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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 811-6569
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IVY FUNDS
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(Exact name of registrant as specified in charter)
6300 Lamar Avenue, Overland Park, Kansas 66202
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(Address of principal executive offices) (Zip code)
Jennifer K. Dulski
6300 Lamar Avenue
Overland Park, Kansas 66202
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(Name and address of agent for service)
Registrant’s telephone number, including area code: (913) 236-2000
Date of fiscal year end: September 30
Date of reporting period: September 30, 2020
Table of Contents
ITEM 1. | REPORTS TO STOCKHOLDERS. |
Table of Contents
Annual Report
SEPTEMBER 30, 2020 |
Ticker | ||||||||||||||||||||||||
Class A | Class B | Class C | Class I | Class N | Class Y | |||||||||||||||||||
IVY FUNDS | ||||||||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund | IMAAX | IMACX | IMAIX | IMURX | IMAYX | |||||||||||||||||||
Ivy Apollo Strategic Income Fund | IAPOX | ICPOX | IIPOX | IRPOX | IYPOX | |||||||||||||||||||
Ivy California Municipal High Income Fund | IMHAX | IMHCX | IMHIX | IMHYX | ||||||||||||||||||||
Ivy Cash Management Fund | IAAXX | IABXX | IACXX | |||||||||||||||||||||
Ivy Corporate Bond Fund | IBJAX | IBJBX | IBJCX | IBJIX | IBJNX | IBJYX | ||||||||||||||||||
Ivy Crossover Credit Fund | ICKAX | ICKIX | ICKNX | ICKYX | ||||||||||||||||||||
Ivy Government Securities Fund | IGJAX | IGJBX | IGJCX | IGJIX | IGJNX | |||||||||||||||||||
Ivy International Small Cap Fund | IVJAX | IVJCX | IVJIX | IVJRX | IVJYX | |||||||||||||||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | IECAX | IECCX | IECIX | IMMCX | IECYX | |||||||||||||||||||
Ivy Pictet Targeted Return Bond Fund | IRBAX | IRBCX | IRBIX | IRBRX | IRBYX | |||||||||||||||||||
Ivy PineBridge High Yield Fund | IPNAX | IPNIX | IPNNX |
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission (SEC), paper copies of the Funds’ Annual and Semiannual Shareholder Reports no longer will be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Ivy Investments website (www.ivyinvestments.com), and you will be notified by mail each time a report is posted, and provided with a website link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (e.g., a broker-dealer or bank) or, if you are a direct investor, by calling 1-888-923-3355 or by enrolling at www.ivyinvestments.com.
You may elect to receive all future reports in paper format free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you may call 1-888-923-3355 to let the Funds know you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper format will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the Fund Complex if you invest directly with the Funds.
IVY INVESTMENTS® refers to the financial services offered by Ivy Distributors, Inc., a FINRA member broker dealer and the distributor of IVY FUNDS® mutual funds, and those financial services offered by its affiliates.
Table of Contents
CONTENTS | IVY FUNDS |
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Management Discussion, Portfolio Highlights and Schedule of Investments: | ||||
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This report is submitted for the general information of the shareholders of Ivy Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by a current Ivy Funds prospectus, or summary prospectus, and current performance information.
2
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PRESIDENT’S LETTER | IVY FUNDS |
SEPTEMBER 30, 2020 (UNAUDITED) | ||
Philip J. Sanders, CFA |
Dear Shareholder,
Markets thus far in 2020 have been, to use an overused word, unprecedented. In a matter of months, we have witnessed economic and market moves that typically take an entire market cycle of many years to unfold. To start the fiscal year through early 2020, financial markets had been positive as political conflicts, trade uncertainty and global economic growth concerns waned. However, that upward trajectory suddenly reversed in late February 2020 and markets declined in response to two exogenous shocks: the COVID-19 pandemic and the collapse in energy markets. The COVID-19 pandemic caused one of the most rapid and dramatic global economic downturns in history. The U.S. stock markets dropped approximately 35% from peak in February to trough in late March. Global economic activity hit a full stop around the world, as countries and businesses implemented plans to isolate and protect each other. Remarkably, within about 30 days, we moved from a relatively strong domestic economy with financial market indexes hitting record highs, to a global recession.
Governments and central banks have taken strong steps to mitigate the economic blow of social distancing. Monetary policy response has been broader and more rapid than at any other time in history. Global central banks have enacted aggressive stimulus through lower interest rates, quantitative easing (QE) and liquidity provisions, with some developing countries implementing QE for the first time. The U.S. Federal Reserve’s (Fed) response has included a broad array of policy measures and an unprecedented pace of QE.
Third quarter 2020 economic data show the global economy has had a very strong rebound. Since the March 23 trough, the S&P 500 Index has stabilized and experienced a rapid bounce back. Year-to-date as of Sept. 30, the Index is up 5.57%. Going forward, we believe a natural deceleration in growth is very likely given the magnitude of the bounce back for the period. In addition, we believe we could see more deceleration than consensus in the final three months of the year. Our belief is driven by the impending arrival of cold weather, which will dampen outdoor consumer activity and negatively impact certain industries.
With respect to the U.S. consumer, we anticipate a pullback in consumption due to a lack of opportunities to spend. We see evidence of this in the extremely high savings rate in the U.S. now. Spending data through September show that spending on durable goods is well above pre-virus levels, while spending on services is still far below pre-pandemic levels. Services like travel, recreation and dining are among the areas hardest hit. We think this limitation on spending opportunities is going to be a cap on consumption over the next few months.
At the time of this writing, as we near the U.S. presidential election, we believe the odds are low for any substantial stimulus being approved soon. However, we believe it could likely pass in early 2021. If the Democrats sweep the White House and Congress, we would expect a sizeable stimulus act.
As we move forward and examine the investment landscape, we continue to put greater emphasis on the fundamentals and quality of asset classes and sectors. We believe it is important to stay focused on the merits of individual market sectors, industries and company business models when making investment decisions. Those fundamentals historically have tended to outweigh external factors. In today’s environment, we believe there are many high-quality businesses offering attractive entry points and cyclicals that will likely be key beneficiaries as economies continue to recover. Importantly, through this uncertain time, we remain focused on the innovation and management skill within individual companies, the ultimate drivers of long-term stock prices.
Economic Snapshot
9/30/2020 | 9/30/2019 | |||||||
S&P 500 Index | 3,363.00 | 2,976.74 | ||||||
MSCI EAFE Index | 1,855.32 | 1,889.36 | ||||||
10-Year Treasury Yield | 0.69% | 1.68% | ||||||
U.S. unemployment rate | 7.9% | 3.5% | ||||||
30-year fixed mortgage rate | 2.90% | 3.64% | ||||||
Oil price per barrel | $ | 40.22 | $ | 54.07 |
Sources: Bloomberg, U.S. Department of Labor, MBA, CME
All government statistics shown are subject to periodic revision. The S&P 500 Index is an unmanaged index that tracks the stocks of 500 primarily large-cap U.S. companies. MSCI EAFE Index is an unmanaged index comprised of securities that represent the securities markets in Europe, Australasia and the Far East. It is not possible to invest directly in any of these indexes. Mortgage rates are from BankRate and reflect the overnight national average rate on a conventional 30-year fixed loan. Oil prices reflect the market price of West Texas intermediate grade crude.
Respectfully,
Philip J. Sanders, CFA
President
The opinions expressed in this letter are those of the President of the Ivy Funds and are current only through the end of the period of the report, as stated on the cover. The President’s views are subject to change at any time, based on market and other conditions, and no forecasts can be guaranteed.
2020 | ANNUAL REPORT | 3 |
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ILLUSTRATION OF FUND EXPENSES | IVY FUNDS |
(UNAUDITED)
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, exchange fees and account fees; and (2) ongoing costs, including management fees, distribution and service fees, and other Fund expenses. The following table is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ended September 30, 2020.
Actual Expenses
The first section in the following table provides information about actual account values and actual expenses for each share class. You may use the information in this section, 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, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. There may be additional fees charged to holders of certain accounts that are not included in the expenses shown in the table. Fees apply to Individual Retirement Accounts (IRAs), IRA Rollovers, Roth IRAs, Conversion Roth IRAs, Simplified Employee Pension (SEP), Savings Incentive Match Plan for Employees (SIMPLE) IRAs, Tax-Sheltered Accounts (TSAs), Keogh Plans, Owner Only 401(k) (Exclusive K) Plans and Final Pay Plans. As of the close of the six months covered by the table, a customer is charged an annual fee of $18 within each plan type. This fee is waived for IRA Rollovers and Conversion Roth IRAs if the customer owns another type of IRA. Coverdell Education Savings Account plans are charged an annual fee of $10 per customer. With limited exceptions, for Class A shares, if your Fund account balance
is below $650 on the Friday prior to the last full week of September of each year, the account will be assessed an account fee of $20. You should consider the additional fees that were charged to your Fund account over the six-month period when you estimate the total ongoing expenses paid over the period and the impact of these fees on your ending account value as such additional expenses are not reflected in the information provided in the following table. Additional fees have the effect of reducing investment returns.
Hypothetical Example for Comparison Purposes
The second section in the following table provides information about hypothetical account values and hypothetical expenses for each share class based on the Fund’s actual expense ratio and an assumed rate of return of five percent per year before expenses, which is not the Fund’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 the Fund and other funds. To do so, compare this five percent hypothetical example with the five percent hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), exchange fees or account fees. Therefore, the second section in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expenses paid may be impacted by expense reduction arrangements. If those arrangements had not been in place, expenses paid would have been higher. See Note 5 in Notes to Financial Statements for further information.
Actual(1) | Hypothetical(2) | Annualized Expense Ratio Based on the Six-Month Period | ||||||||||||||||||||||||||
Fund | Beginning Account Value 3-31-20 | Ending Account Value 9-30-20 | Expenses Paid During Period* | Beginning Account Value 3-31-20 | Ending Account Value 9-30-20 | Expenses Paid During Period* | ||||||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund |
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Class A | $ | 1,000 | $ | 1,170.90 | $ | 6.51 | $ | 1,000 | $ | 1,019.02 | $ | 6.06 | 1.20% | |||||||||||||||
Class C | $ | 1,000 | $ | 1,166.50 | $ | 10.72 | $ | 1,000 | $ | 1,015.14 | $ | 9.97 | 1.97% | |||||||||||||||
Class I | $ | 1,000 | $ | 1,173.30 | $ | 4.02 | $ | 1,000 | $ | 1,021.26 | $ | 3.74 | 0.75% | |||||||||||||||
Class N | $ | 1,000 | $ | 1,174.40 | $ | 4.02 | $ | 1,000 | $ | 1,021.26 | $ | 3.74 | 0.75% | |||||||||||||||
Class Y | $ | 1,000 | $ | 1,171.00 | $ | 6.19 | $ | 1,000 | $ | 1,019.31 | $ | 5.76 | 1.14% |
See footnotes on page 6.
4 | ANNUAL REPORT | 2020 |
Table of Contents
ILLUSTRATION OF FUND EXPENSES | IVY FUNDS |
(UNAUDITED)
Actual(1) | Hypothetical(2) | Annualized Expense Ratio Based on the Six-Month Period | ||||||||||||||||||||||||||
Fund | Beginning Account Value 3-31-20 | Ending Account Value 9-30-20 | Expenses Paid During Period* | Beginning Account Value 3-31-20 | Ending Account Value 9-30-20 | Expenses Paid During Period* | ||||||||||||||||||||||
Ivy Apollo Strategic Income Fund |
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Class A | $ | 1,000 | $ | 1,130.70 | $ | 5.54 | $ | 1,000 | $ | 1,019.80 | $ | 5.25 | 1.04% | |||||||||||||||
Class C | $ | 1,000 | $ | 1,126.50 | $ | 9.68 | $ | 1,000 | $ | 1,015.92 | $ | 9.17 | 1.82% | |||||||||||||||
Class I | $ | 1,000 | $ | 1,132.80 | $ | 3.52 | $ | 1,000 | $ | 1,021.66 | $ | 3.34 | 0.67% | |||||||||||||||
Class N | $ | 1,000 | $ | 1,132.80 | $ | 3.52 | $ | 1,000 | $ | 1,021.66 | $ | 3.34 | 0.67% | |||||||||||||||
Class Y | $ | 1,000 | $ | 1,132.00 | $ | 5.54 | $ | 1,000 | $ | 1,019.80 | $ | 5.25 | 1.04% | |||||||||||||||
Ivy California Municipal High Income Fund |
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Class A | $ | 1,000 | $ | 1,044.20 | $ | 4.09 | $ | 1,000 | $ | 1,021.00 | $ | 4.04 | 0.80% | |||||||||||||||
Class C | $ | 1,000 | $ | 1,039.80 | $ | 8.47 | $ | 1,000 | $ | 1,016.68 | $ | 8.37 | 1.66% | |||||||||||||||
Class I | $ | 1,000 | $ | 1,045.30 | $ | 3.07 | $ | 1,000 | $ | 1,022.00 | $ | 3.03 | 0.60% | |||||||||||||||
Class Y | $ | 1,000 | $ | 1,044.30 | $ | 4.09 | $ | 1,000 | $ | 1,021.00 | $ | 4.04 | 0.80% | |||||||||||||||
Ivy Cash Management Fund |
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Class A | $ | 1,000 | $ | 1,000.80 | $ | 2.50 | $ | 1,000 | $ | 1,022.50 | $ | 2.53 | 0.50% | |||||||||||||||
Class B** | $ | 1,000 | $ | 1,000.00 | $ | 3.30 | $ | 1,000 | $ | 1,021.72 | $ | 3.34 | 0.66% | |||||||||||||||
Class C | $ | 1,000 | $ | 1,000.10 | $ | 3.30 | $ | 1,000 | $ | 1,021.72 | $ | 3.34 | 0.66% | |||||||||||||||
Ivy Corporate Bond Fund |
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Class A | $ | 1,000 | $ | 1,107.70 | $ | 5.16 | $ | 1,000 | $ | 1,020.09 | $ | 4.95 | 0.98% | |||||||||||||||
Class B** | $ | 1,000 | $ | 1,098.90 | $ | 13.96 | $ | 1,000 | $ | 1,011.70 | $ | 13.38 | 2.66% | |||||||||||||||
Class C | $ | 1,000 | $ | 1,103.20 | $ | 9.89 | $ | 1,000 | $ | 1,015.60 | $ | 9.47 | 1.88% | |||||||||||||||
Class I | $ | 1,000 | $ | 1,109.30 | $ | 3.69 | $ | 1,000 | $ | 1,021.50 | $ | 3.54 | 0.70% | |||||||||||||||
Class N | $ | 1,000 | $ | 1,110.20 | $ | 2.85 | $ | 1,000 | $ | 1,022.27 | $ | 2.73 | 0.55% | |||||||||||||||
Class Y | $ | 1,000 | $ | 1,108.20 | $ | 4.85 | $ | 1,000 | $ | 1,020.36 | $ | 4.65 | 0.93% | |||||||||||||||
Ivy Crossover Credit Fund |
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Class A | $ | 1,000 | $ | 1,177.00 | $ | 4.90 | $ | 1,000 | $ | 1,020.51 | $ | 4.55 | 0.90% | |||||||||||||||
Class I | $ | 1,000 | $ | 1,178.40 | $ | 3.49 | $ | 1,000 | $ | 1,021.76 | $ | 3.23 | 0.65% | |||||||||||||||
Class N | $ | 1,000 | $ | 1,178.40 | $ | 3.49 | $ | 1,000 | $ | 1,021.75 | $ | 3.23 | 0.65% | |||||||||||||||
Class Y | $ | 1,000 | $ | 1,177.00 | $ | 4.90 | $ | 1,000 | $ | 1,020.51 | $ | 4.55 | 0.90% | |||||||||||||||
Ivy Government Securities Fund |
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Class A | $ | 1,000 | $ | 1,002.60 | $ | 4.81 | $ | 1,000 | $ | 1,020.15 | $ | 4.85 | 0.97% | |||||||||||||||
Class B** | $ | 1,000 | $ | 997.30 | $ | 10.09 | $ | 1,000 | $ | 1,014.90 | $ | 10.18 | 2.02% | |||||||||||||||
Class C | $ | 1,000 | $ | 998.20 | $ | 9.19 | $ | 1,000 | $ | 1,015.75 | $ | 9.27 | 1.85% | |||||||||||||||
Class I | $ | 1,000 | $ | 1,003.80 | $ | 3.61 | $ | 1,000 | $ | 1,021.40 | $ | 3.64 | 0.72% | |||||||||||||||
Class N | $ | 1,000 | $ | 1,004.40 | $ | 3.01 | $ | 1,000 | $ | 1,022.01 | $ | 3.03 | 0.60% | |||||||||||||||
Ivy International Small Cap Fund |
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Class A | $ | 1,000 | $ | 1,358.90 | $ | 7.90 | $ | 1,000 | $ | 1,018.26 | $ | 6.76 | 1.35% | |||||||||||||||
Class C | $ | 1,000 | $ | 1,353.50 | $ | 12.47 | $ | 1,000 | $ | 1,014.37 | $ | 10.68 | 2.13% | |||||||||||||||
Class I | $ | 1,000 | $ | 1,361.40 | $ | 5.79 | $ | 1,000 | $ | 1,020.07 | $ | 4.95 | 0.99% | |||||||||||||||
Class N | $ | 1,000 | $ | 1,360.30 | $ | 5.78 | $ | 1,000 | $ | 1,020.07 | $ | 4.95 | 0.99% | |||||||||||||||
Class Y | $ | 1,000 | $ | 1,358.90 | $ | 7.90 | $ | 1,000 | $ | 1,018.26 | $ | 6.76 | 1.35% |
See footnotes on page 6.
2020 | ANNUAL REPORT | 5 |
Table of Contents
ILLUSTRATION OF FUND EXPENSES | IVY FUNDS |
(UNAUDITED)
Actual(1) | Hypothetical(2) | Annualized Expense Ratio Based on the Six-Month Period | ||||||||||||||||||||||||||
Fund | Beginning Account Value 3-31-20 | Ending Account Value 9-30-20 | Expenses Paid During Period* | Beginning Account Value 3-31-20 | Ending Account Value 9-30-20 | Expenses Paid During Period* | ||||||||||||||||||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund |
| |||||||||||||||||||||||||||
Class A | $ | 1,000 | $ | 1,123.50 | $ | 6.16 | $ | 1,000 | $ | 1,019.24 | $ | 5.86 | 1.15% | |||||||||||||||
Class C | $ | 1,000 | $ | 1,118.70 | $ | 9.64 | $ | 1,000 | $ | 1,015.87 | $ | 9.17 | 1.83% | |||||||||||||||
Class I | $ | 1,000 | $ | 1,124.70 | $ | 4.25 | $ | 1,000 | $ | 1,020.99 | $ | 4.04 | 0.80% | |||||||||||||||
Class N | $ | 1,000 | $ | 1,124.70 | $ | 4.25 | $ | 1,000 | $ | 1,021.00 | $ | 4.04 | 0.80% | |||||||||||||||
Class Y | $ | 1,000 | $ | 1,122.00 | $ | 6.15 | $ | 1,000 | $ | 1,019.24 | $ | 5.86 | 1.15% | |||||||||||||||
Ivy Pictet Targeted Return Bond Fund |
| |||||||||||||||||||||||||||
Class A | $ | 1,000 | $ | 1,047.00 | $ | 6.14 | $ | 1,000 | $ | 1,019.05 | $ | 6.06 | 1.19% | |||||||||||||||
Class C | $ | 1,000 | $ | 1,043.30 | $ | 9.81 | $ | 1,000 | $ | 1,015.44 | $ | 9.67 | 1.91% | |||||||||||||||
Class I | $ | 1,000 | $ | 1,048.00 | $ | 5.12 | $ | 1,000 | $ | 1,020.02 | $ | 5.05 | 1.00% | |||||||||||||||
Class N | $ | 1,000 | $ | 1,048.90 | $ | 4.41 | $ | 1,000 | $ | 1,020.67 | $ | 4.34 | 0.87% | |||||||||||||||
Class Y | $ | 1,000 | $ | 1,047.00 | $ | 6.14 | $ | 1,000 | $ | 1,019.05 | $ | 6.06 | 1.19% | |||||||||||||||
Ivy PineBridge High Yield Fund |
| |||||||||||||||||||||||||||
Class A | $ | 1,000 | $ | 1,143.20 | $ | 5.25 | $ | 1,000 | $ | 1,020.06 | $ | 4.95 | 0.99% | |||||||||||||||
Class I | $ | 1,000 | $ | 1,144.60 | $ | 3.86 | $ | 1,000 | $ | 1,021.41 | $ | 3.64 | 0.72% | |||||||||||||||
Class N | $ | 1,000 | $ | 1,144.80 | $ | 3.86 | $ | 1,000 | $ | 1,021.40 | $ | 3.64 | 0.72% |
** | These class shares are not available for direct investment. However, they are available for dividend reinvestment and exchange of the same class shares of another Ivy Fund. |
(1) | This section uses the Fund’s actual total return and actual Fund expenses. It is a guide to the actual expenses paid by the Fund in the period. The “Ending Account Value” shown is computed using the Fund’s actual return and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. A shareholder may use the information here, together with the dollar amount invested, to estimate the expenses that were paid over the period. For every thousand dollars a shareholder has invested, the expenses are listed in the last column of this section. |
(2) | This section uses a hypothetical five percent annual return and actual Fund expenses. It helps to compare the Fund’s ongoing costs with other mutual funds. A shareholder can compare the Fund’s ongoing costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
The above illustrations are based on ongoing costs only and do not include any transactional costs, such as sales loads or exchange fees.
6 | ANNUAL REPORT | 2020 |
Table of Contents
MANAGEMENT DISCUSSION | IVY APOLLO MULTI-ASSET INCOME FUND |
(UNAUDITED)
The Ivy Apollo Multi-Asset Income Fund is managed overall by Ivy Investment Management Company, which has retained Apollo Credit Management, LLC, to sub-advise the total return strategy sleeve and LaSalle Investment Management Securities, LLC, to sub-advise the global real estate strategy sleeve. Below, a portfolio manager of the Fund, Mark G. Beischel, CFA, discusses positioning, performance and results for the fiscal year ended September 30, 2020. Mr. Beischel has managed the Fund since inception. Mr. Beischel has 27 years of industry experience.
Fiscal Year Performance
For the 12 Months Ended September 30, 2020 | ||||
Ivy Apollo Multi-Asset Income Fund | -2.10% | |||
(Class A shares at net asset value) | ||||
Ivy Apollo Multi-Asset Income Fund | -7.77% | |||
(Class A shares including sales charges) | ||||
Benchmark(s) and Morningstar Category | ||||
50% FTSE All-World High Dividend Yield Index + 50% ICE BofAML U.S. High Yield Index | -2.41% | |||
(generally reflects the performance of equities, excluding REITs, with higher-than-average dividend yields; and the performance of securities representing the high-yield sector of the bond market) | ||||
FTSE All-World High Dividend Yield Index | -7.25% | |||
(generally reflects the performance of equities, excluding REITs, with higher-than-average dividend yields) | ||||
ICE BofAML U.S. High Yield Index | 2.30% | |||
(generally reflects the performance of securities representing the high-yield sector of the bond market) | ||||
Morningstar World Allocation Category Average | 0.60% | |||
(generally reflects the performance of the universe of funds with similar investment objectives) |
Please note that Fund returns include applicable fees and expenses while index returns do not include any such fees. The performance discussion below is at net asset value (NAV).
One full credit cycle in one quarter
In the fourth quarter of calendar year 2019 the financial markets reacted positively as political conflicts, trade uncertainty and global growth concerns waned. The macro environment stabilized with indicators of growth in China and Europe improving, albeit slowly. Other positive indicators were the announcement of Phase One of the U.S.-China trade deal, United States-Mexico-Canada Agreement (USMCA) passing in Congress and going into effect in 2020, less Brexit uncertainty with a newly appointed British Prime Minister, and finally the Federal Open Market Committee making it clear it was unlikely to hike interest rates in 2020.
In the U.S., the normalization of the Federal Reserve’s (Fed) balance sheet ended in the third quarter of calendar year 2019 with the Fed stating its intention to reinvest maturing U.S. Treasuries and mortgage-backed securities (MBS). The Fed also announced it would start expanding the balance sheet to better align it with the size of nominal gross domestic product (GDP). The Fed cut the federal funds rate by 25 basis points (bps) in October 2019 to 1.50%. Finally, stress in short-term funding during the last quarter of calendar year 2019 led the Fed to inject cash into the system to calm year-end funding pressures.
The first two months in calendar year 2020 were strong as the U.S.-China trade deal was finally signed in January. Business confidence was improving and optimistic, while job growth was solid as it beat expectations, and the unemployment rate was at a historical low. The stock market made new records with consumer confidence elevated. The outlook for calendar year 2020 was for stable global growth.
Unfortunately, the rise of COVID-19 that began in late November 2019 and spread throughout China, Asia, Europe, and ultimately the U.S. in early March, dramatically impacted the overall picture for global growth, capital markets and financial stability. This led to an immediate decline in global GDP output, massive job losses and enormous reductions on wealth. The fiscal and monetary responses were massive, with the Fed cutting interest rates to zero and providing U.S. dollar liquidity to other central banks, money market funds and corporate credit. It also started unlimited quantitative easing with large purchases of U.S. Treasuries and MBS. The Fed’s balance increased by $1 trillion in one week. Most central banks indicated they would respond as needed to maintain operations and avoid dysfunctional financial markets during the crisis, and they kept policies extremely accommodative as their economies recovered. The monetary response was just as impressive. A spending bill of more than $2 trillion passed the U.S. Senate and House of the Representatives after last minute negotiations, ultimately bridging the effects of “social distancing.”
2020 | ANNUAL REPORT | 7 |
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In effect, the market witnessed a full credit cycle in one quarter. Credit spreads compressed back to pre-COVID-19 levels after widening in March. We have never seen a health crisis morph into an economic crisis by virtue of a government mandated full-stop shutdown. The National Bureau of Economic Research recently declared that the recession began in February. A clean V-shaped U.S. economic recovery was hopeful at best as credit continued to be at the mercy of COVID-19-related news, both negative and positive.
Subsequently, in September 2020, the Organization for Economic Cooperation and Development (OECD) upgraded its forecast for global economic growth to a decline of 4.5%, up from earlier forecasts of minus 6.0%. China, with growth expected at 1.8%, is the only G20 country the OECD forecasts to grow in calendar year 2020.
Fixed-income investment returns have generally remained positive year to date in calendar year 2020, as 10-year U.S. Treasury yields have traded in a tight 25 bps range after the volatility during the first half of calendar year 2020. The U.S. Treasury curve steepened slightly after Fed Chair Jerome Powell used his speech at the Jackson Hole Symposium at the end of August 2020 to signal sustained looser monetary conditions. Specifically, he indicated that the Fed would change its interpretation of its price-stability mandate to target “inflation that averages 2% over time,” thus allowing for “inflation moderately above 2%” after periods of low inflation.
Following the volatility in the first half of calendar year 2020, global real estate securities advanced in the final quarter of the fiscal year, as risk assets continued to rebound from their earlier year pandemic-induced lows. Broadly, real estate securities have lagged as retail, lodging and office sectors have weighed heavily as those sectors have been most exposed to the effect of COVID-19 on physical locations.
Fund Performance
The Fund outperformed its blended benchmark but underperformed its Morningstar peer group for the fiscal year ending September 30, 2020. The Fund’s outperformance relative to the benchmark was positively impacted by its large weighting in the U.S. dollar. On a relative basis, the U.S. dollar weakened over the course of the fiscal year. The Fund had a 99% weighting in the U.S. dollar and its lack of exposure in the Euro, British Pound and Yen detracted from its performance, as those currencies appreciated 7.5%, 5.1%, and 2.4% against the dollar, respectively.
The Fund ended the year with roughly 50% of its portfolio allocated to equity. The Fund’s global equity holdings contributed to performance, driven by stock selection in information technology, energy, utilities, communication services and real estate securities. Sector allocation benefitted as well, led by overweight allocations to information technology and health care.
At the beginning of the fiscal year we upgraded the quality profile of the Fund by moving up in credit quality with the expectation that the Fed’s policy of normalizing interest rates would lead to increased volatility in the credit markets. The Fund was defensively positioned to take advantage of market volatility that dramatically increased credit spreads as COVID-19 led to a shutdown of the U.S. economy. The Fund opportunistically added to its emerging market and high yield exposures, capitalizing on tremendous widening of credit spreads during the March and June timeframes.
Looking ahead
We believe short-term interest rates will stay near zero for the foreseeable future and low inflation will keep a lid on long-term rates. The U.S.’s sizable fiscal packages provided much needed income support for sidelined workers and financial support for businesses facing interrupted product demand and cash flows. However, we do not view the packages as fiscal stimulus designed to generate sustained stronger growth.
Meanwhile, the federal government has been unsuccessfully debating another fiscal stimulus bill, while states look to fill gaps in their budgets. We think the outlook for a near-term solution is poor due to considerable focus on the Supreme Court and U.S. elections in early November.
Demand for corporate credit remains intact, though recently decelerated from record-setting levels. Across the globe, fixed-income yields are staggeringly low, leaving investors few alternatives. The Fed has stepped in as a buyer in the U.S. investment-grade and high-yield markets, which we believe is likely to support current spread levels.
China has contained COVID-19 more effectively than most countries and is now the closest of the major countries to operating as “business-as-usual.” This has been a major support to global resource demand. The economies of many emerging market countries have been supported by surprisingly aggressive fiscal stimulus. With ballooning fiscal deficits, however, governments will likely have less room to respond as COVID-19 continues to heavily impact Latin American economies and a second wave arrives in Europe.
While West Texas Intermediate crude has remained in a tight band near $40 per barrel during the quarter, we don’t believe it is a level that will sustain fiscal spending in oil-based economies such as those in the Persian Gulf and Nigeria. Meanwhile, China’s resurgent economy and supply disruptions have supported the prices of many industrial metals.
8 | ANNUAL REPORT | 2020 |
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The impact from COVID-19 is also driving significant differentiation among global real estate sectors in terms of short- and long-term growth prospects. However, we believe strong capital foundations of most real estate securities, coupled with highly supportive financial conditions, positions the sector well as the global economy continues to strengthen.
Finally, the tilt away from globalization that has been underway for about half of the decade is likely to be reinforced. We believe new factors stemming from COVID-19 will fuel the move further away globalization, which will change complex international supply chains, higher tariffs and potentially increased barriers to immigration.
Performance shown at NAV does not include the effect of sales charges. If reflected, the performance shown would have been lower. Performance including sales charges reflects the maximum applicable front-end sales load.
Past performance is not a guarantee of future results. As with any mutual fund, the value of the Fund’s shares will change, and you could lose money on your investment.
Although asset allocation among different sleeves and asset categories generally tends to limit risk and exposure to any one sleeve, the risk remains that the allocation of assets may skew toward a sleeve that performs poorly relative to the Fund’s other sleeves, or to the market as a whole, which would result in the Fund performing poorly.
While Ivy Investment Management Company (IICO) monitors the investments of Apollo Credit Management (Apollo) and LaSalle Investment Management Securities (LaSalle) in addition to the overall management of the Fund, including rebalancing the Fund’s target allocations, IICO, Apollo and LaSalle make investment decisions for their investment sleeves independently from one another. It is possible that the investment styles used by IICO, Apollo or LaSalle will not always complement each other, which could adversely affect the performance of the Fund. As a result, the Fund’s aggregate exposure to a particular industry or group of industries, or to a single issuer, could unintentionally be larger or smaller than intended.
Investment risks associated with investing in real estate securities, in addition to other risks, include rental income fluctuation, depreciation, property tax value changes and differences in real estate market values.
International investing involves additional risks, including currency fluctuations, political or economic conditions affecting the foreign country, and differences in accounting standards and foreign regulations. These risks are magnified in emerging markets.
Fixed-income securities are subject to interest rate risk and, as such, the NAV of the Fund may fall as interest rates rise.
Investing in below investment grade securities may carry a greater risk of nonpayment of interest or principal than higher-rated bonds.
Loans (including loan assignments, loan participations and other loan instruments) carry other risks, including the risk of insolvency of the lending bank or other intermediary. Loans may be unsecured or not fully collateralized may be subject to restrictions on resale and sometimes trade infrequently on the secondary market.
These and other risks are more fully described in the Fund’s prospectus
The opinions expressed in this report are those of the Fund’s portfolio managers and are current only through the end of the period of the report as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions, and no forecasts can be guaranteed.
The indexes noted are unmanaged, include reinvested dividends and do not include fees. One cannot invest directly in an index, nor is an index representative of the Ivy Apollo Multi-Asset Income Fund.
2020 | ANNUAL REPORT | 9 |
Table of Contents
PORTFOLIO HIGHLIGHTS | IVY APOLLO MULTI-ASSET INCOME FUND |
ALL DATA IS AS OF SEPTEMBER 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 50.3% | |||
Real Estate | 9.7% | |||
Financials | 8.5% | |||
Health Care | 6.1% | |||
Information Technology | 5.3% | |||
Industrials | 4.1% | |||
Consumer Staples | 4.1% | |||
Utilities | 3.6% | |||
Consumer Discretionary | 3.2% | |||
Energy | 2.0% | |||
Materials | 1.9% | |||
Communication Services | 1.8% | |||
Bonds | 48.4% | |||
Corporate Debt Securities | 27.0% | |||
Loans | 17.5% | |||
Asset-Backed Securities | 2.1% | |||
Mortgage-Backed Securities | 1.8% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 1.3% |
Country Weightings
North America | 59.3% | |||
United States | 56.6% | |||
Other North America | 2.7% | |||
Europe | 24.2% | |||
United Kingdom | 6.2% | |||
France | 5.0% | |||
Germany | 4.1% | |||
Other Europe | 8.9% | |||
Pacific Basin | 11.6% | |||
Bahamas/Caribbean | 2.7% | |||
South America | 0.6% | |||
Other | 0.3% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 1.3% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Taiwan Semiconductor Manufacturing Co. Ltd. | Taiwan | Information Technology | Semiconductors | |||
Procter & Gamble Co. (The) | United States | Consumer Staples | Household Products | |||
Samsung Electronics Co. Ltd. | South Korea | Information Technology | Technology Hardware, Storage & Peripherals | |||
Verizon Communications, Inc. | United States | Communication Services | Integrated Telecommunication Services | |||
Schneider Electric S.A. | France | Industrials | Electrical Components & Equipment | |||
ENEL S.p.A. | Italy | Utilities | Electric Utilities | |||
Amgen, Inc. | United States | Health Care | Biotechnology | |||
Cisco Systems, Inc. | United States | Information Technology | Communications Equipment | |||
AstraZeneca plc | United Kingdom | Health Care | Pharmaceuticals | |||
Philip Morris International, Inc. | United States | Consumer Staples | Tobacco |
See your advisor or www.ivyinvestments.com for more information on the Fund’s most recently published Top 10 Equity Holdings.
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
10 | ANNUAL REPORT | 2020 |
Table of Contents
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT | IVY APOLLO MULTI-ASSET INCOME FUND |
(UNAUDITED)
Please note that the performance of the Fund’s other share classes will be greater or less than the performance shown above for Class A based on the differences in loads and fees paid by shareholders investing in the different classes.
(1) | The value of the investment in the Fund is impacted by the sales load at the time of the investment and by the ongoing expenses of the Fund and assumes reinvestment of dividends and distributions. |
Average Annual Total Return(2) | Class A(3) | Class C | Class I | Class N | Class Y | |||||||||||||||
1-year period ended 9-30-20 | -7.77% | -2.85% | -1.76% | -1.66% | -2.06% | |||||||||||||||
5-year period ended 9-30-20 | — | — | — | — | — | |||||||||||||||
10-year period ended 9-30-20 | — | — | — | — | — | |||||||||||||||
Since Inception of Class through 9-30-20(4) | 2.92% | 3.38% | 4.51% | 4.61% | 4.21% |
(2) | Data quoted is past performance and is based on deduction of the maximum applicable sales load for each of the periods. Current performance may be lower or higher. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost. Please visit www.ivyinvestments.com for the Fund’s most recent month end performance. Class A Shares carry a maximum front-end sales load of 5.75%(a). Class C shares carry a maximum contingent deferred sales charge (CDSC) of 5% and 1%, respectively (the Class C shares reflect no CDSC since it only applies to Class C shares redeemed within twelve months after purchase). Class I, Class N and Class Y shares are not subject to sales charges. |
(3) | Class A shares carry a CDSC on shares purchased at net asset value for $1 million or more that are subsequently redeemed within 12 months of purchase. Effective October 1, 2020, Class A shares carry a CDSC on shares purchased at net asset value for $500,000 or more that are subsequently redeemed within 12 months of purchase. |
(4) | 10-1-15 for Class A shares, 10-1-15 for Class C shares, 10-1-15 for Class I shares, 10-1-15 for Class N shares and 10-1-15 for Class Y shares (the date on which shares were first acquired by shareholders). |
Past performance is not necessarily indicative of future performance. Indexes are unmanaged. The performance graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance results may include the effect of expense reduction arrangements for some or all of the periods shown. If those arrangements had not been in place, the performance results for those periods would have been lower.
(a) | Effective October 1, 2020, the maximum applicable sales charge for Class A shares has been lowered to 3.50%. |
2020 | ANNUAL REPORT | 11 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO MULTI-ASSET INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS | Shares | Value | ||||||
Communication Services |
| |||||||
Integrated Telecommunication Services – 1.8% |
| |||||||
Deutsche Telekom AG, Registered Shares (A) | 118 | $ | 1,962 | |||||
Verizon Communications, Inc. | 68 | 4,062 | ||||||
|
| |||||||
6,024 | ||||||||
|
| |||||||
Total Communication Services – 1.8% |
| 6,024 | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.0% |
| |||||||
True Religion Apparel, Inc. (B)(C) | 1 | — | ||||||
|
| |||||||
Apparel, Accessories & Luxury Goods – 0.6% |
| |||||||
V.F. Corp. | 26 | 1,844 | ||||||
|
| |||||||
Automobile Manufacturers – 0.5% |
| |||||||
Subaru Corp. (A)(D) | 85 | 1,656 | ||||||
|
| |||||||
Casinos & Gaming – 1.2% |
| |||||||
New Cotai Participation Corp., Class B (B)(C)(E) | 318 | 1,585 | ||||||
Sands China Ltd. (A) | 597 | 2,313 | ||||||
|
| |||||||
3,898 | ||||||||
|
| |||||||
Education Services – 0.0% |
| |||||||
Laureate Education, Inc., Class A (B) | 11 | 142 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.3% |
| |||||||
Studio City International Holdings Ltd. ADR (B) | 35 | 584 | ||||||
Studio City International Holdings Ltd. ADR (B)(E) | 15 | 235 | ||||||
|
| |||||||
819 | ||||||||
|
| |||||||
Specialty Stores – 0.0% |
| |||||||
Party City Holdco, Inc. (B)(E) | 7 | 17 | ||||||
|
| |||||||
Total Consumer Discretionary – 2.6% |
| 8,376 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 0.0% |
| |||||||
Pinnacle Agriculture Enterprises LLC (A)(B)(C)(E) | 1 | — | ||||||
|
| |||||||
Food Distributors – 0.5% |
| |||||||
Sysco Corp. | 29 | 1,805 | ||||||
|
| |||||||
Household Products – 1.5% |
| |||||||
Procter & Gamble Co. (The) | 35 | 4,869 | ||||||
|
| |||||||
Packaged Foods & Meats – 0.3% |
| |||||||
Mowi ASA (A) | 61 | 1,089 | ||||||
|
| |||||||
Personal Products – 0.8% |
| |||||||
Unilever plc (A) | 43 | 2,636 | ||||||
|
| |||||||
Tobacco – 1.0% |
| |||||||
Philip Morris International, Inc. | 44 | 3,263 | ||||||
|
| |||||||
Total Consumer Staples – 4.1% |
| 13,662 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Energy |
| |||||||
Coal & Consumable Fuels – 0.1% |
| |||||||
Foresight Energy L.P. (B)(C)(E) | 31 | $ | 444 | |||||
Westmoreland Coal Co. (B) | 7 | 55 | ||||||
|
| |||||||
499 | ||||||||
|
| |||||||
Integrated Oil & Gas – 0.8% |
| |||||||
Total S.A. (A)(D) | 77 | 2,638 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.7% |
| |||||||
Bellatrix Exploration Ltd. (A)(B)(C) | 76 | — | * | |||||
CNOOC Ltd. (A) | 2,456 | 2,362 | ||||||
|
| |||||||
2,362 | ||||||||
|
| |||||||
Total Energy – 1.6% |
| 5,499 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.6% |
| |||||||
3i Group plc (A) | 144 | 1,847 | ||||||
|
| |||||||
Consumer Finance – 0.6% |
| |||||||
ORIX Corp. (A) | 154 | 1,927 | ||||||
|
| |||||||
Diversified Banks – 3.2% |
| |||||||
Bank of Montreal (A) | 36 | 2,125 | ||||||
BNP Paribas S.A. (A) | 43 | 1,557 | ||||||
DBS Group Holdings Ltd. (A) | 132 | 1,945 | ||||||
ING Groep N.V., Certicaaten Van Aandelen (A) | 233 | 1,665 | ||||||
KeyCorp | 142 | 1,693 | ||||||
PT Bank Mandiri (Persero) Tbk (A) | 5,155 | 1,724 | ||||||
|
| |||||||
10,709 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 0.9% |
| |||||||
Morgan Stanley | 59 | 2,834 | ||||||
|
| |||||||
Multi-Line Insurance – 1.1% |
| |||||||
Axa S.A. (A) | 94 | 1,739 | ||||||
Zurich Financial Services, Registered Shares (A) | 6 | 1,974 | ||||||
|
| |||||||
3,713 | ||||||||
|
| |||||||
Other Diversified Financial Services – 0.9% |
| |||||||
Citigroup, Inc. | 69 | 2,975 | ||||||
|
| |||||||
Property & Casualty Insurance – 0.6% |
| |||||||
Tokio Marine Holdings, Inc. (A)(D) | 43 | 1,899 | ||||||
|
| |||||||
Reinsurance – 0.6% |
| |||||||
Munchener Ruckversicherungs-Gesellschaft AG, Registered Shares (A) | 7 | 1,827 | ||||||
|
| |||||||
Total Financials – 8.5% |
| 27,731 | ||||||
Health Care |
| |||||||
Biotechnology – 1.1% |
| |||||||
Amgen, Inc. | 14 | 3,671 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care Equipment – 0.5% |
| |||||||
Koninklijke Philips Electronics N.V., Ordinary Shares (A) | 32 | $ | 1,516 | |||||
|
| |||||||
Health Care Services – 0.9% |
| |||||||
CVS Caremark Corp. | 48 | 2,817 | ||||||
|
| |||||||
Pharmaceuticals – 3.6% |
| |||||||
Advanz Pharma Corp. (A)(B) | 6 | 29 | ||||||
AstraZeneca plc (A) | 32 | 3,492 | ||||||
GlaxoSmithKline plc (A) | 121 | 2,261 | ||||||
Roche Holdings AG, Genusscheine (A) | 9 | 3,126 | ||||||
Sanofi-Aventis (A) | 24 | 2,443 | ||||||
|
| |||||||
11,351 | ||||||||
|
| |||||||
Total Health Care – 6.1% |
| 19,355 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 1.4% |
| |||||||
BAE Systems plc (A) | 271 | 1,685 | ||||||
Lockheed Martin Corp. | 8 | 3,011 | ||||||
|
| |||||||
4,696 | ||||||||
|
| |||||||
Construction & Engineering – 0.7% |
| |||||||
McDermott International, Inc. (B)(C) | 4 | — | ||||||
McDermott International, Inc. (B) | 68 | 163 | ||||||
Vinci (A) | 21 | 1,773 | ||||||
|
| |||||||
1,936 | ||||||||
|
| |||||||
Electrical Components & Equipment – 2.0% |
| |||||||
Eaton Corp. | 25 | 2,556 | ||||||
Schneider Electric S.A. (A) | 30 | 3,775 | ||||||
|
| |||||||
6,331 | ||||||||
|
| |||||||
Total Industrials – 4.1% |
| 12,963 | ||||||
Information Technology |
| |||||||
Communications Equipment – 1.1% |
| |||||||
Cisco Systems, Inc. | 93 | 3,660 | ||||||
|
| |||||||
Semiconductors – 2.7% |
| |||||||
QUALCOMM, Inc. | 22 | 2,581 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. (A) | 412 | 6,198 | ||||||
|
| |||||||
8,779 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.5% |
| |||||||
Samsung Electronics Co. Ltd. (A) | 97 | 4,834 | ||||||
|
| |||||||
Total Information Technology – 5.3% |
| 17,273 | ||||||
Materials |
| |||||||
Construction Materials – 0.5% |
| |||||||
CRH plc (A) | 45 | 1,633 | ||||||
|
| |||||||
Diversified Chemicals – 0.6% |
| |||||||
Eastman Chemical Co. | 24 | 1,890 | ||||||
|
|
12 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO MULTI-ASSET INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS (Continued) | Shares | Value | ||||||
Diversified Metals & Mining – 0.8% |
| |||||||
Anglo American plc (A) | 109 | $ | 2,626 | |||||
|
| |||||||
Total Materials – 1.9% |
| 6,149 | ||||||
Real Estate |
| |||||||
Diversified Real Estate Activities – 0.9% |
| |||||||
CapitaLand Ltd. (A) | 76 | 152 | ||||||
Daibiru Corp. (A) | 6 | 64 | ||||||
Heiwa Real Estate Co. Ltd. (A) | 10 | 271 | ||||||
Heiwa Real Estate Co. Ltd. (A) | — | * | 40 | |||||
Mitsubishi Estate Co. Ltd. (A) | 38 | 574 | ||||||
Mitsui Fudosan Co. Ltd. (A) | 22 | 381 | ||||||
New World Development Co. Ltd. (A)(B) | 91 | 446 | ||||||
Nomura Real Estate Holdings, Inc. (A) | 11 | 205 | ||||||
Sun Hung Kai Properties Ltd. (A) | 13 | 173 | ||||||
Tokyu Fudosan Holdings Corp. (A) | 43 | 188 | ||||||
Tricon Capital Group, Inc. (A) | 29 | 242 | ||||||
|
| |||||||
2,736 | ||||||||
|
| |||||||
Diversified REITs – 0.7% |
| |||||||
Empire State Realty Trust, Inc., Class A | 47 | 287 | ||||||
Gecina (A) | 3 | 346 | ||||||
H&R Real Estate Investment Trust (A) | 15 | 108 | ||||||
Land Securities Group plc (A) | 44 | 294 | ||||||
Mapletree North Asia Commercial Trust (A) | 22 | 15 | ||||||
Merlin Properties Socimi S.A. (A) | 40 | 332 | ||||||
Mirvac Group (A) | 61 | 95 | ||||||
Nomura Real Estate Master Fund, Inc. (A) | — | * | 224 | |||||
NSI N.V. (A) | 3 | 119 | ||||||
United Urban Investment Corp. (A) | — | * | 92 | |||||
VEREIT, Inc. | 54 | 350 | ||||||
|
| |||||||
2,262 | ||||||||
|
| |||||||
Health Care REITs – 0.6% |
| |||||||
Healthcare Trust of America, Inc., Class A | 19 | 481 | ||||||
Sabra Health Care REIT, Inc. | 5 | 71 | ||||||
Ventas, Inc. | 15 | 646 | ||||||
Welltower, Inc. | 16 | 890 | ||||||
|
| |||||||
2,088 | ||||||||
|
| |||||||
Hotel & Resort REITs – 0.2% |
| |||||||
Invincible Investment Corp. (A) | — | * | 85 | |||||
Japan Hotel REIT Investment Corp. (A) | — | * | 70 | |||||
Park Hotels & Resorts, Inc. | 13 | 130 | ||||||
Pebblebrook Hotel Trust | 12 | 145 | ||||||
Sunstone Hotel Investors, Inc. | 33 | 262 | ||||||
|
| |||||||
692 | ||||||||
|
| |||||||
Industrial REITs – 1.4% |
| |||||||
ARA LOGOS Logistics Trust (A) | 85 | 39 | ||||||
Cambridge Industrial Trust (A) | 150 | 43 | ||||||
CRE Logistics REIT, Inc. (A) | — | * | 157 | |||||
Duke Realty Corp. | 22 | 816 | ||||||
First Industrial Realty Trust, Inc. | 20 | 797 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrial REITs (Continued) |
| |||||||
Industrial & Infrastructure Fund Investment Corp. (A) | — | * | $ | 111 | ||||
ITOCHU Advance Logistics Investment Corp. (A) | — | * | 186 | |||||
Mapletree Investments Pte Ltd. (A) | 80 | 190 | ||||||
Mapletree Logistics Trust (A) | 61 | 92 | ||||||
Mitsubishi Estate Logistics REIT Investment Corp. (A) | — | * | 29 | |||||
Mitsui Fudosan Logistics Park, Inc. (A) | — | * | 148 | |||||
ProLogis, Inc. | 12 | 1,232 | ||||||
Safestore Holdings plc (A) | 29 | 288 | ||||||
SEGRO plc (A) | 41 | 488 | ||||||
|
| |||||||
4,616 | ||||||||
|
| |||||||
Office REITs – 0.8% |
| |||||||
Corporate Office Properties Trust | 14 | 322 | ||||||
Cousins Properties, Inc. (A) | 7 | 209 | ||||||
Derwent London plc (A) | 8 | 271 | ||||||
Douglas Emmett, Inc. | 17 | 424 | ||||||
Fonciere des Regions S.A. (A) | 2 | 176 | ||||||
Highwoods Properties, Inc. | 3 | 113 | ||||||
Ichigo Office REIT Investment Corp. (A) | — | * | 248 | |||||
Invesco Office J-REIT, Inc. (A) | 1 | 188 | ||||||
Japan Excellent, Inc. (A) | — | * | 162 | |||||
Japan Prime Realty Investment Corp. (A) | — | * | 118 | |||||
Kilroy Realty Corp. | 2 | 88 | ||||||
ORIX JREIT, Inc. (A) | — | * | 326 | |||||
|
| |||||||
2,645 | ||||||||
|
| |||||||
Real Estate Development – 0.2% |
| |||||||
Cheung Kong (Holdings) Ltd. (A) | 44 | 214 | ||||||
Sino Land Co. Ltd. (A) | 159 | 186 | ||||||
Wharf (Holdings) Ltd. (The) (A) | 84 | 343 | ||||||
|
| |||||||
743 | ||||||||
|
| |||||||
Real Estate Operating Companies – 1.0% |
| |||||||
Ado Properties S.A. (A) | 7 | 198 | ||||||
Deutsche Wohnen AG (A) | 11 | 538 | ||||||
Entra ASA (A) | 32 | 444 | ||||||
Hang Lung Properties Ltd. (A) | 99 | 252 | ||||||
Keihanshin Building Co. Ltd. (A) | 7 | 109 | ||||||
Vonovia SE (A) | 23 | 1,593 | ||||||
|
| |||||||
3,134 | ||||||||
|
| |||||||
Residential REITs – 1.6% |
| |||||||
American Campus Communities, Inc. | 12 | 424 | ||||||
AvalonBay Communities, Inc. | 7 | 1,024 | ||||||
Camden Property Trust | 2 | 201 | ||||||
Canadian Apartment Properties REIT (A) | 20 | 708 | ||||||
Daiwa Securities Living Investment Corp. (A) | — | * | 63 | |||||
Equity Lifestyle Properties, Inc. | 8 | 503 | ||||||
Equity Residential | 7 | 337 | ||||||
Essex Property Trust, Inc. | 2 | 458 | ||||||
Invitation Homes, Inc. | 44 | 1,238 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Residential REITs (Continued) |
| |||||||
Irish Residential Properties REIT plc (A) | 77 | $ | 127 | |||||
Starts Proceed Investment Corp. (A) | — | * | 53 | |||||
|
| |||||||
5,136 | ||||||||
|
| |||||||
Retail REITs – 1.2% |
| |||||||
Agree Realty Corp. | 5 | 290 | ||||||
CapitaMall Trust (A) | 67 | 96 | ||||||
First Capital REIT (A) | 36 | 349 | ||||||
Fortune (A) | 152 | 128 | ||||||
Frasers Centrepoint Trust (A) | 25 | 45 | ||||||
Klepierre (A) | 7 | 97 | ||||||
Link (The) (A) | 52 | 424 | ||||||
Mapletree Commercial Trust (A) | 64 | 91 | ||||||
National Retail Properties, Inc. | 7 | 244 | ||||||
Realty Income Corp. | 9 | 544 | ||||||
Regency Centers Corp. | 8 | 310 | ||||||
Retail Properties of America, Inc. | 43 | 251 | ||||||
Simon Property Group, Inc. | 7 | 458 | ||||||
Urban Edge Properties | 8 | 74 | ||||||
Vicinity Centres (A) | 355 | 355 | ||||||
Weingarten Realty Investors | 13 | 215 | ||||||
|
| |||||||
3,971 | ||||||||
|
| |||||||
Specialized REITs – 1.1% |
| |||||||
Big Yellow Group plc (A) | 6 | 80 | ||||||
CubeSmart | 12 | 392 | ||||||
Digital Realty Trust, Inc. | 8 | 1,172 | ||||||
Equinix, Inc. | — | * | 111 | |||||
Public Storage, Inc. | 5 | 1,016 | ||||||
SBA Communications Corp. | 2 | 564 | ||||||
VICI Properties, Inc. | 16 | 368 | ||||||
|
| |||||||
3,703 | ||||||||
|
| |||||||
Total Real Estate – 9.7% |
| 31,726 | ||||||
Utilities |
| |||||||
Electric Utilities – 2.4% |
| |||||||
E.ON AG (A) | 158 | 1,738 | ||||||
ENEL S.p.A. (A) | 424 | 3,680 | ||||||
Exelon Corp. | 73 | 2,607 | ||||||
|
| |||||||
8,025 | ||||||||
|
| |||||||
Multi-Utilities – 0.7% |
| |||||||
RWE Aktiengesellschaft (A) | 62 | 2,325 | ||||||
|
| |||||||
Water Utilities – 0.5% |
| |||||||
Guangdong Investment Ltd. (A) | 1,078 | 1,713 | ||||||
|
| |||||||
Total Utilities – 3.6% |
| 12,063 | ||||||
TOTAL COMMON STOCKS – 49.3% |
| $ | 160,821 | |||||
(Cost: $150,586) |
2020 | ANNUAL REPORT | 13 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO MULTI-ASSET INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
PREFERRED STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Automobile Manufacturers – 0.6% |
| |||||||
Volkswagen AG, | 12 | $ | 1,910 | |||||
|
| |||||||
Total Consumer Discretionary – 0.6% |
| 1,910 | ||||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 0.4% |
| |||||||
Targa Resources Corp., 9.500% (B)(E) | 1 | 1,333 | ||||||
|
| |||||||
Total Energy – 0.4% |
| 1,333 | ||||||
TOTAL PREFERRED STOCKS – 1.0% |
| $ | 3,243 | |||||
(Cost: $3,353) | ||||||||
ASSET-BACKED SECURITIES | Principal | |||||||
Adams Mill CLO Ltd., Series 2014-1A, Class D1 (3-Month U.S. LIBOR plus 350 bps), | ||||||||
3.775%, 7–15–26 (H)(I) | $ | 600 | 589 | |||||
Antares CLO 2017-1A Ltd. (3-Month U.S. LIBOR plus 775 bps), | ||||||||
8.022%, 7–20–28 (I) | 650 | 542 | ||||||
Audax Senior Debt CLO II LLC, Series 2019-2A, Class C (3-Month U.S LIBOR plus 490 bps), | ||||||||
6.811%, 10–22–29 (H)(I) | 250 | 240 | ||||||
Fortress Credit BSL Ltd., Series 2018-1A, Class ER (3-Month U.S. LIBOR plus 645 bps), | ||||||||
6.706%, 7–23–31 (H)(I) | 750 | 629 | ||||||
GoldenTree Loan Management CLO Ltd., Series 2X, Class D (3-Month EURIBOR plus 285 bps), | ||||||||
2.850%, 1–20–32 (G)(I) | EUR | 385 | 406 | |||||
Golub Capital Partners CLO Ltd., Series 2013-17A, Class CR (3-Month U.S. LIBOR plus 350 bps), | ||||||||
3.745%, 10–25–30 (H)(I) | $ | 1,000 | 889 | |||||
Northwoods Capital XI-B Ltd. and Northwoods Capital XI-B LLC, Series 2018-14BA, Class D (3-Month U.S. LIBOR plus 340 bps), | ||||||||
3.654%, 11–13–31 (H)(I) | 1,200 | 1,032 | ||||||
TIAA Churchill Middle Market CLO I Ltd., Series 2016-1A, Class DR (3-Month U.S. LIBOR plus 390 bps), | ||||||||
4.172%, 10–20–30 (H)(I) | 750 | 661 | ||||||
Trinitas CLO Ltd., Ser 2019-11A, Class D (3-Month U.S. LIBOR plus 422 bps), | ||||||||
4.495%, 7–15–32 (H)(I) | 1,000 | 1,000 | ||||||
Trinitas CLO Ltd., Series 2018-8A, Class E (3-Month U.S. LIBOR plus 590 bps), | ||||||||
6.172%, 7–20–31 (H)(I) | 750 | 596 |
ASSET-BACKED SECURITIES (Continued) | Principal | Value | ||||||
Venture CDO Ltd., Series 17-26A, Class D (3-Month U.S. LIBOR plus 425 bps), | ||||||||
4.522%, 1–20–29 (H)(I) | $ | 400 | $ | 369 | ||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES – 2.1% |
| $ | 6,953 | |||||
(Cost: $7,662) | ||||||||
CORPORATE DEBT SECURITIES | ||||||||
Communication Services |
| |||||||
Advertising – 0.0% |
| |||||||
Lamar Media Corp., | ||||||||
4.000%, 2–15–30 (H) | 101 | 101 | ||||||
|
| |||||||
Alternative Carriers – 0.0% |
| |||||||
Front Range BidCo, Inc., | ||||||||
4.000%, 3–1–27 (H) | 120 | 118 | ||||||
|
| |||||||
Broadcasting – 0.5% |
| |||||||
Clear Channel International B.V., | ||||||||
6.625%, 8–1–25 (H) | 200 | 204 | ||||||
Clear Channel Outdoor Holdings, Inc., | ||||||||
5.125%, 8–15–27 (H) | 822 | 789 | ||||||
Clear Channel Worldwide Holdings, Inc., | ||||||||
9.250%, 2–15–24 | 609 | 590 | ||||||
Globo Comunicacoes e Participacoes S.A., | ||||||||
4.875%, 1–22–30 (H) | 200 | 197 | ||||||
Nexstar Escrow, Inc., | ||||||||
5.625%, 7–15–27 (H) | 30 | 32 | ||||||
|
| |||||||
1,812 | ||||||||
|
| |||||||
Cable & Satellite – 1.6% |
| |||||||
Altice Financing S.A., | ||||||||
5.000%, 1–15–28 (H) | 220 | 214 | ||||||
Altice France Holding S.A., | ||||||||
6.000%, 2–15–28 (H) | 1,081 | 1,031 | ||||||
Altice France S.A., | ||||||||
7.375%, 5–1–26 (H) | 234 | 245 | ||||||
CCO Holdings LLC and CCO Holdings Capital Corp.: | ||||||||
4.500%, 8–15–30 (H) | 351 | 368 | ||||||
4.500%, 5–1–32 (H) | 107 | 112 | ||||||
CSC Holdings LLC: | ||||||||
5.500%, 5–15–26 (H) | 300 | 312 | ||||||
5.375%, 2–1–28 (H) | 186 | 196 | ||||||
5.750%, 1–15–30 (H) | 202 | 215 | ||||||
DISH DBS Corp.: | ||||||||
7.750%, 7–1–26 | 498 | 548 | ||||||
7.375%, 7–1–28 (H) | 96 | 99 | ||||||
GCI LLC, | ||||||||
4.750%, 10–15–28 (H) | 94 | 95 | ||||||
Intelsat Jackson Holdings S.A., | ||||||||
9.500%, 9–30–22 (F)(H) | 471 | 512 | ||||||
Virgin Media Secured Finance plc, | ||||||||
4.250%, 1–15–30 (G) | GBP | 100 | 127 | |||||
VTR Comunicaciones S.p.A., | ||||||||
5.125%, 1–15–28 (H) | $ | 386 | 399 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Cable & Satellite (Continued) |
| |||||||
VTR Finance B.V., | ||||||||
6.375%, 7–15–28 (H) | $ | 591 | $ | 621 | ||||
Ziggo B.V., | ||||||||
2.875%, 1–15–30 (G)(H) | EUR | 170 | 194 | |||||
Ziggo Secured Finance B.V., | ||||||||
5.500%, 1–15–27 (H) | $ | 147 | 154 | |||||
|
| |||||||
5,442 | ||||||||
|
| |||||||
Integrated Telecommunication Services – 2.8% |
| |||||||
Cablevision Lightpath LLC, | ||||||||
5.625%, 9–15–28 (H) | 200 | 203 | ||||||
Colombia Telecomunicaciones S.A. E.S.P., | ||||||||
4.950%, 7–17–30 (H) | 200 | 208 | ||||||
Consolidated Communications, Inc., | ||||||||
6.500%, 10–1–28 (H) | 290 | 296 | ||||||
Frontier Communications Corp.: | ||||||||
7.125%, 1–15–23 (F) | 40 | 15 | ||||||
6.875%, 1–15–25 (F) | 942 | 357 | ||||||
11.000%, 9–15–25 (F) | 1,409 | 592 | ||||||
8.500%, 4–1–26 (F)(H) | 1,762 | 1,778 | ||||||
8.000%, 4–1–27 (F)(H) | 1,532 | 1,527 | ||||||
9.000%, 8–15–31 (F) | 41 | 15 | ||||||
Level 3 Financing, Inc., | ||||||||
3.625%, 1–15–29 (H) | 100 | 99 | ||||||
Northwest Fiber LLC, | ||||||||
10.750%, 6–1–28 (H) | 128 | 139 | ||||||
PT Tower Bersama Infrastructure Tbk, | ||||||||
4.250%, 1–21–25 | 200 | 200 | ||||||
Telecom Italia S.p.A., | ||||||||
1.125%, 3–26–22 (G) | EUR | 200 | 233 | |||||
West Corp., | ||||||||
8.500%, 10–15–25 (H) | $ | 2,588 | 2,251 | |||||
Windstream Escrow LLC, | ||||||||
7.750%, 8–15–28 (H) | 951 | 934 | ||||||
|
| |||||||
8,847 | ||||||||
|
| |||||||
Publishing – 0.1% |
| |||||||
MDC Partners, Inc., | ||||||||
6.500%, 5–1–24 (H) | 478 | 436 | ||||||
|
| |||||||
Wireless Telecommunication Service – 0.9% |
| |||||||
Digicel Group Ltd., | ||||||||
8.750%, 5–25–24 (H) | 195 | 196 | ||||||
Digicel Group Ltd. (5.000% Cash and 3.000% PIK), | ||||||||
8.000%, 4–1–25 (H)(J) | 114 | 40 | ||||||
Digicel Group Ltd. (7.000% Cash or 7.000% PIK), | ||||||||
7.000%, 10–1–68 (H)(J) | 87 | 11 | ||||||
Digicel International Finance Ltd.: | ||||||||
8.750%, 5–25–24 (H) | 1,251 | 1,256 | ||||||
8.000%, 12–31–26 (H) | 78 | 60 | ||||||
Digicel International Finance Ltd. (6.000% Cash and 7.000% PIK), | ||||||||
13.000%, 12–31–25 (H)(J) | 99 | 90 |
14 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO MULTI-ASSET INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Wireless Telecommunication Service (Continued) |
| |||||||
Digicel International Finance Ltd. (8.000% Cash and 2.000% PIK or 10.000% PIK), | ||||||||
10.000%, 4–1–24 (J) | $ | 710 | $ | 544 | ||||
Digicel Ltd., | ||||||||
6.750%, 3–1–23 (H) | 1,000 | 630 | ||||||
Matterhorn Telecom S.A., | ||||||||
3.125%, 9–15–26 (G) | EUR | 200 | 223 | |||||
|
| |||||||
3,050 | ||||||||
|
| |||||||
Total Communication Services – 5.8% |
| 19,806 | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.2% |
| |||||||
Abercrombie & Fitch Management Co. (GTD by Abercrombie & Fitch Co.), | ||||||||
8.750%, 7–15–25 (H) | $ | 339 | 357 | |||||
L Brands, Inc.: | ||||||||
6.875%, 7–1–25 (H) | 49 | 53 | ||||||
9.375%, 7–1–25 (H) | 88 | 101 | ||||||
6.625%, 10–1–30 (H) | 188 | 191 | ||||||
|
| |||||||
702 | ||||||||
|
| |||||||
Automobile Manufacturers – 0.1% |
| |||||||
Ford Motor Co.: | ||||||||
8.500%, 4–21–23 | 205 | 223 | ||||||
9.000%, 4–22–25 | 205 | 235 | ||||||
|
| |||||||
458 | ||||||||
|
| |||||||
Automotive Retail – 0.5% |
| |||||||
Asbury Automotive Group, Inc.: | ||||||||
4.500%, 3–1–28 (H) | 345 | 347 | ||||||
4.750%, 3–1–30 (H) | 346 | 348 | ||||||
Carvana Co., | ||||||||
8.875%, 10–1–23 (H) | 528 | 551 | ||||||
Ken Garff Automotive LLC, | ||||||||
4.875%, 9–15–28 (H) | 94 | 93 | ||||||
Lithia Motors, Inc.: | ||||||||
5.250%, 8–1–25 (H) | 85 | 87 | ||||||
4.625%, 12–15–27 (H) | 139 | 144 | ||||||
4.375%, 1–15–31 | 149 | 149 | ||||||
Sonic Automotive, Inc., | ||||||||
6.125%, 3–15–27 | 185 | 191 | ||||||
|
| |||||||
1,910 | ||||||||
|
| |||||||
Casinos & Gaming – 1.2% |
| |||||||
Boyd Gaming Corp.: | ||||||||
8.625%, 6–1–25 (H) | 101 | 111 | ||||||
4.750%, 12–1–27 | 324 | 318 | ||||||
Churchill Downs, Inc., | ||||||||
5.500%, 4–1–27 (H) | 102 | 106 | ||||||
Colt Merger Sub, Inc.: | ||||||||
6.250%, 7–1–25 (H) | 387 | 403 | ||||||
8.125%, 7–1–27 (H) | 644 | 683 | ||||||
Everi Payments, Inc., | ||||||||
7.500%, 12–15–25 (H) | 565 | 554 | ||||||
Gateway Casinos & Entertainment Ltd., | ||||||||
8.250%, 3–1–24 (H) | 426 | 360 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Casinos & Gaming (Continued) |
| |||||||
Golden Nugget, Inc., | ||||||||
6.750%, 10–15–24 (H) | $ | 914 | $ | 763 | ||||
Scientific Games International, Inc. (GTD by Scientific Games Corp.): | ||||||||
5.000%, 10–15–25 (H) | 139 | 140 | ||||||
7.000%, 5–15–28 (H) | 43 | 43 | ||||||
7.250%, 11–15–29 (H) | 43 | 44 | ||||||
Wynn Macau Ltd.: | ||||||||
4.875%, 10–1–24 (H) | 200 | 197 | ||||||
5.500%, 10–1–27 (H) | 409 | 397 | ||||||
|
| |||||||
4,119 | ||||||||
|
| |||||||
Education Services – 0.1% |
| |||||||
Laureate Education, Inc., | ||||||||
8.250%, 5–1–25 (H) | 197 | 209 | ||||||
|
| |||||||
Home Improvement Retail – 0.0% |
| |||||||
Beacon Roofing Supply, Inc., | ||||||||
4.500%, 11–15–26 (H) | 68 | 70 | ||||||
|
| |||||||
Homebuilding – 0.2% |
| |||||||
K. Hovnanian Enterprises, Inc., | ||||||||
10.500%, 2–15–26 (H) | 500 | 492 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.5% |
| |||||||
Boyne USA, Inc., | ||||||||
7.250%, 5–1–25 (H) | 426 | 445 | ||||||
Carnival Corp.: | ||||||||
10.500%, 2–1–26 (D)(H) | 44 | 48 | ||||||
9.875%, 8–1–27 (H) | 190 | 201 | ||||||
Marriott Ownership Resorts, Inc. (GTD by Marriott Vacations Worldwide Corp.), | ||||||||
6.125%, 9–15–25 (H) | 250 | 261 | ||||||
NCL Corp. Ltd.: | ||||||||
12.250%, 5–15–24 (H) | 349 | 391 | ||||||
10.250%, 2–1–26 (H) | 232 | 242 | ||||||
POWDR Corp., | ||||||||
6.000%, 8–1–25 (H) | 96 | 98 | ||||||
|
| |||||||
1,686 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.1% |
| |||||||
Prosus N.V., | ||||||||
2.031%, 8–3–32 (G)(H) | EUR | 200 | 236 | |||||
|
| |||||||
Leisure Facilities – 0.4% |
| |||||||
Cedar Fair Entertainment Co., Magnum Management Corp., Canada’s Wonderland Co. and Millennium Operations LLC, | ||||||||
5.500%, 5–1–25 (H) | $ | 669 | 687 | |||||
Cedar Fair L.P., Magnum Management Corp., Canada’s Wonderland Co. and Millennium Operations LLC, | ||||||||
5.375%, 4–15–27 | 356 | 354 | ||||||
Live Nation Entertainment, Inc., | ||||||||
4.750%, 10–15–27 (H) | 202 | 189 | ||||||
Six Flags Theme Parks, Inc., | ||||||||
7.000%, 7–1–25 (H) | 41 | 44 | ||||||
|
| |||||||
1,274 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Specialized Consumer Services – 0.3% |
| |||||||
Klesia Prevoyance, | ||||||||
5.375%, 12–8–26 (G) | EUR | 200 | $ | 246 | ||||
Nielsen Finance LLC and Nielsen Finance Co.: | ||||||||
5.625%, 10–1–28 (H) | $ | 283 | 291 | |||||
5.875%, 10–1–30 (H) | 236 | 244 | ||||||
Service Corp. International, | ||||||||
5.125%, 6–1–29 | 341 | �� | 378 | |||||
|
| |||||||
1,159 | ||||||||
|
| |||||||
Specialty Stores – 1.2% |
| |||||||
Michaels Stores, Inc.: | ||||||||
8.000%, 7–15–27 (D)(H) | 403 | 421 | ||||||
4.750%, 10–1–27 (H) | 94 | 93 | ||||||
Party City Holdings, Inc. (5.000% Cash and 5.000% PIK), | ||||||||
10.000%, 8–15–26 (H)(J) | 35 | 30 | ||||||
Party City Holdings, Inc. (6-Month U.S. LIBOR plus 500 bps), | ||||||||
5.750%, 7–15–25 (H)(I) | 65 | 48 | ||||||
Staples, Inc.: | ||||||||
7.500%, 4–15–26 (H) | 2,584 | 2,381 | ||||||
10.750%, 4–15–27 (H) | 1,117 | 896 | ||||||
|
| |||||||
3,869 | ||||||||
|
| |||||||
Total Consumer Discretionary – 4.8% |
| 16,184 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 0.1% |
| |||||||
NBM U.S. Holdings, Inc., | ||||||||
7.000%, 5–14–26 | 200 | 212 | ||||||
|
| |||||||
Packaged Foods & Meats – 0.9% |
| |||||||
JBS Investments II GmbH (GTD by JBS S.A.), | ||||||||
5.750%, 1–15–28 (D) | 200 | 208 | ||||||
JBS USA Lux S.A. and JBS USA Finance, Inc., | ||||||||
6.750%, 2–15–28 (H) | 355 | 386 | ||||||
JBS USA, JBS USA Food Co. and JBS USA Finance, Inc. (GTD by JBS S.A.), | ||||||||
5.500%, 1–15–30 (H) | 120 | 131 | ||||||
Pilgrim’s Pride Corp.: | ||||||||
5.750%, 3–15–25 (H) | 153 | 156 | ||||||
5.875%, 9–30–27 (H) | 550 | 568 | ||||||
Simmons Foods, Inc.: | ||||||||
7.750%, 1–15–24 (H) | 274 | 287 | ||||||
5.750%, 11–1–24 (H) | 1,182 | 1,183 | ||||||
|
| |||||||
2,919 | ||||||||
|
| |||||||
Total Consumer Staples – 1.0% |
| 3,131 | ||||||
Energy |
| |||||||
Coal & Consumable Fuels – 0.1% |
| |||||||
Minejesa Capital B.V., | ||||||||
4.625%, 8–10–30 | 200 | 205 | ||||||
|
|
2020 | ANNUAL REPORT | 15 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO MULTI-ASSET INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Drilling – 0.1% |
| |||||||
KCA Deutag UK Finance plc, | ||||||||
7.250%, 5–15–21 (H) | $ | 1,000 | $ | 467 | ||||
Offshore Drilling Holding S.A., | ||||||||
8.375%, 9–20–20 (F)(H)(K) | 1,400 | 126 | ||||||
|
| |||||||
593 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.0% |
| |||||||
Nine Energy Service, Inc., | ||||||||
8.750%, 11–1–23 (H) | 311 | 93 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 1.8% |
| |||||||
Abu Dhabi National Energy Co., | ||||||||
4.000%, 10–3–49 | 200 | 234 | ||||||
Bellatrix Exploration Ltd., | ||||||||
8.500%, 9–11–23 (F) | 177 | — | ||||||
Bellatrix Exploration Ltd. (3.000% Cash or 9.500% PIK), | ||||||||
9.500%, 12–15–23 (F)(J) | 193 | — | ||||||
Comstock Resources, Inc., | ||||||||
9.750%, 8–15–26 | 47 | 48 | ||||||
Crownrock L.P., | ||||||||
5.625%, 10–15–25 (H) | 1,161 | 1,094 | ||||||
Delek & Avner Tamar Bond Ltd., | ||||||||
5.082%, 12–30–23 (H) | 100 | 102 | ||||||
Endeavor Energy Resources L.P.: | ||||||||
5.500%, 1–30–26 (H) | 438 | 435 | ||||||
5.750%, 1–30–28 (H) | 319 | 320 | ||||||
Endeavor Energy Resources L.P. and EER Finance, Inc., | ||||||||
6.625%, 7–15–25 (H) | 237 | 243 | ||||||
Gaz Capital S.A., | ||||||||
5.150%, 2–11–26 | 200 | 223 | ||||||
Laredo Petroleum, Inc.: | ||||||||
9.500%, 1–15–25 | 660 | 393 | ||||||
10.125%, 1–15–28 (D) | 440 | 260 | ||||||
Moss Creek Resources Holdings, Inc., | ||||||||
7.500%, 1–15–26 (H) | 511 | 307 | ||||||
PT Pertamina (Persero), | ||||||||
4.175%, 1–21–50 | 200 | 200 | ||||||
QEP Resources, Inc.: | ||||||||
5.250%, 5–1–23 | 210 | 153 | ||||||
5.625%, 3–1–26 | 183 | 104 | ||||||
Sanchez Energy Corp., | ||||||||
0.000%, 2–15–23 (C)(E)(L) | 111 | — | ||||||
Seven Generations Energy Ltd.: | ||||||||
6.750%, 5–1–23 (H) | 971 | 948 | ||||||
5.375%, 9–30–25 (H) | 419 | 397 | ||||||
|
| |||||||
5,461 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.7% |
| |||||||
Callon Petroleum Co. (GTD by Callon Petroleum Operating Co.): | ||||||||
6.125%, 10–1–24 | 163 | 47 | ||||||
6.375%, 7–1–26 | 218 | 53 | ||||||
Comstock Escrow Corp., | ||||||||
9.750%, 8–15–26 | 1,534 | 1,578 | ||||||
EG Global Finance plc: | ||||||||
4.375%, 2–7–25 (G)(H) | EUR | 169 | 187 | |||||
6.250%, 10–30–25 (G)(H) | 107 | 125 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Refining & Marketing (Continued) |
| |||||||
EP Energy LLC and Everest Acquisition Finance, Inc.: | ||||||||
9.375%, 5–1–24 (F)(H) | $ | 207 | $ | — | * | |||
8.000%, 2–15–25 (F)(H) | 221 | — | * | |||||
7.750%, 5–15–26 (F)(H) | 323 | 71 | ||||||
PBF Holding Co. LLC: | ||||||||
9.250%, 5–15–25 (H) | 135 | 138 | ||||||
6.000%, 2–15–28 (H) | 220 | 148 | ||||||
|
| |||||||
2,347 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 0.1% |
| |||||||
Crestwood Midstream Partners L.P. and Crestwood Midstream Finance Corp., | ||||||||
6.250%, 4–1–23 | 191 | 187 | ||||||
|
| |||||||
Total Energy – 2.8% |
| 8,886 | ||||||
Financials |
| |||||||
Consumer Finance – 0.3% |
| |||||||
Alliance Data Systems Corp., | ||||||||
4.750%, 12–15–24 (H) | 573 | 537 | ||||||
CURO Group Holdings Corp., | ||||||||
8.250%, 9–1–25 (H) | 478 | 401 | ||||||
|
| |||||||
938 | ||||||||
|
| |||||||
Diversified Banks – 0.4% |
| |||||||
Banco de Bogota S.A., | ||||||||
5.375%, 2–19–23 | 200 | 211 | ||||||
Banco Nacional de Panama, | ||||||||
2.500%, 8–11–30 (H) | 200 | 198 | ||||||
Banco Santander (Mexico) S.A., | ||||||||
5.950%, 10–1–28 (H) | 200 | 211 | ||||||
Oversea-Chinese Banking Corp. Ltd., | ||||||||
1.832%, 9–10–30 (D)(H) | 200 | 199 | ||||||
Skandinaviska Enskilda Banken AB, | ||||||||
1.375%, 10–31–28 (G) | EUR | 100 | 120 | |||||
TerraForm Power Operating LLC (GTD by TerraForm Power LLC), | ||||||||
5.000%, 1–31–28 (H) | $ | 67 | 73 | |||||
|
| |||||||
1,012 | ||||||||
|
| |||||||
Insurance Brokers – 1.0% |
| |||||||
Ardonagh Midco 2 plc, | ||||||||
11.500%, 1–15–27 (H) | 818 | 826 | ||||||
NFP Corp.: | ||||||||
7.000%, 5–15–25 (H) | 203 | 215 | ||||||
6.875%, 8–15–28 (H) | 2,196 | 2,220 | ||||||
Vienna Insurance Group AG, | ||||||||
5.500%, 10–9–43 (G) | EUR | 100 | 133 | |||||
|
| |||||||
3,394 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 0.1% |
| |||||||
INTL FCStone, Inc., | ||||||||
8.625%, 6–15–25 (H) | $ | 499 | 539 | |||||
|
| |||||||
Life & Health Insurance – 0.1% |
| |||||||
Aegon N.V., | ||||||||
4.000%, 4–25–44 (G) | EUR | 200 | 251 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Life & Health Insurance (Continued) |
| |||||||
AIA Group Ltd., | ||||||||
3.200%, 9–16–40 (H) | $ | 200 | $ | 206 | ||||
|
| |||||||
457 | ||||||||
|
| |||||||
Multi-line Insurance – 0.1% |
| |||||||
La Mondiale SAM, | ||||||||
6.750%, 4–25–44 (G) | EUR | 100 | 136 | |||||
|
| |||||||
Multi-Line Insurance – 0.3% |
| |||||||
ASR Nederland N.V., | ||||||||
5.125%, 9–29–45 (G) | 100 | 135 | ||||||
Humanis Prevoyance, | ||||||||
5.750%, 10–22–25 (G) | 300 | 384 | ||||||
Mapfre S.A., | ||||||||
4.375%, 3–31–47 (G) | 100 | 131 | ||||||
|
| |||||||
650 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.2% |
| |||||||
Amwins Group, Inc., | ||||||||
7.750%, 7–1–26 (H) | $ | 657 | 703 | |||||
|
| |||||||
Specialized Finance – 1.1% |
| |||||||
BCPE Cycle Merger Sub II, Inc., | ||||||||
10.625%, 7–15–27 (H) | 809 | 858 | ||||||
Compass Group Diversified Holdings LLC, | ||||||||
8.000%, 5–1–26 (H) | 1,143 | 1,200 | ||||||
Galaxy Bidco Ltd., | ||||||||
6.500%, 7–31–26 (G) | GBP | 100 | 131 | |||||
NBK Tier 1 Financing (2) Ltd., | ||||||||
4.500%, 5–27–68 (H) | $ | 300 | 296 | |||||
PLT VII Finance S.a.r.l., | ||||||||
4.625%, 1–5–26 (G)(H) | EUR | 100 | 119 | |||||
Rede D’Or Finance S.a.r.l., | ||||||||
4.500%, 1–22–30 (H) | $ | 200 | 189 | |||||
Techem Verwaltungsgesellschaft 674 mbH, | ||||||||
2.000%, 7–15–25 (G) | EUR | 400 | 447 | |||||
Tengizchevroil Finance Co. International Ltd., | ||||||||
3.250%, 8–15–30 (H) | $ | 200 | 202 | |||||
VMED O2 UK Financing I plc, | ||||||||
3.250%, 1–31–31 (G)(H) | EUR | 200 | 233 | |||||
|
| |||||||
3,675 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.2% |
| |||||||
Provident Funding Associates L.P. and PFG Finance Corp., | ||||||||
6.375%, 6–15–25 (H) | $ | 786 | 761 | |||||
|
| |||||||
Total Financials – 3.8% |
| 12,265 | ||||||
Health Care | ||||||||
Health Care Equipment – 0.0% |
| |||||||
Hologic, Inc., | ||||||||
3.250%, 2–15–29 (H) | 194 | 195 | ||||||
|
|
16 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO MULTI-ASSET INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Health Care Facilities – 0.5% |
| |||||||
RegionalCare Hospital Partners Holdings, Inc. and Legend Merger Sub, Inc., | ||||||||
9.750%, 12–1–26 (H) | $ | 540 | $ | 574 | ||||
Surgery Center Holdings, Inc., | ||||||||
10.000%, 4–15–27 (H) | 1,005 | 1,070 | ||||||
|
| |||||||
1,644 | ||||||||
|
| |||||||
Health Care Services – 0.2% |
| |||||||
Heartland Dental LLC, | ||||||||
8.500%, 5–1–26 (H) | 789 | 785 | ||||||
|
| |||||||
Health Care Supplies – 0.0% |
| |||||||
Catalent Pharma Solutions, Inc., | ||||||||
2.375%, 3–1–28 (G)(H) | EUR | 133 | 149 | |||||
|
| |||||||
Health Care Technology – 0.5% |
| |||||||
Verscend Holding Corp., | ||||||||
9.750%, 8–15–26 (H) | $ | 1,436 | 1,561 | |||||
|
| |||||||
Pharmaceuticals – 0.7% |
| |||||||
Advanz Pharma Corp., | ||||||||
8.000%, 9–6–24 | 72 | 70 | ||||||
Bausch Health Cos., Inc.: | ||||||||
9.000%, 12–15–25 (H) | 153 | 167 | ||||||
9.250%, 4–1–26 (H) | 441 | 485 | ||||||
8.500%, 1–31–27 (H) | 832 | 914 | ||||||
Nidda Healthcare Holding AG: | ||||||||
3.500%, 9–30–24 (G) | EUR | 300 | 341 | |||||
Par Pharmaceutical, Inc., | ||||||||
7.500%, 4–1–27 (H) | $ | 454 | 476 | |||||
|
| |||||||
2,453 | ||||||||
|
| |||||||
Total Health Care – 1.9% |
| 6,787 | ||||||
Industrials | ||||||||
Aerospace & Defense – 2.0% |
| |||||||
Arconic Rolled Products Corp., | ||||||||
6.125%, 2–15–28 (H) | 88 | 90 | ||||||
TransDigm UK Holdings plc, | ||||||||
6.875%, 5–15–26 | 366 | 368 | ||||||
TransDigm, Inc. (GTD by TransDigm Group, Inc.): | ||||||||
6.500%, 7–15–24 | 1,047 | 1,044 | ||||||
6.500%, 5–15–25 | 200 | 199 | ||||||
6.250%, 3–15–26 (H) | 786 | 824 | ||||||
6.375%, 6–15–26 | 202 | 203 | ||||||
7.500%, 3–15–27 | 408 | 424 | ||||||
5.500%, 11–15–27 | 1,051 | 1,010 | ||||||
Wolverine Escrow LLC: | ||||||||
8.500%, 11–15–24 (H) | 1,167 | 957 | ||||||
9.000%, 11–15–26 (H) | 1,703 | 1,405 | ||||||
13.125%, 11–15–27 (H) | 128 | 90 | ||||||
|
| |||||||
6,614 | ||||||||
|
| |||||||
Airlines – 0.1% |
| |||||||
Mileage Plus Holdings LLC, | ||||||||
6.500%, 6–20–27 (H) | 418 | 435 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Building Products – 0.1% |
| |||||||
JELD-WEN, Inc., | ||||||||
6.250%, 5–15–25 (H) | $ | 119 | $ | 127 | ||||
Standard Industries, Inc.: | ||||||||
2.250%, 11–21–26 (G)(H) | EUR | 100 | 112 | |||||
3.375%, 1–15–31 (H) | $ | 109 | 107 | |||||
|
| |||||||
346 | ||||||||
|
| |||||||
Diversified Support Services – 0.1% |
| |||||||
Ahern Rentals, Inc., | ||||||||
7.375%, 5–15–23 (H) | 665 | 352 | ||||||
United Rentals (North America), Inc. (GTD by United Rentals, Inc.), | ||||||||
3.875%, 11–15–27 | 50 | 52 | ||||||
|
| |||||||
404 | ||||||||
|
| |||||||
Environmental & Facilities Services – 0.1% |
| |||||||
GFL Environmental, Inc.: | ||||||||
3.750%, 8–1–25 (H) | 145 | 145 | ||||||
5.125%, 12–15–26 (H) | 21 | 22 | ||||||
8.500%, 5–1–27 (H) | 86 | 93 | ||||||
Waste Pro USA, Inc., | ||||||||
5.500%, 2–15–26 (H) | 86 | 87 | ||||||
|
| |||||||
347 | ||||||||
|
| |||||||
Industrial Machinery – 0.1% |
| |||||||
Energizer Holdings, Inc., | ||||||||
6.375%, 7–15–26 (H) | 270 | 290 | ||||||
|
| |||||||
Marine Ports & Services – 0.2% |
| |||||||
DP World plc, | ||||||||
4.700%, 9–30–49 | 200 | 202 | ||||||
International Container Terminal Services, Inc., | ||||||||
4.750%, 6–17–30 | 200 | 209 | ||||||
Mersin Uluslararasi Liman Isletmeciligi A.S., | ||||||||
5.375%, 11–15–24 (H) | 200 | 203 | ||||||
|
| |||||||
614 | ||||||||
|
| |||||||
Railroads – 0.1% |
| |||||||
Lima Metro Line 2 Finance Ltd., | ||||||||
5.875%, 7–5–34 (H) | 106 | 130 | ||||||
Rumo Luxembourg S.a.r.l., | ||||||||
5.250%, 1–10–28 (H) | 200 | 208 | ||||||
|
| |||||||
338 | ||||||||
|
| |||||||
Security & Alarm Services – 0.3% |
| |||||||
APX Group, Inc. (GTD by APX Group Holdings, Inc.), | ||||||||
7.625%, 9–1–23 (D) | 272 | 275 | ||||||
Garda World Security Corp. (GTD by GW Intermediate Corp.), | ||||||||
4.625%, 2–15–27 (H) | 228 | 229 | ||||||
Prime Security Services Borrower LLC and Prime Finance, Inc., | ||||||||
6.250%, 1–15–28 (H) | 330 | 334 | ||||||
|
| |||||||
838 | ||||||||
|
| |||||||
Total Industrials – 3.1% |
| 10,226 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Information Technology | ||||||||
Application Software – 1.0% |
| |||||||
ACI Worldwide, Inc., | ||||||||
5.750%, 8–15–26 (H) | $ | 16 | $ | 17 | ||||
Boxer Parent Co., Inc., | ||||||||
6.500%, 10–2–25 (G)(H) | EUR | 100 | 121 | |||||
Kronos Acquisition Holdings, Inc., | ||||||||
9.000%, 8–15–23 (H) | $ | 1,418 | 1,438 | |||||
Orbcomm, Inc., | ||||||||
8.000%, 4–1–24 (H) | 1,034 | 1,003 | ||||||
Riverbed Technology, Inc. and Project Homestake Merger Corp., | ||||||||
8.875%, 3–1–23 (H) | 905 | 629 | ||||||
SS&C Technologies Holdings, Inc., | ||||||||
5.500%, 9–30–27 (H) | 120 | 128 | ||||||
|
| |||||||
3,336 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 0.1% |
| |||||||
j2 Cloud Services LLC and j2 Global, Inc., | ||||||||
6.000%, 7–15–25 (H) | 206 | 214 | ||||||
|
| |||||||
Electronic Equipment & Instruments – 0.5% |
| |||||||
Itron, Inc., | ||||||||
5.000%, 1–15–26 (H) | 317 | 325 | ||||||
NCR Corp.: | ||||||||
8.125%, 4–15–25 (H) | 165 | 182 | ||||||
5.750%, 9–1–27 (H) | 113 | 118 | ||||||
5.000%, 10–1–28 (H) | 318 | 318 | ||||||
6.125%, 9–1–29 (H) | 144 | 152 | ||||||
5.250%, 10–1–30 (H) | 106 | 106 | ||||||
Paymentsense Ltd., | ||||||||
8.000%, 10–15–25 (G)(H) | GBP | 100 | 135 | |||||
Verisure Holding AB (3-Month EURIBOR plus 500 bps): | ||||||||
5.000%, 4–15–25 (G)(I) | EUR | 300 | 355 | |||||
|
| |||||||
1,691 | ||||||||
|
| |||||||
IT Consulting & Other Services – 0.2% |
| |||||||
Booz Allen Hamilton, Inc., | ||||||||
3.875%, 9–1–28 (H) | $ | 91 | 93 | |||||
Sabre GLBL, Inc. (GTD by Sabre Holdings Corp.): | ||||||||
9.250%, 4–15–25 (H) | 103 | 113 | ||||||
7.375%, 9–1–25 (H) | 42 | 43 | ||||||
Science Applications International Corp., | ||||||||
4.875%, 4–1–28 (H) | 371 | 377 | ||||||
|
| |||||||
626 | ||||||||
|
| |||||||
Semiconductors – 0.0% |
| |||||||
Entegris, Inc., | ||||||||
4.375%, 4–15–28 (H) | 51 | 52 | ||||||
|
| |||||||
Total Information Technology – 1.8% |
| 5,919 | ||||||
Materials | ||||||||
Aluminum – 0.3% |
| |||||||
Constellium N.V., | ||||||||
5.875%, 2–15–26 (H) | 391 | 401 | ||||||
Constellium SE, | ||||||||
5.625%, 6–15–28 (H) | 250 | 255 |
2020 | ANNUAL REPORT | 17 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO MULTI-ASSET INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Aluminum (Continued) |
| |||||||
Novelis Corp. (GTD by Novelis, Inc.), | ||||||||
4.750%, 1–30–30 (H) | $ | 176 | $ | 172 | ||||
|
| |||||||
828 | ||||||||
|
| |||||||
Commodity Chemicals – 0.2% |
| |||||||
NOVA Chemicals Corp.: | ||||||||
4.875%, 6–1–24 (H) | 508 | 504 | ||||||
5.250%, 6–1–27 (H) | 266 | 251 | ||||||
|
| |||||||
755 | ||||||||
|
| |||||||
Construction Materials – 0.5% |
| |||||||
Hillman Group, Inc. (The), | ||||||||
6.375%, 7–15–22 (H) | 1,596 | 1,560 | ||||||
|
| |||||||
Gold – 0.0% |
| |||||||
AngloGold Ashanti Holdings plc, | ||||||||
6.500%, 4–15–40 | 120 | 145 | ||||||
|
| |||||||
Metal & Glass Containers – 0.2% |
| |||||||
ARD Finance S.A. (6.500% Cash or 7.250% PIK), | ||||||||
6.500%, 6–30–27 (H)(J) | 320 | 319 | ||||||
Ardagh Packaging Finance plc and Ardagh Holdings USA, Inc.: | ||||||||
2.125%, 8–15–26 (G)(H) | EUR | 150 | 171 | |||||
4.125%, 8–15–26 (H) | $ | 27 | 27 | |||||
Crown Americas LLC and Crown Americas Capital Corp. IV, | ||||||||
4.500%, 1–15–23 | 24 | 25 | ||||||
Crown Americas LLC and Crown Americas Capital Corp. V, | ||||||||
4.250%, 9–30–26 | 62 | 64 | ||||||
HudBay Minerals, Inc.: | ||||||||
7.250%, 1–15–23 (H) | 65 | 66 | ||||||
7.625%, 1–15–25 (H) | 98 | 100 | ||||||
|
| |||||||
772 | ||||||||
|
| |||||||
Paper Packaging – 0.0% |
| |||||||
Reynolds Group Issuer, Inc., Reynolds Group Issuer LLC and Reynolds Group Issuer (Luxembourg) S.A., | ||||||||
5.125%, 7–15–23 (H) | 60 | 61 | ||||||
|
| |||||||
Paper Products – 0.1% |
| |||||||
American Greetings Corp., | ||||||||
8.750%, 4–15–25 (H) | 362 | 342 | ||||||
|
| |||||||
Precious Metals & Minerals – 0.1% |
| |||||||
Industrias Penoles S.A.B. de C.V., | ||||||||
5.650%, 9–12–49 (H) | 200 | 233 | ||||||
|
| |||||||
Total Materials – 1.4% |
| 4,696 | ||||||
Real Estate | ||||||||
Real Estate Development – 0.1% |
| |||||||
Logan Group Co. Ltd., | ||||||||
5.750%, 1–14–25 | 200 | 201 | ||||||
|
| |||||||
Total Real Estate – 0.1% |
| 201 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Utilities | ||||||||
Electric Utilities – 0.1% |
| |||||||
Adani Transmission Ltd., | ||||||||
4.250%, 5–21–36 | $ | 199 | $ | 198 | ||||
|
| |||||||
Multi-Utilities – 0.1% |
| |||||||
Grupo Energia Bogota S.A. E.S.P., | ||||||||
4.875%, 5–15–30 (H) | 200 | 224 | ||||||
|
| |||||||
Renewable Electricity – 0.2% |
| |||||||
HAT Holdings I LLC and HAT Holdings II LLC (GTD by Hannon Armstrong Sustainable Infrastructure Capital, Inc.): | ||||||||
6.000%, 4–15–25 (H) | 372 | 397 | ||||||
3.750%, 9–15–30 (H) | 98 | 98 | ||||||
|
| |||||||
495 | ||||||||
|
| |||||||
Total Utilities – 0.4% | 917 | |||||||
TOTAL CORPORATE DEBT SECURITIES – 27.0% |
| $ | 89,018 | |||||
(Cost: $94,689) | ||||||||
MORTGAGE-BACKED SECURITIES | ||||||||
Other Mortgage-Backed Securities – 1.8% |
| |||||||
ALM Loan Funding VII R-2 Ltd., Series 2013-7R2A, Class DR2 (3-Month U.S. LIBOR plus 600 bps), | ||||||||
6.275%, 10–15–27 (H)(I) | 700 | 593 | ||||||
ALM Loan Funding XIX LLC, Series 2015-16A, Class D (3-Month U.S. LIBOR plus 510 bps), | ||||||||
5.375%, 7–15–27 (H)(I) | 250 | 222 | ||||||
Ashford Hospitality Trust, Series 2018-ASHF, Class F (1-Month U.S. LIBOR plus 410 bps), | ||||||||
4.252%, 4–15–35 (H)(I) | 600 | 461 | ||||||
Diameter Credit Funding II Ltd., Series 2019-2A, Class A, | ||||||||
3.940%, 1–25–38 (H) | 1,000 | 1,004 | ||||||
Diameter Credit Funding II Ltd., Series 2019-2A, Class B, | ||||||||
4.540%, 1–25–38 (H) | 500 | 501 | ||||||
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class C (3-Month U.S. LIBOR plus 250 bps), | ||||||||
2.775%, 4–15–33 (H)(I) | 250 | 250 | ||||||
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class D (3-Month U.S. LIBOR plus 350 bps), | ||||||||
3.775%, 4–15–33 (H)(I) | 250 | 249 | ||||||
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class E (3-Month U.S. LIBOR plus 645 bps), | ||||||||
8.220%, 4–15–33 (H)(I) | 250 | 221 | ||||||
Highbridge Loan Management Ltd., Series 2014-4A, Class DR (3-Month U.S. LIBOR plus 555 bps), | ||||||||
5.797%, 1–28–30 (H)(I) | 250 | 210 |
MORTGAGE-BACKED SECURITIES (Continued) | Principal | Value | ||||||
Other Mortgage-Backed Securities (Continued) |
| |||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1 (1-Month U.S. LIBOR plus 285 bps), | ||||||||
2.998%, 2–25–23 (H)(I) | $ | 2,100 | $ | 2,050 | ||||
|
| |||||||
5,761 | ||||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES – 1.8% |
| $ | 5,761 | |||||
(Cost: $6,143) |
| |||||||
LOANS (I) | ||||||||
Communication Services |
| |||||||
Advertising – 0.5% |
| |||||||
ABG Intermediate Holdings 2 LLC (ICE LIBOR plus 350 bps), | ||||||||
4.500%, 9–29–24 | 198 | 194 | ||||||
Advantage Sales & Marketing, Inc. (ICE LIBOR plus 325 bps): | ||||||||
3.397%, 7–25–21 | 639 | 627 | ||||||
4.250%, 7–25–21 | 142 | 139 | ||||||
Advantage Sales & Marketing, Inc. (ICE LIBOR plus 650 bps), | ||||||||
7.500%, 7–25–22 | 438 | 420 | ||||||
|
| |||||||
1,380 | ||||||||
|
| |||||||
Alternative Carriers – 0.1% |
| |||||||
Front Range BidCo, Inc. (ICE LIBOR plus 300 bps), | ||||||||
3.147%, 3–9–27 | 184 | 179 | ||||||
|
| |||||||
Broadcasting – 0.5% |
| |||||||
Clear Channel Outdoor Holdings, Inc. (ICE LIBOR plus 350 bps), | ||||||||
3.761%, 8–21–26 | 975 | 885 | ||||||
Nexstar Broadcasting, Inc. (3-Month ICE LIBOR plus 275 bps), | ||||||||
2.905%, 9–19–26 | 240 | 235 | ||||||
Sinclair Television Group, Inc. (ICE LIBOR plus 250 bps), | ||||||||
2.650%, 9–30–26 | 248 | 241 | ||||||
|
| |||||||
1,361 | ||||||||
|
| |||||||
Cable & Satellite – 1.0% |
| |||||||
Intelsat Jackson Holdings S.A., | ||||||||
0.000%, 7–13–21 (M) | 222 | 226 | ||||||
Intelsat Jackson Holdings S.A. (ICE LIBOR plus 375 bps), | ||||||||
8.000%, 11–27–23 (F) | 1,013 | 1,016 | ||||||
Intelsat Jackson Holdings S.A. (ICE LIBOR plus 550 bps), | ||||||||
6.500%, 7–13–21 | 222 | 226 | ||||||
Newco Financing Partnership, | ||||||||
0.000%, 1–31–29 (M) | 125 | 121 | ||||||
Radiate Holdco LLC, | ||||||||
0.000%, 9–11–26 (M) | 250 | 245 | ||||||
UPC Broadband Holding B.V. (3-Month EURIBOR plus 250 bps), | ||||||||
2.500%, 4–30–29 (G) | EUR | 500 | 572 | |||||
UPC Financing Partnership, | ||||||||
0.000%, 1–31–29 (M) | $ | 125 | 121 |
18 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO MULTI-ASSET INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
LOANS (I) (Continued) | Principal | Value | ||||||
Cable & Satellite (Continued) |
| |||||||
Ziggo B.V. (3-Month EURIBOR plus 300 bps), | ||||||||
3.000%, 1–31–29 (G) | EUR | 500 | $ | 571 | ||||
|
| |||||||
3,098 | ||||||||
|
| |||||||
Integrated Telecommunication Services – 1.6% |
| |||||||
Consolidated Communications, Inc., | ||||||||
0.000%, 10–18–27 (M) | $ | 624 | 617 | |||||
eircom Finco S.a.r.l. (3-Month EURIBOR plus 325 bps), | ||||||||
3.000%, 5–15–26 (G) | EUR | 153 | 177 | |||||
Frontier Communications Corp., | ||||||||
0.000%, 3–15–24 (C)(F)(M) | $ | 95 | 90 | |||||
Northwest Fiber LLC (ICE LIBOR plus 550 bps), | ||||||||
5.656%, 5–1–27 | 950 | 947 | ||||||
Telenet International Finance S.a.r.l. (6-Month EURIBOR plus 225 bps), | ||||||||
2.250%, 4–30–29 (G) | EUR | 250 | 288 | |||||
West Corp. (3-Month ICE LIBOR plus 400 bps), | ||||||||
5.000%, 10–10–24 | $ | 2,843 | 2,573 | |||||
Windstream Services LLC, | ||||||||
0.000%, 8–11–27 (M) | 380 | 367 | ||||||
|
| |||||||
5,059 | ||||||||
|
| |||||||
Publishing – 0.1% |
| |||||||
Recorded Books, Inc. (ICE LIBOR plus 425 bps), | ||||||||
4.156%, 8–31–25 | 365 | 362 | ||||||
|
| |||||||
Wireless Telecommunication Service – 0.3% |
| |||||||
Digicel International Finance Ltd. (ICE LIBOR plus 325 bps), | ||||||||
3.800%, 5–27–24 | 430 | 376 | ||||||
Iridium Satellite LLC (ICE LIBOR plus 375 bps), | ||||||||
4.750%, 11–4–26 | 249 | 248 | ||||||
T-Mobile USA, Inc. (ICE LIBOR plus 300 bps), | ||||||||
3.147%, 4–1–27 | 249 | 249 | ||||||
|
| |||||||
873 | ||||||||
|
| |||||||
Total Communication Services – 4.1% |
| 12,312 | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.3% |
| |||||||
Speedster Bidco GmbH (3-Month EURIBOR plus 325 bps), | ||||||||
3.250%, 3–31–27 (G) | EUR | 250 | 280 | |||||
Talbots, Inc. (The) (ICE LIBOR plus 700 bps), | ||||||||
8.000%, 11–28–22 | $ | 632 | 497 | |||||
TRLG Intermediate Holdings LLC, | ||||||||
10.000%, 10–27–22 (F) | 131 | 57 | ||||||
|
| |||||||
834 | ||||||||
|
| |||||||
Automotive Retail – 0.3% |
| |||||||
Belron Finance U.S. LLC (ICE LIBOR plus 250 bps), | ||||||||
2.768%, 10–30–26 | 248 | 245 |
LOANS (I) (Continued) | Principal | Value | ||||||
Automotive Retail (Continued) |
| |||||||
EG Finco Ltd. (3-Month EURIBOR plus 400 bps), | ||||||||
4.000%, 2–5–25 (G) | EUR | 496 | $ | 552 | ||||
|
| |||||||
797 | ||||||||
|
| |||||||
Casinos & Gaming – 0.4% |
| |||||||
Caesars Resort Collection LLC (ICE LIBOR plus 450 bps): | ||||||||
4.647%, 7–20–25 | $ | 167 | 161 | |||||
4.772%, 7–20–25 | 83 | 81 | ||||||
Cosmopolitan of Las Vegas (The) (1-Month U.S. LIBOR plus 525 bps), | ||||||||
5.403%, 11–9–20 | 800 | 799 | ||||||
New Cotai LLC (14.000% Cash or 14.000% PIK), | ||||||||
14.000%, 9–10–25 (J) | 83 | 82 | ||||||
Penn National Gaming, Inc. (ICE LIBOR plus 225 bps), | ||||||||
3.750%, 10–19–23 | 86 | 84 | ||||||
|
| |||||||
1,207 | ||||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.1% |
| |||||||
CIF Times Square Mezz 1 LLC and CPTS Hotel Lessee Mezz 1 LLC (1-Month U.S. LIBOR plus 600 bps), | ||||||||
7.006%, 10–9–20 (F) | 926 | 46 | ||||||
Hotel del Coronado (1-Month U.S. LIBOR plus 500 bps), | ||||||||
5.153%, 8–9–21 | 150 | 151 | ||||||
International Cruise & Excursion Gallery, Inc. (ICE LIBOR plus 525 bps), | ||||||||
6.250%, 6–8–25 | 196 | 186 | ||||||
|
| |||||||
383 | ||||||||
|
| |||||||
Housewares & Specialties – 0.1% |
| |||||||
KIK Custom Products, Inc. (ICE LIBOR plus 400 bps), | ||||||||
5.000%, 5–15–23 | 464 | 460 | ||||||
|
| |||||||
Leisure Facilities – 0.3% |
| |||||||
Alterra Mountain Co. (ICE LIBOR plus 450 bps), | ||||||||
5.500%, 8–1–26 (C) | 249 | 246 | ||||||
United PF Holdings LLC (ICE LIBOR plus 400 bps), | ||||||||
4.220%, 12–30–26 | 545 | 475 | ||||||
United PF Holdings LLC (ICE LIBOR plus 850 bps), | ||||||||
9.500%, 11–12–26 (C) | 136 | 135 | ||||||
|
| |||||||
856 | ||||||||
|
| |||||||
Leisure Products – 0.1% |
| |||||||
GT Polaris, Inc. (ICE LIBOR plus 400 bps), | ||||||||
5.000%, 8–4–27 | 250 | 248 | ||||||
|
| |||||||
Restaurants – 0.0% |
| |||||||
NPC International, Inc. (ICE LIBOR plus 750 bps), | ||||||||
8.500%, 4–18–25 (F) | 572 | 26 | ||||||
|
|
LOANS (I) (Continued) | Principal | Value | ||||||
Specialized Consumer Services – 0.2% |
| |||||||
Asurion LLC (ICE LIBOR plus 600 bps), | ||||||||
6.647%, 8–4–25 | $ | 626 | $ | 626 | ||||
|
| |||||||
Specialty Stores – 1.0% |
| |||||||
Academy Sports + Outdoors (ICE LIBOR plus 400 bps), | ||||||||
5.000%, 7–2–22 | 500 | 487 | ||||||
Jo-Ann Stores, Inc. (ICE LIBOR plus 500 bps), | ||||||||
6.000%, 10–16–23 | 701 | 597 | ||||||
Jo-Ann Stores, Inc. (ICE LIBOR plus 925 bps), | ||||||||
10.250%, 5–21–24 (C) | 671 | 523 | ||||||
Party City Holdings, Inc., | ||||||||
0.000%, 8–19–22 (M) | 210 | 171 | ||||||
Party City Holdings, Inc. (ICE LIBOR plus 250 bps), | ||||||||
3.250%, 8–19–22 | 262 | 213 | ||||||
PETCO Animal Supplies, Inc. (ICE LIBOR plus 325 bps), | ||||||||
4.250%, 1–26–23 | 477 | 437 | ||||||
Staples, Inc. (ICE LIBOR plus 500 bps), | ||||||||
5.251%, 4–12–26 | 919 | 853 | ||||||
|
| |||||||
3,281 | ||||||||
|
| |||||||
Textiles – 0.2% |
| |||||||
SIWF Holdings, Inc. (ICE LIBOR plus 425 bps), | ||||||||
4.397%, 6–15–25 | 690 | 661 | ||||||
|
| |||||||
Tires & Rubber – 0.1% |
| |||||||
Wheel Pros, Inc. (ICE LIBOR plus 475 bps), | ||||||||
4.897%, 4–4–25 | 244 | 238 | ||||||
|
| |||||||
Total Consumer Discretionary – 3.1% |
| 9,617 | ||||||
Consumer Staples |
| |||||||
Packaged Foods & Meats – 0.3% |
| |||||||
Froneri U.S., Inc. (ICE LIBOR plus 225 bps), | ||||||||
2.397%, 1–31–27 | 330 | 317 | ||||||
Shearer’s Foods LLC (ICE LIBOR plus 400 bps), | ||||||||
4.750%, 9–14–27 | 159 | 158 | ||||||
Upfield B.V. (3-Month EURIBOR plus 350 bps), | ||||||||
3.500%, 7–2–25 (G) | EUR | 250 | 284 | |||||
|
| |||||||
759 | ||||||||
|
| |||||||
Soft Drinks – 0.2% |
| |||||||
Refresco Holding B.V., | ||||||||
0.000%, 3–29–25 (G)(M) | 500 | 580 | ||||||
|
| |||||||
Total Consumer Staples – 0.5% |
| 1,339 | ||||||
Energy |
| |||||||
Coal & Consumable Fuels – 0.2% |
| |||||||
Foresight Energy LLC (ICE LIBOR plus 800 bps), | ||||||||
9.500%, 6–29–27 | $ | 262 | 276 |
2020 | ANNUAL REPORT | 19 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO MULTI-ASSET INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
LOANS (I) (Continued) | Principal | Value | ||||||
Coal & Consumable Fuels (Continued) |
| |||||||
Westmoreland Coal Co. (ICE LIBOR plus 650 bps), | ||||||||
9.250%, 3–15–22 | $ | 101 | $ | 91 | ||||
Westmoreland Mining Holdings LLC (15.000% Cash or 15.000% PIK), | ||||||||
15.000%, 3–15–29 (J) | 532 | 292 | ||||||
|
| |||||||
659 | ||||||||
|
| |||||||
Oil & Gas Drilling – 0.1% |
| |||||||
KCA Deutag U.S. Finance LLC (ICE LIBOR plus 675 bps), | ||||||||
7.750%, 2–28–23 | 490 | 224 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.1% |
| |||||||
ChampionX Holding, Inc. (ICE LIBOR plus 500 bps), | ||||||||
6.000%, 6–3–27 (C) | 252 | 251 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.0% |
| |||||||
California Resources Corp. (ICE LIBOR plus 1,037.50 bps), | ||||||||
11.375%, 12–31–21 (F) | 435 | 8 | ||||||
California Resources Corp. (ICE LIBOR plus 475 bps), | ||||||||
5.750%, 12–31–22 (F) | 323 | 116 | ||||||
|
| |||||||
124 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 0.2% |
| |||||||
EPIC Crude Services L.P. (ICE LIBOR plus 500 bps), | ||||||||
5.260%, 3–1–26 | 900 | 634 | ||||||
|
| |||||||
Total Energy – 0.6% |
| 1,892 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.2% |
| |||||||
Edelman Financial Holdings II, Inc. (ICE LIBOR plus 675 bps), | ||||||||
6.895%, 7–20–26 | 689 | 657 | ||||||
HarbourVest Partners LLC (ICE LIBOR plus 225 bps), | ||||||||
2.525%, 3–1–25 (C) | 198 | 196 | ||||||
|
| |||||||
853 | ||||||||
|
| |||||||
Financial Exchanges & Data – 0.1% |
| |||||||
Refinitiv U.S. Holdings, Inc. (3-Month EURIBOR plus 400 bps), | ||||||||
3.250%, 10–1–25 (G) | EUR | 137 | 159 | |||||
|
| |||||||
Insurance Brokers – 0.1% |
| |||||||
Ryan Specialty Group LLC (ICE LIBOR plus 325 bps), | ||||||||
4.000%, 9–1–27 | $ | 250 | 247 | |||||
|
| |||||||
Investment Banking & Brokerage – 0.2% |
| |||||||
ION Trading Finance Ltd. (3-Month EURIBOR plus 325 bps), | ||||||||
4.250%, 11–21–24 (G) | EUR | 248 | 285 | |||||
ION Trading Finance Ltd. (ICE LIBOR plus 400 bps), | ||||||||
5.000%, 11–21–24 | $ | 275 | 269 | |||||
|
| |||||||
554 | ||||||||
|
|
LOANS (I) (Continued) | Principal | Value | ||||||
Multi-Sector Holdings – 0.1% |
| |||||||
THG Operations Holdings Ltd. (3-Month EURIBOR plus 450 bps), | ||||||||
4.500%, 12–11–26 (G) | EUR | 250 | $ | 291 | ||||
|
| |||||||
Other Diversified Financial Services – 0.2% |
| |||||||
AqGen Ascensus, Inc. (ICE LIBOR plus 400 bps), | ||||||||
5.000%, 12–3–26 | $ | 649 | 644 | |||||
|
| |||||||
Property & Casualty Insurance – 0.5% |
| |||||||
Alera Group Intermediate Holdings, Inc. (3-Month ICE LIBOR plus 450 bps), | ||||||||
4.147%, 8–1–25 (C) | 248 | 244 | ||||||
Amynta Agency Borrower, Inc. (ICE LIBOR plus 400 bps), | ||||||||
4.647%, 2–28–25 | 1,486 | 1,365 | ||||||
|
| |||||||
1,609 | ||||||||
|
| |||||||
Specialized Finance – 0.4% |
| |||||||
Gulf Finance LLC (ICE LIBOR plus 525 bps), | ||||||||
6.250%, 8–25–23 | 891 | 626 | ||||||
Lealand Finance Co. B.V., | ||||||||
0.000%, 6–30–24 (C)(M) | 4 | 3 | ||||||
Lealand Finance Co. B.V. (ICE LIBOR plus 300 bps), | ||||||||
3.147%, 6–30–24 (C) | 12 | 10 | ||||||
MA FinanceCo. LLC (ICE LIBOR plus 275 bps), | ||||||||
2.647%, 6–21–24 | 43 | 41 | ||||||
VMED O2 UK Holdco 4 Ltd., | ||||||||
0.000%, 1–10–29 (G)(M) | EUR | 500 | 577 | |||||
|
| |||||||
1,257 | ||||||||
|
| |||||||
Total Financials – 1.8% |
| 5,614 | ||||||
Health Care |
| |||||||
Biotechnology – 0.1% |
| |||||||
Grifols S.A. (3-Month EURIBOR plus 225 bps), | ||||||||
2.250%, 11–15–27 (G) | 248 | 287 | ||||||
|
| |||||||
Health Care Equipment – 0.1% |
| |||||||
Exactech, Inc. (ICE LIBOR plus 375 bps), | ||||||||
4.750%, 2–14–25 | $ | 244 | 214 | |||||
LifeScan Global Corp. (3-Month ICE LIBOR plus 950 bps), | ||||||||
10.675%, 10–1–25 | 107 | 93 | ||||||
|
| |||||||
307 | ||||||||
|
| |||||||
Health Care Facilities – 0.2% |
| |||||||
BW NHHC Holdco, Inc. (ICE LIBOR plus 500 bps), | ||||||||
5.270%, 5–15–25 | 138 | 118 | ||||||
Surgery Center Holdings, Inc. (ICE LIBOR plus 325 bps), | ||||||||
4.250%, 8–31–24 | 153 | 144 | ||||||
Surgery Center Holdings, Inc. (ICE LIBOR plus 800 bps), | ||||||||
9.000%, 8–31–24 | 49 | 49 |
LOANS (I) (Continued) | Principal | Value | ||||||
Health Care Facilities (Continued) |
| |||||||
Team Health Holdings, Inc. (ICE LIBOR plus 275 bps), | ||||||||
3.750%, 2–6–24 | $ | 185 | $ | 155 | ||||
|
| |||||||
466 | ||||||||
|
| |||||||
Health Care Services – 1.1% |
| |||||||
Elysium Healthcare Holdings 3 Ltd. (ICE LIBOR plus 525 bps), | ||||||||
5.332%, 4–4–25 (G) | GBP | 500 | 582 | |||||
Heartland Dental LLC (ICE LIBOR plus 375 bps), | ||||||||
3.647%, 4–30–25 | $ | 1,093 | 1,004 | |||||
LSCS Holdings, Inc. (ICE LIBOR plus 425 bps): | ||||||||
4.470%, 3–9–25 (C) | 165 | 152 | ||||||
4.470%, 3–17–25 (C) | 42 | 40 | ||||||
U.S. Renal Care, Inc. (3-Month ICE LIBOR plus 500 bps), | ||||||||
5.147%, 6–26–26 | 1,562 | 1,519 | ||||||
Vivalto Sante Investissement S.A. (3-Month EURIBOR plus 325 bps), | ||||||||
3.000%, 7–9–26 (G) | EUR | 250 | 286 | |||||
|
| |||||||
3,583 | ||||||||
|
| |||||||
Health Care Technology – 0.3% |
| |||||||
BioClinica Holding I L.P. (ICE LIBOR plus 425 bps), | ||||||||
5.250%, 10–20–23 | $ | 337 | 332 | |||||
Verscend Holding Corp. (ICE LIBOR plus 450 bps), | ||||||||
4.647%, 8–27–25 | 586 | 579 | ||||||
|
| |||||||
911 | ||||||||
|
| |||||||
Pharmaceuticals – 0.2% |
| |||||||
Advanz Pharma Corp. Ltd., | ||||||||
0.000%, 9–6–24 (M) | 39 | 37 | ||||||
Concordia International Corp. (ICE LIBOR plus 550 bps), | ||||||||
6.500%, 9–6–24 | 192 | 186 | ||||||
Endo Luxembourg Finance Co. I S.a.r.l. (ICE LIBOR plus 425 bps), | ||||||||
5.000%, 4–27–24 | 102 | 97 | ||||||
Nidda Healthcare Holding GmbH (3-Month EURIBOR plus 350 bps), | ||||||||
3.500%, 8–21–26 (G) | EUR | 250 | 286 | |||||
|
| |||||||
606 | ||||||||
|
| |||||||
Total Health Care – 2.0% |
| 6,160 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 0.3% |
| |||||||
Bleriot U.S. Bidco, Inc. (ICE LIBOR plus 475 bps), | ||||||||
4.970%, 11–1–26 | $ | 156 | 155 | |||||
TransDigm, Inc. (ICE LIBOR plus 225 bps), | ||||||||
2.397%, 12–9–25 | 247 | 234 | ||||||
Tronair, Inc. (1-Month U.S. LIBOR plus 475 bps), | ||||||||
5.750%, 9–8–23 (C) | 336 | 262 | ||||||
|
| |||||||
651 | ||||||||
|
|
20 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO MULTI-ASSET INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
LOANS (I) (Continued) | Principal | Value | ||||||
Airlines – 0.1% |
| |||||||
Mileage Plus Holdings LLC (ICE LIBOR plus 525 bps), | ||||||||
6.250%, 6–20–27 | $ | 177 | $ | 180 | ||||
|
| |||||||
Building Products – 0.2% |
| |||||||
C.H.I. Overhead Doors, Inc. (ICE LIBOR plus 375 bps), | ||||||||
4.250%, 7–31–22 | 528 | 522 | ||||||
|
| |||||||
Construction & Engineering – 0.0% |
| |||||||
McDermott Technology Americas, Inc. (ICE LIBOR plus 400 bps), | ||||||||
1.147%, 6–30–25 (F) | 153 | 115 | ||||||
McDermott Technology Americas, Inc. (ICE LIBOR plus 500 bps), | ||||||||
0.000%, 5–10–25 (F)(M) | 472 | 139 | ||||||
WaterBridge Midstream Operating LLC, | ||||||||
0.000%, 6–21–26 (M) | 115 | 95 | ||||||
|
| |||||||
349 | ||||||||
|
| |||||||
Electrical Components & Equipment – 0.0% |
| |||||||
Vertiv Group Corp. (ICE LIBOR plus 300 bps), | ||||||||
3.157%, 3–2–27 | 97 | 95 | ||||||
|
| |||||||
Environmental & Facilities Services – 0.1% |
| |||||||
SMI Acquisition, Inc. (ICE LIBOR plus 375 bps), | ||||||||
4.750%, 11–1–24 | 243 | 187 | ||||||
U.S. Ecology, Inc. (ICE LIBOR plus 250 bps), | ||||||||
2.649%, 11–1–26 (C) | 17 | 17 | ||||||
|
| |||||||
204 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.3% |
| |||||||
PAE Holding Corp. (ICE LIBOR plus 550 bps), | ||||||||
6.500%, 10–20–22 | 1,050 | 1,041 | ||||||
PAE Holding Corp. (ICE LIBOR plus 950 bps), | ||||||||
10.500%, 10–20–23 | 59 | 57 | ||||||
|
| |||||||
1,098 | ||||||||
|
| |||||||
Industrial Machinery – 0.4% |
| |||||||
Form Technologies LLC (ICE LIBOR plus 325 bps), | ||||||||
4.250%, 1–28–22 | 346 | 310 | ||||||
Form Technologies LLC (ICE LIBOR plus 850 bps), | ||||||||
9.500%, 1–30–23 | 1,914 | 1,080 | ||||||
|
| |||||||
1,390 | ||||||||
|
| |||||||
Research & Consulting Services – 0.1% |
| |||||||
APCO Holdings, Inc. (ICE LIBOR plus 550 bps), | ||||||||
5.650%, 6–8–25 (C) | 175 | 159 | ||||||
Guidehouse LLP (1-Month ICE LIBOR plus 450 bps), | ||||||||
4.647%, 5–1–25 | 247 | 245 | ||||||
|
| |||||||
404 | ||||||||
|
|
LOANS (I) (Continued) | Principal | Value | ||||||
Security & Alarm Services – 0.0% |
| |||||||
Garda World Security Corp. (ICE LIBOR plus 475 bps), | ||||||||
4.900%, 10–30–26 | $ | 164 | $ | 163 | ||||
|
| |||||||
Total Industrials – 1.5% |
| 5,056 | ||||||
Information Technology |
| |||||||
Application Software – 0.9% |
| |||||||
Applied Systems, Inc. (ICE LIBOR plus 700 bps), | ||||||||
8.000%, 9–19–25 | 334 | 337 | ||||||
ION Corporate Solutions Finance S.a.r.l. (1-Month EURIBOR plus 425 bps), | ||||||||
4.250%, 10–24–25 (G) | EUR | 347 | 398 | |||||
Mitchell International, Inc. (ICE LIBOR plus 725 bps), | ||||||||
7.397%, 11–30–25 | $ | 208 | 196 | |||||
Riverbed Technology, Inc. (ICE LIBOR plus 325 bps), | ||||||||
4.250%, 4–24–22 | 1,193 | 1,066 | ||||||
Seattle Spinco, Inc. (ICE LIBOR plus 275 bps), | ||||||||
2.647%, 6–21–24 | 290 | 275 | ||||||
Ultimate Software Group, Inc. (The) (ICE LIBOR plus 400 bps), | ||||||||
4.750%, 5–3–26 | 192 | 191 | ||||||
Ultimate Software Group, Inc. (The) (ICE LIBOR plus 675 bps), | ||||||||
7.500%, 5–3–27 | 102 | 104 | ||||||
VS Buyer LLC (3-Month ICE LIBOR plus 325 bps), | ||||||||
3.397%, 3–2–27 | 249 | 244 | ||||||
|
| |||||||
2,811 | ||||||||
|
| |||||||
Communications Equipment – 0.4% |
| |||||||
MLN U.S. Holdco LLC (ICE LIBOR plus 450 bps), | ||||||||
4.656%, 11–30–25 | 976 | 831 | ||||||
MLN U.S. Holdco LLC (ICE LIBOR plus 875 bps), | ||||||||
8.906%, 11–30–26 | 470 | 247 | ||||||
|
| |||||||
1,078 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 0.5% |
| |||||||
Cardtronics USA, Inc. (ICE LIBOR plus 400 bps), | ||||||||
5.000%, 6–24–27 (C) | 346 | 344 | ||||||
Cyxtera DC Holdings, Inc. (ICE LIBOR plus 300 bps), | ||||||||
8.250%, 5–1–25 | 570 | 293 | ||||||
Cyxtera DC Holdings, Inc. (ICE LIBOR plus 325 bps), | ||||||||
4.000%, 5–1–24 | 793 | 680 | ||||||
Output Services Group, Inc. (ICE LIBOR plus 425 bps), | ||||||||
4.689%, 3–27–24 | 244 | 175 | ||||||
Sedgwick Claims Management Services, Inc. (ICE LIBOR plus 400 bps), | ||||||||
4.147%, 9–3–26 | 247 | 243 | ||||||
|
| |||||||
1,735 | ||||||||
|
|
LOANS (I) (Continued) | Principal | Value | ||||||
Electronic Equipment & Instruments – 0.2% |
| |||||||
Verisure Holding AB (3-Month EURIBOR plus 400 bps), | ||||||||
4.000%, 7–14–26 (G) | EUR | 500 | $ | 585 | ||||
|
| |||||||
Internet Services & Infrastructure – 0.2% |
| |||||||
Informatica LLC, | ||||||||
7.125%, 2–25–25 | $ | 642 | 651 | |||||
|
| |||||||
IT Consulting & Other Services – 0.3% |
| |||||||
Milano Acquisition Corp., | ||||||||
0.000%, 8–17–27 (M) | 919 | 907 | ||||||
|
| |||||||
Systems Software – 0.2% |
| |||||||
DCert Buyer, Inc. (ICE LIBOR plus 400 bps), | ||||||||
4.147%, 10–16–26 | 498 | 491 | ||||||
Park Place Technologies LLC (ICE LIBOR plus 400 bps), | ||||||||
5.000%, 3–29–25 | 244 | 241 | ||||||
|
| |||||||
732 | ||||||||
|
| |||||||
Total Information Technology – 2.7% |
| 8,499 | ||||||
Materials |
| |||||||
Construction Materials – 0.4% |
| |||||||
Associated Asphalt Partners LLC (ICE LIBOR plus 525 bps), | ||||||||
6.250%, 4–5–24 | 169 | 134 | ||||||
Hillman Group, Inc. (The) (ICE LIBOR plus 350 bps), | ||||||||
4.147%, 5–31–25 | 943 | 920 | ||||||
LSF11 Skyscraper Holdco S.a.r.l., | ||||||||
0.000%, 8–7–27 (G)(M) | EUR | 250 | 290 | |||||
|
| |||||||
1,344 | ||||||||
|
| |||||||
Forest Products – 0.1% |
| |||||||
Asplundh Tree Expert LLC (3-Month U.S. LIBOR plus 250 bps), | ||||||||
2.655%, 9–4–27 | $ | 250 | 249 | |||||
|
| |||||||
Metal & Glass Containers – 0.1% |
| |||||||
Graham Packaging Co., Inc. (ICE LIBOR plus 375 bps), | ||||||||
4.500%, 8–4–27 | 250 | 248 | ||||||
|
| |||||||
Specialty Chemicals – 0.2% |
| |||||||
Archroma Finance S.a.r.l. (3-Month ICE LIBOR plus 425 bps), | ||||||||
5.478%, 7–28–24 (C) | 344 | 326 | ||||||
Diamond BC B.V. (ICE LIBOR plus 500 bps), | ||||||||
6.000%, 9–6–24 (C) | 250 | 249 | ||||||
|
| |||||||
575 | ||||||||
|
| |||||||
Total Materials – 0.8% |
| 2,416 |
2020 | ANNUAL REPORT | 21 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO MULTI-ASSET INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
LOANS (I) (Continued) | Principal | Value | ||||||
Real Estate |
| |||||||
Retail REITs – 0.3% |
| |||||||
Inland Retail Real Estate Trust, Inc. (1-Month U.S. LIBOR plus 650 bps), | ||||||||
7.000%, 1–1–22 | $ | 812 | $ | 823 | ||||
|
| |||||||
Total Real Estate – 0.3% |
| 823 | ||||||
Utilities |
| |||||||
Multi-Utilities – 0.1% |
| |||||||
Pacific Gas and Electric Co. (ICE LIBOR plus 225 bps), | ||||||||
5.500%, 1–1–22 | 249 | 244 | ||||||
|
| |||||||
Total Utilities – 0.1% |
| 244 | ||||||
TOTAL LOANS – 17.5% |
| $ | 53,972 | |||||
(Cost: $59,444) |
SHORT-TERM SECURITIES | Shares | Value | ||||||
Money Market Funds (O) – 4.3% | ||||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | ||||||||
0.040% (N) | 7,595 | $ | 7,595 | |||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, | ||||||||
0.030% | 6,210 | 6,210 | ||||||
|
| |||||||
13,805 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 4.3% |
| $ | 13,805 | |||||
(Cost: $13,805) | ||||||||
TOTAL INVESTMENT SECURITIES – 103.0% |
| $ | 333,573 | |||||
(Cost: $335,682) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (3.0)% |
| (9,586 | ) | |||||
NET ASSETS – 100.0% |
| $ | 323,987 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | Listed on an exchange outside the United States. |
(B) | No dividends were paid during the preceding 12 months. |
(C) | Securities whose value was determined using significant unobservable inputs. |
(D) | All or a portion of securities with an aggregate value of $6,833 are on loan. |
(E) | Restricted securities. At September 30, 2020, the Fund owned the following restricted securities: |
Security | Acquisition Date(s) | Shares | Cost | Value | ||||||||||||||||
Foresight Energy L.P. | 6–30–20 – 9–8–20 | 31 | $ | 611 | $ | 444 | ||||||||||||||
New Cotai Participation Corp., Class B | 9–29–20 | 318 | 2,791 | 1,585 | ||||||||||||||||
Party City Holdco, Inc. | 7–30–20 | 7 | 12 | 17 | ||||||||||||||||
Pinnacle Agriculture Enterprises LLC | 7–17–20 | 1 | 106 | — | ||||||||||||||||
Studio City International Holdings Ltd. ADR | 8–5–20 | 15 | 227 | 235 | ||||||||||||||||
Targa Resources Corp., 9.500% | 10–24–17 | 1 | 1,414 | 1,332 | ||||||||||||||||
Principal | ||||||||||||||||||||
Sanchez Energy Corp., 0.000%, 02–15–23 | 6–30–20 | $ | 111 | — | — | |||||||||||||||
|
| |||||||||||||||||||
$ | 5,161 | $ | 3,613 | |||||||||||||||||
|
|
The total value of these securities represented 1.1% of net assets at September 30, 2020. |
(F) | Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
(G) | Principal amounts are denominated in the indicated foreign currency, where applicable (EUR - Euro and GBP - British Pound). |
(H) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020 the total value of these securities amounted to $83,909 or 25.9% of net assets. |
(I) | Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2020. Description of the reference rate and spread, if applicable, are included in the security description. |
(J) | Payment-in-kind bond which may pay interest in additional par and/or in cash. Rates shown are the current rate and possible payment rates. |
22 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO MULTI-ASSET INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
(K) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at September 30, 2020. |
(L) | Zero coupon bond. |
(M) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(N) | Investment made with cash collateral received from securities on loan. |
(O) | Rate shown is the annualized 7-day yield at September 30, 2020. |
The following forward foreign currency contracts were outstanding at September 30, 2020:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||
British Pound | 890 | U.S. Dollar | 1,137 | 1–29–21 | JPMorgan Securities LLC | $ | — | $ | 12 | |||||||||||||||||
Euro | 4,330 | U.S. Dollar | 5,072 | 1–29–21 | JPMorgan Securities LLC | — | 20 | |||||||||||||||||||
Euro | 5,072 | U.S. Dollar | 6,571 | 9–30–21 | JPMorgan Securities LLC | 575 | — | |||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 575 | $ | 32 | |||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of September 30, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Communication Services | $ | 4,062 | $ | 1,962 | $ | — | ||||||
Consumer Discretionary | 1,986 | 4,805 | 1,585 | |||||||||
Consumer Staples | 9,937 | 3,725 | — | |||||||||
Energy | — | 5,055 | 444 | |||||||||
Financials | 9,627 | 18,104 | — | |||||||||
Health Care | 6,488 | 12,867 | — | |||||||||
Industrials | 5,730 | 7,233 | — | |||||||||
Information Technology | 6,241 | 11,032 | — | |||||||||
Materials | 1,890 | 4,259 | — | |||||||||
Real Estate | 18,991 | 12,735 | — | |||||||||
Utilities | 2,607 | 9,456 | — | |||||||||
Total Common Stocks | $ | 67,559 | $ | 91,233 | $ | 2,029 | ||||||
Preferred Stocks | — | 3,243 | — | |||||||||
Asset-Backed Securities | — | 6,953 | — | |||||||||
Corporate Debt Securities | — | 89,018 | — | |||||||||
Mortgage-Backed Securities | — | 5,761 | — | |||||||||
Loans | — | 50,725 | 3,247 | |||||||||
Short-Term Securities | 13,805 | — | — | |||||||||
Total | $ | 81,364 | $ | 246,933 | $ | 5,276 | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 575 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 32 | $ | — |
2020 | ANNUAL REPORT | 23 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO MULTI-ASSET INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Common Stocks | Preferred Stocks | Loans | ||||||||||
Beginning Balance 10–1–19 | $ | — | $ | 9 | $ | 4,842 | ||||||
Net realized gain (loss) | (545 | ) | — | (66 | ) | |||||||
Net change in unrealized appreciation (depreciation) | (860 | ) | — | 242 | ||||||||
Purchases | 2,793 | — | 1,758 | |||||||||
Sales | — | (9 | ) | (1,398 | ) | |||||||
Amortization/Accretion of premium/discount | — | — | 7 | |||||||||
Transfers into Level 3 during the period | 641 | — | 655 | |||||||||
Transfers out of Level 3 during the period | — | — | (2,793 | ) | ||||||||
|
| |||||||||||
Ending Balance 9–30–20 | $ | 2,029 | $ | — | $ | 3,247 | ||||||
|
| |||||||||||
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 9–30–20 | $ | (860 | ) | $ | — | $ | 240 | |||||
|
|
Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information.
