 160,205 | |||||
Freddie Mac Strips | |||||||
Series 303 C28 4.50% | |||||||
1/15/43 Σ | 2,405,505 | 496,080 | |||||
Total Agency Collateralized Mortgage | |||||||
Obligations | |||||||
(cost $3,859,003) | 3,031,031 | ||||||
Agency Commercial Mortgage-Backed Securities – 0.84% | |||||||
Fannie Mae | |||||||
Series 2017-M2 A2 2.885% | |||||||
2/25/27 • | 1,507,929 | 1,469,105 | |||||
Freddie Mac Multifamily | |||||||
Structured Pass Through | |||||||
Certificates | |||||||
Series K103 X1 0.757% | |||||||
11/25/29 • | 2,021,091 | 80,248 | |||||
Series K115 X1 1.429% | |||||||
6/25/30 • | 1,794,231 | 151,851 | |||||
FREMF Mortgage Trust | |||||||
Series 2016-K60 B 144A | |||||||
3.661% 12/25/49 #, • | 2,751,000 | 2,647,872 | |||||
FREMF Mortgage Trust | |||||||
Series 2018-K73 B 144A | |||||||
3.986% 2/25/51 #, • | 600,000 | 581,242 | |||||
Total Agency Commercial Mortgage-Backed | |||||||
Securities | |||||||
(cost $5,456,962) | 4,930,318 | ||||||
Agency Mortgage-Backed Securities – 5.18% | |||||||
Fannie Mae S.F. 15 yr | |||||||
2.50% 4/1/36 | 2,270,809 | 2,173,828 | |||||
Fannie Mae S.F. 30 yr | |||||||
2.00% 12/1/50 | 3,192,768 | 2,783,707 | |||||
2.00% 1/1/51 | 2,621,639 | 2,297,006 | |||||
2.00% 10/1/51 | 3,473,325 | 3,028,677 | |||||
2.50% 7/1/50 | 3,824,431 | 3,454,295 | |||||
3.00% 8/1/50 | 797,523 | 749,308 | |||||
3.50% 8/1/48 | 4,218,448 | 4,125,775 | |||||
4.00% 3/1/47 | 4,367,792 | 4,398,518 | |||||
5.00% 6/1/52 | 1,954,626 | 1,997,213 | |||||
Freddie Mac S.F. 30 yr | |||||||
2.50% 1/1/51 | 1,423,480 | 1,294,330 | |||||
GNMA II S.F. 30 yr | |||||||
3.50% 6/20/50 | 4,212,398 | 4,118,416 | |||||
Total Agency Mortgage-Backed Securities | |||||||
(cost $33,550,319) | 30,421,073 | ||||||
Corporate Bonds – 14.62% | |||||||
Banking – 4.05% | |||||||
Banco Santander | |||||||
1.722% 9/14/27 µ | 1,000,000 | 868,683 | |||||
1.849% 3/25/26 | 2,000,000 | 1,800,867 | |||||
Bank of America | |||||||
2.551% 2/4/28 µ | 95,000 | 86,472 | |||||
2.972% 2/4/33 µ | 45,000 | 38,378 | |||||
4.375% 1/27/27 *, µ, ψ | 45,000 | 37,452 | |||||
4.571% 4/27/33 *, µ | 210,000 | 204,621 | |||||
6.125% 4/27/27 µ, ψ | 85,000 | 82,184 | |||||
Citigroup | |||||||
1.122% 1/28/27 µ | 2,500,000 | 2,211,458 | |||||
3.057% 1/25/33 µ | 140,000 | 118,802 | |||||
3.07% 2/24/28 µ | 115,000 | 106,762 | |||||
Credit Agricole | |||||||
144A 1.907% 6/16/26 #, µ | 2,657,000 | 2,447,118 | |||||
144A 8.125% | |||||||
12/23/25 #, µ, ψ | 2,000,000 | 2,055,550 | |||||
Credit Suisse Group 144A | |||||||
2.193% 6/5/26 #, *, µ | 1,654,000 | 1,501,339 | |||||
Deutsche Bank 2.129% | |||||||
11/24/26 µ | 2,000,000 | 1,778,820 | |||||
Fifth Third Bancorp 4.337% | |||||||
4/25/33 µ | 725,000 | 690,375 |
15
Consolidated schedules of investments
Delaware Ivy VIP Asset Strategy
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Banking (continued) | |||||||
Goldman Sachs Group | |||||||
1.542% 9/10/27 µ | 570,000 | $ | 500,753 | ||||
3.102% 2/24/33 µ | 45,000 | 38,477 | |||||
3.615% 3/15/28 µ | 170,000 | 161,017 | |||||
Huntington National Bank | |||||||
4.552% 5/17/28 µ | 505,000 | 501,978 | |||||
ING Groep | |||||||
3.875% 5/16/27 µ, ψ | 1,000,000 | 729,214 | |||||
4.25% 5/16/31 µ, ψ | 1,000,000 | 684,399 | |||||
JPMorgan Chase & Co. | |||||||
1.953% 2/4/32 µ | 165,000 | 132,029 | |||||
4.586% 4/26/33 µ | 505,000 | 496,557 | |||||
KeyCorp 4.789% 6/1/33 µ | 710,000 | 701,207 | |||||
Morgan Stanley | |||||||
1.928% 4/28/32 µ | 625,000 | 496,252 | |||||
2.475% 1/21/28 µ | 70,000 | 63,689 | |||||
2.484% 9/16/36 µ | 1,500,000 | 1,154,966 | |||||
Nordea Bank 144A 3.75% | |||||||
3/1/29 #, µ, ψ | 1,000,000 | 739,007 | |||||
PNC Financial Services Group | |||||||
6.00% 5/15/27 *, µ, ψ | 105,000 | 101,051 | |||||
State Street 2.203% 2/7/28 *, µ | 140,000 | 128,305 | |||||
SVB Financial Group 4.57% | |||||||
4/29/33 *, µ | 185,000 | 173,860 | |||||
Toronto-Dominion Bank 4.108% | |||||||
6/8/27 * | 205,000 | 202,889 | |||||
UBS Group 144A 2.095% | |||||||
2/11/32 #, µ | 1,500,000 | 1,192,492 | |||||
UniCredit 144A 5.459% | |||||||
6/30/35 #, µ | 1,000,000 | 809,001 | |||||
US Bancorp | |||||||
2.215% 1/27/28 µ | 115,000 | 105,435 | |||||
2.677% 1/27/33 µ | 115,000 | 99,089 | |||||
Wells Fargo & Co. | |||||||
3.526% 3/24/28 µ | 85,000 | 80,584 | |||||
4.611% 4/25/53 µ | 520,000 | 482,081 | |||||
23,803,213 | |||||||
Basic Industry – 0.42% | |||||||
Newmont 2.60% 7/15/32 | 75,000 | 61,970 | |||||
Sherwin-Williams 2.90% 3/15/52 | 710,000 | 485,129 | |||||
Suzano Austria 2.50% 9/15/28 | 600,000 | 488,376 | |||||
Teck Resources 3.90% 7/15/30 | 1,000,000 | 920,803 | |||||
Westlake 3.125% 8/15/51 | 690,000 | 482,881 | |||||
2,439,159 | |||||||
Capital Goods – 0.52% | |||||||
Aeropuerto Internacional de | |||||||
Tocumen 144A 4.00% | |||||||
8/11/41 # | 500,000 | 406,327 | |||||
Boeing | |||||||
4.875% 5/1/25 | 1,083,000 | 1,080,508 | |||||
5.805% 5/1/50 | 429,000 | 394,802 | |||||
Lockheed Martin | |||||||
3.90% 6/15/32 * | 145,000 | 143,247 | |||||
4.15% 6/15/53 | 125,000 | 116,926 | |||||
Standard Industries 144A | |||||||
4.375% 7/15/30 # | 1,173,000 | 927,356 | |||||
3,069,166 | |||||||
Communications – 1.97% | |||||||
Alibaba Group Holding 2.125% | |||||||
2/9/31 | 500,000 | 413,927 | |||||
Amazon.com | |||||||
1.50% 6/3/30 | 654,000 | 543,896 | |||||
2.50% 6/3/50 | 543,000 | 383,853 | |||||
3.60% 4/13/32 | 170,000 | 163,870 | |||||
3.95% 4/13/52 | 210,000 | 194,375 | |||||
American Homes 4 Rent 3.625% | |||||||
4/15/32 | 85,000 | 74,613 | |||||
AT&T | |||||||
2.25% 2/1/32 * | 1,500,000 | 1,226,919 | |||||
3.65% 6/1/51 | 2,653,000 | 2,079,014 | |||||
Charter Communications | |||||||
Operating 3.85% 4/1/61 | 735,000 | 484,790 | |||||
Comcast 1.50% 2/15/31 | 2,000,000 | 1,609,242 | |||||
Empresa Nacional de | |||||||
Telecomunicaciones 144A | |||||||
3.05% 9/14/32 # | 500,000 | 401,643 | |||||
Expedia Group 3.80% 2/15/28 | 1,000,000 | 912,333 | |||||
Magallanes | |||||||
144A 3.755% 3/15/27 # | 310,000 | 291,042 | |||||
144A 4.054% 3/15/29 #, * | 45,000 | 41,251 | |||||
144A 4.279% 3/15/32 # | 45,000 | 40,262 | |||||
144A 5.141% 3/15/52 # | 175,000 | 147,115 | |||||
Rogers Communications | |||||||
144A 3.80% 3/15/32 # | 45,000 | 41,203 | |||||
144A 4.55% 3/15/52 # | 45,000 | 39,623 | |||||
Verizon Communications | |||||||
1.50% 9/18/30 | 3,000,000 | 2,400,402 | |||||
2.875% 11/20/50 | 135,000 | 95,997 | |||||
11,585,370 | |||||||
Consumer Cyclical – 1.21% | |||||||
7-Eleven 144A 1.30% 2/10/28 # | 2,000,000 | 1,664,963 | |||||
Aptiv | |||||||
3.10% 12/1/51 | 595,000 | 384,904 | |||||
3.25% 3/1/32 | 45,000 | 38,283 | |||||
AutoNation 3.85% 3/1/32 | 90,000 | 77,657 | |||||
Carnival 144A 4.00% 8/1/28 # | 550,000 | 452,947 | |||||
Dollar General 3.50% 4/3/30 | 2,000,000 | 1,842,444 | |||||
General Motors Financial 3.10% | |||||||
1/12/32 * | 50,000 | 40,233 |
16
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Consumer Cyclical (continued) | |||||||
Home Depot 1.875% 9/15/31 | 1,000,000 | $ | 833,814 | ||||
Lowe's 4.25% 4/1/52 | 110,000 | 95,507 | |||||
MGM Resorts International | |||||||
4.75% 10/15/28 * | 1,127,000 | 949,498 | |||||
Sands China 144A 2.55% | |||||||
3/8/27 # | 1,000,000 | 729,935 | |||||
7,110,185 | |||||||
Consumer Non-Cyclical – 1.01% | |||||||
AbbVie 3.20% 11/21/29 | 2,000,000 | 1,841,484 | |||||
Anheuser-Busch InBev | |||||||
Worldwide 3.50% 6/1/30 | 430,000 | 403,485 | |||||
Bristol-Myers Squibb 3.70% | |||||||
3/15/52 | 70,000 | 60,564 | |||||
COTA Series D 144A 4.896% | |||||||
10/2/23 # | 3,642,397 | 637,420 | |||||
CSL Finance | |||||||
144A 4.05% 4/27/29 # | 85,000 | 83,523 | |||||
144A 4.75% 4/27/52 # | 105,000 | 100,598 | |||||
CVS Health 1.30% 8/21/27 | 2,000,000 | 1,724,843 | |||||
HCA 144A 3.125% 3/15/27 #, * | 70,000 | 63,659 | |||||
JBS USA 144A 3.00% 2/2/29 # | 225,000 | 190,442 | |||||
Nestle Holdings 144A 1.875% | |||||||
9/14/31 #, * | 1,000,000 | 842,430 | |||||
5,948,448 | |||||||
Electric – 0.77% | |||||||
Comision Federal de Electricidad | |||||||
144A 3.875% 7/26/33 # | 500,000 | 379,217 | |||||
Eversource Energy 2.90% | |||||||
3/1/27 | 135,000 | 126,854 | |||||
Fells Point Funding Trust 144A | |||||||
3.046% 1/31/27 # | 115,000 | 106,144 | |||||
NextEra Energy Capital Holdings | |||||||
3.00% 1/15/52 | 170,000 | 121,878 | |||||
NRG Energy | |||||||
144A 2.00% 12/2/25 # | 1,100,000 | 997,131 | |||||
144A 2.45% 12/2/27 # | 110,000 | 94,551 | |||||
Pacific Gas and Electric 3.00% | |||||||
6/15/28 | 1,154,000 | 995,594 | |||||
Virginia Electric and Power | |||||||
2.45% 12/15/50 | 2,500,000 | 1,684,971 | |||||
4,506,340 | |||||||
Energy – 1.21% | |||||||
BP Capital Markets America | |||||||
2.721% 1/12/32 | 215,000 | 185,303 | |||||
2.939% 6/4/51 | 555,000 | 398,042 | |||||
ConocoPhillips 3.80% 3/15/52 | 225,000 | 193,042 | |||||
Continental Resources | |||||||
144A 2.875% 4/1/32 # | 180,000 | 140,924 | |||||
4.375% 1/15/28 * | 455,000 | 428,555 | |||||
Diamondback Energy 4.25% | |||||||
3/15/52 | 45,000 | 37,425 | |||||
Enterprise Products Operating | |||||||
3.30% 2/15/53 | 670,000 | 488,406 | |||||
Galaxy Pipeline Assets Bidco | |||||||
144A 2.625% 3/31/36 # | 500,000 | 406,004 | |||||
Petronas Capital 144A 3.50% | |||||||
4/21/30 # | 432,000 | 406,794 | |||||
Qatar Energy 144A 3.125% | |||||||
7/12/41 # | 500,000 | 393,355 | |||||
Saudi Arabian Oil 144A 2.25% | |||||||
11/24/30 # | 500,000 | 426,710 | |||||
Targa Resources Partners 5.00% | |||||||
1/15/28 | 370,000 | 352,799 | |||||
Valero Energy 2.15% 9/15/27 | 2,102,000 | 1,872,790 | |||||
Williams 5.10% 9/15/45 | 1,500,000 | 1,400,516 | |||||
7,130,665 | |||||||
Financials – 1.36% | |||||||
AerCap Ireland Capital DAC | |||||||
2.45% 10/29/26 | 2,500,000 | 2,178,649 | |||||
AIA Group 144A 3.375% 4/7/30 # | 540,000 | 505,784 | |||||
Air Lease 2.875% 1/15/32 * | 440,000 | 343,887 | |||||
Avolon Holdings Funding 144A | |||||||
2.75% 2/21/28 # | 2,500,000 | 2,041,172 | |||||
Brown & Brown 4.95% 3/17/52 * | 130,000 | 114,333 | |||||
Citadel Finance 144A 3.375% | |||||||
3/9/26 # | 2,500,000 | 2,289,916 | |||||
Jefferies Group 2.625% | |||||||
10/15/31 | 630,000 | 486,888 | |||||
7,960,629 | |||||||
Technology – 1.41% | |||||||
Apple | |||||||
2.40% 8/20/50 | 878,000 | 618,086 | |||||
2.65% 2/8/51 | 2,000,000 | 1,478,639 | |||||
Autodesk 2.40% 12/15/31 | 165,000 | 134,849 | |||||
Broadcom 144A 1.95% 2/15/28 # | 1,500,000 | 1,278,649 | |||||
CDW 3.276% 12/1/28 | 555,000 | 479,786 | |||||
Entegris Escrow 144A 4.75% | |||||||
4/15/29 # | 150,000 | 139,958 | |||||
HP 5.50% 1/15/33 | 100,000 | 97,666 | |||||
Iron Mountain 144A 5.25% | |||||||
7/15/30 # | 290,000 | 252,677 | |||||
Iron Mountain Information | |||||||
Management Services 144A | |||||||
5.00% 7/15/32 # | 895,000 | 724,138 | |||||
KLA 4.95% 7/15/52 | 220,000 | 221,595 | |||||
Leidos 3.625% 5/15/25 | 326,000 | 319,482 | |||||
PayPal Holdings | |||||||
2.30% 6/1/30 * | 2,000,000 | 1,718,792 | |||||
3.90% 6/1/27 * | 40,000 | 39,892 |
17
Consolidated schedules of investments
Delaware Ivy VIP Asset Strategy
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Technology (continued) | |||||||
PayPal Holdings | |||||||
4.40% 6/1/32 * | 120,000 | $ | 118,935 | ||||
TSMC Global 144A 1.375% | |||||||
9/28/30 # | 498,000 | 398,727 | |||||
VICI Properties 4.95% 2/15/30 | 160,000 | 151,925 | |||||
Workday | |||||||
3.50% 4/1/27 | 20,000 | 19,142 | |||||
3.70% 4/1/29 | 45,000 | 42,136 | |||||
3.80% 4/1/32 | 45,000 | 41,165 | |||||
8,276,239 | |||||||
Transportation – 0.69% | |||||||
Burlington Northern Santa Fe | |||||||
2.875% 6/15/52 | 135,000 | 101,109 | |||||
4.45% 1/15/53 | 145,000 | 140,519 | |||||
Southwest Airlines 5.25% 5/4/25 | 2,042,000 | 2,083,264 | |||||
Union Pacific | |||||||
2.80% 2/14/32 | 90,000 | 80,207 | |||||
3.375% 2/14/42 | 25,000 | 20,859 | |||||
3.50% 2/14/53 | 45,000 | 36,764 | |||||
United Airlines Pass Through | |||||||
Trust 4.875% 7/15/27 | 1,660,000 | 1,576,352 | |||||
4,039,074 | |||||||
Total Corporate Bonds | |||||||
(cost $102,915,364) | 85,868,488 | ||||||
Non-Agency Commercial Mortgage-Backed Security – 0.01% | |||||||
Merrill Lynch Mortgage Investors | |||||||
Trust | |||||||
Series 1998-C1 F 6.25% | |||||||
11/15/26 • | 64,162 | 64,463 | |||||
Total Non-Agency Commercial Mortgage- | |||||||
Backed Security | |||||||
(cost $64,588) | 64,463 | ||||||
Sovereign Bonds – 0.28%Δ | |||||||
Hong Kong – 0.14% | |||||||
Airport Authority | |||||||
144A 1.625% 2/4/31 # | 1,000,000 | 828,250 | |||||
828,250 | |||||||
Mexico – 0.07% | |||||||
Mexico Government International | |||||||
Bond | |||||||
5.00% 4/27/51 | 500,000 | 416,798 | |||||
416,798 | |||||||
Peru – 0.07% | |||||||
Peruvian Government | |||||||
International Bond | |||||||
3.00% 1/15/34 | 500,000 | 411,402 | |||||
411,402 | |||||||
Total Sovereign Bonds | |||||||
(cost $2,071,347) | 1,656,450 | ||||||
US Treasury Obligations – 11.20% | |||||||
United States Treasury Floating | |||||||
Rate Note | |||||||
1.683% (USBMMY3M - | |||||||
0.075%) 4/30/24 • | 11,235,000 | 11,227,335 | |||||
US Treasury Bonds | |||||||
2.25% 2/15/52 * | 2,605,000 | 2,144,648 | |||||
2.375% 2/15/42 * | 6,420,000 | 5,445,966 | |||||
2.875% 5/15/52 | 645,000 | 609,374 | |||||
3.00% 2/15/49 | 3,420,000 | 3,260,622 | |||||
4.375% 2/15/38 | 2,755,000 | 3,209,037 | |||||
4.75% 2/15/37 | 1,055,000 | 1,274,778 | |||||
US Treasury Notes | |||||||
2.50% 5/31/24 | 14,125,000 | 13,998,648 | |||||
2.625% 5/31/27 * | 5,735,000 | 5,627,244 | |||||
2.75% 5/15/25 | 15,095,000 | 14,980,609 | |||||
2.875% 4/30/29 | 2,950,000 | 2,915,891 | |||||
2.875% 5/15/32 * | 1,075,000 | 1,063,074 | |||||
Total US Treasury Obligations | |||||||
(cost $66,732,235) | 65,757,226 | ||||||
Number of | |||||||
shares | |||||||
Common Stocks – 57.52% | |||||||
Communication Services – 4.35% | |||||||
Alphabet Class A † | 3,303 | 7,198,096 | |||||
Deutsche Telekom | 398,242 | 7,906,880 | |||||
Frontier Communications Parent | |||||||
† | 193,576 | 4,556,779 | |||||
Tencent Holdings | 57,000 | 2,574,400 | |||||
T-Mobile US † | 24,644 | 3,315,603 | |||||
25,551,758 | |||||||
Consumer Cyclical – 0.00% | |||||||
COTA Series B † | 26 | 0 | |||||
0 | |||||||
Consumer Discretionary – 7.51% | |||||||
adidas AG | 11,609 | 2,053,075 | |||||
Amazon.com † | 57,640 | 6,121,944 | |||||
Aptiv † | 52,111 | 4,641,527 | |||||
Darden Restaurants | 59,261 | 6,703,604 | |||||
Ferrari | 18,824 | 3,456,102 |
18
Number of | |||||||
shares | Value (US $) | ||||||
Common Stocks (continued) | |||||||
Consumer Discretionary (continued) | |||||||
Huazhu Group ADR | 105,130 | $ | 4,005,453 | ||||
JD.com ADR * | 76,021 | 4,882,069 | |||||
LVMH Moet Hennessy Louis | |||||||
Vuitton | 4,215 | 2,569,433 | |||||
Media Group Holdings Series H | |||||||
† | 31,963 | 0 | |||||
Media Group Holdings Series T † | 4,006 | 0 | |||||
Skechers USA Class A † | 148,637 | 5,288,505 | |||||
Subaru | 246,431 | 4,379,926 | |||||
44,101,638 | |||||||
Consumer Staples – 4.11% | |||||||
Burlington Stores *, † | 14,934 | 2,034,459 | |||||
Casey's General Stores | 15,985 | 2,956,905 | |||||
China Mengniu Dairy | 979,313 | 4,886,082 | |||||
HelloFresh † | 78,584 | 2,540,562 | |||||
Procter & Gamble | 43,751 | 6,290,956 | |||||
Reckitt Benckiser Group | 72,095 | 5,414,869 | |||||
24,123,833 | |||||||
Energy – 3.47% | |||||||
Canadian Natural Resources | 190,908 | 10,247,942 | |||||
ConocoPhillips | 94,014 | 8,443,397 | |||||
TotalEnergies | 32,510 | 1,716,048 | |||||
20,407,387 | |||||||
Financials – 8.91% | |||||||
AGNC Investment | 440,652 | 4,878,018 | |||||
BNP Paribas * | 93,006 | 4,421,529 | |||||
First Republic Bank | 39,581 | 5,707,580 | |||||
ICICI Bank | 319,158 | 2,858,065 | |||||
Intercontinental Exchange | 35,622 | 3,349,893 | |||||
Mastercard Class A | 22,595 | 7,128,270 | |||||
Morgan Stanley | 53,723 | 4,086,171 | |||||
ORIX | 487,197 | 8,172,615 | |||||
Prudential | 358,285 | 4,431,186 | |||||
State Bank of India | 510,788 | 3,013,405 | |||||
UniCredit | 448,204 | 4,257,789 | |||||
52,304,521 | |||||||
Healthcare – 9.48% | |||||||
Abbott Laboratories | 40,117 | 4,358,712 | |||||
AstraZeneca | 40,780 | 5,361,281 | |||||
Bayer | 105,374 | 6,263,402 | |||||
Eli Lilly & Co. | 12,838 | 4,162,465 | |||||
Genmab † | 16,155 | 5,228,288 | |||||
Regeneron Pharmaceuticals † | 13,842 | 8,182,421 | |||||
Thermo Fisher Scientific | 6,973 | 3,788,291 | |||||
UnitedHealth Group | 15,424 | 7,922,229 | |||||
Vertex Pharmaceuticals † | 21,166 | 5,964,367 | |||||
Zimmer Biomet Holdings | 42,478 | 4,462,739 | |||||
55,694,195 | |||||||
Industrials – 8.34% | |||||||
Airbus | 76,375 | 7,399,438 | |||||
Ferguson | 53,369 | 5,969,084 | |||||
Ingersoll Rand | 154,453 | 6,499,382 | |||||
Larsen & Toubro | 277,155 | 5,468,698 | |||||
Raytheon Technologies | 65,790 | 6,323,077 | |||||
Schneider Electric | 37,280 | 4,410,729 | |||||
Union Pacific | 40,254 | 8,585,373 | |||||
Vinci | 48,887 | 4,352,597 | |||||
49,008,378 | |||||||
Information Technology – 10.67% | |||||||
Ambarella † | 58,255 | 3,813,372 | |||||
Apple | 40,915 | 5,593,899 | |||||
Autodesk † | 19,521 | 3,356,831 | |||||
Check Point Software | |||||||
Technologies † | 41,644 | 5,071,406 | |||||
Intuit | 18,347 | 7,071,668 | |||||
Microsoft | 63,239 | 16,241,672 | |||||
Monolithic Power Systems | 5,444 | 2,090,714 | |||||
NVIDIA | 20,128 | 3,051,204 | |||||
Samsung Electronics | 72,331 | 3,175,344 | |||||
Taiwan Semiconductor | |||||||
Manufacturing | 498,450 | 7,979,626 | |||||
VeriSign † | 31,327 | 5,241,947 | |||||
62,687,683 | |||||||
Materials – 0.51% | |||||||
Barrick Gold | 168,003 | 2,971,973 | |||||
2,971,973 | |||||||
Utilities – 0.17% | |||||||
RWE | 26,583 | 977,246 | |||||
977,246 | |||||||
Total Common Stocks | |||||||
(cost $372,905,853) | 337,828,612 | ||||||
Troy | |||||||
Ounces | |||||||
Bullion – 5.13% | |||||||
Gold | 16,670 | 30,122,494 | |||||
Total Bullion | |||||||
(cost $20,288,795) | 30,122,494 |
19
Consolidated schedules of investments
Delaware Ivy VIP Asset Strategy
Number of | |||||||
shares | Value (US $) | ||||||
Short-Term Investments – 4.58% | |||||||
Money Market Mutual Fund – 4.58% | |||||||
State Street Institutional US | |||||||
Government Money Market | |||||||
Fund – Premier Class (seven- | |||||||
day effective yield 1.43%) | 26,907,548 | $ | 26,907,548 | ||||
Total Short-Term Investments | |||||||
(cost $26,907,548) | 26,907,548 | ||||||
Total Value of Securities Before | |||||||
Securities Lending Collateral–99.87% | |||||||
(cost $634,752,014) | 586,587,703 | ||||||
Securities Lending Collateral** – 0.07% | |||||||
Money Market Mutual Fund – 0.07% | |||||||
Dreyfus Institutional Preference | |||||||
Government Money Market | |||||||
Fund - Institutional Shares | |||||||
(seven-day effective yield | |||||||
1.47%) 7/1/22 | 390,885 | 390,885 | |||||
Total Securities Lending Collateral | |||||||
(cost $390,885) | 390,885 | ||||||
Total Value of Securities–99.94% | |||||||
(cost $635,142,899) | $ | 586,978,588■ |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
Σ | Interest only security. An interest only security is the interest only portion of a fixed income security, which is separated and sold individually from the principal portion of the security. |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2022, the aggregate value of Rule 144A securities was $30,885,461, which represents 5.26% of the Portfolio's net assets. See Note 11 in “Notes to financial statements." |
µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2022. Rate will reset at a future date. |
* | Fully or partially on loan. |
ψ | Perpetual security. Maturity date represents next call date. |
Δ | Securities have been classified by country of risk. |
† | Non-income producing security. |
** | See Note 10 in “Notes to financial statements” for additional information on securities lending collateral. |
■ | Includes $27,846,568 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $28,219,476. |
20
The following futures contracts were outstanding at June 30, 2022:1
Futures Contracts
Exchange-Traded
Variation | ||||||||||||||||
Margin | ||||||||||||||||
Notional | Value/ | Due from | ||||||||||||||
Notional | Cost | Expiration | Unrealized | (Due to) | ||||||||||||
Contracts to Buy (Sell) | Amount | (Proceeds) | Date | Appreciation | Brokers | |||||||||||
7 | US Treasury Ultra Bonds | $ | 1,080,406 | $ | 1,069,221 | 9/21/22 | $ | 11,185 | $ | 16,406 |
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in these financial statements. The notional amounts presented above represent the Portfolio's total exposure in such contracts, whereas only the variation margin is reflected in the Portfolio's net assets.
1 | See Note 8 in “Notes to financial statements.” |
Summary of abbreviations: |
ADR – American Depositary Receipt |
AG – Aktiengesellschaft |
DAC – Designated Activity Company |
FREMF – Freddie Mac Multifamily |
GNMA – Government National Mortgage Association |
LIBOR01M – ICE LIBOR USD 1 Month |
LIBOR03M – ICE LIBOR USD 3 Month |
S.F. – Single Family |
USBMMY3M – US Treasury 3 Month Bill Money Market Yield |
USD – US Dollar |
yr – Year |
See accompanying notes, which are an integral part of the financial statements.
21
Schedules of investments
Delaware Ivy VIP Balanced
June 30, 2022 (Unaudited)
Principal | |||||||
amount° | Value (US $) | ||||||
Agency Collateralized Mortgage Obligations – 0.52% | |||||||
Fannie Mae REMICs | |||||||
Series 2016-36 VB 3.50% | |||||||
6/25/29 | 352,316 | $ | 353,562 | ||||
Series 2016-71 NB 3.00% | |||||||
10/25/46 | 459,699 | 440,569 | |||||
Freddie Mac REMICs | |||||||
Series 4616 HW 3.00% | |||||||
6/15/45 | 315,437 | 308,697 | |||||
Vendee Mortgage Trust | |||||||
Series 1997-1 3A 8.293% | |||||||
12/15/26 | 13,649 | 14,402 | |||||
Total Agency Collateralized Mortgage | |||||||
Obligations | |||||||
(cost $1,188,665) | 1,117,230 | ||||||
Agency Mortgage-Backed Securities – 6.16% | |||||||
Fannie Mae S.F. 15 yr | |||||||
2.50% 8/1/35 | 204,511 | 195,777 | |||||
Fannie Mae S.F. 20 yr | |||||||
2.00% 5/1/41 | 246,676 | 220,547 | |||||
Fannie Mae S.F. 30 yr | |||||||
2.00% 1/1/51 | 530,551 | 462,610 | |||||
2.00% 3/1/51 | 317,719 | 277,123 | |||||
2.00% 4/1/51 | 247,158 | 214,839 | |||||
2.50% 1/1/52 | 611,628 | 551,284 | |||||
2.50% 4/1/52 | 245,850 | 221,514 | |||||
3.00% 2/1/52 | 805,141 | 751,767 | |||||
3.50% 12/1/47 | 66,347 | 64,739 | |||||
3.50% 1/1/48 | 75,526 | 73,815 | |||||
3.50% 8/1/51 | 498,186 | 480,188 | |||||
3.50% 1/1/52 | 615,984 | 593,694 | |||||
3.50% 4/1/52 | 446,082 | 429,526 | |||||
4.50% 11/1/43 | 224,598 | 231,272 | |||||
4.50% 10/1/44 | 82,052 | 84,486 | |||||
4.50% 5/1/49 | 206,814 | 208,540 | |||||
5.00% 6/1/52 | 738,591 | 754,684 | |||||
5.50% 5/1/33 | 15,544 | 16,519 | |||||
5.50% 6/1/33 | 17,783 | 19,035 | |||||
6.50% 10/1/28 | 25,223 | 26,797 | |||||
6.50% 2/1/29 | 13,078 | 13,738 | |||||
6.50% 2/1/32 | 89,519 | 96,213 | |||||
7.00% 7/1/31 | 21,462 | 23,362 | |||||
7.00% 9/1/31 | 36,086 | 38,549 | |||||
7.00% 2/1/32 | 39,601 | 42,163 | |||||
7.00% 3/1/32 | 19,228 | 20,995 | |||||
7.00% 7/1/32 | 43,173 | 46,014 | |||||
7.50% 4/1/31 | 11,509 | 12,032 | |||||
Freddie Mac S.F. 15 yr | |||||||
2.00% 12/1/35 | 291,582 | 273,017 | |||||
Freddie Mac S.F. 20 yr | |||||||
2.00% 3/1/41 | 903,909 | 808,052 | |||||
Freddie Mac S.F. 20 yr | |||||||
2.50% 2/1/42 | 374,990 | 345,125 | |||||
Freddie Mac S.F. 30 yr | |||||||
2.00% 1/1/52 | 1,081,681 | 939,532 | |||||
2.50% 7/1/50 | 418,033 | 380,423 | |||||
2.50% 1/1/52 | 830,832 | 750,529 | |||||
3.00% 8/1/51 | 38,708 | 36,303 | |||||
3.00% 12/1/51 | 1,070,128 | 999,189 | |||||
3.00% 2/1/52 | 1,079,181 | 1,006,215 | |||||
3.50% 10/1/51 | 820,087 | 792,379 | |||||
3.50% 4/1/52 | 571,533 | 552,842 | |||||
GNMA II S.F. 30 yr | |||||||
3.00% 12/20/51 | 186,632 | 176,244 | |||||
Total Agency Mortgage-Backed Securities | |||||||
(cost $14,370,118) | 13,231,672 | ||||||
Corporate Bonds – 13.12% | |||||||
Banking – 1.86% | |||||||
Bank of America | |||||||
2.482% 9/21/36 µ | 400,000 | 310,678 | |||||
2.551% 2/4/28 µ | 35,000 | 31,858 | |||||
2.972% 2/4/33 µ | 15,000 | 12,793 | |||||
4.375% 1/27/27 *, µ, Ψ | 45,000 | 37,452 | |||||
4.571% 4/27/33 *, µ | 80,000 | 77,951 | |||||
6.125% 4/27/27 µ, Ψ | 30,000 | 29,006 | |||||
Citigroup | |||||||
3.057% 1/25/33 µ | 50,000 | 42,429 | |||||
3.07% 2/24/28 µ | 40,000 | 37,135 | |||||
6.25% 8/15/26 µ, Ψ | 648,000 | 633,345 | |||||
Fifth Third Bancorp 4.337% | |||||||
4/25/33 µ | 40,000 | 38,090 | |||||
Goldman Sachs Group | |||||||
1.542% 9/10/27 µ | 25,000 | 21,963 | |||||
3.102% 2/24/33 µ | 375,000 | 320,642 | |||||
3.615% 3/15/28 µ | 65,000 | 61,565 | |||||
Huntington National Bank | |||||||
4.552% 5/17/28 µ | 250,000 | 248,504 | |||||
JPMorgan Chase & Co. | |||||||
1.953% 2/4/32 µ | 60,000 | 48,011 | |||||
4.586% 4/26/33 *, µ | 30,000 | 29,498 | |||||
4.709% 10/30/22 Ψ | 194,000 | 184,203 | |||||
5.00% 8/1/24 µ, Ψ | 337,000 | 297,613 | |||||
5.597% 10/1/22 Ψ | 750,000 | 704,063 | |||||
KeyCorp 4.789% 6/1/33 µ | 55,000 | 54,319 | |||||
Morgan Stanley | |||||||
2.475% 1/21/28 µ | 25,000 | 22,746 | |||||
2.484% 9/16/36 µ | 120,000 | 92,397 | |||||
PNC Financial Services Group | |||||||
6.00% 5/15/27 *, µ, Ψ | 40,000 | 38,496 | |||||
State Street 2.203% 2/7/28 *, µ | 50,000 | 45,823 |
22
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Banking (continued) | |||||||
SVB Financial Group 4.57% | |||||||
4/29/33 *, µ | 70,000 | $ | 65,785 | ||||
Toronto-Dominion Bank 4.108% | |||||||
6/8/27 | 75,000 | 74,228 | |||||
US Bancorp | |||||||
2.215% 1/27/28 µ | 45,000 | 41,257 | |||||
2.677% 1/27/33 *, µ | 45,000 | 38,774 | |||||
Wells Fargo & Co. | |||||||
2.572% 2/11/31 µ | 290,000 | 249,554 | |||||
3.526% 3/24/28 µ | 35,000 | 33,181 | |||||
4.611% 4/25/53 µ | 65,000 | 60,260 | |||||
3,983,619 | |||||||
Basic Industry – 0.01% | |||||||
Newmont 2.60% 7/15/32 | 25,000 | 20,657 | |||||
20,657 | |||||||
Brokerage – 0.80% | |||||||
Apollo Management Holdings | |||||||
144A 2.65% 6/5/30 # | 425,000 | 357,692 | |||||
Blackstone Holdings Finance | |||||||
144A 2.00% 1/30/32 # | 325,000 | 258,597 | |||||
Intercontinental Exchange 2.10% | |||||||
6/15/30 | 260,000 | 217,795 | |||||
KKR Group Finance VIII 144A | |||||||
3.50% 8/25/50 # | 350,000 | 263,095 | |||||
LSEGA Financing 144A 2.50% | |||||||
4/6/31 # | 350,000 | 300,430 | |||||
National Securities Clearing | |||||||
144A 1.50% 4/23/25 # | 350,000 | 329,700 | |||||
1,727,309 | |||||||
Capital Goods – 0.70% | |||||||
Boeing | |||||||
3.25% 2/1/28 | 25,000 | 22,364 | |||||
3.75% 2/1/50 | 265,000 | 187,498 | |||||
General Dynamics 2.85% 6/1/41 | 240,000 | 186,815 | |||||
Lockheed Martin | |||||||
3.90% 6/15/32 * | 55,000 | 54,335 | |||||
4.15% 6/15/53 | 45,000 | 42,094 | |||||
Raytheon Technologies | |||||||
2.25% 7/1/30 * | 300,000 | 258,900 | |||||
3.125% 7/1/50 | 175,000 | 134,255 | |||||
Republic Services | |||||||
1.45% 2/15/31 | 490,000 | 385,148 | |||||
2.30% 3/1/30 | 72,000 | 61,850 | |||||
Standard Industries 144A | |||||||
4.375% 7/15/30 # | 219,000 | 173,138 | |||||
1,506,397 | |||||||
Communications – 1.57% | |||||||
AT&T 3.50% 9/15/53 | 500,000 | 379,843 | |||||
Bell Canada 4.30% 7/29/49 | 120,000 | 107,721 | |||||
Charter Communications | |||||||
Operating 3.85% 4/1/61 | 305,000 | 201,171 | |||||
Comcast | |||||||
3.45% 2/1/50 | 675,000 | 538,319 | |||||
4.25% 10/15/30 | 450,000 | 444,158 | |||||
Magallanes | |||||||
144A 3.755% 3/15/27 # | 115,000 | 107,967 | |||||
144A 4.054% 3/15/29 #, * | 15,000 | 13,750 | |||||
144A 4.279% 3/15/32 # | 15,000 | 13,420 | |||||
144A 5.141% 3/15/52 # | 65,000 | 54,643 | |||||
Rogers Communications | |||||||
144A 3.80% 3/15/32 # | 15,000 | 13,734 | |||||
144A 4.55% 3/15/52 # | 15,000 | 13,208 | |||||
Sprint 7.875% 9/15/23 | 315,000 | 325,710 | |||||
T-Mobile USA 3.875% 4/15/30 | 290,000 | 270,916 | |||||
Verizon Communications | |||||||
2.875% 11/20/50 | 50,000 | 35,555 | |||||
4.50% 8/10/33 | 500,000 | 488,164 | |||||
Walt Disney 2.75% 9/1/49 | 500,000 | 357,966 | |||||
3,366,245 | |||||||
Consumer Cyclical – 1.14% | |||||||
Amazon.com | |||||||
3.60% 4/13/32 | 65,000 | 62,656 | |||||
3.95% 4/13/52 | 80,000 | 74,048 | |||||
Aptiv 3.25% 3/1/32 | 15,000 | 12,761 | |||||
AutoNation | |||||||
2.40% 8/1/31 | 300,000 | 231,828 | |||||
3.85% 3/1/32 * | 35,000 | 30,200 | |||||
Carnival 144A 4.00% 8/1/28 # | 105,000 | 86,472 | |||||
Expedia Group 144A 6.25% | |||||||
5/1/25 # | 159,000 | 163,955 | |||||
General Motors Financial | |||||||
3.10% 1/12/32 * | 15,000 | 12,070 | |||||
3.70% 5/9/23 | 150,000 | 150,015 | |||||
Home Depot 3.35% 4/15/50 | 700,000 | 570,002 | |||||
Lowe's 4.25% 4/1/52 | 40,000 | 34,730 | |||||
MGM Resorts International | |||||||
4.75% 10/15/28 * | 209,000 | 176,082 | |||||
NIKE 3.25% 3/27/40 | 120,000 | 102,921 | |||||
NVR 3.00% 5/15/30 | 400,000 | 345,003 | |||||
PVH 4.625% 7/10/25 | 350,000 | 347,072 | |||||
VICI Properties 4.95% 2/15/30 | 60,000 | 56,972 | |||||
2,456,787 | |||||||
Consumer Non-Cyclical – 1.56% | |||||||
Amgen 3.375% 2/21/50 | 350,000 | 268,199 | |||||
Bristol-Myers Squibb 3.70% | |||||||
3/15/52 | 25,000 | 21,630 | |||||
Coca-Cola 2.25% 1/5/32 * | 600,000 | 523,273 |
23
Schedules of investments
Delaware Ivy VIP Balanced
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Consumer Non-Cyclical (continued) | |||||||
CSL Finance | |||||||
144A 4.05% 4/27/29 # | 30,000 | $ | 29,479 | ||||
144A 4.75% 4/27/52 # | 40,000 | 38,323 | |||||
CVS Health 5.05% 3/25/48 | 180,000 | 172,564 | |||||
Dentsply Sirona 3.25% 6/1/30 | 365,000 | 308,439 | |||||
HCA 144A 3.125% 3/15/27 #, * | 25,000 | 22,735 | |||||
Hormel Foods 3.05% 6/3/51 | 535,000 | 413,244 | |||||
JBS USA 144A 3.00% 2/2/29 # | 80,000 | 67,713 | |||||
Johnson & Johnson 3.40% | |||||||
1/15/38 | 1,000,000 | 901,243 | |||||
Merck & Co. 2.45% 6/24/50 | 250,000 | 175,998 | |||||
Nestle Holdings 144A 4.00% | |||||||
9/24/48 # | 380,000 | 351,386 | |||||
Royalty Pharma 3.55% 9/2/50 | 79,000 | 55,318 | |||||
3,349,544 | |||||||
Electric – 1.12% | |||||||
Alabama Power 3.125% 7/15/51 | 375,000 | 281,483 | |||||
Commonwealth Edison 2.20% | |||||||
3/1/30 | 350,000 | 304,171 | |||||
Duke Energy 3.15% 8/15/27 * | 500,000 | 472,703 | |||||
Duke Energy Indiana 3.75% | |||||||
5/15/46 | 120,000 | 102,083 | |||||
Duke Energy Ohio 4.30% 2/1/49 | 115,000 | 104,610 | |||||
Entergy | |||||||
2.80% 6/15/30 | 235,000 | 201,800 | |||||
3.75% 6/15/50 | 125,000 | 98,361 | |||||
Eversource Energy 2.90% | |||||||
3/1/27 * | 50,000 | 46,983 | |||||
Florida Power & Light 3.15% | |||||||
10/1/49 | 425,000 | 338,629 | |||||
NextEra Energy Capital Holdings | |||||||
3.00% 1/15/52 | 65,000 | 46,601 | |||||
Oncor Electric Delivery 2.75% | |||||||
5/15/30 | 450,000 | 409,983 | |||||
2,407,407 | |||||||
Energy – 0.52% | |||||||
BP Capital Markets America | |||||||
2.721% 1/12/32 | 80,000 | 68,950 | |||||
Cheniere Energy Partners 144A | |||||||
3.25% 1/31/32 # | 120,000 | 94,765 | |||||
ConocoPhillips 3.80% 3/15/52 | 85,000 | 72,927 | |||||
Continental Resources | |||||||
144A 2.875% 4/1/32 # | 65,000 | 50,889 | |||||
4.375% 1/15/28 * | 175,000 | 164,829 | |||||
Diamondback Energy 4.25% | |||||||
3/15/52 | 15,000 | 12,475 | |||||
EQT 6.625% 2/1/25 | 500,000 | 515,367 | |||||
Targa Resources Partners 5.00% | |||||||
1/15/28 | 139,000 | 132,538 | |||||
1,112,740 | |||||||
Finance Companies – 0.28% | |||||||
AerCap Ireland Capital DAC | |||||||
6.50% 7/15/25 * | 250,000 | 256,158 | |||||
Owl Rock Capital 4.25% 1/15/26 | 375,000 | 345,390 | |||||
601,548 | |||||||
Financials – 0.06% | |||||||
Air Lease 2.875% 1/15/32 * | 160,000 | 125,050 | |||||
125,050 | |||||||
Insurance – 0.52% | |||||||
Aon 2.80% 5/15/30 | 525,000 | 459,437 | |||||
Brown & Brown 4.95% 3/17/52 * | 50,000 | 43,974 | |||||
Northwestern Mutual Life | |||||||
Insurance 144A 3.85% | |||||||
9/30/47 # | 500,000 | 416,178 | |||||
UnitedHealth Group 3.05% | |||||||
5/15/41 | 250,000 | 201,933 | |||||
1,121,522 | |||||||
Real Estate Investment Trusts – 0.35% | |||||||
American Homes 4 Rent 3.625% | |||||||
4/15/32 | 35,000 | 30,723 | |||||
EPR Properties 4.95% 4/15/28 | 265,000 | 244,007 | |||||
Extra Space Storage 2.35% | |||||||
3/15/32 | 600,000 | 476,310 | |||||
751,040 | |||||||
Technology – 2.27% | |||||||
Apple | |||||||
2.65% 5/11/50 | 175,000 | 129,471 | |||||
2.95% 9/11/49 | 500,000 | 394,424 | |||||
Autodesk | |||||||
2.40% 12/15/31 | 60,000 | 49,036 | |||||
2.85% 1/15/30 | 500,000 | 437,477 | |||||
Broadcom 144A 3.419% | |||||||
4/15/33 # | 300,000 | 248,406 | |||||
CDW 3.276% 12/1/28 | 35,000 | 30,257 | |||||
Entegris Escrow 144A 4.75% | |||||||
4/15/29 # | 55,000 | 51,318 | |||||
Fortinet 2.20% 3/15/31 | 350,000 | 283,640 | |||||
HP 5.50% 1/15/33 | 40,000 | 39,066 | |||||
Infor 144A 1.75% 7/15/25 # | 125,000 | 115,756 | |||||
Intel 3.25% 11/15/49 | 300,000 | 233,808 | |||||
Iron Mountain 144A 5.25% | |||||||
7/15/30 # | 54,000 | 47,050 | |||||
Iron Mountain Information | |||||||
Management Services 144A | |||||||
5.00% 7/15/32 # | 165,000 | 133,500 | |||||
KLA 4.95% 7/15/52 | 80,000 | 80,580 | |||||
Microsoft 3.45% 8/8/36 | 365,000 | 344,691 |
24
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Technology (continued) | |||||||
PayPal Holdings | |||||||
2.30% 6/1/30 * | 230,000 | $ | 197,661 | ||||
3.90% 6/1/27 * | 15,000 | 14,959 | |||||
4.40% 6/1/32 * | 45,000 | 44,601 | |||||
Salesforce | |||||||
2.70% 7/15/41 | 175,000 | 135,581 | |||||
2.90% 7/15/51 | 255,000 | 193,133 | |||||
ServiceNow 1.40% 9/1/30 | 435,000 | 340,821 | |||||
Thomson Reuters 3.35% | |||||||
5/15/26 | 425,000 | 412,861 | |||||
TSMC Global 144A 1.75% | |||||||
4/23/28 #, * | 600,000 | 529,045 | |||||
Visa 2.70% 4/15/40 | 440,000 | 354,579 | |||||
Workday | |||||||
3.50% 4/1/27 | 10,000 | 9,571 | |||||
3.70% 4/1/29 | 15,000 | 14,045 | |||||
3.80% 4/1/32 * | 15,000 | 13,722 | |||||
4,879,059 | |||||||
Transportation – 0.21% | |||||||
Burlington Northern Santa Fe | |||||||
2.875% 6/15/52 | 50,000 | 37,448 | |||||
4.45% 1/15/53 | 55,000 | 53,300 | |||||
Kansas City Southern 2.875% | |||||||
11/15/29 | 350,000 | 312,353 | |||||
Union Pacific | |||||||
2.80% 2/14/32 | 35,000 | 31,192 | |||||
3.375% 2/14/42 | 10,000 | 8,344 | |||||
3.50% 2/14/53 | 15,000 | 12,254 | |||||
454,891 | |||||||
Utilities – 0.15% | |||||||
American Water Capital 3.75% | |||||||
9/1/47 | 375,000 | 312,824 | |||||
312,824 | |||||||
Total Corporate Bonds | |||||||
(cost $33,332,506) | 28,176,639 | ||||||
Non-Agency Commercial Mortgage-Backed Securities – 2.94% | |||||||
BANK | |||||||
Series 2021-BN32 A5 2.643% | |||||||
4/15/54 | 730,000 | 643,366 | |||||
Series 2021-BN36 A5 2.47% | |||||||
9/15/64 | 860,000 | 740,381 | |||||
Series 2022-BNK39 A4 | |||||||
2.928% 2/15/55 | 862,000 | 772,770 | |||||
Series 2022-BNK39 B 3.348% | |||||||
2/15/55 ● | 30,000 | 25,927 | |||||
Series 2022-BNK39 C 3.379% | |||||||
2/15/55 ● | 45,000 | 37,057 | |||||
Series 2022-BNK40 A4 | |||||||
3.507% 3/15/64 ● | 850,000 | 792,110 | |||||
BANK | |||||||
Series 2022-BNK40 B 3.507% | |||||||
3/15/64 ● | 100,000 | 86,910 | |||||
Benchmark Mortgage Trust | |||||||
Series 2022-B32 A5 3.002% | |||||||
1/15/55 ● | 1,000,000 | 898,618 | |||||
Series 2022-B32 B 3.202% | |||||||
1/15/55 ● | 100,000 | 84,081 | |||||
Series 2022-B32 C 3.572% | |||||||
1/15/55 ● | 125,000 | 101,652 | |||||
Series 2022-B33 A5 3.458% | |||||||
3/15/55 | 900,000 | 842,119 | |||||
Series 2022-B33 B 3.736% | |||||||
3/15/55 ● | 50,000 | 43,708 | |||||
Series 2022-B33 C 3.736% | |||||||
3/15/55 ● | 50,000 | 41,301 | |||||
BMO Mortgage Trust | |||||||
Series 2022-C1 A5 3.374% | |||||||
2/15/55 ● | 500,000 | 457,817 | |||||
Wells Fargo Commercial | |||||||
Mortgage Trust | |||||||
Series 2021-C61 A4 2.658% | |||||||
11/15/54 | 865,000 | 743,718 | |||||
Total Non-Agency Commercial Mortgage- | |||||||
Backed Securities | |||||||
(cost $7,203,518) | 6,311,535 | ||||||
US Treasury Obligations – 10.97% | |||||||
US Treasury Bonds | |||||||
1.875% 11/15/51 | 435,000 | 326,522 | |||||
2.375% 2/15/42 | 1,705,000 | 1,446,320 | |||||
2.875% 5/15/52 | 165,000 | 155,886 | |||||
US Treasury Floating Rate Notes | |||||||
1.784% (USBMMY3M -0.08%) | |||||||
4/30/24 ● | 1,140,000 | 1,139,222 | |||||
US Treasury Notes | |||||||
0.125% 12/15/23 | 4,205,000 | 4,035,650 | |||||
0.375% 4/15/24 | 4,885,000 | 4,664,030 | |||||
1.50% 11/30/24 | 1,700,000 | 1,640,301 | |||||
1.75% 6/30/24 | 1,400,000 | 1,366,641 | |||||
2.625% 5/31/27 * | 3,140,000 | 3,081,002 | |||||
2.875% 5/31/25 | 5,635,000 | 5,612,108 | |||||
2.875% 5/15/32 | 90,000 | 89,001 | |||||
Total US Treasury Obligations | |||||||
(cost $24,645,735) | 23,556,683 |
25
Schedules of investments
Delaware Ivy VIP Balanced
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks – 57.14% | ||||||
Banking – 0.75% | ||||||
Morgan Stanley | 21,336 | $ | 1,622,816 | |||
1,622,816 | ||||||
Communications – 3.26% | ||||||
Alphabet Class A † | 1,532 | 3,338,626 | ||||
Alphabet Class C † | 1,063 | 2,325,260 | ||||
VeriSign † | 7,995 | 1,337,803 | ||||
7,001,689 | ||||||
Consumer Cyclical – 0.99% | ||||||
Aptiv † | 23,831 | 2,122,627 | ||||
2,122,627 | ||||||
Consumer Discretionary – 3.10% | ||||||
Amazon.com † | 17,400 | 1,848,054 | ||||
AutoZone † | 1,297 | 2,787,409 | ||||
Booking Holdings † | 1,152 | 2,014,836 | ||||
6,650,299 | ||||||
Consumer Non-Cyclical – 12.68% | ||||||
Danaher | 15,670 | 3,972,658 | ||||
Eli Lilly & Co. | 12,428 | 4,029,531 | ||||
Sysco | 42,533 | 3,602,970 | ||||
United Rentals † | 12,204 | 2,964,474 | ||||
UnitedHealth Group | 15,740 | 8,084,536 | ||||
Vertex Pharmaceuticals † | 5,034 | 1,418,531 | ||||
Zoetis | 18,310 | 3,147,306 | ||||
27,220,006 | ||||||
Consumer Staples – 1.33% | ||||||
Costco Wholesale | 5,948 | 2,850,757 | ||||
2,850,757 | ||||||
Energy – 1.63% | ||||||
ConocoPhillips | 38,998 | 3,502,410 | ||||
3,502,410 | ||||||
Financials – 11.67% | ||||||
American Express | 10,961 | 1,519,414 | ||||
Aon Class A | 6,483 | 1,748,335 | ||||
Artisan Partners Asset | ||||||
Management Class A | 49,115 | 1,747,021 | ||||
Bank of America | 50,465 | 1,570,976 | ||||
Blackstone | 20,397 | 1,860,818 | ||||
Charles Schwab | 40,984 | 2,589,369 | ||||
CME Group | 15,278 | 3,127,407 | ||||
Intercontinental Exchange | 26,272 | 2,470,619 | ||||
KKR & Co. | 46,184 | 2,137,857 | ||||
Mastercard Class A | 8,869 | 2,797,992 | ||||
Progressive | 29,970 | 3,484,612 | ||||
25,054,420 | ||||||
Industrials – 3.76% | ||||||
Airbus ADR | 106,222 | 2,580,132 | ||||
Caterpillar | 9,572 | 1,711,091 | ||||
Deere & Co. | 6,730 | 2,015,433 | ||||
Equifax | 9,629 | 1,759,989 | ||||
8,066,645 | ||||||
Information Technology – 1.57% | ||||||
TE Connectivity | 29,755 | 3,366,778 | ||||
3,366,778 | ||||||
Materials – 2.28% | ||||||
Linde | 10,257 | 2,949,195 | ||||
Sherwin-Williams | 8,702 | 1,948,465 | ||||
4,897,660 | ||||||
Technology – 11.01% | ||||||
Apple | 28,792 | 3,936,442 | ||||
Applied Materials | 4,084 | 371,562 | ||||
Fiserv † | 21,238 | 1,889,545 | ||||
Intuit | 2,835 | 1,092,723 | ||||
Microchip Technology | 37,429 | 2,173,876 | ||||
Microsoft | 41,496 | 10,657,418 | ||||
Salesforce † | 8,654 | 1,428,256 | ||||
Take-Two Interactive Software † | 17,130 | 2,098,939 | ||||
23,648,761 | ||||||
Transportation – 1.24% | ||||||
Union Pacific | 12,478 | 2,661,308 | ||||
2,661,308 | ||||||
Utilities – 1.87% | ||||||
NextEra Energy | 51,921 | 4,021,801 | ||||
4,021,801 | ||||||
Total Common Stocks | ||||||
(cost $134,377,548) | 122,687,977 | |||||
Short-Term Investments – 9.15% | ||||||
Money Market Mutual Fund – 9.15% | ||||||
State Street Institutional US | ||||||
Government Money Market | ||||||
Fund – Premier Class (seven- | ||||||
day effective yield 1.43%) | 19,647,129 | 19,647,129 | ||||
Total Short-Term Investments | ||||||
(cost $19,647,129) | 19,647,129 | |||||
Total Value of Securities Before | ||||||
Securities Lending Collateral–100.00% | ||||||
(cost $234,765,219) | 214,728,865 |
26
Number of | |||||||
shares | Value (US $) | ||||||
Securities Lending Collateral** – 0.38% | |||||||
Money Market Mutual Fund – 0.38% | |||||||
Dreyfus Institutional Preference | |||||||
Government Money Market | |||||||
Fund - Institutional Shares | |||||||
(seven-day effective yield | |||||||
1.47%) | 821,872 | $ | 821,872 | ||||
Total Securities Lending Collateral | |||||||
(cost $821,872) | 821,872 | ||||||
Total Value of | |||||||
Securities–100.38% | |||||||
(cost $235,587,091) | $ | 215,550,737■ |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2022. Rate will reset at a future date. |
* | Fully or partially on loan. |
ψ | Perpetual security. Maturity date represents next call date. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2022, the aggregate value of Rule 144A securities was $4,346,344, which represents 2.02% of the Portfolio's net assets. See Note 11 in “Notes to financial statements." |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
† | Non-income producing security. |
** | See Note 10 in “Notes to financial statements” for additional information on securities lending collateral. |
■ | Includes $5,913,572 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $5,235,321. |
The following futures contracts were outstanding at June 30, 2022:1
Futures Contracts
Exchange-Traded
Variation | |||||||||||||||||||||||
Margin | |||||||||||||||||||||||
Notional | Value/ | Value/ | Due from | ||||||||||||||||||||
Notional | Cost | Expiration | Unrealized | Unrealized | (Due to) | ||||||||||||||||||
Contracts to Buy (Sell) | Amount | (Proceeds) | Date | Appreciation | Depreciation | Brokers | |||||||||||||||||
57 | US Treasury 5 yr Notes | $ | 6,398,250 | $ | 6,418,869 | 9/30/22 | $ | – | $ | (20,619 | ) | $ | 40,078 | ||||||||||
US Treasury 10 yr Ultra | |||||||||||||||||||||||
(24) | Notes | (3,057,000 | ) | (3,078,878 | ) | 9/21/22 | 21,878 | – | (31,875 | ) | |||||||||||||
US Treasury Ultra | |||||||||||||||||||||||
3 | Bonds | 463,031 | 458,238 | 9/21/22 | 4,793 | – | 7,031 | ||||||||||||||||
Total Futures Contracts | $ | 3,798,229 | $ | 26,671 | $ | (20,619 | ) | $ | 15,234 |
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The notional amount presented above represents the Portfolio’s total exposure in such contracts, whereas only the variation margin is reflected in the Portfolio’s net assets.
1See Note 8 in “Notes to financial statements.”
Summary of abbreviations:
ADR – American Depositary Receipt
DAC – Designated Activity Company
GNMA – Government National Mortgage Association
27
Schedules of investments
Delaware Ivy VIP Balanced
Summary of abbreviations: (continued)
REMIC – Real Estate Mortgage Investment Conduit
S.F. – Single Family
USBMMY3M – US Treasury 3 Month Bill Money Market Yield
yr – Year
See accompanying notes, which are an integral part of the financial statements.
28
Delaware Ivy VIP Energy
June 30, 2022 (Unaudited)
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks – 96.04%◆ | ||||||
Consumer Staples – 1.38% | ||||||
Darling Ingredients † | 27,279 | $ | 1,631,284 | |||
1,631,284 | ||||||
Energy – 86.58% | ||||||
Archaea Energy † | 224,375 | 3,484,544 | ||||
Chesapeake Energy * | 75,178 | 6,096,936 | ||||
ConocoPhillips | 62,382 | 5,602,527 | ||||
Coterra Energy | 212,846 | 5,489,298 | ||||
Denbury † | 95,039 | 5,701,390 | ||||
Devon Energy | 92,508 | 5,098,116 | ||||
Enviva * | 27,416 | 1,568,744 | ||||
EOG Resources | 53,488 | 5,907,215 | ||||
EQT | 181,690 | 6,250,136 | ||||
Equinor | 132,228 | 4,598,587 | ||||
Kimbell Royalty Partners | 118,250 | 1,854,160 | ||||
Marathon Petroleum | 54,401 | 4,472,306 | ||||
Occidental Petroleum | 141,838 | 8,351,421 | ||||
Parex Resources | 282,520 | 4,784,755 | ||||
PBF Energy Class A † | 71,474 | 2,074,176 | ||||
Schlumberger | 129,278 | 4,622,981 | ||||
Shell | 338,882 | 8,803,198 | ||||
Sunrun *, † | 79,560 | 1,858,522 | ||||
Tourmaline Oil | 125,987 | 6,550,893 | ||||
Valaris † | 86,076 | 3,635,850 | ||||
Valero Energy | 47,901 | 5,090,918 | ||||
101,896,673 | ||||||
Industrials – 3.23% | ||||||
Ardmore Shipping † | 97,027 | 676,278 | ||||
Euronav | 58,447 | 703,757 | ||||
Li-Cycle Holdings *, † | 129,783 | 892,907 | ||||
NuScale Power *, † | 152,911 | 1,527,581 | ||||
3,800,523 | ||||||
Utilities – 4.85% | ||||||
AES | 21,624 | 454,320 | ||||
American Electric Power | 5,538 | 531,316 | ||||
CMS Energy | 7,342 | 495,585 | ||||
Iberdrola | 45,316 | 469,950 | ||||
NextEra Energy | 5,750 | 445,395 | ||||
Northland Power | 16,621 | 494,808 | ||||
Orsted 144A # | 3,744 | 391,357 | ||||
RWE | 12,063 | 443,461 | ||||
Southern | 7,218 | 514,716 | ||||
SSE | 23,097 | 454,354 | ||||
Terna - Rete Elettrica Nazionale | 64,451 | 505,750 | ||||
Xcel Energy | 7,170 | 507,349 | ||||
5,708,361 | ||||||
Total Common Stocks | ||||||
(cost $111,163,940) | 113,036,841 | |||||
Master Limited Partnerships – 1.06% | ||||||
Black Stone Minerals | 90,698 | 1,241,656 | ||||
Total Master Limited Partnerships | ||||||
(cost $1,069,342) | 1,241,656 | |||||
Short-Term Investments – 3.30% | ||||||
Money Market Mutual Fund – 3.30% | ||||||
State Street Institutional US | ||||||
Government Money Market | ||||||
Fund – Premier Class (seven- | ||||||
day effective yield 1.43%) | 3,887,012 | 3,887,012 | ||||
Total Short-Term Investments | ||||||
(cost $3,887,012) | 3,887,012 | |||||
Total Value of Securities Before | ||||||
Securities Lending Collateral–100.40% | ||||||
(cost $116,120,294) | 118,165,509 | |||||
Securities Lending Collateral** – 1.53% | ||||||
Money Market Mutual Fund – 1.53% | ||||||
Dreyfus Institutional Preference | ||||||
Government Money Market | ||||||
Fund - Institutional Shares | ||||||
(seven-day effective yield | ||||||
1.47%) | 1,795,485 | 1,795,485 | ||||
Total Securities Lending Collateral | ||||||
(cost $1,795,485) | 1,795,485 | |||||
Total Value of | ||||||
Securities–101.93% | ||||||
(cost $117,915,779) | $ | 119,960,994■ |
◆ | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
† | Non-income producing security. |
* | Fully or partially on loan. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2022, the aggregate value of Rule 144A securities was $391,357, which represents 0.33% of the Portfolio's net assets. See Note 11 in “Notes to financial statements." |
** | See Note 10 in “Notes to financial statements” for additional information on securities lending collateral. |
■ | Includes $7,920,661 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $6,704,441. |
See accompanying notes, which are an integral part of the financial statements.
29
Schedules of investments
Delaware Ivy VIP Growth
June 30, 2022 (Unaudited)
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks – 99.36% | ||||||
Communication Services – 12.06% | ||||||
Alphabet Class A † | 18,650 | $ | 40,643,199 | |||
Alphabet Class C † | 2,870 | 6,277,982 | ||||
Electronic Arts | 173,016 | 21,047,396 | ||||
Meta Platforms Class A † | 61,971 | 9,992,824 | ||||
Pinterest Class A † | 177,112 | 3,216,354 | ||||
81,177,755 | ||||||
Consumer Discretionary – 12.47% | ||||||
Amazon.com † | 359,839 | 38,218,500 | ||||
Booking Holdings † | 4,354 | 7,615,103 | ||||
Ferrari | 64,307 | 11,799,048 | ||||
Home Depot | 27,996 | 7,678,463 | ||||
LVMH Moet Hennessy Louis | ||||||
Vuitton ADR | 70,252 | 8,586,199 | ||||
NIKE Class B | 98,084 | 10,024,185 | ||||
83,921,498 | ||||||
Consumer Staples – 3.69% | ||||||
Coca-Cola | 366,973 | 23,086,272 | ||||
Estee Lauder Class A | 6,812 | 1,734,812 | ||||
24,821,084 | ||||||
Financials – 4.46% | ||||||
Intercontinental Exchange | 142,705 | 13,419,978 | ||||
S&P Global | 49,153 | 16,567,510 | ||||
29,987,488 | ||||||
Healthcare – 9.38% | ||||||
Cooper | 40,562 | 12,700,773 | ||||
Danaher | 29,115 | 7,381,235 | ||||
Intuitive Surgical † | 36,237 | 7,273,128 | ||||
UnitedHealth Group | 54,697 | 28,094,020 | ||||
Zoetis | 44,522 | 7,652,887 | ||||
63,102,043 | ||||||
Industrials – 10.34% | ||||||
CoStar Group † | 436,462 | 26,366,669 | ||||
JB Hunt Transport Services | 75,087 | 11,823,950 | ||||
Stanley Black & Decker | 22,987 | 2,410,417 | ||||
TransUnion | 209,970 | 16,795,500 | ||||
Union Pacific | 26,153 | 5,577,912 | ||||
Verisk Analytics | 38,230 | 6,617,231 | ||||
69,591,679 | ||||||
Information Technology – 46.96% | ||||||
Adobe † | 32,982 | 12,073,391 | ||||
Apple | 419,074 | 57,295,797 | ||||
Autodesk † | 41,738 | 7,177,266 | ||||
Broadridge Financial Solutions * | 91,398 | 13,028,785 | ||||
Intuit | 37,124 | 14,309,074 | ||||
Microsoft | 338,008 | 86,810,595 | ||||
Motorola Solutions | 131,343 | 27,529,493 | ||||
NVIDIA | 119,162 | 18,063,768 | ||||
PayPal Holdings † | 90,788 | 6,340,634 | ||||
Salesforce † | 64,069 | 10,573,948 | ||||
VeriSign † | 152,655 | 25,543,761 | ||||
Visa Class A * | 189,138 | 37,239,381 | ||||
315,985,893 | ||||||
Total Common Stocks | ||||||
(cost $531,444,303) | 668,587,440 | |||||
Short-Term Investments – 0.59% | ||||||
Money Market Mutual Fund – 0.59% | ||||||
State Street Institutional US | ||||||
Government Money Market | ||||||
Fund – Premier Class (seven- | ||||||
day effective yield 1.43%) | 3,956,617 | 3,956,617 | ||||
Total Short-Term Investments | ||||||
(cost $3,956,617) | 3,956,617 | |||||
Total Value of Securities–99.95% | ||||||
(cost $535,400,920) | $ | 672,544,057■ |
† | Non-income producing security. |
* | Fully or partially on loan. |
■ | Includes $38,943,281 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $40,243,958. |
Summary of abbreviations:
ADR – American Depositary Receipt
S&P – Standard & Poor’s Financial Services LLC
See accompanying notes, which are an integral part of the financial statements.
30
Delaware Ivy VIP High Income
June 30, 2022 (Unaudited)
Principal | |||||||
amount° | Value (US $) | ||||||
Convertible Bond – 0.14% | |||||||
Spirit Airlines 1.00% exercise | |||||||
price $49.07, maturity date | |||||||
5/15/26 | 1,186,000 | $ | 1,075,109 | ||||
Total Convertible Bond | |||||||
(cost $1,046,411) | 1,075,109 | ||||||
Corporate Bonds – 69.63% | |||||||
Automotive – 0.51% | |||||||
Goodyear Tire & Rubber 5.25% | |||||||
7/15/31* | 4,740,000 | 3,817,288 | |||||
3,817,288 | |||||||
Banking – 0.44% | |||||||
Deutsche Bank 6.00% | |||||||
10/30/25 µ, ψ | 3,800,000 | 3,296,500 | |||||
3,296,500 | |||||||
Basic Industry – 2.55% | |||||||
Cerdia Finanz 144A 10.50% | |||||||
2/15/27 # | 3,160,000 | 2,599,107 | |||||
Chemours 144A 5.75% | |||||||
11/15/28 # | 4,550,000 | 3,886,178 | |||||
FMG Resources August 2006 | |||||||
144A 5.875% 4/15/30 # | 3,340,000 | 3,011,461 | |||||
144A 6.125% 4/15/32 # | 1,505,000 | 1,357,487 | |||||
Novelis 144A 4.75% 1/30/30 # | 6,240,000 | 5,198,482 | |||||
Vibrantz Technologies 144A | |||||||
9.00% 2/15/30 # | 4,410,000 | 3,114,980 | |||||
19,167,695 | |||||||
Capital Goods – 3.42% | |||||||
ARD Finance 144A PIK 6.50% | |||||||
6/30/27 #, > | 1,751,144 | 1,301,765 | |||||
Clydesdale Acquisition Holdings | |||||||
144A 6.625% 4/15/29 # | 755,000 | 710,504 | |||||
Mauser Packaging Solutions | |||||||
Holding 144A 5.50% 4/15/24 # | 4,390,000 | 4,201,230 | |||||
Sealed Air 144A 5.00% 4/15/29 # | 2,175,000 | 2,036,583 | |||||
TransDigm | |||||||
4.625% 1/15/29 | 1,597,000 | 1,289,330 | |||||
5.50% 11/15/27 | 7,030,000 | 5,987,381 | |||||
7.50% 3/15/27 | 2,709,000 | 2,559,030 | |||||
Wesco Aircraft Holdings | |||||||
144A 8.50% 11/15/24 # | 6,782,000 | 3,594,460 | |||||
144A 9.00% 11/15/26 #, * | 6,438,000 | 3,761,497 | |||||
144A 13.125% 11/15/27 # | 858,000 | 269,884 | |||||
25,711,664 | |||||||
Communications – 9.32% | |||||||
Altice Financing 144A 5.75% | |||||||
8/15/29 # | 5,719,000 | 4,605,711 | |||||
Altice France | |||||||
144A 5.125% 7/15/29 # | 2,375,000 | 1,800,594 | |||||
144A 5.50% 10/15/29 # | 1,292,000 | 990,945 | |||||
Altice France Holding | |||||||
144A 6.00% 2/15/28 # | 10,750,000 | 7,650,291 | |||||
144A 10.50% 5/15/27 # | 4,453,000 | 3,745,240 | |||||
Connect Finco 144A 6.75% | |||||||
10/1/26 # | 6,220,000 | 5,610,471 | |||||
Consolidated Communications | |||||||
144A 5.00% 10/1/28 # | 1,129,000 | 904,182 | |||||
144A 6.50% 10/1/28 # | 6,113,000 | 5,214,878 | |||||
Digicel 144A 6.75% 3/1/23 # | 4,413,000 | 2,660,134 | |||||
Digicel Group Holdings | |||||||
144A PIK 7.00% 4/21/22 #, ψ, | |||||||
>> | 602,159 | 281,509 | |||||
144A PIK 8.00% 4/1/25 #, >>> | 1,351,305 | 953,184 | |||||
PIK 10.00% 4/1/24 >>>> | 4,875,646 | 4,755,583 | |||||
Digicel International Finance | |||||||
144A 8.00% 12/31/26 # | 1,474,249 | 998,156 | |||||
144A 8.75% 5/25/24 # | 4,031,000 | 3,754,977 | |||||
Frontier Communications | |||||||
Holdings | |||||||
144A 5.875% 10/15/27 # | 3,346,000 | 3,017,097 | |||||
5.875% 11/1/29 | 1,011,498 | 780,007 | |||||
144A 6.00% 1/15/30 # | 805,000 | 621,641 | |||||
144A 6.75% 5/1/29 #, * | 3,287,000 | 2,712,646 | |||||
144A 8.75% 5/15/30 # | 1,080,000 | 1,094,035 | |||||
LCPR Senior Secured Financing | |||||||
DAC 144A 5.125% 7/15/29 # | 913,000 | 764,094 | |||||
Ligado Networks 144A PIK | |||||||
15.50% 11/1/23 #, >> | 8,285,400 | 4,515,543 | |||||
Northwest Fiber | |||||||
144A 4.75% 4/30/27 # | 1,488,000 | 1,227,395 | |||||
144A 6.00% 2/15/28 #, * | 1,703,000 | 1,226,325 | |||||
144A 10.75% 6/1/28 # | 1,327,000 | 1,182,550 | |||||
Sprint Capital 6.875% 11/15/28 | 445,000 | 469,257 | |||||
Telesat Canada | |||||||
144A 5.625% 12/6/26 # | 6,406,000 | 4,056,535 | |||||
144A 6.50% 10/15/27 # | 1,130,000 | 476,855 | |||||
T-Mobile USA 3.50% 4/15/31 | 621,000 | 537,454 | |||||
Windstream Escrow 144A 7.75% | |||||||
8/15/28 # | 4,301,000 | 3,474,219 | |||||
70,081,508 | |||||||
Consumer Cyclical – 0.50% | |||||||
Asbury Automotive Group | |||||||
144A 4.625% 11/15/29 # | 85,000 | 70,353 | |||||
4.75% 3/1/30 | 4,450,930 | 3,665,096 | |||||
3,735,449 |
31
Schedules of investments
Delaware Ivy VIP High Income
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Consumer Goods – 2.22% | |||||||
Kronos Acquisition Holdings | |||||||
144A 5.00% 12/31/26 # | 2,411,000 | $ | 2,064,431 | ||||
MajorDrive Holdings IV 144A | |||||||
6.375% 6/1/29 # | 6,450,000 | 4,429,924 | |||||
Performance Food Group 144A | |||||||
4.25% 8/1/29 # | 5,216,000 | 4,365,688 | |||||
Pilgrim's Pride 144A 4.25% | |||||||
4/15/31 # | 3,775,000 | 3,161,166 | |||||
Post Holdings 144A 4.50% | |||||||
9/15/31 # | 1,618,000 | 1,328,054 | |||||
Simmons Foods 144A 4.625% | |||||||
3/1/29 # | 1,590,000 | 1,346,802 | |||||
16,696,065 | |||||||
Energy – 11.65% | |||||||
Ascent Resources Utica | |||||||
Holdings | |||||||
144A 5.875% 6/30/29 # | 809,000 | 713,065 | |||||
144A 7.00% 11/1/26 # | 1,898,000 | 1,767,664 | |||||
144A 8.25% 12/31/28 # | 157,000 | 149,739 | |||||
Bellatrix Exploration | |||||||
8.50% 9/11/23 | 1,022,000 | 0 | |||||
12.50% 12/15/23 | 1,113,000 | 0 | |||||
Callon Petroleum | |||||||
144A 7.50% 6/15/30 # | 1,985,000 | 1,829,535 | |||||
144A 8.00% 8/1/28 #, * | 5,090,000 | 4,896,962 | |||||
CNX Resources 144A 6.00% | |||||||
1/15/29 # | 6,420,000 | 6,009,184 | |||||
Crestwood Midstream Partners | |||||||
144A 5.625% 5/1/27 # | 1,636,000 | 1,458,764 | |||||
144A 6.00% 2/1/29 # | 320,000 | 279,790 | |||||
EQM Midstream Partners 144A | |||||||
4.75% 1/15/31 # | 9,235,000 | 7,391,371 | |||||
Genesis Energy | |||||||
7.75% 2/1/28 | 3,335,000 | 2,889,611 | |||||
8.00% 1/15/27 | 5,255,000 | 4,665,389 | |||||
Hilcorp Energy I | |||||||
144A 6.00% 4/15/30 # | 5,220,000 | 4,549,856 | |||||
144A 6.25% 4/15/32 # | 1,040,000 | 915,252 | |||||
KCA Deutag UK Finance | |||||||
144A 9.875% 12/1/25 #, * | 315,000 | 300,195 | |||||
9.875% 12/1/25 | 930,273 | 886,550 | |||||
Laredo Petroleum 10.125% | |||||||
1/15/28 | 2,876,000 | 2,851,022 | |||||
Mesquite Energy 144A 7.25% | |||||||
2/15/23 #, ‡ | 622,000 | 9,330 | |||||
Murphy Oil 6.375% 7/15/28 | 8,268,000 | 7,725,950 | |||||
NuStar Logistics | |||||||
6.00% 6/1/26 | 4,126,000 | 3,865,113 | |||||
6.375% 10/1/30 | 4,170,000 | 3,629,718 | |||||
Occidental Petroleum | |||||||
4.20% 3/15/48 | 255,000 | 199,075 | |||||
4.40% 4/15/46 | 1,008,000 | 816,387 | |||||
4.40% 8/15/49 | 1,985,000 | 1,592,712 | |||||
4.50% 7/15/44 | 1,030,000 | 818,294 | |||||
6.45% 9/15/36 | 2,225,000 | 2,286,010 | |||||
6.60% 3/15/46 | 3,570,000 | 3,801,907 | |||||
6.625% 9/1/30 | 3,410,000 | 3,518,506 | |||||
Offshore Group Invest 7.50% | |||||||
11/1/19 | 1,693,000 | 0 | |||||
PBF Holding 144A 9.25% | |||||||
5/15/25 # | 7,266,000 | 7,606,594 | |||||
Southwestern Energy | |||||||
5.375% 2/1/29 | 760,000 | 706,397 | |||||
5.375% 3/15/30 | 7,590,000 | 6,998,208 | |||||
Weatherford International 144A | |||||||
8.625% 4/30/30 # | 2,960,000 | 2,461,940 | |||||
87,590,090 | |||||||
Financial Services – 3.20% | |||||||
Air Lease 4.65% 6/15/26 µ, ψ | 2,028,000 | 1,689,100 | |||||
Castlelake Aviation Finance DAC | |||||||
144A 5.00% 4/15/27 # | 1,238,000 | 1,030,457 | |||||
Compass Group Diversified | |||||||
Holdings 144A 5.25% | |||||||
4/15/29 # | 6,378,000 | 5,275,595 | |||||
Highlands Holdings Bond Issuer | |||||||
144A PIK 7.625% | |||||||
10/15/25 #, >> | 4,059,145 | 3,926,147 | |||||
Medline Borrower | |||||||
144A 3.875% 4/1/29 # | 4,981,000 | 4,259,353 | |||||
144A 5.25% 10/1/29 #, * | 884,000 | 728,787 | |||||
New Cotai 5.00% 2/2/27 | 3,298,686 | 3,298,686 | |||||
StoneX Group 144A 8.625% | |||||||
6/15/25 # | 3,835,000 | 3,851,682 | |||||
24,059,807 | |||||||
Healthcare – 6.51% | |||||||
Avantor Funding 144A 3.875% | |||||||
11/1/29 # | 3,610,000 | 3,162,631 | |||||
Bausch Health 144A 6.125% | |||||||
2/1/27 # | 3,140,000 | 2,674,636 | |||||
Cheplapharm Arzneimittel 144A | |||||||
5.50% 1/15/28 # | 4,525,000 | 3,786,285 | |||||
CHS | |||||||
144A 4.75% 2/15/31 # | 3,000,000 | 2,204,620 | |||||
144A 5.25% 5/15/30 # | 1,600,000 | 1,218,752 | |||||
Consensus Cloud Solutions | |||||||
144A 6.00% 10/15/26 # | 1,785,000 | 1,538,233 | |||||
144A 6.50% 10/15/28 # | 2,477,000 | 2,047,563 |
32
Principal | ||||||
amount° | Value (US $) | |||||
Corporate Bonds (continued) | ||||||
Healthcare (continued) | ||||||
Encompass Health | ||||||
4.625% 4/1/31 | 1,495,000 | $ | 1,212,758 | |||
4.75% 2/1/30 | 969,000 | 813,422 | ||||
Hadrian Merger Sub 144A 8.50% | ||||||
5/1/26 # | 509,000 | 484,634 | ||||
ModivCare Escrow Issuer 144A | ||||||
5.00% 10/1/29 # | 4,672,000 | 3,780,284 | ||||
Organon & Co. 144A 5.125% | ||||||
4/30/31 # | 6,670,000 | 5,779,355 | ||||
P&L Development 144A 7.75% | ||||||
11/15/25 # | 4,958,000 | 3,477,914 | ||||
Par Pharmaceutical 144A 7.50% | ||||||
4/1/27 # | 2,936,000 | 2,240,608 | ||||
StoneMor 144A 8.50% 5/15/29 # | 5,085,000 | 4,526,642 | ||||
Tenet Healthcare | ||||||
144A 4.375% 1/15/30 # | 3,810,000 | 3,230,937 | ||||
144A 6.125% 10/1/28 # | 4,170,000 | 3,581,488 | ||||
US Renal Care 144A 10.625% | ||||||
7/15/27 # | 8,340,000 | 3,148,350 | ||||
48,909,112 | ||||||
Insurance – 2.54% | ||||||
Ardonagh Midco 2 144A 11.50% | ||||||
1/15/27 # | 7,558,146 | 7,910,809 | ||||
HUB International 144A 5.625% | ||||||
12/1/29 # | 6,605,000 | 5,464,368 | ||||
NFP 144A 6.875% 8/15/28 # | 6,907,000 | 5,718,029 | ||||
19,093,206 | ||||||
Leisure – 4.44% | ||||||
Boyd Gaming 4.75% 12/1/27 | 4,385,000 | 3,977,633 | ||||
Carnival | ||||||
144A 5.75% 3/1/27 # | 5,753,000 | 4,175,010 | ||||
144A 6.00% 5/1/29 # | 7,316,000 | 5,165,315 | ||||
144A 7.625% 3/1/26 # | 793,000 | 616,062 | ||||
144A 9.875% 8/1/27 # | 1,550,000 | 1,514,211 | ||||
144A 10.50% 2/1/26 # | 394,000 | 392,983 | ||||
Royal Caribbean Cruises | ||||||
144A 5.375% 7/15/27 # | 6,644,000 | 4,845,536 | ||||
144A 5.50% 4/1/28 # | 7,169,000 | 4,999,338 | ||||
Scientific Games Holdings 144A | ||||||
6.625% 3/1/30 # | 4,515,000 | 3,844,839 | ||||
Scientific Games International | ||||||
144A 7.25% 11/15/29 # | 4,065,000 | 3,817,807 | ||||
33,348,734 | ||||||
Media – 8.99% | ||||||
Advantage Sales & Marketing | ||||||
144A 6.50% 11/15/28 # | 5,940,000 | 5,103,648 | ||||
AMC Networks 4.25% 2/15/29 * | 4,609,000 | 3,748,338 | ||||
Arches Buyer | ||||||
144A 4.25% 6/1/28 # | 4,746,000 | 3,877,482 | ||||
144A 6.125% 12/1/28 #, * | 3,964,000 | 3,238,628 | ||||
Cars.com 144A 6.375% | ||||||
11/1/28 # | 2,355,000 | 1,987,208 | ||||
CCO Holdings | ||||||
144A 4.50% 8/15/30 # | 2,924,000 | 2,437,105 | ||||
144A 4.75% 2/1/32 # | 3,290,000 | 2,702,077 | ||||
Clear Channel International 144A | ||||||
6.625% 8/1/25 # | 572,000 | 532,755 | ||||
CMG Media 144A 8.875% | ||||||
12/15/27 # | 4,286,000 | 3,397,748 | ||||
CSC Holdings | ||||||
144A 4.50% 11/15/31 # | 1,754,000 | 1,358,122 | ||||
144A 4.625% 12/1/30 # | 7,234,000 | 4,859,620 | ||||
144A 5.00% 11/15/31 # | 2,381,000 | 1,608,585 | ||||
144A 5.75% 1/15/30 # | 1,372,000 | 1,001,876 | ||||
Cumulus Media New Holdings | ||||||
144A 6.75% 7/1/26 # | 4,075,000 | 3,759,778 | ||||
Directv Financing 144A 5.875% | ||||||
8/15/27 # | 6,662,000 | 5,704,704 | ||||
DISH DBS 144A 5.75% | ||||||
12/1/28 # | 4,555,000 | 3,381,108 | ||||
Nielsen Finance | ||||||
144A 5.625% 10/1/28 # | 2,343,000 | 2,182,633 | ||||
144A 5.875% 10/1/30 # | 1,926,000 | 1,771,920 | ||||
Sirius XM Radio 144A 4.125% | ||||||
7/1/30 # | 6,123,000 | 5,128,441 | ||||
Stagwell Global 144A 5.625% | ||||||
8/15/29 # | 4,022,000 | 3,243,039 | ||||
VTR Comunicaciones 144A | ||||||
4.375% 4/15/29 # | 3,166,000 | 2,170,831 | ||||
VTR Finance 144A 6.375% | ||||||
7/15/28 # | 2,826,000 | 2,020,923 | ||||
VZ Secured Financing 144A | ||||||
5.00% 1/15/32 # | 2,805,000 | 2,333,985 | ||||
67,550,554 | ||||||
Real Estate – 0.04% | ||||||
Uniti Group 144A 4.75% | ||||||
4/15/28 # | 394,000 | 324,904 | ||||
324,904 | ||||||
Retail – 2.64% | ||||||
Asbury Automotive Group | ||||||
4.50% 3/1/28 | 2,576,930 | 2,239,056 | ||||
144A 5.00% 2/15/32 # | 85,000 | 69,614 | ||||
CP Atlas Buyer 144A 7.00% | ||||||
12/1/28 # | 1,146,000 | 829,234 |
33
Schedules of investments
Delaware Ivy VIP High Income
Principal | ||||||
amount° | Value (US $) | |||||
Corporate Bonds (continued) | ||||||
Retail (continued) | ||||||
Lithia Motors | ||||||
144A 3.875% 6/1/29 # | 1,666,000 | $ | 1,418,707 | |||
144A 4.375% 1/15/31 # | 1,271,000 | 1,085,688 | ||||
LSF9 Atlantis Holdings 144A | ||||||
7.75% 2/15/26 # | 5,472,000 | 4,642,015 | ||||
Michaels | ||||||
144A 5.25% 5/1/28 # | 2,801,000 | 2,207,146 | ||||
144A 7.875% 5/1/29 # | 2,518,000 | 1,666,941 | ||||
PetSmart 144A 7.75% 2/15/29 # | 6,288,000 | 5,676,524 | ||||
19,834,925 | ||||||
Services – 3.44% | ||||||
Adtalem Global Education 144A | ||||||
5.50% 3/1/28 # | 4,951,000 | 4,427,506 | ||||
Ahern Rentals 144A 7.375% | ||||||
5/15/23 # | 3,231,000 | 2,504,025 | ||||
NESCO Holdings II 144A 5.50% | ||||||
4/15/29 # | 4,712,000 | 3,960,106 | ||||
PECF USS Intermediate Holding | ||||||
III 144A 8.00% 11/15/29 # | 1,330,000 | 1,055,887 | ||||
Sabre GLBL | ||||||
144A 7.375% 9/1/25 # | 313,000 | 290,919 | ||||
144A 9.25% 4/15/25 # | 756,000 | 729,937 | ||||
Staples | ||||||
144A 7.50% 4/15/26 # | 4,599,000 | 3,825,908 | ||||
144A 10.75% 4/15/27 # | 8,805,000 | 5,835,206 | ||||
White Cap Buyer 144A 6.875% | ||||||
10/15/28 # | 4,079,000 | 3,268,829 | ||||
25,898,323 | ||||||
Technology – 0.09% | ||||||
NCR 144A 5.25% 10/1/30 # | 782,000 | 675,480 | ||||
675,480 | ||||||
Technology & Electronics – 2.68% | ||||||
Entegris Escrow 144A 5.95% | ||||||
6/15/30 # | 5,825,000 | 5,554,370 | ||||
Minerva Merger Sub 144A 6.50% | ||||||
2/15/30 # | 4,505,000 | 3,759,625 | ||||
NCR | ||||||
144A 5.00% 10/1/28 # | 2,287,000 | 1,942,239 | ||||
144A 5.125% 4/15/29 # | 8,677,000 | 7,356,968 | ||||
144A 5.75% 9/1/27 # | 772,000 | 686,127 | ||||
144A 6.125% 9/1/29 # | 983,000 | 851,453 | ||||
20,150,782 | ||||||
Transportation – 2.12% | ||||||
Grupo Aeromexico 144A 8.50% | ||||||
3/17/27 # | 2,855,000 | 2,761,532 | ||||
Seaspan 144A 5.50% 8/1/29 # | 6,910,000 | 5,522,368 | ||||
VistaJet Malta Finance 144A | ||||||
6.375% 2/1/30 # | 9,570,000 | 7,681,265 | ||||
15,965,165 | ||||||
Utilities – 2.33% | ||||||
Calpine | ||||||
144A 4.625% 2/1/29 # | 3,295,000 | 2,746,827 | ||||
144A 5.00% 2/1/31 # | 370,000 | 299,620 | ||||
144A 5.125% 3/15/28 # | 5,470,000 | 4,828,615 | ||||
Vistra | ||||||
144A 7.00% 12/15/26 #, µ, ψ | 6,710,000 | 6,102,712 | ||||
144A 8.00% 10/15/26 #, µ, ψ | 3,650,000 | 3,523,126 | ||||
17,500,900 | ||||||
Total Corporate Bonds | ||||||
(cost $622,739,596) | 523,408,151 | |||||
Municipal Bonds – 0.80% | ||||||
Commonwealth of Puerto Rico | ||||||
Series C 2.637% 11/1/43• | 715,587 | 356,899 | ||||
Series A1 2.986% 7/1/24^ | 73,721 | 67,509 | ||||
Series A1 4.362% 7/1/33^ | 184,432 | 103,865 | ||||
Series A-1 4.00% 7/1/33 | 143,315 | 131,651 | ||||
Series A-1 4.00% 7/1/35 | 128,821 | 115,707 | ||||
Series A-1 4.00% 7/1/37 | 110,562 | 98,137 | ||||
Series A-1 4.00% 7/1/41 | 150,322 | 130,525 | ||||
Series A-1 4.00% 7/1/46 | 156,333 | 131,731 | ||||
Series A-1 5.25% 7/1/23 | 80,033 | 81,506 | ||||
Series A-1 5.625% 7/1/27 | 158,167 | 168,472 | ||||
Series A-1 5.625% 7/1/29 | 155,601 | 167,367 | ||||
Series A-1 5.75% 7/1/31 | 151,134 | 165,398 | ||||
GDB Debt Recovery Authority of | ||||||
Puerto Rico | ||||||
7.50% 8/20/40 | 4,815,668 | 4,273,906 | ||||
Total Municipal Bonds | ||||||
(cost $6,477,157) | 5,992,673 | |||||
Loan Agreements – 13.47% | ||||||
Advantage Sales & Marketing | ||||||
Tranche B-1 6.166% | ||||||
(LIBOR02M + 4.50%) | ||||||
10/28/27 • | 7,290,126 | 6,722,867 | ||||
Amynta Agency Borrower | ||||||
Tranche B 1st Lien 6.166% | ||||||
(LIBOR01M + 4.50%) | ||||||
2/28/25 • | 8,626,567 | 8,346,204 | ||||
Ankura Consulting Group 1st | ||||||
Lien 6.14% (SOFR01M + | ||||||
4.50%) 3/17/28 • | 1,559,799 | 1,474,010 | ||||
Applied Systems 2nd Lien 7.75% | ||||||
(LIBOR03M + 5.50%) | ||||||
9/19/25 • | 4,151,400 | 4,023,400 | ||||
Ascent Resources Utica | ||||||
Holdings 2nd Lien 10.021% | ||||||
(LIBOR03M + 9.00%) | ||||||
11/1/25 • | 1,233,000 | 1,300,815 |
34
Principal | ||||||
amount° | Value (US $) | |||||
Loan Agreements (continued) | ||||||
Clydesdale Acquisition Holdings | ||||||
Tranche B 5.875% (SOFR01M | ||||||
+ 4.25%) 4/13/29 • | 1,205,000 | $ | 1,133,328 | |||
CNT Holdings I 2nd Lien 7.94% | ||||||
(LIBOR01M + 6.75%) | ||||||
11/6/28 • | 2,060,000 | 1,985,325 | ||||
Covis Finco Tranche B 8.705% | ||||||
(SOFR01M + 5.50%) | ||||||
2/18/27 • | 3,426,625 | 2,895,498 | ||||
CP Atlas Buyer Tranche B | ||||||
5.416% (LIBOR01M + 3.75%) | ||||||
11/23/27 • | 4,396,237 | 3,864,292 | ||||
CPC Acquisition 1st Lien 6.00% | ||||||
(LIBOR03M + 3.75%) | ||||||
12/29/27 • | 780,125 | 687,811 | ||||
CPC Acquisition 2nd Lien | ||||||
10.00% (LIBOR03M + 7.75%) | ||||||
12/29/28 • | 504,000 | 449,190 | ||||
Edelman Financial Engines | ||||||
Center 2nd Lien 8.416% | ||||||
(LIBOR01M + 6.75%) | ||||||
7/20/26 • | 6,487,000 | 5,976,149 | ||||
Foresight Energy 10.251% | ||||||
(LIBOR03M + 8.00%) | ||||||
6/30/27 • | 1,271,687 | 1,271,687 | ||||
Form Technologies Tranche B | ||||||
6.006% (LIBOR03M + 4.75%) | ||||||
7/22/25 • | 11,943,194 | 10,987,739 | ||||
Gulf Finance 8.496% | ||||||
(LIBOR01M + 6.75%) | ||||||
8/25/26 • | 1,283,792 | 958,030 | ||||
Heartland Dental 5.75% | ||||||
(SOFR03M + 5.00%) | ||||||
4/30/25 • | 3,925,000 | 3,689,500 | ||||
Hexion Holdings 1st Lien 5.924% | ||||||
(SOFR03M + 4.50%) | ||||||
3/15/29 • | 905,000 | 813,934 | ||||
Hexion Holdings 2nd Lien | ||||||
8.871% (SOFR01M + 0.00%) | ||||||
3/15/30 • | 3,665,000 | 3,243,525 | ||||
Ivanti Software 5.611% | ||||||
(LIBOR03M + 4.00%) | ||||||
12/1/27 • | 407,168 | 348,807 | ||||
Jones DesLauriers Insurance | ||||||
Management 1st Lien 6.063% | ||||||
(CDOR03M + 4.25%) | ||||||
3/27/28 • | 5,073,281 | 3,665,437 | ||||
Jones DesLauriers Insurance | ||||||
Management 1st Lien 6.063% | ||||||
(CDOR03M + 4.25%) | ||||||
3/27/28 • | 1,156,465 | 840,036 | ||||
Jones DesLauriers Insurance | ||||||
Management 2nd Lien | ||||||
(CDOR01M + 7.50%) | ||||||
3/26/29 • | 260,097 | 188,930 | ||||
9.313% (CDOR03M + 7.50%) | ||||||
3/26/29 • | 2,585,903 | 1,878,356 | ||||
Lealand Finance Company | ||||||
4.666% (LIBOR01M + 3.00%) | ||||||
6/28/24 • | 95,215 | 59,509 | ||||
Michaels Tranche B 6.50% | ||||||
(LIBOR03M + 4.25%) | ||||||
4/15/28 • | 2,627,497 | 2,185,202 | ||||
MLN US HoldCo Tranche B 1st | ||||||
Lien 5.62% (LIBOR01M + | ||||||
4.50%) 11/30/25 • | 8,755,226 | 5,924,373 | ||||
MLN US HoldCo Tranche B 2nd | ||||||
Lien 9.87% (LIBOR01M + | ||||||
8.75%) 11/30/26 • | 2,920,000 | 2,093,640 | ||||
Pre Paid Legal Services 2nd Lien | ||||||
8.666% (LIBOR01M + 7.00%) | ||||||
12/14/29 • | 2,245,000 | 2,121,525 | ||||
SPX Flow (SOFR01M + 4.50%) | ||||||
4/5/29 • | 4,655,901 | 4,357,145 | ||||
Swf Holdings I 5.595% | ||||||
(LIBOR01M + 4.00%) | ||||||
10/6/28 • | 3,814,113 | 3,140,285 | ||||
U.S. Renal Care Tranche B 1st | ||||||
Lien 6.688% (LIBOR01M + | ||||||
5.00%) 6/26/26 • | 3,828,262 | 2,647,481 | ||||
UKG 2nd Lien 7.535% | ||||||
(LIBOR03M + 5.25%) 5/3/27 • | 5,615,000 | 5,214,931 | ||||
United PF Holdings 1st Lien | ||||||
10.751% (LIBOR03M + | ||||||
8.50%) 12/30/26 • | 926,497 | 903,335 | ||||
Waterbridge Midstream | ||||||
Operating Tranche B 7.392% | ||||||
(LIBOR01M + 5.75%) | ||||||
6/22/26 • | 1,272 | 1,220 | ||||
West Corporation Tranche B | ||||||
5.666% (LIBOR01M + 4.00%) | ||||||
10/10/24 • | 6,910,816 | 5,900,109 | ||||
Total Loan Agreements | ||||||
(cost $112,277,851) | 101,293,625 | |||||
Number of | ||||||
shares | ||||||
Common Stocks – 1.05% | ||||||
Basic Industry – 0.38% | ||||||
Foresight Energy † | 185,516 | 2,753,050 | ||||
Westmoreland Coal † | 28,632 | 72,296 | ||||
2,825,346 |
35
Schedules of investments
Delaware Ivy VIP High Income
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks (continued) | ||||||
Consumer Goods – 0.00% | ||||||
ASG Warrant | 1,200 | $ | 0 | |||
0 | ||||||
Energy – 0.00% | ||||||
Sabine Oil & Gas Holdings † | 263 | 326 | ||||
Vantage Drilling International † | 452 | 7,345 | ||||
7,671 | ||||||
Industrials – 0.00% | ||||||
BIS Industries Holdings † | 1,604,602 | 0 | ||||
0 | ||||||
Leisure – 0.27% | ||||||
New Cotai <<, † | 3,072,567 | 46,908 | ||||
Studio City International Holdings | ||||||
ADR † | 343,125 | 737,719 | ||||
Studio City International Holdings | ||||||
ADR † | 581,459 | 1,250,137 | ||||
2,034,764 | ||||||
Retail – 0.06% | ||||||
True Religion Apparel † | 23 | 424,516 | ||||
424,516 | ||||||
Services – 0.33% | ||||||
Laureate Education | 217,638 | 2,518,071 | ||||
2,518,071 | ||||||
Utilities – 0.01% | ||||||
Larchmont Resources << | 1,007 | 92,197 | ||||
92,197 | ||||||
Total Common Stocks | ||||||
(cost $44,690,788) | 7,902,565 | |||||
Preferred Stock – 0.02% | ||||||
True Religion Apparel 0.000% ω | 24 | 119,120 | ||||
Total Preferred Stock | ||||||
(cost $392,060) | 119,120 | |||||
Exchange-Traded Funds – 3.98% | ||||||
Invesco Senior Loan ETF* | 424,157 | 8,597,662 | ||||
iShares iBoxx High Yield | ||||||
Corporate Bond ETF* | 290,000 | 21,346,900 | ||||
Total Exchange-Traded Funds | ||||||
(cost $33,375,159) | 29,944,562 | |||||
Principal | ||||||
amount° | ||||||
Investment Company – 0.29% | ||||||
KCA Deutag International | ||||||
26,774 | 2,182,081 | |||||
Total Investment Company | ||||||
(cost $1,097,734) | 2,182,081 | |||||
Number of | ||||||
shares | ||||||
Warrants – 0.01% | ||||||
California Resources † | 7,744 | 79,531 | ||||
Total Warrants | ||||||
(cost $673,784) | 79,531 | |||||
Short-Term Investments – 8.80% | ||||||
Money Market Mutual Fund – 8.80% | ||||||
State Street Institutional US | ||||||
Government Money Market | ||||||
Fund – Premier Class (seven- | ||||||
day effective yield 1.43%) | 66,148,685 | 66,148,686 | ||||
Total Short-Term Investments | ||||||
(cost $66,148,685) | 66,148,686 | |||||
Total Value of Securities Before | ||||||
Securities Lending Collateral–98.19% | ||||||
(cost $888,919,225) | 738,146,103 | |||||
Securities Lending Collateral** – 4.62% | ||||||
Money Market Mutual Fund – 4.62% | ||||||
Dreyfus Institutional Preference | ||||||
Government Money Market | ||||||
Fund - Institutional Shares | ||||||
(seven-day effective yield | ||||||
1.47%) | 34,735,206 | 34,735,206 | ||||
Total Securities Lending Collateral | ||||||
(cost $34,735,206) | 34,735,206 | |||||
Total Value of | ||||||
Securities–102.81% | ||||||
(cost $923,654,431) | $ | 772,881,309■ |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
ω | Perpetual security with no stated maturity date. |
<< | Affiliated company. See Note 2 in "Notes to financial statements." |
† | Non-income producing security. |
^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
36
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
‡ | Non-income producing security. Security is currently in default. |
** | See Note 10 in “Notes to financial statements” for additional information on securities lending collateral. |
>>>> | PIK. 80% of the income received was in cash and 20% was in principal. |
>> | PIK. 100% of the income received was in the form of principal. |
> | PIK. 100% of the income received was in the form of cash. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2022, the aggregate value of Rule 144A securities was $432,021,383, which represents 57.47% of the Portfolio's net assets. See Note 11 in “Notes to financial statements." |
ψ | Perpetual security. Maturity date represents next call date. |
µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2022. Rate will reset at a future date. |
* | Fully or partially on loan. |
>>> | PIK. 62.50% of the income received was in cash and 37.50% was in principal. |
■ | Includes $38,064,238 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $4,529,262. |
The following foreign currency exchange contracts were outstanding at June 30, 2022:1
Foreign Currency Exchange Contracts
Currency to | Settlement | Unrealized | |||||||||||
Counterparty | Receive (Deliver) | In Exchange For | Date | Depreciation | |||||||||
JPMCB | CAD | (9,330,000) | USD | 7,225,444 | 8/19/22 | $ | (23,505) |
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts presented above represent the Portfolio’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Portfolio’s net assets.
1 | See Note 8 in “Notes to financial statements.” |
Summary of abbreviations:
ADR – American Depositary Receipt
CDOR01M – 1 Month Canadian Dollar Offered Rate
CDOR03M – 3 Month Canadian Dollar Offered Rate
DAC – Designated Activity Company
ETF – Exchange-Traded Fund
ICE – Intercontinental Exchange, Inc.
JPMCB – JPMorgan Chase Bank
JPY – Japanese Yen
LIBOR – London Interbank Offered Rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR02M – ICE LIBOR USD 2 Month
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
PIK – Payment-in-kind
SOFR – Secured Overnight Financing Rate
SOFR01M – Secured Overnight Financing Rate 1 Month
SOFR03M – Secured Overnight Financing Rate 3 Month
Summary of currencies:
CAD – Canadian Dollar
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
37
Schedules of investments
Delaware Ivy VIP International Core Equity
June 30, 2022 (Unaudited)
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks – 99.00% | ||||||
Australia – 0.93% | ||||||
Newcrest Mining | 311,943 | $ | 4,498,007 | |||
4,498,007 | ||||||
Austria – 1.20% | ||||||
Mondi | 326,684 | 5,786,134 | ||||
5,786,134 | ||||||
Brazil – 3.17% | ||||||
Banco do Brasil | 1,258,585 | 8,017,889 | ||||
MercadoLibre † | 11,387 | 7,252,039 | ||||
15,269,928 | ||||||
Canada – 7.58% | ||||||
Canada Goose Holdings † | 301,054 | 5,421,983 | ||||
Canadian Pacific Railway | 137,895 | 9,631,867 | ||||
Dollarama | 179,127 | 10,314,553 | ||||
Suncor Energy | 316,813 | 11,115,037 | ||||
36,483,440 | ||||||
China – 5.42% | ||||||
Huazhu Group ADR | 276,548 | 10,536,479 | ||||
JD.com ADR | 185,277 | 11,898,489 | ||||
Tencent Holdings | 81,100 | 3,662,874 | ||||
26,097,842 | ||||||
China/Hong Kong – 6.32% | ||||||
China Mengniu Dairy | 1,005,000 | 5,014,242 | ||||
Li Ning | 1,115,000 | 10,330,389 | ||||
Prosus | 118,351 | 7,749,140 | ||||
ZTO Express Cayman ADR | 268,007 | 7,356,792 | ||||
30,450,563 | ||||||
Denmark – 4.02% | ||||||
Ambu Class B * | 265,265 | 2,575,828 | ||||
AP Moller - Maersk Class A | 1,075 | 2,476,383 | ||||
AP Moller - Maersk Class B | 1,845 | 4,303,453 | ||||
Genmab † | 30,860 | 9,987,308 | ||||
19,342,972 | ||||||
France – 12.64% | ||||||
Airbus | 116,531 | 11,289,870 | ||||
BNP Paribas | 145,411 | 6,912,875 | ||||
Capgemini | 46,804 | 8,016,937 | ||||
Cie Generale des Etablissements | ||||||
Michelin | 232,101 | 6,317,905 | ||||
Technip Energies | 168,379 | 2,098,906 | ||||
Thales | 43,399 | 5,323,432 | ||||
TotalEnergies * | 239,813 | 12,658,587 | ||||
Vinci | 92,596 | 8,244,177 | ||||
60,862,689 | ||||||
Germany – 10.73% | ||||||
adidas AG | 43,682 | 7,725,251 | ||||
Bayer | 161,147 | 9,578,533 | ||||
HeidelbergCement | 127,515 | 6,125,569 | ||||
HelloFresh † | 188,074 | 6,080,293 | ||||
RWE | 272,642 | 10,022,889 | ||||
SAP | 63,055 | 5,744,203 | ||||
Siemens | 62,569 | 6,366,112 | ||||
51,642,850 | ||||||
Hong Kong – 1.64% | ||||||
Prudential | 636,768 | 7,875,399 | ||||
7,875,399 | ||||||
Italy – 0.90% | ||||||
UniCredit | 455,638 | 4,328,409 | ||||
4,328,409 | ||||||
Japan – 11.22% | ||||||
Inpex * | 723,900 | 7,842,961 | ||||
ORIX | 464,751 | 7,796,089 | ||||
Seven & i Holdings | 193,100 | 7,496,003 | ||||
SMC | 14,900 | 6,640,647 | ||||
Subaru | 519,723 | 9,237,264 | ||||
Terumo | 187,761 | 5,657,186 | ||||
Tokio Marine Holdings | 160,974 | 9,376,308 | ||||
54,046,458 | ||||||
Netherlands – 3.43% | ||||||
ING Groep | 665,485 | 6,577,132 | ||||
Shell | 381,375 | 9,929,601 | ||||
16,506,733 | ||||||
Norway – 1.35% | ||||||
DNB Bank | 361,461 | 6,478,973 | ||||
6,478,973 | ||||||
Republic of Korea – 3.82% | ||||||
LG | 92,535 | 5,551,815 | ||||
Samsung Electronics | 292,092 | 12,822,893 | ||||
18,374,708 | ||||||
Spain – 1.26% | ||||||
Banco Bilbao Vizcaya Argentaria | 1,338,867 | 6,075,976 | ||||
6,075,976 | ||||||
Switzerland – 1.38% | ||||||
Roche Holding | 19,968 | 6,662,972 | ||||
6,662,972 | ||||||
Taiwan – 1.94% | ||||||
Taiwan Semiconductor | ||||||
Manufacturing | 584,000 | 9,349,185 | ||||
9,349,185 | ||||||
United Kingdom – 11.50% | ||||||
AstraZeneca | 38,468 | 5,057,326 | ||||
AstraZeneca ADR | 130,128 | 8,597,557 |
38
Number of | |||||||
shares | Value (US $) | ||||||
Common Stocks (continued) | |||||||
United Kingdom (continued) | |||||||
BT Group | 3,915,827 | $ | 8,880,430 | ||||
HSBC Holdings | 1,569,153 | 10,230,656 | |||||
Legal & General Group | 2,170,333 | 6,327,461 | |||||
Reckitt Benckiser Group | 103,173 | 7,749,057 | |||||
Tesco | 2,734,878 | 8,506,022 | |||||
55,348,509 | |||||||
United States – 8.55% | |||||||
Ferguson | 54,220 | 6,064,265 | |||||
GlaxoSmithKline | 751,994 | 16,162,343 | |||||
GSK ADR * | 54,821 | 2,386,358 | |||||
Lululemon Athletica † | 8,866 | 2,416,960 | |||||
Schneider Electric | 66,675 | 7,888,556 | |||||
Stellantis | 506,040 | 6,248,049 | |||||
41,166,531 | |||||||
Total Common Stocks | |||||||
(cost $531,740,594) | 476,648,278 | ||||||
Short-Term Investments – 0.57% | |||||||
Money Market Mutual Fund – 0.57% | |||||||
State Street Institutional US | |||||||
Government Money Market | |||||||
Fund – Premier Class (seven- | |||||||
day effective yield 1.43%) | 2,749,408 | 2,749,408 | |||||
Total Short-Term Investments | |||||||
(cost $2,749,408) | 2,749,408 | ||||||
Total Value of Securities Before | |||||||
Securities Lending Collateral–99.57% | |||||||
(cost $534,490,002) | 479,397,686 | ||||||
Securities Lending Collateral** – 1.37% | |||||||
Money Market Mutual Fund – 1.37% | |||||||
Dreyfus Institutional Preference | |||||||
Government Money Market | |||||||
Fund - Institutional Shares | |||||||
(seven-day effective yield | |||||||
1.47%) | 6,596,039 | 6,596,039 | |||||
Total Securities Lending Collateral | |||||||
(cost $6,596,039) | 6,596,039 | ||||||
Total Value of Securities–100.94% | |||||||
(cost $541,086,041) | $ | 485,993,725■ |
† | Non-income producing security. |
* | Fully or partially on loan. |
** | See Note 10 in “Notes to financial statements” for additional information on securities lending collateral. |
■ | Includes $24,849,941 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $23,855,558. |
The following foreign currency exchange contracts were outstanding at June 30, 2022:1
Foreign Currency Exchange Contracts
Currency to | Settlement | Unrealized | |||||||||
Counterparty | Receive (Deliver) | In Exchange For | Date | Depreciation | |||||||
BNYM | JPY | (188,023,423) | USD | 1,373,526 | 7/1/22 | $ | (12,335) |
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts presented above represent the Portfolio’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Portfolio's net assets.
1 | See Note 8 in “Notes to financial statements.” |
Summary of abbreviations:
ADR – American Depositary Receipt
AG – Aktiengesellschaft
BNYM – Bank of New York Mellon
Summary of currencies:
JPY – Japanese Yen
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
39
Schedules of investments
Delaware Ivy VIP Mid Cap Growth
June 30, 2022 (Unaudited)
Number of | |||||||
shares | Value (US $) | ||||||
Common Stocks – 99.97% | |||||||
Communication Services – 4.30% | |||||||
Electronic Arts | 63,164 | $ | 7,683,901 | ||||
Pinterest Class A † | 412,430 | 7,489,729 | |||||
ZoomInfo Technologies † | 125,506 | 4,171,819 | |||||
19,345,449 | |||||||
Consumer Discretionary – 17.39% | |||||||
BorgWarner | 254,462 | 8,491,397 | |||||
Burlington Stores † | 13,291 | 1,810,633 | |||||
Chipotle Mexican Grill † | 10,803 | 14,122,330 | |||||
Floor & Decor Holdings | |||||||
Class A † | 62,165 | 3,913,908 | |||||
Levi Strauss & Co. Class A | 342,774 | 5,594,072 | |||||
Lululemon Athletica † | 22,054 | 6,012,141 | |||||
National Vision Holdings † | 172,209 | 4,735,748 | |||||
On Holding Class A *, † | 237,382 | 4,199,288 | |||||
Petco Health & Wellness *, † | 241,302 | 3,556,791 | |||||
Pool | 19,336 | 6,791,383 | |||||
Shutterstock | 69,919 | 4,007,058 | |||||
Ulta Beauty † | 21,509 | 8,291,289 | |||||
Vail Resorts | 30,401 | 6,628,938 | |||||
78,154,976 | |||||||
Consumer Staples – 1.28% | |||||||
Brown-Forman Class B | 82,254 | 5,770,941 | |||||
5,770,941 | |||||||
Financials – 6.72% | |||||||
First Republic Bank | 63,210 | 9,114,882 | |||||
Kinsale Capital Group | 16,454 | 3,778,497 | |||||
MarketAxess Holdings | 47,994 | 12,286,944 | |||||
Pinnacle Financial Partners | 69,279 | 5,009,564 | |||||
30,189,887 | |||||||
Healthcare – 21.37% | |||||||
ABIOMED † | 30,543 | 7,559,698 | |||||
Agilent Technologies | 51,836 | 6,156,562 | |||||
Azenta | 81,542 | 5,879,178 | |||||
Bio-Techne | 21,060 | 7,300,239 | |||||
Dexcom ~, † | 176,556 | 13,158,719 | |||||
Edwards Lifesciences † | 77,360 | 7,356,162 | |||||
Envista Holdings † | 219,177 | 8,447,081 | |||||
Genmab ADR *, † | 222,344 | 7,223,956 | |||||
Horizon Therapeutics † | 107,337 | 8,561,199 | |||||
Intuitive Surgical † | 33,470 | 6,717,764 | |||||
Repligen † | 47,094 | 7,648,066 | |||||
Seagen † | 56,606 | 10,015,866 | |||||
96,024,490 | |||||||
Industrials – 14.46% | |||||||
A O Smith | 131,514 | 7,191,186 | |||||
Clarivate † | 372,163 | 5,158,179 | |||||
CoStar Group ~, † | 293,927 | 17,756,130 | |||||
Fastenal ~ | 138,585 | 6,918,163 | |||||
Generac Holdings † | 27,205 | 5,728,829 | |||||
HEICO Class A | 85,518 | 9,011,887 | |||||
IDEX | 30,694 | 5,574,951 | |||||
Trex † | 140,640 | 7,653,629 | |||||
64,992,954 | |||||||
Information Technology – 33.47% | |||||||
Arista Networks † | 122,250 | 11,459,715 | |||||
Crowdstrike Holdings | |||||||
Class A † | 51,710 | 8,716,238 | |||||
DocuSign † | 105,987 | 6,081,534 | |||||
Five9 † | 79,901 | 7,282,177 | |||||
Genpact | 84,951 | 3,598,524 | |||||
Guidewire Software † | 73,305 | 5,203,922 | |||||
II-VI *, † | 192,648 | 9,815,416 | |||||
Keysight Technologies † | 67,908 | 9,361,118 | |||||
Littelfuse | 7,325 | 1,860,843 | |||||
Marvell Technology | 209,199 | 9,106,432 | |||||
Microchip Technology | 155,098 | 9,008,092 | |||||
Monolithic Power Systems | 37,840 | 14,532,073 | |||||
Novanta † | 39,187 | 4,752,207 | |||||
Paycom Software † | 31,905 | 8,937,229 | |||||
Teradyne * | 111,514 | 9,986,079 | |||||
Trade Desk Class A † | 107,332 | 4,496,137 | |||||
Trimble † | 126,847 | 7,386,301 | |||||
Tyler Technologies † | 26,720 | 8,883,866 | |||||
Universal Display | 55,464 | 5,609,629 | |||||
Workiva † | 65,568 | 4,326,832 | |||||
150,404,364 | |||||||
Materials – 0.98% | |||||||
Scotts Miracle-Gro * | 55,565 | 4,389,079 | |||||
4,389,079 | |||||||
Total Common Stocks | |||||||
(cost $426,614,604) | 449,272,140 | ||||||
Short-Term Investments – 0.33% | |||||||
Money Market Mutual Fund – 0.33% | |||||||
State Street Institutional US | |||||||
Government Money Market | |||||||
Fund – Premier Class | |||||||
(seven-day effective yield | |||||||
1.43%) | 1,479,406 | 1,479,406 | |||||
Total Short-Term Investments | |||||||
(cost $1,479,406) | 1,479,406 | ||||||
Total Value of Securities Before | |||||||
Securities Lending Collateral and | |||||||
Options Written–100.30% | |||||||
(cost $428,094,010) | 450,751,546 |
40
Number of | |||||||||
shares | Value (US $) | ||||||||
Securities Lending Collateral** – 1.80% | |||||||||
Money Market Mutual Fund – 1.80% | |||||||||
Dreyfus Institutional | |||||||||
Preference Government | |||||||||
Money Market Fund - | |||||||||
Institutional Shares (seven- | |||||||||
day effective yield 1.47%) | 8,067,729 | $ | 8,067,729 | ||||||
Total Securities Lending Collateral | |||||||||
(cost $8,067,729) | 8,067,729 | ||||||||
Number of | |||||||||
contracts | |||||||||
Options Written – (0.19%) | |||||||||
Equity Call Options – (0.19%) | |||||||||
Shutterstock, strike price | |||||||||
$110, expiration date 8/19/ | |||||||||
22, notional amount | |||||||||
$(1,771,000)† | (161 | ) | (849,275 | ) | |||||
Total Options Written | |||||||||
(premium received $662,668) | $ | (849,275 | ) |
† | Non-income producing security. |
* | Fully or partially on loan. |
~ | All or portion of the security has been pledged as collateral with outstanding options written. |
** | See Note 10 in “Notes to financial statements” for additional information on securities lending collateral. |
■ | Includes $20,770,037 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $13,542,698. |
Summary of abbreviations:
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
41
Schedules of investments
Delaware Ivy VIP Natural Resources
June 30, 2022 (Unaudited)
Number of | |||||||
shares | Value (US $) | ||||||
Closed-Ended Trust – 3.05% | |||||||
Sprott Physical Uranium Trust † | 307,034 | $ | 3,308,391 | ||||
Total Closed-Ended Trust | |||||||
(cost $3,767,892) | 3,308,391 | ||||||
Common Stocks – 93.01% | |||||||
Basic Industry – 23.53% | |||||||
Anglo American | 81,899 | 2,928,061 | |||||
CF Industries Holdings | 32,999 | 2,829,004 | |||||
ERO Copper † | 244,943 | 2,068,467 | |||||
Hudbay Minerals | 518,970 | 2,117,398 | |||||
Kinross Gold | 404,832 | 1,449,299 | |||||
Newmont | 67,144 | 4,006,482 | |||||
Nutrien * | 52,600 | 4,191,694 | |||||
Vale ADR | 131,478 | 1,923,523 | |||||
Wheaton Precious Metals * | 111,172 | 4,005,527 | |||||
25,519,455 | |||||||
Consumer Staples – 6.46% | |||||||
Archer-Daniels-Midland | 30,768 | 2,387,597 | |||||
Bunge | 32,598 | 2,956,312 | |||||
Darling Ingredients † | 27,701 | 1,656,520 | |||||
7,000,429 | |||||||
Energy – 46.28% | |||||||
Archaea Energy *, † | 153,333 | 2,381,262 | |||||
Chesapeake Energy * | 75,661 | 6,136,107 | |||||
Denbury † | 69,523 | 4,170,685 | |||||
Enviva | 51,482 | 2,945,800 | |||||
EOG Resources | 27,158 | 2,999,330 | |||||
EQT | 145,345 | 4,999,868 | |||||
Kimbell Royalty Partners | 242,436 | 3,801,397 | |||||
Occidental Petroleum | 46,250 | 2,723,200 | |||||
Parex Resources | 66,565 | 1,127,344 | |||||
PBF Energy Class A † | 33,568 | 974,143 | |||||
Schlumberger | 110,690 | 3,958,274 | |||||
Shell | 159,774 | 4,150,478 | |||||
Sunrun *, † | 58,243 | 1,360,556 | |||||
Unit † | 45,895 | 2,324,123 | |||||
Valaris † | 42,961 | 1,814,673 | |||||
Valero Energy | 40,597 | 4,314,649 | |||||
50,181,889 | |||||||
Industrials – 6.43% | |||||||
Arcosa | 67,474 | 3,132,818 | |||||
Ardmore Shipping † | 134,749 | 939,201 | |||||
China Metal Recycling Holdings | 1,900,000 | 0 | |||||
Li-Cycle Holdings *, † | 221,702 | 1,525,310 | |||||
NuScale Power *, † | 137,966 | 1,378,280 | |||||
6,975,609 | |||||||
Materials – 6.91% | |||||||
BHP Group | 159,995 | 4,555,508 | |||||
Louisiana-Pacific | 28,300 | 1,483,203 | |||||
Pan American Silver | 74,276 | 1,459,322 | |||||
7,498,033 | |||||||
Real Estate Investment Trusts – 3.40% | |||||||
Weyerhaeuser | 111,207 | 3,683,176 | |||||
3,683,176 | |||||||
Total Common Stocks | |||||||
(cost $110,674,501) | 100,858,591 | ||||||
Short-Term Investments – 4.11% | |||||||
Money Market Mutual Fund – 4.11% | |||||||
State Street Institutional US | |||||||
Government Money Market | |||||||
Fund – Premier Class (seven- | |||||||
day effective yield 1.43%) | 4,455,759 | 4,455,759 | |||||
Total Short-Term Investments | |||||||
(cost $4,455,759) | 4,455,759 | ||||||
Total Value of Securities Before | |||||||
Securities Lending Collateral–100.17% | |||||||
(cost $118,898,152) | 108,622,741 | ||||||
Securities Lending Collateral** – 7.93% | |||||||
Money Market Mutual Fund – 7.93% | |||||||
Dreyfus Institutional Preference | |||||||
Government Money Market | |||||||
Fund - Institutional Shares | |||||||
(seven-day effective yield | |||||||
1.47%) | 8,596,002 | 8,596,002 | |||||
Total Securities Lending Collateral | |||||||
(cost $8,596,002) | 8,596,002 | ||||||
Total Value of | |||||||
Securities–108.10% | |||||||
(cost $127,494,154) | $ | 117,218,743■ |
† | Non-income producing security. |
* | Fully or partially on loan. |
** | See Note 10 in “Notes to financial statements” for additional information on securities lending collateral. |
■ | Includes $14,067,958 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $6,374,698. |
42
The following foreign currency exchange contracts were outstanding at June 30, 2022:1
Foreign Currency Exchange Contracts
Currency to | Settlement | Unrealized | |||||||||
Counterparty | Receive (Deliver) | In Exchange For | Date | Appreciation | |||||||
BNYM | USD | (19,430) | AUD | 28,275 | 7/1/22 | $ | 87 |
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contract presented above represent the Portfolio's total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Portfolio's net assets.
1 | See Note 8 in “Notes to financial statements.” |
Summary of abbreviations:
ADR – American Depositary Receipt
BNYM – Bank of New York Mellon
Summary of currencies:
AUD – Australian Dollar
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
43
Schedules of investments
Delaware Ivy VIP Science and Technology
June 30, 2022 (Unaudited)
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bond – 0.06% | |||||||
Consumer Discretionary – 0.06% | |||||||
Marrone Bio Innovations 8.00% | |||||||
12/31/22 | 287,500 | $ | 285,056 | ||||
Total Corporate Bond | |||||||
(cost $287,500) | 285,056 | ||||||
Number of | |||||||
shares | |||||||
Common Stocks – 90.43% ◆ | |||||||
Communication Services – 15.59% | |||||||
Alphabet Class A † | 4,925 | 10,732,855 | |||||
Alphabet Class C † | 4,897 | 10,711,943 | |||||
Meta Platforms Class A † | 139,861 | 22,552,586 | |||||
Pinterest Class A † | 366,119 | 6,648,721 | |||||
Snap Class A † | 371,630 | 4,879,502 | |||||
T-Mobile US † | 130,324 | 17,533,791 | |||||
73,059,398 | |||||||
Consumer Discretionary – 6.83% | |||||||
Amazon.com † | 211,480 | 22,461,291 | |||||
Etsy † | 97,937 | 7,169,968 | |||||
Luminar Technologies *, † | 396,845 | 2,353,291 | |||||
31,984,550 | |||||||
Healthcare – 3.96% | |||||||
Eli Lilly & Co. | 19,699 | 6,387,007 | |||||
Intuitive Surgical † | 32,558 | 6,534,716 | |||||
Vertex Pharmaceuticals † | 19,947 | 5,620,865 | |||||
18,542,588 | |||||||
Industrials – 1.64% | |||||||
Uber Technologies † | 375,627 | 7,685,328 | |||||
7,685,328 | |||||||
Information Technology – 62.41% | |||||||
Ambarella † | 88,798 | 5,812,717 | |||||
Amphenol Class A | 199,758 | 12,860,420 | |||||
Analog Devices | 85,583 | 12,502,820 | |||||
Apple | 143,375 | 19,602,230 | |||||
ASML Holding | 32,026 | 15,240,533 | |||||
Aspen Technology † | 25,618 | 4,705,514 | |||||
Autodesk † | 48,399 | 8,322,692 | |||||
Cadence Design Systems † | 40,295 | 6,045,459 | |||||
GlobalFoundries *, † | 193,141 | 7,791,308 | |||||
Infineon Technologies | 340,696 | 8,243,877 | |||||
Intuit | 22,222 | 8,565,248 | |||||
Mastercard Class A | 100,820 | 31,806,694 | |||||
Microchip Technology | 239,820 | 13,928,746 | |||||
Micron Technology | 165,124 | 9,128,055 | |||||
Microsoft | 203,164 | 52,178,610 | |||||
NVIDIA | 46,912 | 7,111,390 | |||||
ON Semiconductor *, † | 210,953 | 10,613,045 | |||||
Seagate Technology Holdings | 146,001 | 10,430,311 | |||||
ServiceNow † | 23,485 | 11,167,587 | |||||
Shift4 Payments Class A † | 108,209 | 3,577,390 | |||||
Taiwan Semiconductor | |||||||
Manufacturing ADR | 97,454 | 7,966,865 | |||||
VeriSign † | 64,163 | 10,736,395 | |||||
WNS Holdings ADR † | 91,211 | 6,807,989 | |||||
Workday Class A † | 51,922 | 7,247,273 | |||||
292,393,168 | |||||||
Total Common Stocks | |||||||
(cost $451,021,309) | 423,665,032 | ||||||
Short-Term Investments – 9.68% | |||||||
Money Market Mutual Fund – 9.68% | |||||||
State Street Institutional US | |||||||
Government Money Market | |||||||
Fund – Premier Class (seven- | |||||||
day effective yield 1.43%) | 45,367,774 | 45,367,774 | |||||
Total Short-Term Investments | |||||||
(cost $45,367,774) | 45,367,774 | ||||||
Total Value of Securities Before | |||||||
Securities Lending Collateral–100.17% | |||||||
(cost $496,676,583) | 469,317,862 | ||||||
Securities Lending Collateral** – 2.18% | |||||||
Money Market Mutual Fund – 2.18% | |||||||
Dreyfus Institutional Preference | |||||||
Government Money Market | |||||||
Fund - Institutional Shares | |||||||
(seven-day effective yield | |||||||
1.47%) | 10,216,295 | 10,216,295 | |||||
Total Securities Lending Collateral | |||||||
(cost $10,216,295) | 10,216,295 | ||||||
Total Value of | |||||||
Securities–102.35% | |||||||
(cost $506,892,878) | $ | 479,534,157■ |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
◆ | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
† | Non-income producing security. |
* | Fully or partially on loan. |
** | See Note 10 in “Notes to financial statements” for additional information on securities lending collateral. |
■ | Includes $19,973,461 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $11,219,597. |
Summary of abbreviations:
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
44
Delaware Ivy VIP Small Cap Growth
June 30, 2022 (Unaudited)
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks – 96.28% | ||||||
Communication Services – 2.70% | ||||||
Gray Television | 79,565 | $ | 1,343,853 | |||
Nexstar Media Group Class A | 41,240 | 6,717,171 | ||||
8,061,024 | ||||||
Consumer Discretionary – 14.36% | ||||||
Boot Barn Holdings † | 35,808 | 2,467,529 | ||||
Churchill Downs | 18,005 | 3,448,498 | ||||
EVgo *, † | 205,860 | 1,237,219 | ||||
Fox Factory Holding † | 56,241 | 4,529,650 | ||||
Malibu Boats Class A † | 36,496 | 1,923,704 | ||||
Marriott Vacations Worldwide | 56,166 | 6,526,489 | ||||
Monarch Casino & Resort † | 69,508 | 4,078,034 | ||||
Red Rock Resorts Class A | 161,369 | 5,383,270 | ||||
Texas Roadhouse | 59,807 | 4,377,873 | ||||
Visteon † | 49,231 | 5,099,347 | ||||
Wyndham Hotels & Resorts | 58,092 | 3,817,806 | ||||
42,889,419 | ||||||
Consumer Staples – 4.71% | ||||||
BJ's Wholesale Club Holdings † | 118,975 | 7,414,522 | ||||
Duckhorn Portfolio † | 150,594 | 3,171,510 | ||||
MGP Ingredients * | 26,935 | 2,695,924 | ||||
Sovos Brands † | 49,117 | 779,487 | ||||
14,061,443 | ||||||
Energy – 3.82% | ||||||
Cactus Class A | 118,612 | 4,776,505 | ||||
Liberty Energy Class A † | 111,350 | 1,420,826 | ||||
Northern Oil and Gas * | 89,186 | 2,252,838 | ||||
SM Energy | 86,352 | 2,952,375 | ||||
11,402,544 | ||||||
Financials – 5.62% | ||||||
Focus Financial Partners | ||||||
Class A † | 56,200 | 1,914,172 | ||||
Kinsale Capital Group | 19,958 | 4,583,155 | ||||
Pinnacle Financial Partners | 47,283 | 3,419,034 | ||||
Seacoast Banking | 102,763 | 3,395,289 | ||||
Veritex Holdings | 118,637 | 3,471,319 | ||||
16,782,969 | ||||||
Healthcare – 23.32% | ||||||
AMN Healthcare Services † | 27,675 | 3,036,224 | ||||
Axonics † | 104,311 | 5,911,304 | ||||
CareDx † | 233,865 | 5,023,420 | ||||
CryoPort † | 218,486 | 6,768,696 | ||||
Evolent Health Class A † | 83,974 | 2,578,842 | ||||
Harmony Biosciences Holdings † | 75,808 | 3,697,156 | ||||
Inmode † | 124,183 | 2,782,941 | ||||
Insmed † | 84,437 | 1,665,098 | ||||
Lantheus Holdings † | 47,032 | 3,105,523 | ||||
Omnicell † | 62,950 | 7,160,562 | ||||
Pacira BioSciences *, † | 94,976 | 5,537,101 | ||||
PetIQ † | 168,585 | 2,830,542 | ||||
Privia Health Group † | 87,913 | 2,560,027 | ||||
Progyny † | 140,508 | 4,081,757 | ||||
PTC Therapeutics † | 49,051 | 1,964,983 | ||||
Tandem Diabetes Care † | 79,424 | 4,701,107 | ||||
Veracyte † | 78,809 | 1,568,299 | ||||
Vericel † | 185,115 | 4,661,196 | ||||
69,634,778 | ||||||
Industrials – 15.73% | ||||||
Air Transport Services Group † | 145,186 | 4,171,194 | ||||
ASGN † | 19,908 | 1,796,697 | ||||
Casella Waste Systems | ||||||
Class A † | 68,309 | 4,964,698 | ||||
Clean Harbors † | 71,368 | 6,256,833 | ||||
EnerSys | 78,167 | 4,608,726 | ||||
Evoqua Water Technologies † | 97,494 | 3,169,530 | ||||
John Bean Technologies | 20,057 | 2,214,694 | ||||
Kirby † | 66,598 | 4,051,822 | ||||
Knight-Swift Transportation | ||||||
Holdings | 101,848 | 4,714,544 | ||||
Kornit Digital † | 62,917 | 1,994,469 | ||||
RBC Bearings *, † | 21,758 | 4,024,142 | ||||
Valmont Industries | 22,243 | 4,996,445 | ||||
46,963,794 | ||||||
Information Technology – 23.79% | ||||||
Allegro MicroSystems † | 258,144 | 5,340,999 | ||||
Box Class A † | 91,062 | 2,289,299 | ||||
BTRS Holdings † | 282,242 | 1,405,565 | ||||
CyberArk Software † | 25,905 | 3,314,804 | ||||
Domo Class B † | 131,318 | 3,650,640 | ||||
Five9 † | 54,900 | 5,003,586 | ||||
ForgeRock Class A *, † | 62,484 | 1,338,407 | ||||
Globant † | 41,577 | 7,234,398 | ||||
Jamf Holding † | 40,317 | 998,652 | ||||
Onto Innovation † | 37,208 | 2,594,886 | ||||
Paycor HCM *, † | 230,897 | 6,003,322 | ||||
Shift4 Payments Class A † | 144,982 | 4,793,105 | ||||
SiTime † | 41,598 | 6,781,722 | ||||
Smartsheet Class A † | 104,521 | 3,285,095 | ||||
Sprout Social Class A † | 20,598 | 1,196,126 | ||||
Switch Class A | 45,245 | 1,515,707 | ||||
Tenable Holdings † | 117,948 | 5,356,019 | ||||
Varonis Systems † | 100,480 | 2,946,074 | ||||
Viavi Solutions † | 453,814 | 6,003,959 | ||||
71,052,365 | ||||||
Materials – 1.02% | ||||||
Allegheny Technologies † | 120,093 | 2,727,312 |
45
Schedules of investments
Delaware Ivy VIP Small Cap Growth
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks (continued) | ||||||
Materials (continued) | ||||||
Carpenter Technology | 11,357 | $ | 316,974 | |||
3,044,286 | ||||||
Real Estate – 0.69% | ||||||
Ryman Hospitality Properties † | 26,887 | 2,044,219 | ||||
2,044,219 | ||||||
Technology – 0.52% | ||||||
Power Integrations | 20,800 | 1,560,208 | ||||
1,560,208 | ||||||
Total Common Stocks | ||||||
(cost $309,809,704) | 287,497,049 | |||||
Short-Term Investments – 3.39% | ||||||
Money Market Mutual Fund – 3.39% | ||||||
State Street Institutional US | ||||||
Government Money Market | ||||||
Fund – Premier Class (seven- | ||||||
day effective yield 1.43%) | 10,122,816 | 10,122,816 | ||||
Total Short-Term Investments | ||||||
(cost $10,122,816) | 10,122,816 | |||||
Total Value of Securities Before | ||||||
Securities Lending Collateral–99.67% | ||||||
(cost $319,932,520) | 297,619,865 | |||||
Securities Lending Collateral** – 0.84% | ||||||
Money Market Mutual Fund – 0.84% | ||||||
Dreyfus Institutional Preference | ||||||
Government Money Market | ||||||
Fund - Institutional Shares | ||||||
(seven-day effective yield | ||||||
1.47%) | 2,522,384 | 2,522,384 | ||||
Total Securities Lending Collateral | ||||||
(cost $2,522,384) | 2,522,384 | |||||
Total Value of | ||||||
Securities–100.51% | ||||||
(cost $322,454,904) | $ | 300,142,249■ |
† | Non-income producing security. |
* | Fully or partially on loan. |
** | See Note 10 in “Notes to financial statements” for additional information on securities lending collateral. |
■ | Includes $8,110,690 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $5,818,960. |
See accompanying notes, which are an integral part of the financial statements.
46
Delaware Ivy VIP Smid Cap Core
June 30, 2022 (Unaudited)
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks – 97.75% | ||||||
Basic Materials – 8.12% | ||||||
Beacon Roofing Supply † | 21,648 | $ | 1,111,841 | |||
Boise Cascade | 17,815 | 1,059,814 | ||||
Huntsman | 78,592 | 2,228,083 | ||||
Kaiser Aluminum | 14,083 | 1,113,825 | ||||
Minerals Technologies | 25,603 | 1,570,488 | ||||
Reliance Steel & Aluminum | 16,354 | 2,777,890 | ||||
Westrock | 26,759 | 1,066,079 | ||||
Worthington Industries | 27,349 | 1,206,091 | ||||
12,134,111 | ||||||
Business Services – 4.62% | ||||||
ABM Industries | 23,508 | 1,020,717 | ||||
Aramark | 45,566 | 1,395,687 | ||||
ASGN † | 15,999 | 1,443,910 | ||||
Casella Waste Systems Class A † | 9,665 | 702,452 | ||||
Clean Harbors † | 8,492 | 744,494 | ||||
WillScot Mobile Mini Holdings † | 49,422 | 1,602,261 | ||||
6,909,521 | ||||||
Capital Goods – 11.55% | ||||||
Ameresco Class A *, † | 12,532 | 570,958 | ||||
Barnes Group | 9,420 | 293,339 | ||||
Carlisle | 4,540 | 1,083,289 | ||||
Federal Signal | 17,519 | 623,676 | ||||
Gates Industrial † | 32,453 | 350,817 | ||||
Generac Holdings † | 2,562 | 539,506 | ||||
Graco | 14,645 | 870,059 | ||||
Jacobs Engineering Group | 12,338 | 1,568,530 | ||||
Kadant | 3,407 | 621,266 | ||||
KBR | 20,884 | 1,010,577 | ||||
Lincoln Electric Holdings | 9,318 | 1,149,469 | ||||
MasTec † | 13,756 | 985,755 | ||||
Oshkosh | 11,719 | 962,599 | ||||
Quanta Services | 23,544 | 2,951,005 | ||||
Regal Rexnord | 6,284 | 713,360 | ||||
Tetra Tech | 6,102 | 833,228 | ||||
WESCO International † | 7,136 | 764,266 | ||||
Woodward * | 5,309 | 491,029 | ||||
Zurn Elkay Water Solutions | 32,333 | 880,751 | ||||
17,263,479 | ||||||
Communications Services – 0.74% | ||||||
Switch Class A | 33,070 | 1,107,845 | ||||
1,107,845 | ||||||
Consumer Discretionary – 5.32% | ||||||
American Eagle Outfitters * | 62,449 | 698,180 | ||||
BJ's Wholesale Club Holdings † | 17,791 | 1,108,735 | ||||
Dick's Sporting Goods * | 20,228 | 1,524,584 | ||||
Five Below † | 13,364 | 1,515,879 | ||||
Malibu Boats Class A † | 23,644 | 1,246,275 | ||||
Steven Madden | 46,705 | 1,504,368 | ||||
Tractor Supply | 1,798 | 348,542 | ||||
7,946,563 | ||||||
Consumer Services – 1.80% | ||||||
Brinker International *, † | 21,641 | 476,751 | ||||
Jack in the Box * | 8,662 | 485,592 | ||||
Texas Roadhouse | 12,159 | 890,039 | ||||
Wendy's | 44,687 | 843,690 | ||||
2,696,072 | ||||||
Consumer Staples – 3.09% | ||||||
Casey's General Stores | 9,296 | 1,719,574 | ||||
Helen of Troy *, † | 3,712 | 602,866 | ||||
J & J Snack Foods | 7,816 | 1,091,583 | ||||
YETI Holdings † | 27,728 | 1,199,790 | ||||
4,613,813 | ||||||
Credit Cyclicals – 2.77% | ||||||
BorgWarner | 28,674 | 956,851 | ||||
Dana | 35,525 | 499,837 | ||||
KB Home | 14,884 | 423,599 | ||||
La-Z-Boy | 24,263 | 575,276 | ||||
Taylor Morrison Home † | 21,470 | 501,539 | ||||
Toll Brothers | 26,461 | 1,180,160 | ||||
4,137,262 | ||||||
Energy – 5.53% | ||||||
Chesapeake Energy * | 26,679 | 2,163,667 | ||||
Diamondback Energy | 33,743 | 4,087,965 | ||||
Liberty Energy Class A † | 158,253 | 2,019,308 | ||||
8,270,940 | ||||||
Financials – 14.38% | ||||||
Axis Capital Holdings | 30,292 | 1,729,370 | ||||
Comerica | 18,001 | 1,320,913 | ||||
East West Bancorp | 30,551 | 1,979,705 | ||||
Essent Group | 32,093 | 1,248,418 | ||||
Hamilton Lane Class A | 10,198 | 685,102 | ||||
Kemper | 25,092 | 1,201,907 | ||||
NMI Holdings Class A † | 31,387 | 522,594 | ||||
Primerica | 14,694 | 1,758,725 | ||||
Raymond James Financial | 12,984 | 1,160,899 | ||||
Reinsurance Group of America | 14,442 | 1,693,902 | ||||
SouthState | 16,277 | 1,255,771 | ||||
Stifel Financial | 15,953 | 893,687 | ||||
Umpqua Holdings | 77,213 | 1,294,862 | ||||
Valley National Bancorp | 93,052 | 968,671 | ||||
Webster Financial | 37,274 | 1,571,099 | ||||
Western Alliance Bancorp | 17,879 | 1,262,257 | ||||
WSFS Financial | 23,602 | 946,204 | ||||
21,494,086 |
47
Schedules of investments
Delaware Ivy VIP Smid Cap Core
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks (continued) | ||||||
Healthcare – 13.81% | ||||||
Amicus Therapeutics † | 58,004 | $ | 622,963 | |||
Azenta | 15,279 | 1,101,616 | ||||
Biohaven Pharmaceutical | ||||||
Holding † | 7,413 | 1,080,148 | ||||
Bio-Techne | 3,932 | 1,362,988 | ||||
Blueprint Medicines † | 15,687 | 792,350 | ||||
Catalent † | 19,345 | 2,075,525 | ||||
Encompass Health | 21,518 | 1,206,084 | ||||
Exact Sciences † | 7,012 | 276,203 | ||||
Halozyme Therapeutics † | 32,136 | 1,413,984 | ||||
ICON † | 5,551 | 1,202,902 | ||||
Insmed † | 32,988 | 650,523 | ||||
Inspire Medical Systems † | 6,161 | 1,125,430 | ||||
Ligand Pharmaceuticals † | 10,164 | 906,832 | ||||
Natera † | 15,299 | 542,197 | ||||
Neurocrine Biosciences † | 14,244 | 1,388,505 | ||||
QuidelOrtho † | 8,116 | 788,713 | ||||
Repligen † | 7,679 | 1,247,070 | ||||
Shockwave Medical † | 6,333 | 1,210,680 | ||||
Supernus Pharmaceuticals † | 27,145 | 785,033 | ||||
Ultragenyx Pharmaceutical † | 14,362 | 856,837 | ||||
20,636,583 | ||||||
Information Technology – 0.77% | ||||||
ON Semiconductor *, † | 22,890 | 1,151,596 | ||||
1,151,596 | ||||||
Media – 1.10% | ||||||
IMAX † | 32,075 | 541,747 | ||||
Interpublic Group of Companies | 40,099 | 1,103,925 | ||||
1,645,672 | ||||||
Real Estate Investment Trusts – 6.29% | ||||||
Brixmor Property Group | 63,442 | 1,282,163 | ||||
Camden Property Trust | 12,087 | 1,625,460 | ||||
Cousins Properties | 16,859 | 492,789 | ||||
DiamondRock Hospitality † | 60,434 | 496,163 | ||||
First Industrial Realty Trust | 20,966 | 995,466 | ||||
Kite Realty Group Trust | 39,337 | 680,137 | ||||
Life Storage | 12,566 | 1,403,119 | ||||
LXP Industrial Trust | 64,715 | 695,039 | ||||
Pebblebrook Hotel Trust | 43,329 | 717,961 | ||||
Physicians Realty Trust | 58,401 | 1,019,097 | ||||
9,407,394 | ||||||
Technology – 12.77% | ||||||
Blackline *, † | 5,719 | 380,885 | ||||
Box Class A † | 14,347 | 360,684 | ||||
Dynatrace † | 20,201 | 796,727 | ||||
ExlService Holdings † | 16,508 | 2,432,124 | ||||
Guidewire Software † | 9,871 | 700,742 | ||||
Ichor Holdings † | 8,174 | 212,361 | ||||
II-VI *, † | 24,226 | 1,234,315 | ||||
MACOM Technology Solutions | ||||||
Holdings † | 16,255 | 749,355 | ||||
MaxLinear † | 26,883 | 913,484 | ||||
Paycom Software † | 1,312 | 367,517 | ||||
Procore Technologies † | 12,907 | 585,849 | ||||
PTC † | 14,885 | 1,582,871 | ||||
Q2 Holdings † | 15,609 | 602,039 | ||||
Rapid7 † | 11,234 | 750,431 | ||||
Semtech † | 14,080 | 773,978 | ||||
Silicon Laboratories † | 6,380 | 894,604 | ||||
Smartsheet Class A † | 17,602 | 553,231 | ||||
Sprout Social Class A *, † | 7,191 | 417,581 | ||||
SS&C Technologies Holdings | 9,039 | 524,895 | ||||
Tyler Technologies † | 793 | 263,657 | ||||
Varonis Systems † | 25,831 | 757,365 | ||||
WNS Holdings ADR † | 22,264 | 1,661,785 | ||||
Yelp † | 23,712 | 658,482 | ||||
Ziff Davis † | 12,190 | 908,521 | ||||
19,083,483 | ||||||
Transportation – 2.93% | ||||||
Allegiant Travel † | 6,760 | 764,488 | ||||
Kirby † | 19,896 | 1,210,473 | ||||
Knight-Swift Transportation | ||||||
Holdings | 22,920 | 1,060,967 | ||||
Werner Enterprises | 34,804 | 1,341,346 | ||||
4,377,274 | ||||||
Utilities – 2.16% | ||||||
Black Hills | 21,872 | 1,591,626 | ||||
Spire | 22,003 | 1,636,363 | ||||
3,227,989 | ||||||
Total Common Stocks | ||||||
(cost $169,961,489) | 146,103,683 | |||||
Short-Term Investments – 2.35% | ||||||
Money Market Mutual Fund – 2.35% | ||||||
State Street Institutional US | ||||||
Government Money Market | ||||||
Fund – Premier Class (seven- | ||||||
day effective yield 1.43%) | 3,517,993 | 3,517,993 | ||||
Total Short-Term Investments | ||||||
(cost $3,517,993) | 3,517,993 | |||||
Total Value of Securities Before | ||||||
Securities Lending Collateral–100.10% | ||||||
(cost $173,479,482) | 149,621,676 |
48
Number of | ||||||
shares | Value (US $) | |||||
Securities Lending Collateral** – 0.03% | ||||||
Money Market Mutual Fund – 0.03% | ||||||
Dreyfus Institutional Preference | ||||||
Government Money Market | ||||||
Fund - Institutional Shares | ||||||
(seven-day effective yield | ||||||
1.47%) | 43,427 | $ | 43,427 | |||
Total Securities Lending Collateral | ||||||
(cost $43,427) | 43,427 | |||||
Total Value of | ||||||
Securities–100.13% | ||||||
(cost $173,522,909) | $ | 149,665,103■ |
† | Non-income producing security. |
* | Fully or partially on loan. |
** | See Note 10 in “Notes to financial statements” for additional information on securities lending collateral. |
■ | Includes $9,218,321 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $9,640,439. |
Summary of abbreviations:
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
49
Statements of assets and liabilities
Ivy Variable Insurance Portfolios
June 30, 2022 (Unaudited)
Delaware Ivy | ||||||||||||||||
VIP Asset | Delaware Ivy | Delaware Ivy | Delaware Ivy | |||||||||||||
Strategyϕ | VIP Balanced | VIP Energy | VIP Growth | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value*,† | $ | 556,465,209 | $ | 214,728,865 | $ | 118,165,509 | $ | 672,544,057 | ||||||||
Short-term investments held as collateral for loaned securities, at value= | 390,885 | 821,872 | 1,795,485 | — | ||||||||||||
Cash | — | 9,391 | — | — | ||||||||||||
Cash collateral due from broker on futures contracts | 50,500 | 62,040 | — | — | ||||||||||||
Foreign currencies, at valueΔ | — | — | 11,478 | — | ||||||||||||
Bullion at value‡ | 30,122,494 | — | — | — | ||||||||||||
Dividend and interest receivable | 1,447,089 | 498,078 | 89,807 | 367,543 | ||||||||||||
Foreign tax reclaims receivable | 271,325 | 9,951 | 5,641 | 6,349 | ||||||||||||
Receivable for securities sold | 124,956 | — | — | 1,242,960 | ||||||||||||
Receivable for portfolio shares sold | 67,869 | 11,157 | 94,275 | 123,823 | ||||||||||||
Variation margin due from broker on futures contracts | 16,406 | 15,234 | — | — | ||||||||||||
Securities lending income receivable | 5,575 | 933 | 14,041 | 4,144 | ||||||||||||
Prepaid expenses | — | 23,898 | 37,071 | 76,925 | ||||||||||||
Other assets | 1,443 | 681 | 123 | 2,256 | ||||||||||||
Total Assets | 588,963,751 | 216,182,100 | 120,213,430 | 674,368,057 | ||||||||||||
Liabilities: | ||||||||||||||||
Due to custodian | 87,184 | — | 77,304 | 179,708 | ||||||||||||
Obligation to return securities lending collateral | 390,885 | 821,872 | 1,795,485 | — | ||||||||||||
Distribution fees payable to affiliates | 389,018 | 142,269 | 81,933 | 459,915 | ||||||||||||
Payable for securities purchased | 360,871 | 72,323 | — | 233,275 | ||||||||||||
Payable for portfolio shares redeemed | 161,606 | 268,768 | 466,782 | 169,310 | ||||||||||||
Investment management fees payable to affiliates | 135,397 | 127,065 | 95,884 | 402,814 | ||||||||||||
Other accrued expenses | 95,251 | — | — | — | ||||||||||||
Accounting and administration expenses payable to affiliates | 26,660 | 12,935 | 1,581 | 31,440 | ||||||||||||
Capital gains tax payable | 478 | — | — | — | ||||||||||||
Total Liabilities | 1,647,350 | 1,445,232 | 2,518,969 | 1,476,462 | ||||||||||||
Total Net Assets | $ | 587,316,401 | $ | 214,736,868 | $ | 117,694,461 | $ | 672,891,595 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in capital | $ | 608,831,333 | $ | 235,682,249 | $ | 140,745,723 | $ | 474,847,789 | ||||||||
Total distributable earnings (loss) | (21,514,932 | ) | (20,945,381 | ) | (23,051,262 | ) | 198,043,806 | |||||||||
Total Net Assets | $ | 587,316,401 | $ | 214,736,868 | $ | 117,694,461 | $ | 672,891,595 |
50
Delaware Ivy | ||||||||||||
VIP Asset | Delaware Ivy | Delaware Ivy | Delaware Ivy | |||||||||
Strategyϕ | VIP Balanced | VIP Energy | VIP Growth | |||||||||
Net Asset Value | ||||||||||||
Class I: | ||||||||||||
Net assets | $ | 982,426 | $ | — | $ | 398,747 | $ | — | ||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 120,628 | — | 90,027 | — | ||||||||
Net asset value per share | $ | 8.14 | $ | — | $ | 4.43 | $ | — | ||||
Class II: | ||||||||||||
Net assets | $ | 586,333,975 | $ | 214,736,868 | $ | 117,295,714 | $ | 672,891,595 | ||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 72,107,990 | 46,401,653 | 26,516,093 | 84,283,167 | ||||||||
Net asset value per share | $ | 8.13 | $ | 4.63 | $ | 4.42 | $ | 7.98 | ||||
____________________ | ||||||||||||
*Investments, at cost | $ | 614,463,219 | $ | 234,765,219 | $ | 116,120,294 | $ | 535,400,920 | ||||
†Including securities on loan | 27,846,568 | 5,913,572 | 7,920,661 | 38,943,281 | ||||||||
=Short-term investments held as collateral for loaned securities, at cost | 390,885 | 821,872 | 1,795,485 | — | ||||||||
‡Bullion, at cost | 20,288,795 | — | — | — | ||||||||
ΔForeign currencies, at cost | — | — | 11,588 | — |
ϕ | Consolidated statements of assets and liabilities. |
See accompanying notes, which are an integral part of the financial statements.
51
Statements of assets and liabilities
Ivy Variable Insurance Portfolios
Delaware Ivy | |||||||||||||||
Delaware Ivy | VIP | Delaware Ivy | Delaware Ivy | ||||||||||||
VIP High | International | VIP Mid Cap | VIP Natural | ||||||||||||
Income | Core Equity | Growth | Resources | ||||||||||||
Assets: | |||||||||||||||
Investments of unaffiliated issuers, at value*,† | $ | 738,006,998 | $ | 479,397,686 | $ | 450,751,546 | $ | 108,622,741 | |||||||
Investments of affiliated issuers, at value** | 139,105 | — | — | — | |||||||||||
Short-term investments held as collateral for loaned securities, at value= | 34,735,206 | 6,596,039 | 8,067,729 | 8,596,002 | |||||||||||
Cash | — | 54,692 | — | — | |||||||||||
Foreign currencies, at valueΔ | 471,801 | 962,626 | — | — | |||||||||||
Receivable for securities sold | 12,930,771 | 1,385,786 | 118,012 | 860,708 | |||||||||||
Dividend and interest receivable | 11,789,815 | 506,076 | 109,647 | 44,722 | |||||||||||
Prepaid expenses | 352,858 | 57,719 | 50,073 | 55,018 | |||||||||||
Securities lending income receivable | 72,840 | 8,644 | 4,534 | 17,993 | |||||||||||
Receivable for portfolio shares sold | 67,951 | 97,058 | 187,690 | 31,906 | |||||||||||
Foreign tax reclaims receivable | 7,602 | 919,158 | — | 26,580 | |||||||||||
Unrealized appreciation on foreign currency exchange contracts | — | — | — | 87 | |||||||||||
Other assets | 2,348 | — | 1,471,185 | 167 | |||||||||||
Total Assets | 798,577,295 | 489,985,484 | 460,760,416 | 118,255,924 | |||||||||||
Liabilities: | |||||||||||||||
Options written, at valueΣ | — | — | 849,275 | — | |||||||||||
Due to custodian | 872,663 | — | 1,452,137 | 23,086 | |||||||||||
Obligation to return securities lending collateral | 34,735,206 | 6,596,039 | 8,067,729 | 8,596,002 | |||||||||||
Payable for securities purchased | 6,048,991 | 965,767 | 516,729 | 912,273 | |||||||||||
Payable for portfolio shares redeemed | 4,230,823 | 131,269 | 131,759 | 121,660 | |||||||||||
Distribution fees payable to affiliates | 499,766 | 433,044 | 239,158 | 77,921 | |||||||||||
Investment management fees payable to affiliates | 419,635 | 350,400 | 78,641 | 84,952 | |||||||||||
Unrealized depreciation on foreign currency exchange contracts | 23,505 | 12,335 | — | — | |||||||||||
Accounting and administration expenses payable to affiliates | 15,011 | 23,094 | 29,145 | 2,561 | |||||||||||
Total Liabilities | 46,845,600 | 8,511,948 | 11,364,573 | 9,818,455 | |||||||||||
Total Net Assets | $ | 751,731,695 | $ | 481,473,536 | $ | 449,395,843 | $ | 108,437,469 | |||||||
Net Assets Consist of: | |||||||||||||||
Paid-in capital | $ | 999,671,914 | $ | 527,713,237 | $ | 388,097,936 | $ | 162,193,071 | |||||||
Total distributable earnings (loss) | (247,940,219 | ) | (46,239,701 | ) | 61,297,907 | (53,755,602 | ) | ||||||||
Total Net Assets | $ | 751,731,695 | $ | 481,473,536 | $ | 449,395,843 | $ | 108,437,469 |
52
Delaware Ivy | |||||||||||||
Delaware Ivy | VIP | Delaware Ivy | Delaware Ivy | ||||||||||
VIP High | International | VIP Mid Cap | VIP Natural | ||||||||||
Income | Core Equity | Growth | Resources | ||||||||||
Net Asset Value | |||||||||||||
Class I: | |||||||||||||
Net assets | $ | 15,403,202 | $ | — | $ | 106,539,116 | $ | — | |||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 5,654,465 | — | 11,472,073 | — | |||||||||
Net asset value per share | $ | 2.72 | $ | — | $ | 9.29 | $ | — | |||||
Class II: | |||||||||||||
Net assets | $ | 736,328,493 | $ | 481,473,536 | $ | 342,856,727 | $ | 108,437,469 | |||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 270,856,081 | 35,568,804 | 37,366,598 | 25,821,264 | |||||||||
Net asset value per share | $ | 2.72 | $ | 13.54 | $ | 9.18 | $ | 4.20 | |||||
____________________ | |||||||||||||
*Investments of unaffiliated issuers, at cost | $ | 860,329,307 | $ | 534,490,002 | $ | 428,094,010 | $ | 118,898,152 | |||||
**Investments of affiliated issuers, at cost | 28,589,918 | — | — | — | |||||||||
†Including securities on loan | 38,064,238 | 24,849,941 | 20,770,037 | 14,067,958 | |||||||||
=Short-term investments held as collateral for loaned securities, at cost | 34,735,206 | 6,596,039 | 8,067,729 | 8,596,002 | |||||||||
ΔForeign currencies, at cost | 480,739 | 955,387 | — | — | |||||||||
ΣOptions written, premium received | — | — | (662,668 | ) | — |
See accompanying notes, which are an integral part of the financial statements.