Information about Level 3 fair value measurements:
Fair Value at 9-30-20 | Valuation Technique(s) | Unobservable Input(s) | Input Value(s) | |||||||||
Assets | ||||||||||||
Common Stocks | $ | 1,585 | Market approach | Illiquidity discount | 10% | |||||||
444 | Market approach | Illiquidity discount | 30% | |||||||||
Loans | 3,247 | Third-party vendor service | Broker quotes | N/A |
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
CLO = Collateralized Loan Obligation
EURIBOR = Euro Interbank Offered Rate
GTD = Guaranteed
ICE = Intercontinental Exchange
LIBOR = London Interbank Offered Rate
PIK = Payment in kind
REIT = Real Estate Investment Trust
Country Diversification | ||||
(as a % of net assets) |
| |||
United States | 56.6% | |||
United Kingdom | 6.2% | |||
France | 5.0% | |||
Germany | 4.1% | |||
Japan | 3.0% | |||
Canada | 2.6% | |||
Netherlands | 2.1% | |||
Taiwan | 1.9% | |||
Luxembourg | 1.9% |
Country Diversification (Continued) | ||||
Cayman Islands | 1.7% | |||
Switzerland | 1.6% | |||
South Korea | 1.5% | |||
Hong Kong | 1.5% | |||
Italy | 1.2% | |||
Singapore | 1.0% | |||
Other Countries | 6.8% | |||
Other+ | 1.3% |
+ | Includes liabilities (net of cash and other assets), and cash equivalents |
See Accompanying Notes to Financial Statements.
24 | ANNUAL REPORT | 2020 |
Table of Contents
MANAGEMENT DISCUSSION | IVY APOLLO STRATEGIC INCOME FUND |
(UNAUDITED)
The Ivy Apollo Strategic Income Fund (“Fund”) is managed overall by Ivy Investment Management Company, which has retained Apollo Credit Management, LLC to sub-advise the Fund’s total return strategy sleeve. Below, the portfolio manager of the global bond sleeve of the Fund, Mark G. Beischel, CFA, discusses positioning, performance and results for the fiscal year ended September 30, 2020. Mr. Beischel has managed the Fund since inception on October 1, 2015, and has 27 years of industry experience.
Fiscal Year Performance
For the 12 Months Ended September 30, 2020 | ||||
Ivy Apollo Strategic Income Fund | 3.84% | |||
(Class A shares at net asset value) | ||||
Ivy Apollo Strategic Income Fund | -2.14% | |||
(Class A shares including sales charges) | ||||
Benchmark(s) and Morningstar Category | ||||
50% Bloomberg Barclays U.S. Universal Index + 50% ICE BofA U.S. High Yield Index* | 4.67% | |||
(generally reflects performance of U.S. dollar-denominated taxable bonds that are rated either investment-grade or high yield; includes U.S. Treasury bonds, investment-grade and high yield U.S. corporate bonds, mortgage-backed securities, and Eurodollar bonds; and generally reflects the performance of securities representing the high-yield sector of the bond market) |
| |||
50% Bloomberg Barclays Global Credit 1-10 Year Index Hedged USD + 50% ICE BofA US High Yield Index* | 3.40% | |||
(generally reflects the performance of the global bond market with a hedged component intended to reduce the index’s currency risk and the performance of securities representing the high-yield sector of the bond market) |
| |||
Bloomberg Barclays U.S. Universal Index | 6.68% | |||
(generally reflects performance of U.S. dollar-denominated taxable bonds that are rated either investment-grade or high yield; includes U.S. Treasury bonds, investment-grade, and high yield U.S. corporate bonds, mortgage-backed securities, and Eurodollar bonds) |
| |||
ICE BofA U.S. High Yield Index | 2.30% | |||
(generally reflects the performance of securities representing the high-yield sector of the bond market) |
| |||
Bloomberg Barclays Global Credit 1-10 Year Hedged Index | 4.35% | |||
(generally reflects the performance of securities representing the global bond market with a hedged component intended to reduce the index’s currency risk) |
| |||
Morningstar Multisector Bond Category Average | 2.18% | |||
(generally reflects the performance of the universe of funds with similar investment objectives) |
|
Please note that Fund returns include applicable fees and expenses, while index returns do not include any such fees. The performance discussion below is at net asset value (NAV).
* | Effective August 2020, the Fund’s benchmark index changed from the 50% Bloomberg Barclays Global Credit 1-10 Year Index Hedged USD + 50% ICE BofA US High Yield Index to the 50% Bloomberg Barclays U.S. Universal Index + 50% ICE BofA U.S. High Yield Index. The Fund’s investment manager believes the new index more accurately represents the types of holdings that the Fund invests in. Both indexes are shown in this annual report for comparative purposes. |
One full credit cycle in one quarter
In the fourth quarter of calendar year 2019 the financial markets reacted positively as political conflicts, trade uncertainty and global growth concerns waned. The macro environment stabilized with indicators of growth in China and Europe improving, albeit slowly. Other positive indicators were the announcement of Phase One of the U.S.-China trade deal, United States-Mexico-Canada Agreement (USMCA) passing in Congress and going into effect in 2020, less Brexit uncertainty with a newly appointed British Prime Minister, and finally the Federal Open Market Committee making it clear it was unlikely to hike interest rates in 2020.
In the U.S., the normalization of the Federal Reserve’s (Fed) balance sheet ended in the third quarter of calendar year 2019 with the Fed stating its intention to reinvest maturing U.S. Treasuries and mortgage-backed securities (MBS). The Fed also announced it would start expanding the balance sheet to better align it with the size of nominal gross domestic product (GDP). The Fed cut the federal funds rate by 25 basis points (bps) in October 2019 to 1.50%. Finally, stress in short-term funding during the last quarter of calendar year 2019 led the Fed to inject cash into the system to calm year-end funding pressures.
The first two months in calendar year 2020 were strong as the U.S.-China trade deal was finally signed in January. Business confidence was improving and optimistic, while job growth was solid, as it beat expectations and the unemployment rate was at a historical low. The stock market made new records with consumer confidence elevated. The outlook for calendar year 2020 was for stable global growth.
2020 | ANNUAL REPORT | 25 |
Table of Contents
Unfortunately, the rise of COVID-19 that began in late November 2019 and spread throughout China, Asia, Europe, and ultimately the U.S. in early March, dramatically impacted the overall picture for global growth, capital markets and financial stability. This led to an immediate decline in global GDP output, massive job losses and enormous reductions on wealth. The fiscal and monetary responses were massive with the Fed cutting interest rates to zero and providing U.S. dollar liquidity to other central banks, money market funds and corporate credit. It also started unlimited quantitative easing with large purchases of U.S. Treasuries and MBS. The Fed’s balance increased by $1 trillion in one week. Most central banks indicated they would respond as needed to maintain operations and avoid dysfunctional financial markets during the crisis, and they kept policies extremely accommodative as their economies recovered. The monetary response was just as impressive. A spending bill of more than $2 trillion passed the U.S. Senate and House of the Representatives after last minute negotiations, ultimately bridging the effects of “social distancing.”
In effect, the market witnessed a full credit cycle in one quarter. Credit spreads compressed back to pre-COVID-19 levels after widening in March. We have never seen a health crisis morph into an economic crisis by virtue of a government mandated full-stop shutdown. The National Bureau of Economic Research recently declared that the recession began in February. A clean V-shaped U.S. economic recovery was hopeful at best as credit continued to be at the mercy of COVID-19-related news, both negative and positive.
Subsequently, in September 2020, the Organization for Economic Cooperation and Development (OECD) upgraded its forecast for global economic growth to a decline of 4.5%, up from earlier forecasts of minus 6.0%. China, with growth expected at 1.8%, is the only G20 country the OECD forecasts to grow in calendar year 2020.
Fixed-income investment returns have generally remained positive year to date in calendar year 2020, as 10-year U.S. Treasury yields have traded in a tight 25 bps range after the volatility during the first half of calendar year 2020. The U.S. Treasury curve steepened slightly after Fed Chair Jerome Powell used his speech at the Jackson Hole Symposium at the end of August 2020 to signal sustained looser monetary conditions. Specifically, he indicated that the Fed would change its interpretation of its price-stability mandate to target “inflation that averages 2% over time,” thus allowing for “inflation moderately above 2%” after periods of low inflation.
Performance and seeking low volatility positioning
The Fund outperformed its Morningstar peer group for the year ending September 30, 2020. The Fund changed its blended benchmark during the fiscal year. It outperformed its old benchmark (50% Bloomberg Barclays Global Credit 1-10 Year Hedged Index + 50% ICE BofAML U.S. High Yield Index), but underperformed the new benchmark (50% Bloomberg Barclays U.S. Universal + 50% ICE BofAML U.S. High Yield Index).
The Fund’s outperformance versus its Morningstar peers was driven by its large weighting in the U.S. dollar. On a relative basis, the U.S. dollar weakened over the course of the fiscal year. The Fund had a 99% weighting in the U.S. dollar and its lack of exposure in the Euro, British Pound and Yen detracted from its performance, as those currencies appreciated 7.5%, 5.1%, and 2.4% against the dollar, respectively.
At the beginning of the fiscal year we upgraded the quality profile of the Fund by moving up in credit quality with the expectation that the Fed’s policy of normalizing interest rates would lead to increased volatility in the credit markets. The Fund was defensively positioned to take advantage of market volatility that dramatically increased credit spreads as COVID-19 led to a shutdown of the U.S. economy. The Fund opportunistically added to its emerging market and high yield exposures, capitalizing on tremendous widening of credit spreads during the March and June timeframes.
Amid the volatility, we are maintaining low duration in the Fund, and have built what we believe to be plenty of liquidity. We believe shorter duration will enable the Fund to focus on higher yielding corporate bonds, while greater liquidity will allow us to be more responsive to changing market environments. We continue to focus on maintaining proper diversification for the portfolio. The Fund can invest in different securities, sectors, countries and currencies. This flexibility allows us to seek less volatility with a reasonable yield that we believe should reward investors over the longer term.
We continue to search for value in emerging market and domestic high-yield corporate bonds and senior loans. Some of the best returns have been from those sectors, which we believe should continue. We think there will be more opportunities to redeploy liquidity due to the volatility associated with the U.S. political climate and the Fed’s normalization of interest rates.
Looking ahead
We believe short-term interest rates will stay near zero for the foreseeable future and low inflation will keep a lid on long-term rates. The U.S.’s sizable fiscal packages provided much needed income support for sidelined workers and financial support for businesses facing interrupted product demand and cash flows. However, we do not view the packages as fiscal stimulus designed to generate sustained stronger growth.
26 | ANNUAL REPORT | 2020 |
Table of Contents
Meanwhile, the federal government has been unsuccessfully debating another fiscal stimulus bill, while states look to fill gaps in their budgets. We think the outlook for a near-term solution is poor due to considerable focus on the Supreme Court and U.S. elections in early November.
Demand for corporate credit remains intact, though recently decelerated from record-setting levels. Across the globe, fixed-income yields are staggeringly low, leaving investors few alternatives. The Fed has stepped in as a buyer in the U.S. investment-grade and high-yield markets, which we believe is likely to support current spread levels.
China has contained COVID-19 more effectively than most countries and is now the closest of the major countries to operating as “business-as-usual.” This has been a major support to global resource demand. The economies of many emerging market countries have been supported by surprisingly aggressive fiscal stimulus. With ballooning fiscal deficits, however, governments will likely have less room to respond as COVID-19 continues to heavily impact Latin American economies and a second wave arrives in Europe.
While West Texas Intermediate crude has remained in a tight band near $40 per barrel during the quarter, we don’t believe it is a level that will sustain fiscal spending in oil-based economies such as those in the Persian Gulf and Nigeria. Meanwhile, China’s resurgent economy and supply disruptions have supported the prices of many industrial metals.
Finally, the tilt away from globalization that has been underway for about half of the decade is likely to be reinforced. We believe new factors stemming from COVID-19 will fuel the move further away globalization, which will change complex international supply chains, higher tariffs and potentially increased barriers to immigration.
Performance shown at NAV does not include the effect of sales charges. If reflected, the performance shown would have been lower. Performance including sales charges reflects the maximum applicable front-end sales load.
Past performance is not a guarantee of future results. As with any mutual fund, the value of the Fund’s shares will change, and you could lose money on your investment.
Although asset allocation among different sleeves and asset categories generally tends to limit risk and exposure to any one sleeve, the risk remains that the allocation of assets may skew toward a sleeve that performs poorly relative to the Fund’s other sleeves, or to the market as a whole, which would result in the Fund performing poorly.
While Ivy Investment Management Company (IICO) monitors the investments of Apollo Credit Management (Apollo) in addition to the overall management of the Fund, including rebalancing the Fund’s target allocations, IICO and Apollo make investment decisions for their investment sleeves independently from one another. It is possible that the investment styles used by IICO or Apollo will not always complement each other, which could adversely affect the performance of the Fund. As a result, the Fund’s aggregate exposure to a particular industry or group of industries, or to a single issuer, could unintentionally be larger or smaller than intended.
Investment risks associated with investing in real estate securities, in addition to other risks, include rental income fluctuation, depreciation, property tax value changes and differences in real estate market values.
International investing involves additional risks, including currency fluctuations, political or economic conditions affecting the foreign country, and differences in accounting standards and foreign regulations. These risks are magnified in emerging markets.
Fixed income securities are subject to interest rate risk and, as such, the NAV of the Fund may fall as interest rates rise.
Investing in below investment grade securities may carry a greater risk of nonpayment of interest or principal than higher-rated bonds.
Loans (including loan assignments, loan participations and other loan instruments) carry other risks, including the risk of insolvency of the lending bank or other intermediary. Loans may be unsecured or not fully collateralized may be subject to restrictions on resale and sometimes trade infrequently on the secondary market.
These and other risks are more fully described in the Fund’s prospectus
The opinions expressed in this report are those of the Fund’s portfolio managers and are current only through the end of the period of the report as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions, and no forecasts can be guaranteed.
The indexes noted are unmanaged, include reinvested dividends and do not include fees. One cannot invest directly in an index, nor is an index representative of the Ivy Apollo Strategic Income Fund.
2020 | ANNUAL REPORT | 27 |
Table of Contents
PORTFOLIO HIGHLIGHTS | IVY APOLLO STRATEGIC INCOME FUND |
ALL DATA IS AS OF SEPTEMBER 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 2.6% | |||
Financials | 1.2% | |||
Consumer Discretionary | 0.8% | |||
Energy | 0.5% | |||
Industrials | 0.1% | |||
Health Care | 0.0% | |||
Consumer Staples | 0.0% | |||
Real Estate | 0.0% | |||
Bonds | 94.0% | |||
Corporate Debt Securities | 66.7% | |||
Loans | 16.3% | |||
Other Government Securities | 4.8% | |||
United States Government and Government Agency Obligations | 2.2% | |||
Asset-Backed Securities | 2.0% | |||
Mortgage-Backed Securities | 2.0% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 3.4% |
Country Weightings
North America | 58.1% | |||
United States | 51.4% | |||
Mexico | 3.7% | |||
Other North America | 3.0% | |||
Europe | 14.1% | |||
Pacific Basin | 8.2% | |||
South America | 7.6% | |||
Bahamas/Caribbean | 5.2% | |||
Other | 2.7% | |||
Middle East | 0.4% | |||
Africa | 0.2% | |||
Asia | 0.1% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 3.4% |
Quality Weightings
Investment Grade | 34.2% | |||
AAA | 1.7% | |||
AA | 2.4% | |||
A | 7.7% | |||
BBB | 22.4% | |||
Non-Investment Grade | 59.8% | |||
BB | 15.1% | |||
B | 24.6% | |||
CCC | 15.4% | |||
Below CCC | 0.6% | |||
Non-rated | 4.1% | |||
Liabilities (Net of Cash and Other Assets), Cash Equivalents+ and Equities | 6.0% |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
28 | ANNUAL REPORT | 2020 |
Table of Contents
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT | IVY APOLLO STRATEGIC INCOME FUND |
(UNAUDITED)
Please note that the performance of the Fund’s other share classes will be greater or less than the performance shown above for Class A based on the differences in loads and fees paid by shareholders investing in the different classes.
(1) | The value of the investment in the Fund is impacted by the sales load at the time of the investment and by the ongoing expenses of the Fund and assumes reinvestment of dividends and distributions. |
Average Annual Total Return(2) | Class A(3) | Class C | Class I | Class N | Class Y | |||||||||||||||
1-year period ended 9-30-20 | -2.14% | 3.03% | 4.23% | 4.23% | 3.85% | |||||||||||||||
5-year period ended 9-30-20 | — | — | — | — | — | |||||||||||||||
10-year period ended 9-30-20 | — | — | — | — | — | |||||||||||||||
Since Inception of Class through 9-30-20(4) | 2.81% | 3.27% | 4.38% | 4.41% | 4.07% |
(2) | Data quoted is past performance and is based on deduction of the maximum applicable sales load for each of the periods. Current performance may be lower or higher. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost. Please visit www.ivyinvestments.com for the Fund’s most recent month end performance. Class A Shares carry a maximum front-end sales load of 5.75%(b). Class C shares carry a maximum contingent deferred sales charge (CDSC) of 5% and 1%, respectively (the Class C shares reflect no CDSC since it only applies to Class C shares redeemed within twelve months after purchase). Class I, Class N and Class Y shares are not subject to sales charges. |
(3) | Class A shares carry a CDSC on shares purchased at net asset value for $1 million or more that are subsequently redeemed within 12 months of purchase. Effective October 1, 2020, Class A shares carry a CDSC on shares purchased at net asset value for $500,000 or more that are subsequently redeemed within 12 months of purchase. |
(4) | 10-1-15 for Class A shares, 10-1-15 for Class C shares, 10-1-15 for Class I shares, 10-1-15 for Class N shares and 10-1-15 for Class Y shares (the date on which shares were first acquired by shareholders). |
Past performance is not necessarily indicative of future performance. Indexes are unmanaged. The performance graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance results may include the effect of expense reduction arrangements for some or all of the periods shown. If those arrangements had not been in place, the performance results for those periods would have been lower.
(a) | Effective August 24, 2020, Ivy Investment Management Company, the Fund’s investment adviser, believes that the custom benchmark 50% Bloomberg Barclays U.S. Universal Index + 50% ICE BofA US High Yield Index are more consistent with the investment philosophy of the Fund and more reflective of the types of securities in which the Fund invests than the custom benchmark 50% Bloomberg Barclays Global Credit 1-10 Year Index Hedged USD + 50% ICE BofA US High Yield Index. Prior Benchmarks performances are shown for comparison purposes. |
(b) | Effective October 1, 2020, the maximum applicable sales charge for Class A shares has been lowered to 2.50%. |
2020 | ANNUAL REPORT | 29 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO STRATEGIC INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS | Shares | Value | ||||||
Canada |
| |||||||
Energy – 0.0% |
| |||||||
Bellatrix Exploration Ltd. (B)(C) | 98 | $ | — | * | ||||
|
| |||||||
Health Care – 0.0% |
| |||||||
Advanz Pharma Corp. (B) | 7 | 36 | ||||||
|
| |||||||
Total Canada – 0.0% |
| 36 | ||||||
Hong Kong |
| |||||||
Consumer Discretionary – 0.3% |
| |||||||
Studio City International Holdings Ltd. ADR (B) | 46 | 761 | ||||||
Studio City International Holdings Ltd. ADR (B)(E) | 19 | 307 | ||||||
|
| |||||||
1,068 | ||||||||
|
| |||||||
Total Hong Kong – 0.3% |
| 1,068 | ||||||
United States |
| |||||||
Consumer Discretionary – 0.5% |
| |||||||
Laureate Education, Inc., Class A (B) | 20 | 262 | ||||||
New Cotai Participation Corp., Class B (B)(C)(E) | 414 | 2,063 | ||||||
Party City Holdco, Inc. (B)(E) | 8 | 19 | ||||||
True Religion Apparel, Inc. (B)(C) | 1 | — | ||||||
|
| |||||||
2,344 | ||||||||
|
| |||||||
Consumer Staples – 0.0% |
| |||||||
Pinnacle Agriculture Enterprises LLC (B)(C)(E) | 1 | — | ||||||
|
| |||||||
Energy – 0.1% |
| |||||||
Foresight Energy L.P. (B)(E) | 42 | 602 | ||||||
Westmoreland Coal Co. (B) | 7 | 55 | ||||||
|
| |||||||
657 | ||||||||
|
| |||||||
Industrials – 0.1% |
| |||||||
McDermott International, Inc. (B)(C) | 4 | — | ||||||
McDermott International, Inc. (B) | 76 | 183 | ||||||
|
| |||||||
183 | ||||||||
|
| |||||||
Total United States – 0.7% |
| 3,184 | ||||||
TOTAL COMMON STOCKS – 1.0% |
| $ | 4,288 | |||||
(Cost: $6,443) | ||||||||
INVESTMENT FUNDS | ||||||||
United States – 1.2% |
| |||||||
Invesco Senior Loan ETF (D) | 76 | 1,649 | ||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 39 | 3,234 | ||||||
|
| |||||||
4,883 | ||||||||
|
| |||||||
TOTAL INVESTMENT FUNDS – 1.2% |
| $ | 4,883 | |||||
(Cost: $4,743) |
PREFERRED STOCKS | Shares | Value | ||||||
United States |
| |||||||
Energy – 0.4% |
| |||||||
Targa Resources Corp., 9.500% (B)(E) | 1 | $ | 1,530 | |||||
|
| |||||||
Total United States – 0.4% |
| 1,530 | ||||||
TOTAL PREFERRED STOCKS – 0.4% |
| $ | 1,530 | |||||
(Cost: $1,624) | ||||||||
ASSET-BACKED SECURITIES | Principal | |||||||
Cayman Islands – 0.8% |
| |||||||
Audax Senior Debt CLO II LLC, Series 2019-2A, Class C (3-Month U.S LIBOR plus 490 bps) | ||||||||
6.811%, 10–22–29 (G)(H) | $ | 250 | 240 | |||||
Northwoods Capital XI-B Ltd. and Northwoods Capital XI-B LLC, Series 2018-14BA, Class D (3-Month U.S. LIBOR plus 340 bps) | ||||||||
3.654%, 11–13–31 (G)(H) | 800 | 688 | ||||||
Rockford Tower CLO Ltd., Series 2019-2A, Class B (3-Month U.S. LIBOR plus 193 bps) | ||||||||
2.183%, 8–20–32 (G)(H) | 500 | 490 | ||||||
TIAA Churchill Middle Market CLO I Ltd., Series 2016-1A, Class DR (3-Month U.S. LIBOR plus 390 bps) | ||||||||
4.172%, 10–20–30 (G)(H) | 250 | 220 | ||||||
Venture CDO Ltd., Series 17-26A, Class D (3-Month U.S. LIBOR plus 425 bps) | ||||||||
4.522%, 1–20–29 (G)(H) | 500 | 461 | ||||||
Venture CDO Ltd., Series 2020-39A, Class D (3-Month U.S. LIBOR plus 425 bps) | ||||||||
5.710%, 4–15–33 (G)(H) | 750 | 750 | ||||||
|
| |||||||
2,849 | ||||||||
|
| |||||||
Ireland – 0.1% |
| |||||||
GoldenTree Loan Management CLO Ltd., Series 2X, Class D (3-Month EURIBOR plus 285 bps) | ||||||||
2.850%, 1–20–32 (F)(H) | EUR | 385 | 406 | |||||
|
| |||||||
United States – 1.1% |
| |||||||
Adams Mill CLO Ltd., Series 2014-1A, Class D1 (3-Month U.S. LIBOR plus 350 bps) | ||||||||
3.775%, 7–15–26 (G)(H) | $ | 400 | 393 | |||||
Antares CLO 2017-1A Ltd. (3-Month U.S. LIBOR plus 775 bps) | ||||||||
8.022%, 7–20–28 (H) | 1,350 | 1,127 | ||||||
Fortress Credit BSL Ltd., Series 2018-1A, Class ER (3-Month U.S. LIBOR plus 645 bps) | ||||||||
6.706%, 7–23–31 (G)(H) | 750 | 629 | ||||||
Golub Capital Partners CLO Ltd., Series 2013-17A, Class CR (3-Month U.S. LIBOR plus 350 bps) | ||||||||
3.745%, 10–25–30 (G)(H) | 1,000 | 889 |
ASSET-BACKED SECURITIES (Continued) | Principal | Value | ||||||
United States (Continued) |
| |||||||
Trinitas CLO Ltd., Ser 2019-11A, Class D (3-Month U.S. LIBOR plus 422 bps) | ||||||||
4.495%, 7–15–32 (G)(H) | $ | 1,000 | $ | 1,000 | ||||
Trinitas CLO Ltd., Series 2018-8A, Class E (3-Month U.S. LIBOR plus 590 bps) | ||||||||
6.172%, 7–20–31 (G)(H) | 750 | 596 | ||||||
|
| |||||||
4,634 | ||||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES – 2.0% |
| $ | 7,889 | |||||
(Cost: $8,586) | ||||||||
CORPORATE DEBT SECURITIES | ||||||||
Argentina |
| |||||||
Energy – 0.2% |
| |||||||
Pampa Energia S.A. | ||||||||
7.500%, 1–24–27 (G) | 1,200 | 906 | ||||||
|
| |||||||
Industrials – 0.1% |
| |||||||
Aeropuertos Argentina 2000 S.A. (9.375% Cash or 9.375% PIK) | ||||||||
9.375%, 2–1–27 (G) | 563 | 389 | ||||||
|
| |||||||
Total Argentina – 0.3% |
| 1,295 | ||||||
Australia |
| |||||||
Financials – 0.3% |
| |||||||
Australia and New Zealand Banking Group Ltd. | ||||||||
4.500%, 3–19–24 (G) | 1,100 | 1,209 | ||||||
|
| |||||||
Industrials – 0.2% |
| |||||||
Transurban Finance Co. Pty Ltd. | ||||||||
2.450%, 3–16–31 (G) | 630 | 643 | ||||||
|
| |||||||
Utilities – 0.3% |
| |||||||
Ausgrid Finance Pty Ltd. | ||||||||
3.850%, 5–1–23 (G) | 1,100 | 1,165 | ||||||
|
| |||||||
Total Australia – 0.8% |
| 3,017 | ||||||
Austria |
| |||||||
Consumer Staples – 0.5% |
| |||||||
JBS Investments II GmbH (GTD by JBS S.A.): | ||||||||
7.000%, 1–15–26 (G) | 1,500 | 1,601 | ||||||
5.750%, 1–15–28 (D) | 200 | 208 | ||||||
|
| |||||||
1,809 | ||||||||
|
| |||||||
Financials – 0.0% |
| |||||||
Vienna Insurance Group AG | ||||||||
5.500%, 10–9–43 (F) | EUR | 100 | 133 | |||||
|
| |||||||
Total Austria – 0.5% |
| 1,942 |
30 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO STRATEGIC INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Bermuda |
| |||||||
Communication Services – 0.2% |
| |||||||
Digicel International Finance Ltd. | ||||||||
8.000%, 12–31–26 (G) | $ | 86 | $ | 67 | ||||
Digicel International Finance Ltd. (6.000% Cash and 7.000% PIK) | ||||||||
13.000%, 12–31–25 (G)(I) | 110 | 100 | ||||||
Digicel International Finance Ltd. (8.000% Cash and 2.000% PIK or 10.000% PIK) | ||||||||
10.000%, 4–1–24 (I) | 901 | 691 | ||||||
|
| |||||||
858 | ||||||||
|
| |||||||
Consumer Staples – 0.3% |
| |||||||
Bacardi Ltd. | ||||||||
4.450%, 5–15–25 (G) | 1,100 | 1,228 | ||||||
|
| |||||||
Energy – 0.2% |
| |||||||
GeoPark Ltd. | ||||||||
5.500%, 1–17–27 (G) | 850 | 752 | ||||||
|
| |||||||
Total Bermuda – 0.7% |
| 2,838 | ||||||
Brazil |
| |||||||
Communication Services – 0.0% |
| |||||||
Globo Comunicacoes e Participacoes S.A. | ||||||||
4.875%, 1–22–30 (G) | 200 | 197 | ||||||
|
| |||||||
Industrials – 0.4% |
| |||||||
Cosan Ltd. | ||||||||
5.500%, 9–20–29 (G) | 1,750 | 1,803 | ||||||
|
| |||||||
Materials – 0.6% |
| |||||||
Nexa Resources S.A. | ||||||||
6.500%, 1–18–28 (G) | 600 | 655 | ||||||
Unigel Luxembourg S.A. | ||||||||
8.750%, 10–1–26 (G) | 650 | 630 | ||||||
Vale Overseas Ltd. | ||||||||
6.250%, 8–10–26 | 1,025 | 1,212 | ||||||
|
| |||||||
2,497 | ||||||||
|
| |||||||
Utilities – 0.2% |
| |||||||
Aegea Finance S.a.r.l. | ||||||||
5.750%, 10–10–24 (G) | 1,000 | 1,030 | ||||||
|
| |||||||
Total Brazil – 1.2% |
| 5,527 | ||||||
British Virgin Islands |
| |||||||
Information Technology – 0.5% |
| |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | ||||||||
1.000%, 9–28–27 (G) | 2,000 | 1,964 | ||||||
|
| |||||||
Total British Virgin Islands – 0.5% |
| 1,964 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Canada |
| |||||||
Consumer Discretionary – 0.1% |
| |||||||
Gateway Casinos & Entertainment Ltd. | ||||||||
8.250%, 3–1–24 (G) | $ | 562 | $ | 475 | ||||
|
| |||||||
Consumer Staples – 0.2% |
| |||||||
Alimentation Couche-Tard, Inc. | ||||||||
2.700%, 7–26–22 (G) | 640 | 661 | ||||||
|
| |||||||
Energy – 0.6% |
| |||||||
Seven Generations Energy Ltd.: | ||||||||
6.750%, 5–1–23 (G) | 1,257 | 1,228 | ||||||
5.375%, 9–30–25 (G) | 480 | 454 | ||||||
TransCanada PipeLines Ltd. | ||||||||
4.250%, 5–15–28 | 900 | 1,040 | ||||||
|
| |||||||
2,722 | ||||||||
|
| |||||||
Financials – 0.6% |
| |||||||
Brookfield Finance, Inc. (GTD by Brookfield Asset Management, Inc.) | ||||||||
4.350%, 4–15–30 | 800 | 931 | ||||||
Royal Bank of Canada: | ||||||||
3.700%, 10–5–23 | 750 | 819 | ||||||
4.650%, 1–27–26 | 550 | 649 | ||||||
|
| |||||||
2,399 | ||||||||
|
| |||||||
Health Care – 0.0% |
| |||||||
Advanz Pharma Corp. | ||||||||
8.000%, 9–6–24 | 81 | 79 | ||||||
|
| |||||||
Industrials – 0.3% |
| |||||||
Garda World Security Corp. (GTD by GW Intermediate Corp.) | ||||||||
4.625%, 2–15–27 (G) | 239 | 240 | ||||||
GFL Environmental, Inc.: | ||||||||
3.750%, 8–1–25 (G) | 182 | 182 | ||||||
7.000%, 6–1–26 (G) | 376 | 396 | ||||||
5.125%, 12–15–26 (G) | 21 | 22 | ||||||
8.500%, 5–1–27 (G) | 102 | 111 | ||||||
|
| |||||||
951 | ||||||||
|
| |||||||
Information Technology – 0.6% |
| |||||||
Kronos Acquisition Holdings, Inc. | ||||||||
9.000%, 8–15–23 (G) | 2,154 | 2,184 | ||||||
|
| |||||||
Materials – 0.6% |
| |||||||
First Quantum Minerals Ltd.: | ||||||||
6.500%, 3–1–24 (G) | 650 | 623 | ||||||
6.875%, 3–1–26 (G) | 600 | 578 | ||||||
HudBay Minerals, Inc.: | ||||||||
7.250%, 1–15–23 (G) | 68 | 69 | ||||||
7.625%, 1–15–25 (G) | 102 | 104 | ||||||
NOVA Chemicals Corp.: | ||||||||
4.875%, 6–1–24 (G) | 661 | 656 | ||||||
5.250%, 6–1–27 (G) | 345 | 325 | ||||||
|
| |||||||
2,355 | ||||||||
|
| |||||||
Total Canada – 3.0% |
| 11,826 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Cayman Islands |
| |||||||
Communication Services – 0.2% |
| |||||||
CK Hutchison International (16) Ltd. | ||||||||
1.875%, 10–3–21 (G) | $ | 800 | $ | 806 | ||||
|
| |||||||
Financials – 1.0% |
| |||||||
Grupo Aval Ltd. | ||||||||
4.375%, 2–4–30 (G) | 700 | 675 | ||||||
Itau Unibanco Holdings S.A.: | ||||||||
3.250%, 1–24–25 (G) | 1,070 | 1,088 | ||||||
4.625%, 8–27–68 (G) | 1,680 | 1,468 | ||||||
Three Gorges Finance I Ltd.: | ||||||||
1.300%, 9–22–25 (G) | 800 | 792 | ||||||
3.200%, 10–16–49 | 200 | 211 | ||||||
|
| |||||||
4,234 | ||||||||
|
| |||||||
Industrials – 0.2% |
| |||||||
DP World Crescent Ltd. | ||||||||
3.875%, 7–18–29 | 600 | 628 | ||||||
Lima Metro Line 2 Finance Ltd. | ||||||||
5.875%, 7–5–34 (G) | 106 | 130 | ||||||
|
| |||||||
758 | ||||||||
|
| |||||||
Total Cayman Islands – 1.4% |
| 5,798 | ||||||
Chile |
| |||||||
Communication Services – 0.3% |
| |||||||
VTR Comunicaciones S.p.A. | ||||||||
5.125%, 1–15–28 (G) | 530 | 548 | ||||||
VTR Finance B.V. | ||||||||
6.375%, 7–15–28 (G) | 698 | 733 | ||||||
|
| |||||||
1,281 | ||||||||
|
| |||||||
Consumer Discretionary – 0.3% |
| |||||||
Saci Falabella | ||||||||
3.750%, 10–30–27 (G) | 1,000 | 1,054 | ||||||
|
| |||||||
Energy – 0.3% |
| |||||||
GeoPark Ltd. | ||||||||
6.500%, 9–21–24 (G) | 1,200 | 1,131 | ||||||
|
| |||||||
Financials – 0.3% |
| |||||||
Banco del Estado de Chile | ||||||||
2.704%, 1–9–25 (G) | 1,300 | 1,367 | ||||||
|
| |||||||
Industrials – 0.2% |
| |||||||
Empresa de Transporte de Pasajeros Metro S.A. | ||||||||
3.650%, 5–7–30 (G) | 600 | 665 | ||||||
|
| |||||||
Utilities – 0.4% |
| |||||||
AES Gener S.A. | ||||||||
6.350%, 10–7–79 (G) | 650 | 656 | ||||||
Enel Chile S.A. | ||||||||
4.875%, 6–12–28 | 840 | 992 | ||||||
|
| |||||||
1,648 | ||||||||
|
| |||||||
Total Chile – 1.8% |
| 7,146 |
2020 | ANNUAL REPORT | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO STRATEGIC INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
China |
| |||||||
Communication Services – 0.5% |
| |||||||
Tencent Holdings Ltd. | ||||||||
2.985%, 1–19–23 (G) | $ | 1,000 | $ | 1,043 | ||||
Weibo Corp. | ||||||||
3.500%, 7–5–24 | 900 | 947 | ||||||
|
| |||||||
1,990 | ||||||||
|
| |||||||
Consumer Discretionary – 0.6% |
| |||||||
Alibaba Group Holding Ltd.: | ||||||||
2.800%, 6–6–23 | 900 | 947 | ||||||
3.400%, 12–6–27 | 1,500 | 1,681 | ||||||
|
| |||||||
2,628 | ||||||||
|
| |||||||
Energy – 0.2% |
| |||||||
Sinopec Group Overseas Development (2018) Ltd. | ||||||||
4.125%, 9–12–25 (G) | 800 | 902 | ||||||
|
| |||||||
Information Technology – 0.1% |
| |||||||
Baidu, Inc. | ||||||||
3.425%, 4–7–30 | 250 | 275 | ||||||
|
| |||||||
Real Estate – 0.1% |
| |||||||
Country Garden Holdings Co. Ltd. | ||||||||
7.250%, 4–8–26 | 200 | 222 | ||||||
Logan Group Co. Ltd. | ||||||||
5.750%, 1–14–25 | 200 | 201 | ||||||
|
| |||||||
423 | ||||||||
|
| |||||||
Total China – 1.5% |
| 6,218 | ||||||
Columbia |
| |||||||
Communication Services – 0.1% |
| |||||||
Colombia Telecomunicaciones S.A. E.S.P. | ||||||||
4.950%, 7–17–30 (G) | 200 | 208 | ||||||
|
| |||||||
Energy – 0.0% |
| |||||||
Oleoducto Central S.A. | ||||||||
4.000%, 7–14–27 (G) | 200 | 208 | ||||||
|
| |||||||
Financials – 0.2% |
| |||||||
Banco de Bogota S.A. | ||||||||
5.375%, 2–19–23 | 200 | 211 | ||||||
Bancolombia S.A. | ||||||||
3.000%, 1–29–25 | 340 | 341 | ||||||
|
| |||||||
552 | ||||||||
|
| |||||||
Utilities – 0.5% |
| |||||||
Empresas Publicas de Medellin E.S.P. | ||||||||
4.250%, 7–18–29 (G) | 1,900 | 1,897 | ||||||
Grupo Energia Bogota S.A. E.S.P. | ||||||||
4.875%, 5–15–30 (G) | 200 | 224 | ||||||
|
| |||||||
2,121 | ||||||||
|
| |||||||
Total Columbia – 0.8% |
| 3,089 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Denmark |
| |||||||
Financials – 0.2% |
| |||||||
Danske Bank A.S. | ||||||||
5.000%, 1–12–23 (G) | $ | 700 | $ | 734 | ||||
|
| |||||||
Total Denmark – 0.2% |
| 734 | ||||||
France |
| |||||||
Communication Services – 0.4% |
| |||||||
Altice France S.A.: | ||||||||
7.375%, 5–1–26 (G) | 356 | 373 | ||||||
8.125%, 2–1–27 (G) | 1,300 | 1,417 | ||||||
|
| |||||||
1,790 | ||||||||
|
| |||||||
Consumer Discretionary – 0.2% |
| |||||||
Klesia Prevoyance | ||||||||
5.375%, 12–8–26 (F) | EUR | 300 | 370 | |||||
Parts Europe S.A. | ||||||||
6.500%, 7–16–25 (F)(G) | 200 | 236 | ||||||
|
| |||||||
606 | ||||||||
|
| |||||||
Consumer Staples – 0.1% |
| |||||||
Pernod Ricard S.A. | ||||||||
4.450%, 1–15–22 (G) | $ | 500 | 525 | |||||
|
| |||||||
Financials – 0.6% |
| |||||||
BNP Paribas S.A. | ||||||||
7.625%, 12–29–49 (G) | 1,800 | 1,831 | ||||||
Humanis Prevoyance | ||||||||
5.750%, 10–22–25 (F) | EUR | 300 | 384 | |||||
La Mondiale SAM | ||||||||
6.750%, 4–25–44 (F) | 100 | 136 | ||||||
|
| |||||||
2,351 | ||||||||
|
| |||||||
Materials – 0.1% |
| |||||||
Constellium SE | ||||||||
5.625%, 6–15–28 (G) | $ | 250 | 255 | |||||
|
| |||||||
Total France – 1.4% |
| 5,527 | ||||||
Germany |
| |||||||
Financials – 0.1% |
| |||||||
Techem Verwaltungsgesellschaft 674 mbH | ||||||||
2.000%, 7–15–25 (F) | EUR | 400 | 447 | |||||
|
| |||||||
Health Care – 0.1% |
| |||||||
Nidda Healthcare Holding AG: | ||||||||
3.500%, 9–30–24 (F)(G) | 100 | 114 | ||||||
3.500%, 9–30–24 (F) | 224 | 254 | ||||||
|
| |||||||
368 | ||||||||
|
| |||||||
Total Germany – 0.2% |
| 815 | ||||||
Hong Kong |
| |||||||
Financials – 0.3% |
| |||||||
AIA Group Ltd.: | ||||||||
3.375%, 4–7–30 (G) | $ | 200 | 224 | |||||
3.200%, 9–16–40 (G) | 200 | 207 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Financials (Continued) |
| |||||||
Bangkok Bank Public Co. Ltd. | ||||||||
4.050%, 3–19–24 (G) | $ | 600 | $ | 651 | ||||
|
| |||||||
1,082 | ||||||||
|
| |||||||
Information Technology – 0.2% |
| |||||||
Xiaomi Best Time International Ltd. | ||||||||
3.375%, 4–29–30 (D)(G) | 650 | 679 | ||||||
|
| |||||||
Total Hong Kong – 0.5% |
| 1,761 | ||||||
India |
| |||||||
Communication Services – 0.1% |
| |||||||
Network i2i Ltd. | ||||||||
5.650%, 4–15–68 (G) | 250 | 250 | ||||||
|
| |||||||
Utilities – 0.5% |
| |||||||
Adani Electricity Mumbai Ltd. | ||||||||
3.949%, 2–12–30 (G) | 620 | 606 | ||||||
Adani Green Energy (UP) Ltd., Parampujya Solar Energy Private Ltd. and Prayatna Developers Private Ltd. | ||||||||
6.250%, 12–10–24 (G) | 900 | 964 | ||||||
Adani Transmission Ltd. | ||||||||
4.250%, 5–21–36 | 199 | 198 | ||||||
Greenko Mauritius Ltd. | ||||||||
6.250%, 2–21–23 (D)(G) | 650 | 665 | ||||||
|
| |||||||
2,433 | ||||||||
|
| |||||||
Total India – 0.6% |
| 2,683 | ||||||
Indonesia | ||||||||
Communication Services – 0.1% |
| |||||||
PT Tower Bersama Infrastructure Tbk | ||||||||
4.250%, 1–21–25 | 200 | 200 | ||||||
|
| |||||||
Energy – 0.1% |
| |||||||
PT Pertamina (Persero) | ||||||||
4.175%, 1–21–50 | 200 | 200 | ||||||
|
| |||||||
Utilities – 0.3% |
| |||||||
Perusahaan Listrik Negara: | ||||||||
5.450%, 5–21–28 (G) | 700 | 819 | ||||||
4.000%, 6–30–50 (G) | 200 | 195 | ||||||
|
| |||||||
1,014 | ||||||||
|
| |||||||
Total Indonesia – 0.5% |
| 1,414 | ||||||
Ireland |
| |||||||
Consumer Staples – 0.1% |
| |||||||
Eurotorg LLC (Bonitron Designated Activity Co.) | ||||||||
8.750%, 10–30–22 (G) | 400 | 399 | ||||||
|
| |||||||
Materials – 0.1% |
| |||||||
Ardagh Packaging Finance plc and Ardagh Holdings USA, Inc.: | ||||||||
4.125%, 8–15–26 (G) | 28 | 28 |
32 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO STRATEGIC INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Materials (Continued) |
| |||||||
2.125%, 8–15–26 (F)(G) | EUR | 150 | $ | 171 | ||||
|
| |||||||
199 | ||||||||
|
| |||||||
Total Ireland – 0.2% |
| 598 | ||||||
Isle of Man |
| |||||||
Consumer Discretionary – 0.5% |
| |||||||
GOHL Capital Ltd. | ||||||||
4.250%, 1–24–27 | $ | 2,000 | 1,987 | |||||
|
| |||||||
Materials – 0.1% |
| |||||||
AngloGold Ashanti Holdings plc (GTD by AngloGold Ashanti Ltd.) | ||||||||
3.750%, 10–1–30 | 350 | 357 | ||||||
|
| |||||||
Total Isle of Man – 0.6% |
| 2,344 | ||||||
Israel |
| |||||||
Energy – 0.0% |
| |||||||
Delek & Avner Tamar Bond Ltd. | ||||||||
5.082%, 12–30–23 (G) | 100 | 102 | ||||||
|
| |||||||
Utilities – 0.1% |
| |||||||
Israel Electric Corp. Ltd. | ||||||||
5.000%, 11–12–24 | 200 | 225 | ||||||
|
| |||||||
Total Israel – 0.1% |
| 327 | ||||||
Italy |
| |||||||
Communication Services – 0.1% |
| |||||||
Telecom Italia S.p.A., | ||||||||
1.125%, 3–26–22 (F) | EUR | 200 | 233 | |||||
|
| |||||||
Financials – 0.1% |
| |||||||
UniCredit S.p.A. | ||||||||
5.459%, 6–30–35 (G) | $ | 200 | 204 | |||||
|
| |||||||
Total Italy – 0.2% |
| 437 | ||||||
Jamaica |
| |||||||
Communication Services – 0.5% |
| |||||||
Digicel Group Ltd. | ||||||||
8.750%, 5–25–24 (G) | 1,216 | 1,221 | ||||||
Digicel Group Ltd. (5.000% Cash and 3.000% PIK) | ||||||||
8.000%, 4–1–25 (G)(I) | 123 | 43 | ||||||
Digicel Group Ltd. (7.000% Cash or 7.000% PIK) | ||||||||
7.000%, 10–1–68 (G)(I) | 101 | 12 | ||||||
Digicel Ltd. | ||||||||
6.750%, 3–1–23 (G) | 1,000 | 630 | ||||||
|
| |||||||
1,906 | ||||||||
|
| |||||||
Total Jamaica – 0.5% |
| 1,906 | ||||||
Japan |
| |||||||
Financials – 0.9% |
| |||||||
Mitsubishi UFJ Financial Group, Inc. | ||||||||
3.287%, 7–25–27 | 600 | 666 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Financials (Continued) |
| |||||||
Mizuho Financial Group, Inc. | ||||||||
3.170%, 9–11–27 | $ | 600 | $ | 655 | ||||
Sumitomo Mitsui Financial Group, Inc.: | ||||||||
3.748%, 7–19–23 | 940 | 1,018 | ||||||
3.936%, 10–16–23 | 900 | 984 | ||||||
|
| |||||||
3,323 | ||||||||
|
| |||||||
Total Japan – 0.9% |
| 3,323 | ||||||
Kazakhstan |
| |||||||
Financials – 0.0% |
| |||||||
Tengizchevroil Finance Co. International Ltd. | ||||||||
3.250%, 8–15–30 (G) | 200 | 202 | ||||||
|
| |||||||
Total Kazakhstan – 0.0% |
| 202 | ||||||
Luxembourg |
| |||||||
Communication Services – 1.2% |
| |||||||
Altice Financing S.A. | ||||||||
5.000%, 1–15–28 (G) | 235 | 228 | ||||||
Altice France Holding S.A.: | ||||||||
10.500%, 5–15–27 (G) | 2,222 | 2,469 | ||||||
6.000%, 2–15–28 (G) | 1,618 | 1,543 | ||||||
Intelsat Jackson Holdings S.A. | ||||||||
9.500%, 9–30–22 (A)(G) | 414 | 450 | ||||||
Matterhorn Telecom S.A. | ||||||||
3.125%, 9–15–26 (F) | EUR | 200 | 223 | |||||
|
| |||||||
4,913 | ||||||||
|
| |||||||
Consumer Staples – 0.3% |
| |||||||
Minerva Luxembourg S.A. | ||||||||
5.875%, 1–19–28 (G) | $ | 1,200 | 1,246 | |||||
|
| |||||||
Energy – 0.2% |
| |||||||
Gaz Capital S.A. | ||||||||
5.150%, 2–11–26 | 200 | 223 | ||||||
Offshore Drilling Holding S.A. | ||||||||
8.375%, 9–20–20 (A)(G)(J) | 1,600 | 144 | ||||||
|
| |||||||
367 | ||||||||
|
| |||||||
Financials – 0.3% |
| |||||||
JSM Global S.a.r.l. | ||||||||
4.750%, 10–20–30 (G) | 800 | 800 | ||||||
PLT VII Finance S.a.r.l. | ||||||||
4.625%, 1–5–26 (F)(G) | EUR | 100 | 119 | |||||
Rede D’Or Finance S.a.r.l. | ||||||||
4.500%, 1–22–30 (G) | $ | 300 | 284 | |||||
|
| |||||||
1,203 | ||||||||
|
| |||||||
Industrials – 0.5% |
| |||||||
Rumo Luxembourg S.a.r.l.: | ||||||||
7.375%, 2–9–24 (G) | 1,750 | 1,835 | ||||||
5.250%, 1–10–28 (G) | 200 | 208 | ||||||
|
| |||||||
2,043 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Materials – 0.1% |
| |||||||
ARD Finance S.A. (6.500% Cash or 7.250% PIK) | ||||||||
6.500%, 6–30–27 (G)(I) | $ | 353 | $ | 351 | ||||
|
| |||||||
Total Luxembourg – 2.6% |
| 10,123 | ||||||
Macau |
| |||||||
Consumer Discretionary – 0.4% |
| |||||||
Sands China Ltd. | ||||||||
5.125%, 8–8–25 | 600 | 654 | ||||||
Wynn Macau Ltd.: | ||||||||
4.875%, 10–1–24 (G) | 200 | 197 | ||||||
5.500%, 10–1–27 (G) | 446 | 433 | ||||||
|
| |||||||
1,284 | ||||||||
|
| |||||||
Total Macau – 0.4% |
| 1,284 | ||||||
Malaysia |
| |||||||
Energy – 0.1% |
| |||||||
Petronas Capital Ltd. | ||||||||
3.500%, 4–21–30 (G) | 350 | 391 | ||||||
|
| |||||||
Total Malaysia – 0.1% |
| 391 | ||||||
Mauritius |
| |||||||
Industrials – 0.1% |
| |||||||
HTA Group Ltd. | ||||||||
7.000%, 12–18–25 (G) | 200 | 209 | ||||||
|
| |||||||
Total Mauritius – 0.1% |
| 209 | ||||||
Mexico |
| |||||||
Communication Services – 0.2% |
| |||||||
Axtel S.A.B. de C.V. | ||||||||
6.375%, 11–14–24 (G) | 650 | 676 | ||||||
|
| |||||||
Consumer Staples – 0.6% |
| |||||||
Grupo Bimbo S.A.B. de C.V. | ||||||||
4.500%, 1–25–22 (G) | 1,250 | 1,308 | ||||||
Kimberly-Clark de Mexico | ||||||||
3.800%, 4–8–24 (G) | 1,000 | 1,071 | ||||||
|
| |||||||
2,379 | ||||||||
|
| |||||||
Energy – 0.2% |
| |||||||
Petroleos Mexicanos | ||||||||
6.490%, 1–23–27 (G) | 900 | 843 | ||||||
|
| |||||||
Financials – 0.6% |
| |||||||
Banco Santander (Mexico) S.A. | ||||||||
5.950%, 10–1–28 (G) | 550 | 580 | ||||||
Banco Santander S.A.: | ||||||||
4.125%, 11–9–22 (G) | 1,150 | 1,210 | ||||||
5.375%, 4–17–25 (G) | 600 | 667 | ||||||
Trust F/1401 | ||||||||
4.869%, 1–15–30 (G) | 600 | 604 | ||||||
|
| |||||||
3,061 | ||||||||
|
|
2020 | ANNUAL REPORT | 33 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO STRATEGIC INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Industrials – 0.5% |
| |||||||
Alfa S.A.B. de C.V. | ||||||||
5.250%, 3–25–24 (G) | $ | 1,400 | $ | 1,477 | ||||
Grupo Kuo S.A.B. de C.V. | ||||||||
5.750%, 7–7–27 (G) | 450 | 439 | ||||||
|
| |||||||
1,916 | ||||||||
|
| |||||||
Materials – 1.0% |
| |||||||
CEMEX S.A.B. de C.V.: | ||||||||
7.750%, 4–16–26 (G) | 550 | 580 | ||||||
5.200%, 9–17–30 (G) | 500 | 502 | ||||||
Grupo Cementos de Chihuahua S.A.B. de C.V. | ||||||||
5.250%, 6–23–24 (G) | 1,146 | 1,190 | ||||||
Industrias Penoles S.A.B. de C.V.: | ||||||||
4.150%, 9–12–29 (G) | 700 | 760 | ||||||
5.650%, 9–12–49 (G) | 200 | 232 | ||||||
Orbia Advance Corp. S.A.B. de C.V. | ||||||||
4.000%, 10–4–27 (G) | 1,200 | 1,293 | ||||||
|
| |||||||
4,557 | ||||||||
|
| |||||||
Total Mexico – 3.1% |
| 13,432 | ||||||
Netherlands |
| |||||||
Communication Services – 0.2% |
| |||||||
Clear Channel International B.V. | ||||||||
6.625%, 8–1–25 (G) | 200 | 204 | ||||||
Ziggo B.V. | ||||||||
2.875%, 1–15–30 (F)(G) | EUR | 173 | 198 | |||||
Ziggo Secured Finance B.V. | ||||||||
5.500%, 1–15–27 (G) | $ | 202 | 212 | |||||
|
| |||||||
614 | ||||||||
|
| |||||||
Consumer Discretionary – 0.4% |
| |||||||
Prosus N.V.: | ||||||||
3.680%, 1–21–30 (G) | 1,110 | 1,197 | ||||||
2.031%, 8–3–32 (F)(G) | EUR | 200 | 236 | |||||
|
| |||||||
1,433 | ||||||||
|
| |||||||
Consumer Staples – 0.2% |
| |||||||
MARB BondCo plc (GTD by Marfrig Global Foods S.A., Marfrig Overseas Ltd. and Marfrig Holdings (Europe) B.V.) | ||||||||
7.000%, 3–15–24 (G) | $ | 650 | 672 | |||||
|
| |||||||
Energy – 0.1% |
| |||||||
Minejesa Capital B.V. | ||||||||
4.625%, 8–10–30 | 200 | 206 | ||||||
|
| |||||||
Financials – 0.3% |
| |||||||
Aegon N.V. | ||||||||
4.000%, 4–25–44 (F) | EUR | 200 | 251 | |||||
ASR Nederland N.V. | ||||||||
5.125%, 9–29–45 (F) | 100 | 135 | ||||||
Syngenta Finance N.V. | ||||||||
5.182%, 4–24–28 (G) | $ | 725 | 798 | |||||
|
| |||||||
1,184 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Health Care – 0.3% |
| |||||||
Teva Pharmaceutical Finance Netherlands III B.V. (GTD by Teva Pharmaceutical Industries Ltd.): | ||||||||
2.800%, 7–21–23 | $ | 600 | $ | 574 | ||||
6.750%, 3–1–28 (D) | 600 | 625 | ||||||
|
| |||||||
1,199 | ||||||||
|
| |||||||
Total Netherlands – 1.5% |
| 5,308 | ||||||
Nigeria |
| |||||||
Financials – 0.3% |
| |||||||
Africa Finance Corp. | ||||||||
4.375%, 4–17–26 (G) | 900 | 968 | ||||||
|
| |||||||
Total Nigeria – 0.3% |
| 968 | ||||||
Norway |
| |||||||
Energy – 0.8% |
| |||||||
Aker BP ASA: | ||||||||
6.000%, 7–1–22 (G) | 1,500 | 1,523 | ||||||
4.750%, 6–15–24 (G) | 900 | 924 | ||||||
3.750%, 1–15–30 (G) | 900 | 872 | ||||||
|
| |||||||
3,319 | ||||||||
|
| |||||||
Total Norway – 0.8% |
| 3,319 | ||||||
Panama |
| |||||||
Consumer Discretionary – 0.2% |
| |||||||
Carnival Corp. | ||||||||
10.500%, 2–1–26 (G) | 736 | 815 | ||||||
|
| |||||||
Financials – 0.2% |
| |||||||
Banco Latinoamericanco de Comercio Exterior S.A. | ||||||||
2.375%, 9–14–25 (G) | 800 | 811 | ||||||
Banco Nacional de Panama | ||||||||
2.500%, 8–11–30 (G) | 200 | 198 | ||||||
|
| |||||||
1,009 | ||||||||
|
| |||||||
Total Panama – 0.4% |
| 1,824 | ||||||
Peru |
| |||||||
Consumer Discretionary – 0.2% |
| |||||||
InRetail Shopping Malls | ||||||||
5.750%, 4–3–28 (G) | 1,000 | 1,029 | ||||||
|
| |||||||
Financials – 0.6% |
| |||||||
Banco de Credito del Peru | ||||||||
4.250%, 4–1–23 (G) | 550 | 589 | ||||||
Banco Internacional del Peru S.A. | ||||||||
3.250%, 10–4–26 (G) | 1,500 | 1,564 | ||||||
Corporacion Financiera de Desarrolla S.A. | ||||||||
2.400%, 9–28–27 (G) | 500 | 504 | ||||||
|
| |||||||
2,657 | ||||||||
|
| |||||||
Utilities – 0.5% |
| |||||||
Fenix Power Peru S.A. | ||||||||
4.317%, 9–20–27 | 705 | 714 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Utilities (Continued) |
| |||||||
Kallpa Generacion S.A. | ||||||||
4.875%, 5–24–26 (G) | $ | 1,000 | $ | 1,077 | ||||
|
| |||||||
1,791 | ||||||||
|
| |||||||
Total Peru – 1.3% |
| 5,477 | ||||||
Philippines |
| |||||||
Industrials – 0.1% |
| |||||||
International Container Terminal Services, Inc. | ||||||||
4.750%, 6–17–30 | 200 | 209 | ||||||
|
| |||||||
Total Philippines – 0.1% |
| 209 | ||||||
Russia |
| |||||||
Materials – 0.1% |
| |||||||
Petropavlovsk 2016 Ltd. (GTD by Petropavlovsk plc, JSC Pokrovskiy Rudnik, LLC Albynskiy Rudnik and LLC Malomirskiy Rudnik) | ||||||||
8.125%, 11–14–22 (G) | 250 | 260 | ||||||
|
| |||||||
Total Russia – 0.1% |
| 260 | ||||||
Saint Lucia |
| |||||||
Communication Services – 0.5% |
| |||||||
Digicel International Finance Ltd. | ||||||||
8.750%, 5–25–24 (G) | 1,872 | 1,879 | ||||||
|
| |||||||
Total Saint Lucia – 0.5% |
| 1,879 | ||||||
Singapore |
| |||||||
Financials – 0.0% |
| |||||||
Oversea-Chinese Banking Corp. Ltd. | ||||||||
1.832%, 9–10–30 (D)(G) | 200 | 199 | ||||||
|
| |||||||
Total Singapore – 0.0% |
| 199 | ||||||
South Korea |
| |||||||
Communication Services – 0.1% |
| |||||||
SK Telecom Co. Ltd. | ||||||||
3.750%, 4–16–23 (G) | 500 | 535 | ||||||
|
| |||||||
Financials – 0.6% |
| |||||||
Hyundai Capital Services, Inc. | ||||||||
3.750%, 3–5–23 (G) | 900 | 953 | ||||||
Kookmin Bank | ||||||||
2.125%, 10–21–20 (G) | 750 | 751 | ||||||
Woori Bank | ||||||||
2.625%, 7–20–21 (G) | 750 | 761 | ||||||
|
| |||||||
2,465 | ||||||||
|
| |||||||
Total South Korea – 0.7% |
| 3,000 | ||||||
Spain |
| |||||||
Financials – 0.4% |
| |||||||
Banco Santander S.A. | ||||||||
2.706%, 6–27–24 | 1,400 | 1,483 |
34 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO STRATEGIC INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Financials (Continued) |
| |||||||
Mapfre S.A. | ||||||||
4.375%, 3–31–47 (F) | EUR | 100 | $ | 131 | ||||
|
| |||||||
1,614 | ||||||||
|
| |||||||
Total Spain – 0.4% |
| 1,614 | ||||||
Sweden |
| |||||||
Financials – 0.0% |
| |||||||
Skandinaviska Enskilda Banken AB | ||||||||
1.375%, 10–31–28 (F) | 100 | 119 | ||||||
|
| |||||||
Information Technology – 0.1% |
| |||||||
Verisure Holding AB (3-Month EURIBOR plus 500 bps): | ||||||||
5.000%, 4–15–25 (F)(H) | 200 | 237 | ||||||
5.000%, 4–15–25 (F)(G)(H) | 100 | 118 | ||||||
|
| |||||||
355 | ||||||||
|
| |||||||
Total Sweden – 0.1% |
| 474 | ||||||
Switzerland |
| |||||||
Financials – 0.2% |
| |||||||
Credit Suisse Group AG | ||||||||
4.282%, 1–9–28 (G) | $ | 700 | 794 | |||||
|
| |||||||
Total Switzerland – 0.2% |
| 794 | ||||||
Turkey |
| |||||||
Industrials – 0.4% |
| |||||||
Koc Holding A.S. | ||||||||
6.500%, 3–11–25 (G) | 1,700 | 1,721 | ||||||
Mersin Uluslararasi Liman Isletmeciligi A.S. | ||||||||
5.375%, 11–15–24 (G) | 200 | 203 | ||||||
|
| |||||||
1,924 | ||||||||
|
| |||||||
Total Turkey – 0.4% |
| 1,924 | ||||||
United Arab Emirates |
| |||||||
Consumer Discretionary – 0.2% |
| |||||||
GEMS MENASA Cayman Ltd. and GEMS Education Delaware LLC | ||||||||
7.125%, 7–31–26 (G) | 800 | 792 | ||||||
|
| |||||||
Energy – 0.4% |
| |||||||
Abu Dhabi National Energy Co.: | ||||||||
4.375%, 4–23–25 (G) | 1,400 | 1,573 | ||||||
4.000%, 10–3–49 | 200 | 234 | ||||||
|
| |||||||
1,807 | ||||||||
|
| |||||||
Financials – 0.4% |
| |||||||
ICICI Bank Ltd. | ||||||||
4.000%, 3–18–26 (G) | 1,200 | 1,266 | ||||||
NBK Tier 1 Financing (2) Ltd. | ||||||||
4.500%, 5–27–68 (G) | 300 | 296 | ||||||
|
| |||||||
1,562 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Industrials – 0.0% |
| |||||||
DP World plc | ||||||||
4.700%, 9–30–49 | $ | 200 | $ | 202 | ||||
|
| |||||||
Total United Arab Emirates – 1.0% |
| 4,363 | ||||||
United Kingdom |
| |||||||
Communication Services – 0.1% |
| |||||||
Liquid Telecommunications Financing plc (GTD by Liquid Telecommunications Holdings Ltd.) | ||||||||
8.500%, 7–13–22 (G) | 400 | 404 | ||||||
Virgin Media Secured Finance plc | ||||||||
4.250%, 1–15–30 (F) | GBP | 122 | 155 | |||||
|
| |||||||
559 | ||||||||
|
| |||||||
Consumer Staples – 0.4% |
| |||||||
Imperial Tobacco Finance plc | ||||||||
3.750%, 7–21–22 (G) | $ | 1,100 | 1,149 | |||||
MARB BondCo plc | ||||||||
6.875%, 1–19–25 (G) | 600 | 621 | ||||||
|
| |||||||
1,770 | ||||||||
|
| |||||||
Energy – 0.2% |
| |||||||
EG Global Finance plc: | ||||||||
4.375%, 2–7–25 (F)(G) | EUR | 186 | 206 | |||||
6.250%, 10–30–25 (F)(G) | 109 | 127 | ||||||
KCA Deutag UK Finance plc | ||||||||
7.250%, 5–15–21 (G) | $ | 1,000 | 467 | |||||
|
| |||||||
800 | ||||||||
|
| |||||||
Financials – 2.0% |
| |||||||
ANZ New Zealand International Ltd. | ||||||||
3.450%, 1–21–28 (G) | 500 | 570 | ||||||
Ardonagh Midco 2 plc | ||||||||
11.500%, 1–15–27 (G) | 1,123 | 1,134 | ||||||
Barclays plc | ||||||||
4.337%, 1–10–28 | 700 | 779 | ||||||
Galaxy Bidco Ltd. | ||||||||
6.500%, 7–31–26 (F) | GBP | 200 | 263 | |||||
HSBC Holdings plc | ||||||||
4.583%, 6–19–29 | $ | 800 | 920 | |||||
Royal Bank of Scotland Group plc (The) | ||||||||
6.000%, 12–19–23 | 900 | 1,013 | ||||||
State Bank of India | ||||||||
4.375%, 1–24–24 (G) | 2,500 | 2,668 | ||||||
VMED O2 UK Financing I plc | ||||||||
3.250%, 1–31–31 (F)(G) | EUR | 200 | 233 | |||||
|
| |||||||
7,580 | ||||||||
|
| |||||||
Health Care – 0.1% |
| |||||||
SYNLAB Bondco plc (3-Month EURIBOR plus 475 bps) | ||||||||
4.492%, 7–1–25 (F)(G)(H) | 200 | 237 | ||||||
|
| |||||||
Information Technology – 0.0% |
| |||||||
Paymentsense Ltd. | ||||||||
8.000%, 10–15–25 (F)(G) | GBP | 100 | 134 | |||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Materials – 0.0% |
| |||||||
AngloGold Ashanti Holdings plc | ||||||||
6.500%, 4–15–40 | $ | 120 | $ | 145 | ||||
|
| |||||||
Total United Kingdom – 2.8% |
| 11,225 | ||||||
United States |
| |||||||
Communication Services – 4.5% |
| |||||||
Cablevision Lightpath LLC | ||||||||
5.625%, 9–15–28 (G) | 227 | 231 | ||||||
CCO Holdings LLC and CCO Holdings Capital Corp.: | ||||||||
5.000%, 2–1–28 (G) | 909 | 955 | ||||||
4.500%, 8–15–30 (G) | 433 | 455 | ||||||
4.500%, 5–1–32 (G) | 110 | 115 | ||||||
Clear Channel Outdoor Holdings, Inc. | ||||||||
5.125%, 8–15–27 (G) | 996 | 956 | ||||||
Clear Channel Worldwide Holdings, Inc. | ||||||||
9.250%, 2–15–24 | 706 | 684 | ||||||
Consolidated Communications, Inc. | ||||||||
6.500%, 10–1–28 (G) | 446 | 455 | ||||||
CSC Holdings LLC: | ||||||||
5.500%, 5–15–26 (G) | 500 | 520 | ||||||
5.375%, 2–1–28 (G) | 1,214 | 1,282 | ||||||
5.750%, 1–15–30 (G) | 248 | 264 | ||||||
DISH DBS Corp.: | ||||||||
5.875%, 11–15–24 | 354 | 364 | ||||||
7.750%, 7–1–26 | 620 | 682 | ||||||
7.375%, 7–1–28 (G) | 133 | 137 | ||||||
Front Range BidCo, Inc. | ||||||||
4.000%, 3–1–27 (G) | 123 | 121 | ||||||
Frontier Communications Corp.: | ||||||||
7.125%, 1–15–23 (A) | 43 | 17 | ||||||
6.875%, 1–15–25 (A) | 1,122 | 425 | ||||||
11.000%, 9–15–25 (A) | 1,751 | 736 | ||||||
8.500%, 4–1–26 (A)(G) | 2,597 | 2,620 | ||||||
8.000%, 4–1–27 (A)(G) | 1,928 | 1,921 | ||||||
9.000%, 8–15–31 (A) | 43 | 16 | ||||||
GCI LLC | ||||||||
4.750%, 10–15–28 (G) | 142 | 144 | ||||||
Lamar Media Corp. | ||||||||
4.000%, 2–15–30 (G) | 107 | 107 | ||||||
Level 3 Financing, Inc. | ||||||||
3.625%, 1–15–29 (G) | 125 | 123 | ||||||
MDC Partners, Inc. | ||||||||
6.500%, 5–1–24 (G) | 631 | 576 | ||||||
Northwest Fiber LLC | ||||||||
10.750%, 6–1–28 (G) | 162 | 177 | ||||||
West Corp. | ||||||||
8.500%, 10–15–25 (G) | 3,594 | 3,126 | ||||||
Windstream Escrow LLC | ||||||||
7.750%, 8–15–28 (G) | 1,416 | 1,391 | ||||||
|
| |||||||
18,600 | ||||||||
|
| |||||||
Consumer Discretionary – 5.9% |
| |||||||
Abercrombie & Fitch Management Co. (GTD by Abercrombie & Fitch Co.) | ||||||||
8.750%, 7–15–25 (G) | 465 | 489 |
2020 | ANNUAL REPORT | 35 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO STRATEGIC INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Discretionary (Continued) |
| |||||||
Asbury Automotive Group, Inc.: | ||||||||
4.500%, 3–1–28 (G) | $ | 438 | $ | 440 | ||||
4.750%, 3–1–30 (G) | 771 | 776 | ||||||
Beacon Roofing Supply, Inc. | ||||||||
4.500%, 11–15–26 (G) | 84 | 87 | ||||||
Boyd Gaming Corp.: | ||||||||
8.625%, 6–1–25 (G) | 129 | 142 | ||||||
4.750%, 12–1–27 | 357 | 350 | ||||||
Boyne USA, Inc. | ||||||||
7.250%, 5–1–25 (G) | 476 | 497 | ||||||
Carnival Corp. | ||||||||
9.875%, 8–1–27 (G) | 283 | 299 | ||||||
Carvana Co. | ||||||||
8.875%, 10–1–23 (G) | 482 | 503 | ||||||
Cedar Fair Entertainment Co., Magnum Management Corp., Canada’s Wonderland Co. and Millennium Operations LLC | ||||||||
5.500%, 5–1–25 (G) | 847 | 870 | ||||||
Cedar Fair L.P., Magnum Management Corp., Canada’s Wonderland Co. and Millennium Operations LLC | ||||||||
5.375%, 4–15–27 | 405 | 403 | ||||||
Churchill Downs, Inc. | ||||||||
5.500%, 4–1–27 (G) | 107 | 112 | ||||||
Colt Merger Sub, Inc.: | ||||||||
6.250%, 7–1–25 (G) | 531 | 553 | ||||||
8.125%, 7–1–27 (G) | 816 | 865 | ||||||
Everi Payments, Inc. | ||||||||
7.500%, 12–15–25 (G) | 659 | 646 | ||||||
Ford Motor Co.: | ||||||||
8.500%, 4–21–23 | 262 | 286 | ||||||
9.000%, 4–22–25 | 262 | 300 | ||||||
Golden Nugget, Inc. | ||||||||
6.750%, 10–15–24 (G) | 1,042 | 870 | ||||||
K. Hovnanian Enterprises, Inc. | ||||||||
10.500%, 2–15–26 (G) | 700 | 689 | ||||||
Ken Garff Automotive LLC | ||||||||
4.875%, 9–15–28 (G) | 143 | 141 | ||||||
L Brands, Inc.: | ||||||||
6.875%, 7–1–25 (G) | 67 | 72 | ||||||
9.375%, 7–1–25 (G) | 121 | 139 | ||||||
6.625%, 10–1–30 (G) | 285 | 290 | ||||||
Laureate Education, Inc. | ||||||||
8.250%, 5–1–25 (G) | 356 | 377 | ||||||
Lithia Motors, Inc.: | ||||||||
5.250%, 8–1–25 (G) | 105 | 108 | ||||||
4.625%, 12–15–27 (G) | 158 | 163 | ||||||
4.375%, 1–15–31 | 227 | 227 | ||||||
Live Nation Entertainment, Inc. | ||||||||
4.750%, 10–15–27 (G) | 258 | 242 | ||||||
Marriott Ownership Resorts, Inc. (GTD by Marriott Vacations Worldwide Corp.) | ||||||||
6.125%, 9–15–25 (G) | 306 | 320 | ||||||
Michaels Stores, Inc.: | ||||||||
8.000%, 7–15–27 (G) | 606 | 633 | ||||||
4.750%, 10–1–27 (G) | 142 | 141 | ||||||
NCL Corp. Ltd.: | ||||||||
12.250%, 5–15–24 (G) | 1,149 | 1,287 | ||||||
10.250%, 2–1–26 (G) | 347 | 361 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Discretionary (Continued) |
| |||||||
Nielsen Finance LLC and Nielsen Finance Co.: | ||||||||
5.625%, 10–1–28 (G) | $ | 429 | $ | 441 | ||||
5.875%, 10–1–30 (G) | 357 | 369 | ||||||
Party City Holdings, Inc. (5.000% Cash and 5.000% PIK) | ||||||||
10.000%, 8–15–26 (G)(I) | 40 | 34 | ||||||
Party City Holdings, Inc. (6-Month U.S. LIBOR plus 500 bps) | ||||||||
5.750%, 7–15–25 (G)(H) | 75 | 54 | ||||||
POWDR Corp. | ||||||||
6.000%, 8–1–25 (G) | 144 | 147 | ||||||
Ross Stores, Inc. | ||||||||
4.800%, 4–15–30 | 800 | 970 | ||||||
Scientific Games International, Inc. (GTD by Scientific Games Corp.): | ||||||||
5.000%, 10–15–25 (G) | 177 | 178 | ||||||
8.250%, 3–15–26 (G) | 1,000 | 1,046 | ||||||
7.000%, 5–15–28 (G) | 47 | 47 | ||||||
7.250%, 11–15–29 (G) | 47 | 48 | ||||||
Service Corp. International | ||||||||
5.125%, 6–1–29 | 341 | 378 | ||||||
Six Flags Theme Parks, Inc. | ||||||||
7.000%, 7–1–25 (G) | 52 | 55 | ||||||
Sonic Automotive, Inc. | ||||||||
6.125%, 3–15–27 | 213 | 220 | ||||||
Staples, Inc.: | ||||||||
7.500%, 4–15–26 (G) | 4,500 | 4,147 | ||||||
10.750%, 4–15–27 (G) | 1,335 | 1,070 | ||||||
Volkswagen Group of America, Inc. | ||||||||
4.250%, 11–13–23 (G) | 1,000 | 1,099 | ||||||
|
| |||||||
23,981 | ||||||||
|
| |||||||
Consumer Staples – 2.6% |
| |||||||
Anheuser-Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB) | ||||||||
4.000%, 4–13–28 | 850 | 982 | ||||||
Bunge Ltd. Finance Corp. | ||||||||
3.500%, 11–24–20 | 980 | 984 | ||||||
JBS USA LLC and JBS USA Finance, Inc.: | ||||||||
5.875%, 7–15–24 (G) | 671 | 685 | ||||||
5.750%, 6–15–25 (G) | 1,017 | 1,048 | ||||||
JBS USA Lux S.A. and JBS USA Finance, Inc. | ||||||||
6.750%, 2–15–28 (G) | 1,014 | 1,103 | ||||||
JBS USA, JBS USA Food Co. and JBS USA Finance, Inc. (GTD by JBS S.A.): | ||||||||
6.500%, 4–15–29 (G) | 308 | 342 | ||||||
5.500%, 1–15–30 (G) | 110 | 120 | ||||||
Keurig Dr Pepper, Inc. | ||||||||
4.597%, 5–25–28 | 775 | 930 | ||||||
NBM U.S. Holdings, Inc. | ||||||||
7.000%, 5–14–26 | 200 | 212 | ||||||
Pilgrim’s Pride Corp.: | ||||||||
5.750%, 3–15–25 (G) | 170 | 173 | ||||||
5.875%, 9–30–27 (G) | 636 | 657 | ||||||
Post Holdings, Inc. | ||||||||
5.750%, 3–1–27 (G) | 1,185 | 1,246 | ||||||
Reynolds American, Inc. | ||||||||
4.450%, 6–12–25 | 800 | 900 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Staples (Continued) |
| |||||||
Simmons Foods, Inc.: | ||||||||
7.750%, 1–15–24 (G) | $ | 314 | $ | 329 | ||||
5.750%, 11–1–24 (G) | 1,393 | 1,394 | ||||||
|
| |||||||
11,105 | ||||||||
|
| |||||||
Energy – 2.1% |
| |||||||
Bellatrix Exploration Ltd. | ||||||||
8.500%, 9–11–23 (A) | 228 | — | ||||||
Bellatrix Exploration Ltd. (3.000% Cash or 9.500% PIK) | ||||||||
9.500%, 12–15–23 (A)(I) | 249 | — | ||||||
Callon Petroleum Co. (GTD by Callon Petroleum Operating Co.): | ||||||||
6.125%, 10–1–24 | 200 | 57 | ||||||
6.375%, 7–1–26 | 246 | 60 | ||||||
Comstock Escrow Corp. | ||||||||
9.750%, 8–15–26 | 2,357 | 2,425 | ||||||
Comstock Resources, Inc. | ||||||||
9.750%, 8–15–26 | 71 | 73 | ||||||
Crestwood Midstream Partners L.P. and Crestwood Midstream Finance Corp. | ||||||||
6.250%, 4–1–23 | 284 | 278 | ||||||
Crownrock L.P. | ||||||||
5.625%, 10–15–25 (G) | 1,333 | 1,256 | ||||||
Endeavor Energy Resources L.P.: | ||||||||
5.500%, 1–30–26 (G) | 513 | 509 | ||||||
5.750%, 1–30–28 (G) | 347 | 349 | ||||||
Endeavor Energy Resources L.P. and EER Finance, Inc. | ||||||||
6.625%, 7–15–25 (G) | 324 | 333 | ||||||
EP Energy LLC and Everest Acquisition Finance, Inc.: | ||||||||
9.375%, 5–1–24 (A)(G) | 235 | — | * | |||||
8.000%, 2–15–25 (A)(G) | 248 | — | * | |||||
7.750%, 5–15–26 (A)(G) | 367 | 80 | ||||||
EQT Corp. | ||||||||
7.875%, 2–1–25 (J) | 215 | 238 | ||||||
Laredo Petroleum, Inc.: | ||||||||
9.500%, 1–15–25 | 705 | 420 | ||||||
10.125%, 1–15–28 (D) | 470 | 278 | ||||||
Moss Creek Resources Holdings, Inc. | ||||||||
7.500%, 1–15–26 (G) | 538 | 323 | ||||||
Nine Energy Service, Inc. | ||||||||
8.750%, 11–1–23 (G) | 375 | 112 | ||||||
PBF Holding Co. LLC: | ||||||||
9.250%, 5–15–25 (G) | 152 | 156 | ||||||
6.000%, 2–15–28 (G) | 234 | 157 | ||||||
QEP Resources, Inc.: | ||||||||
5.250%, 5–1–23 | 228 | 166 | ||||||
5.625%, 3–1–26 | 210 | 119 | ||||||
Rattler Midstream L.P. | ||||||||
5.625%, 7–15–25 (G) | 290 | 292 | ||||||
Reliance Industries Ltd. | ||||||||
4.500%, 10–19–20 | 500 | 501 | ||||||
Sanchez Energy Corp. | ||||||||
0.000%, 2–15–23 (C)(E)(K) | 122 | — | ||||||
|
| |||||||
8,182 | ||||||||
|
|
36 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO STRATEGIC INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Financials – 6.2% |
| |||||||
Alliance Data Systems Corp. | ||||||||
4.750%, 12–15–24 (G) | $ | 662 | $ | 621 | ||||
Amwins Group, Inc. | ||||||||
7.750%, 7–1–26 (G) | 731 | 782 | ||||||
Bank of America Corp. | ||||||||
3.593%, 7–21–28 | 900 | 1,009 | ||||||
BBVA Bancomer S.A.: | ||||||||
6.500%, 3–10–21 (G) | 265 | 270 | ||||||
1.875%, 9–18–25 (G) | 600 | 586 | ||||||
5.875%, 9–13–34 (G) | 1,300 | 1,321 | ||||||
BCPE Cycle Merger Sub II, Inc. | ||||||||
10.625%, 7–15–27 (G) | 990 | 1,049 | ||||||
Citigroup, Inc. | ||||||||
3.520%, 10–27–28 | 950 | 1,056 | ||||||
Compass Group Diversified Holdings LLC | ||||||||
8.000%, 5–1–26 (G) | 1,396 | 1,466 | ||||||
Cooperatieve Rabobank U.A. | ||||||||
3.125%, 4–26–21 | 750 | 762 | ||||||
CURO Group Holdings Corp. | ||||||||
8.250%, 9–1–25 (G) | 549 | 460 | ||||||
Ford Motor Credit Co. LLC | ||||||||
3.096%, 5–4–23 | 1,300 | 1,269 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||
3.814%, 4–23–29 | 1,000 | 1,138 | ||||||
Industrial and Commercial Bank of China Ltd. | ||||||||
2.957%, 11–8–22 | 750 | 779 | ||||||
INTL FCStone, Inc. | ||||||||
8.625%, 6–15–25 (G) | 634 | 685 | ||||||
JPMorgan Chase & Co.: | ||||||||
3.540%, 5–1–28 | 800 | 896 | ||||||
4.000%, 10–1–68 | 700 | 661 | ||||||
MetLife, Inc. | ||||||||
10.750%, 8–1–39 | 530 | 861 | ||||||
Metropolitan Life Global Funding I | ||||||||
2.950%, 4–9–30 (G) | 500 | 561 | ||||||
NFP Corp.: | ||||||||
7.000%, 5–15–25 (G) | 259 | 275 | ||||||
6.875%, 8–15–28 (G) | 3,264 | 3,299 | ||||||
Provident Funding Associates L.P. and PFG Finance Corp. | ||||||||
6.375%, 6–15–25 (G) | 1,189 | 1,150 | ||||||
Refinitiv U.S. Holdings, Inc. | ||||||||
8.250%, 11–15–26 (G) | 1,135 | 1,244 | ||||||
TerraForm Global Operating LLC (GTD by TerraForm Global LLC) | ||||||||
6.125%, 3–1–26 (G) | 800 | 814 | ||||||
TerraForm Power Operating LLC (GTD by TerraForm Power LLC): | ||||||||
5.000%, 1–31–28 (G) | 83 | 91 | ||||||
4.750%, 1–15–30 (G) | 313 | 332 | ||||||
Wells Fargo & Co. | ||||||||
4.300%, 7–22–27 | 875 | 1,000 | ||||||
|
| |||||||
24,437 | ||||||||
|
| |||||||
Health Care – 2.8% |
| |||||||
Bausch Health Cos., Inc.: | ||||||||
9.000%, 12–15–25 (G) | 167 | 181 | ||||||
9.250%, 4–1–26 (G) | 488 | 537 | ||||||
8.500%, 1–31–27 (G) | 929 | 1,021 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Health Care (Continued) |
| |||||||
Bayer U.S. Finance II LLC | ||||||||
2.850%, 4–15–25 (G) | $ | 1,000 | $ | 1,026 | ||||
Catalent Pharma Solutions, Inc. | ||||||||
2.375%, 3–1–28 (F)(G) | EUR | 184 | 207 | |||||
Fresenius U.S. Finance II, Inc.: | ||||||||
4.250%, 2–1–21 (G) | $ | 600 | 607 | |||||
4.500%, 1–15–23 (G) | 1,100 | 1,172 | ||||||
Heartland Dental LLC | ||||||||
8.500%, 5–1–26 (G) | 894 | 889 | ||||||
Hologic, Inc. | ||||||||
3.250%, 2–15–29 (G) | 215 | 216 | ||||||
Par Pharmaceutical, Inc. | ||||||||
7.500%, 4–1–27 (G) | 510 | 534 | ||||||
RegionalCare Hospital Partners Holdings, Inc. and Legend Merger Sub, Inc. | ||||||||
9.750%, 12–1–26 (G) | 644 | 684 | ||||||
Surgery Center Holdings, Inc. | ||||||||
10.000%, 4–15–27 (G) | 1,272 | 1,355 | ||||||
Verscend Holding Corp. | ||||||||
9.750%, 8–15–26 (G) | 2,141 | 2,328 | ||||||
|
| |||||||
10,757 | ||||||||
|
| |||||||
Industrials – 3.0% |
| |||||||
Ahern Rentals, Inc. | ||||||||
7.375%, 5–15–23 (G) | 770 | 408 | ||||||
APX Group, Inc. (GTD by APX Group Holdings, Inc.) | ||||||||
7.625%, 9–1–23 (D) | 406 | 410 | ||||||
Arconic Rolled Products Corp. | ||||||||
6.125%, 2–15–28 (G) | 94 | 97 | ||||||
BAE Systems Holdings, Inc. | ||||||||
3.800%, 10–7–24 (G) | 500 | 555 | ||||||
Boeing Co. (The) | ||||||||
4.508%, 5–1–23 | 650 | 684 | ||||||
Energizer Holdings, Inc. | ||||||||
6.375%, 7–15–26 (G) | 711 | 764 | ||||||
JELD-WEN, Inc. | ||||||||
6.250%, 5–15–25 (G) | 115 | 122 | ||||||
Mileage Plus Holdings LLC | ||||||||
6.500%, 6–20–27 (G) | 504 | 525 | ||||||
Prime Security Services Borrower LLC and Prime Finance, Inc. | ||||||||
6.250%, 1–15–28 (G) | 352 | 356 | ||||||
Standard Industries, Inc.: | ||||||||
2.250%, 11–21–26 (F)(G) | EUR | 100 | 112 | |||||
3.375%, 1–15–31 (G) | $ | 137 | 135 | |||||
TransDigm UK Holdings plc | ||||||||
6.875%, 5–15–26 | 1,413 | 1,420 | ||||||
TransDigm, Inc. (GTD by TransDigm Group, Inc.): | ||||||||
6.500%, 5–15–25 | 215 | 214 | ||||||
6.250%, 3–15–26 (G) | 1,499 | 1,572 | ||||||
6.375%, 6–15–26 | 287 | 288 | ||||||
7.500%, 3–15–27 | 474 | 492 | ||||||
5.500%, 11–15–27 | 1,248 | 1,200 | ||||||
United Rentals (North America), Inc. (GTD by United Rentals, Inc.) | ||||||||
3.875%, 11–15–27 | 60 | 62 | ||||||
Waste Pro USA, Inc. | ||||||||
5.500%, 2–15–26 (G) | 94 | 95 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Industrials (Continued) |
| |||||||
Wolverine Escrow LLC: | ||||||||
8.500%, 11–15–24 (G) | $ | 1,291 | $ | 1,059 | ||||
9.000%, 11–15–26 (G) | 1,883 | 1,553 | ||||||
13.125%, 11–15–27 (G) | 142 | 99 | ||||||
|
| |||||||
12,222 | ||||||||
|
| |||||||
Information Technology – 1.3% |
| |||||||
ACI Worldwide, Inc. | ||||||||
5.750%, 8–15–26 (G) | 17 | 18 | ||||||
Booz Allen Hamilton, Inc. | ||||||||
3.875%, 9–1–28 (G) | 114 | 117 | ||||||
Boxer Parent Co., Inc. | ||||||||
6.500%, 10–2–25 (F)(G) | EUR | 100 | 121 | |||||
Broadcom, Inc. | ||||||||
5.000%, 4–15–30 | $ | 800 | 944 | |||||
Entegris, Inc. | ||||||||
4.375%, 4–15–28 (G) | 63 | 65 | ||||||
Itron, Inc. | ||||||||
5.000%, 1–15–26 (G) | 762 | 781 | ||||||
j2 Cloud Services LLC and j2 Global, Inc. | ||||||||
6.000%, 7–15–25 (G) | 270 | 281 | ||||||
NCR Corp.: | ||||||||
8.125%, 4–15–25 (G) | 210 | 232 | ||||||
5.750%, 9–1–27 (G) | 136 | 142 | ||||||
5.000%, 10–1–28 (G) | 424 | 424 | ||||||
6.125%, 9–1–29 (G) | 174 | 184 | ||||||
5.250%, 10–1–30 (G) | 141 | 141 | ||||||
Orbcomm, Inc. | ||||||||
8.000%, 4–1–24 (G) | 884 | 857 | ||||||
Riverbed Technology, Inc. and Project Homestake Merger Corp. | ||||||||
8.875%, 3–1–23 (G) | 791 | 550 | ||||||
Sabre GLBL, Inc. (GTD by Sabre Holdings Corp.): | ||||||||
9.250%, 4–15–25 (G) | 130 | 143 | ||||||
7.375%, 9–1–25 (G) | 57 | 57 | ||||||
Science Applications International Corp. | ||||||||
4.875%, 4–1–28 (G) | 508 | 516 | ||||||
SS&C Technologies Holdings, Inc. | ||||||||
5.500%, 9–30–27 (G) | 130 | 138 | ||||||
|
| |||||||
5,711 | ||||||||
|
| |||||||
Materials – 1.3% |
| |||||||
American Greetings Corp. | ||||||||
8.750%, 4–15–25 (G) | 335 | 317 | ||||||
Crown Americas LLC and Crown Americas Capital Corp. IV | ||||||||
4.500%, 1–15–23 | 26 | 27 | ||||||
Crown Americas LLC and Crown Americas Capital Corp. V | ||||||||
4.250%, 9–30–26 | 92 | 96 | ||||||
Freeport-McMoRan, Inc. | ||||||||
4.250%, 3–1–30 | 1,335 | 1,368 | ||||||
Graphic Packaging International LLC (GTD by Graphic Packaging International Partners LLC and Field Container Queretaro (USA) LLC) | ||||||||
3.500%, 3–15–28 (G) | 323 | 323 |
2020 | ANNUAL REPORT | 37 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO STRATEGIC INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Materials (Continued) |
| |||||||
GUSAP III L.P. | ||||||||
4.250%, 1–21–30 (G) | $ | 1,100 | $ | 1,146 | ||||
Hillman Group, Inc. (The) | ||||||||
6.375%, 7–15–22 (G) | 2,039 | 1,993 | ||||||
Reynolds Group Issuer, Inc., Reynolds Group Issuer LLC and Reynolds Group Issuer (Luxembourg) S.A. | ||||||||
5.125%, 7–15–23 (G) | 67 | 68 | ||||||
|
| |||||||
5,338 | ||||||||
|
| |||||||
Real Estate – 0.5% |
| |||||||
Aircastle Ltd. | ||||||||
4.400%, 9–25–23 | 800 | 794 | ||||||
Crown Castle International Corp. | ||||||||
3.700%, 6–15–26 | 1,100 | 1,227 | ||||||
|
| |||||||
2,021 | ||||||||
|
| |||||||
Utilities – 0.4% |
| |||||||
Clearway Energy Operating LLC | ||||||||
5.750%, 10–15–25 | 371 | 391 | ||||||
HAT Holdings I LLC and HAT Holdings II LLC (GTD by Hannon Armstrong Sustainable Infrastructure Capital, Inc.): | ||||||||
6.000%, 4–15–25 (G) | 1,028 | 1,095 | ||||||
3.750%, 9–15–30 (G) | 122 | 122 | ||||||
|
| |||||||
1,608 | ||||||||
|
| |||||||
Total United States – 30.6% |
| 123,962 | ||||||
Uruguay |
| |||||||
Industrials – 0.1% |
| |||||||
Navios South American Logistics, Inc. and Navios Logistics Finance (U.S.), Inc. | ||||||||
10.750%, 7–1–25 (G) | 400 | 424 | ||||||
|
| |||||||
Total Uruguay – 0.1% |
| 424 | ||||||
Venezuela |
| |||||||
Financials – 0.5% |
| |||||||
Corporacion Andina de Fomento: | ||||||||
4.375%, 6–15–22 | 1,500 | 1,584 | ||||||
2.375%, 5–12–23 | 320 | 332 | ||||||
|
| |||||||
1,916 | ||||||||
|
| |||||||
Total Venezuela – 0.5% |
| 1,916 | ||||||
Vietnam |
| |||||||
Energy – 0.2% |
| |||||||
Mong Duong Finance Holdings B.V. | ||||||||
5.125%, 5–7–29 (G) | 650 | 662 | ||||||
|
| |||||||
Total Vietnam – 0.2% |
| 662 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 66.7% |
| $ | 267,971 | |||||
(Cost: $264,852) |
|
MORTGAGE-BACKED SECURITIES | Principal | Value | ||||||
Cayman Islands – 0.8% |
| |||||||
ALM Loan Funding VII R-2 Ltd., Series 2013-7R2A, Class DR2 (3-Month U.S. LIBOR plus 600 bps) | ||||||||
6.275%, 10–15–27 (G)(H) | $ | 1,000 | $ | 848 | ||||
Diameter Credit Funding II Ltd., Series 2019-2A, Class A | ||||||||
3.940%, 1–25–38 (G) | 1,000 | 1,004 | ||||||
Diameter Credit Funding II Ltd., Series 2019-2A, Class B | ||||||||
4.540%, 1–25–38 (G) | 500 | 501 | ||||||
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class C (3-Month U.S. LIBOR plus 250 bps) | ||||||||
2.775%, 4–15–33 (G)(H) | 250 | 250 | ||||||
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class D (3-Month U.S. LIBOR plus 350 bps) | ||||||||
3.775%, 4–15–33 (G)(H) | 250 | 249 | ||||||
Gulf Stream Meridian 1 Ltd., Series 2020-IA, Class E (3-Month U.S. LIBOR plus 645 bps) | ||||||||
8.220%, 4–15–33 (G)(H) | 250 | 221 | ||||||
Highbridge Loan Management Ltd., Series 2014-4A, Class DR (3-Month U.S. LIBOR plus 555 bps) | ||||||||
5.797%, 1–28–30 (G)(H) | 250 | 210 | ||||||
|
| |||||||
3,283 | ||||||||
|
| |||||||
United States – 1.2% |
| |||||||
Ashford Hospitality Trust, Series 2018-ASHF, Class F (1-Month U.S. LIBOR plus 410 bps) | ||||||||
4.252%, 4–15–35 (G)(H) | 600 | 461 | ||||||
Atrium Hotel Portfolio Trust, Series 2017-ATRM, Class F (1-Month U.S. LIBOR plus 420 bps) | ||||||||
4.027%, 12–15–36 (G)(H) | 400 | 290 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-FRR1, Class A-K10 | ||||||||
4.286%, 11–27–49 (G) | 2,089 | 2,078 | ||||||
PNMAC GMSR Issuer Trust, Series 2018-GT1 (1-Month U.S. LIBOR plus 285 bps) | ||||||||
2.998%, 2–25–23 (G)(H) | 2,000 | 1,952 | ||||||
|
| |||||||
4,781 | ||||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES – 2.0% |
| $ | 8,064 | |||||
(Cost: $8,553) |
| |||||||
OTHER GOVERNMENT SECURITIES (L) | ||||||||
Argentina – 0.2% |
| |||||||
Republic of Argentina: | ||||||||
1.000%, 7–9–29 | 57 | 26 | ||||||
0.125%, 7–9–30 | 1,649 | 688 | ||||||
|
| |||||||
714 | ||||||||
|
| |||||||
Colombia – 0.1% |
| |||||||
Republic of Colombia | ||||||||
3.125%, 4–15–31 | 200 | 205 | ||||||
|
|
OTHER GOVERNMENT SECURITIES (L) (Continued) | Principal | Value | ||||||
Columbia – 0.5% |
| |||||||
Republic of Colombia: | ||||||||
2.625%, 3–15–23 | $ | 1,100 | $ | 1,126 | ||||
4.500%, 3–15–29 | 800 | 898 | ||||||
|
| |||||||
2,024 | ||||||||
|
| |||||||
Costa Rica – 0.1% |
| |||||||
Costa Rica Government Bond | ||||||||
4.250%, 1–26–23 (G) | 400 | 386 | ||||||
|
| |||||||
Egypt – 0.1% |
| |||||||
Arab Republic of Egypt | ||||||||
5.750%, 5–29–24 (G) | 250 | 255 | ||||||
|
| |||||||
Indonesia – 1.3% |
| |||||||
Republic of Indonesia: | ||||||||
3.750%, 4–25–22 (G) | 1,750 | 1,820 | ||||||
2.950%, 1–11–23 | 2,400 | 2,499 | ||||||
3.850%, 10–15–30 | 900 | 1,019 | ||||||
|
| |||||||
5,338 | ||||||||
|
| |||||||
Israel – 0.2% |
| |||||||
Israel Government Bond | ||||||||
2.750%, 7–3–30 | 700 | 772 | ||||||
|
| |||||||
Mexico – 0.4% |
| |||||||
United Mexican States: | ||||||||
4.150%, 3–28–27 | 1,000 | 1,111 | ||||||
3.250%, 4–16–30 | 654 | 667 | ||||||
|
| |||||||
1,778 | ||||||||
|
| |||||||
Panama – 0.2% |
| |||||||
Republic of Panama | ||||||||
3.750%, 4–17–26 | 900 | 965 | ||||||
|
| |||||||
Peru – 0.3% |
| |||||||
Republic of Peru | ||||||||
2.392%, 1–23–26 | 1,000 | 1,047 | ||||||
|
| |||||||
Poland – 0.1% |
| |||||||
Republic of Poland | ||||||||
5.125%, 4–21–21 | 500 | 513 | ||||||
|
| |||||||
Qatar – 0.2% |
| |||||||
Qatar Government Bond | ||||||||
2.375%, 6–2–21 (G) | 800 | 808 | ||||||
|
| |||||||
Saudi Arabia – 0.4% |
| |||||||
Saudi Arabia Government Bond: | ||||||||
2.375%, 10–26–21 (G) | 500 | 508 | ||||||
2.875%, 3–4–23 (D)(G) | 1,000 | 1,044 | ||||||
|
| |||||||
1,552 | ||||||||
|
| |||||||
Serbia – 0.1% |
| |||||||
Republic of Serbia | ||||||||
7.250%, 9–28–21 (G) | 250 | 265 | ||||||
|
| |||||||
South Africa – 0.1% |
| |||||||
Republic of South Africa | ||||||||
4.875%, 4–14–26 | 600 | 606 | ||||||
|
|
38 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO STRATEGIC INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
OTHER GOVERNMENT SECURITIES (L) (Continued) | Principal | Value | ||||||
Turkey – 0.1% |
| |||||||
Turkey Government Bond | ||||||||
6.350%, 8–10–24 | $ | 500 | $ | 498 | ||||
|
| |||||||
Uruguay – 0.2% |
| |||||||
Republica Orient Uruguay | ||||||||
4.500%, 8–14–24 | 600 | 655 | ||||||
|
| |||||||
Uzbekistan – 0.1% |
| |||||||
Republic of Uzbekistan | ||||||||
4.750%, 2–20–24 (G) | 250 | 262 | ||||||
|
| |||||||
Vietnam – 0.1% |
| |||||||
Vietnam Government Bond | ||||||||
4.800%, 11–19–24 (G) | 450 | 501 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 4.8% |
| $ | 19,144 | |||||
(Cost: $18,463) |
| |||||||
LOANS (H) | ||||||||
Canada |
| |||||||
Consumer Discretionary – 0.1% |
| |||||||
KIK Custom Products, Inc. (ICE LIBOR plus 400 bps) | ||||||||
5.000%, 5–15–23 | 565 | 561 | ||||||
|
| |||||||
Total Canada – 0.1% |
| 561 | ||||||
France |
| |||||||
Health Care – 0.1% |
| |||||||
Vivalto Sante Investissement S.A. (3-Month EURIBOR plus 325 bps) | ||||||||
3.000%, 7–9–26 (F) | EUR | 250 | 286 | |||||
|
| |||||||
Total France – 0.1% |
| 286 | ||||||
Germany |
| |||||||
Consumer Discretionary – 0.1% |
| |||||||
Speedster Bidco GmbH (3-Month EURIBOR plus 325 bps) | ||||||||
3.250%, 3–31–27 (F) | 250 | 280 | ||||||
|
| |||||||
Health Care – 0.1% |
| |||||||
Nidda Healthcare Holding GmbH (3-Month EURIBOR plus 350 bps) | ||||||||
3.500%, 8–21–26 (F) | 250 | 286 | ||||||
|
| |||||||
Total Germany – 0.2% |
| 566 | ||||||
Ireland |
| |||||||
Financials – 0.1% |
| |||||||
ION Trading Finance Ltd. (3-Month EURIBOR plus 325 bps) | ||||||||
4.250%, 11–21–24 (F) | 248 | 285 | ||||||
ION Trading Finance Ltd. (ICE LIBOR plus 400 bps) | ||||||||
5.000%, 11–21–24 | $ | 275 | 269 | |||||
|
| |||||||
554 | ||||||||
|
| |||||||
Total Ireland – 0.1% |
| 554 |
LOANS (H) (Continued) | Principal | Value | ||||||
Luxembourg |
| |||||||
Communication Services – 0.5% |
| |||||||
eircom Finco S.a.r.l. (3-Month EURIBOR plus 325 bps) | ||||||||
3.000%, 5–15–26 (F) | EUR | 153 | $ | 177 | ||||
Intelsat Jackson Holdings S.A. | ||||||||
0.000%, 7–13–21 (M) | $ | 197 | 201 | |||||
Intelsat Jackson Holdings S.A. (ICE LIBOR plus 375 bps) | ||||||||
8.000%, 11–27–23 (A) | 906 | 909 | ||||||
Intelsat Jackson Holdings S.A. (ICE LIBOR plus 550 bps) | ||||||||
6.500%, 7–13–21 | 197 | 200 | ||||||
Telenet International Finance S.a.r.l. (6-Month EURIBOR plus 225 bps) | ||||||||
2.250%, 4–30–29 (F) | EUR | 250 | 288 | |||||
|
| |||||||
1,775 | ||||||||
|
| |||||||
Information Technology – 0.1% |
| |||||||
ION Corporate Solutions Finance S.a.r.l. (1-Month EURIBOR plus 425 bps) | ||||||||
4.250%, 10–24–25 (F) | 347 | 398 | ||||||
|
| |||||||
Materials – 0.2% |
| |||||||
Archroma Finance S.a.r.l. (3-Month ICE LIBOR plus 425 bps) | ||||||||
5.478%, 7–28–24 (C) | $ | 344 | 326 | |||||
LSF11 Skyscraper Holdco S.a.r.l. | ||||||||
0.000%, 8–7–27 (F)(M) | EUR | 250 | 290 | |||||
|
| |||||||
616 | ||||||||
|
| |||||||
Total Luxembourg – 0.8% |
| 2,789 | ||||||
Netherlands |
| |||||||
Communication Services – 0.2% |
| |||||||
UPC Broadband Holding B.V. (3-Month EURIBOR plus 250 bps) | ||||||||
2.500%, 4–30–29 (F) | 500 | 572 | ||||||
Ziggo B.V. (3-Month EURIBOR plus 300 bps) | ||||||||
3.000%, 1–31–29 (F) | 500 | 571 | ||||||
|
| |||||||
1,143 | ||||||||
|
| |||||||
Consumer Staples – 0.3% |
| |||||||
Refresco Holding B.V. | ||||||||
0.000%, 3–29–25 (F)(M) | 500 | 580 | ||||||
Upfield B.V. (3-Month EURIBOR plus 350 bps): | ||||||||
3.500%, 7–2–25 (F) | 250 | 284 | ||||||
|
| |||||||
864 | ||||||||
|
| |||||||
Total Netherlands – 0.5% |
| 2,007 | ||||||
Saint Lucia |
| |||||||
Communication Services – 0.1% |
| |||||||
Digicel International Finance Ltd. (ICE LIBOR plus 325 bps) | ||||||||
3.800%, 5–27–24 | $ | 484 | 424 | |||||
|
| |||||||
Total Saint Lucia – 0.1% |
| 424 |
LOANS (H) (Continued) | Principal | Value | ||||||
Spain |
| |||||||
Health Care – 0.1% |
| |||||||
Grifols S.A. (3-Month EURIBOR plus 225 bps) | ||||||||
2.250%, 11–15–27 (F) | EUR | 248 | $ | 287 | ||||
|
| |||||||
Total Spain – 0.1% |
| 287 | ||||||
Sweden |
| |||||||
Information Technology – 0.1% |
| |||||||
Verisure Holding AB (3-Month EURIBOR plus 400 bps) | ||||||||
4.000%, 7–14–26 (F) | 500 | 585 | ||||||
|
| |||||||
Total Sweden – 0.1% |
| 585 | ||||||
United Kingdom |
| |||||||
Consumer Discretionary – 0.1% |
| |||||||
EG Finco Ltd. (3-Month EURIBOR plus 400 bps) | ||||||||
4.000%, 2–5–25 (F) | 496 | 552 | ||||||
|
| |||||||
Financials – 0.2% |
| |||||||
THG Operations Holdings Ltd. (3-Month EURIBOR plus 450 bps) | ||||||||
4.500%, 12–11–26 (F) | 250 | 291 | ||||||
VMED O2 UK Holdco 4 Ltd. | ||||||||
0.000%, 1–10–29 (F)(M) | 500 | 577 | ||||||
|
| |||||||
868 | ||||||||
|
| |||||||
Health Care – 0.1% |
| |||||||
Elysium Healthcare Holdings 3 Ltd. (ICE LIBOR plus 525 bps) | ||||||||
5.332%, 4–4–25 (F) | GBP | 500 | 582 | |||||
|
| |||||||
Total United Kingdom – 0.4% |
| 2,002 | ||||||
United States |
| |||||||
Communication Services – 2.7% |
| |||||||
ABG Intermediate Holdings 2 LLC (ICE LIBOR plus 350 bps) | ||||||||
4.500%, 9–29–24 | $ | 198 | 193 | |||||
Advantage Sales & Marketing, Inc. (ICE LIBOR plus 325 bps): | ||||||||
3.397%, 7–25–21 | 765 | 751 | ||||||
4.250%, 7–25–21 | 170 | 166 | ||||||
Advantage Sales & Marketing, Inc. (ICE LIBOR plus 650 bps) | ||||||||
7.500%, 7–25–22 | 530 | 509 | ||||||
CenturyLink, Inc. (ICE LIBOR plus 200 bps) | ||||||||
2.147%, 1–31–25 | 898 | 867 | ||||||
Clear Channel Outdoor Holdings, Inc. (ICE LIBOR plus 350 bps) | ||||||||
3.761%, 8–21–26 | 1,183 | 1,074 | ||||||
Consolidated Communications, Inc. | ||||||||
0.000%, 10–18–27 (M) | 820 | 810 | ||||||
CSC Holdings LLC (ICE LIBOR plus 225 bps) | ||||||||
2.402%, 7–17–25 | 208 | 201 |
2020 | ANNUAL REPORT | 39 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO STRATEGIC INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
LOANS (H) (Continued) | Principal | Value | ||||||
Communication Services (Continued) |
| |||||||
Front Range BidCo, Inc. (ICE LIBOR plus 300 bps) | ||||||||
3.147%, 3–9–27 | $ | 184 | $ | 178 | ||||
Frontier Communications Corp. | ||||||||
0.000%, 3–15–24 (A)(C)(M) | 111 | 106 | ||||||
Iridium Satellite LLC (ICE LIBOR plus 375 bps) | ||||||||
4.750%, 11–4–26 | 249 | 248 | ||||||
Newco Financing Partnership | ||||||||
0.000%, 1–31–29 (M) | 125 | 121 | ||||||
Nexstar Broadcasting, Inc. (3-Month ICE LIBOR plus 275 bps) | ||||||||
2.905%, 9–19–26 | 240 | 235 | ||||||
Northwest Fiber LLC (ICE LIBOR plus 550 bps) | ||||||||
5.656%, 5–1–27 | 1,215 | 1,212 | ||||||
Radiate Holdco LLC | ||||||||
0.000%, 9–11–26 (M) | 250 | 245 | ||||||
Recorded Books, Inc. (ICE LIBOR plus 425 bps) | ||||||||
4.156%, 8–31–25 | 420 | 417 | ||||||
Sinclair Television Group, Inc. (ICE LIBOR plus 250 bps) | ||||||||
2.650%, 9–30–26 | 248 | 241 | ||||||
T-Mobile USA, Inc. (ICE LIBOR plus 300 bps) | ||||||||
3.147%, 4–1–27 | 249 | 249 | ||||||
UPC Financing Partnership | ||||||||
0.000%, 1–31–29 (M) | 125 | 121 | ||||||
West Corp. (3-Month ICE LIBOR plus 400 bps) | ||||||||
5.000%, 10–10–24 | 2,290 | 2,072 | ||||||
Windstream Services LLC | ||||||||
0.000%, 8–11–27 (M) | 518 | 500 | ||||||
|
| |||||||
10,516 | ||||||||
|
| |||||||
Consumer Discretionary – 2.7% |
| |||||||
Academy Sports + Outdoors (ICE LIBOR plus 400 bps): | ||||||||
5.000%, 7–2–22 | 676 | 659 | ||||||
Alterra Mountain Co. (ICE LIBOR plus 450 bps) | ||||||||
5.500%, 8–1–26 (C) | 249 | 246 | ||||||
Asurion LLC (ICE LIBOR plus 600 bps) | ||||||||
6.647%, 8–4–25 | 687 | 687 | ||||||
Belron Finance U.S. LLC (ICE LIBOR plus 250 bps) | ||||||||
2.768%, 10–30–26 | 248 | 245 | ||||||
Caesars Resort Collection LLC (ICE LIBOR plus 450 bps): | ||||||||
4.647%, 7–20–25 | 167 | 161 | ||||||
4.772%, 7–20–25 | 83 | 81 | ||||||
CIF Times Square Mezz 1 LLC and CPTS Hotel Lessee Mezz 1 LLC (1-Month U.S. LIBOR plus 600 bps) | ||||||||