53
Statements of assets and liabilities
Ivy Variable Insurance Portfolios
Delaware Ivy | |||||||||||
VIP Science | Delaware Ivy | Delaware Ivy | |||||||||
and | VIP Small Cap | VIP Smid Cap | |||||||||
Technology | Growth | Core | |||||||||
Assets: | |||||||||||
Investments, at value*,† | $ | 469,317,862 | $ | 297,619,865 | $ | 149,621,676 | |||||
Short-term investments held as collateral for loaned securities, | |||||||||||
at value= | 10,216,295 | 2,522,384 | 43,427 | ||||||||
Cash | — | 65,078 | 267 | ||||||||
Dividend and interest receivable | 276,699 | 29,179 | 102,248 | ||||||||
Receivable for portfolio shares sold | 246,327 | 34,178 | 9,446 | ||||||||
Foreign tax reclaims receivable | 35,508 | — | — | ||||||||
Securities lending income receivable | 9,256 | 12,511 | 1,374 | ||||||||
Receivable for securities sold | — | 2,151,151 | — | ||||||||
Prepaid expenses | — | 4,129 | 17,700 | ||||||||
Other assets | 1,311 | 878 | — | ||||||||
Total Assets | 480,103,258 | 302,439,353 | 149,796,138 | ||||||||
Liabilities: | |||||||||||
Due to custodian | 255,834 | — | — | ||||||||
Obligation to return securities lending collateral | 10,216,295 | 2,522,384 | 43,427 | ||||||||
Payable for portfolio shares redeemed | 360,019 | 160,327 | 33,134 | ||||||||
Investment management fees payable to affiliates | 348,671 | 190,025 | 108,851 | ||||||||
Distribution fees payable to affiliates | 330,216 | 192,834 | 136,321 | ||||||||
Other accrued expenses | 52,050 | — | — | ||||||||
Accounting and administration expenses payable to affiliates | 23,106 | 15,096 | 6,716 | ||||||||
Payable for securities purchased | — | 749,555 | — | ||||||||
Total Liabilities | 11,586,191 | 3,830,221 | 328,449 | ||||||||
Total Net Assets | $ | 468,517,067 | $ | 298,609,132 | $ | 149,467,689 | |||||
Net Assets Consist of: | |||||||||||
Paid-in capital | $ | 451,669,348 | $ | 307,839,647 | $ | 155,147,140 | |||||
Total distributable earnings (loss) | 16,847,719 | (9,230,515 | ) | (5,679,451 | ) | ||||||
Total Net Assets | $ | 468,517,067 | $ | 298,609,132 | $ | 149,467,689 |
54
Delaware Ivy | |||||||||
VIP Science | Delaware Ivy | Delaware Ivy | |||||||
and | VIP Small Cap | VIP Smid Cap | |||||||
Technology | Growth | Core | |||||||
Net Asset Value | |||||||||
Class I : | |||||||||
Net assets | $ | 1,376,872 | $ | 18,304,362 | $ | — | |||
Shares of beneficial interest outstanding, unlimited authorization, no par | 77,153 | 3,006,021 | — | ||||||
Net asset value per share | $ | 17.85 | $ | 6.09 | $ | — | |||
Class II: | |||||||||
Net assets | $ | 467,140,195 | $ | 280,304,770 | $ | 149,467,689 | |||
Shares of beneficial interest outstanding, unlimited authorization, no par | 26,520,014 | 46,554,137 | 14,252,291 | ||||||
Net asset value per share | $ | 17.61 | $ | 6.02 | $ | 10.49 | |||
____________________ | |||||||||
*Investments, at cost | $ | 496,676,583 | $ | 319,932,520 | $ | 173,479,482 | |||
†Including securities on loan | 19,973,461 | 8,110,690 | 9,218,321 | ||||||
=Short-term investments held as collateral for loaned securities, at cost | 10,216,295 | 2,522,384 | 43,427 |
See accompanying notes, which are an integral part of the financial statements.
55
Statements of operations
Ivy Variable Insurance Portfolios
Six months ended June 30, 2022 (Unaudited)
Delaware Ivy | |||||||||||||||||
VIP Asset | Delaware Ivy | Delaware Ivy | Delaware Ivy | ||||||||||||||
Strategyϕ | VIP Balanced | VIP Energy | VIP Growth | ||||||||||||||
Investment Income: | |||||||||||||||||
Dividends | $ | 4,849,589 | $ | 1,018,792 | $ | 2,129,170 | $ | 2,588,425 | |||||||||
Interest | 2,940,647 | 861,765 | — | — | |||||||||||||
Securities lending income | 27,277 | 3,538 | 32,141 | 15,601 | |||||||||||||
Foreign tax withheld | (324,120 | ) | (8,137 | ) | (79,163 | ) | (34,046 | ) | |||||||||
7,493,393 | 1,875,958 | 2,082,148 | 2,569,980 | ||||||||||||||
Expenses: | |||||||||||||||||
Investment advisory fees | 2,298,796 | 835,704 | 480,358 | 2,792,826 | |||||||||||||
Distribution expenses — Class II | 819,666 | 298,466 | 140,816 | 997,496 | |||||||||||||
Accounting and administration expenses | 59,254 | 42,740 | 22,726 | 103,635 | |||||||||||||
Trustees’ fees and expenses | 15,731 | 19,189 | 2,466 | 51,619 | |||||||||||||
Custodian fees | 15,323 | 2,718 | 2,090 | 7,043 | |||||||||||||
Reports and statements to shareholders servicing expenses | 11,931 | 5,889 | 7,783 | 6,730 | |||||||||||||
Audit and tax fees | 2,424 | 14,834 | 7,656 | 10,223 | |||||||||||||
Legal fees | 1,270 | 359 | 282 | 2,128 | |||||||||||||
Registration fees | 3 | 3 | 3 | 3 | |||||||||||||
Dividend disbursing and transfer agent fees and expenses | — | — | — | 868 | |||||||||||||
Other | 16,028 | 14,696 | 19,558 | 11,184 | |||||||||||||
3,240,426 | 1,234,598 | 683,738 | 3,983,755 | ||||||||||||||
Less expenses waived | (444,842 | ) | — | — | — | ||||||||||||
Total operating expenses | 2,795,584 | 1,234,598 | 683,738 | 3,983,755 | |||||||||||||
Net Investment Income (Loss) | 4,697,809 | 641,360 | 1,398,410 | (1,413,775 | ) | ||||||||||||
Net Realized and Unrealized Gain (Loss): | |||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||
Investments1 | 30,083,753 | (1,358,737 | ) | 15,147,852 | 62,613,384 | ||||||||||||
Foreign currencies | 275 | — | 86,173 | (1,544 | ) | ||||||||||||
Foreign currency exchange contracts | (251,142 | ) | — | (49,539 | ) | 1,640 | |||||||||||
Futures contracts | (262,234 | ) | (18,963 | ) | — | — | |||||||||||
Net realized gain (loss) | 29,570,652 | (1,377,700 | ) | 15,184,486 | 62,613,480 | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||||
Investments1 | (154,102,548 | ) | (45,004,153 | ) | 4,343,406 | (323,316,974 | ) | ||||||||||
Foreign currencies | (31,159 | ) | — | (144 | ) | — | |||||||||||
Futures contracts | 11,185 | 6,052 | — | — | |||||||||||||
Net change in unrealized appreciation (depreciation) | (154,122,522 | ) | (44,998,101 | ) | 4,343,262 | (323,316,974 | ) | ||||||||||
Net Realized and Unrealized Gain (Loss) | (124,551,870 | ) | (46,375,801 | ) | 19,527,748 | (260,703,494 | ) | ||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (119,854,061 | ) | $ | (45,734,441 | ) | $ | 20,926,158 | $ | (262,117,269 | ) |
1 | Includes $(143,657) capital gains taxes paid and $(478) capital gains taxes accrued for Delaware Ivy VIP Asset Strategy. |
ϕ | Consolidated statements of operations. |
See accompanying notes, which are an integral part of the financial statements.
56
Delaware Ivy | Delaware Ivy | Delaware Ivy | Delaware Ivy | |||||||||||||||
VIP High | VIP International | VIP Mid Cap | VIP Natural | |||||||||||||||
Income | Core Equity | Growth | Resources | |||||||||||||||
Investment Income: | ||||||||||||||||||
Interest | $ | 25,645,215 | $ | — | $ | — | $ | — | ||||||||||
Dividends | 1,064,079 | 10,407,059 | 1,194,286 | 2,203,804 | ||||||||||||||
Securities lending income | 620,401 | 56,762 | 25,127 | 73,196 | ||||||||||||||
Interest - affiliated | 24,046 | — | — | — | ||||||||||||||
Foreign tax withheld | — | (1,300,538 | ) | (891 | ) | (29,320 | ) | |||||||||||
27,353,741 | 9,163,283 | 1,218,522 | 2,247,680 | |||||||||||||||
Expenses: | ||||||||||||||||||
Investment advisory fees | 2,601,812 | 2,325,516 | 2,341,796 | 477,222 | ||||||||||||||
Distribution expenses — Class II | 1,036,758 | 683,975 | 512,940 | 140,359 | ||||||||||||||
Accounting and administration expenses | 34,373 | 76,381 | 91,095 | 12,794 | ||||||||||||||
Legal fees | 12,237 | 3,660 | 1,146 | 273 | ||||||||||||||
Trustees’ fees and expenses | 10,680 | 26,535 | 34,825 | 2,280 | ||||||||||||||
Audit and tax fees | 7,115 | 8,819 | 7,769 | 2,815 | ||||||||||||||
Reports and statements to shareholders servicing expenses | 5,614 | 9,008 | 9,913 | 4,924 | ||||||||||||||
Custodian fees | 2,958 | 35,721 | 7,611 | 2,548 | ||||||||||||||
Registration fees | 3 | 3 | 3 | 3 | ||||||||||||||
Other | 10,037 | 21,991 | 6,379 | 6,089 | ||||||||||||||
3,721,587 | 3,191,609 | 3,013,477 | 649,307 | |||||||||||||||
Less expenses waived | — | — | (165,431 | ) | — | |||||||||||||
Total operating expenses | 3,721,587 | 3,191,609 | 2,848,046 | 649,307 | ||||||||||||||
Net Investment Income (Loss) | 23,632,154 | 5,971,674 | (1,629,524 | ) | 1,598,373 | |||||||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||
Investments | (17,685,942 | ) | 4,662,622 | 41,785,466 | 8,380,887 | |||||||||||||
Foreign currencies | (39,351 | ) | (592,862 | ) | — | 45,676 | ||||||||||||
Foreign currency exchange contracts | 13,092 | 299,398 | — | (59,180 | ) | |||||||||||||
Options purchased | — | — | (1,040,959 | ) | — | |||||||||||||
Options written | — | — | (181,881 | ) | — | |||||||||||||
Net realized gain (loss) | (17,712,201 | ) | 4,369,158 | 40,562,626 | 8,367,383 | |||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||
Investments | (128,650,114 | ) | (120,288,065 | ) | (272,260,641 | ) | (8,426,370 | ) | ||||||||||
Affiliated investments | (3,857,652 | ) | — | — | — | |||||||||||||
Foreign currencies | (4,946 | ) | (8,192 | ) | — | 4,200 | ||||||||||||
Foreign currency exchange contracts | 113,548 | (12,335 | ) | — | 87 | |||||||||||||
Options purchased | — | — | 68,668 | — | ||||||||||||||
Options written | — | — | 338,214 | — | ||||||||||||||
Net change in unrealized appreciation (depreciation) | (132,399,164 | ) | (120,308,592 | ) | (271,853,759 | ) | (8,422,083 | ) | ||||||||||
Net Realized and Unrealized Gain (Loss) | (150,111,365 | ) | (115,939,434 | ) | (231,291,133 | ) | (54,700 | ) | ||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (126,479,211 | ) | $ | (109,967,760 | ) | $ | (232,920,657 | ) | $ | 1,543,673 |
See accompanying notes, which are an integral part of the financial statements.
57
Statements of operations
Ivy Variable Insurance Portfolios
Delaware Ivy | |||||||||||||
VIP Science | Delaware Ivy | Delaware Ivy | |||||||||||
and | VIP Small Cap | VIP Smid Cap | |||||||||||
Technology | Growth | Core | |||||||||||
Investment Income: | |||||||||||||
Dividends | $ | 1,635,039 | $ | 693,309 | $ | 1,139,353 | |||||||
Securities lending income | 58,927 | 206,584 | 6,127 | ||||||||||
Foreign tax withheld | (64,978 | ) | — | — | |||||||||
1,628,988 | 899,893 | 1,145,480 | |||||||||||
Expenses: | |||||||||||||
Investment advisory fees | 2,432,735 | 1,497,808 | 726,715 | ||||||||||
Distribution expenses — Class II | 713,238 | 409,609 | 213,740 | ||||||||||
Accounting and administration expenses | 74,284 | 57,055 | 35,022 | ||||||||||
Trustees’ fees and expenses | 24,552 | 23,787 | 9,710 | ||||||||||
Reports and statements to shareholders servicing expenses | 9,243 | 12,754 | 6,110 | ||||||||||
Custodian fees | 7,672 | 4,013 | 4,760 | ||||||||||
Audit and tax fees | 7,452 | 12,738 | 9,364 | ||||||||||
Legal fees | 2,995 | 1,168 | 1,957 | ||||||||||
Registration fees | 3 | 3 | 3 | ||||||||||
Other | 190,798 | 6,341 | 9,799 | ||||||||||
3,462,972 | 2,025,276 | 1,017,180 | |||||||||||
Less expenses waived | — | (48,002 | ) | — | |||||||||
Total operating expenses | 3,462,972 | 1,977,274 | 1,017,180 | ||||||||||
Net Investment Income (Loss) | (1,833,984 | ) | (1,077,381 | ) | 128,300 | ||||||||
Net Realized and Unrealized Gain (Loss): | |||||||||||||
Net realized gain (loss) on: | |||||||||||||
Investments | 46,475,492 | 14,419,866 | 18,141,140 | ||||||||||
Foreign currencies | 2,473 | — | — | ||||||||||
Foreign currency exchange contracts | (4,854 | ) | — | — | |||||||||
Net realized gain (loss) | 46,473,111 | 14,419,866 | 18,141,140 | ||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||
Investments | (264,516,544 | ) | (127,774,171 | ) | (55,027,055 | ) | |||||||
Foreign currencies | (3,068 | ) | — | — | |||||||||
Net change in unrealized appreciation (depreciation) | (264,519,612 | ) | (127,774,171 | ) | (55,027,055 | ) | |||||||
Net Realized and Unrealized Gain (Loss) | (218,046,501 | ) | (113,354,305 | ) | (36,885,915 | ) | |||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (219,880,485 | ) | $ | (114,431,686 | ) | $ | (36,757,615 | ) |
See accompanying notes, which are an integral part of the financial statements.
58
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy | |||||||||||||||||
VIP Asset | Delaware Ivy | ||||||||||||||||
Strategyϕ | VIP Balanced | ||||||||||||||||
Six months | Six months | ||||||||||||||||
ended | ended | ||||||||||||||||
6/30/22 | Year ended | 6/30/22 | Year ended | ||||||||||||||
(Unaudited) | 12/31/21 | (Unaudited) | 12/31/21 | ||||||||||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||||||||||
Net investment income (loss) | $ | 4,697,809 | $ | 4,820,768 | $ | 641,360 | $ | 1,753,627 | |||||||||
Net realized gain (loss) | 29,570,652 | 92,334,387 | (1,377,700 | ) | 86,905,142 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (154,122,522 | ) | (22,017,395 | ) | (44,998,101 | ) | (36,223,075 | ) | |||||||||
Net increase (decrease) in net assets resulting from operations | (119,854,061 | ) | 75,137,760 | (45,734,441 | ) | 52,435,694 | |||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||
Distributable earnings: | |||||||||||||||||
Class I | (43,510 | ) | (123,895 | ) | — | — | |||||||||||
Class II | (26,311,484 | ) | (87,212,714 | ) | (89,099,578 | ) | (25,006,127 | ) | |||||||||
(26,354,994 | ) | (87,336,609 | ) | (89,099,578 | ) | (25,006,127 | ) | ||||||||||
Capital Share Transactions: | |||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||
Class I | 13,353 | 930,271 | — | — | |||||||||||||
Class II | 11,240,215 | 27,512,423 | 2,977,470 | 11,704,935 | |||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | |||||||||||||||||
Class I | 43,510 | 123,895 | — | — | |||||||||||||
Class II | 26,311,484 | 87,212,714 | 89,099,578 | 25,006,127 | |||||||||||||
37,608,562 | 115,779,303 | 92,077,048 | 36,711,062 | ||||||||||||||
Cost of shares redeemed: | |||||||||||||||||
Class I | (3,548 | ) | (228,661 | ) | — | — | |||||||||||
Class II | (48,155,487 | ) | (123,849,978 | ) | (13,772,638 | ) | (136,600,091 | ) | |||||||||
(48,159,035 | ) | (124,078,639 | ) | (13,772,638 | ) | (136,600,091 | ) | ||||||||||
Increase (decrease) in net assets derived from capital share transactions | (10,550,473 | ) | (8,299,336 | ) | 78,304,410 | (99,889,029 | ) | ||||||||||
Net Decrease in Net Assets | (156,759,528 | ) | (20,498,185 | ) | (56,529,609 | ) | (72,459,462 | ) | |||||||||
Net Assets: | |||||||||||||||||
Beginning of period | 744,075,929 | 764,574,114 | 271,266,477 | 343,725,939 | |||||||||||||
End of period | $ | 587,316,401 | $ | 744,075,929 | $ | 214,736,868 | $ | 271,266,477 |
ϕ | Consolidated statements of operations. |
See accompanying notes, which are an integral part of the financial statements.
59
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy | Delaware Ivy | ||||||||||||||||
VIP Energy | VIP Growth | ||||||||||||||||
Six months | Six months | ||||||||||||||||
ended | ended | ||||||||||||||||
6/30/22 | Year ended | 6/30/22 | Year ended | ||||||||||||||
(Unaudited) | 12/31/21 | (Unaudited) | 12/31/21 | ||||||||||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||||||||||
Net investment income (loss) | $ | 1,398,410 | $ | 897,768 | $ | (1,413,775 | ) | $ | (4,204,182 | ) | |||||||
Net realized gain (loss) | 15,184,486 | 10,423,212 | 62,613,480 | 184,088,806 | |||||||||||||
Net change in unrealized appreciation (depreciation) | 4,343,262 | 7,865,868 | (323,316,974 | ) | 89,386,977 | ||||||||||||
Net increase (decrease) in net assets resulting from operations | 20,926,158 | 19,186,848 | (262,117,269 | ) | 269,271,601 | ||||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||
Distributable earnings: | |||||||||||||||||
Class I | (1,459 | ) | (2,647 | ) | — | — | |||||||||||
Class II | (269,807 | ) | (1,016,972 | ) | (179,987,618 | ) | (98,262,055 | ) | |||||||||
(271,266 | ) | (1,019,619 | ) | (179,987,618 | ) | (98,262,055 | ) | ||||||||||
Capital Share Transactions: | |||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||
Class I | 246,759 | 126,637 | — | — | |||||||||||||
Class II | 57,018,682 | 50,732,309 | 23,647,815 | 103,904,201 | |||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | |||||||||||||||||
Class I | 1,459 | 2,647 | — | — | |||||||||||||
Class II | 269,807 | 1,016,972 | 179,987,618 | 98,262,055 | |||||||||||||
57,536,707 | 51,878,565 | 203,635,433 | 202,166,256 | ||||||||||||||
Cost of shares redeemed: | |||||||||||||||||
Class I | (89,454 | ) | (234,664 | ) | — | — | |||||||||||
Class II | (34,553,192 | ) | (39,207,540 | ) | (111,286,133 | ) | (246,709,528 | ) | |||||||||
(34,642,646 | ) | (39,442,204 | ) | (111,286,133 | ) | (246,709,528 | ) | ||||||||||
Increase (decrease) in net assets derived from capital share transactions | 22,894,061 | 12,436,361 | 92,349,300 | (44,543,272 | ) | ||||||||||||
Net Increase (Decrease) in Net Assets | 43,548,953 | 30,603,590 | (349,755,587 | ) | 126,466,274 | ||||||||||||
Net Assets: | |||||||||||||||||
Beginning of period | 74,145,508 | 43,541,918 | 1,022,647,182 | 896,180,908 | |||||||||||||
End of period | $ | 117,694,461 | $ | 74,145,508 | $ | 672,891,595 | $ | 1,022,647,182 |
See accompanying notes, which are an integral part of the financial statements.
60
Delaware Ivy | Delaware Ivy | ||||||||||||||||
VIP High | VIP International | ||||||||||||||||
Income | Core Equity | ||||||||||||||||
Six months | Six months | ||||||||||||||||
ended | ended | ||||||||||||||||
6/30/22 | Year ended | 6/30/22 | Year ended | ||||||||||||||
(Unaudited) | 12/31/21 | (Unaudited) | 12/31/21 | ||||||||||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||||||||||
Net investment income (loss) | $ | 23,632,154 | $ | 53,523,791 | $ | 5,971,674 | $ | 9,839,024 | |||||||||
Net realized gain (loss) | (17,712,201 | ) | (8,915,234 | ) | 4,369,158 | 82,070,410 | |||||||||||
Net change in unrealized appreciation (depreciation) | (132,399,164 | ) | 8,375,935 | (120,308,592 | ) | (3,179,449 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | (126,479,211 | ) | 52,984,492 | (109,967,760 | ) | 88,729,985 | |||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||
Distributable earnings: | |||||||||||||||||
Class I | (1,120,406 | ) | (1,264,115 | ) | — | — | |||||||||||
Class II | (51,556,130 | ) | (52,760,331 | ) | (52,574,539 | ) | (6,911,509 | ) | |||||||||
(52,676,536 | ) | (54,024,446 | ) | (52,574,539 | ) | (6,911,509 | ) | ||||||||||
Capital Share Transactions: | |||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||
Class I | 1,334,191 | 2,988,357 | — | — | |||||||||||||
Class II | 47,133,987 | 115,230,591 | 14,204,905 | 30,336,557 | |||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | |||||||||||||||||
Class I | 1,120,406 | 1,264,115 | — | — | |||||||||||||
Class II | 51,556,130 | 52,760,331 | 52,574,539 | 6,911,509 | |||||||||||||
101,144,714 | 172,243,394 | 66,779,444 | 37,248,066 | ||||||||||||||
Cost of shares redeemed: | |||||||||||||||||
Class I | (2,272,731 | ) | (5,598,142 | ) | — | — | |||||||||||
Class II | (79,430,714 | ) | (133,627,810 | ) | (43,269,843 | ) | (147,978,400 | ) | |||||||||
(81,703,445 | ) | (139,225,952 | ) | (43,269,843 | ) | (147,978,400 | ) | ||||||||||
Increase (decrease) in net assets derived from capital share transactions | 19,441,269 | 33,017,442 | 23,509,601 | (110,730,334 | ) | ||||||||||||
Net Increase (Decrease) in Net Assets | (159,714,478 | ) | 31,977,488 | (139,032,698 | ) | (28,911,858 | ) | ||||||||||
Net Assets: | |||||||||||||||||
Beginning of period | 911,446,173 | 879,468,685 | 620,506,234 | 649,418,092 | |||||||||||||
End of period | $ | 751,731,695 | $ | 911,446,173 | $ | 481,473,536 | $ | 620,506,234 |
See accompanying notes, which are an integral part of the financial statements.
61
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy | Delaware Ivy | ||||||||||||||||
VIP Mid Cap | VIP Natural | ||||||||||||||||
Growth | Resources | ||||||||||||||||
Six months | Six months | ||||||||||||||||
ended | ended | ||||||||||||||||
6/30/22 | Year ended | 6/30/22 | Year ended | ||||||||||||||
(Unaudited) | 12/31/21 | (Unaudited) | 12/31/21 | ||||||||||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||||||||||
Net investment income (loss) | $ | (1,629,524 | ) | $ | (4,941,349 | ) | $ | 1,598,373 | $ | 1,650,874 | |||||||
Net realized gain (loss) | 40,562,626 | 115,551,436 | 8,367,383 | 16,212,480 | |||||||||||||
Net change in unrealized appreciation (depreciation) | (271,853,759 | ) | 167,074 | (8,422,083 | ) | 2,162,426 | |||||||||||
Net increase (decrease) in net assets resulting from operations | (232,920,657 | ) | 110,777,161 | 1,543,673 | 20,025,780 | ||||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||
Distributable earnings: | |||||||||||||||||
Class I | (27,030,938 | ) | (28,371,842 | ) | — | — | |||||||||||
Class II | (83,204,589 | ) | (54,305,125 | ) | (1,937,990 | ) | (1,377,946 | ) | |||||||||
(110,235,527 | ) | (82,676,967 | ) | (1,937,990 | ) | (1,377,946 | ) | ||||||||||
Capital Share Transactions: | |||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||
Class I | 6,229,485 | 25,638,061 | — | — | |||||||||||||
Class II | 32,307,825 | 102,814,158 | 37,384,062 | 20,233,095 | |||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | |||||||||||||||||
Class I | 27,030,938 | 28,371,842 | — | — | |||||||||||||
Class II | 83,204,589 | 54,305,125 | 1,937,990 | 1,377,946 | |||||||||||||
148,772,837 | 211,129,186 | 39,322,052 | 21,611,041 | ||||||||||||||
Cost of shares redeemed: | |||||||||||||||||
Class I | (49,209,569 | ) | (98,590,857 | ) | — | — | |||||||||||
Class II | (37,855,089 | ) | (99,353,586 | ) | (21,344,631 | ) | (24,226,833 | ) | |||||||||
(87,064,658 | ) | (197,944,443 | ) | (21,344,631 | ) | (24,226,833 | ) | ||||||||||
Increase (decrease) in net assets derived from capital share transactions | 61,708,179 | 13,184,743 | 17,977,421 | (2,615,792 | ) | ||||||||||||
Net Increase (Decrease) in Net Assets | (281,448,005 | ) | 41,284,937 | 17,583,104 | 16,032,042 | ||||||||||||
Net Assets: | |||||||||||||||||
Beginning of period | 730,843,848 | 689,558,911 | 90,854,365 | 74,822,323 | |||||||||||||
End of period | $ | 449,395,843 | $ | 730,843,848 | $ | 108,437,469 | $ | 90,854,365 |
See accompanying notes, which are an integral part of the financial statements.
62
Delaware Ivy | ||||||||||||||||||
VIP Science | Delaware Ivy | |||||||||||||||||
and | VIP Small Cap | |||||||||||||||||
Technology | Growth | |||||||||||||||||
Six months | Six months | |||||||||||||||||
ended | ended | |||||||||||||||||
6/30/22 | Year ended | 6/30/22 | Year ended | |||||||||||||||
(Unaudited) | 12/31/21 | (Unaudited) | 12/31/21 | |||||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||||
Net investment income (loss) | $ | (1,833,984 | ) | $ | (5,548,436 | ) | $ | (1,077,381 | ) | $ | (3,677,140 | ) | ||||||
Net realized gain (loss) | 46,473,111 | 264,466,265 | 14,419,866 | 79,559,037 | ||||||||||||||
Net change in unrealized appreciation (depreciation) | (264,519,612 | ) | (159,999,164 | ) | (127,774,171 | ) | (55,777,763 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | (219,880,485 | ) | 98,918,665 | (114,431,686 | ) | 20,104,134 | ||||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||||
Distributable earnings: | ||||||||||||||||||
Class I | (198,973 | ) | (630,025 | ) | (4,768,113 | ) | (6,960,521 | ) | ||||||||||
Class II | (64,485,461 | ) | (201,467,757 | ) | (71,059,344 | ) | (51,658,903 | ) | ||||||||||
(64,684,434 | ) | (202,097,782 | ) | (75,827,457 | ) | (58,619,424 | ) | |||||||||||
Capital Share Transactions: | ||||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||||
Class I | 345,418 | 1,857,407 | 1,438,287 | 5,805,956 | ||||||||||||||
Class II | 25,757,278 | 56,146,004 | 11,580,500 | 24,884,660 | ||||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||
Class I | 198,973 | 630,024 | 4,768,113 | 6,960,521 | ||||||||||||||
Class II | 64,485,461 | 201,467,759 | 71,059,344 | 51,658,903 | ||||||||||||||
90,787,130 | 260,101,194 | 88,846,244 | 89,310,040 | |||||||||||||||
Cost of shares redeemed: | ||||||||||||||||||
Class I | (425,240 | ) | (2,164,748 | ) | (20,162,983 | ) | (20,490,747 | ) | ||||||||||
Class II | (46,554,312 | ) | (123,849,716 | ) | (17,594,763 | ) | (57,061,025 | ) | ||||||||||
(46,979,552 | ) | (126,014,464 | ) | (37,757,746 | ) | (77,551,772 | ) | |||||||||||
Increase in net assets derived from capital share transactions | 43,807,578 | 134,086,730 | 51,088,498 | 11,758,268 | ||||||||||||||
Net Increase (Decrease) in Net Assets | (240,757,341 | ) | 30,907,613 | (139,170,645 | ) | (26,757,022 | ) | |||||||||||
Net Assets: | ||||||||||||||||||
Beginning of period | 709,274,408 | 678,366,795 | 437,779,777 | 464,536,799 | ||||||||||||||
End of period | $ | 468,517,067 | $ | 709,274,408 | $ | 298,609,132 | $ | 437,779,777 |
See accompanying notes, which are an integral part of the financial statements.
63
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy | |||||||||
VIP Smid Cap | |||||||||
Core | |||||||||
Six months | |||||||||
ended | |||||||||
6/30/22 | Year ended | ||||||||
(Unaudited) | 12/31/21 | ||||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||
Net investment income (loss) | $ | 128,300 | $ | (200,926 | ) | ||||
Net realized gain (loss) | 18,141,140 | 36,031,050 | |||||||
Net change in unrealized appreciation (depreciation) | (55,027,055 | ) | 1,327,330 | ||||||
Net increase (decrease) in net assets resulting from operations | (36,757,615 | ) | 37,157,454 | ||||||
Dividends and Distributions to Shareholders from: | |||||||||
Distributable earnings: | |||||||||
Class II | (34,590,065 | ) | — | ||||||
(34,590,065 | ) | — | |||||||
Capital Share Transactions: | |||||||||
Proceeds from shares sold: | |||||||||
Class II | 17,483,613 | 18,954,835 | |||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | |||||||||
Class II | 34,590,065 | — | |||||||
52,073,678 | 18,954,835 | ||||||||
Cost of shares redeemed: | |||||||||
Class II | (13,017,370 | ) | (57,222,880 | ) | |||||
Increase (decrease) in net assets derived from capital share transactions | 39,056,308 | (38,268,045 | ) | ||||||
Net Decrease in Net Assets | (32,291,372 | ) | (1,110,591 | ) | |||||
Net Assets: | |||||||||
Beginning of period | 181,759,061 | 182,869,652 | |||||||
End of period | $ | 149,467,689 | $ | 181,759,061 |
See accompanying notes, which are an integral part of the financial statements.
64
Financial highlights
Delaware Ivy VIP Asset Strategy Class Iϕ
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
endedϕ | 4/28/17 | |||||||||||||||||||||||
6/30/221 | Year ended | to | ||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/172 | |||||||||||||||||||
Net asset value, beginning of period | $ | 10.20 | $ | 10.45 | $ | 9.50 | $ | 8.29 | $ | 9.37 | $ | 8.57 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income3 | 0.08 | 0.08 | 0.17 | 0.20 | 0.18 | 0.08 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.76 | ) | 1.01 | 1.16 | 1.63 | (0.67 | ) | 0.88 | ||||||||||||||||
Total from investment operations | (1.68 | ) | 1.09 | 1.33 | 1.83 | (0.49 | ) | 0.96 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | — | (0.20 | ) | (0.22 | ) | (0.23 | ) | (0.20 | ) | (0.16 | ) | |||||||||||||
Net realized gain | (0.38 | ) | (1.14 | ) | (0.16 | ) | (0.39 | ) | (0.39 | ) | — | |||||||||||||
Total dividends and distributions | (0.38 | ) | (1.34 | ) | (0.38 | ) | (0.62 | ) | (0.59 | ) | (0.16 | ) | ||||||||||||
Net asset value, end of period | $ | 8.14 | $ | 10.20 | $ | 10.45 | $ | 9.50 | $ | 8.29 | $ | 9.37 | ||||||||||||
Total return4 | (16.51% | )5 | 10.72% | 5 | 14.16% | 22.08% | (5.20% | ) | 11.16% | |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 982 | $ | 1 | 6 | $ | — | 6,7 | $ | 1 | 6 | $ | — | 6,7 | $ | — | 6,7 | |||||||
Ratio of expenses to average net assets8 | 0.60% | 0.65% | 0.77% | 0.77% | 0.78% | 0.74% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived8 | 0.74% | 0.75% | 0.77% | 0.77% | 0.78% | 0.74% | ||||||||||||||||||
Ratio of net investment income to average net assets | 1.69% | 0.76% | 1.83% | 2.19% | 1.91% | 1.30% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.55% | 0.66% | 1.83% | 2.19% | 1.91% | 1.30% | ||||||||||||||||||
Portfolio turnover | 56% | 56% | 44% | 46% | 58% | 39% |
ϕ | Consolidated financial highlights. |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Date of commencement of operations; ratios have been annualized and total return and portfolio turnover have not been annualized. |
3 | Calculated using average shares outstanding. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
5 | Total return during the period shown reflects a waiver by the Manager. Performance would have been lower had the waiver not been in effect. |
6 | Net assets reported in millions. |
7 | Rounds to less than $500 thousands. |
8 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
65
Financial highlights
Delaware Ivy VIP Asset Strategy Class IIϕ
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
endedϕ | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 10.19 | $ | 10.44 | $ | 9.50 | $ | 8.29 | $ | 9.37 | $ | 8.04 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.07 | 0.07 | 0.15 | 0.18 | 0.16 | 0.03 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.75 | ) | 1.00 | 1.15 | 1.62 | (0.67 | ) | 1.44 | ||||||||||||||||
Total from investment operations | (1.68 | ) | 1.07 | 1.30 | 1.80 | (0.51 | ) | 1.47 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | — | (0.18 | ) | (0.20 | ) | (0.20 | ) | (0.18 | ) | (0.14 | ) | |||||||||||||
Net realized gain | (0.38 | ) | (1.14 | ) | (0.16 | ) | (0.39 | ) | (0.39 | ) | — | |||||||||||||
Total dividends and distributions | (0.38 | ) | (1.32 | ) | (0.36 | ) | (0.59 | ) | (0.57 | ) | (0.14 | ) | ||||||||||||
Net asset value, end of period | $ | 8.13 | $ | 10.19 | $ | 10.44 | $ | 9.50 | $ | 8.29 | $ | 9.37 | ||||||||||||
Total return3 | (16.58% | )4 | 10.44 | %4 | 13.88% | 21.78% | (5.44% | ) | 18.27% | |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 586,334 | $ | 743 | 5 | $ | 764 | 5 | $ | 772 | 5 | $ | 753 | 5 | $ | 936 | 5 | |||||||
Ratio of expenses to average net assets6 | 0.85% | 0.90% | 1.02% | 1.02% | 1.03% | 1.02% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived6 | 0.99% | 1.01% | 1.02% | 1.02% | 1.03% | 1.02% | ||||||||||||||||||
Ratio of net investment income to average net assets | 1.43% | 0.64% | 1.60% | 1.94% | 1.65% | 0.35% | ||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.29% | 0.53% | 1.60% | 1.94% | 1.65% | 0.35% | ||||||||||||||||||
Portfolio turnover | 56% | 56% | 44% | 46% | 58% | 39% |
ϕ | Consolidated financial highlights. |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Total return during the period shown reflects a waiver by the Manager. Performance would have been lower had the waiver not been in effect. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
66
Delaware Ivy VIP Balanced Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.39 | $ | 8.71 | $ | 8.22 | $ | 7.46 | $ | 7.95 | $ | 7.47 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.02 | 0.05 | 0.09 | 0.11 | 0.12 | 0.12 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.59 | ) | 1.29 | 0.94 | 1.44 | (0.36 | ) | 0.70 | ||||||||||||||||
Total from investment operations | (1.57 | ) | 1.34 | 1.03 | 1.55 | (0.24 | ) | 0.82 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.09 | ) | (0.11 | ) | (0.14 | ) | (0.13 | ) | (0.12 | ) | ||||||||||||
Net realized gain | (3.10 | ) | (0.57 | ) | (0.43 | ) | (0.65 | ) | (0.12 | ) | (0.22 | ) | ||||||||||||
Total dividends and distributions | (3.19 | ) | (0.66 | ) | (0.54 | ) | (0.79 | ) | (0.25 | ) | (0.34 | ) | ||||||||||||
Net asset value, end of period | $ | 4.63 | $ | 9.39 | $ | 8.71 | $ | 8.22 | $ | 7.46 | $ | 7.95 | ||||||||||||
Total return3 | (17.18% | ) | 15.97% | 14.11% | 22.09% | (3.24% | ) | 11.37% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 214,737 | $ | 271 | 4 | $ | 344 | 4 | $ | 341 | 4 | $ | 310 | 4 | $ | 362 | 4 | |||||||
Ratio of expenses to average net assets5 | 1.03% | 1.00% | 1.02% | 1.01% | 1.01% | 1.01% | ||||||||||||||||||
Ratio of net investment income to average net assets | 0.54% | 0.51% | 1.13% | 1.38% | 1.55% | 1.54% | ||||||||||||||||||
Portfolio turnover | 36% | 79% | 61% | 44% | 54% | 48% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
67
Financial highlights
Delaware Ivy VIP Energy Class I
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | 4/28/17 | |||||||||||||||||||||||
6/30/221 | Year ended | to | ||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/172 | |||||||||||||||||||
Net asset value, beginning of period | $ | 3.48 | $ | 2.48 | $ | 4.02 | $ | 3.88 | $ | 5.87 | $ | 5.84 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income3 | 0.06 | 0.04 | 0.04 | 0.03 | — | 4 | 0.06 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.91 | 1.02 | (1.52 | ) | 0.11 | (1.99 | ) | 0.02 | ||||||||||||||||
Total from investment operations | 0.97 | 1.06 | (1.48 | ) | 0.14 | (1.99 | ) | 0.08 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.02 | ) | (0.06 | ) | (0.06 | ) | — | — | (0.05 | ) | ||||||||||||||
Total dividends and distributions | (0.02 | ) | (0.06 | ) | (0.06 | ) | — | — | (0.05 | ) | ||||||||||||||
Net asset value, end of period | $ | 4.43 | $ | 3.48 | $ | 2.48 | $ | 4.02 | $ | 3.88 | $ | 5.87 | ||||||||||||
Total return5 | 27.83% | 42.33% | (36.67% | )6 | 3.74% | (33.96% | ) | 1.55% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 399 | $ | — | 7,8 | $ | — | 7,8 | $ | — | 7,8 | $ | — | 7,8 | $ | — | 7,8 | |||||||
Ratio of expenses to average net assets9 | 0.96% | 0.97% | 1.06% | 1.04% | 0.94% | 0.92% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived9 | 0.96% | 0.97% | 1.12% | 1.04% | 0.94% | 0.92% | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets | 2.76% | 1.20% | 1.89% | 0.64% | (0.09% | ) | 1.70% | |||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 2.76% | 1.20% | 1.83% | 0.64% | (0.09% | ) | 1.70% | |||||||||||||||||
Portfolio turnover | 45% | 119% | 54% | 21% | 37% | 22% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Date of commencement of operations; ratios have been annualized and total return and portfolio turnover have not been annualized. |
3 | Calculated using average shares outstanding. |
4 | Amount is less than $0.005 per share. |
5 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
6 | Total return during the period shown reflects a waiver by the Manager. Performance would have been lower had the waiver not been in effect. |
7 | Net assets reported in millions. |
8 | Rounds to less than $500 thousands. |
9 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
68
Delaware Ivy VIP Energy Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 3.47 | $ | 2.48 | $ | 4.00 | $ | 3.87 | $ | 5.87 | $ | 6.77 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)2 | 0.06 | 0.04 | 0.04 | 0.02 | (0.02 | ) | 0.04 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.90 | 1.00 | (1.52 | ) | 0.11 | (1.98 | ) | (0.90 | ) | |||||||||||||||
Total from investment operations | 0.96 | 1.04 | (1.48 | ) | 0.13 | (2.00 | ) | (0.86 | ) | |||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.05 | ) | (0.04 | ) | — | — | (0.04 | ) | ||||||||||||||
Total dividends and distributions | (0.01 | ) | (0.05 | ) | (0.04 | ) | — | — | (0.04 | ) | ||||||||||||||
Net asset value, end of period | $ | 4.42 | $ | 3.47 | $ | 2.48 | $ | 4.00 | $ | 3.87 | $ | 5.87 | ||||||||||||
Total return3 | 27.65% | 42.00% | (36.83% | )4 | 3.48% | (34.14% | ) | (12.64% | ) | |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 117,295 | $ | 74 | 5 | $ | 44 | 5 | $ | 42 | 5 | $ | 39 | 5 | $ | 169 | 5 | |||||||
Ratio of expenses to average net assets6 | 1.21% | 1.22% | 1.31% | 1.29% | 1.19% | 1.19% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived6 | 1.21% | 1.22% | 1.37% | 1.29% | 1.19% | 1.19% | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets | 2.47% | 1.41% | 1.62% | 0.42% | (0.41% | ) | 0.75% | |||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 2.47% | 1.41% | 1.56% | 0.42% | (0.41% | ) | 0.75% | |||||||||||||||||
Portfolio turnover | 45% | 119% | 54% | 21% | 37% | 22% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Total return during the period shown reflects a waiver by the Manager. Performance would have been lower had the waiver not been in effect. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
69
Financial highlights
Delaware Ivy VIP Growth Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 14.85 | $ | 12.70 | $ | 11.33 | $ | 11.02 | $ | 12.09 | $ | 10.30 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)2 | (0.02 | ) | (0.06 | ) | (0.02 | ) | (0.01 | ) | — | 3 | 0.01 | |||||||||||||
Net realized and unrealized gain (loss) | (3.97 | ) | 3.57 | 3.03 | 3.58 | 0.36 | 2.84 | |||||||||||||||||
Total from investment operations | (3.99 | ) | 3.51 | 3.01 | 3.57 | 0.36 | 2.85 | |||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | — | 3 | (0.03 | ) | ||||||||||||||||
Net realized gain | (2.88 | ) | (1.36 | ) | (1.64 | ) | (3.26 | ) | (1.43 | ) | (1.03 | ) | ||||||||||||
Total dividends and distributions | (2.88 | ) | (1.36 | ) | (1.64 | ) | (3.26 | ) | (1.43 | ) | (1.06 | ) | ||||||||||||
Net asset value, end of period | $ | 7.98 | $ | 14.85 | $ | 12.70 | $ | 11.33 | $ | 11.02 | $ | 12.09 | ||||||||||||
Total return4 | (27.07% | ) | 30.03% | 30.55% | 36.59% | 2.28% | 29.34% | |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 672,892 | $ | 1,023 | 5 | $ | 896 | 5 | $ | 791 | 5 | $ | 669 | 5 | $ | 883 | 5 | |||||||
Ratio of expenses to average net assets6 | 1.00% | 0.99% | 1.01% | 1.00% | 1.00% | 0.99% | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.35% | ) | (0.42% | ) | (0.20% | ) | (0.05% | ) | (0.02% | ) | 0.05% | |||||||||||||
Portfolio turnover | 6% | 22% | 29% | 30% | 37% | 41% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
70
Delaware Ivy VIP High Income Class I
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | 4/28/17 | |||||||||||||||||||||||
6/30/221 | Year ended | to | ||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/172 | |||||||||||||||||||
Net asset value, beginning of period | $ | 3.40 | $ | 3.41 | $ | 3.48 | $ | 3.35 | $ | 3.65 | $ | 3.73 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income3 | 0.09 | 0.21 | 0.21 | 0.24 | 0.23 | 0.16 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.56 | ) | (0.01 | ) | (0.03 | ) | 0.13 | (0.29 | ) | (0.03 | ) | |||||||||||||
Total from investment operations | (0.47 | ) | 0.20 | 0.18 | 0.37 | (0.06 | ) | 0.13 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.21 | ) | (0.21 | ) | (0.25 | ) | (0.24 | ) | (0.24 | ) | (0.21 | ) | ||||||||||||
Total dividends and distributions | (0.21 | ) | (0.21 | ) | (0.25 | ) | (0.24 | ) | (0.24 | ) | (0.21 | ) | ||||||||||||
Net asset value, end of period | $ | 2.72 | $ | 3.40 | $ | 3.41 | $ | 3.48 | $ | 3.35 | $ | 3.65 | ||||||||||||
Total return4 | (14.05% | ) | 6.33% | 6.30% | 11.49% | (1.86% | ) | 3.42% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 15,403 | $ | 19 | 5 | $ | 20 | 5 | $ | 27 | 5 | $ | 44 | 5 | $ | 56 | 5 | |||||||
Ratio of expenses to average net assets6 | 0.63% | 0.67% | 0.69% | 0.67% | 0.66% | 0.66% | ||||||||||||||||||
Ratio of net investment income to average net assets | 5.83% | 6.11% | 6.54% | 6.82% | 6.50% | 6.53% | ||||||||||||||||||
Portfolio turnover | 43% | 54% | 52% | 35% | 42% | 52% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Date of commencement of operations; ratios have been annualized and total return and portfolio turnover have not been annualized. |
3 | Calculated using average shares outstanding. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
71
Financial highlights
Delaware Ivy VIP High Income Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 3.39 | $ | 3.40 | $ | 3.47 | $ | 3.34 | $ | 3.64 | $ | 3.61 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.09 | 0.20 | 0.20 | 0.23 | 0.22 | 0.23 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.56 | ) | — | 3 | (0.03 | ) | 0.13 | (0.29 | ) | 0.01 | ||||||||||||||
Total from investment operations | (0.47 | ) | 0.20 | 0.17 | 0.36 | (0.07 | ) | 0.24 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.20 | ) | (0.21 | ) | (0.24 | ) | (0.23 | ) | (0.23 | ) | (0.21 | ) | ||||||||||||
Total dividends and distributions | (0.20 | ) | (0.21 | ) | (0.24 | ) | (0.23 | ) | (0.23 | ) | (0.21 | ) | ||||||||||||
Net asset value, end of period | $ | 2.72 | $ | 3.39 | $ | 3.40 | $ | 3.47 | $ | 3.34 | $ | 3.64 | ||||||||||||
Total return4 | (14.17% | ) | 6.06% | 6.03% | 11.19% | (2.11% | ) | 6.68% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 736,329 | $ | 892 | 5 | $ | 859 | 5 | $ | 859 | 5 | $ | 803 | 5 | $ | 887 | 5 | |||||||
Ratio of expenses to average net assets6 | 0.88% | 0.92% | 0.94% | 0.92% | 0.91% | 0.91% | ||||||||||||||||||
Ratio of net investment income to average net assets | 5.58% | 5.85% | 6.28% | 6.57% | 6.27% | 6.22% | ||||||||||||||||||
Portfolio turnover | 43% | 54% | 52% | 35% | 42% | 52% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
72
Delaware Ivy VIP International Core Equity Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 18.47 | $ | 16.35 | $ | 15.65 | $ | 14.66 | $ | 18.58 | $ | 15.30 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.18 | 0.27 | 0.16 | 0.29 | 0.30 | 0.23 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (3.50 | ) | 2.04 | 0.88 | 2.28 | (3.45 | ) | 3.29 | ||||||||||||||||
Total from investment operations | (3.32 | ) | 2.31 | 1.04 | 2.57 | (3.15 | ) | 3.52 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.36 | ) | (0.19 | ) | (0.34 | ) | (0.25 | ) | (0.28 | ) | (0.24 | ) | ||||||||||||
Net realized gain | (1.25 | ) | — | 3 | — | 3 | (1.33 | ) | (0.49 | ) | — | 3 | ||||||||||||
Total dividends and distributions | (1.61 | ) | (0.19 | ) | (0.34 | ) | (1.58 | ) | (0.77 | ) | (0.24 | ) | ||||||||||||
Net asset value, end of period | $ | 13.54 | $ | 18.47 | $ | 16.35 | $ | 15.65 | $ | 14.66 | $ | 18.58 | ||||||||||||
Total return4 | (18.25% | ) | 14.18% | 7.19% | 18.69% | (17.81% | ) | 23.16% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 481,474 | $ | 621 | 5 | $ | 649 | 5 | $ | 699 | 5 | $ | 676 | 5 | $ | 835 | 5 | |||||||
Ratio of expenses to average net assets6 | 1.17% | 1.16% | 1.17% | 1.16% | 1.16% | 1.16% | ||||||||||||||||||
Ratio of net investment income to average net assets | 2.18% | 1.49% | 1.10% | 1.93% | 1.70% | 1.33% | ||||||||||||||||||
Portfolio turnover | 36% | 81% | 82% | 69% | 51% | 59% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
73
Financial highlights
Delaware Ivy VIP Mid Cap Growth Class I
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | 4/28/17 | |||||||||||||||||||||||
6/30/221 | Year ended | to | ||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/172 | |||||||||||||||||||
Net asset value, beginning of period | $ | 17.99 | $ | 17.60 | $ | 12.77 | $ | 11.10 | $ | 11.63 | $ | 10.30 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss3 | (0.03 | ) | (0.09 | ) | (0.04 | ) | (0.02 | ) | (0.02 | ) | — | 4 | ||||||||||||
Net realized and unrealized gain (loss) | (5.77 | ) | 2.71 | 5.89 | 3.95 | 0.09 | 1.64 | |||||||||||||||||
Total from investment operations | (5.80 | ) | 2.62 | 5.85 | 3.93 | 0.07 | 1.64 | |||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net realized gain | (2.90 | ) | (2.23 | ) | (1.02 | ) | (2.26 | ) | (0.60 | ) | (0.31 | ) | ||||||||||||
Total dividends and distributions | (2.90 | ) | (2.23 | ) | (1.02 | ) | (2.26 | ) | (0.60 | ) | (0.31 | ) | ||||||||||||
Net asset value, end of period | $ | 9.29 | $ | 17.99 | $ | 17.60 | $ | 12.77 | $ | 11.10 | $ | 11.63 | ||||||||||||
Total return5 | (32.88% | ) | 16.65% | 49.37% | 38.28% | 0.20% | 16.44% | |||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 106,539 | $ | 212 | 6 | $ | 246 | 6 | $ | 233 | 6 | $ | 184 | 6 | $ | 131 | 6 | |||||||
Ratio of expenses to average net assets7 | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% | 0.85% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived7 | 0.92% | 0.89% | 0.90% | 0.90% | 0.90% | 0.89% | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.42% | ) | (0.51% | ) | (0.27% | ) | (0.20% | ) | (0.14% | ) | 0.05% | |||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | (0.49% | ) | (0.55% | ) | (0.32% | ) | (0.25% | ) | (0.19% | ) | 0.01% | |||||||||||||
Portfolio turnover | 17% | 27% | 25% | 20% | 53% | 25% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Date of commencement of operations; ratios have been annualized and total return and portfolio turnover have not been annualized. |
3 | Calculated using average shares outstanding. |
4 | Amount is less than $0.005 per share. |
5 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. Total return during the period shown reflects a waiver by the Manager. Performance would have been lower had the waiver not been in effect. |
6 | Net assets reported in millions. |
7 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
74
Delaware Ivy VIP Mid Cap Growth Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 17.84 | $ | 17.48 | $ | 12.69 | $ | 11.07 | $ | 11.61 | $ | 9.44 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.04 | ) | (0.13 | ) | (0.07 | ) | (0.06 | ) | (0.05 | ) | (0.04 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (5.72 | ) | 2.68 | 5.85 | 3.94 | 0.09 | 2.52 | |||||||||||||||||
Total from investment operations | (5.76 | ) | 2.55 | 5.78 | 3.88 | 0.04 | 2.48 | |||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net realized gain | (2.90 | ) | (2.19 | ) | (0.99 | ) | (2.26 | ) | (0.58 | ) | (0.31 | ) | ||||||||||||
Total dividends and distributions | (2.90 | ) | (2.19 | ) | (0.99 | ) | (2.26 | ) | (0.58 | ) | (0.31 | ) | ||||||||||||
Net asset value, end of period | $ | 9.18 | $ | 17.84 | $ | 17.48 | $ | 12.69 | $ | 11.07 | $ | 11.61 | ||||||||||||
Total return3 | (32.95% | ) | 16.36% | 49.00% | 37.94% | (0.06% | ) | 26.89% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 342,857 | $ | 519 | 4 | $ | 444 | 4 | $ | 315 | 4 | $ | 230 | 4 | $ | 585 | 4 | |||||||
Ratio of expenses to average net assets5 | 1.10% | 1.10% | 1.10% | 1.10% | 1.10% | 1.11% | ||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.15% | 1.14% | 1.15% | 1.15% | 1.15% | 1.15% | ||||||||||||||||||
Ratio of net investment loss to average net assets | (0.65% | ) | (0.76% | ) | (0.53% | ) | (0.45% | ) | (0.42% | ) | (0.39% | ) | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (0.70% | ) | (0.80% | ) | (0.58% | ) | (0.50% | ) | (0.47% | ) | (0.43% | ) | ||||||||||||
Portfolio turnover | 17% | 27% | 25% | 20% | 53% | 25% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. Total return during the period shown reflects a waiver by the Manager. Performance would have been lower had the waiver not been in effect. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
75
Financial highlights
Delaware Ivy VIP Natural Resources Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 4.12 | $ | 3.30 | $ | 3.84 | $ | 3.55 | $ | 4.63 | $ | 4.50 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.07 | 0.07 | 0.04 | 0.07 | 0.03 | — | 3 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.09 | 0.81 | (0.51 | ) | 0.26 | (1.10 | ) | 0.14 | ||||||||||||||||
Total from investment operations | 0.16 | 0.88 | (0.47 | ) | 0.33 | (1.07 | ) | 0.14 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.08 | ) | (0.06 | ) | (0.07 | ) | (0.04 | ) | (0.01 | ) | (0.01 | ) | ||||||||||||
Total dividends and distributions | (0.08 | ) | (0.06 | ) | (0.07 | ) | (0.04 | ) | (0.01 | ) | (0.01 | ) | ||||||||||||
Net asset value, end of period | $ | 4.20 | $ | 4.12 | $ | 3.30 | $ | 3.84 | $ | 3.55 | $ | 4.63 | ||||||||||||
Total return4 | 3.69% | 26.68% | (11.99% | ) | 9.46% | (23.23% | ) | 2.97% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 108,437 | $ | 91 | 5 | $ | 75 | 5 | $ | 88 | 5 | $ | 88 | 5 | $ | 131 | 5 | |||||||
Ratio of expenses to average net assets6 | 1.16% | 1.21% | 1.31% | 1.24% | 1.21% | 1.36% | ||||||||||||||||||
Ratio of net investment income to average net | ||||||||||||||||||||||||
assets | 2.85% | 1.89% | 1.40% | 1.88% | 0.72% | 0.11% | ||||||||||||||||||
Portfolio turnover | 34% | 121% | 71% | 36% | 33% | 44% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
76
Delaware Ivy VIP Science and Technology Class I
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | 4/28/17 | |||||||||||||||||||||||
6/30/221 | Year ended | to | ||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/172 | |||||||||||||||||||
Net asset value, beginning of period | $ | 29.81 | $ | 36.13 | $ | 29.94 | $ | 21.91 | $ | 27.04 | $ | 25.22 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss3 | (0.05 | ) | (0.22 | ) | (0.14 | ) | (0.06 | ) | (0.03 | ) | (0.04 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (9.14 | ) | 5.56 | 10.31 | 10.95 | (1.24 | ) | 4.16 | ||||||||||||||||
Total from investment operations | (9.19 | ) | 5.34 | 10.17 | 10.89 | (1.27 | ) | 4.12 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net realized gain | (2.77 | ) | (11.66 | ) | (3.98 | ) | (2.86 | ) | (3.86 | ) | (2.30 | ) | ||||||||||||
Total dividends and distributions | (2.77 | ) | (11.66 | ) | (3.98 | ) | (2.86 | ) | (3.86 | ) | (2.30 | ) | ||||||||||||
Net asset value, end of period | $ | 17.85 | $ | 29.81 | $ | 36.13 | $ | 29.94 | $ | 21.91 | $ | 27.04 | ||||||||||||
Total return4 | (31.41% | ) | 15.45% | 35.70% | 49.86% | (5.00% | ) | 17.24% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,377 | $ | 2 | 5 | $ | 2 | 5 | $ | 1 | 5 | $ | 1 | 5 | $ | — | 5,6 | |||||||
Ratio of expenses to average net assets7 | 0.96% | 0.89% | 0.91% | 0.90% | 0.91% | 0.90% | ||||||||||||||||||
Ratio of net investment loss to average net | ||||||||||||||||||||||||
assets | (0.40% | ) | (0.57% | ) | (0.44% | ) | (0.23% | ) | (0.11% | ) | (0.25% | ) | ||||||||||||
Portfolio turnover | 22% | 55% | 8% | 31% | 17% | 27% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Date of commencement of operations; ratios have been annualized and total return and portfolio turnover have not been annualized. |
3 | Calculated using average shares outstanding. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
5 | Net assets reported in millions. |
6 | Rounds to less than $500 thousands. |
7 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
77
Financial highlights
Delaware Ivy VIP Science and Technology Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 29.51 | $ | 35.87 | $ | 29.82 | $ | 21.84 | $ | 27.04 | $ | 22.34 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.08 | ) | (0.30 | ) | (0.21 | ) | (0.13 | ) | (0.11 | ) | (0.13 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (9.05 | ) | 5.51 | 10.24 | 10.90 | (1.23 | ) | 7.08 | ||||||||||||||||
Total from investment operations | (9.13 | ) | 5.21 | 10.03 | 10.77 | (1.34 | ) | 6.95 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net realized gain | (2.77 | ) | (11.57 | ) | (3.98 | ) | (2.79 | ) | (3.86 | ) | (2.25 | ) | ||||||||||||
Total dividends and distributions | (2.77 | ) | (11.57 | ) | (3.98 | ) | (2.79 | ) | (3.86 | ) | (2.25 | ) | ||||||||||||
Net asset value, end of period | $ | 17.61 | $ | 29.51 | $ | 35.87 | $ | 29.82 | $ | 21.84 | $ | 27.04 | ||||||||||||
Total return3 | (31.49% | ) | 15.17% | 35.36% | 49.48% | (5.23% | ) | 32.12% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 467,140 | $ | 707 | 4 | $ | 676 | 4 | $ | 579 | 4 | $ | 429 | 4 | $ | 645 | 4 | |||||||
Ratio of expenses to average net assets5 | 1.21% | 1.14% | 1.16% | 1.15% | 1.16% | 1.15% | ||||||||||||||||||
Ratio of net investment loss to average net | ||||||||||||||||||||||||
assets | (0.64% | ) | (0.79% | ) | (0.67% | ) | (0.48% | ) | (0.38% | ) | (0.51% | ) | ||||||||||||
Portfolio turnover | 22% | 55% | 8% | 31% | 17% | 27% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. Total return during the period shown reflects a waiver by the Manager. Performance would have been lower had the waiver not been in effect. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
78
Delaware Ivy VIP Small Cap Growth Class I
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||
ended | 11/2/18 | |||||||||||||||||||
6/30/221 | Year ended | to | ||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/182 | ||||||||||||||||
Net asset value, beginning of period | $ | 11.01 | $ | 12.15 | $ | 8.80 | $ | 7.69 | $ | 8.76 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment loss3 | (0.02 | ) | (0.07 | ) | (0.04 | ) | (0.05 | ) | —4 | |||||||||||
Net realized and unrealized gain (loss) | (2.88 | ) | 0.55 | 3.39 | 1.85 | (1.07 | ) | |||||||||||||
Total from investment operations | (2.90 | ) | 0.48 | 3.35 | 1.80 | (1.07 | ) | |||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||
Net investment income | — | (0.14 | ) | — | — | — | ||||||||||||||
Net realized gain | (2.02 | ) | (1.48 | ) | — | (0.69 | ) | — | ||||||||||||
Total dividends and distributions | (2.02 | ) | (1.62 | ) | — | (0.69 | ) | — | ||||||||||||
Net asset value, end of period | $ | 6.09 | $ | 11.01 | $ | 12.15 | $ | 8.80 | $ | 7.69 | ||||||||||
Total return5 | (26.87% | ) | 4.25% | 38.01% | 23.68% | (12.24% | ) | |||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 18,304 | $ | 47 | 6 | $ | 59 | 6 | $ | 58 | 6 | $ | 52 | 6 | ||||||
Ratio of expenses to average net assets7 | 0.89% | 0.89% | 0.89% | 0.89% | 1.05% | 8 | ||||||||||||||
Ratio of expenses to average net assets prior to fees waived7 | 0.91% | 0.90% | 0.92% | 0.91% | 1.07% | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.43% | ) | (0.56% | ) | (0.46% | ) | (0.60% | ) | 0.15% | |||||||||||
Ratio of net investment income (loss) to average net assets prior | ||||||||||||||||||||
to fees waived | (0.45% | ) | (0.57% | ) | (0.49% | ) | (0.62% | ) | 0.13% | |||||||||||
Portfolio turnover | 32% | 48% | 50% | 41% | 52% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Date of commencement of operations; ratios have been annualized and total return and portfolio turnover have not been annualized. |
3 | Calculated using average shares outstanding. |
4 | Amount is less than $0.005 per share. |
5 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. Total return during the period shown reflects a waiver by the Manager. Performance would have been lower had the waiver not been in effect. |
6 | Net assets reported in millions. |
7 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
8 | Expense ratio based on the period excluding reorganization expenses was 0.89%. |
See accompanying notes, which are an integral part of the financial statements.
79
Financial highlights
Delaware Ivy VIP Small Cap Growth Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 10.94 | $ | 12.08 | $ | 8.77 | $ | 7.68 | $ | 11.63 | $ | 9.69 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.03 | ) | (0.10 | ) | (0.06 | ) | (0.07 | ) | (0.06 | ) | (0.07 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (2.87 | ) | 0.56 | 3.37 | 1.85 | 0.03 | 2.27 | |||||||||||||||||
Total from investment operations | (2.90 | ) | 0.46 | 3.31 | 1.78 | (0.03 | ) | 2.20 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | — | (0.12 | ) | — | — | (0.05 | ) | — | ||||||||||||||||
Net realized gain | (2.02 | ) | (1.48 | ) | — | (0.69 | ) | (3.87 | ) | (0.26 | ) | |||||||||||||
Total dividends and distributions | (2.02 | ) | (1.60 | ) | — | (0.69 | ) | (3.92 | ) | (0.26 | ) | |||||||||||||
Net asset value, end of period | $ | 6.02 | $ | 10.94 | $ | 12.08 | $ | 8.77 | $ | 7.68 | $ | 11.63 | ||||||||||||
Total return3 | (27.00% | ) | 3.99% | 37.66% | 23.37% | (4.11% | ) | 23.12% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 280,305 | $ | 391 | 4 | $ | 406 | 4 | $ | 331 | 4 | $ | 300 | 4 | $ | 377 | 4 | |||||||
Ratio of expenses to average net assets5 | 1.14% | 1.14% | 1.14% | 1.14% | 1.16% | 6 | 1.15% | |||||||||||||||||
Ratio of expenses to average net assets prior to | ||||||||||||||||||||||||
fees waived5 | 1.17% | 1.15% | 1.17% | 1.17% | 1.18% | 1.17% | ||||||||||||||||||
Ratio of net investment loss to average net | ||||||||||||||||||||||||
assets | (0.62% | ) | (0.80% | ) | (0.71% | ) | (0.84% | ) | (0.52% | ) | (0.69% | ) | ||||||||||||
Ratio of net investment loss to average net | ||||||||||||||||||||||||
assets prior to fees waived | (0.65% | ) | (0.81% | ) | (0.74% | ) | (0.87% | ) | (0.54% | ) | (0.71% | ) | ||||||||||||
Portfolio turnover | 32% | 48% | 50% | 41% | 52% | 55% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. Total return during the period shown reflects a waiver by the Manager. Performance would have been lower had the waiver not been in effect. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
6 | Expense ratio based on the period excluding reorganization expenses was 1.14%. |
See accompanying notes, which are an integral part of the financial statements.
80
Delaware Ivy VIP Smid Cap Core Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 16.73 | $ | 13.85 | $ | 13.71 | $ | 13.51 | $ | 18.32 | $ | 18.34 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)2 | 0.01 | (0.02 | ) | (0.02 | ) | — | 3 | (0.06 | ) | — | 3 | |||||||||||||
Net realized and unrealized gain (loss) | (3.20 | ) | 2.90 | 0.80 | 3.12 | (1.37 | ) | 2.21 | ||||||||||||||||
Total from investment operations | (3.19 | ) | 2.88 | 0.78 | 3.12 | (1.43 | ) | 2.21 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | (0.02 | ) | — | |||||||||||||||||
Net realized gain | (3.05 | ) | — | (0.64 | ) | (2.92 | ) | (3.36 | ) | (2.23 | ) | |||||||||||||
Total dividends and distributions | (3.05 | ) | — | (0.64 | ) | (2.92 | ) | (3.38 | ) | (2.23 | ) | |||||||||||||
Net asset value, end of period | $ | 10.49 | $ | 16.73 | $ | 13.85 | $ | 13.71 | $ | 13.51 | $ | 18.32 | ||||||||||||
Total return4 | (19.80% | ) | 20.78% | 7.03% | 24.33% | (10.49% | ) | 13.73% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 149,468 | $ | 182 | 5 | $ | 183 | 5 | $ | 188 | 5 | $ | 175 | 5 | $ | 316 | 5 | |||||||
Ratio of expenses to average net assets6 | 1.19% | 1.17% | 1.20% | 1.18% | 1.17% | 1.15% | ||||||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.15% | (0.10% | ) | (0.14% | ) | (0.05% | ) | (0.34% | ) | 0.01% | ||||||||||||||
Portfolio turnover | 100% | 79% | 145% | 126% | 112% | 112% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
81
Notes to financial statements
Ivy Variable Insurance Portfolios
June 30, 2022 (Unaudited)
Ivy Variable Insurance Portfolios (Trust) is organized as a Delaware statutory trust and offers 26 portfolios. These financial statements and the related notes pertain to 11 portfolios: Delaware Ivy VIP Asset Strategy (formerly, Ivy VIP Asset Strategy), Delaware Ivy VIP Balanced (formerly, Ivy VIP Balanced), Delaware Ivy VIP Energy (formerly, Ivy VIP Energy), Delaware Ivy VIP Growth (formerly, Ivy VIP Growth), Delaware Ivy VIP High Income (formerly, Ivy VIP High Income), Delaware Ivy VIP International Core Equity (formerly, Ivy VIP International Core Equity), Delaware Ivy VIP Mid Cap Growth (formerly, Ivy VIP Mid Cap Growth), Delaware Ivy VIP Natural Resources (formerly, Ivy VIP Natural Resources), Delaware Ivy VIP Science and Technology (formerly, Ivy VIP Science and Technology), Delaware Ivy VIP Small Cap Growth (formerly, Ivy VIP Small Cap Growth), and Delaware Ivy VIP Smid Cap Core (formerly, Ivy VIP Small Cap Core), (each, a Portfolio and collectively, the Portfolios). The Trust is an open-end investment company. Each of the Portfolios (other than Delaware Ivy VIP Energy, Delaware Ivy VIP Growth, and Delaware Ivy VIP Science and Technology) are diversified as defined in the Investment Company Act of 1940, as amended (1940 Act). Delaware Ivy VIP Energy, Delaware Ivy VIP Growth, and Delaware Ivy VIP Science and Technology are non-diversified as defined in the 1940 Act.
Each Portfolio offers Class II shares. Delaware Ivy VIP Asset Strategy, Delaware Ivy VIP Energy, Delaware Ivy VIP High Income, Delaware Ivy VIP Mid Cap Growth, Delaware Ivy VIP Science and Technology, and Delaware Ivy VIP Small Cap Growth also offer Class I shares. The Class I shares do not carry a distribution and service (12b-1) fee and the Class II shares carry a 12b-1 fee. The shares of the Portfolios are sold only to variable life insurance separate accounts and variable annuity separate accounts.
1. Significant Accounting Policies
Each Portfolio follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Portfolios.
Security Valuation — Equity securities and exchange-traded funds (ETFs), except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities and ETFs traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security or ETF does not trade, the mean between the bid and ask prices will be used, which approximates fair value. Equity securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. 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. US government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Other debt securities are valued based upon valuations provided by an independent pricing service or broker and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. For asset-backed securities, collateralized mortgage obligations (CMOs), commercial mortgage securities, and US government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity, and type as well as broker/dealer-supplied prices. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and the ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Futures contracts and options on futures contracts are valued at the daily quoted settlement prices. Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and the ask prices, which approximates fair value. Open-end investment companies are valued at their published net asset value (NAV). Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Trust’s Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Portfolios may use fair value pricing more frequently for securities traded primarily in non-US markets because, among other things, most foreign markets close well before the Portfolios value their securities, generally as of 4:00pm Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. Whenever such a significant event occurs, the Portfolios may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing). Restricted securities are valued at fair value using methods approved by the Board.
82
Federal and Foreign Income Taxes — No provision for federal income taxes has been made as each Portfolio intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. Each Portfolio evaluates tax positions taken or expected to be taken in the course of preparing each Portfolio's tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed each Portfolio's tax positions taken or expected to be taken on each Portfolio's federal income tax returns through the six months ended June 30, 2022, and for all open tax years (years ended December 31, 2018–December 31, 2021), and has concluded that no provision for federal income tax is required in each Portfolio's financial statements. In regard to foreign taxes only, each Portfolio has open tax years in certain foreign countries in which it invests in that may date back to the inception of each Portfolio. If applicable, each Portfolio recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statements of operations.” During the six months ended June 30, 2022, the Portfolios did not incur any interest or tax penalties.
Class Accounting — Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the classes of each Portfolio on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Foreign Currency Transactions — Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date. The value of all assets and liabilities denominated in foreign currencies is translated daily into US dollars at the exchange rate of such currencies against the US dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Portfolios generally bifurcate that portion of realized gains and losses on investments in debt securities which is due to changes in foreign exchange rates from that which is due to changes in market prices of debt securities. That portion of gains (losses), which is due to changes in foreign exchange rates, is included on the “Statements of operations” under “Net realized gain (loss) on foreign currencies.” For foreign equity securities, the realized gains and losses are included on the “Statements of operations” under “Net realized gain (loss) on investments.” The Portfolios report certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Use of Estimates — The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to a Portfolio are charged directly to that Portfolio. Other expenses common to various funds within the Delaware Funds by Macquarie® (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Income and capital gain distributions from any Underlying Funds in which the Portfolio invests are recorded on the ex-dividend date. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively, over the lives of the respective securities using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Realized gains (losses) on paydowns of asset- and mortgage-backed securities are classified as interest income. Distributions received from investments in real estate investment trusts (REITs) are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distributions by the issuer, which are estimated. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Portfolios are aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends and interest have been recorded in accordance with the Portfolios' understanding of the applicable country’s tax rules and rates. Each Portfolio may pay foreign capital gains taxes on certain foreign securities held, which are reported as components of realized losses for financial reporting purposes, whereas such components are treated as ordinary loss for federal income tax purposes. The Portfolios declare and pay dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Portfolios may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
83
Notes to financial statements
Ivy Variable Insurance Portfolios
1. Significant Accounting Policies (continued)
Each Portfolio receives earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. The expenses paid under this arrangement are included on the “Statements of operations” under “Custodian fees” with the corresponding expenses offset included under “Less expenses paid indirectly.” There were no such earnings credits for the six months ended June 30, 2022.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its respective investment management agreement, each Portfolio pays Delaware Management Company (DMC), a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly, based on each Portfolio's average daily net assets as follows:
Portfolio | Management Fee (annual rate as a percentage of average daily net assets) | |
Delaware Ivy VIP Asset Strategy1 | 0.70% of net assets up to $1 billion; | |
0.65% of net assets over $1 billion and up to $2 billion; | ||
0.60% of net assets over $2 billion and up to $3 billion; | ||
0.55% of net assets over $3 billion. | ||
Delaware Ivy VIP Balanced | 0.70% of net assets up to $1 billion; | |
0.65% of net assets over $1 billion and up to $2 billion; | ||
0.60% of net assets over $2 billion and up to $3 billion; | ||
0.55% of net assets over $3 billion. | ||
Delaware Ivy VIP Energy | 0.85% of net assets up to $1 billion; | |
0.83% of net assets over $1 billion and up to $2 billion; | ||
0.80% of net assets over $2 billion and up to $3 billion; | ||
0.76% of net assets over $3 billion. | ||
Delaware Ivy VIP Growth | 0.70% of net assets up to $1 billion; | |
0.65% of net assets over $1 billion and up to $2 billion; | ||
0.60% of net assets over $2 billion and up to $3 billion; | ||
0.55% of net assets over $3 billion. | ||
Delaware Ivy VIP High Income | 0.625% of net assets up to $500 million; | |
0.60% of net assets over $500 million and up to $1 billion; | ||
0.55% of net assets over $1 billion and up to $1.5 billion; | ||
0.50% of net assets over $1.5 billion. | ||
Delaware Ivy VIP International Core Equity | 0.85% of net assets up to $1 billion; | |
0.83% of net assets over $1 billion and up to $2 billion; | ||
0.80% of net assets over $2 billion and up to $3 billion; | ||
0.76% of net assets over $3 billion. | ||
Delaware Ivy VIP Mid Cap Growth | 0.85% of net assets up to $1 billion; | |
0.83% of net assets over $1 billion and up to $2 billion; | ||
0.80% of net assets over $2 billion and up to $3 billion; | ||
0.76% of net assets over $3 billion. | ||
Delaware Ivy VIP Natural Resources | 0.85% of net assets up to $1 billion; | |
0.83% of net assets over $1 billion and up to $2 billion; | ||
0.80% of net assets over $2 billion and up to $3 billion; | ||
0.76% of net assets over $3 billion and up to $5 billion; | ||
0.73% of net assets over $5 billion and up to $10 billion; | ||
0.70% of net assets over $10 billion. |
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Portfolio | Management Fee (annual rate as a percentage of average daily net assets) | |
Delaware Ivy VIP Science and Technology | 0.85% of net assets up to $1 billion; | |
0.83% of net assets over $1 billion and up to $2 billion; | ||
0.80% of net assets over $2 billion and up to $3 billion; | ||
0.76% of net assets over $3 billion. | ||
Delaware Ivy VIP Small Cap Growth | 0.85% of net assets up to $1 billion; | |
0.83% of net assets over $1 billion and up to $2 billion; | ||
0.80% of net assets over $2 billion and up to $3 billion; | ||
0.76% of net assets over $3 billion. | ||
Delaware Ivy VIP Smid Cap Core | 0.85% of net assets up to $1 billion; | |
0.83% of net assets over $1 billion and up to $2 billion; | ||
0.80% of net assets over $2 billion and up to $3 billion; | ||
0.76% of net assets over $3 billion. |
1 | DMC had contractually agreed to reduce the management fee paid by the Portfolio by an annual rate of 0.15% of average daily net assets through April 30, 2022. |
DMC has entered into sub-advisory agreements with the following entities on behalf of the Portfolios:
Macquarie Investment Management Austria Kapitalanlage AG (MIMAK), Macquarie Investment Management Europe Limited (MIMEL), Macquarie Investment Management Global Limited (MIMGL) and Macquarie Funds Management Hong Kong Limited (MFMHKL), each of which is an affiliate of DMC (the Affiliated Sub-Advisors).
MIMAK is a part of Macquarie Asset Management (MAM). MAM is the marketing name for certain companies comprising the asset management division of Macquarie Group Limited. DMC and MIMAK are primarily responsible for the day-to-day management of the Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP Balanced portfolios. In addition, the Manager may also seek fixed income investment advice and recommendations from MIMAK and DMC may also permit MIMAK to execute Portfolio security trades on behalf of DMC and exercise investment discretion for securities in certain markets where DMC believes it will be beneficial to utilize MIMAK's specialized market knowledge.
With respect to the Portfolios for which MIMEL serves as subadvisor, DMC may seek investment advice and recommendations from MIMEL and DMC may also permit MIMEL to execute Portfolio security trades on behalf of DMC and exercise investment discretion for securities in certain markets where DMC believes it will be beneficial to utilize MIMEL’s specialized market knowledge.
With respect to the Portfolios for which MIMGL serves as subadvisor, DMC has principal responsibility for each Portfolio and may seek investment advice and recommendations from MIMGL and DMC may also permit MIMGL to execute Portfolio security trades on behalf of DMC and exercise investment discretion for securities in certain markets where DMC believes it will be beneficial to utilize MIMGL’s specialized market knowledge.
MFMHKL is a part of MAM. With respect to the Portfolios for which MFMHKL serves as subadvisor, DMC may permit MFMHKL to execute Portfolio security trades on behalf of DMC.
Pursuant to the terms of the relevant sub-advisory agreement, the investment sub-advisory fee is paid by DMC to each Affiliated Sub-Advisor based on the extent to which an Affiliated Sub-Advisor provides services to the Portfolios.
Prior to January 18, 2022 (for Delaware Ivy VIP Energy, Delaware Ivy VIP Growth, Delaware Ivy VIP High Income, Delaware Ivy VIP Mid Cap Growth, Delaware Ivy VIP Natural Resources, Delaware Ivy VIP Science and Technology, and Delaware Ivy VIP Small Cap Growth), January 31, 2022 (for Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP Balanced) and February 28, 2022 (for Delaware Ivy VIP International Core Equity and Delaware Ivy VIP Smid Cap Core), the Portfolios had an Accounting Services Agreement with Waddell & Reed Services Company (WRSCO), doing business as WI Services Company (WISC). Under the agreement, WISC acted as the agent in providing bookkeeping and accounting services and assistance to each Portfolio, including maintenance of Portfolio records, pricing of Portfolio shares
85
Notes to financial statements
Ivy Variable Insurance Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
and preparation of certain shareholder reports. For these services, each Portfolio paid 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) | Annual Fee Rate | ||
$0 to $10M | $ | 0 | |
$10 to $25M | 11,496 | ||
$25 to $50M | 23,100 | ||
$50 to $100M | 35,496 | ||
$100 to $200M | 48,396 | ||
$200 to $350M | 63,204 | ||
$350 to $550M | 82,500 | ||
$550 to $750M | 96,300 | ||
$750 to $1,000M | 121,596 | ||
Over $1,000M | 148,500 |
In addition, each Portfolio paid 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 was voluntarily waived by WISC until the Portfolio’s net assets were at least $10 million and is included in “Accounting and administration expenses” on the "Statements of operations.”
Effective January 18, 2022 (for Delaware Ivy VIP Energy, Delaware Ivy VIP Growth, Delaware Ivy VIP High Income, Delaware Ivy VIP Mid Cap Growth, Delaware Ivy VIP Natural Resources, Delaware Ivy VIP Science and Technology, and Delaware Ivy VIP Small Cap Growth), January 31, 2022 (for Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP Balanced) and February 28, 2022 (for Delaware Ivy VIP International Core Equity and Delaware Ivy VIP Smid Cap Core), Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to each Portfolio. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $45 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative NAV basis. These amounts are included on the “Statements of operations” under “Accounting and administration expenses.” From the effective dates mentioned above to June 30, 2022, each Portfolio was charged for these services as follows:
Portfolio | Fees | ||
Delaware Ivy VIP Asset Strategy | $ | 22,053 | |
Delaware Ivy VIP Balanced | 11,152 | ||
Delaware Ivy VIP Energy | 6,062 | ||
Delaware Ivy VIP Growth | 29,690 | ||
Delaware Ivy VIP High Income | 27,487 | ||
Delaware Ivy VIP International Core Equity | 31,217 | ||
Delaware Ivy VIP Mid Cap Growth | 20,815 | ||
Delaware Ivy VIP Natural Resources | 6,134 | ||
Delaware Ivy VIP Science and Technology | 20,923 | ||
Delaware Ivy VIP Small Cap Growth | 15,354 | ||
Delaware Ivy VIP Smid Cap Core | 13,314 |
Prior to June 27, 2022, under a Transfer Agency Agreement between the Trust and WISC, each Portfolio reimbursed WISC for certain out-of-pocket costs. Effective June 27, 2022, DIFSC is also the transfer agent and dividend disbursing agent of the Portfolios. For these services, DIFSC’s fees are calculated daily and paid monthly, at the annual rate of 0.0075% of the Portfolios’ average daily net assets. There were no fees paid for these services from June 27, 2022 through June 30, 2022.
Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), effective June 27, 2022, BNYMIS provides certain sub-transfer agency services to each Portfolio. Sub-transfer agency fees are paid by each Portfolio and are also included on the “Statements of operations” under “Dividend disbursing and transfer agent fees and expenses.” The fees are calculated daily and paid as invoices are received on a monthly or quarterly basis.
86
Pursuant to a distribution agreement and distribution plan, each Portfolio pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual 12b-1 fee of 0.25% of the average daily net assets of the Class II shares. The fees are calculated daily and paid monthly. Class I shares do not pay 12b-1 fees.
From January 1, 2022, (except as noted below) DMC (through April 29, 2023) and WRSCO (through June 24, 2022) have contractually agreed to waive all or a portion of its investment advisory fees and/or pay/reimburse expenses (excluding acquired fund fees and expenses, taxes, interest, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations) as follows:
Operating expense | Operating expense | |||||||||
limitation as a | limitation as a | |||||||||
percentage of average | percentage of average | |||||||||
daily net assets | daily net assets | |||||||||
Portfolio | Class I Shares | Class II shares | ||||||||
Delaware Ivy VIP Asset Strategy | 0.62 | % | 0.87 | % | ||||||
Delaware Ivy VIP Mid Cap Growth | 0.85 | % | 1.10 | % | ||||||
Delaware Ivy VIP Small Cap Growth | 0.89 | %1 | 1.14 | % |
1 | Effective April 29, 2022. |
Through April 30, 2022, for each Portfolio that offered Class I Shares, the Portfolios' distributor and/or WISC had contractually agreed to reimburse sufficient fees to ensure that the total annual ordinary portfolio operating expenses of the Class I Shares were at all times equal to the total annual ordinary portfolio operating expenses of the Class II Shares less 0.25%, as calculated at the end of each month.
As provided in the investment management agreement, each Portfolio bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal and regulatory reporting services to each Portfolio. These amounts are included on the “Statements of operations” under “Legal fees.” For the six months ended June 30, 2022, each Portfolio was charged for internal legal and regulatory reporting services provided by DMC and/or its affiliates’ employees as follows:
Portfolio | Fees | ||
Delaware Ivy VIP Asset Strategy | $ | 819 | |
Delaware Ivy VIP Balanced | 303 | ||
Delaware Ivy VIP Energy | 149 | ||
Delaware Ivy VIP Growth | 1,035 | ||
Delaware Ivy VIP High Income | 2,083 | ||
Delaware Ivy VIP International Core Equity | 676 | ||
Delaware Ivy VIP Mid Cap Growth | 718 | ||
Delaware Ivy VIP Natural Resources | 153 | ||
Delaware Ivy VIP Science and Technology | 1,849 | ||
Delaware Ivy VIP Small Cap Growth | 463 | ||
Delaware Ivy VIP Smid Cap Core | 220 |
Trustees’ fees include expenses accrued by each Portfolio for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Portfolios.
In addition to the management fees and other expenses of a Portfolio, a Portfolio indirectly bears the investment management fees and other expenses of any Underlying Funds including ETF in which it invests. The amount of these fees and expenses incurred indirectly by a Portfolio will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of any Underlying Funds at different times.
Cross trades for the six months ended June 30, 2022, were executed by the Portfolios pursuant to procedures adopted by the Board designed to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds of investment companies, or between a fund of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment advisor (or affiliated investment advisors), common directors/trustees and/or common officers. At its regularly scheduled meetings, the Board reviews a report related to the Portfolios' compliance with the procedures adopted by the Board. Pursuant to
87
Notes to financial statements
Ivy Variable Insurance Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued) these procedures, for the six months ended June 30, 2022, the following Portfolios engaged in Rule 17a-7 securities purchases and securities sales, which resulted in net gains or losses as follows:
Purchases | Sales | Net realized gain (loss) | |||||||||||
Delaware Ivy VIP Asset Strategy | $ | 1,644,406 | $ | — | $ | — | |||||||
Delaware Ivy VIP Mid Cap Growth | 1,373,882 | — | — |
A summary of the transactions in affiliated companies during the six months ended June 30, 2022 as follows:
Net change | ||||||||||||||||||||||||||||||||||||||||||
Net | in | |||||||||||||||||||||||||||||||||||||||||
realized | unrealized | |||||||||||||||||||||||||||||||||||||||||
gain (loss) | appreciation | |||||||||||||||||||||||||||||||||||||||||
Value, | on | (depreciation) | Value, | |||||||||||||||||||||||||||||||||||||||
beginning | Gross | Gross | affiliated | on affiliated | end of | Income | Capital gain | |||||||||||||||||||||||||||||||||||
of period | additions | reductions | fund | fund | period | Shares | distributions | distributions | ||||||||||||||||||||||||||||||||||
Delaware Ivy VIP High Income | ||||||||||||||||||||||||||||||||||||||||||
Common Stocks—0.02% | ||||||||||||||||||||||||||||||||||||||||||
Larchmont Resources | ||||||||||||||||||||||||||||||||||||||||||
$ | 92,197 | $ | — | $ | — | $ | — | $ | — | $ | 92,197 | 1,007 | $ | — | $ | — | ||||||||||||||||||||||||||
New Cotai † | ||||||||||||||||||||||||||||||||||||||||||
3,929,813 | — | — | — | (3,882,905 | ) | 46,908 | 3,072,567 | — | — | |||||||||||||||||||||||||||||||||
Total | $ | 4,022,010 | $ | — | $ | — | $ | — | $ | (3,882,905 | ) | $ | 139,105 | $ | — | $ | — | |||||||||||||||||||||||||
Loan Agreements—0.00% | ||||||||||||||||||||||||||||||||||||||||||
New Cotai LLC | ||||||||||||||||||||||||||||||||||||||||||
(14.000% Cash | ||||||||||||||||||||||||||||||||||||||||||
or 14.000% PIK) | $ | 934,937 | $ | 24,046 | $ | (984,236 | ) | $ | — | $ | 25,253 | $ | — | — | $ | 24,046 | $ | — |
† | Non-income producing security. |
3. Investments
For the six months ended June 30, 2022, each Portfolio made purchases and sales of investment securities other than short-term investments as follows:
Purchases | Sales | |||||||||||||||||||
other than | Purchases of | other than | Sales of | |||||||||||||||||
US government | US government | US government | US government | |||||||||||||||||
Portfolio | securities | securities | securities | securities | ||||||||||||||||
Delaware Ivy VIP Asset Strategy | $ | 242,593,485 | $ | 102,322,241 | $ | 294,811,661 | $ | 95,778,835 | ||||||||||||
Delaware Ivy VIP Balanced | 21,627,650 | 61,978,981 | 22,124,904 | 88,387,805 | ||||||||||||||||
Delaware Ivy VIP Energy | 70,519,279 | — | 47,955,572 | — | ||||||||||||||||
Delaware Ivy VIP Growth | 50,188,395 | — | 141,180,238 | — | ||||||||||||||||
Delaware Ivy VIP High Income | 330,495,051 | — | 338,282,823 | — | ||||||||||||||||
Delaware Ivy VIP International Core Equity | 197,310,452 | — | 214,694,856 | — | ||||||||||||||||
Delaware Ivy VIP Mid Cap Growth | 96,709,529 | — | 144,521,220 | — | ||||||||||||||||
Delaware Ivy VIP Natural Resources | 51,598,846 | — | 35,962,738 | — | ||||||||||||||||
Delaware Ivy VIP Science and Technology | 119,415,865 | — | 160,919,681 | — | ||||||||||||||||
Delaware Ivy VIP Small Cap Growth | 114,645,793 | — | 144,521,137 | — | ||||||||||||||||
Delaware Ivy VIP Smid Cap Core | 171,314,215 | — | 167,602,834 | — |
88
At June 30, 2022, the cost and unrealized appreciation (depreciation) of investments and derivatives for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2022, the cost and unrealized appreciation (depreciation) of investments and derivatives for each Portfolio were as follows:
Aggregate | Aggregate | Net unrealized | ||||||||||||||||||||
unrealized | unrealized | appreciation | ||||||||||||||||||||
Cost of | appreciation | depreciation | (depreciation) | |||||||||||||||||||
investments | of investments | of investments | of investments | |||||||||||||||||||
Portfolio | and derivatives | and derivatives | and derivatives | and derivatives | ||||||||||||||||||
Delaware Ivy VIP Asset Strategy | $ | 635,142,899 | $ | 69,649,452 | $ | (117,802,578 | ) | $ | (48,153,126 | ) | ||||||||||||
Delaware Ivy VIP Balanced | 235,587,091 | 10,654,170 | (30,684,472 | ) | (20,030,302 | ) | ||||||||||||||||
Delaware Ivy VIP Energy | 117,915,779 | 11,234,028 | (9,188,813 | ) | 2,045,215 | |||||||||||||||||
Delaware Ivy VIP Growth | 535,400,920 | 188,782,376 | (51,639,239 | ) | 137,143,137 | |||||||||||||||||
Delaware Ivy VIP High Income | 923,654,431 | 3,567,733 | (154,364,360 | ) | (150,796,627 | ) | ||||||||||||||||
Delaware Ivy VIP International Core Equity | 541,086,041 | 41,371,481 | (96,476,132 | ) | (55,104,651 | ) | ||||||||||||||||
Delaware Ivy VIP Mid Cap Growth | 436,161,739 | 94,457,897 | (71,986,968 | ) | 22,470,929 | |||||||||||||||||
Delaware Ivy VIP Natural Resources | 127,494,154 | 6,629,614 | (16,904,938 | ) | (10,275,324 | ) | ||||||||||||||||
Delaware Ivy VIP Science and Technology | 506,892,878 | 79,488,325 | (106,847,046 | ) | (27,358,721 | ) | ||||||||||||||||
Delaware Ivy VIP Small Cap Growth | 322,454,904 | 31,485,125 | (53,797,780 | ) | (22,312,655 | ) | ||||||||||||||||
Delaware Ivy VIP Smid Cap Core | 173,522,909 | 3,549,824 | (27,407,630 | ) | (23,857,806 | ) |
At December 31, 2021, capital loss carryforwards (reported in thousands) available to offset future realized capital gains were as follows:
Loss carryforward character | ||||||||||||||
Short-term | Long-term | Total | ||||||||||||
Delaware Ivy VIP Energy | $ | 4,962 | $ | 36,041 | (1) | $ | 41,003 | |||||||
Delaware Ivy VIP High Income | 1,064 | 99,303 | 100,367 | |||||||||||
Delaware Ivy VIP Natural Resources | 2,591 | 49,676 | 52,267 |
(1) | $18,654 of these capital loss carryovers are subject to an annual limitation of $3,709 plus any unused limitation from prior years. |
US GAAP defines fair value as the price that each Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established 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 assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. Each Portfolio's investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized as follows:
Level 1 | – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
Level 2 | – | Other observable inputs, including, but 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. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
Level 3 | – | Significant unobservable inputs, including each Portfolio's own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
89
Notes to financial statements
Ivy Variable Insurance Portfolios
3. Investments (continued)
Level 3 investments are valued using significant unobservable inputs. Each Portfolio may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following tables summarize the valuation of each Portfolio’s investments by fair value hierarchy levels as of June 30, 2022:
Delaware Ivy VIP Asset Strategy | |||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||
Securities | |||||||||||||||||||||
Assets: | |||||||||||||||||||||
Agency Collateralized Mortgage | |||||||||||||||||||||
Obligations | $ | — | $ | 3,031,031 | $ | — | $ | 3,031,031 | |||||||||||||
Agency Commercial Mortgage- | |||||||||||||||||||||
Backed Securities | — | 4,930,318 | — | 4,930,318 | |||||||||||||||||
Agency Mortgage-Backed | |||||||||||||||||||||
Securities | — | 30,421,073 | — | 30,421,073 | |||||||||||||||||
Bullion | — | 30,122,494 | — | 30,122,494 | |||||||||||||||||
Common Stocks | 337,828,612 | — | — | 337,828,612 | |||||||||||||||||
Corporate Bonds | — | 85,231,068 | 637,420 | 85,868,488 | |||||||||||||||||
Non-Agency Commercial | |||||||||||||||||||||
Mortgage-Backed Security | — | 64,463 | — | 64,463 | |||||||||||||||||
Sovereign Bonds | — | 1,656,450 | — | 1,656,450 | |||||||||||||||||
US Treasury Obligations | — | 65,757,226 | — | 65,757,226 | |||||||||||||||||
Short-Term Investments | 26,907,548 | — | — | 26,907,548 | |||||||||||||||||
Securities Lending Collateral | 390,885 | — | — | 390,885 | |||||||||||||||||
Total Value of Securities | $ | 365,127,045 | $ | 221,214,123 | $ | 637,420 | $ | 586,978,588 | |||||||||||||
Derivatives1 | |||||||||||||||||||||
Assets: | |||||||||||||||||||||
Futures Contracts | $ | 11,185 | $ | — | $ | — | $ | 11,185 |
1 | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end. |
Delaware Ivy VIP Balanced | |||||||||||||||
Level 1 | Level 2 | Total | |||||||||||||
Securities | |||||||||||||||
Assets: | |||||||||||||||
Agency Collateralized Mortgage Obligations | $ | — | $ | 1,117,230 | $ | 1,117,230 | |||||||||
Agency Mortgage-Backed Securities | — | 13,231,672 | 13,231,672 | ||||||||||||
Common Stocks | 122,687,977 | — | 122,687,977 | ||||||||||||
Corporate Bonds | — | 28,176,639 | 28,176,639 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 6,311,535 | 6,311,535 | ||||||||||||
US Treasury Obligations | — | 23,556,683 | 23,556,683 | ||||||||||||
Short-Term Investments | 19,647,129 | — | 19,647,129 | ||||||||||||
Securities Lending Collateral | 821,872 | — | 821,872 | ||||||||||||
Total Value of Securities | $ | 143,156,978 | $ | 72,393,759 | $ | 215,550,737 |
90
Delaware Ivy VIP Balanced | |||||||||||||||||
Level 1 | Level 2 | Total | |||||||||||||||
Derivatives1 | |||||||||||||||||
Assets: | |||||||||||||||||
Futures Contracts | $ | 26,671 | $ | — | $ | 26,671 | |||||||||||
Liabilities: | |||||||||||||||||
Futures Contracts | $ | (20,619 | ) | $ | — | $ | (20,619 | ) |
1 | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end. |
Delaware Ivy | |||||
VIP Energy | |||||
Level 1 | |||||
Securities | |||||
Assets: | |||||
Common Stocks | $ | 113,036,841 | |||
Master Limited Partnerships | 1,241,656 | ||||
Short-Term Investments | 3,887,012 | ||||
Securities Lending Collateral | 1,795,485 | ||||
Total Value of Securities | $ | 119,960,994 | |||
Delaware Ivy | |||||
VIP Growth | |||||
Level 1 | |||||
Securities | |||||
Assets: | |||||
Common Stocks | $ | 668,587,440 | |||
Short-Term Investments | 3,956,617 | ||||
Total Value of Securities | $ | 672,544,057 |
Delaware Ivy VIP High Income | |||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||||
Securities | |||||||||||||||||||||
Assets: | |||||||||||||||||||||
Common Stocks | |||||||||||||||||||||
Basic Industry | $ | 2,753,050 | $ | — | $ | 72,296 | $ | 2,825,346 | |||||||||||||
Consumer Goods | —1 | — | — | — | |||||||||||||||||
Energy | 7,671 | — | — | 7,671 | |||||||||||||||||
Industrials | —1 | — | — | — | |||||||||||||||||
Leisure | 1,987,856 | — | 46,908 | 2,034,764 | |||||||||||||||||
Retail | 424,516 | — | — | 424,516 | |||||||||||||||||
Services | 2,518,071 | — | — | 2,518,071 |
91
Notes to financial statements
Ivy Variable Insurance Portfolios
3. Investments (continued)
Delaware Ivy VIP High Income | ||||||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||
Utilities | $ | 92,197 | $ | — | $ | — | $ | 92,197 | ||||||||||||||
Convertible Bond | — | 1,075,109 | — | 1,075,109 | ||||||||||||||||||
Corporate Bonds | — | 523,408,151 | — | 523,408,151 | ||||||||||||||||||
Exchange-Traded Funds | 29,944,562 | — | — | 29,944,562 | ||||||||||||||||||
Investment Company | 2,182,081 | — | — | 2,182,081 | ||||||||||||||||||
Loan Agreements | — | 101,293,625 | — | 101,293,625 | ||||||||||||||||||
Municipal Bonds | — | 5,992,673 | — | 5,992,673 | ||||||||||||||||||
Preferred Stock | 119,120 | — | — | 119,120 | ||||||||||||||||||
Warrants | 79,531 | — | — | 79,531 | ||||||||||||||||||
Short-Term Investments | 66,148,686 | — | — | 66,148,686 | ||||||||||||||||||
Securities Lending Collateral | 34,735,206 | — | — | 34,735,206 | ||||||||||||||||||
Total Value of Securities | $ | 140,992,547 | $ | 631,769,558 | $ | 119,204 | $ | 772,881,309 | ||||||||||||||
Derivatives2 | ||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||
Foreign Currency Exchange | ||||||||||||||||||||||
Contracts | $ | — | $ | (23,505 | ) | $ | — | $ | (23,505 | ) |
1 | The security that has been valued at zero on the “Schedule of investments” is considered to be Level 1 investment in this table. |
2 | Foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end. |
Delaware Ivy VIP International Core Equity | |||||||||||||||||
Level 1 | Level 2 | Total | |||||||||||||||
Securities | |||||||||||||||||
Assets: | |||||||||||||||||
Common Stocks | $ | 476,648,278 | $ | — | $ | 476,648,278 | |||||||||||
Short-Term Investments | 2,749,408 | — | 2,749,408 | ||||||||||||||
Securities Lending Collateral | 6,596,039 | — | 6,596,039 | ||||||||||||||
Total Value of Securities | $ | 485,993,725 | $ | — | $ | 485,993,725 | |||||||||||
Derivatives1 | |||||||||||||||||
Liabilities: | |||||||||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | (12,335 | ) | $ | (12,335 | ) |
1 | Foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end. |
Delaware Ivy | |||||
VIP Mid Cap | |||||
Growth | |||||
Level 1 | |||||
Securities | |||||
Assets: | |||||
Common Stocks | $ | 449,272,140 |
92
Delaware Ivy | ||||
VIP Mid Cap | ||||
Growth | ||||
Level 1 | ||||
Short-Term Investments | $ | 1,479,406 | ||
Securities Lending Collateral | 8,067,729 | |||
Total Value of Securities Before Options Written | $ | 458,819,275 | ||
Liabilities: | ||||
Options Written | $ | (849,275 | ) |
Delaware Ivy VIP Natural Resources | |||||||||||
Level 1 | Level 2 | Total | |||||||||
Securities | |||||||||||
Assets: | |||||||||||
Closed-Ended Trust | $ | 3,308,391 | $ | — | $ | 3,308,391 | |||||
Common Stocks | 100,858,591 | — | 100,858,591 | ||||||||
Short-Term Investments | 4,455,759 | — | 4,455,759 | ||||||||
Securities Lending Collateral | 8,596,002 | — | 8,596,002 | ||||||||
Total Value of Securities | $ | 117,218,743 | $ | — | $ | 117,218,743 | |||||
Derivatives1 | |||||||||||
Assets: | |||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | 87 | $ | 87 |
1 | Foreign currency exchange contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end. |
Delaware Ivy VIP Science and Technology | |||||||||
Level 1 | Level 2 | Total | |||||||
Securities | |||||||||
Assets: | |||||||||
Common Stocks | $ | 423,665,032 | $ | — | $ | 423,665,032 | |||
Corporate Bond | — | 285,056 | 285,056 | ||||||
Short-Term Investments | 45,367,774 | — | 45,367,774 | ||||||
Securities Lending Collateral | 10,216,295 | — | 10,216,295 | ||||||
Total Value of Securities | $ | 479,249,101 | $ | 285,056 | $ | 479,534,157 |
Delaware Ivy | |||||
VIP Small Cap | |||||
Growth | |||||
Level 1 | |||||
Securities | |||||
Assets: | |||||
Common Stocks | $ | 287,497,049 | |||
Short-Term Investments | 10,122,816 | ||||
Securities Lending Collateral | 2,522,384 | ||||
Total Value of Securities | $ | 300,142,249 |
93
Notes to financial statements
Ivy Variable Insurance Portfolios
3. Investments (continued)
Delaware Ivy | |||||
VIP Smid Cap | |||||
Core | |||||
Level 1 | |||||
Securities | |||||
Assets: | |||||
Common Stocks | $ | 146,103,683 | |||
Short-Term Investments | 3,517,993 | ||||
Securities Lending Collateral | 43,427 | ||||
Total Value of Securities | $ | 149,665,103 |
During the six months ended June 30, 2022, there were no transfers into or out of Level 3 investments that had a significant impact to each Portfolio. Each Portfolio’s policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when a Portfolio has a significant amount of Level 3 investments at the beginning or end of the period in relation to each Portfolio's net assets. Management has determined not to provide a reconciliation of Level 3 investments as the Level 3 investments were not considered significant to Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP High Income net assets at the beginning, interim, or end of the period. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments were not considered significant to each Portfolio’s net assets at the end of the period. At June 30, 2022, Delaware Ivy VIP Balanced, Delaware Ivy VIP Energy, Delaware Ivy VIP Growth, Delaware Ivy VIP International Core Equity, Delaware Ivy VIP Mid Cap Growth, Delaware Ivy VIP Natural Resources, Delaware Ivy VIP Science and Technology, Delaware Ivy VIP Small Cap Growth, and Delaware Ivy VIP Smid Cap Core had no Level 3 investments.
94
4. Capital Shares
Transactions in capital shares were as follows:
Delaware Ivy | |||||||||||||||||||
VIP Asset | Delaware Ivy | Delaware Ivy | |||||||||||||||||
Strategy | VIP Balanced | VIP Energy | |||||||||||||||||
Six months | Six months | Six months | |||||||||||||||||
ended | Year ended | ended | Year ended | ended | Year ended | ||||||||||||||
6/30/22 | 12/31/21 | 6/30/22 | 12/31/21 | 6/30/22 | 12/31/21 | ||||||||||||||
Shares sold: | |||||||||||||||||||
Class I | 1,423 | 85,603 | — | — | 60,446 | 40,171 | |||||||||||||
Class II | 1,221,870 | 2,527,289 | 391,024 | 1,285,781 | 12,845,601 | 15,999,581 | |||||||||||||
Shares issued upon reinvestment of dividends and distributions: | |||||||||||||||||||
Class I | 5,230 | 12,304 | — | — | 295 | 784 | |||||||||||||
Class II | 3,166,244 | 8,611,365 | 18,997,778 | 2,864,489 | 54,506 | 302,277 | |||||||||||||
4,394,767 | 11,236,561 | 19,388,802 | 4,150,270 | 12,960,848 | 16,342,813 | ||||||||||||||
Shares redeemed: | |||||||||||||||||||
Class I | (409 | ) | (20,424 | ) | — | — | (18,925 | ) | (73,355 | ) | |||||||||
Class II | (5,194,379 | ) | (11,406,014 | ) | (1,879,813 | ) | (14,723,694 | ) | (7,689,236 | ) | (12,466,804 | ) | |||||||
(5,194,788 | ) | (11,426,438 | ) | (1,879,813 | ) | (14,723,694 | ) | (7,708,161 | ) | (12,540,159 | ) | ||||||||
Net increase (decrease) | (800,021 | ) | (189,877 | ) | 17,508,989 | (10,573,424 | ) | 5,252,687 | 3,802,654 |
Delaware Ivy | Delaware Ivy | ||||||||||||||||||
Delaware Ivy | VIP High | VIP International | |||||||||||||||||
VIP Growth | Income | Core Equity | |||||||||||||||||
Six months | Six months | Six months | |||||||||||||||||
ended | Year ended | ended | Year ended | ended | Year ended | ||||||||||||||
6/30/22 | 12/31/21 | 6/30/22 | 12/31/21 | 6/30/22 | 12/31/21 | ||||||||||||||
Shares sold: | |||||||||||||||||||
Class I | — | — | 411,602 | 870,734 | — | — | |||||||||||||
Class II | 2,260,775 | 8,071,554 | 14,744,949 | 33,527,630 | 886,111 | 1,662,612 | |||||||||||||
Shares issued upon reinvestment of dividends and distributions: | |||||||||||||||||||
Class I | — | — | 393,125 | 376,393 | — | — | |||||||||||||
Class II | 22,330,970 | 8,105,223 | 18,153,567 | 15,740,425 | 3,768,784 | 380,829 | |||||||||||||
24,591,745 | 16,176,777 | 33,703,243 | 50,515,182 | 4,654,895 | 2,043,441 | ||||||||||||||
Shares redeemed: | |||||||||||||||||||
Class I | — | — | (699,750 | ) | (1,637,633 | ) | — | — | |||||||||||
Class II | (9,169,229 | ) | (17,870,523 | ) | (25,138,957 | ) | (39,247,512 | ) | (2,676,853 | ) | (8,183,115 | ) | |||||||
(9,169,229 | ) | (17,870,523 | ) | (25,838,707 | ) | (40,885,145 | ) | (2,676,853 | ) | (8,183,115 | ) | ||||||||
Net increase (decrease) | 15,422,516 | (1,693,746 | ) | 7,864,536 | 9,630,037 | 1,978,042 | (6,139,674 | ) |
95
Notes to financial statements
Ivy Variable Insurance Portfolios
4. Capital Shares (continued)
Delaware Ivy | |||||||||||||||||||
Delaware Ivy | Delaware Ivy | VIP Science | |||||||||||||||||
VIP Mid Cap | VIP Natural | and | |||||||||||||||||
Growth | Resources | Technology | |||||||||||||||||
Six months | Six months | Six months | |||||||||||||||||
ended | Year ended | ended | Year ended | ended | Year ended | ||||||||||||||
6/30/22 | 12/31/21 | 6/30/22 | 12/31/21 | 6/30/22 | 12/31/21 | ||||||||||||||
Shares sold: | |||||||||||||||||||
Class I | 494,342 | 1,459,307 | — | — | 14,612 | 47,856 | |||||||||||||
Class II | 2,290,429 | 5,831,186 | 7,834,416 | 5,419,205 | 1,060,385 | 1,478,206 | |||||||||||||
Shares issued upon reinvestment of dividends and distributions: | |||||||||||||||||||
Class I | 2,801,133 | 1,802,886 | — | — | 10,456 | 21,351 | |||||||||||||
Class II | 8,730,807 | 3,474,127 | 410,591 | 358,187 | 3,431,903 | 6,875,144 | |||||||||||||
14,316,711 | 12,567,506 | 8,245,007 | 5,777,392 | 4,517,356 | 8,422,557 | ||||||||||||||
Shares redeemed: | |||||||||||||||||||
Class I | (3,601,294 | ) | (5,429,559 | ) | — | — | (20,066 | ) | (55,836 | ) | |||||||||
Class II | (2,741,238 | ) | (5,616,841 | ) | (4,501,090 | ) | (6,370,555 | ) | (1,937,732 | ) | (3,239,331 | ) | |||||||
(6,342,532 | ) | (11,046,400 | ) | (4,501,090 | ) | (6,370,555 | ) | (1,957,798 | ) | (3,295,167 | ) | ||||||||
Net increase (decrease) | 7,974,179 | 1,521,106 | 3,743,917 | (593,163 | ) | 2,559,558 | 5,127,390 |
Delaware Ivy | Delaware Ivy | ||||||||||||
VIP Small Cap | VIP Smid Cap | ||||||||||||
Growth | Core | ||||||||||||
Six months | Six months | ||||||||||||
ended | Year ended | ended | Year ended | ||||||||||
6/30/22 | 12/31/21 | 6/30/22 | 12/31/21 | ||||||||||
Shares sold: | |||||||||||||
Class I | 166,009 | 478,082 | — | — | |||||||||
Class II | 1,346,008 | 2,086,035 | 1,151,178 | 1,199,784 | |||||||||
Shares issued upon reinvestment of dividends and distributions: | |||||||||||||
Class I | 760,465 | 641,818 | — | — | |||||||||
Class II | 11,461,184 | 4,789,218 | 3,164,690 | — | |||||||||
13,733,666 | 7,995,153 | 4,315,868 | 1,199,784 | ||||||||||
Shares redeemed: | |||||||||||||
Class I | (2,172,165 | ) | (1,689,541 | ) | — | — | |||||||
Class II | (1,997,331 | ) | (4,737,495 | ) | (929,357 | ) | (3,537,932 | ) | |||||
(4,169,496 | ) | (6,427,036 | ) | (929,357 | ) | (3,537,932 | ) | ||||||
Net increase (decrease) | 9,564,170 | 1,568,117 | 3,386,511 | (2,338,148 | ) |
96
5. Basis of consolidation for Delaware Ivy VIP Asset Strategy
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 Delaware Ivy VIP Asset Strategy (referred to as the Portfolio in this subsection). Ivy 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, 2022 of the Subsidiary and the Company to the Portfolio.
Percentage | |||||||||||||||||||||
Date of | Subscription | Portfolio | Subsidiary/ | of Portfolio net | |||||||||||||||||
Incorporation | Agreement | Net Assets | company net assets | assets | |||||||||||||||||
Ivy VIP ASF II, Ltd. | 1-31-13 | 4-10-13 | $ | 587,245,849 | $ | 30,232,688 | 5.15 | % | |||||||||||||
Ivy VIP ASF III | |||||||||||||||||||||
(SBP), LLC | 4-9-13 | 4-23-13 | 587,245,849 | 15,288 | 0.00 |
6. Line of Credit
Each Portfolio, along with certain other funds in the Delaware Funds (Participants), is a participant in a $355,000,000 revolving line of credit (Agreement) intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the Agreement, the Participants are charged an annual commitment fee of 0.15% with the addition of an upfront fee of 0.05%, which is allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants are permitted to borrow up to a maximum of one-third of their net assets under the Agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the Agreement expires on October 31, 2022.
Each Portfolio had no amounts outstanding as of June 30, 2022, or at any time during the period then ended.
7. Interfund Lending Program
Pursuant to an exemptive order issued by the SEC (Order), the Ivy Funds and Ivy Variable Insurance Portfolios (collectively, the Funds only for purposes of this Note 7) 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. This program was in existence in the past but has now been terminated. The Funds made no Interfund Loans under the Interfund Lending Program during the six months ended June 30, 2022.
8. Derivatives
US GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts — Each Portfolio may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. Each Portfolio may enter into these contracts to fix the US dollar value of
97
Notes to financial statements
Ivy Variable Insurance Portfolios
8. Derivatives (continued)
a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. Each Portfolio may also enter into these contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies. In addition, each Portfolio may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, each Portfolio could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. Each Portfolio's maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between each Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolios to cover each Portfolio's exposure to the counterparty. Open foreign currency exchange contracts, if any, are disclosed on the "Schedules of investments".
During the six months ended June 30, 2022, Delaware Ivy VIP Asset Strategy, Delaware Ivy VIP Energy, Delaware Ivy VIP Growth, Delaware Ivy VIP High Income and Delaware Ivy VIP International Core Equity experienced net realized and unrealized gains or losses attributable to foreign currency holdings, which are disclosed on the “Statements of operations.”
During the six months ended June 30, 2022, Delaware Ivy VIP High Income used foreign currency exchange contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies to increase/decrease exposure to foreign currencies.
During the six months ended June 30, 2022, Delaware Ivy VIP Asset Strategy, Delaware Ivy VIP International Core Equity and Delaware Ivy VIP Natural Resources used foreign currency exchange contracts to facilitate or expedite the settlement of portfolio transactions.
Futures Contracts — A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. The Portfolios may use futures in the normal course of pursuing its investment objective. The Portfolios may invest in futures contracts to hedge its existing portfolio securities against fluctuations in fair value caused by changes in prevailing market interest rates. Upon entering into a futures contract, the Portfolios deposit cash or pledge US government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Portfolios as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Portfolios because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP Balanced posted cash collateral as margin for open futures contracts, which is presented as “Cash collateral due from broker on futures contracts” on the “Statements of assets and liabilities.” Open futures contracts, if any, are disclosed on the "Schedules of investments."
During the six months ended June 30, 2022, Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP Balanced experienced net realized and unrealized gains or losses attributable to futures contracts, which are disclosed on the “Statements of operations.”
During the six months ended June 30, 2022, Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP Balanced invested in futures contracts to hedge each Portfolio’s existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions.
Options Contracts — During the six months ended June 30, 2022, Delaware Ivy VIP Mid Cap Growth entered into options contracts in the normal course of pursuing its investment objective. Each Portfolio may buy or write options contracts for any number of reasons, including without limitation: to manage the Portfolio's exposure to changes in securities prices caused by interest rates or market conditions and foreign currencies; as an efficient means of adjusting the Portfolio’s overall exposure to certain markets; to protect the value of portfolio securities; and
98
as a cash management tool. The Portfolio may buy or write call or put options on securities, futures, swaps, swaptions, financial indices, and foreign currencies. When the Portfolio buys an option, a premium is paid and an asset is recorded and adjusted on a daily basis to reflect the current market value of the option purchased. When the Portfolio writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the option written. Premiums received from writing options that expire unexercised are treated by the Portfolio on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is treated as realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Portfolio has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Portfolio. The Portfolio, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. When writing options, the Portfolio is subject to minimal counterparty risk because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change. Delaware Ivy VIP Mid Cap Growth pledged securities collateral valued at $163,800 as collateral for open options contracts. Open options contracts, if any, are disclosed on the "Schedules of investments."
During the six months ended June 30, 2022, Delaware Ivy VIP Mid Cap Growth experienced net realized and unrealized gains or losses attributable to options contracts, which are disclosed on the “Statements of operations.”
During the six months ended June 30, 2022, Delaware Ivy VIP Mid Cap Growth used options contracts to facilitate investments in portfolio securities.
The table below summarizes the average quarterly balance of derivative holdings by each Portfolio during the six months ended June 30, 2022:
Long Derivative Volume | ||||||||||||
Delaware Ivy | ||||||||||||
VIP Asset | Delaware Ivy | Delaware Ivy | ||||||||||
Strategy | VIP Balanced | VIP Energy | ||||||||||
Foreign currency exchange contracts (average notional value) | $ | 447,237 | $ | — | $ | 146,221 | ||||||
Futures contracts (average notional value) | 2,348,052 | 2,287,094 | — |
Long Derivative Volume | |||||||||||||
Delaware Ivy | Delaware Ivy | Delaware Ivy | |||||||||||
VIP International | VIP Mid Cap | VIP Natural | |||||||||||
Core Equity | Growth | Resources | |||||||||||
Foreign currency exchange contracts (average notional value) | $ | 5,919,493 | $ | — | $ | 108,256 | |||||||
Options contracts (average notional value)* | — | 4,134 | — |
Long Derivative Volume | ||
Delaware Ivy | ||
VIP Science | ||
and | ||
Technology | ||
Foreign currency exchange contracts (average notional value) | $2,572,320 |
Short Derivative Volume | ||||||||||||
Delaware Ivy | ||||||||||||
VIP Asset | Delaware Ivy | Delaware Ivy | ||||||||||
Strategy | VIP Balanced | VIP Energy | ||||||||||
Foreign currency exchange contracts (average notional value) | $ | 2,551,352 | $ | — | $ | 296,288 | ||||||
Futures contracts (average notional value) | — | 1,019,000 | — |
99
Notes to financial statements
Ivy Variable Insurance Portfolios
8. Derivatives (continued)
Short Derivative Volume | ||||||||||||
Delaware Ivy | Delaware Ivy | |||||||||||
Delaware Ivy | VIP High | VIP International | ||||||||||
VIP Growth | Income | Core Equity | ||||||||||
Foreign currency exchange contracts (average notional value) | $ | 23,341 | $ | 7,192,859 | $ | 1,439,175 | ||||||
Short Derivative Volume | ||||||||||||
Delaware Ivy | ||||||||||||
Delaware Ivy | Delaware Ivy | VIP Science | ||||||||||
VIP Mid Cap | VIP Natural | and | ||||||||||
Growth | Resources | Technology | ||||||||||
Foreign currency exchange contracts (average notional value) | $ | — | $ | 307,739 | $ | 2,570,714 | ||||||
Options contracts (average notional value)* | (21,709 | ) | — | — |
* | Long represents purchased options and short represents written options. |
100
9. Offsetting
Each Portfolio entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties in order to better define its contractual rights and to secure rights that will help each Portfolio mitigate its counterparty risk. An ISDA Master Agreement is a bilateral agreement between each Portfolio and a counterparty that governs over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, each Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements on the “Statements of assets and liabilities.”
At June 30, 2022, each Portfolio had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities
Delaware Ivy VIP High Income
Gross Value of | ||||||||||||
Gross Value of | Derivative | |||||||||||
Counterparty | Derivative Asset | Liability | Net Position | |||||||||
JPMorgan Chase Bank | $— | $(23,505) | $(23,505) | |||||||||
Fair Value of | Fair Value of | |||||||||||
Non-Cash | Cash Collateral | Non-Cash | Cash Collateral | |||||||||
Counterparty | Net Position | Collateral Received | Received | Collateral Pledged | Pledged | Net Exposure(a) | ||||||
JPMorgan Chase Bank | $(23,505) | $— | $— | $— | $— | $(23,505) | ||||||
Delaware Ivy VIP International Core Equity | ||||||||||||
Gross Value of | ||||||||||||
Gross Value of | Derivative | |||||||||||
Counterparty | Derivative Asset | Liability | Net Position | |||||||||
Bank of New York Mellon | $— | $(12,335) | $(12,335) | |||||||||
Fair Value of | Fair Value of | |||||||||||
Non-Cash | Cash Collateral | Non-Cash | Cash Collateral | |||||||||
Counterparty | Net Position | Collateral Received | Received | Collateral Pledged | Pledged | Net Exposure(a) | ||||||
Bank of New York Mellon | $(12,335) | $— | $— | $— | $— | $(12,335) | ||||||
Delaware Ivy VIP Natural Resources | ||||||||||||
Gross Value of | ||||||||||||
Gross Value of | Derivative | |||||||||||
Counterparty | Derivative Asset | Liability | Net Position | |||||||||
Bank of New York Mellon | $87 | $— | $87 | |||||||||
Fair Value of | Fair Value of | |||||||||||
Non-Cash | Cash Collateral | Non-Cash | Cash Collateral | |||||||||
Counterparty | Net Position | Collateral Received | Received | Collateral Pledged | Pledged | Net Exposure(a) | ||||||
Bank of New York Mellon | $87 | $— | $— | $— | $— | $87 |
(a) | Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default. |
101
Notes to financial statements
Ivy Variable Insurance Portfolios
9. Offsetting (continued)
Securities Lending
Securities lending transactions are entered into by the Funds under master securities lending agreements (each, an MSLA) which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, each Fund, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, the borrower can resell or re-pledge the loaned securities, and each Fund can reinvest cash collateral, or, upon an event of default, resell, or re-pledge the collateral (See also Note 10).
As of June 30, 2022, the following table is a summary of the Portfolios' securities lending agreements by counterparty which are subject to offset under an MSLA:
Delaware Ivy VIP Asset Strategy
Fair Value of | ||||||||||
Securities | Cash | Non-Cash | Net | |||||||
Loaned | Collateral | Collateral | Collateral | |||||||
Counterparty | at Value | Received | Received(a) | Received | Net Exposure(b) | |||||
Bank of New York Mellon | $27,846,568 | $390,885 | $27,455,683 | $27,846,568 | $ — | |||||
Delaware Ivy VIP Balanced | ||||||||||
Fair Value of | ||||||||||
Securities | Cash | Non-Cash | Net | |||||||
Loaned | Collateral | Collateral | Collateral | |||||||
Counterparty | at Value | Received | Received(a) | Received | Net Exposure(b) | |||||
Bank of New York Mellon | $5,913,572 | $821,872 | $5,091,700 | $5,913,572 | $ — | |||||
Delaware Ivy VIP Energy | ||||||||||
Fair Value of | ||||||||||
Securities | Cash | Non-Cash | Net | |||||||
Loaned | Collateral | Collateral | Collateral | |||||||
Counterparty | at Value | Received | Received(a) | Received | Net Exposure(b) | |||||
Bank of New York Mellon | $7,920,661 | $1,795,485 | $6,125,176 | $7,920,661 | $ — | |||||
Delaware Ivy VIP Growth | ||||||||||
Fair Value of | ||||||||||
Securities | Cash | Non-Cash | Net | |||||||
Loaned | Collateral | Collateral | Collateral | |||||||
Counterparty | at Value | Received | Received(a) | Received | Net Exposure(b) | |||||
Bank of New York Mellon | $38,943,281 | $ — | $38,943,281 | $38,943,281 | $ — | |||||
Delaware Ivy VIP High Income | ||||||||||
Fair Value of | ||||||||||
Securities | Cash | Non-Cash | Net | |||||||
Loaned | Collateral | Collateral | Collateral | |||||||
Counterparty | at Value | Received | Received(a) | Received | Net Exposure(b) | |||||
Bank of New York Mellon | $38,064,238 | $34,735,206 | $3,329,032 | $38,064,238 | $ — | |||||
Delaware Ivy VIP International Core Equity | ||||||||||
Fair Value of | ||||||||||
Securities | Cash | Non-Cash | Net | |||||||
Loaned | Collateral | Collateral | Collateral | |||||||
Counterparty | at Value | Received | Received(a) | Received | Net Exposure(b) | |||||
Bank of New York Mellon | $24,849,941 | $6,596,039 | $18,253,902 | $24,849,941 | $ — |
102
Delaware Ivy VIP Mid Cap Growth | ||||||||||
Fair Value of | ||||||||||
Securities | Cash | Non-Cash | Net | |||||||
Loaned | Collateral | Collateral | Collateral | |||||||
Counterparty | at Value | Received | Received(a) | Received | Net Exposure(b) | |||||
Bank of New York Mellon | $20,770,037 | $8,067,729 | $12,702,308 | $20,770,037 | $ — | |||||
Delaware Ivy VIP Natural Resources | ||||||||||
Fair Value of | ||||||||||
Securities | Cash | Non-Cash | Net | |||||||
Loaned | Collateral | Collateral | Collateral | |||||||
Counterparty | at Value | Received | Received(a) | Received | Net Exposure(b) | |||||
Bank of New York Mellon | $14,067,958 | $8,596,002 | $5,471,956 | $14,067,958 | $ — | |||||
Delaware Ivy VIP Science and Technology | ||||||||||
Fair Value of | ||||||||||
Securities | Cash | Non-Cash | Net | |||||||
Loaned | Collateral | Collateral | Collateral | |||||||
Counterparty | at Value | Received | Received(a) | Received | Net Exposure(b) | |||||
Bank of New York Mellon | $19,973,461 | $10,216,295 | $9,757,166 | $19,973,461 | $ — | |||||
Delaware Ivy VIP Small Cap Growth | ||||||||||
Fair Value of | ||||||||||
Securities | Cash | Non-Cash | Net | |||||||
Loaned | Collateral | Collateral | Collateral | |||||||
Counterparty | at Value | Received | Received(a) | Received | Net Exposure(b) | |||||
Bank of New York Mellon | $8,110,690 | $2,522,384 | $5,588,306 | $8,110,690 | $ — | |||||
Delaware Ivy VIP Smid Cap Core | ||||||||||
Fair Value of | ||||||||||
Securities | Cash | Non-Cash | Net | |||||||
Loaned | Collateral | Collateral | Collateral | |||||||
Counterparty | at Value | Received | Receive(a) | Received | Net Exposure(b) | |||||
Bank of New York Mellon | $9,218,321 | $43,427 | $9,174,897 | $9,218,321 | $ — |
(a) | The value of the related collateral exceeded the value of the derivatives and securities lending transactions as of June 30, 2022, as applicable. |
(b) | Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default. |
10. Securities Lending
Each Portfolio, along with other funds in Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
103
Notes to financial statements
Ivy Variable Insurance Portfolios
10. Securities Lending (continued)
Cash collateral received by each Portfolio of the Trust is generally invested in a series of individual separate accounts, each corresponding to a fund. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; certain money market funds; and asset-backed securities. Each Portfolio can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to each Portfolio or, at the discretion of the lending agent, replace the loaned securities. Each Portfolio continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. Each Portfolio has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, each Portfolio receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among each Portfolio, the security lending agent, and the borrower. Each Portfolio records security lending income net of allocations to the security lending agent and the borrower.
Each Portfolio may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in each collateral investment account defaulted or became impaired. Under those circumstances, the value of each Portfolio's cash collateral account may be less than the amount each Portfolio would be required to return to the borrowers of the securities and each Portfolio would be required to make up for this shortfall.
The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2022:
Overnight | ||||||||||||||||||
and | Under | Between | Over | |||||||||||||||
Securities Lending Transactions | continuous | 30 days | 30 & 90 days | 90 Days | Total | |||||||||||||
Delaware Ivy VIP Asset Strategy | ||||||||||||||||||
Money market mutual fund | $ | 390,885 | $ | — | $ | — | $ | — | $ | 390,885 | ||||||||
Delaware Ivy VIP Balanced | ||||||||||||||||||
Money market mutual fund | 821,872 | — | — | — | 821,872 | |||||||||||||
Delaware Ivy VIP Energy | ||||||||||||||||||
Money market mutual fund | 1,795,485 | — | — | — | 1,795,485 | |||||||||||||
Delaware Ivy VIP High Income | ||||||||||||||||||
Money market mutual fund | 34,735,206 | — | — | — | 34,735,206 | |||||||||||||
Delaware Ivy VIP International Core Equity | ||||||||||||||||||
Money market mutual fund | 6,596,039 | — | — | — | 6,596,039 | |||||||||||||
Delaware Ivy VIP Mid Cap Growth | ||||||||||||||||||
Money market mutual fund | 8,067,729 | — | — | — | 8,067,729 | |||||||||||||
Delaware Ivy VIP Natural Resources | ||||||||||||||||||
Money market mutual fund | 8,596,002 | — | — | — | 8,596,002 | |||||||||||||
Delaware Ivy VIP Science and Technology | ||||||||||||||||||
Money market mutual fund | 10,216,295 | — | — | — | 10,216,295 | |||||||||||||
Delaware Ivy VIP Small Cap Growth | ||||||||||||||||||
Money market mutual fund | 2,522,384 | — | — | — | 2,522,384 | |||||||||||||
Delaware Ivy VIP Smid Cap Core | ||||||||||||||||||
Money market mutual fund | 43,427 | — | — | — | 43,427 |
104
The following is a summary of each Portfolio’s securities lending positions and related cash and non-cash collateral received as of June 30, 2022:
Values of non- | |||||||||
Values of securities on loan | cash collateral | Values of invested collateral | |||||||
Delaware Ivy VIP Asset Strategy | $ | 27,846,568 | $ | 28,219,476 | $ | 390,885 | |||
Delaware Ivy VIP Balanced | 5,913,572 | 5,235,321 | 821,872 | ||||||
Delaware Ivy VIP Energy | 7,920,661 | 6,704,441 | 1,795,485 | ||||||
Delaware Ivy VIP Growth | 38,943,281 | 40,243,958 | — | ||||||
Delaware Ivy VIP High Income | 38,064,238 | 4,529,262 | 34,735,206 | ||||||
Delaware Ivy VIP International Core Equity | 24,849,941 | 23,855,558 | 6,596,039 | ||||||
Delaware Ivy VIP Mid Cap Growth | 20,770,037 | 13,542,698 | 8,067,729 | ||||||
Delaware Ivy VIP Natural Resources | 14,067,958 | 6,374,698 | 8,596,002 | ||||||
Delaware Ivy VIP Science and Technology | 19,973,461 | 11,219,597 | 10,216,295 | ||||||
Delaware Ivy VIP Small Cap Growth | 8,110,690 | 5,818,960 | 2,522,384 | ||||||
Delaware Ivy VIP Smid Cap Core | 9,218,321 | 9,640,439 | 43,427 |
Investments purchased with cash collateral are presented on the “Schedules of investments” under the caption “Securities Lending Collateral.”
11. Credit and Market Risk
Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of a novel coronavirus known as COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The effects of COVID-19 have and may continue to adversely affect the global economy, the economies of certain nations and individual issuers, all of which may negatively impact the Portfolios' performance.
When interest rates rise, fixed income securities (i.e. debt obligations) generally will decline in value. These declines in value are greater for fixed income securities with longer maturities or durations.
IBOR is the risk that changes related to the use of the London interbank offered rate (LIBOR) and other interbank offered rate (collectively, IBORs) could have adverse impacts on financial instruments that reference LIBOR (or the corresponding IBOR). The abandonment of LIBOR could affect the value and liquidity of instruments that reference LIBOR. The use of alternative reference rate products may impact investment strategy performance. These risks may also apply with respect to changes in connection with other IBORs, such as the euro overnight index average (EONIA), which are also the subject of recent reform.
Investments in equity securities in general are subject to market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Portfolio invests will cause the NAV of the Portfolio to fluctuate.
Some countries in which the Portfolios may invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid, and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Portfolios may be inhibited. In addition, a significant portion of the aggregate market value of securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Portfolios.
Certain Portfolios invest a portion of its assets in high yield fixed income securities, which are securities rated lower than BBB- by S&P and lower than Baa3 by Moody’s, or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher-rated securities. Additionally, lower-rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
Certain Portfolios invest in fixed income securities whose value is derived from an underlying pool of mortgages or consumer loans. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by
105
Notes to financial statements
Ivy Variable Insurance Portfolios
11. Credit and Market Risk (continued)
shifts in the market’s perception of the issuers and changes in interest rates. Investors receive principal and interest payments as the underlying mortgages and consumer loans are paid back. Some of these securities are CMOs. CMOs are debt securities issued by US government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse effect on a Portfolios' yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Portfolio may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
Certain Portfolios invest in bank loans and other securities that may subject them to direct indebtedness risk, the risk that the Portfolios will not receive payment of principal, interest, and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer the Portfolio more protection than unsecured loans in the event of non-payment of scheduled interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by the Portfolio may involve revolving credit facilities or other standby financing commitments that obligate the Portfolio to pay additional cash on a certain date or on demand. These commitments may require each Portfolio to increase its investment in a company at a time when the Portfolio might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that each Portfolio is committed to advance additional funds, it will at all times hold and maintain cash or other high grade debt obligations in an amount sufficient to meet such commitments. When a loan agreement is purchased, the Portfolio may pay an assignment fee. On an ongoing basis, the Portfolio may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by the borrower. Prepayment penalty, facility, commitment, consent, and amendment fees are recorded to income as earned or paid.
As the Portfolio may be required to rely upon another lending institution to collect and pass on to the Portfolio amounts payable with respect to the loan and to enforce the Portfolio's rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Portfolio from receiving such amounts. The highly leveraged nature of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to the Portfolio.
Certain Portfolios invest in certain obligations that may have liquidity protection designed to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies, or letters of credit obtained by the issuer or sponsor through third parties, through various means of structuring the transaction, or through a combination of such approaches. The Portfolios will not pay any additional fees for such credit support, although the existence of credit support may increase the price of a security.
Certain Portfolios may invest in REITs and are subject to the risks associated with that industry. If a Portfolio holds real estate directly or receives rental income directly from real estate holdings, its tax status as a regulated investment company may be jeopardized. There were no direct real estate holdings during the six months ended June 30, 2022. The Portfolios' REIT holdings are also affected by interest rate changes, particularly if the REITs they hold use floating rate debt to finance their ongoing operations. The Portfolios also invest in real estate acquired as a result of ownership of securities or other instruments, including issuers that invest, deal, or otherwise engage in transactions in real estate or interests therein. These instruments may include interests in private equity limited partnerships or limited liability companies that hold real estate investments (Real Estate Limited Partnerships). The Portfolios will limit their investments in Real Estate Limited Partnerships to 5% of their total assets at the time of purchase.
Each Portfolio may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended and other securities which may not be readily marketable. The relative illiquidity of these securities may impair each Portfolio from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Portfolios' limitation on investments in illiquid securities. Securities
106
eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Portfolios' 15% limit on investments in illiquid securities. Rule 144A securities have been identified on the “Schedules of investments.”
12. Contractual Obligations
Each Portfolio enters into contracts in the normal course of business that contain a variety of indemnifications. Each Portfolio's maximum exposure under these arrangements is unknown. However, each Portfolio has not had prior claims or losses pursuant to these contracts. Management has reviewed each Portfolio's existing contracts and expects the risk of loss to be remote.
13. Recent Accounting Pronouncements
In March 2020, FASB issued an Accounting Standards Update (ASU), ASU 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. As of the financial reporting period, Management is evaluating the impact of applying this ASU.
14. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2022, that would require recognition or disclosure in the Portfolios' financial statements.
107
Other Portfolio information
Ivy Variable Insurance Portfolios
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end portfolios (other than money market portfolios) to adopt and implement a program reasonably designed to assess and manage the portfolio’s “liquidity risk,” defined as the risk that the portfolio could not meet requests to redeem shares issued by the portfolio without significant dilution of remaining investors’ interests in the portfolio.
The Portfolios have adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated a member of the US Operational Risk Group of Macquarie Asset Management as the Program Administrator for each Portfolio in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of each Portfolio’s liquidity risk; (2) classification of each of the Portfolio’s holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for portfolios that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Portfolio’s net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting each Portfolio’s acquisition of Illiquid investments if, immediately after the acquisition, each Portfolio would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a non-public basis) and to the Board if each Portfolio’s holdings of Illiquid assets exceed 15% of the Portfolio’s net assets. Portfolios with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing each Portfolio’s liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) each Portfolio’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Portfolios during both normal and reasonably foreseeable stressed conditions; and (3) each Portfolio’s holdings of cash and cash equivalents and any borrowing arrangements. Classification of each Portfolio’s holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. Each Portfolio primarily holds assets that are classified as Highly Liquid, and therefore is not required to establish an HLIM.
At a meeting of the Board held on May 17-19, 2022, the Program Administrator provided the required written annual report to the Board addressing the Program's operation and assessing the adequacy and effectiveness of its implementation for the period from April 1, 2021 through March 31, 2022. The report concluded that the Program is appropriately designed and effectively implemented and that it meets the requirements of Rule 22e-4 and each Portfolio's liquidity needs. Each Portfolio's HLIM is set at an appropriate level and the Portfolios complied with their HLIM at all times during the reporting period.
Board consideration of sub-advisory agreement for Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP Balanced at a meeting held September 13, 2021
At a meeting held on September 13, 2021, the Board of Trustees (the “Board”) of Delaware Ivy VIP Asset Strategy and Delaware IVY VIP Balanced (each, a “Portfolio” and together, the “Portfolios”), including a majority of non-interested or independent Trustees (the “Independent Trustees”), approved a new Sub-Advisory Agreement between Delaware Management Company (“DMC” or “Management”) and Macquarie Investment Management Austria Kapitalanlage AG (“MIMAK”).
In reaching the decision to approve the Sub-Advisory Agreement, the Board considered and reviewed information about MIMAK, including its personnel, operations, and financial condition, which had been provided by MIMAK. The Board also reviewed material furnished by DMC in advance of the meeting, including: a memorandum from DMC reviewing the Sub-Advisory Agreement and the various services proposed to be rendered by MIMAK; information concerning MIMAK’s organizational structure and the experience of its key investment management personnel; copies of its Form ADV, financial statements, compliance policies and procedures, and Codes of Ethics; relevant performance information provided with respect to MIMAK; and a copy of the Sub-Advisory Agreement.
108
Board consideration of sub-advisory agreement for Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP Balanced at a meeting held September 13, 2021 (continued)
In considering such information and materials, the Independent Trustees received assistance and advice from and met separately with their independent counsel. While attention was given to all information furnished, the following discusses some primary factors relevant to the Board’s decision to approve the Sub-Advisory Agreement. This discussion of the information and factors considered by the Board is not intended to be exhaustive, but rather summarizes certain factors considered by the Board. In view of the wide variety of factors considered, the Board did not, unless otherwise noted, find it practicable to quantify or otherwise assign relative weights to the following factors. In addition, individual Trustees may have assigned different weights to various factors.
Nature, extent, and quality of services. In considering the nature, extent, and quality of the services to be provided by MIMAK, the Board reviewed the services to be provided by MIMAK pursuant to the Sub-Advisory Agreement as described at the Meeting. The Board reviewed materials provided by MIMAK regarding the experience and qualifications of the personnel who will be responsible for providing services to the Portfolio. The Board also considered relevant performance information provided with respect to MIMAK. In discussing the nature of the services proposed to be provided by MIMAK, it was observed that the Sub-Advisory Agreement will include the provision of discretionary investment management services. Based upon these considerations, the Board was satisfied with the nature and quality of the overall services to be provided by MIMAK to the Portfolios and their shareholders and was confident in the abilities of MIMAK to provide quality services to the Portfolios and their shareholders.
Investment performance. In regard to the appointment of MIMAK for each Portfolio, the Board reviewed information on prior performance for MIMAK. In evaluating performance, the Board considered its previous approval of MIMAK to provide fully discretionary services to other Delaware Funds.
Sub-advisory fee. The Board considered that DMC would pay MIMAK a discretionary investment sub-advisory fee based on the extent to which MIMAK provides services to each Portfolio as described in the Sub-Advisory Agreement. In considering the appropriateness of the sub-advisory fee, the Board also reviewed and considered the fee in light of the nature, extent, and quality of the sub-advisory services to be provided by MIMAK. The Board noted that the sub-advisory fee is paid by DMC to MIMAK and is not an additional fee borne by the Portfolios, and that the management fee paid by each Portfolio to DMC would stay the same at current asset levels. The Board concluded that, in light of the quality and extent of the services to be provided and the business relationships between DMC and MIMAK, the proposed fee arrangement was understandable and reasonable.
Profitability, economies of scale, and fall-out benefits. Trustees were also given available information on profits being realized by MIMAK in relation to the services being provided to the Portfolios and in relation to MIMAK’s overall investment advisory business, but believed such information to be of limited relevance because the sub-advisory fee is paid by DMC out of its management fee, and changes in the level of sub-advisory fee have no impact on Portfolio expenses. The Board was also provided with, and considered, information on potential fall-out benefits derived or to be derived by MIMAK in connection with its relationship to the Portfolios. The Board considered the potential benefit to DMC and MIMAK of marketing a global approach on the portfolio management of its investment strategies. The Trustees also noted that economies of scale are shared with each Portfolio and its shareholders through investment management fee breakpoints in DMC’s fee schedule for each Portfolio so that as the Portfolio grows in size, its effective investment management fee rates decline.
109
Each Portfolio files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. Each Portfolio’s Forms N-PORT, as well as a description of the policies and procedures that each Portfolio uses to determine how to vote proxies (if any) relating to portfolio securities, are available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that each Portfolio uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in each Portfolio’s most recent Form N-PORT are available without charge on each Portfolio’s website at delawarefunds.com/vip/literature. Each Portfolio's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C.; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how each Portfolio voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through each Portfolio's website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
(2320078)
SEMIANN-VIP1-822
Semiannual report
Ivy Variable Insurance Portfolios
Delaware Ivy VIP Core Equity
Delaware Ivy VIP Corporate Bond
Delaware Ivy VIP Global Equity Income*
Delaware Ivy VIP Global Growth
Delaware Ivy VIP Limited-Term Bond
Delaware Ivy VIP Securian Real Estate Securities**
Delaware Ivy VIP Value
June 30, 2022
* | Effective July 29, 2022, the name of Delaware Ivy VIP Global Equity Income changed to Delaware VIP Global Value Equity. |
** | Effective July 29, 2022, the name of Delaware Ivy VIP Securian Real Estate Securities changed to Delaware VIP Real Estate Securities. |
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM and includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Funds Management Hong Kong Limited, Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
Other than Macquarie Bank Limited ABN 46 008 583 542 ("Macquarie Bank"), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Portfolios are governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of June 30, 2022, and subject to change for events occurring after such date.
The Portfolios are not FDIC insured and are not guaranteed. It is possible to lose the principal amount invested.
The Portfolios are distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
All third-party marks cited are the property of their respective owners.
Carefully consider the investment objectives, risk factors, charges, and expenses before investing. This and other information can be found in the prospectus and summary prospectus, which may be obtained by visiting delawarefunds.com/products/vip-literature or calling 800 523-1918. Investors should read the prospectus and summary prospectus carefully before investing.
© 2022 Macquarie Management Holdings, Inc.
Disclosure of Portfolio expenses
For the six-month period from January 1, 2022 to June 30, 2022 (Unaudited)
The investment objective of Delaware Ivy VIP Core Equity seeks to provide capital growth and appreciation.
The investment objective of Delaware Ivy VIP Corporate Bond seeks to provide current income consistent with preservation of capital.
The investment objective of Delaware Ivy VIP Global Equity Income seeks to provide total return through a combination of current income and capital appreciation.
The investment objective of Delaware Ivy VIP Global Growth seeks to provide growth of capital.
The investment objective of Delaware Ivy VIP Limited-Term Bond seeks to provide current income consistent with preservation of capital.
The investment objective of Delaware Ivy VIP Securian Real Estate Securities seeks to provide total return through capital appreciation and current income.
The investment objective of Delaware Ivy VIP Value seeks to provide capital appreciation.
As a shareholder of the Portfolio, you incur ongoing costs, which may include management fees; distribution and service (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2022 to June 30, 2022.
Actual expenses
The first section of the tables shown, “Actual Portfolio return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), 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 account during this period.
Hypothetical example for comparison purposes
The second section of the tables shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on a Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only. As a shareholder of the Portfolio, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Portfolios' expenses shown in the tables reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
Delaware Ivy VIP Core Equity
Expense analysis of an investment of $1,000
Expenses | |||||||||||||||
Paid | |||||||||||||||
Beginning | Ending | During | |||||||||||||
Account | Account | Annualized | Period | ||||||||||||
Value | Value | Expense | 1/1/22 to | ||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | ||||||||||||
Actual Portfolio return† | |||||||||||||||
Class II | $ | 1,000.00 | $ | 797.10 | 0.95% | $ | 4.23 | ||||||||
Hypothetical 5% return (5% return before expenses) | |||||||||||||||
Class II | $ | 1,000.00 | $ | 1,020.08 | 0.95% | $ | 4.76 |
Delaware Ivy VIP Corporate Bond
Expense analysis of an investment of $1,000
Expenses | |||||||||||||||
Paid | |||||||||||||||
Beginning | Ending | During | |||||||||||||
Account | Account | Annualized | Period | ||||||||||||
Value | Value | Expense | 1/1/22 to | ||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | ||||||||||||
Actual Portfolio return† | |||||||||||||||
Class II | $ | 1,000.00 | $ | 856.70 | 0.78% | $ | 3.59 | ||||||||
Hypothetical 5% return (5% return before expenses) | |||||||||||||||
Class II | $ | 1,000.00 | $ | 1,020.93 | 0.78% | $ | 3.91 |
1
Disclosure of Portfolio expenses
Delaware Ivy VIP Global Equity Income
Expense analysis of an investment of $1,000
Expenses | |||||||||||||||
Paid | |||||||||||||||
Beginning | Ending | During | |||||||||||||
Account | Account | Annualized | Period | ||||||||||||
Value | Value | Expense | 1/1/22 to | ||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | ||||||||||||
Actual Portfolio return† | |||||||||||||||
Class II | $ | 1,000.00 | $ | 852.80 | 1.03% | $ | 4.73 | ||||||||
Hypothetical 5% return (5% return before expenses) | |||||||||||||||
Class II | $ | 1,000.00 | $ | 1,019.69 | 1.03% | $ | 5.16 |
Delaware Ivy VIP Global Growth
Expense analysis of an investment of $1,000
Expenses | |||||||||||||||
Paid | |||||||||||||||
Beginning | Ending | During | |||||||||||||
Account | Account | Annualized | Period | ||||||||||||
Value | Value | Expense | 1/1/22 to | ||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | ||||||||||||
Actual Portfolio return† | |||||||||||||||
Class II | $ | 1,000.00 | $ | 780.40 | 1.13% | $ | 4.99 | ||||||||
Hypothetical 5% return (5% return before expenses) | |||||||||||||||
Class II | $ | 1,000.00 | $ | 1,019.19 | 1.13% | $ | 5.66 |
Delaware Ivy VIP Limited-Term Bond
Expense analysis of an investment of $1,000
Expenses | |||||||||||||||
Paid | |||||||||||||||
Beginning | Ending | During | |||||||||||||
Account | Account | Annualized | Period | ||||||||||||
Value | Value | Expense | 1/1/22 to | ||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | ||||||||||||
Actual Portfolio return† | |||||||||||||||
Class II | $ | 1,000.00 | $ | 961.50 | 0.81% | $ | 3.94 | ||||||||
Hypothetical 5% return (5% return before expenses) | |||||||||||||||
Class II | $ | 1,000.00 | $ | 1,020.78 | 0.81% | $ | 4.06 |
Delaware Ivy VIP Securian Real Estate Securities
Expense analysis of an investment of $1,000
Expenses | |||||||||||||||
Paid | |||||||||||||||
Beginning | Ending | During | |||||||||||||
Account | Account | Annualized | Period | ||||||||||||
Value | Value | Expense | 1/1/22 to | ||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | ||||||||||||
Actual Portfolio return† | |||||||||||||||
Class II | $ | 1,000.00 | $ | 800.30 | 1.25% | $ | 5.58 | ||||||||
Hypothetical 5% return (5% return before expenses) | |||||||||||||||
Class II | $ | 1,000.00 | $ | 1,018.60 | 1.25% | $ | 6.26 |
Delaware Ivy VIP Value
Expense analysis of an investment of $1,000
Expenses | |||||||||||||||
Paid | |||||||||||||||
Beginning | Ending | During | |||||||||||||
Account | Account | Annualized | Period | ||||||||||||
Value | Value | Expense | 1/1/22 to | ||||||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | ||||||||||||
Actual Portfolio return† | |||||||||||||||
Class II | $ | 1,000.00 | $ | 894.20 | 1.01% | $ | 4.74 | ||||||||
Hypothetical 5% return (5% return before expenses) | |||||||||||||||
Class II | $ | 1,000.00 | $ | 1,019.79 | 1.01% | $ | 5.06 |
* | “Expenses Paid During Period” are equal to the relevant Portfolio's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
In addition to the Portfolios' expenses reflected above and on the previous pages, each Portfolio also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds), including exchange-traded funds in which it invests. The tables above and on the previous pages do not reflect the expenses of any applicable Underlying Funds.
2
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Core Equity
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | |||||
Security type / sector | of net assets | ||||
Common Stocks | 93.11 | % | |||
Communication Services | 5.71 | % | |||
Consumer Discretionary | 6.68 | % | |||
Consumer Staples | 4.90 | % | |||
Energy | 2.67 | % | |||
Financials | 18.01 | % | |||
Healthcare | 15.71 | % | |||
Industrials | 10.45 | % | |||
Information Technology | 22.20 | % | |||
Materials | 3.72 | % | |||
Utilities | 3.06 | % | |||
Short-Term Investments | 6.97 | % | |||
Total Value of Securities | 100.08 | % | |||
Liabilities Net of Receivables and Other Assets | (0.08 | %) | |||
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | |||||
Top 10 equity holdings | of net assets | ||||
Microsoft | 8.10 | % | |||
UnitedHealth Group | 6.15 | % | |||
Alphabet Class A | 4.11 | % | |||
Eli Lilly & Co. | 3.06 | % | |||
NextEra Energy | 3.06 | % | |||
Danaher | 3.03 | % | |||
Apple | 2.98 | % | |||
Sysco | 2.74 | % | |||
ConocoPhillips | 2.67 | % | |||
Progressive | 2.67 | % |
3
Security type / sector allocations
Delaware Ivy VIP Corporate Bond
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | |||||
Security type / sector | of net assets | ||||
Agency Collateralized Mortgage Obligations | 0.00 | % | |||
Convertible Bond | 0.10 | % | |||
Corporate Bonds | 92.70 | % | |||
Banking | 21.09 | % | |||
Basic Industry | 0.90 | % | |||
Brokerage | 1.51 | % | |||
Capital Goods | 5.60 | % | |||
Communications | 9.76 | % | |||
Consumer Cyclical | 7.14 | % | |||
Consumer Non-Cyclical | 10.39 | % | |||
Electric | 0.21 | % | |||
Energy | 3.51 | % | |||
Finance Companies | 1.06 | % | |||
Financials | 0.85 | % | |||
Industrials | 0.08 | % | |||
Insurance | 3.81 | % | |||
Natural Gas | 0.92 | % | |||
Real Estate Investment Trusts | 1.57 | % | |||
Technology | 14.55 | % | |||
Transportation | 2.43 | % | |||
Utilities | 7.32 | % | |||
Municipal Bonds | 0.99 | % | |||
Non-Agency Asset-Backed Securities | 1.15 | % | |||
Sovereign Bonds | 0.47 | % | |||
US Treasury Obligations | 1.18 | % | |||
Short-Term Investments | 2.57 | % | |||
Securities Lending Collateral | 1.10 | % | |||
Total Value of Securities | 100.26 | % | |||
Obligation to Return Securities Lending | |||||
Collateral | (1.10 | %) | |||
Receivables and Other Assets Net of Liabilities | 0.84 | % | |||
Total Net Assets | 100.00 | % |
4
Security type / country and sector allocations
Delaware Ivy VIP Global Equity Income
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | |||||
Security type / country | of net assets | ||||
Common Stocks by Country | 98.11 | % | |||
Denmark | 3.74 | % | |||
France | 11.89 | % | |||
Germany | 10.25 | % | |||
Ireland | 0.00 | % | |||
Japan | 5.80 | % | |||
Netherlands | 3.51 | % | |||
Norway | 0.01 | % | |||
South Africa | 0.01 | % | |||
Spain | 4.40 | % | |||
Sweden | 6.56 | % | |||
Switzerland | 2.42 | % | |||
United Kingdom | 9.00 | % | |||
United States | 40.52 | % | |||
Exchange-Traded Fund | 1.30 | % | |||
Short-Term Investments | 0.27 | % | |||
Securities Lending Collateral | 5.10 | % | |||
Total Value of Securities | 104.78 | % | |||
Obligation to Return Securities Lending | |||||
Collateral | (5.10 | %) | |||
Receivables and Other Assets Net of Liabilities | 0.32 | % | |||
Total Net Assets | 100.00 | % | |||
Percentage | |||||
Common stocks by sector◆ | of net assets | ||||
Communication Services | 2.57 | % | |||
Consumer Discretionary | 9.43 | % | |||
Consumer Staples* | 40.09 | % | |||
Energy | 0.01 | % | |||
Financials | 0.03 | % | |||
Healthcare | 24.37 | % | |||
Industrials | 8.19 | % | |||
Information Technology | 9.73 | % | |||
Materials | 3.66 | % | |||
Utilities | 0.03 | % | |||
Total | 98.11 | % |
◆ | Narrow industries are utilized for compliance purposes for diversification whereas broad sectors are used for financial reporting. |
* | To monitor compliance with the Portfolio's concentration guidelines as described in the Portfolio's Prospectus and Statement of Additional Information, the Consumer Staples sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Consumer Staples sector consisted of Beverages, Cosmetics, Food, Household Products, and Retail. As of June 30, 2022, such amounts, as a percentage of total net assets were 4.82%, 5.40%, 22.34%, 7.52%, and 0.01%, respectively. The percentage in any such single industry will comply with the Portfolio's concentration policy even if the percentage in the Consumer Staples sector for financial reporting purposes may exceed 25%. |
5
Security type / sector and country allocations
Delaware Ivy VIP Global Growth
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | |||||
Security type / country | of net assets | ||||
Common Stocks by Country | 98.50 | % | |||
Canada | 3.86 | % | |||
China | 3.37 | % | |||
China/Hong Kong | 1.42 | % | |||
Denmark | 1.53 | % | |||
France | 5.98 | % | |||
Germany | 5.78 | % | |||
Hong Kong | 1.29 | % | |||
India | 3.38 | % | |||
Israel | 1.48 | % | |||
Italy | 2.27 | % | |||
Japan | 3.64 | % | |||
Republic of Korea | 0.92 | % | |||
Taiwan | 2.33 | % | |||
United Kingdom | 3.14 | % | |||
United States | 58.11 | % | |||
Short-Term Investments | 1.48 | % | |||
Securities Lending Collateral | 0.07 | % | |||
Total Value of Securities | 100.05 | % | |||
Obligation to Return Securities Lending | |||||
Collateral | (0.07 | %) | |||
Receivables and Other Assets Net of Liabilities | 0.02 | % | |||
Total Net Assets | 100.00 | % |
Percentage | |||||
Common stocks by sector | of net assets | ||||
Communication Services | 7.44 | % | |||
Consumer Discretionary | 13.51 | % | |||
Consumer Staples | 6.43 | % | |||
Energy | 5.98 | % | |||
Financials | 13.12 | % | |||
Healthcare | 16.22 | % | |||
Industrials | 14.30 | % | |||
Information Technology | 20.35 | % | |||
Materials | 0.86 | % | |||
Utilities | 0.29 | % | |||
Total | 98.50 | % |
6
Security type / sector and country allocations
Delaware Ivy VIP Limited-Term Bond
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | |||||
Security type / sector | of net assets | ||||
Agency Collateralized Mortgage Obligations | 0.18 | % | |||
Agency Commercial Mortgage-Backed | |||||
Securities | 13.68 | % | |||
Agency Mortgage-Backed Security | 0.08 | % | |||
Collateralized Debt Obligations | 6.64 | % | |||
Corporate Bonds | 58.92 | % | |||
Banking | 14.82 | % | |||
Basic Industry | 1.19 | % | |||
Brokerage | 0.50 | % | |||
Capital Goods | 4.94 | % | |||
Communications | 5.99 | % | |||
Consumer Cyclical | 4.85 | % | |||
Consumer Non-Cyclical | 6.56 | % | |||
Electric | 2.84 | % | |||
Energy | 4.27 | % | |||
Finance Companies | 1.17 | % | |||
Insurance | 4.31 | % | |||
Natural Gas | 0.42 | % | |||
Real Estate Investment Trusts | 1.86 | % | |||
Technology | 5.10 | % | |||
Transportation | 0.10 | % | |||
Non-Agency Asset-Backed Securities | 3.25 | % | |||
Supranational Bank | 0.15 | % | |||
US Treasury Obligations | 15.78 | % | |||
Short-Term Investments | 2.33 | % | |||
Securities Lending Collateral | 1.62 | % | |||
Total Value of Securities | 102.63 | % | |||
Obligation to Return Securities Lending | |||||
Collateral | (1.62 | %) | |||
Receivables and Other Assets Net of Liabilities | (1.01 | %) | |||
Total Net Assets | 100.00 | % |
(continues) 7
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Securian Real Estate Securities
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | |||||
Security type / sector | of net assets | ||||
Common Stocks | 98.75 | % | |||
REIT Diversified | 2.30 | % | |||
REIT Healthcare | 8.30 | % | |||
REIT Hotel | 3.79 | % | |||
REIT Industrial | 14.05 | % | |||
REIT Information Technology | 11.68 | % | |||
REIT Mall | 3.35 | % | |||
REIT Manufactured Housing | 3.21 | % | |||
REIT Multifamily | 15.50 | % | |||
REIT Office | 5.85 | % | |||
REIT Self-Storage | 8.37 | % | |||
REIT Shopping Center | 6.32 | % | |||
REIT Single Family | 5.35 | % | |||
REIT Single Tenant | 10.68 | % | |||
Short-Term Investments | 1.15 | % | |||
Total Value of Securities | 99.90 | % | |||
Receivables and Other Assets Net of Liabilities | 0.10 | % | |||
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | |||||
Top 10 equity holdings | of net assets | ||||
Prologis | 8.83 | % | |||
Equinix | 6.57 | % | |||
Welltower | 4.52 | % | |||
Public Storage | 4.45 | % | |||
AvalonBay Communities | 3.93 | % | |||
Digital Realty Trust | 3.77 | % | |||
Alexandria Real Estate Equities | 3.44 | % | |||
Simon Property Group | 3.35 | % | |||
Equity Residential | 3.13 | % | |||
Duke Realty | 3.11 | % |
8
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Value
As of June 30, 2022 (Unaudited)
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different than another fund’s sector designations.