7.006%, 10–9–20 (A) | 794 | 40 | ||||||
Cosmopolitan of Las Vegas (The) (1-Month U.S. LIBOR plus 525 bps) | ||||||||
5.403%, 11–9–20 | 800 | 799 | ||||||
GT Polaris, Inc. (ICE LIBOR plus 400 bps) | ||||||||
5.000%, 8–4–27 | 250 | 248 |
LOANS (H) (Continued) | Principal | Value | ||||||
Consumer Discretionary (Continued) |
| |||||||
Hotel del Coronado (1-Month U.S. LIBOR plus 500 bps) | ||||||||
5.153%, 8–9–21 | $ | 120 | $ | 121 | ||||
International Cruise & Excursion Gallery, Inc. (ICE LIBOR plus 525 bps) | ||||||||
6.250%, 6–8–25 | 196 | 186 | ||||||
Jo-Ann Stores, Inc. (ICE LIBOR plus 500 bps) | ||||||||
6.000%, 10–16–23 | 862 | 734 | ||||||
Jo-Ann Stores, Inc. (ICE LIBOR plus 925 bps) | ||||||||
10.250%, 5–21–24 (C) | 784 | 611 | ||||||
New Cotai LLC (14.000% Cash or 14.000% PIK) | ||||||||
14.000%, 9–10–25 (I) | 108 | 107 | ||||||
NPC International, Inc. (ICE LIBOR plus 750 bps) | ||||||||
8.500%, 4–18–25 (A) | 616 | 28 | ||||||
Party City Holdings, Inc. | ||||||||
0.000%, 8–19–22 (M) | 440 | 358 | ||||||
Party City Holdings, Inc. (ICE LIBOR plus 250 bps): | ||||||||
3.250%, 8–19–22 | 280 | 228 | ||||||
Penn National Gaming, Inc. (ICE LIBOR plus 225 bps) | ||||||||
3.750%, 10–19–23 | 86 | 85 | ||||||
PETCO Animal Supplies, Inc. (ICE LIBOR plus 325 bps) | ||||||||
4.250%, 1–26–23 | 552 | 506 | ||||||
SIWF Holdings, Inc. (ICE LIBOR plus 425 bps) | ||||||||
4.397%, 6–15–25 | 788 | 756 | ||||||
Staples, Inc. | ||||||||
0.000%, 4–12–26 (M) | 988 | 916 | ||||||
Staples, Inc. (ICE LIBOR plus 500 bps) | ||||||||
5.251%, 4–12–26 | 1,067 | 990 | ||||||
Talbots, Inc. (The) (ICE LIBOR plus 700 bps) | ||||||||
8.000%, 11–28–22 | 692 | 544 | ||||||
TRLG Intermediate Holdings LLC | ||||||||
10.000%, 10–27–22 (A) | 146 | 64 | ||||||
United PF Holdings LLC (ICE LIBOR plus 400 bps) | ||||||||
4.220%, 12–30–26 | 628 | 548 | ||||||
United PF Holdings LLC (ICE LIBOR plus 850 bps) | ||||||||
9.500%, 11–12–26 (C) | 174 | 172 | ||||||
Wheel Pros, Inc. (ICE LIBOR plus 475 bps) | ||||||||
4.897%, 4–4–25 | 244 | 239 | ||||||
|
| |||||||
10,359 | ||||||||
|
| |||||||
Consumer Staples – 0.2% |
| |||||||
Froneri U.S., Inc. (ICE LIBOR plus 225 bps) | ||||||||
2.397%, 1–31–27 | 330 | 317 | ||||||
Shearer’s Foods LLC (ICE LIBOR plus 400 bps) | ||||||||
4.750%, 9–14–27 | 219 | 217 | ||||||
|
| |||||||
534 | ||||||||
|
|
LOANS (H) (Continued) | Principal | Value | ||||||
Energy – 0.6% |
| |||||||
California Resources Corp. (ICE LIBOR plus 1,037.50 bps) | ||||||||
11.375%, 12–31–21 (A) | $ | 510 | $ | 10 | ||||
California Resources Corp. (ICE LIBOR plus 475 bps) | ||||||||
5.750%, 12–31–22 (A) | 376 | 135 | ||||||
ChampionX Holding, Inc. (ICE LIBOR plus 500 bps) | ||||||||
6.000%, 6–3–27 (C) | 307 | 305 | ||||||
EG America LLC (ICE LIBOR plus 400 bps) | ||||||||
4.220%, 2–5–25 | 290 | 284 | ||||||
EPIC Crude Services L.P. (ICE LIBOR plus 500 bps) | ||||||||
5.260%, 3–1–26 | 1,100 | 775 | ||||||
Foresight Energy LLC (ICE LIBOR plus 800 bps) | ||||||||
9.500%, 6–29–27 | 355 | 374 | ||||||
Westmoreland Coal Co. (ICE LIBOR plus 650 bps) | ||||||||
9.250%, 3–15–22 | 101 | 91 | ||||||
Westmoreland Mining Holdings LLC (15.000% Cash or 15.000% PIK) | ||||||||
15.000%, 3–15–29 (I) | 532 | 292 | ||||||
|
| |||||||
2,266 | ||||||||
|
| |||||||
Financials – 1.1% |
| |||||||
Alera Group Intermediate Holdings, Inc. (3-Month ICE LIBOR plus 450 bps) | ||||||||
4.147%, 8–1–25 (C) | 248 | 244 | ||||||
Amynta Agency Borrower, Inc. (ICE LIBOR plus 400 bps) | ||||||||
4.647%, 2–28–25 | 1,613 | 1,482 | ||||||
AqGen Ascensus, Inc. (ICE LIBOR plus 400 bps) | ||||||||
5.000%, 12–3–26 | 652 | 647 | ||||||
Edelman Financial Holdings II, Inc. (ICE LIBOR plus 675 bps) | ||||||||
6.895%, 7–20–26 | 780 | 744 | ||||||
Gulf Finance LLC (ICE LIBOR plus 525 bps): | ||||||||
6.250%, 8–25–23 | 1,076 | 756 | ||||||
HarbourVest Partners LLC (ICE LIBOR plus 225 bps) | ||||||||
2.525%, 3–1–25 (C) | 198 | 195 | ||||||
Lealand Finance Co. B.V. | ||||||||
0.000%, 6–30–24 (C)(M) | 4 | 3 | ||||||
Lealand Finance Co. B.V. (ICE LIBOR plus 300 bps) | ||||||||
3.147%, 6–30–24 (C) | 14 | 12 | ||||||
MA FinanceCo. LLC (ICE LIBOR plus 275 bps) | ||||||||
2.647%, 6–21–24 | �� | 34 | 32 | |||||
Refinitiv U.S. Holdings, Inc. (3-Month EURIBOR plus 400 bps) | ||||||||
3.250%, 10–1–25 (F) | EUR | 137 | 159 | |||||
Ryan Specialty Group LLC (ICE LIBOR plus 325 bps) | ||||||||
4.000%, 9–1–27 | $ | 250 | 248 | |||||
|
| |||||||
4,522 | ||||||||
|
|
40 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO STRATEGIC INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
LOANS (H) (Continued) | Principal | Value | ||||||
Health Care – 1.7% |
| |||||||
Advanz Pharma Corp. Ltd. | ||||||||
0.000%, 9–6–24 (M) | $ | 54 | $ | 52 | ||||
Albany Molecular Research, Inc. (ICE LIBOR plus 325 bps) | ||||||||
4.250%, 8–31–24 | 243 | 239 | ||||||
Amneal Pharmaceuticals LLC (ICE LIBOR plus 350 bps) | ||||||||
3.688%, 5–4–25 | 196 | 184 | ||||||
BioClinica Holding I L.P. (ICE LIBOR plus 425 bps) | ||||||||
5.250%, 10–20–23 | 144 | 142 | ||||||
BW NHHC Holdco, Inc. (ICE LIBOR plus 500 bps) | ||||||||
5.270%, 5–15–25 | 138 | 118 | ||||||
Concordia International Corp. (ICE LIBOR plus 550 bps) | ||||||||
6.500%, 9–6–24 | 217 | 210 | ||||||
Endo Luxembourg Finance Co. I S.a.r.l. (ICE LIBOR plus 425 bps) | ||||||||
5.000%, 4–27–24 | 131 | 125 | ||||||
Exactech, Inc. (ICE LIBOR plus 375 bps) | ||||||||
4.750%, 2–14–25 | 244 | 214 | ||||||
Heartland Dental LLC (ICE LIBOR plus 375 bps) | ||||||||
3.647%, 4–30–25 | 1,274 | 1,170 | ||||||
LifeScan Global Corp. (3-Month ICE LIBOR plus 950 bps) | ||||||||
10.675%, 10–1–25 | 122 | 106 | ||||||
LSCS Holdings, Inc. (ICE LIBOR plus 425 bps): | ||||||||
4.470%, 3–9–25 (C) | 165 | 152 | ||||||
4.470%, 3–17–25 (C) | 42 | 40 | ||||||
Surgery Center Holdings, Inc. (ICE LIBOR plus 325 bps) | ||||||||
4.250%, 8–31–24 | 1,577 | 1,482 | ||||||
Surgery Center Holdings, Inc. (ICE LIBOR plus 800 bps) | ||||||||
9.000%, 8–31–24 | 61 | 61 | ||||||
Team Health Holdings, Inc. (ICE LIBOR plus 275 bps) | ||||||||
3.750%, 2–6–24 | 145 | 122 | ||||||
U.S. Renal Care, Inc. (3-Month ICE LIBOR plus 500 bps) | ||||||||
5.147%, 6–26–26 | 1,908 | 1,856 | ||||||
Verscend Holding Corp. (ICE LIBOR plus 450 bps) | ||||||||
4.647%, 8–27–25 | 1,343 | 1,328 | ||||||
|
| |||||||
7,601 | ||||||||
|
| |||||||
Industrials – 1.4% |
| |||||||
APCO Holdings, Inc. (ICE LIBOR plus 550 bps) | ||||||||
5.650%, 6–8–25 (C) | 175 | 159 | ||||||
Bleriot U.S. Bidco, Inc. (ICE LIBOR plus 475 bps): | ||||||||
4.970%, 11–1–26 | 156 | 155 | ||||||
C.H.I. Overhead Doors, Inc. (ICE LIBOR plus 375 bps) | ||||||||
4.250%, 7–31–22 | 432 | 427 | ||||||
Form Technologies LLC (ICE LIBOR plus 325 bps) | ||||||||
4.250%, 1–28–22 | 419 | 375 |
LOANS (H) (Continued) | Principal | Value | ||||||
Industrials (Continued) |
| |||||||
Form Technologies LLC (ICE LIBOR plus 850 bps) | ||||||||
9.500%, 1–30–23 | $ | 2,563 | $ | 1,446 | ||||
Garda World Security Corp. (ICE LIBOR plus 475 bps) | ||||||||
4.900%, 10–30–26 | 164 | 163 | ||||||
Guidehouse LLP (1-Month ICE LIBOR plus 450 bps) | ||||||||
4.647%, 5–1–25 | 247 | 245 | ||||||
McDermott Technology Americas, Inc. (ICE LIBOR plus 400 bps) | ||||||||
1.147%, 6–30–25 (A) | 173 | 129 | ||||||
McDermott Technology Americas, Inc. (ICE LIBOR plus 500 bps) | ||||||||
0.000%, 5–10–25 (A)(M) | 504 | 148 | ||||||
Mileage Plus Holdings LLC (ICE LIBOR plus 525 bps) | ||||||||
6.250%, 6–20–27 | 177 | 179 | ||||||
PAE Holding Corp. (ICE LIBOR plus 550 bps) | ||||||||
6.500%, 10–20–22 | 1,308 | 1,297 | ||||||
PAE Holding Corp. (ICE LIBOR plus 950 bps) | ||||||||
10.500%, 10–20–23 | 65 | 63 | ||||||
SMI Acquisition, Inc. (ICE LIBOR plus 375 bps) | ||||||||
4.750%, 11–1–24 | 243 | 187 | ||||||
TransDigm, Inc. (ICE LIBOR plus 225 bps): | ||||||||
2.397%, 8–22–24 | 497 | 470 | ||||||
2.397%, 12–9–25 | 247 | 234 | ||||||
Tronair, Inc. (1-Month U.S. LIBOR plus 475 bps) | ||||||||
5.750%, 9–8–23 (C) | 144 | 112 | ||||||
U.S. Ecology, Inc. (ICE LIBOR plus 250 bps) | ||||||||
2.649%, 11–1–26 (C) | 17 | 17 | ||||||
Vertiv Group Corp. (ICE LIBOR plus 300 bps) | ||||||||
3.157%, 3–2–27 | 97 | 95 | ||||||
WaterBridge Midstream Operating LLC | ||||||||
0.000%, 6–21–26 (M) | 154 | 128 | ||||||
|
| |||||||
6,029 | ||||||||
|
| |||||||
Information Technology – 2.6% |
| |||||||
Applied Systems, Inc. (ICE LIBOR plus 700 bps) | ||||||||
8.000%, 9–19–25 | 384 | 388 | ||||||
Cardtronics USA, Inc. (ICE LIBOR plus 400 bps) | ||||||||
5.000%, 6–24–27 (C) | 423 | 421 | ||||||
CommerceHub, Inc. (ICE LIBOR plus 375 bps) | ||||||||
3.647%, 5–21–25 | 593 | 578 | ||||||
Cyxtera DC Holdings, Inc. (ICE LIBOR plus 300 bps) | ||||||||
8.250%, 5–1–25 | 625 | 321 | ||||||
Cyxtera DC Holdings, Inc. (ICE LIBOR plus 325 bps) | ||||||||
4.000%, 5–1–24 | 909 | 779 |
LOANS (H) (Continued) | Principal | Value | ||||||
Information Technology (Continued) |
| |||||||
DCert Buyer, Inc. (ICE LIBOR plus 400 bps) | ||||||||
4.147%, 10–16–26 | $ | 498 | $ | 491 | ||||
Informatica LLC | ||||||||
7.125%, 2–25–25 | 1,685 | 1,709 | ||||||
Milano Acquisition Corp. | ||||||||
0.000%, 8–17–27 (M) | 1,203 | 1,188 | ||||||
Mitchell International, Inc. (ICE LIBOR plus 725 bps) | ||||||||
7.397%, 11–30–25 | 237 | 224 | ||||||
MLN U.S. Holdco LLC (ICE LIBOR plus 450 bps) | ||||||||
4.656%, 11–30–25 | 1,653 | 1,407 | ||||||
MLN U.S. Holdco LLC (ICE LIBOR plus 875 bps) | ||||||||
8.906%, 11–30–26 | 534 | 281 | ||||||
Output Services Group, Inc. (ICE LIBOR plus 425 bps) | ||||||||
4.689%, 3–27–24 | 244 | 175 | ||||||
Park Place Technologies LLC (ICE LIBOR plus 400 bps) | ||||||||
5.000%, 3–29–25 | 244 | 241 | ||||||
Riverbed Technology, Inc. (ICE LIBOR plus 325 bps) | ||||||||
4.250%, 4–24–22 | 1,064 | 951 | ||||||
Seattle Spinco, Inc. (ICE LIBOR plus 275 bps) | ||||||||
2.647%, 6–21–24 | 228 | 216 | ||||||
Sedgwick Claims Management Services, Inc. (ICE LIBOR plus 400 bps) | ||||||||
4.147%, 9–3–26 | 247 | 243 | ||||||
Ultimate Software Group, Inc. (The) (ICE LIBOR plus 400 bps) | ||||||||
4.750%, 5–3–26 | 262 | 261 | ||||||
Ultimate Software Group, Inc. (The) (ICE LIBOR plus 675 bps) | ||||||||
7.500%, 5–3–27 | 139 | 141 | ||||||
VS Buyer LLC (3-Month ICE LIBOR plus 325 bps) | ||||||||
3.397%, 3–2–27 | 249 | 244 | ||||||
|
| |||||||
10,259 | ||||||||
|
| |||||||
Materials – 0.5% |
| |||||||
Asplundh Tree Expert LLC (3-Month U.S. LIBOR plus 250 bps) | ||||||||
2.655%, 9–4–27 | 250 | 250 | ||||||
Associated Asphalt Partners LLC (ICE LIBOR plus 525 bps) | ||||||||
6.250%, 4–5–24 | 127 | 102 | ||||||
Diamond BC B.V. (ICE LIBOR plus 500 bps) | ||||||||
6.000%, 9–6–24 (C) | 250 | 249 | ||||||
Graham Packaging Co., Inc. (ICE LIBOR plus 375 bps) | ||||||||
4.500%, 8–4–27 | 250 | 248 | ||||||
Hillman Group, Inc. (The) (ICE LIBOR plus 350 bps) | ||||||||
4.147%, 5–31–25 | 1,126 | 1,099 | ||||||
|
| |||||||
1,948 | ||||||||
|
|
2020 | ANNUAL REPORT | 41 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO STRATEGIC INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
LOANS (H) (Continued) | Principal | Value | ||||||
Real Estate – 0.2% |
| |||||||
Inland Retail Real Estate Trust, Inc. (1-Month U.S. LIBOR plus 650 bps) | ||||||||
7.000%, 1–1–22 | $ | 928 | $ | 941 | ||||
|
| |||||||
Utilities – 0.1% |
| |||||||
Pacific Gas and Electric Co. (ICE LIBOR plus 225 bps) | ||||||||
5.500%, 1–1–22 | 249 | 244 | ||||||
|
| |||||||
Total United States – 13.8% |
| 55,219 | ||||||
TOTAL LOANS – 16.3% |
| $ | 65,280 | |||||
(Cost: $69,868) |
| |||||||
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | ||||||||
United States – 0.2% |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO | ||||||||
2.500%, 6–15–39 | 415 | 423 | ||||||
Federal National Mortgage Association Agency REMIC/CMO: | ||||||||
2.000%, 4–25–40 | 232 | 234 | ||||||
3.000%, 2–25–44 | 125 | 132 |
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS (Continued) | Principal | Value | ||||||
United States (Continued) |
| |||||||
Government National Mortgage Association Fixed Rate Pass-Through Certificates | ||||||||
3.500%, 4–20–34 | $ | 61 | $ | 64 | ||||
|
| |||||||
853 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 0.2% |
| $ | 853 | |||||
(Cost: $846) |
| |||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
United States – 2.0% |
| |||||||
U.S. Treasury Notes: | ||||||||
2.875%, 7–31–25 | 1,735 | 1,952 | ||||||
2.250%, 11–15–25 | 2,250 | 2,473 | ||||||
1.625%, 10–31–26 | 400 | 430 | ||||||
0.375%, 7–31–27 | 1,700 | 1,691 | ||||||
0.500%, 8–31–27 | 1,000 | 1,002 | ||||||
1.750%, 11–15–29 | 500 | 550 | ||||||
|
| |||||||
8,098 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 2.0% |
| $ | 8,098 | |||||
(Cost: $7,539) |
|
SHORT-TERM SECURITIES | Shares | Value | ||||||
Money Market Funds (N) – 4.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class | ||||||||
0.030% | 13,285 | $ | 13,285 | |||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares | ||||||||
0.040% (O) | 3,696 | 3,696 | ||||||
|
| |||||||
16,981 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 4.2% |
| $ | 16,981 | |||||
(Cost: $16,981) |
| |||||||
TOTAL INVESTMENT SECURITIES – 100.8% |
| $ | 404,981 | |||||
(Cost: $408,498) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.8)% |
| (3,108 | ) | |||||
NET ASSETS – 100.0% |
| $ | 401,873 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
(B) | No dividends were paid during the preceding 12 months. |
(C) | Securities whose value was determined using significant unobservable inputs. |
(D) | All or a portion of securities with an aggregate value of $3,613 are on loan. |
(E) | Restricted securities. At September 30, 2020, the Fund owned the following restricted securities: |
Security | Acquisition Date(s) | Shares | Cost | Value | ||||||||||||||||
Foresight Energy L.P. | 6–30–20 – 9–8–20 | 42 | $ | 830 | $ | 602 | ||||||||||||||
New Cotai Participation Corp., Class B | 9–29–20 | 414 | 3,633 | 2,063 | ||||||||||||||||
Party City Holdco, Inc. | 7–30–20 | 8 | 13 | 19 | ||||||||||||||||
Pinnacle Agriculture Enterprises LLC | 7–17–20 | 1 | 177 | — | ||||||||||||||||
Studio City International Holdings Ltd. ADR | 8–5–20 | 19 | 297 | 307 | ||||||||||||||||
Targa Resources Corp., 9.500% | 10–24–17 | 1 | 1,624 | 1,530 | ||||||||||||||||
Principal | ||||||||||||||||||||
Sanchez Energy Corp., 0.000%, 02–15–23 | 6–30–20 | $ | 122 | — | — | |||||||||||||||
|
| |||||||||||||||||||
$ | 6,574 | $ | 4,521 | |||||||||||||||||
|
|
The total value of these securities represented 1.1% of net assets at September 30, 2020. |
(F) | Principal amounts are denominated in the indicated foreign currency, where applicable (EUR - Euro and GBP - British Pound). |
(G) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020 the total value of these securities amounted to $222,368 or 55.3% of net assets. |
42 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO STRATEGIC INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
(H) | Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2020. Description of the reference rate and spread, if applicable, are included in the security description. |
(I) | Payment-in-kind bond which may pay interest in additional par and/or in cash. Rates shown are the current rate and possible payment rates. |
(J) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at September 30, 2020. |
(K) | Zero coupon bond. |
(L) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(M) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(N) | Rate shown is the annualized 7-day yield at September 30, 2020. |
(O) | Investment made with cash collateral received from securities on loan. |
The following forward foreign currency contracts were outstanding at September 30, 2020:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||
British Pound | 1,000 | U.S. Dollar | 1,278 | 1–29–21 | JPMorgan Securities LLC | $ | — | $ | 14 | |||||||||||||||||
Euro | 4,870 | U.S. Dollar | 5,704 | 1–29–21 | JPMorgan Securities LLC | — | 22 | |||||||||||||||||||
Euro | 5,186 | U.S. Dollar | 6,719 | 9–30–21 | JPMorgan Securities LLC | 588 | — | |||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 588 | $ | 36 | |||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of September 30, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Consumer Discretionary | $ | 262 | $ | 1,087 | $ | 2,063 | ||||||
Energy | — | 55 | 602 | |||||||||
Health Care | — | 36 | — | |||||||||
Industrials | 183 | — | — | |||||||||
Total Common Stocks | $ | 445 | $ | 1,178 | $ | 2,665 | ||||||
Investment Funds | 4,883 | — | — | |||||||||
Preferred Stocks | — | 1,530 | — | |||||||||
Asset-Backed Securities | — | 7,889 | — | |||||||||
Corporate Debt Securities | — | 267,971 | — | |||||||||
Mortgage-Backed Securities | — | 8,064 | — | |||||||||
Other Government Securities | — | 19,144 | — | |||||||||
Loans | — | 61,910 | 3,370 | |||||||||
United States Government Agency Obligations | — | 853 | — | |||||||||
United States Government Obligations | — | 8,098 | — | |||||||||
Short-Term Securities | 16,981 | — | — | |||||||||
Total | $ | 22,309 | $ | 376,637 | $ | 6,035 | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 588 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 36 | $ | — |
2020 | ANNUAL REPORT | 43 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY APOLLO STRATEGIC INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Common Stocks | Preferred Stocks | Loans | ||||||||||
Beginning Balance 10–1–19 | $ | — | $ | 16 | $ | 5,022 | ||||||
Net realized gain (loss) | (734 | ) | — | (59 | ) | |||||||
Net change in unrealized appreciation (depreciation) | (1,105 | ) | — | 322 | ||||||||
Purchases | 3,635 | — | 1,940 | |||||||||
Sales | — | (16 | ) | (1,407 | ) | |||||||
Amortization/Accretion of premium/discount | — | — | 7 | |||||||||
Transfers into Level 3 during the period | 869 | — | 690 | |||||||||
Transfers out of Level 3 during the period | — | — | (3,145 | ) | ||||||||
Ending Balance 9–30–20 | $ | 2,665 | $ | — | $ | 3,370 | ||||||
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 9-30-20 | $ | (1,105 | ) | $ | — | $ | 321 |
Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information.
Information about Level 3 fair value measurements:
Fair Value at 9-30-20 | Valuation Technique(s) | Unobservable Input(s) | Input value(s) | |||||||||
Assets | ||||||||||||
Common Stocks | $ | 2,063 | Market comparable approach | Liquidity discount | 10% | |||||||
602 | Market comparable approach | Liquidity discount | 30% | |||||||||
Loans | 3,370 | Third-party valuation service | Broker quotes | N/A |
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
CLO = Collateralized Loan Obligation
CMO = Collateralized Mortgage Obligation
EURIBOR = Euro Interbank Offered Rate
GTD = Guaranteed
ICE = Intercontinental Exchange
LIBOR = London Interbank Offered Rate
PIK = Payment in Kind
REMIC = Real Estate Mortgage Investment Conduit
44 | ANNUAL REPORT | 2020 |
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SCHEDULE OF INVESTMENTS | IVY APOLLO STRATEGIC INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
Market Sector Diversification | ||||
(as a % of net assets) |
| |||
Financials | 24.0% | |||
Consumer Discretionary | 12.8% | |||
Communication Services | 12.6% | |||
Industrials | 7.6% | |||
Energy | 6.8% | |||
Consumer Staples | 5.8% | |||
Information Technology | 5.6% | |||
Health Care | 5.4% | |||
Other Government Securities | 4.8% | |||
Materials | 4.7% | |||
Utilities | 3.5% | |||
United States Government and Government Agency Obligations | 2.2% | |||
Real Estate | 0.8% | |||
Other+ | 3.4% |
+ | Includes liabilities (net of cash and other assets), and cash equivalents |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 45 |
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MANAGEMENT DISCUSSION | IVY CALIFORNIA MUNICIPAL HIGH INCOME FUND |
(UNAUDITED)
In October 2020, Bryan J. Bailey, CFA, assumed portfolio management responsibilities for the Ivy California Municipal High Income Fund. The following letter reflects the comments of the previous portfolio manager for the fiscal year ended September 30, 2020. Below, Michael J. Walls, previous portfolio manager of the Ivy California Municipal High Income Fund, discusses positioning, performance and results for the fiscal year ended September 30, 2020. Mr. Walls is no longer with the firm as of October 2020.
Fiscal Year Performance
For the 12 months ended September 30, 2020 | ||||
Ivy California Municipal High Income Fund | 1.01% | |||
(Class A shares at net asset value) | ||||
Ivy California Municipal High Income Fund | -3.29% | |||
(Class A shares including sales charges) | ||||
Benchmark(s) and Morningstar Category | ||||
Bloomberg Barclays Municipal High Yield Index | 1.27% | |||
(reflects the performance of securities generally representing the municipal high yield bond market) | ||||
Bloomberg Barclays Municipal Bond Index | 4.09% | |||
(reflects the performance of securities generally representing the municipal bond market) | ||||
Morningstar Muni California Long Category Average | 2.50% | |||
(generally reflects the performance of the universe of funds with similar investment objectives) |
Please note that Fund returns include applicable fees and expenses while index returns do not include any such fees. The performance discussion below is based on net asset value (NAV).
Market review
The past fiscal year started the same way the prior fiscal year ended: strong inflows, limited supply and tight spreads. This continued through the end of calendar year 2019 and the first two months of calendar year 2020 before COVID-19 started to have an impact. As with most asset classes, the economic impact from COVID-19-induced lockdowns caused a major selloff in municipal bonds, especially the high-yield space. Fund outflows exacerbated the trend until the Federal Reserve (Fed), via lower rates and direct bond buying, and the federal government, via fiscal stimulus, stepped in to prop up the market.
As a result of the intervention, selling slowed and eventually reversed. Investment grade municipal bonds recovered first and had positive returns in the second half of the fiscal year. This was supported by large cash inflows, erasing the outflows that occurred in March. High yield municipal bonds took longer to recover, but outperformed investment grade in the back half of the fiscal year. Despite the second half outperformance, the high yield index underperformed the investment grade index for the fiscal year, mainly due to its severe underperformance during the selloff. Flows in the high yield space have also struggled to recover and are negative through fiscal year end.
California municipal bonds generally tracked investment grade bonds over the course of the fiscal year, during the selloff and the subsequent rally. For the previous 12 months, California municipal bonds modestly outperformed the Bloomberg Barclays Municipal Bond Index. With the ongoing impacts of COVID-19, we remain cautious on high yield California municipal bonds, but feel comfortable adding lower quality investment grade credits. We continue to believe the California municipal market is attractive versus other fixed income asset classes, based on its tax-adjusted status, and generally higher absolute yields for municipal bonds versus other fixed income asset classes.
Performance and positioning
The Fund had a positive return for the fiscal year but underperformed the Bloomberg Barclays Municipal High Yield Index, Bloomberg Barclays Municipal Bond Index and its Morningstar peer group average. Fund performance was driven by its short duration positioning, the underweight in tobacco and higher overall credit quality. The Fund underperformed the high yield index in the first half of the fiscal year, but greatly outperformed during the selloff and second half of the fiscal year. Additionally, the Fund’s higher cash allocation proved beneficial for buying at wider spreads in the back half of the year.
While being short duration helped throughout the selloff in 2020, we have begun to lengthen duration to be more in line with the benchmark. The Fed has indicated it will keep short-term rates at zero for the foreseeable future and we believe longer-term rates will follow the “lower for longer” bias.
46 | ANNUAL REPORT | 2020 |
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At fiscal year end, the Fund maintained 20.4% exposure in non-rated bonds and plans to focus on lower quality, investment-grade deals moving forward. The high yield space has seen increased defaults and covenant violations, and we expect this trend to continue for the time being. The Fund held 5.8% of its portfolio in cash as of the fiscal year end, which we think should allow the Fund to make more compelling investments as wider spreads remain.
Looking ahead
Moving forward, we expect the Fed to keep rates at zero for the foreseeable future. They have publicly indicated a need to see inflation over 2% for a sustained period before raising rates, and they even indicated fiscal policy may be needed to get there. The upcoming U.S. Presidential election makes it difficult to know what, if any, fiscal stimulus may be enacted. The ongoing pandemic adds another level of uncertainty that is not typical for election years. One thing we are highly confident about is that volatility in the final quarter of calendar year 2020 is likely, regardless of the U.S. Presidential election outcome.
With the Fund’s duration positioning and levels of cash, we feel appropriately structured to weather a more volatile environment. We believe investors will continue to search for tax-exempt yield, and a Democratic sweep would only magnify this. We do not believe that a complete rollback of the recently passed tax legislation is in the cards, but taxes are likely to be higher overall in a Democratic administration. Higher absolute yields for municipal bonds as compared to other fixed income assets supports additional demand for the asset class.
Performance shown at NAV does not include the effect of sales charges. If reflected, the performance shown would have been lower. Performance including sales charges reflects the maximum applicable front-end sales load.
As with any mutual fund, the value of the Fund’s shares will change, and you could lose money on your investment.
Fixed-income securities are subject to interest-rate risk, so the net asset value of the Fund’s shares may fall as interest rates rise.
These and other risks are more fully described in the Fund’s prospectus.
The opinions expressed in this report are those of the Fund’s portfolio manager and are current only through the end of the period of the report as stated on the cover. The portfolio manager’s views are subject to change at any time based on market and other conditions, and no forecasts can be guaranteed.
The indexes noted are unmanaged, include reinvested dividends and do not include fees. One cannot invest directly in an index, nor is an index representative of the Ivy California Municipal High Income Fund.
2020 | ANNUAL REPORT | 47 |
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PORTFOLIO HIGHLIGHTS | IVY CALIFORNIA MUNICIPAL HIGH INCOME FUND |
ALL DATA IS AS OF SEPTEMBER 30, 2020 (UNAUDITED)
Asset Allocation
Bonds | 93.3% | |||
Municipal Bonds | 93.3% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 6.7% |
Quality Weightings
Investment Grade | 67.1% | |||
AA | 21.5% | |||
A | 19.8% | |||
BBB | 25.8% | |||
Non-Investment Grade | 26.2% | |||
BB | 4.6% | |||
B | 1.4% | |||
CCC | 0.1% | |||
Non-rated | 20.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 6.7% |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
48 | ANNUAL REPORT | 2020 |
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COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT | IVY CALIFORNIA MUNICIPAL HIGH INCOME FUND |
(UNAUDITED)
Please note that the performance of the Fund’s other share classes will be greater or less than the performance shown above for Class A based on the differences in loads and fees paid by shareholders investing in the different classes.
(1) | The value of the investment in the Fund is impacted by the sales load at the time of the investment and by the ongoing expenses of the Fund and assumes reinvestment of dividends and distributions. |
Average Annual Total Return(2) | Class A(3) | Class C | Class I | Class Y | ||||||||||||
1-year period ended 9-30-20 | -3.29% | 0.13% | 1.21% | 1.01% | ||||||||||||
5-year period ended 9-30-20 | — | — | — | — | ||||||||||||
10-year period ended 9-30-20 | — | — | — | — | ||||||||||||
Since Inception of Class through 9-30-20(4) | 2.55% | 2.81% | 3.85% | 3.65% |
(2) | Data quoted is past performance and is based on deduction of the maximum applicable sales load for each of the periods. Current performance may be lower or higher. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost. Please visit www.ivyinvestments.com for the Fund’s most recent month end performance. Class A Shares carry a maximum front-end sales load of 4.25%(a). Class C shares carry a maximum contingent deferred sales charge (CDSC) of 5% (the Class C shares reflect no CDSC since it only applies to Class C shares redeemed within twelve months after purchase). Class I and Class Y shares are not subject to sales charges. |
(3) | Class A shares carry a CDSC on shares purchased at net asset value for $1 million or more that are subsequently redeemed within 12 months of purchase. Effective October 1, 2020, Class A shares carry a CDSC on shares purchased at net asset value for $500,000 or more that are subsequently redeemed within 12 months of purchase. |
(4) | 10-3-16 for Class A shares, 10-3-16 for Class C shares, 10-3-16 for Class I shares and 10-3-16 for Class Y shares (the date on which shares were first acquired by shareholders). |
Past performance is not necessarily indicative of future performance. Indexes are unmanaged. The performance graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance results may include the effect of expense reduction arrangements for some or all of the periods shown. If those arrangements had not been in place, the performance results for those periods would have been lower.
(a) | Effective October 1, 2020, the maximum applicable sales charge for Class A shares has been lowered to 2.50%. |
2020 | ANNUAL REPORT | 49 |
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SCHEDULE OF INVESTMENTS | IVY CALIFORNIA MUNICIPAL HIGH INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
MUNICIPAL BONDS | Principal | Value | ||||||
California – 91.6% |
| |||||||
CA Cnty Tob Securitization Agy, Tob Stlmt Asset-Bkd Bonds (Stanislaus Cnty Tob Funding Corp.), Ser 2006, | ||||||||
0.000%, 6–1–55 (A) | $ | 1,000 | $ | 76 | ||||
CA Cnty Tob Securitization Agy, Tob Stlmt Bonds (Merced Cnty Tob Funding Corp.), Ser 2020B, | ||||||||
5.000%, 6–1–50 | 250 | 278 | ||||||
CA Cnty Tob Securitization Agy, Tob Stlmt Bonds (Sonoma Cnty Securitization Corp.), Ser 2020B-2, | ||||||||
0.000%, 6–1–55 (A) | 250 | 54 | ||||||
CA Edu Fac Auth, Rev Bonds (Art Ctr College of Design), Ser 2018A, | ||||||||
5.000%, 12–1–48 | 250 | 280 | ||||||
CA Edu Fac Auth, Rev Bonds (Loma Linda Univ), Ser 2017A, | ||||||||
5.000%, 4–1–47 | 300 | 337 | ||||||
CA Hlth Fac Fin Auth, Rev Bonds (Children’s Hosp of Orange Cnty), Ser 2019A, | ||||||||
4.000%, 11–1–20 | 100 | 100 | ||||||
CA Hlth Fac Fin Auth, Rev Bonds (City of Hope), Ser 2019, | ||||||||
5.000%, 11–15–24 | 100 | 117 | ||||||
CA Hlth Fac Fin Auth, Rev Bonds (Providence St. Joseph Hlth), Ser 2019C, | ||||||||
5.000%, 10–1–39 | 500 | 608 | ||||||
CA Infra and Econ Dev Bank, Natl Charter Sch Revolving Loan Fund Rev Bonds, Ser 2019B: | ||||||||
5.000%, 11–1–25 | 100 | 122 | ||||||
5.000%, 11–1–49 | 100 | 120 | ||||||
CA Infra and Econ Dev Bank, Sr Natl Charter Sch Revolving Loan Fund Rev Bonds, Ser 2020B, | ||||||||
4.000%, 11–1–55 | 100 | 113 | ||||||
CA Muni Fin Auth, Charter Sch Lease Rev Bonds (Bella Mente Montessori Academy Proj), Ser 2018A, | ||||||||
5.000%, 6–1–48 | 325 | 350 | ||||||
CA Muni Fin Auth, Charter Sch Rev Bonds (Palmdale Aerospace Academy Proj), Ser 2018A, | ||||||||
5.000%, 7–1–49 | 300 | 321 | ||||||
CA Muni Fin Auth, Insd Rev Bonds (Channing House Proj), Ser 2017B (Insured by the CA Office of Statewide Hlth Planning and Dev), | ||||||||
5.000%, 5–15–24 | 100 | 116 | ||||||
CA Muni Fin Auth, Insd Rev Bonds (Town and Country Manor), Ser 2019, | ||||||||
4.000%, 7–1–21 | 200 | 205 | ||||||
CA Muni Fin Auth, Rev Bonds (CA Baptist Univ), Ser 2016A, | ||||||||
5.000%, 11–1–46 | 500 | 517 | ||||||
CA Muni Fin Auth, Rev Bonds (CA Lutheran Univ), Ser 2018, | ||||||||
5.000%, 10–1–27 | 250 | 298 |
MUNICIPAL BONDS (Continued) | Principal | Value | ||||||
California (Continued) |
| |||||||
CA Muni Fin Auth, Rev Bonds (Ret Hsng Fndtn Oblig Group), Ser 2017A, | ||||||||
5.000%, 11–15–32 | $ | 425 | $ | 509 | ||||
CA Muni Fin Auth, Rev Rfdg Bonds (Eisenhower Med Ctr), Ser 2017B: | ||||||||
5.000%, 7–1–37 | 250 | 288 | ||||||
5.000%, 7–1–42 | 250 | 285 | ||||||
CA Muni Fin Auth, Rev Rfdg Bonds (HumanGood Oblig Group), Ser 2019A, | ||||||||
4.000%, 10–1–28 | 290 | 329 | ||||||
CA Muni Fin Auth, Solid Waste Disp Rev Bonds (Waste Mgmt, Inc. Proj), Ser 2020, | ||||||||
0.230%, 10–1–45 (B) | 200 | 200 | ||||||
CA Muni Fin Auth, Spl Fac Rev Bonds (Utd Airlines, Inc. Los Angeles Intl Arpt Proj), Ser 2019, | ||||||||
4.000%, 7–15–29 | 250 | 247 | ||||||
CA Muni Fin Auth, Sr Lien Rev Bonds (LINXS APM Proj), Ser 2018A: | ||||||||
4.000%, 12–31–47 | 250 | 265 | ||||||
5.000%, 12–31–47 | 250 | 284 | ||||||
CA Muni Fin Auth, Student Hsng Rev Bonds (CHF-Davis I LLC – West Vlg Student Hsng Proj), Ser 2018 (Insured by BAMAC), | ||||||||
4.000%, 5–15–48 | 300 | 326 | ||||||
CA Pollutn Ctl Fin Auth, Solid Waste Disp Rfdg Rev Bonds (Waste Mgmt, Inc. Proj), Ser 2015A-1, | ||||||||
3.375%, 7–1–25 | 300 | 331 | ||||||
CA Pollutn Ctl Fin Auth, Solid Waste Rfdg Rev Bonds (Republic Svc, Inc. Proj), Ser 2010A, | ||||||||
0.160%, 9–1–38 (C) | 250 | 250 | ||||||
CA Pollutn Ctl Fin Auth, Water Furnishing Rev Bonds (Poseidon Res (Channelside) L.P. Desalination Proj), Ser 2012, | ||||||||
5.000%, 11–21–45 | 250 | 260 | ||||||
CA Pollutn Ctl Fin Auth, Water Furnishing Rev Rfdg Bonds (San Diego Cnty Water Auth Desalination Proj Pipeline), Ser 2019, | ||||||||
5.000%, 11–21–45 | 250 | 288 | ||||||
CA Sch Fin Auth, Charter Sch Rev Bonds (Classical Academies Proj), Ser 2020A, | ||||||||
5.000%, 10–1–50 (C) | 250 | 278 | ||||||
CA Sch Fin Auth, Charter Sch Rev Bonds (Larchmont Charter Sch Proj), Ser 2018A, | ||||||||
5.000%, 6–1–43 | 250 | 267 | ||||||
CA Sch Fin Auth, Charter Sch Rev Bonds (Rocketship Pub Sch – Oblig Group), Ser 2017G: | ||||||||
5.000%, 6–1–30 | 310 | 344 | ||||||
5.000%, 6–1–37 | 330 | 357 | ||||||
CA Sch Fin Auth, Charter Sch Rev Rfdg Bonds (Aspire Pub Sch – Oblig Group), Ser 2016, | ||||||||
5.000%, 8–1–41 | 250 | 279 |
MUNICIPAL BONDS (Continued) | Principal | Value | ||||||
California (Continued) |
| |||||||
CA Sch Fin Auth, Sch Fac Rev Bonds (Granada Hills Charter High Sch Oblig Group), Ser 2017A, | ||||||||
5.000%, 7–1–48 | $ | 350 | $ | 372 | ||||
CA Sch Fin Auth, Sch Fac Rev Bonds (Green Dot Pub Sch CA Proj), Ser 2018A, | ||||||||
5.000%, 8–1–48 | 250 | 286 | ||||||
CA Sch Fin Auth, Sch Fac Rev Bonds (Kipp LA Proj), Ser 2017A, | ||||||||
5.000%, 7–1–47 | 300 | 343 | ||||||
CA Sch Fin Auth, Sch Fac Rev Rfdg Bonds (HTH Learning Proj), Ser 2017A, | ||||||||
5.000%, 7–1–49 | 300 | 334 | ||||||
CA Statewide Cmnty Dev Auth, Rev Bonds (American Baptist Homes of the West), Ser 2015, | ||||||||
5.000%, 10–1–22 | 270 | 289 | ||||||
CA Statewide Cmnty Dev Auth, Rev Bonds (Loma Linda Univ Med Ctr), Ser 2016A, | ||||||||
5.250%, 12–1–56 | 250 | 271 | ||||||
CA Statewide Cmnty Dev Auth, Student Hsng Rev Bonds (Univ of CA, Irvine East Campus Apt, Phase IV-ACHF – Irvine LLC), Ser 2017, | ||||||||
5.000%, 5–15–47 | 185 | 204 | ||||||
CA Statewide Cmnty Dev Auth, Student Hsng Rev Bonds (Univ of CA, Irvine East Campus Apts, Phase IV-A CHF – Irvine LLC), Ser 2017, | ||||||||
5.000%, 5–15–42 | 300 | 333 | ||||||
CA Statewide Comnty Dev Auth, Rev Bonds (Loma Linda Univ Med Ctr), Ser 2014A, | ||||||||
5.250%, 12–1–44 | 250 | 269 | ||||||
CA Various Purp GO Bonds, | ||||||||
5.000%, 9–1–46 | 500 | 606 | ||||||
Chino Pub Fin Auth, Local Agy Rfdg Bonds, Ser 2016A, | ||||||||
3.500%, 9–1–43 | 250 | 256 | ||||||
Chino, CA, Cmnty Fac Dist, Spl Tax Rev Bonds, Ser 2016-2, | ||||||||
5.000%, 9–1–47 | 150 | 165 | ||||||
City of San Ramon, Cert of Part (Cap Impvt Fin Prog), Ser 2019, | ||||||||
4.000%, 6–1–39 | 300 | 343 | ||||||
Cmnty Fac Dist No. 36 of Jurupa Cmnty Svc Dist., Spl Tax Bonds, Ser 2017A: | ||||||||
4.125%, 9–1–42 | 200 | 216 | ||||||
4.250%, 9–1–47 | 300 | 324 | ||||||
Corona-Norco Unif Sch Dist (Riverside Cnty, CA), Election of 2014 GO Bonds, Ser C, | ||||||||
4.000%, 8–1–49 | 500 | 573 | ||||||
Corona-Norco Unif Sch Dist (Riverside, CA), Election of 2006 GO Bonds, Ser 2011E, | ||||||||
0.000%, 8–1–24 (A) | 80 | 91 | ||||||
Eureka Successor Agy, Tax Alloc Rfdg Bonds, Ser 2017B, | ||||||||
5.000%, 11–1–21 | 155 | 163 |
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SCHEDULE OF INVESTMENTS | IVY CALIFORNIA MUNICIPAL HIGH INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
MUNICIPAL BONDS (Continued) | Principal | Value | ||||||
California (Continued) |
| |||||||
Foothill/Eastn Trans Corridor Agy, Toll Road Rfdg Rev Bonds, Ser 2013B-1 (Insured by AGM), | ||||||||
3.950%, 1–15–53 | $ | 300 | $ | 324 | ||||
Golden State Tob Securitization Corp., Enhanced Tob Stlmt Asset-Bkd Bonds, Ser 2017A-1, | ||||||||
5.000%, 6–1–29 | 600 | 733 | ||||||
Golden State Tob Securitization Corp., Enhanced Tob Stlmt Asset-Bkd Bonds, Ser 2018A, | ||||||||
5.000%, 6–1–22 | 175 | 189 | ||||||
Golden State Tob Securitization Corp., Tob Stlmt Asset-Bkd Bonds, Ser 2007A-2 Sr Convertible Bonds, | ||||||||
5.300%, 6–1–37 | 150 | 155 | ||||||
Golden State Tob Securitization Corp., Tob Stlmt Asset-Bkd Bonds, Ser 2018A-1, | ||||||||
5.000%, 6–1–47 | 500 | 516 | ||||||
Golden State Tob Securitization Corp., Tob Stlmt Asset-Bkd Bonds, Ser 2018A-2, | ||||||||
5.000%, 6–1–47 | 250 | 258 | ||||||
Irvine Unif Sch Dist, Cmnty Fac Dist No. 09-1 Spl Tax Bonds, Ser 2017B (Insured by BAMAC), | ||||||||
5.000%, 9–1–47 | 150 | 174 | ||||||
Irvine Unif Sch Dist, Cmnty Fac Dist No. 09-1 Spl Tax Bonds, Ser 2019A, | ||||||||
4.000%, 9–1–54 | 250 | 283 | ||||||
Lammersville, CA, Joint Unif Sch Dist, Spl Tax Bonds (Lammersville Sch Dist Cmnty Fac Dist No. 2002, Mountain House), Ser 2017, | ||||||||
5.000%, 9–1–33 | 500 | 585 | ||||||
Lincoln Unif Sch Dist Fin Corp., Cert of Part, Ser 2019, | ||||||||
4.000%, 9–1–25 | 315 | 368 | ||||||
Long Beach Bond Fin Auth, Natural Gas Purchase Rev Bonds, Ser 2007A, | ||||||||
5.500%, 11–15–37 | 165 | 239 | ||||||
Long Beach, CA, Harbor Rev Rfdg Bonds, Ser 2020B, | ||||||||
5.000%, 5–15–24 | 500 | 577 | ||||||
Los Angeles, CA, Dept of Arpts, Los Angeles Intl Arpt Sub Rev Bonds, Ser 2016B, | ||||||||
5.000%, 5–15–46 | 300 | 343 | ||||||
Los Angeles, CA, Hsng Auth, Mtg Rev Rfdg Bonds (Union Port Proj), Ser 2020A, | ||||||||
3.250%, 6–1–35 | 250 | 254 | ||||||
M-S-R Energy Auth, Gas Rev Bonds, Ser 2009C, | ||||||||
7.000%, 11–1–34 | 300 | 464 | ||||||
Murrieta, CA, Cmnty Fac Dist No. 2005-5, Spl Tax Bonds (Golden City), Ser 2017A, | ||||||||
5.000%, 9–1–46 | 300 | 340 |
MUNICIPAL BONDS (Continued) | Principal | Value | ||||||
California (Continued) |
| |||||||
Oakland-Alameda Cnty Coliseum Auth, Lease Rev Bonds (Oakland Coliseum Proj), Ser 2012A, | ||||||||
5.000%, 2–1–24 | $ | 250 | $ | 264 | ||||
Ontario, CA, Cmnty Fac Dist No. 28, Spl Tax Bonds (New Haven Fac – Area A), Ser 2017: | ||||||||
5.000%, 9–1–42 | 130 | 144 | ||||||
5.000%, 9–1–47 | 230 | 254 | ||||||
Ontario, CA, Cmnty Fac Dist No. 31, Spl Tax Bonds (Carriage House/Amberly Lane), Ser 2017, | ||||||||
5.000%, 9–1–47 | 135 | 154 | ||||||
Oro Grande Elem Sch Dist, Cert of Part, Ser 2013, | ||||||||
5.000%, 9–15–27 | 25 | 27 | ||||||
Oro Grande Elem Sch Dist, Rfdg Cert of Part, Ser 2020, | ||||||||
4.000%, 9–15–32 | 300 | 330 | ||||||
Palamar Hlth, Rfdg Rev Bonds, Ser 2016: | ||||||||
4.000%, 11–1–39 | 175 | 179 | ||||||
5.000%, 11–1–39 | 500 | 566 | ||||||
Palomar Hlth, Cert of Part, Ser 2017, | ||||||||
5.000%, 11–1–21 | 250 | 261 | ||||||
Poway Unif Sch Dist, Spl Tax Bonds (Cmnty Fac Dist No. 15 Del Sur East Impvt Area C), Ser 2016, | ||||||||
5.000%, 9–1–46 | 250 | 281 | ||||||
Regents of the Univ of CA, Ltd. Proj Rev Bonds, Ser M, | ||||||||
5.000%, 5–15–32 | 300 | 376 | ||||||
Richmond Joint Powers Fin Auth, Lease Rev Rfdg Bonds (Civic Ctr Proj), Ser 2019A (Insured by AGM), | ||||||||
5.000%, 11–1–25 | 400 | 485 | ||||||
Roseville City Sch Dist (Placer Cnty, CA), Election of 2002 GO Bonds, Ser A, | ||||||||
0.000%, 8–1–22 (A) | 100 | 99 | ||||||
Roseville, CA, Spl Tax Rev Bonds (Fiddyment Ranch Cmnty Fac Dist No. 1), Ser 2017A, | ||||||||
5.000%, 9–1–35 | 250 | 291 | ||||||
Sacramento Cnty Watr Fin Auth, Rev Bnds (Sacramento Cnty Watr Agy Zone 40 and 41 2007 Watr Sys Proj), Ser 2007B (3-Month U.S. LIBOR*0.67 plus 55 bps), | ||||||||
0.715%, 6–1–34 (D) | 400 | 351 | ||||||
Sacramento Cnty, Arpt Sys Sr Rev Rfdg Bonds, Ser 2020, | ||||||||
4.000%, 7–1–40 | 150 | 172 | ||||||
Sacramento Cnty, Arpt Sys Sub Rev Rfdg Bonds, Ser 2018E, | ||||||||
5.000%, 7–1–35 | 250 | 307 | ||||||
Sacramento, CA, Spl Tax Bonds (Natomas Cent Comnty Fac), Ser 2016, | ||||||||
5.000%, 9–1–41 | 250 | 282 |
MUNICIPAL BONDS (Continued) | Principal | Value | ||||||
California (Continued) |
| |||||||
San Bernardino, CA, Cmnty Fac Dist No. 2006-1 (Lytle Creek North), Impvt Area No. 4 Spl Tax Bonds, Ser 2016, | ||||||||
4.000%, 9–1–42 | $ | 250 | $ | 262 | ||||
San Buenaventura Rev Bonds (Cmnty Mem Hlth Sys), Ser 2011, | ||||||||
7.500%, 12–1–41 | 100 | 105 | ||||||
San Diego Assoc of Govts, South Bay Expressway Toll Rev First Sr Lien Bonds, Ser 2017A, | ||||||||
5.000%, 7–1–27 | 100 | 123 | ||||||
San Diego Cnty Rgnl Arpt Auth, Sub Arpt Rev Bonds, Ser 2017A, | ||||||||
5.000%, 7–1–42 | 200 | 237 | ||||||
San Diego Unif Sch Dist, GO Bonds, Election of 2012, Ser M-2, | ||||||||
3.000%, 7–1–50 | 250 | 268 | ||||||
San Francisco City and Cnty Arpt Comsn, San Francisco Intl Arpt Second Ser Rev Bonds, Ser 2019A, | ||||||||
4.000%, 5–1–49 | 250 | 274 | ||||||
San Francisco City and Cnty Arpt Comsn, San Francisco Intl Arpt Second Ser Rev Rfdg Bonds, Ser 2020A, | ||||||||
4.000%, 5–1–40 | 150 | 169 | ||||||
San Francisco City and Cnty Pub Util Comsn, Water Rev Bonds, Ser 2016AB, | ||||||||
4.000%, 11–1–39 | 250 | 285 | ||||||
San Jose, CA, Arpt Rev Rfdg Bonds, Ser 2017A, | ||||||||
5.000%, 3–1–47 | 200 | 230 | ||||||
San Juan Unif Sch Dist (Sacramento Cnty, CA), Elec of 1998 GO Bonds, Ser 2003B, | ||||||||
0.000%, 8–1–21 (A) | 200 | 200 | ||||||
San Mateo Cmnty Fac Dist No. 2008-1 (Bay Meadows), Spl Tax Bonds, Ser 2012, | ||||||||
6.000%, 9–1–42 | 250 | 266 | ||||||
Santa Clara Cnty Fin Auth, Var Rate Demand Rfdg Lease Rev Bonds (Multiple Fac Proj), Ser 2008M, | ||||||||
0.100%, 5–15–35 | 500 | 500 | ||||||
Santa Clara Cnty, CA, Union Elem Sch Dist, Election of 1999 GO Bonds, Ser A, | ||||||||
0.000%, 9–1–22 (A) | 100 | 99 | ||||||
Southn CA Pub Power Auth, Gas Proj Rev Bonds (Proj No. 1), Ser 2007A, | ||||||||
5.000%, 11–1–33 | 295 | 391 | ||||||
Southn CA Pub Power Auth, Milford Wind Corridor Phase I Proj, Rfdg Rev Bonds, Ser 2019-1: | ||||||||
3.000%, 7–1–21 | 100 | 102 | ||||||
2.000%, 7–1–22 | 100 | 103 | ||||||
State Pub Works Board of CA, Lease Rev Rfdg Bonds (Dept of Edu), Ser 2017H, | ||||||||
5.000%, 4–1–26 | 300 | 374 |
2020 | ANNUAL REPORT | 51 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY CALIFORNIA MUNICIPAL HIGH INCOME FUND (in thousands) |
SEPTEMBER 30, 2020
MUNICIPAL BONDS (Continued) | Principal | Value | ||||||
California (Continued) |
| |||||||
Stockton Pub Fin Auth, Wastewater Bond Anticipation Notes, Ser 2019, | ||||||||
1.400%, 6–1–22 | $ | 400 | $ | 402 | ||||
Successor Agy to the Lemon Grove Cmnty Dev Agy, Lemon Grove Redev Proj Area, Tax Alloc Rfdg Bonds, Ser 2019A (Insured by BAMAC), | ||||||||
4.000%, 8–1–21 | 370 | 382 | ||||||
Successor Agy to the Redev Agy of the City of Tulare, Tax Alloc Rfdg Bonds, Ser 2017A (Insured by BAMAC), | ||||||||
4.000%, 8–1–40 | 250 | 278 | ||||||
Tob Securitization Auth of Northn CA, Tob Stlmt Asset-Bkd Bonds (Sacramento Cnty Tob Securitization Corp.), Ser 2005A-1, | ||||||||
5.500%, 6–1–45 | 100 | 101 | ||||||
Tob Securitization Auth of Southn CA, Tob Stlmt Asset-Bkd Bonds (San Diego Cnty Tob Asset Securitization Corp.), Ser 2006D, | ||||||||
0.000%, 6–1–46 (A) | 300 | 50 | ||||||
WA Township Hlth Care Dist Rev Bonds, Ser 2017A: | ||||||||
3.500%, 7–1–30 | 45 | 49 | ||||||
3.750%, 7–1–31 | 255 | 277 |
MUNICIPAL BONDS (Continued) | Principal | Value | ||||||
California (Continued) |
| |||||||
Westn Riverside Water and Wastewater Fin Auth, Local Agy Rev Rfdg Bonds, Ser 2016A, | ||||||||
5.000%, 9–1–29 | $ | 250 | $ | 300 | ||||
William S. Hart Union High Sch Dist, Cmnty Fac Dist No. 2015-1 Spl Tax Bonds, Ser 2017, | ||||||||
5.000%, 9–1–47 | 300 | 332 | ||||||
|
| |||||||
31,621 | ||||||||
|
| |||||||
Guam – 0.8% |
| |||||||
Guam Port Rev Bonds, Ser 2018B, | ||||||||
5.000%, 7–1–22 | 250 | 263 | ||||||
|
| |||||||
Puerto Rico – 0.9% |
| |||||||
Cmnwlth of PR, Pub Impvt Rfdg GO Bonds, Ser 2007A-4, | ||||||||
5.250%, 7–1–30 | 135 | 136 | ||||||
PR Hwy and Trans Auth, Hwy Rev Rfdg Bonds, Ser CC: | ||||||||
5.250%, 7–1–32 | 120 | 133 | ||||||
5.250%, 7–1–33 | 50 | 55 | ||||||
|
| |||||||
324 | ||||||||
|
| |||||||
TOTAL MUNICIPAL BONDS – 93.3% |
| $ | 32,208 | |||||
(Cost: $30,874) |
|
SHORT-TERM SECURITIES | Shares | Value | ||||||
Money Market Funds (E) – 6.0% |
| |||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, | ||||||||
0.030% | 2,066 | $ | 2,066 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 6.0% |
| $ | 2,066 | |||||
(Cost: $2,066) |
| |||||||
TOTAL INVESTMENT SECURITIES – 99.3% |
| $ | 34,274 | |||||
(Cost: $32,940) |
| |||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.7% |
| 244 | ||||||
NET ASSETS – 100.0% |
| $ | 34,518 |
Notes to Schedule of Investments
(A) | Zero coupon bond. |
(B) | Purchased on a when-issued basis with settlement subsequent to September 30, 2020. |
(C) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020 the total value of these securities amounted to $528 or 1.5% of net assets. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2020. Description of the reference rate and spread, if applicable, are included in the security description. |
(E) | Rate shown is the annualized 7-day yield at September 30, 2020. |
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of September 30, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Municipal Bonds | $ | — | $ | 32,208 | $ | — | ||||||
Short-Term Securities | 2,066 | — | — | |||||||||
Total | $ | 2,066 | $ | 32,208 | $ | — |
The following acronyms are used throughout this schedule:
AGM = Assured Guaranty Municipal
BAMAC = Build America Mutual Assurance Co.
LIBOR = London Interbank Offered Rate
See Accompanying Notes to Financial Statements.
52 | ANNUAL REPORT | 2020 |
Table of Contents
MANAGEMENT DISCUSSION | IVY CASH MANAGEMENT FUND |
(UNAUDITED)
Below, Mira Stevovich, CFA, portfolio manager of the Ivy Cash Management Fund, discusses positioning, performance and results for the fiscal year ended September 30, 2020. She has managed the Fund for 22 years and has 33 years of industry experience.
The Fund’s fiscal year ended on September 30, 2020 with short-term rates substantially lower after a rate cut of 0.25-percentage point by the Federal Reserve (Fed) in October 30, 2019, followed by two emergency rate cuts of 50 basis points (bps) and 100 bps on March 3 and 15 of 2020. The rate cut in October 2019 was made to support continued economic growth, while the March rate moves were made to support the economy as the COVID-19 pandemic evolved in the U.S.
Fed Intervention
The Fund’s fiscal year started with the federal funds rate between 1.75-2.00% and ended in a range of 0.00-0.25%. The Fed continued to use an interest rate band of a quarter percentage point to manage the federal funds rate. The Reverse Repo Program run by the Fed continued as a tool to manage the band floor. As the fiscal year began, it was necessary for the Fed to execute open market operations to inject bank reserves into the system to lower short-term rates that had increased substantially due to technical reasons. As part of this plan, the Fed began purchasing $60 billion U.S. Treasury bills monthly. It was determined that it would be necessary for the Fed to continue to do this until bank reserves normalized. This plan succeeded in maintaining an acceptable level of short-term rates over 2019 calendar year-end.
March 2020 brought mandated shutdowns of the U.S. economy due to the COVID-19 pandemic. It required Fed intervention by lowering the federal funds rate band by 150 bps in two cuts, to 0.0-0.25%. In addition, the Fed established a variety of programs to help the markets function, which included a program to aid in the efficient functioning of the money markets.
Higher rates of interest early in the fiscal year boosted the performance of the Fund and rates on money market investments, in general, until March. However, lower interest rates caused yields on money market securities to drop dramatically and eventually caused the yield on the Fund to decline. The Securities and Exchange Commission (SEC) regulation requiring at least 30% of the Fund’s holdings mature in five business days or less continues to affect the Fund’s return because very short maturities tend to carry the lowest interest rates.
Within the confines of the Fund’s liquidity and maturity requirements, we sought to maintain yield by purchasing longer-dated securities when credit spreads were wide at the beginning of the health crisis. We have continued to invest in floating rate notes based on the one- or three-month London Interbank Offered Rate (LIBOR). These notes carry an attractive rate of interest, while allowing us to maintain a modest “weighted average maturity” (WAM). As the Fed adjusted rates, LIBOR rates have tracked these moves. The one-month LIBOR rate began the fiscal year at 2.01088% and ended the fiscal year at 0.14825%. The three-month LIBOR rate began the fiscal year 2.08863% and ended the fiscal year at 0.23388%. We also began to invest in floating rate notes based on the daily effective federal funds rate, as well as the new SOFR (Secured Overnight Financing Rate) index, which is a daily measure of the cost of borrowing overnight funds collateralized by Treasury securities from a variety of sources. This index was established as a replacement for LIBOR. The Bank of England and the Financial Conduct Authority of the U.K. announced in late 2019 that LIBOR is not considered sufficiently robust or sustainable given its widespread use and, as such, the publication of LIBOR rates is expected to cease after the end of 2021.
Credit quality remained an important factor in the management and performance of the Fund. We are cautious in our review of the companies and securities in which we invest. We select investments that we believe to be of the highest credit quality, based on our credit risk constraints, although this higher-quality bias can hold down yield.
Staying the course
This past fiscal year, we continued to emphasize investments of higher credit quality from a variety of industries and sectors and we intend to continue to do so going forward, while providing value to the Fund. We remain selective of our investments. We will continue using floating-rate securities in the coming fiscal year, which we consider effective tools to managing the WAM of the Fund, while providing attractive yields. We also intend to include U.S. Treasury and government agency securities, as necessary.
We are managing the Fund to comply with SEC regulations of money market funds. The SEC added these regulations to provide money market investors with greater protection and more timely information about the funds in which they invest. To this end, we are maintaining daily and weekly liquidity levels according to the regulations. Liquidity and investing for diversification continue to be paramount in our management of the Fund. We will continue to manage the Fund in what we believe is a prudent manner and in accordance with SEC regulations.
Past performance is not a guarantee of future results. As with any mutual fund, the value of the Fund’s shares will change, and it is possible to lose money on your investment.
2020 | ANNUAL REPORT | 53 |
Table of Contents
Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon the sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
The opinions expressed in this report are those of the Fund’s portfolio manager and are current only through the end of the period of the report as stated on the cover. The portfolio manager’s views are subject to change at any time based on market and other conditions, and no forecasts can be guaranteed.
54 | ANNUAL REPORT | 2020 |
Table of Contents
PORTFOLIO HIGHLIGHTS | IVY CASH MANAGEMENT FUND |
ALL DATA IS AS OF SEPTEMBER 30, 2020 (UNAUDITED)
Asset Allocation
Corporate Obligations | 59.1% | |||
Commercial Paper | 30.3% | |||
Certificate Of Deposit | 23.6% | |||
Master Note | 3.0% | |||
Notes | 2.2% | |||
United States Government and Government Agency Obligations | 35.5% | |||
Municipal Obligations | 5.5% | |||
Liabilities (Net of Cash and Other Assets) | -0.1% |
2020 | ANNUAL REPORT | 55 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY CASH MANAGEMENT FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE OBLIGATIONS | Principal | Value | ||||||
Certificate Of Deposit |
| |||||||
Banco del Estado de Chile, | ||||||||
0.900%, 10–26–20 | $ | 10,000 | $ | 10,000 | ||||
Banco del Estado de Chile (1-Month U.S. LIBOR plus 22 bps), | ||||||||
0.380%, 10–13–20 (A) | 20,000 | 20,000 | ||||||
Banco del Estado de Chile (3-Month U.S. LIBOR plus 24 bps), | ||||||||
0.500%, 11–14–20 (A) | 20,000 | 20,000 | ||||||
Bank of Montreal, | ||||||||
0.170%, 12–7–20 | 15,000 | 15,000 | ||||||
Bank of Montreal (1-Month U.S. LIBOR plus 11 bps): | ||||||||
0.270%, 10–9–20 (A) | 25,000 | 25,000 | ||||||
0.260%, 10–14–20 (A) | 15,000 | 15,000 | ||||||
Bank of Montreal (Secured Overnight Financing Rate plus 41 bps), | ||||||||
0.480%, 10–1–20 (A) | 12,000 | 12,000 | ||||||
Bank of Nova Scotia (The) (3-Month U.S. LIBOR plus 4 bps), | ||||||||
0.290%, 11–11–20 (A) | 15,000 | 14,999 | ||||||
Bank of Nova Scotia (The) (3-Month U.S. LIBOR plus 5 bps), | ||||||||
0.300%, 11–5–20 (A) | 20,000 | 20,000 | ||||||
Canadian Imperial Bank of Commerce (3-Month U.S. LIBOR plus 14 bps), | ||||||||
0.410%, 12–19–20 (A) | 20,000 | 20,000 | ||||||
Canadian Imperial Bank of Commerce (3-Month U.S. LIBOR plus 5 bps), | ||||||||
0.300%, 11–4–20 (A) | 10,000 | 10,000 | ||||||
Canadian Imperial Bank of Commerce (Secured Overnight Financing Rate plus 25 bps), | ||||||||
0.320%, 10–1–20 (A) | 10,000 | 10,000 | ||||||
Canadian Imperial Bank of Commerce (Secured Overnight Financing Rate plus 28 bps), | ||||||||
0.350%, 10–1–20 (A) | 25,000 | 25,000 | ||||||
Canadian Imperial Bank of Commerce (U.S. Federal Funds effective rate plus 16 bps), | ||||||||
0.250%, 10–1–20 (A) | 10,000 | 10,000 | ||||||
Citibank N.A., | ||||||||
0.200%, 4–5–21 | 20,000 | 20,000 | ||||||
Royal Bank of Canada (1-Month U.S. LIBOR plus 31 bps), | ||||||||
0.470%, 10–1–20 (A) | 10,000 | 10,000 | ||||||
Royal Bank of Canada (3-Month U.S. LIBOR plus 12 bps), | ||||||||
0.360%, 12–16–20 (A) | 7,000 | 7,000 | ||||||
Royal Bank of Canada (3-Month U.S. LIBOR plus 7 bps), | ||||||||
0.340%, 10–29–20 (A) | 25,000 | 25,000 | ||||||
Royal Bank of Canada (Secured Overnight Financing Rate plus 55 bps), | ||||||||
0.620%, 10–1–20 (A) | 25,000 | 25,000 | ||||||
Toronto-Dominion Bank, | ||||||||
0.180%, 1–14–21 | 20,000 | 20,000 |
CORPORATE OBLIGATIONS (Continued) | Principal | Value | ||||||
Certificate Of Deposit (Continued) |
| |||||||
Toronto-Dominion Bank (3-Month U.S. LIBOR plus 11 bps), | ||||||||
0.360%, 12–12–20 (A) | $ | 15,000 | $ | 15,000 | ||||
Toronto-Dominion Bank (Federal Funds Rate plus 35 bps), | ||||||||
0.440%, 10–1–20 (A) | 10,000 | 10,000 | ||||||
Wells Fargo Bank N.A. (Federal Funds Rate plus 45 bps), | ||||||||
0.540%, 10–1–20 (A) | 9,000 | 9,000 | ||||||
|
| |||||||
Total Certificate Of Deposit – 23.6% |
| 367,999 | ||||||
Commercial Paper (B) | ||||||||
Banco del Estado de Chile: | ||||||||
0.340%, 11–2–20 | 10,000 | 9,997 | ||||||
0.470%, 11–9–20 | 5,000 | 4,997 | ||||||
0.170%, 11–23–20 | 3,000 | 2,999 | ||||||
0.180%, 12–1–20 | 5,000 | 4,998 | ||||||
0.270%, 12–4–20 | 5,000 | 4,998 | ||||||
BP Capital Markets plc (GTD by BP plc), | ||||||||
0.110%, 10–2–20 | 1,400 | 1,400 | ||||||
Caterpillar Financial Services Corp. (GTD by Caterpillar, Inc.), | ||||||||
0.070%, 10–1–20 | 15,000 | 15,000 | ||||||
Coca-Cola Co. (The), | ||||||||
0.990%, 1–15–21 | 15,000 | 14,956 | ||||||
Corporacion Andina de Fomento: | ||||||||
0.350%, 10–7–20 | 10,000 | 9,999 | ||||||
0.210%, 10–15–20 | 5,000 | 5,000 | ||||||
0.770%, 11–10–20 | 20,000 | 19,982 | ||||||
0.300%, 11–19–20 | 23,336 | 23,326 | ||||||
0.230%, 11–23–20 | 5,000 | 4,998 | ||||||
0.580%, 12–2–20 | 7,000 | 6,993 | ||||||
0.440%, 1–21–21 | 5,000 | 4,993 | ||||||
Duke Energy Corp., | ||||||||
0.120%, 10–1–20 | 15,000 | 15,000 | ||||||
Ecolab, Inc., | ||||||||
0.100%, 10–1–20 | 13,000 | 13,000 | ||||||
Exxon Mobil Corp., | ||||||||
0.890%, 10–21–20 | 20,000 | 19,990 | ||||||
GlaxoSmithKline Finance plc (GTD by GlaxoSmithKline plc), | ||||||||
0.140%, 10–1–20 | 18,000 | 18,000 | ||||||
GlaxoSmithKline LLC (GTD by GlaxoSmithKline plc), | ||||||||
0.100%, 10–1–20 | 10,000 | 10,000 | ||||||
Honeywell International, Inc.: | ||||||||
1.120%, 10–15–20 | 20,000 | 19,991 | ||||||
1.090%, 1–14–21 | 15,000 | 14,952 | ||||||
International Paper Co.: | ||||||||
0.090%, 10–1–20 | 10,000 | 10,000 | ||||||
0.100%, 10–6–20 | 5,000 | 5,000 | ||||||
J.M. Smucker Co. (The), | ||||||||
0.100%, 10–1–20 | 15,780 | 15,780 | ||||||
John Deere Canada ULC (GTD by Deere & Co.): | ||||||||
0.130%, 10–1–20 | 3,000 | 3,000 | ||||||
0.120%, 11–12–20 | 10,000 | 9,999 | ||||||
Kimberly-Clark Corp., | ||||||||
0.060%, 10–7–20 | 5,000 | 5,000 |
CORPORATE OBLIGATIONS (Continued) | Principal | Value | ||||||
Commercial Paper (B) (Continued) |
| |||||||
Malayan Banking Berhad (GTD by Wells Fargo Bank N.A.): | ||||||||
0.960%, 10–8–20 | $ | 5,000 | $ | 4,999 | ||||
1.840%, 10–15–20 | 5,000 | 4,996 | ||||||
0.670%, 10–20–20 | 32,500 | 32,488 | ||||||
0.410%, 12–14–20 | 3,000 | 2,997 | ||||||
0.340%, 1–25–21 | 30,000 | 29,967 | ||||||
McCormick & Co., Inc., | ||||||||
0.120%, 10–1–20 | 15,700 | 15,700 | ||||||
PACCAR Financial Corp. (GTD by PACCAR, Inc.), | ||||||||
0.100%, 10–28–20 | 7,000 | 7,000 | ||||||
Pricoa Short Term Funding LLC: | ||||||||
0.130%, 10–5–20 | 1,000 | 1,000 | ||||||
1.020%, 11–2–20 | 10,000 | 9,991 | ||||||
Royal Bank of Canada, | ||||||||
0.230%, 9–10–21 | 5,000 | 4,989 | ||||||
Shell International Finance B.V. (GTD by Royal Dutch Shell plc), | ||||||||
0.500%, 5–25–21 | 6,000 | 5,980 | ||||||
Toronto-Dominion Bank: | ||||||||
0.130%, 10–29–20 | 5,000 | 5,000 | ||||||
0.180%, 1–12–21 | 25,000 | 24,987 | ||||||
Toyota Motor Credit Corp.: | ||||||||
0.250%, 11–18–20 | 7,000 | 6,998 | ||||||
0.970%, 11–25–20 | 12,000 | 11,982 | ||||||
0.250%, 1–15–21 | 7,613 | 7,607 | ||||||
Wisconsin Gas LLC, | ||||||||
0.090%, 10–1–20 | 10,000 | 10,000 | ||||||
|
| |||||||
Total Commercial Paper – 30.3% |
| 481,029 | ||||||
Master Note | ||||||||
Toyota Motor Credit Corp. (1-Week U.S. LIBOR plus 25 bps), | ||||||||
0.350%, 10–7–20 (A) | 47,248 | 47,248 | ||||||
|
| |||||||
Total Master Note – 3.0% |
| 47,248 | ||||||
Notes |
| |||||||
Net Magan Two LLC (GTD by Federal Home Loan Bank) (1-Month U.S. LIBOR plus 10 bps), | ||||||||
0.400%, 10–7–20 (A) | 15,200 | 15,200 | ||||||
Osprey Properties Ltd. (1-Month U.S. LIBOR), | ||||||||
0.150%, 10–7–20 (A) | 19,670 | 19,670 | ||||||
|
| |||||||
Total Notes – 2.2% |
| 34,870 | ||||||
TOTAL CORPORATE OBLIGATIONS – 59.1% |
| $ | 931,146 | |||||
(Cost: $931,146) | ||||||||
MUNICIPAL OBLIGATIONS | ||||||||
California – 3.3% |
| |||||||
State of California: | ||||||||
0.170%, 11–10–20 | 7,000 | 7,000 | ||||||
0.180%, 12–3–20 | 20,000 | 20,000 |
56 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY CASH MANAGEMENT FUND (in thousands) |
SEPTEMBER 30, 2020
MUNICIPAL OBLIGATIONS (Continued) | Principal | Value | ||||||
California (Continued) |
| |||||||
University of California (1-Month U.S. LIBOR plus 8 bps), | ||||||||
0.120%, 10–7–20 (A) | $ | 24,250 | $ | 24,250 | ||||
|
| |||||||
51,250 | ||||||||
|
| |||||||
Colorado – 0.1% |
| |||||||
Sheridan Redev Agy CO Tax, Var Rfdg S Santa Fe Dr Corridor Redev PJ, Ser A-1 (GTD by JPMorgan Chase & Co.) (BVAL plus 30 bps), | ||||||||
0.250%, 10–7–20 (A) | 1,200 | 1,200 | ||||||
|
| |||||||
Florida – 0.2% |
| |||||||
Miami-Dade Cnty, FL, Seaport Commercial Paper Notes, Ser A-2 (GTD by Bank of America N.A.), | ||||||||
0.600%, 10–20–20 | 2,619 | 2,619 | ||||||
|
| |||||||
Kansas – 0.1% |
| |||||||
Univ of KS Hosp Auth, Var Rate Demand Hlth Fac Rev Bonds (KU Hlth Sys), Ser 2004 (GTD by U.S. Bank N.A.) (BVAL plus 17 bps), | ||||||||
0.120%, 10–1–20 (A) | 1,895 | 1,895 | ||||||
|
| |||||||
Missouri – 0.4% |
| |||||||
Kansas City, MO, Var Rate Dem Taxable Spl Oblig Rfdg Bonds (President Hotel Redev Proj), Ser 2009B (GTD by JPMorgan Chase & Co.) (BVAL plus 22 bps), | ||||||||
0.150%, 10–7–20 (A) | 5,700 | 5,700 | ||||||
|
| |||||||
New Jersey – 0.3% |
| |||||||
Trap Rock Industries, Inc., Var Demand Bonds, Ser 2005 (GTD by Wachovia Bank N.A.) (1-Week U.S. LIBOR plus 10 bps), | ||||||||
0.150%, 10–7–20 (A) | 5,245 | 5,245 | ||||||
|
|
MUNICIPAL OBLIGATIONS (Continued) | Principal | Value | ||||||
New York – 1.0% |
| |||||||
Long Island, NY, Power Auth, Elec Sys Gen Rev Commercial Paper Notes, Ser 2015GR-4A (GTD by Royal Bank of Canada), | ||||||||
0.170%, 10–1–20 | $ | 15,000 | $ | 15,000 | ||||
|
| |||||||
Virgina – 0.1% |
| |||||||
Staunton, VA, Indl Dev Auth Commercial Paper Notes, Ser 2005B (GTD by Bank of America N.A.), | ||||||||
0.500%, 10–5–20 | 1,575 | 1,575 | ||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS – 5.5% |
| $ | 84,484 | |||||
(Cost: $84,484) | ||||||||
UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | ||||||||
Treasury Bills (B) – 10.5% | ||||||||
U.S. Treasury Bills: | ||||||||
0.150%, 10–1–20 | 9,000 | 9,000 | ||||||
0.140%, 10–8–20 | 11,000 | 11,000 | ||||||
0.140%, 10–15–20 | 24,000 | 23,999 | ||||||
0.150%, 10–29–20 | 5,000 | 4,999 | ||||||
0.090%, 11–5–20 | 18,000 | 17,998 | ||||||
0.100%, 11–10–20 | 10,000 | 9,999 | ||||||
0.100%, 11–12–20 | 9,000 | 8,999 | ||||||
0.100%, 12–3–20 | 4,236 | 4,235 | ||||||
0.180%, 12–10–20 | 9,000 | 8,997 | ||||||
0.130%, 1–28–21 | 9,200 | 9,196 | ||||||
U.S. Treasury Cash Management Bills: | ||||||||
0.140%, 10–6–20 | 12,000 | 12,000 | ||||||
0.140%, 10–13–20 | 3,500 | 3,500 | ||||||
0.140%, 10–20–20 | 4,000 | 4,000 | ||||||
0.140%, 10–27–20 | 7,500 | 7,499 | ||||||
0.170%, 11–3–20 | 6,000 | 5,999 |
UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Continued) | Principal | Value | ||||||
Treasury Bills (B) (Continued) | ||||||||
0.190%, 11–17–20 | $ | 6,000 | $ | 5,998 | ||||
0.140%, 12–22–20 | 8,000 | 7,997 | ||||||
0.100%, 1–5–21 | 7,000 | 6,998 | ||||||
0.120%, 2–16–21 | 3,000 | 2,999 | ||||||
|
| |||||||
165,412 | ||||||||
|
| |||||||
United States Government Agency Obligations – 25.0% |
| |||||||
U.S. International Development Finance Corp. (GTD by U.S. Government), | ||||||||
1.870%, 11–17–20 | 8,000 | 8,000 | ||||||
U.S. International Development Finance Corp. (GTD by U.S. Government) (3-Month U.S. TB Rate): | ||||||||
0.130%, 10–7–20 (A) | 278,552 | 278,552 | ||||||
0.140%, 10–7–20 (A) | 57,400 | 57,400 | ||||||
0.150%, 10–7–20 (A) | 40,776 | 40,776 | ||||||
1.000%, 4–9–21 (A) | 1,370 | 1,370 | ||||||
0.260%, 9–30–21 (A) | 9,000 | 9,000 | ||||||
|
| |||||||
395,098 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS – 35.5% |
| $ | 560,510 | |||||
(Cost: $560,510) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.1% |
| $ | 1,576,140 | |||||
(Cost: $1,576,140) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.1)% |
| (943 | ) | |||||
NET ASSETS – 100.0% |
| $ | 1,575,197 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2020. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(B) | Rate shown is the yield to maturity at September 30, 2020. |
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of September 30, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Corporate Obligations | $ | — | $ | 931,146 | $ | — | ||||||
Municipal Obligations | — | 84,484 | — | |||||||||
United States Government and Government Agency Obligations | — | 560,510 | — | |||||||||
Total | $ | — | $ | 1,576,140 | $ | — |
2020 | ANNUAL REPORT | 57 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY CASH MANAGEMENT FUND (in thousands) |
SEPTEMBER 30, 2020
The following acronyms are used throughout this schedule:
BVAL = Bloomberg Valuation Municipal AAA Benchmark
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
TB = Treasury Bill
See Accompanying Notes to Financial Statements.
58 | ANNUAL REPORT | 2020 |
Table of Contents
MANAGEMENT DISCUSSION | IVY CORPORATE BOND FUND |
(UNAUDITED)
Below, Mark G. Beischel, CFA and Susan K. Regan, co-portfolio managers of the Ivy Corporate Bond Fund, discuss positioning, performance and results for the fiscal year ended September 30, 2020. Mr. Beischel has managed the Fund since April 2018 and has 27 years of industry experience. Ms. Regan has managed the Fund since April 2018 and has 33 years of industry experience.
Fiscal Year Performance
For the 12 Months Ended September 30, 2020 | ||||
Ivy Corporate Bond Fund | 8.07% | |||
(Class A shares at net asset value) | ||||
Ivy Corporate Bond Fund | 1.84% | |||
(Class A shares including sales charges) | ||||
Benchmark and Morningstar Category | ||||
Bloomberg Barclays U.S. Credit Index | 7.50% | |||
(generally reflects the performance of securities representing the U.S. credit market) | ||||
Morningstar Corporate Bond Category Average | 7.25% | |||
(generally reflects the performance of the universe of funds with similar investment objectives) |
Please note that Fund returns include applicable fees and expenses, while index returns do not include any such fees. The performance discussion below is based on net asset value (NAV).
Unprecedented volatility hit markets
The past fiscal year witnessed a historic level of volatility driven primarily by the COVID-19 pandemic. U.S. Treasury yields declined dramatically, hitting record lows during the fiscal year. The 10-year U.S. Treasury yield started at 1.66%, declining nearly 100 basis points (bps) to 0.68% by the end of the fiscal year. Remarkably, risk assets faired quite well for the past year despite the pandemic, with unprecedented monetary and fiscal stimulus resulting in the S&P 500 Index rising by almost 15% for the past fiscal year. Credit spreads in investment grade credit underperformed equities with the spread on the Fund’s benchmark, the Bloomberg Barclays U.S. Credit Index, widening from 109 bps to 128 bps during the year. This was more than offset by the moves in U.S. Treasuries resulting in a total return of 7.5% for investment grade credit. High yield, as measured by the Bloomberg Barclays U.S. Corporate High Yield Index, posted a 3.25% return for the year, mainly due to the moves in U.S. Treasury rates and coupon income, while the spread on index widened from 373 bps to 517 bps in the period.
Multiple macroeconomic data points hit record lows as the pandemic-driven shutdown unfolded, although many measures have staged significant recoveries with the gradual reopening and monetary and fiscal stimuli. The Institute for Supply Management (ISM) manufacturing index rose during the period from 47.8 to 55.4, ending in expansion territory after hitting 41.5 in April, a level not seen since the 2008-2009 financial crisis. Given the nature of the economic shutdown, services bottomed in April at 41.8, but saw an overall increase during the year from 53.5 to 57.8. Payroll growth averaged 145,000, down marginally from 150,000 the prior year, but the unemployment rate rose from 3.6% to 8.8% during the period. Oddly, for a recession of this magnitude, personal income spiked considerably in the year rising from $18.6 trillion to $19.5 trillion — it hit a high of $21 trillion in April due to the fiscal stimulus. A considerable amount of this was saved, which caused consumption to decline from $14.7 trillion to $14.4 trillion in the period.
The pandemic caused the Federal Reserve (Fed) to respond aggressively. The Fed cut rates three times in the fiscal year, once in October 2019, and twice in March 2020 resulting in the federal funds rate going from 1.75-2.00% to 0-0.25%. In addition to slashing rates, the Fed announced several market and economic support measures in conjunction with the U.S. Treasury. Most important for the corporate credit markets was the Fed’s decision to begin purchasing investment grade bonds, and to a lesser extent, high yield bonds for the first time ever. The announcement had a pronounced effect on credit asset prices and reopened capital markets, which led to record investment-grade issuance.
Fundamentals in the investment grade space continued to deteriorate with leverage rising to 3.3-times in second quarter of calendar year 2020, up from 3.0-times a year earlier. The pandemic is likely to result in deteriorating leverage trends in the future with leading forecasters predicting investment grade leverage to rise to 3.6 by the end of calendar year 2020, a record for the market. In the second quarter of calendar year 2020, earnings before interest, taxes, depreciation and amortization (EBITDA), declined nearly 5% year over year, while debt grew nearly 10% year over year, which drove most of the leverage increase. One positive fundamental change this fiscal year was that cash paid to shareholders was down 19% year over year. However, it remains to be seen if that trend reverses after companies become more comfortable with their outlooks and
2020 | ANNUAL REPORT | 59 |
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possibly resume dividends and/or share repurchases. Additionally, duration for the investment-grade market, as measured by the Bloomberg Barclays U.S. Credit Index, increased in the past fiscal year from 7.5 years to 8.3 years and has risen approximately three years from the level of 20 years ago. Lengthening duration magnifies price movement based on interest rates, as well as spread changes, so we believe the risk of the market has increased.
Despite the negatives of increasing leverage and duration, the favorable technical backdrop has been supportive. Supply, flows and negative yields globally have been powerful forces, offsetting weakening fundamentals and keeping spreads from widening further. Issuance in calendar year 2020 is already at a record with one quarter to go. After turning sharply negative in the spring of 2020, fund flows have been exceptionally strong with 2020 calendar year-to-date inflows of approximately $174 billion more than 5% of the aggregate funds in the asset class. Lastly, relative yields in the U.S. investment grade credit market remain attractive versus the $15.5 trillion in negative yielding global debt.
Performance and positioning
The Fund had a positive return for the fiscal period and outperformed its benchmark and Morningstar peer group average. Most of the Fund’s positive credit spread attribution was derived from credit selection with a modest sector allocation benefit, notably from the energy sector, while the industrial and utilities sectors detracted. The Fund’s short duration position relative to the benchmark was a modest detractor from performance, however that was more than offset by the Fund’s credit spread contribution. By rating, the Fund’s positioning in BBB was the largest contributor while AA was the key detractor.
During the fiscal year, the Fund’s risk relative to the benchmark increased slightly, while duration relative to the benchmark decreased and remains modestly under benchmark duration. The largest increases in sector weightings were in communications and consumer cyclical, while industrial and consumer non-cyclical sectors were the largest decreases. The Fund increased its exposure to BB and AA rated credits, at the expense of credits rated A and BBB.
Coming into this fiscal year the Fund was well positioned with a conservative risk profile, which allowed us to take advantage of the pandemic-driven sell off. Our nimble size allowed us to take ample incremental risk in the spring of 2020 when the market became dislocated. This was even though the Fed’s actions resulted in a historically short credit cycle in terms of price action. We have since reduced most of that incremental risk and are again conservatively positioned. We continue to believe that negative fundamentals will likely result in more frequent periods of volatility as technicals are fleeting and subject to rapid shifts.
In order to optimize risk and reward in this environment, we have a slight yield pickup relative to the benchmark. However, we remain conservative due to the Fund’s lower-rated credits being much shorter duration than the higher quality credits in the portfolio. Because duration amplifies price movement, we believe our positioning may optimize risk and reward in the present environment by maximizing yield while minimizing negative performance if spreads widen.
Looking ahead
After an extremely volatile year, the investment-grade market stabilized in the third quarter of calendar year with index spreads trading in a relatively narrow 24 bps range. We believe the Fed’s actions have suppressed volatility and provided material support for risk assets. This support for risk is unlikely to go away anytime soon, however one must balance it with the risks and fundamentals. The future continues to have numerous material risks that will likely impact markets going forward. We are in a pandemic, have a weak economy, and the upcoming U.S. Presidential election presents risks to the markets broadly as well as individual sectors. We’ve already started to see substantial hedging across asset classes ahead of the U.S. election cycle, the impact of which is considerably larger than the normal election hedging.
Investment-grade fundamentals continue to be extremely weak, with leverage remaining at record highs and duration in the market being near a record high. However, credit spreads sit at 128 basis points for investment grade, well below their 20-year average of 146 bps. The reason for the disconnect between the fundamentals and valuations is the favorable technical picture and the search for yield driven by the Fed’s actions.
The technical backdrop continued to be favorable as historically high investment-grade supply was offset by fund inflows and substantial foreign demand. However, towards the end of the quarter we saw a weakening of fund inflows, which remained positive. We believe that supply going forward is likely to be supportive. In aggregate, companies issued more than enough debt to shore up liquidity in the pandemic and subsequently refinanced a great deal of debt, which coupled with low levels of mergers and acquisitions, suggests low issuance in the fourth quarter and beyond.
Going forward, we believe record leverage and near-record duration, along with the myriad of risk factors in the future, is likely to lead to more frequent periods of volatility and prevent spreads from rallying materially in the coming quarter and beyond. While the technical picture remains favorable, we think it is fleeting and that the weak fundamentals are likely to persist for years. Our current conservative positioning is designed to allow us to opportunistically take incremental risk into these periods to capitalize on the volatility as it presents itself.
60 | ANNUAL REPORT | 2020 |
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We continue to believe that credit selection will be paramount, and we continue to find many mispriced credit situations as the pandemic continues to drive vastly different results from companies across the investment-grade universe. As always, our team is continually focused on assessing the rapidly changing landscape to ensure our positioning optimizes the risk and reward for our investors.
Performance shown at NAV does not include the effect of sales charges. If reflected, the performance shown would have been lower. Performance including sales charges reflects the maximum applicable front-end sales load.
Past performance is not a guarantee of future results. As with any mutual fund, the value of the Fund’s shares will change, and you could lose money on your investment.
Fixed-income securities are subject to interest rate risk and, as such, the Fund’s net asset value may fall as interest rates rise.
Certain U.S. government securities in which the Fund may invest, such as Treasury securities and securities issued by the Government National Mortgage Association (Ginnie Mae), are backed by the full faith and credit of the U.S. government. However, other U.S. government securities in which the Fund may invest, such as securities issued by the Federal National Mortgage Association (Fannie Mae), the Federal Home Loan Mortgage Corporation (Freddie Mac) and the Federal Home Loan Banks (FHLB) are not backed by the full faith and credit of the U.S. government, are not insured or guaranteed by the U.S. government and, instead, may be supported only by the right of the issuer to borrow from the U.S. Treasury or by the credit of the issuer.
These and other risks are more fully described in the Fund’s prospectus.
The opinions expressed in this report are those of the Fund’s portfolio managers and are current only through the end of the period of the report as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions, and no forecasts can be guaranteed.
The index noted is unmanaged and includes reinvested dividends. One cannot invest directly in an index, nor is an index representative of the Ivy Corporate Bond Fund.
2020 | ANNUAL REPORT | 61 |
Table of Contents
PORTFOLIO HIGHLIGHTS | IVY CORPORATE BOND FUND |
ALL DATA IS AS OF SEPTEMBER 30, 2020 (UNAUDITED)
Asset Allocation
Bonds | 96.4% | |||
Corporate Debt Securities | 90.9% | |||
Asset-Backed Securities | 2.2% | |||
Municipal Bonds — Taxable | 1.7% | |||
Other Government Securities | 1.4% | |||
Mortgage-Backed Securities | 0.2% | |||
Loans | 0.0% | |||
United States Government Obligations | 0.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.6% |
Quality Weightings
Investment Grade | 93.1% | |||
AAA | 1.9% | |||
AA | 11.4% | |||
A | 31.2% | |||
BBB | 48.6% | |||
Non-Investment Grade | 3.3% | |||
BB | 2.4% | |||
B | 0.6% | |||
CCC | 0.1% | |||
Non-rated | 0.2% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.6% |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
62 | ANNUAL REPORT | 2020 |
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COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT | IVY CORPORATE BOND FUND |
(UNAUDITED)
Please note that the performance of the Fund’s other share classes will be greater or less than the performance shown above for Class A based on the differences in loads and fees paid by shareholders investing in the different classes.
(1) | The value of the investment in the Fund is impacted by the sales load at the time of the investment and by the ongoing expenses of the Fund and assumes reinvestment of dividends and distributions. |
Average Annual Total Return(2) | Class A(3) | Class B(4) | Class C | Class I | Class N | Class Y | ||||||||||||||||||
1-year period ended 9-30-20 | 1.84% | 2.35% | 7.13% | 8.39% | 8.56% | 8.29% | ||||||||||||||||||
5-year period ended 9-30-20 | 3.62% | 3.11% | 3.93% | 5.16% | — | — | ||||||||||||||||||
10-year period ended 9-30-20 | 2.99% | 2.52% | 2.67% | 3.91% | — | — | ||||||||||||||||||
Since Inception of Class through 9-30-20(5) | — | — | — | — | 6.25% | 5.84% |
(2) | Data quoted is past performance and is based on deduction of the maximum applicable sales load for each of the periods. Current performance may be lower or higher. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost. Please visit www.ivyinvestments.com for the Fund’s most recent month end performance. Class A Shares carry a maximum front-end sales load of 5.75%(a). Class B and Class C shares carry a maximum contingent deferred sales charge (CDSC) of 5% and 1%, respectively (the Class C shares reflect no CDSC since it only applies to Class C shares redeemed within twelve months after purchase). Class I, Class N and Class Y shares are not subject to sales charges. |
(3) | Class A shares carry a CDSC on shares purchased at net asset value for $1 million or more that are subsequently redeemed within 12 months of purchase. Effective October 1, 2020, Class A shares carry a CDSC on shares purchased at net asset value for $500,000 or more that are subsequently redeemed within 12 months of purchase. |
(4) | Class B shares are not currently available for direct investment. However, they are available for dividend reinvestment and exchange of the same class shares of another Ivy Fund. |
(5) | 10-16-17 for Class N shares and 10-16-17 for Class Y shares (the date on which shares were first acquired by shareholders). |
The Fund commenced operations on October 16, 2017, in connection with a reorganization (the “Reorganization”) in which the Fund acquired all of the assets and liabilities of the Waddell & Reed Advisors Bond Fund (the “Predecessor Fund”). Prior to the Reorganization, the Fund was a “shell” fund with no assets and had not commenced operations. As a result of the Reorganization, the Fund has adopted the performance of the Predecessor Fund. Therefore, the returns presented below for the Fund reflect the performance of the Predecessor Fund through October 16, 2017 and the performance of the Fund thereafter.
Past performance is not necessarily indicative of future performance. Indexes are unmanaged. The performance graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance results may include the effect of expense reduction arrangements for some or all of the periods shown. If those arrangements had not been in place, the performance results for those periods would have been lower.