Percentage | |||||
Security type / sector | of net assets | ||||
Common Stocks | 97.65 | % | |||
Communication Services | 7.14 | % | |||
Consumer Discretionary | 5.45 | % | |||
Consumer Staples | 6.94 | % | |||
Energy | 6.63 | % | |||
Financials | 20.02 | % | |||
Healthcare | 18.46 | % | |||
Industrials | 10.81 | % | |||
Information Technology | 7.73 | % | |||
Materials | 3.80 | % | |||
Real Estate | 4.99 | % | |||
Utilities | 5.68 | % | |||
Short-Term Investments | 2.30 | % | |||
Total Value of Securities Before Options | |||||
Written | 99.95 | % | |||
Options Written | (0.07 | %) | |||
Receivables and Other Assets Net of Liabilities | 0.12 | % | |||
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | |||||
Top 10 equity holdings | of net assets | ||||
Walmart | 3.56 | % | |||
Elevance Health | 3.54 | % | |||
CVS Health | 3.44 | % | |||
Philip Morris International | 3.38 | % | |||
McKesson | 3.37 | % | |||
Exxon Mobil | 3.35 | % | |||
Marathon Petroleum | 3.28 | % | |||
Vertex Pharmaceuticals | 3.19 | % | |||
Raytheon Technologies | 3.10 | % | |||
Allstate | 3.06 | % |
(continues) 9
Schedules of investments
Delaware Ivy VIP Core Equity
June 30, 2022 (Unaudited)
Number of | |||||||
shares | Value (US $) | ||||||
Common Stocks – 93.11% | |||||||
Communication Services – 5.71% | |||||||
Alphabet Class A † | 11,483 | $ | 25,024,442 | ||||
Take-Two Interactive Software † | 79,611 | 9,754,736 | |||||
34,779,178 | |||||||
Consumer Discretionary – 6.68% | |||||||
Amazon.com † | 80,880 | 8,590,265 | |||||
Aptiv † | 110,390 | 9,832,437 | |||||
AutoZone † | 6,006 | 12,907,615 | |||||
Booking Holdings † | 5,329 | 9,320,367 | |||||
40,650,684 | |||||||
Consumer Staples – 4.90% | |||||||
Costco Wholesale | 27,469 | 13,165,343 | |||||
Sysco | 196,861 | 16,676,095 | |||||
29,841,438 | |||||||
Energy – 2.67% | |||||||
ConocoPhillips | 181,200 | 16,273,572 | |||||
16,273,572 | |||||||
Financials – 18.01% | |||||||
American Express | 50,739 | 7,033,440 | |||||
Aon Class A | 27,420 | 7,394,626 | |||||
Artisan Partners Asset | |||||||
Management Class A * | 220,927 | 7,858,373 | |||||
Bank of America | 234,859 | 7,311,161 | |||||
Blackstone | 94,305 | 8,603,445 | |||||
Charles Schwab | 189,178 | 11,952,266 | |||||
CME Group | 70,617 | 14,455,300 | |||||
Intercontinental Exchange | 121,527 | 11,428,399 | |||||
KKR & Co. | 213,602 | 9,887,637 | |||||
Morgan Stanley | 98,778 | 7,513,055 | |||||
Progressive | 139,702 | 16,243,151 | |||||
109,680,853 | |||||||
Healthcare – 15.71% | |||||||
Danaher | 72,740 | 18,441,045 | |||||
Eli Lilly & Co. | 57,544 | 18,657,491 | |||||
UnitedHealth Group | 72,858 | 37,422,055 | |||||
Vertex Pharmaceuticals † | 23,451 | 6,608,257 | |||||
Zoetis | 84,780 | 14,572,834 | |||||
95,701,682 | |||||||
Industrials – 10.45% | |||||||
Airbus ADR | 496,145 | 12,051,362 | |||||
Caterpillar | 44,298 | 7,918,710 | |||||
Deere & Co. | 31,163 | 9,332,384 | |||||
Equifax | 45,201 | 8,261,839 | |||||
Union Pacific | 57,825 | 12,332,916 | |||||
United Rentals † | 56,543 | 13,734,860 | |||||
63,632,071 | |||||||
Information Technology – 22.20% | |||||||
Apple | 132,786 | 18,154,502 | |||||
Applied Materials | 19,283 | 1,754,367 | |||||
Fiserv † | 99,647 | 8,865,594 | |||||
Intuit | 13,422 | 5,173,376 | |||||
Mastercard Class A | 40,776 | 12,864,012 | |||||
Microchip Technology | 174,920 | 10,159,354 | |||||
Microsoft | 192,056 | 49,325,742 | |||||
Salesforce † | 40,417 | 6,670,422 | |||||
TE Connectivity | 137,776 | 15,589,354 | |||||
VeriSign † | 39,620 | 6,629,615 | |||||
135,186,338 | |||||||
Materials – 3.72% | |||||||
Linde | 47,247 | 13,584,930 | |||||
Sherwin-Williams | 40,458 | 9,058,951 | |||||
22,643,881 | |||||||
Utilities – 3.06% | |||||||
NextEra Energy | 240,716 | 18,645,861 | |||||
18,645,861 | |||||||
Total Common Stocks | |||||||
(cost $506,609,768) | 567,035,558 | ||||||
Short-Term Investments – 6.97% | |||||||
Money Market Mutual Fund – 6.97% | |||||||
State Street Institutional US | |||||||
Government Money Market | |||||||
Fund – Premier Class (seven- | |||||||
day effective yield 1.43%) | 42,434,114 | 42,434,114 | |||||
Total Short-Term Investments | |||||||
(cost $42,434,114) | 42,434,114 | ||||||
Total Value of | |||||||
Securities–100.08% | |||||||
(cost $549,043,882) | $ | 609,469,672■ |
† | Non-income producing security. |
* | Fully or partially on loan. |
■ | Includes $1,333,733 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $1,341,909. |
Summary of abbreviations:
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
10
Delaware Ivy VIP Corporate Bond
June 30, 2022 (Unaudited)
Principal | |||||||
amount° | Value (US $) | ||||||
Agency Collateralized Mortgage Obligations – 0.00% | |||||||
GNMA | |||||||
Series 2005-23 IO 1.00% | |||||||
6/17/45 =, ● | 3,805 | $ | 0 | ||||
Total Agency Collateralized Mortgage | |||||||
Obligations | |||||||
(cost $11) | 0 | ||||||
Convertible Bond – 0.10% | |||||||
Spirit Airlines 1.00% exercise | |||||||
price $49.07, maturity date | |||||||
5/15/26 | 567,000 | 513,986 | |||||
Total Convertible Bond | |||||||
(cost $499,764) | 513,986 | ||||||
Corporate Bonds – 92.70% | |||||||
Banking – 21.09% | |||||||
Ally Financial 4.70% | |||||||
5/15/26 µ, ψ | 1,600,000 | 1,273,824 | |||||
Bank of America | |||||||
1.898% 7/23/31 µ | 1,325,000 | 1,060,148 | |||||
2.299% 7/21/32 µ | 3,225,000 | 2,609,348 | |||||
2.482% 9/21/36 µ | 4,010,000 | 3,114,549 | |||||
2.496% 2/13/31 µ | 4,000,000 | 3,383,969 | |||||
2.592% 4/29/31 µ | 3,675,000 | 3,120,082 | |||||
3.974% 2/7/30 µ | 2,500,000 | 2,364,447 | |||||
4.571% 4/27/33 *, µ | 2,040,000 | 1,987,751 | |||||
6.125% 4/27/27 µ, ψ | 2,275,000 | 2,199,641 | |||||
Bank of New York Mellon 4.70% | |||||||
9/20/25 µ, ψ | 1,750,000 | 1,714,125 | |||||
Citigroup | |||||||
2.572% 6/3/31 µ | 4,872,000 | 4,099,538 | |||||
3.50% 5/15/23 | 2,260,000 | 2,259,931 | |||||
3.52% 10/27/28 µ | 1,750,000 | 1,636,609 | |||||
4.412% 3/31/31 µ | 2,735,000 | 2,615,045 | |||||
Credit Agricole 144A 2.811% | |||||||
1/11/41 # | 3,150,000 | 2,179,407 | |||||
Fifth Third Bancorp 4.337% | |||||||
4/25/33 µ | 1,160,000 | 1,104,599 | |||||
Goldman Sachs Group | |||||||
1.542% 9/10/27 µ | 920,000 | 808,233 | |||||
2.383% 7/21/32 µ | 4,380,000 | 3,546,197 | |||||
3.50% 11/16/26 | 2,000,000 | 1,920,432 | |||||
3.80% 3/15/30 * | 2,550,000 | 2,367,021 | |||||
4.125% 11/10/26 µ, ψ | 940,000 | 769,625 | |||||
4.25% 10/21/25 | 3,250,000 | 3,230,166 | |||||
Huntington National Bank | |||||||
4.552% 5/17/28 µ | 875,000 | 869,763 | |||||
ING Groep 3.55% 4/9/24 | 1,325,000 | 1,313,939 | |||||
JPMorgan Chase & Co. | |||||||
1.47% 9/22/27 µ | 1,195,000 | 1,048,929 | |||||
1.764% 11/19/31 µ | 2,585,000 | 2,046,231 | |||||
2.522% 4/22/31 µ | 10,202,000 | 8,698,309 | |||||
3.22% 3/1/25 µ | 6,000,000 | 5,896,960 | |||||
3.875% 9/10/24 | 1,424,000 | 1,422,740 | |||||
4.00% 4/1/25 *, µ, ψ | 1,650,000 | 1,363,313 | |||||
4.586% 4/26/33 µ | 780,000 | 766,959 | |||||
5.00% 8/1/24 µ, ψ | 490,000 | 432,731 | |||||
KeyBank 4.39% 12/14/27 | 610,000 | 607,974 | |||||
KeyCorp 4.789% 6/1/33 µ | 1,120,000 | 1,106,129 | |||||
Morgan Stanley | |||||||
1.794% 2/13/32 µ | 3,525,000 | 2,776,216 | |||||
2.584% 10/24/23 | 1,500,000 | 1,500,138 | |||||
2.699% 1/22/31 µ | 1,500,000 | 1,300,560 | |||||
3.875% 1/27/26 | 3,850,000 | 3,797,821 | |||||
4.875% 11/1/22 | 2,931,000 | 2,952,161 | |||||
National Securities Clearing | |||||||
144A 1.50% 4/23/25 # | 3,745,000 | 3,527,790 | |||||
PNC Financial Services Group | |||||||
6.00% 5/15/27 *, µ, ψ | 875,000 | 842,091 | |||||
State Street | |||||||
2.203% 2/7/28 *, µ | 1,710,000 | 1,567,153 | |||||
4.421% 5/13/33 µ | 1,005,000 | 992,019 | |||||
SVB Financial Group | |||||||
4.00% 5/15/26 µ, ψ | 1,695,000 | 1,293,675 | |||||
4.57% 4/29/33 µ | 1,775,000 | 1,668,112 | |||||
Toronto-Dominion Bank 4.108% | |||||||
6/8/27 | 1,925,000 | 1,905,180 | |||||
Truist Financial 4.95% | |||||||
9/1/25 µ, ψ | 1,765,000 | 1,722,529 | |||||
US Bancorp | |||||||
2.215% 1/27/28 µ | 1,015,000 | 930,577 | |||||
2.491% 11/3/36 µ | 2,300,000 | 1,876,783 | |||||
2.677% 1/27/33 µ | 1,060,000 | 913,341 | |||||
Wells Fargo & Co. | |||||||
2.879% 10/30/30 µ | 4,080,000 | 3,591,253 | |||||
3.526% 3/24/28 µ | 775,000 | 734,731 | |||||
4.611% 4/25/53 µ | 1,530,000 | 1,418,431 | |||||
110,249,225 | |||||||
Basic Industry – 0.90% | |||||||
Graphic Packaging International | |||||||
144A 0.821% 4/15/24 # | 2,480,000 | 2,334,678 | |||||
Mosaic | |||||||
3.25% 11/15/22 | 1,333,000 | 1,334,553 | |||||
4.25% 11/15/23 | 400,000 | 402,961 | |||||
Newmont 2.60% 7/15/32 | 735,000 | 607,307 | |||||
4,679,499 | |||||||
Brokerage – 1.51% | |||||||
Blackstone Holdings Finance | |||||||
144A 1.60% 3/30/31 # | 950,000 | 745,685 |
11
Schedules of investments
Delaware Ivy VIP Corporate Bond
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Brokerage (continued) | |||||||
Blackstone Holdings Finance | |||||||
144A 2.00% 1/30/32 # | 3,760,000 | $ | 2,991,769 | ||||
Charles Schwab 1.65% 3/11/31 | 3,150,000 | 2,527,121 | |||||
Jefferies Group 2.625% | |||||||
10/15/31 | 2,130,000 | 1,646,145 | |||||
7,910,720 | |||||||
Capital Goods – 5.60% | |||||||
Ashtead Capital 144A 2.45% | |||||||
8/12/31 # | 605,000 | 470,888 | |||||
Boeing | |||||||
3.75% 2/1/50 | 3,375,000 | 2,387,945 | |||||
5.15% 5/1/30 | 1,000,000 | 960,722 | |||||
General Dynamics 2.85% 6/1/41 | 2,540,000 | 1,977,124 | |||||
Lennox International 1.35% | |||||||
8/1/25 | 2,750,000 | 2,522,216 | |||||
Lockheed Martin | |||||||
3.90% 6/15/32 * | 1,490,000 | 1,471,980 | |||||
4.15% 6/15/53 | 1,110,000 | 1,038,306 | |||||
Martin Marietta Materials 0.65% | |||||||
7/15/23 | 1,165,000 | 1,126,273 | |||||
Masco 1.50% 2/15/28 | 2,225,000 | 1,868,934 | |||||
Parker-Hannifin 4.25% 9/15/27 | 2,210,000 | 2,196,261 | |||||
Raytheon Technologies | |||||||
2.25% 7/1/30 | 4,750,000 | 4,099,246 | |||||
3.125% 7/1/50 | 1,075,000 | 824,709 | |||||
Republic Services 2.30% 3/1/30 | 3,457,000 | 2,969,676 | |||||
Vontier 2.40% 4/1/28 | 2,973,000 | 2,506,935 | |||||
Waste Connections 3.50% | |||||||
5/1/29 | 3,049,000 | 2,864,856 | |||||
29,286,071 | |||||||
Communications – 9.76% | |||||||
AMC Networks 4.25% 2/15/29 | 1,130,000 | 918,989 | |||||
AT&T | |||||||
3.50% 6/1/41 | 2,000,000 | 1,600,280 | |||||
3.50% 9/15/53 | 1,800,000 | 1,367,433 | |||||
3.55% 9/15/55 | 942,000 | 707,352 | |||||
3.65% 6/1/51 | 3,900,000 | 3,056,221 | |||||
4.50% 5/15/35 | 685,000 | 651,933 | |||||
Bell Canada 4.30% 7/29/49 | 1,643,000 | 1,474,885 | |||||
CCO Holdings 144A 4.75% | |||||||
2/1/32 #, * | 1,070,000 | 878,791 | |||||
Charter Communications | |||||||
Operating | |||||||
3.85% 4/1/61 | 3,910,000 | 2,578,948 | |||||
3.90% 6/1/52 | 1,115,000 | 776,192 | |||||
4.50% 2/1/24 | 2,306,000 | 2,321,504 | |||||
Comcast | |||||||
2.887% 11/1/51 | 1,446,000 | 1,034,882 | |||||
3.25% 11/1/39 | 3,875,000 | 3,190,984 | |||||
3.90% 3/1/38 | 500,000 | 452,993 | |||||
Crown Castle International | |||||||
1.05% 7/15/26 | 2,500,000 | 2,166,431 | |||||
3.15% 7/15/23 | 175,000 | 173,169 | |||||
3.20% 9/1/24 | 2,250,000 | 2,205,391 | |||||
4.00% 3/1/27 | 2,000,000 | 1,945,136 | |||||
Directv Financing 144A 5.875% | |||||||
8/15/27 # | 1,050,000 | 899,120 | |||||
Discovery Communications | |||||||
4.00% 9/15/55 | 1,710,000 | 1,201,172 | |||||
Magallanes | |||||||
144A 4.054% 3/15/29 #, * | 455,000 | 417,098 | |||||
144A 5.141% 3/15/52 # | 1,835,000 | 1,542,608 | |||||
Omnicom Group 3.65% 11/1/24 | 1,260,000 | 1,250,008 | |||||
Paramount Global 4.75% | |||||||
5/15/25 | 1,776,000 | 1,794,348 | |||||
Rogers Communications 144A | |||||||
4.55% 3/15/52 # | 570,000 | 501,894 | |||||
T-Mobile USA | |||||||
3.30% 2/15/51 | 425,000 | 310,400 | |||||
3.50% 4/15/25 | 5,555,000 | 5,440,090 | |||||
4.375% 4/15/40 | 575,000 | 514,316 | |||||
TWDC Enterprises 18 4.125% | |||||||
6/1/44 | 1,724,000 | 1,563,078 | |||||
Verizon Communications | |||||||
2.65% 11/20/40 | 1,250,000 | 919,052 | |||||
2.875% 11/20/50 | 1,540,000 | 1,095,080 | |||||
2.987% 10/30/56 | 1,492,000 | 1,039,217 | |||||
4.50% 8/10/33 | 3,575,000 | 3,490,370 | |||||
VZ Secured Financing 144A | |||||||
5.00% 1/15/32 # | 705,000 | 586,616 | |||||
Walt Disney 3.60% 1/13/51 * | 1,175,000 | 983,304 | |||||
51,049,285 | |||||||
Consumer Cyclical – 7.14% | |||||||
7-Eleven 144A 1.80% 2/10/31 # | 3,300,000 | 2,579,296 | |||||
ADT Security 144A 4.875% | |||||||
7/15/32 # | 969,000 | 773,272 | |||||
Amazon.com | |||||||
2.50% 6/3/50 | 3,765,000 | 2,661,524 | |||||
3.875% 8/22/37 | 5,677,000 | 5,392,271 | |||||
3.95% 4/13/52 | 845,000 | 782,129 | |||||
Aptiv 3.10% 12/1/51 | 2,058,000 | 1,331,315 | |||||
DR Horton | |||||||
1.30% 10/15/26 | 460,000 | 397,748 | |||||
2.60% 10/15/25 | 3,080,000 | 2,905,720 | |||||
General Motors Financial | |||||||
1.25% 1/8/26 | 2,125,000 | 1,874,611 | |||||
2.40% 10/15/28 | 1,420,000 | 1,180,548 | |||||
Home Depot | |||||||
3.30% 4/15/40 | 4,500,000 | 3,828,193 | |||||
4.20% 4/1/43 | 1,670,000 | 1,564,070 |
12
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Consumer Cyclical (continued) | |||||||
Lennar 4.75% 11/15/22 | 2,065,000 | $ | 2,068,568 | ||||
Levi Strauss & Co. 144A 3.50% | |||||||
3/1/31 # | 225,000 | 184,380 | |||||
Nissan Motor 144A 3.522% | |||||||
9/17/25 # | 850,000 | 805,503 | |||||
Nordstrom 2.30% 4/8/24 | 450,000 | 430,555 | |||||
NVR 3.00% 5/15/30 | 4,022,000 | 3,469,003 | |||||
Toll Brothers Finance | |||||||
3.80% 11/1/29 * | 575,000 | 488,321 | |||||
4.375% 4/15/23 | 470,000 | 469,311 | |||||
VICI Properties 4.95% 2/15/30 | 1,445,000 | 1,372,071 | |||||
Volkswagen Group of America | |||||||
Finance 144A 4.35% 6/8/27 # | 1,740,000 | 1,707,161 | |||||
Walmart 2.65% 9/22/51 | 1,410,000 | 1,063,380 | |||||
37,328,950 | |||||||
Consumer Non-Cyclical – 10.39% | |||||||
Amgen 2.80% 8/15/41 | 1,750,000 | 1,299,992 | |||||
Bayer US Finance II 144A 2.85% | |||||||
4/15/25 # | 3,065,000 | 2,938,626 | |||||
Boston Scientific 1.90% 6/1/25 | 2,000,000 | 1,891,051 | |||||
Cargill 144A 2.125% 4/23/30 # | 2,688,000 | 2,305,128 | |||||
Clorox 3.90% 5/15/28 | 4,676,000 | 4,609,133 | |||||
Coca-Cola 2.25% 1/5/32 * | 1,215,000 | 1,059,627 | |||||
Coca-Cola Europacific Partners | |||||||
144A 0.80% 5/3/24 # | 2,270,000 | 2,147,052 | |||||
CSL Finance 144A 4.75% | |||||||
4/27/52 # | 945,000 | 905,378 | |||||
CVS Health 2.70% 8/21/40 | 1,417,000 | 1,025,357 | |||||
Darling Ingredients 144A 5.25% | |||||||
4/15/27 # | 1,847,500 | 1,790,108 | |||||
Dentsply Sirona 3.25% 6/1/30 | 2,706,000 | 2,286,675 | |||||
Estee Lauder 1.95% 3/15/31 | 2,800,000 | 2,361,065 | |||||
JBS USA 144A 3.00% 2/2/29 # | 1,560,000 | 1,320,397 | |||||
Keurig Dr Pepper 3.95% 4/15/29 | 1,955,000 | 1,866,891 | |||||
Kraft Heinz Foods 3.00% 6/1/26 | 211,000 | 199,150 | |||||
McCormick & Co. | |||||||
0.90% 2/15/26 | 3,572,000 | 3,170,370 | |||||
3.50% 9/1/23 | 771,000 | 767,526 | |||||
Merck & Co. | |||||||
2.35% 6/24/40 | 3,075,000 | 2,312,650 | |||||
2.45% 6/24/50 | 2,000,000 | 1,407,981 | |||||
Nestle Holdings | |||||||
144A 3.90% 9/24/38 # | 2,480,000 | 2,299,224 | |||||
144A 4.00% 9/24/48 # | 4,020,000 | 3,717,290 | |||||
Novartis Capital 2.20% 8/14/30 | 2,500,000 | 2,205,600 | |||||
PepsiCo | |||||||
2.75% 10/21/51 | 1,420,000 | 1,090,777 | |||||
3.625% 3/19/50 | 2,325,000 | 2,102,188 | |||||
Royalty Pharma | |||||||
1.20% 9/2/25 | 3,840,000 | 3,427,439 | |||||
3.30% 9/2/40 | 325,000 | 240,569 | |||||
3.35% 9/2/51 | 958,000 | 651,119 | |||||
3.55% 9/2/50 | 236,000 | 165,255 | |||||
Universal Health Services 144A | |||||||
1.65% 9/1/26 # | 2,535,000 | 2,200,399 | |||||
Zoetis 3.90% 8/20/28 | 556,000 | 538,851 | |||||
54,302,868 | |||||||
Electric – 0.21% | |||||||
Fells Point Funding Trust 144A | |||||||
3.046% 1/31/27 # | 1,205,000 | 1,112,202 | |||||
1,112,202 | |||||||
Energy – 3.51% | |||||||
BP Capital Markets America | |||||||
2.939% 6/4/51 | 3,295,000 | 2,363,151 | |||||
Colorado Interstate Gas 144A | |||||||
4.15% 8/15/26 # | 1,000,000 | 994,210 | |||||
ConocoPhillips 3.80% 3/15/52 | 1,895,000 | 1,625,839 | |||||
Continental Resources 144A | |||||||
2.875% 4/1/32 # | 380,000 | 297,506 | |||||
Diamondback Energy 4.25% | |||||||
3/15/52 | 1,830,000 | 1,521,939 | |||||
Energy Transfer | |||||||
6.00% 6/15/48 | 1,000,000 | 941,459 | |||||
6.25% 4/15/49 | 280,000 | 272,008 | |||||
Kinder Morgan 5.55% 6/1/45 | 1,000,000 | 943,931 | |||||
NuStar Logistics 5.625% | |||||||
4/28/27 | 220,000 | 197,259 | |||||
Plains All American Pipeline | |||||||
3.60% 11/1/24 | 1,031,000 | 1,009,310 | |||||
Sabal Trail Transmission 144A | |||||||
4.246% 5/1/28 # | 2,500,000 | 2,445,168 | |||||
Targa Resources Partners 5.00% | |||||||
1/15/28 | 836,000 | 797,134 | |||||
Transcontinental Gas Pipe Line | |||||||
3.25% 5/15/30 | 1,225,000 | 1,101,387 | |||||
4.60% 3/15/48 | 1,000,000 | 908,789 | |||||
Williams Cos. 4.85% 3/1/48 * | 3,250,000 | 2,947,232 | |||||
18,366,322 | |||||||
Finance Companies – 1.06% | |||||||
AerCap Ireland Capital DAC | |||||||
1.75% 1/30/26 | 2,182,000 | 1,909,702 | |||||
3.00% 10/29/28 | 2,870,000 | 2,420,166 | |||||
Aviation Capital Group 144A | |||||||
3.50% 11/1/27 # | 255,000 | 225,264 | |||||
Avolon Holdings Funding 144A | |||||||
3.25% 2/15/27 # | 540,000 | 470,592 | |||||
Owl Rock Capital 4.00% 3/30/25 | 575,000 | 541,520 | |||||
5,567,244 |
13
Schedules of investments
Delaware Ivy VIP Corporate Bond
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Financials – 0.85% | |||||||
Air Lease 2.875% 1/15/32 * | 1,850,000 | $ | 1,445,886 | ||||
KKR Group Finance VIII 144A | |||||||
3.50% 8/25/50 # | 4,000,000 | 3,006,796 | |||||
4,452,682 | |||||||
Industrials – 0.08% | |||||||
University of Southern California | |||||||
3.028% 10/1/39 | 500,000 | 429,698 | |||||
429,698 | |||||||
Insurance – 3.81% | |||||||
Aon | |||||||
2.80% 5/15/30 | 4,900,000 | 4,288,082 | |||||
2.90% 8/23/51 | 2,030,000 | 1,413,104 | |||||
Athene Global Funding 144A | |||||||
1.985% 8/19/28 # | 2,395,000 | 1,990,791 | |||||
Berkshire Hathaway Finance | |||||||
3.85% 3/15/52 | 2,135,000 | 1,831,661 | |||||
Brighthouse Financial 3.85% | |||||||
12/22/51 | 647,000 | 441,242 | |||||
First American Financial 2.40% | |||||||
8/15/31 | 2,100,000 | 1,621,717 | |||||
Northwestern Mutual Life | |||||||
Insurance 144A 3.85% | |||||||
9/30/47 # | 3,000,000 | 2,497,064 | |||||
Principal Life Global Funding II | |||||||
144A 3.00% 4/18/26 # | 1,000,000 | 955,421 | |||||
UnitedHealth Group | |||||||
2.75% 5/15/40 | 250,000 | 195,123 | |||||
3.05% 5/15/41 | 3,685,000 | 2,976,486 | |||||
3.70% 8/15/49 | 1,000,000 | 855,029 | |||||
4.00% 5/15/29 | 880,000 | 872,325 | |||||
19,938,045 | |||||||
Natural Gas – 0.92% | |||||||
Sempra Energy 4.875% | |||||||
10/15/25 µ, ψ | 1,715,000 | 1,582,055 | |||||
Southern California Gas | |||||||
2.95% 4/15/27 | 983,000 | 931,259 | |||||
4.30% 1/15/49 | 2,505,000 | 2,274,312 | |||||
4,787,626 | |||||||
Real Estate Investment Trusts – 1.57% | |||||||
American Homes 4 Rent 3.625% | |||||||
4/15/32 | 890,000 | 781,242 | |||||
American Tower Trust #1 144A | |||||||
3.07% 3/15/48 # | 1,500,000 | 1,493,543 | |||||
Extra Space Storage | |||||||
2.35% 3/15/32 | 2,892,000 | 2,295,813 | |||||
2.55% 6/1/31 | 3,485,000 | 2,870,978 | |||||
Global Net Lease 144A 3.75% | |||||||
12/15/27 # | 910,000 | 761,265 | |||||
8,202,841 | |||||||
Technology – 14.55% | |||||||
Adobe 2.30% 2/1/30 | 3,417,000 | 3,020,509 | |||||
Alphabet 2.05% 8/15/50 | 2,756,000 | 1,853,721 | |||||
Apple | |||||||
2.65% 5/11/50 | 675,000 | 499,387 | |||||
2.65% 2/8/51 | 1,075,000 | 794,768 | |||||
2.70% 8/5/51 | 1,125,000 | 841,558 | |||||
Autodesk | |||||||
2.40% 12/15/31 | 460,000 | 375,942 | |||||
2.85% 1/15/30 | 5,231,000 | 4,576,884 | |||||
Broadcom | |||||||
144A 3.419% 4/15/33 # | 2,500,000 | 2,070,049 | |||||
144A 3.469% 4/15/34 # | 1,483,000 | 1,208,936 | |||||
CDW | |||||||
2.67% 12/1/26 | 815,000 | 727,640 | |||||
3.276% 12/1/28 | 3,590,000 | 3,103,483 | |||||
CoStar Group 144A 2.80% | |||||||
7/15/30 # | 2,431,000 | 2,026,346 | |||||
Entegris Escrow | |||||||
144A 4.75% 4/15/29 # | 1,690,000 | 1,576,860 | |||||
144A 5.95% 6/15/30 # | 955,000 | 910,631 | |||||
Equinix 2.625% 11/18/24 | 4,895,000 | 4,699,623 | |||||
Fidelity National Information | |||||||
Services 1.65% 3/1/28 * | 2,225,000 | 1,900,167 | |||||
Fiserv 3.85% 6/1/25 | 4,646,000 | 4,603,645 | |||||
Global Payments | |||||||
2.65% 2/15/25 | 4,000,000 | 3,821,050 | |||||
2.90% 11/15/31 | 1,280,000 | 1,049,679 | |||||
KLA 4.95% 7/15/52 | 2,010,000 | 2,024,575 | |||||
Maxim Integrated Products | |||||||
3.45% 6/15/27 | 1,700,000 | 1,623,988 | |||||
Microchip Technology | |||||||
0.972% 2/15/24 | 1,250,000 | 1,187,857 | |||||
0.983% 9/1/24 | 2,685,000 | 2,505,968 | |||||
Microsoft 2.921% 3/17/52 | 2,975,000 | 2,351,497 | |||||
NXP | |||||||
3.875% 6/18/26 | 2,800,000 | 2,700,810 | |||||
4.40% 6/1/27 | 950,000 | 936,134 | |||||
4.875% 3/1/24 | 608,000 | 614,291 | |||||
PayPal Holdings | |||||||
2.30% 6/1/30 | 2,110,000 | 1,813,325 | |||||
3.25% 6/1/50 | 1,100,000 | 832,535 | |||||
3.90% 6/1/27 * | 445,000 | 443,798 | |||||
4.40% 6/1/32 * | 1,360,000 | 1,347,935 | |||||
Texas Instruments | |||||||
3.875% 3/15/39 | 2,994,000 | 2,825,717 | |||||
4.15% 5/15/48 | 400,000 | 384,645 | |||||
Thomson Reuters 3.35% | |||||||
5/15/26 | 2,760,000 | 2,681,168 | |||||
TSMC Global | |||||||
144A 1.375% 9/28/30 # | 2,215,000 | 1,773,456 |
14
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Technology (continued) | |||||||
TSMC Global | |||||||
144A 2.25% 4/23/31 # | 3,900,000 | $ | 3,298,200 | ||||
Visa | |||||||
2.70% 4/15/40 | 4,897,000 | 3,946,299 | |||||
4.30% 12/14/45 | 415,000 | 410,605 | |||||
VMware 4.50% 5/15/25 | 1,650,000 | 1,656,161 | |||||
Workday | |||||||
3.50% 4/1/27 | 275,000 | 263,206 | |||||
3.70% 4/1/29 | 425,000 | 397,953 | |||||
3.80% 4/1/32 | 445,000 | 407,073 | |||||
76,088,074 | |||||||
Transportation – 2.43% | |||||||
Air Canada 2015-2 Class AA | |||||||
Pass Through Trust 144A | |||||||
3.75% 6/15/29 #, ◆ | 710,672 | 670,287 | |||||
American Airlines 2016-2 Class | |||||||
AA Pass Through Trust 3.20% | |||||||
12/15/29 ◆ | 1,402,380 | 1,281,809 | |||||
Burlington Northern Santa Fe | |||||||
2.875% 6/15/52 | 1,450,000 | 1,085,988 | |||||
4.45% 1/15/53 | 2,545,000 | 2,466,347 | |||||
4.55% 9/1/44 | 1,000,000 | 963,634 | |||||
Delta Air Lines 2020-1 Class AA | |||||||
Pass Through Trust 2.00% | |||||||
12/10/29 ◆ | 1,342,628 | 1,172,804 | |||||
Penske Truck Leasing 144A | |||||||
4.40% 7/1/27 # | 1,185,000 | 1,162,737 | |||||
Union Pacific | |||||||
3.375% 2/14/42 | 265,000 | 221,109 | |||||
3.55% 8/15/39 | 1,875,000 | 1,624,971 | |||||
United Airlines 2016-1 Class AA | |||||||
Pass Through Trust 3.10% | |||||||
1/7/30 ◆ | 2,249,531 | 2,054,112 | |||||
12,703,798 | |||||||
Utilities – 7.32% | |||||||
Alabama Power 3.125% 7/15/51 | 2,315,000 | 1,737,688 | |||||
American Water Capital | |||||||
4.15% 6/1/49 | 2,600,000 | 2,311,613 | |||||
4.45% 6/1/32 | 835,000 | 831,139 | |||||
Baltimore Gas and Electric | |||||||
4.25% 9/15/48 | 1,500,000 | 1,390,876 | |||||
Black Hills | |||||||
1.037% 8/23/24 | 1,650,000 | 1,543,939 | |||||
4.35% 5/1/33 | 2,000,000 | 1,869,095 | |||||
CenterPoint Energy 4.25% | |||||||
11/1/28 | 505,000 | 493,251 | |||||
Commonwealth Edison 3.65% | |||||||
6/15/46 | 3,000,000 | 2,549,574 | |||||
Duke Energy Carolinas | |||||||
3.55% 3/15/52 | 295,000 | 245,844 | |||||
3.95% 11/15/28 | 853,000 | 841,628 | |||||
Enel Finance International 144A | |||||||
4.25% 6/15/25 #, * | 1,595,000 | 1,579,595 | |||||
Entergy 3.75% 6/15/50 | 3,550,000 | 2,793,463 | |||||
Georgia Power 3.70% 1/30/50 | 970,000 | 772,312 | |||||
MidAmerican Energy 3.95% | |||||||
8/1/47 | 2,000,000 | 1,786,171 | |||||
National Rural Utilities | |||||||
Cooperative Finance 4.40% | |||||||
11/1/48 | 2,000,000 | 1,867,944 | |||||
NextEra Energy Capital Holdings | |||||||
5.00% 7/15/32 | 1,750,000 | 1,794,494 | |||||
Oglethorpe Power 144A 4.50% | |||||||
4/1/47 # | 1,450,000 | 1,253,964 | |||||
Pacific Gas and Electric 3.00% | |||||||
6/15/28 | 1,771,000 | 1,527,900 | |||||
Public Service Co. of Colorado | |||||||
4.10% 6/1/32 | 1,790,000 | 1,786,965 | |||||
Southern California Edison | |||||||
3.45% 2/1/52 | 800,000 | 596,940 | |||||
4.125% 3/1/48 | 1,275,000 | 1,051,468 | |||||
4.70% 6/1/27 | 1,255,000 | 1,258,560 | |||||
Union Electric 3.90% 4/1/52 * | 55,000 | 48,519 | |||||
Virginia Electric and Power | |||||||
4.60% 12/1/48 | 1,736,000 | 1,673,828 | |||||
Vistra Operations 144A 5.125% | |||||||
5/13/25 # | 2,110,000 | 2,093,099 | |||||
Wisconsin Electric Power | |||||||
4.25% 6/1/44 | 250,000 | 220,101 | |||||
4.30% 10/15/48 | 1,250,000 | 1,159,738 | |||||
Xcel Energy 4.60% 6/1/32 | 1,190,000 | 1,181,341 | |||||
38,261,049 | |||||||
Total Corporate Bonds | |||||||
(cost $557,980,649) | 484,716,199 | ||||||
Municipal Bonds – 0.99% | |||||||
Commonwealth of Puerto Rico | |||||||
Series C 2.637% 11/1/43 ● | 254,246 | 126,805 | |||||
(Restructured) | |||||||
Series A-1 2.986% 7/1/24 ^ | 26,192 | 23,985 | |||||
Series A-1 4.00% 7/1/33 | 50,919 | 46,775 | |||||
Series A-1 4.00% 7/1/35 | 45,769 | 41,110 | |||||
Series A-1 4.00% 7/1/37 | 39,282 | 34,867 | |||||
Series A-1 4.00% 7/1/41 | 53,409 | 46,375 | |||||
Series A-1 4.00% 7/1/46 | 55,544 | 46,803 | |||||
Series A-1 4.362% 7/1/33 ^ | 65,528 | 36,903 | |||||
Series A-1 5.25% 7/1/23 | 28,435 | 28,958 | |||||
Series A-1 5.625% 7/1/27 | 56,196 | 59,857 | |||||
Series A-1 5.625% 7/1/29 | 55,284 | 59,465 | |||||
Series A-1 5.75% 7/1/31 | 53,697 | 58,765 |
15
Schedules of investments
Delaware Ivy VIP Corporate Bond
Principal | |||||||
amount° | Value (US $) | ||||||
Municipal Bonds (continued) | |||||||
GDB Debt Recovery Authority of | |||||||
Puerto Rico (Taxable) | |||||||
7.50% 8/20/40 | 1,812,958 | $ | 1,609,000 | ||||
New York City Industrial | |||||||
Development Agency | |||||||
(Yankee Stadium Project) | |||||||
144A 11.00% 3/1/29 # | 2,410,000 | 2,951,599 | |||||
Total Municipal Bonds | |||||||
(cost $4,808,185) | 5,171,267 | ||||||
Non-Agency Asset-Backed Securities – 1.15% | |||||||
Enterprise Fleet Financing | |||||||
Series 2022-2 A2 144A 4.65% | |||||||
5/21/29 # | 1,605,000 | 1,616,978 | |||||
Ford Credit Floorplan Master | |||||||
Owner Trust | |||||||
Series 2019-2 A 3.06% | |||||||
4/15/26 | 1,425,000 | 1,404,091 | |||||
Toyota Auto Loan Extended Note | |||||||
Trust | |||||||
Series 2022-1A A 144A 3.82% | |||||||
4/25/35 # | 1,605,000 | 1,583,955 | |||||
Volkswagen Auto Lease Trust | |||||||
Series 2022-A A3 3.44% | |||||||
7/21/25 | 1,400,000 | 1,396,498 | |||||
Total Non-Agency Asset-Backed Securities | |||||||
(cost $6,026,734) | 6,001,522 | ||||||
Sovereign BondsΔ – 0.47% | |||||||
Colombia – 0.13% | |||||||
Colombia Government | |||||||
International Bond | |||||||
3.25% 4/22/32 | 925,000 | 670,704 | |||||
670,704 | |||||||
Mexico – 0.15% | |||||||
Mexico Government International | |||||||
Bond | |||||||
3.75% 4/19/71 * | 1,250,000 | 798,400 | |||||
798,400 | |||||||
United States – 0.19% | |||||||
Tennessee Valley Authority | |||||||
2.875% 2/1/27 * | 1,000,000 | 986,931 | |||||
986,931 | |||||||
Total Sovereign Bonds | |||||||
(cost $3,148,087) | 2,456,035 | ||||||
US Treasury Obligations – 1.18% | |||||||
US Treasury Notes | |||||||
2.75% 5/31/29 | 1,565,000 | 1,534,434 | |||||
2.875% 5/15/32 * | 4,680,000 | 4,628,081 | |||||
Total US Treasury Obligations | |||||||
(cost $6,038,483) | 6,162,515 | ||||||
Number of | |||||||
shares | |||||||
Short-Term Investments – 2.57% | |||||||
Money Market Mutual Fund – 2.57% | |||||||
State Street Institutional US | |||||||
Government Money Market | |||||||
Fund – Premier Class (seven- | |||||||
day effective yield 1.43%) | 13,459,272 | 13,459,272 | |||||
Total Short-Term Investments | |||||||
(cost $13,459,272) | 13,459,272 | ||||||
Total Value of Securities Before | |||||||
Securities Lending Collateral–99.16% | |||||||
(cost $591,961,185) | 518,480,796 | ||||||
Securities Lending Collateral** – 1.10% | |||||||
Money Market Mutual Fund – 1.10% | |||||||
Dreyfus Institutional Preference | |||||||
Government Money Market | |||||||
Fund - Institutional Shares | |||||||
(seven-day effective yield | |||||||
1.47%) | 5,723,390 | 5,723,390 | |||||
Total Securities Lending Collateral | |||||||
(cost $5,723,390) | 5,723,390 | ||||||
Total Value of | |||||||
Securities–100.26% | |||||||
(cost $597,684,575) | $ | 524,204,186■ |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
● | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
16
µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2022. Rate will reset at a future date. |
ψ | Perpetual security. Maturity date represents next call date. |
* | Fully or partially on loan. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2022, the aggregate value of Rule 144A securities was $84,776,072, which represents 16.21% of the Portfolio's net assets. See Note 10 in “Notes to financial statements." |
◆ | Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
Δ | Securities have been classified by country of risk. |
** | See Note 9 in “Notes to financial statements” for additional information on securities lending collateral. |
■ | Includes $24,844,843 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $19,773,296. |
Summary of abbreviations:
DAC – Designated Activity Company
EUR006M – EURIBOR EUR 6 Month
GNMA – Government National Mortgage Association
ICE – Intercontinental Exchange, Inc.
LIBOR – London Interbank Offered Rate
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
17
Schedules of investments
Delaware Ivy VIP Global Equity Income
June 30, 2022 (Unaudited)
Number of | |||||||
shares | Value (US $) | ||||||
Common Stocks – 98.11%Δ | |||||||
Denmark – 3.74% | |||||||
Novo Nordisk Class B | 79,110 | $ | 8,774,210 | ||||
8,774,210 | |||||||
France – 11.89% | |||||||
Air Liquide | 63,580 | 8,536,464 | |||||
Danone | 122,150 | 6,817,658 | |||||
Euroapi † | 13 | 205 | |||||
Orange | 508,860 | 5,983,175 | |||||
Publicis Groupe | 390 | 19,070 | |||||
Sanofi | 300 | 30,288 | |||||
Sodexo | 92,920 | 6,530,002 | |||||
27,916,862 | |||||||
Germany – 10.25% | |||||||
adidas AG | 35,320 | 6,246,414 | |||||
Deutsche Telekom | 1,590 | 31,569 | |||||
Fresenius Medical Care AG & | |||||||
Co. | 142,480 | 7,111,726 | |||||
Knorr-Bremse | 51,210 | 2,920,478 | |||||
RWE | 720 | 26,469 | |||||
SAP | 84,710 | 7,716,936 | |||||
Siemens | 100 | 10,174 | |||||
24,063,766 | |||||||
Ireland – 0.00% | |||||||
CRH | 300 | 10,375 | |||||
10,375 | |||||||
Japan – 5.80% | |||||||
Asahi Group Holdings | 100,200 | 3,282,643 | |||||
ITOCHU | 700 | 18,919 | |||||
Kao * | 142,900 | 5,763,184 | |||||
Kirin Holdings * | 1,700 | 26,782 | |||||
Lawson | 600 | 19,988 | |||||
Makita | 90,300 | 2,250,845 | |||||
ORIX | 900 | 15,097 | |||||
Seven & i Holdings | 57,400 | 2,228,227 | |||||
Tokio Marine Holdings | 300 | 17,474 | |||||
13,623,159 | |||||||
Netherlands – 3.51% | |||||||
Koninklijke Ahold Delhaize | 316,540 | 8,246,512 | |||||
8,246,512 | |||||||
Norway – 0.01% | |||||||
Aker BP =, † | 694 | 24,111 | |||||
24,111 | |||||||
South Africa – 0.01% | |||||||
Anglo American | 740 | 26,457 | |||||
Thungela Resources | 1 | 14 | |||||
26,471 | |||||||
Spain – 4.40% | |||||||
Amadeus IT Group † | 185,440 | 10,330,681 | |||||
10,330,681 | |||||||
Sweden – 6.56% | |||||||
Essity Class B | 263,460 | 6,878,972 | |||||
H & M Hennes & Mauritz | |||||||
Class B * | 309,130 | 3,691,519 | |||||
Orron Energy * | 730 | 499 | |||||
Securitas Class B * | 560,950 | 4,832,075 | |||||
15,403,065 | |||||||
Switzerland – 2.42% | |||||||
Swatch Group | 23,830 | 5,653,899 | |||||
Zurich Insurance Group | 50 | 21,746 | |||||
5,675,645 | |||||||
United Kingdom – 9.00% | |||||||
3i Group | 1,550 | 20,915 | |||||
AstraZeneca | 260 | 34,182 | |||||
Diageo | 186,220 | 8,003,135 | |||||
Intertek Group | 86,360 | 4,421,601 | |||||
Smith & Nephew | 619,400 | 8,652,100 | |||||
Unilever | 300 | 13,589 | |||||
21,145,522 | |||||||
United States – 40.52% | |||||||
Cisco Systems | 490 | 20,894 | |||||
Clorox | 61,630 | 8,688,597 | |||||
Conagra Brands | 184,270 | 6,309,405 | |||||
Constellation Energy | 179 | 10,250 | |||||
CVS Health | 290 | 26,871 | |||||
Eastman Chemical | 240 | 21,545 | |||||
Exelon | 540 | 24,473 | |||||
Henry Schein † | 109,200 | 8,380,008 | |||||
Ingredion | 77,970 | 6,873,835 | |||||
Kimberly-Clark | 66,400 | 8,973,960 | |||||
Lamb Weston Holdings | 159,450 | 11,394,297 | |||||
Merck & Co. | 113,000 | 10,302,210 | |||||
Nestle | 90,690 | 10,586,596 | |||||
Otis Worldwide | 32,880 | 2,323,630 | |||||
Parker-Hannifin | 9,720 | 2,391,606 | |||||
Pfizer | 150,590 | 7,895,434 | |||||
Procter & Gamble | 180 | 25,882 | |||||
Public Service Enterprise Group | 440 | 27,843 | |||||
Raytheon Technologies | 350 | 33,638 | |||||
Roche Holding | 18,120 | 6,046,327 | |||||
Schneider Electric | 150 | 17,747 | |||||
VF | 390 | 17,226 |
18
Number of | ||||||
shares | Value (US $) | |||||
Common StocksΔ (continued) | ||||||
United States (continued) | ||||||
Visa Class A * | 24,170 | $ | 4,758,831 | |||
95,151,105 | ||||||
Total Common Stocks | ||||||
(cost $262,327,024) | 230,391,484 | |||||
Exchange-Traded Fund – 1.30% | ||||||
Vanguard S&P 500 ETF | 8,790 | 3,049,075 | ||||
Total Exchange-Traded Fund | ||||||
(cost $3,538,781) | 3,049,075 | |||||
Short-Term Investments – 0.27% | ||||||
Money Market Mutual Fund – 0.27% | ||||||
State Street Institutional US | ||||||
Government Money Market | ||||||
Fund – Premier Class (seven- | ||||||
day effective yield 1.43%) | 641,648 | 641,648 | ||||
Total Short-Term Investments | ||||||
(cost $641,648) | 641,648 | |||||
Total Value of Securities Before | ||||||
Securities Lending Collateral–99.68% | ||||||
(cost $266,507,453) | 234,082,207 | |||||
Securities Lending Collateral** – 5.10% | ||||||
Money Market Mutual Fund – 5.10% | ||||||
Dreyfus Institutional Preference | ||||||
Government Money Market | ||||||
Fund - Institutional Shares | ||||||
(seven-day effective yield | ||||||
1.47%) | 11,966,652 | 11,966,652 | ||||
Total Securities Lending Collateral | ||||||
(cost $11,966,652) | 11,966,652 | |||||
Total Value of | ||||||
Securities–104.78% | ||||||
(cost $278,474,105) | $ | 246,048,859■ |
Δ | Securities have been classified by country of risk. Aggregate classification by business sector has been presented on page 5 in “Security type / country and sector allocations.” |
† | Non-income producing security. |
* | Fully or partially on loan. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
** | See Note 9 in “Notes to financial statements” for additional information on securities lending collateral. |
■ | Includes $18,468,460 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $7,444,585. |
Summary of abbreviations:
AG - Aktiengesellschaft
ETF - Exchange-Traded Fund
S&P - Standard & Poor’s Financial Services LLC
See accompanying notes, which are an integral part of the financial statements.
19
Schedules of investments
Delaware Ivy VIP Global Growth
June 30, 2022 (Unaudited)
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks – 98.50%Δ | ||||||
Canada – 3.86% | ||||||
Barrick Gold | 57,266 | $ | 1,013,036 | |||
Canadian Natural Resources | 65,336 | 3,507,236 | ||||
4,520,272 | ||||||
China – 3.37% | ||||||
Huazhu Group ADR | 35,823 | 1,364,857 | ||||
JD.com ADR * | 26,509 | 1,702,408 | ||||
Tencent Holdings | 19,400 | 876,199 | ||||
3,943,464 | ||||||
China/Hong Kong – 1.42% | ||||||
China Mengniu Dairy | 334,000 | 1,666,425 | ||||
1,666,425 | ||||||
Denmark – 1.53% | ||||||
Genmab † | 5,514 | 1,784,511 | ||||
1,784,511 | ||||||
France – 5.98% | ||||||
Airbus | 26,049 | 2,523,705 | ||||
BNP Paribas * | 31,606 | 1,502,557 | ||||
LVMH Moet Hennessy Louis | ||||||
Vuitton | 1,474 | 898,539 | ||||
TotalEnergies | 11,101 | 585,969 | ||||
Vinci | 16,672 | 1,484,372 | ||||
6,995,142 | ||||||
Germany – 5.78% | ||||||
adidas AG | 4,061 | 718,196 | ||||
Bayer | 35,980 | 2,138,641 | ||||
Deutsche Telekom | 135,947 | 2,699,155 | ||||
HelloFresh † | 26,930 | 870,627 | ||||
RWE | 9,272 | 340,858 | ||||
6,767,477 | ||||||
Hong Kong – 1.29% | ||||||
Prudential | 122,021 | 1,509,127 | ||||
1,509,127 | ||||||
India – 3.38% | ||||||
ICICI Bank | 113,392 | 1,015,427 | ||||
Larsen & Toubro | 94,606 | 1,866,723 | ||||
State Bank of India | 181,477 | 1,070,628 | ||||
3,952,778 | ||||||
Israel – 1.48% | ||||||
Check Point Software | ||||||
Technologies † | 14,184 | 1,727,328 | ||||
1,727,328 | ||||||
Italy – 2.27% | ||||||
Ferrari | 6,585 | 1,209,011 | ||||
UniCredit | 152,159 | 1,445,460 | ||||
2,654,471 | ||||||
Japan – 3.64% | ||||||
ORIX | 165,100 | $ | 2,769,514 | |||
Subaru | 83,900 | 1,491,191 | ||||
4,260,705 | ||||||
Republic of Korea – 0.92% | ||||||
Samsung Electronics | 24,623 | 1,080,954 | ||||
1,080,954 | ||||||
Taiwan – 2.33% | ||||||
Taiwan Semiconductor | ||||||
Manufacturing | 170,000 | 2,721,509 | ||||
2,721,509 | ||||||
United Kingdom – 3.14% | ||||||
AstraZeneca | 13,887 | 1,825,702 | ||||
Reckitt Benckiser Group | 24,616 | 1,848,844 | ||||
3,674,546 | ||||||
United States – 58.11% | ||||||
Abbott Laboratories | 13,731 | 1,491,873 | ||||
AGNC Investment | 150,203 | 1,662,747 | ||||
Alphabet Class A † | 1,122 | 2,445,130 | ||||
Amazon.com † | 19,600 | 2,081,716 | ||||
Ambarella † | 19,771 | 1,294,210 | ||||
Apple | 13,938 | 1,905,603 | ||||
Aptiv † | 17,764 | 1,582,239 | ||||
Autodesk † | 6,648 | 1,143,190 | ||||
Burlington Stores † | 5,091 | 693,547 | ||||
Casey's General Stores | 5,448 | 1,007,771 | ||||
ConocoPhillips | 32,265 | 2,897,720 | ||||
Darden Restaurants | 20,234 | 2,288,870 | ||||
Eli Lilly & Co. | 4,379 | 1,419,803 | ||||
Ferguson | 18,233 | 2,039,279 | ||||
First Republic Bank | 12,713 | 1,833,215 | ||||
Frontier Communications Parent | ||||||
† | 65,973 | 1,553,004 | ||||
Ingersoll Rand | 52,590 | 2,212,987 | ||||
Intercontinental Exchange | 12,140 | 1,141,646 | ||||
Intuit | 6,252 | 2,409,771 | ||||
Mastercard Class A | 7,696 | 2,427,934 | ||||
Microsoft | 21,555 | 5,535,971 | ||||
Monolithic Power Systems | 1,905 | 731,596 | ||||
Morgan Stanley | 18,376 | 1,397,678 | ||||
NVIDIA | 6,853 | 1,038,846 | ||||
Procter & Gamble | 14,877 | 2,139,164 | ||||
Raytheon Technologies | 22,467 | 2,159,303 | ||||
Regeneron Pharmaceuticals † | 4,695 | 2,775,355 | ||||
Schneider Electric | 12,734 | 1,506,605 | ||||
Skechers USA Class A † | 50,484 | 1,796,221 | ||||
Thermo Fisher Scientific | 2,370 | 1,287,574 | ||||
T-Mobile US † | 8,394 | 1,129,329 | ||||
Union Pacific | 13,728 | 2,927,908 |
20
Number of | ||||||
shares | Value (US $) | |||||
Common StocksΔ (continued) | ||||||
United States (continued) | ||||||
UnitedHealth Group | 5,261 | $ | 2,702,207 | |||
VeriSign † | 10,642 | 1,780,726 | ||||
Vertex Pharmaceuticals † | 7,220 | 2,034,524 | ||||
Zimmer Biomet Holdings | 14,444 | 1,517,487 | ||||
67,992,749 | ||||||
Total Common Stocks | ||||||
(cost $110,769,844) | 115,251,458 | |||||
Short-Term Investments – 1.48% | ||||||
Money Market Mutual Fund – 1.48% | ||||||
State Street Institutional US | ||||||
Government Money Market | ||||||
Fund – Premier Class (seven- | ||||||
day effective yield 1.43%) | 1,728,338 | 1,728,338 | ||||
Total Short-Term Investments | ||||||
(cost $1,728,338) | 1,728,338 | |||||
Total Value of Securities Before | ||||||
Securities Lending Collateral–99.98% | ||||||
(cost $112,498,182) | 116,979,796 | |||||
Securities Lending Collateral** – 0.07% | ||||||
Money Market Mutual Fund – 0.07% | ||||||
Dreyfus Institutional Preference | ||||||
Government Money Market | ||||||
Fund - Institutional Shares | ||||||
(seven-day effective yield | ||||||
1.47%) | 78,373 | 78,373 | ||||
Total Securities Lending Collateral | ||||||
(cost $78,373) | 78,373 | |||||
Total Value of Securities–100.05% | ||||||
(cost $112,576,555) | $ | 117,058,169■ |
See accompanying notes, which are an integral part of the financial statements.
Δ | Securities have been classified by country of risk. Aggregate classification by business sector has been presented on page 6 in “Security type / country and sector allocations.” |
* | Fully or partially on loan. |
† | Non-income producing security. |
** | See Note 9 in “Notes to financial statements” for additional information on securities lending collateral. |
■ | Includes $1,774,336 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $1,755,026. |
Summary of abbreviations:
ADR - American Depositary Receipt
AG - Aktiengesellschaft
21
Schedules of investments
Delaware Ivy VIP Limited-Term Bond
June 30, 2022 (Unaudited)
Principal | |||||||
amount° | Value (US $) | ||||||
Agency Collateralized Mortgage Obligations — 0.18% | |||||||
Freddie Mac REMIC | |||||||
Series 4505 PE 2.50% | |||||||
5/15/44 | 281,626 | $ | 273,282 | ||||
GNMA | |||||||
Series 2012-39 PA 2.00% | |||||||
3/16/42 | 355,496 | 339,616 | |||||
Total Agency Collateralized Mortgage | |||||||
Obligations | |||||||
(cost $639,875) | 612,898 | ||||||
Agency Commercial Mortgage-Backed Securities — 13.68% | |||||||
FREMF Mortgage Trust | |||||||
Series 2013-K30 C 144A | |||||||
3.669% 6/25/45 #, ● | 1,000,000 | 988,784 | |||||
Series 2013-K31 C 144A | |||||||
3.746% 7/25/46 #, ● | 2,000,000 | 1,980,527 | |||||
Series 2013-K33 B 144A | |||||||
3.611% 8/25/46 #, ● | 1,009,000 | 1,001,987 | |||||
Series 2013-K33 C 144A | |||||||
3.611% 8/25/46 #, ● | 1,250,000 | 1,237,603 | |||||
Series 2013-K35 B 144A | |||||||
4.067% 12/25/46 #, ● | 1,270,000 | 1,269,222 | |||||
Series 2015-K47 B 144A | |||||||
3.709% 6/25/48 #, ● | 1,170,000 | 1,145,906 | |||||
Series 2015-K720 B 144A | |||||||
3.602% 7/25/22 #, ● | 380,496 | 379,906 | |||||
Series 2015-K721 B 144A | |||||||
3.884% 11/25/47 #, ● | 2,724,000 | 2,721,842 | |||||
Series 2015-K721 C 144A | |||||||
3.884% 11/25/47 #, ● | 5,000,000 | 4,993,404 | |||||
Series 2015-KF12 B 144A | |||||||
8.22% (LIBOR01M + 7.10%, | |||||||
Floor 7.10%) 9/25/22 #, ● | 661,003 | 659,851 | |||||
Series 2016-K723 B 144A | |||||||
3.689% 11/25/23 #, ● | 3,500,000 | 3,471,321 | |||||
Series 2016-K723 C 144A | |||||||
3.689% 11/25/23 #, ● | 7,370,000 | 7,265,411 | |||||
Series 2017-K724 C 144A | |||||||
3.641% 12/25/49 #, ● | 600,000 | 587,790 | |||||
Series 2017-K728 B 144A | |||||||
3.765% 11/25/50 #, ● | 5,650,000 | 5,574,683 | |||||
Series 2017-K729 B 144A | |||||||
3.797% 11/25/49 #, ● | 1,900,000 | 1,864,347 | |||||
Series 2017-KF33 B 144A | |||||||
3.67% (LIBOR01M + 2.55%, | |||||||
Floor 2.55%) 6/25/27 #, ● | 414,873 | 415,037 | |||||
Series 2017-KF39 B 144A | |||||||
3.62% (LIBOR01M + 2.50%, | |||||||
Floor 2.50%) 11/25/24 #, ● | 297,733 | 296,043 | |||||
Series 2017-KF40 B 144A | |||||||
3.82% (LIBOR01M + 2.70%, | |||||||
Floor 2.70%) 11/25/27 #, ● | 484,433 | 479,540 | |||||
FREMF Mortgage Trust | |||||||
Series 2017-KSW2 B 144A | |||||||
3.77% (LIBOR01M + 2.65%, | |||||||
Floor 2.65%) 5/25/27 #, ● | 707,191 | $ | 705,657 | ||||
Series 2018-K732 B 144A | |||||||
4.196% 5/25/25 #, ● | 225,000 | 221,655 | |||||
Series 2018-KF46 B 144A | |||||||
3.07% (LIBOR01M + 1.95%, | |||||||
Floor 1.95%) 3/25/28 #, ● | 490,022 | 476,333 | |||||
Series 2018-KF47 B 144A | |||||||
3.12% (LIBOR01M + 2.00%, | |||||||
Floor 2.00%) 5/25/25 #, ● | 423,985 | 417,798 | |||||
Series 2018-KF48 B 144A | |||||||
3.17% (LIBOR01M + 2.05%, | |||||||
Floor 2.05%) 6/25/28 #, ● | 266,108 | 254,265 | |||||
Series 2018-KF51 B 144A | |||||||
2.97% (LIBOR01M + 1.85%, | |||||||
Floor 1.85%) 8/25/25 #, ● | 840,716 | 825,747 | |||||
Series 2019-KF60 B 144A | |||||||
3.47% (LIBOR01M + 2.35%, | |||||||
Floor 2.35%) 2/25/26 #, ● | 1,200,689 | 1,194,001 | |||||
Series 2019-KF61 B 144A | |||||||
3.32% (LIBOR01M + 2.20%, | |||||||
Floor 2.20%) 4/25/29 #, ● | 489,530 | 485,482 | |||||
Series 2019-KF68 B 144A | |||||||
3.32% (LIBOR01M + 2.20%, | |||||||
Floor 2.20%) 7/25/26 #, ● | 708,188 | 692,717 | |||||
Series 2019-KF69 B 144A | |||||||
3.42% (LIBOR01M + 2.30%, | |||||||
Floor 2.30%) 8/25/29 #, ● | 818,819 | 814,082 | |||||
Series 2019-KF70 B 144A | |||||||
3.42% (LIBOR01M + 2.30%, | |||||||
Floor 2.30%) 9/25/29 #, ● | 455,933 | 451,977 | |||||
Series 2019-KF73 B 144A | |||||||
3.57% (LIBOR01M + 2.45%, | |||||||
Floor 2.45%) 11/25/29 #, ● | 1,128,382 | 1,118,466 | |||||
Series 2020-KF74 B 144A | |||||||
3.27% (LIBOR01M + 2.15%, | |||||||
Floor 2.15%) 1/25/27 #, ● | 747,193 | 739,758 | |||||
Series 2020-KF75 B 144A | |||||||
3.37% (LIBOR01M + 2.25%, | |||||||
Floor 2.25%) 12/25/29 #, ● | 703,926 | 661,953 | |||||
Total Agency Commercial Mortgage-Backed | |||||||
Securities | |||||||
(cost $46,117,745) | 45,393,095 | ||||||
Agency Mortgage-Backed Security — 0.08% | |||||||
Freddie Mac S.F. 20 yr | |||||||
4.50% 8/1/30 | 245,390 | 248,636 | |||||
Total Agency Mortgage-Backed Security | |||||||
(cost $258,616) | 248,636 |
22
Principal | |||||||
amount° | Value (US $) | ||||||
Collateralized Debt Obligations — 6.64% | |||||||
Benefit Street Partners CLO XX | |||||||
Series 2020-20A AR 144A | |||||||
2.214% (LIBOR03M + 1.17%, | |||||||
Floor 1.17%) 7/15/34 #, ● | 2,000,000 | $ | 1,926,464 | ||||
Bethpage Park CLO | |||||||
Series 2021-1A A 144A | |||||||
2.174% (LIBOR03M + 1.13%, | |||||||
Floor 1.13%) 1/15/35 #, ● | 600,000 | 583,094 | |||||
BlueMountain CLO XXX | |||||||
Series 2020-30A AR 144A | |||||||
2.221% (TSFR03M + 1.37%, | |||||||
Floor 1.37%) 4/15/35 #, ● | 1,000,000 | 965,163 | |||||
Canyon CLO | |||||||
Series 2020-1A AR 144A | |||||||
2.224% (LIBOR03M + 1.18%, | |||||||
Floor 1.18%) 7/15/34 #, ● | 2,200,000 | 2,127,206 | |||||
CIFC Funding | |||||||
Series 2022-2A A1 144A | |||||||
2.057% (TSFR03M + 1.32%, | |||||||
Floor 1.32%) 4/19/35 #, ● | 2,000,000 | 1,936,254 | |||||
Dryden 77 CLO | |||||||
Series 2020-77A AR 144A | |||||||
2.598% (LIBOR03M + 1.12%, | |||||||
Floor 1.12%) 5/20/34 #, ● | 1,100,000 | 1,063,170 | |||||
Dryden 83 CLO | |||||||
Series 2020-83A A 144A | |||||||
2.264% (LIBOR03M + 1.22%, | |||||||
Floor 1.22%) 1/18/32 #, ● | 1,935,000 | 1,900,971 | |||||
Galaxy XXI CLO | |||||||
Series 2015-21A AR 144A | |||||||
2.083% (LIBOR03M + 1.02%) | |||||||
4/20/31 #, ● | 2,000,000 | 1,951,698 | |||||
KKR CLO 41 | |||||||
Series 2022-41A A1 144A | |||||||
2.022% (TSFR03M + 1.33%, | |||||||
Floor 1.33%) 4/15/35 #, ● | 2,000,000 | 1,916,192 | |||||
Octagon Investment Partners 48 | |||||||
Series 2020-3A AR 144A | |||||||
2.213% (LIBOR03M + 1.15%, | |||||||
Floor 1.15%) 10/20/34 #, ● | 2,000,000 | 1,917,520 | |||||
Regatta XIX Funding | |||||||
Series 2022-1A A1 144A | |||||||
2.399% (TSFR03M + 1.32%, | |||||||
Floor 1.32%) 4/20/35 #, ● | 2,000,000 | 1,939,918 | |||||
Sound Point CLO XXV | |||||||
Series 2019-4A A1R 144A | |||||||
2.229% (TSFR03M + 1.28%, | |||||||
Floor 1.28%) 4/25/33 #, ● | 2,000,000 | 1,944,144 | |||||
Venture 42 CLO | |||||||
Series 2021-42A A1A 144A | |||||||
2.174% (LIBOR03M + 1.13%, | |||||||
Floor 1.13%) 4/15/34 #, ● | 415,000 | 396,170 | |||||
Voya CLO | |||||||
Series 2020-3A AR 144A | |||||||
2.213% (LIBOR03M + 1.15%, | |||||||
Floor 1.15%) 10/20/34 #, ● | 1,500,000 | $ | 1,452,890 | ||||
Total Collateralized Debt Obligations | |||||||
(cost $22,646,775) | 22,020,854 | ||||||
Corporate Bonds — 58.92% | |||||||
Banking — 14.82% | |||||||
Ally Financial | |||||||
1.45% 10/2/23 | 3,060,000 | 2,959,839 | |||||
5.80% 5/1/25 * | 2,150,000 | 2,197,997 | |||||
Bank of America | |||||||
0.523% 6/14/24 µ | 825,000 | 795,562 | |||||
1.843% 2/4/25 µ | 675,000 | 651,192 | |||||
4.00% 1/22/25 | 1,000,000 | 996,754 | |||||
4.125% 1/22/24 | 1,000,000 | 1,011,521 | |||||
4.20% 8/26/24 | 1,325,000 | 1,328,928 | |||||
Citigroup | |||||||
2.014% 1/25/26 µ | 1,275,000 | 1,195,909 | |||||
3.07% 2/24/28 µ | 215,000 | 199,598 | |||||
3.50% 5/15/23 | 1,510,000 | 1,509,954 | |||||
5.50% 9/13/25 | 1,000,000 | 1,028,977 | |||||
Citizens Bank 4.119% 5/23/25 µ | 1,460,000 | 1,455,741 | |||||
Discover Bank 2.45% 9/12/24 | 1,850,000 | 1,780,680 | |||||
First Horizon 3.55% 5/26/23 | 2,000,000 | 1,992,999 | |||||
Goldman Sachs Group | |||||||
2.241% (SOFR + 0.79%) | |||||||
12/9/26 ● | 1,300,000 | 1,247,761 | |||||
3.85% 7/8/24 | 1,500,000 | 1,504,568 | |||||
4.25% 10/21/25 | 2,500,000 | 2,484,743 | |||||
Huntington National Bank | |||||||
4.008% 5/16/25 µ | 840,000 | 839,551 | |||||
JPMorgan Chase & Co. | |||||||
0.653% 9/16/24 µ | 1,000,000 | 958,831 | |||||
3.875% 9/10/24 | 847,000 | 846,251 | |||||
4.08% 4/26/26 µ | 4,090,000 | 4,044,641 | |||||
KeyCorp 3.878% 5/23/25 µ | 730,000 | 725,089 | |||||
Mitsubishi UFJ Financial Group | |||||||
0.848% 9/15/24 µ | 1,500,000 | 1,444,999 | |||||
Mizuho Financial Group 0.849% | |||||||
9/8/24 µ | 1,800,000 | 1,731,402 | |||||
Morgan Stanley | |||||||
2.475% 1/21/28 µ | 165,000 | 150,125 | |||||
3.125% 7/27/26 | 3,607,000 | 3,447,845 | |||||
3.70% 10/23/24 | 1,350,000 | 1,348,666 | |||||
4.00% (LIBOR03M + 1.10%) | |||||||
5/31/23 ● | 300,000 | 300,634 | |||||
National Bank of Canada 2.10% | |||||||
2/1/23 | 1,400,000 | 1,389,248 |
23
Schedules of investments
Delaware Ivy VIP Limited-Term Bond
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Banking (continued) | |||||||
PNC Financial Services Group | |||||||
6.00% 5/15/27 *, µ, ψ | 155,000 | $ | 149,170 | ||||
Svenska Handelsbanken 144A | |||||||
0.625% 6/30/23 # | 1,500,000 | 1,457,967 | |||||
Toronto-Dominion Bank 4.108% | |||||||
6/8/27 | 2,520,000 | 2,494,054 | |||||
US Bancorp 2.375% 7/22/26 | 844,000 | 797,353 | |||||
Wells Fargo & Co. | |||||||
3.526% 3/24/28 µ | 140,000 | 132,726 | |||||
3.908% 4/25/26 µ | 2,620,000 | 2,580,031 | |||||
49,181,306 | |||||||
Basic Industry – 1.19% | |||||||
DuPont de Nemours 4.205% | |||||||
11/15/23 | 800,000 | 805,378 | |||||
Graphic Packaging International | |||||||
144A 0.821% 4/15/24 # | 1,350,000 | 1,270,893 | |||||
Mosaic | |||||||
3.25% 11/15/22 | 774,000 | 774,901 | |||||
4.25% 11/15/23 | 250,000 | 251,851 | |||||
Nucor 3.95% 5/23/25 | 345,000 | 343,412 | |||||
Nutrien 1.90% 5/13/23 | 500,000 | 492,168 | |||||
3,938,603 | |||||||
Brokerage – 0.50% | |||||||
Brookfield Finance 4.00% 4/1/24 | 1,150,000 | 1,150,672 | |||||
LSEGA Financing 144A 0.65% | |||||||
4/6/24 #, * | 540,000 | 509,712 | |||||
1,660,384 | |||||||
Capital Goods – 4.94% | |||||||
Avery Dennison 0.85% 8/15/24 | 375,000 | 354,143 | |||||
Boeing | |||||||
2.20% 10/30/22 | 2,000,000 | 1,993,571 | |||||
2.80% 3/1/23 | 2,250,000 | 2,237,655 | |||||
CNH Industrial Capital 1.95% | |||||||
7/2/23 | 1,550,000 | 1,515,469 | |||||
General Electric 5.012% 1/1/24 | 364,774 | 367,443 | |||||
L3Harris Technologies 3.832% | |||||||
4/27/25 | 775,000 | 769,360 | |||||
Lennox International 1.35% | |||||||
8/1/25 | 2,150,000 | 1,971,914 | |||||
Parker-Hannifin | |||||||
3.65% 6/15/24 | 1,430,000 | 1,421,711 | |||||
4.25% 9/15/27 | 1,070,000 | 1,063,348 | |||||
Republic Services 0.875% | |||||||
11/15/25 | 1,800,000 | 1,631,401 | |||||
Roper Technologies 1.00% | |||||||
9/15/25 | 1,400,000 | 1,267,244 | |||||
Waste Management 0.75% | |||||||
11/15/25 | 1,955,000 | 1,788,330 | |||||
16,381,589 | |||||||
Communications – 5.99% | |||||||
American Tower | |||||||
0.60% 1/15/24 | 1,300,000 | 1,235,057 | |||||
1.30% 9/15/25 | 795,000 | 720,620 | |||||
AT&T | |||||||
1.70% 3/25/26 | 1,350,000 | 1,235,722 | |||||
2.95% 7/15/26 | 1,250,000 | 1,198,378 | |||||
Charter Communications | |||||||
Operating | |||||||
4.50% 2/1/24 | 1,215,000 | 1,223,169 | |||||
4.908% 7/23/25 | 1,485,000 | 1,490,461 | |||||
Crown Castle International | |||||||
3.15% 7/15/23 | 400,000 | 395,815 | |||||
Crown Castle Towers 144A | |||||||
3.663% 5/15/45 # | 950,000 | 929,118 | |||||
Magallanes 144A 3.638% | |||||||
3/15/25 # | 1,690,000 | 1,638,918 | |||||
Netflix 5.875% 2/15/25 | 1,250,000 | 1,270,944 | |||||
Omnicom Group 3.65% 11/1/24 | 700,000 | 694,449 | |||||
Rogers Communications 144A | |||||||
3.20% 3/15/27 # | 765,000 | 726,301 | |||||
SBA Tower Trust | |||||||
Series 3.869 10/08/24 144A | |||||||
3.869% 10/8/49 # | 2,000,000 | 1,968,178 | |||||
Sprint 7.875% 9/15/23 | 1,721,000 | 1,779,514 | |||||
T-Mobile USA 3.75% 4/15/27 | 2,000,000 | 1,927,464 | |||||
TWDC Enterprises 18 7.55% | |||||||
7/15/93 | 1,350,000 | 1,434,081 | |||||
19,868,189 | |||||||
Consumer Cyclical – 4.85% | |||||||
7-Eleven 144A 0.80% 2/10/24 # | 1,000,000 | 948,264 | |||||
Aptiv 2.396% 2/18/25 | 1,035,000 | 989,353 | |||||
AutoNation 3.50% 11/15/24 | 525,000 | 509,913 | |||||
DR Horton 2.60% 10/15/25 | 625,000 | 589,635 | |||||
Ford Motor Credit | |||||||
2.70% 8/10/26 | 550,000 | 469,370 | |||||
3.375% 11/13/25 | 1,355,000 | 1,224,405 | |||||
General Motors 4.875% 10/2/23 | 1,000,000 | 1,010,259 | |||||
General Motors Financial 1.20% | |||||||
10/15/24 | 825,000 | 767,853 | |||||
GLP Capital 5.375% 11/1/23 | 280,000 | 280,918 | |||||
Hyundai Capital America 144A | |||||||
1.25% 9/18/23 # | 800,000 | 775,585 | |||||
Lennar 4.75% 11/15/22 | 2,000,000 | 2,003,455 | |||||
MGM Resorts International | |||||||
5.75% 6/15/25 | 1,780,000 | 1,697,889 | |||||
Nissan Motor 144A 3.043% | |||||||
9/15/23 # | 1,250,000 | 1,229,676 | |||||
Nordstrom 2.30% 4/8/24 | 270,000 | 258,333 | |||||
PVH 4.625% 7/10/25 | 1,500,000 | 1,487,450 | |||||
VICI Properties 4.95% 2/15/30 | 75,000 | 71,215 |
24
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Consumer Cyclical (continued) | |||||||
Volkswagen Group of America | |||||||
Finance 144A 0.875% | |||||||
11/22/23 # | 1,850,000 | $ | 1,773,907 | ||||
16,087,480 | |||||||
Consumer Non-Cyclical – 6.56% | |||||||
AbbVie 2.30% 11/21/22 | 1,400,000 | 1,397,510 | |||||
Bayer US Finance II | |||||||
144A 2.85% 4/15/25 # | 1,260,000 | 1,208,049 | |||||
144A 3.875% 12/15/23 # | 1,400,000 | 1,397,960 | |||||
Cargill 144A 1.375% 7/23/23 # | 1,500,000 | 1,470,960 | |||||
Coca-Cola Refreshments USA | |||||||
8.00% 9/15/22 | 2,125,000 | 2,148,304 | |||||
CSL Finance 144A 4.05% | |||||||
4/27/29 # | 105,000 | 103,176 | |||||
Darling Ingredients 144A 5.25% | |||||||
4/15/27 # | 1,647,500 | 1,596,320 | |||||
Diageo Capital 3.50% 9/18/23 | 1,000,000 | 1,003,841 | |||||
HCA 144A 3.125% 3/15/27 #, * | 1,790,000 | 1,627,847 | |||||
Keurig Dr Pepper 0.75% 3/15/24 | 680,000 | 647,217 | |||||
McCormick & Co. | |||||||
0.90% 2/15/26 | 1,025,000 | 909,750 | |||||
3.50% 9/1/23 | 475,000 | 472,860 | |||||
Novartis Capital 3.00% 11/20/25 | 1,250,000 | 1,236,629 | |||||
Royalty Pharma | |||||||
0.75% 9/2/23 | 1,800,000 | 1,734,077 | |||||
1.20% 9/2/25 | 1,647,000 | 1,470,050 | |||||
Sysco 3.75% 10/1/25 | 1,350,000 | 1,340,462 | |||||
Tyson Foods 3.95% 8/15/24 | 2,000,000 | 1,998,334 | |||||
21,763,346 | |||||||
Electric – 2.84% | |||||||
Black Hills 1.037% 8/23/24 | 1,000,000 | 935,721 | |||||
Edison International 3.55% | |||||||
11/15/24 | 1,300,000 | 1,269,469 | |||||
Enel Finance International 144A | |||||||
4.25% 6/15/25 #, * | 295,000 | 292,151 | |||||
Eversource Energy 2.90% | |||||||
3/1/27 | 225,000 | 211,423 | |||||
Fells Point Funding Trust 144A | |||||||
3.046% 1/31/27 # | 210,000 | 193,828 | |||||
MidAmerican Energy 3.70% | |||||||
9/15/23 | 1,045,000 | 1,045,960 | |||||
National Rural Utilities | |||||||
Cooperative Finance 1.875% | |||||||
2/7/25 | 1,350,000 | 1,291,095 | |||||
Southern 0.60% 2/26/24 | 1,365,000 | 1,292,700 | |||||
Virginia Electric and Power | |||||||
2.75% 3/15/23 | 2,515,000 | 2,499,067 | |||||
Vistra Operations 144A 5.125% | |||||||
5/13/25 # | 385,000 | 381,916 | |||||
9,413,330 | |||||||
Energy – 4.27% | |||||||
Aker BP 144A 2.875% 1/15/26 # | 1,325,000 | 1,254,226 | |||||
Cheniere Corpus Christi | |||||||
Holdings 7.00% 6/30/24 | 500,000 | 518,505 | |||||
ConocoPhillips 2.40% 3/7/25 | 1,060,000 | 1,023,949 | |||||
Eastern Energy Gas Holdings | |||||||
3.55% 11/1/23 | 1,235,000 | 1,231,997 | |||||
Enbridge 2.50% 2/14/25 | 820,000 | 787,865 | |||||
Energy Transfer 4.25% 4/1/24 | 1,132,000 | 1,132,813 | |||||
Galaxy Pipeline Assets Bidco | |||||||
144A 1.75% 9/30/27 # | 1,338,030 | 1,245,568 | |||||
Harvest Operations 144A 1.00% | |||||||
4/26/24 # | 1,400,000 | 1,334,196 | |||||
HF Sinclair 144A 2.625% | |||||||
10/1/23 #, * | 1,075,000 | 1,044,467 | |||||
Kinder Morgan Energy Partners | |||||||
3.45% 2/15/23 | 1,000,000 | 1,001,162 | |||||
Murphy Oil 6.875% 8/15/24 | 117,000 | 117,443 | |||||
Occidental Petroleum 5.875% | |||||||
9/1/25 | 1,690,000 | 1,686,130 | |||||
Plains All American Pipeline | |||||||
3.85% 10/15/23 | 1,800,000 | 1,790,535 | |||||
14,168,856 | |||||||
Finance Companies – 1.17% | |||||||
AerCap Ireland Capital DAC | |||||||
1.65% 10/29/24 | 2,000,000 | 1,848,864 | |||||
Aviation Capital Group 144A | |||||||
4.375% 1/30/24 # | 1,000,000 | 982,749 | |||||
Avolon Holdings Funding 144A | |||||||
4.25% 4/15/26 # | 400,000 | 370,927 | |||||
Park Aerospace Holdings 144A | |||||||
5.50% 2/15/24 # | 700,000 | 694,785 | |||||
3,897,325 | |||||||
Insurance – 4.31% | |||||||
Anthem 3.35% 12/1/24 | 2,000,000 | 1,974,187 | |||||
Athene Global Funding | |||||||
144A 0.914% 8/19/24 # | 850,000 | 788,592 | |||||
144A 0.95% 1/8/24 # | 1,750,000 | 1,661,804 | |||||
Highmark 144A 1.45% 5/10/26 # | 1,375,000 | 1,247,040 | |||||
Humana 0.65% 8/3/23 | 250,000 | 242,002 | |||||
MassMutual Global Funding II | |||||||
144A 0.60% 4/12/24 # | 1,900,000 | 1,803,386 | |||||
Met Tower Global Funding 144A | |||||||
3.70% 6/13/25 # | 1,280,000 | 1,270,920 | |||||
Metropolitan Life Global Funding | |||||||
I 144A 0.90% 6/8/23 # | 1,250,000 | 1,223,867 | |||||
Principal Life Global Funding II | |||||||
144A 0.75% 4/12/24 # | 800,000 | 757,095 |
25
Schedules of investments
Delaware Ivy VIP Limited-Term Bond
Principal | |||||||
amount° | Value (US $) | ||||||
Corporate Bonds (continued) | |||||||
Insurance (continued) | |||||||
Protective Life Global Funding | |||||||
144A 0.631% 10/13/23 #, * | 750,000 | $ | 724,454 | ||||
144A 1.618% 4/15/26 # | 1,350,000 | 1,218,262 | |||||
Reliance Standard Life Global | |||||||
Funding II 144A 2.15% | |||||||
1/21/23 # | 1,400,000 | 1,385,761 | |||||
14,297,370 | |||||||
Natural Gas – 0.42% | |||||||
Sempra Energy 3.30% 4/1/25 | 1,145,000 | 1,119,708 | |||||
Southern California Gas 2.95% | |||||||
4/15/27 | 305,000 | 288,946 | |||||
1,408,654 | |||||||
Real Estate Investment Trusts – 1.86% | |||||||
American Tower Trust #1 144A | |||||||
3.07% 3/15/48 # | 3,545,000 | 3,529,740 | |||||
SBA Tower Trust | |||||||
144A 1.884% 7/15/50 # | 1,155,000 | 1,066,560 | |||||
144A 2.836% 1/15/50 # | 1,621,000 | 1,564,401 | |||||
6,160,701 | |||||||
Technology – 5.10% | |||||||
Advanced Micro Devices 2.95% | |||||||
6/1/24 | 2,575,000 | 2,557,696 | |||||
Apple 3.00% 2/9/24 | 355,000 | 354,418 | |||||
Baidu 1.72% 4/9/26 | 379,000 | 347,272 | |||||
Fortinet 1.00% 3/15/26 | 1,095,000 | 964,073 | |||||
Global Payments 2.65% 2/15/25 | 1,875,000 | 1,791,117 | |||||
Infor 144A 1.45% 7/15/23 # | 877,000 | 853,620 | |||||
Leidos 2.95% 5/15/23 | 1,870,000 | 1,852,511 | |||||
Microchip Technology 0.983% | |||||||
9/1/24 | 1,850,000 | 1,726,645 | |||||
S&P Global 144A 2.45% 3/1/27 # | 740,000 | 693,210 | |||||
Seagate HDD Cayman 4.75% | |||||||
6/1/23 | 650,000 | 644,702 | |||||
Sensata Technologies | |||||||
144A 5.00% 10/1/25 # | 1,390,000 | 1,336,700 | |||||
144A 5.625% 11/1/24 # | 355,000 | 350,946 | |||||
Thomson Reuters 4.30% | |||||||
11/23/23 | 1,269,000 | 1,285,021 | |||||
TSMC Global 144A 1.25% | |||||||
4/23/26 #, * | 1,500,000 | 1,366,638 | |||||
VMware 4.50% 5/15/25 | 700,000 | 702,614 | |||||
Workday | |||||||
3.50% 4/1/27 | 50,000 | 47,856 | |||||
3.70% 4/1/29 | 75,000 | 70,227 | |||||
16,945,266 | |||||||
Transportation – 0.10% | |||||||
American Airlines 2016-2 Class | |||||||
AA Pass Through Trust 3.20% | |||||||
12/15/29 | 371,000 | 339,103 | |||||
339,103 | |||||||
Total Corporate Bonds | |||||||
(cost $205,085,183) | 195,511,502 | ||||||
Non-Agency Asset-Backed Securities – 3.25% | |||||||
Enterprise Fleet Financing | |||||||
Series 2022-2 A2 144A 4.65% | |||||||
5/21/29 # | 830,000 | 836,195 | |||||
Ford Credit Auto Owner Trust | |||||||
Series 2022-A B 1.91% | |||||||
7/15/27 | 1,350,000 | 1,256,212 | |||||
Ford Credit Floorplan Master | |||||||
Owner Trust A | |||||||
Series 2020-2 A 1.06% | |||||||
9/15/27 | 3,000,000 | 2,752,205 | |||||
GM Financial Automobile | |||||||
Leasing Trust | |||||||
Series 2022-1 B 2.23% | |||||||
2/20/26 | 1,600,000 | 1,538,093 | |||||
Toyota Lease Owner Trust | |||||||
Series 2021-B A3 144A 0.42% | |||||||
10/21/24 # | 1,800,000 | 1,734,195 | |||||
Verizon Master Trust | |||||||
Series 2022-2 B 1.83% | |||||||
7/20/28 | 1,350,000 | 1,282,269 | |||||
Volkswagen Auto Lease Trust | |||||||
Series 2022-A A3 3.44% | |||||||
7/21/25 | 1,400,000 | 1,396,498 | |||||
Total Non-Agency Asset-Backed Securities | |||||||
(cost $11,032,444) | 10,795,667 | ||||||
Supranational Bank – 0.15% | |||||||
Corp Andina de Fomento | |||||||
2.375% 5/12/23 | 500,000 | 496,702 | |||||
Total Supranational Bank | |||||||
(cost $499,668) | 496,702 | ||||||
US Treasury Obligations – 15.78% | |||||||
US Treasury Notes | |||||||
2.625% 5/31/27 | 24,540,000 | 24,078,916 | |||||
2.75% 5/15/25 | 28,505,000 | 28,288,986 | |||||
Total US Treasury Obligations | |||||||
(cost $52,440,560) | 52,367,902 |
26
Number of | |||||||
shares | Value (US $) | ||||||
Short-Term Investments – 2.33% | |||||||
Money Market Mutual Fund – 2.33% | |||||||
State Street Institutional US | |||||||
Government Money Market | |||||||
Fund – Premier Class (seven- | |||||||
day effective yield 1.43%) | 7,728,761 | $ | 7,728,761 | ||||
Total Short-Term Investments | |||||||
(cost $7,728,761) | 7,728,761 | ||||||
Total Value of Securities Before | |||||||
Securities Lending Collateral–101.01% | |||||||
(cost $346,449,627) | 335,176,017 | ||||||
Securities Lending Collateral** – 1.62% | |||||||
Money Market Mutual Fund – 1.62% | |||||||
Dreyfus Institutional Preference | |||||||
Government Money Market | |||||||
Fund - Institutional Shares | |||||||
(seven-day effective yield | |||||||
1.47%) | 5,383,988 | 5,383,988 | |||||
Total Securities Lending Collateral | |||||||
(cost $5,383,988) | 5,383,988 | ||||||
Total Value of | |||||||
Securities–102.63% | |||||||
(cost $351,833,615) | $ | 340,560,005■ |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2022, the aggregate value of Rule 144A securities was $121,254,979, which represents 36.54% of the Portfolio’s net assets. See Note 10 in “Notes to financial statements.” |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2022. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
* | Fully or partially on loan. |
µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2022. Rate will reset at a future date. |
ψ | Perpetual security. Maturity date represents next call date. |
** | See Note 9 in “Notes to financial statements” for additional information on securities lending collateral. |
■ | Includes $3,767,143 of securities loaned for which the counterparty pledged additional non-cash collateral valued at $17,955,563. |
The following futures contracts were outstanding at June 30, 2022:1
Futures Contracts Exchange-Traded
Variation | ||||||||||||||||||||||
Margin | ||||||||||||||||||||||
Notional | Value/ | Value/ | Due from | |||||||||||||||||||
Notional | Cost | Expiration | Unrealized | Unrealized | (Due to) | |||||||||||||||||
Contracts to Buy (Sell) | Amount | (Proceeds) | Date | Appreciation | Depreciation | Brokers | ||||||||||||||||
212 | US Treasury 2 yr Notes | $ | 44,523,313 | $ | 44,649,680 | 9/30/22 | $ | – | $ | (126,367 | ) | $ | 119,250 | |||||||||
(107) | US Treasury 5 yr Notes | (12,010,750 | ) | (12,048,950 | ) | 9/30/22 | 38,200 | – | (75,234 | ) | ||||||||||||
Total Futures Contracts | $ | 32,600,730 | $ | 38,200 | $ | (126,367 | ) | $ | 44,016 |
The use of futures contracts involve elements of market risk and risks in excess of the amounts disclosed in these financial statements. The notional amounts presented above represent the Portfolio’s total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) and variation margin is reflected in the Portfolio’s net assets.