(a) | Effective October 1, 2020, the maximum applicable sales charge for Class A shares has been lowered to 2.50%. |
2020 | ANNUAL REPORT | 63 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY CORPORATE BOND FUND (in thousands) |
SEPTEMBER 30, 2020
ASSET-BACKED SECURITIES | Principal | Value | ||||||
AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust, | ||||||||
3.500%, 5–26–22 | $ | 1,900 | $ | 1,919 | ||||
Air Canada Enhanced Equipment Trust, Series 2015-2, Class AA, | ||||||||
3.750%, 12–15–27 (A) | 3,228 | 3,103 | ||||||
American Airlines Class A Pass-Through Certificates, Series 2016-2, | ||||||||
3.650%, 6–15–28 | 1,664 | 1,330 | ||||||
American Airlines Class AA Pass-Through Certificates, Series 2016-2, | ||||||||
3.200%, 6–15–28 | 2,496 | 2,345 | ||||||
American Airlines Class AA Pass-Through Certificates, Series 2017-2, | ||||||||
3.350%, 10–15–29 | 892 | 844 | ||||||
American Airlines, Inc. Pass-Through Certificates, Series 2016-1, Class AA, | ||||||||
3.575%, 1–15–28 | 3,237 | 3,106 | ||||||
American Airlines, Inc. Pass-Through Certificates, Series 2017-1, Class AA, | ||||||||
3.650%, 2–15–29 | 414 | 398 | ||||||
Delta Air Lines, Inc. Pass-Through Certificates, Series 2020AA, Class B, | ||||||||
2.000%, 6–10–28 | 1,975 | 1,908 | ||||||
United Airlines Pass-Through Certificates, Series 2016-AA, | ||||||||
3.100%, 7–7–28 | 4,283 | 4,193 | ||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES – 2.2% |
| $ | 19,146 | |||||
(Cost: $20,057) |
| |||||||
CORPORATE DEBT SECURITIES | ||||||||
Communication Services |
| |||||||
Advertising – 0.2% |
| |||||||
Lamar Media Corp., | ||||||||
4.875%, 1–15–29 (A) | 2,020 | 2,101 | ||||||
|
| |||||||
Alternative Carriers – 0.7% |
| |||||||
Bell Canada (GTD by BCE, Inc.), | ||||||||
4.300%, 7–29–49 | 5,000 | 6,133 | ||||||
|
| |||||||
Cable & Satellite – 1.9% |
| |||||||
Charter Communications Operating LLC and Charter Communications Operating Capital Corp.: | ||||||||
4.464%, 7–23–22 | 3,208 | 3,396 | ||||||
4.500%, 2–1–24 | 317 | 352 | ||||||
Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal): | ||||||||
3.900%, 3–1–38 | 1,000 | 1,184 | ||||||
4.600%, 10–15–38 | 1,875 | 2,387 | ||||||
Comcast Corp. (GTD by Comcast Cable Communications LLC and NBCUniversal Media LLC), | ||||||||
3.250%, 11–1–39 | 3,125 | 3,458 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Cable & Satellite (Continued) |
| |||||||
Cox Communications, Inc.: | ||||||||
1.800%, 10–1–30 (A) | $ | 1,150 | $ | 1,134 | ||||
2.950%, 10–1–50 (A) | 1,150 | 1,104 | ||||||
Viacom, Inc., | ||||||||
4.750%, 5–15–25 | 3,000 | 3,442 | ||||||
|
| |||||||
16,457 | ||||||||
|
| |||||||
Integrated Telecommunication Services – 2.6% |
| |||||||
AT&T, Inc.: | ||||||||
2.950%, 7–15–26 | 4,500 | 4,914 | ||||||
3.800%, 2–15–27 | 500 | 564 | ||||||
3.650%, 6–1–51 | 900 | 908 | ||||||
3.300%, 2–1–52 | 2,350 | 2,187 | ||||||
3.500%, 9–15–53 (A) | 1,200 | 1,169 | ||||||
3.550%, 9–15–55 (A) | 1,000 | 956 | ||||||
Verizon Communications, Inc.: | ||||||||
4.329%, 9–21–28 | 2,500 | 3,025 | ||||||
5.250%, 3–16–37 | 2,250 | 3,111 | ||||||
4.812%, 3–15–39 | 4,672 | 6,124 | ||||||
|
| |||||||
22,958 | ||||||||
|
| |||||||
Interactive Media & Services – 0.2% |
| |||||||
Alphabet, Inc., | ||||||||
2.050%, 8–15–50 | 2,000 | 1,859 | ||||||
|
| |||||||
Movies & Entertainment – 0.4% |
| |||||||
TWDC Enterprises 18 Corp., | ||||||||
3.700%, 12–1–42 | 1,000 | 1,119 | ||||||
Walt Disney Co. (The), | ||||||||
4.125%, 12–1–41 | 2,000 | 2,383 | ||||||
|
| |||||||
3,502 | ||||||||
|
| |||||||
Publishing – 0.5% |
| |||||||
Thomson Reuters Corp.: | ||||||||
3.350%, 5–15–26 | 1,150 | 1,264 | ||||||
5.850%, 4–15–40 | 2,148 | 2,877 | ||||||
|
| |||||||
4,141 | ||||||||
|
| |||||||
Wireless Telecommunication Service – 2.2% |
| |||||||
Crown Castle Towers LLC: | ||||||||
3.222%, 5–15–22 (A) | 2,000 | 2,029 | ||||||
3.663%, 5–15–25 (A) | 5,120 | 5,480 | ||||||
4.241%, 7–15–28 (A) | 2,500 | 2,848 | ||||||
Sprint Spectrum L.P., | ||||||||
3.360%, 9–20–21 (A) | 2,250 | 2,275 | ||||||
T-Mobile USA, Inc.: | ||||||||
3.500%, 4–15–25 (A) | 3,850 | 4,224 | ||||||
4.375%, 4–15–40 (A) | 1,475 | 1,729 | ||||||
3.300%, 2–15–51 (A) | 575 | 567 | ||||||
|
| |||||||
19,152 | ||||||||
|
| |||||||
Total Communication Services – 8.7% |
| 76,303 | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.6% |
| |||||||
Ross Stores, Inc., | ||||||||
5.450%, 4–15–50 | 1,575 | 2,052 | ||||||
TJX Cos., Inc. (The), | ||||||||
3.500%, 4–15–25 | 3,000 | 3,346 | ||||||
|
| |||||||
5,398 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Apparel, Accessories & Luxury Goods – 0.5% |
| |||||||
PVH Corp., | ||||||||
4.625%, 7–10–25 (A) | $ | 1,450 | $ | 1,512 | ||||
Ralph Lauren Corp., | ||||||||
2.950%, 6–15–30 | 2,975 | 3,104 | ||||||
|
| |||||||
4,616 | ||||||||
|
| |||||||
Automobile Manufacturers – 0.1% |
| |||||||
Nissan Motor Co. Ltd., | ||||||||
3.522%, 9–17–25 (A) | 1,150 | 1,162 | ||||||
|
| |||||||
Automotive Retail – 0.3% |
| |||||||
AutoNation, Inc., | ||||||||
4.750%, 6–1–30 | 2,523 | 2,986 | ||||||
|
| |||||||
Casinos & Gaming – 0.1% |
| |||||||
GLP Capital L.P. and GLP Financing II, Inc., | ||||||||
5.375%, 4–15–26 | 575 | 637 | ||||||
Las Vegas Sands Corp., | ||||||||
3.500%, 8–18–26 | 577 | 585 | ||||||
|
| |||||||
1,222 | ||||||||
|
| |||||||
Education Services – 0.3% |
| |||||||
University of Southern California, | ||||||||
3.028%, 10–1–39 | 2,000 | 2,154 | ||||||
|
| |||||||
Footwear – 1.0% |
| |||||||
NIKE, Inc.: | ||||||||
3.250%, 3–27–40 | 3,600 | 4,090 | ||||||
3.375%, 3–27–50 | 3,898 | 4,505 | ||||||
|
| |||||||
8,595 | ||||||||
|
| |||||||
General Merchandise Stores – 0.8% |
| |||||||
Target Corp., | ||||||||
2.650%, 9–15–30 | 6,000 | 6,711 | ||||||
|
| |||||||
Home Improvement Retail – 0.7% |
| |||||||
Home Depot, Inc. (The), | ||||||||
4.200%, 4–1–43 | 4,700 | 5,874 | ||||||
|
| |||||||
Homebuilding – 0.8% |
| |||||||
D.R. Horton, Inc., | ||||||||
2.600%, 10–15–25 | 3,620 | 3,881 | ||||||
NVR, Inc., | ||||||||
3.000%, 5–15–30 | 3,250 | 3,507 | ||||||
|
| |||||||
7,388 | ||||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.4% |
| |||||||
Royal Caribbean Cruises Ltd., | ||||||||
2.650%, 11–28–20 | 3,108 | 3,092 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 1.1% |
| |||||||
Amazon.com, Inc.: | ||||||||
3.875%, 8–22–37 | 2,650 | 3,295 | ||||||
2.500%, 6–3–50 | 2,650 | 2,690 | ||||||
Booking Holdings, Inc., | ||||||||
4.625%, 4–13–30 | 1,500 | 1,793 | ||||||
Expedia Group, Inc.: | ||||||||
6.250%, 5–1–25 (A) | 1,485 | 1,636 | ||||||
7.000%, 5–1–25 (A) | 168 | 182 | ||||||
|
| |||||||
9,596 | ||||||||
|
|
64 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY CORPORATE BOND FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Restaurants – 0.3% |
| |||||||
Darden Restaurants, Inc., | ||||||||
4.550%, 2–15–48 | $ | 2,900 | $ | 2,881 | ||||
|
| |||||||
Total Consumer Discretionary – 7.0% |
| 61,675 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 0.2% |
| |||||||
Cargill, Inc.: | ||||||||
3.250%, 5–23–29 (A) | 1,000 | 1,130 | ||||||
3.875%, 5–23–49 (A) | 500 | 601 | ||||||
|
| |||||||
1,731 | ||||||||
|
| |||||||
Brewers – 0.5% |
| |||||||
Anheuser-Busch Inbev Finance, Inc. (GTD by AB INBEV/BBR/COB), | ||||||||
4.700%, 2–1–36 | 3,650 | 4,403 | ||||||
|
| |||||||
Drug Retail – 0.5% |
| |||||||
CVS Health Corp.: | ||||||||
4.100%, 3–25–25 | 2,250 | 2,542 | ||||||
4.780%, 3–25–38 | 1,575 | 1,906 | ||||||
|
| |||||||
4,448 | ||||||||
|
| |||||||
Food Distributors – 0.4% |
| |||||||
Sysco Corp., | ||||||||
6.600%, 4–1–40 | 2,320 | 3,125 | ||||||
|
| |||||||
Food Retail – 0.3% |
| |||||||
Alimentation Couche-Tard, Inc., | ||||||||
2.950%, 1–25–30 (A) | 2,650 | 2,856 | ||||||
|
| |||||||
Hypermarkets & Super Centers – 0.8% |
| |||||||
Walmart, Inc., | ||||||||
4.050%, 6–29–48 | 5,660 | 7,367 | ||||||
|
| |||||||
Packaged Foods & Meats – 1.9% |
| |||||||
Hormel Foods Corp., | ||||||||
1.800%, 6–11–30 | 4,500 | 4,642 | ||||||
Mars, Inc., | ||||||||
2.375%, 7–16–40 (A) | 2,500 | 2,495 | ||||||
Nestle Holdings, Inc.: | ||||||||
3.900%, 9–24–38 (A) | 1,700 | 2,129 | ||||||
4.000%, 9–24–48 (A) | 1,735 | 2,274 | ||||||
Smithfield Foods, Inc.: | ||||||||
2.650%, 10–3–21 (A) | 3,000 | 3,019 | ||||||
3.350%, 2–1–22 (A) | 2,000 | 2,021 | ||||||
|
| |||||||
16,580 | ||||||||
|
| |||||||
Personal Products – 0.4% |
| |||||||
Estee Lauder Co., Inc. (The), | ||||||||
4.150%, 3–15–47 | 3,125 | 3,922 | ||||||
|
| |||||||
Soft Drinks – 1.2% |
| |||||||
Coca-Cola Co. (The): | ||||||||
1.375%, 3–15–31 | 1,675 | 1,659 | ||||||
2.500%, 3–15–51 | 1,150 | 1,141 | ||||||
PepsiCo, Inc.: | ||||||||
3.450%, 10–6–46 | 1,500 | 1,735 | ||||||
3.375%, 7–29–49 | 3,266 | 3,755 | ||||||
3.625%, 3–19–50 | 1,725 | 2,092 | ||||||
|
| |||||||
10,382 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Tobacco – 1.3% |
| |||||||
Altria Group, Inc. (GTD by Philip Morris USA, Inc.): | ||||||||
3.490%, 2–14–22 | $ | 3,380 | $ | 3,513 | ||||
2.850%, 8–9–22 | 2,250 | 2,341 | ||||||
Imperial Brands Finance plc, | ||||||||
3.125%, 7–26–24 (A) | 3,800 | 4,018 | ||||||
Philip Morris International, Inc., | ||||||||
2.875%, 5–1–24 | 1,158 | 1,242 | ||||||
|
| |||||||
11,114 | ||||||||
|
| |||||||
Total Consumer Staples – 7.5% |
| 65,928 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 0.3% |
| |||||||
National Fuel Gas Co., | ||||||||
5.500%, 1–15–26 | 2,625 | 2,865 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 1.3% |
| |||||||
Canadian Natural Resources Ltd., | ||||||||
3.850%, 6–1–27 | 6,500 | 7,002 | ||||||
ConocoPhillips Co. (GTD by ConocoPhillips), | ||||||||
4.150%, 11–15–34 | 1,193 | 1,326 | ||||||
EQT Corp.: | ||||||||
3.000%, 10–1–22 | 1,500 | 1,468 | ||||||
7.875%, 2–1–25 (B) | 1,000 | 1,108 | ||||||
|
| |||||||
10,904 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.4% |
| |||||||
Phillips 66 (GTD by Phillips 66 Co.) (3-Month U.S. LIBOR plus 60 bps), | ||||||||
0.834%, 2–26–21 (C) | 1,000 | 1,000 | ||||||
Valero Energy Corp., | ||||||||
1.200%, 3–15–24 | 2,750 | 2,738 | ||||||
|
| |||||||
3,738 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 5.5% |
| |||||||
Boardwalk Pipelines L.P. (GTD by Boardwalk Pipeline Partners L.P.), | ||||||||
4.450%, 7–15–27 | 3,090 | 3,326 | ||||||
Cheniere Corpus Christi Holdings LLC, | ||||||||
7.000%, 6–30–24 | 1,425 | 1,641 | ||||||
Colonial Pipeline Co., | ||||||||
4.250%, 4–15–48 (A) | 2,000 | 2,294 | ||||||
Colorado Interstate Gas Co., | ||||||||
4.150%, 8–15–26 (A) | 6,000 | 6,750 | ||||||
Energy Transfer Partners L.P., | ||||||||
4.900%, 3–15–35 | 750 | 733 | ||||||
EQT Midstream Partners L.P., | ||||||||
4.750%, 7–15–23 | 2,500 | 2,497 | ||||||
Midwest Connector Capital Co. LLC, | ||||||||
4.625%, 4–1–29 (A) | 4,115 | 4,157 | ||||||
Plains All American Pipeline L.P. and PAA Finance Corp., | ||||||||
3.600%, 11–1–24 | 4,469 | 4,610 | ||||||
Sabal Trail Transmission LLC, | ||||||||
4.246%, 5–1–28 (A) | 5,000 | 5,615 | ||||||
Sabine Pass Liquefaction LLC, | ||||||||
4.200%, 3–15–28 | 2,350 | 2,550 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Storage & Transportation (Continued) |
| |||||||
Sunoco Logistics Partners Operations L.P. (GTD by Sunoco Logistics Partners L.P.), | ||||||||
4.400%, 4–1–21 | $ | 2,551 | $ | 2,588 | ||||
Tennessee Gas Pipeline Co., | ||||||||
7.000%, 3–15–27 | 3,000 | 3,696 | ||||||
Transcontinental Gas Pipe Line Co. LLC: | ||||||||
3.250%, 5–15–30 (A) | 1,775 | 1,917 | ||||||
4.600%, 3–15–48 | 2,000 | 2,275 | ||||||
Williams Partners L.P., | ||||||||
4.850%, 3–1–48 | 3,500 | 3,929 | ||||||
|
| |||||||
48,578 | ||||||||
|
| |||||||
Total Energy – 7.5% |
| 66,085 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 3.0% |
| |||||||
Apollo Management Holdings L.P., | ||||||||
2.650%, 6–5–30 (A) | 6,100 | 6,103 | ||||||
Blackstone Holdings Finance Co. LLC: | ||||||||
3.500%, 9–10–49 (A) | 1,110 | 1,213 | ||||||
2.800%, 9–30–50 (A) | 2,850 | 2,790 | ||||||
Brookfield Finance LLC (GTD by Brookfield Asset Management, Inc.), | ||||||||
3.450%, 4–15–50 | 1,600 | 1,572 | ||||||
KKR Group Finance Co. III LLC, | ||||||||
5.125%, 6–1–44 (A) | 2,500 | 3,116 | ||||||
KKR Group Finance Co. VIII LLC (GTD by KKR & Co., Inc. and KKR Group Partnership L.P.), | ||||||||
3.500%, 8–25–50 (A) | 575 | 584 | ||||||
National Securities Clearing Corp., | ||||||||
1.500%, 4–23–25 (A) | 8,000 | 8,247 | ||||||
Owl Rock Capital Corp.: | ||||||||
5.250%, 4–15–24 | 1,125 | 1,167 | ||||||
4.000%, 3–30–25 | 1,675 | 1,690 | ||||||
|
| |||||||
26,482 | ||||||||
|
| |||||||
Consumer Finance – 1.0% |
| |||||||
Ford Motor Credit Co. LLC: | ||||||||
5.875%, 8–2–21 | 2,500 | 2,547 | ||||||
2.979%, 8–3–22 | 2,000 | 1,973 | ||||||
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.), | ||||||||
3.200%, 7–6–21 | 4,500 | 4,568 | ||||||
|
| |||||||
9,088 | ||||||||
|
| |||||||
Diversified Banks – 8.5% |
| |||||||
Banco Santander S.A., | ||||||||
3.500%, 4–11–22 | 2,500 | 2,593 | ||||||
Bank of America Corp.: | ||||||||
2.503%, 10–21–22 | 2,000 | 2,042 | ||||||
4.200%, 8–26–24 | 6,000 | 6,681 | ||||||
2.496%, 2–13–31 | 3,000 | 3,127 | ||||||
1.898%, 7–23–31 | 1,800 | 1,792 | ||||||
6.300%, 12–29–49 | 2,000 | 2,260 |
2020 | ANNUAL REPORT | 65 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY CORPORATE BOND FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Banks (Continued) |
| |||||||
Bank of America Corp. (3-Month U.S. LIBOR plus 77 bps), | ||||||||
1.019%, 2–5–26 (C) | $ | 1,000 | $ | 996 | ||||
BB&T Corp., | ||||||||
2.750%, 4–1–22 | 3,000 | 3,099 | ||||||
Citizens Bank N.A., | ||||||||
3.250%, 2–14–22 | 1,750 | 1,814 | ||||||
Commonwealth Bank of Australia, | ||||||||
2.000%, 9–6–21 (A)(D) | 3,500 | 3,556 | ||||||
Danske Bank A.S., | ||||||||
2.700%, 3–2–22 (A) | 2,000 | 2,060 | ||||||
Fifth Third Bank N.A., | ||||||||
2.250%, 6–14–21 | 2,500 | 2,530 | ||||||
Huntington Bancshares, Inc., | ||||||||
2.300%, 1–14–22 | 1,500 | 1,533 | ||||||
ING Groep N.V., | ||||||||
3.550%, 4–9–24 | 2,425 | 2,641 | ||||||
Korea Development Bank, | ||||||||
3.000%, 3–19–22 | 1,875 | 1,938 | ||||||
Mitsubishi UFJ Financial Group, Inc., | ||||||||
2.190%, 9–13–21 | 3,588 | 3,650 | ||||||
Mizuho Financial Group, Inc., | ||||||||
2.953%, 2–28–22 | 4,000 | 4,134 | ||||||
Royal Bank of Canada: | ||||||||
2.350%, 10–30–20 (D) | 4,000 | 4,007 | ||||||
2.500%, 1–19–21 | 4,000 | 4,027 | ||||||
Toronto-Dominion Bank, | ||||||||
3.250%, 3–11–24 | 3,125 | 3,386 | ||||||
U.S. Bancorp, | ||||||||
3.375%, 2–5–24 | 4,000 | 4,351 | ||||||
U.S. Bank N.A., | ||||||||
3.450%, 11–16–21 | 1,500 | 1,550 | ||||||
Wells Fargo & Co.: | ||||||||
2.100%, 7–26–21 | 1,000 | 1,014 | ||||||
3.069%, 1–24–23 | 500 | 516 | ||||||
2.393%, 6–2–28 | 1,500 | 1,564 | ||||||
4.150%, 1–24–29 | 1,500 | 1,762 | ||||||
2.572%, 2–11–31 | 600 | 627 | ||||||
5.013%, 4–4–51 | 850 | 1,155 | ||||||
Westpac Banking Corp., | ||||||||
2.000%, 8–19–21 | 4,000 | 4,061 | ||||||
|
| |||||||
74,466 | ||||||||
|
| |||||||
Financial Exchanges & Data – 0.4% |
| |||||||
Intercontinental Exchange, Inc., | ||||||||
2.650%, 9–15–40 | 3,525 | 3,524 | ||||||
|
| |||||||
Insurance Brokers – 1.8% |
| |||||||
Brown & Brown, Inc.: | ||||||||
4.200%, 9–15–24 | 3,625 | 4,000 | ||||||
4.500%, 3–15–29 | 700 | 798 | ||||||
2.375%, 3–15–31 | 1,300 | 1,312 | ||||||
Marsh & McLennan Cos., Inc., | ||||||||
3.500%, 12–29–20 | 4,000 | 4,030 | ||||||
Willis North America, Inc., | ||||||||
2.950%, 9–15–29 | 4,910 | 5,306 | ||||||
|
| |||||||
15,446 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 4.2% |
| |||||||
Credit Suisse Group Funding (Guernsey) Ltd., | ||||||||
3.125%, 12–10–20 | 1,500 | 1,508 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Investment Banking & Brokerage (Continued) |
| |||||||
Daiwa Securities Group, Inc., | ||||||||
3.129%, 4–19–22 (A) | $ | 4,000 | $ | 4,132 | ||||
Goldman Sachs Group, Inc. (The): | ||||||||
2.350%, 11–15–21 | 3,000 | 3,007 | ||||||
2.905%, 7–24–23 | 1,000 | 1,037 | ||||||
4.250%, 10–21–25 | 2,500 | 2,840 | ||||||
3.500%, 11–16–26 | 1,000 | 1,105 | ||||||
4.017%, 10–31–38 | 5,800 | 6,755 | ||||||
Morgan Stanley: | ||||||||
4.875%, 11–1–22 | 6,167 | 6,667 | ||||||
5.000%, 11–24–25 | 2,850 | 3,343 | ||||||
3.875%, 1–27–26 | 4,150 | 4,730 | ||||||
3.971%, 7–22–38 | 1,200 | 1,420 | ||||||
|
| |||||||
36,544 | ||||||||
|
| |||||||
Life & Health Insurance – 2.4% |
| |||||||
Aflac, Inc., | ||||||||
4.750%, 1–15–49 | 2,750 | 3,539 | ||||||
Metropolitan Life Insurance Co., | ||||||||
3.450%, 10–9–21 (A) | 2,000 | 2,062 | ||||||
New York Life Global Funding: | ||||||||
2.300%, 6–10–22 (A) | 3,000 | 3,097 | ||||||
2.900%, 1–17–24 (A) | 1,500 | 1,607 | ||||||
2.350%, 7–14–26 (A) | 3,000 | 3,231 | ||||||
Northwestern Mutual Life Insurance Co. (The), | ||||||||
3.850%, 9–30–47 (A) | 3,000 | 3,382 | ||||||
Principal Life Global Funding II, | ||||||||
3.000%, 4–18–26 (A) | 4,000 | 4,433 | ||||||
|
| |||||||
21,351 | ||||||||
|
| |||||||
Other Diversified Financial Services – 3.1% |
| |||||||
Citigroup, Inc.: | ||||||||
3.500%, 5–15–23 | 1,390 | 1,482 | ||||||
3.875%, 3–26–25 | 2,948 | 3,243 | ||||||
3.520%, 10–27–28 | 3,250 | 3,611 | ||||||
2.666%, 1–29–31 | 2,575 | 2,709 | ||||||
4.412%, 3–31–31 | 1,700 | 2,039 | ||||||
4.700%, 7–30–68 | 1,150 | 1,111 | ||||||
5.000%, 3–12–69 | 2,000 | 1,990 | ||||||
JPMorgan Chase & Co.: | ||||||||
3.220%, 3–1–25 | 5,000 | 5,374 | ||||||
4.000%, 10–1–68 | 2,100 | 1,984 | ||||||
5.000%, 2–1–69 | 3,500 | 3,494 | ||||||
|
| |||||||
27,037 | ||||||||
|
| |||||||
Regional Banks – 1.5% |
| |||||||
First Republic Bank, | ||||||||
2.500%, 6–6–22 | 5,000 | 5,156 | ||||||
PNC Financial Services Group, Inc. (The), | ||||||||
2.600%, 7–23–26 | 3,125 | 3,411 | ||||||
SunTrust Banks, Inc., | ||||||||
3.200%, 4–1–24 | 4,500 | 4,880 | ||||||
|
| |||||||
13,447 | ||||||||
|
| |||||||
Reinsurance – 0.4% |
| |||||||
Reinsurance Group of America, Inc., | ||||||||
3.900%, 5–15–29 | 2,800 | 3,195 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Specialized Finance – 0.7% |
| |||||||
Air Lease Corp.: | ||||||||
2.875%, 1–15–26 | $ | 490 | $ | 482 | ||||
3.000%, 2–1–30 | 1,425 | 1,326 | ||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp., | ||||||||
4.420%, 6–15–21 (A) | 500 | 512 | ||||||
Fidelity National Financial, Inc.: | ||||||||
5.500%, 9–1–22 | 1,000 | 1,085 | ||||||
3.400%, 6–15–30 | 2,650 | 2,846 | ||||||
|
| |||||||
6,251 | ||||||||
|
| |||||||
Total Financials – 27.0% |
| 236,831 | ||||||
Health Care |
| |||||||
Biotechnology – 0.5% |
| |||||||
Amgen, Inc., | ||||||||
4.950%, 10–1–41 | 3,000 | 3,962 | ||||||
|
| |||||||
Health Care Distributors – 0.3% |
| |||||||
McKesson Corp., | ||||||||
3.650%, 11–30–20 | 2,500 | 2,514 | ||||||
|
| |||||||
Health Care Equipment – 1.0% |
| |||||||
Becton Dickinson & Co., | ||||||||
2.894%, 6–6–22 | 3,050 | 3,156 | ||||||
Boston Scientific Corp., | ||||||||
4.550%, 3–1–39 | 3,125 | 3,907 | ||||||
Zimmer Biomet Holdings, Inc., | ||||||||
5.750%, 11–30–39 | 1,025 | 1,364 | ||||||
|
| |||||||
8,427 | ||||||||
|
| |||||||
Health Care Facilities – 0.7% |
| |||||||
HCA, Inc. (GTD by HCA Holdings, Inc.), | ||||||||
4.750%, 5–1–23 | 3,465 | 3,780 | ||||||
Universal Health Services, Inc., | ||||||||
2.650%, 10–15–30 (A) | 2,575 | 2,563 | ||||||
|
| |||||||
6,343 | ||||||||
|
| |||||||
Health Care Services – 0.7% |
| |||||||
Cigna Corp., | ||||||||
3.400%, 9–17–21 | 4,500 | 4,631 | ||||||
CVS Caremark Corp., | ||||||||
3.875%, 7–20–25 | 1,724 | 1,944 | ||||||
|
| |||||||
6,575 | ||||||||
|
| |||||||
Health Care Supplies – 0.9% |
| |||||||
Abbott Laboratories, | ||||||||
4.750%, 11–30–36 | 1,435 | 1,918 | ||||||
Dentsply Sirona, Inc., | ||||||||
3.250%, 6–1–30 | 3,675 | 3,993 | ||||||
Shire Acquisitions Investments Ireland Designated Activity Co., | ||||||||
2.400%, 9–23–21 | 1,638 | 1,667 | ||||||
|
| |||||||
7,578 | ||||||||
|
| |||||||
Managed Health Care – 0.9% |
| |||||||
Humana, Inc., | ||||||||
2.900%, 12–15–22 | 2,000 | 2,092 |
66 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY CORPORATE BOND FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Managed Health Care (Continued) |
| |||||||
UnitedHealth Group, Inc.: | ||||||||
3.500%, 2–15–24 | $ | 3,500 | $ | 3,844 | ||||
2.750%, 5–15–40 | 2,020 | 2,121 | ||||||
|
| |||||||
8,057 | ||||||||
|
| |||||||
Pharmaceutials – 0.2% |
| |||||||
Royalty Pharma plc (GTD by Royalty Pharma Holdings Ltd.): | ||||||||
2.200%, 9–2–30 (A) | 1,000 | 994 | ||||||
3.300%, 9–2–40 (A) | 1,000 | 980 | ||||||
|
| |||||||
1,974 | ||||||||
|
| |||||||
Pharmaceuticals – 1.6% |
| |||||||
Bayer U.S. Finance LLC, | ||||||||
3.000%, 10–8–21 (A) | 500 | 513 | ||||||
Bristol-Myers Squibb Co., | ||||||||
2.900%, 7–26–24 | 2,437 | 2,641 | ||||||
Elanco Animal Health, Inc.: | ||||||||
4.912%, 8–27–21 (B) | 2,250 | 2,309 | ||||||
5.022%, 8–28–23 (B) | 2,250 | 2,410 | ||||||
Merck & Co., Inc., | ||||||||
2.350%, 6–24–40 | 1,750 | 1,776 | ||||||
Novartis Capital Corp. (GTD by Novartis AG), | ||||||||
2.750%, 8–14–50 | 2,642 | 2,830 | ||||||
Zoetis, Inc., | ||||||||
4.700%, 2–1–43 | 1,439 | 1,891 | ||||||
|
| |||||||
14,370 | ||||||||
|
| |||||||
Total Health Care – 6.8% |
| 59,800 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 2.4% |
| |||||||
BAE Systems Holdings, Inc., | ||||||||
3.850%, 12–15–25 (A) | 2,300 | 2,596 | ||||||
Boeing Co. (The): | ||||||||
1.650%, 10–30–20 (D) | 2,500 | 2,501 | ||||||
2.950%, 2–1–30 | 2,500 | 2,418 | ||||||
3.750%, 2–1–50 | 5,125 | 4,689 | ||||||
Harris Corp., | ||||||||
5.054%, 4–27–45 | 1,591 | 2,156 | ||||||
Raytheon Technologies Corp., | ||||||||
3.125%, 7–1–50 | 1,545 | 1,649 | ||||||
Rockwell Collins, Inc., | ||||||||
2.800%, 3–15–22 (A) | 3,500 | 3,608 | ||||||
Spirit AeroSystems, Inc. (GTD by Spirit AeroSystems Holdings, Inc.), | ||||||||
4.600%, 6–15–28 | 1,067 | 876 | ||||||
United Technologies Corp., | ||||||||
4.625%, 11–16–48 | 600 | 780 | ||||||
|
| |||||||
21,273 | ||||||||
|
| |||||||
Agricultural & Farm Machinery – 0.3% |
| |||||||
CNH Industrial Capital LLC (GTD by CNH Industrial Capital America LLC and New Holland Credit Co. LLC), | ||||||||
1.950%, 7–2–23 | 2,550 | 2,591 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Airlines – 0.5% |
| |||||||
Aviation Capital Group Corp., | ||||||||
2.875%, 1–20–22 (A) | $ | 2,000 | $ | 1,985 | ||||
Sydney Airport Finance, | ||||||||
3.625%, 4–28–26 (A) | 2,000 | 2,161 | ||||||
|
| |||||||
4,146 | ||||||||
|
| |||||||
Building Products – 0.3% |
| |||||||
Lennox International, Inc., | ||||||||
1.350%, 8–1–25 | 2,500 | 2,518 | ||||||
|
| |||||||
Diversified Support Services – 0.2% |
| |||||||
Genpact Luxembourg S.a.r.l. (GTD by Genpact Ltd.), | ||||||||
3.375%, 12–1–24 | 2,000 | 2,094 | ||||||
|
| |||||||
Environmental & Facilities Services – 0.8% |
| |||||||
Republic Services, Inc., | ||||||||
3.050%, 3–1–50 | 3,200 | 3,352 | ||||||
Waste Connections, Inc., | ||||||||
3.500%, 5–1–29 | 3,300 | 3,755 | ||||||
|
| |||||||
7,107 | ||||||||
|
| |||||||
Industrial Machinery – 0.5% |
| |||||||
IDEX Corp., | ||||||||
3.000%, 5–1–30 | 2,120 | 2,332 | ||||||
Roper Technologies, Inc., | ||||||||
2.000%, 6–30–30 | 2,075 | 2,115 | ||||||
|
| |||||||
4,447 | ||||||||
|
| |||||||
Railroads – 1.0% |
| |||||||
Burlington Northern Santa Fe LLC, | ||||||||
4.550%, 9–1–44 | 2,000 | 2,599 | ||||||
Kansas City Southern, | ||||||||
4.300%, 5–15–43 | 2,525 | 2,663 | ||||||
Union Pacific Corp., | ||||||||
3.550%, 8–15–39 | 3,125 | 3,570 | ||||||
|
| |||||||
8,832 | ||||||||
|
| |||||||
Research & Consulting Services – 1.0% |
| |||||||
CoStar Group, Inc., | ||||||||
2.800%, 7–15–30 (A) | 2,650 | 2,744 | ||||||
IHS Markit Ltd., | ||||||||
5.000%, 11–1–22 (A) | 2,550 | 2,737 | ||||||
RELX Capital, Inc. (GTD by RELX plc), | ||||||||
4.000%, 3–18–29 | 1,202 | 1,413 | ||||||
Verisk Analytics, Inc., | ||||||||
3.625%, 5–15–50 | 1,500 | 1,706 | ||||||
|
| |||||||
8,600 | ||||||||
|
| |||||||
Total Industrials – 7.0% |
| 61,608 | ||||||
Information Technology |
| |||||||
Application Software – 1.7% |
| |||||||
Adobe, Inc., | ||||||||
2.300%, 2–1–30 | 1,505 | 1,623 | ||||||
Autodesk, Inc., | ||||||||
2.850%, 1–15–30 | 4,616 | 5,077 | ||||||
Infor, Inc., | ||||||||
1.750%, 7–15–25 (A) | 4,875 | 5,023 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Application Software (Continued) |
| |||||||
NXP B.V. and NXP Funding LLC, | ||||||||
4.625%, 6–1–23 (A) | $ | 3,328 | $ | 3,644 | ||||
|
| |||||||
15,367 | ||||||||
|
| |||||||
Communications Equipment – 0.2% |
| |||||||
Motorola Solutions, Inc., | ||||||||
5.500%, 9–1–44 | 1,800 | 2,082 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 1.8% |
| |||||||
Global Payments, Inc., | ||||||||
2.650%, 2–15–25 | 4,195 | 4,451 | ||||||
PayPal Holdings, Inc.: | ||||||||
2.650%, 10–1–26 | 3,662 | 3,995 | ||||||
2.300%, 6–1–30 | 1,400 | 1,477 | ||||||
Visa, Inc., | ||||||||
2.700%, 4–15–40 | 5,065 | 5,468 | ||||||
|
| |||||||
15,391 | ||||||||
|
| |||||||
Electronic Components – 0.5% |
| |||||||
Amphenol Corp., | ||||||||
2.050%, 3–1–25 | 1,040 | 1,090 | ||||||
Maxim Integrated Products, Inc., | ||||||||
3.450%, 6–15–27 | 2,620 | 2,919 | ||||||
|
| |||||||
4,009 | ||||||||
|
| |||||||
IT Consulting & Other Services – 0.2% |
| |||||||
Leidos, Inc. (GTD by Leidos Holdings, Inc.): | ||||||||
2.950%, 5–15–23 (A) | 680 | 715 | ||||||
4.375%, 5–15–30 (A) | 725 | 848 | ||||||
|
| |||||||
1,563 | ||||||||
|
| |||||||
Semiconductor Equipment – 0.4% |
| |||||||
Lam Research Corp.: | ||||||||
3.750%, 3–15–26 | 2,325 | 2,667 | ||||||
2.875%, 6–15–50 | 585 | 604 | ||||||
|
| |||||||
3,271 | ||||||||
|
| |||||||
Semiconductors – 3.6% |
| |||||||
Broadcom, Inc., | ||||||||
5.000%, 4–15–30 | 2,750 | 3,244 | ||||||
Intel Corp., | ||||||||
4.100%, 5–19–46 | 6,000 | 7,473 | ||||||
Microchip Technology, Inc., | ||||||||
3.922%, 6–1–21 | 4,165 | 4,255 | ||||||
QUALCOMM, Inc., | ||||||||
4.300%, 5–20–47 | 3,000 | 3,845 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., | ||||||||
1.375%, 9–28–30 (A) | 3,500 | 3,434 | ||||||
Texas Instruments, Inc.: | ||||||||
3.875%, 3–15–39 | 4,500 | 5,555 | ||||||
4.150%, 5–15–48 | 600 | 783 | ||||||
Xilinx, Inc., | ||||||||
2.375%, 6–1–30 | 2,875 | 3,025 | ||||||
|
| |||||||
31,614 | ||||||||
|
| |||||||
Systems Software – 0.7% |
| |||||||
Microsoft Corp., | ||||||||
3.450%, 8–8–36 | 2,750 | 3,326 |
2020 | ANNUAL REPORT | 67 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY CORPORATE BOND FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Systems Software (Continued) |
| |||||||
ServiceNow, Inc., | ||||||||
1.400%, 9–1–30 | $ | 2,950 | $ | 2,867 | ||||
|
| |||||||
6,193 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.5% |
| |||||||
Apple, Inc.: | ||||||||
2.400%, 5–3–23 | 500 | 526 | ||||||
4.500%, 2–23–36 | 3,000 | 4,007 | ||||||
3.850%, 5–4–43 | 1,150 | 1,432 | ||||||
3.850%, 8–4–46 | 3,450 | 4,307 | ||||||
2.950%, 9–11–49 | 1,275 | 1,394 | ||||||
Seagate HDD Cayman (GTD by Seagate Technology plc), | ||||||||
5.750%, 12–1–34 | 1,342 | 1,524 | ||||||
|
| |||||||
13,190 | ||||||||
|
| |||||||
Total Information Technology – 10.6% |
| 92,680 | ||||||
Materials |
| |||||||
Construction Materials – 0.1% |
| |||||||
Vulcan Materials Co., | ||||||||
3.900%, 4–1–27 | 575 | 652 | ||||||
|
| |||||||
Diversified Chemicals – 0.3% |
| |||||||
DowDuPont, Inc., | ||||||||
4.205%, 11–15–23 | 1,950 | 2,143 | ||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.3% |
| |||||||
Mosaic Co. (The), | ||||||||
4.250%, 11–15–23 | 600 | 651 | ||||||
Nutrien Ltd., | ||||||||
4.125%, 3–15–35 | 1,974 | 2,291 | ||||||
|
| |||||||
2,942 | ||||||||
|
| |||||||
Metal & Glass Containers – 0.1% |
| |||||||
Colonial Enterprises, Inc., | ||||||||
3.250%, 5–15–30 (A) | 1,020 | 1,144 | ||||||
|
| |||||||
Specialty Chemicals – 0.6% |
| |||||||
Ecolab, Inc., | ||||||||
4.800%, 3–24–30 | 1,150 | 1,462 | ||||||
Methanex Corp., | ||||||||
5.250%, 3–1–22 | 3,500 | 3,707 | ||||||
|
| |||||||
5,169 | ||||||||
|
| |||||||
Total Materials – 1.4% |
| 12,050 | ||||||
Real Estate |
| |||||||
Health Care REITs – 0.2% |
| |||||||
Healthpeak Properties, Inc., | ||||||||
2.875%, 1–15–31 | 1,475 | 1,561 | ||||||
|
| |||||||
Industrial REITs – 0.7% |
| |||||||
Aircastle Ltd., | ||||||||
5.500%, 2–15–22 | 4,909 | 5,019 | ||||||
Avolon Holdings Funding Ltd., | ||||||||
3.250%, 2–15–27 (A) | 1,500 | 1,338 | ||||||
|
| |||||||
6,357 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Specialized REITs – 1.4% |
| |||||||
American Tower Corp., | ||||||||
3.070%, 3–15–23 (A) | $ | 3,000 | $ | 3,061 | ||||
American Tower Trust I, | ||||||||
3.652%, 3–23–28 (A) | 2,000 | 2,169 | ||||||
Crown Castle International Corp., | ||||||||
5.250%, 1–15–23 | 844 | 927 | ||||||
CubeSmart L.P. (GTD by CubeSmart), | ||||||||
4.375%, 2–15–29 | 2,485 | 2,914 | ||||||
Life Storage L.P. (GTD by Life Storage, Inc.), | ||||||||
2.200%, 10–15–30 | 575 | 574 | ||||||
Public Storage, Inc., | ||||||||
3.385%, 5–1–29 | 2,460 | 2,835 | ||||||
|
| |||||||
12,480 | ||||||||
|
| |||||||
Total Real Estate – 2.3% |
| 20,398 | ||||||
Utilities |
| |||||||
Electric Utilities – 3.0% |
| |||||||
Appalachian Power Co., Series W, | ||||||||
4.450%, 6–1–45 | 1,000 | 1,222 | ||||||
CenterPoint Energy, Inc., | ||||||||
2.950%, 3–1–30 | 3,250 | 3,559 | ||||||
Commonwealth Edison Co., | ||||||||
3.650%, 6–15–46 | 2,500 | 2,945 | ||||||
Duke Energy Indiana LLC, | ||||||||
3.750%, 5–15–46 | 1,000 | 1,168 | ||||||
Entergy Corp.: | ||||||||
0.900%, 9–15–25 | 1,700 | 1,698 | ||||||
3.750%, 6–15–50 | 1,800 | 2,046 | ||||||
MidAmerican Energy Co., | ||||||||
3.950%, 8–1–47 | 1,000 | 1,252 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
4.400%, 11–1–48 | 3,000 | 3,925 | ||||||
Southern California Edison Co., | ||||||||
4.125%, 3–1–48 | 2,475 | 2,705 | ||||||
Virginia Electric and Power Co., Series B, | ||||||||
4.600%, 12–1–48 | 1,850 | 2,520 | ||||||
Wisconsin Electric Power Co.: | ||||||||
4.250%, 6–1–44 | 750 | 889 | ||||||
4.300%, 10–15–48 | 1,750 | 2,229 | ||||||
|
| |||||||
26,158 | ||||||||
|
| |||||||
Gas Utilities – 0.3% |
| |||||||
Southern California Gas Co., | ||||||||
4.300%, 1–15–49 | 2,500 | 3,178 | ||||||
|
| |||||||
Independent Power Producers & Energy Traders – 0.5% |
| |||||||
Black Hills Corp., | ||||||||
4.350%, 5–1–33 | 3,750 | 4,503 | ||||||
|
| |||||||
Multi-Utilities – 0.8% |
| |||||||
Baltimore Gas and Electric Co., | ||||||||
4.250%, 9–15–48 | 2,500 | 3,171 | ||||||
Berkshire Hathaway Energy Co., | ||||||||
2.800%, 1–15–23 | 150 | 158 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Multi-Utilities (Continued) |
| |||||||
Dominion Energy, Inc., | ||||||||
4.600%, 3–15–49 | $ | 1,800 | $ | 2,399 | ||||
Dominion Resources, Inc., | ||||||||
2.750%, 1–15–22 | 1,000 | 1,025 | ||||||
|
| |||||||
6,753 | ||||||||
|
| |||||||
Water Utilities – 0.5% |
| |||||||
American Water Capital Corp., | ||||||||
4.150%, 6–1–49 | 3,500 | 4,386 | ||||||
|
| |||||||
Total Utilities – 5.1% |
| 44,978 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 90.9% |
| $ | 798,336 | |||||
(Cost: $748,622) | ||||||||
MORTGAGE-BACKED SECURITIES | ||||||||
Non-Agency REMIC/CMO – 0.2% |
| |||||||
MASTR Adjustable Rate Mortgages Trust, Series 2005-1, Class B1 (Mortgage spread to 10-year U.S. Treasury index), | ||||||||
3.365%, 3–25–35 (C) | 1,977 | 1,567 | ||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES – 0.2% |
| $ | 1,567 | |||||
(Cost: $1,968) | ||||||||
MUNICIPAL BONDS – TAXABLE | ||||||||
New York – 0.9% |
| |||||||
NYC GO Bonds, Fiscal 2017 Ser A-2, | ||||||||
2.460%, 8–1–26 | 3,000 | 3,204 | ||||||
NYC Indl Dev Agy, Rental Rev Bonds (Yankee Stadium Proj), Ser 2009, | ||||||||
11.000%, 3–1–29 (A) | 3,237 | 4,461 | ||||||
|
| |||||||
7,665 | ||||||||
|
| |||||||
Ohio – 0.8% |
| |||||||
OH State Univ, Gen Receipts Bonds (Multiyear Debt Issuance Prog), Ser 2016A, | ||||||||
3.798%, 12–1–46 | 5,500 | 6,931 | ||||||
|
| |||||||
TOTAL MUNICIPAL BONDS – TAXABLE – 1.7% |
| $ | 14,596 | |||||
(Cost: $11,754) | ||||||||
OTHER GOVERNMENT SECURITIES (E) | ||||||||
Canada – 1.4% | ||||||||
Province de Quebec, | ||||||||
7.140%, 2–27–26 | 9,365 | 12,168 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 1.4% |
| $ | 12,168 | |||||
(Cost: $9,498) |
68 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY CORPORATE BOND FUND (in thousands) |
SEPTEMBER 30, 2020
LOANS (C) | Principal | Value | ||||||
Communication Services | ||||||||
Integrated Telecommunication Services – 0.0% | ||||||||
Northwest Fiber LLC (ICE LIBOR plus 550 bps), | ||||||||
5.656%, 5–1–27 | $ | 2 | $ | 2 | ||||
|
| |||||||
Total Communication Services – 0.0% |
| 2 | ||||||
TOTAL LOANS – 0.0% | $ | 2 | ||||||
(Cost: $2) | ||||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
Treasury Obligations – 0.0% | ||||||||
U.S. Treasury Bonds, | ||||||||
3.000%, 11–15–44 | 210 | 280 | ||||||
U.S. Treasury Notes, | ||||||||
2.000%, 8–15–25 | 19 | 20 | ||||||
|
| |||||||
300 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 0.0% |
| $ | 300 | |||||
(Cost: $248) |
SHORT-TERM SECURITIES | Shares | Value | ||||||
Money Market Funds (G) – 3.4% | ||||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | ||||||||
0.040% (F) | 3,358 | $ | 3,358 | |||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, | ||||||||
0.030% | 26,740 | 26,740 | ||||||
|
| |||||||
30,098 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 3.4% |
| $ | 30,098 | |||||
(Cost: $30,098) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.8% |
| $ | 876,213 | |||||
(Cost: $822,247) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2% |
| 1,442 | ||||||
NET ASSETS – 100.0% |
| $ | 877,655 |
Notes to Schedule of Investments
(A) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020 the total value of these securities amounted to $171,330 or 19.5% of net assets. |
(B) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at September 30, 2020. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2020. Description of the reference rate and spread, if applicable, are included in the security description. |
(D) | All or a portion of securities with an aggregate value of $5,198 are on loan. |
(E) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(F) | Investment made with cash collateral received from securities on loan. |
(G) | Rate shown is the annualized 7-day yield at September 30, 2020. |
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of September 30, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | $ | — | $ | 19,146 | $ | — | ||||||
Corporate Debt Securities | — | 798,336 | — | |||||||||
Mortgage-Backed Securities | — | 1,567 | — | |||||||||
Municipal Bonds | — | 14,596 | — | |||||||||
Other Government Securities | — | 12,168 | — | |||||||||
Loans | — | 2 | — | |||||||||
United States Government Obligations | — | 300 | — | |||||||||
Short-Term Securities | 30,098 | — | — | |||||||||
Total | $ | 30,098 | $ | 846,115 | $ | — |
2020 | ANNUAL REPORT | 69 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY CORPORATE BOND FUND (in thousands) |
SEPTEMBER 30, 2020
The following acronyms are used throughout this schedule:
CMO = Collateralized Mortgage Obligation
GTD = Guaranteed
ICE = Intercontinental Exchange
LIBOR = London Interbank Offered Rate
REIT = Real Estate Investment Trust
REMIC = Real Estate Mortgage Investment Conduit
See Accompanying Notes to Financial Statements.
70 | ANNUAL REPORT | 2020 |
Table of Contents
MANAGEMENT DISCUSSION | IVY CROSSOVER CREDIT FUND |
(UNAUDITED)
Below, Mark G. Beischel, CFA, Susan K. Regan and Ben Esty, co-portfolio managers of the Ivy Crossover Credit Fund, discuss positioning, performance and results for the fiscal year ended September 30, 2020. Mr. Beischel has managed the Fund since April 2018 and has 27 years of industry experience. Ms. Regan has managed the Fund since April 2018 and has 33 years of industry experience. Mr. Esty has managed the Fund since July 2018 and has 19 years of industry experience.
Fiscal Year Performance
For the 12 Months Ended September 30, 2020 | ||||
Ivy Crossover Credit Fund | 10.18% | |||
(Class A shares at net asset value) | ||||
Ivy Crossover Credit Fund | 3.86% | |||
(Class A shares including sales charges) | ||||
Benchmark and Morningstar Category | ||||
Bloomberg Barclays U.S. Corporate Bond Index | 7.90% | |||
(generally reflects the performance of securities representing the U.S. credit market) | ||||
Morningstar Corporate Bond Category Average | 7.25% | |||
(generally reflects the performance of the universe of funds with similar investment objectives) |
Please note that Fund returns include applicable fees and expenses while index returns do not include any such fees. The performance discussion below is based on net asset value (NAV).
Market review
The past fiscal year witnessed a historic level of volatility driven primarily by the COVID-19 pandemic. U.S. Treasury yields declined dramatically, hitting record lows during the fiscal year. The 10-year U.S. Treasury yield started at 1.66%, declining nearly 100 basis points (bps) to 0.68% by the end of the fiscal year. Remarkably, risk assets faired quite well for the past year despite the pandemic, with unprecedented monetary and fiscal stimulus resulting in the S&P 500 Index rising by almost 15% for the past fiscal year. Credit spreads in investment grade underperformed equities with the spread on the Fund’s benchmark, the Bloomberg Barclays U.S. Corporate Index, widening from 115 bps to 136 bps during the year. This was more than offset by the move in U.S. Treasuries resulting in a total return of 7.9% for investment grade credit. High yield, as measured by the Bloomberg Barclays U.S. Corporate High Yield Index, posted a 3.25% return for the year, mainly due to the moves in U.S. Treasury rates and coupon income, while the spread on index widened from 373 bps to 517 bps in the period.
Multiple macroeconomic data points hit record lows as the pandemic-driven shutdown unfolded, although many measures have staged significant recoveries with the gradual reopening and monetary and fiscal stimuli. The Institute for Supply Management (ISM) manufacturing index rose during the period from 47.8 to 55.4, ending in expansion territory after hitting 41.5 in April, a level not seen since the 2008-2009 financial crisis. Given the nature of the economic shutdown, services bottomed in April at 41.8, but saw an overall increase during the year from 53.5 to 57.8. Payroll growth averaged 145,000, down marginally from 150,000 the prior year, but the unemployment rate rose from 3.6% to 8.8% during the period. Oddly, for a recession of this magnitude, personal income spiked considerably in the year rising from $18.6 trillion to $19.5 trillion — it hit a high of $21 trillion in April due to the fiscal stimulus. A considerable amount of this was saved, which caused consumption to decline from $14.7 trillion to $14.4 trillion in the period.
The pandemic caused the Federal Reserve (Fed) to respond aggressively. The Fed cut rates three times in the fiscal year, once in October 2019, and twice in March 2020 resulting in the federal funds rate going from 1.75-2.00% to 0-0.25%. In addition to slashing rates, the Fed announced several market and economic support measures in conjunction with the U.S. Treasury. Most important for the corporate credit markets was the Fed’s decision to begin purchasing investment grade bonds, and to a lesser extent, high yield bonds for the first time ever. The announcement had a pronounced effect on credit asset prices and reopened capital markets, which led to record investment-grade issuance and high yield issuance hitting multi-year highs.
Fundamentals in the investment grade space continued to deteriorate with leverage rising to 3.3-times in second quarter of calendar year 2020, up from 3.0-times a year earlier. The pandemic is likely to result in deteriorating leverage trends in the future with leading forecasters predicting investment grade leverage to rise to 3.6 by the end of calendar year 2020, a record for the market. In the second quarter of calendar year 2020, earnings before interest, taxes, depreciation and amortization (EBITDA), declined nearly 5% year over year, while debt grew nearly 10% year over year, which drove most of the leverage increase. One positive fundamental change this fiscal year was that cash paid to shareholders was down 19% year over year. However, it remains to be seen if that trend reverses after companies become more comfortable with their outlooks and possibly resume dividends and/or share repurchases. Additionally, duration for the investment grade market, Bloomberg
2020 | ANNUAL REPORT | 71 |
Table of Contents
Barclays U.S. Corporate Bond Index, increased in the past year from 7.7 years to 8.6 years during the fiscal year and has risen around three years from the level of 20 years ago. Lengthening duration magnifies price movement based on interest rates, as well as spread changes, so we believe the risk of the market has increased.
High yield fundamentals deteriorated in the second quarter of calendar year 2020, as median leverage rose to 5.1-times from 4.5-times in the second quarter of calendar year 2019. Median leverage in the highest leveraged quartile of high yield rose dramatically to 13.5-times from 6.5-times during the same period in calendar year 2019. This suggested a materially higher-than-average default rate going forward and helped explained the underperformance of lower quality credit within high yield.
Despite the negatives of increasing leverage and duration, the favorable technical backdrop has been supportive. Supply, flows and negative yields globally have been powerful forces, offsetting weakening fundamentals and keeping spreads from widening further. Issuance in calendar year 2020 is already at a record with one quarter to go. After turning sharply negative in the spring of 2020, fund flows into investment grade have been exceptionally strong. Through fiscal year end, inflows in 2020 were approximately $174 billion, or more than 5% of the aggregate fund assets in the asset class. Lastly, relative yields in the U.S. investment grade credit market remain attractive versus the $15.5 trillion in negative yielding global debt.
Through fiscal year end, inflows in 2020 for high yield were $38 billion, or more than 11% of the aggregate fund assets in the asset class. Like investment grade, high yield witnessed a significant increase in issuance as companies sought to shore up balance sheets. This has led to issuance of $324 billion in 2020 through fiscal year end, which is higher than all other years besides 2012, and has already surpassed the $263 billion of issuance for the entirety of 2019. Net of redemptions, issuance of $123 billion through the first nine months of calendar year 2020 is higher than last year.
Performance and positioning
The Fund had a positive return for the fiscal period and outperformed its Morningstar peer group average and benchmark. The Fund’s short duration position relative to the benchmark was a modest detractor from performance, however that was more than offset by the Fund’s credit spread contribution. Most of the Fund’s positive credit spread attribution was derived from selection, driven by consumer cyclical sector, while the financial sector was the largest detractor. By rating category, much of the positive credit spread attribution was derived from credit selection in BBB, while A rated credits were the largest detractors.
Coming into this fiscal year the Fund was well positioned with a conservative risk profile, relative to its opportunity set, which allowed us to take advantage of the pandemic-driven sell off during the year. Our nimble size allowed us to take ample incremental risk in the spring of 2020 when the market became dislocated. This was even though the Fed’s actions resulted in a historically short credit cycle in terms of price action. We have since reduced most of that incremental risk and are again conservatively positioned. We continue to believe that negative fundamentals will likely result in more frequent periods of volatility as technicals are fleeting and subject to rapid shifts.
During the fiscal year, the Fund’s risk relative to the benchmark increased slightly, while duration relative to the benchmark decreased and remains modestly under benchmark duration. The largest increases in sector weightings were in communications and technology, while industrial and consumer non-cyclical sectors were the largest decreases. The Fund increased its exposure primarily to the A ratings categories, at the expense of BBB rated credit.
Outlook
After an extremely volatile year, the investment-grade market stabilized in the third quarter of the calendar year with index spreads trading in a relatively narrow 24 bps range. We believe the Fed’s actions have suppressed volatility and provided material support for risk assets. This support for risk is unlikely to go away anytime soon, however one must balance it with the risks and fundamentals. The future continues to have numerous material risks that will likely impact markets going forward. We are in a pandemic, have a weak economy, and the upcoming U.S. Presidential election presents risks to the markets broadly as well as individual sectors. We’ve already started to see substantial hedging across asset classes ahead of the U.S. election cycle, the impact of which is considerably larger than the normal election hedging.
Investment-grade fundamentals continue to be extremely weak, with leverage remaining at record highs and duration in the market being near a record high. However, credit spreads sit at 128 basis points for investment grade, well below their 20-year average of 146 bps. The reason for this disconnect between the fundamentals and valuations is the favorable technical picture and the search for yield driven by the Fed’s actions. The technical backdrop continued to be favorable as historically high investment-grade supply was offset by fund inflows and substantial foreign demand. However, towards the end of the quarter we saw a weakening of fund inflows, which remained positive. We believe that supply going forward is likely to be supportive. In aggregate, companies issued more than enough debt to shore up liquidity in the pandemic and subsequently refinanced a great deal of debt, which coupled with low levels of mergers and acquisitions, suggests low issuance in the fourth quarter and beyond.
72 | ANNUAL REPORT | 2020 |
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Like investment grade, high yield spreads of 517 bps are below the 20-year average of 548 bps. Fundamentals are also poor with default rates at 5.8% versus the long-term average of 3.4%. It is also concerning that recovery rates sit at historic lows, hitting just over 15% in the prior 12 months, lower than any year in the past 30 years and below the 25-year average of 40% and the trend began before the pandemic. While we think there are and will continue to be interesting opportunities in high yield, we favor investment grade. We maintain a very selective view in our high yield exposure going forward given the default and recovery rate dynamics, valuations and the fact that much of the higher rated parts of high yield trade above their call prices.
Going forward, we believe record leverage and near-record duration, along with the myriad of risk factors in the future, is likely to lead to more frequent periods of volatility and prevent spreads from rallying materially in the coming quarter and beyond. While the technical picture remains favorable, we think it is fleeting and that the weak fundamentals are likely to persist for years. Our current conservative positioning is designed to allow us to opportunistically take incremental risk into these periods to capitalize on the volatility as it presents itself.
We believe that credit selection continues to be paramount and we continue to find ample mispriced credit situations to take advantage of as the pandemic continues to drive vastly different results from companies across the corporate credit universe. As always, our team is continually focused on assessing the rapidly changing landscape to ensure our positioning optimizes the risk and reward for our investors.
Performance shown at NAV does not include the effect of sales charges. If reflected, the performance shown would have been lower. Performance including sales charges reflects the maximum applicable front-end sales load.
Past performance is not a guarantee of future results. As with any mutual fund, the value of the Fund’s shares will change, and you could lose money on your investment.
Fixed-income securities are subject to interest rate risk and, as such, the Fund’s net asset value may fall as interest rates rise.
Certain U.S. government securities in which the Fund may invest, such as Treasury securities and securities issued by the Government National Mortgage Association (Ginnie Mae), are backed by the full faith and credit of the U.S. government. However, other U.S. government securities in which the Fund may invest, such as securities issued by the Federal National Mortgage Association (Fannie Mae), the Federal Home Loan Mortgage Corporation (Freddie Mac) and the Federal Home Loan Banks (FHLB) are not backed by the full faith and credit of the U.S. government, are not insured or guaranteed by the U.S. government and, instead, may be supported only by the right of the issuer to borrow from the U.S. Treasury or by the credit of the issuer.
These and other risks are more fully described in the Fund’s prospectus.
The opinions expressed in this report are those of the Fund’s portfolio managers and are current only through the end of the period of the report as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions, and no forecasts can be guaranteed.
The index noted is unmanaged and includes reinvested dividends. One cannot invest directly in an index, nor is an index representative of the Ivy Crossover Credit Fund.
2020 | ANNUAL REPORT | 73 |
Table of Contents
PORTFOLIO HIGHLIGHTS | IVY CROSSOVER CREDIT FUND |
ALL DATA IS AS OF SEPTEMBER 30, 2020 (UNAUDITED)
Asset Allocation
Bonds | 94.8% | |||
Corporate Debt Securities | 92.7% | |||
Asset-Backed Securities | 2.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 5.2% |
Quality Weightings
Investment Grade | 88.3% | |||
AA | 0.5% | |||
A | 12.3% | |||
BBB | 75.5% | |||
Non-Investment Grade | 6.5% | |||
BB | 5.0% | |||
B | 0.9% | |||
CCC | 0.6% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 5.2% |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
74 | ANNUAL REPORT | 2020 |
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COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT | IVY CROSSOVER CREDIT FUND |
(UNAUDITED)
Please note that the performance of the Fund’s other share classes will be greater or less than the performance shown above for Class A based on the differences in loads and fees paid by shareholders investing in the different classes.
(1) | The value of the investment in the Fund is impacted by the sales load at the time of the investment and by the ongoing expenses of the Fund and assumes reinvestment of dividends and distributions. |
Average Annual Total Return(2) | Class A(3) | Class I | Class N | Class Y | ||||||||||||
1-year period ended 9-30-20 | 3.86% | 10.46% | 10.46% | 10.18% | ||||||||||||
5-year period ended 9-30-20 | — | — | — | — | ||||||||||||
10-year period ended 9-30-20 | — | — | — | — | ||||||||||||
Since Inception of Class through 9-30-20(4) | 4.97% | 7.03% | 7.03% | 6.77% |
(2) | Data quoted is past performance and is based on deduction of the maximum applicable sales load for each of the periods. Current performance may be lower or higher. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost. Please visit www.ivyinvestments.com for the Fund’s most recent month end performance. Class A Shares carry a maximum front-end sales load of 5.75%(a). Class I, Class N and Class Y shares are not subject to sales charges. |
(3) | Class A shares carry a CDSC on shares purchased at net asset value for $1 million or more that are subsequently redeemed within 12 months of purchase. Effective October 1, 2020, Class A shares carry a CDSC on shares purchased at net asset value for $500,000 or more that are subsequently redeemed within 12 months of purchase. |
(4) | 4-3-17 for Class A shares, 4-3-17 for Class I shares, 4-3-17 for Class N shares and 4-3-17 for Class Y shares (the date on which shares were first acquired by shareholders). |
Past performance is not necessarily indicative of future performance. Indexes are unmanaged. The performance graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance results may include the effect of expense reduction arrangements for some or all of the periods shown. If those arrangements had not been in place, the performance results for those periods would have been lower.
(a) | Effective October 1, 2020, the maximum applicable sales charge for Class A shares has been lowered to 2.50%. |
2020 | ANNUAL REPORT | 75 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY CROSSOVER CREDIT FUND (in thousands) |
SEPTEMBER 30, 2020
ASSET-BACKED SECURITIES | Principal | Value | ||||||
AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust, | ||||||||
3.500%, 5–26–22 | $ | 1,254 | $ | 1,266 | ||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES – 2.1% |
| $ | 1,266 | |||||
(Cost: $1,275) |
| |||||||
CORPORATE DEBT SECURITIES | ||||||||
Communication Services |
| |||||||
Advertising – 0.9% |
| |||||||
Lamar Media Corp., | ||||||||
4.875%, 1–15–29 (A) | 500 | 520 | ||||||
|
| |||||||
Alternative Carriers – 2.2% |
| |||||||
Bell Canada (GTD by BCE, Inc.), | ||||||||
4.300%, 7–29–49 | 1,079 | 1,324 | ||||||
|
| |||||||
Cable & Satellite – 2.8% |
| |||||||
Charter Communications Operating LLC and Charter Communications Operating Capital Corp., | ||||||||
4.500%, 2–1–24 | 1,000 | 1,109 | ||||||
Viacom, Inc., | ||||||||
4.750%, 5–15–25 | 500 | 573 | ||||||
|
| |||||||
1,682 | ||||||||
|
| |||||||
Integrated Telecommunication Services – 2.0% |
| |||||||
AT&T, Inc.: | ||||||||
3.300%, 2–1–52 | 500 | 465 | ||||||
3.550%, 9–15–55 (A) | 250 | 239 | ||||||
AT&T, Inc. (3-Month U.S. LIBOR plus 118 bps), | ||||||||
1.429%, 6–12–24 (B) | 500 | 509 | ||||||
|
| |||||||
1,213 | ||||||||
|
| |||||||
Publishing – 1.1% |
| |||||||
Thomson Reuters Corp., | ||||||||
5.850%, 4–15–40 | 500 | 670 | ||||||
|
| |||||||
Wireless Telecommunication Service – 2.3% |
| |||||||
T-Mobile USA, Inc.: | ||||||||
3.500%, 4–15–25 (A) | 750 | 823 | ||||||
4.375%, 4–15–40 (A) | 500 | 586 | ||||||
|
| |||||||
1,409 | ||||||||
|
| |||||||
Total Communication Services – 11.3% |
| 6,818 | ||||||
Consumer Discretionary |
| |||||||
Apparel, Accessories & Luxury Goods – 2.6% |
| |||||||
PVH Corp., | ||||||||
4.625%, 7–10–25 (A) | 500 | 521 | ||||||
Ralph Lauren Corp., | ||||||||
2.950%, 6–15–30 | 1,000 | 1,044 | ||||||
|
| |||||||
1,565 | ||||||||
|
| |||||||
Automotive Retail – 1.0% |
| |||||||
AutoNation, Inc., | ||||||||
4.750%, 6–1–30 | 500 | 592 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Homebuilding – 2.2% |
| |||||||
NVR, Inc., | ||||||||
3.000%, 5–15–30 | $ | 1,250 | $ | 1,349 | ||||
|
| |||||||
Internet & Direct Marketing Retail – 2.9% |
| |||||||
Booking Holdings, Inc., | ||||||||
4.625%, 4–13–30 | 1,000 | 1,195 | ||||||
Expedia Group, Inc.: | ||||||||
6.250%, 5–1–25 (A) | 425 | 468 | ||||||
7.000%, 5–1–25 (A) | 72 | 78 | ||||||
|
| |||||||
1,741 | ||||||||
|
| |||||||
Restaurants – 1.7% |
| |||||||
Darden Restaurants, Inc., | ||||||||
4.550%, 2–15–48 | 1,000 | 993 | ||||||
|
| |||||||
Total Consumer Discretionary – 10.4% |
| 6,240 | ||||||
Consumer Staples |
| |||||||
Brewers – 2.0% |
| |||||||
Anheuser-Busch Inbev Finance, Inc. (GTD by AB INBEV/BBR/COB), | ||||||||
4.700%, 2–1–36 | 1,000 | 1,206 | ||||||
|
| |||||||
Food Distributors – 1.7% |
| |||||||
Sysco Corp., | ||||||||
6.600%, 4–1–40 | 750 | 1,010 | ||||||
|
| |||||||
Food Retail – 1.8% |
| |||||||
Alimentation Couche-Tard, Inc., | ||||||||
2.950%, 1–25–30 (A) | 1,000 | 1,077 | ||||||
|
| |||||||
Packaged Foods & Meats – 1.2% |
| |||||||
Smithfield Foods, Inc., | ||||||||
2.650%, 10–3–21 (A) | 750 | 755 | ||||||
|
| |||||||
Tobacco – 3.1% |
| |||||||
Altria Group, Inc. (GTD by Philip Morris USA, Inc.), | ||||||||
2.850%, 8–9–22 | 750 | 781 | ||||||
Imperial Brands Finance plc, | ||||||||
3.125%, 7–26–24 (A) | 1,000 | 1,057 | ||||||
|
| |||||||
1,838 | ||||||||
|
| |||||||
Total Consumer Staples – 9.8% |
| 5,886 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 0.9% |
| |||||||
National Fuel Gas Co., | ||||||||
5.500%, 1–15–26 | 500 | 546 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 1.8% |
| |||||||
Canadian Natural Resources Ltd., | ||||||||
3.850%, 6–1–27 | 500 | 538 | ||||||
EQT Corp.: | ||||||||
3.000%, 10–1–22 (C) | 250 | 245 | ||||||
7.875%, 2–1–25 (D) | 250 | 277 | ||||||
|
| |||||||
1,060 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Refining & Marketing – 0.8% |
| |||||||
Valero Energy Corp., | ||||||||
1.200%, 3–15–24 | $ | 500 | $ | 498 | ||||
|
| |||||||
Oil & Gas Storage & Transportation – 7.1% |
| |||||||
Boardwalk Pipelines L.P. (GTD by Boardwalk Pipeline Partners L.P.), | ||||||||
4.450%, 7–15–27 | 500 | 538 | ||||||
Cheniere Corpus Christi Holdings LLC, | ||||||||
7.000%, 6–30–24 | 500 | 576 | ||||||
EQT Midstream Partners L.P., | ||||||||
4.750%, 7–15–23 | 500 | 499 | ||||||
Midwest Connector Capital Co. LLC, | ||||||||
4.625%, 4–1–29 (A) | 750 | 758 | ||||||
Sabine Pass Liquefaction LLC, | ||||||||
4.200%, 3–15–28 | 500 | 542 | ||||||
Sunoco Logistics Partners Operations L.P. (GTD by Energy Transfer Partners L.P.), | ||||||||
4.000%, 10–1–27 | 500 | 511 | ||||||
Williams Partners L.P., | ||||||||
4.850%, 3–1–48 | 750 | 842 | ||||||
|
| |||||||
4,266 | ||||||||
|
| |||||||
Total Energy – 10.6% |
| 6,370 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 6.8% |
| |||||||
Apollo Management Holdings L.P., | ||||||||
2.650%, 6–5–30 (A) | 1,250 | 1,251 | ||||||
Blackstone Holdings Finance Co. LLC, | ||||||||
3.500%, 9–10–49 (A) | 500 | 546 | ||||||
Brookfield Finance LLC (GTD by Brookfield Asset Management, Inc.), | ||||||||
3.450%, 4–15–50 | 500 | 491 | ||||||
KKR Group Finance Co. VIII LLC (GTD by KKR & Co., Inc. and KKR Group Partnership L.P.), | ||||||||
3.500%, 8–25–50 (A) | 1,000 | 1,017 | ||||||
Owl Rock Capital Corp.: | ||||||||
5.250%, 4–15–24 | 450 | 467 | ||||||
4.000%, 3–30–25 | 300 | 302 | ||||||
|
| |||||||
4,074 | ||||||||
|
| |||||||
Consumer Finance – 0.8% |
| |||||||
Ford Motor Credit Co. LLC, | ||||||||
3.336%, 3–18–21 | 500 | 500 | ||||||
|
| |||||||
Financial Exchanges & Data – 1.2% |
| |||||||
Intercontinental Exchange, Inc., | ||||||||
2.650%, 9–15–40 | 750 | 750 | ||||||
|
| |||||||
Insurance Brokers – 4.1% |
| |||||||
Brown & Brown, Inc.: | ||||||||
4.200%, 9–15–24 | 500 | 552 | ||||||
4.500%, 3–15–29 | 250 | 285 | ||||||
2.375%, 3–15–31 | 250 | 252 |
76 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY CROSSOVER CREDIT FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Insurance Brokers (Continued) |
| |||||||
Willis North America, Inc., | ||||||||
2.950%, 9–15–29 | $ | 1,250 | $ | 1,351 | ||||
|
| |||||||
2,440 | ||||||||
|
| |||||||
Other Diversified Financial Services – 2.9% |
| |||||||
Citigroup, Inc.: | ||||||||
2.666%, 1–29–31 | 500 | 526 | ||||||
5.000%, 3–12–69 | 500 | 498 | ||||||
JPMorgan Chase & Co.: | ||||||||
4.000%, 10–1–68 | 250 | 236 | ||||||
5.000%, 2–1–69 | 500 | 499 | ||||||
|
| |||||||
1,759 | ||||||||
|
| |||||||
Reinsurance – 1.4% |
| |||||||
Reinsurance Group of America, Inc., | ||||||||
3.900%, 5–15–29 | 750 | 856 | ||||||
|
| |||||||
Specialized Finance – 2.8% |
| |||||||
Air Lease Corp.: | ||||||||
2.875%, 1–15–26 | 120 | 118 | ||||||
3.000%, 2–1–30 | 500 | 465 | ||||||
Fidelity National Financial, Inc.: | ||||||||
5.500%, 9–1–22 | 250 | 271 | ||||||
3.400%, 6–15–30 | 750 | 806 | ||||||
|
| |||||||
1,660 | ||||||||
|
| |||||||
Total Financials – 20.0% |
| 12,039 | ||||||
Health Care |
| |||||||
Health Care Equipment – 0.6% |
| |||||||
Zimmer Biomet Holdings, Inc., | ||||||||
5.750%, 11–30–39 | 250 | 333 | ||||||
|
| |||||||
Health Care Facilities – 2.6% |
| |||||||
HCA, Inc. (GTD by HCA Holdings, Inc.), | ||||||||
4.750%, 5–1–23 | 1,000 | 1,091 | ||||||
Universal Health Services, Inc., | ||||||||
2.650%, 10–15–30 (A) | 500 | 498 | ||||||
|
| |||||||
1,589 | ||||||||
|
| |||||||
Health Care Supplies – 1.8% |
| |||||||
Dentsply Sirona, Inc., | ||||||||
3.250%, 6–1–30 | 1,000 | 1,086 | ||||||
|
| |||||||
Pharmaceutials – 1.2% |
| |||||||
Royalty Pharma plc (GTD by Royalty Pharma Holdings Ltd.): | ||||||||
2.200%, 9–2–30 (A) | 250 | 248 | ||||||
3.300%, 9–2–40 (A) | 500 | 490 | ||||||
|
| |||||||
738 | ||||||||
|
| |||||||
Pharmaceuticals – 1.8% |
| |||||||
Elanco Animal Health, Inc.: | ||||||||
4.912%, 8–27–21 (D) | 500 | 513 | ||||||
5.022%, 8–28–23 (D) | 500 | 536 | ||||||
|
| |||||||
1,049 | ||||||||
|
| |||||||
Total Health Care – 8.0% |
| 4,795 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Industrials |
| |||||||
Aerospace & Defense – 2.1% |
| |||||||
Boeing Co. (The): | ||||||||
2.950%, 2–1–30 | $ | 500 | $ | 484 | ||||
3.750%, 2–1–50 | 500 | 457 | ||||||
Spirit AeroSystems, Inc. (GTD by Spirit AeroSystems Holdings, Inc.), | ||||||||
4.600%, 6–15–28 | 440 | 361 | ||||||
|
| |||||||
1,302 | ||||||||
|
| |||||||
Diversified Support Services – 0.9% |
| |||||||
Genpact Luxembourg S.a.r.l. (GTD by Genpact Ltd.), | ||||||||
3.375%, 12–1–24 | 500 | 524 | ||||||
|
| |||||||
Industrial Machinery – 1.7% |
| |||||||
Roper Technologies, Inc., | ||||||||
2.000%, 6–30–30 | 1,000 | 1,019 | ||||||
|
| |||||||
Railroads – 1.7% |
| |||||||
Kansas City Southern: | ||||||||
4.300%, 5–15–43 | 500 | 527 | ||||||
3.500%, 5–1–50 | 500 | 517 | ||||||
|
| |||||||
1,044 | ||||||||
|
| |||||||
Research & Consulting Services – 2.7% |
| |||||||
CoStar Group, Inc., | ||||||||
2.800%, 7–15–30 (A) | 1,000 | 1,035 | ||||||
Verisk Analytics, Inc., | ||||||||
3.625%, 5–15–50 | 500 | 569 | ||||||
|
| |||||||
1,604 | ||||||||
|
| |||||||
Total Industrials – 9.1% |
| 5,493 | ||||||
Information Technology |
| |||||||
Application Software – 1.9% |
| |||||||
NXP B.V. and NXP Funding LLC, | ||||||||
4.625%, 6–1–23 (A) | 1,037 | 1,136 | ||||||
|
| |||||||
Communications Equipment – 1.9% |
| |||||||
Motorola Solutions, Inc., | ||||||||
5.500%, 9–1–44 | 1,000 | 1,157 | ||||||
|
| |||||||
IT Consulting & Other Services – 1.8% |
| |||||||
Leidos, Inc. (GTD by Leidos Holdings, Inc.): | ||||||||
2.950%, 5–15–23 (A) | 500 | 525 | ||||||
4.375%, 5–15–30 (A) | 500 | 585 | ||||||
|
| |||||||
1,110 | ||||||||
|
| |||||||
Semiconductors – 3.7% |
| |||||||
Broadcom, Inc., | ||||||||
5.000%, 4–15–30 | 750 | 885 | ||||||
Xilinx, Inc., | ||||||||
2.375%, 6–1–30 | 1,250 | 1,315 | ||||||
|
| |||||||
2,200 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Technology Hardware, Storage & Peripherals – 0.9% |
| |||||||
Seagate HDD Cayman (GTD by Seagate Technology plc), | ||||||||
5.750%, 12–1–34 | $ | 500 | $ | 568 | ||||
|
| |||||||
Total Information Technology – 10.2% |
| 6,171 | ||||||
Real Estate |
| |||||||
Health Care REITs – 0.9% |
| |||||||
Healthpeak Properties, Inc., | ||||||||
2.875%, 1–15–31 | 500 | 529 | ||||||
|
| |||||||
Industrial REITs – 0.7% |
| |||||||
Avolon Holdings Funding Ltd., | ||||||||
3.250%, 2–15–27 (A) | 500 | 446 | ||||||
|
| |||||||
Specialized REITs – 1.7% |
| |||||||
Life Storage L.P. (GTD by Life Storage, Inc.), | ||||||||
2.200%, 10–15–30 | 1,000 | 998 | ||||||
|
| |||||||
Total Real Estate – 3.3% |
| 1,973 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 92.7% |
| $ | 55,785 | |||||
(Cost: $54,246) |
| |||||||
SHORT-TERM SECURITIES | Shares | |||||||
Money Market Funds (E) – 3.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, | ||||||||
0.030% | 1,904 | 1,904 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 3.2% |
| $ | 1,904 | |||||
(Cost: $1,904) |
| |||||||
TOTAL INVESTMENT SECURITIES – 98.0% |
| $ | 58,955 | |||||
(Cost: $57,425) |
| |||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES (F) – 2.0% |
| 1,202 | ||||||
NET ASSETS – 100.0% |
| $ | 60,157 |
2020 | ANNUAL REPORT | 77 |
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SCHEDULE OF INVESTMENTS | IVY CROSSOVER CREDIT FUND (in thousands) |
SEPTEMBER 30, 2020
Notes to Schedule of Investments
(A) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020 the total value of these securities amounted to $14,659 or 24.4% of net assets. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2020. Description of the reference rate and spread, if applicable, are included in the security description. |
(C) | All or a portion of securities with an aggregate value of $196 are on loan. |
(D) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at September 30, 2020. |
(E) | Rate shown is the annualized 7-day yield at September 30, 2020. |
(F) | Cash of $65 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at September 30, 2020 (contracts unrounded):
Description | Type | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Depreciation | ||||||||||||||||
U.S. 10-Year Treasury Note | Short | 42 | 12–21–20 | 4,200 | $ | (5,860 | ) | $ | (15 | ) | ||||||||||||
|
|
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of September 30, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | $ | — | $ | 1,266 | $ | — | ||||||
Corporate Debt Securities | — | 55,785 | — | |||||||||
Short-Term Securities | 1,904 | — | — | |||||||||
Total | $ | 1,904 | $ | 57,051 | $ | — | ||||||
Liabilities | ||||||||||||
Futures Contracts | $ | 15 | $ | — | $ | — |
The following acronyms are used throughout this schedule:
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
78 | ANNUAL REPORT | 2020 |
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MANAGEMENT DISCUSSION | IVY GOVERNMENT SECURITIES FUND |
(UNAUDITED)
Below, Mark G. Beischel, CFA and Susan K. Regan, co-portfolio managers of the Ivy Government Securities Fund, discuss positioning, performance and results for the fiscal year ended September 30, 2020. Mr. Beischel has managed the Fund since April 2018 and has 27 years of industry experience. Ms. Regan has managed the Fund since April 2018 and has 33 years of industry experience.
Fiscal Year Performance
For the 12 Months Ended September 30, 2020 | ||||
Ivy Government Securities Fund | 4.75% | |||
(Class A shares at net asset value) | ||||
Ivy Government Securities Fund | 0.26% | |||
(Class A shares including sales charges) | ||||
Benchmark and Morningstar Category | ||||
Bloomberg Barclays U.S. Government/Mortgage-Backed Securities Index | 6.55% | |||
(generally reflects the performance of securities representing the government securities market) | ||||
Morningstar Intermediate Government Category Average | 5.47% | |||
(generally reflects the performance of the universe of funds with similar investment objectives) |
Please note that Fund returns include applicable fees and expenses while index returns do not include any such fees. The performance discussion below is at net asset value (NAV).
Best laid plans…
When the fiscal year began, the U.S. Treasury yield curve was flat and inverted in some maturities. The 10-year U.S. Treasury note yielded 1.67%, just 5 basis points (bps) higher than the 2-year note. The 3-, 5- and 7-year notes were lower yielding than the 1.62% yield on the 2-year note. Additionally, the U.S.-China Phase One trade negotiations dominated the news and the markets. Progress in negotiations led to a “risk on” environment, sending U.S. Treasury prices lower and yields higher, while stalled negotiations had the reverse effect.
The Federal Reserve (Fed) engaged in its third rate cut in the cycle at its October 2019 meeting. Fed Chairman Jerome Powell stated the Fed anticipated being “on hold” through 2020 with the federal funds rate at the (then current) range of 1.50-1.75%.
These best laid plans were upended as the COVID-19 pandemic spread throughout the world. The equity and credit markets became extremely volatile leading to a significant flight-to-quality trade into the U.S. Treasury market. The Fed engaged in an emergency rate cut of 50 bps in early March 2020, and then less than two weeks later, at a second emergency meeting, slashed the rate by 100 bps to its current range of 0-0.25%. Yields sank across maturities on the yield curve.
While the Fed generally prefers to wait and see how the data plays out before taking a measured response, the performance of the credit and equity markets was the only thing needed. The pandemic battle required major programs to help relieve the market stress. The Fed did not hesitate to go “all-in” and came up with several programs aimed at helping financial markets. The Fed began a new round of quantitative easing (QE4), purchasing U.S. Treasuries (including U.S. Treasury Inflation-Indexed Bonds) and agency mortgage-backed securities (MBS). It also began purchasing credit instruments.
Agency MBS had performed well in the first quarter of calendar year 2020 until the COVID-19 crisis. Spreads widened in March as liquidity issues dominated the market. While agency MBS have the implicit guarantee of principal and interest from the federal government, spreads widened over 100 bps until the Fed announced its QE4 program on March 23. This move helped relieve the liquidity problems and spreads tightened 60 bps from their widest levels. The agency MBS market continued to normalize in the second quarter of calendar year 2020 as spreads on agency MBS stabilized in the range of 70-80 bps over the 10-year U.S. Treasury. Pay-ups on specified pools, the extra prices investors pay for collateral selection, recovered back to pre-crisis levels mainly due to liquidity improvement. The increasing prepayment risk caused by declining mortgage rates also contributed to this price recovery.
The third quarter of calendar year 2020 saw continued spread tightening across the agency pass through, agency commercial mortgage-backed security (CMBS) and agency collateral mortgage obligations (CMOs) asset classes. The Fed is expected to continue net purchases of $40 billion per month in agency residential MBS. This is most of the expected net MBS supply through the end of calendar year 2020. We believe the Fed’s involvement will continue to be supportive of spreads in the mortgage market.
The Fed’s commitment to keeping rates low has anchored the front end of the yield curve at extremely low levels. The 2-year U.S. Treasury note yielded 15 bps at the end of June and was slightly lower at 13 bps at the end of the fiscal year. Similarly,
2020 | ANNUAL REPORT | 79 |
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the yield on the 10-year US Treasury rose just 4 bps to 69 bps. The Fed announced at its September 2020 meeting that it is going to focus on the employment portion of its dual mandate. It is willing to allow inflation to overshoot an average of 2% before triggering a rate hike response. In other words, we do not believe there will be rate hikes for a long time.
Performance and positioning
The Fund underperformed both the benchmark and the peer group. The agency MBS in the Fund had similar performance to the securitized bonds in the benchmark. The Fund’s agency bullets (debt instruments whose entire principal value is paid in entirety upon maturity) and callable bonds outperformed those in the benchmark. The Fund’s underperformance was primarily in the mix of U.S. Treasury securities.
We believe there is potential for continued steepening of the U.S. Treasury yield curve as long-dated yields may creep higher with the additional debt the U.S. government is issuing to battle the pandemic and its economic challenges. While the Fed has committed to keeping short rates low, we believe it will not be able to control the long end of the curve should investors begin demanding higher yields to hold more U.S. Treasury debt. We are shorter duration than the benchmark and underweight the long end of the curve. As a result, the Fund did not participate as fully in the rally in long duration U.S. Treasuries as the benchmark.
We have been focused on purchasing longer duration MBS, primarily agency CMOs with lower premiums and attractive current yield and agency CMBS with good prepayment protection. The Fund ended the fiscal year slightly overweight securitized products relative to the benchmark. We also added agency callable securities as we feel higher yielding securities are likely to outperform in a low volatility rate environment over the next six to twelve months. We sold short-duration U.S. Treasuries to fund these purchases.
Outlook
We believe short-term interest rates will stay near zero for the foreseeable future, and that low inflation will keep a lid on long-term rates. Sizable fiscal packages earlier in the year provided much needed income support for sidelined workers and financial support for businesses facing interruptions in demand and cash flows. However, these packages are not fiscal stimulus that will generate sustained stronger growth in our view. The upcoming U.S. election is shaping up to be more interesting than most. Markets will not only have to contend with the usual uncertainty around the outcome, but also the potential uncertainty around the process and the timeliness of the results. The policy differences between the parties are arguably more stark than usual.
The September unemployment rate was 7.9%, down from the high of 14.7% in April, but much higher than the 3.5% rate in February. We think that there is still a chance for fiscal stimulus, but the U.S. election may make progress difficult in the near term. We will continue to look for opportunities to enhance returns in the Fund as we maneuver through the uncertainty ahead.
Performance shown at NAV does not include the effect of sales charges. If reflected, the performance shown would have been lower. Performance including sales charges reflects the maximum applicable front-end sales load.
Past performance is not a guarantee of future results. As with any mutual fund, the value of the Fund’s shares will change, and you could lose money on your investment.
Fixed-income securities are subject to interest rate risk and, as such, the Fund’s net asset value may fall as interest rates rise.
Certain U.S. government securities in which the Fund may invest, such as Treasury securities and securities issued by the Government National Mortgage Association (Ginnie Mae), are backed by the full faith and credit of the U.S. government. However, other U.S. government securities in which the Fund may invest, such as securities issued by the Federal National Mortgage Association (Fannie Mae), the Federal Home Loan Mortgage Corporation (Freddie Mac) and the Federal Home Loan Banks (FHLB) are not backed by the full faith and credit of the U.S. government, are not insured or guaranteed by the U.S. government and, instead, may be supported only by the right of the issuer to borrow from the U.S. Treasury or by the credit of the issuer.
These and other risks are more fully described in the Fund’s prospectus.
The opinions expressed in this report are those of the portfolio managers and are current only through the end of the period of the report as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions, and no forecasts can be guaranteed.
The index noted is unmanaged and includes reinvested dividends. One cannot invest directly in an index, nor is an index representative of the Ivy Government Securities Fund.
80 | ANNUAL REPORT | 2020 |
Table of Contents
PORTFOLIO HIGHLIGHTS | IVY GOVERNMENT SECURITIES FUND |
ALL DATA IS AS OF SEPTEMBER 30, 2020 (UNAUDITED)
Asset Allocation
Bonds | 99.3% | |||
United States Government and Government Agency Obligations | 99.3% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.7% |
Quality Weightings
Investment Grade | 95.2% | |||
AAA | 37.4% | |||
AA | 57.8% | |||
Non-Investment Grade | 4.1% | |||
Non-rated | 4.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.7% |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
2020 | ANNUAL REPORT | 81 |
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COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT | IVY GOVERNMENT SECURITIES FUND |
(UNAUDITED)
Please note that the performance of the Fund’s other share classes will be greater or less than the performance shown above for Class A based on the differences in loads and fees paid by shareholders investing in the different classes.
(1) | The value of the investment in the Fund is impacted by the sales load at the time of the investment and by the ongoing expenses of the Fund and assumes reinvestment of dividends and distributions. |
Average Annual Total Return(2) | Class A(3) | Class B(4) | Class C | Class I | Class N | |||||||||||||||
1-year period ended 9-30-20 | 0.26% | -0.38% | 3.83% | 5.01% | 5.13% | |||||||||||||||
5-year period ended 9-30-20 | 1.50% | 1.08% | 1.48% | 2.66% | — | |||||||||||||||
10-year period ended 9-30-20 | 1.27% | 0.81% | 0.85% | 2.01% | — | |||||||||||||||
Since Inception of Class through 9-30-20(5) | — | — | — | — | 4.01% |
(2) | Data quoted is past performance and is based on deduction of the maximum applicable sales load for each of the periods. Current performance may be lower or higher. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost. Please visit www.ivyinvestments.com for the Fund’s most recent month end performance. Class A Shares carry a maximum front-end sales load of 4.25%(a). Class B and Class C shares carry a maximum contingent deferred sales charge (CDSC) of 5% and 1%, respectively (the Class C shares reflect no CDSC since it only applies to Class C shares redeemed within twelve months after purchase). Class I and Class N shares are not subject to sales charges. |
(3) | Class A shares carry a CDSC on shares purchased at net asset value for $1 million or more that are subsequently redeemed within 12 months of purchase. Effective October 1, 2020, Class A shares carry a CDSC on shares purchased at net asset value for $500,000 or more that are subsequently redeemed within 12 months of purchase. |
(4) | Class B shares are not currently available for direct investment. However, they are available for dividend reinvestment and exchange of the same class shares of another Ivy Fund. |
(5) | 10-16-17 for Class N shares (the date on which shares were first acquired by shareholders). |
The Fund commenced operations on October 16, 2017, in connection with a reorganization (the “Reorganization”) in which the Fund acquired all of the assets and liabilities of the Waddell & Reed Advisors Government Securities Fund (the “Predecessor Fund”). Prior to the Reorganization, the Fund was a “shell” fund with no assets and had not commenced operations. As a result of the Reorganization, the Fund has adopted the performance of the Predecessor Fund. Therefore, the returns presented below for the Fund reflect the performance of the Predecessor Fund through October 16, 2017 and the performance of the Fund thereafter.
Past performance is not necessarily indicative of future performance. Indexes are unmanaged. The performance graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance results may include the effect of expense reduction arrangements for some or all of the periods shown. If those arrangements had not been in place, the performance results for those periods would have been lower.
(a) | Effective October 1, 2020, the maximum applicable sales charge for Class A shares has been lowered to 2.50%. |
82 | ANNUAL REPORT | 2020 |
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SCHEDULE OF INVESTMENTS | IVY GOVERNMENT SECURITIES FUND (in thousands) |
SEPTEMBER 30, 2020
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | Principal | Value | ||||||
Agency Obligations – 7.7% |
| |||||||
Federal Farm Credit Bank: | ||||||||
3.560%, 10–6–32 | $ | 5,000 | $ | 6,304 | ||||
3.460%, 2–22–33 | 3,500 | 4,392 | ||||||
1.800%, 9–10–40 | 5,000 | 5,080 | ||||||
Federal Home Loan Bank, | ||||||||
1.550%, 8–24–35 | 3,750 | 3,664 | ||||||
Tennessee Valley Authority, | ||||||||
2.875%, 2–1–27 | 2,500 | 2,840 | ||||||
U.S. Department of Transportation, | ||||||||
6.001%, 12–7–21 (A) | 8,000 | 8,520 | ||||||
U.S. International Development Finance Corp. (GTD by U.S. Government), | ||||||||
5.142%, 12–15–23 | 886 | 963 | ||||||
|
| |||||||
31,763 | ||||||||
|
| |||||||
Mortgage-Backed Obligations – 42.6% |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO: | ||||||||
2.790%, 6–25–22 | 7,250 | 7,498 | ||||||
2.615%, 1–25–23 | 5,000 | 5,251 | ||||||
5.000%, 5–15–23 | 338 | 351 | ||||||
2.896%, 4–25–26 | 837 | 890 | ||||||
3.281%, 8–25–27 | 5,460 | 6,266 | ||||||
3.600%, 1–25–28 | 2,872 | 3,361 | ||||||
3.900%, 4–25–28 | 4,000 | 4,791 | ||||||
3.000%, 10–15–36 | 1,275 | 1,297 | ||||||
4.000%, 5–15–44 | 3,979 | 4,130 | ||||||
3.000%, 6–15–45 | 3,185 | 3,437 | ||||||
3.000%, 10–15–45 | 1,511 | 1,553 | ||||||
3.000%, 11–15–45 | 4,054 | 4,206 | ||||||
3.000%, 4–15–46 | 1,898 | 2,041 | ||||||
2.500%, 7–25–49 | 1,873 | 1,966 | ||||||
3.000%, 4–15–53 | 2,218 | 2,236 | ||||||
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates: | ||||||||
4.000%, 10–1–44 | 1,344 | 1,464 | ||||||
3.500%, 7–1–49 | 3,399 | 3,645 | ||||||
3.500%, 10–1–49 | 3,304 | 3,485 | ||||||
3.000%, 11–1–49 | 9,059 | 9,636 | ||||||
3.000%, 12–1–49 | 8,729 | 9,283 | ||||||
3.000%, 1–1–50 | 3,768 | 4,017 | ||||||
3.000%, 2–1–50 | 3,319 | 3,529 | ||||||
Federal National Mortgage Association Agency REMIC/CMO: | ||||||||
2.715%, 2–25–22 | 3,838 | 3,916 | ||||||
3.360%, 12–1–22 | 1,808 | 1,889 | ||||||
2.390%, 6–1–25 | 3,824 | 3,972 | ||||||
3.360%, 7–1–25 | 2,453 | 2,712 | ||||||
2.488%, 5–25–26 | 2,000 | 2,179 | ||||||
3.500%, 4–25–37 | 1,041 | 1,064 | ||||||
2.500%, 5–25–45 | 4,034 | 4,249 |
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS (Continued) | Principal | Value | ||||||
Mortgage-Backed Obligations (Continued) |
| |||||||
Federal National Mortgage Association Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index): | ||||||||
2.369%, 7–25–26 (B) | $ | 5,675 | $ | 6,140 | ||||
3.047%, 3–25–28 (B) | 1,825 | 1,972 | ||||||
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | ||||||||
4.381%, 6–1–21 | 1,832 | 1,846 | ||||||
2.759%, 4–1–22 | 5,250 | 5,363 | ||||||
2.000%, 10–1–27 | 1,163 | 1,227 | ||||||
3.400%, 6–1–31 | 3,000 | 3,308 | ||||||
4.000%, 12–1–31 | 965 | 1,052 | ||||||
4.000%, 12–1–32 | 2,021 | 2,153 | ||||||
5.500%, 12–1–34 | 322 | 379 | ||||||
6.000%, 4–1–39 | 116 | 131 | ||||||
3.500%, 4–25–43 | 3,486 | 3,579 | ||||||
4.500%, 2–1–44 | 2,033 | 2,328 | ||||||
3.000%, 2–25–46 | 5,045 | 5,231 | ||||||
4.500%, 2–1–48 | 1,785 | 2,002 | ||||||
3.500%, 5–1–49 | 2,889 | 3,067 | ||||||
3.000%, 8–1–49 | 3,967 | 4,204 | ||||||
3.500%, 8–1–49 | 3,559 | 3,793 | ||||||
3.000%, 9–1–49 | 3,645 | 3,843 | ||||||
3.000%, 10–1–49 | 1,942 | 2,035 | ||||||
3.000%, 1–1–50 | 4,124 | 4,371 | ||||||
3.500%, 2–1–50 | 4,234 | 4,586 | ||||||
Government National Mortgage Association Agency REMIC/CMO, | ||||||||
2.000%, 3–16–42 | 5,602 | 5,796 | ||||||
Government National Mortgage Association Fixed Rate Pass-Through Certificates, | ||||||||
5.000%, 4–20–34 | 1,722 | 1,937 | ||||||
|
| |||||||
174,657 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 50.3% |
| $ | 206,420 | |||||
(Cost: $199,906) | ||||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
Treasury Obligations – 49.0% |
| |||||||
U.S. Treasury Bonds: | ||||||||
1.125%, 5–15–40 | 6,000 | 5,905 | ||||||
1.125%, 8–15–40 | 3,000 | 2,944 | ||||||
2.750%, 8–15–42 | 2,500 | 3,203 | ||||||
2.500%, 2–15–45 | 500 | 615 | ||||||
2.250%, 8–15–49 | 8,550 | 10,168 | ||||||
2.000%, 2–15–50 | 4,000 | 4,525 | ||||||
1.375%, 8–15–50 | 3,000 | 2,935 | ||||||
U.S. Treasury Notes: | ||||||||
2.500%, 1–31–21 | 5,300 | 5,341 | ||||||
1.125%, 6–30–21 | 2,000 | 2,014 |
UNITED STATES GOVERNMENT OBLIGATIONS (Continued) | Principal | Value | ||||||
Treasury Obligations (Continued) |
| |||||||
1.125%, 9–30–21 | $ | 12,150 | $ | 12,268 | ||||
2.000%, 12–31–21 | 3,000 | 3,069 | ||||||
1.875%, 4–30–22 | 6,000 | 6,164 | ||||||
1.750%, 5–31–22 | 2,000 | 2,054 | ||||||
0.125%, 8–31–22 | 8,000 | 7,998 | ||||||
2.000%, 10–31–22 | 2,000 | 2,077 | ||||||
1.625%, 11–15–22 | 9,375 | 9,668 | ||||||
2.000%, 11–30–22 | 1,000 | 1,040 | ||||||
2.750%, 7–31–23 | 7,500 | 8,049 | ||||||
0.125%, 8–15–23 | 8,000 | 7,992 | ||||||
2.625%, 12–31–23 | 8,150 | 8,795 | ||||||
2.125%, 2–29–24 | 8,000 | 8,529 | ||||||
2.000%, 4–30–24 | 10,000 | 10,644 | ||||||
2.125%, 7–31–24 | 17,500 | 18,781 | ||||||
1.875%, 8–31–24 | 4,000 | 4,259 | ||||||
1.500%, 9–30–24 | 2,575 | 2,706 | ||||||
2.125%, 5–15–25 | 10,000 | 10,857 | ||||||
2.000%, 8–15–25 | 4,000 | 4,334 | ||||||
0.250%, 8–31–25 | 5,000 | 4,995 | ||||||
1.625%, 2–15–26 | 5,000 | 5,347 | ||||||
2.250%, 2–15–27 | 6,000 | 6,697 | ||||||
2.375%, 5–15–27 | 1,000 | 1,127 | ||||||
2.250%, 8–15–27 | 500 | 561 | ||||||
0.500%, 8–31–27 | 5,000 | 5,012 | ||||||
2.875%, 5–15–28 | 2,000 | 2,353 | ||||||
1.625%, 8–15–29 | 2,500 | 2,721 | ||||||
1.750%, 11–15–29 | 1,050 | 1,156 | ||||||
1.500%, 2–15–30 | 1,000 | 1,079 | ||||||
0.625%, 8–15–30 | 3,000 | 2,983 | ||||||
|
| |||||||
200,965 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 49.0% |
| $ | 200,965 | |||||
(Cost: $190,869) | ||||||||
SHORT-TERM SECURITIES | Shares | |||||||
Money Market Funds (C)– 0.4% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, | ||||||||
0.030% | �� | 1,562 | 1,562 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.4% |
| $ | 1,562 | |||||
(Cost: $1,562) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.7% |
| $ | 408,947 | |||||
(Cost: $392,337) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.3% |
| 1,153 | ||||||
NET ASSETS – 100.0% |
| $ | 410,100 |
2020 | ANNUAL REPORT | 83 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY GOVERNMENT SECURITIES FUND (in thousands) |
SEPTEMBER 30, 2020
Notes to Schedule of Investments
(A) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020 the total value of these securities amounted to $8,520 or 2.1% of net assets. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2020. Description of the reference rate and spread, if applicable, are included in the security description. |
(C) | Rate shown is the annualized 7-day yield at September 30, 2020. |
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of September 30, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
United States Government Agency Obligations | $ | — | $ | 206,420 | $ | — | ||||||
United States Government Obligations | — | 200,965 | — | |||||||||
Short-Term Securities | 1,562 | — | — | |||||||||
Total | $ | 1,562 | $ | 407,385 | $ | — |
The following acronyms are used throughout this schedule:
CMO = Collateralized Mortgage Obligation
GTD = Guaranteed
REMIC = Real Estate Mortgage Investment Conduit
See Accompanying Notes to Financial Statements.
84 | ANNUAL REPORT | 2020 |
Table of Contents
MANAGEMENT DISCUSSION | IVY INTERNATIONAL SMALL CAP FUND |
(UNAUDITED)
Ivy International Small Cap Fund is managed by Ivy Investment Management Company and sub-advised by Mackenzie Investments Europe Limited.
Below, Martin Fahey, CFA, Bryan Mattei, CFA, and Kalle Huhdanmäki, portfolio managers of the Ivy International Small Cap Fund, discuss positioning, performance and results for the fiscal year ended Sept. 30, 2020. Mr. Fahey has managed the Fund since its inception in January 2017 and has 32 years of industry experience. Mr. Mattei has managed the Fund since its inception in January 2017 and has 14 years of industry experience. Mr. Huhdanmäki was added as a portfolio manager in December 2019 and has 22 years of industry experience.
Fiscal Year Performance
For the 12 Month period ended September 30, 2020 | ||||
Ivy International Small Cap Fund | 11.04% | |||
(Class A shares at net asset value) | ||||
Ivy International Small Cap Fund | 4.69% | |||
(Class A shares including sales load) | ||||
Benchmark and Morningstar Category | ||||
MSCI EAFE Small Cap Index | 6.84% | |||
(generally reflects the performance of small-cap securities in Europe, Australasia and the Far East) | ||||
Morningstar Foreign Small/Mid Growth Category Average | 22.57% | |||
(generally reflects the performance of the universe of funds with similar investment objectives) |
Please note that Fund returns include applicable fees and expenses while index returns do not include any such fees. The performance discussion below is at net asset value (NAV).
A year in review
International markets produced positive returns for the fiscal year ended Sept. 30, 2020, despite a significant correction in equity markets in the first quarter of 2020 following the outbreak of COVID-19. The macroeconomic and political backdrop remained challenging over the year with the major sources of concern including the ongoing trade wars (especially between the U.S. and China), Brexit negotiations and, from early 2020, the outbreak of COVID-19 which has plunged many economies back into recession.
Within the year, the first quarter of 2020 was the most volatile for equity markets as fears surrounding the global growth outlook escalated due to the global surge in COVID-19 and the imposition of lockdowns in many countries to suppress the spread of the virus. However, equity markets recovered over the second quarter aided by significant fiscal support and monetary accommodation combined with improving economic data and further progress in reopening the major global economies despite some setbacks.
In currency markets, the U.S. dollar underperformed most currencies over the year with the trade-weighted dollar declining by 5.5% over the period. Government bonds have continued to perform strongly with yields reaching fresh lows in many developed markets.
European small cap stocks underperformed Asian small cap stocks during the 12-month period, with Brexit and concerns over the negative impact of COVID-19 weighing on the region.
Performance and positioning for the year
The Fund outperformed its benchmark index but underperformed its Morningstar peer group average for the fiscal year. Relative to its benchmark, sector allocation contributed to performance. The Fund benefited from its overweight positioning and stock selection in the communication services and information technology sectors and underweight positioning in the real estate sector. The Fund’s underweight positioning and stock selection in the utilities, health care and consumer discretionary sectors detracted from performance. At a stock level, Games Workshop Group plc, Kobe Bussan Co. Ltd. and Logitech International S.A., Registered Shares were the top relative contributors for the period, while The City Pub Group plc, Manulife U.S. REIT and Nufarm Ltd. were the top relative detractors over the 12-month period. The Fund no longer holds The City Pub Group plc.
We reduced our exposure to Japanese equities over the past fiscal year with some of the proceeds invested into stock-specific ideas in Australia. We have reduced the defensive profile of the Fund more recently by reducing exposure to more defensive sectors such as real estate, utilities and consumer staples, while increasing exposure to more cyclical sectors such as consumer discretionary and information technology.
2020 | ANNUAL REPORT | 85 |
Table of Contents
Outlook
We believe the pace of the recovery from the unprecedented shock on the global economy of COVID-19 will be the main factor affecting equity prices going forward. We also believe that such a recovery is likely to take time, requiring a difficult balancing act involving economic growth, public health and individual freedoms until such time as a vaccine is widely available, most likely in the first half of 2021. Other key issues include the outcome of the U.S. Presidential elections in early November, continued Brexit uncertainty, U.S.-China trade relations, the policy priorities of Japan’s new Prime Minister, and the possibility of further countries and regions locking down all or parts of their economies over the next six months. On the balance, we are cyclically constructive as we expect the thrust of fiscal and monetary policy to remain supportive for the foreseeable future.
Performance shown at NAV does not include the effect of sales charges. If reflected, the performance shown would have been lower. Performance including sales charges reflects the maximum applicable front-end sales load.
Past performance is not a guarantee of future results. The value of the Fund’s shares will change, and you could lose money on your investment.
International investing involves additional risks, including currency fluctuations, political or economic conditions affecting the foreign country, and differences in accounting standards and foreign regulations. These risks are magnified in emerging markets. Investing in small-cap stocks may carry more risk than investing in stocks of larger more well-established companies. The value of a security believed by the Fund’s portfolio managers to be undervalued may never reach what the managers believe to be its full value, or such security’s value may decrease. These and other risks are more fully described in the Fund’s prospectus.
Effective Feb. 21, 2019, the name of the sub-adviser changed from I.G. International Management Limited to Mackenzie Investments Europe Limited. Mackenzie Investments Europe Limited delegates to its subsidiary, Mackenzie Investments Asia Limited, for additional portfolio management responsibilities. References to Mackenzie Investments Europe Limited include both entities.
The opinions expressed in this report are those of the Fund’s portfolio managers and are current only through the end of the period of the report as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions, and no forecasts can be guaranteed.
The index noted is unmanaged, includes reinvested dividends and does not include fees. One cannot invest directly in an index, nor is an index representative of the Ivy International Small Cap Fund.
86 | ANNUAL REPORT | 2020 |
Table of Contents
PORTFOLIO HIGHLIGHTS | IVY INTERNATIONAL SMALL CAP FUND |
ALL DATA IS AS OF SEPTEMBER 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 99.5% | |||
Industrials | 16.5% | |||
Information Technology | 15.4% | |||
Consumer Discretionary | 14.6% | |||
Communication Services | 11.4% | |||
Financials | 8.8% | |||
Real Estate | 8.5% | |||
Health Care | 8.0% | |||
Materials | 6.6% | |||
Consumer Staples | 5.5% | |||
Energy | 4.2% | |||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 0.5% |
Country Weightings
Europe | 52.2% | |||
United Kingdom | 14.5% | |||
Ireland | 9.4% | |||
Germany | 7.0% | |||
France | 6.3% | |||
Other Europe | 15.0% | |||
Pacific Basin | 46.8% | |||
Japan | 34.4% | |||
Australia | 7.2% | |||
Other Pacific Basin | 5.2% | |||
North America | 0.5% | |||
Liabilities (Net of Cash and Other Assets and Cash Equivalents+ | 0.5% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Uniphar plc | Ireland | Health Care | Health Care Distributors | |||
Games Workshop Group plc | United Kingdom | Consumer Discretionary | Leisure Products | |||
Future plc | United Kingdom | Communication Services | Publishing | |||
Stillfront Group AB | Sweden | Communication Services | Interactive Home Entertainment | |||
SCSK Corp. | Japan | Information Technology | IT Consulting & Other Services | |||
Bank of Kyoto Ltd. (The) | Japan | Financials | Regional Banks | |||
Strix Group plc | Isle of Man | Information Technology | Electronic Components | |||
Steadfast Group Ltd. | Australia | Financials | Insurance Brokers | |||
TechnoPro Holdings, Inc. | Japan | Real Estate | Industrial REITs | |||
Metso Corp. | Finland | Industrials | Industrial Machinery |
See your advisor or www.ivyinvestments.com for more information on the Fund’s most recently published Top 10 Equity Holdings.
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
2020 | ANNUAL REPORT | 87 |
Table of Contents
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT | IVY INTERNATIONAL SMALL CAP FUND |
(UNAUDITED)
Please note that the performance of the Fund’s other share classes will be greater or less than the performance shown above for Class A based on the differences in loads and fees paid by shareholders investing in the different classes.
(1) | The value of the investment in the Fund is impacted by the sales load at the time of the investment and by the ongoing expenses of the Fund and assumes reinvestment of dividends and distributions. |
Average Annual Total Return(2) | Class A(3) | Class C | Class I | Class N | Class Y | |||||||||||||||
1-year period ended 9-30-20 | 4.69% | 10.22% | 11.54% | 11.45% | 11.14% | |||||||||||||||
5-year period ended 9-30-20 | — | — | — | — | — | |||||||||||||||
10-year period ended 9-30-20 | — | — | — | — | — | |||||||||||||||
Since Inception of Class through 9-30-20(4) | 5.28% | 6.17% | 7.35% | 7.34% | 6.97% |
(2) | Data quoted is past performance and is based on deduction of the maximum applicable sales load for each of the periods. Current performance may be lower or higher. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost. Please visit www.ivyinvestments.com for the Fund’s most recent month end performance. Class A Shares carry a maximum front-end sales load of 5.75%(a). Class C shares carry a maximum contingent deferred sales charge (CDSC) of 5% and 1%, respectively (the Class C shares reflect no CDSC since it only applies to Class C shares redeemed within twelve months after purchase). Class I, Class N and Class Y shares are not subject to sales charges. |
(3) | Class A shares carry a CDSC on shares purchased at net asset value for $1 million or more that are subsequently redeemed within 12 months of purchase. Effective October 1, 2020, Class A shares carry a CDSC on shares purchased at net asset value for $500,000 or more that are subsequently redeemed within 12 months of purchase. |
(4) | 1-10-17 for Class A shares, 1-10-17 for Class C shares, 1-10-17 for Class I shares, 1-10-17 for Class N shares and 1-10-17 for Class Y shares (the date on which shares were first acquired by shareholders). |
Past performance is not necessarily indicative of future performance. Indexes are unmanaged. The performance graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance results may include the effect of expense reduction arrangements for some or all of the periods shown. If those arrangements had not been in place, the performance results for those periods would have been lower.
(a) | Effective October 1, 2020, the maximum applicable sales charge for Class A shares has been lowered to 3.50%. |
88 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY INTERNATIONAL SMALL CAP FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS | Shares | Value | ||||||
Australia |
| |||||||
Consumer Discretionary – 1.8% |
| |||||||
Ardent Leisure Group (A) | 2,830 | $ | 1,158 | |||||
City Chic Collective Ltd. | 858 | 1,809 | ||||||
|
| |||||||
2,967 | ||||||||
|
| |||||||
Consumer Staples – 0.1% |
| |||||||
Treasury Wine Estates Ltd. | 39 | 248 | ||||||
|
| |||||||
Energy – 1.3% |
| |||||||
WorleyParsons Ltd. | 304 | 2,117 | ||||||
|
| |||||||
Financials – 1.9% |
| |||||||
Steadfast Group Ltd. | 1,343 | 3,121 | ||||||
|
| |||||||
Materials – 2.1% |
| |||||||
Evolution Mining Ltd. | 441 | 1,843 | ||||||
Nufarm Ltd. | 585 | 1,625 | ||||||
|
| |||||||
3,468 | ||||||||
|
| |||||||
Total Australia – 7.2% |
| 11,921 | ||||||
Belgium |
| |||||||
Information Technology – 0.9% |
| |||||||
Barco N.V. | 72 | 1,511 | ||||||
|
| |||||||
Total Belgium – 0.9% |
| 1,511 | ||||||
Canada |
| |||||||
Materials – 0.5% |
| |||||||
Lundin Mining Corp. | 155 | 851 | ||||||
|
| |||||||
Total Canada – 0.5% |
| 851 | ||||||
Finland |
| |||||||
Industrials – 2.0% |
| |||||||
Metso Corp. | 438 | 3,249 | ||||||
|
| |||||||
Materials – 0.1% |
| |||||||
Huhtamaki Oyj | 4 | 197 | ||||||
|
| |||||||
Total Finland – 2.1% |
| 3,446 | ||||||
France |
| |||||||
Energy – 2.9% |
| |||||||
Gaztransport et Technigaz S.A. | 28 | 2,681 | ||||||
Rubis Group | 53 | 2,125 | ||||||
|
| |||||||
4,806 | ||||||||
|
| |||||||
Financials – 0.4% |
| |||||||
COFACE S.A. | 99 | 695 | ||||||
|
| |||||||
Health Care – 1.1% |
| |||||||
Orpea S.A. | 16 | 1,851 | ||||||
|
| |||||||
Industrials – 1.9% |
| |||||||
Alstom | 42 | 2,090 | ||||||
Teleperformance SE | 3 | 973 | ||||||
|
| |||||||
3,063 | ||||||||
|
| |||||||
Total France – 6.3% |
| 10,415 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Germany |
| |||||||
Consumer Discretionary – 1.7% |
| |||||||
Knaus Tabbert AG (B) | 24 | $ | 1,723 | |||||
Westwing Group AG (B) | 42 | 960 | ||||||
|
| |||||||
2,683 | ||||||||
|
| |||||||
Health Care – 0.9% |
| |||||||
Vivoryon Therapeutics AG (B) | 260 | 1,476 | ||||||
|
| |||||||
Industrials – 0.9% |
| |||||||
LPKF Laser & Electronics AG | 55 | 1,443 | ||||||
|
| |||||||
Information Technology – 1.8% |
| |||||||
Exasol AG (B) | 36 | 888 | ||||||
Mynaric AG (B) | 15 | 1,377 | ||||||
Northern Data AG (A)(B) | 10 | 609 | ||||||
|
| |||||||
2,874 | ||||||||
|
| |||||||
Real Estate – 0.5% |
| |||||||
PATRIZIA Immobilien AG | 28 | 758 | ||||||
|
| |||||||
Total Germany – 5.8% |
| 9,234 | ||||||
Hong Kong |
| |||||||
Communication Services – 1.2% |
| |||||||
HKBN Ltd. | 996 | 1,901 | ||||||
|
| |||||||
Industrials – 1.0% |
| |||||||
Pacific Basin Shipping Ltd. | 11,044 | 1,702 | ||||||
|
| |||||||
Information Technology – 1.1% |
| |||||||
ASM Pacific Technology Ltd. | 177 | 1,813 | ||||||
|
| |||||||
Total Hong Kong – 3.3% |
| 5,416 | ||||||
Ireland |
| |||||||
Consumer Discretionary – 0.5% |
| |||||||
Dalata Hotel Group plc | 261 | 757 | ||||||
|
| |||||||
Consumer Staples – 0.9% |
| |||||||
Total Produce plc (B) | 1,162 | 1,543 | ||||||
|
| |||||||
Financials – 0.7% |
| |||||||
Greencoat Renewables plc | 809 | 1,143 | ||||||
|
| |||||||
Health Care – 4.9% |
| |||||||
UDG Healthcare plc | 106 | 1,049 | ||||||
Uniphar plc | 2,440 | 7,094 | ||||||
|
| |||||||
8,143 | ||||||||
|
| |||||||
Industrials – 1.1% |
| |||||||
Kingspan Group plc | 21 | 1,874 | ||||||
|
| |||||||
Materials – 1.3% |
| |||||||
Smurfit Kappa Group plc | 53 | 2,097 | ||||||
|
| |||||||
Total Ireland – 9.4% |
| 15,557 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Isle of Man |
| |||||||
Information Technology – 1.9% |
| |||||||
Strix Group plc (A) | 1,013 | $ | 3,175 | |||||
|
| |||||||
Total Isle of Man – 1.9% |
| 3,175 | ||||||
Japan |
| |||||||
Communication Services – 3.6% |
| |||||||
ARTERIA Networks Corp. | 108 | 1,870 | ||||||
Capcom Co. Ltd. | 41 | 2,260 | ||||||
Daiichikosho Co. Ltd. | 57 | 1,834 | ||||||
|
| |||||||
5,964 | ||||||||
|
| |||||||
Consumer Discretionary – 5.8% |
| |||||||
Komeda Holdings Co. Ltd. | 142 | 2,642 | ||||||
NGK Spark Plug Co. Ltd. | 97 | 1,690 | ||||||
Ryohin Keikaku Co. Ltd. | 162 | 2,687 | ||||||
Stanley Electric Co. Ltd. | 89 | 2,574 | ||||||
|
| |||||||
9,593 | ||||||||
|
| |||||||
Consumer Staples – 2.9% |
| |||||||
Kobe Bussan Co. Ltd. | 32 | 1,762 | ||||||
Matsumotokiyoshi Holdings Co. Ltd. | 79 | 2,888 | ||||||
|
| |||||||
4,650 | ||||||||
|
| |||||||
Financials – 3.0% |
| |||||||
Bank of Kyoto Ltd. (The) (A) | 66 | 3,196 | ||||||
Gunma Bank Ltd. (The) | 523 | 1,744 | ||||||
|
| |||||||
4,940 | ||||||||
|
| |||||||
Health Care – 1.0% |
| |||||||
Nippon Shinyaku Co. Ltd. | 19 | 1,573 | ||||||
|
| |||||||
Industrials – 7.0% |
| |||||||
MISUMI Group, Inc. | 68 | 1,918 | ||||||
Okamura Corp. | 289 | 2,043 | ||||||
Sanwa Holdings Corp. | 245 | 2,601 | ||||||
SATO Holdings Corp. | 69 | 1,469 | ||||||
Takeuchi Mfg Co. Ltd. | 101 | 2,005 | ||||||
Tsubaki Nakashima Co. Ltd. | 222 | 1,690 | ||||||
|
| |||||||
11,726 | ||||||||
|
| |||||||
Information Technology – 5.1% |
| |||||||
DISCO Corp. | 8 | 2,029 | ||||||
Sansan, Inc. (B) | 40 | 2,558 | ||||||
SCSK Corp. | 68 | 3,799 | ||||||
|
| |||||||
8,386 | ||||||||
|
| |||||||
Materials – 1.4% |
| |||||||
Zeon Corp. | 223 | 2,337 | ||||||
|
| |||||||
Real Estate – 4.6% |
| |||||||
GLP J-REIT | 1 | 1,782 | ||||||
Ichigo, Inc. | 576 | 1,681 | ||||||
Kenedix Office Investment Corp. | — | * | 1,110 | |||||
TechnoPro Holdings, Inc. | 48 | 2,981 | ||||||
|
| |||||||
7,554 | ||||||||
|
| |||||||
Total Japan – 34.4% |
| 56,723 |
2020 | ANNUAL REPORT | 89 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY INTERNATIONAL SMALL CAP FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS (Continued) | Shares | Value | ||||||
Jersey |
| |||||||
Materials – 0.6% |
| |||||||
Breedon Group plc (B) | 958 | $ | 877 | |||||
|
| |||||||
Total Jersey – 0.6% |
| 877 | ||||||
Luxembourg |
| |||||||
Real Estate – 1.5% |
| |||||||
Grand City Properties S.A. | 105 | 2,536 | ||||||
|
| |||||||
Total Luxembourg – 1.5% |
| 2,536 | ||||||
Netherlands |
| |||||||
Financials – 1.3% |
| |||||||
Euronext N.V. | 17 | 2,175 | ||||||
|
| |||||||
Information Technology – 1.4% |
| |||||||
ASM International N.V. | 16 | 2,354 | ||||||
|
| |||||||
Total Netherlands – 2.7% |
| 4,529 | ||||||
Norway |
| |||||||
Consumer Staples – 0.9% |
| |||||||
SalMar ASA | 28 | 1,570 | ||||||
|
| |||||||
Total Norway – 0.9% |
| 1,570 | ||||||
Singapore |
| |||||||
Real Estate – 1.9% |
| |||||||
City Developments Ltd. | 260 | 1,462 | ||||||
Manulife U.S. REIT | 2,291 | 1,704 | ||||||
|
| |||||||
3,166 | ||||||||
|
| |||||||
Total Singapore – 1.9% |
| 3,166 | ||||||
Sweden |
| |||||||
Communication Services – 2.5% |
| |||||||
Stillfront Group AB (B) | 33 | 4,110 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care – 0.1% |
| |||||||
Elekta AB (publ), B Shares | 6 | $ | 75 | |||||
|
| |||||||
Total Sweden – 2.6% |
| 4,185 | ||||||
Switzerland |
| |||||||
Financials – 0.3% |
| |||||||
Helvetia Holding AG | 5 | 385 | ||||||
|
| |||||||
Information Technology – 1.5% |
| |||||||
Logitech International S.A., Registered Shares | 31 | 2,401 | ||||||
|
| |||||||
Total Switzerland – 1.8% |
| 2,786 | ||||||
United Kingdom |
| |||||||
Communication Services – 4.1% |
| |||||||
Future plc | 192 | 4,819 | ||||||
Rightmove plc | 254 | 2,051 | ||||||
|
| |||||||
6,870 | ||||||||
|
| |||||||
Consumer Discretionary – 4.8% |
| |||||||
Coats Group plc | 1,358 | 977 | ||||||
Games Workshop Group plc | 37 | 4,830 | ||||||
Gamesys Group plc | 90 | 1,377 | ||||||
Stock Spirits Group plc | 328 | 912 | ||||||
|
| |||||||
8,096 | ||||||||
|
| |||||||
Consumer Staples – 0.7% |
| |||||||
Cranswick plc | 24 | 1,129 | ||||||
|
| |||||||
Financials – 1.2% |
| |||||||
Draper Esprit plc (B) | 170 | 1,200 | ||||||
St. James’s Place plc | 32 | 384 | ||||||
TP ICAP plc | 159 | 469 | ||||||
|
| |||||||
2,053 | ||||||||
|
| |||||||
Industrials – 1.4% |
| |||||||
Diploma plc | 81 | 2,284 | ||||||
|
| |||||||
Information Technology – 1.7% |
| |||||||
Avast plc | 415 | 2,815 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Materials – 0.6% |
| |||||||
Polymetal International plc | 46 | $ | 1,011 | |||||
|
| |||||||
Total United Kingdom – 14.5% |
| 24,258 | ||||||
TOTAL COMMON STOCKS – 98.3% |
| $ | 162,156 | |||||
(Cost: $134,435) |
| |||||||
PREFERRED STOCKS | ||||||||
Germany |
| |||||||
Industrials – 1.2% |
| |||||||
Sixt SE | 37 | 1,961 | ||||||
|
| |||||||
Total Germany – 1.2% |
| 1,961 | ||||||
TOTAL PREFERRED STOCKS – 1.2% |
| $ | 1,961 | |||||
(Cost: $2,034) |
| |||||||
SHORT-TERM SECURITIES | ||||||||
Money Market Funds (C) – 1.9% |
| |||||||
State Street Institutional U.S. Government Money Market | ||||||||
0.030% | 232 | 232 | ||||||
|
| |||||||
Dreyfus Institutional Preferred Government Money Market | ||||||||
0.040% (D) | 2,852 | 2,852 | ||||||
|
| |||||||
3,084 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.9% |
| $ | 3,084 | |||||
(Cost: $3,084) |
| |||||||
TOTAL INVESTMENT | $ | 167,201 | ||||||
(Cost: $139,553) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.4)% |
| (2,238 | ) | |||||
NET ASSETS – 100.0% |
| $ | 164,963 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | All or a portion of securities with an aggregate value of $2,625 are on loan. |
(B) | No dividends were paid during the preceding 12 months. |
(C) | Rate shown is the annualized 7-day yield at September 30, 2020. |
(D) | Investment made with cash collateral received from securities on loan. |
90 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY INTERNATIONAL SMALL CAP FUND (in thousands) |
SEPTEMBER 30, 2020
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of September 30, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Communication Services | $ | — | $ | 18,845 | $ | — | ||||||
Consumer Discretionary | 3,100 | 20,996 | — | |||||||||
Consumer Staples | — | 9,140 | — | |||||||||
Energy | — | 6,923 | — | |||||||||
Financials | 2,343 | 12,169 | — | |||||||||
Health Care | 7,094 | 6,024 | — | |||||||||
Industrials | — | 25,341 | — | |||||||||
Information Technology | 3,175 | 22,154 | — | |||||||||
Materials | 877 | 9,961 | — | |||||||||
Real Estate | — | 14,014 | — | |||||||||
Total Common Stocks | $ | 16,589 | $ | 145,567 | $ | — | ||||||
Preferred Stocks | — | 1,961 | — | |||||||||
Short-Term Securities | 3,084 | — | — | |||||||||
Total | $ | 19,673 | $ | 147,528 | $ | — |
The following acronym is used throughout this schedule:
REIT = Real Estate Investment Trust
Market Sector Diversification | ||||
(as a % of net assets) |
| |||
Industrials | 16.5% | |||
Information Technology | 15.4% | |||
Consumer Discretionary | 14.6% | |||
Communication Services | 11.4% | |||
Financials | 8.8% | |||
Real Estate | 8.5% | |||
Health Care | 8.0% | |||
Materials | 6.6% | |||
Consumer Staples | 5.5% | |||
Energy | 4.2% | |||
Other+ | 0.5% |
+ | Includes liabilities (net of cash and other assets), and cash equivalents |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 91 |
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MANAGEMENT DISCUSSION | IVY PICTET EMERGING MARKETS LOCAL CURRENCY DEBT FUND |
(UNAUDITED)
Ivy Pictet Emerging Markets Local Currency Debt Fund is managed by Ivy Investment Management Company (IICO) and sub-advised by Pictet Asset Management (Pictet).
Mary-Therese Barton, co-portfolio manager, has managed the Fund since its inception in April 2014 and has 19 years industry experience. Alper Gocer, also a co-portfolio manager on the Fund, has been with Pictet since 2016 and has more than a decade of active emerging debt management experience. The Fund is managed by a team of seven, including Barton and Gocer. The other co-portfolio managers include Guido Chamorro, Carrie Liaw, Robert Simpson, CFA, Ali Bora Yigitbasioglu and Adriana Cristea. Chamorro has managed the Fund since its inception, while Liaw became a co-portfolio manager in 2015. Additionally, Simpson became a co-portfolio manager in 2019 and Mr. Yigitbasioglu and Ms. Cristea became portfolio managers in 2020. Below, the Pictet investment team discusses positioning, performance and results for the Fund for its fiscal year ended September 30, 2020.
Fiscal Year Performance
For the 12 months ended Sept. 30, 2020 | ||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | -1.39% | |||
(Class A shares at net asset value) | ||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | -7.07% | |||
(Class A shares including sales load) | ||||
Benchmark and Morningstar Category | ||||
J.P. Morgan GBI-EM Global Diversified Index | -1.45% | |||
(generally reflects the performance of the global debt market in emerging countries) | ||||
Morningstar Emerging-Markets Local Currency Bond Category Average | -0.88% | |||
(generally reflects the performance of the universe of funds with similar investment objectives) |
Please note that Fund returns include applicable fees and expenses, while index returns do not include any such fees. The performance discussion below is at net asset value (NAV).
A volatile year
The Fund slightly outperformed its benchmark index, but underperformed its Morningstar peer group for the fiscal year ended September 30, 2020. Against the backdrop of an unprecedented year for global financial markets and the significant downturn experienced during the first quarter of 2020 as a result of the COVID-19 pandemic, markets have started to stage a recovery.
Both active currency and rates positions contributed positively to Fund performance over the fiscal year, with the majority of outperformance coming from the currency component. Our underweight to the Turkish lira, where concerns regarding persistent currency intervention, formed our negative view and was a key contributor to performance. Overweight positions in the Mexican peso and the Russian ruble also contributed as a result of signs of an improving global recovery. Later in the year, the overweight position in Russian ruble detracted slightly as the currency came under pressure due to heavy dividend payments during the illiquid summer months, creating demand for the U.S. dollar. Our overweight to the Brazilian real also detracted at the end of the summer after the Senate unexpectedly overturned a presidential veto, opening the floodgates for increased public sector spending. Local rates came under pressure in the March 2020 sell off where an overweight to Russian local rates detracted as Russian ruble selling pressure became so severe that local rates started to move in the same direction. Similarly, the overweight to South African local rates detracted. An off-benchmark position to Egyptian local rates, partly due to attractive double-digit yields, also detracted from performance. The timing of an overweight to Mexican local rates also contributed where we reduced exposure during the sell-off before re-implementing an overweight on the recovery trend. A move overweight Colombian local rates at the end of March was also positive. Later in the year, our underweight position in Central and Eastern European (CEE) countries exhibiting increasingly negative real rates, such as the Czech Republic, Hungary and Poland, contributed to performance.
Portfolio strategy
We remain constructive on high real rate countries, as we anticipate that emerging-market central banks will remain in an accommodative stance despite the generally positive Consumer Price Index (CPI) data we have seen recently. However, we have reduced the duration through underweights to countries exhibiting increasingly negative real rates, mainly in the CEE universe, and will look for opportunities for re-entry following any potential signs of global reflation. On the currency side,
92 | ANNUAL REPORT | 2020 |
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we remain overweight in Latin America currencies including a continued tactical overweight to the Brazilian real and retain our underweight in the Turkish lira due to the continued instability of the economy. We intend to look for opportunities, whilst being mindful of any potential volatility. The U.S. Federal Reserve’s (Fed) flexible average inflation target should provide support for emerging-market currencies, but the variations in fiscal policy of emerging-market economies going forward could cause a dispersion of returns.
Outlook
The global economic recovery is slowly making progress. With continued support from central banks, the recovery may be positive for emerging-market assets in the medium term. As we move into the end of the 2020 calendar year, we believe there is potential for a slowdown in activity momentum as the initial gains from countries coming out of lockdown diminish, and the upcoming U.S. election adds more uncertainty to the immediate outlook. However, the Fed’s adoption of Flexible Average Inflation Targeting we believe should provide some relief for emerging markets by allowing them to continue to keep rates low without the potential negative consequences from currency instability. In terms of COVID-19, it is unlikely that national lockdowns will be re-established in emerging markets due to the strong political pressure to keep economies running. We believe policy makers will favor alternative tools, such as regional restrictions/distancing if required. As such, although the emerging-market recovery from the pandemic is unlikely to run completely smoothly, we do not foresee any major setbacks related to the virus. In the near term, we feel emerging-market valuations will be increasingly dependent on U.S. election scenarios, and this will be a key risk driver for the remainder of the year. Overall, our view is that a turbulent election, and the added risk of potential uncertainty of the result post-election, is likely to drive market volatility, which we seek to navigate. We expect inflows into emerging markets should continue in the short term, in line with what we have seen over the summer months, but expect that these are likely to become more muted in the run up to the election.
Performance shown at NAV does not include the effect of sales charges. If reflected, the performance shown would have been lower. Performance including sales charges reflects the maximum applicable front-end sales load.
Past performance is not a guarantee of future results. The value of the Fund’s shares will change, and you could lose money on your investment.
Fixed-income securities are subject to interest rate risk and, as such, the Fund’s net asset value may fall as interest rates rise, especially securities with longer maturities. Investing in below investment grade securities may carry a greater risk of nonpayment of interest or principal than higher-rated bonds.
International investing involves additional risks, including currency fluctuations, political or economic conditions affecting the foreign country, and differences in accounting standards and foreign regulations. These risks are magnified in emerging markets. The Fund may seek to manage exposure to various foreign currencies, which may involve additional risks. The value of securities, as measured in U.S. dollars, may be unfavorably affected by changes in foreign currency exchange rates or exchange control regulations. Investing in foreign securities involves a number of risks that may not be associated with the U.S. markets and that could affect the Fund’s performance unfavorably, such as greater price volatility, comparatively weak supervision and regulation of securities exchanges, fluctuation in foreign currency exchange rates and related conversion costs, adverse foreign tax consequences, or different and/or less stringent financial reporting standards.
Sovereign debt instruments are also subject to the risk that a government or agency issuing the debt may be unable to pay interest and/or principal due to cash flow problems, insufficient foreign currency reserves or political concerns.
Risks of credit-linked notes include those risks associated with the underlying reference obligation, including but not limited to market risk, interest rate risk, credit risk, default risk and foreign currency risk. The buyer of a credit-linked note assumes the risk of default by the issuer and the underlying reference asset or entity. If the underlying investment defaults, the payments and principal received by the Fund will be reduced or eliminated. Also, in the event the issuer defaults or there is a credit event that relates to the reference asset, the recovery rate generally is less than the Fund’s initial investment, and the Fund may lose money.
The use of derivatives presents several risks including the risk that fluctuation in the values of the derivatives may not correlate perfectly with the overall securities markets or with the underlying asset from which the derivative’s value is derived. Moreover, some derivatives are more sensitive to interest rate changes and market fluctuations than others, and the risk of loss may be greater than if the derivative technique(s) had not been used. Derivatives also may be subject to counterparty risk, which includes the risk that a loss may be sustained by the Fund as a result
2020 | ANNUAL REPORT | 93 |
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of the insolvency or bankruptcy of, or other non-compliance by, another party to the transaction. These and other risks are more fully described in the Fund’s prospectus.
The opinions expressed in this report are those of the Fund’s portfolio managers and are current only through the end of the period of the report as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions, and no forecasts can be guaranteed.
The index noted is unmanaged, includes reinvested dividends and does not include fees. One cannot invest directly in an index, nor is an index representative of the Ivy Pictet Emerging Markets Local Currency Debt Fund.
94 | ANNUAL REPORT | 2020 |
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PORTFOLIO HIGHLIGHTS | IVY PICTET EMERGING MARKETS LOCAL CURRENCY DEBT FUND |
ALL DATA IS AS OF SEPTEMBER 30, 2020 (UNAUDITED)
Asset Allocation
Purchased Options | 0.0% | |||
Bonds | 81.7% | |||
Other Government Securities | 81.3% | |||
Corporate Debt Securities | 0.4% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 18.3% |
Quality Weightings
Investment Grade | 62.6% | |||
AA | 3.9% | |||
A | 22.7% | |||
BBB | 36.0% | |||
Non-Investment Grade | 19.1% | |||
BB | 12.8% | |||
B | 3.5% | |||
Non-rated | 2.8% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 18.3% |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
Country Weightings
Pacific Basin | 28.4% | |||
China | 9.8% | |||
Thailand | 6.6% | |||
Indonesia | 6.2% | |||
Malaysia | 4.7% | |||
Other Pacific Basin | 1.1% | |||
Europe | 24.8% | |||
Russia | 11.3% | |||
Czech Republic | 3.9% | |||
Other Europe | 9.6% | |||
North America | 3.1% | |||
South America | 14.7% | |||
Columbia | 5.5% | |||
Brazil | 3.9% | |||
Other South America | 5.3% | |||
Africa | 10.5% | |||
Egypt | 3.0% | |||
South Africa | 7.5% | |||
Bahamas/Caribbean | 0.2% | |||
Cash and Other Assets (Net of Liabilities), Cash Equivalents+ | 18.3% |
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, Foreign Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
2020 | ANNUAL REPORT | 95 |
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COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT | IVY PICTET EMERGING MARKETS LOCAL CURRENCY DEBT FUND |
(UNAUDITED)
Please note that the performance of the Fund’s other share classes will be greater or less than the performance shown above for Class A based on the differences in loads and fees paid by shareholders investing in the different classes.
(1) | The value of the investment in the Fund is impacted by the sales load at the time of the investment and by the ongoing expenses of the Fund and assumes reinvestment of dividends and distributions. |
Average Annual Total Return(2) | Class A(3) | Class C | Class I | Class N | Class Y | |||||||||||||||
1-year period ended 9-30-20 | -7.07% | -2.14% | -1.07% | -1.07% | -1.51% | |||||||||||||||
5-year period ended 9-30-20 | 0.43% | 0.93% | 1.99% | 1.99% | 1.61% | |||||||||||||||
10-year period ended 9-30-20 | — | — | — | — | — | |||||||||||||||
Since Inception of Class through 9-30-20(4) | -2.63% | -2.42% | -1.40% | -0.23% | -1.73% |
(2) | Data quoted is past performance and is based on deduction of the maximum applicable sales load for each of the periods. Current performance may be lower or higher. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost. Please visit www.ivyinvestments.com for the Fund’s most recent month end performance. Class A Shares carry a maximum front-end sales load of 5.75%(a). Class C shares carry a maximum contingent deferred sales charge (CDSC) of 5% and 1%, respectively (the Class C shares reflect no CDSC since it only applies to Class C shares redeemed within twelve months after purchase). Class I, Class N and Class Y shares are not subject to sales charges. |
(3) | Class A shares carry a CDSC on shares purchased at net asset value for $1 million or more that are subsequently redeemed within 12 months of purchase. Effective October 1, 2020, Class A shares carry a CDSC on shares purchased at net asset value for $500,000 or more that are subsequently redeemed within 12 months of purchase. |
(4) | 4-30-14 for Class A shares, 4-30-14 for Class C shares, 4-30-14 for Class I shares, 1-30-15 for Class N shares and 4-30-14 for Class Y shares (the date on which shares were first acquired by shareholders). |
Past performance is not necessarily indicative of future performance. Indexes are unmanaged. The performance graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance results may include the effect of expense reduction arrangements for some or all of the periods shown. If those arrangements had not been in place, the performance results for those periods would have been lower.
(a) | Effective October 1, 2020, the maximum applicable sales charge for Class A shares has been lowered to 2.50%. |
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SCHEDULE OF INVESTMENTS | IVY PICTET EMERGING MARKETS LOCAL CURRENCY DEBT FUND (in thousands) |
SEPTEMBER 30, 2020
PURCHASED OPTIONS | Number of Contracts (Unrounded) | Notional Amount | Value | |||||||||
U.S. Treasury Long Bond November Futures, | ||||||||||||
Put $173.00, Expires 10–23–20 | 19 | 1,900 | $ | 7 | ||||||||
|
| |||||||||||
TOTAL PURCHASED OPTIONS – 0.0% |
| $ | 7 | |||||||||
(Cost: $19) |
|
CORPORATE DEBT SECURITIES | Principal | |||||||||||
Netherlands |
| |||||||||||
Energy – 0.4% |
| |||||||||||
Petrobras Global Finance B.V. (GTD by Petroleo Brasileiro S.A.): |
| |||||||||||
5.750%, 2–1–29 |
| $ | 65 | 72 | ||||||||
5.600%, 1–3–31 |
| 98 | 104 | |||||||||
6.750%, 6–3–50 |
| 47 | 51 | |||||||||
|
| |||||||||||
227 | ||||||||||||
|
| |||||||||||
Total Netherlands – 0.4% |
| 227 | ||||||||||
TOTAL CORPORATE DEBT SECURITIES – 0.4% |
| $ | 227 | |||||||||
(Cost: $223) |
| |||||||||||
OTHER GOVERNMENT SECURITIES (A) | ||||||||||||
Brazil – 3.9% |
| |||||||||||
Brazil Letras do Tesouro Nacional |
| |||||||||||
0.000%, 1–1–24 (B)(C) |
| BRL | 5,000 | 739 | ||||||||
Brazil Notas do Tesouro Nacional: |
| |||||||||||
10.000%, 1–1–23 (C) |
| 2,939 | 581 | |||||||||
10.000%, 1–1–27 (C) |
| 1,945 | 395 | |||||||||
6.000%, 8–15–28 (C) |
| 303 | 216 | |||||||||
10.000%, 1–1–31 (C) |
| 672 | 139 | |||||||||
6.000%, 5–15–35 (C) |
| 420 | 310 | |||||||||
|
| |||||||||||
2,380 | ||||||||||||
|
| |||||||||||
Chile – 1.8% |
| |||||||||||
Chile Bonos Tesoreria: |
| |||||||||||
4.500%, 3–1–26 (C) |
| CLP | 120,000 | 175 | ||||||||
4.700%, 9–1–30 (C) |
| 140,000 | 209 | |||||||||
5.000%, 3–1–35 (C) |
| 335,000 | 511 | |||||||||
6.000%, 1–1–43 (C) |
| 120,000 | 211 | |||||||||
|
| |||||||||||
1,106 | ||||||||||||
|
| |||||||||||
China – 9.8% |
| |||||||||||
China Government Bond: |
| |||||||||||
1.860%, 4–9–23 (C) |
| CNH | 6,500 | 926 | ||||||||
2.360%, 7–2–23 (C) |
| 17,000 | 2,471 | |||||||||
3.220%, 12–6–25 (C) |
| 4,300 | 642 | |||||||||
3.250%, 6–6–26 (C) |
| 4,490 | 669 | |||||||||
3.120%, 12–5–26 (C) |
| 5,600 | 826 | |||||||||
3.250%, 11–22–28 (C) |
| 2,420 | 359 | |||||||||
|
| |||||||||||
5,893 | ||||||||||||
|
|
OTHER GOVERNMENT SECURITIES (A) (Continued) | Principal | Value | ||||||||||
Columbia – 5.5% |
| |||||||||||
Colombian TES: |
| |||||||||||
10.000%, 7–24–24 (C) |
| COP | 603,200 | $ | 194 | |||||||
7.500%, 8–26–26 (C) |
| 1,162,600 | 350 | |||||||||
5.750%, 11–3–27 (C) |
| 1,476,900 | 404 | |||||||||
6.000%, 4–28–28 (C) |
| 2,837,500 | 783 | |||||||||
7.750%, 9–18–30 (C) |
| 1,596,000 | 481 | |||||||||
7.000%, 6–30–32 (C) |
| 1,236,400 | 349 | |||||||||
7.250%, 10–18–34 (C) |
| 1,077,600 | 308 | |||||||||
7.250%, 10–26–50 (C) |
| 1,763,500 | 481 | |||||||||
|
| |||||||||||
3,350 | ||||||||||||
|
| |||||||||||
Czech Republic – 3.9% |
| |||||||||||
Czech Republic Government Bond: | ||||||||||||
2.400%, 9–17–25 (C) |
| CZK | 5,900 | 279 | ||||||||
1.000%, 6–26–26 (C) |
| 8,590 | 381 | |||||||||
0.250%, 2–10–27 (C) |
| 3,900 | 165 | |||||||||
2.500%, 8–25–28 (C) |
| 7,360 | 362 | |||||||||
2.750%, 7–23–29 (C) |
| 6,470 | 327 | |||||||||
0.950%, 5–15–30 (C) |
| 9,730 | 425 | |||||||||
2.000%, 10–13–33 (C) |
| 8,450 | 409 | |||||||||
|
| |||||||||||
2,348 | ||||||||||||
|
| |||||||||||
Dominican Republic – 0.2% |
| |||||||||||
Dominican Republic | ||||||||||||
4.875%, 9–23–32 |
| $ | 150 | 149 | ||||||||
|
| |||||||||||
Egypt – 3.0% |
| |||||||||||
Arab Republic of Egypt | ||||||||||||
8.875%, 5–29–50 |
| 248 | 246 | |||||||||
Egypt Government Bond: | ||||||||||||
14.605%, 9–8–25 (C)(D) |
| EGP | 6,975 | 444 | ||||||||
14.406%, 7–7–27 (C)(D) |
| 9,076 | 572 | |||||||||
14.425%, 7–14–30 (C)(D) |
| 8,800 | 558 | |||||||||
|
| |||||||||||
1,820 | ||||||||||||
|
| |||||||||||
Hungary – 2.5% |
| |||||||||||
Hungary Government Bond: | ||||||||||||
6.000%, 11–24–23 (C) |
| HUF | 42,520 | 156 | ||||||||
2.500%, 10–24–24 (C) |
| 55,710 | 187 | |||||||||
5.500%, 6–24–25 (C) |
| 59,370 | 226 | |||||||||
2.750%, 12–22–26 (C) |
| 47,300 | 160 | |||||||||
6.750%, 10–22–28 (C) |
| 65,640 | 287 | |||||||||
3.000%, 8–21–30 (C) |
| 42,360 | 146 | |||||||||
3.250%, 10–22–31 (C) |
| 38,220 | 133 | |||||||||
3.000%, 10–27–38 (C) |
| 63,000 | 205 | |||||||||
|
| |||||||||||
1,500 | ||||||||||||
|
| |||||||||||
Indonesia – 6.2% |
| |||||||||||
Indonesia Government Bond: | ||||||||||||
7.250%, 2–15–26 (C) |
| IDR | 2,160,000 | 153 | ||||||||
8.375%, 9–15–26 (C) |
| 570,000 | 42 | |||||||||
6.125%, 5–15–28 (C) |
| 9,475,000 | 612 | |||||||||
9.000%, 3–15–29 (C) |
| 4,456,000 | 337 | |||||||||
8.250%, 5–15–29 (C) |
| 2,683,000 | 196 | |||||||||
8.750%, 5–15–31 (C) |
| 15,990,000 | 1,199 | |||||||||
9.500%, 7–15–31 (C) |
| 290,000 | 23 | |||||||||
6.625%, 5–15–33 (C) |
| 4,980,000 | 319 | |||||||||
8.375%, 3–15–34 (C) |
| 8,290,000 | 598 |
OTHER GOVERNMENT SECURITIES (A) (Continued) | Principal | Value | ||||||||||
Indonesia (Continued) |
| |||||||||||
9.500%, 5–15–41 (C) |
| IDR | 1,307,000 | $ | 103 | |||||||
6.375%, 4–15–42 (C) |
| 658,000 | 38 | |||||||||
8.750%, 2–15–44 (C) |
| 1,353,000 | 101 | |||||||||
|
| |||||||||||
3,721 | ||||||||||||
|
| |||||||||||
Malaysia – 4.7% |
| |||||||||||
Malaysia Government Bond: | ||||||||||||
4.392%, 4–15–26 (C) |
| MYR | 236 | 63 | ||||||||
3.900%, 11–30–26 (C) |
| 900 | 235 | |||||||||
3.733%, 6–15–28 (C) |
| 1,820 | 472 | |||||||||
4.232%, 6–30–31 (C) |
| 4,200 | 1,138 | |||||||||
4.127%, 4–15–32 (C) |
| 681 | 181 | |||||||||
3.844%, 4–15–33 (C) |
| 1,990 | 513 | |||||||||
4.935%, 9–30–43 (C) |
| 760 | 210 | |||||||||
|
| |||||||||||
2,812 | ||||||||||||
|
| |||||||||||
Mexico – 3.1% |
| |||||||||||
Mexican Bonos: | ||||||||||||
8.500%, 11–18–38 (C) |
| MXN | 18,828 | 998 | ||||||||
7.750%, 11–13–42 (C) |
| 8,150 | 399 | |||||||||
8.000%, 11–7–47 (C) |
| 9,350 | 468 | |||||||||
|
| |||||||||||
1,865 | ||||||||||||
|
| |||||||||||
Peru – 3.3% |
| |||||||||||
Republic of Peru: | ||||||||||||
5.700%, 8–12–24 (C) |
| PEN | 1,016 | 332 | ||||||||
6.350%, 8–12–28 (C) |
| 1,625 | 544 | |||||||||
5.940%, 2–12–29 (C) |
| 1,167 | 380 | |||||||||
5.400%, 8–12–34 (C) |
| 1,056 | 307 | |||||||||
6.900%, 8–12–37 (C) |
| 877 | 290 | |||||||||
6.850%, 2–12–42 (C) |
| 456 | 146 | |||||||||
|
| |||||||||||
1,999 | ||||||||||||
|
| |||||||||||
Philippines – 0.4% |
| |||||||||||
Republic of Philippines | ||||||||||||
6.250%, 1–14–36 (C) |
| PHP | 10,000 | 268 | ||||||||
|
| |||||||||||
Poland – 3.3% |
| |||||||||||
Poland Government Bond: | ||||||||||||
2.500%, 4–25–24 (C) |
| PLN | 1,000 | 279 | ||||||||
2.500%, 7–25–26 (C) |
| 826 | 234 | |||||||||
2.500%, 7–25–27 (C) |
| 1,422 | 404 | |||||||||
2.750%, 4–25–28 (C) |
| 1,649 | 477 | |||||||||
2.750%, 10–25–29 (C) |
| 1,940 | 566 | |||||||||
1.250%, 10–25–30 (C) |
| 184 | 47 | |||||||||
|
| |||||||||||
2,007 | ||||||||||||
|
| |||||||||||
Romania – 2.9% | ||||||||||||
Romania Government Bond: | ||||||||||||
5.950%, 6–11–21 (C) | RON | 20 | 5 | |||||||||
5.850%, 4–26–23 (C) | 2,700 | 692 | ||||||||||
4.400%, 9–25–23 (C) | 700 | 174 | ||||||||||
3.250%, 4–29–24 (C) | 580 | 140 | ||||||||||
4.850%, 4–22–26 (C) | 900 | 233 | ||||||||||
5.800%, 7–26–27 (C) | 560 | 153 | ||||||||||
5.000%, 2–12–29 (C) | 505 | 134 | ||||||||||
3.650%, 9–24–31 (C) | 875 | 208 | ||||||||||
|
| |||||||||||
1,739 | ||||||||||||
|
|
2020 | ANNUAL REPORT | 97 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PICTET EMERGING MARKETS LOCAL CURRENCY DEBT FUND (in thousands) |
SEPTEMBER 30, 2020
OTHER GOVERNMENT SECURITIES (A) (Continued) | Principal | Value | ||||||||||
Russia – 11.3% |
| |||||||||||
Russia Government Bond: | ||||||||||||
7.000%, 8–16–23 (C) | RUB | 44,496 | $ | 604 | ||||||||
7.400%, 7–17–24 (C) | 30,000 | 416 | ||||||||||
7.100%, 10–16–24 (C) | 20,000 | 276 | ||||||||||
4.500%, 7–16–25 (C) | 90,220 | 1,122 | ||||||||||
7.150%, 11–12–25 (C) | 29,902 | 414 | ||||||||||
7.750%, 9–16–26 (C) | 54,038 | 768 | ||||||||||
8.150%, 2–3–27 (C) | 52,823 | 767 | ||||||||||
6.000%, 10–6–27 (C) | 9,057 | 117 | ||||||||||
7.050%, 1–19–28 (C) | 19,566 | 268 | ||||||||||
6.900%, 5–23–29 (C) | 20,755 | 281 | ||||||||||
7.650%, 4–10–30 (C) | 15,000 | 214 | ||||||||||
8.523%, 9–17–31 (C) | 10,000 | 152 | ||||||||||
7.700%, 3–23–33 (C) | 28,264 | 406 | ||||||||||
7.250%, 5–10–34 (C) | 39,096 | 543 | ||||||||||
7.700%, 3–16–39 (C) | 14,810 | 217 | ||||||||||
5.250%, 6–23–47 | $ | 200 | 266 | |||||||||
|
| |||||||||||
6,831 | ||||||||||||
|
| |||||||||||
South Africa – 7.5% |
| |||||||||||
Republic of South Africa: | ||||||||||||
10.500%, 12–21–26 (C) | ZAR | 19,193 | 1,326 | |||||||||
8.000%, 1–31–30 (C) | 10,791 | 588 | ||||||||||
7.000%, 2–28–31 (C) | 9,000 | 437 | ||||||||||
8.875%, 2–28–35 (C) | 7,158 | 358 | ||||||||||
6.250%, 3–31–36 (C) | 3,488 | 135 | ||||||||||
8.500%, 1–31–37 (C) | 8,519 | 399 | ||||||||||
9.000%, 1–31–40 (C) | 1,125 | 54 | ||||||||||
6.500%, 2–28–41 (C) | 6,840 | 254 | ||||||||||
8.750%, 1–31–44 (C) | 7,250 | 334 | ||||||||||
8.750%, 2–28–48 (C) | 14,116 | 647 | ||||||||||
|
| |||||||||||
4,532 | ||||||||||||
|
|
OTHER GOVERNMENT SECURITIES (A) (Continued) | Principal | Value | ||||||||||
Thailand – 6.6% |
| |||||||||||
Thailand Government Bond: | ||||||||||||
2.400%, 12–17–23 (C) | THB | 9,468 | $ | 315 | ||||||||
3.850%, 12–12–25 (C) | 12,850 | 466 | ||||||||||
2.875%, 12–17–28 (C) | 24,048 | 855 | ||||||||||
1.600%, 12–17–29 (C) | 8,800 | 284 | ||||||||||
3.650%, 6–20–31 (C) | 4,100 | 157 | ||||||||||
3.775%, 6–25–32 (C) | 1,236 | 48 | ||||||||||
1.600%, 6–17–35 (C) | 6,933 | 220 | ||||||||||
3.300%, 6–17–38 (C) | 38,060 | 1,454 | ||||||||||
2.875%, 6–17–46 (C) | 5,000 | 182 | ||||||||||
|
| |||||||||||
3,981 | ||||||||||||
|
| |||||||||||
Turkey – 0.7% |
| |||||||||||
Turkey Government Bond: | ||||||||||||
12.200%, 1–18–23 (C) | TRY | 559 | 72 | |||||||||
10.600%, 2–11–26 (C) | 889 | 106 | ||||||||||
11.000%, 2–24–27 (C) | 626 | 74 | ||||||||||
10.500%, 8–11–27 (C) | 973 | 113 | ||||||||||
12.400%, 3–8–28 (C) | 597 | 76 | ||||||||||
|
| |||||||||||
441 | ||||||||||||
|
| |||||||||||
Ukraine – 0.5% |
| |||||||||||
Ukraine Government Bond: | ||||||||||||
11.670%, 11–22–23 (C) | UAH | 5,394 | 189 | |||||||||
7.750%, 9–1–25 | $ | 123 | 123 | |||||||||
|
| |||||||||||
312 | ||||||||||||
|
|
OTHER GOVERNMENT SECURITIES (A) (Continued) | Principal | Value | ||||||||||
Uruguay – 0.2% |
| |||||||||||
Republica Orient Uruguay: | ||||||||||||
9.875%, 6–20–22 (C) | UYU | 2,981 | $ | 73 | ||||||||
8.500%, 3–15–28 (C) | 1,637 | 40 | ||||||||||
|
| |||||||||||
113 | ||||||||||||
|
| |||||||||||
TOTAL OTHER GOVERNMENT SECURITIES – 81.3% | $ | 49,167 | ||||||||||
(Cost: $48,990) | ||||||||||||
SHORT-TERM SECURITIES | Shares | |||||||||||
Money Market Funds (E) – 14.3% |
| |||||||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class | ||||||||||||
0.030% | 8,640 | $ | 8,640 | |||||||||
|
| |||||||||||
Principal | ||||||||||||
Treasury Bills (D) – 1.0% |
| |||||||||||
Egypt Government Treasury Bills | ||||||||||||
11.210%, 12–1–20 (C) | EGP | 9,200 | 573 | |||||||||
|
| |||||||||||
TOTAL SHORT-TERM SECURITIES – 15.3% |
| $ | 9,213 | |||||||||
(Cost: $9,197) | ||||||||||||
TOTAL INVESTMENT SECURITIES – 97.0% |
| $ | 58,614 | |||||||||
(Cost: $58,429) | ||||||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES (F)(G)(H) – 3.0% |
| 1,790 | ||||||||||
NET ASSETS – 100.0% | $ | 60,404 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(B) | Zero coupon bond. |
(C) | Principal amounts are denominated in the indicated foreign currency, where applicable (BRL – Brazilian Real, CLP – Chilean Peso, CNH – Chinese Yuan in Hong Kong, CNY – Chinese Yuan Renminbi, COP – Columbian Peso, CZK – Czech Koruna, EGP – Egypt Pound, EUR – Euro, HUF – Hungarian Forint, IDR – Indonesian Rupiah, INR – Indian Rupee, MXN – Mexican Peso, MYR – Malaysian Ringgit, PEN – Peruvian Neuvo Sol, PHP – Philippine Peso, PLN – Polish Zloty, RON – Romania Leu, RUB – Russian Ruble, THB – Thai Baht, TRY – Turkish New Lira, UAH – Ukraine Hryvnia, UYU – Uruguay Peso and ZAR – South African Rand). |
(D) | Rate shown is the yield to maturity at September 30, 2020. |
(E) | Rate shown is the annualized 7-day yield at September 30, 2020. |
(F) | Cash of $26 has been pledged as collateral on open futures contracts. |
(G) | Cash of $340 has been pledged as collateral on OTC forward foreign currency contracts. |
(H) | Cash of $668 has been pledged as collateral on centrally cleared swaps. |
98 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PICTET EMERGING MARKETS LOCAL CURRENCY DEBT FUND (in thousands) |
SEPTEMBER 30, 2020
The following centrally cleared credit default swaps – buy protection(1) were outstanding at September 30, 2020:
Referenced Entity/Index | (Pay) Fixed Rate | Maturity Date | Notional Amount(2) | Value | Upfront Payments/ (Receipts) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
Markit CDX Emerging Markets, Series 34 Index | (1.000 | %) | 12-20-25 | 800 | $ | 51 | $ | 56 | $ | (5 | ) | |||||||||||||||||
Republic of Colombia | (1.000 | %) | 12-20-25 | 400 | 10 | 10 | — | * | ||||||||||||||||||||
Republic of Turkey | (1.000 | %) | 12-20-25 | 600 | 114 | 110 | 4 | |||||||||||||||||||||
United Mexican States | (1.000 | %) | 12-20-25 | 400 | 10 | 10 | 1 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 185 | $ | 186 | $ | — | * | ||||||||||||||||||||||
|
|
The following centrally cleared credit default swaps – sold protection(3) were outstanding at September 30, 2020:
Referenced Entity/Index | Receive Fixed Rate | Maturity Date | Implied Credit Spread at September 30, 2020(4) | Notional Amount(2) | Value | Upfront Payments/ (Receipts) | Unrealized Depreciation | |||||||||||||||||||||||||
Petroleo Brasileiro S.A. | 1.000 | % | 12-20-25 | 4.104 | % | 200 | $ | (20 | ) | $ | (17 | ) | $ | (3 | ) | |||||||||||||||||
|
|
The following over the counter credit default swaps – sold protection(3) were outstanding at September 30, 2020:
Referenced Obligation | Counterparty | Receive Fixed Rate | Maturity Date | Implied Credit Spread at September 30, 2020(4) | Notional Amount(2) | Value | Upfront Payments/ (Receipts) | Unrealized Depreciation | ||||||||||||||||||||||
Ukraine | Barclays Bank plc | 5.000 | % | 12-20-25 | 7.644 | % | 250 | $ | (7 | ) | $ | (2 | ) | $ | (5 | ) | ||||||||||||||
|
|
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and/or take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement. |
(3) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and/or deliver the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, sovereign issues, or an index as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
The following forward foreign currency contracts were outstanding at September 30, 2020:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||
Chilean Peso | 49,000 | U.S. Dollar | 62 | 10–1–20 | Barclays Capital, Inc. | $ | — | * | $ | — | ||||||||||||
U.S. Dollar | 63 | Chilean Peso | 49,000 | 10–1–20 | Barclays Capital, Inc. | — | — | * | ||||||||||||||
South African Rand | 10,600 | U.S. Dollar | 629 | 10–2–20 | Barclays Capital, Inc. | — | 4 | |||||||||||||||
South Korean Won | 55,000 | U.S. Dollar | 47 | 10–5–20 | Barclays Capital, Inc. | — | — | * | ||||||||||||||
U.S. Dollar | 47 | South Korean Won | 55,000 | 10–5–20 | Barclays Capital, Inc. | — | * | — | ||||||||||||||
Australian Dollar | 1,080 | Japanese Yen | 83,674 | 10–8–20 | Barclays Capital, Inc. | 20 | — | |||||||||||||||
Mexican Peso | 8,414 | Euro | 320 | 10–8–20 | Barclays Capital, Inc. | — | 5 | |||||||||||||||
South African Rand | 3,000 | U.S. Dollar | 179 | 10–8–20 | Barclays Capital, Inc. | — | — | * | ||||||||||||||
U.S. Dollar | 667 | Malaysian Ringgit | 2,780 | 10–8–20 | Barclays Capital, Inc. | 2 | — |
2020 | ANNUAL REPORT | 99 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PICTET EMERGING MARKETS LOCAL CURRENCY DEBT FUND (in thousands) |
SEPTEMBER 30, 2020
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||
U.S. Dollar | 392 | Chilean Peso | 304,000 | 10–13–20 | Barclays Capital, Inc. | $ | — | $ | 5 | |||||||||||||
U.S. Dollar | 637 | South Korean Won | 756,000 | 10–15–20 | Barclays Capital, Inc. | 10 | — | |||||||||||||||
Singapore Dollar | 450 | U.S. Dollar | 331 | 10–16–20 | Barclays Capital, Inc. | 1 | — | |||||||||||||||
U.S. Dollar | 190 | Singapore Dollar | 260 | 10–16–20 | Barclays Capital, Inc. | — | * | — | ||||||||||||||
Hungarian Forint | 88,195 | U.S. Dollar | 290 | 10–19–20 | Barclays Capital, Inc. | 6 | — | |||||||||||||||
U.S. Dollar | 754 | Canadian Dollar | 1,010 | 10–22–20 | Barclays Capital, Inc. | 4 | — | |||||||||||||||
Indonesian Rupiah | 6,300,000 | U.S. Dollar | 418 | 10–23–20 | Barclays Capital, Inc. | — | 5 | |||||||||||||||
Indonesian Rupiah | 9,866,843 | U.S. Dollar | 663 | 10–27–20 | Barclays Capital, Inc. | 1 | — | |||||||||||||||
Japanese Yen | 39,873 | Australian Dollar | 530 | 10–28–20 | Barclays Capital, Inc. | 1 | — | |||||||||||||||
U.S. Dollar | 1,016 | Thai Baht | 31,857 | 10–28–20 | Barclays Capital, Inc. | — | 10 | |||||||||||||||
Hungarian Forint | 62,848 | U.S. Dollar | 200 | 10–30–20 | Barclays Capital, Inc. | — | 2 | |||||||||||||||
Turkish New Lira | 902 | U.S. Dollar | 120 | 10–30–20 | Barclays Capital, Inc. | 4 | — | |||||||||||||||
Hungarian Forint | 190,363 | Euro | 550 | 11–5–20 | Barclays Capital, Inc. | 32 | — | |||||||||||||||
U.S. Dollar | 313 | Romanian Leu | 1,296 | 11–5–20 | Barclays Capital, Inc. | — | 2 | |||||||||||||||
U.S. Dollar | 60 | Turkish New Lira | 451 | 11–6–20 | Barclays Capital, Inc. | — | 2 | |||||||||||||||
South African Rand | 10,058 | U.S. Dollar | 595 | 11–9–20 | Barclays Capital, Inc. | — | 3 | |||||||||||||||
U.S. Dollar | 436 | South African Rand | 7,371 | 11–9–20 | Barclays Capital, Inc. | 2 | — | |||||||||||||||
U.S. Dollar | 1,084 | Turkish New Lira | 8,211 | 11–16–20 | Barclays Capital, Inc. | — | 35 | |||||||||||||||
U.S. Dollar | 322 | Hungarian Forint | 96,890 | 11–18–20 | Barclays Capital, Inc. | — | 10 | |||||||||||||||
U.S. Dollar | 380 | Malaysian Ringgit | 1,569 | 11–18–20 | Barclays Capital, Inc. | — | 2 | |||||||||||||||
Euro | 984 | Czech Koruna | 26,258 | 11–19–20 | Barclays Capital, Inc. | — | 17 | |||||||||||||||
U.S. Dollar | 385 | Australian Dollar | 540 | 11–23–20 | Barclays Capital, Inc. | 2 | — | |||||||||||||||
South Korean Won | 55,000 | U.S. Dollar | 47 | 11–30–20 | Barclays Capital, Inc. | — | — | * | ||||||||||||||
Egypt Pound | 10,700 | U.S. Dollar | 611 | 12–16–20 | Barclays Capital, Inc. | — | 55 | |||||||||||||||
Russian Ruble | 59,600 | U.S. Dollar | 777 | 12–18–20 | Barclays Capital, Inc. | 16 | — | |||||||||||||||
South African Rand | 19,400 | U.S. Dollar | 1,155 | 12–23–20 | Barclays Capital, Inc. | 9 | — | |||||||||||||||
U.S. Dollar | 382 | South African Rand | 6,500 | 12–23–20 | Barclays Capital, Inc. | 2 | — | |||||||||||||||
U.S. Dollar | 370 | Turkish New Lira | 2,930 | 12–29–20 | Barclays Capital, Inc. | — | 1 | |||||||||||||||
Chilean Peso | 49,000 | U.S. Dollar | 62 | 10–1–20 | Citibank N.A. | — | — | * | ||||||||||||||
U.S. Dollar | 62 | Chilean Peso | 49,000 | 10–1–20 | Citibank N.A. | — | — | * | ||||||||||||||
Brazilian Real | 420 | U.S. Dollar | 78 | 10–2–20 | Citibank N.A. | 3 | — | |||||||||||||||
South African Rand | 10,600 | U.S. Dollar | 629 | 10–2–20 | Citibank N.A. | — | 4 | |||||||||||||||
U.S. Dollar | 790 | Brazilian Real | 4,220 | 10–2–20 | Citibank N.A. | — | 38 | |||||||||||||||
U.S. Dollar | 745 | South African Rand | 12,400 | 10–2–20 | Citibank N.A. | — | 5 | |||||||||||||||
Chilean Peso | 601,000 | U.S. Dollar | 790 | 10–5–20 | Citibank N.A. | 24 | — | |||||||||||||||
Russian Ruble | 43,621 | U.S. Dollar | 591 | 10–5–20 | Citibank N.A. | 30 | — | |||||||||||||||
U.S. Dollar | 531 | Chilean Peso | 408,948 | 10–5–20 | Citibank N.A. | — | 11 | |||||||||||||||
Peruvian New Sol | 644 | U.S. Dollar | 181 | 10–7–20 | Citibank N.A. | 2 | — | |||||||||||||||
U.S. Dollar | 98 | Peruvian New Sol | 344 | 10–7–20 | Citibank N.A. | — | 2 | |||||||||||||||
Japanese Yen | 83,571 | Australian Dollar | 1,080 | 10–8–20 | Citibank N.A. | — | 19 | |||||||||||||||
Peruvian New Sol | 400 | U.S. Dollar | 113 | 10–9–20 | Citibank N.A. | 2 | — | |||||||||||||||
U.S. Dollar | 170 | Peruvian New Sol | 599 | 10–9–20 | Citibank N.A. | — | 3 | |||||||||||||||
Chilean Peso | 989,000 | U.S. Dollar | 1,309 | 10–14–20 | Citibank N.A. | 49 | — | |||||||||||||||
Chinese Yuan Renminbi Offshore | 6,342 | U.S. Dollar | 927 | 10–14–20 | Citibank N.A. | — | 7 | |||||||||||||||
U.S. Dollar | 582 | Chinese Yuan Renminbi | 4,000 | 10–16–20 | Citibank N.A. | 6 | — | |||||||||||||||
U.S. Dollar | 139 | Singapore Dollar | 190 | 10–16–20 | Citibank N.A. | 1 | — | |||||||||||||||
U.S. Dollar | 1,065 | Chinese Yuan Renminbi | 7,400 | 10–20–20 | Citibank N.A. | 23 | — | |||||||||||||||
Canadian Dollar | 2,080 | U.S. Dollar | 1,573 | 10–22–20 | Citibank N.A. | 11 | — | |||||||||||||||
Australian Dollar | 1,080 | Japanese Yen | 81,477 | 10–23–20 | Citibank N.A. | — | 1 | |||||||||||||||
U.S. Dollar | 659 | Indonesian Rupiah | 9,700,000 | 10–23–20 | Citibank N.A. | — | 8 | |||||||||||||||
Russian Ruble | 17,318 | U.S. Dollar | 220 | 10–29–20 | Citibank N.A. | — | 2 |
100 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PICTET EMERGING MARKETS LOCAL CURRENCY DEBT FUND (in thousands) |
SEPTEMBER 30, 2020
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||
U.S. Dollar | 315 | Mexican Peso | 7,099 | 10–29–20 | Citibank N.A. | $ | 5 | $ | — | |||||||||||||
U.S. Dollar | 924 | Russian Ruble | 72,666 | 10–29–20 | Citibank N.A. | 9 | — | |||||||||||||||
U.S. Dollar | 753 | Russian Ruble | 59,400 | 11–2–20 | Citibank N.A. | 10 | — | |||||||||||||||
Brazilian Real | 4,770 | U.S. Dollar | 843 | 11–4–20 | Citibank N.A. | — | 5 | |||||||||||||||
U.S. Dollar | 984 | Brazilian Real | 5,560 | 11–4–20 | Citibank N.A. | 6 | — | |||||||||||||||
Euro | 550 | Hungarian Forint | 189,892 | 11–5–20 | Citibank N.A. | — | 33 | |||||||||||||||
U.S. Dollar | 80 | Chinese Yuan Renminbi | 550 | 11–9–20 | Citibank N.A. | 1 | — | |||||||||||||||
U.S. Dollar | 1,181 | Chinese Yuan Renminbi | 8,100 | 11–10–20 | Citibank N.A. | 10 | — | |||||||||||||||
Turkish New Lira | 2,210 | U.S. Dollar | 305 | 11–16–20 | Citibank N.A. | 23 | — | |||||||||||||||
U.S. Dollar | 84 | Hungarian Forint | 25,000 | 11–18–20 | Citibank N.A. | — | 3 | |||||||||||||||
Australian Dollar | 2,150 | U.S. Dollar | 1,542 | 11–23–20 | Citibank N.A. | 1 | — | |||||||||||||||
Chilean Peso | 603,000 | U.S. Dollar | 780 | 11–23–20 | Citibank N.A. | 11 | — | |||||||||||||||
U.S. Dollar | 755 | Chilean Peso | 592,000 | 11–23–20 | Citibank N.A. | — | 1 | |||||||||||||||
U.S. Dollar | 62 | Chilean Peso | 49,000 | 12–4–20 | Citibank N.A. | — | * | — | ||||||||||||||
U.S. Dollar | 624 | Egypt Pound | 10,700 | 12–16–20 | Citibank N.A. | 42 | — | |||||||||||||||
U.S. Dollar | 1,507 | South African Rand | 26,000 | 12–23–20 | Citibank N.A. | 29 | — | |||||||||||||||
U.S. Dollar | 1,584 | Japanese Yen | 167,000 | 10–1–20 | Goldman Sachs International | — | — | * | ||||||||||||||
Brazilian Real | 24,963 | U.S. Dollar | 4,534 | 10–2–20 | Goldman Sachs International | 87 | — | |||||||||||||||
U.S. Dollar | 589 | Brazilian Real | 3,240 | 10–2–20 | Goldman Sachs International | — | 12 | |||||||||||||||
U.S. Dollar | 637 | South African Rand | 10,600 | 10–2–20 | Goldman Sachs International | — | 4 | |||||||||||||||
Chilean Peso | 416,948 | U.S. Dollar | 533 | 10–5–20 | Goldman Sachs International | 2 | — | |||||||||||||||
Russian Ruble | 16,395 | U.S. Dollar | 208 | 10–5–20 | Goldman Sachs International | — | 3 | |||||||||||||||
U.S. Dollar | 793 | Russian Ruble | 60,015 | 10–5–20 | Goldman Sachs International | — | 21 | |||||||||||||||
Russian Ruble | 177,967 | U.S. Dollar | 2,300 | 10–6–20 | Goldman Sachs International | 10 | — | |||||||||||||||
U.S. Dollar | 208 | Russian Ruble | 16,394 | 10–6–20 | Goldman Sachs International | 3 | — | |||||||||||||||
Malaysian Ringgit | 1,310 | U.S. Dollar | 315 | 10–7–20 | Goldman Sachs International | — | — | * | ||||||||||||||
U.S. Dollar | 578 | Malaysian Ringgit | 2,410 | 10–7–20 | Goldman Sachs International | 2 | — | |||||||||||||||
Malaysian Ringgit | 340 | U.S. Dollar | 82 | 10–8–20 | Goldman Sachs International | — | * | — | ||||||||||||||
Chinese Yuan Renminbi Offshore | 20,608 | U.S. Dollar | 3,005 | 10–13–20 | Goldman Sachs International | — | 30 | |||||||||||||||
U.S. Dollar | 1,271 | Chilean Peso | 999,000 | 10–14–20 | Goldman Sachs International | 1 | — | |||||||||||||||
Russian Ruble | 90,800 | U.S. Dollar | 1,255 | 10–15–20 | Goldman Sachs International | 88 | — | |||||||||||||||
South Korean Won | 701,000 | U.S. Dollar | 604 | 10–15–20 | Goldman Sachs International | 4 | — | |||||||||||||||
U.S. Dollar | 1,280 | Russian Ruble | 91,600 | 10–15–20 | Goldman Sachs International | — | 102 | |||||||||||||||
Russian Ruble | 34,657 | U.S. Dollar | 459 | 10–16–20 | Goldman Sachs International | 14 | — | |||||||||||||||
U.S. Dollar | 407 | Malaysian Ringgit | 1,690 | 10–16–20 | Goldman Sachs International | — | 1 | |||||||||||||||
Colombian Peso | 1,948,616 | U.S. Dollar | 526 | 10–19–20 | Goldman Sachs International | 18 | — | |||||||||||||||
Euro | 330 | Israeli Shekel | 1,337 | 10–19–20 | Goldman Sachs International | 3 | — | |||||||||||||||
U.S. Dollar | 554 | Chilean Peso | 427,894 | 10–26–20 | Goldman Sachs International | — | 8 | |||||||||||||||
Australian Dollar | 1,070 | Japanese Yen | 79,193 | 10–28–20 | Goldman Sachs International | — | 15 | |||||||||||||||
Euro | 309 | Polish Zloty | 1,404 | 10–28–20 | Goldman Sachs International | 1 | — | |||||||||||||||
U.S. Dollar | 549 | Mexican Peso | 12,256 | 10–30–20 | Goldman Sachs International | 4 | — | |||||||||||||||
U.S. Dollar | 136 | Turkish New Lira | 961 | 10–30–20 | Goldman Sachs International | — | 12 | |||||||||||||||
U.S. Dollar | 533 | Chilean Peso | 416,948 | 11–2–20 | Goldman Sachs International | — | 2 | |||||||||||||||
Brazilian Real | 2,090 | U.S. Dollar | 372 | 11–4–20 | Goldman Sachs International | — | — | * | ||||||||||||||
Turkish New Lira | 1,772 | U.S. Dollar | 240 | 11–4–20 | Goldman Sachs International | 12 | — | |||||||||||||||
U.S. Dollar | 3,885 | Brazilian Real | 21,500 | 11–4–20 | Goldman Sachs International | — | 60 | |||||||||||||||
U.S. Dollar | 386 | Turkish New Lira | 2,900 | 11–4–20 | Goldman Sachs International | — | 13 | |||||||||||||||
Mexican Peso | 14,451 | U.S. Dollar | 683 | 11–9–20 | Goldman Sachs International | 32 | — | |||||||||||||||
Chinese Yuan Renminbi Offshore | 7,525 | U.S. Dollar | 1,095 | 11–12–20 | Goldman Sachs International | — | 11 | |||||||||||||||
Mexican Peso | 44,184 | U.S. Dollar | 1,945 | 11–12–20 | Goldman Sachs International | — | 43 | |||||||||||||||
Philippine Peso | 7,197 | U.S. Dollar | 148 | 11–12–20 | Goldman Sachs International | — | 1 | |||||||||||||||
U.S. Dollar | 4,973 | Mexican Peso | 112,438 | 11–12–20 | Goldman Sachs International | 87 | — |
2020 | ANNUAL REPORT | 101 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PICTET EMERGING MARKETS LOCAL CURRENCY DEBT FUND (in thousands) |
SEPTEMBER 30, 2020
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||
U.S. Dollar | 483 | Chinese Yuan Renminbi | 3,300 | 11–13–20 | Goldman Sachs International | $ | 2 | $ | — | |||||||||||||
U.S. Dollar | 376 | Turkish New Lira | 2,920 | 11–16–20 | Goldman Sachs International | — | 3 | |||||||||||||||
U.S. Dollar | 496 | Thai Baht | 15,498 | 11–18–20 | Goldman Sachs International | — | 7 | |||||||||||||||
Chilean Peso | 341,000 | U.S. Dollar | 443 | 12–3–20 | Goldman Sachs International | 8 | — | |||||||||||||||
Chilean Peso | 69,561 | U.S. Dollar | 90 | 12–4–20 | Goldman Sachs International | 2 | — | |||||||||||||||
U.S. Dollar | 989 | Russian Ruble | 75,400 | 12–18–20 | Goldman Sachs International | — | 26 | |||||||||||||||
Egypt Pound | 4,810 | U.S. Dollar | 298 | 12–23–20 | Goldman Sachs International | — | 1 | |||||||||||||||
South African Rand | 19,996 | U.S. Dollar | 1,169 | 12–23–20 | Goldman Sachs International | — | 13 | |||||||||||||||
U.S. Dollar | 374 | South African Rand | 6,400 | 12–23–20 | Goldman Sachs International | 4 | — | |||||||||||||||
Turkish New Lira | 2,960 | U.S. Dollar | 367 | 12–29–20 | Goldman Sachs International | — | 6 | |||||||||||||||
Egypt Pound | 2,560 | U.S. Dollar | 154 | 3–22–21 | Goldman Sachs International | — | 1 | |||||||||||||||
U.S. Dollar | 3,329 | Brazilian Real | 17,924 | 10–2–20 | JPMorgan Securities LLC | — | 137 | |||||||||||||||
South Korean Won | 55,000 | U.S. Dollar | 46 | 10–5–20 | JPMorgan Securities LLC | — | 1 | |||||||||||||||
U.S. Dollar | 792 | Chilean Peso | 609,000 | 10–5–20 | JPMorgan Securities LLC | — | 16 | |||||||||||||||
U.S. Dollar | 47 | South Korean Won | 55,000 | 10–5–20 | JPMorgan Securities LLC | — | * | — | ||||||||||||||
Euro | 337 | Mexican Peso | 8,600 | 10–8–20 | JPMorgan Securities LLC | — | 6 | |||||||||||||||
U.S. Dollar | 307 | South African Rand | 5,157 | 10–8–20 | JPMorgan Securities LLC | 1 | — | |||||||||||||||
Australian Dollar | 540 | U.S. Dollar | 391 | 10–13–20 | JPMorgan Securities LLC | 4 | — | |||||||||||||||
Canadian Dollar | 1,020 | U.S. Dollar | 764 | 10–22–20 | JPMorgan Securities LLC | — | 2 | |||||||||||||||
U.S. Dollar | 1,568 | Canadian Dollar | 2,090 | 10–22–20 | JPMorgan Securities LLC | 2 | — | |||||||||||||||
Japanese Yen | 80,074 | Australian Dollar | 1,080 | 10–23–20 | JPMorgan Securities LLC | 14 | — | |||||||||||||||
Thai Baht | 2,300 | U.S. Dollar | 73 | 10–28–20 | JPMorgan Securities LLC | 1 | — | |||||||||||||||
Turkish New Lira | 510 | U.S. Dollar | 69 | 10–30–20 | JPMorgan Securities LLC | 3 | — | |||||||||||||||
U.S. Dollar | 146 | Turkish New Lira | 1,100 | 10–30–20 | JPMorgan Securities LLC | — | 5 | |||||||||||||||
Turkish New Lira | 2,577 | U.S. Dollar | 349 | 11–4–20 | JPMorgan Securities LLC | 18 | — | |||||||||||||||
U.S. Dollar | 192 | Turkish New Lira | 1,449 | 11–4–20 | JPMorgan Securities LLC | — | 6 | |||||||||||||||
Polish Zloty | 2,020 | U.S. Dollar | 540 | 11–5–20 | JPMorgan Securities LLC | 17 | — | |||||||||||||||
Romanian Leu | 790 | U.S. Dollar | 191 | 11–5–20 | JPMorgan Securities LLC | 2 | — | |||||||||||||||
Mexican Peso | 2,200 | U.S. Dollar | 100 | 11–9–20 | JPMorgan Securities LLC | 1 | — | |||||||||||||||
U.S. Dollar | 81 | Russian Ruble | 5,937 | 11–9–20 | JPMorgan Securities LLC | — | 5 | |||||||||||||||
Chinese Yuan Renminbi Offshore | 5,958 | U.S. Dollar | 868 | 11–10–20 | JPMorgan Securities LLC | — | 8 | |||||||||||||||
U.S. Dollar | 1,004 | Chinese Yuan Renminbi | 6,900 | 11–12–20 | JPMorgan Securities LLC | 10 | — | |||||||||||||||
Turkish New Lira | 6,530 | U.S. Dollar | 906 | 11–16–20 | JPMorgan Securities LLC | 72 | — | |||||||||||||||
U.S. Dollar | 65 | Turkish New Lira | 490 | 11–16–20 | JPMorgan Securities LLC | — | 2 | |||||||||||||||
U.S. Dollar | 1,145 | Australian Dollar | 1,610 | 11–23–20 | JPMorgan Securities LLC | 8 | — | |||||||||||||||
Chinese Yuan Renminbi Offshore | 752 | U.S. Dollar | 110 | 11–30–20 | JPMorgan Securities LLC | — | 1 | |||||||||||||||
Egypt Pound | 4,820 | U.S. Dollar | 301 | 11–30–20 | JPMorgan Securities LLC | — | — | * | ||||||||||||||
South African Rand | 5,804 | U.S. Dollar | 335 | 12–23–20 | JPMorgan Securities LLC | — | 8 | |||||||||||||||
U.S. Dollar | 753 | South African Rand | 12,800 | 12–23–20 | JPMorgan Securities LLC | 3 | — | |||||||||||||||
Turkish New Lira | 2,960 | U.S. Dollar | 372 | 12–29–20 | JPMorgan Securities LLC | — | 1 | |||||||||||||||
Hungarian Forint | 520,779 | Euro | 1,466 | 3–30–21 | JPMorgan Securities LLC | 51 | — | |||||||||||||||
Japanese Yen | 167,000 | U.S. Dollar | 1,581 | 10–1–20 | Morgan Stanley International | — | 2 | |||||||||||||||
South African Rand | 1,800 | U.S. Dollar | 106 | 10–2–20 | Morgan Stanley International | — | 1 | |||||||||||||||
Indonesian Rupiah | 3,000,000 | U.S. Dollar | 201 | 10–15–20 | Morgan Stanley International | — | — | * | ||||||||||||||
Euro | 343 | Israeli Shekel | 1,400 | 10–19–20 | Morgan Stanley International | 6 | — | |||||||||||||||
Chinese Yuan Renminbi | 1,000 | U.S. Dollar | 147 | 10–20–20 | Morgan Stanley International | — | — | * | ||||||||||||||
Czech Koruna | 15,151 | U.S. Dollar | 667 | 10–23–20 | Morgan Stanley International | 10 | — | |||||||||||||||
U.S. Dollar | 963 | Czech Koruna | 21,755 | 10–23–20 | Morgan Stanley International | — | 21 |
102 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PICTET EMERGING MARKETS LOCAL CURRENCY DEBT FUND (in thousands) |
SEPTEMBER 30, 2020
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||
U.S. Dollar | 1,468 | Japanese Yen | 155,000 | 11–2–20 | Morgan Stanley International | $ | 2 | $ | — | |||||||||||||
U.S. Dollar | 744 | Colombian Peso | 2,900,000 | 11–3–20 | Morgan Stanley International | 12 | — | |||||||||||||||
U.S. Dollar | 3,137 | Polish Zloty | 11,728 | 11–5–20 | Morgan Stanley International | — | 102 | |||||||||||||||
U.S. Dollar | 106 | South African Rand | 1,800 | 11–9–20 | Morgan Stanley International | 1 | — | |||||||||||||||
Polish Zloty | 903 | U.S. Dollar | 240 | 11–12–20 | Morgan Stanley International | 7 | — | |||||||||||||||
U.S. Dollar | 946 | Polish Zloty | 3,541 | 11–12–20 | Morgan Stanley International | — | 30 | |||||||||||||||
U.S. Dollar | 374 | Hungarian Forint | 109,753 | 11–18–20 | Morgan Stanley International | — | 21 | |||||||||||||||
U.S. Dollar | 371 | Hungarian Forint | 110,115 | 12–3–20 | Morgan Stanley International | — | 16 | |||||||||||||||
South African Rand | 6,500 | U.S. Dollar | 385 | 12–23–20 | Morgan Stanley International | — | * | — | ||||||||||||||
Euro | 2,931 | Hungarian Forint | 1,073,360 | 3–30–21 | Morgan Stanley International | — | — | * | ||||||||||||||
|
| |||||||||||||||||||||
$ | 1,039 | $ | 1,086 | |||||||||||||||||||
|
|
The following futures contracts were outstanding at September 30, 2020 (contracts unrounded):
Description | Type | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | ||||||||||||||
U.S. 10-Year Treasury Note | Short | 6 | 12–21–20 | 600 | $ | (837 | ) | $ | (2 | ) | ||||||||||
U.S. 30-Year Treasury Bond | Short | 3 | 12–21–20 | 300 | (529 | ) | 1 | |||||||||||||
|
| |||||||||||||||||||
$ | (1,366 | ) | $ | (1 | ) | |||||||||||||||
|
|
The following centrally cleared interest rate swap agreements were outstanding at September 30, 2020:
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount (C) | Value | Upfront Payments/ (Receipts) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Pay | 1-Day Mumbai Interbank Outright Rate | 4.120 | % | 9/16/2022 | INR | 2,293 | $ | 7 | $ | — | $ | 7 | ||||||||||||||
Receive | 1-Year Camara vs. Interest Rate Swap Peso | 2.355 | % | 12/16/2030 | CLP | 518 | — | * | — | — | * | |||||||||||||||
Pay | 3-Month Johannesburg Interbank Agreed Rate | 5.860 | % | 12/21/2024 | ZAR | 1,224 | 2 | — | 2 | |||||||||||||||||
Pay | 3-Month Johannesburg Interbank Agreed Rate | 5.440 | % | 12/16/2025 | 971 | 9 | — | 9 | ||||||||||||||||||
Pay | 6-Month Budapest Interbank Offered Rate | 0.725 | % | 12/16/2022 | HUF | 3,112 | (29 | ) | — | (29 | ) | |||||||||||||||
Receive | 6-Month Budapest Interbank Offered Rate | 1.260 | % | 12/16/2023 | 1,302 | — | * | — | — | * | ||||||||||||||||
Receive | 6-Month Budapest Interbank Offered Rate | 1.495 | % | 12/16/2030 | 776 | 17 | — | 17 | ||||||||||||||||||
Pay | 6-Month EURIBOR | 0.326 | % | 12/16/2025 | EUR | 1,557 | 8 | — | 8 | |||||||||||||||||
Pay | 6-Month EURIBOR | 0.323 | % | 12/16/2025 | 1,441 | 7 | — | 7 | ||||||||||||||||||
Receive | 6-Month EURIBOR | 0.083 | % | 12/16/2050 | 235 | (18 | ) | — | (18 | ) | ||||||||||||||||
Receive | 6-Month EURIBOR | 0.070 | % | 12/16/2050 | 246 | (6 | ) | — | (6 | ) | ||||||||||||||||
Receive | 6-Month Prague Interbank Offered Rate | 0.670 | % | 12/16/2025 | CZK | 1,135 | (3 | ) | — | (3 | ) | |||||||||||||||
Pay | 6-Month Thai Baht Interest Rate Fixing Rate | 0.756 | % | 5/18/2025 | THB | 881 | — | * | — | — | * | |||||||||||||||
Receive | 6-Month Warsaw Interbank Offered Rate | 1.267 | % | 9/17/2030 | PLN | 1,238 | 6 | — | 6 | |||||||||||||||||
Receive | 1-Day Brazil Interbank Deposit Rate | 4.305 | % | 1/3/2023 | BRL | 1,076 | — | * | — | — | * | |||||||||||||||
Pay | 28-Day Mexico Equilibrium Interbank Interest Rate | 4.360 | % | 12/15/2021 | MXN | 1,273 | (1 | ) | — | (1 | ) |
2020 | ANNUAL REPORT | 103 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PICTET EMERGING MARKETS LOCAL CURRENCY DEBT FUND (in thousands) |
SEPTEMBER 30, 2020
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount (C) | Value | Upfront Payments/ (Receipts) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Pay | 28-Day Mexico Equilibrium Interbank Interest Rate | 5.100 | % | 12/10/2025 | MXN | 1,976 | $ | (5 | ) | $ | — | $ | (5 | ) | ||||||||||||
Pay | 28-Day Mexico Equilibrium Interbank Interest Rate | 5.468 | % | 12/8/2027 | 916 | (3 | ) | — | (3 | ) | ||||||||||||||||
Pay | 28-Day Mexico Equilibrium Interbank Interest Rate | 5.868 | % | 12/4/2030 | 778 | (3 | ) | — | (3 | ) | ||||||||||||||||
Pay | 3-Month Johannesburg Interbank Agreed Rate | 5.870 | % | 12/21/2024 | ZAR | 1,231 | 2 | — | 2 | |||||||||||||||||
Pay | 3-Month Johannesburg Interbank Agreed Rate | 6.060 | % | 12/21/2024 | 2,113 | 11 | — | 11 | ||||||||||||||||||
Pay | 3-Month Johannesburg Interbank Agreed Rate | 5.510 | % | 12/17/2025 | 498 | 6 | — | 6 | ||||||||||||||||||
Pay | 3-Month LIBOR | 0.403 | % | 12/16/2025 | $ | 1,061 | 2 | — | 2 | |||||||||||||||||
Pay | 3-Month LIBOR | 0.765 | % | 12/16/2025 | 1,350 | 26 | — | 26 | ||||||||||||||||||
Receive | 3-Month LIBOR | 0.988 | % | 12/16/2050 | 584 | 16 | — | 16 | ||||||||||||||||||
Receive | 6-Month Budapest Interbank Offered Rate | 1.390 | % | 12/16/2025 | HUF | 854 | 1 | — | 1 | |||||||||||||||||
Receive | 6-Month Prague Interbank Offered Rate | 0.785 | % | 12/16/2025 | CZK | 1,286 | (12 | ) | — | (12 | ) | |||||||||||||||
Pay | 6-Month Warsaw Interbank Offered Rate | 0.384 | % | 12/16/2023 | PLN | 733 | 1 | — | 1 | |||||||||||||||||
Pay | 6-Month Warsaw Interbank Offered Rate | 0.536 | % | 12/16/2024 | 713 | 2 | — | 2 | ||||||||||||||||||
Pay | 6-Month Warsaw Interbank Offered Rate | 0.670 | % | 12/16/2025 | 401 | 2 | — | 2 | ||||||||||||||||||
Pay | 1-Day Mumbai Interbank Outright Rate | 3.955 | % | 8/23/2022 | INR | 4,204 | 8 | — | 8 | |||||||||||||||||
Pay | 28-Day Mexico Equilibrium Interbank Interest Rate | 4.505 | % | 12/14/2022 | MXN | 393 | — | * | — | — | * | |||||||||||||||
Pay | 3-Month LIBOR | 0.374 | % | 12/16/2025 | $ | 815 | 1 | — | 1 | |||||||||||||||||
Receive | 3-Month LIBOR | 1.058 | % | 12/16/2050 | 260 | 4 | — | 4 | ||||||||||||||||||
Pay | 6-Month Budapest Interbank Offered Rate | 0.950 | % | 12/16/2022 | HUF | 1,880 | (9 | ) | — | (9 | ) | |||||||||||||||
Receive | 6-Month Budapest Interbank Offered Rate | 1.703 | % | 12/16/2030 | 465 | 3 | — | 3 | ||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 52 | $ | — | $ | 52 | |||||||||||||||||||||
|
|
The following over the counter interest rate swap agreements were outstanding at September 30, 2020:
Counterparty | Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount (C) | Value | Upfront Payments/ (Receipts) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
Barclays Bank plc | Pay | 6-Month LIBOR | 7.650 | % | 3/9/2024 | IDR | 1,133 | $ | 26 | $ | — | $ | 26 | |||||||||||||||||
Citibank N.A. | Pay | 7-Day China Fixing Repo Rates | 2.600 | % | 7/5/2022 | CNY | 1,620 | 3 | — | 3 | ||||||||||||||||||||
Goldman Sachs International | Receive | 3-Month LIBOR | 14.650 | % | 12/15/2022 | $ | 900 | (20 | ) | — | (20 | ) | ||||||||||||||||||
Goldman Sachs International | Pay | 3-Month RUB NFEA MosPrime Rate | 5.230 | % | 12/16/2023 | RUB | 1,625 | (8 | ) | — | (8 | ) | ||||||||||||||||||
Goldman Sachs International | Pay | 3-Month RUB NFEA MosPrime Rate | 5.235 | % | 12/16/2023 | 1,549 | (8 | ) | — | (8 | ) | |||||||||||||||||||
Goldman Sachs International | Pay | 7-Day China Fixing Repo Rates | 2.629 | % | 7/5/2022 | CNY | 1,621 | 4 | — | 4 |
104 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PICTET EMERGING MARKETS LOCAL CURRENCY DEBT FUND (in thousands) |
SEPTEMBER 30, 2020
Counterparty | Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount (C) | Value | Upfront Payments/ (Receipts) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Receive | 1-Day Borsa Istanbul Turkish Lira Overnight Reference Rate | 13.400 | % | 12/16/2025 | TRY | 163 | $ | (2 | ) | $ | — | $ | (2 | ) | |||||||||||||||
JPMorgan Chase Bank N.A. | Receive | 3-Month LIBOR | 13.500 | % | 12/15/2022 | $ | 600 | (1 | ) | — | (1 | ) | ||||||||||||||||||
JPMorgan Chase Bank N.A. | Pay | 6-Month LIBOR | 9.800 | % | 10/9/2022 | IDR | 210 | 16 | — | 16 | ||||||||||||||||||||
Morgan Stanley & Co. International plc | Pay | 3-Month Kuala Lumpur Interbank Offered Rate | 3.205 | % | 1/9/2022 | MYR | 2,534 | 53 | — | 53 | ||||||||||||||||||||
Morgan Stanley & Co. International plc | Receive | 3-Month Kuala Lumpur Interbank Offered Rate | 3.340 | % | 1/9/2030 | 618 | (37 | ) | — | (37 | ) | |||||||||||||||||||
Morgan Stanley & Co. International plc | Pay | 6-Month LIBOR | 7.400 | % | 4/24/2024 | IDR | 943 | 44 | — | 44 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | 70 | $ | — | $ | 70 | |||||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of September 30, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Purchased Options | $ | 7 | $ | — | $ | — | ||||||
Corporate Debt Securities | — | 227 | — | |||||||||
Other Government Securities | — | 49,167 | — | |||||||||
Short-Term Securities | 8,640 | 573 | — | |||||||||
Total | $ | 8,647 | $ | 49,967 | $ | — | ||||||
Centrally Cleared Credit Default Swaps | $ | 5 | $ | — | $ | — | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 1,039 | $ | — | ||||||
Futures Contracts | $ | 1 | $ | — | $ | — | ||||||
Centrally Cleared Interest Rate Swaps | $ | — | $ | 141 | $ | — | ||||||
Over the Counter Interest Rate Swaps | $ | — | $ | 146 | $ | — | ||||||
Liabilities | ||||||||||||
Centrally Cleared Credit Default Swaps | $ | 8 | $ | — | $ | — | ||||||
Over the Counter Credit Default Swaps | $ | — | $ | 7 | $ | — | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 1,086 | $ | — | ||||||
Futures Contracts | $ | 2 | $ | — | $ | — | ||||||
Centrally Cleared Interest Rate Swaps | $ | — | $ | 89 | $ | — | ||||||
Over the Counter Interest Rate Swaps | $ | — | $ | 76 | $ | — |
The following acronyms are used throughout this schedule:
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
OTC = Over the Counter
Market Sector Diversification | ||||
(as a % of net assets) |
| |||
Other Government Securities | 81.3% | |||
Corporate Bonds | 0.4% | |||
Other+ | 18.3% |
+ | Includes cash and other assets (net of liabilities), and cash equivalents |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 105 |
Table of Contents
MANAGEMENT DISCUSSION | IVY PICTET TARGETED RETURN BOND FUND |
(UNAUDITED)
Ivy Pictet Targeted Return Bond Fund is managed by Ivy Investment Management Company (IICO) and sub-advised by Pictet Asset Management (Pictet).
Below, portfolio managers Andres Sanchez Balcazar, CFA, David Bopp, CFA and Ella Hoxha of Pictet discuss positioning, performance and results for the fiscal year ended September 30, 2020. Ella Hoxha was added as a co-portfolio manager in March 2019 and has 17 years of industry experience. Mr. Balcazar and Mr. Bopp have managed the Fund since its inception in January 2016 and have 20 and 16 years of industry experience, respectively.
Fiscal Year Performance
For the 12 months ended September 30, 2020 | ||||
Ivy Pictet Targeted Return Bond Fund | 2.07% | |||
(Class A shares at net asset value) | ||||
Ivy Pictet Targeted Return Bond Fund | -3.77% | |||
(Class A shares including sales charges) | ||||
Benchmark and Morningstar Category | ||||
Bloomberg Barclays U.S. Treasury Bills: 1-3 Month Index | 0.96% | |||
(generally reflects the performance of U.S. Treasury Bills with a remaining maturity between 1-3 months) | ||||
Morningstar Nontraditional Bond Category Average | 1.61% | |||
(generally reflects the performance of the universe of funds with similar investment objectives) |
Please note that Fund returns include applicable fees and expenses while index returns do not include any such fees. The performance discussion below is at net asset value (NAV).
Positive performance in volatile year
The Fund outperformed its benchmark and Morningstar peer group for the fiscal year ended September 30, 2020. Rates contributed positively as our long duration position in both U.S. Treasuries and German bunds benefitted from the continued accommodative monetary policies. Rates positioning detracted during the fourth quarter of 2019 when markets preferred risk assets over safe-haven governments, and rates sold off while yield curves steepened. Rates, covering both duration and yield curve positioning, was positive for each of the first three quarters in 2020. Within our allocation in U.S. dollar duration, which we increased during 2020, our long-dated U.S. Treasuries were the main positive contributor, particularly benefitting the portfolio during the first quarter of 2020. In the third quarter of 2020, rates positions were slightly positive as our U.S. Treasury Inflation Protected Securities (TIPS) positions performed well as inflation expectations rose during the quarter. Performance was also slightly positive from our U.K. gilt positions, while performance from our long China local currency bonds was negative as rates rose in the long end of the Chinese government curve. European duration positions were also positive as our long-dated bund positions rallied and the bund yield curve flattened. We had a positive contribution from Italian government bonds and our French linker position as French spreads tightened versus Germany. Overall, our long duration in German Bunds, held in long-dated maturities, was positive over the fiscal year ending Sept 30, 2020.
Spread detracted from performance
Spread allocation was mixed over the twelve months ending Sept. 30, 2020, for a net negative contribution for the twelve-month period. Investor appetite for risk was solid in the last quarter of 2019 with developed market sovereigns and corporates (along with emerging markets) holdings all performed positively. However, as the COVID-19 virus took hold early in 2020, both developed and emerging-markets spread sharply, underperformed over the first quarter across all sectors. The subsequent two quarters did not fully reverse that underperformance.
Overall, risk assets performed well during the second quarter of 2020, particularly our hard currency, emerging market sovereign and corporate positions. Developed market corporate allocation to financials, consumer cyclicals and energy underperformed the most in during the first quarter of 2020, but the same sectors rebounded during the second quarter, recouping approximately half of the earlier losses. Our allocation to developed market sovereigns was positive throughout the twelve-month period. Our peripheral spreads tightening position (in Italy and Spain) had a small detraction over the first quarter, while our Italian government bonds allocation performed strongly in the second quarter of 2020, with positive contribution as well from Portugal. Holdings in peripheral Europe continued to contribute positively during the third quarter of 2020.
In emerging markets, hard currency sovereign holdings in Latin America and Africa rebounded during the second and third quarters of 2020 as emerging-market central banks followed developed markets in cutting policy rates. China property
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bonds, which had been the strongest emerging-market corporate contributor in the second quarter, detracted in the third quarter of 2020 as that sector came under pressure to de-lever to meet new domestic regulations. Emerging-market local currency bonds detracted from third quarter 2020 performance as Mexican rates rose as the growth outlook improved and as Argentina limited local companies’ access to U.S. dollars, which limited further the convertibility of the Argentinian peso.
Currency positively contributed to performance
Our long U.S. dollar bias throughout the period was a positive for performance, particularly versus our short emerging-market currency exposure. Our short positioning in the German bund also worked well. Safe-haven currencies like the yen, euro and Swiss franc had a broadly neutral contribution earlier in the fiscal period but contributed positively in the quarter ending in September.
Portfolio activity
We increased the overall portfolio duration during the fourth quarter of 2019 by adding to the long-end of U.S. Treasuries where the curve remained relatively steep. In developed market government spread, we initiated long Canada and Australia versus short U.S. Treasury positions. In Europe, we closed our long U.K. duration position, while adding slightly to Sweden duration. In developed market credit, we reduced European sub-insurance holdings due to expensive valuations and deteriorating fundamentals, while adding to selected European autos. In emerging-market local rates, the overall duration was increased slightly as we added a long position in Mexico, while taking profits and closing our short position in South Korea. In hard currency emerging markets, we reduced our exposures in Sri Lanka as well as in Colombia given the high risk of fiscal slippage with the local protests.
Our developed markets rates positions were long duration as we headed into the COVID-19 crisis as we felt that yields were not reflecting the continuation of the monetary policy easing that started in 2019. Over the first quarter 2020, we kept portfolio duration largely the same, but re-allocated the composition of our duration, favoring U.S. Treasuries being the deepest, most liquid bond market. When Treasury yields sold off in March, together with most of the other financial markets around the world, we increased the portfolio duration by adding to intermediate maturities, but still weighting the long end. We closed our long positions in Norway and Canada, both profitably after their central banks cut rates and launched quantitative easing. In reallocating to bunds and U.S. Treasuries respectively, we increased liquidity in the portfolio. We reduced our France spread widener slightly but kept the position as a hedge to our European credit positions. We used the widening opportunity in European periphery to buy a small allocation in Spain and Portugal. We also added to our long China duration.
In credit, we participated in the new issue market selectively, when levels were perceived to be attractive and liquidity available. We bought protection on the senior part of the capital structure of certain financials and added risk in select sub-financial issuers. We also added to our holdings in energy and autos, particularly high-quality names or big global issuers with adequate access to liquidity, either in public or private debt markets. Balancing this allocation, we added risk in non-cyclical issuers we feel offered attractive fundamental value. In currency, we moved from a short U.S. dollar position at the start of 2020 to long U.S. dollar, primarily versus our short emerging-market currencies. After closing our short German bund position in the first quarter of 2020 and moving to a long position, we became increasingly bearish and re-instated our short in the second quarter as a hard Brexit was becoming increasingly likely amidst the government’s weak handling of the COVID-19 crisis. We also switched from a short position in the euro to a long position and reduced our long yen exposure.
During the final quarter of the period, we increased overall portfolio duration as we continue to favor the long end of the U.S. Treasury curve. We added to our TIPS position on attractive valuations. In spread, we reduced our exposure to Peru on deteriorating fundamentals and reduced exposure in Spain in favor of Italy. We also rotated out of select British insurers into European insurers on Brexit concerns. We continue to focus on high quality issuers, but on issues lower in their capital structure versus lower credit quality. In currency, we increased our long euro versus short German bund and our long U.S. dollar versus short emerging-market currencies.
Outlook
After the presidential debate in the U.S., Democratic candidate Joe Biden has extended his lead in the polls, and we believe seems very likely to be the next U.S. president. Given the already wide margin of Biden’s lead, markets have moved to price a Democratic sweep given the usual correlation between the Presidential election and the way people vote for Congress. Yields and equities have moved higher and the U.S. dollar weaker, assuming a higher probability of a large fiscal package, higher taxes for corporations, more regulation and a softer approach to diplomacy.
We would challenge some of these assumptions. First of all, it does not seem like a done deal that the Democrats will take the Senate, and we might have to wait for a possible runoff election in Georgia in January to see who has the majority. We
2020 | ANNUAL REPORT | 107 |
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have seen that, usually, a Democratic president with a divided Congress will struggle to pass a large fiscal package or a broad set of regulations. Also, it is not that evident to us that the U.S. dollar should trade lower in the medium term if the Democrats win the presidency and both chambers of Congress. If that is the case, we believe that the U.S. would be in a much better position than any other developed market to stimulate the economy, supporting the U.S. dollar versus other currencies. Also it seems that in that situation, we think that the Fed would not step up asset purchases, giving further support to the U.S. dollar. Conversely, in Europe after a summer where fiscal and monetary policies went beyond investors’ expectations, we are facing a second virus wave with little hope of further policy easing. As a result, we have increased our duration in the long end of the U.S. curve and increased our exposure to the U.S. dollar where possible, using the volatility markets where investors had priced already the risk of a contested election.
Performance shown at NAV does not include the effect of sales charges. If reflected, the performance shown would have been lower. Performance including sales charges reflects the maximum applicable front-end sales load.
Past performance is not a guarantee of future results. The value of the Fund’s shares will change, and you could lose money on your investment.
Fixed-income securities are subject to interest rate risk and, as such, the Fund’s net asset value may fall as interest rates rise. Investing in below investment grade securities may carry a greater risk of nonpayment of interest or principal than higher-rated bonds.
International investing involves additional risks, including currency fluctuations, political or economic conditions affecting the foreign country, and differences in accounting standards and foreign regulations. These risks are magnified in emerging markets.
Sovereign debt instruments are also subject to the risk that a government or agency issuing the debt may be unable to pay interest and/or principal due to cash flow problems, insufficient foreign currency reserves or political concerns.
The use of derivatives presents several risks including the risk that fluctuation in the values of the derivatives may not correlate perfectly with the overall securities markets or with the underlying asset from which the derivative’s value is derived. Moreover, some derivatives are more sensitive to interest rate changes and market fluctuations than others, and the risk of loss may be greater than if the derivative technique(s) had not been used. Derivatives also may be subject to counterparty risk, which includes the risk that a loss may be sustained by the Fund as a result of the insolvency or bankruptcy of, or other non-compliance by, another party to the transaction.
These and other risks are more fully described in the Fund’s prospectus.
The opinions expressed in this report are those of the Fund’s portfolio managers and are current only through the end of the period of the report as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions, and no forecasts can be guaranteed.
The index noted is unmanaged, includes reinvested dividends and does not include fees. One cannot invest directly in an index, nor is an index representative of the Ivy Pictet Targeted Return Bond Fund.
108 | ANNUAL REPORT | 2020 |
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PORTFOLIO HIGHLIGHTS | IVY PICTET TARGETED RETURN BOND FUND |
ALL DATA IS AS OF SEPTEMBER 30, 2020 (UNAUDITED)
Asset Allocation
Purchased Options | 0.1% | |||
Bonds | 88.8% | |||
Other Government Securities | 32.8% | |||
Corporate Debt Securities | 30.7% | |||
United States Government and Government Agency Obligations | 25.3% | |||
Cash and Other Assets (Net of Liabilities), | 11.1% |
Quality Weightings
Investment Grade | 76.1% | |||
AAA | 22.1% | |||
AA | 15.5% | |||
A | 8.3% | |||
BBB | 30.2% | |||
Non-Investment Grade | 12.7% | |||
BB | 8.2% | |||
B | 4.1% | |||
CCC | 0.1% | |||
Below CCC | 0.0% | |||
Non-rated | 0.3% | |||
Cash and Other Assets (Net of Liabilities), | 11.2% |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
Country Weightings
North America | 35.2% | |||
United States | 34.0% | |||
Other North America | 1.2% | |||
Europe | 37.4% | |||
Germany | 11.7% | |||
Italy | 10.9% | |||
Other Europe | 14.8% | |||
Pacific Basin | 8.5% | |||
China | 5.1% | |||
Other Pacific Basin | 3.4% | |||
Other | 3.4% | |||
Bahamas/Caribbean | 1.7% | |||
South America | 1.7% | |||
Africa | 0.5% | |||
Asia | 0.4% | |||
Cash and Other Assets (Net of Liabilities), | 11.2% |
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, Foreign Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
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COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT | IVY PICTET TARGETED RETURN BOND FUND |
(UNAUDITED)
Please note that the performance of the Fund’s other share classes will be greater or less than the performance shown above for Class A based on the differences in loads and fees paid by shareholders investing in the different classes.
(1) | The value of the investment in the Fund is impacted by the sales load at the time of the investment and by the ongoing expenses of the Fund and assumes reinvestment of dividends and distributions. |
Average Annual Total Return(2) | Class A(3) | Class C | Class I | Class N | Class Y | |||||||||||||||
1-year period ended 9-30-20 | -3.77% | 1.32% | 2.19% | 2.41% | 2.07% | |||||||||||||||
5-year period ended 9-30-20 | — | — | — | — | — | |||||||||||||||
10-year period ended 9-30-20 | — | — | — | — | — | |||||||||||||||
Since Inception of Class through 9-30-20(4) | 1.31% | 1.87% | 2.80% | 2.94% | 2.60% |
(2) | Data quoted is past performance and is based on deduction of the maximum applicable sales load for each of the periods. Current performance may be lower or higher. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost. Please visit www.ivyinvestments.com for the Fund’s most recent month end performance. Class A Shares carry a maximum front-end sales load of 5.75%(a). Class C shares carry a maximum contingent deferred sales charge (CDSC) of 1% (the Class C shares reflect no CDSC since it only applies to Class C shares redeemed within twelve months after purchase). Class I, Class N and Class Y shares are not subject to sales charges. |
(3) | Class A shares carry a CDSC on shares purchased at net asset value for $1 million or more that are subsequently redeemed within 12 months of purchase. Effective October 1, 2020, Class A shares carry a CDSC on shares purchased at net asset value for $500,000 or more that are subsequently redeemed within 12 months of purchase. |
(4) | 1-4-16 for Class A shares, 1-4-16 for Class C shares, 1-4-16 for Class I shares, 1-4-16 for Class N shares and 1-4-16 for Class Y shares (the date on which shares were first acquired by shareholders). |
Past performance is not necessarily indicative of future performance. Indexes are unmanaged. The performance graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance results may include the effect of expense reduction arrangements for some or all of the periods shown. If those arrangements had not been in place, the performance results for those periods would have been lower.
(a) | Effective October 1, 2020, the maximum applicable sales charge for Class A shares has been lowered to 2.50%. |
110 | ANNUAL REPORT | 2020 |
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SCHEDULE OF INVESTMENTS | IVY PICTET TARGETED RETURN BOND FUND (in thousands) |
SEPTEMBER 30, 2020
PURCHASED OPTIONS | Number of Contracts (Unrounded) | Notional Amount | Value | |||||||||
EUR versus USD, | ||||||||||||
Call $1.19, Expires 6–17–21, OTC (Ctrpty: Barclays Capital, Inc.) | 6,495,000 | 6,495 | $ | 120 | ||||||||
Euro-Bobl 5-Year Bond December Futures, | ||||||||||||
Call $143.50, Expires 11–20–20 | 66 | 6,600 | – | * | ||||||||
Euro-Oat 10-Year Bond December Futures, | ||||||||||||
Call $190.00, Expires 11–20–20 | 88 | 8,800 | 1 | |||||||||
GBP versus USD: | ||||||||||||
Put $1.22, Expires 11–26–20, OTC (Ctrpty: Morgan Stanley & Co., Inc.) | 8,880,000 | 8,880 | 40 | |||||||||
Call $1.37, Expires 12–21–20, OTC (Ctrpty: Citibank N.A.) | 5,928,000 | 5,928 | 17 | |||||||||
iTraxx Europe Crossover, Series 33 Index, | ||||||||||||
Put EUR75.00, Expires 10–21–20, OTC (Ctrpty: Goldman Sachs International) (A) | 6,800,000 | 6,800 | 6 | |||||||||
Markit CDX Investment Grade, Series 34 Index, | ||||||||||||
Put $85.00, Expires 10–21–20, OTC (Ctrpty: Goldman Sachs International) | 23,000,000 | 23,000 | 64 | |||||||||
U.S. 10-Year Treasury Note December Futures, | ||||||||||||
Call $159.50, Expires 11–20–20 | 195 | 19,500 | 1 | |||||||||
U.S. 5-Year Treasury Note December Futures, | ||||||||||||
Put $116.50, Expires 11–20–20 | 218 | 21,800 | 1 | |||||||||
U.S. Treasury Long Bond December Futures, | ||||||||||||
Call $211.00, Expires 11–20–20 | 101 | 10,100 | 2 | |||||||||
USD versus CHF, | ||||||||||||
Put $0.91, Expires 11–4–20, OTC (Ctrpty: Morgan Stanley & Co., Inc.) | 3,875,000 | 3,875 | 20 | |||||||||
USD versus JPY, | ||||||||||||
Call $108.30, Expires 11–19–20, OTC (Ctrpty: Morgan Stanley & Co., Inc.) | 7,730,000 | 7,730 | 14 |
PURCHASED OPTIONS (Continued) | Number of Contracts (Unrounded) | Notional Amount | Value | |||||||||
USD versus KRW, | ||||||||||||
Call $1,203.78, Expires 10–12–20, OTC (Ctrpty: Morgan Stanley & Co., Inc.) | 3,840,000 | 3,840 | $ | 1 | ||||||||
|
| |||||||||||
TOTAL PURCHASED OPTIONS – 0.1% |
| $ | 287 | |||||||||
(Cost: $689) |
| |||||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||||||
Communication Services |
| |||||||||||
Broadcasting – 0.5% |
| |||||||||||
Discovery Communications LLC (GTD by Discovery, Inc.), |
| |||||||||||
5.300%, 5–15–49 |
| $ | 369 | 452 | ||||||||
Fox Corp., |
| |||||||||||
5.576%, 1–25–49 |
| 372 | 514 | |||||||||
|
| |||||||||||
966 | ||||||||||||
|
| |||||||||||
Cable & Satellite – 0.7% |
| |||||||||||
Altice France S.A., |
| |||||||||||
5.875%, 2–1–27 (A) |
| EUR | 363 | 449 | ||||||||
Charter Communications Operating LLC and Charter Communications Operating Capital Corp., |
| |||||||||||
5.750%, 4–1–48 |
| $ | 450 | 557 | ||||||||
Summer BidCo B.V. (9.000% Cash or 9.750% PIK), |
| |||||||||||
9.000%, 11–15–25 (A)(B) |
| EUR | 210 | 247 | ||||||||
|
| |||||||||||
1,253 | ||||||||||||
|
| |||||||||||
Integrated Telecommunication Services – 1.5% |
| |||||||||||
AT&T, Inc.: |
| |||||||||||
4.250%, 6–1–43 (A) |
| GBP | 176 | 278 | ||||||||
3.650%, 9–15–59 (C) |
| $ | 561 | 542 | ||||||||
British Telecommunications plc, |
| |||||||||||
3.250%, 11–8–29 |
| 870 | 934 | |||||||||
CK Hutchison Group Telecom Finance S.A., |
| |||||||||||
1.500%, 10–17–31 (A) |
| EUR | 200 | 243 | ||||||||
Oi S.A. (10.000% Cash or 8.000% Cash and 4.000% PIK), |
| |||||||||||
10.000%, 7–27–25 (B) |
| $ | 215 | 208 | ||||||||
Telefonica Emisiones S.A.: |
| |||||||||||
7.045%, 6–20–36 |
| 145 | 208 | |||||||||
5.213%, 3–8–47 |
| 400 | 474 | |||||||||
|
| |||||||||||
2,887 | ||||||||||||
|
| |||||||||||
Wireless Telecommunication Service – 0.2% |
| |||||||||||
SoftBank Group Corp., |
| |||||||||||
4.000%, 9–19–29 (A) |
| EUR | 340 | 398 | ||||||||
|
| |||||||||||
Total Communication Services – 2.9% |
| 5,504 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel, Accessories & Luxury Goods – 0.2% |
| |||||||
PVH Corp., |
| |||||||
3.125%, 12–15–27 (A) | EUR 340 | $ | 401 | |||||
|
| |||||||
Auto Parts & Equipment – 0.5% |
| |||||||
Grupo-Antolin Irausa S.A., | ||||||||
3.250%, 4–30–24 (A) | 134 | 133 | ||||||
IHO Verwaltungs GmbH (3.875% Cash or 4.625% PIK), | ||||||||
3.875%, 5–15–27 (A)(B) | 300 | 352 | ||||||
ZF Europe Finance B.V., | ||||||||
3.000%, 10–23–29 (A) | 400 | 419 | ||||||
|
| |||||||
904 | ||||||||
|
| |||||||
Automobile Manufacturers – 1.3% |
| |||||||
Daimler AG, | ||||||||
1.125%, 11–6–31 (A) | 870 | 1,029 | ||||||
General Motors Co., | ||||||||
6.800%, 10–1–27 | $ | 490 | 595 | |||||
Jaguar Land Rover Automotive plc, | ||||||||
5.875%, 11–15–24 (A) | EUR | 220 | 232 | |||||
Volkswagen International Finance N.V., | ||||||||
3.375%, 6–27–69 (A) | 500 | 590 | ||||||
|
| |||||||
2,446 | ||||||||
|
| |||||||
Home Improvement Retail – 0.3% |
| |||||||
Lowe’s Co., Inc., | ||||||||
4.550%, 4–5–49 | $ | 470 | 605 | |||||
|
| |||||||
Restaurants – 0.1% |
| |||||||
Starbucks Corp., | ||||||||
4.450%, 8–15–49 | 246 | 298 | ||||||
|
| |||||||
Total Consumer Discretionary – 2.4% |
| 4,654 | ||||||
Consumer Staples |
| |||||||
Brewers – 0.4% |
| |||||||
Anheuser-Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB), | ||||||||
5.800%, 1–23–59 | 365 | 521 | ||||||
Heineken N.V., | ||||||||
1.625%, 3–30–25 (A) | EUR | 200 | 250 | |||||
|
| |||||||
771 | ||||||||
|
| |||||||
Drug Retail – 0.3% |
| |||||||
CVS Health Corp., | ||||||||
5.050%, 3–25–48 | $ | 489 | 622 | |||||
|
| |||||||
Hypermarkets & Super Centers – 0.3% |
| |||||||
Carrefour S.A., | ||||||||
2.625%, 12–15–27 (A) | EUR | 400 | 534 | |||||
|
| |||||||
Packaged Foods & Meats – 0.3% |
| |||||||
Mars, Inc., | ||||||||
4.200%, 4–1–59 (C) | $ | 395 | 503 | |||||
|
| |||||||
Total Consumer Staples – 1.3% |
| 2,430 |
2020 | ANNUAL REPORT | 111 |
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SCHEDULE OF INVESTMENTS | IVY PICTET TARGETED RETURN BOND FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 2.3% |
| |||||||
Eni S.p.A., | ||||||||
0.625%, 1–23–30 (A) | EUR | 1,850 | $ | 2,180 | ||||
Nexen Energy ULC, | ||||||||
6.400%, 5–15–37 | $ | 229 | 339 | |||||
Pemex Project Funding Master Trust (GTD by Petroleos Mexicanos), | ||||||||
6.625%, 6–15–35 | 352 | 292 | ||||||
Petroleos Mexicanos, | ||||||||
4.875%, 2–21–28 (A) | EUR | 281 | 288 | |||||
PT Perusahaan Gas Negara Tbk, | ||||||||
5.125%, 5–16–24 | $ | 600 | 655 | |||||
Raizen Fuels Finance Ltd., | ||||||||
5.300%, 1–20–27 (C) | 589 | 640 | ||||||
|
| |||||||
4,394 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 1.1% |
| |||||||
BP Capital Markets plc (GTD by BP plc), | ||||||||
1.231%, 5–8–31 (A) | EUR | 1,250 | 1,520 | |||||
Oil and Gas Holding Co., | ||||||||
7.500%, 10–25–27 | $ | 600 | 637 | |||||
|
| |||||||
2,157 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 1.0% |
| |||||||
Energy Transfer Partners L.P., | ||||||||
6.000%, 6–15–48 | 550 | 552 | ||||||
Kunlun Energy Co. Ltd., | ||||||||
3.750%, 5–13–25 (D) | 464 | 502 | ||||||
TransCanada PipeLines Ltd., | ||||||||
5.300%, 3–15–77 | 774 | 776 | ||||||
|
| |||||||
1,830 | ||||||||
|
| |||||||
Total Energy – 4.4% |
| 8,381 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.5% |
| |||||||
Charming Light Investments Ltd., | ||||||||
4.375%, 12–21–27 (D) | 458 | 519 | ||||||
China Cinda Finance (2017) I Ltd., | ||||||||
4.400%, 3–9–27 | 404 | 453 | ||||||
|
| |||||||
972 | ||||||||
|
| |||||||
Consumer Finance – 0.6% |
| |||||||
American Honda Finance Corp. (GTD by Honda Motor Co.), | ||||||||
1.950%, 10–18–24 (A) | EUR | 360 | 452 | |||||
Ford Motor Credit Co. LLC, | ||||||||
3.815%, 11–2–27 | $ | 650 | 619 | |||||
|
| |||||||
1,071 | ||||||||
|
| |||||||
Diversified Banks – 3.0% |
| |||||||
ABANCA Corp. Bancaria S.A., | ||||||||
6.125%, 1–18–29 (A) | EUR | 300 | 369 | |||||
ABN AMRO Bank N.V., | ||||||||
2.875%, 1–18–28 (A) | 300 | 368 | ||||||
Banco Santander S.A., | ||||||||
6.750%, 7–25–68 (A) | 200 | 245 | ||||||
Banque Centrale de Tunisia, | ||||||||
6.375%, 7–15–26 (A) | 166 | 175 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Banks (Continued) |
| |||||||
Barclays plc, | ||||||||
2.000%, 2–7–28 (A) | EUR 400 | $ | 465 | |||||
BAWAG Group AG, | ||||||||
5.000%, 11–14–68 (A) | 200 | 231 | ||||||
BNP Paribas S.A., | ||||||||
4.500%, 8–25–68 (C) | $ | 320 | 307 | |||||
Erste Group Bank AG, | ||||||||
6.500%, 10–15–68 (A) | EUR 400 | 503 | ||||||
Intesa Sanpaolo S.p.A., | ||||||||
3.750%, 8–27–68 (A) | 250 | 240 | ||||||
La Banque Postale, | ||||||||
3.875%, 5–20–68 (A) | 400 | 453 | ||||||
Landesbank Baden-Wuerttemberg, | ||||||||
2.875%, 9–28–26 (A) | 400 | 489 | ||||||
Lloyds Banking Group plc, | ||||||||
7.500%, 4–30–49 | $ | 210 | 220 | |||||
Svenska Handelsbanken AB, | ||||||||
6.250%, 3–1–69 | 600 | 652 | ||||||
UniCredit S.p.A.: | ||||||||
5.861%, 6–19–32 | 400 | 426 | ||||||
5.459%, 6–30–35 (C) | 200 | 203 | ||||||
Virgin Money UK plc, | ||||||||
4.000%, 9–25–26 (A) | GBP | 300 | 399 | |||||
|
| |||||||
5,745 | ||||||||
|
| |||||||
Diversified Capital Markets – 0.6% |
| |||||||
Credit Suisse Group AG: | ||||||||
3.250%, 4–2–26 (A) | EUR | 400 | 524 | |||||
7.250%, 3–12–68 | $ | 400 | 434 | |||||
UBS Group AG, | ||||||||
7.000%, 7–31–68 | 200 | 213 | ||||||
|
| |||||||
1,171 | ||||||||
|
| |||||||
Life & Health Insurance – 1.6% |
| |||||||
CNP Assurances S.A., | ||||||||
2.500%, 6–30–51 (A) | EUR | 1,300 | 1,559 | |||||
Legal & General Group plc, | ||||||||
3.750%, 11–26–49 (A) | GBP | 425 | 562 | |||||
Pension Insurance Corp., | ||||||||
7.375%, 1–25–69 (A) | 304 | 441 | ||||||
Rothesay Life plc, | ||||||||
6.875%, 3–12–68 (A) | 300 | 411 | ||||||
|
| |||||||
2,973 | ||||||||
|
| |||||||
Multi-Line Insurance – 0.1% |
| |||||||
ageas S.A./N.V., | ||||||||
3.875%, 6–10–69 (A) | EUR | 200 | 218 | |||||
|
| |||||||
Other Diversified Financial Services – 0.4% |
| |||||||
RCI Banque S.A., | ||||||||
2.625%, 2–18–30 (A) | 600 | 669 | ||||||
|
| |||||||
Property & Casualty Insurance – 0.3% |
| |||||||
Chubb INA Holdings, Inc. (GTD by Chubb Ltd.), | ||||||||
2.500%, 3–15–38 (A) | 243 | 343 | ||||||
Direct Line Insurance Group plc, | ||||||||
4.750%, 6–7–68 (A) | GBP | 200 | 240 | |||||
|
| |||||||
583 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Specialized Finance – 1.2% |
| |||||||
China Great Wall International Holdings III Ltd., | ||||||||
3.875%, 8–31–27 | $ | 679 | $ | 742 | ||||
Huarong Finance 2017 Co. Ltd., | ||||||||
4.250%, 11–7–27 | 354 | 379 | ||||||
Intrum AB, | ||||||||
3.000%, 9–15–27 (A)(C) | EUR | 669 | 681 | |||||
Vonovia Finance B.V., | ||||||||
1.125%, 9–14–34 (A) | 400 | 470 | ||||||
|
| |||||||
2,272 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.4% |
| |||||||
Deutsche Pfandbriefbank AG, | ||||||||
2.875%, 6–28–27 (A) | 700 | 801 | ||||||
|
| |||||||
Total Financials – 8.7% |
| 16,475 | ||||||
Health Care |
| |||||||
Health Care Facilities – 0.2% |
| |||||||
HCA, Inc. (GTD by HCA Holdings, Inc.), | ||||||||
5.250%, 6–15–49 | $ | 320 | 389 | |||||
|
| |||||||
Health Care Supplies – 0.3% |
| |||||||
Medtronic Global Holdings SCA, | ||||||||
1.750%, 7–2–49 (A) | EUR | 363 | 446 | |||||
|
| |||||||
Life Sciences Tools & Services – 0.1% |
| |||||||
Thermo Fisher Scientific, Inc., | ||||||||
2.875%, 7–24–37 (A) | 158 | 235 | ||||||
|
| |||||||
Managed Health Care – 0.3% |
| |||||||
UnitedHealth Group, Inc.: | ||||||||
3.700%, 8–15–49 | $ | 238 | 284 | |||||
3.875%, 8–15–59 | 233 | 282 | ||||||
|
| |||||||
566 | ||||||||
|
| |||||||
Total Health Care – 0.9% |
| 1,636 | ||||||
Industrials |
| |||||||
Airlines – 0.3% |
| |||||||
Aeroports de Paris S.A., | ||||||||
2.750%, 4–2–30 (A) | EUR | 400 | 530 | |||||
Avianca Holdings S.A., | ||||||||
9.000%, 5–10–23 (C)(E) | $ | 440 | 70 | |||||
|
| |||||||
600 | ||||||||
|
| |||||||
Diversified Support Services – 0.3% |
| |||||||
Logicor Financing S.a.r.l., | ||||||||
3.250%, 11–13–28 (A) | EUR | 400 | 531 | |||||
|
| |||||||
Industrial Conglomerates – 0.2% |
| |||||||
General Electric Co., | ||||||||
4.125%, 10–9–42 | $ | 324 | 328 | |||||
|
| |||||||
Railroads – 0.2% |
| |||||||
CSX Corp., | ||||||||
4.750%, 11–15–48 | 390 | 517 | ||||||
|
| |||||||
Total Industrials – 1.0% |
| 1,976 |
112 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PICTET TARGETED RETURN BOND FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Information Technology |
| |||||||
IT Consulting & Other Services – 0.4% |
| |||||||
International Business Machines Corp., | ||||||||
4.250%, 5–15–49 | $ | 567 | $ | 706 | ||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.0% |
| |||||||
Apple, Inc., | ||||||||
1.125%, 5–11–25 | 664 | 679 | ||||||
Hewlett Packard Enterprise Co.: | ||||||||
4.900%, 10–15–25 (F) | 359 | 411 | ||||||
6.350%, 10–15–45 (F) | 530 | 674 | ||||||
Hewlett Packard Enterprise Co. (3-Month U.S. LIBOR plus 72 bps), | ||||||||
1.024%, 10–5–21 (D)(G) | 97 | 97 | ||||||
|
| |||||||
1,861 | ||||||||
|
| |||||||
Total Information Technology – 1.4% |
| 2,567 | ||||||
Materials |
| |||||||
Aluminum – 0.2% |
| |||||||
PT Indonesia Asahan Aluminum Persero Tbk, | ||||||||
6.757%, 11–15–48 | 315 | 404 | ||||||
|
| |||||||
Diversified Chemicals – 0.6% |
| |||||||
Chemours Co. (The), | ||||||||
4.000%, 5–15–26 (A) | EUR | 200 | 223 | |||||
CNAK (HK) Finbridge Co. Ltd., | ||||||||
5.125%, 3–14–28 | $ | 200 | 228 | |||||
Dow Chemical Co. (The), | ||||||||
4.375%, 11–15–42 | 500 | 564 | ||||||
|
| |||||||
1,015 | ||||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.3% |
| |||||||
Israel Chemicals Ltd., | ||||||||
6.375%, 5–31–38 | 413 | 525 | ||||||
|
| |||||||
Specialty Chemicals – 0.4% |
| |||||||
International Flavors & Fragrances, Inc., | ||||||||
5.000%, 9–26–48 | 343 | 424 | ||||||
Westlake Chemical Corp., | ||||||||
1.625%, 7–17–29 (A) | EUR | 344 | 396 | |||||
|
| |||||||
820 | ||||||||
|
| |||||||
Total Materials – 1.5% |
| 2,764 | ||||||
Real Estate |
| |||||||
Diversified Real Estate Activities – 1.4% |
| |||||||
Blackstone Property Partners Europe Holdings S.a.r.l., | ||||||||
1.750%, 3–12–29 (A) | 284 | 332 | ||||||
Blackstone Property Partners Europe L.P., | ||||||||
2.200%, 7–24–25 (A) | 800 | 982 | ||||||
Shimao Property Holdings Ltd., | ||||||||
6.125%, 2–21–24 | $ | 842 | 898 | |||||
Vanke Real Estate (Hong Kong) Co. Ltd., | ||||||||
3.975%, 11–9–27 | 335 | 364 | ||||||
|
| |||||||
2,576 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified REITs – 0.1% |
| |||||||
Aroundtown S.A., | ||||||||
1.625%, 1–31–28 (A) | EUR | 200 | $ | 241 | ||||
|
| |||||||
Hotel & Resort REITs – 0.3% |
| |||||||
China Aoyuan Property Group Ltd.: | ||||||||
7.500%, 5–10–21 | $ | 234 | 236 | |||||
5.375%, 9–13–22 | 400 | 395 | ||||||
|
| |||||||
631 | ||||||||
|
| |||||||
Industrial REITs – 0.4% |
| |||||||
Prologis Euro Finance LLC (GTD by Prologis L.P.): | ||||||||
0.625%, 9–10–31 (A) | EUR | 340 | 396 | |||||
1.500%, 9–10–49 (A) | 327 | 389 | ||||||
|
| |||||||
785 | ||||||||
|
| |||||||
Office REITs – 0.3% |
| |||||||
Demire Deutsche Mittelstand Real Estate AG, | ||||||||
1.875%, 10–15–24 (A) | 200 | 216 | ||||||
Inmobiliaria Colonial Socimi S.A., | ||||||||
2.500%, 11–28–29 (A) | 200 | 248 | ||||||
|
| |||||||
464 | ||||||||
|
| |||||||
Real Estate Development – 2.8% |
| |||||||
Agile Group Holdings Ltd., | ||||||||
6.700%, 3–7–22 (D) | $ | 295 | 302 | |||||
China Evergrande Group, | ||||||||
8.750%, 6–28–25 | 936 | 730 | ||||||
CIFI Holdings Group Co. Ltd., | ||||||||
6.550%, 3–28–24 | 600 | 620 | ||||||
Country Garden Holdings Co. Ltd.: | ||||||||
8.000%, 1–27–24 | 369 | 399 | ||||||
7.250%, 4–8–26 | 200 | 222 | ||||||
CPI Property Group S.A., | ||||||||
4.875%, 10–16–68 (A) | EUR | 400 | 459 | |||||
Logan Property Holdings Co. Ltd., | ||||||||
6.500%, 7–16–23 | $ | 302 | 308 | |||||
Longfor Properties Co. Ltd., | ||||||||
4.500%, 1–16–28 | 706 | 775 | ||||||
RKPF Overseas 2019 A Ltd., | ||||||||
7.875%, 2–1–23 | 500 | 523 | ||||||
Sunac China Holdings Ltd., | ||||||||
7.950%, 10–11–23 | 1,000 | 1,010 | ||||||
|
| |||||||
5,348 | ||||||||
|
| |||||||
Retail REITs – 0.2% |
| |||||||
MAF Global Securities Ltd., | ||||||||
5.500%, 9–7–68 | 400 | 396 | ||||||
|
| |||||||
Specialized REITs – 0.2% |
| |||||||
Digital Stout Holding LLC, | ||||||||
3.750%, 10–17–30 (A) | GBP | 300 | 458 | |||||
|
| |||||||
Total Real Estate – 5.7% |
| 10,899 | ||||||
Utilities |
| |||||||
Electric Utilities – 0.3% |
| |||||||
E.ON SE, | ||||||||
1.000%, 10–7–25 (A) | EUR | 400 | 491 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Electric Utilities (Continued) |
| |||||||
Energo-Pro A.S., | ||||||||
4.500%, 5–4–24 (A) | EUR | 171 | $ | 191 | ||||
|
| |||||||
682 | ||||||||
|
| |||||||
Gas Utilities – 0.2% |
| |||||||
Origin Energy Finance Ltd., | ||||||||
2.500%, 10–23–20 (A) | 300 | 352 | ||||||
|
| |||||||
Total Utilities – 0.5% |
| 1,034 | ||||||
TOTAL CORPORATE DEBT |
| $ | 58,320 | |||||
(Cost: $54,570) |
| |||||||
OTHER GOVERNMENT SECURITIES (H) | ||||||||
Bermuda – 0.3% |
| |||||||
Bermuda Government Bond, | ||||||||
3.375%, 8–20–50 | $ | 472 | 485 | |||||
|
| |||||||
Brazil – 0.8% |
| |||||||
Federative Republic of Brazil, | ||||||||
4.625%, 1–13–28 | 1,318 | 1,427 | ||||||
|
| |||||||
Bulgaria – 0.3% |
| |||||||
Bulgaria Government Bond, | ||||||||
1.375%, 9–23–50 (A) | EUR | 505 | 577 | |||||
|
| |||||||
Chile – 0.3% |
| |||||||
Chile Bonos Tesoreria, | ||||||||
3.500%, 1–25–50 | $ | 480 | 547 | |||||
|
| |||||||
China – 2.2% |
| |||||||
China Government Bond, | ||||||||
3.390%, 3–16–50 (A) | CNH | 30,710 | 4,147 | |||||
|
| |||||||
Columbia – 0.4% |
| |||||||
Republic of Colombia, | ||||||||
6.125%, 1–18–41 | $ | 523 | 669 | |||||
|
| |||||||
Costa Rica – 0.3% |
| |||||||
Costa Rica Government Bond: | ||||||||
4.250%, 1–26–23 | 350 | 338 | ||||||
6.125%, 2–19–31 | 200 | 188 | ||||||
|
| |||||||
526 | ||||||||
|
| |||||||
Croatia – 0.2% |
| |||||||
Republic of Croatia, | ||||||||
1.125%, 6–19–29 (A) | EUR | 350 | 417 | |||||
|
| |||||||
Dominican Republic – 0.3% |
| |||||||
Dominican Republic, | ||||||||
6.000%, 7–19–28 | $ | 570 | 613 | |||||
|
| |||||||
Egypt – 0.5% |
| |||||||
Arab Republic of Egypt: | ||||||||
6.375%, 4–11–31 (A) | EUR | 374 | 407 | |||||
8.500%, 1–31–47 (C) | $ | 277 | 268 | |||||
8.700%, 3–1–49 | 222 | 216 | ||||||
|
| |||||||
891 | ||||||||
|
|
2020 | ANNUAL REPORT | 113 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PICTET TARGETED RETURN BOND FUND (in thousands) |
SEPTEMBER 30, 2020
OTHER GOVERNMENT SECURITIES (H) (Continued) | Principal | Value | ||||||
Europe – 0.1% |
| |||||||
Republic of Ecuador: | ||||||||
0.000%, 7–31–30 (C)(I) | $ | 17 | $ | 8 | ||||
0.500%, 7–31–30 (C) | 129 | 87 | ||||||
0.500%, 7–31–35 (C) | 149 | 84 | ||||||
0.500%, 7–31–40 (C) | 56 | 28 | ||||||
|
| |||||||
207 | ||||||||
|
| |||||||
France – 1.1% |
| |||||||
France Government Bond, | ||||||||
0.100%, 7–25–47 (A) | EUR | 1,327 | 2,004 | |||||
0.400%, 5–15–30 (A) | 3,425 | 4,019 | ||||||
|
| |||||||
6,023 | ||||||||
|
| |||||||
Germany – 9.9% |
| |||||||
Bundesrepublik Deutschland, | ||||||||
0.000%, 2–15–30 (A)(I) | 15,220 | 18,795 | ||||||
|
| |||||||
Ghana – 0.3% |
| |||||||
Republic of Ghana, | ||||||||
8.125%, 1–18–26 | $ | 600 | 602 | |||||
|
| |||||||
Indonesia – 1.0% |
| |||||||
Indonesia Government Bond, | ||||||||
8.375%, 4–15–39 (A) | IDR | 7,041,000 | 503 | |||||
Republic of Indonesia: | ||||||||
1.450%, 9–18–26 (A) | EUR | 187 | 222 | |||||
3.850%, 10–15–30 | $ | 416 | 471 | |||||
1.400%, 10–30–31 (A) | EUR | 219 | 251 | |||||
3.700%, 10–30–49 | $ | 500 | 535 | |||||
|
| |||||||
1,982 | ||||||||
|
| |||||||
Israel – 0.3% |
| |||||||
Israel Government Bond, | ||||||||
4.500%, 4–3–20 | 443 | 607 | ||||||
|
| |||||||
Italy – 9.4% |
| |||||||
Buoni del Tesoro Poliennali: | ||||||||
0.900%, 8–1–22 (A) | EUR | 5,710 | 6,831 | |||||
0.350%, 2–1–25 (A) | 5,980 | 7,068 | ||||||
|
| |||||||
13,899 | ||||||||
|
| |||||||
Ivory Coast – 0.2% |
| |||||||
Ivory Coast Government Bond, | ||||||||
5.875%, 10–17–31 (A) | 350 | 371 | ||||||
|
| |||||||
Mexico – 0.2% |
| |||||||
United Mexican States, | ||||||||
4.750%, 4–27–32 (D) | $ | 276 | 312 | |||||
|
|
OTHER GOVERNMENT SECURITIES (H) (Continued) | Principal | Value | ||||||
Nigeria – 0.2% |
| |||||||
Republic of Nigeria, | ||||||||
7.625%, 11–28–47 | $ | 479 | $ | 430 | ||||
|
| |||||||
Peru – 0.2% |
| |||||||
Republic of Peru, | ||||||||
2.392%, 1–23–26 | 439 | 460 | ||||||
|
| |||||||
Qatar – 0.5% |
| |||||||
Qatar Government Bond: | ||||||||
3.750%, 4–16–30 | 312 | 362 | ||||||
5.103%, 4–23–48 | 440 | 611 | ||||||
|
| |||||||
973 | ||||||||
|
| |||||||
Romania – 0.2% |
| |||||||
Romania Government Bond, | ||||||||
3.375%, 1–28–50 (A) | EUR | 350 | 418 | |||||
|
| |||||||
South Africa – 1.0% |
| |||||||
Republic of South Africa: | ||||||||
5.875%, 9–16–25 | $ | 427 | 456 | |||||
5.875%, 6–22–30 (D) | 588 | 601 | ||||||
9.000%, 1–31–40 (A) | ZAR | 16,991 | 812 | |||||
|
| |||||||
1,869 | ||||||||
|
| |||||||
Spain – 1.7% |
| |||||||
Spain Government Bond, | ||||||||
0.500%, 4–30–30 (A)(C) | EUR | 2,628 | 3,172 | |||||
|
| |||||||
Sri Lanka – 0.1% |
| |||||||
Republic of Sri Lanka, | ||||||||
6.200%, 5–11–27 (C) | $ | 380 | 257 | |||||
|
| |||||||
Turkey – 0.1% |
| |||||||
Turkey Government Bond, | ||||||||
6.350%, 8–10–24 | 220 | 219 | ||||||
|
| |||||||
United Arab Emirates – 0.3% |
| |||||||
Abu Dhabi Government Bond, | ||||||||
4.125%, 10–11–47 | 515 | 650 | ||||||
|
| |||||||
Uzbekistan – 0.4% |
| |||||||
Republic of Uzbekistan, | ||||||||
5.375%, 2–20–29 | 759 | 847 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT |
| $ | 62,392 | |||||
(Cost: $60,393) |
|
UNITED STATES GOVERNMENT OBLIGATIONS | Principal | Value | ||||||
Treasury Inflation Protected Obligations – 10.8% |
| |||||||
U.S. Treasury Notes, | ||||||||
0.125%, 1–15–30 | $ | 18,631 | $ | 20,574 | ||||
|
| |||||||
Treasury Obligations – 14.5% |
| |||||||
U.S. Treasury Bonds, | ||||||||
3.375%, 11–15–48 (J) | 2,733 | 3,977 | ||||||
U.S. Treasury Notes: | ||||||||
2.000%, 2–15–25 | 2,000 | 2,153 | ||||||
1.125%, 2–28–25 | 20,580 | 21,381 | ||||||
|
| |||||||
27,511 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 25.3% |
| $ | 48,085 | |||||
(Cost: $46,658) |
| |||||||
SHORT-TERM SECURITIES | Shares | |||||||
Money Market Funds (L) – 2.5% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | ||||||||
0.040% (K) | 2,118 | 2,118 | ||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, | ||||||||
0.030% | 2,600 | 2,600 | ||||||
|
| |||||||
4,718 | ||||||||
|
| |||||||
Principal | ||||||||
Treasury Bills (M) – 5.0% |
| |||||||
Japan Government Treasury Bills, | ||||||||
-0.126%, 11–10–20 (A) | JPY | 1,000,000 | 9,483 | |||||
TOTAL SHORT-TERM SECURITIES – 7.5% |
| $ | 14,201 | |||||
(Cost: $14,018) |
| |||||||
TOTAL INVESTMENT SECURITIES –96.4% |
| $ | 183,285 | |||||
(Cost: $176,328) |
| |||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES (N)(O) – 3.6% |
| 6,912 | ||||||
NET ASSETS – 100.0% |
| $ | 190,197 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | Principal amounts are denominated in the indicated foreign currency, where applicable (AUD – Australian Dollar, BRL – Brazilian Real, CAD – Canadian Dollar, CHF – Swiss Franc, CNH – Chinese Yuan in Hong Kong, CNY – Chinese Yuan Renminbi, CZK – Czech Koruna, EUR – Euro, GBP – British Pound, HUF – Hungarian Forint, IDR – Indonesian Rupiah, JPY – Japanese Yen, KRW – South Korean Won, MXN – Mexican Peso, NOK – Norwegian Krone, NZD – New Zealand Dollar, PLN – Polish Zloty, SEK – Swedish Krona, TRY – Turkish Lira and ZAR – South African Rand). |
(B) | Payment-in-kind bond which may pay interest in additional par and/or in cash. Rates shown are the current rate and possible payment rates. |
114 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PICTET TARGETED RETURN BOND FUND (in thousands) |
SEPTEMBER 30, 2020
(C) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020 the total value of these securities amounted to $6,850 or 3.6% of net assets. |
(D) | All or a portion of securities with an aggregate value of $2,061 are on loan. |
(E) | Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
(F) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at September 30, 2020. |
(G) | Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2020. Description of the reference rate and spread, if applicable, are included in the security description. |
(H) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(I) | Zero coupon bond. |
(J) | All or a portion of securities with an aggregate value of $3,317 have been pledged as collateral on open futures contracts. |
(K) | Investment made with cash collateral received from securities on loan. |
(L) | Rate shown is the annualized 7-day yield at September 30, 2020. |
(M) | Rate shown is the yield to maturity at September 30, 2020. |
(N) | Cash of $100 has been pledged as collateral on OTC forward foreign currency contracts. |
(O) | Cash of $1,682 is held in collateralized accounts for centrally cleared swap agreement collateral. |
The following centrally cleared credit default swaps – buy protection(1) were outstanding at September 30, 2020:
Referenced Entity/Index | (Pay) Fixed Rate | Maturity Date | Notional Amount(2) | Value | Upfront Payments/ (Receipts) | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
Barclays plc | (1.000 | %) | 12–20–25 | 500 | $ | (7 | ) | $ | (3 | ) | $ | (4 | ) | |||||||||||||||
BNP Paribas S.A. | (1.000 | %) | 12–20–25 | 900 | (17 | ) | (17 | ) | — | * | ||||||||||||||||||
Banco Santander S.A. | (1.000 | %) | 12–20–25 | 900 | (2 | ) | (7 | ) | 5 | |||||||||||||||||||
iTraxx Europe Senior Financials, Series 34 Index | (1.000 | %) | 12–20–25 | 2,400 | (32 | ) | (30 | ) | (2 | ) | ||||||||||||||||||
iTraxx Asia ex-Japan Investment Grade, Series 34 Index | (1.000 | %) | 12–20–25 | 7,500 | (87 | ) | (97 | ) | 10 | |||||||||||||||||||
iTraxx Europe Crossover, Series 34 Index | (5.000 | %) | 12–20–25 | 1,700 | (143 | ) | (167 | ) | 24 | |||||||||||||||||||
NatWest Group plc | (1.000 | %) | 12–20–25 | 900 | (13 | ) | (6 | ) | (7 | ) | ||||||||||||||||||
People’s Republic of China | (1.000 | %) | 12–20–25 | 7,200 | (188 | ) | (201 | ) | 13 | |||||||||||||||||||
Societe Generale S.A. | (1.000 | %) | 12–20–25 | 500 | (6 | ) | (6 | ) | — | * | ||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (495 | ) | $ | (534 | ) | $ | 39 | |||||||||||||||||||||
|
|
The following centrally cleared credit default swaps – sold protection(3) were outstanding at September 30, 2020:
Referenced Entity/Index | Receive Fixed Rate | Maturity Date | Implied Credit Spread at September 30, 2020(4) | Notional Amount(2) | Value | Upfront Payments/ (Receipts) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||||
Deutsche Lufthansa AG | 1.000 | % | 12–20–25 | 6.729 | % | 900 | $ | (144 | ) | $ | (113 | ) | $ | (31 | ) | |||||||||||||||||
iTraxx Europe, Series 34 Index | 1.000 | % | 12–20–30 | 1.602 | 1,700 | 43 | 11 | 32 | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
$ | (101 | ) | $ | (102 | ) | $ | 1 | |||||||||||||||||||||||||
|
|
(1) | If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and/or take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
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SCHEDULE OF INVESTMENTS | IVY PICTET TARGETED RETURN BOND FUND (in thousands) |
SEPTEMBER 30, 2020
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement. |
(3) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and/or deliver the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(4) | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues, sovereign issues, or an index as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
The following forward foreign currency contracts were outstanding at September 30, 2020:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
U.S. Dollar | 228 | Indonesian Rupiah | 3,400,000 | 11–4–20 | Barclays Capital, Inc. | $ | — | * | $ | — | ||||||||||||||||||
South African Rand | 45,418 | U.S. Dollar | 2,661 | 12–15–20 | Barclays Capital, Inc. | — | 27 | |||||||||||||||||||||
British Pound | 3,910 | U.S. Dollar | 5,062 | 12–16–20 | Barclays Capital, Inc. | 14 | — | |||||||||||||||||||||
Euro | 4,870 | U.S. Dollar | 5,750 | 12–16–20 | Barclays Capital, Inc. | 30 | — | |||||||||||||||||||||
Thai Baht | 61,291 | U.S. Dollar | 1,941 | 12–16–20 | Barclays Capital, Inc. | 7 | — | |||||||||||||||||||||
Chinese Yuan Renminbi Offshore | 17,640 | U.S. Dollar | 2,512 | 11–4–20 | Citibank N.A. | — | 81 | |||||||||||||||||||||
Indonesian Rupiah | 38,100,000 | U.S. Dollar | 2,554 | 11–4–20 | Citibank N.A. | — | 2 | |||||||||||||||||||||
New Taiwan Dollar | 170,100 | U.S. Dollar | 5,879 | 11–4–20 | Citibank N.A. | — | 24 | |||||||||||||||||||||
U.S. Dollar | 1,929 | Chinese Yuan Renminbi | 13,591 | 11–4–20 | Citibank N.A. | 71 | — | |||||||||||||||||||||
Australian Dollar | 2,923 | New Zealand Dollar | 3,178 | 12–16–20 | Citibank N.A. | 8 | — | |||||||||||||||||||||
Australian Dollar | 2,730 | U.S. Dollar | 1,987 | 12–16–20 | Citibank N.A. | 32 | — | |||||||||||||||||||||
British Pound | 1,450 | U.S. Dollar | 1,859 | 12–16–20 | Citibank N.A. | — | 13 | |||||||||||||||||||||
Euro | 570 | U.S. Dollar | 677 | 12–16–20 | Citibank N.A. | 8 | — | |||||||||||||||||||||
U.S. Dollar | 190 | Euro | 160 | 12–16–20 | Citibank N.A. | — | 2 | |||||||||||||||||||||
Colombian Peso | 7,040,000 | U.S. Dollar | 1,883 | 10–30–20 | Goldman Sachs International | 46 | — | |||||||||||||||||||||
Brazilian Real | 10,410 | U.S. Dollar | 1,926 | 11–4–20 | Goldman Sachs International | 74 | — | |||||||||||||||||||||
Turkish New Lira | 7,267 | U.S. Dollar | 950 | 11–4–20 | Goldman Sachs International | 17 | — | |||||||||||||||||||||
Japanese Yen | 1,000,000 | U.S. Dollar | 9,316 | 11–10–20 | Goldman Sachs International | — | 170 | |||||||||||||||||||||
British Pound | 146 | Euro | 160 | 12–16–20 | Goldman Sachs International | — | 1 | |||||||||||||||||||||
British Pound | 3,159 | U.S. Dollar | 4,073 | 12–16–20 | Goldman Sachs International | — | 5 | |||||||||||||||||||||
Euro | 48,408 | U.S. Dollar | 57,345 | 12–16–20 | Goldman Sachs International | 489 | — | |||||||||||||||||||||
Israeli Shekel | 6,662 | U.S. Dollar | 1,970 | 12–16–20 | Goldman Sachs International | 23 | — | |||||||||||||||||||||
Mexican Peso | 47,600 | U.S. Dollar | 2,178 | 12–16–20 | Goldman Sachs International | 44 | — | |||||||||||||||||||||
Swedish Krona | 14,229 | U.S. Dollar | 1,619 | 12–16–20 | Goldman Sachs International | 29 | — | |||||||||||||||||||||
U.S. Dollar | 386 | British Pound | 300 | 12–16–20 | Goldman Sachs International | 1 | — | |||||||||||||||||||||
U.S. Dollar | 7,782 | Japanese Yen | 825,390 | 12–16–20 | Goldman Sachs International | 53 | — | |||||||||||||||||||||
Philippine Peso | 95,400 | U.S. Dollar | 2,035 | 11–4–20 | Morgan Stanley International | 68 | — | |||||||||||||||||||||
South Korean Won | 2,244,000 | U.S. Dollar | 1,905 | 11–4–20 | Morgan Stanley International | — | 19 | |||||||||||||||||||||
U.S. Dollar | 1,998 | New Taiwan Dollar | 58,100 | 11–4–20 | Morgan Stanley International | 18 | — | |||||||||||||||||||||
Chilean Peso | 1,510,000 | U.S. Dollar | 1,944 | 11–6–20 | Morgan Stanley International | 20 | — | |||||||||||||||||||||
U.S. Dollar | 1,921 | Euro | 1,620 | 12–16–20 | Morgan Stanley International | — | 18 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 1,052 | $ | 362 | |||||||||||||||||||||||||
|
|
116 | ANNUAL REPORT | 2020 |
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SCHEDULE OF INVESTMENTS | IVY PICTET TARGETED RETURN BOND FUND (in thousands) |
SEPTEMBER 30, 2020
The following futures contracts were outstanding at September 30, 2020 (contracts unrounded):
Description | Type | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | ||||||||||||||||||||||
Euro-Bobl 5-Year Bond | Short | 36 | 12–8–20 | 3,600 | $ | (5,705 | ) | $ | (6 | ) | ||||||||||||||||||
Euro-Buxl 30-Year Bond | Long | 12 | 12–8–20 | 1,200 | 3,133 | 9 | ||||||||||||||||||||||
Euro-OAT France Government 10-Year Bond | Short | 88 | 12–8–20 | 8,800 | (17,390 | ) | (129 | ) | ||||||||||||||||||||
Euro-Schatz | Long | 3 | 12–8–20 | 300 | 395 | — | * | |||||||||||||||||||||
Australia 10-Year Commonwealth Treasury Bond | Long | 65 | 12–15–20 | 6,500 | 6,955 | 68 | ||||||||||||||||||||||
Euro-Bund 10-Year Bond | Long | 11 | 12–21–20 | 1,100 | 2,251 | 13 | ||||||||||||||||||||||
U.S. 10-Year Treasury Note | Short | 248 | 12–21–20 | 24,800 | (34,604 | ) | (23 | ) | ||||||||||||||||||||
U.S. 10-Year Ultra Treasury Note | Short | 53 | 12–21–20 | 5,300 | (8,476 | ) | 17 | |||||||||||||||||||||
U.S. 30-Year Treasury Bond | Short | 101 | 12–21–20 | 10,100 | (17,805 | ) | 166 | |||||||||||||||||||||
U.S. Treasury Ultra Long Bond | Long | 11 | 12–21–20 | 1,100 | 2,440 | (37 | ) | |||||||||||||||||||||
United Kingdom Long Gilt | Short | 14 | 12–29–20 | 1,400 | (2,459 | ) | (3 | ) | ||||||||||||||||||||
U.S. 2-Year Treasury Note | Long | 30 | 12–31–20 | 6,000 | 6,629 | 1 | ||||||||||||||||||||||
U.S. 5-Year Treasury Note | Long | 218 | 12–31–20 | 21,800 | 27,475 | 7 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (37,161 | ) | $ | 83 | ||||||||||||||||||||||||
|
|
The following centrally cleared interest rate swap agreements were outstanding at September 30, 2020:
Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount (A) | Value | Upfront Payments/ (Receipts) | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||
Pay | 28-Day Mexico Equilibrium Interbank Interest Rate | 6.960% | 10/2/2029 | MXN | 15,782 | $ | 126 | $ | — | $ | 126 | |||||||||||||||||
Pay | 3-Month Canadian Dollar Offered Rate | 0.8% | 3/18/2026 | CAD | 3,669 | — | * | — | — | * | ||||||||||||||||||
Receive | 3-Month New Zealand Dollar LIBOR Rate | 0.161% | 3/18/2026 | NZD | 3,533 | (2 | ) | — | (2 | ) | ||||||||||||||||||
Receive | 6-Month EURIBOR | 0.178% | 3/19/2031 | EUR | 8,731 | (17 | ) | — | (17 | ) | ||||||||||||||||||
Pay | 7-Day China Fixing Repo Rates | 2.820% | 3/17/2026 | CNY | 14,280 | (23 | ) | — | (23 | ) | ||||||||||||||||||
Receive | 3-Month British Pound Currency Index | 0.178% | 3/18/2026 | GBP | 9,007 | 24 | — | 24 | ||||||||||||||||||||
Receive | 3-Month LIBOR | 1.068% | 3/15/2051 | $ | 2,470 | 32 | — | 32 | ||||||||||||||||||||
Pay | 6-Month Japanese Yen LIBOR | 0.044% | 3/19/2031 | JPY | 4,867 | (1 | ) | — | (1 | ) | ||||||||||||||||||
Receive | 6-Month Japanese Yen LIBOR | 0.240% | 3/20/2041 | 2,551 | 9 | — | 9 | |||||||||||||||||||||
Receive | 6-Month Prague Interbank Offered Rate | 0.460% | 9/15/2022 | CZK | 18,693 | (4 | ) | — | (4 | ) | ||||||||||||||||||
Pay | 6-Month Australian Dollar Bank Bills | 1.307% | 6/19/2030 | AUD | 10,662 | 65 | — | 65 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 209 | $ | — | $ | 209 | |||||||||||||||||||||||
|
|
The following written options were outstanding at September 30, 2020 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Notional Amount | Expiration Month | Exercise Price | Premium Received | Value | ||||||||||||||||||||||||||
EUR versus USD | Barclays Capital, Inc. | Put | 6,495,000 | 6,495 | November 2020 | $ | 1.15 | $ | 40 | $ | (29 | ) | ||||||||||||||||||||||
GBP versus USD | Citibank N.A. | Put | 5,928,000 | 5,928 | December 2020 | 1.18 | 40 | (20 | ) | |||||||||||||||||||||||||
Citibank N.A. | Put | 8,880,000 | 8,880 | November 2020 | 1.22 | 51 | (40 | ) | ||||||||||||||||||||||||||
U.S. Treasury Long Bond November Futures | N/A | Put | 86 | 8,600 | October 2020 | 173.00 | 90 | (32 | ) | |||||||||||||||||||||||||
USD versus BRL | Morgan Stanley & Co., Inc. | Call | 1,920,000 | 1,920 | October 2020 | 6.01 | 22 | (1 | ) | |||||||||||||||||||||||||
Morgan Stanley & Co., Inc. | Call | 1,900,000 | 1,900 | November 2020 | 6.02 | 24 | (22 | ) | ||||||||||||||||||||||||||
USD versus JPY | Morgan Stanley & Co., Inc. | Put | 7,530,000 | 7,530 | May 2021 | 96.45 | 61 | (42 | ) | |||||||||||||||||||||||||
USD versus MXN | Citibank N.A. | Call | 1,920,000 | 1,920 | October 2020 | 25.01 | 19 | — | * | |||||||||||||||||||||||||
Citibank N.A. | Call | 1,920,000 | 1,920 | November 2020 | 22.24 | 19 | (56 | ) | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
$ | 366 | $ | (242 | ) | ||||||||||||||||||||||||||||||
|
|
2020 | ANNUAL REPORT | 117 |
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SCHEDULE OF INVESTMENTS | IVY PICTET TARGETED RETURN BOND FUND (in thousands) |
SEPTEMBER 30, 2020
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of September 30, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Purchased Options | $ | 5 | $ | 282 | $ | — | ||||||
Corporate Debt Securities | — | 58,320 | — | |||||||||
Other Government Securities | — | 62,392 | — | |||||||||
United States Government Obligations | — | 48,085 | — | |||||||||
Short-Term Securities | 4,718 | 9,483 | — | |||||||||
Total | $ | 4,723 | $ | 178,562 | $ | — | ||||||
Centrally Cleared Credit Default Swaps | $ | 84 | $ | — | $ | — | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 1,052 | $ | — | ||||||
Futures Contracts | $ | 281 | $ | — | $ | — | ||||||
Centrally Cleared Interest Rate Swaps | $ | — | $ | 256 | $ | — | ||||||
Liabilities | ||||||||||||
Centrally Cleared Credit Default Swaps | $ | 44 | $ | — | $ | — | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 362 | $ | — | ||||||
Futures Contracts | $ | 198 | $ | — | $ | — | ||||||
Centrally Cleared Interest Rate Swaps | $ | — | $ | 47 | $ | — | ||||||
Written Options | $ | 32 | $ | 210 | $ | — |
The following acronyms are used throughout this schedule:
EURIBOR = Euro Interbank Offered Rate
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
OTC = Over the Counter
REIT = Real Estate Investment Trust
Country Diversification | ||||
(as a % of net assets) |
| |||
United States | 34.0% | |||
Germany | 11.7% | |||
Italy | 10.9% | |||
China | 5.1% | |||
France | 3.3% | |||
United Kingdom | 2.8% | |||
Spain | 2.5% | |||
Luxembourg | 1.9% | |||
Indonesia | 1.5% | |||
Hong Kong | 1.3% | |||
Netherlands | 1.1% | |||
South Africa | 0.5% | |||
Other Countries | 7.0% | |||
Other+ | 11.2% |
+ | Includes options, cash and other assets (net of liabilities), and cash equivalents |
118 | ANNUAL REPORT | 2020 |
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MANAGEMENT DISCUSSION | IVY PINEBRIDGE HIGH YIELD FUND |
(UNAUDITED)
Ivy PineBridge High Yield Fund is managed by Ivy Investment Management Company and sub-advised by PineBridge Investments LLC (PineBridge).