1 | See Note 7 in “Notes to financial statements.” |
Summary of abbreviations:
CLO – Collateralized Loan Obligation
DAC – Designated Activity Company
FREMF – Freddie Mac Multifamily
27
Schedules of investments
Delaware Ivy VIP Limited-Term Bond
Summary of abbreviations: (continued)
GNMA – Government National Mortgage Association
ICE – Intercontinental Exchange, Inc.
LIBOR – London Interbank Offered Rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
REMIC – Real Estate Mortgage Investment Conduit
S&P – Standard & Poor’s Financial Services LLC
S.F. – Single Family
SOFR – Secured Overnight Financing Rate
TSFR03M – 3 Month Term Secured Overnight Financing Rate
USD – US Dollar
yr – Year
See accompanying notes, which are an integral part of the financial statements.
28
Delaware Ivy VIP Securian Real Estate Securities
June 30, 2022 (Unaudited)
Number of | ||||||
shares | Value (US $) | |||||
Common Stocks – 98.75% | ||||||
REIT Diversified – 2.30% | ||||||
American Tower | 2,782 | $ | 711,051 | |||
711,051 | ||||||
REIT Healthcare – 8.30% | ||||||
Healthpeak Properties | 8,200 | 212,462 | ||||
Ventas | 18,596 | 956,392 | ||||
Welltower | 17,000 | 1,399,950 | ||||
2,568,804 | ||||||
REIT Hotel – 3.79% | ||||||
Host Hotels & Resorts | 33,317 | 522,411 | ||||
Park Hotels & Resorts | 22,800 | 309,396 | ||||
Pebblebrook Hotel Trust | 7,800 | 129,246 | ||||
RLJ Lodging Trust | 19,400 | 213,982 | ||||
1,175,035 | ||||||
REIT Industrial – 14.05% | ||||||
Duke Realty | 17,500 | 961,625 | ||||
First Industrial Realty Trust | 8,100 | 384,588 | ||||
Prologis | 23,221 | 2,731,951 | ||||
Rexford Industrial Realty | 4,700 | 270,673 | ||||
4,348,837 | ||||||
REIT Information Technology – 11.68% | ||||||
Digital Realty Trust | 9,000 | 1,168,470 | ||||
Equinix | 3,094 | 2,032,820 | ||||
SBA Communications | 1,300 | 416,065 | ||||
3,617,355 | ||||||
REIT Mall – 3.35% | ||||||
Simon Property Group | 10,936 | 1,038,045 | ||||
1,038,045 | ||||||
REIT Manufactured Housing – 3.21% | ||||||
Equity LifeStyle Properties | 4,600 | 324,162 | ||||
Sun Communities | 4,200 | 669,312 | ||||
993,474 | ||||||
REIT Multifamily – 15.50% | ||||||
AvalonBay Communities | 6,261 | 1,216,199 | ||||
Camden Property Trust | 4,000 | 537,920 | ||||
Equity Residential | 13,421 | 969,265 | ||||
Essex Property Trust | 3,100 | 810,681 | ||||
Mid-America Apartment | ||||||
Communities | 3,100 | 541,477 | ||||
UDR | 15,700 | 722,828 | ||||
4,798,370 | ||||||
REIT Office – 5.85% | ||||||
Alexandria Real Estate Equities | 7,348 | 1,065,681 | ||||
Boston Properties | 2,300 | 204,654 | ||||
Highwoods Properties | 6,300 | 215,397 | ||||
Kilroy Realty | 6,200 | 324,446 | ||||
1,810,178 | ||||||
REIT Self-Storage – 8.37% | ||||||
CubeSmart | 1,700 | 72,624 | ||||
Extra Space Storage | 3,600 | 612,432 | ||||
Life Storage | 4,750 | 530,385 | ||||
Public Storage | 4,402 | 1,376,373 | ||||
2,591,814 | ||||||
REIT Shopping Center – 6.32% | ||||||
Brixmor Property Group | 23,600 | 476,956 | ||||
Kimco Realty | 27,800 | 549,606 | ||||
Kite Realty Group Trust | 21,900 | 378,651 | ||||
Regency Centers | 9,300 | 551,583 | ||||
1,956,796 | ||||||
REIT Single Family – 5.35% | ||||||
American Homes 4 Rent Class A | 21,200 | 751,328 | ||||
Invitation Homes | 25,400 | 903,732 | ||||
1,655,060 | ||||||
REIT Single Tenant – 10.68% | ||||||
Agree Realty | 8,100 | 584,253 | ||||
Essential Properties Realty Trust | 10,400 | 223,496 | ||||
National Retail Properties | 10,800 | 464,400 | ||||
Realty Income | 9,623 | 656,866 | ||||
Spirit Realty Capital | 11,650 | 440,137 | ||||
VICI Properties | 31,432 | 936,359 | ||||
3,305,511 | ||||||
Total Common Stocks | ||||||
(cost $31,368,324) | 30,570,330 | |||||
Short-Term Investments – 1.15% | ||||||
Money Market Mutual Fund – 1.15% | ||||||
State Street Institutional US | ||||||
Government Money Market Fund | ||||||
– Premier Class (seven-day | ||||||
effective yield 1.43%) | 355,371 | 355,371 | ||||
Total Short-Term Investments | ||||||
(cost $355,371) | 355,371 | |||||
Total Value of Securities–99.90% | ||||||
(cost $31,723,695) | $ | 30,925,701 |
Summary of abbreviations:
REIT – Real Estate Investment Trust
See accompanying notes, which are an integral part of the financial statements.
29
Schedules of investments
Delaware Ivy VIP Value
June 30, 2022 (Unaudited)
Number of | |||||||
shares | Value (US $) | ||||||
Common Stocks – 97.65% | |||||||
Communication Services – 7.14% | |||||||
AT&T | 371,000 | $ | 7,776,160 | ||||
Comcast Class A | 228,194 | 8,954,332 | |||||
Liberty Global Class C † | 418,173 | 9,237,442 | |||||
25,967,934 | |||||||
Consumer Discretionary – 5.45% | |||||||
AutoZone † | 3,481 | 7,481,087 | |||||
Lowe’s | 41,300 | 7,213,871 | |||||
Target | 36,401 | 5,140,913 | |||||
19,835,871 | |||||||
Consumer Staples – 6.94% | |||||||
Philip Morris International | 124,395 | 12,282,762 | |||||
Walmart | 106,520 | 12,950,702 | |||||
25,233,464 | |||||||
Energy – 6.63% | |||||||
Exxon Mobil | 142,400 | 12,195,136 | |||||
Marathon Petroleum | 145,068 | 11,926,040 | |||||
24,121,176 | |||||||
Financials – 20.02% | |||||||
AGNC Investment | 850,918 | 9,419,662 | |||||
Allstate | 87,900 | 11,139,567 | |||||
Ameriprise Financial | 37,099 | 8,817,690 | |||||
Capital One Financial ~ | 91,217 | 9,503,899 | |||||
Comerica | 99,300 | 7,286,634 | |||||
KKR & Co. | 155,720 | 7,208,279 | |||||
Regions Financial | 285,430 | 5,351,813 | |||||
Synchrony Financial | 147,149 | 4,064,255 | |||||
Wells Fargo & Co. | 256,275 | 10,038,292 | |||||
72,830,091 | |||||||
Healthcare – 18.46% | |||||||
CVS Health | 135,024 | 12,511,324 | |||||
Elevance Health | 26,671 | 12,870,891 | |||||
HCA Healthcare | 49,201 | 8,268,720 | |||||
McKesson | 37,651 | 12,282,133 | |||||
Regeneron Pharmaceuticals † | 16,285 | 9,626,552 | |||||
Vertex Pharmaceuticals † | 41,162 | 11,599,040 | |||||
67,158,660 | |||||||
Industrials – 10.81% | |||||||
Norfolk Southern | 46,787 | 10,634,217 | |||||
Northrop Grumman | 21,795 | 10,430,433 | |||||
nVent Electric | 223,410 | 6,999,436 | |||||
Raytheon Technologies | 117,318 | 11,275,433 | |||||
39,339,519 | |||||||
Information Technology – 7.73% | |||||||
Broadcom | 18,022 | 8,755,268 | |||||
Fidelity National Information | |||||||
Services | 76,929 | 7,052,081 | |||||
NXP Semiconductors | 23,477 | 3,475,300 | |||||
Seagate Technology Holdings | 123,449 | 8,819,197 | |||||
28,101,846 | |||||||
Materials – 3.80% | |||||||
Celanese | 56,300 | 6,621,443 | |||||
LyondellBasell Industries | |||||||
Class A | 82,200 | 7,189,212 | |||||
13,810,655 | |||||||
Real Estate – 4.99% | |||||||
CBRE Group Class A † | 130,241 | 9,587,040 | |||||
Weyerhaeuser | 258,600 | 8,564,832 | |||||
18,151,872 | |||||||
Utilities – 5.68% | |||||||
American Electric Power | 109,100 | 10,467,054 | |||||
Exelon | 224,800 | 10,187,936 | |||||
20,654,990 | |||||||
Total Common Stocks | |||||||
(cost $347,223,857) | 355,206,078 | ||||||
Short-Term Investments – 2.30% | |||||||
Money Market Mutual Fund – 2.30% | |||||||
State Street Institutional US | |||||||
Government Money Market | |||||||
Fund – Premier Class | |||||||
(seven-day effective yield | |||||||
1.43%) | 8,368,811 | 8,368,811 | |||||
Total Short-Term Investments | |||||||
(cost $8,368,811) | 8,368,811 | ||||||
Total Value of Securities Before | |||||||
Options Written–99.95% | |||||||
(cost $355,592,668) | 363,574,889 | ||||||
Number of | |||||||
contracts | |||||||
Options Written – (0.07%) | |||||||
Equity Call Options – (0.07%) | |||||||
Vertex Pharmaceuticals, strike | |||||||
price $285, expiration date | |||||||
7/15/22, notional amount | |||||||
$(11,713,500) | (411) | (252,765 | ) | ||||
Total Options Written | |||||||
(premium received $197,691) | $ | (252,765 | ) |
† | Non-income producing security. |
~ | All or portion of the security has been pledged as collateral with outstanding options written. |
See accompanying notes, which are an integral part of the financial statements.
30
Statements of assets and liabilities
Ivy Variable Insurance Portfolios
June 30, 2022 (Unaudited)
Delaware Ivy | Delaware Ivy | Delaware Ivy | Delaware Ivy | ||||||||||
VIP Core | VIP Corporate | VIP Global | VIP Global | ||||||||||
Equity | Bond | Equity Income | Growth | ||||||||||
Assets: | |||||||||||||
Investments, at value*,† | $ | 609,469,672 | $ | 518,480,796 | $ | 234,082,207 | $ | 116,979,796 | |||||
Short-term investments held as collateral for loaned securities, at value= | – | 5,723,390 | 11,966,652 | 78,373 | |||||||||
Cash | – | 902,816 | – | – | |||||||||
Foreign currencies, at valueΔ | – | – | 6,041 | – | |||||||||
Dividend and interest receivable | 303,085 | 4,275,713 | 320,434 | 259,876 | |||||||||
Prepaid expenses | 283,448 | 2,271 | 47,797 | 24,766 | |||||||||
Receivable for portfolio shares sold | 103,775 | 153,677 | 78,369 | 451 | |||||||||
Securities lending income receivable | 133 | 2,490 | 15,725 | 144 | |||||||||
Receivable for securities sold | – | 2,503,835 | – | – | |||||||||
Foreign tax reclaims receivable | – | – | 725,895 | 52,471 | |||||||||
Other assets | 1,230 | 134,597 | 451 | 307 | |||||||||
Total Assets | 610,161,343 | 532,179,585 | 247,243,571 | 117,396,184 | |||||||||
Liabilities: | |||||||||||||
Due to custodian | 131,995 | – | 125,769 | 114,643 | |||||||||
Distribution fees payable to affiliates | 408,868 | 344,261 | 155,300 | 79,353 | |||||||||
Investment management fees payable to affiliates | 320,864 | 207,230 | 136,750 | 69,629 | |||||||||
Payable for portfolio shares redeemed | 293,065 | 96,383 | 31,747 | 45,214 | |||||||||
Accounting and administration expenses payable to affiliates | 25,208 | 25,217 | 11,059 | 5,306 | |||||||||
Payable for portfolio securities purchased | – | 2,922,410 | – | – | |||||||||
Obligation to return securities lending collateral | – | 5,723,390 | 11,966,652 | 78,373 | |||||||||
Capital gains tax payable | – | – | – | 68 | |||||||||
Total Liabilities | 1,180,000 | 9,318,891 | 12,427,277 | 392,586 | |||||||||
Total Net Assets | $ | 608,981,343 | $ | 522,860,694 | $ | 234,816,294 | $ | 117,003,598 | |||||
Net Assets Consist of: | |||||||||||||
Paid-in capital | $ | 497,174,070 | $ | 605,241,215 | $ | 264,932,577 | $ | 90,168,697 | |||||
Total distributable earnings (loss) | 111,807,273 | (82,380,521 | ) | (30,116,283 | ) | 26,834,901 | |||||||
Total Net Assets | $ | 608,981,343 | $ | 522,860,694 | $ | 234,816,294 | $ | 117,003,598 | |||||
Net Asset Value | |||||||||||||
Class II: | |||||||||||||
Net assets | $ | 608,981,343 | $ | 522,860,694 | $ | 234,816,294 | $ | 117,003,598 | |||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 54,919,138 | 114,471,063 | 55,388,212 | 37,124,462 | |||||||||
Net asset value per share | $ | 11.09 | $ | 4.57 | $ | 4.24 | $ | 3.15 | |||||
____________________ | |||||||||||||
*Investments, at cost | $ | 549,043,882 | $ | 591,961,185 | $ | 266,507,453 | $ | 112,498,182 | |||||
†Including securities on loan | 1,333,733 | 24,844,843 | 18,468,460 | 1,774,336 | |||||||||
=Short-term investments held as collateral for loaned securities, at cost | – | 5,723,390 | 11,966,652 | 78,373 | |||||||||
ΔForeign currencies, at cost | – | – | 6,049 | – |
See accompanying notes, which are an integral part of the financial statements.
31
Statements of assets and liabilities
Ivy Variable Insurance Portfolios
Delaware Ivy | |||||||||||
VIP | |||||||||||
Delaware Ivy | Securian Real | ||||||||||
VIP Limited- | Estate | Delaware Ivy | |||||||||
Term Bond | Securities | VIP Value | |||||||||
Assets: | |||||||||||
Investments, at value*,† | $ | 335,176,017 | $ | 30,925,701 | $ | 363,574,889 | |||||
Short-term investments held as collateral for loaned securities, at value= | 5,383,988 | – | – | ||||||||
Cash collateral due from broker on futures contracts | 202,211 | – | – | ||||||||
Receivable for securities sold | 24,745,685 | – | 197,691 | ||||||||
Dividend and interest receivable | 1,815,312 | 98,342 | 595,207 | ||||||||
Receivable for portfolio shares sold | 131,988 | 3,122 | 100,613 | ||||||||
Prepaid expenses | 110,500 | 16,274 | 79,088 | ||||||||
Variation margin due from broker on futures contracts | 44,016 | – | – | ||||||||
Securities lending income receivable | 7,535 | – | 9 | ||||||||
Foreign tax reclaims receivable | – | – | 27,542 | ||||||||
Other assets | 600 | – | 719 | ||||||||
Total Assets | 367,617,852 | 31,043,439 | 364,575,758 | ||||||||
Liabilities: | |||||||||||
Options written, at valueΣ | – | – | 252,765 | ||||||||
Due to custodian | 10,272 | 6,729 | 54,822 | ||||||||
Payable for portfolio securities purchased | 29,980,123 | – | – | ||||||||
Obligation to return securities lending collateral | 5,383,988 | – | – | ||||||||
Distribution fees payable to affiliates | 212,062 | 28,555 | 239,612 | ||||||||
Investment management fees payable to affiliates | 136,913 | 15,781 | 218,099 | ||||||||
Payable for portfolio shares redeemed | 40,518 | 33,818 | 49,962 | ||||||||
Accounting and administration expenses payable to affiliates | 15,592 | 1,211 | 16,652 | ||||||||
Total Liabilities | 35,779,468 | 86,094 | 831,912 | ||||||||
Total Net Assets | $ | 331,838,384 | $ | 30,957,345 | $ | 363,743,846 | |||||
Net Assets Consist of: | |||||||||||
Paid-in capital | $ | 346,595,480 | $ | 29,911,534 | $ | 319,184,242 | |||||
Total distributable earnings (loss) | (14,757,096 | ) | 1,045,811 | 44,559,604 | |||||||
Total Net Assets | $ | 331,838,384 | $ | 30,957,345 | $ | 363,743,846 | |||||
Net Asset Value | |||||||||||
Class II: | |||||||||||
Net assets | $ | 331,838,384 | $ | 30,957,345 | $ | 363,743,846 | |||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 72,118,586 | 4,609,821 | 69,526,409 | ||||||||
Net asset value per share | $ | 4.60 | $ | 6.72 | $ | 5.23 | |||||
___________________ | |||||||||||
*Investments, at cost | $ | 346,449,627 | $ | 31,723,695 | $ | 355,592,668 | |||||
†Including securities on loan | 3,767,143 | – | – | ||||||||
=Short-term investments held as collateral for loaned securities, at cost | 5,383,988 | – | – | ||||||||
ΣOptions written, premium received | – | – | (197,691 | ) |
See accompanying notes, which are an integral part of the financial statements.
32
Statement of operations
Ivy Variable Insurance Portfolios
Six months ended June 30, 2022 (Unaudited)
Delaware Ivy | Delaware Ivy | Delaware Ivy | Delaware Ivy | |||||||||||
VIP Core | VIP Corporate | VIP Global | VIP Global | |||||||||||
Equity | Bond | Equity Income | Growth | |||||||||||
Investment Income: | ||||||||||||||
Dividends | $ | 4,432,258 | $ | 15,340 | $ | 4,314,419 | $ | 1,072,184 | ||||||
Securities lending income | 222 | 5,631 | 40,169 | 4,702 | ||||||||||
Interest | – | 8,495,344 | – | – | ||||||||||
Foreign tax withheld | (35,560 | ) | – | (518,958 | ) | (108,906 | ) | |||||||
4,396,920 | 8,516,315 | 3,835,630 | 967,980 | |||||||||||
Expenses: | ||||||||||||||
Investment advisory fees | 2,381,438 | 1,385,400 | 905,220 | 578,219 | ||||||||||
Distribution expenses – Class II | 850,514 | 729,158 | 323,293 | 170,064 | ||||||||||
Accounting and administration expenses | 89,412 | 81,531 | 44,591 | 31,113 | ||||||||||
Trustees’ fees and expenses | 33,485 | 23,736 | 12,964 | 11,636 | ||||||||||
Audit and tax fees | 10,992 | 7,921 | 10,895 | 11,966 | ||||||||||
Reports and statements to shareholders servicing expenses | 8,548 | 9,731 | 12,225 | 6,832 | ||||||||||
Custodian fees | 7,224 | 4,537 | 13,423 | 6,729 | ||||||||||
Legal fees | 2,444 | 3,382 | 654 | 382 | ||||||||||
Registration fees | 3 | 3 | 3 | 3 | ||||||||||
Other | 9,220 | 27,026 | 12,909 | 10,559 | ||||||||||
3,393,280 | 2,272,425 | 1,336,177 | 827,503 | |||||||||||
Less expenses waived | (52,436 | ) | – | – | (19,668 | ) | ||||||||
Less waived distribution | ||||||||||||||
expenses – Class II | (107,214 | ) | – | – | (38,027 | ) | ||||||||
Total operating expenses | 3,233,630 | 2,272,425 | 1,336,177 | 769,808 | ||||||||||
Net Investment Income (Loss) | 1,163,290 | 6,243,890 | 2,499,453 | 198,172 | ||||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||||
Net realized gain (loss) on: | ||||||||||||||
Investments1 | 50,308,929 | (14,870,849 | ) | 55,501 | 22,725,868 | |||||||||
Foreign currencies | – | – | 17,864 | (3,858 | ) | |||||||||
Foreign currency exchange contracts | – | – | (85,710 | ) | (35,962 | ) | ||||||||
Net realized gain (loss) | 50,308,929 | (14,870,849 | ) | (12,345 | ) | 22,686,048 | ||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||
Investments1 | (202,380,839 | ) | (84,333,476 | ) | (43,922,808 | ) | (56,877,552 | ) | ||||||
Foreign currencies | – | – | (39,007 | ) | (31,338 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | (202,380,839 | ) | (84,333,476 | ) | (43,961,815 | ) | (56,908,890 | ) | ||||||
Net Realized and Unrealized Gain (Loss) | (152,071,910 | ) | (99,204,325 | ) | (43,974,160 | ) | (34,222,842 | ) | ||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (150,908,620 | ) | $ | (92,960,435 | ) | $ | (41,474,707 | ) | $ | (34,024,670 | ) |
1 | Includes $(95,663) capital gains tax paid and $(68) capital gains tax accrued for Delaware Ivy VIP Global Growth. |
33
Statement of operations
Ivy Variable Insurance Portfolios
Delaware Ivy | Delaware Ivy VIP | ||||||||||||||
VIP Limited- | Securian Real Estate | Delaware Ivy | |||||||||||||
Term Bond | Securities | VIP Value | |||||||||||||
Investment Income: | |||||||||||||||
Interest | $ | 3,474,874 | $ | — | $ | — | |||||||||
Securities lending income | 26,349 | — | 40 | ||||||||||||
Dividends | 5,289 | 508,217 | 5,116,172 | ||||||||||||
Foreign tax withheld | — | — | (11,959 | ) | |||||||||||
3,506,512 | 508,217 | 5,104,253 | |||||||||||||
Expenses: | |||||||||||||||
Investment advisory fees | 883,952 | 146,253 | 1,351,047 | ||||||||||||
Distribution expenses — Class II | 441,976 | 45,140 | 482,517 | ||||||||||||
Accounting and administration expenses | 49,847 | 18,815 | 58,081 | ||||||||||||
Audit and tax fees | 14,780 | 7,125 | 9,784 | ||||||||||||
Trustees’ fees and expenses | 12,501 | 1,757 | 19,451 | ||||||||||||
Reports and statements to shareholders servicing expenses | 5,916 | 6,093 | 6,674 | ||||||||||||
Custodian fees | 3,767 | 1,556 | 3,105 | ||||||||||||
Legal fees | 1,444 | 1,124 | 571 | ||||||||||||
Registration fees | 3 | 3 | 3 | ||||||||||||
Other | 17,292 | 4,788 | 14,405 | ||||||||||||
1,431,478 | 232,654 | 1,945,638 | |||||||||||||
Less expenses waived | — | (6,806 | ) | — | |||||||||||
Total operating expenses | 1,431,478 | 225,848 | 1,945,638 | ||||||||||||
Net Investment Income (Loss) | 2,075,034 | 282,369 | 3,158,615 | ||||||||||||
Net Realized and Unrealized Gain (Loss): | |||||||||||||||
Net realized gain (loss) on: | |||||||||||||||
Investments | (5,027,771 | ) | 1,605,495 | 33,218,497 | |||||||||||
Futures contracts | (293,447 | ) | — | — | |||||||||||
Options written | — | — | 347,127 | ||||||||||||
Net realized gain (loss) | (5,321,218 | ) | 1,605,495 | 33,565,624 | |||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||
Investments | (10,956,424 | ) | (9,888,174 | ) | (78,156,390 | ) | |||||||||
Futures contracts | (88,167 | ) | — | — | |||||||||||
Options written | — | — | (29,549 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) | (11,044,591 | ) | (9,888,174 | ) | (78,185,939 | ) | |||||||||
Net Realized and Unrealized Gain (Loss) | (16,365,809 | ) | (8,282,679 | ) | (44,620,315 | ) | |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (14,290,775 | ) | $ | (8,000,310 | ) | $ | (41,461,700 | ) |
34
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy VIP Core Equity | Delaware Ivy VIP Corporate Bond | ||||||||||||||||
Six months | Six months | ||||||||||||||||
ended | ended | ||||||||||||||||
6/30/22 | Year ended | 6/30/22 | Year ended | ||||||||||||||
(Unaudited) | 12/31/21 | (Unaudited) | 12/31/21 | ||||||||||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||||||||||
Net investment income (loss) | $ | 1,163,290 | $ | 1,422,057 | $ | 6,243,890 | $ | 13,574,293 | |||||||||
Net realized gain (loss) | 50,308,929 | 131,044,552 | (14,870,849 | ) | 15,406,467 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (202,380,839 | ) | 57,504,604 | (84,333,476 | ) | (33,377,861 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | (150,908,620 | ) | 189,971,213 | (92,960,435 | ) | (4,397,101 | ) | ||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||
Distributable earnings: | |||||||||||||||||
Class II | (132,497,095 | ) | (32,448,455 | ) | (29,175,316 | ) | (44,859,981 | ) | |||||||||
(132,497,095 | ) | (32,448,455 | ) | (29,175,316 | ) | (44,859,981 | ) | ||||||||||
Capital Share Transactions: | |||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||
Class II | 84,870,787 | 11,448,424 | 17,111,278 | 159,640,862 | |||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | |||||||||||||||||
Class II | 132,497,095 | 32,448,455 | 29,175,316 | 44,859,981 | |||||||||||||
217,367,882 | 43,896,879 | 46,286,594 | 204,500,843 | ||||||||||||||
Cost of shares redeemed: | |||||||||||||||||
Class II | (60,040,662 | ) | (203,035,096 | ) | (69,267,891 | ) | (172,078,010 | ) | |||||||||
Increase (decrease) in net assets derived from capital share transactions | 157,327,220 | (159,138,217 | ) | (22,981,297 | ) | 32,422,833 | |||||||||||
Net Decrease in Net Assets | (126,078,495 | ) | (1,615,459 | ) | (145,117,048 | ) | (16,834,249 | ) | |||||||||
Net Assets: | |||||||||||||||||
Beginning of period | 735,059,838 | 736,675,297 | 667,977,742 | 684,811,991 | |||||||||||||
End of period | $ | 608,981,343 | $ | 735,059,838 | $ | 522,860,694 | $ | 667,977,742 |
35
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy VIP Global Equity Income | Delaware Ivy VIP Global Growth | ||||||||||||||||
Six months | Six months | ||||||||||||||||
ended | ended | ||||||||||||||||
6/30/22 | Year ended | 6/30/22 | Year ended | ||||||||||||||
(Unaudited) | 12/31/21 | (Unaudited) | 12/31/21 | ||||||||||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||||||||||
Net investment income (loss) | $ | 2,499,453 | $ | 6,757,953 | $ | 198,172 | $ | 686,119 | |||||||||
Net realized gain (loss) | (12,345 | ) | 65,870,874 | 22,686,048 | 18,651,214 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (43,961,815 | ) | (22,867,702 | ) | (56,908,890 | ) | 6,928,975 | ||||||||||
Net increase (decrease) in net assets resulting from operations | (41,474,707 | ) | 49,761,125 | (34,024,670 | ) | 26,266,308 | |||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||
Distributable earnings: | |||||||||||||||||
Class II | (68,169,217 | ) | (7,041,544 | ) | (19,702,418 | ) | (7,648,661 | ) | |||||||||
(68,169,217 | ) | (7,041,544 | ) | (19,702,418 | ) | (7,648,661 | ) | ||||||||||
Capital Share Transactions: | |||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||
Class II | 8,994,948 | 18,193,437 | 1,980,837 | 3,184,819 | |||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | |||||||||||||||||
Class II | 68,169,217 | 7,041,544 | 19,702,418 | 7,648,661 | |||||||||||||
77,164,165 | 25,234,981 | 21,683,255 | 10,833,480 | ||||||||||||||
Cost of shares redeemed: | |||||||||||||||||
Class II | (27,063,724 | ) | (88,834,690 | ) | (10,625,084 | ) | (25,448,721 | ) | |||||||||
Increase (decrease) in net assets derived from capital share transactions | 50,100,441 | (63,599,709 | ) | 11,058,171 | (14,615,241 | ) | |||||||||||
Net Increase (Decrease) in Net Assets | (59,543,483 | ) | (20,880,128 | ) | (42,668,917 | ) | 4,002,406 | ||||||||||
Net Assets: | |||||||||||||||||
Beginning of period | 294,359,777 | 315,239,905 | 159,672,515 | 155,670,109 | |||||||||||||
End of period | $ | 234,816,294 | $ | 294,359,777 | $ | 117,003,598 | $ | 159,672,515 |
36
Delaware Ivy VIP Limited-Term Bond | Delaware Ivy VIP Securian Real Estate Securities | ||||||||||||||||||||||||
Six months | Six months | ||||||||||||||||||||||||
ended | ended | ||||||||||||||||||||||||
6/30/22 | Year ended | 6/30/22 | Year ended | ||||||||||||||||||||||
(Unaudited) | 12/31/21 | (Unaudited) | 12/31/21 | ||||||||||||||||||||||
Increase (Decrease) in Net Assets from | |||||||||||||||||||||||||
Operations: | |||||||||||||||||||||||||
Net investment income (loss) | $ | 2,075,034 | $ | 4,572,157 | $ | 282,369 | $ | 260,655 | |||||||||||||||||
Net realized gain (loss) | (5,321,218 | ) | 2,511,437 | 1,605,495 | 4,410,047 | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (11,044,591 | ) | (9,169,615 | ) | (9,888,174 | ) | 8,483,264 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (14,290,775 | ) | (2,086,021 | ) | (8,000,310 | ) | 13,153,966 | ||||||||||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||||||||||
Distributable earnings: | |||||||||||||||||||||||||
Class II | (7,185,516 | ) | (8,512,000 | ) | (4,613,545 | ) | (881,706 | ) | |||||||||||||||||
(7,185,516 | ) | (8,512,000 | ) | (4,613,545 | ) | (881,706 | ) | ||||||||||||||||||
Capital Share Transactions: | |||||||||||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||||||||||
Class II | 12,942,237 | 76,582,643 | 2,151,062 | 4,942,031 | |||||||||||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | |||||||||||||||||||||||||
Class II | 7,185,516 | 8,512,000 | 4,613,545 | 881,706 | |||||||||||||||||||||
20,127,753 | 85,094,643 | 6,764,607 | 5,823,737 | ||||||||||||||||||||||
Cost of shares redeemed: | |||||||||||||||||||||||||
Class II | (57,918,113 | ) | (113,364,993 | ) | (4,600,853 | ) | (7,785,920 | ) | |||||||||||||||||
Increase (decrease) in net assets derived from capital share transactions | (37,790,360 | ) | (28,270,350 | ) | 2,163,754 | (1,962,183 | ) | ||||||||||||||||||
Net Increase (Decrease) in Net Assets | (59,266,651 | ) | (38,868,371 | ) | (10,450,101 | ) | 10,310,077 | ||||||||||||||||||
Net Assets: | |||||||||||||||||||||||||
Beginning of period | 391,105,035 | 429,973,406 | 41,407,446 | 31,097,369 | |||||||||||||||||||||
End of period | $ | 331,838,384 | $ | 391,105,035 | $ | 30,957,345 | $ | 41,407,446 |
37
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy VIP Value | |||||||||
Six months | |||||||||
ended | |||||||||
6/30/22 | Year ended | ||||||||
(Unaudited) | 12/31/21 | ||||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||
Net investment income (loss) | $ | 3,158,615 | $ | 4,999,687 | |||||
Net realized gain (loss) | 33,565,624 | 105,775,425 | |||||||
Net change in unrealized appreciation (depreciation) | (78,185,939 | ) | 15,520,747 | ||||||
Net increase (decrease) in net assets resulting from operations | (41,461,700 | ) | 126,295,859 | ||||||
Dividends and Distributions to Shareholders from: | |||||||||
Distributable earnings: | |||||||||
Class II | (107,862,773 | ) | (8,558,450 | ) | |||||
(107,862,773 | ) | (8,558,450 | ) | ||||||
Capital Share Transactions: | |||||||||
Proceeds from shares sold: | |||||||||
Class II | 78,405,138 | 13,690,753 | |||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | |||||||||
Class II | 107,862,773 | 8,558,450 | |||||||
186,267,911 | 13,690,753 | ||||||||
Cost of shares redeemed: | |||||||||
Class II | (42,943,835 | ) | (235,244,706 | ) | |||||
Increase (decrease) in net assets derived from capital share transactions | 143,324,076 | (212,995,503 | ) | ||||||
Net Decrease in Net Assets | (6,000,397 | ) | (95,258,094 | ) | |||||
Net Assets: | |||||||||
Beginning of period | 369,744,243 | 465,002,337 | |||||||
End of period | $ | 363,743,846 | $ | 369,744,243 |
38
Financial highlights
Delaware Ivy VIP Core Equity Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | |||||||||||||||||||||||||
ended | |||||||||||||||||||||||||
6/30/221 | Year ended | ||||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 17.69 | $ | 14.36 | $ | 12.63 | $ | 10.80 | $ | 12.30 | $ | 10.67 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income2 | 0.03 | 0.03 | 0.06 | 0.06 | 0.07 | 0.05 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (3.57 | ) | 4.01 | 2.44 | 3.10 | (0.53 | ) | 2.09 | |||||||||||||||||
Total from investment operations | (3.54 | ) | 4.04 | 2.50 | 3.16 | (0.46 | ) | 2.14 | |||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Net investment income | (0.03 | ) | (0.09 | ) | (0.07 | ) | (0.07 | ) | (0.06 | ) | (0.05 | ) | |||||||||||||
Net realized gain | (3.03 | ) | (0.62 | ) | (0.70 | ) | (1.26 | ) | (0.98 | ) | (0.46 | ) | |||||||||||||
Total dividends and distributions | (3.06 | ) | (0.71 | ) | (0.77 | ) | (1.33 | ) | (1.04 | ) | (0.51 | ) | |||||||||||||
Net asset value, end of period | $ | 11.09 | $ | 17.69 | $ | 14.36 | $ | 12.63 | $ | 10.80 | $ | 12.30 | |||||||||||||
Total return3 | (20.29% | ) | 28.94% | 21.52% | 31.09% | (4.51% | ) | 20.75% | |||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 608,981 | $ | 735 | 4 | $ | 737 | 4 | $ | 723 | 4 | $ | 626 | 4 | $ | 445 | 4 | ||||||||
Ratio of expenses to average net assets5 | 0.95% | 0.95% | 0.95% | 0.95% | 0.95% | 0.95% | |||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.00% | 0.99% | 1.00% | 1.00% | 1.00% | 1.00% | |||||||||||||||||||
Ratio of net investment income to average net assets | 0.34% | 0.19% | 0.51% | 0.53% | 0.59% | 0.42% | |||||||||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.29% | 0.15% | 0.46% | 0.48% | 0.54% | 0.37% | |||||||||||||||||||
Portfolio turnover | 31% | 29% | 58% | 80% | 99% | 78% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolio serves as an underlying investment vehicle. Total return during all of the periods shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
39
Financial highlights
Delaware Ivy VIP Corporate Bond Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | |||||||||||||||||||||||||
ended | |||||||||||||||||||||||||
6/30/221 | Year ended | ||||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 5.63 | $ | 6.05 | $ | 5.60 | $ | 5.13 | $ | 5.35 | $ | 5.27 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income2 | 0.05 | 0.11 | 0.14 | 0.15 | 0.14 | 0.12 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (0.85 | ) | (0.17 | ) | 0.46 | 0.47 | (0.24 | ) | 0.08 | ||||||||||||||||
Total from investment operations | (0.80 | ) | (0.06 | ) | 0.60 | 0.62 | (0.10 | ) | 0.20 | ||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Net investment income | (0.12 | ) | (0.12 | ) | (0.15 | ) | (0.15 | ) | (0.11 | ) | (0.08 | ) | |||||||||||||
Net realized gain | (0.14 | ) | (0.24 | ) | — | — | (0.01 | ) | (0.04 | ) | |||||||||||||||
Total dividends and distributions | (0.26 | ) | (0.36 | ) | (0.15 | ) | (0.15 | ) | (0.12 | ) | (0.12 | ) | |||||||||||||
Net asset value, end of period | $ | 4.57 | $ | 5.63 | $ | 6.05 | $ | 5.60 | $ | 5.13 | $ | 5.35 | |||||||||||||
Total return3 | (14.33% | ) | (0.85% | ) | 10.97% | 12.18% | (1.90% | ) | 4.01% | ||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 522,861 | $ | 668 | 4 | $ | 685 | 4 | $ | 600 | 4 | $ | 544 | 4 | $ | 548 | 4 | ||||||||
Ratio of expenses to average net assets5 | 0.78% | 0.76% | 0.77% | 0.77% | 0.77% | 0.78% | |||||||||||||||||||
Ratio of net investment income to average net assets5 | 2.14% | 1.90% | 2.34% | 2.73% | 2.77% | 2.32% | |||||||||||||||||||
Portfolio turnover | 36% | 85% | 95% | 66% | 63% | 66% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
40
Delaware Ivy VIP Global Equity Income Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | |||||||||||||||||||||||||
ended | |||||||||||||||||||||||||
6/30/221 | Year ended | ||||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 6.89 | $ | 6.02 | $ | 6.01 | $ | 6.89 | $ | 8.58 | $ | 7.79 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income2 | 0.06 | 0.14 | 0.12 | 0.16 | 0.16 | 0.13 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (1.02 | ) | 0.87 | 0.03 | 1.17 | (1.07 | ) | 1.03 | |||||||||||||||||
Total from investment operations | (0.96 | ) | 1.01 | 0.15 | 1.33 | (0.91 | ) | 1.16 | |||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Net investment income | (0.23 | ) | (0.14 | ) | (0.14 | ) | (0.22 | ) | (0.14 | ) | (0.10 | ) | |||||||||||||
Net realized gain | (1.46 | ) | — | — | (1.99 | ) | (0.64 | ) | (0.27 | ) | |||||||||||||||
Total dividends and distributions | (1.69 | ) | (0.14 | ) | (0.14 | ) | (2.21 | ) | (0.78 | ) | (0.37 | ) | |||||||||||||
Net asset value, end of period | $ | 4.24 | $ | 6.89 | $ | 6.02 | $ | 6.01 | $ | 6.89 | $ | 8.58 | |||||||||||||
Total return3 | (14.72% | ) | 16.97% | 3.15% | 23.15% | (11.68% | ) | 15.56% | |||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 234,816 | $ | 294 | 4 | $ | 315 | 4 | $ | 297 | 4 | $ | 284 | 4 | $ | 527 | 4 | ||||||||
Ratio of expenses to average net assets5 | 1.03% | 1.01% | 1.03% | 1.02% | 1.01% | 1.00% | |||||||||||||||||||
Ratio of net investment income to average net assets | 1.93% | 2.14% | 2.19% | 2.52% | 2.01% | 1.60% | |||||||||||||||||||
Portfolio turnover | 23% | 109% | 73% | 39% | 93% | 35% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
41
Financial highlights
Delaware Ivy VIP Global Growth Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | |||||||||||||||||||||||||
ended | |||||||||||||||||||||||||
6/30/221 | Year ended | ||||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 4.81 | $ | 4.29 | $ | 3.58 | $ | 8.67 | $ | 9.87 | $ | 8.14 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income2 | 0.01 | 0.02 | — | 0.02 | 0.05 | 0.04 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (1.05 | ) | 0.72 | 0.72 | 1.45 | (0.58 | ) | 1.93 | |||||||||||||||||
Total from investment operations | (1.04 | ) | 0.74 | 0.72 | 1.47 | (0.53 | ) | 1.97 | |||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Net investment income | (0.03 | ) | — | 0.01 | (0.06 | ) | (0.05 | ) | — | ||||||||||||||||
Net realized gain | (0.59 | ) | (0.22 | ) | — | (6.50 | ) | (0.62 | ) | (0.24 | ) | ||||||||||||||
Total dividends and distributions | (0.62 | ) | (0.22 | ) | (0.01 | ) | (6.56 | ) | (0.67 | ) | (0.24 | ) | |||||||||||||
Net asset value, end of period | $ | 3.15 | $ | 4.81 | $ | 4.29 | $ | 3.58 | $ | 8.67 | $ | 9.87 | |||||||||||||
Total return3 | (21.96% | ) | 17.86% | 20.58% | 25.93% | (6.27% | ) | 24.52% | |||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 117,004 | $ | 160 | 4 | $ | 156 | 4 | $ | 148 | 4 | $ | 134 | 4 | $ | 424 | 4 | ||||||||
Ratio of expenses to average net assets5 | 1.13% | 1.13% | 1.13% | 1.13% | 1.13% | 1.14% | |||||||||||||||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.22% | 1.18% | 1.23% | 1.21% | 1.18% | 1.17% | |||||||||||||||||||
Ratio of net investment income to average net assets | 0.29% | 0.43% | 0.06% | 0.41% | 0.46% | 0.47% | |||||||||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 0.20% | 0.38% | (0.04% | ) | 0.33% | 0.41% | 0.44% | ||||||||||||||||||
Portfolio turnover | 53% | 22% | 33% | 26% | 40% | 54% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. Total return during all of the periods shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
42
Delaware Ivy VIP Limited-Term Bond Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | |||||||||||||||||||||||||
ended | |||||||||||||||||||||||||
6/30/221 | Year ended | ||||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | ||||||||||||||||||||
Net asset value, beginning of period | $ | 4.89 | $ | 5.01 | $ | 4.95 | $ | 4.84 | $ | 4.88 | $ | 4.89 | |||||||||||||
Income (loss) from investment operations: | |||||||||||||||||||||||||
Net investment income2 | 0.03 | 0.05 | 0.08 | 0.09 | 0.09 | 0.08 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (0.22 | ) | (0.07 | ) | 0.12 | 0.11 | (0.05 | ) | (0.01 | ) | |||||||||||||||
Total from investment operations | (0.19 | ) | (0.02 | ) | 0.20 | 0.20 | 0.04 | 0.07 | |||||||||||||||||
Less dividends and distributions from: | |||||||||||||||||||||||||
Net investment income | (0.06 | ) | (0.08 | ) | (0.14 | ) | (0.09 | ) | (0.08 | ) | (0.08 | ) | |||||||||||||
Net realized gain | (0.04 | ) | (0.02 | ) | — | — | — | — | |||||||||||||||||
Total dividends and distributions | (0.10 | ) | (0.10 | ) | (0.14 | ) | (0.09 | ) | (0.08 | ) | (0.08 | ) | |||||||||||||
Net asset value, end of period | $ | 4.60 | $ | 4.89 | $ | 5.01 | $ | 4.95 | $ | 4.84 | $ | 4.88 | |||||||||||||
Total return3 | (3.85% | ) | (0.49% | ) | 4.14% | 4.23% | 0.78% | 1.40% | |||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 331,838 | $ | 391 | 4 | $ | 430 | 4 | $ | 453 | 4 | $ | 542 | 4 | $ | 443 | 4 | ||||||||
Ratio of expenses to average net assets5 | 0.81% | 0.79% | 0.81% | 0.79% | 0.79% | 0.80% | |||||||||||||||||||
Ratio of net investment income to average net assets | 1.17% | 1.05% | 1.60% | 1.89% | 1.91% | 1.62% | |||||||||||||||||||
Portfolio turnover | 98% | 48% | 74% | 54% | 53% | 55% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
43
Financial highlights
Delaware Ivy VIP Securian Real Estate Securities Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.77 | $ | 6.97 | $ | 8.05 | $ | 6.60 | $ | 7.64 | $ | 8.40 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.07 | 0.06 | 0.07 | 0.17 | 0.10 | 0.11 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.98 | ) | 2.95 | (0.46 | ) | 1.43 | (0.54 | ) | 0.27 | |||||||||||||||
Total from investment operations | (1.91 | ) | 3.01 | (0.39 | ) | 1.60 | (0.44 | ) | 0.38 | |||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.07 | ) | (0.08 | ) | (0.12 | ) | (0.12 | ) | (0.11 | ) | (0.11 | ) | ||||||||||||
Net realized gain | (1.07 | ) | (0.13 | ) | (0.57 | ) | (0.03 | ) | (0.49 | ) | (1.03 | ) | ||||||||||||
Total dividends and distributions | (1.14 | ) | (0.21 | ) | (0.69 | ) | (0.15 | ) | (0.60 | ) | (1.14 | ) | ||||||||||||
Net asset value, end of period | $ | 6.72 | $ | 9.77 | $ | 6.97 | $ | 8.05 | $ | 6.60 | $ | 7.64 | ||||||||||||
Total return3 | (19.97% | ) | 43.68% | (3.13% | ) | 24.43% | (5.57% | ) | 5.39% | |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 30,957 | $ | 41 | 4 | $ | 31 | $ | 35 | 4 | $ | 34 | 4 | $ | 43 | 4 | ||||||||
Ratio of expenses to average net assets | 1.25% | 1.21% | 1.37% | 1.26% | 1.24% | 1.22% | ||||||||||||||||||
Ratio of expenses to average net assets prior to | ||||||||||||||||||||||||
fees waived5 | 1.29% | 1.30% | 1.46% | 1.35% | 1.33% | 1.31% | ||||||||||||||||||
Ratio of net investment income to average net | ||||||||||||||||||||||||
assets5 | 1.56% | 0.71% | 1.06% | 1.36% | 1.45% | 1.38% | ||||||||||||||||||
Ratio of net investment income to average net | ||||||||||||||||||||||||
assets prior to fees waived | 1.52% | 0.62% | 0.97% | 1.27% | 1.36% | 1.29% | ||||||||||||||||||
Portfolio turnover | 19% | 57% | 72% | 54% | 71% | 73% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. Total return during all of the periods shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
44
Delaware Ivy VIP Value Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 8.24 | $ | 6.40 | $ | 6.72 | $ | 5.69 | $ | 6.44 | $ | 5.93 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.06 | 0.08 | 0.09 | 0.11 | 0.07 | 0.11 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.81 | ) | 1.90 | (0.05 | ) | 1.32 | (0.51 | ) | 0.61 | |||||||||||||||
Total from investment operations | (0.75 | ) | 1.98 | 0.04 | 1.43 | (0.44 | ) | 0.72 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.10 | ) | (0.14 | ) | (0.12 | ) | (0.05 | ) | (0.12 | ) | (0.09 | ) | ||||||||||||
Net realized gain | (2.16 | ) | — | (0.24 | ) | (0.35 | ) | (0.19 | ) | (0.12 | ) | |||||||||||||
Total dividends and distributions | (2.26 | ) | (0.14 | ) | (0.36 | ) | (0.40 | ) | (0.31 | ) | (0.21 | ) | ||||||||||||
Net asset value, end of period | $ | 5.23 | $ | 8.24 | $ | 6.40 | $ | 6.72 | $ | 5.69 | $ | 6.44 | ||||||||||||
Total return3 | (10.58% | ) | 31.18% | 1.98% | 26.33% | (7.24% | ) | 12.49% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 363,744 | $ | 370 | 4 | $ | 465 | 4 | $ | 511 | 4 | $ | 446 | 4 | $ | 432 | 4 | |||||||
Ratio of expenses to average net assets5 | 1.01% | 1.00% | 1.01% | 1.00% | 1.00% | 1.00% | ||||||||||||||||||
Ratio of net investment income to average net | ||||||||||||||||||||||||
assets | 1.63% | 1.11% | 1.57% | 1.81% | 1.09% | 1.74% | ||||||||||||||||||
Portfolio turnover | 38% | 41% | 63% | 62% | 56% | 67% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
45
Notes to financial statements
Ivy Variable Insurance Portfolios
June 30, 2022 (Unaudited)
Ivy Variable Insurance Portfolios (Trust) is organized as a Delaware statutory trust and offers 26 portfolios. These financial statements and the related notes pertain to 7 portfolios: Delaware Ivy VIP Core Equity, Delaware Ivy VIP Corporate Bond, Delaware Ivy VIP Global Equity Income, Delaware Ivy VIP Global Growth, Delaware Ivy VIP Limited-Term Bond, Delaware Ivy VIP Securian Real Estate Securities, and Delaware Ivy VIP Value, (each, a Portfolio and collectively, the Portfolios). The Trust is an open-end investment company.
Each Portfolio offers Class II shares. The Class II shares carry a distribution and service (12b-1) fee. The shares of the Portfolios are sold only to variable life insurance separate accounts and variable annuity separate accounts.
1. Significant Accounting Policies
Each Portfolio follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Portfolios.
Security Valuation — Equity securities and exchange-traded funds (ETFs), except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities and ETFs traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security or ETF does not trade, the mean between the bid and ask prices will be used, which approximates fair value. Equity securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. US government and agency securities are valued at the mean between the bid and ask prices, which approximates fair value. Other debt securities are valued based upon valuations provided by an independent pricing service or broker and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. For asset-backed securities, collateralized mortgage obligations (CMOs), commercial mortgage securities, and US government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity, and type as well as broker/dealer-supplied prices. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and the ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Futures contracts and options on futures contracts are valued at the daily quoted settlement prices. Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and ask prices, which approximates fair value. Open-end investment companies are valued at their published net asset value (NAV). Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Trust’s Board of Trustees (Board). In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. The Portfolios may use fair value pricing more frequently for securities traded primarily in non-US markets because, among other things, most foreign markets close well before the Portfolios value their securities, generally as of 4:00pm Eastern time. The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, government actions or pronouncements, aftermarket trading, or news events may have occurred in the interim. Whenever such a significant event occurs, the Portfolios may value foreign securities using fair value prices based on third-party vendor modeling tools (international fair value pricing). Restricted securities are valued at fair value using methods approved by the Board.
Federal and Foreign Income Taxes — No provision for federal income taxes has been made as each Portfolio intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. Each Portfolio evaluates tax positions taken or expected to be taken in the course of preparing each Portfolio's tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed each Portfolio's tax positions taken or expected to be taken on each Portfolio's federal income tax returns through the six months ended June 30, 2022, and for all open tax years (years ended December 31, 2018–December 31, 2021), and has concluded that no provision for federal income tax is required in each Portfolio's financial statements. In regard to foreign taxes only, each Portfolio has open tax years in certain foreign countries in which it invests in that may date back to the inception of each Portfolio. If applicable, each Portfolio recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statements of operations.” During the six months ended June 30, 2022, the Portfolios did not incur any interest or tax penalties.
46
Foreign Currency Transactions — Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date. The value of all assets and liabilities denominated in foreign currencies is translated daily into US dollars at the exchange rate of such currencies against the US dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Portfolios generally bifurcate that portion of realized gains and losses on investments in debt securities which is due to changes in foreign exchange rates from that which is due to changes in market prices of debt securities. That portion of gains (losses), which is due to changes in foreign exchange rates, is included on the “Statements of operations” under “Net realized gain (loss) on foreign currencies.” For foreign equity securities, the realized gains and losses are included on the “Statements of operations” under “Net realized gain (loss) on investments.” The Portfolios report certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Use of Estimates — The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to a Portfolio are charged directly to that Portfolio. Other expenses common to various funds within the Delaware Funds by Macquarie® (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on the accrual basis. Income and capital gain distributions from any Underlying Funds in which the Portfolio invests are recorded on the ex-dividend date. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively, over the lives of the respective securities using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Realized gains (losses) on paydowns of asset- and mortgage-backed securities are classified as interest income. Distributions received from investments in real estate investment trusts (REITs) are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distributions by the issuer, which are estimated. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Portfolios are aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends and interest have been recorded in accordance with the Portfolios' understanding of the applicable country’s tax rules and rates. Each Portfolio may pay foreign capital gains taxes on certain foreign securities held, which are reported as components of realized losses for financial reporting purposes, whereas such components are treated as ordinary loss for federal income tax purposes. The Portfolios declare and pay dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Portfolios may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
Each Portfolio receives earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. The expenses paid under this arrangement are included on the “Statements of operations” under “Custodian fees” with the corresponding expenses offset included under “Less expenses paid indirectly.” There were no such earnings credits for the six months ended June 30, 2022.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its respective investment management agreement, each Portfolio pays Delaware Management Company (DMC), a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly, based on each Portfolio's average daily net assets as follows:
Portfolio | Management Fee (annual rate as a percentage of average daily net assets) | |
Delaware Ivy VIP Core Equity | 0.70% of net assets up to $1 billion; | |
0.65% of net assets over $1 billion and up to $2 billion; | ||
0.60% of net assets over $2 billion and up to $3 billion; | ||
0.55% of net assets over $3 billion. |
47
Notes to financial statements
Ivy Variable Insurance Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
Portfolio | Management Fee (annual rate as a percentage of average daily net assets) | |
Delaware Ivy VIP Corporate Bond | 0.475% of net assets up to $1 billion; | |
0.450% of net assets over $1 billion and up to $1.5 billion; | ||
0.40% of net assets over $1.5 billion. | ||
Delaware Ivy VIP Global Equity Income | 0.70% of net assets up to $1 billion; | |
0.65% of net assets over $1 billion and up to $2 billion; | ||
0.60% of net assets over $2 billion and up to $3 billion; | ||
0.55% of net assets over $3 billion. | ||
Delaware Ivy VIP Global Growth | 0.85% of net assets up to $1 billion; | |
0.83% of net assets over $1 billion and up to $2 billion; | ||
0.80% of net assets over $2 billion and up to $3 billion; | ||
0.76% of net assets over $3 billion. | ||
Delaware Ivy VIP Limited-Term Bond | 0.50% of net assets up to $500 million; | |
0.45% of net assets over $500 million and up to $1 billion; | ||
0.40% of net assets over $1 billion and up to $1.5 billion; | ||
0.35% of net assets over $1.5 billion. | ||
Delaware Ivy VIP Securian Real Estate | ||
Securities | 0.90% of net assets up to $1 billion; | |
0.87% of net assets over $1 billion and up to $2 billion; | ||
0.84% of net assets over $2 billion and up to $3 billion; | ||
0.80% of net assets over $3 billion. | ||
Delaware Ivy VIP Value | 0.70% of net assets up to $1 billion; | |
0.65% of net assets over $1 billion and up to $2 billion; | ||
0.60% of net assets over $2 billion and up to $3 billion; | ||
0.55% of net assets over $3 billion. |
DMC has entered into sub-advisory agreements with the following entities on behalf of the Portfolios:
Under an agreement between DMC and Securian Asset Management, Inc. (Securian AM), Securian AM served as subadviser to Delaware Ivy VIP Securian Real Estate Securities. The subadviser makes investment decisions in accordance with the Portfolio’s investment objectives, policies and restrictions under the supervision of DMC and the oversight of the Board. DMC pays all applicable costs of the subadviser.
Macquarie Investment Management Austria Kapitalanlage AG (MIMAK), Macquarie Investment Management Europe Limited (MIMEL), Macquarie Investment Management Global Limited (MIMGL) and Macquarie Funds Management Hong Kong Limited (MFMHKL), each of which is an affiliate of DMC (the Affiliated Sub-Advisors).
MIMAK is a part of Macquarie Asset Management (MAM). MAM is the marketing name for certain companies comprising the asset management division of Macquarie Group Limited. With respect to the Portfolios for which MIMAK serves as subadvisor, DMC has principal responsibility for all investment advisory services and may seek investment advice and recommendations from MIMAK and DMC may also permit MIMAK to execute Portfolio security trades on behalf of DMC and exercise investment discretion for securities in certain markets where DMC believes it will be beneficial to utilize MIMAK's specialized market knowledge.
With respect to the Portfolios for which MIMEL serves as subadvisor, DMC may seek investment advice and recommendations from MIMEL and DMC may also permit MIMEL to execute Portfolio security trades on behalf of DMC and exercise investment discretion for securities in certain markets where DMC believes it will be beneficial to utilize MIMEL’s specialized market knowledge.
48
With respect to the Portfolios for which MIMGL serves as subadvisor, DMC has principal responsibility for each Portfolio and may seek investment advice and recommendations from MIMGL and DMC may also permit MIMGL to execute Portfolio security trades on behalf of DMC and exercise investment discretion for securities in certain markets where DMC believes it will be beneficial to utilize MIMGL’s specialized market knowledge.
MFMHKL is a part of MAM. With respect to the Portfolios for which MFMHKL serves as subadvisor, DMC may permit MFMHKL to execute Portfolio security trades on behalf of DMC.
Pursuant to the terms of the relevant sub-advisory agreement, the investment sub-advisory fee is paid by DMC to each Affiliated Sub-Advisor based on the extent to which an Affiliated Sub-Advisor provides services to the Portfolios.
Prior to January 18, 2022 (for Delaware Ivy VIP Core Equity, Delaware Ivy VIP Global Equity Income, Delaware Ivy VIP Global Growth, and Delaware Ivy VIP Value), January 31, 2022 (for Delaware Ivy VIP Corporate Bond and Delaware Ivy VIP Limited-Term Bond) and February 28, 2022 (for Delaware Ivy VIP Securian Real Estate Securities), the Portfolios had an Accounting Services Agreement with Waddell & Reed Services Company (WRSCO), doing business as WI Services Company (WISC). Under the agreement, WISC acted as the agent in providing bookkeeping and accounting services and assistance to each Portfolio, including maintenance of Portfolio records, pricing of Portfolio shares and preparation of certain shareholder reports. For these services, each Portfolio paid 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) | Annual Fee Rate | ||
$0 to $10M | $ | 0 | |
$10 to $25M | 11,496 | ||
$25 to $50M | 48,396 | ||
$50 to $100M | 82,500 | ||
$100 to $200M | 23,100 | ||
$200 to $350M | 35,496 | ||
$350 to $550M | 63,204 | ||
$550 to $750M | 96,300 | ||
$750 to $1,000M | 121,596 | ||
Over $1,000M | 148,500 |
In addition, each Portfolio paid 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 was voluntarily waived by WISC until each Portfolio’s net assets were at least $10 million and is included in “Accounting and administration expenses” on the "Statements of operations.”
Effective January 18, 2022 (for Delaware Ivy VIP Core Equity, Delaware Ivy VIP Global Equity Income, Delaware Ivy VIP Global Growth, and Delaware Ivy VIP Value), January 31, 2022 (for Delaware Ivy VIP Corporate Bond and Delaware Ivy VIP Limited-Term Bond) and February 28, 2022 (for Delaware Ivy VIP Securian Real Estate Securities), Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to each Portfolio. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $45 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative NAV basis. These amounts are included on the “Statements of operations” under “Accounting and administration expenses.” From the effective dates mentioned above to June 30, 2022, each Portfolio was charged for these services as follows:
Portfolio | Fees | ||
Delaware Ivy VIP Core Equity | $ | 22,066 | |
Delaware Ivy VIP Corporate Bond | 20,583 | ||
Delaware Ivy VIP Global Equity Income | 11,477 | ||
Delaware Ivy VIP Global Growth | 7,981 | ||
Delaware Ivy VIP Limited-Term Bond | 14,886 | ||
Delaware Ivy VIP Securian Real Estate Securities | 5,790 | ||
Delaware Ivy VIP Value | 15,002 |
49
Notes to financial statements
Ivy Variable Insurance Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
Prior to June 27, 2022, under a Transfer Agency Agreement between the Trust and WISC, each Portfolio reimbursed WISC for certain out-of-pocket costs. Effective June 27, 2022, DIFSC is also the transfer agent and dividend disbursing agent of the Portfolios. For these services, DIFSC’s fees are calculated daily and paid monthly, at the annual rate of 0.0075% of the Portfolios’ average daily net assets. There were no fees paid for these services from June 27, 2022 through June 30, 2022.
Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), effective June 27, 2022, BNYMIS provides certain sub-transfer agency services to each Portfolio. Sub-transfer agency fees are paid by each Portfolio and are also included on the “Statements of operations” under “Dividend disbursing and transfer agent fees and expenses.” The fees are calculated daily and paid as invoices are received on a monthly or quarterly basis.
Pursuant to a distribution agreement and distribution plan, each Portfolio pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual 12b-1 fee of 0.25% of the average daily net assets of the Class II shares. The fees are calculated daily and paid monthly.
From January 1, 2022, (except as noted below) DMC (through April 29, 2023) and WRSCO (through June 24, 2022) have contractually agreed to waive all or a portion of its investment advisory fees and/or pay/reimburse expenses (excluding acquired fund fees and expenses, taxes, interest, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations) as follows:
Operating expense | |||||
limitation as a | |||||
percentage of average | |||||
daily net assets | |||||
Portfolio | Class I Shares | ||||
Delaware Ivy VIP Core Equity | 0.95% | ||||
Delaware Ivy VIP Global Growth | 1.13% | ||||
Delaware Ivy VIP Securian Real Estate Securities1 | 1.21% | 1 |
1 | Effective April 29, 2022. Prior to April 29, 2022, the Portfolio’s investment management fee was reduced by 0.09% of average daily net assets. |
As provided in the investment management agreement, each Portfolio bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal and regulatory reporting services to each Portfolio. These amounts are included on the “Statements of operations” under “Legal fees.” For the six months ended June 30, 2022, each Portfolio was charged for internal legal and regulatory reporting services provided by DMC and/or its affiliates’ employees as follows:
Portfolio | Fees | ||
Delaware Ivy VIP Core Equity | $ | 879 | |
Delaware Ivy VIP Corporate Bond | 721 | ||
Delaware Ivy VIP Global Equity Income | 945 | ||
Delaware Ivy VIP Global Growth | 170 | ||
Delaware Ivy VIP Limited-Term Bond | 426 | ||
Delaware Ivy VIP Securian Real Estate Securities | 47 | ||
Delaware Ivy VIP Value | 481 |
Trustees’ fees include expenses accrued by each Portfolio for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Portfolios.
In addition to the management fees and other expenses of a Portfolio, a Portfolio indirectly bears the investment management fees and other expenses of any Underlying Funds including ETF in which it invests. The amount of these fees and expenses incurred indirectly by a Portfolio will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of any Underlying Funds at different times.
Cross trades for the six months ended June 30, 2022, were executed by the Portfolios pursuant to procedures adopted by the Board designed to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds of
50
investment companies, or between a fund of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment advisor (or affiliated investment advisors), common directors/trustees and/or common officers. At its regularly scheduled meetings, the Board reviews a report related to the Portfolios' compliance with the procedures adopted by the Board. Pursuant to these procedures, for the six months ended June 30, 2022, the following Portfolios engaged in Rule 17a-7 securities purchases and securities sales, which resulted in net gains or losses as follows:
Purchases | Sales | Net realized gain (loss) | ||||
Delaware Ivy VIP Global Growth | $— | $1,126,527 | $225,645 |
3. Investments
For the six months ended June 30, 2022, each Portfolio made purchases and sales of investment securities other than short-term investments as follows:
Purchases | Sales | |||||||||||||||||||
other than | Purchases of | other than | Sales of | |||||||||||||||||
US government | US government | US government | US government | |||||||||||||||||
Portfolio | securities | securities | securities | securities | ||||||||||||||||
Delaware Ivy VIP Core Equity | $ | 205,293,793 | $ | — | $ | 214,877,229 | $ | — | ||||||||||||
Delaware Ivy VIP Corporate Bond | 193,198,347 | 15,071,247 | 254,031,074 | 7,505,891 | ||||||||||||||||
Delaware Ivy VIP Global Equity Income | 59,089,536 | — | 74,039,983 | — | ||||||||||||||||
Delaware Ivy VIP Global Growth | 72,358,717 | — | 80,496,752 | — | ||||||||||||||||
Delaware Ivy VIP Limited-Term Bond | 105,636,976 | 243,092,276 | 87,129,916 | 307,577,872 | ||||||||||||||||
Delaware Ivy VIP Securian Real Estate Securities | 7,024,892 | — | 9,308,930 | — | ||||||||||||||||
Delaware Ivy VIP Value | 178,640,631 | — | 142,534,222 | — |
At June 30, 2022, the cost and unrealized appreciation (depreciation) of investments and derivatives for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2022, the cost and unrealized appreciation (depreciation) of investments and derivatives for each Portfolio were as follows:
Aggregate | Aggregate | Net unrealized | ||||||||||||||||||||
unrealized | unrealized | appreciation | ||||||||||||||||||||
Cost of | appreciation | depreciation | (depreciation) | |||||||||||||||||||
investments | of investments | of investments | of investments | |||||||||||||||||||
Portfolio | and derivatives | and derivatives | and derivatives | and derivatives | ||||||||||||||||||
Delaware Ivy VIP Core Equity | $ | 549,043,882 | $ | 97,982,047 | $ | (37,556,257 | ) | $ | 60,425,790 | |||||||||||||
Delaware Ivy VIP Corporate Bond | 591,961,185 | 1,123,244 | (74,603,633 | ) | (73,480,389 | ) | ||||||||||||||||
Delaware Ivy VIP Global Equity Income | 266,507,453 | 7,227,893 | (39,653,139 | ) | (32,425,246 | ) | ||||||||||||||||
Delaware Ivy VIP Global Growth | 112,498,182 | 19,319,186 | (14,837,572 | ) | 4,481,614 | |||||||||||||||||
Delaware Ivy VIP Limited-Term Bond | 346,449,627 | 52,348 | (11,414,125 | ) | (11,361,777 | ) | ||||||||||||||||
Delaware Ivy VIP Securian Real Estate Securities | 31,723,695 | 1,980,987 | (2,778,981 | ) | (797,994 | ) | ||||||||||||||||
Delaware Ivy VIP Value | 355,592,668 | 39,887,007 | (31,959,860 | ) | 7,927,147 |
US GAAP defines fair value as the price that each Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established 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 assumptions that market participants would use in pricing the
51
Notes to financial statements
Ivy Variable Insurance Portfolios
3. Investments (continued)
asset or liability based on the best information available under the circumstances. Each Portfolio's investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized as follows:
Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
Level 2 – | Other observable inputs, including, but 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. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
Level 3 – | Significant unobservable inputs, including each Portfolio's own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. Each Portfolio may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following tables summarize the valuation of each Portfolio’s investments by fair value hierarchy levels as of June 30, 2022:
Delaware Ivy | |||||
VIP Core Equity | |||||
Level 1 | |||||
Securities | |||||
Assets: | |||||
Common Stocks | $ | 567,035,558 | |||
Short-Term Investments | 42,434,114 | ||||
Total Value of Securities | $ | 609,469,672 |
Delaware Ivy VIP Corporate Bond | |||||||||||||||
Level 1 | Level 2 | Total | |||||||||||||
Securities | |||||||||||||||
Assets: | |||||||||||||||
Agency Collateralized Mortgage Obligations | $ | — | $ | — | $ | — | |||||||||
Convertible Bond | — | 513,986 | 513,986 | ||||||||||||
Corporate Bonds | — | 484,716,199 | 484,716,199 | ||||||||||||
Municipal Bonds | — | 5,171,267 | 5,171,267 | ||||||||||||
Non-Agency Asset-Backed Securities | — | 6,001,522 | 6,001,522 | ||||||||||||
Sovereign Bonds | — | 2,456,035 | 2,456,035 | ||||||||||||
US Treasury Obligations | — | 6,162,515 | 6,162,515 | ||||||||||||
Short-Term Investments | 13,459,272 | — | 13,459,272 | ||||||||||||
Securities Lending Collateral | 5,723,390 | — | 5,723,390 | ||||||||||||
Total Value of Securities | $ | 19,182,662 | $ | 505,021,524 | $ | 524,204,186 |
52
Delaware Ivy VIP Global Equity Income | |||||||||||||||
Level 1 | Level 3 | Total | |||||||||||||
Securities | |||||||||||||||
Assets: | |||||||||||||||
Common Stocks | |||||||||||||||
Communication Services | $ | 6,033,814 | $ | — | $ | 6,033,814 | |||||||||
Consumer Discretionary | 22,139,060 | — | 22,139,060 | ||||||||||||
Consumer Staples | 94,133,262 | — | 94,133,262 | ||||||||||||
Energy | 513 | 24,111 | 24,624 | ||||||||||||
Financials | 75,232 | — | 75,232 | ||||||||||||
Healthcare | 57,253,561 | — | 57,253,561 | ||||||||||||
Industrials | 19,220,713 | — | 19,220,713 | ||||||||||||
Information Technology | 22,827,342 | — | 22,827,342 | ||||||||||||
Materials | 8,594,841 | — | 8,594,841 | ||||||||||||
Utilities | 89,035 | — | 89,035 | ||||||||||||
Exchange-Traded Fund | 3,049,075 | — | 3,049,075 | ||||||||||||
Short-Term Investments | 641,648 | — | 641,648 | ||||||||||||
Securities Lending Collateral | 11,966,652 | — | 11,966,652 | ||||||||||||
Total Value of Securities | $ | 246,024,748 | $ | 24,111 | $ | 246,048,859 |
Delaware Ivy | |||||
VIP Global | |||||
Growth | |||||
Level 1 | |||||
Securities | |||||
Assets: | |||||
Common Stocks | $ | 115,251,458 | |||
Short-Term Investments | 1,728,338 | ||||
Securities Lending Collateral | 78,373 | ||||
Total Value of Securities | $ | 117,058,169 |
Delaware Ivy VIP Limited-Term Bond | |||||||||||||||
Level 1 | Level 2 | Total | |||||||||||||
Securities | |||||||||||||||
Assets: | |||||||||||||||
Agency Collateralized Mortgage Obligations | $ | — | $ | 612,898 | $ | 612,898 | |||||||||
Agency Commercial Mortgage-Backed Securities | — | 45,393,095 | 45,393,095 | ||||||||||||
Agency Mortgage-Backed Security | — | 248,636 | 248,636 | ||||||||||||
Collateralized Debt Obligations | — | 22,020,854 | 22,020,854 | ||||||||||||
Corporate Bonds | — | 195,511,502 | 195,511,502 | ||||||||||||
Non-Agency Asset-Backed Securities | — | 10,795,667 | 10,795,667 | ||||||||||||
Supranational Bank | — | 496,702 | 496,702 | ||||||||||||
US Treasury Obligations | — | 52,367,902 | 52,367,902 | ||||||||||||
Short-Term Investments | 7,728,761 | — | 7,728,761 | ||||||||||||
Securities Lending Collateral | 5,383,988 | — | 5,383,988 | ||||||||||||
Total Value of Securities | $ | 13,112,749 | $ | 327,447,256 | $ | 340,560,005 |
53
Notes to financial statements
Ivy Variable Insurance Portfolios
3. Investments (continued)
Delaware Ivy VIP Limited-Term Bond | |||||||||||
Level 1 | Level 2 | Total | |||||||||
Derivatives1 | |||||||||||
Assets: | |||||||||||
Futures Contracts | $ | 38,200 | $ | — | $ | 38,200 | |||||
Liabilities: | |||||||||||
Futures Contracts | $ | (126,367 | ) | $ | — | $ | (126,367 | ) |
1 | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end. |
Delaware Ivy | |||||
VIP Securian | |||||
Real Estate | |||||
Securities | |||||
Level 1 | |||||
Securities | |||||
Assets: | |||||
Common Stocks | $ | 30,570,330 | |||
Short-Term Investments | 355,371 | ||||
Total Value of Securities | $ | 30,925,701 |
Delaware Ivy | ||||||
VIP Value | ||||||
Level 1 | ||||||
Securities | ||||||
Assets: | ||||||
Common Stocks | $ | 355,206,078 | ||||
Short-Term Investments | 8,368,811 | |||||
Total Value of Securities Before Options Written | $ | 363,574,889 | ||||
Liabilities: | ||||||
Options Written | $ | (252,765 | ) |
During the six months ended June 30, 2022, there were no transfers into or out of Level 3 investments that had a significant impact to each Portfolio. Each Portfolio’s policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when a Portfolio has a significant amount of Level 3 investments at the beginning or end of the period in relation to each Portfolio's net assets. Management has determined not to provide a reconciliation of Level 3 investments as the Level 3 investments were not considered significant to Delaware Ivy VIP Global Equity Income's net assets at the beginning, or end of the period. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments were not considered significant to Delaware Ivy VIP Global Equity Income's net assets at the end of the period. At June 30, 2022, Delaware Ivy VIP Core Equity, Delaware Ivy VIP Corporate Bond, Delaware Ivy VIP Global Equity Income, Delaware Ivy VIP Global Growth, Delaware Ivy VIP Securian Real Estate Securities and Delaware Ivy VIP Value had no Level 3 investments.