Below, John Yovanovic, CFA, Dan Purser and Jeremy Burton, CFA, of PineBridge, the portfolio managers of the Ivy PineBridge High Yield Fund, discuss positioning, performance and results for the fiscal year ended September 30, 2020. Mr. Yovanovic has managed the Fund since May 2017 and has 20 years of industry experience. Mr. Purser has managed the Fund since May 2017 and has 25 years of industry experience. Mr. Burton has managed the Fund since May 2017 and has 17 years of industry experience.
Fiscal Year Performance
For the 12 Months Ended September 30, 2020 | ||||
Ivy PineBridge High Yield Fund | 3.40% | |||
(Class A shares at net asset value) | ||||
Ivy PineBridge High Yield Fund | -2.52% | |||
(Class A shares including sales charges) | ||||
Benchmark and Morningstar Category | ||||
Bloomberg Barclays U.S. Corporate High-Yield Index | 3.25% | |||
(generally reflects the performance of securities representing the corporate high yield market) | ||||
Morningstar High Yield Bond Category Average | 1.33% | |||
(generally reflects the performance of the universe of funds with similar investment objectives) |
Please note that Fund returns include applicable fees and expenses, while index returns do not include any such fees. The performance discussion below is at net asset value (NAV).
Market Review
High yield bonds generated strong total returns during the fourth quarter of calendar year 2019 as trade tensions eased, fears about slowing global growth abated and developed market central banks continued to engage in the next phase of stimulus. The Federal Reserve (Fed) made an anticipated 25 basis point (bps) cut during its October 2019 meeting, lowering the federal funds target range to 1.50-1.75% and began expanding its balance sheet. Additionally, growth in Asia appeared to have stabilized as many central banks eased policy and the U.S. economy rose by a better-than-expected 1.9% in the third quarter of calendar year 2019 as the consumer remained strong and the Fed cut rates. Progress of the Phase One trade deal between the U.S. and China also improved investor sentiment.
Calendar year 2019 performance by rating tier continued in October and November, but notably reversed course in December with lower quality outperforming by a relatively large margin. In previous months, the high yield market had diverged into two distinct segments. Large and liquid BB rated credits were trading at, or near, post-crisis tight levels, while smaller and more cyclical B rated names continued to trade relatively wide. However, in December, the differentials in performance between BB, B and even CCC rated credits arrowed. Also notable was the outperformance of more cyclical and commodity-related energy and metals and mining areas. By the end of calendar year 2019, U.S. Treasury rates pushed towards the top end of recent trading ranges while the Federal Open Market Committee refreshed its dot plot, which we believe signals no action in 2020 and the potential for one hike in 2021.
Following the rally in December 2019, spreads on high yield bonds continued to tighten throughout the first few weeks of January 2020 amid a backdrop of consistently positive macroeconomic data, a signed Phase One U.S.-China trade agreement, and a relatively strong start to quarterly earnings. Similar to the end of calendar year 2019, lower quality rating tiers started the month by outperforming those of higher quality. However, the outbreak of COVID-19 during the last couple weeks of January reversed this trend and put the reinvigorated global growth story on hold as investors grappled with the potential implications.
During the first few weeks of February, investors shrugged off concerns of a material economic impact caused by the outbreak. However, the global spread of the virus towards the end of the month increased fears of a global pandemic, leading to a market selloff and bringing 10-year U.S. Treasury yields to record lows. The selloff continued in March as high yield markets experienced unparalleled declines. The pace of credit spread widening was historic, faster than any other period on record, and spreads were trading at levels not seen since the 2008-2009 Global Financial Crisis. Spread levels on the Fund’s benchmark ended approximately 500 bps wider compared to the end of January.
Markets continued to grapple with the unsettling effects of the novel COVID-19 outbreak with worries ranging from the risks to human health to the potential fall-on effects on economies and social systems. As a result of the pandemic, governments
2020 | ANNUAL REPORT | 119 |
Table of Contents
across the globe imposed extreme containment measures and shut down non-essential functions. Central banks took dramatic steps to combat the economic shocks caused by the outbreak, with government-sponsored fiscal stimulus on its heels. The Fed reduced rates by 150 bps via two rate cuts in March, bringing the federal funds rate target range to 0-0.25%. It also introduced additional initiatives to guarantee liquidity to the primary and secondary investment grade credit markets. On top of the actions already taken, the Fed stated it “will continue to use its full range of tools to support the flow of credit to households and businesses.” Fiscal stimulus measures also moved forward as Congress passed a more than $2 trillion relief package in March.
High yield bonds began recovering in April as the dramatic monetary and fiscal actions taken to combat the economic shocks caused by the outbreak of COVID-19 renewed investor confidence. In spite of its previous actions, the Fed expanded its bond buying program in early April, which included fallen angels and high yield exchange-traded funds (ETF). The aim was to ensure credit markets were able to support businesses that were otherwise fundamentally sound. This helped lead to a pick-up in issuance of high yield bonds, though primarily in the senior secured format.
The recovery continued in May, as investor confidence improved further on the back of consistent monetary and fiscal support and anticipation of an imminent reopening of economies as most developed market countries moved past peak infection rates. Fed facilities made initial purchases in credit, and oil prices rebounded with West Texas Intermediate crude ending the month in the mid-$30 range. Volatility also declined despite risk concerns remaining elevated as investors had to contend with the reescalation of U.S.-China trade tensions and record unemployment levels. The pace of the recovery slowed in June as investors weighed improving economic reports, albeit from incredibly low levels, against the increase in COVID-19 infections threatening the economic reopening. Technical conditions remained supportive as a deluge of new-issue activity was met with record retail inflows alongside the start of the Fed’s ETF buying program.
The recovery in high yield bond prices reaccelerated in July amid ongoing accommodative monetary policy in the U.S. and globally, better than feared earnings, positive news around vaccine and treatment development, and progress on another fiscal relief package. Technical conditions remained supportive as an active new issue market was met with high levels of retail inflows alongside the Fed’s ETF buying program. Spreads on high yield bonds were trading at their tightest levels since early March despite the continual spread of COVID-19 and risks related to the U.S. Presidential election, a deteriorating relationship between the U.S. and China, and Brexit. High yield bond prices continued to rise in August, although at a slower pace, as investors remained focused on quarterly revenue and earnings that beat expectations, further progress on vaccine development and the global economic revival.
Issuance was again a major driver as a busy calendar — driven, in part, by borrowers choosing secured bond deals instead of loans — was combined with moderating demand from retail funds. However, high yield bond prices declined, and spreads widened in September due to increased uncertainty around additional fiscal stimulus in the U.S., the renewed COVID-19 surge in Europe and political uncertainty from the upcoming U.S. election and Brexit. That said, central banks continue to support markets, with rates held steady at very low levels. Meanwhile, technical conditions dragged on the asset class as another month of heavy issuance was met by the first month of fund outflows since March.
U.S. Treasury rates traded lower during the year, with 5- and 10-year U.S. Treasury yields trading 127 bps and 98 bps lower, respectively. The option-adjusted spread (OAS) on the Bloomberg Barclays U.S. Corporate High-Yield Bond Index ended the trailing 12-month period at 517 bps, trading 144 bps wider overall. However, investors witnessed significant volatility in the high yield market as the OAS traded as wide as 1100 bps during the peak of the COVID-19 related selloff in March. Gross new issue activity totaled roughly $429 billion during the period. Year-to-date issuance for calendar year 2020 is more than $350 billion and is on pace to surpass the record issuance of $398.5 billion in 2013. Issuance in the second and third quarter of calendar year 2020 were the two highest quarters on record. High yield funds reported $42.3 billion in inflows over the fiscal period, and the second quarter of calendar year 2020 had the largest inflows on record.
Portfolio Strategy
The Fund outperformed the Bloomberg Barclays U.S. Corporate High-Yield Index over the trailing 12-month period. Security selection contributed to performance during the fiscal year, while sector selection detracted to a lesser degree. Security selection contributed to Fund performance across almost all sectors, with credits in the communications and consumer cyclical sectors the most notable contributors. These contributions more than offset detractions from holdings in the energy sector. From a sector selection standpoint, an underweight allocation to the energy sector and an overweight allocation to real estate investment trusts (REITs) detracted from Fund performance, while an underweight allocation to the transportation sector and an overweight allocation to the electric sector contributed to Fund performance.
Higher quality bonds outperformed lower quality bonds, on average, during the trailing 12-month period. According to Barclay’s data, Ba-rated bonds returned 6.79%, while B-rated bonds returned 1.42% and Caa-rated bonds returned negative 3.48%.
120 | ANNUAL REPORT | 2020 |
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Outlook
High yield bonds were relatively resilient despite renewed stock market volatility, but finally came under pressure amid concerns about a decrease in oil prices and the possibility of new restrictions to curb the spread of COVID-19. While fiscal policy support in the U.S. has run out and is unlikely to resume until after the U.S. elections, accommodative monetary policy continues and has been strong enough for investors to look past the current uncertainty.
While a number of considerations could derail the timeline for fundamentals to catch up to investor expectations, such as significant increases in COVID-19 cases, the U.S. election and Brexit, we expect spreads to continue to grind tighter amid strong technical support as we expect to see continued strong demand and a slowdown in issuance. While we remain constructive on the asset class, we maintain a moderate posture from an overall risk standpoint, and we are looking for individual credit selections to drive overall performance.
Performance shown at NAV does not include the effect of sales charges. If reflected, the performance shown would have been lower. Performance including sales charges reflects the maximum applicable front-end sales load.
Past performance is not a guarantee of future results. As with any mutual fund, the value of the Fund’s shares will change, and you could lose money on your investment.
Fixed-income securities are subject to interest rate risk and, as such, the Fund’s net asset value may fall as interest rates rise.
Investing in below investment grade securities may carry a greater risk of nonpayment of interest or principal than higher-rated bonds. International investing involves additional risks including currency fluctuations, political or economic conditions affecting the foreign country, and differences in accounting standards and foreign regulations. These risks are magnified in emerging markets.
These and other risks are more fully described in the Fund’s prospectus.
The opinions expressed in this report are those of the Fund’s portfolio managers and are current only through the end of the period of the report as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions, and no forecasts can be guaranteed.
The indexes noted are unmanaged and include reinvested dividends. One cannot invest directly in an index, nor is an index representative of the Ivy PineBridge High Yield Fund.
2020 | ANNUAL REPORT | 121 |
Table of Contents
PORTFOLIO HIGHLIGHTS | IVY PINEBRIDGE HIGH YIELD FUND |
ALL DATA IS AS OF SEPTEMBER 30, 2020 (UNAUDITED)
Asset Allocation
Bonds | 85.3% | |||
Corporate Debt Securities | 85.2% | |||
Asset-Backed Securities | 0.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 14.7% |
Quality Weightings
Investment Grade | 2.3% | |||
BBB | 2.3% | |||
Non-Investment Grade | 83.0% | |||
BB | 40.6% | |||
B | 32.8% | |||
CCC | 9.2% | |||
Below CCC | 0.0% | |||
Non-rated | 0.4% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 14.7% |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
122 | ANNUAL REPORT | 2020 |
Table of Contents
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT | IVY PINEBRIDGE HIGH YIELD FUND |
(UNAUDITED)
Please note that the performance of the Fund’s other share classes will be greater or less than the performance shown above for Class A based on the differences in loads and fees paid by shareholders investing in the different classes.
(1) | The value of the investment in the Fund is impacted by the sales load at the time of the investment and by the ongoing expenses of the Fund and assumes reinvestment of dividends and distributions. |
Average Annual Total Return(2) | Class A(3) | Class I | Class N | |||||||||
1-year period ended 9-30-20 | -2.52% | 3.68% | 3.58% | |||||||||
5-year period ended 9-30-20 | — | — | — | |||||||||
10-year period ended 9-30-20 | — | — | — | |||||||||
Since Inception of Class through 9-30-20(4) | 2.34% | 4.43% | 4.40% |
(2) | Data quoted is past performance and is based on deduction of the maximum applicable sales load for each of the periods. Current performance may be lower or higher. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost. Please visit www.ivyinvestments.com for the Fund’s most recent month end performance. Class A Shares carry a maximum front-end sales load of 5.75%(a). Class I and Class N shares are not subject to sales charges. |
(3) | Class A shares carry a CDSC on shares purchased at net asset value for $1 million or more that are subsequently redeemed within 12 months of purchase. Effective October 1, 2020, Class A shares carry a CDSC on shares purchased at net asset value for $500,000 or more that are subsequently redeemed within 12 months of purchase. |
(4) | 5-18-17 for Class A shares, 5-18-17 for Class I shares and 5-18-17 for Class N shares (the date on which shares were first acquired by shareholders). |
Past performance is not necessarily indicative of future performance. Indexes are unmanaged. The performance graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance results may include the effect of expense reduction arrangements for some or all of the periods shown. If those arrangements had not been in place, the performance results for those periods would have been lower.
(a) | Effective October 1, 2020, the maximum applicable sales charge for Class A shares has been lowered to 2.50%. |
2020 | ANNUAL REPORT | 123 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PINEBRIDGE HIGH YIELD FUND (in thousands) |
SEPTEMBER 30, 2020
ASSET-BACKED SECURITIES | Principal | Value | ||||||
United Airlines Pass-Through Certificates, Series 2014-2B, | ||||||||
4.625%, 9–3–22 | $ | 151 | $ | 141 | ||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES – 0.1% |
| $ | 141 | |||||
(Cost: $153) | ||||||||
CORPORATE DEBT SECURITIES | ||||||||
Communication Services | ||||||||
Alternative Carriers – 0.9% | ||||||||
Cogent Communications Holdings, Inc., | ||||||||
5.375%, 3–1–22 (A) | 521 | 531 | ||||||
Zayo Group Holdings, Inc., | ||||||||
6.125%, 3–1–28 (A) | 653 | 673 | ||||||
|
| |||||||
1,204 | ||||||||
|
| |||||||
Broadcasting – 1.9% | ||||||||
Banijay Entertainment S.A.S., | ||||||||
5.375%, 3–1–25 (A) | 800 | 805 | ||||||
National CineMedia LLC, | ||||||||
5.875%, 4–15–28 (A) | 502 | 419 | ||||||
Terrier Media Buyer, Inc., | ||||||||
8.875%, 12–15–27 (A) | 348 | 351 | ||||||
Univision Communications, Inc.: | ||||||||
5.125%, 2–15–25 (A) | 96 | 91 | ||||||
6.625%, 6–1–27 (A) | 1,019 | 995 | ||||||
|
| |||||||
2,661 | ||||||||
|
| |||||||
Cable & Satellite – 5.2% | ||||||||
Altice Financing S.A., | ||||||||
5.000%, 1–15–28 (A) | 926 | 899 | ||||||
Altice France Holding S.A., | ||||||||
6.000%, 2–15–28 (A) | 830 | 792 | ||||||
Altice France S.A., | ||||||||
7.375%, 5–1–26 (A) | 1,124 | 1,178 | ||||||
Block Communications, Inc., | ||||||||
4.875%, 3–1–28 (A) | 565 | 576 | ||||||
CCO Holdings LLC and CCO Holdings Capital Corp.: | ||||||||
5.000%, 2–1–28 (A) | 340 | 358 | ||||||
5.375%, 6–1–29 (A) | 335 | 363 | ||||||
CSC Holdings LLC, | ||||||||
5.500%, 4–15–27 (A) | 860 | 905 | ||||||
Hughes Satellite Systems Corp., | ||||||||
6.625%, 8–1–26 | 1,109 | 1,200 | ||||||
Telesat Canada and Telesat LLC: | ||||||||
4.875%, 6–1–27 (A) | 291 | 292 | ||||||
6.500%, 10–15–27 (A) | 804 | 810 | ||||||
|
| |||||||
7,373 | ||||||||
|
| |||||||
Integrated Telecommunication Services – 2.6% | ||||||||
Cablevision Lightpath LLC, | ||||||||
3.875%, 9–15–27 (A) | 450 | 450 | ||||||
CenturyLink, Inc.: | ||||||||
7.500%, 4–1–24 | 699 | 782 | ||||||
5.125%, 12–15–26 (A) | 534 | 549 | ||||||
Sprint Corp., | ||||||||
7.875%, 9–15–23 | 1,685 | 1,931 | ||||||
|
| |||||||
3,712 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Movies & Entertainment – 1.0% |
| |||||||
Netflix, Inc., | ||||||||
4.875%, 6–15–30 (A) | $ | 1,300 | $ | 1,482 | ||||
|
| |||||||
Publishing – 1.4% | ||||||||
A. H. Belo Corp.: | ||||||||
7.750%, 6–1–27 (B) | 502 | 570 | ||||||
7.250%, 9–15–27 | 470 | 519 | ||||||
E.W. Scripps Co., | ||||||||
5.125%, 5–15–25 (A) | 946 | 925 | ||||||
|
| |||||||
2,014 | ||||||||
|
| |||||||
Total Communication Services – 13.0% |
| 18,446 | ||||||
Consumer Discretionary | ||||||||
Apparel Retail – 0.2% |
| |||||||
L Brands, Inc., | ||||||||
6.625%, 10–1–30 (A) | 235 | 239 | ||||||
|
| |||||||
Auto Parts & Equipment – 0.7% |
| |||||||
Dana, Inc., | ||||||||
5.375%, 11–15–27 | 485 | 497 | ||||||
Delphi Jersey Holdings plc, | ||||||||
5.000%, 10–1–25 (A) | 441 | 504 | ||||||
|
| |||||||
1,001 | ||||||||
|
| |||||||
Automobile Manufacturers – 1.5% | ||||||||
Ford Motor Co.: | ||||||||
6.625%, 10–1–28 | 877 | 945 | ||||||
7.450%, 7–16–31 | 137 | 157 | ||||||
4.750%, 1–15–43 | 681 | 617 | ||||||
Tesla, Inc. (GTD by SolarCity Corp.), | ||||||||
5.300%, 8–15–25 (A) | 433 | 448 | ||||||
|
| |||||||
2,167 | ||||||||
|
| |||||||
Automotive Retail – 0.8% | ||||||||
Allison Transmission, Inc., | ||||||||
5.000%, 10–1–24 (A) | 574 | 580 | ||||||
Avis Budget Car Rental LLC and Avis Budget Finance, Inc. (GTD by Avis Budget Group, Inc.), | ||||||||
5.750%, 7–15–27 (A) | 552 | 497 | ||||||
|
| |||||||
1,077 | ||||||||
|
| |||||||
Casinos & Gaming – 2.5% | ||||||||
Boyd Gaming Corp.: | ||||||||
8.625%, 6–1–25 (A) | 150 | 164 | ||||||
4.750%, 12–1–27 | 669 | 657 | ||||||
Colt Merger Sub, Inc., | ||||||||
6.250%, 7–1–25 (A) | 800 | 834 | ||||||
GLP Capital L.P. and GLP Financing II, Inc., | ||||||||
5.375%, 4–15–26 | 563 | 624 | ||||||
Golden Nugget, Inc., | ||||||||
6.750%, 10–15–24 (A) | 910 | 760 | ||||||
MGM Growth Properties Operating Partnership L.P. and MGP Finance Co-Issuer, Inc., | ||||||||
5.750%, 2–1–27 | 470 | 506 | ||||||
|
| |||||||
3,545 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Electronics – 0.4% |
| |||||||
Conn’s, Inc., | ||||||||
7.250%, 7–15–22 (B) | $ | 550 | $ | 490 | ||||
|
| |||||||
Homebuilding – 0.4% |
| |||||||
Mattamy Group Corp., | ||||||||
5.250%, 12–15–27 (A) | 571 | 587 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 2.4% |
| |||||||
Hilton Grand Vacations Borrower LLC and Hilton Grand Vacations Borrower, Inc., | ||||||||
6.125%, 12–1–24 | 639 | 661 | ||||||
Park Intermediate Holdings LLC, | ||||||||
5.875%, 10–1–28 (A) | 650 | 652 | ||||||
Silversea Cruise Finance Ltd., | ||||||||
7.250%, 2–1–25 (A) | 505 | 511 | ||||||
Viking Cruises Ltd., | ||||||||
13.000%, 5–15–25 (A) | 91 | 105 | ||||||
VOC Escrow Ltd., | ||||||||
5.000%, 2–15–28 (A) | 615 | 545 | ||||||
Wyndham Destinations, Inc., | ||||||||
6.625%, 7–31–26 (A) | 205 | 215 | ||||||
Wyndham Worldwide Corp., | ||||||||
4.500%, 4–1–27 (C) | 675 | 692 | ||||||
|
| |||||||
3,381 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.6% |
| |||||||
Grubhub Holdings, Inc., | ||||||||
5.500%, 7–1–27 (A) | 831 | 862 | ||||||
|
| |||||||
Leisure Facilities – 0.8% |
| |||||||
SeaWorld Parks & Entertainment, Inc. (GTD by SeaWorld Entertainment, Inc.), | ||||||||
8.750%, 5–1–25 (A)(B) | 525 | 555 | ||||||
Six Flags Entertainment Corp., | ||||||||
5.500%, 4–15–27 (A)(B) | 590 | 559 | ||||||
Six Flags Theme Parks, Inc., | ||||||||
7.000%, 7–1–25 (A) | 58 | 62 | ||||||
|
| |||||||
1,176 | ||||||||
|
| |||||||
Restaurants – 0.5% |
| |||||||
Brinker International, Inc. (GTD by Brinker Restaurant Corp., Brinker Texas, Inc. and Brinker Florida, Inc.), | ||||||||
5.000%, 10–1–24 (A) | 744 | 758 | ||||||
|
| |||||||
Specialized Consumer Services – 1.4% |
| |||||||
Nielsen Finance LLC and Nielsen Finance Co.: | ||||||||
5.000%, 4–15–22 (A) | 1,120 | 1,123 | ||||||
5.625%, 10–1–28 (A) | 319 | 328 | ||||||
5.875%, 10–1–30 (A) | 503 | 520 | ||||||
|
| |||||||
1,971 | ||||||||
|
| |||||||
Total Consumer Discretionary – 12.2% |
| 17,254 |
124 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PINEBRIDGE HIGH YIELD FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Staples | ||||||||
Agricultural Products – 0.4% | ||||||||
Dole Food Co., Inc., | ||||||||
7.250%, 6–15–25 (A) | $ | 590 | $ | 587 | ||||
|
| |||||||
Food Distributors – 0.8% | ||||||||
Performance Food Group, Inc., | ||||||||
5.500%, 10–15–27 (A) | 585 | 602 | ||||||
U.S. Foods, Inc., | ||||||||
6.250%, 4–15–25 (A) | 472 | 500 | ||||||
|
| |||||||
1,102 | ||||||||
|
| |||||||
Food Retail – 0.8% |
| |||||||
Albertsons Cos. LLC, Safeway, Inc., New Albertson’s, Inc. and Albertson’s LLC: | ||||||||
5.750%, 3–15–25 | 356 | 367 | ||||||
4.625%, 1–15–27 (A) | 295 | 302 | ||||||
5.875%, 2–15–28 (A) | 451 | 482 | ||||||
|
| |||||||
1,151 | ||||||||
|
| |||||||
Household Products – 0.4% |
| |||||||
Clearwater Paper Corp., | ||||||||
4.750%, 8–15–28 (A) | 615 | 617 | ||||||
|
| |||||||
Packaged Foods & Meats – 1.7% |
| |||||||
JBS USA LLC and JBS USA Finance, Inc., | ||||||||
5.875%, 7–15–24 (A) | 293 | 299 | ||||||
Kraft Heinz Foods Co., | ||||||||
4.875%, 10–1–49 (A) | 266 | 280 | ||||||
Lamb Weston Holdings, Inc., | ||||||||
4.625%, 11–1–24 (A) | 765 | 798 | ||||||
Land O’Lakes Capital Trust I, | ||||||||
7.450%, 3–15–28 (A) | 349 | 396 | ||||||
Land O’Lakes, Inc., | ||||||||
7.000%, 12–15–68 (A) | 140 | 121 | ||||||
Pilgrim’s Pride Corp., | ||||||||
5.875%, 9–30–27 (A) | 480 | 496 | ||||||
|
| |||||||
2,390 | ||||||||
|
| |||||||
Personal Products – 0.6% |
| |||||||
Coty, Inc., | ||||||||
6.500%, 4–15–26 (A) | 1,063 | 834 | ||||||
|
| |||||||
Total Consumer Staples – 4.7% |
| 6,681 | ||||||
Energy | ||||||||
Coal & Consumable Fuels – 0.4% | ||||||||
CONSOL Energy, Inc., | ||||||||
6.875%, 6–15–25 (A) | 585 | 532 | ||||||
|
| |||||||
Integrated Oil & Gas – 0.7% | ||||||||
Apergy Corp., | ||||||||
6.375%, 5–1–26 | 242 | 231 | ||||||
Cenovus Energy, Inc., | ||||||||
4.250%, 4–15–27 | 777 | 707 | ||||||
|
| |||||||
938 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Equipment & Services – 0.6% |
| |||||||
Archrock Partners L.P. and Archrock Partners Finance Corp. (GTD by Archrock, Inc.), | ||||||||
6.875%, 4–1–27 (A) | $ | 594 | $ | 570 | ||||
Hi-Crush Partners L.P., | ||||||||
9.500%, 8–1–26 (A)(D) | 936 | 46 | ||||||
Nine Energy Service, Inc., | ||||||||
8.750%, 11–1–23 (A) | 945 | 284 | ||||||
|
| |||||||
900 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 3.7% |
| |||||||
Apache Corp.: | ||||||||
4.625%, 11–15–25 | 74 | 71 | ||||||
4.875%, 11–15–27 | 86 | 81 | ||||||
4.375%, 10–15–28 | 509 | 466 | ||||||
Endeavor Energy Resources L.P., | ||||||||
5.750%, 1–30–28 (A) | 337 | 339 | ||||||
Hilcorp Energy I L.P. and Hilcorp Finance Co., | ||||||||
5.000%, 12–1–24 (A) | 1,624 | 1,474 | ||||||
Murphy Oil USA, Inc. (GTD by Murphy USA, Inc.), | ||||||||
4.750%, 9–15–29 | 570 | 607 | ||||||
Occidental Petroleum Corp., | ||||||||
5.875%, 9–1–25 | 416 | 381 | ||||||
Occidental Petroleum Corp. (3-Month U.S. LIBOR plus 125 bps), | ||||||||
6.375%, 9–1–28 | 642 | 594 | ||||||
Southwestern Energy Co.: | ||||||||
7.500%, 4–1–26 | 375 | 366 | ||||||
8.375%, 9–15–28 | 240 | 236 | ||||||
Targa Resources Partners L.P.: | ||||||||
5.000%, 1–15–28 | 50 | 49 | ||||||
4.875%, 2–1–31 (A) | 660 | 639 | ||||||
|
| |||||||
5,303 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 1.1% |
| |||||||
Callon Petroleum Co. (GTD by Callon Petroleum Operating Co.): | ||||||||
6.125%, 10–1–24 | 206 | 58 | ||||||
6.375%, 7–1–26 | 714 | 175 | ||||||
EG Global Finance plc, | ||||||||
6.750%, 2–7–25 (A) | 708 | 725 | ||||||
PBF Holding Co. LLC, | ||||||||
6.000%, 2–15–28 (A) | 909 | 610 | ||||||
|
| |||||||
1,568 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 5.3% |
| |||||||
Buckeye Partners L.P.: | ||||||||
4.125%, 3–1–25 (A) | 818 | 781 | ||||||
4.500%, 3–1–28 (A) | 433 | 417 | ||||||
Cheniere Energy Partners L.P.: | ||||||||
5.250%, 10–1–25 | 308 | 315 | ||||||
4.500%, 10–1–29 | 380 | 390 | ||||||
Cheniere Energy, Inc., | ||||||||
4.625%, 10–15–28 (A) | 451 | 463 | ||||||
DCP Midstream Operating L.P. (GTD by DCP Midstream L.P.): | ||||||||
5.625%, 7–15–27 | 376 | 385 | ||||||
6.750%, 9–15–37 (A) | 163 | 156 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Storage & Transportation (Continued) |
| |||||||
Genesis Energy L.P. and Genesis Energy Finance Corp.: | ||||||||
6.000%, 5–15–23 | $ | 600 | $ | 544 | ||||
5.625%, 6–15–24 | 703 | 599 | ||||||
6.500%, 10–1–25 | 325 | 279 | ||||||
Harvest Midstream I L.P., | ||||||||
7.500%, 9–1–28 (A) | 740 | 736 | ||||||
Holly Energy Partners L.P. and Holly Energy Finance Corp., | ||||||||
5.000%, 2–1–28 (A) | 1,215 | 1,191 | ||||||
NuStar Logistics L.P. (GTD by NuStar Energy L.P. and NuStar Pipeline Operating Partnership L.P.): | ||||||||
5.750%, 10–1–25 | 265 | 274 | ||||||
6.375%, 10–1–30 | 399 | 414 | ||||||
USA Compression Partners L.P. and USA Compression Finance Corp., | ||||||||
6.875%, 4–1–26 | 591 | 586 | ||||||
|
| |||||||
7,530 | ||||||||
|
| |||||||
Total Energy – 11.8% |
| 16,771 | ||||||
Financials | ||||||||
Consumer Finance – 3.4% | ||||||||
Alliance Data Systems Corp., | ||||||||
4.750%, 12–15–24 (A) | 550 | 516 | ||||||
Credit Acceptance Corp., | ||||||||
6.625%, 3–15–26 | 898 | 927 | ||||||
Enova International, Inc.: | ||||||||
8.500%, 9–1–24 (A) | 747 | 698 | ||||||
8.500%, 9–15–25 (A) | 202 | 191 | ||||||
Fairstone Financial, Inc., | ||||||||
7.875%, 7–15–24 (A) | 631 | 647 | ||||||
FirstCash, Inc., | ||||||||
4.625%, 9–1–28 (A) | 490 | 501 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
5.125%, 6–16–25 | 200 | 206 | ||||||
Quicken Loans LLC, | ||||||||
3.625%, 3–1–29 (A) | 427 | 423 | ||||||
Springleaf Finance Corp.: | ||||||||
6.875%, 3–15–25 | 500 | 555 | ||||||
5.375%, 11–15–29 | 89 | 93 | ||||||
|
| |||||||
4,757 | ||||||||
|
| |||||||
Financial Exchanges & Data – 0.5% |
| |||||||
Donnelley Financial Solutions, Inc., | ||||||||
8.250%, 10–15–24 | 599 | 629 | ||||||
|
| |||||||
Investment Banking & Brokerage – 0.6% |
| |||||||
LPL Holdings, Inc., | ||||||||
5.750%, 9–15–25 (A) | 852 | 883 | ||||||
|
| |||||||
Life & Health Insurance – 0.3% |
| |||||||
Genworth Mortgage Holdings, Inc., | ||||||||
6.500%, 8–15–25 (A) | 436 | 455 | ||||||
|
| |||||||
Mortgage REITs – 0.4% |
| |||||||
Starwood Property Trust, Inc., | ||||||||
4.750%, 3–15–25 | 612 | 586 | ||||||
|
|
2020 | ANNUAL REPORT | 125 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PINEBRIDGE HIGH YIELD FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Property & Casualty Insurance – 0.2% |
| |||||||
NMI Holdings, Inc., | ||||||||
7.375%, 6–1–25 (A) | $ | 285 | $ | 305 | ||||
|
| |||||||
Specialized Finance – 4.0% |
| |||||||
AG Issuer LLC, | ||||||||
6.250%, 3–1–28 (A) | 800 | 796 | ||||||
Banff Merger Sub, Inc., | ||||||||
9.750%, 9–1–26 (A) | 785 | 830 | ||||||
Camelot Finance S.A., | ||||||||
4.500%, 11–1–26 (A) | 430 | 440 | ||||||
Connect Finco S.a.r.l. and Connect U.S. Finco LLC, | ||||||||
6.750%, 10–1–26 (A) | 815 | 817 | ||||||
CTR Partnership L.P. and CareTrust Capital Corp. (GTD by CareTrust REIT), | ||||||||
5.250%, 6–1–25 | 682 | 699 | ||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp., | ||||||||
7.125%, 6–15–24 (A) | 527 | 548 | ||||||
Goeasy Ltd., | ||||||||
5.375%, 12–1–24 (A) | 572 | 579 | ||||||
Navient Corp., | ||||||||
5.000%, 3–15–27 | 325 | 305 | ||||||
Tempo Acquisition LLC and Tempo Acquisition Finance Corp.: | ||||||||
5.750%, 6–1–25 (A) | 163 | 171 | ||||||
6.750%, 6–1–25 (A) | 440 | 449 | ||||||
|
| |||||||
5,634 | ||||||||
|
| |||||||
Total Financials – 9.4% |
| 13,249 | ||||||
Health Care | ||||||||
Health Care Facilities – 2.6% | ||||||||
Acadia Healthcare Co., Inc.: | ||||||||
5.500%, 7–1–28 (A) | 450 | 463 | ||||||
5.000%, 4–15–29 (A) | 188 | 189 | ||||||
Encompass Health Corp., | ||||||||
4.625%, 4–1–31 | 186 | 186 | ||||||
HCA, Inc. (GTD by HCA Holdings, Inc.), | ||||||||
5.375%, 2–1–25 | 859 | 941 | ||||||
MPH Acquisition Holdings LLC, | ||||||||
7.125%, 6–1–24 (A) | 281 | 289 | ||||||
Tenet Healthcare Corp.: | ||||||||
4.625%, 7–15–24 | 775 | 777 | ||||||
6.125%, 10–1–28 (A) | 778 | 757 | ||||||
|
| |||||||
3,602 | ||||||||
|
| |||||||
Health Care Services – 0.4% |
| |||||||
LifePoint Health, Inc., | ||||||||
4.375%, 2–15–27 (A) | 544 | 545 | ||||||
|
| |||||||
Health Care Supplies – 0.5% |
| |||||||
Catalent Pharma Solutions, Inc., | ||||||||
5.000%, 7–15–27 (A) | 380 | 395 | ||||||
Ortho-Clinical Diagnostics, Inc.: | ||||||||
7.375%, 6–1–25 (A) | 60 | 61 | ||||||
7.250%, 2–1–28 (A) | 297 | 309 | ||||||
|
| |||||||
765 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Pharmaceuticals – 2.0% |
| |||||||
Endo Designed Activity Co., Endo Finance LLC and Endo Finco, Inc., | ||||||||
6.000%, 6–30–28 (A) | $ | 662 | $ | 487 | ||||
Herbalife Nutrition Ltd. and HLF Financing, Inc., | ||||||||
7.875%, 9–1–25 (A) | 271 | 291 | ||||||
HLF Financing S.a.r.l. LLC and Herbalife International, Inc., | ||||||||
7.250%, 8–15–26 (A) | 748 | 769 | ||||||
Jaguar Holding Co. II and PPD Development L.P. (GTD by PPD, Inc.): | ||||||||
4.625%, 6–15–25 (A) | 131 | 135 | ||||||
5.000%, 6–15–28 (A) | 467 | 487 | ||||||
Par Pharmaceutical, Inc., | ||||||||
7.500%, 4–1–27 (A) | 610 | 639 | ||||||
|
| |||||||
2,808 | ||||||||
|
| |||||||
Total Health Care – 5.5% |
| 7,720 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 0.8% |
| |||||||
Moog, Inc., | ||||||||
4.250%, 12–15–27 (A) | 500 | 511 | ||||||
Spirit AeroSystems, Inc. (GTD by Spirit AeroSystems Holdings, Inc.), | ||||||||
7.500%, 4–15–25 (A) | 633 | 641 | ||||||
|
| |||||||
1,152 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.5% |
| |||||||
Cargo Aircraft Management, Inc., | ||||||||
4.750%, 2–1–28 (A) | 650 | 656 | ||||||
|
| |||||||
Airlines – 1.3% |
| |||||||
American Airlines, Inc. (GTD by American Airlines Group, Inc.), | ||||||||
11.750%, 7–15–25 (A) | 740 | 714 | ||||||
Delta Air Lines, Inc., | ||||||||
7.000%, 5–1–25 (A) | 763 | 838 | ||||||
Delta Air Lines, Inc. and SkyMiles IP Ltd.: | ||||||||
4.500%, 10–20–25 (A) | 185 | 190 | ||||||
4.750%, 10–20–28 (A) | 138 | 143 | ||||||
|
| |||||||
1,885 | ||||||||
|
| |||||||
Building Products – 0.9% |
| |||||||
Griffon Corp., | ||||||||
5.750%, 3–1–28 | 588 | 614 | ||||||
Standard Industries, Inc., | ||||||||
5.000%, 2–15–27 (A) | 600 | 624 | ||||||
|
| |||||||
1,238 | ||||||||
|
| |||||||
Diversified Support Services – 1.5% |
| |||||||
Ahern Rentals, Inc., | ||||||||
7.375%, 5–15–23 (A) | 1,040 | 551 | ||||||
KAR Auction Services, Inc., | ||||||||
5.125%, 6–1–25 (A) | 607 | 607 | ||||||
Sotheby’s Holdings, Inc., | ||||||||
7.375%, 10–15–27 (A)(B) | 905 | 905 | ||||||
|
| |||||||
2,063 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Electrical Components & Equipment – 1.1% |
| |||||||
EnerSys, | ||||||||
5.000%, 4–30–23 (A) | $ | 1,028 | $ | 1,061 | ||||
WESCO Distribution, Inc.: | ||||||||
7.125%, 6–15–25 (A) | 282 | 307 | ||||||
7.250%, 6–15–28 (A) | 130 | 143 | ||||||
|
| |||||||
1,511 | ||||||||
|
| |||||||
Environmental & Facilities Services – 0.5% |
| |||||||
Covanta Holding Corp., | ||||||||
5.000%, 9–1–30 | 640 | 646 | ||||||
|
| |||||||
Industrial Machinery – 0.8% |
| |||||||
Energizer Holdings, Inc.: | ||||||||
6.375%, 7–15–26 (A) | 565 | 608 | ||||||
4.375%, 3–31–29 (A) | 515 | 520 | ||||||
|
| |||||||
1,128 | ||||||||
|
| |||||||
Research & Consulting Services – 0.5% |
| |||||||
Korn Ferry, | ||||||||
4.625%, 12–15–27 (A) | 759 | 767 | ||||||
|
| |||||||
Security & Alarm Services – 2.4% |
| |||||||
Brink’s Co. (The): | ||||||||
5.500%, 7–15–25 (A) | 348 | 363 | ||||||
4.625%, 10–15–27 (A) | 440 | 439 | ||||||
GW B-CR Security Corp., | ||||||||
9.500%, 11–1–27 (A) | 805 | 845 | ||||||
Prime Security Services Borrower LLC and Prime Finance, Inc.: | ||||||||
5.250%, 4–15–24 (A) | 414 | 433 | ||||||
5.750%, 4–15–26 (A) | 558 | 597 | ||||||
3.375%, 8–31–27 (A) | 390 | 375 | ||||||
6.250%, 1–15–28 (A) | 420 | 425 | ||||||
|
| |||||||
3,477 | ||||||||
|
| |||||||
Trading Companies & Distributors – 0.8% |
| |||||||
Central Garden & Pet Co., | ||||||||
5.125%, 2–1–28 | 400 | 420 | ||||||
H&E Equipment Services, Inc., | ||||||||
5.625%, 9–1–25 | 748 | 780 | ||||||
|
| |||||||
1,200 | ||||||||
|
| |||||||
Total Industrials – 11.1% |
| 15,723 | ||||||
Information Technology |
| |||||||
Application Software – 0.4% |
| |||||||
SS&C Technologies Holdings, Inc., | ||||||||
5.500%, 9–30–27 (A) | 595 | 632 | ||||||
|
| |||||||
Electronic Equipment & Instruments – 0.5% |
| |||||||
Diebold Nixdorf, Inc., | ||||||||
9.375%, 7–15–25 (A) | 223 | 235 | ||||||
Diebold, Inc., | ||||||||
8.500%, 4–15–24 (B) | 453 | 413 | ||||||
|
| |||||||
648 | ||||||||
|
| |||||||
Internet Services & Infrastructure – 0.4% |
| |||||||
Presidio Holdings, Inc., | ||||||||
8.250%, 2–1–28 (A) | 610 | 639 | ||||||
|
|
126 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PINEBRIDGE HIGH YIELD FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Semiconductors – 0.3% |
| |||||||
ON Semiconductor Corp., | ||||||||
3.875%, 9–1–28 (A) | $ | 445 | $ | 451 | ||||
|
| |||||||
Technology Distributors – 0.7% |
| |||||||
Ingram Micro, Inc., | ||||||||
5.450%, 12–15–24 (C) | 895 | 956 | ||||||
|
| |||||||
Total Information Technology – 2.3% |
| 3,326 | ||||||
Materials |
| |||||||
Construction Materials – 0.3% |
| |||||||
Boise Cascade Co., | ||||||||
4.875%, 7–1–30 (A) | 365 | 391 | ||||||
|
| |||||||
Diversified Chemicals – 0.5% |
| |||||||
Olin Corp., | ||||||||
9.500%, 6–1–25 (A) | 621 | 724 | ||||||
|
| |||||||
Diversified Metals & Mining – 3.2% |
| |||||||
Cliffs Natural Resources, Inc., | ||||||||
5.750%, 3–1–25 | 409 | 380 | ||||||
First Quantum Minerals Ltd., | ||||||||
7.250%, 4–1–23 (A) | 688 | 687 | ||||||
FMG Resources August 2006 Partners Ltd., | ||||||||
4.500%, 9–15–27 (A) | 580 | 619 | ||||||
Freeport-McMoRan, Inc.: | ||||||||
4.125%, 3–1–28 | 235 | 238 | ||||||
4.375%, 8–1–28 | 183 | 189 | ||||||
5.250%, 9–1–29 (B) | 380 | 408 | ||||||
4.250%, 3–1–30 | 235 | 241 | ||||||
4.625%, 8–1–30 | 183 | 192 | ||||||
Harsco Corp., | ||||||||
5.750%, 7–31–27 (A) | 781 | 792 | ||||||
Mineral Resources Ltd., | ||||||||
8.125%, 5–1–27 (A) | 700 | 760 | ||||||
|
| |||||||
4,506 | ||||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.4% |
| |||||||
OCI N.V., | ||||||||
5.250%, 11–1–24 (A) | 492 | 507 | ||||||
|
| |||||||
Metal & Glass Containers – 1.2% |
| |||||||
Ardagh Packaging Finance plc and Ardagh Holdings USA, Inc., | ||||||||
5.250%, 8–15–27 (A) | 500 | 509 | ||||||
Silgan Holdings, Inc., | ||||||||
4.750%, 3–15–25 | 501 | 510 | ||||||
Trivium Packaging Finance B.V., | ||||||||
8.500%, 8–15–27 (A) | 595 | 642 | ||||||
|
| |||||||
1,661 | ||||||||
|
| |||||||
Paper Packaging – 1.1% |
| |||||||
Cascades, Inc., | ||||||||
5.375%, 1–15–28 (A) | 607 | 638 | ||||||
Intertape Polymer Group, Inc., | ||||||||
7.000%, 10–15–26 (A) | 525 | 551 | ||||||
Sealed Air Corp., | ||||||||
5.125%, 12–1–24 (A) | 406 | 440 | ||||||
|
| |||||||
1,629 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Specialty Chemicals – 0.3% |
| |||||||
Minerals Technologies, Inc., | ||||||||
5.000%, 7–1–28 (A) | $ | 488 | $ | 505 | ||||
|
| |||||||
Steel – 1.0% |
| |||||||
Commercial Metals Co., | ||||||||
5.750%, 4–15–26 | 580 | 603 | ||||||
SunCoke Energy Partners L.P. and SunCoke Energy Partners Finance Corp., | ||||||||
7.500%, 6–15–25 (A) | 904 | 816 | ||||||
|
| |||||||
1,419 | ||||||||
|
| |||||||
Total Materials – 8.0% |
| 11,342 | ||||||
Real Estate |
| |||||||
Health Care REITs – 0.9% |
| |||||||
MPT Operating Partnership L.P. and MPT Finance Corp. (GTD by Medical Properties Trust, Inc.), | ||||||||
5.000%, 10–15–27 | 385 | 401 | ||||||
Sabra Health Care L.P., | ||||||||
5.125%, 8–15–26 | 797 | 862 | ||||||
|
| |||||||
1,263 | ||||||||
|
| |||||||
Hotel & Resort REITs – 0.4% |
| |||||||
ESH Hospitality, Inc.: | ||||||||
5.250%, 5–1–25 (A) | 205 | 207 | ||||||
4.625%, 10–1–27 (A) | 430 | 422 | ||||||
|
| |||||||
629 | ||||||||
|
| |||||||
Industrial REITs – 0.5% |
| |||||||
Avolon Holdings Funding Ltd., | ||||||||
5.125%, 10–1–23 (A) | 653 | 655 | ||||||
|
| |||||||
Real Estate Services – 1.0% |
| |||||||
Cushman & Wakefield U.S. Borrower LLC (GTD by DTZUK Guarantor Ltd.), | ||||||||
6.750%, 5–15–28 (A) | 525 | 545 | ||||||
Ladder Capital Finance Holdings LLP and Ladder Capital Finance Corp., | ||||||||
4.250%, 2–1–27 (A) | 587 | 508 | ||||||
Newmark Group, Inc., | ||||||||
6.125%, 11–15–23 | 415 | 431 | ||||||
|
| |||||||
1,484 | ||||||||
|
| |||||||
Total Real Estate – 2.8% |
| 4,031 | ||||||
Utilities |
| |||||||
Electric Utilities – 1.5% |
| |||||||
NextEra Energy Operating Partners L.P. (GTD by NextEra Energy Partners L.P. and NextEra Energy U.S. Partners Holdings LLC), | ||||||||
4.250%, 7–15–24 (A) | 560 | 584 | ||||||
Talen Energy Supply LLC: | ||||||||
7.250%, 5–15–27 (A) | 325 | 324 | ||||||
6.625%, 1–15–28 (A) | 480 | 465 | ||||||
Vistra Operations Co. LLC, | ||||||||
5.000%, 7–31–27 (A) | 725 | 761 | ||||||
|
| |||||||
2,134 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Independent Power Producers & Energy Traders – 0.4% |
| |||||||
Pattern Energy Operations L.P. and Pattern Energy Operations, Inc. (GTD by Pattern U.S. Finance Co. LLC), | ||||||||
4.500%, 8–15–28 (A) | $ | 600 | $ | 622 | ||||
|
| |||||||
Multi-Utilities – 1.0% |
| |||||||
MEG Energy Corp., | ||||||||
7.125%, 2–1–27 (A) | 550 | 493 | ||||||
MGE Energy Corp., | ||||||||
6.500%, 1–15–25 (A) | 894 | 877 | ||||||
|
| |||||||
1,370 | ||||||||
|
| |||||||
Renewable Electricity – 1.5% |
| |||||||
HAT Holdings I LLC and HAT Holdings II LLC (GTD by Hannon Armstrong Sustainable Infrastructure Capital, Inc.): | ||||||||
5.250%, 7–15–24 (A) | 552 | 575 | ||||||
6.000%, 4–15–25 (A) | 498 | 531 | ||||||
3.750%, 9–15–30 (A) | 183 | 183 | ||||||
NRG Yield Operating LLC, | ||||||||
5.000%, 9–15–26 | 783 | 815 | ||||||
|
| |||||||
2,104 | ||||||||
|
| |||||||
Total Utilities – 4.4% |
| 6,230 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 85.2% |
| $ | 120,773 | |||||
(Cost: $119,137) | ||||||||
SHORT-TERM SECURITIES | Shares | |||||||
Money Market Funds (F) – 5.8% | ||||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | ||||||||
0.040% (E) | 2,369 | 2,369 | ||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, | ||||||||
0.030% | 5,781 | 5,781 | ||||||
|
| |||||||
8,150 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 5.8% |
| $ | 8,150 | |||||
(Cost: $8,150) | ||||||||
TOTAL INVESTMENT SECURITIES – 91.1% |
| $ | 129,064 | |||||
(Cost: $127,440) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 8.9% |
| 12,553 | ||||||
NET ASSETS – 100.0% |
| $ | 141,617 |
2020 | ANNUAL REPORT | 127 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PINEBRIDGE HIGH YIELD FUND (in thousands) |
SEPTEMBER 30, 2020
Notes to Schedule of Investments
(A) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020 the total value of these securities amounted to $86,747 or 61.3% of net assets. |
(B) | All or a portion of securities with an aggregate value of $2,317 are on loan. |
(C) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at September 30, 2020. |
(D) | Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
(E) | Investment made with cash collateral received from securities on loan. |
(F) | Rate shown is the annualized 7-day yield at September 30, 2020. |
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of September 30, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | $ | — | $ | 141 | $ | — | ||||||
Corporate Debt Securities | — | 120,773 | — | |||||||||
Short-Term Securities | 8,150 | — | — | |||||||||
Total | $ | 8,150 | $ | 120,914 | $ | — |
The following acronyms are used throughout this schedule:
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
128 | ANNUAL REPORT | 2020 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY FUNDS |
AS OF SEPTEMBER 30, 2020
(In thousands, except per share amounts) | Ivy Apollo Multi- Asset Income Fund | Ivy Apollo Strategic Income Fund | Ivy California Municipal High Income Fund | Ivy Cash Management Fund | Ivy Corporate Bond Fund | Ivy Crossover Credit Fund | Ivy Government Securities Fund | Ivy International Small Cap Fund | ||||||||||||||||||||||||
ASSETS |
| |||||||||||||||||||||||||||||||
Investments in unaffiliated securities at value+^ | $ | 333,573 | $ | 404,981 | $ | 34,274 | $ | 1,576,140 | $ | 876,213 | $ | 58,955 | $ | 408,947 | $ | 167,201 | ||||||||||||||||
Investments at Value | 333,573 | 404,981 | 34,274 | 1,576,140 | 876,213 | 58,955 | 408,947 | 167,201 | ||||||||||||||||||||||||
Cash | 245 | — | — | 3,070 | — | * | 242 | — | — | |||||||||||||||||||||||
Cash denominated in foreign currencies at value+ | 862 | 262 | — | — | — | — | — | 45 | ||||||||||||||||||||||||
Restricted cash | — | — | — | — | — | 65 | — | — | ||||||||||||||||||||||||
Investment securities sold receivable | 3,833 | 4,160 | — | — | 3,981 | 937 | — | 626 | ||||||||||||||||||||||||
Dividends and interest receivable | 2,964 | 4,673 | 340 | 413 | 6,678 | 552 | 1,275 | 533 | ||||||||||||||||||||||||
Capital shares sold receivable | 59 | 266 | 17 | 6,472 | 1,091 | 32 | 320 | 63 | ||||||||||||||||||||||||
Receivable from affiliates | 309 | 487 | 69 | 738 | — | 88 | 48 | 227 | ||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | 575 | 588 | — | — | — | — | — | — | ||||||||||||||||||||||||
Receivable from securities lending income – net | 2 | 2 | — | — | 18 | — | * | — | 6 | |||||||||||||||||||||||
Variation margin receivable | — | — | — | — | — | 11 | — | — | ||||||||||||||||||||||||
Prepaid and other assets | 52 | 61 | 38 | 137 | 103 | 37 | 83 | 23 | ||||||||||||||||||||||||
Total Assets | 342,474 | 415,480 | 34,738 | 1,586,970 | 888,084 | 60,919 | 410,673 | 168,724 | ||||||||||||||||||||||||
LIABILITIES | ||||||||||||||||||||||||||||||||
Cash collateral on securities loaned at value | 7,595 | 3,696 | — | — | 3,358 | — | — | 2,852 | ||||||||||||||||||||||||
Investment securities purchased payable | 10,218 | 8,386 | 200 | — | 6,103 | 733 | — | 769 | ||||||||||||||||||||||||
Capital shares redeemed payable | 535 | 383 | — | 11,338 | 569 | 2 | 401 | 90 | ||||||||||||||||||||||||
Distributions payable | — | — | 5 | 1 | — | — | 45 | — | ||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 11 | 11 | 1 | 64 | 176 | 1 | 56 | 3 | ||||||||||||||||||||||||
Overdraft due to custodian | — | 999 | — | — | — | — | — | — | ||||||||||||||||||||||||
Distribution and service fees payable | 1 | 1 | — | * | — | * | 3 | — | * | 1 | — | * | ||||||||||||||||||||
Shareholder servicing payable | 54 | 52 | 3 | 308 | 139 | 7 | 37 | 14 | ||||||||||||||||||||||||
Investment management fee payable | 6 | 8 | 1 | 14 | 12 | 1 | 6 | 4 | ||||||||||||||||||||||||
Accounting services fee payable | 10 | 11 | 2 | 22 | 19 | 4 | 11 | 6 | ||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 32 | 36 | — | — | — | — | — | — | ||||||||||||||||||||||||
Other liabilities | 25 | 24 | 8 | 26 | 50 | 14 | 16 | 23 | ||||||||||||||||||||||||
Total Liabilities | 18,487 | 13,607 | 220 | 11,773 | 10,429 | 762 | 573 | 3,761 | ||||||||||||||||||||||||
Commitments and Contingencies (See Note 2 and Note 11) | ||||||||||||||||||||||||||||||||
Total Net Assets | $ | 323,987 | $ | 401,873 | $ | 34,518 | $ | 1,575,197 | $ | 877,655 | $ | 60,157 | $ | 410,100 | $ | 164,963 | ||||||||||||||||
NET ASSETS | ||||||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 336,816 | $ | 411,669 | $ | 33,187 | $ | 1,575,197 | $ | 782,260 | $ | 54,945 | $ | 397,014 | $ | 158,008 | ||||||||||||||||
Accumulated earnings gain (loss) | (12,829 | ) | (9,796 | ) | 1,331 | — | * | 95,395 | 5,212 | 13,086 | 6,955 | |||||||||||||||||||||
Total Net Assets | $ | 323,987 | $ | 401,873 | $ | 34,518 | $ | 1,575,197 | $ | 877,655 | $ | 60,157 | $ | 410,100 | $ | 164,963 | ||||||||||||||||
CAPITAL SHARES OUTSTANDING: | ||||||||||||||||||||||||||||||||
Class A | 8,933 | 11,221 | 1,748 | 1,572,544 | 51,442 | 1,547 | 16,683 | 1,289 | ||||||||||||||||||||||||
Class B | N/A | N/A | N/A | 389 | 34 | N/A | 28 | N/A | ||||||||||||||||||||||||
Class C | 1,003 | 547 | 169 | 2,264 | 608 | N/A | 358 | 126 | ||||||||||||||||||||||||
Class I | 22,435 | 25,856 | 1,251 | N/A | 66,481 | 3,486 | 24,157 | 6,260 | ||||||||||||||||||||||||
Class N | 321 | 2,218 | N/A | N/A | 8,555 | 199 | 29,724 | 5,513 | ||||||||||||||||||||||||
Class Y | 321 | 662 | 126 | N/A | 40 | 100 | N/A | 50 | ||||||||||||||||||||||||
NET ASSET VALUE PER SHARE: | ||||||||||||||||||||||||||||||||
Class A | $9.81 | $9.92 | $10.48 | $1.00 | $6.90 | $11.28 | $5.78 | $12.42 | ||||||||||||||||||||||||
Class B | N/A | N/A | N/A | $1.00 | $6.89 | N/A | $5.78 | N/A | ||||||||||||||||||||||||
Class C | $9.81 | $9.91 | $10.48 | $1.00 | $6.89 | N/A | $5.78 | $12.29 | ||||||||||||||||||||||||
Class I | $9.81 | $9.92 | $10.48 | N/A | $6.90 | $11.28 | $5.78 | $12.47 | ||||||||||||||||||||||||
Class N | $9.82 | $9.92 | N/A | N/A | $6.90 | $11.28 | $5.78 | $12.46 | ||||||||||||||||||||||||
Class Y | $9.82 | $9.92 | $10.48 | N/A | $6.90 | $11.28 | N/A | $12.42 | ||||||||||||||||||||||||
+COST | ||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 335,682 | $ | 408,498 | $ | 32,940 | $ | 1,576,140 | $ | 822,247 | $ | 57,425 | $ | 392,337 | $ | 139,553 | ||||||||||||||||
Cash denominated in foreign currencies at cost | 859 | 263 | — | — | — | — | — | 45 | ||||||||||||||||||||||||
^Securities loaned at value | 6,833 | 3,613 | — | — | 5,198 | 196 | — | 2,625 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 129 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY FUNDS |
AS OF SEPTEMBER 30, 2020
(In thousands, except per share amounts) | Ivy Pictet Emerging Markets Local Currency Debt Fund | Ivy Pictet Targeted Return Bond Fund | Ivy PineBridge High Yield Fund | |||||||||
ASSETS |
| |||||||||||
Investments in unaffiliated securities at value+^ | $ | 58,614 | $ | 183,285 | $ | 129,064 | ||||||
Investments at Value | 58,614 | 183,285 | 129,064 | |||||||||
Cash | — | — | 212 | |||||||||
Cash denominated in foreign currencies at value+ | 372 | 5,359 | — | |||||||||
Restricted cash | 1,034 | 1,782 | — | |||||||||
Investment securities sold receivable | 376 | 69 | 923 | |||||||||
Dividends and interest receivable | 809 | 1,068 | 1,942 | |||||||||
Capital shares sold receivable | 14 | 40 | 12,627 | |||||||||
Receivable from affiliates | 208 | 200 | 116 | |||||||||
Unrealized appreciation on forward foreign currency contracts | 1,039 | 1,052 | — | |||||||||
Swap agreements, at value | 146 | — | — | |||||||||
Receivable from securities lending income – net | — | — | * | 2 | ||||||||
Variation margin receivable | 321 | 410 | — | |||||||||
Prepaid and other assets | 32 | 21 | 28 | |||||||||
Total Assets | 62,965 | 193,286 | 144,914 | |||||||||
LIABILITIES | ||||||||||||
Cash collateral on securities loaned at value | — | 2,118 | 2,369 | |||||||||
Investment securities purchased payable | 1,151 | 138 | 764 | |||||||||
Capital shares redeemed payable | 94 | 100 | 122 | |||||||||
Independent Trustees and Chief Compliance Officer fees payable | 3 | 5 | 2 | |||||||||
Distribution and service fees payable | — | * | — | * | — | * | ||||||
Shareholder servicing payable | 7 | 18 | 14 | |||||||||
Investment management fee payable | 1 | 5 | 2 | |||||||||
Accounting services fee payable | 4 | 6 | 5 | |||||||||
Unrealized depreciation on forward foreign currency contracts | 1,086 | 362 | — | |||||||||
Swap agreements, at value | 83 | — | — | |||||||||
Variation margin payable | 13 | 71 | — | |||||||||
Written options at value+ | — | 242 | — | |||||||||
Other liabilities | 119 | 24 | 19 | |||||||||
Total Liabilities | 2,561 | 3,089 | 3,297 | |||||||||
Commitments and Contingencies (See Note 2 and Note 11) | ||||||||||||
Total Net Assets | $ | 60,404 | $ | 190,197 | $ | 141,617 | ||||||
NET ASSETS | ||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 69,960 | $ | 185,339 | $ | 142,189 | ||||||
Accumulated earnings gain (loss) | (9,556 | ) | 4,858 | (572 | ) | |||||||
Total Net Assets | $ | 60,404 | $ | 190,197 | $ | 141,617 | ||||||
CAPITAL SHARES OUTSTANDING: | ||||||||||||
Class A | 929 | 2,257 | 1,571 | |||||||||
Class C | 211 | 448 | N/A | |||||||||
Class I | 3,285 | 9,998 | 8,938 | |||||||||
Class N | 2,350 | 5,492 | 4,063 | |||||||||
Class Y | 301 | 351 | N/A | |||||||||
NET ASSET VALUE PER SHARE: | ||||||||||||
Class A | $8.46 | $10.22 | $9.72 | |||||||||
Class C | $8.20 | $10.10 | N/A | |||||||||
Class I | $8.57 | $10.25 | $9.72 | |||||||||
Class N | $8.57 | $10.28 | $9.71 | |||||||||
Class Y | $8.46 | $10.22 | N/A | |||||||||
+COST | ||||||||||||
Investments in unaffiliated securities at cost | $ | 58,429 | $ | 176,328 | $ | 127,440 | ||||||
Cash denominated in foreign currencies at cost | 370 | 5,204 | — | |||||||||
Written options premiums received at cost | — | 366 | — | |||||||||
^Securities loaned at value | — | 2,061 | 2,317 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
130 | ANNUAL REPORT | 2020 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY FUNDS |
FOR THE YEAR ENDED SEPTEMBER 30, 2020
(In thousands) | Ivy Apollo Multi- Asset Income Fund | Ivy Apollo Strategic Income Fund | Ivy California Municipal High Income Fund | Ivy Cash Management Fund | Ivy Corporate Bond Fund | Ivy Crossover Credit Fund | Ivy Government Securities Fund | Ivy International Small Cap Fund | ||||||||||||||||||||||||
INVESTMENT INCOME |
| |||||||||||||||||||||||||||||||
Dividends from unaffiliated securities | $ | 6,766 | $ | 327 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 3,147 | ||||||||||||||||
Foreign dividend withholding tax | (468 | ) | — | — | — | — | — | — | (244 | ) | ||||||||||||||||||||||
Interest and amortization from unaffiliated securities | 13,573 | 23,575 | 961 | 17,419 | 28,552 | 1,727 | 6,879 | 12 | ||||||||||||||||||||||||
Securities lending income – net | 22 | 49 | — | — | 68 | 2 | 4 | 111 | ||||||||||||||||||||||||
Total Investment Income | 19,893 | 23,951 | 961 | 17,419 | 28,620 | 1,729 | 6,883 | 3,026 | ||||||||||||||||||||||||
EXPENSES | ||||||||||||||||||||||||||||||||
Investment management fee | 2,749 | 3,025 | 179 | 4,790 | 4,186 | 245 | 1,684 | 1,609 | ||||||||||||||||||||||||
Distribution and service fees: | ||||||||||||||||||||||||||||||||
Class A | 257 | 284 | 44 | — | 862 | 35 | 200 | 38 | ||||||||||||||||||||||||
Class B | N/A | N/A | N/A | 5 | 3 | N/A | 2 | N/A | ||||||||||||||||||||||||
Class C | 123 | 55 | 19 | 18 | 38 | N/A | 15 | 16 | ||||||||||||||||||||||||
Class E(1) | N/A | N/A | N/A | N/A | — | * | 1 | — | * | N/A | ||||||||||||||||||||||
Class R(2) | N/A | N/A | N/A | N/A | 1 | 2 | 1 | N/A | ||||||||||||||||||||||||
Class Y(3) | 9 | 17 | 3 | N/A | 1 | 3 | 1 | 2 | ||||||||||||||||||||||||
Shareholder servicing: | ||||||||||||||||||||||||||||||||
Class A | 201 | 147 | 5 | 3,476 | 698 | 9 | 158 | 19 | ||||||||||||||||||||||||
Class B | N/A | N/A | N/A | 1 | 4 | N/A | 2 | N/A | ||||||||||||||||||||||||
Class C | 25 | 15 | 2 | 3 | 13 | N/A | 4 | 2 | ||||||||||||||||||||||||
Class E(1) | N/A | N/A | N/A | N/A | — | * | — | * | — | * | N/A | |||||||||||||||||||||
Class I | 450 | 463 | 21 | N/A | 782 | 52 | 202 | 134 | ||||||||||||||||||||||||
Class N | 1 | 4 | N/A | N/A | 5 | — | * | 14 | 7 | |||||||||||||||||||||||
Class R(2) | N/A | N/A | N/A | N/A | 1 | 1 | 1 | N/A | ||||||||||||||||||||||||
Class Y(3) | 5 | 10 | 2 | N/A | — | * | 2 | — | * | 2 | ||||||||||||||||||||||
Registration fees | 82 | 92 | 53 | 157 | 124 | 80 | 106 | 71 | ||||||||||||||||||||||||
Custodian fees | 56 | 29 | 2 | 18 | 14 | 4 | 7 | 65 | ||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 36 | 40 | 5 | 115 | 99 | 4 | 35 | 11 | ||||||||||||||||||||||||
Accounting services fee | 123 | 135 | 28 | 256 | 229 | 35 | 120 | 69 | ||||||||||||||||||||||||
Professional fees | 117 | 119 | 45 | 58 | 65 | 57 | 45 | 56 | ||||||||||||||||||||||||
Third-party valuation service fees | 22 | 11 | — | — | — | — | — | 11 | ||||||||||||||||||||||||
Commitment and interest expense for borrowing | — | 30 | 2 | — | — | — | — | — | ||||||||||||||||||||||||
Other | 48 | 40 | 10 | 137 | 71 | 14 | 23 | 21 | ||||||||||||||||||||||||
Total Expenses | 4,304 | 4,516 | 420 | 9,034 | 7,196 | 544 | 2,620 | 2,133 | ||||||||||||||||||||||||
Less: | ||||||||||||||||||||||||||||||||
Expenses in excess of limit | (742 | ) | (1,022 | ) | (158 | ) | (738 | ) | — | (184 | ) | (116 | ) | (466 | ) | |||||||||||||||||
Total Net Expenses | 3,562 | 3,494 | 262 | 8,296 | 7,196 | 360 | 2,504 | 1,667 | ||||||||||||||||||||||||
Net Investment Income | 16,331 | 20,457 | 699 | 9,123 | 21,424 | 1,369 | 4,379 | 1,359 | ||||||||||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | (10,325 | ) | (5,576 | ) | 41 | — | * | 46,819 | 3,900 | 5,965 | (5,785 | ) | ||||||||||||||||||||
Futures contracts | — | — | — | — | (560 | ) | (192 | ) | — | — | ||||||||||||||||||||||
Swap agreements | (27 | ) | (27 | ) | — | — | — | — | — | — | ||||||||||||||||||||||
Forward foreign currency contracts | (139 | ) | (137 | ) | — | — | — | — | — | — | ||||||||||||||||||||||
Foreign currency exchange transactions | (98 | ) | (64 | ) | — | — | — | — | — | 129 | ||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | (17,472 | ) | 751 | (244 | ) | — | 1,995 | (26 | ) | 7,226 | 21,765 | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | (15 | ) | — | — | |||||||||||||||||||||||
Swap agreements | 10 | 11 | — | — | — | — | — | — | ||||||||||||||||||||||||
Forward foreign currency contracts | (317 | ) | (330 | ) | — | — | — | — | — | — | ||||||||||||||||||||||
Foreign currency exchange transactions | 15 | (12 | ) | — | — | — | — | — | 40 | |||||||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | (28,353 | ) | (5,384 | ) | (203 | ) | — | * | 48,254 | 3,667 | 13,191 | 16,149 | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (12,022 | ) | $ | 15,073 | $ | 496 | $ | 9,123 | $ | 69,678 | $ | 5,036 | $ | 17,570 | $ | 17,508 |
* | Not shown due to rounding. |
(1) | Effective June 19, 2020, Ivy Corporate Bond Fund, Ivy Crossover Credit Fund and Ivy Government Securities Fund liquidated Class E. |
(2) | Effective June 19, 2020, Ivy Corporate Bond Fund, Ivy Crossover Credit Fund and Ivy Government Securities Fund liquidated Class R. |
(3) | Effective June 19, 2020, Ivy Government Securities Fund liquidated Class Y. |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 131 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY FUNDS |
FOR THE YEAR ENDED SEPTEMBER 30, 2020
(In thousands) | Ivy Pictet Emerging Markets Local Currency Debt Fund | Ivy Pictet Targeted Return Bond Fund | Ivy PineBridge High Yield Fund | |||||||||
INVESTMENT INCOME |
| |||||||||||
Interest and amortization from unaffiliated securities | $ | 5,470 | $ | 4,305 | $ | 6,665 | ||||||
Foreign interest withholding tax | (44 | ) | (4 | ) | — | |||||||
Securities lending income – net | — | * | 3 | 24 | ||||||||
Total Investment Income | 5,426 | 4,304 | 6,689 | |||||||||
EXPENSES | ||||||||||||
Investment management fee | 835 | 1,834 | 697 | |||||||||
Distribution and service fees: | ||||||||||||
Class A | 21 | 57 | 32 | |||||||||
Class C | 18 | 43 | N/A | |||||||||
Class E(1) | 3 | N/A | N/A | |||||||||
Class R(2) | 6 | N/A | 2 | |||||||||
Class Y | 7 | 9 | N/A | |||||||||
Shareholder servicing: | ||||||||||||
Class A | 11 | 22 | 11 | |||||||||
Class C | — | * | 2 | N/A | ||||||||
Class E(1) | — | * | N/A | N/A | ||||||||
Class I | 120 | 192 | 111 | |||||||||
Class N | 3 | 6 | 3 | |||||||||
Class R(2) | 3 | N/A | 1 | |||||||||
Class Y | 4 | 5 | N/A | |||||||||
Registration fees | 77 | 74 | 61 | |||||||||
Custodian fees | 121 | 58 | 7 | |||||||||
Independent Trustees and Chief Compliance Officer fees | 19 | 18 | 10 | |||||||||
Accounting services fee | 64 | 80 | 61 | |||||||||
Professional fees | 89 | 76 | 61 | |||||||||
Commitment and interest expense for borrowing | — | — | 8 | |||||||||
Other | 22 | 23 | 17 | |||||||||
Total Expenses | 1,423 | 2,499 | 1,082 | |||||||||
Less: | ||||||||||||
Expenses in excess of limit | (461 | ) | (452 | ) | (244 | ) | ||||||
Total Net Expenses | 962 | 2,047 | 838 | |||||||||
Net Investment Income | 4,464 | 2,257 | 5,851 | |||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments in unaffiliated securities | (6,141 | ) | (2,897 | ) | (1,242 | ) | ||||||
Futures contracts | (162 | ) | (1,326 | ) | — | |||||||
Written options | 9 | 1,085 | — | |||||||||
Swap agreements | 1,002 | (2,389 | ) | — | ||||||||
Forward foreign currency contracts | (713 | ) | 3,680 | — | ||||||||
Foreign currency exchange transactions | (1,304 | ) | (113 | ) | — | |||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments in unaffiliated securities | (129 | ) | 2,856 | 1,363 | ||||||||
Futures contracts | (33 | ) | (451 | ) | — | |||||||
Written options | — | 150 | — | |||||||||
Swap agreements | 296 | 1,219 | — | |||||||||
Forward foreign currency contracts | 574 | (85 | ) | — | ||||||||
Foreign currency exchange transactions | 78 | (242 | ) | — | ||||||||
Net Realized and Unrealized Gain (Loss) | (6,523 | ) | 1,487 | 121 | ||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (2,059 | ) | $ | 3,744 | $ | 5,972 |
* | Not shown due to rounding. |
(1) | Effective June 19, 2020, Ivy Pictet Emerging Markets Local Currency Debt Fund liquidated Class E. |
(2) | Effective June 19, 2020, Ivy Pictet Emerging Markets Local Currency Debt Fund and Ivy PineBridge High Yield Fund liquidated Class R. |
See Accompanying Notes to Financial Statements.
132 | ANNUAL REPORT | 2020 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY FUNDS |
Ivy Apollo Multi-Asset Income Fund | Ivy Apollo Strategic Income Fund | Ivy California Municipal High Income Fund | ||||||||||||||||||||||
(In thousands) | Year ended 9-30-20 | Year ended 9-30-19 | Year ended 9-30-20 | Year ended 9-30-19 | Year ended 9-30-20 | Year ended 9-30-19 | ||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 16,331 | $ | 20,293 | $ | 20,457 | $ | 23,292 | $ | 699 | $ | 741 | ||||||||||||
Net realized gain (loss) on investments | (10,589 | ) | 5,929 | (5,804 | ) | (725 | ) | 41 | 40 | |||||||||||||||
Net change in unrealized appreciation (depreciation) | (17,764 | ) | (11,470 | ) | 420 | 2,943 | (244 | ) | 1,635 | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (12,022 | ) | 14,752 | 15,073 | 25,510 | 496 | 2,416 | |||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Accumulated earnings: | ||||||||||||||||||||||||
(combined net investment income and net realized gains) | ||||||||||||||||||||||||
Class A | (5,853 | ) | (9,075 | ) | (5,079 | ) | (5,616 | ) | (339 | ) | (340 | ) | ||||||||||||
Class C | (610 | ) | (998 | ) | (204 | ) | (233 | ) | (21 | ) | (30 | ) | ||||||||||||
Class I | (16,428 | ) | (25,556 | ) | (13,898 | ) | (16,194 | ) | (288 | ) | (334 | ) | ||||||||||||
Class N | (213 | ) | (294 | ) | (1,689 | ) | (2,533 | ) | N/A | N/A | ||||||||||||||
Class Y | (203 | ) | (410 | ) | (296 | ) | (342 | ) | (26 | ) | (33 | ) | ||||||||||||
Total Distributions to Shareholders | (23,307 | ) | (36,333 | ) | (21,166 | ) | (24,918 | ) | (674 | ) | (737 | ) | ||||||||||||
Capital Share Transactions | (101,774 | ) | (28,653 | ) | (87,029 | ) | (4,654 | ) | 1,966 | 3,010 | ||||||||||||||
Net Increase (Decrease) in Net Assets | (137,103 | ) | (50,234 | ) | (93,122 | ) | (4,062 | ) | 1,788 | 4,689 | ||||||||||||||
Net Assets, Beginning of Period | 461,090 | 511,324 | 494,995 | 499,057 | 32,730 | 28,041 | ||||||||||||||||||
Net Assets, End of Period | $ | 323,987 | $ | 461,090 | $ | 401,873 | $ | 494,995 | $ | 34,518 | $ | 32,730 |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 133 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY FUNDS |
Ivy Cash Management Fund | Ivy Corporate Bond Fund | Ivy Crossover Credit Fund | ||||||||||||||||||||||
(In thousands) | Year ended 9-30-20 | Year ended 9-30-19 | Year ended 9-30-20 | Year ended 9-30-19 | Year ended 9-30-20 | Year ended 9-30-19 | ||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 9,123 | $ | 23,976 | $ | 21,424 | $ | 24,991 | $ | 1,369 | $ | 1,258 | ||||||||||||
Net realized gain on investments | — | * | 10 | 46,259 | 1,533 | 3,708 | 272 | |||||||||||||||||
Net change in unrealized appreciation (depreciation) | — | — | 1,995 | 73,955 | (41 | ) | 3,067 | |||||||||||||||||
Net Increase in Net Assets Resulting from Operations | 9,123 | 23,986 | 69,678 | 100,479 | 5,036 | 4,597 | ||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Accumulated earnings: | ||||||||||||||||||||||||
(combined net investment income and net realized gains) | ||||||||||||||||||||||||
Class A | (9,131 | ) | (23,958 | ) | (8,244 | ) | (8,915 | ) | (366 | ) | (412 | ) | ||||||||||||
Class B | (1 | ) | (6 | ) | (3 | ) | (6 | ) | N/A | N/A | ||||||||||||||
Class C | (2 | ) | (12 | ) | (59 | ) | (65 | ) | N/A | N/A | ||||||||||||||
Class E(1) | N/A | N/A | (5 | ) | (7 | ) | (11 | ) | (17 | ) | ||||||||||||||
Class I | N/A | N/A | (13,129 | ) | (15,141 | ) | (918 | ) | (866 | ) | ||||||||||||||
Class N | N/A | N/A | (1,387 | ) | (1,176 | ) | (19 | ) | (19 | ) | ||||||||||||||
Class R(2) | N/A | N/A | (5 | ) | (6 | ) | (9 | ) | (15 | ) | ||||||||||||||
Class Y | N/A | N/A | (7 | ) | (7 | ) | (28 | ) | (35 | ) | ||||||||||||||
Total Distributions to Shareholders | (9,134 | ) | (23,976 | ) | (22,839 | ) | (25,323 | ) | (1,351 | ) | (1,364 | ) | ||||||||||||
Capital Share Transactions | 316,045 | (23,815 | ) | (88,016 | ) | (114,020 | ) | 13,402 | 2,906 | |||||||||||||||
Net Increase (Decrease) in Net Assets | 316,034 | (23,805 | ) | (41,177 | ) | (38,864 | ) | 17,087 | 6,139 | |||||||||||||||
Net Assets, Beginning of Period | 1,259,163 | 1,282,968 | 918,832 | 957,696 | 43,070 | 36,931 | ||||||||||||||||||
Net Assets, End of Period | $ | 1,575,197 | $ | 1,259,163 | $ | 877,655 | $ | 918,832 | $ | 60,157 | $ | 43,070 |
* | Not shown due to rounding. |
(1) | Effective June 19, 2020, Ivy Corporate Bond Fund and Ivy Crossover Credit Fund liquidated Class E. |
(2) | Effective June 19, 2020, Ivy Corporate Bond Fund and Ivy Crossover Credit Fund liquidated Class R. |
See Accompanying Notes to Financial Statements.
134 | ANNUAL REPORT | 2020 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY FUNDS |
Ivy Government Securities Fund | Ivy International Small Cap Fund | Ivy Pictet Emerging Markets Local Currency Debt Fund | ||||||||||||||||||||||
(In thousands) | Year ended 9-30-20 | Year ended 9-30-19 | Year ended 9-30-20 | Year ended 9-30-19 | Year ended 9-30-20 | Year ended 9-30-19 | ||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 4,379 | $ | 5,641 | $ | 1,359 | $ | 2,225 | $ | 4,464 | $ | 7,346 | ||||||||||||
Net realized gain (loss) on investments | 5,965 | (1,046 | ) | (5,656 | ) | (12,771 | ) | (7,309 | ) | (9,671 | ) | |||||||||||||
Net change in unrealized appreciation | 7,226 | 22,615 | 21,805 | 37 | 786 | 10,733 | ||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 17,570 | 27,210 | 17,508 | (10,509 | ) | (2,059 | ) | 8,408 | ||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Accumulated earnings: | ||||||||||||||||||||||||
(combined net investment income and net realized gains) | ||||||||||||||||||||||||
Class A | (1,019 | ) | (1,084 | ) | (289 | ) | (224 | ) | (104 | ) | — | |||||||||||||
Class B | — | * | (1 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||
Class C | (6 | ) | (8 | ) | (19 | ) | (10 | ) | (21 | ) | — | |||||||||||||
Class E(1) | (3 | ) | (4 | ) | N/A | N/A | (21 | ) | — | |||||||||||||||
Class I | (1,834 | ) | (1,917 | ) | (1,651 | ) | (1,137 | ) | (971 | ) | (187 | ) | ||||||||||||
Class N | (2,216 | ) | (3,023 | ) | (1,558 | ) | (1,365 | ) | (429 | ) | (97 | ) | ||||||||||||
Class R(2) | (2 | ) | (3 | ) | N/A | N/A | (20 | ) | — | |||||||||||||||
Class Y(3) | (2 | ) | (4 | ) | (24 | ) | (40 | ) | (31 | ) | — | |||||||||||||
Total Distributions to Shareholders | (5,082 | ) | (6,044 | ) | (3,541 | ) | (2,776 | ) | (1,597 | ) | (284 | ) | ||||||||||||
Capital Share Transactions | 115,304 | (114,107 | ) | (12,950 | ) | 4,295 | (65,208 | ) | (20,756 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets | 127,792 | (92,941 | ) | 1,017 | (8,990 | ) | (68,864 | ) | (12,632 | ) | ||||||||||||||
Net Assets, Beginning of Period | 282,308 | 375,249 | 163,946 | 172,936 | 129,268 | 141,900 | ||||||||||||||||||
Net Assets, End of Period | $ | 410,100 | $ | 282,308 | $ | 164,963 | $ | 163,946 | $ | 60,404 | $ | 129,268 |
* | Not shown due to rounding. |
(1) | Effective June 19, 2020, Ivy Government Securities Fund and Ivy Pictet Emerging Markets Local Currency Debt Fund liquidated Class E. |
(2) | Effective June 19, 2020, Ivy Government Securities Fund and Ivy Pictet Emerging Markets Local Currency Debt Fund liquidated Class R. |
(3) | Effective June 19, 2020, Ivy Government Securities Fund liquidated Class Y. |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 135 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY FUNDS |
Ivy Pictet Targeted Return Bond Fund | Ivy PineBridge High Yield Fund | |||||||||||||||
(In thousands) | Year ended 9-30-20 | Year ended 9-30-19 | Year ended 9-30-20 | Year ended 9-30-19 | ||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 2,257 | $ | 4,556 | $ | 5,851 | $ | 5,022 | ||||||||
Net realized gain (loss) on investments | (1,960 | ) | 4,135 | (1,242 | ) | (1,054 | ) | |||||||||
Net change in unrealized appreciation | 3,447 | 7,804 | 1,363 | 1,621 | ||||||||||||
Net Increase in Net Assets Resulting from Operations | 3,744 | 16,495 | 5,972 | 5,589 | ||||||||||||
Distributions to Shareholders From: | ||||||||||||||||
Accumulated earnings: | ||||||||||||||||
(combined net investment income and net realized gains) | ||||||||||||||||
Class A | (429 | ) | (1,003 | ) | (632 | ) | (439 | ) | ||||||||
Class C | (51 | ) | (169 | ) | N/A | N/A | ||||||||||
Class I | (2,445 | ) | (6,359 | ) | (3,249 | ) | (2,640 | ) | ||||||||
Class N | (1,535 | ) | (4,192 | ) | (1,829 | ) | (1,834 | ) | ||||||||
Class R(1) | N/A | N/A | (17 | ) | (24 | ) | ||||||||||
Class Y | (66 | ) | (171 | ) | N/A | N/A | ||||||||||
Total Distributions to Shareholders | (4,526 | ) | (11,894 | ) | (5,727 | ) | (4,937 | ) | ||||||||
Capital Share Transactions | (29,720 | ) | (24,430 | ) | 39,029 | 14,710 | ||||||||||
Net Increase (Decrease) in Net Assets | (30,502 | ) | (19,829 | ) | 39,274 | 15,362 | ||||||||||
Net Assets, Beginning of Period | 220,699 | 240,528 | 102,343 | 86,981 | ||||||||||||
Net Assets, End of Period | $ | 190,197 | $ | 220,699 | $ | 141,617 | $ | 102,343 |
(1) | Effective June 19, 2020, Ivy PineBridge High Yield Fund liquidated Class R. |
See Accompanying Notes to Financial Statements.
136 | ANNUAL REPORT | 2020 |
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2020 | ANNUAL REPORT | 137 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY FUNDS |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
IVY APOLLO MULTI-ASSET INCOME FUND
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 10.58 | $ | 0.39 | $ | (0.61 | ) | $ | (0.22 | ) | $ | (0.42 | ) | $ | (0.13 | ) | $ | (0.55 | ) | |||||||||
Year ended 9-30-2019 | 11.07 | 0.43 | (0.13 | ) | 0.30 | (0.45 | ) | (0.34 | ) | (0.79 | ) | |||||||||||||||||
Year ended 9-30-2018 | 11.02 | 0.42 | 0.05 | 0.47 | (0.41 | ) | (0.01 | ) | (0.42 | ) | ||||||||||||||||||
Year ended 9-30-2017 | 10.45 | 0.39 | 0.50 | 0.89 | (0.30 | ) | (0.02 | ) | (0.32 | ) | ||||||||||||||||||
Year ended 9-30-2016(4) | 10.00 | 0.37 | 0.31 | 0.68 | (0.23 | ) | — | * | (0.23 | ) | ||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.58 | 0.32 | (0.61 | ) | (0.29 | ) | (0.35 | ) | (0.13 | ) | (0.48 | ) | ||||||||||||||||
Year ended 9-30-2019 | 11.07 | 0.35 | (0.12 | ) | 0.23 | (0.38 | ) | (0.34 | ) | (0.72 | ) | |||||||||||||||||
Year ended 9-30-2018 | 11.02 | 0.33 | 0.06 | 0.39 | (0.33 | ) | (0.01 | ) | (0.34 | ) | ||||||||||||||||||
Year ended 9-30-2017 | 10.46 | 0.31 | 0.50 | 0.81 | (0.23 | ) | (0.02 | ) | (0.25 | ) | ||||||||||||||||||
Year ended 9-30-2016(4) | 10.00 | 0.28 | 0.33 | 0.61 | (0.15 | ) | — | * | (0.15 | ) | ||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.59 | 0.43 | (0.61 | ) | (0.18 | ) | (0.47 | ) | (0.13 | ) | (0.60 | ) | ||||||||||||||||
Year ended 9-30-2019 | 11.07 | 0.47 | (0.11 | ) | 0.36 | (0.50 | ) | (0.34 | ) | (0.84 | ) | |||||||||||||||||
Year ended 9-30-2018 | 11.02 | 0.45 | 0.06 | 0.51 | (0.45 | ) | (0.01 | ) | (0.46 | ) | ||||||||||||||||||
Year ended 9-30-2017 | 10.46 | 0.41 | 0.51 | 0.92 | (0.34 | ) | (0.02 | ) | (0.36 | ) | ||||||||||||||||||
Year ended 9-30-2016(4) | 10.00 | 0.39 | 0.32 | 0.71 | (0.25 | ) | — | * | (0.25 | ) | ||||||||||||||||||
Class N Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.59 | 0.44 | (0.61 | ) | (0.17 | ) | (0.47 | ) | (0.13 | ) | (0.60 | ) | ||||||||||||||||
Year ended 9-30-2019 | 11.08 | 0.47 | (0.12 | ) | 0.35 | (0.50 | ) | (0.34 | ) | (0.84 | ) | |||||||||||||||||
Year ended 9-30-2018 | 11.03 | 0.47 | 0.05 | 0.52 | (0.46 | ) | (0.01 | ) | (0.47 | ) | ||||||||||||||||||
Year ended 9-30-2017 | 10.46 | 0.43 | 0.52 | 0.95 | (0.36 | ) | (0.02 | ) | (0.38 | ) | ||||||||||||||||||
Year ended 9-30-2016(4) | 10.00 | 0.38 | 0.33 | 0.71 | (0.25 | ) | — | * | (0.25 | ) | ||||||||||||||||||
Class Y Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.59 | 0.40 | (0.61 | ) | (0.21 | ) | (0.43 | ) | (0.13 | ) | (0.56 | ) | ||||||||||||||||
Year ended 9-30-2019 | 11.07 | 0.42 | (0.10 | ) | 0.32 | (0.46 | ) | (0.34 | ) | (0.80 | ) | |||||||||||||||||
Year ended 9-30-2018 | 11.02 | 0.42 | 0.06 | 0.48 | (0.42 | ) | (0.01 | ) | (0.43 | ) | ||||||||||||||||||
Year ended 9-30-2017 | 10.45 | 0.39 | 0.51 | 0.90 | (0.31 | ) | (0.02 | ) | (0.33 | ) | ||||||||||||||||||
Year ended 9-30-2016(4) | 10.00 | 0.34 | 0.34 | 0.68 | (0.23 | ) | — | * | (0.23 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | For the period from October 1, 2015 (commencement of operations of the class) through September 30, 2016. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended September 30, 2016. |
(7) | Ratio of expenses to average net assets excluding offering cost was 1.25%. |
(8) | Ratio of expenses to average net assets excluding offering cost was 2.01%. |
(9) | Ratio of expenses to average net assets excluding offering cost was 0.93%. |
(10) | Ratio of expenses to average net assets excluding offering cost was 0.89%. |
(11) | Ratio of expenses to average net assets excluding offering cost was 1.20%. |
.
138 | ANNUAL REPORT | 2020 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 9.81 | -2.10 | % | $ | 88 | 1.20 | % | 3.89 | % | 1.27 | % | 3.82 | % | 71 | % | ||||||||||||||||
Year ended 9-30-2019 | 10.58 | 3.22 | 119 | 1.20 | 4.06 | 1.24 | 4.02 | 54 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 11.07 | 4.41 | 131 | 1.24 | 3.77 | 1.24 | 3.77 | 59 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 11.02 | 8.67 | 143 | 1.24 | 3.64 | — | — | 84 | ||||||||||||||||||||||||
Year ended 9-30-2016(4) | 10.45 | 6.85 | 95 | 1.30 | (5)(7) | 3.69 | (5) | 1.41 | (5) | 3.58 | (5) | 63 | (6) | |||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 9.81 | -2.85 | 10 | 1.96 | 3.13 | 2.03 | 3.06 | 71 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.58 | 2.46 | 14 | 1.94 | 3.31 | 1.98 | 3.27 | 54 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 11.07 | 3.64 | 16 | 1.98 | 3.01 | 1.98 | 3.01 | 59 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 11.02 | 7.86 | 20 | 1.97 | 2.87 | — | — | 84 | ||||||||||||||||||||||||
Year ended 9-30-2016(4) | 10.46 | 6.14 | 14 | 2.06 | (5)(8) | 2.78 | (5) | — | — | 63 | (6) | |||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 9.81 | -1.76 | 220 | 0.75 | 4.32 | 0.99 | 4.08 | 71 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.59 | 3.77 | 320 | 0.75 | 4.51 | 0.97 | 4.29 | 54 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 11.07 | 4.71 | 354 | 0.93 | 4.07 | 0.96 | 4.04 | 59 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 11.02 | 8.92 | 401 | 0.95 | 3.88 | — | — | 84 | ||||||||||||||||||||||||
Year ended 9-30-2016(4) | 10.46 | 7.25 | 255 | 0.98 | (5)(9) | 3.80 | (5) | — | — | 63 | (6) | |||||||||||||||||||||
Class N Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 9.82 | -1.66 | 3 | 0.75 | 4.34 | 0.84 | 4.25 | 71 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.59 | 3.69 | 4 | 0.75 | 4.50 | 0.92 | 4.33 | 54 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 11.08 | 4.96 | 4 | 0.79 | 4.23 | 0.80 | 4.22 | 59 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 11.03 | 9.12 | 4 | 0.78 | 4.09 | — | — | 84 | ||||||||||||||||||||||||
Year ended 9-30-2016(4) | 10.46 | 7.26 | 3 | 0.94 | (5)(10) | 3.73 | (5) | — | — | 63 | (6) | |||||||||||||||||||||
Class Y Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 9.82 | -2.06 | 3 | 1.15 | 3.95 | 1.22 | 3.88 | 71 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.59 | 3.33 | 4 | 1.17 | 4.06 | 1.21 | 4.02 | 54 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 11.07 | 4.45 | 6 | 1.19 | 3.82 | 1.19 | 3.82 | 59 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 11.02 | 8.75 | 5 | 1.17 | 3.69 | — | — | 84 | ||||||||||||||||||||||||
Year ended 9-30-2016(4) | 10.45 | 6.90 | 4 | 1.25 | (5)(11) | 3.31 | (5) | 1.33 | (5) | 3.23 | (5) | 63 | (6) |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 139 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY FUNDS |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
IVY APOLLO STRATEGIC INCOME FUND
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 9.99 | $ | 0.42 | $ | (0.05 | ) | $ | 0.37 | $ | (0.44 | ) | $ | — | $ | (0.44 | ) | |||||||||||
Year ended 9-30-2019 | 9.97 | 0.44 | 0.06 | 0.50 | (0.45 | ) | (0.03 | ) | (0.48 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 10.27 | 0.42 | (0.27 | ) | 0.15 | (0.40 | ) | (0.05 | ) | (0.45 | ) | |||||||||||||||||
Year ended 9-30-2017 | 10.26 | 0.39 | 0.04 | 0.43 | (0.38 | ) | (0.04 | ) | (0.42 | ) | ||||||||||||||||||
Year ended 9-30-2016(4) | 10.00 | 0.34 | 0.18 | 0.52 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 9.98 | 0.35 | (0.06 | ) | 0.29 | (0.36 | ) | — | (0.36 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 9.97 | 0.36 | 0.05 | 0.41 | (0.37 | ) | (0.03 | ) | (0.40 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 10.27 | 0.35 | (0.27 | ) | 0.08 | (0.33 | ) | (0.05 | ) | (0.38 | ) | |||||||||||||||||
Year ended 9-30-2017 | 10.26 | 0.32 | 0.04 | 0.36 | (0.31 | ) | (0.04 | ) | (0.35 | ) | ||||||||||||||||||
Year ended 9-30-2016(4) | 10.00 | 0.27 | 0.19 | 0.46 | (0.20 | ) | — | (0.20 | ) | |||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 9.99 | 0.46 | (0.06 | ) | 0.40 | (0.47 | ) | — | (0.47 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 9.98 | 0.48 | 0.05 | 0.53 | (0.49 | ) | (0.03 | ) | (0.52 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 10.28 | 0.45 | (0.27 | ) | 0.18 | (0.43 | ) | (0.05 | ) | (0.48 | ) | |||||||||||||||||
Year ended 9-30-2017 | 10.27 | 0.42 | 0.05 | 0.47 | (0.42 | ) | (0.04 | ) | (0.46 | ) | ||||||||||||||||||
Year ended 9-30-2016(4) | 10.00 | 0.39 | 0.17 | 0.56 | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||||
Class N Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 9.99 | 0.46 | (0.06 | ) | 0.40 | (0.47 | ) | — | (0.47 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 9.98 | 0.48 | 0.05 | 0.53 | (0.49 | ) | (0.03 | ) | (0.52 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 10.28 | 0.46 | (0.27 | ) | 0.19 | (0.44 | ) | (0.05 | ) | (0.49 | ) | |||||||||||||||||
Year ended 9-30-2017 | 10.27 | 0.43 | 0.04 | 0.47 | (0.42 | ) | (0.04 | ) | (0.46 | ) | ||||||||||||||||||
Year ended 9-30-2016(4) | 10.00 | 0.34 | 0.22 | 0.56 | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||||
Class Y Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 9.99 | 0.42 | (0.05 | ) | 0.37 | (0.44 | ) | — | (0.44 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 9.97 | 0.44 | 0.06 | 0.50 | (0.45 | ) | (0.03 | ) | (0.48 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 10.27 | 0.42 | (0.27 | ) | 0.15 | (0.40 | ) | (0.05 | ) | (0.45 | ) | |||||||||||||||||
Year ended 9-30-2017 | 10.26 | 0.40 | 0.04 | 0.44 | (0.39 | ) | (0.04 | ) | (0.43 | ) | ||||||||||||||||||
Year ended 9-30-2016(4) | 10.00 | 0.33 | 0.20 | 0.53 | (0.27 | ) | — | (0.27 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | For the period from October 1, 2015 (commencement of operations of the class) through September 30, 2016. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended September 30, 2016. |
(7) | Ratio of expenses to average net assets excluding offering cost was 1.10%. |
(8) | Ratio of expenses to average net assets excluding offering cost was 1.79%. |
(9) | Ratio of expenses to average net assets excluding offering cost was 0.80%. |
(10) | Ratio of expenses to average net assets excluding offering cost was 0.79%. |
(11) | Ratio of expenses to average net assets excluding offering cost was 1.05%. |
.