54
4. Capital Shares
Transactions in capital shares were as follows:
Delaware Ivy VIP Core Equity | Delaware Ivy VIP Corporate Bond | Delaware Ivy VIP Global Equity Income | ||||||||||||||||||||||||
Six months | Six months | Six months | ||||||||||||||||||||||||
ended | Year ended | ended | Year ended | ended | Year ended | |||||||||||||||||||||
6/30/22 | 12/31/21 | 6/30/22 | 12/31/21 | 6/30/22 | 12/31/21 | |||||||||||||||||||||
Shares sold: | ||||||||||||||||||||||||||
Class II | 5,688,058 | 725,598 | 3,442,908 | 27,486,227 | 1,691,198 | 2,753,932 | ||||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||||
Class II | 11,746,196 | 2,139,397 | 6,328,702 | 8,183,440 | 15,493,004 | 1,077,479 | ||||||||||||||||||||
17,434,254 | 2,864,995 | 9,771,610 | 35,669,667 | 17,184,202 | — | |||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||
Class II | (4,064,816 | ) | (12,603,405 | ) | (13,917,070 | ) | (30,213,037 | ) | (4,528,194 | ) | (13,470,189 | ) | ||||||||||||||
Net increase (decrease) | 13,369,438 | (9,738,410 | ) | (4,145,460 | ) | 5,456,630 | 12,656,008 | (9,638,778 | ) |
Delaware Ivy VIP Global Growth | Delaware Ivy VIP Limited-Term Bond | Delaware Ivy VIP Securian Real Estate Securities | ||||||||||||||||||||||||||||
Six months | Six months | Six months | ||||||||||||||||||||||||||||
ended | Year ended | ended | Year ended | ended | Year ended | |||||||||||||||||||||||||
6/30/22 | 12/31/21 | 6/30/22 | 12/31/21 | 6/30/22 | 12/31/21 | |||||||||||||||||||||||||
Shares sold: | ||||||||||||||||||||||||||||||
Class II | 485,290 | 697,690 | 2,749,543 | 15,426,726 | 250,049 | 599,493 | ||||||||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||||||||
Class II | 6,062,282 | 1,757,384 | 1,555,307 | 1,730,961 | 660,966 | 112,146 | ||||||||||||||||||||||||
6,547,572 | — | 4,304,850 | 17,157,687 | 911,015 | 711,639 | |||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||
Class II | (2,593,456 | ) | (5,540,553 | ) | (12,177,110 | ) | (23,001,819 | ) | (540,284 | ) | (932,336 | ) | ||||||||||||||||||
Net increase | 3,954,116 | (3,085 | ) | (7,872,260 | ) | (5,844,132 | ) | 370,731 | (220,697 | ) |
55
Notes to financial statements
Ivy Variable Insurance Portfolios
4. Capital Shares (continued)
Delaware Ivy VIP Value | ||||||
Six months | ||||||
ended | Year ended | |||||
6/30/22 | 12/31/21 | |||||
Shares sold: | ||||||
Class II | 10,929,484 | 1,830,507 | ||||
Shares issued upon reinvestment of dividends and distributions: | ||||||
Class II | 19,434,734 | 1,136,610 | ||||
30,364,218 | — | |||||
Shares redeemed: | ||||||
Class II | (5,716,613 | ) | (30,759,047 | ) | ||
Net increase (decrease) | 24,647,605 | (27,791,930 | ) |
5. Line of Credit
Each Portfolio, along with certain other funds in the Delaware Funds (Participants), is a participant in a $355,000,000 revolving line of credit (Agreement) intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the Agreement, the Participants are charged an annual commitment fee of 0.15% with the addition of an upfront fee of 0.05%, which is allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants are permitted to borrow up to a maximum of one-third of their net assets under the Agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the Agreement expires on October 31, 2022.
Each Portfolio had no amounts outstanding as of June 30, 2022, or at any time during the period then ended.
6. Interfund Lending Program
Pursuant to an exemptive order issued by the SEC (Order), the Ivy Funds and Ivy Variable Insurance Portfolios (collectively, the Funds only for purposes of this Note 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. This program was in existence in the past but has now been terminated. The Funds made no Interfund Loans under the Interfund Lending Program during the six months ended June 30, 2022.
7. Derivatives
US GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts — Each Portfolio may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. Each Portfolio may enter into these contracts to fix the US dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. Each Portfolio may also enter into these contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies. In addition, each Portfolio may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
56
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, each Portfolio could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. Each Portfolio's maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between each Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolio to cover each Portfolio's exposure to the counterparty. Open foreign currency exchange contracts, if any, are disclosed on the "Schedules of investments."
During the six months ended June 30, 2022, Delaware Ivy VIP Global Equity Income and Delaware Ivy VIP Global Growth used foreign currency exchange contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies to increase/ decrease exposure to foreign currencies and to facilitate or expedite the settlement of portfolio transactions.
During the six months ended June 30, 2022, Delaware Ivy VIP Global Value Equity Income and Delaware Ivy VIP Global Growth experienced net realized and unrealized gains or losses attributable to foreign currency holdings, which are disclosed on the “Statements of operations.”
Futures Contracts — A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. The Portfolios may use futures in the normal course of pursuing its investment objective. The Portfolios may invest in futures contracts to hedge its existing portfolio securities against fluctuations in fair value caused by changes in prevailing interest rates or market condition. Upon entering into a futures contract, the Portfolios deposit cash or pledge US government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Portfolios as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Portfolios because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Delaware Ivy VIP Limited-Term Bond posted $202,211 cash collateral as margin for open futures contracts, which is included in “Cash collateral due from broker on futures contracts” on the “Statements of assets and liabilities.” Open futures contracts, if any, are disclosed on the "Schedules of investments."
During the six months ended June 30, 2022, Delaware Ivy VIP Limited-Term Bond invested in futures contracts to hedge the Portfolio’s existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions. Delaware Ivy VIP Limited-Term Bond also invested in futures contracts as a cash management tool.
During the six month ended June 30, 2022, Delaware Ivy Limited-Term Bond experienced net realized and unrealized gains or losses attributable to futures contracts, which are disclosed on the “Statements of operations.”
Options Contracts — During the six months ended June 30, 2022, Delaware Ivy VIP Value entered into options contracts in the normal course of pursuing its investment objective. The Portfolio may buy or write options contracts for any number of reasons, including without limitation: to manage the Portfolio's exposure to changes in securities prices caused by interest rates or market conditions and foreign currencies; as an efficient means of adjusting the Portfolio’s overall exposure to certain markets; to protect the value of portfolio securities; and as a cash management tool. The Portfolio may buy or write call or put options on securities, futures, swaps, swaptions, financial indices, and foreign currencies. When the Portfolio buys an option, a premium is paid and an asset is recorded and adjusted on a daily basis to reflect the current market value of the option purchased. When the Portfolio writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the option written. Premiums received from writing options that expire unexercised are treated by the Portfolio on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is treated as realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Portfolio has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Portfolio. The Portfolio, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. When writing options, the Portfolio is subject to
57
Notes to financial statements
Ivy Variable Insurance Portfolios
7. Derivatives (continued)
minimal counterparty risk because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change. Delaware Ivy VIP Value pledged securities collateral valued at $23,964 as collateral for open options contracts. Open options contracts, if any, are disclosed on the "Schedules of investments."
During the six months ended June 30, 2022, Delaware Ivy VIP Value used options contracts to protect the value of portfolio securities, selling put options to purchase the underlying security for the Portfolio at a price lower than the current market value of the security and to facilitate investments in portfolio securities.
During the six months ended June 30, 2022, Delaware Ivy VIP Value experienced net realized and unrealized gains or losses attributable to options contracts, which are disclosed on the “Statements of operations.”
The table below summarizes the average quarterly balance of derivative holdings by each Portfolio during the six months ended June 30, 2022:
Long Derivative Volume | |||||
Delaware Ivy VIP Global Equity Income | |||||
Foreign currency exchange contracts (average notional value) | $ | 456,627 |
Long Derivative Volume | ||||||||||
Delaware Ivy VIP Global Growth | Delaware Ivy VIP Limited-Term Bond | |||||||||
Foreign currency exchange contracts (average notional value) | $ | 150,218 | $ | — | ||||||
Futures contracts (average notional value) | — | 17,708,292 |
Short Derivative Volume | |||||
Delaware Ivy VIP Global Equity Income | |||||
Foreign currency exchange contracts (average notional value) | $ | 83,741 |
Short Derivative Volume | ||||||||||
Delaware Ivy VIP Global Growth | Delaware Ivy VIP Limited-Term Bond | |||||||||
Foreign currency exchange contracts (average notional value) | $ | 487,675 | $ | — | ||||||
Futures contracts (average notional value) | — | 8,032,523 |
Short Derivative Volume | |||||
Delaware Ivy VIP Value | |||||
Options contracts (average notional value)* | $ | 219,130 |
* | Long represents purchased options and short represents written options. |
8. Offsetting
Each Portfolio entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties in order to better define its contractual rights and to secure rights that will help each Portfolio mitigate its counterparty risk. An ISDA Master Agreement is a bilateral agreement between each Portfolio and a counterparty that governs over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, each Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of
58
default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, each Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements on the “Statements of assets and liabilities.”
Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities
Securities lending transactions are entered into by the Portfolios under master securities lending agreements (each, an MSLA) which provide the right, in the event of default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate a net exposure to the defaulting party or request additional collateral. In the event that a borrower defaults, the Portfolios, as lender, would offset the market value of the collateral received against the market value of the securities loaned. When the value of the collateral is greater than that of the market value of the securities loaned, the lender is left with a net amount payable to the defaulting party. However, bankruptcy of insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of an MSLA counterparty’s bankruptcy or insolvency. Under the MSLA, the borrower can resell or re-pledge the loaned securities, and the Portfolios can reinvest cash collateral, or, upon an event of default, resell or re-pledge the collateral (see also Note 9).
As of June 30, 2022, the following table is a summary of the Portfolios' securities lending agreements by counterparty which are subject to offset under an MSLA:
Delaware Ivy VIP Core Equity
Fair Value of | ||||||||||
Securities | Cash | Non-Cash | Net | |||||||
Loaned | Collateral | Collateral | Collateral | |||||||
Counterparty | at Value | Received(a) | Received | Received | Net Exposure(b) | |||||
Bank of New York Mellon | $1,333,733 | $ — | $1,333,733 | $1,333,733 | $ — | |||||
Delaware Ivy VIP Corporate Bond | ||||||||||
Fair Value of | ||||||||||
Securities | Cash | Non-Cash | Net | |||||||
Loaned | Collateral | Collateral | Collateral | |||||||
Counterparty | at Value | Received(a) | Received | Received | Net Exposure(b) | |||||
Bank of New York Mellon | $24,844,843 | $5,723,390 | $19,121,453 | $24,844,843 | $ — | |||||
Delaware Ivy VIP Global Equity Income | ||||||||||
Fair Value of | ||||||||||
Securities | Cash | Non-Cash | Net | |||||||
Loaned | Collateral | Collateral | Collateral | |||||||
Counterparty | at Value | Received(a) | Received | Received | Net Exposure(b) | |||||
Bank of New York Mellon | $18,468,460 | $11,966,652 | $6,501,808 | $18,468,460 | $ — | |||||
Delaware Ivy VIP Global Growth | ||||||||||
Fair Value of | ||||||||||
Securities | Cash | Non-Cash | Net | |||||||
Loaned | Collateral | Collateral | Collateral | |||||||
Counterparty | at Value | Received(a) | Received | Received | Net Exposure(b) | |||||
Bank of New York Mellon | $1,774,336 | $78,373 | $1,695,963 | $1,774,336 | $ — | |||||
Delaware Ivy VIP Limited-Term Bond | ||||||||||
Fair Value of | ||||||||||
Securities | Cash | Non-Cash | Net | |||||||
Loaned | Collateral | Collateral | Collateral | |||||||
Counterparty | at Value | Received(a) | Received | Received | Net Exposure(b) | |||||
Bank of New York Mellon | $3,767,143 | $3,767,143 | $ — | $3,767,143 | $ — |
59
Notes to financial statements
Ivy Variable Insurance Portfolios
8. Offsetting (continued)
(a) The value of the related collateral exceeded the value of the derivatives and securities lending transactions as of June 30, 2022, as applicable.
(b) Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default.
9. Securities Lending
Each Portfolio, along with other funds in Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by each Portfolio of the Trust is generally invested in a series of individual separate accounts, each corresponding to a fund. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; certain money market funds; and asset-backed securities. Each Portfolio can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to each Portfolio or, at the discretion of the lending agent, replace the loaned securities. Each Portfolio continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. Each Portfolio has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, each Portfolio receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among each Portfolio, the security lending agent, and the borrower. Each Portfolio records security lending income net of allocations to the security lending agent and the borrower.
Each Portfolio may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in each collateral investment account defaulted or became impaired. Under those circumstances, the value of each Portfolio's cash collateral account may be less than the amount each Portfolio would be required to return to the borrowers of the securities and each Portfolio would be required to make up for this shortfall.
60
The following table reflects a breakdown of transactions accounted for as secured borrowings, the gross obligation by the type of collateral pledged, and the remaining contractual maturity of those transactions as of June 30, 2022:
Overnight | |||||||||||||||||||||
and | Under | Between | Over | ||||||||||||||||||
Securities Lending Transactions | continuous | 30 days | 30 & 90 days | 90 Days | Total | ||||||||||||||||
Delaware Ivy VIP Corporate Bond | |||||||||||||||||||||
Money market mutual fund | $ | 5,723,390 | $ | — | $ | — | $ | — | $ | 5,723,390 | |||||||||||
Delaware Ivy VIP Global Equity Income | |||||||||||||||||||||
Money market mutual fund | 11,966,652 | — | — | — | 11,966,652 | ||||||||||||||||
Delaware Ivy VIP Global Growth | |||||||||||||||||||||
Money market mutual fund | 78,373 | — | — | — | 78,373 | ||||||||||||||||
Delaware Ivy VIP Limited-Term Bond | |||||||||||||||||||||
Money market mutual fund | 5,383,988 | — | — | — | 5,383,988 |
The following is a summary of each Portfolio’s securities lending positions and related cash and non-cash collateral received as of June 30, 2022:
Values of non- | |||||||||||||||
Values of securities on loan | cash collateral | Values of invested collateral | |||||||||||||
Delaware Ivy VIP Core Equity | $ | 1,333,733 | $ | 1,341,909 | $ | — | |||||||||
Delaware Ivy VIP Corporate Bond | 24,844,843 | 19,773,296 | 5,723,390 | ||||||||||||
Delaware Ivy VIP Global Equity Income | 18,468,460 | 7,444,585 | 11,966,652 | ||||||||||||
Delaware Ivy VIP Global Growth | 1,774,336 | 1,755,026 | 78,373 | ||||||||||||
Delaware Ivy VIP Limited-Term Bond | 3,767,143 | 17,955,563 | 5,383,988 |
Investments purchased with cash collateral are presented on the “Schedules of investments” under the caption “Securities Lending Collateral.”
10. Credit and Market Risk
Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of a novel coronavirus known as COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The effects of COVID-19 have and may continue to adversely affect the global economy, the economies of certain nations and individual issuers, all of which may negatively impact the Portfolios' performance.
When interest rates rise, fixed income securities (i.e. debt obligations) generally will decline in value. These declines in value are greater for fixed income securities with longer maturities or durations.
IBOR is the risk that changes related to the use of the London interbank offered rate (LIBOR) and other interbank offered rate (collectively, IBORs) could have adverse impacts on financial instruments that reference LIBOR (or the corresponding IBOR). The abandonment of LIBOR could affect the value and liquidity of instruments that reference LIBOR. The use of alternative reference rate products may impact investment strategy performance. These risks may also apply with respect to changes in connection with other IBORs, such as the euro overnight index average (EONIA), which are also the subject of recent reform.
Investments in equity securities in general are subject to market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Portfolio invests will cause the NAV of the Portfolio to fluctuate.
Some countries in which the Portfolios may invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid, and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Portfolios may be inhibited. In addition, a significant portion of
61
Notes to financial statements
Ivy Variable Insurance Portfolios
10. Credit and Market Risk (continued)
the aggregate market value of securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Portfolios.
Certain Portfolios invest a portion of its assets in high yield fixed income securities, which are securities rated lower than BBB- by S&P and lower than Baa3 by Moody’s, or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher-rated securities. Additionally, lower-rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
Certain Portfolios invest in fixed income securities whose value is derived from an underlying pool of mortgages or consumer loans. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates. Investors receive principal and interest payments as the underlying mortgages and consumer loans are paid back. Some of these securities are CMOs. CMOs are debt securities issued by US government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse effect on a Portfolios' yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Portfolio may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
Certain Portfolios invest in bank loans and other securities that may subject them to direct indebtedness risk, the risk that the Portfolios will not receive payment of principal, interest, and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer the Portfolio more protection than unsecured loans in the event of non-payment of scheduled interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by the Portfolio may involve revolving credit facilities or other standby financing commitments that obligate the Portfolio to pay additional cash on a certain date or on demand. These commitments may require each Portfolio to increase its investment in a company at a time when the Portfolio might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that each Portfolio is committed to advance additional funds, it will at all times hold and maintain cash or other high grade debt obligations in an amount sufficient to meet such commitments. When a loan agreement is purchased, the Portfolio may pay an assignment fee. On an ongoing basis, the Portfolio may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by the borrower. Prepayment penalty, facility, commitment, consent, and amendment fees are recorded to income as earned or paid.
As the Portfolio may be required to rely upon another lending institution to collect and pass on to the Portfolio amounts payable with respect to the loan and to enforce the Portfolio's rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Portfolio from receiving such amounts. The highly leveraged nature of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to the Portfolio.
Certain Portfolios invest in certain obligations that may have liquidity protection designed to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies, or letters of credit obtained by the issuer or sponsor through third parties, through various means of structuring the transaction, or through a combination of such approaches. The Portfolios will not pay any additional fees for such credit support, although the existence of credit support may increase the price of a security.
Certain Portfolios may invest in REITs and are subject to the risks associated with that industry. If a Portfolio holds real estate directly or receives rental income directly from real estate holdings, its tax status as a regulated investment company may be jeopardized. There were no direct real estate holdings during the six months ended June 30, 2022. The Portfolios' REIT holdings are also affected by interest rate changes, particularly if the REITs they hold use floating rate debt to finance their ongoing operations. The Portfolios also invest in real estate acquired as a result of ownership of securities or other instruments, including issuers that invest, deal, or otherwise engage in transactions in real estate or
62
interests therein. These instruments may include interests in private equity limited partnerships or limited liability companies that hold real estate investments (Real Estate Limited Partnerships). The Portfolios will limit their investments in Real Estate Limited Partnerships to 5% of their total assets at the time of purchase.
Each Portfolio may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended and other securities which may not be readily marketable. The relative illiquidity of these securities may impair each Portfolio from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Portfolios' limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Portfolios' 15% limit on investments in illiquid securities. Rule 144A securities have been identified on the “Schedules of investments.”
11. Contractual Obligations
Each Portfolio enters into contracts in the normal course of business that contain a variety of indemnifications. Each Portfolio's maximum exposure under these arrangements is unknown. However, each Portfolio has not had prior claims or losses pursuant to these contracts. Management has reviewed each Portfolio's existing contracts and expects the risk of loss to be remote.
12. Recent Accounting Pronouncements
In March 2020, FASB issued an Accounting Standards Update (ASU), ASU 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2022. As of the financial reporting period, Management is evaluating the impact of applying this ASU.
13. Subsequent Events
On May 19, 2022, the Board of Trustees of the Ivy Variable Insurance Portfolios (“Board”) approved the termination of the Sub-Advisory Agreement between DMC and Securian Asset Management, Inc. as it relates to the Delaware Ivy VIP Securian Real Estate Securities. In addition, the Board approved the transition of day-to-day portfolio management responsibilities to the Macquarie Global Listed Real Estate team (“GLRE team”), whose members provide services via DMC and DMC’s affiliated sub-advisors. Accordingly, the Board approved the appointment of the following affiliated sub-advisors of DMC, Macquarie Investment Management Global Limited (“MIMGL”), Macquarie Investment Management Europe Limited (“MIMEL”), and Macquarie Funds Management Hong Kong Limited (“MFMHKL”). In addition, the Board approved the appointment of MFMHKL and MIMGL to provide trading and quantitative support to the Fund. Further, the Board approved a name change of the Fund. These changes went into effect on July 29, 2022.
At a meeting on July 19, 2022, the shareholders of Delaware VIP Global Value Equity (formerly, Delaware Ivy VIP Global Equity Income) approved an amendment to its fundamental investment restriction related to industry concentration and a change in its diversification status. These changes, along with the Portfolio name change, went into effect on July 29, 2022.
Management has determined that no other material events or transactions occurred subsequent to June 30, 2022, that would require recognition or disclosure in the Portfolios' financial statements.
63
Other Portfolio information
Ivy Variable Insurance Portfolios
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end portfolios (other than money market portfolios) to adopt and implement a program reasonably designed to assess and manage the portfolio’s “liquidity risk,” defined as the risk that the portfolio could not meet requests to redeem shares issued by the portfolio without significant dilution of remaining investors’ interests in the portfolio.
The Portfolios have adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated a member of the US Operational Risk Group of Macquarie Asset Management as the Program Administrator for each Portfolio in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of each Portfolio’s liquidity risk; (2) classification of each of the Portfolio’s holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for portfolios that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Portfolio’s net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting each Portfolio’s acquisition of Illiquid investments if, immediately after the acquisition, each Portfolio would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a non-public basis) and to the Board if each Portfolio’s holdings of Illiquid assets exceed 15% of the Portfolio’s net assets. Portfolios with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing each Portfolio’s liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) each Portfolio’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Portfolios during both normal and reasonably foreseeable stressed conditions; and (3) each Portfolio’s holdings of cash and cash equivalents and any borrowing arrangements. Classification of each Portfolio’s holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. Each Portfolio primarily holds assets that are classified as Highly Liquid, and therefore is not required to establish an HLIM.
At a meeting of the Board held on May 17-19, 2022, the Program Administrator provided the required written annual report to the Board addressing the Program's operation and assessing the adequacy and effectiveness of its implementation for the period from April 1, 2021 through March 31, 2022. The report concluded that the Program is appropriately designed and effectively implemented and that it meets the requirements of Rule 22e-4 and each Portfolio's liquidity needs. Each Portfolio's HLIM is set at an appropriate level and the Portfolios complied with their HLIM at all times during the reporting period.
64
Each Portfolio files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. Each Portfolio’s Forms N-PORT, as well as a description of the policies and procedures that each Portfolio uses to determine how to vote proxies (if any) relating to portfolio securities, are available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that each Portfolio uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in each Portfolio’s most recent Form N-PORT are available without charge on each Portfolio’s website at delawarefunds.com/vip/literature. Each Portfolio's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C.; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how each Portfolio voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through each Portfolio's website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
(2330780)
SEMIANN-VIP2-822
Semiannual report
Ivy Variable Insurance Portfolios
Delaware Ivy VIP Pathfinder Aggressive
Delaware Ivy VIP Pathfinder Conservative
Delaware Ivy VIP Pathfinder Moderate
Delaware Ivy VIP Pathfinder Moderately Aggressive
Delaware Ivy VIP Pathfinder Moderately Conservative
Delaware Ivy VIP Pathfinder Moderate — Managed Volatility
Delaware Ivy VIP Pathfinder Moderately Aggressive — Managed Volatility
Delaware Ivy VIP Pathfinder Moderately Conservative — Managed Volatility
June 30, 2022
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM and includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Funds Management Hong Kong Limited, Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
Other than Macquarie Bank Limited ABN 46 008 583 542 ("Macquarie Bank"), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Portfolios are governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of June 30, 2022, and subject to change for events occurring after such date.
The Portfolios are not FDIC insured and are not guaranteed. It is possible to lose the principal amount invested.
The Portfolios are distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
All third-party marks cited are the property of their respective owners.
Carefully consider the investment objectives, risk factors, charges, and expenses before investing. This and other information can be found in the prospectus and summary prospectus, which may be obtained by visiting delawarefunds.com/products/vip-literature or calling 800 523-1918. Investors should read the prospectus and summary prospectus carefully before investing.
© 2022 Macquarie Management Holdings, Inc.
Disclosure of Portfolio expenses
For the six-month period from January 1, 2022 to June 30, 2022 (Unaudited)
Delaware Ivy VIP Pathfinder Aggressive seeks to provide growth of capital consistent with a more aggressive level of risk as compared to the other Delaware Ivy VIP Pathfinder Portfolios.
Delaware Ivy VIP Pathfinder Conservative seeks to provide total return consistent with a conservative level of risk as compared to the other Delaware Ivy VIP Pathfinder Portfolios.
Delaware Ivy VIP Pathfinder Moderate seeks to provide total return consistent with a moderate level of risk as compared to the other Delaware Ivy VIP Pathfinder Portfolios.
Delaware Ivy VIP Pathfinder Moderately Aggressive seeks to provide growth of capital, but also to seek income consistent with a moderately aggressive level of risk as compared to the other Delaware Ivy VIP Pathfinder Portfolios.
Delaware Ivy VIP Pathfinder Moderately Conservative seeks to provide total return consistent with a moderately conservative level of risk as compared to the other Delaware Ivy VIP Pathfinder Portfolios.
Delaware Ivy VIP Pathfinder Moderate — Managed Volatility seeks to provide total return consistent with a moderate level of risk as compared to the other Delaware Ivy VIP Pathfinder Managed Volatility Portfolios, while seeking to manage volatility of investment return.
Delaware Ivy VIP Pathfinder Moderately Aggressive — Managed Volatility seeks to provide growth of capital, but also to seek income consistent with a moderately aggressive level of risk as compared to the other Delaware Ivy VIP Pathfinder Managed Volatility Portfolios, while seeking to manage volatility of investment return.
Delaware Ivy VIP Pathfinder Moderately Conservative — Managed Volatility seeks to provide total return consistent with a moderately conservative level of risk as compared to the other Delaware Ivy VIP Pathfinder Managed Volatility Portfolios, while seeking to manage volatility of investment return.
As a shareholder of the Portfolio, you incur ongoing costs, which may include management fees; distribution and service (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2022 to June 30, 2022.
Actual expenses
The first section of the tables shown, “Actual Portfolio return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), 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 account during this period.
Hypothetical example for comparison purposes
The second section of the tables shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on a Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only. As a shareholder of the Portfolio, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Portfolios' expenses shown in the tables reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
Delaware Ivy VIP Pathfinder Aggressive
Expense analysis of an investment of $1,000
Expenses | |||||||||||
Paid | |||||||||||
Beginning | Ending | During | |||||||||
Account | Account | Annualized | Period | ||||||||
Value | Value | Expense | 1/1/22 to | ||||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | ||||||||
Actual Portfolio return† | |||||||||||
Class II | $1,000.00 | $ | 808.10 | 0.12% | $0.54 | ||||||
Hypothetical 5% return (5% return before expenses) | |||||||||||
Class II | $1,000.00 | $ | 1,024.20 | 0.12% | $0.60 |
(continues) 1
Disclosure of Portfolio expenses
Delaware Ivy VIP Pathfinder Conservative
Expense analysis of an investment of $1,000
Expenses | |||||||||
Paid | |||||||||
Beginning | Ending | During | |||||||
Account | Account | Annualized | Period | ||||||
Value | Value | Expense | 1/1/22 to | ||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | ||||||
Actual Portfolio return† | |||||||||
Class II | $1,000.00 | $ | 849.30 | 0.08% | $0.37 | ||||
Hypothetical 5% return (5% return before expenses) | |||||||||
Class II | $1,000.00 | $ | 1,024.40 | 0.08% | $0.40 |
Delaware Ivy VIP Pathfinder Moderate
Expense analysis of an investment of $1,000
Expenses | |||||||||
Paid | |||||||||
Beginning | Ending | During | |||||||
Account | Account | Annualized | Period | ||||||
Value | Value | Expense | 1/1/22 to | ||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | ||||||
Actual Portfolio return† | |||||||||
Class II | $1,000.00 | $ | 829.10 | 0.04% | $0.18 | ||||
Hypothetical 5% return (5% return before expenses) | |||||||||
Class II | $1,000.00 | $ | 1,024.60 | 0.04% | $0.20 |
Delaware Ivy VIP Pathfinder Moderately Aggressive
Expense analysis of an investment of $1,000
Expenses | |||||||||
Paid | |||||||||
Beginning | Ending | During | |||||||
Account | Account | Annualized | Period | ||||||
Value | Value | Expense | 1/1/22 to | ||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22 | ||||||
Actual Portfolio return | |||||||||
Class II | $1,000.00 | $ | 818.90 | 0.05% | $0.23 | ||||
Hypothetical 5% return (5% return before expenses) | |||||||||
Class II | $1,000.00 | $ | 1,024.55 | 0.05% | $0.25 |
Delaware Ivy VIP Pathfinder Moderately Conservative
Expense analysis of an investment of $1,000
Expenses | |||||||||
Paid | |||||||||
Beginning | Ending | During | |||||||
Account | Account | Annualized | Period | ||||||
Value | Value | Expense | 1/1/22 to | ||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | ||||||
Actual Portfolio return† | |||||||||
Class II | $1,000.00 | $ | 839.60 | 0.07% | $0.32 | ||||
Hypothetical 5% return (5% return before expenses) | |||||||||
Class II | $1,000.00 | $ | 1,024.45 | 0.07% | $0.35 |
Delaware Ivy VIP Pathfinder Moderate - Managed Volatility
Expense analysis of an investment of $1,000
Expenses | |||||||||
Paid | |||||||||
Beginning | Ending | During | |||||||
Account | Account | Annualized | Period | ||||||
Value | Value | Expense | 1/1/22 to | ||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22 | ||||||
Actual Portfolio return | |||||||||
Class II | $1,000.00 | $ | 853.60 | 0.25% | $1.15 | ||||
Hypothetical 5% return (5% return before expenses) | |||||||||
Class II | $1,000.00 | $ | 1,023.55 | 0.25% | $1.25 |
Delaware Ivy VIP Pathfinder Moderately Aggressive - Managed Volatility
Expense analysis of an investment of $1,000
Expenses | |||||||||
Paid | |||||||||
Beginning | Ending | During | |||||||
Account | Account | Annualized | Period | ||||||
Value | Value | Expense | 1/1/22 to | ||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | ||||||
Actual Portfolio return† | |||||||||
Class II | $1,000.00 | $ | 842.80 | 0.29% | $1.33 | ||||
Hypothetical 5% return (5% return before expenses) | |||||||||
Class II | $1,000.00 | $ | 1,023.36 | 0.29% | $1.45 |
2
Delaware Ivy VIP Pathfinder Moderately Conservative - Managed Volatility
Expense analysis of an investment of $1,000
Expenses | |||||||||
Paid | |||||||||
Beginning | Ending | During | |||||||
Account | Account | Annualized | Period | ||||||
Value | Value | Expense | 1/1/22 to | ||||||
1/1/22 | 6/30/22 | Ratio | 6/30/22* | ||||||
Actual Portfolio return† | |||||||||
Class II | $1,000.00 | $ | 864.60 | 0.40% | $1.85 | ||||
Hypothetical 5% return (5% return before expenses) | |||||||||
Class II | $1,000.00 | $ | 1,022.81 | 0.40% | $2.01 |
* | “Expenses Paid During Period” are equal to the relevant Portfolio's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
In addition to the Portfolios' expenses reflected above and on the previous pages, each Portfolio also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds), including exchange-traded funds in which it invests. The tables above and on the previous pages do not reflect the expenses of any applicable Underlying Funds.
(continues) 3
As of June 30, 2022 (Unaudited)
Delaware Ivy VIP Pathfinder Aggressive
Percentage | |||
Security type | of net assets | ||
Affiliated Mutual Funds | 99.52 | % | |
Short-Term Investments | 0.51 | % | |
Total Value of Securities | 100.03 | % | |
Liabilities Net of Receivables and Other Assets | (0.03 | %) | |
Total Net Assets | 100.00 | % |
Delaware Ivy VIP Pathfinder Conservative
Percentage | |||
Security type | of net assets | ||
Affiliated Mutual Funds | 99.51 | % | |
Short-Term Investments | 0.52 | % | |
Total Value of Securities | 100.03 | % | |
Liabilities Net of Receivables and Other Assets | (0.03 | %) | |
Total Net Assets | 100.00 | % |
Delaware Ivy VIP Pathfinder Moderate
Percentage | |||
Security type | of net assets | ||
Affiliated Mutual Funds | 99.52 | % | |
Short-Term Investments | 0.53 | % | |
Total Value of Securities | 100.05 | % | |
Liabilities Net of Receivables and Other Assets | (0.05 | %) | |
Total Net Assets | 100.00 | % |
Delaware Ivy VIP Pathfinder Moderately Aggressive
Percentage | |||
Security type | of net assets | ||
Affiliated Mutual Funds | 99.52 | % | |
Short-Term Investments | 0.54 | % | |
Total Value of Securities | 100.06 | % | |
Liabilities Net of Receivables and Other Assets | (0.06 | %) | |
Total Net Assets | 100.00 | % |
Delaware Ivy VIP Pathfinder Moderately Conservative
Percentage | |||
Security type | of net assets | ||
Affiliated Mutual Funds | 99.48 | % | |
Short-Term Investments | 0.52 | % | |
Total Value of Securities | 100.00 | % | |
Receivables and Other Assets Net of Liabilities | 0.00 | % | |
Total Net Assets | 100.00 | % |
Delaware Ivy VIP Pathfinder Moderate - Managed Volatility
Percentage | |||
Security type | of net assets | ||
Affiliated Mutual Funds | 96.21 | % | |
Short-Term Investments | 2.99 | % | |
Total Value of Securities | 99.20 | % | |
Receivables and Other Assets Net of Liabilities | 0.80 | % | |
Total Net Assets | 100.00 | % |
Delaware Ivy VIP Pathfinder Moderately Aggressive - Managed Volatility
Percentage | |||
Security type | of net assets | ||
Affiliated Mutual Funds | 96.20 | % | |
Short-Term Investments | 3.09 | % | |
Total Value of Securities | 99.29 | % | |
Receivables and Other Assets Net of Liabilities | 0.71 | % | |
Total Net Assets | 100.00 | % |
Delaware Ivy VIP Pathfinder Moderately Conservative - Managed Volatility
Percentage | |||
Security type | of net assets | ||
Affiliated Mutual Funds | 96.18 | % | |
Short-Term Investments | 3.09 | % | |
Total Value of Securities | 99.27 | % | |
Receivables and Other Assets Net of Liabilities | 0.73 | % | |
Total Net Assets | 100.00 | % |
4
Schedules of investments
Delaware Ivy VIP Pathfinder Aggressive
June 30, 2022 (Unaudited)
Number of | ||||||
shares | Value (US $) | |||||
Affiliated Mutual Funds – 99.52%<< | ||||||
Delaware Ivy VIP Core Equity | ||||||
Class II | 774,125 | $ | 8,585,043 | |||
Delaware Ivy VIP Corporate Bond | ||||||
Class II | 1,126,337 | 5,147,362 | ||||
Delaware Ivy VIP Global Equity | ||||||
Income Class II | 1,786,215 | 7,573,553 | ||||
Delaware Ivy VIP Growth Class II | 1,076,950 | 8,594,057 | ||||
Delaware Ivy VIP High Income | ||||||
Class I | 51,025 | 138,788 | ||||
Delaware Ivy VIP International Core | ||||||
Equity Class II | 653,127 | 8,843,333 | ||||
Delaware Ivy VIP Limited-Term | ||||||
Bond Class II | 657,352 | 3,023,821 | ||||
Delaware Ivy VIP Mid Cap Growth | ||||||
Class I | 386,125 | 3,587,106 | ||||
Delaware Ivy VIP Small Cap | ||||||
Growth Class I | 99,599 | 606,556 | ||||
Delaware Ivy VIP Smid Cap Core | ||||||
Class II | 57,610 | 604,326 | ||||
Delaware Ivy VIP Value Class II | 1,588,544 | 8,308,086 | ||||
Total Affiliated Mutual Funds | ||||||
(cost $73,480,782) | 55,012,031 | |||||
Short-Term Investments – 0.51% | ||||||
Money Market Mutual Fund – 0.51% | ||||||
State Street Institutional US | ||||||
Government Money Market Fund | ||||||
– Premier Class (seven-day | ||||||
effective yield 1.43%) | 283,043 | 283,043 | ||||
Total Short-Term Investments | ||||||
(cost $283,043) | 283,043 | |||||
Total Value of Securities–100.03% | ||||||
(cost $73,763,825) | $ | 55,295,074 |
<< | Affiliated company. See Note 2 in "Notes to financial statements." |
See accompanying notes, which are an integral part of the financial statements.
5
Schedules of investments
Delaware Ivy VIP Pathfinder Conservative
June 30, 2022 (Unaudited)
Number of | ||||||
shares | Value (US $) | |||||
Affiliated Mutual Funds – 99.51%<< | ||||||
Delaware Ivy VIP Core Equity | ||||||
Class II | 779,744 | $ | 8,647,357 | |||
Delaware Ivy VIP Corporate Bond | ||||||
Class II | 5,564,176 | 25,428,287 | ||||
Delaware Ivy VIP Global Equity | ||||||
Income Class II | 990,031 | 4,197,730 | ||||
Delaware Ivy VIP Growth Class II | 1,088,893 | 8,689,369 | ||||
Delaware Ivy VIP High Income | ||||||
Class I | 402,641 | 1,095,183 | ||||
Delaware Ivy VIP International Core | ||||||
Equity Class II | 337,801 | 4,573,828 | ||||
Delaware Ivy VIP Limited-Term | ||||||
Bond Class II | 5,035,139 | 23,161,638 | ||||
Delaware Ivy VIP Mid Cap Growth | ||||||
Class I | 392,340 | 3,644,843 | ||||
Delaware Ivy VIP Small Cap | ||||||
Growth Class I | 101,280 | 616,796 | ||||
Delaware Ivy VIP Smid Cap Core | ||||||
Class II | 58,101 | 609,476 | ||||
Delaware Ivy VIP Value Class II | 1,598,632 | 8,360,845 | ||||
Total Affiliated Mutual Funds | ||||||
(cost $112,298,418) | 89,025,352 | |||||
Short-Term Investments – 0.52% | ||||||
Money Market Mutual Fund – 0.52% | ||||||
State Street Institutional US | ||||||
Government Money Market Fund | ||||||
– Premier Class (seven-day | ||||||
effective yield 1.43%) | 462,901 | 462,901 | ||||
Total Short-Term Investments | ||||||
(cost $462,901) | 462,901 | |||||
Total Value of Securities–100.03% | ||||||
(cost $112,761,319) | $ | 89,488,253 |
<< | Affiliated company. See Note 2 in "Notes to financial statements." |
See accompanying notes, which are an integral part of the financial statements.
6
Delaware Ivy VIP Pathfinder Moderate
June 30, 2022 (Unaudited)
Number of | ||||||
shares | Value (US $) | |||||
Affiliated Mutual Funds – 99.52%<< | ||||||
Delaware Ivy VIP Core Equity | ||||||
Class II | 5,523,612 | $ | 61,256,852 | |||
Delaware Ivy VIP Corporate Bond | ||||||
Class II | 20,352,565 | 93,011,221 | ||||
Delaware Ivy VIP Global Equity | ||||||
Income Class II | 10,549,751 | 44,730,945 | ||||
Delaware Ivy VIP Growth Class II | 7,691,698 | 61,379,748 | ||||
Delaware Ivy VIP High Income | ||||||
Class I | 1,343,711 | 3,654,893 | ||||
Delaware Ivy VIP International | ||||||
Core Equity Class II | 3,785,364 | 51,253,822 | ||||
Delaware Ivy VIP Limited-Term | ||||||
Bond Class II | 16,772,773 | 77,154,756 | ||||
Delaware Ivy VIP Mid Cap Growth | ||||||
Class I | 2,761,113 | 25,650,743 | ||||
Delaware Ivy VIP Small Cap | ||||||
Growth Class I | 712,411 | 4,338,584 | ||||
Delaware Ivy VIP Smid Cap Core | ||||||
Class II | 411,877 | 4,320,592 | ||||
Delaware Ivy VIP Value Class II | 11,380,297 | 59,518,954 | ||||
Total Affiliated Mutual Funds | ||||||
(cost $628,593,786) | 486,271,110 | |||||
Short-Term Investments – 0.53% | ||||||
Money Market Mutual Fund – 0.53% | ||||||
State Street Institutional US | ||||||
Government Money Market | ||||||
Fund – Premier Class (seven- | ||||||
day effective yield 1.43%) | 2,585,856 | 2,585,856 | ||||
Total Short-Term Investments | ||||||
(cost $2,585,856) | 2,585,856 | |||||
Total Value of Securities–100.05% | ||||||
(cost $631,179,642) | $ | 488,856,966 |
<< | Affiliated company. See Note 2 in "Notes to financial statements." |
See accompanying notes, which are an integral part of the financial statements.
7
Schedules of investments
Delaware Ivy VIP Pathfinder Moderately Aggressive
June 30, 2022 (Unaudited)
Number of | ||||||
shares | Value (US $) | |||||
Affiliated Mutual Funds – 99.52%<< | ||||||
Delaware Ivy VIP Core Equity | ||||||
Class II | 7,420,176 | $ | 82,289,754 | |||
Delaware Ivy VIP Corporate Bond | ||||||
Class II | 18,258,895 | 83,443,149 | ||||
Delaware Ivy VIP Global Equity | ||||||
Income Class II | 15,891,511 | 67,380,007 | ||||
Delaware Ivy VIP Growth Class II | 10,351,479 | 82,604,804 | ||||
Delaware Ivy VIP High Income | ||||||
Class I | 1,083,470 | 2,947,039 | ||||
Delaware Ivy VIP International | ||||||
Core Equity Class II | 5,760,590 | 77,998,393 | ||||
Delaware Ivy VIP Limited-Term | ||||||
Bond Class II | 13,642,947 | 62,757,554 | ||||
Delaware Ivy VIP Mid Cap Growth | ||||||
Class I | 3,712,486 | 34,488,993 | ||||
Delaware Ivy VIP Small Cap | ||||||
Growth Class I | 957,623 | 5,831,922 | ||||
Delaware Ivy VIP Smid Cap Core | ||||||
Class II | 552,410 | 5,794,783 | ||||
Delaware Ivy VIP Value Class II | 15,284,714 | 79,939,054 | ||||
Total Affiliated Mutual Funds | ||||||
(cost $768,312,525) | 585,475,452 | |||||
Short-Term Investments – 0.54% | ||||||
Money Market Mutual Fund – 0.54% | ||||||
State Street Institutional US | ||||||
Government Money Market | ||||||
Fund – Premier Class (seven- | ||||||
day effective yield 1.43%) | 3,149,784 | 3,149,784 | ||||
Total Short-Term Investments | ||||||
(cost $3,149,784) | 3,149,784 | |||||
Total Value of Securities–100.06% | ||||||
(cost $771,462,309) | $ | 588,625,236 |
<< | Affiliated company. See Note 2 in "Notes to financial statements." |
See accompanying notes, which are an integral part of the financial statements.
8
Delaware Ivy VIP Pathfinder Moderately Conservative
June 30, 2022 (Unaudited)
Number of | |||||||
shares | Value (US $) | ||||||
Affiliated Mutual Funds – 99.48%<< | |||||||
Delaware Ivy VIP Core Equity | |||||||
Class II | 1,449,928 | $ | 16,079,703 | ||||
Delaware Ivy VIP Corporate Bond | |||||||
Class II | 7,615,342 | 34,802,115 | |||||
Delaware Ivy VIP Global Equity | |||||||
Income Class II | 2,374,543 | 10,068,061 | |||||
Delaware Ivy VIP Growth Class II | 2,016,038 | 16,087,981 | |||||
Delaware Ivy VIP High Income | |||||||
Class I | 533,726 | 1,451,736 | |||||
Delaware Ivy VIP International | |||||||
Core Equity Class II | 835,991 | 11,319,324 | |||||
Delaware Ivy VIP Limited-Term | |||||||
Bond Class II | 6,626,058 | 30,479,866 | |||||
Delaware Ivy VIP Mid Cap Growth | |||||||
Class I | 722,483 | 6,711,864 | |||||
Delaware Ivy VIP Small Cap | |||||||
Growth Class I | 187,270 | 1,140,473 | |||||
Delaware Ivy VIP Smid Cap Core | |||||||
Class II | 108,263 | 1,135,683 | |||||
Delaware Ivy VIP Value Class II | 2,999,230 | 15,685,972 | |||||
Total Affiliated Mutual Funds | |||||||
(cost $185,164,125) | 144,962,778 | ||||||
Short-Term Investments – 0.52% | |||||||
Money Market Mutual Fund – 0.52% | |||||||
State Street Institutional US | |||||||
Government Money Market | |||||||
Fund – Premier Class (seven- | |||||||
day effective yield 1.43%) | 758,206 | 758,206 | |||||
Total Short-Term Investments | |||||||
(cost $758,206) | 758,206 | ||||||
Total Value of Securities – 100.00% | |||||||
(cost $185,922,331) | $ | 145,720,984 |
<< | Affiliated company. See Note 2 in "Notes to financial statements." |
See accompanying notes, which are an integral part of the financial statements.
9
Schedules of investments
Delaware Ivy VIP Pathfinder Moderate - Managed Volatility
June 30, 2022 (Unaudited)
Number of | |||||||
shares | Value (US $) | ||||||
Affiliated Mutual Funds – 96.21%<< | |||||||
Delaware Ivy VIP Core Equity | |||||||
Class II | 4,724,376 | $ | 52,393,329 | ||||
Delaware Ivy VIP Corporate Bond | |||||||
Class II | 17,786,737 | 81,285,387 | |||||
Delaware Ivy VIP Global Equity | |||||||
Income Class II | 9,378,418 | 39,764,493 | |||||
Delaware Ivy VIP Growth Class II | 6,604,337 | 52,702,613 | |||||
Delaware Ivy VIP High Income | |||||||
Class I | 1,165,143 | 3,169,189 | |||||
Delaware Ivy VIP International | |||||||
Core Equity Class II | 3,291,538 | 44,567,426 | |||||
Delaware Ivy VIP Limited-Term | |||||||
Bond Class II | 15,264,250 | 70,215,549 | |||||
Delaware Ivy VIP Mid Cap Growth | |||||||
Class I | 2,358,593 | 21,911,331 | |||||
Delaware Ivy VIP Small Cap | |||||||
Growth Class I | 602,780 | 3,670,928 | |||||
Delaware Ivy VIP Smid Cap Core | |||||||
Class II | 347,952 | 3,650,017 | |||||
Delaware Ivy VIP Value Class II | 9,865,585 | 51,597,008 | |||||
Total Affiliated Mutual Funds | |||||||
(cost $555,243,859) | 424,927,270 | ||||||
Short-Term Investments – 2.99% | |||||||
Money Market Mutual Fund – 2.99% | |||||||
State Street Institutional US | |||||||
Government Money Market | |||||||
Fund – Premier Class (seven- | |||||||
day effective yield 1.43%) | 13,193,848 | 13,193,848 | |||||
Total Short-Term Investments | |||||||
(cost $13,193,848) | 13,193,848 | ||||||
Total Value of Securities – 99.20% | |||||||
(cost $568,437,707) | $ | 438,121,118 |
<< | Affiliated company. See Note 2 in "Notes to financial statements." |
The following futures contracts were outstanding at June 30, 2022:1
Futures Contracts
Exchange-Traded
Variation | ||||||||||||||||||
Margin | ||||||||||||||||||
Notional | Value/ | Due from | ||||||||||||||||
Notional | Cost | Expiration | Unrealized | (Due to) | ||||||||||||||
Contracts to Buy (Sell) | Amount | (Proceeds) | Date | Appreciation | Brokers | |||||||||||||
(24) | E-Mini Russell 2000 Index | $ | (2,049,600 | ) | $ | (2,267,277 | ) | 9/16/22 | $ | 217,677 | $ | 16,080 | ||||||
(341) | E-Mini S&P 500 Index | (64,610,975 | ) | (70,165,807 | ) | 9/16/22 | 5,554,832 | 541,338 | ||||||||||
Total Futures Contracts | $ | (72,433,084 | ) | $ | 5,772,509 | $ | 557,418 |
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in these financial statements. The notional amounts presented above represent the Portfolio's total exposure in such contracts, whereas only the variation margin is reflected in the Portfolio's net assets.
1 | See Note 6 in “Notes to financial statements.” |
Summary of abbreviations:
S&P – Standard & Poor’s Financial Services LLC
See accompanying notes, which are an integral part of the financial statements.
10
Delaware Ivy VIP Pathfinder Moderately Aggressive - Managed Volatility
June 30, 2022 (Unaudited)
Number of | |||||||
shares | Value (US $) | ||||||
Affiliated Mutual Funds – 96.20%<< | |||||||
Delaware Ivy VIP Core Equity | |||||||
Class II | 963,442 | $ | 10,684,574 | ||||
Delaware Ivy VIP Corporate Bond | |||||||
Class II | 2,404,925 | 10,990,509 | |||||
Delaware Ivy VIP Global Equity | |||||||
Income Class II | 2,134,046 | 9,048,356 | |||||
Delaware Ivy VIP Growth Class II | 1,345,682 | 10,738,542 | |||||
Delaware Ivy VIP High Income | |||||||
Class I | 142,866 | 388,594 | |||||
Delaware Ivy VIP International Core | |||||||
Equity Class II | 758,086 | 10,264,485 | |||||
Delaware Ivy VIP Limited-Term | |||||||
Bond Class II | 1,885,924 | 8,675,251 | |||||
Delaware Ivy VIP Mid Cap Growth | |||||||
Class I | 480,620 | 4,464,963 | |||||
Delaware Ivy VIP Small Cap | |||||||
Growth Class I | 123,966 | 754,950 | |||||
Delaware Ivy VIP Smid Cap Core | |||||||
Class II | 71,559 | 750,655 | |||||
Delaware Ivy VIP Value Class II | 2,011,828 | 10,521,860 | |||||
Total Affiliated Mutual Funds | |||||||
(cost $102,485,971) | 77,282,739 | ||||||
Short-Term Investments – 3.09% | |||||||
Money Market Mutual Fund – 3.09% | |||||||
State Street Institutional US | |||||||
Government Money Market Fund | |||||||
– Premier Class (seven-day | |||||||
effective yield 1.43%) | 2,484,957 | 2,484,957 | |||||
Total Short-Term Investments | |||||||
(cost $2,484,957) | 2,484,957 | ||||||
Total Value of Securities – 99.29% | |||||||
(cost $104,970,928) | $ | 79,767,696 |
<< | Affiliated company. See Note 2 in "Notes to financial statements." |
The following futures contracts were outstanding at June 30, 2022:1
Futures Contracts
Exchange-Traded
Variation | ||||||||||||||||||
Margin | ||||||||||||||||||
Notional | Value/ | Due from | ||||||||||||||||
Notional | Cost | Expiration | Unrealized | (Due to) | ||||||||||||||
Contracts to Buy (Sell) | Amount | (Proceeds) | Date | Appreciation | Brokers | |||||||||||||
(4) | E-Mini Russell 2000 Index | $ | (341,600 | ) | $ | (377,880 | ) | 9/16/22 | $ | 36,280 | $ | 2,680 | ||||||
(63) | E-Mini S&P 500 Index | (11,936,925 | ) | (12,963,184 | ) | 9/16/22 | 1,026,259 | 100,013 | ||||||||||
Total Futures Contracts | $ | (13,341,064 | ) | $ | 1,062,539 | $ | 102,693 |
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in these financial statements. The notional amounts presented above represent the Portfolio's total exposure in such contracts, whereas only the variation margin is reflected in the Portfolio's net assets.
1 | See Note 6 in “Notes to financial statements.” |
Summary of abbreviations:
S&P – Standard & Poor’s Financial Services LLC
See accompanying notes, which are an integral part of the financial statements.
11
Schedules of investments
Delaware Ivy VIP Pathfinder Moderately Conservative - Managed Volatility
June 30, 2022 (Unaudited)
Number of | |||||||
shares | Value (US $) | ||||||
Affiliated Mutual Funds – 96.18%<< | |||||||
Delaware Ivy VIP Core Equity | |||||||
Class II | 313,092 | $ | 3,472,194 | ||||
Delaware Ivy VIP Corporate Bond | |||||||
Class II | 1,663,966 | 7,604,325 | |||||
Delaware Ivy VIP Global Equity | |||||||
Income Class II | 529,431 | 2,244,786 | |||||
Delaware Ivy VIP Growth Class II | 437,644 | 3,492,399 | |||||
Delaware Ivy VIP High Income | |||||||
Class I | 115,427 | 313,962 | |||||
Delaware Ivy VIP International Core | |||||||
Equity Class II | 182,569 | 2,471,980 | |||||
Delaware Ivy VIP Limited-Term | |||||||
Bond Class II | 1,487,254 | 6,841,368 | |||||
Delaware Ivy VIP Mid Cap Growth | |||||||
Class I | 156,475 | 1,453,648 | |||||
Delaware Ivy VIP Small Cap | |||||||
Growth Class I | 40,303 | 245,448 | |||||
Delaware Ivy VIP Smid Cap Core | |||||||
Class II | 23,267 | 244,071 | |||||
Delaware Ivy VIP Value Class II | 653,716 | 3,418,934 | |||||
Total Affiliated Mutual Funds | |||||||
(cost $41,883,950) | 31,803,115 | ||||||
Short-Term Investments – 3.09% | |||||||
Money Market Mutual Fund – 3.09% | |||||||
State Street Institutional US | |||||||
Government Money Market Fund | |||||||
– Premier Class (seven-day | |||||||
effective yield 1.43%) | 1,023,512 | 1,023,512 | |||||
Total Short-Term Investments | |||||||
(cost $1,023,512) | 1,023,512 | ||||||
Total Value of Securities – 99.27% | |||||||
(cost $42,907,462) | $ | 32,826,627 |
<< | Affiliated company. See Note 2 in "Notes to financial statements." |
The following futures contracts were outstanding at June 30, 2022:1
Futures Contracts
Exchange-Traded
Variation | ||||||||||||||||||
Margin | ||||||||||||||||||
Notional | Value/ | Due from | ||||||||||||||||
Notional | Cost | Expiration | Unrealized | (Due to) | ||||||||||||||
Contracts to Buy (Sell) | Amount | (Proceeds) | Date | Appreciation | Brokers | |||||||||||||
(3) | E-Mini Russell 2000 Index | $ | (256,200 | ) | $ | (283,410 | ) | 9/16/22 | $ | 27,210 | $ | 2,010 | ||||||
(26) | E-Mini S&P 500 Index | (4,926,350 | ) | (5,349,885 | ) | 9/16/22 | 423,535 | 41,275 | ||||||||||
Total Futures Contracts | $ | (5,633,295 | ) | $ | 450,745 | $ | 43,285 |
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in these financial statements. The notional amounts presented above represent the Portfolio's total exposure in such contracts, whereas only the variation margin is reflected in the Portfolio's net assets.
1 | See Note 6 in “Notes to financial statements.” |
Summary of abbreviations:
S&P – Standard & Poor’s Financial Services LLC
See accompanying notes, which are an integral part of the financial statements.
12
Statements of assets and liabilities
Ivy Variable Insurance Portfolios
June 30, 2022 (Unaudited)
Delaware Ivy | |||||||||||||||||
Delaware Ivy | Delaware Ivy | Delaware Ivy | VIP | ||||||||||||||
VIP | VIP | VIP | Pathfinder | ||||||||||||||
Pathfinder | Pathfinder | Pathfinder | Moderately | ||||||||||||||
Aggressive | Conservative | Moderate | Aggressive | ||||||||||||||
Assets: | |||||||||||||||||
Investments, at value* | $ | 283,043 | $ | 462,901 | $ | 2,585,856 | $ | 3,149,784 | |||||||||
Investments of affiliated issuers, at value** | 55,012,031 | 89,025,352 | 486,271,110 | 585,475,452 | |||||||||||||
Receivable for portfolio shares sold | 24 | 1 | 129 | 1,058 | |||||||||||||
Receivable for securities sold | — | 39,204 | 67,702 | 54,602 | |||||||||||||
Total Assets | 55,295,098 | 89,527,458 | 488,924,797 | 588,680,896 | |||||||||||||
Liabilities: | |||||||||||||||||
Due to custodian | 8,203 | 17,628 | 136,299 | 196,331 | |||||||||||||
Other accrued expenses | 5,623 | 7,485 | 77,667 | 108,037 | |||||||||||||
Payable for portfolio shares redeemed | 2,322 | 38,215 | 79,606 | 72,065 | |||||||||||||
Accounting and administration expenses payable to affiliates | 1,712 | 2,911 | 22,990 | 28,079 | |||||||||||||
Total Liabilities | 17,860 | 66,239 | 316,562 | 404,512 | |||||||||||||
Total Net Assets | $ | 55,277,238 | $ | 89,461,219 | $ | 488,608,235 | $ | 588,276,384 | |||||||||
Net Assets Consist of: | |||||||||||||||||
Paid-in capital | $ | 61,627,021 | $ | 100,784,439 | $ | 544,939,953 | $ | 655,035,959 | |||||||||
Total distributable earnings (loss) | (6,349,783 | ) | (11,323,220 | ) | (56,331,718 | ) | (66,759,575 | ) | |||||||||
Total Net Assets | $ | 55,277,238 | $ | 89,461,219 | $ | 488,608,235 | $ | 588,276,384 | |||||||||
Net Asset Value | |||||||||||||||||
Class II: | |||||||||||||||||
Net assets | $ | 55,277,238 | $ | 89,461,219 | $ | 488,608,235 | $ | 588,276,384 | |||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 14,003,873 | 21,465,972 | 121,857,696 | 145,710,585 | |||||||||||||
Net asset value per share | $ | 3.95 | $ | 4.17 | $ | 4.01 | $ | 4.04 | |||||||||
___________________ | |||||||||||||||||
*Investments, at cost | $ | 283,043 | $ | 462,901 | $ | 2,585,856 | $ | 3,149,784 | |||||||||
**Investments of affiliated issuers, at cost | 73,480,782 | 112,298,418 | 628,593,786 | 768,312,525 |
See accompanying notes, which are an integral part of the financial statements.
13
Statements of assets and liabilities
Ivy Variable Insurance Portfolios
Delaware Ivy | Delaware Ivy | ||||||||||||||||
Delaware Ivy | VIP | VIP | |||||||||||||||
Delaware Ivy | VIP | Pathfinder | Pathfinder | ||||||||||||||
VIP | Pathfinder | Moderately | Moderately | ||||||||||||||
Pathfinder | Moderate - | Aggressive - | Conservative - | ||||||||||||||
Moderately | Managed | Managed | Managed | ||||||||||||||
Conservative | Volatility | Volatility | Volatility | ||||||||||||||
Assets: | |||||||||||||||||
Investments, at value* | $ | 758,206 | $ | 13,193,848 | $ | 2,484,957 | $ | 1,023,512 | |||||||||
Investments of affiliated issuers, at value** | 144,962,778 | 424,927,270 | 77,282,739 | 31,803,115 | |||||||||||||
Cash collateral due from broker on futures contracts | — | 3,712,500 | 683,500 | 289,500 | |||||||||||||
Prepaid expenses | 43,034 | — | — | — | |||||||||||||
Receivable for securities sold | 36,350 | — | — | — | |||||||||||||
Receivable for portfolio shares sold | 2 | 104,929 | — | — | |||||||||||||
Variation margin due from broker on futures contracts | — | 557,418 | 102,693 | 43,285 | |||||||||||||
Other assets | — | 1,810,300 | 335,000 | 145,900 | |||||||||||||
Total Assets | 145,800,370 | 444,306,265 | 80,888,889 | 33,305,312 | |||||||||||||
Liabilities: | |||||||||||||||||
Due to custodian | 31,553 | 1,810,300 | 422,263 | 186,786 | |||||||||||||
Payable for portfolio shares redeemed | 36,694 | 35,235 | 7,389 | 3,809 | |||||||||||||
Accounting and administration expenses payable to affiliates | 8,201 | 22,347 | 2,456 | 1,095 | |||||||||||||
Payable for securities purchased | — | 678,834 | 102,237 | 37,846 | |||||||||||||
Investment management fees payable to affiliates | — | 72,903 | 13,452 | 5,408 | |||||||||||||
Other accrued expenses | — | 38,380 | 2,890 | 2,485 | |||||||||||||
Total Liabilities | 76,448 | 2,657,999 | 550,687 | 237,429 | |||||||||||||
Total Net Assets | $ | 145,723,922 | $ | 441,648,266 | $ | 80,338,202 | $ | 33,067,883 | |||||||||
Net Assets Consist of: | |||||||||||||||||
Paid-in capital | $ | 163,055,144 | $ | 488,612,372 | $ | 87,859,321 | $ | 37,612,323 | |||||||||
Total distributable earnings (loss) | (17,331,222 | ) | (46,964,106 | ) | (7,521,119 | ) | (4,544,440 | ) | |||||||||
Total Net Assets | $ | 145,723,922 | $ | 441,648,266 | $ | 80,338,202 | $ | 33,067,883 | |||||||||
Net Asset Value | |||||||||||||||||
Class II: | |||||||||||||||||
Net assets | $ | 145,723,922 | $ | 441,648,266 | $ | 80,338,202 | $ | 33,067,883 | |||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 35,437,930 | 103,760,575 | 17,268,526 | 9,848,288 | |||||||||||||
Net asset value per share | $ | 4.11 | $ | 4.26 | $ | 4.65 | $ | 3.36 | |||||||||
____________________ | |||||||||||||||||
*Investments, at cost | $ | 758,206 | $ | 13,193,848 | $ | 2,484,957 | $ | 1,023,512 | |||||||||
**Investments of affiliated issuers, at cost | 185,164,125 | 555,243,859 | 102,485,971 | 41,883,950 |
See accompanying notes, which are an integral part of the financial statements.
14
Statement of operations
Ivy Variable Insurance Portfolios
Six months ended June 30, 2022 (Unaudited)
Delaware Ivy VIP | |||||||||||||||||||||||||
Delaware Ivy VIP | Delaware Ivy VIP | Delaware Ivy VIP | Pathfinder Moderately | ||||||||||||||||||||||
Pathfinder Aggressive | Pathfinder Conservative | Pathfinder Moderate | Aggressive | ||||||||||||||||||||||
Investment Income: | |||||||||||||||||||||||||
Dividend from affiliated funds | $ | 847,877 | $ | 1,469,358 | $ | 7,819,267 | $ | 9,290,969 | |||||||||||||||||
Dividends | 259 | 435 | 2,201 | 2,639 | |||||||||||||||||||||
848,136 | 1,469,793 | 7,821,468 | 9,293,608 | ||||||||||||||||||||||
Expenses: | |||||||||||||||||||||||||
Accounting and administration expenses | 19,258 | 23,013 | 69,991 | 82,621 | |||||||||||||||||||||
Audit and tax fees | 5,992 | 4,533 | 5,488 | 10,352 | |||||||||||||||||||||
Reports and statements to shareholders | |||||||||||||||||||||||||
servicing expenses | 4,724 | 4,827 | 5,094 | 6,883 | |||||||||||||||||||||
Trustees’ fees and expenses | 2,039 | 2,864 | 19,016 | 26,488 | |||||||||||||||||||||
Legal fees | 470 | 129 | 3,837 | 3,576 | |||||||||||||||||||||
Custodian fees | 328 | 323 | 386 | 611 | |||||||||||||||||||||
Registration fees | 3 | 3 | 3 | 3 | |||||||||||||||||||||
Other | 4,487 | 5,335 | 17,710 | 22,229 | |||||||||||||||||||||
Total operating expenses | 37,301 | 41,027 | 121,525 | 152,763 | |||||||||||||||||||||
Net Investment Income (Loss) | 810,835 | 1,428,766 | 7,699,943 | 9,140,845 | |||||||||||||||||||||
Net Realized and Unrealized Gain (Loss): | |||||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||||
Affiliated investments | 910,657 | 712,129 | 5,350,171 | 6,835,422 | |||||||||||||||||||||
Capital gain received from investments | |||||||||||||||||||||||||
in affiliated funds | 10,446,732 | 9,912,252 | 73,298,639 | 100,464,990 | |||||||||||||||||||||
Net realized gain (loss) | 11,357,389 | 10,624,381 | 78,648,810 | 107,300,412 | |||||||||||||||||||||
Net change in unrealized appreciation | |||||||||||||||||||||||||
(depreciation) on: | |||||||||||||||||||||||||
Affiliated investments | (25,814,328 | ) | (28,259,429 | ) | (191,030,649 | ) | (252,439,919 | ) | |||||||||||||||||
Net Realized and Unrealized Gain (Loss) | (14,456,939 | ) | (17,635,048 | ) | (112,381,839 | ) | (145,139,507 | ) | |||||||||||||||||
Net Increase (Decrease) in Net Assets | |||||||||||||||||||||||||
Resulting from Operations | $ | (13,646,104 | ) | $ | (16,206,282 | ) | $ | (104,681,896 | ) | $ | (135,998,662 | ) |
See accompanying notes, which are an integral part of the financial statements.
15
Statement of operations
Ivy Variable Insurance Portfolios
Delaware Ivy VIP | Delaware Ivy VIP | ||||||||||||||||||||||||
Delaware Ivy VIP | Delaware Ivy VIP | Pathfinder Moderately | Pathfinder Moderately | ||||||||||||||||||||||
Pathfinder Moderately | Pathfinder Moderate - | Aggressive - | Conservative - | ||||||||||||||||||||||
Conservative | Managed Volatility | Managed Volatility | Managed Volatility | ||||||||||||||||||||||
Investment Income: | |||||||||||||||||||||||||
Dividend from affiliated funds | $ | 2,378,169 | $ | 6,685,372 | $ | 1,204,867 | $ | 510,051 | |||||||||||||||||
Dividends | 662 | 12,082 | 2,221 | 971 | |||||||||||||||||||||
2,378,831 | 6,697,454 | 1,207,088 | 511,022 | ||||||||||||||||||||||
Expenses: | |||||||||||||||||||||||||
Investment advisory fees | — | 474,341 | 89,504 | 35,563 | |||||||||||||||||||||
Accounting and administration expenses | 38,598 | 65,930 | 22,527 | 17,919 | |||||||||||||||||||||
Audit and tax fees | 5,992 | 5,716 | 6,501 | 5,729 | |||||||||||||||||||||
Trustees’ fees and expenses | 5,375 | 13,342 | 1,829 | 1,605 | |||||||||||||||||||||
Reports and statements to shareholders | |||||||||||||||||||||||||
servicing expenses | 4,753 | 5,561 | 4,743 | 5,034 | |||||||||||||||||||||
Custodian fees | 386 | 787 | 698 | 605 | |||||||||||||||||||||
Legal fees | 331 | 833 | 137 | 137 | |||||||||||||||||||||
Registration fees | 3 | 3 | 3 | 3 | |||||||||||||||||||||
Other | 4,619 | 22,389 | 4,362 | 3,714 | |||||||||||||||||||||
Total operating expenses | 60,057 | 588,902 | 130,304 | 70,309 | |||||||||||||||||||||
Net Investment Income (Loss) | 2,318,774 | 6,108,552 | 1,076,784 | 440,713 | |||||||||||||||||||||
Net Realized and Unrealized Gain (Loss): | |||||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||||
Affiliated investments | 1,487,925 | 4,713,532 | 1,658,390 | 238,828 | |||||||||||||||||||||
Capital gain received from investments | |||||||||||||||||||||||||
in affiliated funds | 19,145,324 | 62,272,794 | 13,122,287 | 4,066,210 | |||||||||||||||||||||
Futures contracts | — | 4,168,379 | 758,578 | 337,375 | |||||||||||||||||||||
Net realized gain (loss) | 20,633,249 | 71,154,705 | 15,539,255 | 4,642,413 | |||||||||||||||||||||
Net change in unrealized appreciation | |||||||||||||||||||||||||
(depreciation) on: | |||||||||||||||||||||||||
Affiliated investments | (52,027,888 | ) | (160,204,093 | ) | (33,364,076 | ) | (10,873,385 | ) | |||||||||||||||||
Futures contracts | — | 6,248,546 | 1,150,442 | 489,679 | |||||||||||||||||||||
Net change in unrealized appreciation | |||||||||||||||||||||||||
(depreciation) | (52,027,888 | ) | (153,955,547 | ) | (32,213,634 | ) | (10,383,706 | ) | |||||||||||||||||
Net Realized and Unrealized Gain (Loss) | (31,394,639 | ) | (82,800,842 | ) | (16,674,379 | ) | (5,741,293 | ) | |||||||||||||||||
Net Increase (Decrease) in Net Assets | |||||||||||||||||||||||||
Resulting from Operations | $ | (29,075,865 | ) | $ | (76,692,290 | ) | $ | (15,597,595 | ) | $ | (5,300,580 | ) |
See accompanying notes, which are an integral part of the financial statements.
16
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy VIP | Delaware Ivy VIP | ||||||||||||||||
Pathfinder Aggressive | Pathfinder Conservative | ||||||||||||||||
Six months | Six months | ||||||||||||||||
ended | ended | ||||||||||||||||
6/30/22 | Year ended | 6/30/22 | Year ended | ||||||||||||||
(Unaudited) | 12/31/21 | (Unaudited) | 12/31/21 | ||||||||||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||||||||||
Net investment income (loss) | $ | 810,835 | $ | 1,157,545 | $ | 1,428,766 | $ | 2,571,374 | |||||||||
Net realized gain (loss) | 11,357,389 | 4,917,252 | 10,624,381 | 7,375,060 | |||||||||||||
Net change in unrealized appreciation (depreciation) | (25,814,328 | ) | 6,197,406 | (28,259,429 | ) | 793,342 | |||||||||||
Net increase (decrease) in net assets resulting from operations | (13,646,104 | ) | 12,272,203 | (16,206,282 | ) | 10,739,776 | |||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||
Distributable earnings: | |||||||||||||||||
Class II | (6,081,792 | ) | (4,618,734 | ) | (9,920,864 | ) | (6,783,293 | ) | |||||||||
(6,081,792 | ) | (4,618,734 | ) | (9,920,864 | ) | (6,783,293 | ) | ||||||||||
Capital Share Transactions: | |||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||
Class II | 687,958 | 1,153,807 | 2,018,653 | 7,733,715 | |||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | |||||||||||||||||
Class II | 6,081,792 | 4,618,734 | 9,920,864 | 6,783,294 | |||||||||||||
6,769,750 | 5,772,541 | 11,939,517 | 14,517,009 | ||||||||||||||
Cost of shares redeemed: | |||||||||||||||||
Class II | (5,722,840 | ) | (7,370,711 | ) | (6,336,163 | ) | (20,260,961 | ) | |||||||||
Increase (decrease) in net assets derived from capital share transactions | 1,046,910 | (1,598,170 | ) | 5,603,354 | (5,743,952 | ) | |||||||||||
Net Increase (Decrease) in Net Assets | (18,680,986 | ) | 6,055,299 | (20,523,792 | ) | (1,787,469 | ) | ||||||||||
Net Assets: | |||||||||||||||||
Beginning of period | 73,958,224 | 67,902,925 | 109,985,011 | 111,772,480 | |||||||||||||
End of period | $ | 55,277,238 | $ | 73,958,224 | $ | 89,461,219 | $ | 109,985,011 |
See accompanying notes, which are an integral part of the financial statements.
17
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy VIP | |||||||||||||||||
Delaware Ivy VIP | Pathfinder Moderately | ||||||||||||||||
Pathfinder Moderate | Aggressive | ||||||||||||||||
Six months | Six months | ||||||||||||||||
ended | ended | ||||||||||||||||
6/30/22 | Year ended | 6/30/22 | Year ended | ||||||||||||||
(Unaudited) | 12/31/21 | (Unaudited) | 12/31/21 | ||||||||||||||
Increase (Decrease) in Net Assets from Operations: | |||||||||||||||||
Net investment income (loss) | $ | 7,699,943 | $ | 13,338,108 | $ | 9,140,845 | $ | 14,987,324 | |||||||||
Net realized gain (loss) | 78,648,810 | 48,889,770 | 107,300,412 | 63,712,517 | |||||||||||||
Net change in unrealized appreciation (depreciation) | (191,030,649 | ) | 26,962,268 | (252,439,919 | ) | 45,803,323 | |||||||||||
Net increase (decrease) in net assets resulting from operations | (104,681,896 | ) | 89,190,146 | (135,998,662 | ) | 124,503,164 | |||||||||||
Dividends and Distributions to Shareholders from: | |||||||||||||||||
Distributable earnings: | |||||||||||||||||
Class II | (62,270,198 | ) | (42,760,246 | ) | (78,642,243 | ) | (53,200,274 | ) | |||||||||
(62,270,198 | ) | (42,760,246 | ) | (78,642,243 | ) | (53,200,274 | ) | ||||||||||
Capital Share Transactions: | |||||||||||||||||
Proceeds from shares sold: | |||||||||||||||||
Class II | 824,277 | 1,792,123 | 729,371 | 4,843,743 | |||||||||||||
Net asset value of shares issued upon reinvestment of dividends and | |||||||||||||||||
distributions: | |||||||||||||||||
Class II | 62,270,198 | 42,760,246 | 78,642,243 | 53,200,274 | |||||||||||||
63,094,475 | 44,552,369 | 79,371,614 | 58,044,017 | ||||||||||||||
Cost of shares redeemed: | |||||||||||||||||
Class II | (42,312,467 | ) | (112,412,891 | ) | (53,173,024 | ) | (151,624,005 | ) | |||||||||
Increase (decrease) in net assets derived from capital share transactions | 20,782,008 | (67,860,522 | ) | 26,198,590 | (93,579,988 | ) | |||||||||||
Net Decrease in Net Assets | (146,170,086 | ) | (21,430,622 | ) | (188,442,315 | ) | (22,277,098 | ) | |||||||||
Net Assets: | |||||||||||||||||
Beginning of period | 634,778,321 | 656,208,943 | 776,718,699 | 798,995,797 | |||||||||||||
End of period | $ | 488,608,235 | $ | 634,778,321 | $ | 588,276,384 | $ | 776,718,699 |
See accompanying notes, which are an integral part of the financial statements.
18
Delaware Ivy VIP | Delaware Ivy VIP | |||||||||||||
Pathfinder Moderately | Pathfinder Moderate - | |||||||||||||
Conservative | Managed Volatility | |||||||||||||
Six months | Six months | |||||||||||||
ended | ended | |||||||||||||
6/30/22 | Year ended | 6/30/22 | Year ended | |||||||||||
(Unaudited) | 12/31/21 | (Unaudited) | 12/31/21 | |||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||
Net investment income (loss) | $ | 2,318,774 | $ | 4,175,492 | $ | 6,108,552 | $ | 13,678,694 | ||||||
Net realized gain (loss) | 20,633,249 | 13,216,767 | 71,154,705 | 82,280,739 | ||||||||||
Net change in unrealized appreciation (depreciation) | (52,027,888 | ) | 5,064,263 | (153,955,547 | ) | (2,411,822 | ) | |||||||
Net increase (decrease) in net assets resulting from operations | (29,075,865 | ) | 22,456,522 | (76,692,290 | ) | 93,547,611 | ||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||
Distributable earnings: | ||||||||||||||
Class II | (17,346,896 | ) | (12,482,859 | ) | (95,792,163 | ) | (21,326,753 | ) | ||||||
(17,346,896 | ) | (12,482,859 | ) | (95,792,163 | ) | (21,326,753 | ) | |||||||
Capital Share Transactions: | ||||||||||||||
Proceeds from shares sold: | ||||||||||||||
Class II | 155,375 | 2,783,081 | 8,615,964 | 17,825,120 | ||||||||||
Net asset value of shares issued upon reinvestment of dividends and | ||||||||||||||
distributions: | ||||||||||||||
Class II | 17,346,896 | 12,482,859 | 95,792,163 | 21,326,753 | ||||||||||
17,502,271 | 15,265,940 | 104,408,127 | 39,151,873 | |||||||||||
Cost of shares redeemed: | ||||||||||||||
Class II | (12,814,913 | ) | (32,902,562 | ) | (20,098,839 | ) | (310,117,607 | ) | ||||||
Increase (decrease) in net assets derived from capital share transactions | 4,687,358 | (17,636,622 | ) | 84,309,288 | (270,965,734 | ) | ||||||||
Net Decrease in Net Assets | (41,735,403 | ) | (7,662,959 | ) | (88,175,165 | ) | (198,744,876 | ) | ||||||
Net Assets: | ||||||||||||||
Beginning of period | 187,459,325 | 195,122,284 | 529,823,431 | 728,568,307 | ||||||||||
End of period | $ | 145,723,922 | $ | 187,459,325 | $ | 441,648,266 | $ | 529,823,431 |
See accompanying notes, which are an integral part of the financial statements.
19
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy VIP | Delaware Ivy VIP | |||||||||||||
Pathfinder Moderately | Pathfinder Moderately | |||||||||||||
Aggressive - | Conservative - | |||||||||||||
Managed Volatility | Managed Volatility | |||||||||||||
Six months | Six months | |||||||||||||
ended | ended | |||||||||||||
6/30/22 | Year ended | 6/30/22 | Year ended | |||||||||||
(Unaudited) | 12/31/21 | (Unaudited) | 12/31/21 | |||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||
Net investment income (loss) | $ | 1,076,784 | $ | 1,580,586 | $ | 440,713 | $ | 1,709,313 | ||||||
Net realized gain (loss) | 15,539,255 | 6,480,584 | 4,642,413 | 10,233,959 | ||||||||||
Net change in unrealized appreciation (depreciation) | (32,213,634 | ) | 6,022,229 | (10,383,706 | ) | (2,703,178 | ) | |||||||
Net increase (decrease) in net assets resulting from operations | (15,597,595 | ) | 14,083,399 | (5,300,580 | ) | 9,240,094 | ||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||
Distributable earnings: | ||||||||||||||
Class II | (8,050,737 | ) | (2,885,945 | ) | (11,995,385 | ) | (3,230,225 | ) | ||||||
(8,050,737 | ) | 2,885,945 | (11,995,385 | ) | (3,230,225 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||
Proceeds from shares sold: | ||||||||||||||
Class II | 1,527,265 | 3,343,305 | 847,332 | 6,191,666 | ||||||||||
Net asset value of shares issued upon reinvestment of dividends and | ||||||||||||||
distributions: | ||||||||||||||
Class II | 8,050,737 | 2,885,945 | 11,995,385 | 3,230,225 | ||||||||||
9,578,002 | 6,229,250 | 12,842,717 | 9,421,891 | |||||||||||
Cost of shares redeemed: | ||||||||||||||
Class II | (7,375,915 | ) | (11,700,491 | ) | (2,466,789 | ) | (61,135,361 | ) | ||||||
Increase (decrease) in net assets derived from capital share transactions | 2,202,087 | (5,471,241 | ) | 10,375,928 | (51,713,470 | ) | ||||||||
Net Increase (Decrease) in Net Assets | (21,446,245 | ) | 5,726,213 | (6,920,037 | ) | (45,703,601 | ) | |||||||
Net Assets: | ||||||||||||||
Beginning of period | 101,784,447 | 96,058,234 | 39,987,920 | 85,691,521 | ||||||||||
End of period | $ | 80,338,202 | $ | 101,784,447 | $ | 33,067,883 | $ | 39,987,920 |
See accompanying notes, which are an integral part of the financial statements.
20
Financial highlights
Delaware Ivy VIP Pathfinder Aggressive Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | |||||||||||||||||||
ended | |||||||||||||||||||
6/30/221 | Year ended | ||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | ||||||||||||||
Net asset value, beginning of period | $ | 5.47 | $ | 4.92 | $ | 5.00 | $ | 4.60 | $ | 5.16 | $ | 4.68 | |||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment income2 | 0.06 | 0.08 | 0.09 | 0.07 | 0.13 | 0.08 | |||||||||||||
Net realized and unrealized gain (loss) | (1.10 | ) | 0.82 | 0.52 | 0.92 | (0.32 | ) | 0.80 | |||||||||||
Total from investment operations | (1.04 | ) | 0.90 | 0.61 | 0.99 | (0.19 | ) | 0.88 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net investment income | (0.09 | ) | (0.09 | ) | (0.07 | ) | (0.14 | ) | (0.09 | ) | (0.05 | ) | |||||||
Net realized gain | (0.39 | ) | (0.26 | ) | (0.62 | ) | (0.45 | ) | (0.28 | ) | (0.35 | ) | |||||||
Total dividends and distributions | (0.48 | ) | (0.35 | ) | (0.69 | ) | (0.59 | ) | (0.37 | ) | (0.40 | ) | |||||||
Net asset value, end of period | $ | 3.95 | $ | 5.47 | $ | 4.92 | $ | 5.00 | $ | 4.60 | $ | 5.16 | |||||||
Total return3 | (19.19% | ) | 18.93% | 15.70% | 23.24% | (4.27% | ) | 19.83% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 55,277 | $ | 744 | $ | 684 | $ | 664 | $ | 594 | $ | 764 | |||||||
Ratio of expenses to average net assets5 | 0.12% | 0.07% | 0.12% | 0.09% | 0.09% | 0.07% | |||||||||||||
Ratio of net investment income to average net | |||||||||||||||||||
assets | 2.56% | 1.62% | 1.91% | 1.41% | 2.49% | 1.68% | |||||||||||||
Portfolio turnover | 17% | 18% | 21% | 18% | 51% | 20% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
21
Financial highlights
Delaware Ivy VIP Pathfinder Conservative Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | |||||||||||||||||||
ended | |||||||||||||||||||
6/30/221 | Year ended | ||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | ||||||||||||||
Net asset value, beginning of period | $ | 5.50 | $ | 5.31 | $ | 5.15 | $ | 4.83 | $ | 5.16 | $ | 4.90 | |||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment income2 | 0.07 | 0.13 | 0.10 | 0.09 | 0.10 | 0.05 | |||||||||||||
Net realized and unrealized gain (loss) | (0.89 | ) | 0.39 | 0.49 | 0.59 | (0.20 | ) | 0.46 | |||||||||||
Total from investment operations | (0.82 | ) | 0.52 | 0.59 | 0.68 | (0.10 | ) | 0.51 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net investment income | (0.13 | ) | (0.10 | ) | (0.09 | ) | (0.10 | ) | (0.06 | ) | (0.04 | ) | |||||||
Net realized gain | (0.38 | ) | (0.23 | ) | (0.34 | ) | (0.26 | ) | (0.17 | ) | (0.21 | ) | |||||||
Total dividends and distributions | (0.51 | ) | (0.33 | ) | (0.43 | ) | (0.36 | ) | (0.23 | ) | (0.25 | ) | |||||||
Net asset value, end of period | $ | 4.17 | $ | 5.50 | $ | 5.31 | $ | 5.15 | $ | 4.83 | $ | 5.16 | |||||||
Total return3 | (15.07% | ) | 10.18% | 12.67% | 14.66% | (1.93% | ) | 10.51% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 89,461 | $ | 1104 | $ | 1124 | $ | 994 | $ | 944 | $ | 1094 | |||||||
Ratio of expenses to average net assets5 | 0.08% | 0.06% | 0.08% | 0.07% | 0.07% | 0.06% | |||||||||||||
Ratio of net investment income to average net | |||||||||||||||||||
assets | 2.93% | 2.32% | 2.02% | 1.71% | 1.89% | 1.06% | |||||||||||||
Portfolio turnover | 16% | 27% | 41% | 31% | 39% | 30% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
22
Delaware Ivy VIP Pathfinder Moderate Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | |||||||||||||||||||
ended | |||||||||||||||||||
6/30/221 | Year ended | ||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | ||||||||||||||
Net asset value, beginning of period | $ | 5.51 | $ | 5.15 | $ | 5.19 | $ | 4.89 | $ | 5.40 | $ | 5.02 | |||||||
Income (loss) from investment operations: | |||||||||||||||||||
Net investment income2 | 0.07 | 0.11 | 0.10 | 0.08 | 0.12 | 0.07 | |||||||||||||
Net realized and unrealized gain (loss) | (1.00 | ) | 0.61 | 0.51 | 0.79 | (0.31 | ) | 0.64 | |||||||||||
Total from investment operations | (0.93 | ) | 0.72 | 0.61 | 0.87 | (0.19 | ) | 0.71 | |||||||||||
Less dividends and distributions from: | |||||||||||||||||||
Net investment income | (0.12 | ) | (0.11 | ) | (0.09 | ) | (0.14 | ) | (0.08 | ) | (0.04 | ) | |||||||
Net realized gain | (0.45 | ) | (0.25 | ) | (0.56 | ) | (0.43 | ) | (0.24 | ) | (0.29 | ) | |||||||
Total dividends and distributions | (0.57 | ) | (0.36 | ) | (0.65 | ) | (0.57 | ) | (0.32 | ) | (0.33 | ) | |||||||
Net asset value, end of period | $ | 4.01 | $ | 5.51 | $ | 5.15 | $ | 5.19 | $ | 4.89 | $ | 5.40 | |||||||
Total return3 | (17.09% | ) | 14.66% | 14.35% | 19.05% | (3.90% | ) | 14.70% | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 488,608 | $ | 6354 | $ | 6564 | $ | 6804 | $ | 7034 | $ | 8774 | |||||||
Ratio of expenses to average net assets5 | 0.04% | 0.03% | 0.04% | 0.04% | 0.03% | 0.03% | |||||||||||||
Ratio of net investment income to average net | |||||||||||||||||||
assets | 2.80% | 2.05% | 2.05% | 1.62% | 2.26% | 1.30% | |||||||||||||
Portfolio turnover | 15% | 18% | 21% | 17% | 36% | 22% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
23
Financial highlights
Delaware Ivy VIP Pathfinder Moderately Aggressive Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 5.66 | $ | 5.18 | $ | 5.32 | $ | 4.98 | $ | 5.59 | $ | 5.14 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.07 | 0.10 | 0.10 | 0.08 | 0.13 | 0.09 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.08 | ) | 0.75 | 0.52 | 0.92 | (0.37 | ) | 0.74 | ||||||||||||||||
Total from investment operations | (1.01 | ) | 0.85 | 0.62 | 1.00 | (0.24 | ) | 0.83 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.12 | ) | (0.10 | ) | (0.09 | ) | (0.15 | ) | (0.10 | ) | (0.05 | ) | ||||||||||||
Net realized gain | (0.49 | ) | (0.27 | ) | (0.67 | ) | (0.51 | ) | (0.27 | ) | (0.33 | ) | ||||||||||||
Total dividends and distributions | (0.61 | ) | (0.37 | ) | (0.76 | ) | (0.66 | ) | (0.37 | ) | (0.38 | ) | ||||||||||||
Net asset value, end of period | $ | 4.04 | $ | 5.66 | $ | 5.18 | $ | 5.32 | $ | 4.98 | $ | 5.59 | ||||||||||||
Total return3 | (18.11% | ) | 16.88% | 15.12% | 21.40% | (4.71% | ) | (16.72% | ) | |||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 588,276 | $ | 777 | 4 | $ | 799 | 4 | $ | 829 | 4 | $ | 838 | 4 | $ | 1,052 | 4 | |||||||
Ratio of expenses to average net assets5 | 0.05% | 0.03% | 0.04% | 0.03% | 0.03% | 0.03% | ||||||||||||||||||
Ratio of net investment income to average net | ||||||||||||||||||||||||
assets | 2.73% | 1.88% | 2.02% | 1.56% | 2.35% | 1.66% | ||||||||||||||||||
Portfolio turnover | 16% | 17% | 20% | 19% | 39% | 20% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
24
Delaware Ivy VIP Pathfinder Moderately Conservative Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 5.53 | $ | 5.26 | $ | 5.22 | $ | 4.90 | $ | 5.32 | $ | 4.99 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.07 | 0.12 | 0.10 | 0.08 | 0.11 | 0.06 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.95 | ) | 0.51 | 0.50 | 0.70 | (0.24 | ) | 0.56 | ||||||||||||||||
Total from investment operations | (0.88 | ) | 0.63 | 0.60 | 0.78 | (0.13 | ) | 0.62 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.13 | ) | (0.11 | ) | (0.10 | ) | (0.12 | ) | (0.07 | ) | (0.04 | ) | ||||||||||||
Net realized gain | (0.41 | ) | (0.25 | ) | (0.46 | ) | (0.34 | ) | (0.22 | ) | (0.25 | ) | ||||||||||||
Total dividends and distributions | (0.54 | ) | (0.36 | ) | (0.56 | ) | (0.46 | ) | (0.29 | ) | (0.29 | ) | ||||||||||||
Net asset value, end of period | $ | 4.11 | $ | 5.53 | $ | 5.26 | $ | 5.22 | $ | 4.90 | $ | 5.32 | ||||||||||||
Total return3 | (16.04% | ) | 12.37% | 13.52% | 16.85% | (2.67% | ) | 12.77% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 145,724 | $ | 187 | 4 | $ | 195 | 4 | $ | 202 | 4 | $ | 205 | 4 | $ | 251 | 4 | |||||||
Ratio of expenses to average net assets5 | 0.07% | 0.04% | 0.06% | 0.05% | 0.05% | 0.05% | ||||||||||||||||||
Ratio of net investment income to average net | ||||||||||||||||||||||||
assets | 2.84% | 2.17% | 2.09% | 1.67% | 2.07% | 1.22% | ||||||||||||||||||
Portfolio turnover | 20% | 20% | 25% | 18% | 34% | 24% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
25
Financial highlights
Delaware Ivy VIP Pathfinder Moderate - Managed Volatility Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 6.33 | $ | 5.77 | $ | 5.84 | $ | 5.33 | $ | 5.78 | $ | 5.25 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.07 | 0.11 | 0.10 | 0.08 | 0.11 | 0.06 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.97 | ) | 0.62 | 0.34 | 0.82 | (0.33 | ) | 0.65 | ||||||||||||||||
Total from investment operations | (0.90 | ) | 0.73 | 0.44 | 0.90 | (0.22 | ) | 0.71 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.17 | ) | (0.10 | ) | (0.08 | ) | (0.11 | ) | (0.06 | ) | (0.03 | ) | ||||||||||||
Net realized gain | (1.00 | ) | (0.07 | ) | (0.43 | ) | (0.28 | ) | (0.17 | ) | (0.15 | ) | ||||||||||||
Total dividends and distributions | (1.17 | ) | (0.17 | ) | (0.51 | ) | (0.39 | ) | (0.23 | ) | (0.18 | ) | ||||||||||||
Net asset value, end of period | $ | 4.26 | $ | 6.33 | $ | 5.77 | $ | 5.84 | $ | 5.33 | $ | 5.78 | ||||||||||||
Total return3 | (14.64% | ) | 12.99% | 9.07% | 17.32% | (4.00% | ) | 13.80% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 441,648 | $ | 530 | 4 | $ | 729 | 4 | $ | 707 | 4 | $ | 606 | 4 | $ | 600 | 4 | |||||||
Ratio of expenses to average net assets5 | 0.25% | 0.22% | 0.23% | 0.23% | 0.23% | 0.23% | ||||||||||||||||||
Ratio of net investment income to average net | ||||||||||||||||||||||||
assets | 2.57% | 1.87% | 1.78% | 1.39% | 2.00% | 1.07% | ||||||||||||||||||
Portfolio turnover | 18% | 19% | 42% | 9% | 28% | 21% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
26
Delaware Ivy VIP Pathfinder Moderately Aggressive - Managed Volatility Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 6.11 | $ | 5.46 | $ | 5.63 | $ | 5.15 | $ | 5.66 | $ | 5.06 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.06 | 0.09 | 0.09 | 0.07 | 0.11 | 0.07 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.01 | ) | 0.73 | 0.33 | 0.88 | (0.37 | ) | 0.71 | ||||||||||||||||
Total from investment operations | (0.95 | ) | 0.82 | 0.42 | 0.95 | (0.26 | ) | 0.78 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.10 | ) | (0.09 | ) | (0.07 | ) | (0.12 | ) | (0.07 | ) | (0.02 | ) | ||||||||||||
Net realized gain | (0.41 | ) | (0.08 | ) | (0.52 | ) | (0.35 | ) | (0.18 | ) | (0.16 | ) | ||||||||||||
Total dividends and distributions | (0.51 | ) | (0.17 | ) | (0.59 | ) | (0.47 | ) | (0.25 | ) | (0.18 | ) | ||||||||||||
Net asset value, end of period | $ | 4.65 | $ | 6.11 | $ | 5.46 | $ | 5.63 | $ | 5.15 | $ | 5.66 | ||||||||||||
Total return3 | (15.72% | ) | 15.24% | 9.71% | 19.29% | (4.75% | ) | 15.70% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 80,338 | $ | 102 | 4 | $ | 96 | 4 | $ | 93 | 4 | $ | 84 | 4 | $ | 92 | 4 | |||||||
Ratio of expenses to average net assets5 | 0.29% | 0.26% | 0.29% | 0.27% | 0.27% | 0.27% | ||||||||||||||||||
Ratio of net investment income to average net | ||||||||||||||||||||||||
assets | 2.41% | 1.58% | 1.68% | 1.32% | 2.04% | 1.38% | ||||||||||||||||||
Portfolio turnover | 26% | 18% | 41% | 16% | 37% | 19% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
27
Financial highlights
Delaware Ivy VIP Pathfinder Moderately Conservative - Managed Volatility Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/221 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | 12/31/17 | |||||||||||||||||||
Net asset value, beginning of period | $ | 6.02 | $ | 5.64 | $ | 5.58 | $ | 5.19 | $ | 5.55 | $ | 5.10 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.06 | 0.12 | 0.09 | 0.08 | 0.10 | 0.05 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.84 | ) | 0.47 | 0.39 | 0.66 | (0.24 | ) | 0.53 | ||||||||||||||||
Total from investment operations | (0.78 | ) | 0.59 | 0.48 | 0.74 | (0.14 | ) | 0.58 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.27 | ) | (0.09 | ) | (0.08 | ) | (0.10 | ) | (0.05 | ) | (0.02 | ) | ||||||||||||
Net realized gain | (1.61 | ) | (0.12 | ) | (0.34 | ) | (0.25 | ) | (0.17 | ) | (0.11 | ) | ||||||||||||
Total dividends and distributions | (1.88 | ) | (0.21 | ) | (0.42 | ) | (0.35 | ) | (0.22 | ) | (0.13 | ) | ||||||||||||
Net asset value, end of period | $ | 3.36 | $ | 6.02 | $ | 5.64 | $ | 5.58 | $ | 5.19 | $ | 5.55 | ||||||||||||
Total return3 | (16.04% | ) | 10.72% | 9.61% | 14.89% | (2.90% | ) | 11.84% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 33,068 | $ | 40 | 4 | $ | 86 | 4 | $ | 80 | 4 | $ | 73 | 4 | $ | 74 | 4 | |||||||
Ratio of expenses to average net assets5 | 0.40% | 0.26% | 0.30% | 0.27% | 0.29% | 0.27% | ||||||||||||||||||
Ratio of net investment income to average net | ||||||||||||||||||||||||
assets | 2.48% | 2.06% | 1.77% | 1.45% | 1.79% | 0.96% | ||||||||||||||||||
Portfolio turnover | 20% | 24% | 45% | 14% | 28% | 26% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any Underlying Funds in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
28
Notes to financial statements
Ivy Variable Insurance Portfolios
June 30, 2022 (Unaudited)
Ivy Variable Insurance Portfolios (Trust) is organized as a Delaware statutory trust and offers 26 portfolios. These financial statements and the related notes pertain to 8 portfolios: Delaware Ivy VIP Pathfinder Aggressive (formerly, Ivy VIP Pathfinder Aggressive), Delaware Ivy VIP Pathfinder Conservative (formerly, Ivy VIP Pathfinder Conservative), Delaware Ivy VIP Pathfinder Moderate (formerly, Ivy VIP Pathfinder Moderate), Delaware Ivy VIP Pathfinder Moderately Aggressive (formerly, Ivy VIP Pathfinder Moderately Aggressive), and Delaware Ivy VIP Pathfinder Moderately Conservative (formerly, Ivy VIP Pathfinder Moderately Conservative) (collectively, the “Pathfinder Portfolios”), Delaware Ivy VIP Pathfinder Moderate – Managed Volatility (formerly, Ivy VIP Pathfinder Moderate – Managed Volatility), Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility (formerly, Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility), and Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility (formerly, Ivy VIP Pathfinder Moderately Conservative – Managed Volatility) (collectively, the “Managed Volatility Portfolios”) (each, a Portfolio and collectively, the Portfolios). The Trust is an open-end investment company.
Each Portfolio offers Class II shares. The Class II shares carry a distribution and service (12b-1) fee. The shares of the Portfolios are sold only to variable life insurance separate accounts and variable annuity separate accounts.
1. Significant Accounting Policies
Each Portfolio follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Portfolios.
Security Valuation — Open-end investment companies (Underlying Funds) are valued at their published net asset value (NAV). Futures contracts are valued at the daily quoted settlement prices. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Trust’s Board of Trustees (Board). Restricted securities are valued at fair value using methods approved by the Board.
Federal and Foreign Income Taxes — No provision for federal income taxes has been made as each Portfolio intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. Each Portfolio evaluates tax positions taken or expected to be taken in the course of preparing each Portfolio's tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed each Portfolio's tax positions taken or expected to be taken on each Portfolio's federal income tax returns through the six months ended June 30, 2022, and for all open tax years (years ended December 31, 2018–December 31, 2021), and has concluded that no provision for federal income tax is required in each Portfolio's financial statements. In regard to foreign taxes only, each Portfolio has open tax years in certain foreign countries in which it invests in that may date back to the inception of each Portfolio. If applicable, each Portfolio recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statements of operations.” During the six months ended June 30, 2022, the Portfolios did not incur any interest or tax penalties.
Use of Estimates — The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to a Portfolio are charged directly to that Portfolio. Other expenses common to various funds within the Delaware Funds by Macquarie® (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Income and capital gain distributions from any Underlying Funds in which a Portfolio invests are recorded on the ex-dividend date. Each Portfolio declares net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. Each Portfolio may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
29
Notes to financial statements
Ivy Variable Insurance Portfolios
1. Significant Accounting Policies (continued)
Each Portfolio receives earnings credits from its custodian when positive cash balances are maintained, which may be used to offset custody fees. The expenses paid under this arrangement are included on the “Statements of operations” under “Custodian fees” with the corresponding expenses offset included under “Less expenses paid indirectly.” There were no such earnings credits for the six months ended June 30, 2022.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its respective investment management agreement, each Portfolio (other than the Pathfinder Portfolios) pays Delaware Management Company (DMC), a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly, based on each Portfolio's average daily net assets as follows:
Portfolio | Management Fee (annual rate as a percentage of average daily net assets) | |
Delaware Ivy VIP Pathfinder Moderate - | ||
Managed Volatility | 0.20% of net assets up to $500 million; | |
0.17% of net assets over $500 million and up to $1 billion; | ||
0.15% of net assets over $1 billion. | ||
Delaware Ivy VIP Pathfinder Moderately | ||
Aggressive - Managed Volatility | 0.20% of net assets up to $500 million; | |
0.17% of net assets over $500 million and up to $1 billion; | ||
0.15% of net assets over $1 billion. | ||
Delaware Ivy VIP Pathfinder Moderately | ||
Conservative - Managed Volatility | 0.20% of net assets up to $500 million; | |
0.17% of net assets over $500 million and up to $1 billion; | ||
0.15% of net assets over $1 billion. |
The Pathfinder Portfolios pay no management fees.
DMC 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.
DMC has entered into sub-advisory agreements with the following entities on behalf of the Portfolios:
Macquarie Investment Management Austria Kapitalanlage AG (MIMAK), Macquarie Investment Management Europe Limited (MIMEL), Macquarie Investment Management Global Limited (MIMGL) and Macquarie Funds Management Hong Kong Limited (MFMHKL), each of which is an affiliate of DMC (the Affiliated Sub-Advisors).
MIMAK is a part of Macquarie Asset Management (MAM). MAM is the marketing name for certain companies comprising the asset management division of Macquarie Group Limited. DMC and MIMAK are primarily responsible for the day-to-day management of the Portfolios. In addition, DMC may also seek fixed income investment advice and recommendations from MIMAK and DMC may also permit MIMAK to execute Portfolio security trades on behalf of DMC and exercise investment discretion for securities in certain markets where DMC believes it will be beneficial to utilize MIMAK's specialized market knowledge.
With respect to the Portfolios for which MIMEL serves as subadvisor, DMC may seek investment advice and recommendations from MIMEL and DMC may also permit MIMEL to execute Portfolio security trades on behalf of DMC and exercise investment discretion for securities in certain markets where DMC believes it will be beneficial to utilize MIMEL's specialized market knowledge.
WIth respect to the Portfolios for which MIMGL serves as subadvisor, DMC has principal responsibility for each Portfolio and may seek investment advice and recommendations from MIMGL and DMC may also permit MIMGL to execute Portfolio security trades on behalf of DMC and exercise investment discretion for securities in certain markets where DMC believes it will be beneficial to utilize MIMGL's specialized market knowledge.
30
MFMHKL is a part of MAM. With respect to the Portfolios for which MFMHKL serves as subadvisor, DMC may permit MFMHKL to execute Portfolio security trades on behalf of DMC.
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 DMC and the Board. DMC pays all applicable costs of the subadvisor.
Prior to February 28, 2022, the Portfolios had an Accounting Services Agreement with Waddell & Reed Services Company (WRSCO), doing business as WI Services Company (WISC). Under the agreement, WISC acted as the agent in providing bookkeeping and accounting services and assistance to each Portfolio, including maintenance of Portfolio records, pricing of Portfolio shares and preparation of certain shareholder reports. For these services, each Portfolio paid WISC a monthly fee of one-twelfth of the annual fee shown in the following table:
(M - Millions) | Annual Fee Rate | ||
$0 to $10M | $ | 0 | |
$10 to $25M | 5,748 | ||
$25 to $50M | 11,550 | ||
$50 to $100M | 17,748 | ||
$100 to $200M | 24,198 | ||
$200 to $350M | 31,602 | ||
$350 to $550M | 41,250 | ||
$550 to $750M | 48,150 | ||
$750 to $1,000M | 60,798 | ||
Over $1,000M | 74,250 |
In addition, each Portfolio paid 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 was voluntarily waived by WISC until each Portfolio’s net assets were at least $10 million and is included in “Accounting and administration expenses” on the "Statements of operations.”
Effective February 28, 2022, Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to each Portfolio. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; and 0.0025% of aggregate average daily net assets in excess of $45 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative NAV basis. These amounts are included on the “Statements of operations” under “Accounting and administration expenses.” From February 28, 2022 to June 30, 2022, each Portfolio was charged for these services as follows:
Portfolio | Fees | ||
Delaware Ivy VIP Pathfinder Aggressive | $ | 5,629 | |
Delaware Ivy VIP Pathfinder Conservative | 6,979 | ||
Delaware Ivy VIP Pathfinder Moderate | 23,407 | ||
Delaware Ivy VIP Pathfinder Moderately Aggressive | 27,651 | ||
Delaware Ivy VIP Pathfinder Moderately Conservative | 9,304 | ||
Delaware Ivy VIP Pathfinder Moderate - Managed Volatility | 20,036 | ||
Delaware Ivy VIP Pathfinder Moderately Aggressive - Managed | |||
Volatility | 6,822 | ||
Delaware Ivy VIP Pathfinder Moderately Conservative - Managed | |||
Volatility | 4,428 |
Prior to June 27, 2022, under a Transfer Agency Agreement between the Trust and WISC, each Portfolio reimbursed WISC for certain out-of-pocket costs. Effective June 27, 2022, DIFSC is also the transfer agent and dividend disbursing agent of the Portfolios. For these services, DIFSC’s fees are calculated daily and paid monthly, at the annual rate of 0.0075% of the Portfolios’ average daily net assets. There were no fees paid for these services from June 27, 2022 through June 30, 2022.
Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), effective June 27, 2022, BNYMIS provides certain sub-transfer agency services to each Portfolio. Sub-transfer agency fees are paid by each Portfolio
31
Notes to financial statements
Ivy Variable Insurance Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
and are also included on the “Statements of operations” under “Dividend disbursing and transfer agent fees and expenses.” The fees are calculated daily and paid as invoices are received on a monthly or quarterly basis.
As provided in the investment management agreement, each Portfolio bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal and regulatory reporting services to each Portfolio. These amounts are included on the “Statements of operations” under “Legal fees.” For the six months ended June 30, 2022, each Portfolio was charged for internal legal and regulatory reporting services provided by DMC and/or its affiliates’ employees as follows:
Portfolio | Fees | ||
Delaware Ivy VIP Pathfinder Aggressive | $ | 80 | |
Delaware Ivy VIP Pathfinder Conservative | 121 | ||
Delaware Ivy VIP Pathfinder Moderate | 688 | ||
Delaware Ivy VIP Pathfinder Moderately Aggressive | 843 | ||
Delaware Ivy VIP Pathfinder Moderately Conservative | 204 | ||
Delaware Ivy VIP Pathfinder Moderate - Managed Volatility | 593 | ||
Delaware Ivy VIP Pathfinder Moderately Aggressive - Managed | |||
Volatility | 112 | ||
Delaware Ivy VIP Pathfinder Moderately Conservative - Managed | |||
Volatility | 44 |
Trustees’ fees include expenses accrued by each Portfolio for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Portfolios.
In addition to the management fees and other expenses of a Portfolio, a Portfolio indirectly bears the investment management fees and other expenses of any Underlying Funds in which it invests. The amount of these fees and expenses incurred indirectly by a Portfolio will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of any Underlying Funds at different times.
32
A summary of the transactions in affiliated companies during the six months ended June 30, 2022 as follows:
Net | ||||||||||||||||||||||||||||||
realized | Net change in | |||||||||||||||||||||||||||||
gain (loss) | unrealized | |||||||||||||||||||||||||||||
Value, | on | appreciation | Value, | |||||||||||||||||||||||||||
beginning | Gross | Gross | affiliated | (depreciation) | end of | Income | Capital gain | |||||||||||||||||||||||
of period | additions | reductions | fund | on affiliated fund | period | Shares | distributions | distributions | ||||||||||||||||||||||
Delaware Ivy VIP Pathfinder Aggressive | ||||||||||||||||||||||||||||||
Affiliated Mutual Funds–99.52% | ||||||||||||||||||||||||||||||
Delaware Ivy VIP Core Equity Class II | ||||||||||||||||||||||||||||||
$ | 9,178,872 | $ | 4,196,573 | $ | 1,010,520 | $ | 233,247 | $ | (4,013,129 | ) | $ | 8,585,043 | 774,125 | $ | 19,944 | $ | 1,778,585 | |||||||||||||
Delaware Ivy VIP Corporate Bond Class II | ||||||||||||||||||||||||||||||
7,186,240 | 376,008 | 1,134,753 | (38,004 | ) | (1,242,129 | ) | 5,147,362 | 1,126,337 | 139,996 | 159,664 | ||||||||||||||||||||
Delaware Ivy VIP Global Equity Income Class II | ||||||||||||||||||||||||||||||
9,985,397 | 2,302,569 | 1,118,309 | 167,179 | (3,763,283 | ) | 7,573,553 | 1,786,215 | 305,647 | 1,919,148 | |||||||||||||||||||||
Delaware Ivy VIP Growth Class II | ||||||||||||||||||||||||||||||
14,498,685 | 2,557,329 | 2,695,426 | 299,748 | (6,066,279 | ) | 8,594,057 | 1,076,950 | — | 2,258,228 | |||||||||||||||||||||
Delaware Ivy VIP High Income Class I | ||||||||||||||||||||||||||||||
184,761 | 10,544 | 22,401 | (247 | ) | (33,869 | ) | 138,788 | 51,025 | 10,262 | — | ||||||||||||||||||||
Delaware Ivy VIP International Core Equity Class II | ||||||||||||||||||||||||||||||
11,908,221 | 1,182,492 | 1,210,498 | (4,536 | ) | (3,032,346 | ) | 8,843,333 | 653,127 | 219,402 | 755,517 | ||||||||||||||||||||
Delaware Ivy VIP Limited-Term Bond Class II | ||||||||||||||||||||||||||||||
3,671,127 | 134,210 | 585,117 | (14,394 | ) | (182,005 | ) | 3,023,821 | 657,352 | 41,032 | 23,081 | ||||||||||||||||||||
Delaware Ivy VIP Mid Cap Growth Class I | ||||||||||||||||||||||||||||||
7,150,999 | 944,832 | 1,461,424 | 315,643 | (3,362,944 | ) | 3,587,106 | 386,125 | — | 922,116 | |||||||||||||||||||||
Delaware Ivy VIP Small Cap Growth Class I | ||||||||||||||||||||||||||||||
1,702,929 | 163,356 | 749,395 | (179,286 | ) | (331,048 | ) | 606,556 | 99,599 | — | 161,405 | ||||||||||||||||||||
Delaware Ivy VIP Smid Cap Core Class II | ||||||||||||||||||||||||||||||
444,429 | 610,422 | 165,384 | (1,841 | ) | (283,300 | ) | 604,326 | 57,610 | — | 152,347 | ||||||||||||||||||||
Delaware Ivy VIP Value Class II | ||||||||||||||||||||||||||||||
7,858,869 | 4,718,153 | 898,088 | 133,148 | (3,503,996 | ) | 8,308,086 | 1,588,544 | 111,594 | 2,316,641 | |||||||||||||||||||||
Total | $ | 73,770,529 | $ | 17,196,488 | $ | 11,051,315 | $ | 910,657 | $ | (25,814,328 | ) | $ | 55,012,031 | $ | 847,877 | $ | 10,446,732 |
33
Notes to financial statements
Ivy Variable Insurance Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
Net | ||||||||||||||||||||||||||||||||
realized | Net change in | |||||||||||||||||||||||||||||||
gain (loss) | unrealized | |||||||||||||||||||||||||||||||
Value, | on | appreciation | Value, | |||||||||||||||||||||||||||||
beginning | Gross | Gross | affiliated | (depreciation) | end of | Income | Capital gain | |||||||||||||||||||||||||
of period | additions | reductions | fund | on affiliated fund | period | Shares | distributions | distributions | ||||||||||||||||||||||||
Delaware Ivy VIP Pathfinder Conservative | ||||||||||||||||||||||||||||||||
Affiliated Mutual Funds–99.51% | ||||||||||||||||||||||||||||||||
Delaware Ivy VIP Core Equity Class II | ||||||||||||||||||||||||||||||||
$ | 8,080,468 | $ | 5,201,615 | $ | 882,158 | $ | 164,870 | $ | (3,917,438 | ) | $ | 8,647,357 | 779,744 | $ | 20,656 | $ | 1,842,002 | |||||||||||||||
Delaware Ivy VIP Corporate Bond Class II | ||||||||||||||||||||||||||||||||
31,506,244 | 2,551,975 | 2,802,399 | (1,793 | ) | (5,825,740 | ) | 25,428,287 | 5,564,176 | 666,824 | 760,510 | ||||||||||||||||||||||
Delaware Ivy VIP Global Equity Income Class II | ||||||||||||||||||||||||||||||||
4,946,484 | 1,588,184 | 471,045 | 62,644 | (1,928,537 | ) | 4,197,730 | 990,031 | 159,073 | 998,812 | |||||||||||||||||||||||
Delaware Ivy VIP Growth Class II | ||||||||||||||||||||||||||||||||
14,240,107 | 2,933,594 | 2,723,608 | 252,142 | (6,012,866 | ) | 8,689,369 | 1,088,893 | — | 2,297,003 | |||||||||||||||||||||||
Delaware Ivy VIP High Income Class I | ||||||||||||||||||||||||||||||||
1,373,629 | 136,797 | 153,618 | (3,693 | ) | (257,932 | ) | 1,095,183 | 402,641 | 78,854 | — | ||||||||||||||||||||||
Delaware Ivy VIP International Core Equity Class II | ||||||||||||||||||||||||||||||||
5,899,916 | 847,833 | 624,268 | 16,138 | (1,565,791 | ) | 4,573,828 | 337,801 | 115,073 | 396,257 | |||||||||||||||||||||||
Delaware Ivy VIP Limited-Term Bond Class II | ||||||||||||||||||||||||||||||||
27,291,863 | 1,422,938 | 4,043,782 | (102,583 | ) | (1,406,798 | ) | 23,161,638 | 5,035,139 | 321,087 | 180,612 | ||||||||||||||||||||||
Delaware Ivy VIP Mid Cap Growth Class I | ||||||||||||||||||||||||||||||||
7,444,303 | 1,178,607 | 1,946,782 | 283,921 | (3,315,206 | ) | 3,644,843 | 392,340 | — | 899,946 | |||||||||||||||||||||||
Delaware Ivy VIP Small Cap Growth Class I | ||||||||||||||||||||||||||||||||
1,518,356 | 189,798 | 617,786 | (161,718 | ) | (311,854 | ) | 616,796 | 101,280 | — | 155,926 | ||||||||||||||||||||||
Delaware Ivy VIP Smid Cap Core Class II | ||||||||||||||||||||||||||||||||
132,117 | 832,137 | 108,802 | (895 | ) | (245,081 | ) | 609,476 | 58,101 | — | 143,482 | ||||||||||||||||||||||
Delaware Ivy VIP Value Class II | ||||||||||||||||||||||||||||||||
7,233,782 | 5,456,288 | 1,060,135 | 203,096 | (3,472,186 | ) | 8,360,845 | 1,598,632 | 107,791 | 2,237,702 | |||||||||||||||||||||||
Total | $ | 109,667,269 | $ | 22,339,766 | $ | 15,434,383 | $ | 712,129 | $ | (28,259,429 | ) | $ | 89,025,352 | $ | 1,469,358 | $ | 9,912,252 |
34
Net | |||||||||||||||||||||||||||||||
realized | Net change in | ||||||||||||||||||||||||||||||
gain (loss) | unrealized | ||||||||||||||||||||||||||||||
Value, | on | appreciation | Value, | ||||||||||||||||||||||||||||
beginning | Gross | Gross | affiliated | (depreciation) | end of | Income | Capital gain | ||||||||||||||||||||||||
of period | additions | reductions | fund | on affiliated fund | period | Shares | distributions | distributions | |||||||||||||||||||||||
Delaware Ivy VIP Pathfinder Moderate | |||||||||||||||||||||||||||||||
Affiliated Mutual Funds–99.52% | |||||||||||||||||||||||||||||||
Delaware Ivy VIP Core Equity Class II | |||||||||||||||||||||||||||||||
$ | 62,752,681 | $ | 32,028,832 | $ | 6,626,189 | $ | 1,369,172 | $ | (28,267,644 | ) | $ | 61,256,852 | 5,523,611 | $ | 144,661 | $ | 12,900,362 | ||||||||||||||
Delaware Ivy VIP Corporate Bond Class II | |||||||||||||||||||||||||||||||
121,848,884 | 5,559,921 | 12,397,498 | (124,238 | ) | (21,875,848 | ) | 93,011,221 | 20,352,565 | 2,446,890 | 2,790,668 | |||||||||||||||||||||
Delaware Ivy VIP Global Equity Income Class II | |||||||||||||||||||||||||||||||
57,145,854 | 13,161,901 | 4,539,316 | 294,619 | (21,332,113 | ) | 44,730,945 | 10,549,751 | 1,795,628 | 11,274,694 | ||||||||||||||||||||||
Delaware Ivy VIP Growth Class II | |||||||||||||||||||||||||||||||
103,399,554 | 18,260,707 | 19,165,154 | 2,414,477 | (43,529,836 | ) | 61,379,748 | 7,691,698 | — | 16,165,515 | ||||||||||||||||||||||
Delaware Ivy VIP High Income Class I | |||||||||||||||||||||||||||||||
4,760,134 | 269,103 | 483,358 | (31,096 | ) | (859,890 | ) | 3,654,893 | 1,343,711 | 269,103 | — | |||||||||||||||||||||
Delaware Ivy VIP International Core Equity Class II | |||||||||||||||||||||||||||||||
68,143,283 | 6,075,968 | 5,464,832 | 89,120 | (17,589,717 | ) | 51,253,822 | 3,785,364 | 1,272,046 | 4,380,325 | ||||||||||||||||||||||
Delaware Ivy VIP Limited-Term Bond Class II | |||||||||||||||||||||||||||||||
94,578,066 | 1,727,726 | 14,005,337 | (347,865 | ) | (4,797,834 | ) | 77,154,756 | 16,772,773 | 1,096,172 | 616,597 | |||||||||||||||||||||
Delaware Ivy VIP Mid Cap Growth Class I | |||||||||||||||||||||||||||||||
52,183,853 | 6,551,900 | 11,405,834 | 1,842,780 | (23,521,956 | ) | 25,650,743 | 2,761,113 | — | 6,473,626 | ||||||||||||||||||||||
Delaware Ivy VIP Small Cap Growth Class I | |||||||||||||||||||||||||||||||
11,687,167 | 1,127,513 | 4,948,636 | (1,282,874 | ) | (2,244,586 | ) | 4,338,584 | 712,411 | — | 1,127,513 | |||||||||||||||||||||
Delaware Ivy VIP Smid Cap Core Class II | |||||||||||||||||||||||||||||||
2,288,653 | 4,952,080 | 990,778 | (5,145 | ) | (1,924,218 | ) | 4,320,592 | 411,877 | — | 1,070,293 | |||||||||||||||||||||
Delaware Ivy VIP Value Class II | |||||||||||||||||||||||||||||||
54,635,744 | 34,595,839 | 5,756,843 | 1,131,221 | (25,087,007 | ) | 59,518,954 | 11,380,297 | 794,767 | 16,499,046 | ||||||||||||||||||||||
Total | $ | 633,423,873 | $ | 124,311,490 | $ | 85,783,775 | $ | 5,350,171 | $ | (191,030,649 | ) | $ | 486,271,110 | $ | 7,819,267 | $ | 73,298,639 |
35
Notes to financial statements
Ivy Variable Insurance Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
Net | ||||||||||||||||||||||||||||||
realized | Net change in | |||||||||||||||||||||||||||||
gain (loss) | unrealized | |||||||||||||||||||||||||||||
Value, | on | appreciation | Value, | |||||||||||||||||||||||||||
beginning | Gross | Gross | affiliated | (depreciation) | end of | Income | Capital gain | |||||||||||||||||||||||
of period | additions | reductions | fund | on affiliated fund | period | Shares | distributions | distributions | ||||||||||||||||||||||
Delaware Ivy VIP Pathfinder Moderately Aggressive | ||||||||||||||||||||||||||||||
Affiliated Mutual Funds–99.52% | ||||||||||||||||||||||||||||||
Delaware Ivy VIP Core Equity Class II | ||||||||||||||||||||||||||||||
$ | 86,663,258 | $ | 41,465,179 | $ | 9,353,043 | $ | 1,811,776 | $ | (38,297,416 | ) | $ | 82,289,754 | 7,420,176 | $ | 194,825 | $ | 17,373,804 | |||||||||||||
Delaware Ivy VIP Corporate Bond Class II | ||||||||||||||||||||||||||||||
112,350,661 | 5,163,413 | 13,833,756 | (340,222 | ) | (19,896,947 | ) | 83,443,149 | 18,258,895 | 2,238,174 | 2,552,629 | ||||||||||||||||||||
Delaware Ivy VIP Global Equity Income Class II | ||||||||||||||||||||||||||||||
87,433,224 | 19,968,395 | 7,989,322 | 479,272 | (32,511,562 | ) | 67,380,007 | 15,891,511 | 2,730,634 | 17,145,569 | |||||||||||||||||||||
Delaware Ivy VIP Growth Class II | ||||||||||||||||||||||||||||||
139,532,663 | 24,076,668 | 25,217,506 | 3,022,923 | (58,809,944 | ) | 82,604,804 | 10,351,479 | — | 21,964,865 | |||||||||||||||||||||
Delaware Ivy VIP High Income Class I | ||||||||||||||||||||||||||||||
3,884,486 | 220,081 | 429,627 | (24,276 | ) | (703,625 | ) | 2,947,039 | 1,083,470 | 220,081 | — | ||||||||||||||||||||
Delaware Ivy VIP International Core Equity Class II | ||||||||||||||||||||||||||||||
104,254,774 | 9,392,688 | 8,832,395 | 84,067 | (26,900,741 | ) | 77,998,393 | 5,760,590 | 1,947,694 | 6,706,934 | |||||||||||||||||||||
Delaware Ivy VIP Limited-Term Bond Class II | ||||||||||||||||||||||||||||||
77,180,123 | 1,386,000 | 11,636,275 | (277,448 | ) | (3,894,846 | ) | 62,757,554 | 13,642,947 | 881,408 | 495,792 | ||||||||||||||||||||
Delaware Ivy VIP Mid Cap Growth Class I | ||||||||||||||||||||||||||||||
69,505,260 | 8,911,313 | 14,573,127 | 2,172,859 | (31,527,312 | ) | 34,488,993 | 3,712,486 | — | 8,841,727 | |||||||||||||||||||||
Delaware Ivy VIP Small Cap Growth Class I | ||||||||||||||||||||||||||||||
16,091,801 | 1,542,981 | 6,957,612 | (1,685,100 | ) | (3,160,148 | ) | 5,831,922 | 957,623 | — | 1,542,982 | ||||||||||||||||||||
Delaware Ivy VIP Smid Cap Core Class II | ||||||||||||||||||||||||||||||
3,734,944 | 6,237,587 | 1,498,047 | (10,572 | ) | (2,669,129 | ) | 5,794,783 | 552,410 | — | 1,458,635 | ||||||||||||||||||||
Delaware Ivy VIP Value Class II | ||||||||||||||||||||||||||||||
74,739,751 | 46,092,159 | 8,426,750 | 1,602,143 | (34,068,249 | ) | 79,939,054 | 15,284,714 | 1,078,153 | 22,382,053 | |||||||||||||||||||||
Total | $ | 775,370,945 | $ | 164,456,464 | $ | 108,747,460 | $ | 6,835,422 | $ | (252,439,919 | ) | $ | 585,475,452 | $ | 9,290,969 | $ | 100,464,990 |
36
Net | ||||||||||||||||||||||||||||||
realized | Net change in | |||||||||||||||||||||||||||||
gain (loss) | unrealized | |||||||||||||||||||||||||||||
Value, | on | appreciation | Value, | |||||||||||||||||||||||||||
beginning | Gross | Gross | affiliated | (depreciation) | end of | Income | Capital gain | |||||||||||||||||||||||
of period | additions | reductions | fund | on affiliated fund | period | Shares | distributions | distributions | ||||||||||||||||||||||
Delaware Ivy VIP Pathfinder Moderately Conservative | ||||||||||||||||||||||||||||||
Affiliated Mutual Funds–99.48% | ||||||||||||||||||||||||||||||
Delaware Ivy VIP Core Equity Class II | ||||||||||||||||||||||||||||||
$ | 16,110,082 | $ | 9,257,580 | $ | 2,174,271 | $ | 424,655 | $ | (7,538,343 | ) | $ | 16,079,703 | 1,449,928 | $ | 38,766 | $ | 3,457,001 | |||||||||||||
Delaware Ivy VIP Corporate Bond Class II | ||||||||||||||||||||||||||||||
44,726,603 | 3,226,615 | 4,984,286 | (52,530 | ) | (8,114,287 | ) | 34,802,115 | 7,615,342 | 921,876 | 1,051,395 | ||||||||||||||||||||
Delaware Ivy VIP Global Equity Income Class II | ||||||||||||||||||||||||||||||
12,622,418 | 3,486,130 | 1,407,429 | 13,391 | (4,646,449 | ) | 10,068,061 | 2,374,543 | 393,880 | 2,473,161 | |||||||||||||||||||||
Delaware Ivy VIP Growth Class II | ||||||||||||||||||||||||||||||
27,330,486 | 5,110,092 | 5,381,022 | 583,480 | (11,555,055 | ) | 16,087,981 | 2,016,038 | — | 4,367,341 | |||||||||||||||||||||
Delaware Ivy VIP High Income Class I | ||||||||||||||||||||||||||||||
1,868,743 | 161,955 | 229,945 | (23,142 | ) | (325,875 | ) | 1,451,736 | 533,726 | 104,692 | — | ||||||||||||||||||||
Delaware Ivy VIP International Core Equity Class II | ||||||||||||||||||||||||||||||
15,052,572 | 1,767,706 | 1,603,534 | 37,838 | (3,935,258 | ) | 11,319,324 | 835,991 | 288,585 | 993,750 | |||||||||||||||||||||
Delaware Ivy VIP Limited-Term Bond Class II | ||||||||||||||||||||||||||||||
37,128,370 | 1,639,160 | 6,266,327 | (152,823 | ) | (1,868,514 | ) | 30,479,866 | 6,626,058 | 425,665 | 239,436 | ||||||||||||||||||||
Delaware Ivy VIP Mid Cap Growth Class I | ||||||||||||||||||||||||||||||
14,014,280 | 2,017,282 | 3,537,309 | 549,425 | (6,331,814 | ) | 6,711,864 | 722,483 | — | 1,736,753 | |||||||||||||||||||||
Delaware Ivy VIP Small Cap Growth Class I | ||||||||||||||||||||||||||||||
3,012,381 | 342,006 | 1,290,832 | (324,723 | ) | (598,359 | ) | 1,140,473 | 187,270 | — | 300,692 | ||||||||||||||||||||
Delaware Ivy VIP Smid Cap Core Class II | ||||||||||||||||||||||||||||||
449,419 | 1,456,809 | 284,251 | (334 | ) | (485,960 | ) | 1,135,683 | 108,263 | — | 276,189 | ||||||||||||||||||||
Delaware Ivy VIP Value Class II | ||||||||||||||||||||||||||||||
14,197,909 | 10,130,738 | 2,447,389 | 432,688 | (6,627,974 | ) | 15,685,972 | 2,999,230 | 204,705 | 4,249,606 | |||||||||||||||||||||
Total | $ | 186,513,263 | $ | 38,596,073 | $ | 29,606,595 | $ | 1,487,925 | $ | (52,027,888 | ) | $ | 144,962,778 | $ | 2,378,169 | $ | 19,145,324 |
37
Notes to financial statements
Ivy Variable Insurance Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
Net | |||||||||||||||||||||||||||||
realized | Net change in | ||||||||||||||||||||||||||||
gain (loss) | unrealized | ||||||||||||||||||||||||||||
Value, | on | appreciation | Value, | ||||||||||||||||||||||||||
beginning | Gross | Gross | affiliated | (depreciation) | end of | Income | Capital gain | ||||||||||||||||||||||
of period | additions | reductions | fund | on affiliated fund | period | Shares | distributions | distributions | |||||||||||||||||||||
Delaware Ivy VIP Pathfinder Moderate - Managed Volatility | |||||||||||||||||||||||||||||
Affiliated Mutual Funds–96.21% | |||||||||||||||||||||||||||||
Delaware Ivy VIP Core Equity Class II | |||||||||||||||||||||||||||||
$ | 50,867,788 | $ | 31,642,023 | $ | 7,870,421 | $ | 1,384,648 | $ | (23,630,709 | ) | $ | 52,393,329 | 4,724,376 | $ | 121,348 | $ | 10,821,364 | ||||||||||||
Delaware Ivy VIP Corporate Bond Class II | |||||||||||||||||||||||||||||
98,434,004 | 12,371,323 | 11,069,033 | (106,692 | ) | (18,344,215 | ) | 81,285,387 | 17,786,737 | 2,094,380 | 2,388,632 | |||||||||||||||||||
Delaware Ivy VIP Global Equity Income Class II | |||||||||||||||||||||||||||||
45,987,441 | 16,264,787 | 4,711,455 | (41,245 | ) | (17,735,035 | ) | 39,764,493 | 9,378,418 | 1,531,318 | 9,615,102 | |||||||||||||||||||
Delaware Ivy VIP Growth Class II | |||||||||||||||||||||||||||||
84,004,437 | 23,074,090 | 19,831,004 | 1,626,128 | (36,171,038 | ) | 52,702,613 | 6,604,337 | — | 13,927,542 | ||||||||||||||||||||
Delaware Ivy VIP High Income Class I | |||||||||||||||||||||||||||||
3,844,919 | 419,525 | 346,882 | (23,691 | ) | (724,682 | ) | 3,169,189 | 1,165,143 | 226,369 | — | |||||||||||||||||||
Delaware Ivy VIP International Core Equity Class II | |||||||||||||||||||||||||||||
55,040,198 | 10,557,460 | 6,237,904 | 391,247 | (15,183,575 | ) | 44,567,426 | 3,291,538 | 1,099,356 | 3,785,660 | ||||||||||||||||||||
Delaware Ivy VIP Limited-Term Bond Class II | |||||||||||||||||||||||||||||
76,306,200 | 6,618,548 | 8,373,979 | (85,122 | ) | (4,250,098 | ) | 70,215,549 | 15,264,250 | 945,496 | 531,841 | |||||||||||||||||||
Delaware Ivy VIP Mid Cap Growth Class I | |||||||||||||||||||||||||||||
42,363,309 | 9,343,773 | 11,785,812 | 1,658,461 | (19,668,400 | ) | 21,911,331 | 2,358,593 | — | 5,519,604 | ||||||||||||||||||||
Delaware Ivy VIP Small Cap Growth Class I | |||||||||||||||||||||||||||||
9,381,799 | 1,465,762 | 4,286,788 | (1,108,101 | ) | (1,781,744 | ) | 3,670,928 | 602,780 | — | 948,697 | |||||||||||||||||||
Delaware Ivy VIP Smid Cap Core Class II | |||||||||||||||||||||||||||||
1,840,875 | 4,332,928 | 939,702 | 9,733 | (1,593,817 | ) | 3,650,017 | 347,952 | — | 885,507 | ||||||||||||||||||||
Delaware Ivy VIP Value Class II | |||||||||||||||||||||||||||||
44,236,648 | 33,714,553 | 6,241,579 | 1,008,166 | (21,120,780 | ) | 51,597,008 | 9,865,585 | 667,105 | 13,848,845 | ||||||||||||||||||||
Total | $ | 512,307,618 | $ | 149,804,772 | $ | 81,694,559 | $ | 4,713,532 | $ | (160,204,093 | ) | $ | 424,927,270 | $ | 6,685,372 | $ | 62,272,794 |
38
Net | ||||||||||||||||||||||||||||||
realized | Net change in | |||||||||||||||||||||||||||||
gain (loss) | unrealized | |||||||||||||||||||||||||||||
Value, | on | appreciation | Value, | |||||||||||||||||||||||||||
beginning | Gross | Gross | affiliated | (depreciation) | end of | Income | Capital gain | |||||||||||||||||||||||
of period | additions | reductions | fund | on affiliated fund | period | Shares | distributions | distributions | ||||||||||||||||||||||
Delaware Ivy VIP Pathfinder Moderately Aggressive - Managed Volatility | ||||||||||||||||||||||||||||||
Affiliated Mutual Funds–96.20% | ||||||||||||||||||||||||||||||
Delaware Ivy VIP Core Equity Class II | ||||||||||||||||||||||||||||||
$ | 11,007,679 | $ | 6,572,587 | $ | 2,199,528 | $ | 419,821 | $ | (5,115,985 | ) | $ | 10,684,574 | 963,442 | $ | 25,496 | $ | 2,273,629 | |||||||||||||
Delaware Ivy VIP Corporate Bond Class II | ||||||||||||||||||||||||||||||
14,266,341 | 2,228,717 | 2,883,276 | (55,766 | ) | (2,565,507 | ) | 10,990,509 | 2,404,925 | 293,938 | 335,235 | ||||||||||||||||||||
Delaware Ivy VIP Global Equity Income Class II | ||||||||||||||||||||||||||||||
11,110,153 | 4,024,662 | 1,997,879 | 276,095 | (4,364,675 | ) | 9,048,356 | 2,134,046 | 348,523 | 2,188,365 | |||||||||||||||||||||
Delaware Ivy VIP Growth Class II | ||||||||||||||||||||||||||||||
17,719,222 | 5,130,673 | 4,790,487 | 378,290 | (7,699,156 | ) | 10,738,542 | 1,345,682 | — | 2,979,134 | |||||||||||||||||||||
Delaware Ivy VIP High Income Class I | ||||||||||||||||||||||||||||||
493,316 | 78,803 | 90,129 | (1,852 | ) | (91,544 | ) | 388,594 | 142,866 | 28,141 | — | ||||||||||||||||||||
Delaware Ivy VIP International Core Equity Class II | ||||||||||||||||||||||||||||||
13,249,590 | 2,827,158 | 2,336,846 | 107,939 | (3,583,356 | ) | 10,264,485 | 758,086 | 257,351 | 886,194 | |||||||||||||||||||||
Delaware Ivy VIP Limited-Term Bond Class II | ||||||||||||||||||||||||||||||
9,800,936 | 1,555,314 | 2,138,561 | (48,370 | ) | (494,068 | ) | 8,675,251 | 1,885,924 | 115,175 | 64,786 | ||||||||||||||||||||
Delaware Ivy VIP Mid Cap Growth Class I | ||||||||||||||||||||||||||||||
8,832,526 | 2,142,659 | 2,722,928 | 381,536 | (4,168,830 | ) | 4,464,963 | 480,620 | — | 1,178,822 | |||||||||||||||||||||
Delaware Ivy VIP Small Cap Growth Class I | ||||||||||||||||||||||||||||||
2,046,124 | 346,159 | 1,018,424 | (259,233 | ) | (359,676 | ) | 754,950 | 123,966 | — | 202,287 | ||||||||||||||||||||
Delaware Ivy VIP Smid Cap Core Class II | ||||||||||||||||||||||||||||||
474,748 | 894,015 | 280,097 | 1,077 | (339,088 | ) | 750,655 | 71,559 | — | 185,483 | |||||||||||||||||||||
Delaware Ivy VIP Value Class II | ||||||||||||||||||||||||||||||
9,496,135 | 7,520,717 | 2,371,654 | 458,853 | (4,582,191 | ) | 10,521,860 | 2,011,828 | 136,243 | 2,828,352 | |||||||||||||||||||||
Total | $ | 98,496,770 | $ | 33,321,464 | $ | 22,829,809 | $ | 1,658,390 | $ | (33,364,076 | ) | $ | 77,282,739 | $ | 1,204,867 | $ | 13,122,287 |
39
Notes to financial statements
Ivy Variable Insurance Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
Net | |||||||||||||||||||||||||||||||
realized | Net change in | ||||||||||||||||||||||||||||||
gain (loss) | unrealized | ||||||||||||||||||||||||||||||
Value, | on | appreciation | Value, | ||||||||||||||||||||||||||||
beginning | Gross | Gross | affiliated | (depreciation) | end of | Income | Capital gain | ||||||||||||||||||||||||
of period | additions | reductions | fund | on affiliated fund | period | Shares | distributions | distributions | |||||||||||||||||||||||
Delaware Ivy VIP Pathfinder Moderately Conservative - Managed Volatility | |||||||||||||||||||||||||||||||
Affiliated Mutual Funds—96.18% | |||||||||||||||||||||||||||||||
Delaware Ivy VIP Core Equity Class II | |||||||||||||||||||||||||||||||
$ | 3,384,033 | $ | 2,234,935 | $ | 671,079 | $ | 128,139 | $ | (1,603,834 | ) | $ | 3,472,194 | 313,092 | $ | 8,101 | $ | 722,433 | ||||||||||||||
Delaware Ivy VIP Corporate Bond Class II | |||||||||||||||||||||||||||||||
9,326,207 | 1,129,951 | 1,129,023 | (31,947 | ) | (1,690,863 | ) | 7,604,325 | 1,663,966 | 195,244 | 222,674 | |||||||||||||||||||||
Delaware Ivy VIP Global Equity Income Class II | |||||||||||||||||||||||||||||||
2,599,111 | 939,023 | 300,952 | (18,013 | ) | (974,383 | ) | 2,244,786 | 529,431 | 85,670 | 537,919 | |||||||||||||||||||||
Delaware Ivy VIP Growth Class II | |||||||||||||||||||||||||||||||
5,777,567 | 1,580,532 | 1,568,162 | 58,777 | (2,356,315 | ) | 3,492,399 | 437,644 | — | 922,126 | ||||||||||||||||||||||
Delaware Ivy VIP High Income Class I | |||||||||||||||||||||||||||||||
389,266 | 42,388 | 43,519 | (2,980 | ) | (71,193 | ) | 313,962 | 115,427 | 22,402 | — | |||||||||||||||||||||
Delaware Ivy VIP International Core Equity Class II | |||||||||||||||||||||||||||||||
3,125,553 | 619,057 | 450,907 | 14,926 | (836,649 | ) | 2,471,980 | 182,569 | 61,316 | 211,144 | ||||||||||||||||||||||
Delaware Ivy VIP Limited-Term Bond Class II | |||||||||||||||||||||||||||||||
7,713,598 | 630,233 | 1,071,871 | (15,524 | ) | (415,068 | ) | 6,841,368 | 1,487,254 | 93,360 | 52,515 | |||||||||||||||||||||
Delaware Ivy VIP Mid Cap Growth Class I | |||||||||||||||||||||||||||||||
2,946,158 | 625,246 | 914,302 | 121,204 | (1,324,658 | ) | 1,453,648 | 156,475 | — | 363,875 | ||||||||||||||||||||||
Delaware Ivy VIP Small Cap Growth Class I | |||||||||||||||||||||||||||||||
613,637 | 101,118 | 281,024 | (90,127 | ) | (98,156 | ) | 245,448 | 40,303 | — | 62,608 | |||||||||||||||||||||
Delaware Ivy VIP Smid Cap Core Class II | |||||||||||||||||||||||||||||||
92,226 | 318,277 | 64,522 | 819 | (102,729 | ) | 244,071 | 23,267 | — | 58,359 | ||||||||||||||||||||||
Delaware Ivy VIP Value Class II | |||||||||||||||||||||||||||||||
2,971,031 | 2,270,781 | 496,895 | 73,554 | (1,399,537 | ) | 3,418,934 | 653,716 | 43,958 | 912,557 | ||||||||||||||||||||||
Total | $ | 38,938,387 | $ | 10,491,541 | $ | 6,992,256 | $ | 238,828 | $ | (10,873,385 | ) | $ | 31,803,115 | $ | 510,051 | $ | 4,066,210 |
3. Investments
For the six months ended June 30, 2022, each Portfolio made purchases and sales of investment securities other than short-term investments as follows:
Purchases | Sales | |||||||
other than | other than | |||||||
US government | US government | |||||||
Portfolio | securities | securities | ||||||
Delaware Ivy VIP Pathfinder Aggressive | $ | 17,196,488 | $ | 11,051,315 | ||||
Delaware Ivy VIP Pathfinder Conservative | 22,339,766 | 15,434,383 | ||||||
Delaware Ivy VIP Pathfinder Moderate | 124,311,490 | 85,783,775 | ||||||
Delaware Ivy VIP Pathfinder Moderately Aggressive | 164,456,464 | 108,747,460 | ||||||
Delaware Ivy VIP Pathfinder Moderately Conservative | 38,596,074 | 29,606,595 | ||||||
Delaware Ivy VIP Pathfinder Moderate - Managed Volatility | 149,804,773 | 81,694,559 | ||||||
Delaware Ivy VIP Pathfinder Moderately Aggressive - Managed Volatility | 33,321,465 | 22,829,809 | ||||||
Delaware Ivy VIP Pathfinder Moderately Conservative - Managed Volatility | 10,491,540 | 6,992,256 |
40
At June 30, 2022, the cost and unrealized appreciation (depreciation) of investments and derivatives for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2022, the cost and unrealized appreciation (depreciation) of investments and derivatives for each Portfolio were as follows:
Aggregate | Aggregate | Net unrealized | ||||||||||||||
unrealized | unrealized | appreciation | ||||||||||||||
Cost of | appreciation | depreciation | (depreciation) | |||||||||||||
investments | of investments | of investments | of investments | |||||||||||||
Portfolio | and derivatives | and derivatives | and derivatives | and derivatives | ||||||||||||
Delaware Ivy VIP Pathfinder Aggressive | $ | 73,763,825 | $ | — | $ | (18,468,751 | ) | $ | (18,468,751 | ) | ||||||
Delaware Ivy VIP Pathfinder Conservative | 112,761,319 | — | (23,273,066 | ) | (23,273,066 | ) | ||||||||||
Delaware Ivy VIP Pathfinder Moderate | 631,179,642 | — | (142,322,676 | ) | (142,322,676 | ) | ||||||||||
Delaware Ivy VIP Pathfinder Moderately Aggressive | 771,462,309 | — | (182,837,073 | ) | (182,837,073 | ) | ||||||||||
Delaware Ivy VIP Pathfinder Moderately Conservative | 185,922,331 | — | (40,201,347 | ) | (40,201,347 | ) | ||||||||||
Delaware Ivy VIP Pathfinder Moderate - Managed Volatility | 568,437,707 | 5,772,509 | (130,316,589 | ) | (124,544,080 | ) | ||||||||||
Delaware Ivy VIP Pathfinder Moderately Aggressive - Managed Volatility | 104,970,928 | 1,062,539 | (25,203,232 | ) | (24,140,693 | ) | ||||||||||
Delaware Ivy VIP Pathfinder Moderately Conservative - Managed Volatility | 42,907,462 | 450,745 | (10,080,835 | ) | (9,630,090 | ) |
US GAAP defines fair value as the price that each Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established 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 assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. Each Portfolio's investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized as follows:
Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
Level 2 – | Other observable inputs, including, but 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. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
Level 3 – | Significant unobservable inputs, including each Portfolio's own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. Each Portfolio may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
41
Notes to financial statements
Ivy Variable Insurance Portfolios
3. Investments (continued)
The following tables summarize the valuation of each Portfolio’s investments by fair value hierarchy levels as of June 30, 2022:
Delaware Ivy | ||||
VIP Pathfinder | ||||
Aggressive | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Affiliated Mutual Funds | $ | 55,012,031 | ||
Short-Term Investments | 283,043 | |||
Total Value of Securities | $ | 55,295,074 | ||
Delaware Ivy | ||||
VIP Pathfinder | ||||
Conservative | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Affiliated Mutual Funds | $ | 89,025,352 | ||
Short-Term Investments | 462,901 | |||
Total Value of Securities | $ | 89,488,253 | ||
Delaware Ivy | ||||
VIP Pathfinder | ||||
Moderate | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Affiliated Mutual Funds | $ | 486,271,110 | ||
Short-Term Investments | 2,585,856 | |||
Total Value of Securities | $ | 488,856,966 | ||
Delaware Ivy | ||||
VIP Pathfinder | ||||
Moderately | ||||
Aggressive | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Affiliated Mutual Funds | $ | 585,475,452 | ||
Short-Term Investments | 3,149,784 | |||
Total Value of Securities | $ | 588,625,236 |
42
Delaware Ivy | ||||
VIP Pathfinder | ||||
Moderately | ||||
Conservative | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Affiliated Mutual Funds | $ | 144,962,778 | ||
Short-Term Investments | 758,206 | |||
Total Value of Securities | $ | 145,720,984 | ||
Delaware Ivy | ||||
VIP Pathfinder | ||||
Moderate - | ||||
Managed | ||||
Volatility | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Affiliated Mutual Funds | $ | 424,927,270 | ||
Short-Term Investments | 13,193,848 | |||
Total Value of Securities | $ | 438,121,118 | ||
Derivatives1 | ||||
Assets: | ||||
Futures Contracts | $ | 5,772,509 |
1 | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end. |
Delaware Ivy | ||||
VIP Pathfinder | ||||
Moderately | ||||
Aggressive - | ||||
Managed | ||||
Volatility | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Affiliated Mutual Funds | $ | 77,282,739 | ||
Short-Term Investments | 2,484,957 | |||
Total Value of Securities | $ | 79,767,696 | ||
Derivatives1 | ||||
Assets: | ||||
Futures Contracts | $ | 1,062,539 |
1 | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end. |
43
Notes to financial statements
Ivy Variable Insurance Portfolios
3. Investments (continued)
Delaware Ivy | ||||
VIP Pathfinder | ||||
Moderately | ||||
Conservative - | ||||
Managed | ||||
Volatility | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Affiliated Mutual Funds | $ | 31,803,115 | ||
Short-Term Investments | 1,023,512 | |||
Total Value of Securities | $ | 32,826,627 | ||
Derivatives1 | ||||
Assets: | ||||
Futures Contracts | $ | 450,745 |
1 | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end. |
During the six months ended June 30, 2022, there were no transfers into or out of Level 3 investments. Each Portfolio’s policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when a Portfolio has a significant amount of Level 3 investments at the beginning or end of the period in relation to each Portfolio's net assets. During the six months ended June 30, 2022, there were no Level 3 investments.
4. Capital Shares
Transactions in capital shares were as follows:
Delaware Ivy VIP | Delaware Ivy VIP | Delaware Ivy VIP | ||||||||||||||||
Pathfinder Aggressive | Pathfinder Conservative | Pathfinder Moderate | ||||||||||||||||
Six months | Six months | Six months | ||||||||||||||||
ended | Year ended | ended | Year ended | ended | Year ended | |||||||||||||
6/30/22 | 12/31/21 | 6/30/22 | 12/31/21 | 6/30/22 | 12/31/21 | |||||||||||||
Shares sold: | ||||||||||||||||||
Class II | 142,156 | 218,691 | 438,724 | 1,422,907 | 166,981 | 334,618 | ||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||
Class II | 1,497,978 | 918,548 | 2,339,827 | 1,303,477 | 15,187,853 | 8,317,981 | ||||||||||||
1,640,134 | 1,137,239 | 2,778,551 | 2,726,384 | 15,354,834 | 8,652,599 | |||||||||||||
Shares redeemed: | ||||||||||||||||||
Class II | (1,166,560 | ) | (1,420,014 | ) | (1,304,076 | ) | (3,765,450 | ) | (8,614,044 | ) | (21,048,827 | ) | ||||||
Net increase (decrease) | 473,574 | (282,775 | ) | 1,474,475 | (1,039,066 | ) | 6,740,790 | (12,396,228 | ) |
44
Delaware Ivy VIP | Delaware Ivy VIP | Delaware Ivy VIP | ||||||||||||||||
Pathfinder Moderately | Pathfinder Moderately | Pathfinder Moderate - | ||||||||||||||||
Aggressive | Conservative | Managed Volatility | ||||||||||||||||
Six months | Six months | Six months | ||||||||||||||||
ended | Year ended | ended | Year ended | ended | Year ended | |||||||||||||
6/30/22 | 12/31/21 | 6/30/22 | 12/31/21 | 6/30/22 | 12/31/21 | |||||||||||||
Shares sold: | ||||||||||||||||||
Class II | 148,149 | 880,297 | 30,814 | 516,151 | 1,624,368 | 2,920,413 | ||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||
Class II | 18,995,711 | 10,160,868 | 4,130,213 | 2,403,138 | 22,122,901 | 3,584,931 | ||||||||||||
19,143,860 | 11,041,165 | 4,161,027 | 2,919,289 | 23,747,269 | 6,505,344 | |||||||||||||
Shares redeemed: | ||||||||||||||||||
Class II | (10,769,491 | ) | (27,863,242 | ) | (2,618,409 | ) | (6,094,096 | ) | (3,680,011 | ) | (49,187,824 | ) | ||||||
Net increase (decrease) | 8,374,369 | (16,822,077 | ) | 1,542,618 | (3,174,807 | ) | 20,067,258 | (42,682,480 | ) |
Delaware Ivy VIP | Delaware Ivy VIP | ||||||||||||
Pathfinder Moderately | Pathfinder Moderately | ||||||||||||
Aggressive - | Conservative - | ||||||||||||
Managed Volatility | Managed Volatility | ||||||||||||
Six months | Six months | ||||||||||||
ended | Year ended | ended | Year ended | ||||||||||
6/30/22 | 12/31/21 | 6/30/22 | 12/31/21 | ||||||||||
Shares sold: | |||||||||||||
Class II | 273,056 | 571,261 | 166,564 | 1,065,285 | |||||||||
Shares issued upon reinvestment of dividends and distributions: | |||||||||||||
Class II | 1,698,468 | 506,555 | 3,517,708 | 566,786 | |||||||||
1,971,524 | 1,077,816 | 3,684,272 | 1,632,071 | ||||||||||
Shares redeemed: | |||||||||||||
Class II | (1,371,434 | ) | (2,011,409 | ) | (480,758 | ) | (10,182,770 | ) | |||||
Net increase (decrease) | 600,090 | (933,593 | ) | 3,203,514 | (8,550,699 | ) |
5. Interfund Lending Program
Pursuant to an exemptive order issued by the SEC (Order), the Ivy Funds and Ivy Variable Insurance Portfolios (collectively, the Funds only for purposes of this Note 5) 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. This program was in existence in the past but has now been terminated. The Funds made no Interfund Loans under the Interfund Lending Program during the six months ended June 30, 2022.
45
Notes to financial statements
Ivy Variable Insurance Portfolios
6. Derivatives
US GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Futures Contracts — A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. The Portfolios may use futures in the normal course of pursuing its investment objective. The Portfolios may invest in futures contracts to hedge its existing portfolio securities against fluctuations in fair value caused by changes in prevailing market interest rates. Upon entering into a futures contract, the Portfolios deposit cash or pledge US government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Portfolios as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Portfolios because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. The Managed Volatility Portfolios posted cash collateral as margin for open futures contracts, which is disclosed on the “Statements of assets and liabilities” under “Cash collateral due from broker on futures contracts.” Open futures contracts, if any, are disclosed on the "Schedules of investments."
During the six months ended June 30, 2022, the Managed Volatility Portfolios invested in futures contracts to hedge the Portfolios' existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions.
During the six months ended June 30, 2022, the Managed Volatility Portfolios experienced net realized and unrealized gains or losses attributable to futures contracts, which are disclosed on the “Statements of operations.”
The table below summarizes the average quarterly balance of derivative holdings by each Portfolio during the six months ended June 30, 2022:
Short Derivative Volume | |||||||||||||||
Delaware Ivy VIP | Delaware Ivy VIP | ||||||||||||||
Delaware Ivy VIP | Pathfinder Moderately | Pathfinder Moderately | |||||||||||||
Pathfinder Moderate - | Aggressive - | Conservative - | |||||||||||||
Managed Volatility | Managed Volatility | Managed Volatility | |||||||||||||
Futures contracts (average notional value) | $ | (54,501,042 | ) | $ | (10,036,847 | ) | $ | (4,295,730 | ) |
7. Securities Lending
Each Portfolio, along with other funds in Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
46
Cash collateral received by each Portfolio of the Trust is generally invested in a series of individual separate accounts, each corresponding to a fund. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; certain money market funds; and asset-backed securities. Each Portfolio can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to each Portfolio or, at the discretion of the lending agent, replace the loaned securities. Each Portfolio continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. Each Portfolio has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, each Portfolio receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among each Portfolio, the security lending agent, and the borrower. Each Portfolio records security lending income net of allocations to the security lending agent and the borrower.
Each Portfolio may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in each collateral investment account defaulted or became impaired. Under those circumstances, the value of each Portfolio's cash collateral account may be less than the amount each Portfolio would be required to return to the borrowers of the securities and each Portfolio would be required to make up for this shortfall.
During the six months ended June 30, 2022, the Portfolios had no securities out on loan.
8. Credit and Market Risk
Beginning in January 2020, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of a novel coronavirus known as COVID-19. The outbreak of COVID-19 has resulted in travel and border restrictions, quarantines, supply chain disruptions, lower consumer demand and general market uncertainty. The effects of COVID-19 have and may continue to adversely affect the global economy, the economies of certain nations and individual issuers, all of which may negatively impact the Portfolios' performance.
Because each Portfolio invests substantially all of its assets in Delaware Ivy Variable Insurance Portfolios mutual 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.
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 and are not obligated to dispose of securities whose issuers subsequently default.
9. Contractual Obligations
Each Portfolio enters into contracts in the normal course of business that contain a variety of indemnifications. Each Portfolio's maximum exposure under these arrangements is unknown. However, each Portfolio has not had prior claims or losses pursuant to these contracts. Management has reviewed each Portfolio's existing contracts and expects the risk of loss to be remote.
10. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2022, that would require recognition or disclosure in the Portfolios' financial statements.
47
Other Portfolio information (Unaudited)
Ivy Variable Insurance Portfolios
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end portfolios (other than money market portfolios) to adopt and implement a program reasonably designed to assess and manage the portfolio’s “liquidity risk,” defined as the risk that the portfolio could not meet requests to redeem shares issued by the portfolio without significant dilution of remaining investors’ interests in the portfolio.
The Portfolios have adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated a member of the US Operational Risk Group of Macquarie Asset Management as the Program Administrator for each Portfolio in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of each Portfolio’s liquidity risk; (2) classification of each of the Portfolio’s holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for portfolios that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Portfolio’s net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting each Portfolio’s acquisition of Illiquid investments if, immediately after the acquisition, each Portfolio would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a non-public basis) and to the Board if each Portfolio’s holdings of Illiquid assets exceed 15% of the Portfolio’s net assets. Portfolios with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing each Portfolio’s liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) each Portfolio’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Portfolios during both normal and reasonably foreseeable stressed conditions; and (3) each Portfolio’s holdings of cash and cash equivalents and any borrowing arrangements. Classification of each Portfolio’s holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. Each Portfolio primarily holds assets that are classified as Highly Liquid, and therefore is not required to establish an HLIM.
Board consideration of sub-advisory agreement for Delaware Ivy VIP Pathfinder Aggressive, Delaware Ivy VIP Pathfinder Conservative, Delaware Ivy VIP Pathfinder Moderate, Delaware Ivy VIP Pathfinder Moderately Aggressive, Delaware Ivy VIP Pathfinder Moderately Conservative, Delaware Ivy VIP Pathfinder Moderate – Managed Volatility, Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility, and Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility at a meeting held September 13, 2021
At a meeting held on September 13, 2021, the Board of Trustees (the “Board”) of Delaware Ivy VIP Pathfinder Aggressive, Delaware Ivy VIP Pathfinder Conservative, Delaware Ivy VIP Pathfinder Moderate, Delaware Ivy VIP Pathfinder Moderately Aggressive, Delaware Ivy VIP Pathfinder Moderately Conservative, Delaware Ivy VIP Pathfinder Moderate – Managed Volatility, Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility, and Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility (each, a “Portfolio” and together, the “Portfolios”), including a majority of non-interested or independent Trustees (the “Independent Trustees”), approved a new Sub-Advisory Agreement between Delaware Management Company (“DMC” or “Management”) and Macquarie Investment Management Austria Kapitalanlage AG (“MIMAK”).
In reaching the decision to approve the Sub-Advisory Agreement, the Board considered and reviewed information about MIMAK, including its personnel, operations, and financial condition, which had been provided by MIMAK. The Board also reviewed material furnished by DMC in advance of the meeting, including: a memorandum from DMC reviewing the Sub-Advisory Agreement and the various services proposed to be rendered by MIMAK; information concerning MIMAK’s organizational structure and the experience of its key investment management personnel; copies of its Form ADV, financial statements, compliance policies and procedures, and Codes of Ethics; relevant performance information provided with respect to MIMAK; and a copy of the Sub-Advisory Agreement.
In considering such information and materials, the Independent Trustees received assistance and advice from and met separately with their independent counsel. While attention was given to all information furnished, the following discusses some primary factors relevant to the
48
Board consideration of sub-advisory agreement for Delaware Ivy VIP Pathfinder Aggressive, Delaware Ivy VIP Pathfinder Conservative, Delaware Ivy VIP Pathfinder Moderate, Delaware Ivy VIP Pathfinder Moderately Aggressive, Delaware Ivy VIP Pathfinder Moderately Conservative, Delaware Ivy VIP Pathfinder Moderate – Managed Volatility, Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility, and Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility at a meeting held September 13, 2021 (continued)
Board’s decision to approve the Sub-Advisory Agreement. This discussion of the information and factors considered by the Board is not intended to be exhaustive, but rather summarizes certain factors considered by the Board. In view of the wide variety of factors considered, the Board did not, unless otherwise noted, find it practicable to quantify or otherwise assign relative weights to the following factors. In addition, individual Trustees may have assigned different weights to various factors.
Nature, extent, and quality of services. In considering the nature, extent, and quality of the services to be provided by MIMAK, the Board reviewed the services to be provided by MIMAK pursuant to the Sub-Advisory Agreement as described at the Meeting. The Board reviewed materials provided by MIMAK regarding the experience and qualifications of the personnel who will be responsible for providing services to the Portfolio. The Board also considered relevant performance information provided with respect to MIMAK. In discussing the nature of the services proposed to be provided by MIMAK, it was observed that the Sub-Advisory Agreement will include the provision of discretionary investment management services. Based upon these considerations, the Board was satisfied with the nature and quality of the overall services to be provided by MIMAK to the Portfolios and their shareholders and was confident in the abilities of MIMAK to provide quality services to the Portfolios and their shareholders.
Investment performance. In regard to the appointment of MIMAK for each Portfolio, the Board reviewed information on prior performance for MIMAK. In evaluating performance, the Board considered its previous approval of MIMAK to provide fully discretionary services to other Delaware Funds.
Sub-advisory fee. The Board considered that DMC would pay MIMAK a discretionary investment sub-advisory fee based on the extent to which MIMAK provides services to each Portfolio as described in the Sub-Advisory Agreement. In considering the appropriateness of the sub-advisory fee, the Board also reviewed and considered the fee in light of the nature, extent, and quality of the sub-advisory services to be provided by MIMAK. The Board noted that the sub-advisory fee is paid by DMC to MIMAK and is not an additional fee borne by the Portfolios, and that the management fee paid by each Portfolio to DMC would stay the same at current asset levels. The Board concluded that, in light of the quality and extent of the services to be provided and the business relationships between DMC and MIMAK, the proposed fee arrangement was understandable and reasonable.
Profitability, economies of scale, and fall-out benefits. Trustees were also given available information on profits being realized by MIMAK in relation to the services being provided to the Portfolios and in relation to MIMAK’s overall investment advisory business, but believed such information to be of limited relevance because the sub-advisory fee is paid by DMC out of its management fee, and changes in the level of sub-advisory fee have no impact on Portfolio expenses. The Board was also provided with, and considered, information on potential fall-out benefits derived or to be derived by MIMAK in connection with its relationship to the Portfolios. The Board considered the potential benefit to DMC and MIMAK of marketing a global approach on the portfolio management of its investment strategies. The Trustees also noted that economies of scale are shared with each Portfolio and its shareholders through investment management fee breakpoints in DMC’s fee schedule for each Portfolio so that as the Portfolio grows in size, its effective investment management fee rates decline.
49
Each Portfolio files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. Each Portfolio’s Forms N-PORT, as well as a description of the policies and procedures that each Portfolio uses to determine how to vote proxies (if any) relating to portfolio securities, are available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that each Portfolio uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in each Portfolio’s most recent Form N-PORT are available without charge on each Portfolio’s website at delawarefunds.com/vip/literature. Each Portfolio's Forms N-PORT may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C.; information on the operation of the Public Reference Room may be obtained by calling 800 SEC-0330.
Information (if any) regarding how each Portfolio voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through each Portfolio's website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
(2320122)
SEMIANN-VIP-PF-822
Item 2. Code of Ethics
Not applicable.
Item 3. Audit Committee Financial Expert
Not applicable.
Item 4. Principal Accountant Fees and Services
Not applicable.
Item 5. Audit Committee of Listed Registrants
Not applicable.
Item 6. Investments
(a) Included as part of report to shareholders filed under Item 1 of this Form N-CSR.
(b) Divestment of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Not applicable.
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 Companies and Affiliated Purchasers
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders
Not applicable.
Item 11. Controls and Procedures
The registrant’s principal executive officer and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the Investment Company Act of 1940 (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)) and provide reasonable assurance that the information required to be disclosed by the registrant in its reports or statements filed under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission.
There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d)) that occurred during the period covered by the report to stockholders included herein that have materially affected, or are 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) Code of Ethics
Not applicable.
(3) Written solicitations to purchase securities pursuant to Rule 23c-1 under the Securities Exchange Act of 1934.
Not applicable.
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
/s/ SHAWN K. LYTLE | ||
By: | Shawn K. Lytle | |
Title: | President and Chief Executive Officer | |
Date: | September 6, 2022 | |
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. | ||
/s/ SHAWN K. LYTLE | ||
By: | Shawn K. Lytle | |
Title: | President and Chief Executive Officer | |
Date: | September 6, 2022 | |
/s/ RICHARD SALUS | ||
By: | Richard Salus | |
Title: | Chief Financial Officer | |
Date: | September 6, 2022 |