140 | ANNUAL REPORT | 2020 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 9.92 | 3.84 | % | $ | 111 | 1.05 | % | 4.35 | % | 1.17 | % | 4.23 | % | 59 | % | ||||||||||||||||
Year ended 9-30-2019 | 9.99 | 5.13 | 120 | 1.05 | 4.45 | 1.15 | 4.35 | 45 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.97 | 1.53 | 117 | 1.15 | 4.14 | 1.16 | 4.13 | 48 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 10.27 | 4.38 | 123 | 1.15 | 3.83 | 1.17 | 3.81 | 48 | ||||||||||||||||||||||||
Year ended 9-30-2016(4) | 10.26 | 5.35 | 95 | 1.15 | (5)(7) | 3.36 | (5) | 1.26 | (5) | 3.25 | (5) | 42 | (6) | |||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 9.91 | 3.03 | 5 | 1.83 | 3.57 | 2.08 | 3.32 | 59 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 9.98 | 4.21 | 5 | 1.85 | 3.65 | 2.04 | 3.46 | 45 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.97 | 0.82 | 6 | 1.85 | 3.43 | 2.02 | 3.26 | 48 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 10.27 | 3.66 | 8 | 1.85 | 3.13 | 1.98 | 3.00 | 48 | ||||||||||||||||||||||||
Year ended 9-30-2016(4) | 10.26 | 4.66 | 8 | 1.84 | (5)(8) | 2.71 | (5) | 1.96 | (5) | 2.59 | (5) | 42 | (6) | |||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 9.92 | 4.23 | 257 | 0.67 | 4.73 | 0.96 | 4.44 | 59 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 9.99 | 5.43 | 315 | 0.67 | 4.83 | 0.93 | 4.57 | 45 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.98 | 1.95 | 315 | 0.82 | 4.46 | 0.93 | 4.35 | 48 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 10.28 | 4.59 | 320 | 0.85 | 4.13 | 0.94 | 4.04 | 48 | ||||||||||||||||||||||||
Year ended 9-30-2016(4) | 10.27 | 5.75 | 184 | 0.85 | (5)(9) | 3.91 | (5) | 0.98 | (5) | 3.78 | (5) | 42 | (6) | |||||||||||||||||||
Class N Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 9.92 | 4.23 | 22 | 0.67 | 4.71 | 0.80 | 4.58 | 59 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 9.99 | 5.43 | 48 | 0.67 | 4.83 | 0.78 | 4.72 | 45 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.98 | 1.92 | 53 | 0.77 | 4.52 | 0.78 | 4.51 | 48 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 10.28 | 4.75 | 61 | 0.77 | 4.24 | — | — | 48 | ||||||||||||||||||||||||
Year ended 9-30-2016(4) | 10.27 | 5.75 | 6 | 0.84 | (5)(10) | 3.44 | (5) | — | — | 42 | (6) | |||||||||||||||||||||
Class Y Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 9.92 | 3.85 | 7 | 1.05 | 4.35 | 1.20 | 4.20 | 59 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 9.99 | 5.13 | 7 | 1.05 | 4.46 | 1.18 | 4.33 | 45 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.97 | 1.58 | 8 | 1.10 | 4.18 | 1.17 | 4.11 | 48 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 10.27 | 4.44 | 9 | 1.10 | 3.89 | 1.19 | 3.80 | 48 | ||||||||||||||||||||||||
Year ended 9-30-2016(4) | 10.26 | 5.39 | 6 | 1.10 | (5)(11) | 3.31 | (5) | 1.23 | (5) | 3.18 | (5) | 42 | (6) |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 141 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY FUNDS |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
IVY CALIFORNIA MUNICIPAL HIGH INCOME FUND
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 10.58 | $ | 0.21 | $ | (0.11 | ) | $ | 0.10 | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | |||||||||||
Year ended 9-30-2019 | 9.98 | 0.26 | 0.60 | 0.86 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.16 | 0.26 | (0.16 | ) | 0.10 | (0.26 | ) | (0.02 | ) | (0.28 | ) | |||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.26 | 0.14 | 0.40 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.58 | 0.12 | (0.11 | ) | 0.01 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 9.98 | 0.17 | 0.60 | 0.77 | (0.17 | ) | — | (0.17 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.16 | 0.17 | (0.17 | ) | 0.00 | * | (0.16 | ) | (0.02 | ) | (0.18 | ) | ||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.19 | 0.16 | 0.35 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.58 | 0.23 | (0.10 | ) | 0.13 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 9.98 | 0.28 | 0.60 | 0.88 | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.16 | 0.28 | (0.16 | ) | 0.12 | (0.28 | ) | (0.02 | ) | (0.30 | ) | |||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.28 | 0.13 | 0.41 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||
Class Y Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.58 | 0.21 | (0.11 | ) | 0.10 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 9.98 | 0.26 | 0.60 | 0.86 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.16 | 0.25 | (0.15 | ) | 0.10 | (0.26 | ) | (0.02 | ) | (0.28 | ) | |||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.25 | 0.15 | 0.40 | (0.24 | ) | — | (0.24 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | For the period from October 3, 2016 (commencement of operations of the class) through September 30, 2017. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended September 30, 2017. |
.
142 | ANNUAL REPORT | 2020 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 10.48 | 1.01 | % | $ | 19 | 0.80 | % | 2.03 | % | 1.23 | % | 1.60 | % | 9 | % | ||||||||||||||||
Year ended 9-30-2019 | 10.58 | 8.73 | 17 | 0.80 | 2.54 | 1.29 | 2.05 | 10 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.98 | 0.89 | 14 | 0.78 | 2.56 | 1.32 | 2.02 | 10 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.16 | 4.17 | 8 | 0.60 | (5) | 2.62 | (5) | 1.12 | (5) | 2.10 | (5) | 7 | (6) | |||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.48 | 0.13 | 2 | 1.67 | 1.16 | 2.02 | 0.81 | 9 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.58 | 7.81 | 2 | 1.66 | 1.69 | 2.06 | 1.29 | 10 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.98 | -0.07 | 2 | 1.63 | 1.70 | 2.08 | 1.25 | 10 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.16 | 3.53 | 2 | 1.33 | (5) | 1.88 | (5) | 1.85 | (5) | 1.36 | (5) | 7 | (6) | |||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.48 | 1.21 | 13 | 0.60 | 2.23 | 1.12 | 1.71 | 9 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.58 | 8.95 | 13 | 0.60 | 2.75 | 1.16 | 2.19 | 10 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.98 | 1.10 | 11 | 0.58 | 2.74 | 1.20 | 2.12 | 10 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.16 | 4.31 | 7 | 0.43 | (5) | 2.87 | (5) | 0.95 | (5) | 2.35 | (5) | 7 | (6) | |||||||||||||||||||
Class Y Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.48 | 1.01 | 1 | 0.80 | 2.03 | 1.35 | 1.48 | 9 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.58 | 8.73 | 1 | 0.80 | 2.55 | 1.40 | 1.95 | 10 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.98 | 0.93 | 1 | 0.78 | 2.56 | 1.44 | 1.90 | 10 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.16 | 4.09 | 1 | 0.60 | (5) | 2.54 | (5) | 1.23 | (5) | 1.91 | (5) | 7 | (6) |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 143 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY FUNDS |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
IVY CASH MANAGEMENT FUND
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gain on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 1.00 | $ | 0.01 | $ | 0.00 | * | $ | 0.01 | $ | (0.01 | ) | $ | — | $ | (0.01 | ) | |||||||||||
Year ended 9-30-2019 | 1.00 | 0.02 | 0.00 | * | 0.02 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 1.00 | 0.01 | 0.00 | * | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year ended 9-30-2017 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | ||||||||||||||||
Year ended 9-30-2016 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | ||||||||||||||||
Class B Shares(4) |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | ||||||||||||||||
Year ended 9-30-2019 | 1.00 | 0.01 | 0.00 | * | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | ||||||||||||||||
Year ended 9-30-2017 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | ||||||||||||||||
Year ended 9-30-2016 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | ||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | ||||||||||||||||
Year ended 9-30-2019 | 1.00 | 0.01 | 0.00 | * | 0.01 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | ||||||||||||||||
Year ended 9-30-2017 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | ||||||||||||||||
Year ended 9-30-2016 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | These class shares are not available for direct investment. However, they are available for dividend reinvestment and exchange of the same class shares of another Ivy Fund. |
.
144 | ANNUAL REPORT | 2020 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income (Loss) to Average Net Assets Excluding Expense Waiver(3) | ||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 1.00 | 0.69 | % | $ | 1,573 | 0.58 | % | 0.64 | % | 0.63 | % | 0.59 | % | ||||||||||||||
Year ended 9-30-2019 | 1.00 | 1.87 | 1,257 | 0.71 | 1.86 | — | — | |||||||||||||||||||||
Year ended 9-30-2018 | 1.00 | 1.11 | 1,281 | 0.75 | 1.03 | — | — | |||||||||||||||||||||
Year ended 9-30-2017 | 1.00 | 0.27 | 1,378 | 0.74 | 0.27 | 0.75 | 0.26 | |||||||||||||||||||||
Year ended 9-30-2016 | 1.00 | 0.02 | 1,401 | 0.49 | 0.02 | 0.79 | -0.28 | |||||||||||||||||||||
Class B Shares(4) |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 1.00 | 0.24 | — | * | 1.08 | 0.26 | 1.48 | -0.14 | ||||||||||||||||||||
Year ended 9-30-2019 | 1.00 | 1.05 | 1 | 1.51 | 1.06 | — | — | |||||||||||||||||||||
Year ended 9-30-2018 | 1.00 | 0.27 | 1 | 1.60 | 0.21 | 1.65 | 0.16 | |||||||||||||||||||||
Year ended 9-30-2017 | 1.00 | 0.02 | 1 | 0.96 | 0.02 | 1.61 | -0.63 | |||||||||||||||||||||
Year ended 9-30-2016 | 1.00 | 0.02 | 1 | 0.49 | 0.02 | 1.73 | -1.22 | |||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 1.00 | 0.17 | 2 | 0.98 | 0.12 | 1.53 | -0.43 | |||||||||||||||||||||
Year ended 9-30-2019 | 1.00 | 0.91 | 1 | 1.65 | 0.93 | — | — | |||||||||||||||||||||
Year ended 9-30-2018 | 1.00 | 0.24 | 1 | 1.55 | 0.08 | 1.68 | -0.05 | |||||||||||||||||||||
Year ended 9-30-2017 | 1.00 | 0.02 | 2 | 0.98 | 0.02 | 1.61 | -0.61 | |||||||||||||||||||||
Year ended 9-30-2016 | 1.00 | 0.02 | 3 | 0.46 | 0.02 | 1.62 | -1.14 |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 145 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY FUNDS |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
IVY CORPORATE BOND FUND
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 6.54 | $ | 0.15 | $ | 0.37 | $ | 0.52 | $ | (0.16 | ) | $ | — | $ | (0.16 | ) | ||||||||||||
Year ended 9-30-2019 | 6.02 | 0.16 | 0.52 | 0.68 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 6.27 | 0.15 | (0.26 | ) | (0.11 | ) | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||
Year ended 9-30-2017 | 6.51 | 0.13 | (0.12 | ) | 0.01 | (0.14 | ) | (0.11 | ) | (0.25 | ) | |||||||||||||||||
Year ended 9-30-2016 | 6.30 | 0.13 | 0.28 | 0.41 | (0.13 | ) | (0.07 | ) | (0.20 | ) | ||||||||||||||||||
Class B Shares(4) |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 6.53 | 0.04 | 0.37 | 0.41 | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 6.01 | 0.06 | 0.52 | 0.58 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 6.26 | 0.05 | (0.25 | ) | (0.20 | ) | (0.05 | ) | — | (0.05 | ) | |||||||||||||||||
Year ended 9-30-2017 | 6.51 | 0.04 | (0.12 | ) | (0.08 | ) | (0.06 | ) | (0.11 | ) | (0.17 | ) | ||||||||||||||||
Year ended 9-30-2016 | 6.29 | 0.04 | 0.29 | 0.33 | (0.04 | ) | (0.07 | ) | (0.11 | ) | ||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 6.53 | 0.09 | 0.37 | 0.46 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 6.01 | 0.10 | 0.52 | 0.62 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 6.26 | 0.09 | (0.25 | ) | (0.16 | ) | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||
Year ended 9-30-2017 | 6.50 | 0.08 | (0.12 | ) | (0.04 | ) | (0.09 | ) | (0.11 | ) | (0.20 | ) | ||||||||||||||||
Year ended 9-30-2016 | 6.29 | 0.07 | 0.28 | 0.35 | (0.07 | ) | (0.07 | ) | (0.14 | ) | ||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 6.54 | 0.17 | 0.37 | 0.54 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 6.02 | 0.18 | 0.52 | 0.70 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 6.27 | 0.17 | (0.26 | ) | (0.09 | ) | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||
Year ended 9-30-2017 | 6.51 | 0.15 | (0.12 | ) | 0.03 | (0.16 | ) | (0.11 | ) | (0.27 | ) | |||||||||||||||||
Year ended 9-30-2016 | 6.30 | 0.15 | 0.28 | 0.43 | (0.15 | ) | (0.07 | ) | (0.22 | ) | ||||||||||||||||||
Class N Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 6.54 | 0.18 | 0.37 | 0.55 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 6.01 | 0.19 | 0.53 | 0.72 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||
Year ended 9-30-2018(5) | 6.28 | 0.17 | (0.28 | ) | (0.11 | ) | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||
Class Y Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 6.53 | 0.15 | 0.38 | 0.53 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 6.01 | 0.16 | 0.53 | 0.69 | (0.17 | ) | — | (0.17 | ) | |||||||||||||||||||
Year ended 9-30-2018(5) | 6.28 | 0.15 | (0.29 | ) | (0.14 | ) | (0.13 | ) | — | (0.13 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | These class shares are not available for direct investment. However, they are available for dividend reinvestment and exchange of the same class shares of another Ivy Fund. |
(5) | For the period from October 16, 2017 (commencement of operations of the class) through September 30, 2018. |
(6) | Annualized. |
(7) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended September 30, 2018. |
.
146 | ANNUAL REPORT | 2020 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 6.90 | 8.07 | % | $ | 355 | 1.00 | % | 2.26 | % | — | % | — | % | 84 | % | ||||||||||||||||
Year ended 9-30-2019 | 6.54 | 11.48 | 348 | 1.02 | 2.54 | — | — | 63 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 6.02 | -1.72 | 364 | 1.05 | 2.41 | 1.05 | 2.41 | 29 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 6.27 | 0.39 | 437 | 0.98 | 2.09 | 0.99 | 2.08 | 42 | ||||||||||||||||||||||||
Year ended 9-30-2016 | 6.51 | 6.58 | 520 | 0.97 | 2.03 | 0.98 | 2.02 | 88 | ||||||||||||||||||||||||
Class B Shares(4) |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 6.89 | 6.35 | — | * | 2.65 | 0.62 | — | — | 84 | |||||||||||||||||||||||
Year ended 9-30-2019 | 6.53 | 9.66 | 1 | 2.61 | 0.96 | — | — | 63 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 6.01 | -3.18 | 1 | 2.56 | 0.87 | — | — | 29 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 6.26 | -1.50 | 1 | 2.39 | 0.68 | — | — | 42 | ||||||||||||||||||||||||
Year ended 9-30-2016 | 6.51 | 5.31 | 2 | 2.31 | 0.68 | — | — | 88 | ||||||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 6.89 | 7.13 | 4 | 1.89 | 1.37 | — | — | 84 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 6.53 | 10.52 | 4 | 1.92 | 1.64 | — | — | 63 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 6.01 | -2.63 | 4 | 1.94 | 1.48 | — | — | 29 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 6.26 | -0.46 | 8 | 1.85 | 1.22 | — | — | 42 | ||||||||||||||||||||||||
Year ended 9-30-2016 | 6.50 | 5.65 | 10 | 1.85 | 1.14 | — | — | 88 | ||||||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 6.90 | 8.39 | 460 | 0.71 | 2.55 | — | — | 84 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 6.54 | 11.84 | 523 | 0.70 | 2.86 | — | — | 63 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 6.02 | -1.41 | 545 | 0.72 | 2.74 | — | — | 29 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 6.27 | 0.68 | 672 | 0.69 | 2.39 | — | — | 42 | ||||||||||||||||||||||||
Year ended 9-30-2016 | 6.51 | 6.88 | 752 | 0.67 | 2.28 | — | — | 88 | ||||||||||||||||||||||||
Class N Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 6.90 | 8.56 | 59 | 0.55 | 2.69 | — | — | 84 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 6.54 | 12.19 | 43 | 0.55 | 3.00 | — | — | 63 | ||||||||||||||||||||||||
Year ended 9-30-2018(5) | 6.01 | -1.77 | 44 | 0.57 | (6) | 3.06 | (6) | — | — | 29 | (7) | |||||||||||||||||||||
Class Y Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 6.90 | 8.29 | — | * | 0.94 | 2.32 | — | — | 84 | |||||||||||||||||||||||
Year ended 9-30-2019 | 6.53 | 11.62 | — | * | 0.93 | 2.62 | — | — | 63 | |||||||||||||||||||||||
Year ended 9-30-2018(5) | 6.01 | -2.16 | — | * | 1.00 | (6) | 2.62 | (6) | — | — | 29 | (7) |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 147 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY FUNDS |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
IVY CROSSOVER CREDIT FUND
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 10.51 | $ | 0.28 | $ | 0.77 | $ | 1.05 | $ | (0.28 | ) | $ | — | $ | (0.28 | ) | ||||||||||||
Year ended 9-30-2019 | 9.64 | 0.32 | 0.90 | 1.22 | (0.35 | ) | — | (0.35 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.26 | 0.30 | (0.56 | ) | (0.26 | ) | (0.27 | ) | (0.09 | ) | (0.36 | ) | ||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.13 | 0.23 | 0.36 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.51 | 0.31 | 0.77 | 1.08 | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 9.64 | 0.34 | 0.90 | 1.24 | (0.37 | ) | — | (0.37 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.26 | 0.33 | (0.56 | ) | (0.23 | ) | (0.30 | ) | (0.09 | ) | (0.39 | ) | ||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.15 | 0.22 | 0.37 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||
Class N Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.51 | 0.30 | 0.78 | 1.08 | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 9.64 | 0.34 | 0.90 | 1.24 | (0.37 | ) | — | (0.37 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.26 | 0.33 | (0.56 | ) | (0.23 | ) | (0.30 | ) | (0.09 | ) | (0.39 | ) | ||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.15 | 0.22 | 0.37 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||
Class Y Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.51 | 0.28 | 0.77 | 1.05 | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 9.64 | 0.32 | 0.90 | 1.22 | (0.35 | ) | — | (0.35 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.26 | 0.30 | (0.56 | ) | (0.26 | ) | (0.27 | ) | (0.09 | ) | (0.36 | ) | ||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.13 | 0.23 | 0.36 | (0.10 | ) | — | (0.10 | ) |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | For the period from April 3, 2017 (commencement of operations of the class) through September 30, 2017. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended September 30, 2017. |
.
148 | ANNUAL REPORT | 2020 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 11.28 | 10.18 | % | $ | 18 | 0.90 | % | 2.64 | % | 1.21 | % | 2.33 | % | 165 | % | ||||||||||||||||
Year ended 9-30-2019 | 10.51 | 13.10 | 12 | 0.90 | 3.23 | 1.25 | 2.88 | 94 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.64 | -2.56 | 12 | 0.90 | 3.07 | 1.19 | 2.78 | 85 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.26 | 3.51 | 11 | 0.90 | (5) | 2.63 | (5) | 0.95 | (5) | 2.58 | (5) | 112 | (6) | |||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 11.28 | 10.46 | 39 | 0.65 | 2.89 | 1.06 | 2.48 | 165 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.51 | 13.39 | 27 | 0.65 | 3.47 | 1.13 | 2.99 | 94 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.64 | -2.41 | 23 | 0.65 | 3.33 | 1.06 | 2.92 | 85 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.26 | 3.72 | 18 | 0.65 | (5) | 2.89 | (5) | 0.83 | (5) | 2.71 | (5) | 112 | (6) | |||||||||||||||||||
Class N Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 11.28 | 10.46 | 2 | 0.65 | 2.78 | 0.90 | 2.53 | 165 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.51 | 13.39 | 1 | 0.65 | 3.48 | 0.98 | 3.15 | 94 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.64 | -2.41 | 1 | 0.65 | 3.31 | 0.90 | 3.06 | 85 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.26 | 3.72 | 1 | 0.65 | (5) | 2.87 | (5) | 0.69 | (5) | 2.83 | (5) | 112 | (6) | |||||||||||||||||||
Class Y Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 11.28 | 10.18 | 1 | 0.90 | 2.65 | 1.30 | 2.25 | 165 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.51 | 13.10 | 1 | 0.90 | 3.23 | 1.37 | 2.76 | 94 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.64 | -2.56 | 1 | 0.90 | 3.06 | 1.29 | 2.67 | 85 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.26 | 3.51 | 1 | 0.90 | (5) | 2.63 | (5) | 1.08 | (5) | 2.45 | (5) | 112 | (6) |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 149 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY FUNDS |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
IVY GOVERNMENT SECURITIES FUND
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 5.59 | $ | 0.06 | $ | 0.20 | $ | 0.26 | $ | (0.07 | ) | $ | — | $ | (0.07 | ) | ||||||||||||
Year ended 9-30-2019 | 5.23 | 0.08 | 0.37 | 0.45 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 5.43 | 0.06 | (0.19 | ) | (0.13 | ) | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||
Year ended 9-30-2017 | 5.60 | 0.06 | (0.16 | ) | (0.10 | ) | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||
Year ended 9-30-2016 | 5.51 | 0.06 | 0.10 | 0.16 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||
Class B Shares(4) | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 5.59 | 0.00 | * | 0.20 | 0.20 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 5.23 | 0.02 | 0.36 | 0.38 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 5.43 | 0.01 | (0.18 | ) | (0.17 | ) | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||
Year ended 9-30-2017 | 5.60 | 0.00 | * | (0.16 | ) | (0.16 | ) | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||
Year ended 9-30-2016 | 5.51 | 0.00 | * | 0.10 | 0.10 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 5.59 | 0.01 | 0.20 | 0.21 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 5.23 | 0.03 | 0.37 | 0.40 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 5.43 | 0.01 | (0.18 | ) | (0.17 | ) | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||
Year ended 9-30-2017 | 5.60 | 0.01 | (0.15 | ) | (0.14 | ) | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||
Year ended 9-30-2016 | 5.51 | 0.01 | 0.11 | 0.12 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 5.59 | 0.08 | 0.20 | 0.28 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 5.23 | 0.09 | 0.37 | 0.46 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 5.43 | 0.08 | (0.19 | ) | (0.11 | ) | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||
Year ended 9-30-2017 | 5.60 | 0.07 | (0.15 | ) | (0.08 | ) | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||
Year ended 9-30-2016 | 5.51 | 0.07 | 0.11 | 0.18 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||
Class N Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 5.59 | 0.08 | 0.20 | 0.28 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 5.23 | 0.10 | 0.37 | 0.47 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||
Year ended 9-30-2018(5) | 5.43 | 0.08 | (0.19 | ) | (0.11 | ) | (0.09 | ) | — | (0.09 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | These class shares are not available for direct investment. However, they are available for dividend reinvestment and exchange of the same class shares of another Ivy Fund. |
(5) | For the period from October 16, 2017 (commencement of operations of the class) through September 30, 2018. |
(6) | Annualized. |
(7) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended September 30, 2018. |
(8) | Expense ratio based on the period excluding reorganization expenses was 1.00%. |
(9) | Expense ratio based on the period excluding reorganization expenses was 0.72%. |
.
150 | ANNUAL REPORT | 2020 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income (Loss) to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income (Loss) to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 5.78 | 4.75 | % | $ | 96 | 0.98 | % | 1.07 | % | 1.05 | % | 1.00 | % | 43 | % | ||||||||||||||||
Year ended 9-30-2019 | 5.59 | 8.59 | 68 | 1.00 | 1.47 | 1.13 | 1.34 | 12 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 5.23 | -2.35 | 71 | 1.04 | (8) | 1.19 | 1.16 | 1.07 | 42 | |||||||||||||||||||||||
Year ended 9-30-2017 | 5.43 | -1.73 | 87 | 1.02 | 1.20 | 1.10 | 1.04 | 37 | ||||||||||||||||||||||||
Year ended 9-30-2016 | 5.60 | 3.01 | 118 | 1.01 | 1.11 | 1.07 | 1.05 | 43 | ||||||||||||||||||||||||
Class B Shares(4) | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 5.78 | 3.62 | — | * | 2.06 | 0.02 | 2.63 | -0.55 | 43 | |||||||||||||||||||||||
Year ended 9-30-2019 | 5.59 | 7.32 | — | * | 2.13 | 0.34 | 2.72 | -0.25 | 12 | |||||||||||||||||||||||
Year ended 9-30-2018 | 5.23 | -3.22 | — | * | 2.05 | 0.11 | 2.57 | -0.41 | 42 | |||||||||||||||||||||||
Year ended 9-30-2017 | 5.43 | -2.81 | 1 | 2.13 | 0.01 | 2.27 | -0.13 | 37 | ||||||||||||||||||||||||
Year ended 9-30-2016 | 5.60 | 1.83 | 1 | 2.17 | -0.05 | 2.21 | -0.09 | 43 | ||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 5.78 | 3.83 | 2 | 1.86 | 0.18 | 1.90 | 0.14 | 43 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 5.59 | 7.61 | 1 | 1.88 | 0.59 | 1.95 | 0.52 | 12 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 5.23 | -3.14 | 1 | 1.88 | 0.24 | 2.16 | -0.04 | 42 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 5.43 | -2.58 | 2 | 1.88 | 0.26 | 1.95 | 0.19 | 37 | ||||||||||||||||||||||||
Year ended 9-30-2016 | 5.60 | 2.10 | 3 | 1.91 | 0.21 | 1.95 | 0.17 | 43 | ||||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 5.78 | 5.01 | 140 | 0.72 | 1.32 | 0.77 | 1.27 | 43 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 5.59 | 8.89 | 93 | 0.72 | 1.75 | 0.77 | 1.70 | 12 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 5.23 | -2.10 | 124 | 0.78 | (9) | 1.46 | 0.82 | 1.42 | 42 | |||||||||||||||||||||||
Year ended 9-30-2017 | 5.43 | -1.44 | 303 | 0.74 | 1.38 | 0.76 | 1.36 | 37 | ||||||||||||||||||||||||
Year ended 9-30-2016 | 5.60 | 3.33 | 157 | 0.70 | 1.33 | 0.74 | 1.29 | 43 | ||||||||||||||||||||||||
Class N Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 5.78 | 5.13 | 172 | 0.61 | 1.44 | — | — | 43 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 5.59 | 9.01 | 120 | 0.61 | 1.86 | — | — | 12 | ||||||||||||||||||||||||
Year ended 9-30-2018(5) | 5.23 | -1.99 | 179 | 0.63 | (6)(8) | 1.74 | (6) | — | — | 42 | (7) |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 151 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY FUNDS |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
IVY INTERNATIONAL SMALL CAP FUND
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 11.38 | $ | 0.06 | $ | 1.19 | $ | 1.25 | $ | (0.21 | ) | $ | — | $ | (0.21 | ) | ||||||||||||
Year ended 9-30-2019 | 12.28 | 0.11 | (0.85 | ) | (0.74 | ) | (0.14 | ) | (0.02 | ) | (0.16 | ) | ||||||||||||||||
Year ended 9-30-2018 | 12.06 | 0.10 | 0.14 | 0.24 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.09 | 1.97 | 2.06 | — | — | — | |||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 11.27 | (0.03 | ) | 1.18 | 1.15 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 12.14 | 0.03 | (0.84 | ) | (0.81 | ) | (0.04 | ) | (0.02 | ) | (0.06 | ) | ||||||||||||||||
Year ended 9-30-2018 | 12.00 | 0.01 | 0.13 | 0.14 | — | — | — | |||||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.03 | 1.97 | 2.00 | — | — | — | |||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 11.42 | 0.10 | 1.21 | 1.31 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 12.33 | 0.16 | (0.87 | ) | (0.71 | ) | (0.18 | ) | (0.02 | ) | (0.20 | ) | ||||||||||||||||
Year ended 9-30-2018 | 12.08 | 0.16 | 0.13 | 0.29 | (0.04 | ) | — | * | (0.04 | ) | ||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.11 | 1.97 | 2.08 | — | — | — | |||||||||||||||||||||
Class N Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 11.42 | 0.10 | 1.20 | 1.30 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 12.32 | 0.15 | (0.85 | ) | (0.70 | ) | (0.18 | ) | (0.02 | ) | (0.20 | ) | ||||||||||||||||
Year ended 9-30-2018 | 12.09 | 0.16 | 0.11 | 0.27 | (0.04 | ) | — | * | (0.04 | ) | ||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.11 | 1.98 | 2.09 | — | — | — | |||||||||||||||||||||
Class Y Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 11.37 | 0.03 | 1.23 | 1.26 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 12.28 | 0.08 | (0.83 | ) | (0.75 | ) | (0.14 | ) | (0.02 | ) | (0.16 | ) | ||||||||||||||||
Year ended 9-30-2018 | 12.06 | 0.14 | 0.10 | 0.24 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.09 | 1.97 | 2.06 | — | — | — |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | For the period from January 10, 2017 (commencement of operations of the class) through September 30, 2017. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended September 30, 2017. |
.
152 | ANNUAL REPORT | 2020 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income (Loss) to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income (Loss) to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 12.42 | 11.04 | % | $ | 16 | 1.37 | % | 0.50 | % | 1.57 | % | 0.30 | % | 75 | % | ||||||||||||||||
Year ended 9-30-2019 | 11.38 | -5.92 | 16 | 1.39 | 1.02 | 1.58 | 0.83 | 73 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 12.28 | 1.98 | 18 | 1.45 | 0.79 | 1.54 | 0.70 | 60 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 12.06 | 20.60 | 13 | 1.45 | (5) | 1.11 | (5) | 1.61 | (5) | 0.95 | (5) | 38 | (6) | |||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 12.29 | 10.22 | 2 | 2.13 | -0.31 | 2.33 | -0.51 | 75 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 11.27 | -6.62 | 2 | 2.14 | 0.25 | 2.33 | 0.06 | 73 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 12.14 | 1.17 | 2 | 2.22 | 0.11 | 2.27 | 0.06 | 60 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 12.00 | 20.00 | 1 | 2.17 | (5) | 0.39 | (5) | 2.33 | (5) | 0.23 | (5) | 38 | (6) | |||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 12.47 | 11.54 | 77 | 0.99 | 0.91 | 1.38 | 0.52 | 75 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 11.42 | -5.64 | 72 | 0.99 | 1.47 | 1.37 | 1.09 | 73 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 12.33 | 2.33 | 66 | 1.12 | 1.28 | 1.34 | 1.06 | 60 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 12.08 | 20.90 | 27 | 1.15 | (5) | 1.42 | (5) | 1.45 | (5) | 1.12 | (5) | 38 | (6) | |||||||||||||||||||
Class N Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 12.46 | 11.45 | 69 | 0.99 | 0.89 | 1.20 | 0.68 | 75 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 11.42 | -5.57 | 73 | 0.99 | 1.40 | 1.20 | 1.19 | 73 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 12.32 | 2.28 | 82 | 1.13 | 1.25 | 1.18 | 1.20 | 60 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 12.09 | 20.90 | 1 | 1.15 | (5) | 1.41 | (5) | 1.31 | (5) | 1.25 | (5) | 38 | (6) | |||||||||||||||||||
Class Y Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 12.42 | 11.14 | 1 | 1.37 | 0.27 | 1.59 | 0.05 | 75 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 11.37 | -6.00 | 1 | 1.39 | 0.71 | 1.63 | 0.47 | 73 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 12.28 | 1.98 | 5 | 1.45 | 1.10 | 1.59 | 0.96 | 60 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 12.06 | 20.60 | 1 | 1.45 | (5) | 1.11 | (5) | 1.70 | (5) | 0.86 | (5) | 38 | (6) |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 153 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY FUNDS |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
IVY PICTET EMERGING MARKETS LOCAL CURRENCY DEBT FUND
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 8.68 | $ | 0.31 | $ | (0.43 | ) | $ | (0.12 | ) | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | ||||||||||
Year ended 9-30-2019 | 8.22 | 0.42 | 0.04 | 0.46 | — | — | — | |||||||||||||||||||||
Year ended 9-30-2018 | 9.47 | 0.39 | (1.40 | ) | (1.01 | ) | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||
Year ended 9-30-2017 | 9.21 | 0.41 | (0.15 | ) | 0.26 | — | — | — | ||||||||||||||||||||
Year ended 9-30-2016 | 8.11 | 0.33 | 0.77 | 1.10 | — | — | — | |||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 8.47 | 0.25 | (0.43 | ) | (0.18 | ) | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||
Year ended 9-30-2019 | 8.06 | 0.36 | 0.05 | 0.41 | — | — | — | |||||||||||||||||||||
Year ended 9-30-2018 | 9.28 | 0.31 | (1.37 | ) | (1.06 | ) | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||
Year ended 9-30-2017 | 9.09 | 0.34 | (0.15 | ) | 0.19 | — | — | — | ||||||||||||||||||||
Year ended 9-30-2016 | 8.06 | 0.28 | 0.75 | 1.03 | — | — | — | |||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 8.77 | 0.35 | (0.44 | ) | (0.09 | ) | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||
Year ended 9-30-2019 | 8.28 | 0.47 | 0.04 | 0.51 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 9.54 | 0.43 | (1.41 | ) | (0.98 | ) | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||
Year ended 9-30-2017 | 9.25 | 0.46 | (0.17 | ) | 0.29 | — | — | — | ||||||||||||||||||||
Year ended 9-30-2016 | 8.12 | 0.39 | 0.74 | 1.13 | — | — | — | |||||||||||||||||||||
Class N Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 8.77 | 0.36 | (0.45 | ) | (0.09 | ) | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||
Year ended 9-30-2019 | 8.28 | 0.46 | 0.05 | 0.51 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 9.54 | 0.44 | (1.42 | ) | (0.98 | ) | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||
Year ended 9-30-2017 | 9.25 | 0.46 | (0.17 | ) | 0.29 | — | — | — | ||||||||||||||||||||
Year ended 9-30-2016(4) | 8.12 | 0.38 | 0.75 | 1.13 | — | — | — | |||||||||||||||||||||
Class Y Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 8.69 | 0.31 | (0.44 | ) | (0.13 | ) | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||
Year ended 9-30-2019 | 8.22 | 0.43 | 0.04 | 0.47 | — | — | — | |||||||||||||||||||||
Year ended 9-30-2018 | 9.48 | 0.37 | (1.39 | ) | (1.02 | ) | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||
Year ended 9-30-2017 | 9.21 | 0.41 | (0.14 | ) | 0.27 | — | — | — | ||||||||||||||||||||
Year ended 9-30-2016 | 8.11 | 0.35 | 0.75 | 1.10 | — | — | — |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | For the period from January 30, 2015 (commencement of operations of the class) through September 30, 2015. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended September 30, 2015. |
.
154 | ANNUAL REPORT | 2020 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income (Loss) to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 8.46 | -1.39 | % | $ | 8 | 1.19 | % | 3.63 | % | 1.50 | % | 3.32 | % | 121 | % | ||||||||||||||||
Year ended 9-30-2019 | 8.68 | 5.73 | 9 | 1.21 | 4.94 | 1.44 | 4.71 | 111 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 8.22 | -11.01 | 12 | 1.21 | 4.28 | 1.45 | 4.04 | 90 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 9.47 | 2.82 | 13 | 1.25 | 4.45 | 1.63 | 4.07 | 63 | ||||||||||||||||||||||||
Year ended 9-30-2016 | 9.21 | 13.56 | 12 | 1.25 | 3.90 | 2.03 | 3.12 | 74 | ||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 8.20 | -2.14 | 2 | 1.83 | 3.02 | 2.14 | 2.71 | 121 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 8.47 | 5.09 | 2 | 1.85 | 4.36 | 2.08 | 4.13 | 111 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 8.06 | -11.56 | 2 | 1.86 | 3.54 | 2.10 | 3.30 | 90 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 9.28 | 2.09 | 2 | 1.97 | 3.81 | 2.27 | 3.51 | 63 | ||||||||||||||||||||||||
Year ended 9-30-2016 | 9.09 | 12.78 | 2 | 2.00 | 3.27 | 2.50 | 2.77 | 74 | ||||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 8.57 | -1.07 | 28 | 0.80 | 4.07 | 1.29 | 3.58 | 121 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 8.77 | 6.17 | 77 | 0.80 | 5.43 | 1.21 | 5.02 | 111 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 8.28 | -10.56 | 80 | 0.80 | 4.80 | 1.23 | 4.37 | 90 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 9.54 | 3.14 | 45 | 0.91 | 4.96 | 1.39 | 4.48 | 63 | ||||||||||||||||||||||||
Year ended 9-30-2016 | 9.25 | 13.92 | 26 | 1.00 | 4.42 | 1.62 | 3.80 | 74 | ||||||||||||||||||||||||
Class N Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 8.57 | -1.07 | 20 | 0.80 | 4.12 | 1.12 | 3.80 | 121 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 8.77 | 6.17 | 34 | 0.80 | 5.36 | 1.04 | 5.12 | 111 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 8.28 | -10.56 | 41 | 0.80 | 4.83 | 1.05 | 4.58 | 90 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 9.54 | 3.14 | 52 | 0.80 | 4.95 | 1.11 | 4.64 | 63 | ||||||||||||||||||||||||
Year ended 9-30-2016(4) | 9.25 | 13.92 | 1 | 1.00 | (5) | 4.35 | (5) | 1.47 | (5) | 3.88 | (5) | 74 | (6) | |||||||||||||||||||
Class Y Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 8.46 | -1.51 | 2 | 1.19 | 3.65 | 1.51 | 3.33 | 121 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 8.69 | 5.72 | 3 | 1.21 | 4.99 | 1.44 | 4.76 | 111 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 8.22 | -11.00 | 3 | 1.21 | 4.11 | 1.45 | 3.87 | 90 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 9.48 | 2.93 | 3 | 1.25 | 4.48 | 1.63 | 4.10 | 63 | ||||||||||||||||||||||||
Year ended 9-30-2016 | 9.21 | 13.56 | 5 | 1.25 | 4.06 | 1.86 | 3.45 | 74 |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 155 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY FUNDS |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
IVY PICTET TARGETED RETURN BOND FUND
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 10.22 | $ | 0.09 | $ | 0.10 | $ | 0.19 | $ | (0.16 | ) | $ | (0.03 | ) | $ | (0.19 | ) | |||||||||||
Year ended 9-30-2019 | 10.02 | 0.17 | 0.52 | 0.69 | (0.49 | ) | — | (0.49 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.11 | 0.16 | (0.18 | ) | (0.02 | ) | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||
Year ended 9-30-2017 | 10.21 | 0.09 | 0.03 | 0.12 | (0.13 | ) | (0.09 | ) | (0.22 | ) | ||||||||||||||||||
Year ended 9-30-2016(4) | 10.00 | 0.06 | 0.15 | 0.21 | — | — | — | |||||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.10 | 0.02 | 0.10 | 0.12 | (0.10 | ) | (0.02 | ) | (0.12 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 9.91 | 0.10 | 0.51 | 0.61 | (0.42 | ) | — | (0.42 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.05 | 0.09 | (0.17 | ) | (0.08 | ) | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||
Year ended 9-30-2017 | 10.16 | 0.02 | 0.02 | 0.04 | (0.06 | ) | (0.09 | ) | (0.15 | ) | ||||||||||||||||||
Year ended 9-30-2016(4) | 10.00 | 0.01 | 0.15 | 0.16 | — | — | — | |||||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.26 | 0.11 | 0.09 | 0.20 | (0.18 | ) | (0.03 | ) | (0.21 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 10.06 | 0.20 | 0.51 | 0.71 | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.13 | 0.18 | (0.18 | ) | 0.00 | * | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||
Year ended 9-30-2017 | 10.23 | 0.11 | 0.03 | 0.14 | (0.15 | ) | (0.09 | ) | (0.24 | ) | ||||||||||||||||||
Year ended 9-30-2016(4) | 10.00 | 0.08 | 0.15 | 0.23 | — | — | — | |||||||||||||||||||||
Class N Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.28 | 0.13 | 0.09 | 0.22 | (0.19 | ) | (0.03 | ) | (0.22 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 10.08 | 0.21 | 0.51 | 0.72 | (0.52 | ) | — | (0.52 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.13 | 0.18 | (0.15 | ) | 0.03 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year ended 9-30-2017 | 10.24 | 0.14 | 0.00 | * | 0.14 | (0.16 | ) | (0.09 | ) | (0.25 | ) | |||||||||||||||||
Year ended 9-30-2016(4) | 10.00 | 0.09 | 0.15 | 0.24 | — | — | — | |||||||||||||||||||||
Class Y Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.22 | 0.09 | 0.10 | 0.19 | (0.16 | ) | (0.03 | ) | (0.19 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 10.02 | 0.17 | 0.52 | 0.69 | (0.49 | ) | — | (0.49 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.11 | 0.16 | (0.18 | ) | (0.02 | ) | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||
Year ended 9-30-2017 | 10.22 | 0.09 | 0.02 | 0.11 | (0.13 | ) | (0.09 | ) | (0.22 | ) | ||||||||||||||||||
Year ended 9-30-2016(4) | 10.00 | 0.06 | 0.16 | 0.22 | — | — | — |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | For the period from January 4, 2016 (commencement of operations of the class) through September 30, 2016. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended September 30, 2016. |
(7) | Ratio of expenses to average net assets excluding offering cost was 1.22%. |
(8) | Ratio of expenses to average net assets excluding offering cost was 1.14%. |
(9) | Ratio of expenses to average net assets excluding offering cost was 1.89%. |
(10) | Ratio of expenses to average net assets excluding offering cost was 1.77%. |
(11) | Ratio of expenses to average net assets excluding offering cost was 0.98%. |
(12) | Ratio of expenses to average net assets excluding offering cost was 0.87%. |
(13) | Ratio of expenses to average net assets excluding offering cost was 0.85%. |
(14) | Ratio of expenses to average net assets excluding offering cost was 0.74%. |
(15) | Ratio of expenses to average net assets excluding offering cost was 1.22%. |
(16) | Ratio of expenses to average net assets excluding offering cost was 1.02%. |
.
156 | ANNUAL REPORT | 2020 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income (Loss) to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 10.22 | 2.07 | % | $ | 23 | 1.22 | % | 0.90 | % | 1.41 | % | 0.71 | % | 112 | % | ||||||||||||||||
Year ended 9-30-2019 | 10.22 | 7.23 | 23 | 1.22 | 1.74 | 1.40 | 1.56 | 121 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 10.02 | -0.22 | 21 | 1.22 | 1.56 | 1.39 | 1.39 | 152 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 10.11 | 1.20 | 20 | 1.24 | (7) | 0.88 | 1.43 | 0.69 | 190 | |||||||||||||||||||||||
Year ended 9-30-2016(4) | 10.21 | 2.10 | 19 | 1.27 | (5)(8) | 0.88 | (5) | 1.55 | (5) | 0.60 | (5) | 90 | (6) | |||||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.10 | 1.32 | 5 | 1.92 | 0.20 | 2.11 | 0.01 | 112 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.10 | 6.45 | 4 | 1.92 | 1.05 | 2.10 | 0.87 | 121 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.91 | -0.85 | 4 | 1.92 | 0.86 | 2.09 | 0.69 | 152 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 10.05 | 0.46 | 4 | 1.91 | (9) | 0.21 | 2.10 | 0.02 | 190 | |||||||||||||||||||||||
Year ended 9-30-2016(4) | 10.16 | 1.60 | 4 | 1.90 | (5)(10) | 0.15 | (5) | 2.18 | (5) | -0.13 | (5) | 90 | (6) | |||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.25 | 2.19 | 102 | 1.00 | 1.12 | 1.24 | 0.88 | 112 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.26 | 7.45 | 120 | 1.00 | 1.98 | 1.23 | 1.75 | 121 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 10.06 | 0.03 | 123 | 1.00 | 1.79 | 1.21 | 1.58 | 152 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 10.13 | 1.43 | 111 | 1.00 | (11) | 1.13 | 1.22 | 0.91 | 190 | |||||||||||||||||||||||
Year ended 9-30-2016(4) | 10.23 | 2.30 | 74 | 1.00 | (5)(12) | 1.02 | (5) | 1.30 | (5) | 0.72 | (5) | 90 | (6) | |||||||||||||||||||
Class N Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.28 | 2.41 | 56 | 0.87 | 1.24 | 1.07 | 1.04 | 112 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.28 | 7.57 | 70 | 0.87 | 2.11 | 1.06 | 1.92 | 121 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 10.08 | 0.25 | 89 | 0.87 | 1.79 | 1.05 | 1.61 | 152 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 10.13 | 1.45 | 155 | 0.87 | (13) | 1.37 | 1.07 | 1.17 | 190 | |||||||||||||||||||||||
Year ended 9-30-2016(4) | 10.24 | 2.40 | 2 | 0.87 | (5)(14) | 1.17 | (5) | 1.16 | (5) | 0.88 | (5) | 90 | (6) | |||||||||||||||||||
Class Y Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.22 | 2.07 | 4 | 1.22 | 0.90 | 1.46 | 0.66 | 112 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.22 | 7.23 | 4 | 1.22 | 1.74 | 1.45 | 1.51 | 121 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 10.02 | -0.22 | 4 | 1.22 | 1.55 | 1.44 | 1.33 | 152 | ||||||||||||||||||||||||
Year ended 9-30-2017 | 10.11 | 1.17 | 4 | 1.24 | (15) | 0.88 | 1.46 | 0.66 | 190 | |||||||||||||||||||||||
Year ended 9-30-2016(4) | 10.22 | 2.20 | 4 | 1.15 | (5)(16) | 0.89 | (5) | 1.55 | (5) | 0.49 | (5) | 90 | (6) |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 157 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY FUNDS |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
IVY PINEBRIDGE HIGH YIELD FUND
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 9.88 | $ | 0.48 | $ | (0.16 | ) | $ | 0.32 | $ | (0.48 | ) | $ | — | $ | (0.48 | ) | |||||||||||
Year ended 9-30-2019 | 9.81 | 0.52 | 0.06 | 0.58 | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.15 | 0.48 | (0.30 | ) | 0.18 | (0.49 | ) | (0.03 | ) | (0.52 | ) | |||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.16 | 0.10 | 0.26 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 9.88 | 0.51 | (0.17 | ) | 0.34 | (0.50 | ) | — | (0.50 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 9.81 | 0.54 | 0.07 | 0.61 | (0.54 | ) | — | (0.54 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.15 | 0.51 | (0.31 | ) | 0.20 | (0.51 | ) | (0.03 | ) | (0.54 | ) | |||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.17 | 0.10 | 0.27 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||
Class N Shares |
| |||||||||||||||||||||||||||
Year ended 9-30-2020 | 9.88 | 0.51 | (0.18 | ) | 0.33 | (0.50 | ) | — | (0.50 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 9.80 | 0.54 | 0.08 | 0.62 | (0.54 | ) | — | (0.54 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.15 | 0.51 | (0.32 | ) | 0.19 | (0.51 | ) | (0.03 | ) | (0.54 | ) | |||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.17 | 0.10 | 0.27 | (0.12 | ) | — | (0.12 | ) |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | For the period from May 18, 2017 (commencement of operations of the class) through September 30, 2017. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended September 30, 2017. |
.
158 | ANNUAL REPORT | 2020 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 9.72 | 3.40 | % | $ | 15 | 0.99 | % | 5.02 | % | 1.16 | % | 4.85 | % | 80 | % | ||||||||||||||||
Year ended 9-30-2019 | 9.88 | 6.27 | 10 | 1.00 | 5.32 | 1.15 | 5.17 | 69 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.81 | 1.71 | 8 | 1.00 | 4.83 | 1.11 | 4.72 | 81 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.15 | 2.64 | 6 | 1.00 | (5) | 4.22 | (5) | — | — | 60 | (6) | |||||||||||||||||||||
Class I Shares |
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Year ended 9-30-2020 | 9.72 | 3.68 | 87 | 0.72 | 5.30 | 1.01 | 5.01 | 80 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 9.88 | 6.44 | 54 | 0.72 | 5.60 | 1.02 | 5.30 | 69 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.81 | 2.10 | 46 | 0.72 | 5.14 | 1.00 | 4.86 | 81 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.15 | 2.72 | 22 | 0.72 | (5) | 4.55 | (5) | 0.87 | (5) | 4.40 | (5) | 60 | (6) | |||||||||||||||||||
Class N Shares |
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Year ended 9-30-2020 | 9.71 | 3.58 | 40 | 0.72 | 5.29 | 0.83 | 5.18 | 80 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 9.88 | 6.55 | 38 | 0.72 | 5.59 | 0.84 | 5.47 | 69 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.80 | 2.00 | 32 | 0.72 | 5.10 | 0.83 | 4.99 | 81 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.15 | 2.72 | 35 | 0.72 | (5) | 4.44 | (5) | 0.73 | (5) | 4.43 | (5) | 60 | (6) |
See Accompanying Notes to Financial Statements.
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NOTES TO FINANCIAL STATEMENTS | IVY FUNDS |
SEPTEMBER 30, 2020
1. | ORGANIZATION |
Ivy Funds, a Delaware statutory trust (the “Trust”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Ivy Apollo Multi-Asset Income Fund, Ivy Apollo Strategic Income Fund, Ivy California Municipal High Income Fund, Ivy Cash Management Fund, Ivy Corporate Bond Fund, Ivy Crossover Credit Fund, Ivy Government Securities Fund, Ivy International Small Cap Fund, Ivy Pictet Emerging Markets Local Currency Debt Fund, Ivy Pictet Targeted Return Bond Fund and Ivy PineBridge High Yield Fund (each, a “Fund”) are eleven series of the Trust and are the only series of the Trust included in these financial statements. The investment objective(s), policies and risk factors of each Fund are described more fully in the Funds’ Prospectus and Statement of Additional Information (“SAI”). Each Fund’s investment manager is Ivy Investment Management Company (“IICO” or the “Manager”).
Each Fund offers Class A shares. Certain Funds offer Class B, Class C, Class E, Class I, Class N, Class R and Class Y shares. Effective June 19, 2020, Ivy Corporate Bond Fund, Ivy Crossover Credit Fund, Ivy Government Securities Fund and Ivy Pictet Emerging Markets Local Currency Debt Fund liquidated Class E. Effective June 19, 2020, Ivy Corporate Bond Fund, Ivy Crossover Credit Fund, Ivy Government Securities Fund, Ivy Pictet Emerging Markets Local Currency Debt Fund and Ivy PineBridge High Yield Fund liquidated Class R. Effective June 19, 2020, Ivy Government Securities Fund liquidated Class Y. The Funds’ Class B shares are not available for purchase by new and existing investors. Class B will continue to be available for dividend reinvestment and exchanges from Class B shares of another fund within Ivy Funds. Class A and Class E shares are sold at their offering price, which is normally net asset value (“NAV”) plus a front-end sales charge. For Class A shares, a 1% contingent deferred sales charge (“CDSC”) is only imposed on shares purchased at NAV for $1 million or more that are subsequently redeemed within 12 months of purchase. Effective October 1, 2020, Class A shares carry a CDSC on shares purchased at NAV for $500,000 or more that are subsequently redeemed within 12 months of purchase. Class B and Class C shares are sold without a front-end sales charge, but may be subject to a CDSC. Class I, Class N, Class R and Class Y shares are sold without either a front-end sales charge or a CDSC. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Net investment income, net assets and NAV per share may differ due to each class having its own expenses, such as transfer agent and shareholder servicing fees, directly attributable to that class. Class A, B, C, E, R and Y have a distribution and service plan. Class I and Class N shares are not included in the plan. With certain exceptions described in the Prospectus, Class B shares will automatically convert to Class A shares 96 months after the date of purchase. With certain exceptions described in the Prospectus, Class C shares will automatically convert to Class A shares 120 months after the date of purchase.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by each Fund.
Security Transactions and Related Investment Income. Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Realized gains and losses are calculated on the identified cost basis. Interest income is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. All or a portion of the distributions received from a real estate investment trust or publicly traded partnership may be designated as a reduction of cost of the related investment or realized gain.
Foreign Currency Translation. Each Fund’s accounting records are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies are translated into U.S. dollars daily, using foreign exchange rates obtained from an independent pricing service approved by the Board of Trustees of the Trust (the “Board”). Purchases and sales of investment securities and accruals of income and expenses are translated at the rate of exchange prevailing on the date of the transaction. For assets and liabilities other than investments in securities, net realized and unrealized gains and losses from foreign currency translation arise from changes in currency exchange rates. Each Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized gain (loss) and net change in unrealized appreciation (depreciation) on investments. Foreign exchange rates are typically valued as of the close of the New York Stock Exchange (“NYSE”), normally 4:00 P.M. Eastern time, on each day the NYSE is open for trading.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Income Taxes. It is the policy of each Fund to distribute all of its taxable income and capital gains to its shareholders and to otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. In addition, each Fund intends to pay distributions as required to avoid imposition of excise tax. Accordingly, no provision has been
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made for Federal income taxes. The Funds file income tax returns in U.S. federal and applicable state jurisdictions. The Funds’ tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax returns. Management of the Trust periodically reviews all tax positions to assess whether it is more likely than not that the position would be sustained upon examination by the relevant tax authority based on the technical merits of each position. As of the date of these financial statements, management believes that no liability for unrecognized tax positions is required.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders are recorded by each Fund on the business day following record date. Net investment income dividends and capital gains distributions are determined in accordance with income tax regulations, which may differ from accounting principles generally accepted in the United States of America (“U.S. GAAP”). If the total dividends and distributions made in any tax year exceed net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a return of capital for tax purposes.
Segregation and Collateralization. In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”), the Dodd Frank Wall Street Reform and Consumer Protection Act, or the interpretive rules and regulations of the U.S. Commodities Futures Trading Commission require that a Fund either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, financial futures contracts, foreign currency exchange contracts, options written, securities with extended settlement periods, and swaps), the Fund will segregate collateral or designate on its books and records, cash or other liquid securities having a value at least equal to the amount that is required to be physically segregated for the benefit of the counterparty. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party has requirements to deliver/deposit cash or securities as collateral for certain investments. Certain countries require that cash reserves be held while investing in companies incorporated in that country. These cash reserves and cash collateral that has been pledged to cover obligations of the Funds under derivative contracts, if any, will be reported separately on the Statement of Assets and Liabilities as “Restricted cash”. Securities collateral pledged for the same purpose, if any, is noted on the Schedule of Investments.
Concentration of Market and Credit Risk. In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Funds may be exposed to counterparty credit risk, or the risk that an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded on the Funds’ Statement of Assets and Liabilities, less any collateral held by the Funds.
Certain 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 Funds may acquire securities in default and are not obligated to dispose of securities whose issuers subsequently default.
Certain Funds may enter into financial instrument transactions (such as swaps, futures, options and other derivatives) that may have off-balance sheet market risk. Off-balance sheet market risk exists when the maximum potential loss on a particular financial instrument is greater than the value of such financial instrument, as reflected on the Statement of Assets and Liabilities.
If a Fund invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in financial derivatives that provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad.
The London Interbank Offered Rate “LIBOR” is an indicative measure of the average interest rate at which major global banks could borrow from one another. LIBOR is quoted in multiple currencies and multiple time frames using data reported by private-sector banks. LIBOR is used extensively in the United States and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds and loans, floating rate mortgages, asset-backed securities, consumer loans, and interest rate swaps and other derivatives.
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It is expected that a number of private-sector banks currently reporting information used to set LIBOR will stop doing so after 2021 when their current reporting commitment ends, which could either cause LIBOR to stop publication immediately or cause LIBOR’s regulator to determine that its quality has degraded to the degree that it is no longer representative of its underlying market.
Management believes that, with respect to any significant investments by the Funds in instruments linked to LIBOR, the impact on investments and discontinuation of LIBOR may represent a significant risk.
However, management acknowledges that the anticipated transition away from LIBOR will occur after 2021 and certain of the current investments will mature prior to that time. Furthermore, the ways in which LIBOR’s discontinuation potentially could impact the Funds’ investments is not fully known. The extent of that impact may vary depending on various factors, which include, but are not limited to: (i) existing fallback or termination provisions in individual contracts and (ii) whether, how, and when industry participants develop and adopt new successor reference rates and/or fallbacks for both legacy and new instruments.
In addition, the transition to a successor rate could potentially cause (i) increased volatility or illiquidity in markets for instruments that currently rely on LIBOR, (ii) a reduction in the value of certain instruments held by a Fund, or (iii) reduced effectiveness of related Fund transactions, such as hedging.
As the impacts of the transition become clearer during the next year, management will be evaluating the impacts of these changes.
An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. This coronavirus has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.
The individual Funds herein have adopted a Liquidity Risk Management Program (the “Program”). The Fund’s board has designated a Liquidity Risk Management Committee (the “Committee”) as the administrator of the Program. The Committee or delegates of the Committee conduct the day-to-day operation of the Program. Under the Program, the Committee manages the Fund’s liquidity risk, which is the risk that any Fund could not meet shareholder redemption requests without significant dilution of remaining shareholders’ interests in the Fund. This risk is managed by monitoring the degree of liquidity of the Fund’s investments, limiting the amount of the Fund’s illiquid investments, and utilizing various risk management tools and facilities available to the Fund for meeting shareholder redemptions, among other means. The Committee’s process of determining the degree of liquidity of the Fund’s investments is supported by one or more third-party liquidity assessment vendors. The Fund’s board reviewed a report prepared by a designee of the Committee regarding the operation, adequacy and effectiveness of the Program from the period June 1, 2019, through March 31, 2020. The report described the Program’s liquidity classification methodology and the methodology in establishing a Fund’s Highly Liquid Investment Minimum (“HLIM”), if necessary. The Committee reported that during the period covered by the report, there were no material changes to the Program and no significant liquidity events impacting the Fund or its ability to timely meet redemptions without dilution to existing shareholders. In addition, the Committee provided its assessment that the Program, including the operation of each Fund’s HLIM, where applicable, had been effective in managing the Fund’s liquidity risk.
Collateralized Loan Obligations. Certain Funds may invest in collateralized loan obligations (“CLOs”). CLOs are a type of asset-backed security. A CLO is a trust typically collateralized by a pool of loans, which may include, among others, domestic and foreign senior secured loans, senior unsecured loans, and subordinate corporate loans, including loans that may be rated below investment grade or equivalent unrated loans. The cash flows of a CLO can be split into multiple segments, called “tranches”, which will vary in risk profile and yield. Each tranche is a piece of the CLO, and dictates who will be paid out first when the underlying loan payments are made. It also dictates the risk associated with the investment, since investors who are paid last have a higher risk of default from the underlying loans.
Inflation-Indexed Bonds. Certain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statement of Operations, even though investors do not receive their principal until maturity.
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Interest Only Obligations. These securities entitle the owner to receive only the interest portion from a bond, Treasury note or pool of mortgages. These securities are generally created by a third party separating a bond or pool of mortgages into distinct interest-only and principal-only securities. As the principal (par) amount of a bond or pool of mortgages is paid down, the amount of interest income earned by the owner will decline as well.
Loans. Certain Funds may invest in loans, the interest rates of which float or adjust periodically based upon a specified adjustment schedule, benchmark indicator, or prevailing interest rates, the debtor of which may be a domestic or foreign corporation, partnership or other entity (“Borrower”). Loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates generally include prime rates of one or more major U.S. banks, the LIBOR or certificates of deposit rates. Loans often require prepayments from excess cash flow or permit the Borrower to repay at its election. The degree to which Borrowers repay cannot be predicted with accuracy. As a result, the actual maturity may be substantially less than the stated maturities. Loans are exempt from registration under the Securities Act of 1933, as amended, may contain certain restrictions on resale, and cannot be sold publicly. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties.
When a Fund purchases assignments, it acquires all the rights and obligations under the loan agreement of the assigning lender. Assignments may, however, be arranged through private negotiations between potential assignees and potential assignors, and the rights and obligations acquired by the purchaser of an assignment may differ from, and be more limited than those held by the assigning lender. When a Fund purchases a participation of a loan interest, the Fund typically enters into a contractual agreement with the lender or other third party selling the participation. A participation interest in loans includes the right to receive payments of principal, interest and any fees to which it is entitled from the lender and only upon receipt by the lender of payments from the Borrower, but not from the Borrower directly. When investing in a participation interest, if a Borrower is unable to meet its obligations under a loan agreement, a Fund generally has no direct right to enforce compliance with the terms of the loan agreement. As a result, the Fund assumes the credit risk of the Borrower, the selling participant, and any other persons that are interpositioned between the Fund and the Borrower. If the lead lender in a typical lending syndicate becomes insolvent, enters Federal Deposit Insurance Corporation (“FDIC”) receivership or, if not FDIC insured, enters into bankruptcy, the Fund may incur certain costs and delays in receiving payment or may suffer a loss of principal and interest.
Payment In-Kind Securities. Certain Funds may invest in payment in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in cash or in additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statement of Assets and Liabilities.
Securities on a When-Issued or Delayed Delivery Basis. Certain Funds may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by a Fund on a when-issued basis normally take place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of a Fund’s NAV to the extent the Fund executes such transactions while remaining substantially fully invested. When a Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield IICO, or the Fund’s investment subadviser, as applicable, consider advantageous. The Fund maintains internally designated assets with a value equal to or greater than the amount of its purchase commitments. The Fund may also sell securities that it purchased on a when-issued or delayed delivery basis prior to settlement of the original purchase.
Custodian Fees. “Custodian fees” on the Statement of Operations may include interest expense incurred by a Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. A Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by that Fund. The “Earnings credit” line item, if shown, represents earnings on cash balances maintained by that Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Indemnification. The Trust’s organizational documents provide current and former Trustees and Officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Trust. In the normal course of business, the Trust may also enter into contracts that provide general indemnification. The Trust’s maximum exposure under these arrangements is unknown and is dependent on future claims that may be made against the Trust. The risk of material loss from such claims is considered remote.
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Liquidity Fee and/or Redemption Gates. The Ivy Cash Management Fund operates as a “retail money market fund,” as such term is defined or interpreted under Rule 2a-7 under the 1940 Act. The Ivy Cash Management Fund may impose liquidity fees on redemptions and/or temporarily suspend (gate) redemptions if the Fund’s liquidity falls below required minimums because of market conditions or other factors.
Basis of Preparation. Each Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 (“ASC 946”). The accompanying financial statements were prepared in accordance with U.S. GAAP, including but not limited to ASC 946. U.S. GAAP requires the use of estimates made by management. Management believes that estimates and valuations are appropriate; however, actual results may differ from those estimates, and the valuations reflected in the accompanying financial statements may differ from the value ultimately realized upon sale or maturity.
Subsequent Events. Management has performed a review for subsequent events through the date this report was issued.
3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Each Fund’s investments are reported at fair value. Fair value is defined as the price that each Fund would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Each Fund calculates the NAV of its shares as of the close of the NYSE, normally 4:00 P.M. Eastern time, on each day the NYSE is open for trading.
For purposes of calculating the NAV, the portfolio securities and financial instruments are valued on each business day using pricing and valuation methods as adopted by the Board. Where market quotes are readily available, fair value is generally determined on the basis of the last reported sales price, or if no sales are reported, based on quotes obtained from a quotation reporting system, established market makers, or pricing services.
Prices for fixed-income securities are typically based on quotes that are obtained from an independent pricing service approved by the Board. To determine values of fixed-income securities, the independent pricing service utilizes such factors as current quotations by broker/dealers, coupon, maturity, quality, type of issue, trading characteristics, and other yield and risk factors it deems relevant in determining valuations. Securities that cannot be valued by the independent pricing service may be valued using quotes obtained from dealers that make markets in the securities.
Investments in Ivy Cash Management Fund are valued on the basis of amortized cost (which approximates value), whereby a portfolio security is valued at its cost initially, and thereafter valued to reflect a constant amortization to maturity of any discount or premium. Short-term securities with maturities of 60 days or less held in all Funds (with the exception of Ivy Cash Management Fund) are valued based on quotes that are obtained from an independent pricing service approved by the Board as described in the preceding paragraph above.
Because many foreign markets close before the NYSE, events may occur between the close of the foreign market and the close of the NYSE that could have a material impact on the valuation of foreign securities. Waddell & Reed Services Company (“WRSCO”), pursuant to procedures adopted by the Board, evaluates the impact of these events and may adjust the valuation of foreign securities to reflect the fair value as of the close of the NYSE. In addition, all securities for which values are not readily available or are deemed unreliable are appraised at fair value as determined in good faith under the supervision of the Board.
Where market quotes are not readily available, portfolio securities or financial instruments are valued at fair value, as determined in good faith by the Board or Valuation Committee pursuant to procedures approved by the Board.
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE close, that materially affect the values of a Fund’s securities or financial instruments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available.
The Board has delegated to WRSCO the responsibility for monitoring significant events that may materially affect the values of a Fund’s securities or financial instruments and for determining whether the value of the applicable securities or financial instruments should be re-evaluated in light of such significant events. IICO, pursuant to authority delegated by the Board, has established a Valuation Committee to administer and oversee the valuation process, including the use of third party pricing vendors.
The Board has adopted methods for valuing securities and financial instruments in circumstances where market quotes are not readily available. For instances in which daily market quotes are not readily available, investments may be valued, pursuant to procedures established by the Board, with reference to other securities or indices. In the event that the security or financial instrument cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or financial instrument will be determined in good faith by the Valuation Committee in accordance with the procedures adopted by the Board.
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When a Fund uses these fair valuation methods applied by WRSCO that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Board or persons acting at its direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. The prices used by a Fund may differ from the value that will ultimately be realized at the time the securities are sold.
WRSCO is responsible for monitoring the implementation of the pricing and valuation policies through a series of activities to provide reasonable comfort of the accuracy of prices including: 1) periodic vendor due diligence meetings to review methodologies, new developments, and process at vendors, 2) daily and monthly multi-source pricing comparisons reviewed and submitted to the Valuation Committee, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by management and the Valuation Committee.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputs is summarized as follows:
• | Level 1 – Observable inputs such as quoted prices, available in active markets, for identical assets or liabilities. |
• | Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
• | Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at its direction that are used in determining the fair value of investments. |
A description of the valuation techniques applied to the Funds’ major classes of assets and liabilities measured at fair value on a recurring basis follows:
Asset-Backed Securities and Mortgage-Backed Securities. The fair value of asset-backed securities and mortgage-backed securities are estimated using recently executed transactions and based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, and otherwise they would be categorized as Level 3.
Corporate Bonds. The fair value of corporate bonds, as obtained from an independent pricing service, is estimated using various techniques, which consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (where observable), bond spreads, fundamental data relating to the issuer, and credit default swap spreads adjusted for any basis difference between cash and derivative instruments. While most corporate bonds are categorized in Level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they are categorized in Level 3 of the fair value hierarchy.
Derivative Instruments. Forward foreign currency contracts are valued based upon the closing prices of the forward currency rates determined at the close of the NYSE, which are provided by an independent pricing service. Swaps derive their value from underlying asset prices, indices, reference rates and other inputs or a combination of these factors. Swaps are valued by an independent pricing service unless the price is unavailable, in which case they are valued at the price provided by a dealer in that security. Exchange-traded futures contracts are generally valued at the settlement price. Listed options are ordinarily valued at the mean of the last bid and ask price provided by an independent pricing service unless the price is unavailable, in which case they are valued at a quotation obtained from a broker-dealer. Over-the-counter (“OTC”) options are ordinarily valued at the mean of the last bid and ask price for a comparable listed option provided by an independent pricing service unless such a price is unavailable, in which case they are valued at a quotation obtained from a broker-dealer.
Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. OTC derivative contracts include forward foreign currency contracts, swap agreements,
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and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices. Depending on the product and the terms of the transaction, the fair value of the OTC derivative products are modeled taking into account the counterparties’ creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets, as is the case with interest rate swap and option contracts. OTC derivative products valued using pricing models with significant observable inputs are categorized within Level 2 of the fair value hierarchy.
Equity Securities. Equity securities traded on U.S. or foreign securities exchanges or included in a national market system are valued at the official closing price at the close of each business day unless otherwise stated below. OTC equity securities and listed securities for which no price is readily available are valued at the average of the last bid and ask prices.
Mutual funds, including investment funds, typically are valued at the NAV reported as of the valuation date.
Securities that are stated at the last reported sales price or closing price on the day of valuation taken from the primary exchange where the security is principally traded and to the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy.
Foreign securities, for which the primary trading market closes at the same time or after the NYSE, are valued based on quotations from the primary market in which they are traded and categorized in Level 1. Because many foreign securities markets and exchanges close prior to the close of the NYSE, closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intra-day trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange-traded funds, and the movement of certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Loans. Loans are valued using a price or composite price from one or more brokers or dealers as obtained from an independent pricing service. The fair value of loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources. Loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable in which case they would be categorized as Level 3.
Municipal Bonds. Municipal bonds are fair valued based on pricing models used by and obtained from an independent pricing service that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-wants lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Other Government Securities. Other government securities include emerging market sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. The fair value of other government securities is estimated using various techniques, which consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (where observable), bond spreads, fundamental data relating to the issuer, and credit default swap spreads adjusted for any basis difference between cash and derivative instruments. While most other government securities are categorized in Level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they are categorized in Level 3 of the fair value hierarchy.
Overdraft due to custodian. Due to the short-term nature of overdraft due to custodian, the carrying value approximates fair value and the liability is categorized as Level 2 in the fair value hierarchy.
Restricted Securities. Restricted securities that are deemed to be Rule 144A securities and illiquid, as well as restricted securities held in non-public entities, are included in Level 3 of the fair value hierarchy to the extent that significant inputs to valuation are unobservable, because they trade infrequently, if at all and, therefore, the inputs are unobservable. Restricted securities that are valued at a discount to similar publicly traded securities may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety; otherwise they may be categorized as Level 3.
U.S. Government and Agency Securities. U.S. government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, U.S. government and agency securities are normally categorized in Level 2 of the fair value hierarchy depending on the liquidity and transparency of the market.
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Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information.
For fair valuations using unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the Notes to the Schedule of Investments for each respective Fund.
Net realized gain (loss) and net unrealized appreciation (depreciation), shown on the reconciliation of Level 3 investments, if applicable, are included on the Statement of Operations in net realized gain (loss) on investments in unaffiliated and/or affiliated securities and in net change in unrealized appreciation (depreciation) on investments in unaffiliated and/or affiliated securities, respectively.
4. | DERIVATIVE INSTRUMENTS ($ amounts in thousands unless indicated otherwise) |
The following disclosures contain information on why and how the Funds use derivative instruments, the associated risks of investing in derivative instruments, and how derivative instruments affect the Funds’ financial positions and results of operations.
Forward Foreign Currency Contracts. Certain Funds are authorized to enter into forward foreign currency contracts (“forward contracts”) for the purchase or sale of a foreign currency at a negotiated rate at a future date. Forward contracts are reported on a schedule following the Schedule of Investments. Forward contracts are valued daily based upon the closing prices of the forward currency rates provided by an independent pricing service determined at the close of the NYSE. The resulting unrealized appreciation and depreciation is reported on the Statement of Assets and Liabilities as a receivable or payable and on the Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) on the Statement of Operations.
Risks to a Fund related to the use of such contracts include both market and credit risk. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. Credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, a Fund’s maximum loss will consist of the aggregate unrealized gain on appreciated contracts that is not collateralized.
Ivy Apollo Multi-Asset Income Fund, Ivy Apollo Strategic Income Fund, Ivy Pictet Emerging Markets Local Currency Debt Fund and Ivy Pictet Targeted Return Bond Fund enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from foreign currencies (foreign currency exchange rate risk).
Futures Contracts. Certain Funds are authorized to engage in buying and selling futures contracts. Upon entering into a futures contract, a Fund is required to deposit, in a segregated account, an amount equal to a varying specified percentage of the contract amount. This amount is known as the initial margin. Subsequent amounts, known as variation margin, are paid or received by the Fund each day, dependent on the daily fluctuations in the value of the underlying debt security or index. Options on futures contracts may also be purchased or sold by a Fund.
Futures contracts are reported on a schedule following the Schedule of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are identified on the Schedule of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted on the Statement of Assets and Liabilities. The net change in unrealized appreciation (depreciation) is reported on the Statement of Operations. Realized gains (losses) are reported on the Statement of Operations at the closing or expiration of futures contracts.
Risks of entering into futures contracts include the possibility of loss of securities or cash held as collateral, that there may be an illiquid market where the Fund is unable to close the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
Ivy Crossover Credit Fund, Ivy Pictet Emerging Markets Local Currency Debt Fund and Ivy Pictet Targeted Return Bond Fund invest in long and/or short positions in futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk).
Option Contracts. Options purchased by a Fund are accounted for in the same manner as portfolio securities. The cost of the underlying instruments acquired through the exercise of call options is increased by the premium paid to purchase the call. The proceeds from instruments sold through the exercise of put options are decreased by the premium paid to purchase the put.
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When a Fund writes (sells) an option, an amount equal to the premium received by the Fund is recorded as a liability. The amount of the liability is subsequently adjusted to reflect the current value of the option written. When an option expires on its stipulated expiration date or a Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the call option was sold), and the liability related to such option is extinguished. When a written call option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining whether a Fund has realized a gain or loss. When a written put is exercised, the cost basis of the instruments purchased by a Fund is reduced by the amount of the premium received.
Investments in options, whether purchased or written, involve certain risks. Writing put options and purchasing call options may increase a Fund’s exposure to the underlying instrument. With written options, there may be times when a Fund will be required to purchase or sell instruments to meet its obligation under the option contract where the required action is not beneficial to the Fund, due to unfavorable movement of the market price of the underlying instrument.
Option contracts can be traded on a regulated exchange or traded OTC. Unlike the trades on a regulated exchange where the clearinghouse guarantees the performances of both the buyer and the seller, to the extent a Fund enters into OTC option transactions with counterparties, the Fund will be exposed to the risk that counterparties to these OTC transactions will be unable to meet their obligations under the terms of the transaction.
Ivy Pictet Emerging Markets Local Currency Debt Fund and Ivy Pictet Targeted Return Bond Fund purchase and write call and put options to increase or decrease hedging exposure to underlying instruments (which include credit risk, equity risk, foreign currency exchange rate risk, event risk and/or interest rate risk), increase exposure to various equity markets or certain sectors, gain exposure to or facilitate trading in certain securities and/or, in the case of options written, to generate returns from options premiums.
Swap Agreements. Certain Funds are authorized to invest in swap agreements. Swap agreements are bilaterally negotiated agreements between a Fund and counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”). If the OTC swap entered is one of the swaps identified by a relevant regulator as a swap that is required to be cleared, then it will be cleared through a third party, known as a central counterparty or derivatives clearing organization (“centrally cleared swaps”).
Swap agreements are bilaterally negotiated agreements between a Fund and counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements are privately negotiated in the over the counter market (“OTC swaps”). If the OTC swap entered is one of the swaps identified by a relevant regulator as a swap that is required to be cleared, then it will be cleared through a third party, known as a central counterparty or derivatives clearing organization (“centrally cleared swaps”).
Swaps are marked to market daily and changes in value are recorded as unrealized appreciation (depreciation) on the Statement of Operations. Daily changes in valuation of centrally cleared swaps, if any, are recorded as variation margin receivable or variation margin payable on the Statement of Assets and Liabilities. Payments received or made by the Fund are recorded as realized gain or loss on the Statement of Operations. Any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as swap premiums paid and swap premiums received, respectively, if any, on the Statement of Assets and Liabilities and amortized over the term of the swap. An early termination payment received or made at an early termination or a final payment made at the maturity of the swap is recorded as realized gain or loss on the Statement of Operations.
After a centrally cleared swap is accepted for clearing, a Fund may be required to deposit initial margin with the clearing member in the form of cash or securities. Securities deposited as initial margin, if any, are designated on the Schedule of Investments. Cash deposited as initial margin is identified on the Schedule of Investments and is recorded as restricted cash on the Statement of Assets and Liabilities.
Credit default swap agreements (“CDS”) on corporate issuers or credit indices involve one party making a stream of periodic payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of the corporate issuer or all or part of the referenced entities comprising the credit index. A Fund may enter a physically settled or cash settled CDS. As a buyer, if an underlying credit event occurs depending on if the CDS is to be physically settled or cash settled, a Fund will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the corporate issuer security or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the corporate issuer security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, a Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the corporate issuer security or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the corporate issuer security or underlying securities comprising the index.
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Ivy Apollo Multi-Asset Income Fund, Ivy Apollo Strategic Income Fund, Ivy Pictet Emerging Markets Local Currency Debt Fund and Ivy Pictet Targeted Return Bond Fund enter into credit default swaps to protect bonds owned by a Fund against default.
Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time.
Ivy Pictet Emerging Markets Local Currency Debt Fund and Ivy Pictet Targeted Return Bond Fund enter into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds, which may decrease when interest rates rise (interest rate risk).
The creditworthiness of the counterparty with which a Fund enters into a swap agreement is monitored by IICO. If a counterparty creditworthiness declines, the value of the agreement would likely decline, potentially resulting in losses. If a default occurs by the counterparty to such a transaction, the Fund will have contractual remedies pursuant to the agreement related to the transaction. The maximum loss a Fund may incur consists of the aggregate unrealized gain on appreciated contracts that is not collateralized due to facts specific to certain situations (i.e., collateral may not have been posted by the counterparty due to the required collateral amount being less than the pre-agreed thresholds. Additionally, regulatory developments called stay resolutions and the ensuing required contractual amendments to the transactional documentation, including derivatives, permit the relevant regulators to preclude parties to a transaction from terminating trades, among other rights it may have in the trade agreements should a counterparty that it regulates experience financial distress. A relevant regulator also has the authority to reduce the value of certain liabilities owed by the counterparty to a Fund and/or convert cash liabilities of a regulated entity into equity holdings. The power given to the relevant regulators includes the ability to amend transactional agreements unilaterally, modify the maturity of eligible liabilities, reduce the amount of interest payable or change the date on which interest becomes payable, among other powers.
To prevent incurring losses due to the counterparty credit risk, IICO actively monitors the creditworthiness of the counterparties with which it has entered financial transactions. IICO consistently and frequently risk manages the credit risk of the counterparties it faces in transactions.
Collateral and rights of offset. A Fund mitigates credit risk with respect to OTC derivative counterparties through credit support annexes (“CSA”) included with an International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreement which is the standard contract governing all OTC derivative transactions between the Fund and each of its counterparties. Although it is not possible to eliminate credit risk entirely, the CSA allows the Fund and its counterparty to reduce their exposure to the risk of payment default by the other party by holding an amount in collateral equivalent to the realized and unrealized amount of exposure to the counterparty, which is generally held by the Fund’s custodian. An amount of collateral is moved to/from applicable counterparties only if the amount of collateral required to be posted surpasses both the threshold and the minimum transfer amount pre-agreed in the CSA between the Fund and the counterparty. See Note 2 “Segregation and Collateralization” for additional information with respect to collateral practices.
Offsetting of Assets and Liabilities. The following tables present financial instruments that are either (1) offset or (2) subject to an enforceable master netting arrangement or similar agreement as of September 30, 2020:
Assets
Gross Amounts Not Offset on the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||
Fund | Gross Amounts of Recognized Assets | Gross Amounts Offset on the Statement of Assets and Liabilities | Net Amounts of Assets Presented on the Statement of Assets and Liabilities | Financial Instruments and Derivatives Available for Offset | Non-Cash Collateral Received | Cash Collateral Received | Net Amount Receivable | |||||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts(1) | $ | 630 | $ | — | $ | 630 | $ | (32 | ) | $ | — | $ | — | $ | 598 | |||||||||||||
Ivy Apollo Strategic Income Fund | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts(1) | $ | 653 | $ | — | $ | 653 | $ | (36 | ) | $ | (407 | ) | $ | — | $ | 210 |
2020 | ANNUAL REPORT | 169 |
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Gross Amounts Not Offset on the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||
Fund | Gross Amounts of Recognized Assets | Gross Amounts Offset on the Statement of Assets and Liabilities | Net Amounts of Assets Presented on the Statement of Assets and Liabilities | Financial Instruments and Derivatives Available for Offset | Non-Cash Collateral Received | Cash Collateral Received | Net Amount Receivable | |||||||||||||||||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | ||||||||||||||||||||||||||||
Swap agreements, at value | $ | 146 | $ | — | $ | 146 | $ | (52 | ) | $ | — | $ | — | $ | 94 | |||||||||||||
Unrealized appreciation on forward foreign currency contracts | 1,039 | — | 1,039 | (870 | ) | — | — | 169 | ||||||||||||||||||||
Total | $ | 1,185 | $ | — | $ | 1,185 | $ | (922 | ) | $ | — | $ | — | $ | 263 | |||||||||||||
Ivy Pictet Targeted Return Bond Fund | ||||||||||||||||||||||||||||
Investments in unaffiliated securities at value* | $ | 282 | $ | — | $ | 282 | $ | (111 | ) | $ | — | $ | (70 | ) | $ | 101 | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | 1,052 | — | 1,052 | (358 | ) | — | (600 | ) | 94 | |||||||||||||||||||
Total | $ | 1,334 | $ | — | $ | 1,334 | $ | (469 | ) | $ | — | $ | (670 | ) | $ | 195 |
* | Purchased options are reported as investments in unaffiliated securities on the Statement of Assets and Liabilities. |
(1) | Amounts include forward contracts that have an offset to an open and close contract, but have not settled. These amounts are included on the Statement of Assets and Liabilities line item for Investment securities sold receivable. |
Liabilities
Gross Amounts Not Offset on the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||
Fund | Gross Amounts of Recognized Liabilities | Gross Amounts Offset on the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented on the Statement of Assets and Liabilities | Financial Instruments and Derivatives Available for Offset | Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount Payable | |||||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | $ | 32 | $ | — | $ | 32 | $ | (32 | ) | $ | — | $ | — | $ | — | |||||||||||||
Ivy Apollo Strategic Income Fund | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | $ | 36 | $ | — | $ | 36 | $ | (36 | ) | $ | — | $ | — | $ | — | |||||||||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | ||||||||||||||||||||||||||||
Swap agreements, at value | $ | 83 | $ | — | $ | 83 | $ | (52 | ) | $ | — | $ | (31 | ) | $ | — | ||||||||||||
Unrealized depreciation on forward foreign currency contracts | 1,086 | — | 1,086 | (870 | ) | — | (83 | ) | 133 | |||||||||||||||||||
Total | $ | 1,169 | $ | — | $ | 1,169 | $ | (922 | ) | $ | — | $ | (114 | ) | $ | 133 | ||||||||||||
Ivy Pictet Targeted Return Bond Fund | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | $ | 362 | $ | — | $ | 362 | $ | (358 | ) | $ | — | $ | (4 | ) | $ | — | ||||||||||||
Written options at value | 210 | — | 210 | (111 | ) | — | (46 | ) | 53 | |||||||||||||||||||
Total | $ | 572 | $ | — | $ | 572 | $ | (469 | ) | $ | — | $ | (50 | ) | $ | 53 |
170 | ANNUAL REPORT | 2020 |
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Additional Disclosure Related to Derivative Instruments
Fair values of derivative instruments as of September 30, 2020:
Assets | Liabilities | |||||||||||||
Fund | Type of Risk Exposure | Statement of Assets & Liabilities Location | Value | Statement of Assets & Liabilities Location | Value | |||||||||
Ivy Apollo Multi-Asset Income Fund | Foreign currency | Unrealized appreciation on forward foreign currency contracts | $ | 575 | Unrealized depreciation on forward foreign currency contracts | $ | 32 | |||||||
Ivy Apollo Strategic Income Fund | Foreign currency | Unrealized appreciation on forward foreign currency contracts | 588 | Unrealized depreciation on forward foreign currency contracts | 36 | |||||||||
Ivy Crossover Credit Fund | Interest rate | — | Unrealized depreciation on futures contracts** | 15 | ||||||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | Credit | Unrealized appreciation on centrally cleared swap agreements** | 5 | Unrealized depreciation on centrally cleared swap agreements** | 8 | |||||||||
Swap agreements, at value | 7 | |||||||||||||
Foreign currency | Unrealized appreciation on forward foreign currency contracts | 1,039 | Unrealized depreciation on forward foreign currency contracts | 1,086 | ||||||||||
Interest rate | Investments in unaffiliated securities at value* | 7 | ||||||||||||
Unrealized appreciation on centrally cleared swap agreements** | 141 | Unrealized depreciation on centrally cleared swap agreements** | 89 | |||||||||||
Unrealized appreciation on futures contracts** | 1 | Unrealized depreciation on futures contracts** | 2 | |||||||||||
Swap agreements, at value | 146 | Swap agreements, at value | 76 | |||||||||||
Ivy Pictet Targeted Return Bond Fund | Credit | Unrealized appreciation on centrally cleared swap agreements** | 84 | Unrealized depreciation on centrally cleared swap agreements** | 44 | |||||||||
Investments in unaffiliated securities at value* | 70 | |||||||||||||
Foreign currency | Investments in unaffiliated securities at value* | 212 | Unrealized depreciation on forward foreign currency contracts | 362 | ||||||||||
Unrealized appreciation on forward foreign currency contracts | 1,052 | Written options at value | 210 | |||||||||||
Interest rate | Investments in unaffiliated securities at value* | 5 | Written options at value | 32 | ||||||||||
Unrealized appreciation on centrally cleared swap agreements** | 256 | Unrealized depreciation on centrally cleared swap agreements** | 47 | |||||||||||
Unrealized appreciation on futures contracts** | 281 | Unrealized depreciation on futures contracts** | 198 |
* | Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments. |
** | The value presented includes cumulative gain (loss) on open futures contracts and centrally cleared swap agreements; however, the value reflected on the accompanying Statement of Assets and Liabilities is only the unsettled variation margin receivable (payable) as of year ended September 30, 2020. |
2020 | ANNUAL REPORT | 171 |
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Amount of realized gain (loss) on derivatives recognized on the Statement of Operations for the year ended September 30, 2020:
Net realized gain (loss) on: | ||||||||||||||||||||||||||
Fund | Type of Risk Exposure | Investments in unaffiliated securities* | Swap agreements | Futures contracts | Written options | Forward foreign currency contracts | Total | |||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund | Credit | $ | — | $ | (27 | ) | $ | — | $ | — | $ | — | $ | (27 | ) | |||||||||||
Foreign currency | — | — | — | — | (139 | ) | (139 | ) | ||||||||||||||||||
Ivy Apollo Strategic Income Fund | Credit | — | (27 | ) | — | — | — | (27 | ) | |||||||||||||||||
Foreign currency | — | — | — | — | (137 | ) | (137 | ) | ||||||||||||||||||
Ivy Corporate Bond Fund | Interest rate | — | — | (560 | ) | — | — | (560 | ) | |||||||||||||||||
Ivy Crossover Credit Fund | Interest rate | — | — | (192 | ) | — | — | (192 | ) | |||||||||||||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | Credit | — | 214 | — | — | — | 214 | |||||||||||||||||||
Foreign currency | — | — | — | — | (713 | ) | (713 | ) | ||||||||||||||||||
Interest rate | (54 | ) | 788 | (162 | ) | 9 | — | 581 | ||||||||||||||||||
Ivy Pictet Targeted Return Bond Fund | Credit | (89 | ) | (948 | ) | — | 106 | — | (931 | ) | ||||||||||||||||
Foreign currency | (1,167 | ) | — | — | 775 | 3,680 | 3,288 | |||||||||||||||||||
Interest rate | (310 | ) | (1,441 | ) | (1,326 | ) | 204 | — | (2,873 | ) |
* | Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments. |
Change in unrealized appreciation (depreciation) on derivatives recognized on the Statement of Operations for the year ended September 30, 2020:
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||
Fund | Type of Risk Exposure | Investments in unaffiliated securities* | Swap agreements | Futures contracts | Written options | Forward foreign currency contracts | Total | |||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund | Credit | $ | — | $ | 10 | $ | — | $ | — | $ | — | $ | 10 | |||||||||||||
Foreign currency | — | — | — | — | (317 | ) | (317 | ) | ||||||||||||||||||
Ivy Apollo Strategic Income Fund | Credit | — | 11 | — | — | — | 11 | |||||||||||||||||||
Foreign currency | — | — | — | — | (330 | ) | (330 | ) | ||||||||||||||||||
Ivy Crossover Credit Fund | Interest rate | — | — | (15 | ) | — | — | (15 | ) | |||||||||||||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | Credit | — | (20 | ) | — | — | — | (20 | ) | |||||||||||||||||
Foreign currency | — | — | (33 | ) | — | 574 | 541 | |||||||||||||||||||
Interest rate | (12 | ) | 316 | — | — | — | 304 | |||||||||||||||||||
Ivy Pictet Targeted Return Bond Fund | Credit | (80 | ) | 416 | — | — | — | 336 | ||||||||||||||||||
Foreign currency | 56 | — | (451 | ) | (37 | ) | (85 | ) | (517 | ) | ||||||||||||||||
Interest rate | (91 | ) | 803 | — | 187 | — | 899 |
* | Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments. |
172 | ANNUAL REPORT | 2020 |
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During the year ended September 30, 2020, the average derivative volume was as follows:
Fund | Forward foreign currency contracts(1) | Long futures contracts(2) | Short futures contracts(2) | Swap agreements(3) | Purchased options(2) | Written options(2) | ||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund | $ | 700 | $ | — | $ | — | $ | 39 | $ | — | $ | — | ||||||||||||
Ivy Apollo Strategic Income Fund | 718 | — | — | 40 | — | — | ||||||||||||||||||
Ivy Corporate Bond Fund | — | — | 5,422 | — | — | — | ||||||||||||||||||
Ivy Crossover Credit Fund | — | — | 3,412 | — | — | — | ||||||||||||||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | 103 | 354 | 2,789 | 130,449 | 4 | — | * | |||||||||||||||||
Ivy Pictet Targeted Return Bond Fund | 135 | 26,348 | 78,197 | 179,573 | 426 | 300 |
* | Not shown due to rounding. |
(1) | Average absolute value of unrealized appreciation/depreciation during the period. |
(2) | Average value outstanding during the period. |
(3) | Average notional amount outstanding during the period. |
5. | INVESTMENT MANAGEMENT AND PAYMENTS TO AFFILIATED PERSONS ($ amounts in thousands unless indicated otherwise) |
Management Fees. IICO serves as each Fund’s investment manager. The management fee is accrued daily by each Fund at the following annual rates as a percentage of average daily net assets:
Fund (M - Millions) | $0 to $500M | $500 to $1,000M | $1,000 to $1,500M | $1,500 to $2,000M | $2,0000 to $2,500M | $2,500 to $3,000M | $3,000 to $5,000M | $5,000 to $10,000M | $10,000 to $15,000M | $15,000 to $20,000M | Over $20,000M | |||||||||||||||||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund | 0.700 | % | 0.700 | % | 0.650 | % | 0.650 | % | 0.610 | % | 0.610 | % | 0.580 | % | 0.580 | % | 0.580 | % | 0.580 | % | 0.580 | % | ||||||||||||||||||||||
Ivy Apollo Strategic Income Fund | 0.680 | 0.680 | 0.620 | 0.620 | 0.580 | 0.580 | 0.570 | 0.570 | 0.570 | 0.570 | 0.570 | |||||||||||||||||||||||||||||||||
Ivy California Municipal High Income Fund | 0.525 | 0.500 | 0.450 | 0.400 | 0.400 | 0.400 | 0.400 | 0.395 | 0.390 | 0.385 | 0.385 | |||||||||||||||||||||||||||||||||
Ivy Cash Management Fund | 0.350 | 0.350 | 0.300 | 0.300 | 0.300 | 0.300 | 0.300 | 0.300 | 0.300 | 0.300 | 0.300 | |||||||||||||||||||||||||||||||||
Ivy Corporate Bond Fund | 0.475 | 0.475 | 0.450 | 0.400 | 0.400 | 0.400 | 0.400 | 0.400 | 0.400 | 0.400 | 0.400 | |||||||||||||||||||||||||||||||||
Ivy Crossover Credit Fund | 0.500 | 0.450 | 0.425 | 0.425 | 0.425 | 0.400 | 0.400 | 0.375 | 0.375 | 0.375 | 0.375 | |||||||||||||||||||||||||||||||||
Ivy Government Securities Fund | 0.500 | 0.450 | 0.400 | 0.350 | 0.350 | 0.350 | 0.350 | 0.350 | 0.350 | 0.350 | 0.350 | |||||||||||||||||||||||||||||||||
Ivy International Small Cap Fund | 1.000 | 1.000 | 0.950 | 0.950 | 0.900 | 0.900 | 0.900 | 0.850 | 0.850 | 0.850 | 0.850 | |||||||||||||||||||||||||||||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | 0.750 | 0.750 | 0.725 | 0.725 | 0.700 | 0.700 | 0.700 | 0.675 | 0.650 | 0.650 | 0.650 | |||||||||||||||||||||||||||||||||
Ivy Pictet Targeted Return Bond Fund | 0.900 | 0.900 | 0.850 | 0.850 | 0.800 | 0.800 | 0.800 | 0.750 | 0.750 | 0.750 | 0.750 | |||||||||||||||||||||||||||||||||
Ivy PineBridge High Yield Fund | 0.625 | 0.600 | 0.550 | 0.500 | 0.500 | 0.500 | 0.500 | 0.500 | 0.490 | 0.490 | 0.480 |
For Funds managed solely by IICO, IICO has voluntarily agreed to waive a Fund’s management fee on any day that the Fund’s net assets are less than $25 million, subject to IICO’s right to change or modify this waiver. See Expense Reimbursements and/or Waivers below for amounts waived during the year ended September 30, 2020.
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IICO has entered into Subadvisory Agreements with the following entities on behalf of the Funds:
Under an agreement between IICO and Apollo Credit Management, LLC (“Apollo”), Apollo serves as subadviser for the total return strategy of each of the Ivy Apollo Multi-Asset Income Fund and Ivy Apollo Strategic Income Fund. Under an agreement between IICO and LaSalle Investment Management Securities, LLC (“LaSalle”), LaSalle serves as subadviser for the global real estate strategy of the Ivy Apollo Multi-Asset Income Fund. Under an agreement between IICO and Pictet Asset Management Limited (“Pictet UK”) and Pictet Asset Management (Singapore) PTE Ltd. (“Pictet Singapore,” and collectively with Pictet UK, “Pictet”), Pictet serves as subadvisor to Ivy Pictet Emerging Markets Local Currency Debt Fund. Under an agreement between IICO and Mackenzie Investments Europe Limited (“Mackenzie Europe”), Mackenzie Europe serves as subadviser for the Ivy International Small Cap Fund. Under an agreement between IICO and Pictet Asset Management SA (“Pictet AM CH”), Pictet AM CH serves as subadvisor to Ivy Pictet Targeted Return Bond Fund. Under an agreement between IICO and PineBridge Investments LLC (“PineBridge”), PineBridge serves as subadvisor to Ivy PineBridge High Yield Fund. Each subadviser makes investment decisions in accordance with the Fund’s investment objectives, policies and restrictions under the supervision of IICO and the oversight of the Board. IICO pays all applicable costs of the subadvisers.
Independent Trustees and Chief Compliance Officer Fees. Fees paid to the Independent Trustees can be paid in cash or deferred to a later date, at the election of the Trustees according to the Deferred Fee Agreement entered into between the Trust and the Trustee(s). Each Fund records its portion of the deferred fees as a liability on the Statement of Assets and Liabilities. All fees paid in cash plus any appreciation (depreciation) in the underlying deferred plan are shown on the Statement of Operations. Additionally, fees paid to the Chief Compliance Officer of the Funds are shown on the Statement of Operations.
Accounting Services Fees. The Trust has an Accounting and Administrative Services Agreement with WRSCO, doing business as WI Services Company (“WISC”). Under the agreement, WISC acts as the agent in providing bookkeeping and accounting services and assistance to the Trust, including maintenance of Fund records, pricing of Fund shares and preparation of certain shareholder reports. For these services, each Fund pays WISC a monthly fee of one-twelfth of the annual fee based on the average net asset levels shown in the following table:
(M - Millions) | $0 to $10M | $10 to $25M | $25 to $50M | $50 to $100M | $100 to $200M | $200 to $350M | $350 to $550M | $550 to $750M | $750 to $1,000M | Over $1,000M | ||||||||||||||||||||||||||||||
Annual Fee Rate | $ | 0.00 | $ | 11.50 | $ | 23.10 | $ | 35.50 | $ | 48.40 | $ | 63.20 | $ | 82.50 | $ | 96.30 | $ | 121.60 | $ | 148.50 |
In addition, for each class of shares in excess of one, each Fund pays WISC a monthly per-class fee equal to 2.5% of the monthly accounting services base fee.
Each Fund also pays WISC a monthly administrative fee at the annual rate of 0.01%, or one basis point, for the first $1 billion of net assets with no fee charged for net assets in excess of $1 billion. This fee is voluntarily waived by WISC until a Fund’s net assets are at least $10 million and is included in “Accounting services fee” on the Statement of Operations.
Shareholder Servicing. General. Under the Shareholder Servicing Agreement between the Trust and WISC, with respect to Class A, Class B, Class C and Class E shares, for each shareholder account that was in existence at any time during the prior month, each Fund pays a monthly fee that ranges from $1.5042 to $1.6958 per account; however, WISC has agreed to reduce that fee if the number of total shareholder accounts within the Complex (InvestEd Portfolios and Ivy Funds) reaches certain levels. For Class R shares, each Fund pays a monthly fee equal to one-twelfth of 0.25 of 1% of the average daily net assets of the class for the preceding month. For Class I and Class Y shares, each Fund pays a monthly fee equal to one-twelfth of 0.15 of 1% of the average daily net assets of the class for the preceding month. For Class N shares, each Fund pays WISC a monthly fee equal to one-twelfth of 0.01 of 1% of the average daily net assets of the class for the preceding month. Each Fund also reimburses WISC for certain out-of-pocket costs for all classes.
Networked accounts. For certain networked accounts (that is, those accounts whose Fund shares are purchased through certain financial intermediaries), WISC has agreed to reduce its per account fees charged to the Funds to $0.50 per month per shareholder account. Additional fees may be paid by the Funds to those intermediaries. The Fund will reimburse WISC for such costs if the annual rate of the third-party per account charges for a Fund are less than or equal to $12.00 per account or an annual fee of 0.14 of 1% that is based on average daily net assets.
Broker accounts. Certain broker-dealers that maintain shareholder accounts with each Fund through an omnibus account provide transfer agent and other shareholder-related services that would otherwise be provided by WISC if the individual accounts that comprise the omnibus account were opened by their beneficial owners directly. Each Fund may pay such broker-dealers a per account fee for each open account within the omnibus account (up to $18.00 per account), or a fixed rate fee (up to an annual fee of 0.20 of 1% that is based on average daily net assets), based on the average daily NAV of the omnibus account (or a combination thereof).
Distribution and Service Plan. Class A and Class E Shares. Under a Distribution and Service Plan adopted by the Trust pursuant to Rule 12b–1 under the 1940 Act (the “Distribution and Service Plan”), each Fund may pay a distribution and/or
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service fee to Ivy Distributors, Inc. (“IDI”) for Class A and Class E shares in an amount not to exceed 0.25% of the Fund’s average annual net assets. The fee is to be paid to compensate IDI for amounts it expends in connection with the distribution of the Class A and Class E shares and/or provision of personal services to Fund shareholders and/or maintenance of shareholder accounts of that class.
Class B and Class C Shares. Under the Distribution and Service Plan, each Fund may pay IDI a service fee not to exceed 0.25% and a distribution fee not to exceed 0.75% of the Fund’s average annual net assets for Class B and Class C shares to compensate IDI for its services in connection with the distribution of shares of that class and/or provision of personal services to Class B or Class C shareholders and/or maintenance of shareholder accounts of that class.
Class R Shares. Under the Distribution and Service Plan, each Fund may pay IDI a fee of up to 0.50%, on an annual basis, of the average daily net assets of the Fund’s Class R shares to compensate IDI for, either directly or through third parties, distributing the Class R shares of that Fund, providing personal services to Class R shareholders and/or maintaining Class R shareholder accounts.
Class Y Shares. Under the Distribution and Service Plan, each Fund may pay IDI a fee of up to 0.25%, on an annual basis, of the average daily net assets of the Fund’s Class Y shares to compensate IDI for, either directly or through third parties, distributing the Class Y shares of that Fund, providing personal services to Class Y shareholders and/or maintaining Class Y shareholder accounts.
Sales Charges. As principal underwriter for the Trust’s shares, IDI receives sales commissions (which are not an expense of the Trust) for sales of Class A and Class E shares. A CDSC may be assessed against a shareholder’s redemption amount of Class B, Class C or certain Class A and Class E shares and is paid to IDI. During the year ended September 30, 2020, IDI received the following amounts in sales commissions and CDSCs:
Gross Sales Commissions | CDSC | Commissions Paid(1) | ||||||||||||||||||||||
Class A | Class B | Class C | Class E | |||||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund | $ | 96 | $ | — | * | N/A | $ | 2 | N/A | $ | 75 | |||||||||||||
Ivy Apollo Strategic Income Fund | 76 | — | * | N/A | 1 | N/A | 58 | |||||||||||||||||
Ivy California Municipal High Income Fund | 23 | — | N/A | — | * | N/A | 18 | |||||||||||||||||
Ivy Cash Management Fund | — | 6 | $— | 1 | N/A | 245,886 | ||||||||||||||||||
Ivy Corporate Bond Fund | 195 | — | * | — | * | — | * | $— | 165 | |||||||||||||||
Ivy Crossover Credit Fund | 12 | — | * | N/A | — | — | 12 | |||||||||||||||||
Ivy Government Securities Fund | 59 | — | — | * | — | * | — | 60 | ||||||||||||||||
Ivy International Small Cap Fund | 9 | — | * | N/A | — | * | N/A | 7 | ||||||||||||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | 1 | — | N/A | — | * | — | 1 | |||||||||||||||||
Ivy Pictet Targeted Return Bond Fund | 15 | — | * | N/A | — | * | N/A | 12 | ||||||||||||||||
Ivy PineBridge High Yield Fund | 18 | — | * | N/A | N/A | N/A | 11 |
* | Not shown due to rounding. |
(1) | IDI reallowed/paid this portion of the sales charge to financial advisors and selling broker-dealers. |
Expense Reimbursements and/or Waivers. IICO, the Funds’ investment manager, IDI, the Funds’ distributor, and/or Waddell & Reed Services Company, doing business as WISC, the Funds’ transfer agent, have contractually agreed to reimburse sufficient management fees, 12b-1 fees and/or shareholder servicing fees to cap the total annual ordinary fund operating expenses (which would exclude interest, taxes, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses, if any). Fund and class expense limitations and related waivers/reimbursements for the year ended September 30, 2020 were as follows:
Fund Name | Share Class Name | Type of Expense Limit | Commencement Date | End Date | Expense Limit | Amount of Expense Waiver/ Reimbursement | Expense Reduced | ||||||||||
Ivy Apollo Multi-Asset Income Fund | All Classes | Contractual | 10-1-2015 | 1-31-2021 | N/A | $ | 283 | (1) | Investment Management Fee | ||||||||
Class A | Contractual | 10-1-2015 | 1-31-2021 | 1.28%(2) | $ | — | N/A | ||||||||||
Class C | Contractual | 10-1-2015 | 1-31-2021 | 2.16%(3) | $ | — | N/A | ||||||||||
Class I | Contractual | 10-1-2015 | 1-31-2021 | 0.75% | $ | 458 | Shareholder Servicing | ||||||||||
Class N | Contractual | 10-1-2015 | 1-31-2021 | 0.75% | $ | 1 | Shareholder Servicing | ||||||||||
Class N | Contractual | 10-1-2015 | 1-31-2021 | Not to exceed Class I | $ | — | N/A | ||||||||||
Class Y | Contractual | 10-1-2015 | 1-31-2021 | 1.25% | $ | — | N/A | ||||||||||
Class Y | Contractual | 10-1-2015 | 1-31-2021 | Not to exceed Class A | $ | — | N/A |
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Fund Name | Share Class Name | Type of Expense Limit | Commencement Date | End Date | Expense Limit | Amount of Expense Waiver/ Reimbursement | Expense Reduced | ||||||||||
Ivy Apollo Strategic Income Fund | All Classes | Contractual | 10-1-2015 | 1-31-2021 | N/A | $ | 538 | (1) | Investment Management Fee | ||||||||
Class A | Contractual | 10-1-2015 | 1-31-2021 | 1.14%(4) | $ | — | N/A | ||||||||||
Class C | Contractual | 10-1-2015 | 1-31-2021 | 1.82%(5) | $ | 7 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Class I | Contractual | 10-1-2015 | 1-31-2021 | 0.67% | $ | 471 | Shareholder Servicing | ||||||||||
Class N | Contractual | 10-1-2015 | 1-31-2021 | 0.67% | $ | 4 | Shareholder Servicing | ||||||||||
Class N | Contractual | 10-1-2015 | 1-31-2021 | Not to exceed Class I | $ | — | N/A | ||||||||||
Class Y | Contractual | 10-1-2015 | 1-31-2021 | 1.10% | $ | — | N/A | ||||||||||
Class Y | Contractual | 10-1-2015 | 1-31-2021 | Not to exceed Class A | $ | 2 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Ivy California Municipal High Income Fund | All Classes | Contractual | 10-3-2016 | 1-31-2021 | N/A | $ | 119 | (6) | Investment Management Fee | ||||||||
Class A | Contractual | 10-3-2016 | 1-31-2021 | 0.80% | $ | 14 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Class I | Contractual | 10-3-2016 | 1-31-2021 | 0.60% | $ | 22 | Shareholder Servicing | ||||||||||
Class Y | Contractual | 10-3-2016 | 1-31-2021 | Not to exceed Class A | $ | 3 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Ivy Cash Management Fund | Class A | Voluntary | N/A | N/A | To maintain minimum yield(16) | $ | 726 | 12b-1 Fees and/or Shareholder Servicing | |||||||||
Class B | Contractual | N/A | N/A | To maintain minimum yield(16) | $ | 2 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Class C | Contractual | N/A | N/A | To maintain minimum yield(16) | $ | 10 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Ivy Corporate Bond Fund | Class N | Contractual | 10-1-2015 | 1-31-2021 | Not to exceed Class I | $ | — | N/A | |||||||||
Class Y | Contractual | 10-16-2017 | 1-31-2021 | Not to exceed Class A | $ | — | N/A | ||||||||||
Ivy Crossover Credit Fund | All Classes | Contractual | 4-3-2017 | 1-31-2021 | N/A | $ | 118 | (7) | Investment Management Fee | ||||||||
Class A | Contractual | 4-3-2017 | 1-31-2021 | 0.90% | $ | 10 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Class I | Contractual | 4-3-2017 | 1-31-2021 | 0.65% | $ | 54 | Shareholder Servicing | ||||||||||
Class N | Contractual | 4-3-2017 | 1-31-2021 | 0.65% | $ | — | * | Shareholder Servicing | |||||||||
Class N | Contractual | 10-1-2015 | 1-31-2021 | Not to exceed Class I | $ | — | N/A | ||||||||||
Class Y | Contractual | 4-3-2017 | 1-31-2021 | Not to exceed Class A | $ | 2 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Ivy Government Securities Fund | Class A | Contractual | 10-16-2017 | 1-31-2021 | 0.97%(8) | $ | 57 | 12b-1 Fees and/or Shareholder Servicing | |||||||||
Class B | Contractual | 10-16-2017 | 1-31-2021 | 2.02%(9) | $ | 1 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Class C | Contractual | 10-16-2017 | 1-31-2021 | 1.85%(10) | $ | 1 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Class I | Contractual | 10-16-2017 | 1-31-2021 | 0.72% | $ | 57 | Shareholder Servicing | ||||||||||
Class N | Contractual | 10-1-2015 | 1-31-2021 | Not to exceed Class I | $ | — | N/A |
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Fund Name | Share Class Name | Type of Expense Limit | Commencement Date | End Date | Expense Limit | Amount of Expense Waiver/ Reimbursement | Expense Reduced | ||||||||||
Ivy International Small Cap Fund | All Classes | Contractual | 1-10-2017 | 1-31-2021 | N/A | $ | 320 | (7) | Investment Management Fee | ||||||||
Class A | Contractual | 1-10-2017 | 1-31-2021 | 1.44%(11) | $ | — | N/A | ||||||||||
Class I | Contractual | 1-10-2017 | 1-31-2021 | 0.99% | $ | 139 | Shareholder Servicing | ||||||||||
Class N | Contractual | 7-31-2018 | 1-31-2021 | 0.99% | $ | 7 | Shareholder Servicing | ||||||||||
Class N | Contractual | 10-1-2015 | 1-31-2021 | Not to exceed Class I | $ | — | N/A | ||||||||||
Class Y | Contractual | 1-10-2017 | 1-31-2021 | Not to exceed Class A | $ | — | * | 12b-1 Fees and/or Shareholder Servicing | |||||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | All Classes | Contractual | 4-30-2014 | 1-31-2021 | N/A | $ | 333 | (12) | Investment Management Fee | ||||||||
Class A | Contractual | 4-30-2014 | 1-31-2021 | 1.23%(13) | $ | — | N/A | ||||||||||
Class C | Contractual | 4-30-2014 | 1-31-2021 | 2.00% | $ | — | N/A | ||||||||||
Class I | Contractual | 4-30-2014 | 1-31-2021 | 0.80% | $ | 124 | Shareholder Servicing | ||||||||||
Class N | Contractual | 1-30-2015 | 1-31-2021 | 0.80% | $ | 3 | Shareholder Servicing | ||||||||||
Class N | Contractual | 10-1-2015 | 1-31-2021 | Not to exceed Class I | $ | — | N/A | ||||||||||
Class Y | Contractual | 4-30-2014 | 1-31-2021 | 1.25% | $ | — | N/A | ||||||||||
Class Y | Contractual | 4-30-2014 | 1-31-2021 | Not to exceed Class A | $ | 1 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Ivy Pictet Targeted Return Bond Fund | All Classes | Contractual | 1-4-2016 | 1-31-2021 | N/A | $ | 391 | (1) | Investment Management Fee | ||||||||
Class A | Contractual | 1-4-2016 | 1-31-2021 | 1.37%(14) | $ | — | N/A | ||||||||||
Class C | Contractual | 1-4-2016 | 1-31-2021 | 2.08% | $ | — | N/A | ||||||||||
Class I | Contractual | 1-4-2016 | 1-31-2021 | 1.00% | $ | 53 | Shareholder Servicing | ||||||||||
Class N | Contractual | 1-4-2016 | 1-31-2021 | 0.87% | $ | 6 | Shareholder Servicing | ||||||||||
Class N | Contractual | 10-1-2015 | 1-31-2021 | Not to exceed Class I | $ | — | N/A | ||||||||||
Class Y | Contractual | 1-4-2016 | 1-31-2021 | 1.25% | $ | 2 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Class Y | Contractual | 1-4-2016 | 1-31-2021 | Not to exceed Class A | $ | — | N/A | ||||||||||
Ivy PineBridge High Yield Fund | All Classes | Contractual | 5-18-2017 | 1-31-2021 | N/A | $ | 116 | (15) | Investment Management Fee | ||||||||
Class A | Contractual | 5-18-2017 | 1-31-2021 | 0.99%(8) | $ | 8 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Class I | Contractual | 5-18-2017 | 1-31-2021 | 0.72% | $ | 116 | Shareholder Servicing | ||||||||||
Class N | Contractual | 5-18-2017 | 1-31-2021 | 0.72% | $ | 4 | Shareholder Servicing | ||||||||||
Class N | Contractual | 10-1-2015 | 1-31-2021 | Not to exceed Class I | $ | — | N/A |
* | Not shown due to rounding. |
(1) | Due to Class A, Class C, Class I, Class N and/or Class Y contractual expense limits, investment management fees were waived for all share classes. |
(2) | Reflects the lower expense limit which went into effect January 1, 2020. Prior to January 1, 2020, the expense limit in effect was 1.30%. |
(3) | Reflects the lower expense limit which went into effect January 1, 2020. Prior to January 1, 2020, the expense limit in effect was 2.17%. |
(4) | Reflects the lower expense limit which went into effect January 1, 2020. Prior to January 1, 2020, the expense limit in effect was 1.15%. |
(5) | Reflects the lower expense limit which went into effect January 1, 2020. Prior to January 1, 2020, the expense limit in effect was 1.85%. |
(6) | Due to Class A, Class I and/or Class Y contractual expense limits, investment management fees were waived for all share classes. |
(7) | Due to Class A, Class I, Class N and/or Class Y contractual expense limits, investment management fees were waived for all share classes. |
(8) | Reflects the lower expense limit which went into effect January 1, 2020. Prior to January 1, 2020, the expense limit in effect was 1.00%. |
(9) | Reflects the lower expense limit which went into effect January 1, 2020. Prior to January 1, 2020, the expense limit in effect was 2.13%. |
(10) | Reflects the lower expense limit which went into effect January 1, 2020. Prior to January 1, 2020, the expense limit in effect was 1.88%. |
(11) | Reflects the lower expense limit which went into effect January 1, 2020. Prior to January 1, 2020, the expense limit in effect was 1.45%. |
(12) | Due to Class A, Class C, Class E, Class I, Class N, Class R and/or Class Y contractual expense limits, investment management fees were waived for all share classes. |
(13) | Reflects the lower expense limit which went into effect January 1, 2020. Prior to January 1, 2020, the expense limit in effect was 1.25%. |
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(14) | Reflects the lower expense limit which went into effect January 1, 2020. Prior to January 1, 2020, the expense limit in effect was 1.38%. |
(15) | Due to Class A, Class I and/or Class N contractual expense limits, investment management fees were waived for all share classes. |
(16) | Minimum yield was 0.02%. |
Any amounts due to the Funds as a reimbursement but not paid as of September 30, 2020 are shown as a receivable from affiliates on the Statement of Assets and Liabilities.
6. | INTERFUND LENDING PROGRAM |
Pursuant to an exemptive order issued by the SEC (“Order”), the Ivy Funds, Ivy Variable Insurance Portfolios and InvestEd Portfolios (collectively, the “Funds” only for purposes of this footnote 6) have the ability to lend money to, and borrow money from, each other pursuant to a master interfund lending agreement (“Interfund Lending Program”). Under the Interfund Lending Program, the Funds may lend or borrow money for temporary purposes directly to or from one another (each an “Interfund Loan”), subject to meeting the conditions of the Order. The interest rate to be charged on an Interfund Loan is the average of the overnight repurchase agreement rate and the short-term bank loan rate. The Funds made no Interfund Loans under the Interfund Lending Program during the year ended September 30, 2020.
7. | INVESTMENT SECURITIES TRANSACTIONS ($ amounts in thousands) |
The cost of purchases and the proceeds from maturities and sales of investment securities (excluding short-term securities) for the year ended September 30, 2020, were as follows:
Purchases | Sales | |||||||||||||||
U.S. Government | Other Issuers | U.S. Government | Other Issuers | |||||||||||||
Ivy Apollo Multi-Asset Income Fund | $ | — | $ | 261,749 | $ | — | $ | 332,919 | ||||||||
Ivy Apollo Strategic Income Fund | 27,352 | 218,202 | 59,289 | 253,821 | ||||||||||||
Ivy California Municipal High Income Fund | — | 7,388 | — | 2,912 | ||||||||||||
Ivy Cash Management Fund | — | — | — | — | ||||||||||||
Ivy Corporate Bond Fund | 9,348 | 707,055 | 13,611 | 791,668 | ||||||||||||
Ivy Crossover Credit Fund | 271 | 90,231 | — | 77,118 | ||||||||||||
Ivy Government Securities Fund | 257,450 | — | 141,127 | — | ||||||||||||
Ivy International Small Cap Fund | — | 117,706 | — | 127,481 | ||||||||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | — | 108,362 | — | 154,972 | ||||||||||||
Ivy Pictet Targeted Return Bond Fund | 62,808 | 136,038 | 59,515 | 164,272 | ||||||||||||
Ivy PineBridge High Yield Fund | — | 110,666 | — | 83,715 |
8. | LOANS OF PORTFOLIO SECURITIES ($ amounts in thousands) |
Each Fund may lend their portfolio securities only to borrowers that are approved by the Fund’s securities lending agent, The Bank of New York Mellon (“BNYM”). The borrower pledges and maintains with the Fund collateral consisting of cash or securities issued or guaranteed by the U.S. government. The collateral received by the Fund is required to have a value of at least 102% of the market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% of the market value for all other securities, except in the case of loans of foreign securities which are denominated and payable in U.S. dollars, in which case the collateral is required to have a value of at least 102% of the market value of the loaned securities. The market value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Fund and any excess collateral is returned by the Fund on the next business day. During the term of the loan, the Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
Cash received as collateral for securities on loan may be reinvested in the Dreyfus Institutional Preferred Government Money Market Fund — Institutional Shares or certain other registered money market funds and are disclosed in the Fund’s Schedule of Investments and are reflected in the Statement of Assets and Liabilities as cash collateral on securities loaned at value. Non-cash collateral, in the form of securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, is not disclosed in the Fund’s Statement of Assets and Liabilities as it is held by the lending agent on behalf of the Fund and the Fund does not have the ability to re-hypothecate these securities. The securities on loan for each Fund are also disclosed in its Schedule of Investments. The total value of any securities on loan as of September 30, 2020 and the total value of the related cash collateral are disclosed in the Statement of Assets and Liabilities. Income earned by the Funds from securities lending activity is disclosed in the Statements of Operations.
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The following is a summary of each Fund’s securities lending positions and related cash and non-cash collateral received as of September 30, 2020:
Fund | Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | ||||||||||||
Ivy Apollo Multi-Asset Income Fund | $ | 6,833 | $ | 7,595 | $ | — | $ | 7,595 | ||||||||
Ivy Apollo Strategic Income Fund | 3,613 | 3,696 | — | 3,696 | ||||||||||||
Ivy Corporate Bond Fund | 5,198 | 3,358 | 1,971 | 5,329 | ||||||||||||
Ivy Crossover Credit Fund | 196 | — | 201 | 201 | ||||||||||||
Ivy International Small Cap Fund | 2,625 | 2,852 | 125 | 2,977 | ||||||||||||
Ivy Pictet Targeted Return Bond Fund | 2,061 | 2,118 | — | 2,118 | ||||||||||||
Ivy PineBridge High Yield Fund | 2,317 | 2,369 | — | 2,369 |
The cash collateral received amounts presented in the table above are transactions accounted for as secured borrowings and have an overnight and continuous maturity. The proceeds from the cash collateral received is invested in registered money market funds.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds benefit from a borrower indemnity provided by BNYM. BNYM’s indemnity allows for full replacement of securities lent wherein BNYM will purchase the unreturned loaned securities on the open market by applying the proceeds of the collateral or to the extent such proceeds are insufficient or the collateral is unavailable, BNYM will purchase the unreturned loan securities at BNYM’s expense. However, the Fund could suffer a loss if the value of the investments purchased with cash collateral falls below the value of the cash collateral received.
9. | BORROWINGS |
On July 1, 2019 the Trust, on behalf of the Ivy Apollo Strategic Income Fund, Ivy California Municipal High Income Fund and Ivy PineBridge High Yield Fund, along with certain other funds managed by the investment adviser (“Participating Funds”), entered into a 364-day senior unsecured revolving credit facility with Bank of New York Mellon and a group of financial institutions to be utilized to temporarily finance the repurchase or redemption of Fund shares and for other temporary or emergency purposes. The Participating Funds can borrow up to an aggregate commitment amount of $130 million at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit facility has the following terms: a commitment fee of 0.15% per annum of the daily amount of unused commitment amounts and interest at a rate equal to the higher of (a) the federal funds effective rate (but not below 0.0%) plus 1.00% per annum or (b) the one-month LIBOR rate (but not below 0.0%) plus 1.00% per annum on amounts borrowed. The agreement expires in June 2021 unless extended or renewed. As of September 30, 2020, if applicable, any outstanding borrowings would be disclosed as a payable for borrowing on the Statement of Assets and Liabilities. Commitment and interest fees, if any, paid by the Participating Funds are disclosed as part of commitment and interest expense for borrowing on the Statement of Operations. During the year ended September 30, 2020, the Participating Funds did not borrow under the credit facility.
2020 | ANNUAL REPORT | 179 |
Table of Contents
10. | CAPITAL SHARE TRANSACTIONS (All amounts in thousands) |
The Trust has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class of each Fund. Transactions in shares of beneficial interest were as follows:
Ivy Apollo Multi-Asset Income Fund | Ivy Apollo Strategic Income Fund | |||||||||||||||||||||||||||||||
Year ended 9-30-20 | Year ended 9-30-19 | Year ended 9-30-20 | Year ended 9-30-19 | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||
Class A | 921 | $ | 9,350 | 1,869 | $ | 19,454 | 1,689 | $ | 16,487 | 2,738 | $ | 27,038 | ||||||||||||||||||||
Class C | 223 | 2,282 | 377 | 3,856 | 202 | 1,989 | 157 | 1,548 | ||||||||||||||||||||||||
Class I | 8,297 | 82,422 | 8,597 | 89,889 | 5,460 | 53,071 | 9,004 | 89,007 | ||||||||||||||||||||||||
Class N | 39 | 393 | 84 | 876 | 646 | 6,222 | 836 | 8,338 | ||||||||||||||||||||||||
Class Y | 2 | 14 | 9 | 90 | 18 | 176 | 53 | 529 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||
Class A | 564 | 5,705 | 878 | 8,909 | 370 | 3,607 | 415 | 4,076 | ||||||||||||||||||||||||
Class C | 58 | 593 | 95 | 965 | 19 | 187 | 21 | 211 | ||||||||||||||||||||||||
Class I | 1,595 | 16,100 | 2,406 | 24,454 | 1,389 | 13,554 | 1,589 | 15,626 | ||||||||||||||||||||||||
Class N | 9 | 92 | 12 | 124 | 172 | 1,689 | 258 | 2,533 | ||||||||||||||||||||||||
Class Y | 3 | 34 | 17 | 167 | 17 | 164 | 20 | 198 | ||||||||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||
Class A | (3,793 | ) | (36,761 | ) | (3,343 | ) | (34,907 | ) | (2,830 | ) | (27,321 | ) | (2,935 | ) | (28,994 | ) | ||||||||||||||||
Class C | (615 | ) | (5,908 | ) | (550 | ) | (5,714 | ) | (205 | ) | (1,960 | ) | (275 | ) | (2,723 | ) | ||||||||||||||||
Class I | (17,667 | ) | (174,316 | ) | (12,826 | ) | (134,229 | ) | (12,562 | ) | (120,897 | ) | (10,473 | ) | (103,451 | ) | ||||||||||||||||
Class N | (97 | ) | (937 | ) | (67 | ) | (699 | ) | (3,368 | ) | (33,373 | ) | (1,670 | ) | (16,553 | ) | ||||||||||||||||
Class Y | (86 | ) | (837 | ) | (179 | ) | (1,888 | ) | (64 | ) | (624 | ) | (207 | ) | (2,037 | ) | ||||||||||||||||
Net decrease | (10,547 | ) | $ | (101,774 | ) | (2,621 | ) | $ | (28,653 | ) | (9,047 | ) | $ | (87,029 | ) | (469 | ) | $ | (4,654 | ) | ||||||||||||
Ivy California Municipal High Income Fund | Ivy Cash Management Fund | |||||||||||||||||||||||||||||||
Year ended 9-30-20 | Year ended 9-30-19 | Year ended 9-30-20 | Year ended 9-30-19 | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||
Class A | 425 | $ | 4,312 | 484 | $ | 4,956 | 3,063,355 | $ | 3,063,355 | 3,312,331 | $ | 3,312,331 | ||||||||||||||||||||
Class B | N/A | N/A | N/A | N/A | 88 | 88 | 140 | 140 | ||||||||||||||||||||||||
Class C | 11 | 112 | 11 | 113 | 3,711 | 3,711 | 2,286 | 2,286 | ||||||||||||||||||||||||
Class I | 322 | 3,368 | 281 | 2,862 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class Y | — | * | 4 | — | * | — | * | N/A | N/A | N/A | N/A | |||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||
Class A | 16 | 172 | 16 | 164 | 8,999 | 8,999 | 23,665 | 23,665 | ||||||||||||||||||||||||
Class B | N/A | N/A | N/A | N/A | 1 | 1 | 4 | 4 | ||||||||||||||||||||||||
Class C | 1 | 9 | 1 | 13 | 2 | 2 | 12 | 12 | ||||||||||||||||||||||||
Class I | 19 | 198 | 22 | 221 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class Y | — | * | 5 | 1 | 6 | N/A | N/A | N/A | N/A | |||||||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||
Class A | (238 | ) | (2,487 | ) | (312 | ) | (3,110 | ) | (2,757,204 | ) | (2,757,204 | ) | (3,360,178 | ) | (3,360,178 | ) | ||||||||||||||||
Class B | N/A | N/A | N/A | N/A | (237 | ) | (237 | ) | (222 | ) | (222 | ) | ||||||||||||||||||||
Class C | (24 | ) | (258 | ) | (6 | ) | (59 | ) | (2,670 | ) | (2,670 | ) | (1,853 | ) | (1,853 | ) | ||||||||||||||||
Class I | (333 | ) | (3,464 | ) | (212 | ) | (2,152 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||
Class Y | — | * | (5 | ) | — | * | (4 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||
Net increase (decrease) | 199 | $ | 1,966 | 286 | $ | 3,010 | 316,045 | $ | 316,045 | (23,815 | ) | $ | (23,815 | ) |
* | Not shown due to rounding. |
180 | ANNUAL REPORT | 2020 |
Table of Contents
Ivy Corporate Bond Fund | Ivy Crossover Credit Fund | |||||||||||||||||||||||||||||||
Year ended 9-30-20 | Year ended 9-30-19 | Year ended 9-30-20 | Year ended 9-30-19 | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||
Class A | 7,031 | $ | 46,987 | 5,449 | $ | 33,920 | 432 | $ | 4,708 | 70 | $ | 708 | ||||||||||||||||||||
Class B | 3 | 21 | 9 | 57 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class C | 206 | 1,390 | 144 | 904 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class E(1) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Class I | 10,551 | 70,281 | 12,023 | 74,388 | 1,513 | 16,178 | 791 | 8,010 | ||||||||||||||||||||||||
Class N | 5,914 | 39,176 | 3,310 | 20,553 | 192 | 2,177 | — | — | ||||||||||||||||||||||||
Class R(2) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Class Y | 1 | 10 | — | — | — | * | 2 | — | * | 3 | ||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||
Class A | 1,207 | 7,986 | 1,414 | 8,642 | 8 | 84 | 7 | 62 | ||||||||||||||||||||||||
Class B | — | * | 3 | 1 | 6 | N/A | N/A | N/A | N/A | |||||||||||||||||||||||
Class C | 9 | 58 | 11 | 65 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class E(1) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Class I | 1,964 | 12,987 | 2,458 | 15,034 | 49 | 523 | 38 | 370 | ||||||||||||||||||||||||
Class N | 209 | 1,387 | 191 | 1,172 | — | * | 4 | — | — | |||||||||||||||||||||||
Class R(2) | — | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Class Y | — | * | — | * | — | — | — | * | — | * | — | * | — | * | ||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||
Class A | (9,951 | ) | (65,685 | ) | (14,063 | ) | (86,623 | ) | (89 | ) | (930 | ) | (91 | ) | (883 | ) | ||||||||||||||||
Class B | (50 | ) | (327 | ) | (58 | ) | (357 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||
Class C | (219 | ) | (1,449 | ) | (224 | ) | (1,379 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||
Class E(1) | (40 | ) | (271 | ) | — | — | (50 | ) | (555 | ) | — | — | ||||||||||||||||||||
Class I | (26,085 | ) | (172,750 | ) | (24,955 | ) | (153,888 | ) | (729 | ) | (7,740 | ) | (545 | ) | (5,323 | ) | ||||||||||||||||
Class N | (4,112 | ) | (27,538 | ) | (4,320 | ) | (26,514 | ) | (43 | ) | (493 | ) | — | — | ||||||||||||||||||
Class R(2) | (40 | ) | (272 | ) | — | — | (50 | ) | (554 | ) | — | — | ||||||||||||||||||||
Class Y | (2 | ) | (10 | ) | — | — | — | * | (2 | ) | (4 | ) | (41 | ) | ||||||||||||||||||
Net increase (decrease) | (13,404 | ) | $ | (88,016 | ) | (18,610 | ) | $ | (114,020 | ) | 1,233 | $ | 13,402 | 266 | $ | 2,906 |
* | Not shown due to rounding. |
(1) | Effective June 19, 2020, Ivy Corporate Bond Fund and Ivy Crossover Credit Fund liquidated Class E. |
(2) | Effective June 19, 2020, Ivy Corporate Bond Fund and Ivy Crossover Credit Fund liquidated Class R. |
2020 | ANNUAL REPORT | 181 |
Table of Contents
Ivy Government Securities Fund | Ivy International Small Cap Fund | |||||||||||||||||||||||||||||||
Year ended 9-30-20 | Year ended 9-30-19 | Year ended 9-30-20 | Year ended 9-30-19 | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||
Class A | 7,512 | $ | 43,208 | 1,526 | $ | 8,271 | 110 | $ | 1,275 | 133 | $ | 1,452 | ||||||||||||||||||||
Class B | 15 | 84 | 12 | 65 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class C | 278 | 1,606 | 131 | 697 | 9 | 101 | 22 | 237 | ||||||||||||||||||||||||
Class E(1) | — | — | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class I | 18,240 | 103,460 | 5,279 | 28,366 | 1,724 | 18,389 | 2,743 | 30,158 | ||||||||||||||||||||||||
Class N | 25,191 | 144,353 | 3,013 | 16,081 | 2,102 | 22,986 | 1,367 | 15,880 | ||||||||||||||||||||||||
Class R(2) | — | — | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class Y(3) | — | * | 2 | — | — | 5 | 61 | 42 | 466 | |||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||
Class A | 170 | 969 | 191 | 1,033 | 9 | 111 | 9 | 91 | ||||||||||||||||||||||||
Class B | — | * | — | * | — | * | 1 | N/A | N/A | N/A | N/A | |||||||||||||||||||||
Class C | 1 | 5 | 1 | 7 | 1 | 6 | — | * | 5 | |||||||||||||||||||||||
Class E(1) | — | — | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class I | 314 | 1,794 | 349 | 1,883 | 104 | 1,261 | 79 | 823 | ||||||||||||||||||||||||
Class N | 386 | 2,204 | 565 | 3,046 | 129 | 1,558 | 131 | 1,357 | ||||||||||||||||||||||||
Class R(2) | — | — | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class Y(3) | — | — | — | — | 1 | 14 | 3 | 32 | ||||||||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||
Class A | (3,154 | ) | (18,027 | ) | (3,067 | ) | (16,504 | ) | (195 | ) | (2,119 | ) | (209 | ) | (2,318 | ) | ||||||||||||||||
Class B | (29 | ) | (163 | ) | (32 | ) | (170 | ) | N/A | N/A | N/A | N/A | ||||||||||||||||||||
Class C | (121 | ) | (690 | ) | (97 | ) | (526 | ) | (36 | ) | (372 | ) | (35 | ) | (380 | ) | ||||||||||||||||
Class E(1) | (46 | ) | (266 | ) | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||
Class I | (10,838 | ) | (62,234 | ) | (12,835 | ) | (68,716 | ) | (1,846 | ) | (20,534 | ) | (1,923 | ) | (21,070 | ) | ||||||||||||||||
Class N | (17,422 | ) | (100,466 | ) | (16,284 | ) | (87,641 | ) | (3,176 | ) | (34,891 | ) | (1,736 | ) | (19,144 | ) | ||||||||||||||||
Class R(2) | (46 | ) | (266 | ) | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||
Class Y(3) | (46 | ) | (269 | ) | — | — | (66 | ) | (796 | ) | (305 | ) | (3,294 | ) | ||||||||||||||||||
Net increase (decrease) | 20,405 | $ | 115,304 | (21,248 | ) | $ | (114,107 | ) | (1,125 | ) | $ | (12,950 | ) | 321 | $ | 4,295 |
* | Not shown due to rounding. |
(1) | Effective June 19, 2020, Ivy Government Securities Fund liquidated Class E. |
(2) | Effective June 19, 2020, Ivy Government Securities Fund liquidated Class R. |
(3) | Effective June 19, 2020, Ivy Government Securities Fund liquidated Class Y. |
182 | ANNUAL REPORT | 2020 |
Table of Contents
Ivy Pictet Emerging Markets Local Currency Debt Fund | Ivy Pictet Targeted Return Bond Fund | |||||||||||||||||||||||||||||||
Year ended 9-30-20 | Year ended 9-30-19 | Year ended 9-30-20 | Year ended 9-30-19 | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||
Class A | 20 | $ | 166 | 88 | $ | 749 | 380 | $ | 3,874 | 545 | $ | 5,431 | ||||||||||||||||||||
Class C | — | * | 3 | 5 | 39 | 54 | 538 | 35 | 339 | |||||||||||||||||||||||
Class E(1) | — | — | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class I | 1,312 | 11,259 | 2,768 | 23,920 | 1,836 | 18,665 | 3,264 | 32,504 | ||||||||||||||||||||||||
Class N | 350 | 3,119 | 447 | 3,742 | 1,399 | 14,165 | 355 | 3,526 | ||||||||||||||||||||||||
Class R(2) | — | — | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class Y | — | * | — | * | 1 | 12 | 1 | 7 | — | * | — | * | ||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||
Class A | 5 | 43 | — | — | 27 | 277 | 64 | 609 | ||||||||||||||||||||||||
Class C | — | * | 2 | — | — | 1 | 8 | 2 | 22 | |||||||||||||||||||||||
Class E(1) | — | — | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class I | 108 | 967 | 22 | 185 | 240 | 2,416 | 650 | 6,210 | ||||||||||||||||||||||||
Class N | 48 | 429 | 12 | 97 | 152 | 1,535 | 438 | 4,191 | ||||||||||||||||||||||||
Class R(2) | — | — | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class Y | — | — | — | — | — | * | — | * | — | * | — | * | ||||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||
Class A | (121 | ) | (1,034 | ) | (515 | ) | (4,399 | ) | (439 | ) | (4,429 | ) | (368 | ) | (3,658 | ) | ||||||||||||||||
Class C | (15 | ) | (123 | ) | (15 | ) | (122 | ) | (21 | ) | (215 | ) | (30 | ) | (295 | ) | ||||||||||||||||
Class E(1) | (200 | ) | (1,686 | ) | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||
Class I | (7,067 | ) | (60,928 | ) | (3,541 | ) | (30,523 | ) | (3,778 | ) | (38,083 | ) | (4,515 | ) | (44,916 | ) | ||||||||||||||||
Class N | (1,937 | ) | (15,762 | ) | (1,632 | ) | (14,182 | ) | (2,822 | ) | (28,478 | ) | (2,833 | ) | (28,393 | ) | ||||||||||||||||
Class R(2) | (200 | ) | (1,663 | ) | — | — | N/A | N/A | N/A | N/A | ||||||||||||||||||||||
Class Y | — | * | — | * | (30 | ) | (274 | ) | — | * | — | * | — | * | — | * | ||||||||||||||||
Net decrease | (7,697 | ) | $ | (65,208 | ) | (2,390 | ) | $ | (20,756 | ) | (2,970 | ) | $ | (29,720 | ) | (2,393 | ) | $ | (24,430 | ) | ||||||||||||
Ivy PineBridge High Yield Fund | ||||||||||||||||||||||||||||||||
Year ended 9-30-20 | Year ended 9-30-19 | |||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: |
| |||||||||||||||||||||||||||||||
Class A | 974 | $ | 9,293 | 403 | $ | 3,943 | ||||||||||||||||||||||||||
Class I | 4,755 | 45,365 | 2,109 | 20,552 | ||||||||||||||||||||||||||||
Class N | 2,269 | 20,788 | 1,452 | 14,304 | ||||||||||||||||||||||||||||
Class R(2) | — | — | — | — | ||||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||
Class A | 31 | 295 | 13 | 126 | ||||||||||||||||||||||||||||
Class I | 267 | 2,557 | 188 | 1,818 | ||||||||||||||||||||||||||||
Class N | 190 | 1,829 | 190 | 1,834 | ||||||||||||||||||||||||||||
Class R(2) | — | — | — | — | ||||||||||||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||
Class A | (451 | ) | (4,234 | ) | (202 | ) | (1,968 | ) | ||||||||||||||||||||||||
Class I | (1,548 | ) | (14,700 | ) | (1,556 | ) | (15,102 | ) | ||||||||||||||||||||||||
Class N | (2,221 | ) | (21,686 | ) | (1,111 | ) | (10,797 | ) | ||||||||||||||||||||||||
Class R(2) | (50 | ) | (478 | ) | — | — | ||||||||||||||||||||||||||
Net increase | 4,216 | $ | 39,029 | 1,486 | $ | 14,710 |
* | Not shown due to rounding. |
(1) | Effective June 19, 2020, Ivy Pictet Emerging Markets Local Currency Debt Fund liquidated Class E. |
(2) | Effective June 19, 2020, Ivy Pictet Emerging Markets Local Currency Debt Fund and Ivy PineBridge High Yield Fund liquidated Class R. |
2020 | ANNUAL REPORT | 183 |
Table of Contents
11. | COMMITMENTS |
Bridge loan commitments may obligate a Fund to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income is included in interest income on the Statement of Operations. At September 30, 2020, there were no outstanding bridge loan commitments.
12. | FEDERAL INCOME TAX MATTERS ($ amounts in thousands) |
For Federal income tax purposes, cost of investments owned at September 30, 2020 and the related unrealized appreciation (depreciation) were as follows:
Fund | Cost of Investments | Gross Appreciation | Gross Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Ivy Apollo Multi-Asset Income Fund | $ | 343,349 | $ | 21,872 | $ | 31,648 | $ | (9,776 | ) | |||||||
Ivy Apollo Strategic Income Fund | 410,497 | 15,956 | 21,472 | (5,516 | ) | |||||||||||
Ivy California Municipal High Income Fund | 32,897 | 1,465 | 88 | 1,377 | ||||||||||||
Ivy Cash Management Fund | 1,576,140 | — | — | — | ||||||||||||
Ivy Corporate Bond Fund | 822,249 | 57,851 | 3,887 | 53,964 | ||||||||||||
Ivy Crossover Credit Fund | 57,424 | 1,930 | 399 | 1,531 | ||||||||||||
Ivy Government Securities Fund | 392,401 | 17,082 | 536 | 16,546 | ||||||||||||
Ivy International Small Cap Fund | 147,243 | 30,529 | 10,571 | 19,958 | ||||||||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | 60,594 | 51,656 | 53,623 | (1,967 | ) | |||||||||||
Ivy Pictet Targeted Return Bond Fund | 186,443 | 99,872 | 96,009 | 3,863 | ||||||||||||
Ivy PineBridge High Yield Fund | 127,477 | 4,470 | 2,883 | 1,587 |
For Federal income tax purposes, the Funds’ undistributed earnings and profit for the year ended September 30, 2020 and the post-October and late-year ordinary activity were as follows:
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Tax Return of Capital | Post- October Capital Losses Deferred | Late-Year Ordinary Losses Deferred | |||||||||||||||
Ivy Apollo Multi-Asset Income Fund | $ | 4,544 | $ | — | $ | — | $ | 7,580 | $ | — | ||||||||||
Ivy Apollo Strategic Income Fund | 2,294 | — | — | — | — | |||||||||||||||
Ivy California Municipal High Income Fund | 6 | — | — | — | — | |||||||||||||||
Ivy Cash Management Fund | 51 | — | — | — | — | |||||||||||||||
Ivy Corporate Bond Fund | 25,472 | 16,132 | — | — | — | |||||||||||||||
Ivy Crossover Credit Fund | 2,813 | 869 | — | — | — | |||||||||||||||
Ivy Government Securities Fund | 100 | — | — | — | — | |||||||||||||||
Ivy International Small Cap Fund | 740 | — | — | — | — | |||||||||||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | 193 | — | — | — | 5,783 | |||||||||||||||
Ivy Pictet Targeted Return Bond Fund | 2,338 | — | — | 1,181 | — | |||||||||||||||
Ivy PineBridge High Yield Fund | 567 | — | — | — | — |
Internal Revenue Code regulations permit each Fund to elect to defer into its next fiscal year capital losses and certain specified ordinary items incurred between each November 1 and the end of its fiscal year. Each Fund is also permitted to defer into its next fiscal certain ordinary losses that are generated between January 1 and the end of its fiscal year.
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The tax character of dividends and distributions paid during the two fiscal years ended September 30, 2020 and 2019 were as follows:
September 30, 2020 | September 30, 2019 | |||||||||||||||
Fund | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | ||||||||||||
Ivy Apollo Multi-Asset Income Fund | $ | 17,698 | $ | 5,609 | $ | 22,822 | $ | 13,511 | ||||||||
Ivy Apollo Strategic Income Fund | 21,166 | — | 23,632 | 1,286 | ||||||||||||
Ivy California Municipal High Income Fund | 671 | — | 741 | — | ||||||||||||
Ivy Cash Management Fund | 9,186 | — | 24,089 | — | ||||||||||||
Ivy Corporate Bond Fund | 22,839 | — | 25,323 | — | ||||||||||||
Ivy Crossover Credit Fund | 1,351 | — | 1,364 | — | ||||||||||||
Ivy Government Securities Fund | 5,056 | — | 6,090 | — | ||||||||||||
Ivy International Small Cap Fund | 3,541 | — | 2,502 | 274 | ||||||||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | 1,597 | — | 284 | — | ||||||||||||
Ivy Pictet Targeted Return Bond Fund | 4,141 | 385 | 11,894 | — | ||||||||||||
Ivy PineBridge High Yield Fund | 5,727 | — | 4,937 | — |
(1) | Includes short-term capital gains distributed, if any. |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Accumulated capital losses represent net capital loss carryovers as of September 30, 2020 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2020, the capital loss carryovers were as follows:
Fund | Short-Term Capital Loss Carryover | Long-Term Capital Loss Carryover | ||||||
Ivy Apollo Multi-Asset Income Fund | $ | — | $ | — | ||||
Ivy Apollo Strategic Income Fund | — | 6,544 | ||||||
Ivy California Municipal High Income Fund | 45 | — | ||||||
Ivy Cash Management Fund | — | — | ||||||
Ivy Corporate Bond Fund | — | — | ||||||
Ivy Crossover Credit Fund | — | — | ||||||
Ivy Government Securities Fund | 3,431 | 29 | ||||||
Ivy International Small Cap Fund | 5,311 | 8,438 | ||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | 434 | 1,605 | ||||||
Ivy Pictet Targeted Return Bond Fund | — | — | ||||||
Ivy PineBridge High Yield Fund | 417 | 2,308 |
Net investment income dividends and capital gains distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. These differences are due to differing treatments for items such as deferral of wash sales, post-October losses, late-year ordinary losses, foreign currency transactions, net operating losses, income from passive foreign investment companies (PFICs) and partnership transactions. At September 30, 2020, the following reclassifications were made:
Fund | Accumulated Earnings Gain (Loss) | Paid-In Capital | ||||||
Ivy Apollo Multi-Asset Income Fund | $ | — | $ | — | ||||
Ivy Apollo Strategic Income Fund | — | — | ||||||
Ivy California Municipal High Income Fund | — | — | ||||||
Ivy Cash Management Fund | — | — | ||||||
Ivy Corporate Bond Fund | — | — | ||||||
Ivy Crossover Credit Fund | — | — | ||||||
Ivy Government Securities Fund | — | — | ||||||
Ivy International Small Cap Fund | — | — | ||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | — | — | ||||||
Ivy Pictet Targeted Return Bond Fund | — | — | ||||||
Ivy PineBridge High Yield Fund | — | — |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | IVY FUNDS |
To the Shareholders and Board of Trustees of Ivy Funds:
Opinion | on the Financial Statements and Financial Highlights |
We have audited the accompanying statements of assets and liabilities of Ivy Apollo Multi-Asset Income Fund, Ivy Apollo Strategic Income Fund, Ivy California Municipal High Income Fund, Ivy Cash Management Fund, Ivy Corporate Bond Fund, Ivy Crossover Credit Fund, Ivy Government Securities Fund, Ivy International Small Cap Fund, Ivy Pictet Emerging Markets Local Currency Debt Fund, Ivy Pictet Targeted Return Bond Fund, and Ivy PineBridge High Yield Fund, each a series of Ivy Funds (the “Funds”), including the schedules of investments, as of September 30, 2020, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the five years in the period then ended for Ivy Cash Management Fund, Ivy Corporate Bond Fund, Ivy Government Securities Fund, and Ivy Pictet Emerging Markets Local Currency Debt Fund; the related statements of operations, changes in net assets, and the financial highlights for the periods indicated in the table below for Ivy Apollo Multi-Asset Income Fund, Ivy Apollo Strategic Income Fund, Ivy California Municipal High Income Fund, Ivy Crossover Credit Fund, Ivy International Small Cap Fund, Ivy Pictet Targeted Return Bond Fund, and Ivy PineBridge High Yield Fund, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of September 30, 2020, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended (or for the period listed in the table below), in conformity with accounting principles generally accepted in the United States of America.
Individual Fund Comprising the Ivy Funds | Statement of Operations | Statements of Changes in Net Assets | Financial Highlights | |||
Ivy Apollo Multi-Asset Income Fund
Ivy Apollo Strategic Income Fund | For the year ended September 30, 2020 | For the years ended September 30, 2020 and 2019 | For the years ended September 30, 2020, 2019, 2018, 2017, and the period from October 1, 2015 (commencement of operations) through September 30, 2016 | |||
Ivy California Municipal High Income Fund | For the year ended September 30, 2020 | For the years ended September 30, 2020 and 2019 | For the years ended September 30, 2020, 2019, 2018, and the period from October 3, 2016 (commencement of operations) through September 30, 2017 | |||
Ivy Crossover Credit Fund | For the year ended September 30, 2020 | For the years ended September 30, 2020 and 2019 | For the years ended September 30, 2020, 2019, 2018, and the period from April 3, 2017 (commencement of operations) through September 30, 2017 | |||
Ivy International Small Cap Fund | For the year ended September 30, 2020 | For the years ended September 30, 2020 and 2019 | For the years ended September 30, 2020, 2019, 2018, and the period from January 10, 2017 (commencement of operations) through September 30, 2017 | |||
Ivy Pictet Targeted Return Bond Fund | For the year ended September 30, 2020 | For the years ended September 30, 2020 and 2019 | For the years ended September 30, 2020, 2019, 2018, 2017, and the period from January 4, 2016 (commencement of operations) through September 30, 2016 | |||
Ivy PineBridge High yield Fund | For the year ended September 30, 2020 | For the years ended September 30, 2020 and 2019 | For the years ended September 30, 2020, 2019, 2018, and the period from May 18, 2017 (commencement of operations) through September 30, 2017 |
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Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of September 30, 2020, by correspondence with the custodian, agent banks, and brokers; when replies were not received from brokers or agent banks, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Kansas City, Missouri
November 24, 2020
We have served as the auditor of one or more Waddell & Reed investment companies since 1997.
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INCOME TAX INFORMATION | IVY FUNDS |
AMOUNTS NOT ROUNDED (UNAUDITED)
The Funds hereby designate the following amounts of dividends paid from net ordinary income as dividends qualifying for the 70% dividends received deduction for corporations or as qualified dividend income for individuals for the tax period ended September 30, 2020:
Dividends Received Deduction for Corporations | Qualified Dividend Income for Individuals | |||||||
Ivy Apollo Multi-Asset Income Fund | $ | 1,905,617 | $ | 4,133,299 | ||||
Ivy Apollo Strategic Income Fund | — | — | ||||||
Ivy California Municipal High Income Fund | — | — | ||||||
Ivy Cash Management Fund | — | — | ||||||
Ivy Corporate Bond Fund | — | — | ||||||
Ivy Crossover Credit Fund | — | — | ||||||
Ivy Government Securities Fund | — | — | ||||||
Ivy International Small Cap Fund | — | 2,587,958 | ||||||
Ivy Pictet Emerging Markets Local Currency Debt Fund | — | — | ||||||
Ivy Pictet Targeted Return Bond Fund | — | — | ||||||
Ivy PineBridge High Yield Fund | — | — |
Individuals may claim a deduction up to 20% of their combined qualified real estate investment trust (“REIT”) dividends. For the period ended September 30, 2020, Ivy Apollo Multi-Asset Fund had $467,744 which includes an estimate for the amount already distributed in 2020 that qualifies as qualified REIT dividends.
Ivy California Municipal High Income Fund hereby designates $662,288 of the dividends declared from net investment income as exempt from federal income tax for the tax period ending September 30, 2020.
The Funds intend to pass through to the extent available Section 163(j) Interest Dividends as defined in Proposed Treasury Regulation §1.163(j)-1(b).
The Funds hereby designate the following amounts as distributions of long-term capital gains:
Ivy Apollo Multi-Asset Income Fund | $ | 5,608,762 | ||
Ivy Apollo Strategic Income Fund | — | |||
Ivy California Municipal High Income Fund | — | |||
Ivy Cash Management Fund | — | |||
Ivy Corporate Bond Fund | — | |||
Ivy Crossover Credit Fund | — | |||
Ivy Government Securities Fund | — | |||
Ivy International Small Cap Fund | — | |||
Ivy Pictet Emerging Markets Local Currency Debt Fund | — | |||
Ivy Pictet Targeted Return Bond Fund | 385,248 | |||
Ivy PineBridge High Yield Fund | — |
Shareholders are advised to consult with their tax advisors concerning the tax treatment of dividends and distributions from all the Funds.
Internal Revenue Code regulations permit each qualifying Fund to elect to pass through a foreign tax credit to shareholders with respect to foreign taxes paid by the Fund. As of September 30, 2020, the Funds hereby designate the following as a foreign tax credit from the taxes paid on income derived from sources within foreign countries or possession of the United States.
Foreign Tax Credit | Foreign Derived Income | |||||||
Ivy International Small Cap Fund | $ | 195,580 | $ | 2,580,456 |
The tax status of dividends paid and the pass-through of foreign taxes paid will be reported to you on Form 1099-DIV after the close of the applicable calendar year.
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BOARD OF TRUSTEES AND OFFICERS | IVY FUNDS |
(UNAUDITED)
Each of the individuals listed below serves as a trustee for the Trust (45 portfolios), and for the rest of the funds within the Fund Complex, which also includes, in addition to the Trust, InvestEd Portfolios (“InvestEd”) (10 portfolios), the Ivy High Income Opportunities Fund (a closed-end fund) (“IVH”) and Ivy Variable Insurance Portfolios (“Ivy VIP”) (28 Portfolios).
Board members who are not “interested persons” of the Trust as defined in Section 2(a)(19) of the 1940 Act (“Independent Trustees”) constitute at least 75% of the Board.
Joseph Harroz, Jr. serves as Independent Chairman of the Trust’s Board and of the Board of Trustees of the other funds in the Fund Complex. Subject to the Trustee Emeritus and Retirement Policy, a Trustee serves until his or her successor is elected and qualified or until his or her earlier death, resignation or removal.
The Statement of Additional Information (“SAI”) for the Trust includes additional information about the Trust’s Trustees. The SAI is available without charge, upon request by calling 1.888.923.3355. It is also available on the Ivy Investments website, www.ivyinvestments.com.
Independent Trustees
The following table provides information regarding each Independent Trustee.
Name, Address and Year of Birth | Position Held with the Trust | Trustee Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen | Other Directorships Held During Past 5 Years | |||||
James M. Concannon 6300 Lamar Avenue Overland Park, KS 66202 1947 | Trustee | 2017 | Emeritus Dean and Professor of Law, Washburn University School of Law (1973 to present). | 84 | Director, Kansas Legal Services for Prisoners, Inc. (non-profit community service); Director, U.S. Alliance Corporation and wholly-owned subsidiaries: U.S. Alliance Life and Security Company, Dakota Capital Life Insurance Company (Insurance), and U.S. Alliance Corporation, Montana (2009 to present); Director, Kansas Appleseed, Inc. (non-profit community service) (2007 to present); Trustee, Waddell & Reed Advisors Funds (WRA Funds) (1997-2018); Trustee, Ivy NextShares (2017-2019); Trustee, Ivy VIP (1997 to present) (28 portfolios overseen); Trustee, InvestEd (2001 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2017 to present) (1 portfolio overseen). |
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Name, Address and Year of Birth | Position Held with the Trust | Trustee Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen | Other Directorships Held During Past 5 Years | |||||
H. Jeffrey Dobbs 6300 Lamar Avenue Overland Park, KS 66202 1955 | Trustee | 2019 | Global Sector Chairman, Industrial Manufacturing, KPMG LLP (2010-2015). | 84 | Director, Valparaiso University (2012 to present); Director, TechAccel LLC (Tech R&D) (2015 to present); Board Member, Kansas City Repertory Theatre (2015 to present); Board Member, PatientsVoices, Inc. (healthcare) (2018 to present); Board Member, Kansas City Campus for Animal Care (2018 to present); Director, National Association of Manufacturers (2010-2015); Director, The Children’s Center (2003-2015); Director, Metropolitan Affairs Coalition (2003-2015); Director, Michigan Roundtable for Diversity and Inclusion (2003-2015); Trustee, Ivy NextShares (2019); Trustee, Ivy VIP (2019 to present) (28 portfolios overseen); Trustee, InvestEd (2019 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2019 to present) (1 portfolio overseen). | |||||
James D. Gressett 6300 Lamar Avenue Overland Park, KS 66202 1950 | Trustee | 2002 | Chief Executive Officer (CEO) of CalPac Pizza LLC (2011 to present); CEO of CalPac Pizza II LLC (2012 to present); CEO of PacPizza LLC (Pizza Hut franchise) (2000 to present); Member/CEO, Southern Pac Pizza LLC (2013 to present); Partner, Century Bridge Partners (real estate investments) (2007 to present); Manager, Hartley Ranch Angus Beef, LLC (2013 to present); President, Penn Capital Corp. (1995 to present); Partner, Penn Capital Partners (1999 to present); Partner, 1788 Chicken, LLC (food franchise) (2016 to present). | 84 | Member/Secretary, The Metochoi Group LLC (1999 to present); Member/Chairman, Idea Homes LLC (homebuilding and development) (2013 to present); Trustee, WRA Funds (2017-2018); Trustee, Ivy NextShares (2016-2019); Trustee, Ivy VIP (2017 to present) (28 portfolios overseen); Trustee, InvestEd (2017 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2013 to present) (1 portfolio overseen). |
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Name, Address and Year of Birth | Position Held with the Trust | Trustee Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen | Other Directorships Held During Past 5 Years | |||||
Joseph Harroz, Jr. 6300 Lamar Avenue Overland Park, KS 66202 1967 | Trustee
Independent Chairman | 1998
2006 | President (2020 to present), Interim President (2019-2020), Vice President (2010-2019) and Dean (2010-2019), College of Law, University of Oklahoma; Managing Member, Harroz Investments, LLC, (commercial enterprises) (1998-2019); Managing Member, St. Clair, LLC (commercial enterprises) (2019 to present). | 84 | Director and Shareholder, Valliance Bank (2007 to present); Director, Foundation Healthcare (formerly Graymark HealthCare) (2008-2017); Trustee, The Mewbourne Family Support Organization (2006 to present) (non-profit); Independent Director, LSQ Manager, Inc. (real estate) (2007-2016); Director, Oklahoma Foundation for Excellence (non-profit) (2008 to present); Independent Chairman and Trustee, WRA Funds (Independent Chairman: 2015-2018; Trustee: 1998-2018); Independent Chairman and Trustee, Ivy NextShares (2016-2019); Independent Chairman and Trustee, Ivy VIP (Independent Chairman: 2015 to present; Trustee: 1998 to present) (28 portfolios overseen); Independent Chairman and Trustee, InvestEd (Independent Chairman: 2015 to present; Trustee: 2001 to present) (10 portfolios overseen); Independent Chairman and Trustee, Ivy High Income Opportunities Fund (2013 to present) (1 portfolio overseen). | |||||
Glendon E. Johnson, Jr. 6300 Lamar Avenue Overland Park, KS 66202 1951 | Trustee | 2002 | Of Counsel, Lee & Smith, PC (law firm, emphasis on finance, securities, mergers and acquisitions law) (1996-2019); Owner and Manager, Castle Valley Ranches, LLC (ranching) and Castle Valley Outdoors, LLC (outdoor recreation) (1995 to present); Formerly, Partner, Kelly, Drye & Warren LLP (law firm) (1989-1996); Partner, Lane & Edson PC (law firm) (1987-1989). | 84 | Director, Thomas Foundation for Cancer Research (non-profit) (2005 to present); Director, Warriors Afield Legacy Foundation (non-profit) (2014 to present); Trustee, WRA Funds (2017-2018); Trustee, Ivy NextShares (2016-2019); Trustee, Ivy VIP (2017 to present) (28 portfolios overseen); Trustee, InvestEd (2017 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2013 to present) (1 portfolio overseen). |
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Name, Address and Year of Birth | Position Held with the Trust | Trustee Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen | Other Directorships Held During Past 5 Years | |||||
Sandra A.J. Lawrence 6300 Lamar Avenue Overland Park, KS 66202 1957 | Trustee | 2019 | Retired, formerly, Chief Administrative Officer, Children’s Mercy Hospitals and Clinics (2016-2019); CFO, Children’s Mercy Hospitals and Clinics (2005-2016). | 84 | Director, Hall Family Foundation (1993 to present); Director, Westar Energy (utility) (2004-2018); Trustee, Nelson-Atkins Museum of Art (non-profit) (2007-2020); Director, Turn the Page KC (non-profit) (2012-2016); Director, Kansas Metropolitan Business and Healthcare Coalition (non-profit) (2017-2019); Director, National Association of Corporate Directors (non-profit) (2017 to present); Director, American Shared Hospital Services (medical device) (2017 to present); Director, Evergy, Inc., Kansas City Power & Light Company, KCP&L Greater Missouri Operations Company, Westar Energy, Inc. and Kansas Gas and Electric Company (related utility companies) (2018 to present); Director, Stowers (research) (2018); Co-Chair, Women Corporate Directors (director education) (2018-2020); Trustee, Ivy NextShares (2019); Trustee, Ivy VIP (2019 to present) (28 portfolios overseen); Trustee, InvestEd (2019 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2019 to present) (1 portfolio overseen). | |||||
Frank J. Ross, Jr. Polsinelli PC 900 West 48th Place Suite 900 Kansas City, MO 64112 1953 | Trustee | 2017 | Shareholder/Director, Polsinelli PC (law firm) (1980 to present). | 84 | Trustee, WRA Funds (1996-2018); Trustee, Ivy NextShares (2017-2019); Trustee, Ivy VIP (1996 to present) (28 portfolios overseen); Trustee, InvestEd (2001 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2017 to present) (1 portfolio overseen). |
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Name, Address and Year of Birth | Position Held with the Trust | Trustee Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen | Other Directorships Held During Past 5 Years | |||||
Michael G. Smith 6300 Lamar Avenue Overland Park, KS 66202 1944 | Trustee | 2002 | Retired; formerly, with Merrill Lynch as Managing Director of Global Investor Client Strategy (1996-1998), Head of Regional Institutional Sales (1995-1996) and of U.S. Central Region (1986-1995, 1999). | 84 | Director, Executive Board, Cox Business School, Southern Methodist University (1998-2019); Lead Director, Northwestern Mutual Funds (2003-2017) (29 portfolios overseen); Director, CTMG, Inc. (clinical testing) (2008-2015); Trustee, WRA Funds (2017-2018); Trustee, Ivy NextShares (2016-2019); Trustee, Ivy VIP (2017 to present) (28 portfolios overseen); Trustee, InvestEd (2017 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2013 to present) (1 portfolio overseen). | |||||
Edward M. Tighe 6300 Lamar Avenue Overland Park, KS 66202 1942 | Trustee | 1999 | Retired; formerly, CEO and Director of Asgard Holdings, LLC (computer network and security services) (2002-2004); President, Citco Technology Management (1995-2000); CEO, Global Mutual Fund Services (1993-2000); Sr. Vice President, Templeton Global Investors (1988-1992). | 84 | Trustee, Hansberger Institutional Funds (2000-2007); Director, The Research Coast Principium Foundation, Inc. (non-profit) (2012-2015); Trustee, WRA Funds (2017-2018); Trustee, Ivy NextShares (2016-2019); Trustee, Ivy VIP (2017 to present) (28 portfolios overseen); Trustee, InvestEd (2017 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2013 to present) (1 portfolio overseen). |
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Interested Trustees
Messrs. Herrmann and Sanders are “interested” by virtue of their current or former engagement as an officer of Waddell & Reed Financial, Inc. (“WDR”) or its wholly owned subsidiaries, including each Fund’s investment manager, Ivy Investment Management Company (“IICO”), each Fund’s principal underwriter, Ivy Distributors, Inc. (“IDI”), and each Fund’s shareholder servicing and accounting services agent, Waddell & Reed Services Company, doing business as WI Services Company (“WISC”), as well as by virtue of their personal ownership in shares of WDR.
Name, Address and Year of Birth | Position(s) Held with the Trust | Trustee/Officer Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen | Other Directorships Held | |||||
Henry J. Herrmann 6300 Lamar Avenue Overland Park, KS 66202 1942 | Trustee | 1998 | Retired, Non-Executive Chairman of the Board, WDR (2016-2018); Formerly Chairman, WDR (2010-2018); CEO, WDR (2005-2016); President, CEO and Chairman, IICO (2002-2016); President, CEO and Chairman, Waddell & Reed Investment Management Company (WRIMCO) (1993-2016); President of each of the funds in the Fund Complex (2001-2016). | 84 | Director, WDR, (1998 to present); Director, IICO (2002-2016); Director, WRIMCO (1991-2016); Director, WISC (2001-2016); Director, W&R Capital Management Group, Inc. (2008-2016); Director, Waddell & Reed (1993-2016); Director, Blue Cross Blue Shield of Kansas City (2007-2017); Trustee, WRA Funds (1998-2018); Trustee, Ivy NextShares (2016-2019); Trustee, Ivy VIP (1998 to present) (28 portfolios overseen); Trustee, InvestEd (2001 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2013 to present) (1 portfolio overseen). | |||||
Philip J. Sanders 6300 Lamar Avenue Overland Park, KS 66202 1959 | Trustee | 2019 | CEO, WDR (2016 to present); President, CEO and Chairman, IICO (2016 to present); President, CEO and Chairman, WRIMCO (2016-2018); CIO, WDR (2011-2019); CIO, IICO (2010-2019); CIO, WRIMCO (2010-2018); President of each of the funds in the Fund Complex (2016 to present). | 84 | Trustee, Ivy NextShares (2019); Trustee, Ivy VIP (2019 to present) (28 portfolios overseen); Trustee, InvestEd (2019 to present) (10 portfolios overseen);Trustee, Ivy High Income Opportunities Fund, (2019 to present) (1 portfolio overseen). |
Officers
The Board has appointed officers who are responsible for the day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The Trust’s principal officers are:
Name, Address and Year of Birth | Position(s) Held with the Trust and Fund Complex | Officer of Trust Since | Officer of Fund Complex Since* | Principal Occupation(s) During Past 5 Years | ||||
Jennifer K. Dulski 6300 Lamar Avenue Overland Park, KS 66202 1980 | Secretary | 2017 | 2017 | Secretary for each of the funds in the Fund Complex (2017 to present); Senior Vice President and Associate General Counsel of Waddell & Reed, IICO and IDI (2018 to present). |
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Name, Address and Year of Birth | Position(s) Held with the Trust and Fund Complex | Officer of Trust Since | Officer of Fund Complex Since* | Principal Occupation(s) During Past 5 Years | ||||
Joseph W. Kauten 6300 Lamar Avenue Overland Park, KS 66202 1969 | Vice President
Treasurer
Principal Financial Officer | 2008
2008
2008 | 2006
2006
2007 | Principal Financial Officer of each of the funds in the Fund Complex (2007 to present); Vice President and Treasurer of each of the funds in the Fund Complex (2006 to present); Principal Accounting Officer of each of the funds in the Fund Complex (2006-2017); Assistant Treasurer of each of the funds in the Fund Complex (2003-2006); Vice President of Waddell & Reed Services Company (“WRSCO”) (2007 to present). | ||||
Philip J. Sanders** 1959 | President | 2016 | 2016 | CEO of WDR (2016 to present); President, CEO and Chairman of IICO (2016 to present) and WRIMCO (2016-2018); President of each of the funds in the Fund Complex (2016 to present); CIO of WDR (2011-2019); CIO of IICO (2010-2019) and WRIMCO (2010-2018). | ||||
Scott J. Schneider 6300 Lamar Avenue Overland Park, KS 66202 1968 | Vice President
Chief Compliance Officer | 2008
2008 | 2006
2004 | Chief Compliance Officer (2004 to present) and Vice President (2006 to present) of each of the funds in the Fund Complex; Vice President of IICO (2006 to present) and WRIMCO (2006-2018). | ||||
Philip A. Shipp 6300 Lamar Avenue Overland Park, KS 66202 1969 | Assistant Secretary | 2012 | 2012 | Assistant Secretary of each of the funds in the Fund Complex (2012 to present); Vice President of Waddell & Reed and IDI (2010 to present). |
* This is the date when the officer first became an officer of one or more of the funds that are the predecessors to current funds within Ivy Funds (each, a predecessor fund) (if applicable).
** Mr. Sanders was Vice President of the Trust since 2006, and of the other Trusts within the Fund Complex, until his appointment as President in 2016.
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RENEWAL OF INVESTMENT MANAGEMENT AGREEMENTS | IVY FUNDS |
(UNAUDITED)
At a meeting of the Board of Trustees (the “Board”) of Ivy Funds (the “Trust”) held on August 11th and 12th, 2020, the Board, including all of the trustees who are not “interested persons” (the “Independent Trustees”), as defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”), unanimously approved the continuance of the Investment Management Agreement (the “Management Agreement”) between Ivy Investment Management Company (“IICO”) and the Trust, and the continuance of the Investment Subadvisory Agreements between IICO and:
• | Apollo Credit Management, LLC (with respect to the Ivy Apollo Multi-Asset Income Fund and Ivy Apollo Strategic Income Fund) |
• | LaSalle Investment Management Securities, LLC and LaSalle Investment Management Securities B.V. (with respect to the Ivy LaSalle Global Real Estate Fund and the Ivy Apollo Multi-Asset Income Fund) |
• | Mackenzie Investments Europe Limited and Mackenzie Investments Asia Limited (with respect to the Ivy International Small Cap Fund) |
• | Pictet Asset Management Limited and Pictet Asset Management (Singapore) Pte Ltd. (with respect to the Ivy Emerging Markets Local Currency Debt Fund and the Ivy Targeted Return Bond Fund), and Pictet Asset Management Limited and Pictet Asset Management SA (with respect to the Ivy Targeted Return Bond Fund) |
• | PineBridge Investments, LLC (with respect to the Ivy PineBridge High Yield Fund) |
• | ProShare Advisors, LLC (with respect to the Ivy ProShares S&P 500 Dividend Aristocrats Index Fund, the Ivy ProShares Russell 2000 Dividend Growers Index Fund, the Ivy ProShares Interest Rate Hedged High Yield Index Fund, the Ivy ProShares S&P 500 Bond Index Fund and the Ivy ProShares MSCI ACWI Index Fund) |
• | Pzena Investment Management, LLC (with respect to the Ivy Pzena International Value Fund) |
• | Securian Asset Management, Inc. (with respect to the Ivy Securian Core Bond Fund and the Ivy Securian Real Estate Securities Fund) |
• | Wilshire Associates Incorporated (with respect to the Ivy Wilshire Global Allocation Fund) |
Each subadviser is referred to herein as a “Subadviser,” and the Management Agreement and the Investment Subadvisory Agreements are referred to collectively herein as the “Agreements.”
The Board’s Independent Trustees were assisted in their review by independent legal counsel and met with such counsel separately from representatives of IICO and the Subadvisers. Independent legal counsel explained the factors that the Board should consider as part of its review of the Agreements, all as outlined in a memorandum it had provided to the Board prior to the meeting, including, among other things, the nature and the quality of the services provided by IICO and the Subadvisers, profitability (including any fall-out benefits) from IICO’s and the Subadvisers’ relationships with each series of the Trust (each, a “Fund” and together, the “Funds”), economies of scale, the role played by the Independent Trustees, and information on comparative fees and expenses. The Independent Trustees also considered the written responses and materials produced by IICO and each Subadviser in response to 15(c) due diligence request lists submitted by the Independent Trustees’ legal counsel prior to the meeting, as well as materials produced in response to a follow-up request list sent to IICO by independent legal counsel on behalf of the Independent Trustees. Included in those responses, which had been provided to the Board prior to the meeting, was a Fund-by-Fund profitability analysis prepared by IICO, as well as an explanation of the methodology by which the profitability analysis was calculated. The Board also received extensive materials on performance, expenses and comparable fund information from an independent mutual fund rating service. Finally, the Independent Trustees received and reviewed a considerable amount of information that their independent fee consultant had provided to them. The Independent Trustees previously had reviewed and discussed these materials during a telephonic meeting in July 2020. They further reviewed these materials among themselves, with their independent legal counsel and the independent fee consultant, and with the other Board members at executive sessions of the Independent Trustees at the August 11-12, 2020 Board meeting, during which the Board considered various factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Board’s determination to approve the Agreements are discussed separately below.
Nature, Extent and Quality of Services
The Board considered the nature, extent and quality of services provided to the Funds by IICO and each Subadviser, taking into account the large amount of materials produced by IICO and the Subadvisers in response to the 15(c) due diligence requests submitted on its behalf by independent legal counsel to the Independent Trustees.
The Board also took into account the report from its Investment Oversight Committee (the “IOC”), in light of that committee’s duties to assist the Board in the 15(c) process. The IOC had reported to the Board on its review of the
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performance of the Funds, IICO’s investment risk management function, and the on-going changes IICO and its affiliates has been undertaking for the Trust and the overall fund complex. As such, the Board examined all of IICO’s activities in light of performance and expense structure, as well as the proposed overall rationalization of the Ivy Funds complex, which is designed to provide economies of scale to the shareholders, reduce the Funds’ expenses and enhance the performance of the Funds, particularly in the context of substantial industry change and regulatory developments.
The Board likewise considered the knowledge it had received from its regular meetings, including from the materials provided in connection with those meetings, such as the resources and key personnel of IICO and each Subadviser, as well as the other services provided to the Funds by IICO and each Subadviser, as applicable (e.g., managing the quality of execution of portfolio transactions and the selection of broker-dealers for those transactions, monitoring adherence to each Fund’s investment restrictions, producing reports, providing support services for the Board and its committees, communicating with shareholders and overseeing the activities of other service providers, including monitoring compliance with various Fund policies and procedures and with applicable laws and regulations). The Board also took into account the compliance environment at IICO and each Subadviser, noting the resources that each entity has dedicated towards compliance. The Board concluded that the nature and extent of the services provided by IICO and each Subadviser were appropriate, that the quality of those services had been consistent with quality norms in the industry and that the Funds were likely to benefit from the continued provision of those services.
Benefits from the Relationship with the Funds
The Board next discussed whether IICO or any Subadviser derives any other direct or indirect benefit from serving the Funds. In that regard, the Board discussed the transfer agency and shareholder servicing fees that Waddell & Reed Services Company (“WISC”), an affiliate of IICO, has provided to the Funds. The Board took note of the caps that management previously had agreed to on shareholder servicing costs. The Board also considered the benefits that accrue to each service provider organization from its respective relationship with the Funds, including the fact that a variety of services are provided by other affiliates of IICO, including distribution, administrative and Fund accounting services, and, as discussed above, shareholder servicing. The Board also considered that WISC has outsourced certain of its transactional processing operations to a sub-agent, which is designed to promote, and has achieved, greater efficiencies and savings for Fund shareholders over time. After full consideration of these and other factors, the Board concluded that none of IICO, any Subadviser or any of their affiliates receives any additional direct or indirect benefits that would preclude the Board from approving the continuation of the Management Agreement with IICO or any Investment Subadvisory Agreement with a Subadviser.
Economies of Scale
The Board discussed whether economies of scale are being realized by the Funds and whether fee levels reflect those economies of scale for the benefit of the Funds’ shareholders. The Board considered the fact that as a Fund’s assets have grown, the expenses of that Fund generally have fallen. Additionally, in that regard, the Board considered the various initiatives that IICO has recently undertaken, and continues to implement, in seeking to rationalize the Ivy Funds complex, reduce expenses and enhance performance.
Performance of the Funds and Costs of Services Provided
The Board considered the performance of each Fund and the costs of the services provided, focusing in particular on a number of Funds that the independent fee consultant had identified. Specifically, the Board examined the investment performance of each Fund, including the percentile ranking of each Fund over various periods of time. The Board also examined the performance of each Fund against its respective benchmark index and peer funds for the same periods. After extensively reviewing all of the performance information provided, the Board concluded that the Funds’ performance in each asset class was acceptable. Although the performance of some of the focus Funds identified by the independent fee consultant lagged that of their peers or respective benchmark index, the Board recognized that IICO, or the applicable Subadviser, had taken, or was taking, steps to address that underperformance, and determined to continue to monitor closely the performance of those Funds.
The Board also considered the expenses and expense ratio of each Fund, and the expense limitation and fee reduction arrangements entered into by IICO in light of the services provided by IICO and each Subadviser. The Board also compared each Fund’s expenses, including advisory, distribution and shareholder servicing fees, with the expenses and advisory fees of other investment advisers managing similarly situated funds, as well as the advisory fees that IICO charges for providing advisory services to other accounts in the same asset class for certain Funds. In that regard, the Board noted that IICO performs significant additional services for the Funds as compared to those other accounts. The Board also took into account the information on IICO’s profitability in managing the Funds, including the methodology used to calculate profitability. The Board finally considered the amount of assets in each Fund, each Fund’s average account size and how those factors affect the Funds’ expense ratios, noting that, as the Funds’ assets have increased or decreased over time, the expense ratios of the Funds generally have fallen or risen, respectively. After completing this examination, the Board concluded that each Fund’s expenses are appropriate at the current time.
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Independent Fee Consultant Review
Independent legal counsel, on behalf of the Independent Trustees, engaged the independent fee consultant to assist them in evaluating the reasonableness of the management fees charged by IICO to all funds within the Ivy Funds complex. The independent fee consultant’s review addressed the following fee-related factors:
1. | The nature, extent and quality of IICO’s services to the Funds; |
2. | Management fees and expenses in the context of performance; |
3. | Product category expenses, including peers; |
4. | Profit margins of IICO’s parent from supplying such services; |
5. | Subadviser and institutional fee analyses; and |
6. | Possible economies of scale as a Fund grows larger. |
The following summarizes the findings of the independent fee consultant retained by the Independent Trustees.
Summary Findings
The report stated that IICO delivered reasonable levels of performance in the longer-term periods and reasonable levels of service to the Funds in relation to its management fees as compared to the investment advisers of comparable funds. For the 36 months ended March 31, 2020, approximately 23% of the funds within the Ivy Funds complex were in the top quartile of performance and 55% of the Funds were in the top two quartiles of performance and that short-term performance of such funds were showing signs of improvement. Specifically, the report noted that 50% of the funds within the Ivy Funds complex were in the top two quartiles in the one-year period. The independent fee consultant noted that the funds’ performance appeared to be grounded in a number of institutional competitive advantages at IICO, including investment management depth, ability to attract top talent, proactive management, performance-focused culture, economic analysis and an effective trading infrastructure.
The report further indicated that total expenses of the funds in the complex, on average, were reasonable in relation to the average total expenses of their respective group of peer funds and that their net management fees were reasonable in relation to the average net management fees of their respective groups of peer funds. The report also stated that the management fees IICO charges to the funds are reasonable in relation to the management fees it charges to its institutional account clients. The report noted that these institutional account clients have different service and infrastructure needs and in addition, the average spread between management fees IICO charged to the funds and those it charges to institutional account clients is reasonable relative to the average fee spreads computed from industry surveys.
The report stated that while it was difficult to confirm overall economies of scale, it was clear that the Funds’ shareholders generally are benefitting from lower expenses as the funds’ assets grow.
The report also noted that the overall profitability of IICO’s parent relative to other complexes is reasonable.
Finally, the report also examined the fees that IICO retains on Funds that are subadvised by unaffiliated Subadvisers and indicated that those fees are reasonable relative to the industry. The report also stated that the subadvisory fees that IICO earns for serving as a subadviser to an unaffiliated fund when compared to fees of similar Funds likewise are reasonable relative to the industry.
Conclusions
The independent fee consultant’s report concluded that it believes that the services provided by IICO and its affiliates and expenses incurred by the funds within the Ivy Funds complex in the previous 12 months are reasonable and provide adequate justification for renewal of the Funds’ existing Agreements.
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ANNUAL PRIVACY NOTICE | IVY FUNDS |
(UNAUDITED)
FACTS | What does Ivy Funds do with your personal information? | |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share and protect your personal information. Please read this notice carefully to understand what we do. | |
What? | The types of personal information we collect and share depend on the product or service you have with us. The information can include: | |
• Social Security Number and income, | ||
• Assets and transaction history, and | ||
• Checking account information and wire transfer instructions. | ||
When you are no longer our customer, we continue to share your information as described in this notice. | ||
How? | All financial companies need to share customers’ personal information to conduct everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information, the reasons Ivy Funds chooses to share, and whether you can limit this sharing. |
Reasons we can share your personal information | Does Ivy Funds share? | Can you limit this sharing? | ||
For our everyday business purposes – such as to process your transactions, maintain your accounts, respond to court orders and legal investigations or report to credit bureaus | Yes | No | ||
For our marketing purposes – to offer our products and services to you | Yes | No | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes – information about your transactions and experiences | Yes | No | ||
For our affiliates everyday business purposes – information about your creditworthiness | No | We don’t share | ||
For our affiliates to market to you | No | We don’t share | ||
For non-affiliates to market to you | No | We don’t share |
Questions? | Call 1(800) 777-6472 with questions about this notice. Client service representatives are available Monday through Friday from 7:30 am to 7:00 pm CST. You may also go to www.ivyinvestments.com/privacy_policy. | |
If we serve you through an investment professional, such as a registered representative of a broker-dealer or an investment adviser representative (each, a “financial advisor”), please contact them directly. Specific internet addresses, mailing addresses and telephone numbers are listed on your statements and other correspondence. |
Who we are | ||
Who is providing this notice? | Ivy Funds | |
What we do | ||
How does Ivy Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. | |
How does Ivy Funds collect my personal information? | We collect your personal information, for example, when you: | |
• Give us your contact information or other personal information, | ||
• Open an account, or | ||
• Make deposits to an account or withdrawals from an account. | ||
We also collect your personal information from our affiliates. |
.
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Why can’t I limit all sharing? | Federal law gives you the right to limit only: | |
• Sharing for affiliates’ everyday business purposes – information about your creditworthiness, | ||
• Affiliates from using your information to market to you, and | ||
• Sharing for non-affiliates to market to you. | ||
State laws and individual companies may give you additional rights to limit sharing. | ||
Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. | |
• Affiliates of Ivy Funds include Waddell & Reed Services Company, Ivy Distributors, Inc., and Ivy Investment Management Company. | ||
Non-affiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. | |
• Ivy Funds does not share your personal information with non-affiliates so they can market to you. | ||
Joint marketing | A formal agreement between non-affiliated financial companies that together market financial products or services to you. | |
• Ivy Funds does not jointly market. | ||
Other important information | ||
If you own shares of Ivy Funds in the name of a third party, such as a bank or a broker-dealer, the third party’s privacy policy may apply to you in addition to ours. | ||
If you are working with a financial advisor, and the financial advisor leaves their firm and joins another non-affiliated broker-dealer or registered investment adviser, then the financial advisor may be permitted to use limited information to contact you. The information that the financial advisor may use is comprised of your name, address, email address, telephone number and account title. |
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PROXY VOTING INFORMATION | IVY FUNDS |
(UNAUDITED)
Proxy Voting Guidelines
A description of the policies and procedures Ivy Funds uses to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1.888.923.3355 and (ii) on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.
Proxy Voting Records
Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on Form N-PX through the Ivy Investments’ website at www.ivyinvestments.com and on the SEC’s website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE INFORMATION | IVY FUNDS |
Portfolio holdings can be found on the Trust’s website at www.ivyinvestments.com. Alternatively, a complete schedule of portfolio holdings of each Fund for the first and third quarters of each fiscal year is filed with the SEC and can be found as an exhibit to the Trust’s Form N-PORT. These holdings may be viewed in the following ways:
• | On the SEC’s website at www.sec.gov. |
• | For review and copy at the SEC’s Public Reference Room in Washington, DC. Information on the operations of the Public Reference Room may be obtained by calling 1.800.SEC.0330. |
HOUSEHOLDING NOTICE | IVY FUNDS |
If you currently receive one copy of the shareholder reports and prospectus for your household (even if more than one person in your household owns shares of the Trust) and you would prefer to receive separate shareholder reports and prospectuses for each account holder living at your address, you can do either of the following:
Call us at 888.923.3355.
Write to us at the following address: WI Services Company, P.O. Box 219722, Kansas City, Missouri 64121-9722.
Please list each account for which you would like to receive separate shareholder reports and prospectus mailings. We will resume sending separate documents within 30 days of receiving your request.
TO ALL TRADITIONAL IRA PLANHOLDERS: | IVY FUNDS |
As required by law, we are hereby providing notice to you that income tax may be withheld automatically from any distribution or withdrawal from a traditional IRA. A Fund is generally required to withhold taxes unless you make a written election not to have taxes withheld. The election may be made on the distribution/withdrawal form provided by Waddell & Reed, Inc. which can be obtained from your Waddell & Reed representative or by submitting Internal Revenue Service Form W–4P. Once made, an election can be revoked by providing written notice to Waddell & Reed, Inc. If you elect not to have tax withheld you may be required to make payments of estimated tax. Penalties may be imposed by the IRS if withholding and estimated tax payments are not adequate.
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THE IVY FUNDS FAMILY |
Domestic Equity Funds
Ivy Accumulative Fund
Ivy Core Equity Fund
Ivy Large Cap Growth Fund
Ivy Mid Cap Growth Fund
Ivy Mid Cap Income Opportunities Fund
Ivy Small Cap Core Fund
Ivy Small Cap Growth Fund
Ivy Value Fund
Global/International Funds
Ivy Emerging Markets Equity Fund
Ivy Global Equity Income Fund
Ivy Global Growth Fund
Ivy International Small Cap Fund
Ivy International Core Equity Fund
Ivy Managed International Opportunities Fund
Ivy Pictet Emerging Markets Local Currency Debt Fund
Ivy Pzena International Value Fund
Index Funds
Ivy ProShares Interest Rate Hedged High Yield Index Fund
Ivy ProShares MSCI ACWI Index Fund
Ivy ProShares Russell 2000 Dividend Growers Index Fund
Ivy ProShares S&P 500 Bond Index Fund
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund
Specialty Funds
Ivy Apollo Multi-Asset Income Fund
Ivy Asset Strategy Fund
Ivy Balanced Fund
Ivy Energy Fund
Ivy LaSalle Global Real Estate Fund
Ivy Natural Resources Fund
Ivy Science and Technology Fund
Ivy Securian Real Estate Securities Fund
Ivy Wilshire Global Allocation Fund
Fixed Income Funds
Ivy Apollo Strategic Income Fund
Ivy California Municipal High Income Fund
Ivy Corporate Bond Fund
Ivy Crossover Credit Fund
Ivy Global Bond Fund
Ivy Government Securities Fund
Ivy High Income Fund
Ivy Limited-Term Bond Fund
Ivy Municipal Bond Fund
Ivy Municipal High Income Fund
Ivy Pictet Targeted Return Bond Fund
Ivy PineBridge High Yield Fund
Ivy Securian Core Bond Fund
Money Market Funds
Ivy Cash Management Fund
Ivy Government Money Market Fund
1.888.923.3355
Visit us online at www.ivyinvestments.com
The Ivy Funds are managed by Ivy Investment Management Company and distributed by its subsidiary, Ivy Distributors, Inc.
Before investing, investors should consider carefully the investment objectives, risks, charges and expenses of a mutual fund. This and other important information is contained in the prospectus and summary prospectus, which may be obtained at www.ivyinvestments.com or from a financial advisor. Read it carefully before investing.
2020 | ANNUAL REPORT | 203 |
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ANN-IVYALT (9-20)
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Annual Report
SEPTEMBER 30, 2020 |
Ticker | ||||||||||||||||||||
Class A | Class E | Class I | Class N | Class R | ||||||||||||||||
IVY FUNDS | ||||||||||||||||||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund | IAIRX | IIREX | IIIRX | IIRRX | ||||||||||||||||
Ivy ProShares MSCI ACWI Index Fund | IMWAX | IMWEX | IMWIX | |||||||||||||||||
Ivy ProShares Russell 2000 Dividend Growers Index Fund | IRUAX | IRUEX | IRUIX | IRUNX | ||||||||||||||||
Ivy ProShares S&P 500 Bond Index Fund | IAPRX | IPREX | IPRIX | IPRRX | ||||||||||||||||
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | IDAAX | IDAEX | IDAIX | IDANX | IDARX |
Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission (SEC), paper copies of the Funds’ Annual and Semiannual Shareholder Reports no longer will be sent by mail, unless you specifically request paper copies of the reports. Instead, the reports will be made available on the Ivy Investments website (www.ivyinvestments.com), and you will be notified by mail each time a report is posted, and provided with a website link to access the report.
If you have already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically anytime by contacting your financial intermediary (e.g., a broker-dealer or bank) or, if you are a direct investor, by calling 1-888-923-3355 or by enrolling at www.ivyinvestments.com.
You may elect to receive all future reports in paper format free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you may call 1-888-923-3355 to let the Funds know you wish to continue receiving paper copies of your shareholder reports. Your election to receive reports in paper format will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the Fund Complex if you invest directly with the Funds.
IVY INVESTMENTS® refers to the financial services offered by Ivy Distributors, Inc., a FINRA member broker dealer and the distributor of IVY FUNDS® mutual funds, and those financial services offered by its affiliates.
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CONTENTS | IVY FUNDS |
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This report is submitted for the general information of the shareholders of Ivy Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by a current Ivy Funds prospectus, or summary prospectus, and current performance information.
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PRESIDENT’S LETTER | IVY FUNDS |
SEPTEMBER 30, 2020 (UNAUDITED) | ||
Philip J. Sanders, CFA |
Dear Shareholder,
Markets thus far in 2020 have been, to use an overused word, unprecedented. In a matter of months, we have witnessed economic and market moves that typically take an entire market cycle of many years to unfold. To start the fiscal year through early 2020, financial markets had been positive as political conflicts, trade uncertainty and global economic growth concerns waned. However, that upward trajectory suddenly reversed in late February 2020 and markets declined in response to two exogenous shocks: the COVID-19 pandemic and the collapse in energy markets. The COVID-19 pandemic caused one of the most rapid and dramatic global economic downturns in history. The U.S. stock markets dropped approximately 35% from peak in February to trough in late March. Global economic activity hit a full stop around the world, as countries and businesses implemented plans to isolate and protect each other. Remarkably, within about 30 days, we moved from a relatively strong domestic economy with financial market indexes hitting record highs, to a global recession.
Governments and central banks have taken strong steps to mitigate the economic blow of social distancing. Monetary policy response has been broader and more rapid than at any other time in history. Global central banks have enacted aggressive stimulus through lower interest rates, quantitative easing (QE) and liquidity provisions, with some developing countries implementing QE for the first time. The U.S. Federal Reserve’s (Fed) response has included a broad array of policy measures and an unprecedented pace of QE.
Third quarter 2020 economic data show the global economy has had a very strong rebound. Since the March 23 trough, the S&P 500 Index has stabilized and experienced a rapid bounce back. Year-to-date as of Sept. 30, the Index is up 5.57%. Going forward, we believe a natural deceleration in growth is very likely given the magnitude of the bounce back for the period. In addition, we believe we could see more deceleration than consensus in the final three months of the year. Our belief is driven by the impending arrival of cold weather, which will dampen outdoor consumer activity and negatively impact certain industries.
With respect to the U.S. consumer, we anticipate a pullback in consumption due to a lack of opportunities to spend. We see evidence of this in the extremely high savings rate in the U.S. now. Spending data through September show that spending on durable goods is well above pre-virus levels, while spending on services is still far below pre-pandemic levels. Services like travel, recreation and dining are among the areas hardest hit. We think this limitation on spending opportunities is going to be a cap on consumption over the next few months.
At the time of this writing, as we near the U.S. presidential election, we believe the odds are low for any substantial
stimulus being approved soon. However, we believe it could likely pass in early 2021. If the Democrats sweep the White House and Congress, we would expect a sizeable stimulus act.
As we move forward and examine the investment landscape, we continue to put greater emphasis on the fundamentals and quality of asset classes and sectors. We believe it is important to stay focused on the merits of individual market sectors, industries and company business models when making investment decisions. Those fundamentals historically have tended to outweigh external factors. In today’s environment, we believe there are many high-quality businesses offering attractive entry points and cyclicals that will likely be key beneficiaries as economies continue to recover. Importantly, through this uncertain time, we remain focused on the innovation and management skill within individual companies, the ultimate drivers of long-term stock prices.
Economic Snapshot
9/30/2020 | 9/30/2019 | |||||||
S&P 500 Index | 3,363.00 | 2,976.74 | ||||||
MSCI EAFE Index | 1,855.32 | 1,889.36 | ||||||
10-Year Treasury Yield | 0.69% | 1.68% | ||||||
U.S. unemployment rate | 7.9% | 3.5% | ||||||
30-year fixed mortgage rate | 2.90% | 3.64% | ||||||
Oil price per barrel | $ | 40.22 | $ | 54.07 |
Sources: Bloomberg, U.S. Department of Labor, MBA, CME
All government statistics shown are subject to periodic revision. The S&P 500 Index is an unmanaged index that tracks the stocks of 500 primarily large-cap U.S. companies. MSCI EAFE Index is an unmanaged index comprised of securities that represent the securities markets in Europe, Australasia and the Far East. It is not possible to invest directly in any of these indexes. Mortgage rates are from BankRate and reflect the overnight national average rate on a conventional 30-year fixed loan. Oil prices reflect the market price of West Texas intermediate grade crude.
Respectfully,
Philip J. Sanders, CFA
President
The opinions expressed in this letter are those of the President of the Ivy Funds and are current only through the end of the period of the report, as stated on the cover. The President’s views are subject to change at any time, based on market and other conditions, and no forecasts can be guaranteed.
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ILLUSTRATION OF FUND EXPENSES | IVY FUNDS |
(UNAUDITED)
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, exchange fees and account fees; and (2) ongoing costs, including management fees, distribution and service fees, and other Fund expenses. The following table is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ended September 30, 2020.
Actual Expenses
The first section in the following table provides information about actual account values and actual expenses for each share class. You may use the information in this section, 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, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. There may be additional fees charged to holders of certain accounts that are not included in the expenses shown in the table. Fees apply to Individual Retirement Accounts (IRAs), IRA Rollovers, Roth IRAs, Conversion Roth IRAs, Simplified Employee Pension (SEP), Savings Incentive Match Plan for Employees (SIMPLE) IRAs, Tax-Sheltered Accounts (TSAs), Keogh Plans, Owner Only 401(k) (Exclusive K) Plans and Final Pay Plans. As of the close of the six months covered by the table, a customer is charged an annual fee of $18 within each plan type. This fee is waived for IRA Rollovers and Conversion Roth IRAs if the customer owns another type of IRA. Coverdell Education Savings Account plans are charged an annual fee of $10 per customer. With limited exceptions, for Class A shares, if your Fund account balance
is below $650 on the Friday prior to the last full week of September of each year, the account will be assessed an account fee of $20. You should consider the additional fees that were charged to your Fund account over the six-month period when you estimate the total ongoing expenses paid over the period and the impact of these fees on your ending account value as such additional expenses are not reflected in the information provided in the following table. Additional fees have the effect of reducing investment returns.
Hypothetical Example for Comparison Purposes
The second section in the following table provides information about hypothetical account values and hypothetical expenses for each share class based on the Fund’s actual expense ratio and an assumed rate of return of five percent per year before expenses, which is not the Fund’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 the Fund and other funds. To do so, compare this five percent hypothetical example with the five percent hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), exchange fees or account fees. Therefore, the second section in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expenses paid may be impacted by expense reduction arrangements. If those arrangements had not been in place, expenses paid would have been higher. See Note 5 in Notes to Financial Statements for further information.
Actual(1) | Hypothetical(2) | Annualized Expense Ratio Based on the Six-Month Period | ||||||||||||||||||||||||||
Fund | Beginning Account Value 3-31-20 | Ending Account Value 9-30-20 | Expenses Paid During Period* | Beginning Account Value 3-31-20 | Ending Account Value 9-30-20 | Expenses Paid During Period* | ||||||||||||||||||||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund |
| |||||||||||||||||||||||||||
Class A | $ | 1,000 | $ | 1,104.60 | $ | 4.74 | $ | 1,000 | $ | 1,020.51 | $ | 4.55 | 0.90% | |||||||||||||||
Class E | $ | 1,000 | $ | 1,106.00 | $ | 4.53 | $ | 1,000 | $ | 1,020.69 | $ | 4.34 | 0.86% | |||||||||||||||
Class I | $ | 1,000 | $ | 1,107.30 | $ | 3.37 | $ | 1,000 | $ | 1,021.76 | $ | 3.23 | 0.65% | |||||||||||||||
Class R | $ | 1,000 | $ | 1,102.90 | $ | 7.57 | $ | 1,000 | $ | 1,017.77 | $ | 7.26 | 1.45% | |||||||||||||||
Ivy ProShares MSCI ACWI Index Fund |
| |||||||||||||||||||||||||||
Class A | $ | 1,000 | $ | 1,289.00 | $ | 5.04 | $ | 1,000 | $ | 1,020.56 | $ | 4.45 | 0.89% | |||||||||||||||
Class E | $ | 1,000 | $ | 1,290.10 | $ | 4.01 | $ | 1,000 | $ | 1,021.51 | $ | 3.54 | 0.70% | |||||||||||||||
Class I | $ | 1,000 | $ | 1,290.50 | $ | 3.66 | $ | 1,000 | $ | 1,021.76 | $ | 3.23 | 0.65% |
See footnotes on page 5.
4 | ANNUAL REPORT | 2020 |
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ILLUSTRATION OF FUND EXPENSES | IVY FUNDS |
(UNAUDITED)
Actual(1) | Hypothetical(2) | Annualized Expense Ratio Based on the Six-Month Period | ||||||||||||||||||||||||||
Fund | Beginning Account Value 3-31-20 | Ending Account Value 9-30-20 | Expenses Paid During Period* | Beginning Account Value 3-31-20 | Ending Account Value 9-30-20 | Expenses Paid During Period* | ||||||||||||||||||||||
Ivy ProShares Russell 2000 Dividend Growers Index Fund |
| |||||||||||||||||||||||||||
Class A | $ | 1,000 | $ | 1,025.30 | $ | 4.46 | $ | 1,000 | $ | 1,020.61 | $ | 4.45 | 0.88% | |||||||||||||||
Class E | $ | 1,000 | $ | 1,024.90 | $ | 3.54 | $ | 1,000 | $ | 1,021.46 | $ | 3.54 | 0.71% | |||||||||||||||
Class I | $ | 1,000 | $ | 1,026.50 | $ | 3.24 | $ | 1,000 | $ | 1,021.76 | $ | 3.23 | 0.65% | |||||||||||||||
Class N | $ | 1,000 | $ | 1,026.60 | $ | 3.34 | $ | 1,000 | $ | 1,021.71 | $ | 3.34 | 0.65% | |||||||||||||||
Ivy ProShares S&P 500 Bond Index Fund |
| |||||||||||||||||||||||||||
Class A | $ | 1,000 | $ | 1,084.70 | $ | 3.34 | $ | 1,000 | $ | 1,021.75 | $ | 3.23 | 0.65% | |||||||||||||||
Class E | $ | 1,000 | $ | 1,085.00 | $ | 3.02 | $ | 1,000 | $ | 1,022.05 | $ | 2.93 | 0.59% | |||||||||||||||
Class I | $ | 1,000 | $ | 1,086.00 | $ | 2.09 | $ | 1,000 | $ | 1,023.00 | $ | 2.02 | 0.40% | |||||||||||||||
Class R | $ | 1,000 | $ | 1,081.90 | $ | 5.93 | $ | 1,000 | $ | 1,019.32 | $ | 5.76 | 1.14% | |||||||||||||||
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund |
| |||||||||||||||||||||||||||
Class A | $ | 1,000 | $ | 1,264.40 | $ | 4.19 | $ | 1,000 | $ | 1,021.31 | $ | 3.74 | 0.74% | |||||||||||||||
Class E | $ | 1,000 | $ | 1,265.20 | $ | 3.40 | $ | 1,000 | $ | 1,022.01 | $ | 3.03 | 0.60% | |||||||||||||||
Class I | $ | 1,000 | $ | 1,265.90 | $ | 2.83 | $ | 1,000 | $ | 1,022.51 | $ | 2.53 | 0.50% | |||||||||||||||
Class N | $ | 1,000 | $ | 1,265.90 | $ | 2.61 | $ | 1,000 | $ | 1,022.67 | $ | 2.33 | 0.47% | |||||||||||||||
Class R | $ | 1,000 | $ | 1,261.90 | $ | 6.56 | $ | 1,000 | $ | 1,019.17 | $ | 5.86 | 1.17% |
* | Fund expenses for each share class are equal to the Fund’s annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by 183 days in the six-month period ended September 30, 2020, and divided by 366. |
(1) | This section uses the Fund’s actual total return and actual Fund expenses. It is a guide to the actual expenses paid by the Fund in the period. The “Ending Account Value” shown is computed using the Fund’s actual return and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. A shareholder may use the information here, together with the dollar amount invested, to estimate the expenses that were paid over the period. For every thousand dollars a shareholder has invested, the expenses are listed in the last column of this section. |
(2) | This section uses a hypothetical five percent annual return and actual Fund expenses. It helps to compare the Fund’s ongoing costs with other mutual funds. A shareholder can compare the Fund’s ongoing costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
The above illustrations are based on ongoing costs only and do not include any transactional costs, such as sales loads or exchange fees.
2020 | ANNUAL REPORT | 5 |
Table of Contents
MANAGEMENT DISCUSSION | ||
Ivy ProShares Index Funds |
(UNAUDITED)
Investment strategies and techniques
Each Ivy ProShares Index Fund (each, a “Fund” and collectively, the “Funds”) are designed to match, before fees and expenses, the performance of an underlying index both on a single day and an over time basis. Ivy ProShares Index Funds are managed by Ivy Investment Management Company and are subadvised by ProShare Advisors LLC (ProShares). ProShares uses a passive approach in seeking to achieve the investment objective of each Fund. Each Fund attempts to achieve its investment objective by investing substantially all of its assets in investments that make up its underlying index or in financial instruments that ProShares believes are likely to simulate movements in each Fund’s index. Using this approach, ProShares determines the type, quantity and mix of investment positions that a Fund should hold to track the performance of its index.
As index funds, the Funds are “passively managed.” This means that when managing the Funds, ProShares does not invest the assets of the Funds in securities or financial instruments based on its view of the investment merit of a particular security, instrument, or company. In addition, ProShares does not conduct conventional investment research or analysis; forecast market movements, trends or market conditions; or take defensive positions in managing assets of the Funds.
The Funds may not be able to replicate exposure to their respective index and may employ various techniques that ProShares believes should, when combined with other investment management techniques, help simulate the movement of each Fund’s index. Each Fund also may make use of investment techniques to track its index, including the use of swap agreements, credit default swaps, futures contracts, forward contracts, and similar instruments (collectively, “derivatives”). Funds using these techniques are exposed to risks different from, or possibly greater than, the risks associated with investing directly in securities, including one or more of the following: counterparty risk (i.e., the risk that a counterparty is unable or unwilling to make timely payments) on the amount the Fund expects to receive from a derivatives counterparty, liquidity risk (i.e., the ability of a Fund to acquire or dispose of certain holdings quickly or at prices that represent true market value in the judgment of ProShares), and increased correlation risk (i.e., the Fund’s ability to achieve a high degree of correlation with its index). If a counterparty becomes bankrupt, or fails to perform its obligations, the value of an investment in the Fund may decline. With respect to swaps and forward contracts, the Funds seek to mitigate these risks by generally requiring derivatives counterparties to post collateral for the benefit of each Fund, marked to market daily, in an amount approximately equal to the amount the counterparty owes the Fund, subject to certain minimum thresholds. The Funds primarily enter into derivatives with counterparties that are major global financial institutions. Any costs associated with using derivatives will have the effect of lowering the Fund’s return.
Factors that Materially Affected the Performance of Each Fund during the Year Ending September 30, 2020
Primary factors affecting the Funds’ performance for the fiscal year ending September 30, 2020, before fees and expenses, include the following: transaction costs to purchase and sell underlying securities within an index; the total return of the securities and any derivatives held by the Funds, including the performance of the reference assets to which any derivatives are linked; financing rates paid or earned by the Funds associated with cash and, in certain cases, derivative positions; stock dividends, premiums and bond yields paid or earned by the Funds (including those included in the total return of derivatives contracts); the types of derivatives contracts (if any) used by the Funds and their correlation to the relevant index; and other miscellaneous factors.
Index Performance: The performance of each Fund’s index and, in turn, the factors and market conditions affecting that index are principal factors driving Fund performance.
Financing Rates Associated with Derivatives: The performance of Funds that use derivatives may be impacted by the related financing costs. Instruments such as futures carry implied financing costs. Currency forward rates are negotiated between the Funds and their counterparties. Each Fund with long exposure via derivatives was generally negatively affected by financing rates. Conversely, most Funds with short derivative exposure generally benefited from financing rates. However, in low interest rate environments, LIBOR adjusted by the spread may actually result in a Fund with short exposure also being negatively affected by financing rates.
Stock Dividends and Bond Yields: The performance of Funds that provide long exposure was positively impacted by capturing the dividend, premium or income yield of the underlying assets to which they have exposure. The performance of Funds was negatively impacted by virtue of effectively having to pay out the dividend, premium or income yield (or a multiple thereof, as applicable) associated with the assets to which they have short exposure.
Fees, Expenses, and Transaction Costs: Fees and expenses are listed in the financial statements of each Fund and may generally be higher and thus have a more negative impact on performance than compared to many traditional index-based funds. Transaction costs are not reflected in the Funds’ expense ratio. Transaction costs are generally higher for Funds
6 | ANNUAL REPORT | 2020 |
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whose indexes are more volatile, that invest in foreign securities, and for Funds that hold or have exposure to assets that are comparatively less liquid than other Funds.
Miscellaneous factors: Each Fund holds a mix of securities and/or derivatives that is designed to provide returns that seek to achieve its investment objective. Certain Funds may obtain exposure to only a representative sample of the securities of their index and may not have investment exposure to all securities of the index or may have weightings that are different from that of its index. Certain Funds may also obtain exposure to securities not contained in the relevant index or in financial instruments.
Fund Management Teams
Ivy ProShares Interest Rate Hedged High Yield Index Fund;
Ivy ProShares S&P 500 Bond Index Fund
Benjamin McAbee and Alexander Ilyasov of ProShares share responsibility for the day-to-day management of the Ivy ProShares Interest Rate Hedged High Yield Index Fund and Ivy ProShares S&P 500 Bond Index Fund. Mr. McAbee has managed the Funds since the Funds’ inception in 2017. Mr. Ilyasov has served as co-portfolio manager for the Funds since 2019.
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund;
Ivy ProShares Russell 2000 Dividend Growers Index Fund
Michael Neches and Devin Sullivan of ProShares share responsibility for the day-to-day management of the Ivy ProShares S&P 500 Dividend Aristocrats Index Fund and Ivy ProShares Russell 2000 Dividend Growers Index Fund. Mr. Neches has managed the Funds since the Funds’ inception in 2017. Mr. Sullivan has served as co-portfolio manager for the Funds since 2018.
Ivy ProShares MSCI ACWI Index Fund
Scott Hanson and Alexander Ilyasov share responsibility for the day-to-day management of Ivy ProShares MSCI ACWI Index Fund. Mr. Hanson has managed the Fund since its inception in 2017. Mr. Ilyasov has served as co-portfolio manager for the Fund since 2020.
Fiscal Year Performance
For the Period Ended September 30, 2020 | ||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund | -1.89% | |||
(Class A shares at net asset value) | ||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund | -4.32% | |||
(Class A shares including sales charges) | ||||
Benchmark and Morningstar Category | ||||
FTSE High Yield (Treasury Rate-Hedged) Index | -1.51% | |||
(generally reflects the performance of high yield debt issued by companies domiciled in the U.S. or Canada) | ||||
Morningstar High Yield Bond Category Average | 1.33% | |||
(generally reflects the performance of the universe of funds with similar investment objectives) | ||||
Ivy ProShares MSCI ACWI Index Fund | ||||
(Class A shares at net asset value) | 10.23% | |||
Ivy ProShares MSCI ACWI Index Fund | ||||
(Class A shares including sales charges) | 7.49% | |||
Benchmark and Morningstar Category | ||||
MSCI ACWI Index | 10.44% | |||
(generally reflects the performance of developed and emerging-market equities) | ||||
Morningstar World Large Stock Category Average | 10.77% | |||
(generally reflects the performance of the universe of funds with similar investment objectives) | ||||
Ivy ProShares Russell 2000 Dividend Growers Index Fund | -19.03% | |||
(Class A shares at net asset value) | ||||
Ivy ProShares Russell 2000 Dividend Growers Index Fund | -21.04% | |||
(Class A shares including sales charges) |
2020 | ANNUAL REPORT | 7 |
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Benchmark and Morningstar Category | ||||
Russell 2000 Dividend Growth Index | -18.20% | |||
(generally reflects the performance of small-cap companies that have increased dividends every year for the last 10 consecutive years) | ||||
Morningstar Small Blend Category Average | -6.56% | |||
(generally reflects the performance of the universe of funds with similar investment objectives) | ||||
Ivy ProShares S&P 500 Bond Index Fund | ||||
(Class A shares at net asset value | 7.80% | |||
Ivy ProShares S&P 500 Bond Index Fund | ||||
(Class A shares including sales charges) | 5.10% | |||
Benchmark and Morningstar Category | ||||
S&P 500/MarketAxess Investment Grade Corporate Bond Index | 8.48% | |||
(generally reflects the performance of high yield debt issued in the U.S. by S&P 500 companies) | ||||
Morningstar Corporate Bond Category Average | 7.25% | |||
(generally reflects the performance of the universe of funds with similar investment objectives) | ||||
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | 2.88% | |||
(Class A shares at net asset value) | ||||
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | 0.35% | |||
(Class A shares including sales charges) | ||||
Benchmark and Morningstar Category | ||||
S&P 500 Dividend Aristocrats Index | 3.63% | |||
(generally reflects the performance of large-cap companies that have increased dividends every year for the last 25 consecutive years) | ||||
Morningstar Large Blend Category Average | 10.70% | |||
(generally reflects the performance of the universe of funds with similar investment objectives) |
Please note that Fund returns include applicable fees and expenses, while index returns do not include any such fees.
Performance shown at net asset value (NAV) does not include the effects of sales charges. If reflected, the performance shown would have been lower. Performance including sales charges reflects the maximum applicable front-end sales load.
Past performance is not a guarantee of future results. As with any mutual fund, the value of the Funds’ shares will change, and you could lose money on your investment.
For Ivy ProShares MSCI ACWI Index Fund, international investing involves additional risks, including currency fluctuations, political or economic conditions affecting the foreign country, and differences in accounting standards and foreign regulations. These risks are magnified in emerging markets.
For Ivy ProShares S&P 500 Bond Index Fund, fixed-income securities are subject to interest rate risk and, as such, the Fund’s NAV may fall as interest rates rise.
For Ivy ProShares Interest Rate Hedged High Yield Index Fund, the use of derivatives presents several risks including the risk that fluctuation in the values of the derivatives may not correlate perfectly with the overall securities markets or with the underlying asset from which the derivative’s value is derived. Moreover, some derivatives are more sensitive to interest rate changes and market fluctuations than others, and the risk of loss may be greater than if the derivative technique(s) had not been used. Derivatives also may be subject to counterparty risk, which includes the risk that a loss may be sustained by the Fund as a result of the insolvency or bankruptcy of, or other non-compliance by, another party to the transaction.
These and other risks are more fully described in the Funds’ prospectus.
The opinions expressed in this report are those of the Funds’ portfolio managers and are current only through the end of the period of the report as stated on the cover. The portfolio managers’ views are subject to change at any time based on market and other conditions, and no forecasts can be guaranteed.
The indexes noted are unmanaged, include reinvested dividends, and do not include fees. One cannot invest directly in an index, nor is an index representative of the Ivy ProShares Index Funds.
8 | ANNUAL REPORT | 2020 |
Table of Contents
PORTFOLIO HIGHLIGHTS | IVY PROSHARES INTEREST RATE HEDGED HIGH YIELD INDEX FUND |
ALL DATA IS AS OF SEPTEMBER 30, 2020 (UNAUDITED)
Asset Allocation
Bonds | 96.5% | |||
Corporate Debt Securities | 96.5% | |||
Cash and Other Assets (Net of Liabilities), | 3.5% |
Quality Weightings
Non-Investment Grade | 96.5% | |||
BB | 44.5% | |||
B | 33.7% | |||
CCC | 18.1% | |||
Below CCC | 0.2% | |||
Cash and Other Assets (Net of Liabilities), | 3.5% |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
2020 | ANNUAL REPORT | 9 |
Table of Contents
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT | IVY PROSHARES INTEREST RATE HEDGED HIGH YIELD INDEX FUND |
(UNAUDITED)
Please note that the performance of the Fund’s other share classes will be greater or less than the performance shown above for Class A based on the differences in loads and fees paid by shareholders investing in the different classes.
(1) | The value of the investment in the Fund is impacted by the sales load at the time of the investment and by the ongoing expenses of the Fund and assumes reinvestment of dividends and distributions. |
Average Annual Total Return(2) | Class A(3) | Class E | Class I | Class R | ||||||||||||
1-year period ended 9-30-20 | -4.32% | -4.20% | -1.52% | -2.31% | ||||||||||||
5-year period ended 9-30-20 | — | — | — | — | ||||||||||||
10-year period ended 9-30-20 | — | — | — | — | ||||||||||||
Since Inception of Class through 9-30-20(4) | 0.84% | 0.88% | 1.88% | 1.13% |
(2) | Data quoted is past performance and is based on deduction of the maximum applicable sales load for each of the periods. Current performance may be lower or higher. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost. Please visit www.ivyinvestments.com for the Fund’s most recent month end performance. Class A and Class E Shares carry a maximum front-end sales load of 2.50%. Class I and Class R shares are not subject to sales charges. |
(3) | Class A shares carry a CDSC on shares purchased at net asset value for $1 million or more that are subsequently redeemed within 12 months of purchase. Effective October 1, 2020, Class A shares carry a CDSC on shares purchased at net asset value for $500,000 or more that are subsequently redeemed within 12 months of purchase. |
(4) | 4-20-17 for Class A shares, 4-20-17 for Class E shares, 4-20-17 for Class I shares, 4-20-17 for Class N shares and 4-20-17 for Class R shares (the date on which shares were first acquired by shareholders). |
Past performance is not necessarily indicative of future performance. Indexes are unmanaged. The performance graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance results may include the effect of expense reduction arrangements for some or all of the periods shown. If those arrangements had not been in place, the performance results for those periods would have been lower.
10 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES INTEREST RATE HEDGED HIGH YIELD INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES | Principal | Value | ||||||
Communication Services |
| |||||||
Alternative Carriers – 1.4% |
| |||||||
CommScope Finance LLC, | ||||||||
6.000%, 3–1–26 (A) | $ | 300 | $ | 313 | ||||
Zayo Group Holdings, Inc., | ||||||||
6.125%, 3–1–28 (A) | 230 | 237 | ||||||
|
| |||||||
550 | ||||||||
|
| |||||||
Broadcasting – 5.3% |
| |||||||
AMC Networks, Inc., | ||||||||
5.000%, 4–1–24 | 250 | 256 | ||||||
Clear Channel Worldwide Holdings, Inc., | ||||||||
9.250%, 2–15–24 | 311 | 302 | ||||||
Nexstar Escrow, Inc., | ||||||||
5.625%, 7–15–27 (A) | 311 | 326 | ||||||
Sirius XM Radio, Inc.: | ||||||||
4.625%, 7–15–24 (A) | 376 | 389 | ||||||
4.125%, 7–1–30 (A) | 170 | 174 | ||||||
TEGNA, Inc., | ||||||||
5.000%, 9–15–29 (A) | 442 | 436 | ||||||
Terrier Media Buyer, Inc., | ||||||||
8.875%, 12–15–27 (A) | 120 | 121 | ||||||
|
| |||||||
2,004 | ||||||||
|
| |||||||
Cable & Satellite – 5.0% | ||||||||
CCO Holdings LLC and CCO Holdings Capital Corp.: | ||||||||
5.125%, 5–1–27 (A) | 531 | 559 | ||||||
4.750%, 3–1–30 (A) | 250 | 264 | ||||||
CSC Holdings LLC: | ||||||||
5.750%, 1–15–30 (A) | 257 | 273 | ||||||
4.625%, 12–1–30 (A) | 380 | 382 | ||||||
DISH DBS Corp., | ||||||||
7.750%, 7–1–26 | 300 | 330 | ||||||
Radiate Holdco LLC and Radiate Finance, Inc., | ||||||||
6.500%, 9–15–28 (A) | 100 | 103 | ||||||
|
| |||||||
1,911 | ||||||||
|
| |||||||
Integrated Telecommunication Services – 1.8% |
| |||||||
CenturyLink, Inc., |
| |||||||
5.125%, 12–15–26 (A) | 270 | 277 | ||||||
Level 3 Financing, Inc., | ||||||||
4.250%, 7–1–28 (A) | 100 | 102 | ||||||
Sprint Corp., | ||||||||
7.625%, 3–1–26 | 125 | 151 | ||||||
Windstream Escrow LLC, | ||||||||
7.750%, 8–15–28 (A) | 150 | 147 | ||||||
|
| |||||||
677 | ||||||||
|
| |||||||
Movies & Entertainment – 3.0% |
| |||||||
iHeartCommunications, Inc., | ||||||||
8.375%, 5–1–27 | 285 | 280 | ||||||
Netflix, Inc.: | ||||||||
4.875%, 4–15–28 | 150 | 168 | ||||||
5.875%, 11–15–28 | 570 | 680 | ||||||
|
| |||||||
1,128 | ||||||||
|
| |||||||
Publishing – 0.4% |
| |||||||
Meredith Corp., | ||||||||
6.875%, 2–1–26 | 174 | 145 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Wireless Telecommunication Service – 1.1% |
| |||||||
T-Mobile USA, Inc.: | ||||||||
6.500%, 1–15–26 | $ | 290 | $ | 303 | ||||
4.750%, 2–1–28 | 100 | 107 | ||||||
|
| |||||||
410 | ||||||||
|
| |||||||
Total Communication Services – 18.0% |
| 6,825 | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.3% |
| |||||||
L Brands, Inc., |
| |||||||
6.625%, 10–1–30 (A) | 110 | 112 | ||||||
|
| |||||||
Auto Parts & Equipment – 1.2% |
| |||||||
Panther BF Aggregator 2 L.P.: | ||||||||
6.250%, 5–15–26 (A) | 175 | 184 | ||||||
8.500%, 5–15–27 (A) | 250 | 259 | ||||||
|
| |||||||
443 | ||||||||
|
| |||||||
Automobile Manufacturers – 2.6% |
| |||||||
Ford Motor Co., | ||||||||
9.000%, 4–22–25 | 550 | 631 | ||||||
Tesla, Inc. (GTD by SolarCity Corp.), | ||||||||
5.300%, 8–15–25 (A) | 346 | 358 | ||||||
|
| |||||||
989 | ||||||||
|
| |||||||
Automotive Retail – 0.3% |
| |||||||
Allison Transmission, Inc., | ||||||||
5.000%, 10–1–24 (A) | 100 | 101 | ||||||
|
| |||||||
Casinos & Gaming – 3.8% |
| |||||||
Colt Merger Sub, Inc.: | ||||||||
6.250%, 7–1–25 (A) | 440 | 459 | ||||||
8.125%, 7–1–27 (A) | 190 | 201 | ||||||
Golden Nugget, Inc., | ||||||||
6.750%, 10–15–24 (A) | 175 | 146 | ||||||
MGM Growth Properties Operating Partnership L.P. and MGP Finance Co-Issuer, Inc., | ||||||||
5.625%, 5–1–24 | 110 | 117 | ||||||
Scientific Games International, Inc. (GTD by Scientific Games Corp.): | ||||||||
5.000%, 10–15–25 (A) | 365 | 367 | ||||||
8.250%, 3–15–26 (A) | 140 | 147 | ||||||
|
| |||||||
1,437 | ||||||||
|
| |||||||
Consumer Electronics – 0.5% |
| |||||||
Spectrum Brands, Inc. (GTD by SB/RH Holdings), | ||||||||
5.750%, 7–15–25 | 165 | 170 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.3% |
| |||||||
Carnival Corp., | ||||||||
11.500%, 4–1–23 (A) | 100 | 112 | ||||||
|
| |||||||
Housewares & Specialties – 1.1% |
| |||||||
Newell Rubbermaid, Inc.: | ||||||||
3.850%, 4–1–23 | 210 | 219 | ||||||
4.200%, 4–1–26 | 200 | 213 | ||||||
|
| |||||||
432 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Leisure Facilities – 2.2% |
| |||||||
Diamond Sports Group LLC and Diamond Sports Finance Co. (GTD by Diamond Sports Intermediate Holdings LLC): | ||||||||
5.375%, 8–15–26 (A) | $ | 440 | $ | 311 | ||||
6.625%, 8–15–27 (A) | 500 | 260 | ||||||
Six Flags Entertainment Corp., | ||||||||
4.875%, 7–31–24 (A) | 262 | 247 | ||||||
|
| |||||||
818 | ||||||||
|
| |||||||
Leisure Products – 0.3% |
| |||||||
Mattel, Inc., | ||||||||
6.750%, 12–31–25 (A) | 110 | 116 | ||||||
|
| |||||||
Restaurants – 3.2% |
| |||||||
1011778 B.C. Unlimited Liability Co. and New Red Finance, Inc.: | ||||||||
4.250%, 5–15–24 (A) | 250 | 255 | ||||||
5.000%, 10–15–25 (A) | 416 | 426 | ||||||
Aramark Services, Inc. (GTD by Aramark Corp.), | ||||||||
5.000%, 2–1–28 (A) | 310 | 312 | ||||||
KFC Holding Co., Pizza Hut Holdings LLC and Taco Bell of America LLC, 5.250%, 6–1–26 (A) | 100 | 104 | ||||||
YUM! Brands, Inc., | ||||||||
3.625%, 3–15–31 | 130 | 130 | ||||||
|
| |||||||
1,227 | ||||||||
|
| |||||||
Specialized Consumer Services – 1.5% |
| |||||||
Nielsen Finance LLC and Nielsen Finance Co., | ||||||||
5.625%, 10–1–28 (A) | 100 | 103 | ||||||
Uber Technologies, Inc.: | ||||||||
8.000%, 11–1–26 (A) | 275 | 293 | ||||||
7.500%, 9–15–27 (A) | 160 | 170 | �� | |||||
|
| |||||||
566 | ||||||||
|
| |||||||
Specialty Stores – 1.7% |
| |||||||
PetSmart, Inc., | ||||||||
5.875%, 6–1–25 (A) | 203 | 208 | ||||||
Staples, Inc.: | ||||||||
7.500%, 4–15–26 (A) | 244 | 225 | ||||||
10.750%, 4–15–27 (A) | 275 | 220 | ||||||
|
| |||||||
653 | ||||||||
|
| |||||||
Tires & Rubber – 0.5% |
| |||||||
Goodyear Tire & Rubber Co. (The), | ||||||||
5.125%, 11–15–23 | 200 | 199 | ||||||
|
| |||||||
Total Consumer Discretionary – 19.5% |
| 7,375 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 0.6% |
| |||||||
NBM U.S. Holdings, Inc., | ||||||||
7.000%, 5–14–26 (A) | 200 | 212 | ||||||
|
| |||||||
Food Distributors – 0.4% |
| |||||||
Performance Food Group, Inc., | ||||||||
5.500%, 10–15–27 (A) | 165 | 170 | ||||||
|
|
2020 | ANNUAL REPORT | 11 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES INTEREST RATE HEDGED HIGH YIELD INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Food Retail – 0.8% |
| |||||||
Albertsons Cos. LLC, Safeway, Inc., New Albertson’s, Inc. and Albertson’s LLC, | ||||||||
4.625%, 1–15–27 (A) | $ | 280 | $ | 287 | ||||
|
| |||||||
Packaged Foods & Meats – 2.5% |
| |||||||
JBS USA, JBS USA Food Co. and JBS USA Finance, Inc. (GTD by JBS S.A.): | ||||||||
6.500%, 4–15–29 (A) | 250 | 277 | ||||||
5.500%, 1–15–30 (A) | 100 | 109 | ||||||
Post Holdings, Inc.: | ||||||||
5.000%, 8–15–26 (A) | 414 | 425 | ||||||
4.625%, 4–15–30 (A) | 150 | 154 | ||||||
|
| |||||||
965 | ||||||||
|
| |||||||
Total Consumer Staples – 4.3% |
| 1,634 | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 0.8% |
| |||||||
Brand Energy & Infrastructure Services, Inc., | ||||||||
8.500%, 7–15–25 (A) | 100 | 94 | ||||||
Weatherford International Ltd. (GTD by Weatherford International plc and Weatherford International LLC), | ||||||||
11.000%, 12–1–24 | 350 | 210 | ||||||
|
| |||||||
304 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 3.5% |
| |||||||
Crownrock L.P., | ||||||||
5.625%, 10–15–25 (A) | 160 | 151 | ||||||
Endeavor Energy Resources L.P., | ||||||||
5.750%, 1–30–28 (A) | 250 | 251 | ||||||
EQT Corp., | ||||||||
7.875%, 2–1–25(B) | 300 | 333 | ||||||
Matador Resources Co., | ||||||||
5.875%, 9–15–26 | 220 | 184 | ||||||
Occidental Petroleum Corp., | ||||||||
2.900%, 8–15–24 | 270 | 229 | ||||||
Targa Resources Partners L.P., | ||||||||
5.875%, 4–15–26 | 163 | 167 | ||||||
|
| |||||||
1,315 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.2% |
| |||||||
PBF Holding Co. LLC, | ||||||||
6.000%, 2–15–28 (A) | 132 | 89 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 1.7% |
| |||||||
Cheniere Energy Partners L.P., | ||||||||
4.500%, 10–1–29 | 336 | 345 | ||||||
EQT Midstream Partners L.P., | ||||||||
4.750%, 7–15–23 | 200 | 200 | ||||||
New Fortress Energy, Inc., | ||||||||
6.750%, 9–15–25 (A) | 100 | 104 | ||||||
|
| |||||||
649 | ||||||||
|
| |||||||
Total Energy – 6.2% |
| 2,357 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Financials | ||||||||
Consumer Finance – 2.4% |
| |||||||
Ally Financial, Inc., | ||||||||
5.750%, 11–20–25 | $ | 264 | $ | 296 | ||||
OneMain Finance Corp.: | ||||||||
6.125%, 3–15–24 | 185 | 194 | ||||||
7.125%, 3–15–26 . | 220 | 246 | ||||||
Quicken Loans, Inc., | ||||||||
5.250%, 1–15–28 (A) | 170 | 179 | ||||||
|
| |||||||
915 | ||||||||
|
| |||||||
Financial Exchanges & Data – 2.4% |
| |||||||
MSCI, Inc.: | ||||||||
4.000%, 11–15–29 (A) | 114 | 119 | ||||||
3.875%, 2–15–31 (A) | 330 | 344 | ||||||
Refinitiv U.S. Holdings, Inc.: | ||||||||
6.250%, 5–15–26 (A) | 150 | 160 | ||||||
8.250%, 11–15–26 (A) | 265 | 291 | ||||||
|
| |||||||
914 | ||||||||
|
| |||||||
Insurance Brokers – 0.5% |
| |||||||
NFP Corp., | ||||||||
6.875%, 8–15–28 (A) | 175 | 177 | ||||||
|
| |||||||
Other Diversified Financial Services – 0.9% |
| |||||||
Icahn Enterprises L.P. and Icahn Enterprises Finance Corp.: | ||||||||
6.250%, 2–1–22 | 150 | 152 | ||||||
6.250%, 5–15–26 | 200 | 208 | ||||||
|
| |||||||
360 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.7% |
| |||||||
Hub International Ltd., | ||||||||
7.000%, 5–1–26 (A) | 250 | 259 | ||||||
|
| |||||||
Specialized Finance – 2.3% |
| |||||||
Banff Merger Sub, Inc., | ||||||||
9.750%, 9–1–26 (A) | 110 | 116 | ||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp., | ||||||||
7.125%, 6–15–24 (A) | 331 | 345 | ||||||
Navient Corp., | ||||||||
6.500%, 6–15–22 | 250 | 255 | ||||||
Tempo Acquisition LLC and Tempo Acquisition Finance Corp., | ||||||||
6.750%, 6–1–25 (A) | 150 | 153 | ||||||
|
| |||||||
869 | ||||||||
|
| |||||||
Total Financials – 9.2% |
| 3,494 | ||||||
Health Care |
| |||||||
Health Care Equipment – 0.4% |
| |||||||
Avantor Funding, Inc., | ||||||||
4.625%, 7–15–28 (A) | 150 | 156 | ||||||
|
| |||||||
Health Care Facilities – 7.1% |
| |||||||
Community Health Systems, Inc.: | ||||||||
6.250%, 3–31–23 | 474 | 463 | ||||||
8.000%, 3–15–26 (A) | 90 | 89 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Health Care Facilities (Continued) |
| |||||||
DaVita, Inc.: | ||||||||
4.625%, 6–1–30 (A) | $ | 330 | $ | 339 | ||||
3.750%, 2–15–31 (A) | 200 | 192 | ||||||
HCA, Inc. (GTD by HCA Holdings, Inc.): | ||||||||
5.625%, 9–1–28 | 484 | 554 | ||||||
3.500%, 9–1–30 | 250 | 254 | ||||||
MPH Acquisition Holdings LLC, | ||||||||
7.125%, 6–1–24 (A) | 141 | 145 | ||||||
RegionalCare Hospital Partners Holdings, Inc. and Legend Merger Sub, Inc., | ||||||||
9.750%, 12–1–26 (A) | 125 | 133 | ||||||
Select Medical Corp., | ||||||||
6.250%, 8–15–26 (A) | 129 | 134 | ||||||
Tenet Healthcare Corp., | ||||||||
6.125%, 10–1–28 (A) | 380 | 370 | ||||||
|
| |||||||
2,673 | ||||||||
|
| |||||||
Health Care Services – 1.1% |
| |||||||
Envision Healthcare Corp., | ||||||||
8.750%, 10–15–26 (A) | 195 | 90 | ||||||
IQVIA, Inc., | ||||||||
5.000%, 5–15–27 (A) | 300 | 314 | ||||||
|
| |||||||
404 | ||||||||
|
| |||||||
Health Care Technology – 1.1% |
| |||||||
Change Healthcare Holdings, Inc., | ||||||||
5.750%, 3–1–25 (A) | 270 | 273 | ||||||
Verscend Holding Corp., | ||||||||
9.750%, 8–15–26 (A) | 150 | 163 | ||||||
|
| |||||||
436 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 0.8% |
| |||||||
Avantor, Inc., | ||||||||
6.000%, 10–1–24 (A) | 300 | 314 | ||||||
|
| |||||||
Pharmaceuticals – 3.1% |
| |||||||
Endo Designed Activity Co., Endo Finance LLC and Endo Finco, Inc., | ||||||||
6.000%, 6–30–28 (A) | 150 | 110 | ||||||
IMS Health, Inc., | ||||||||
5.000%, 10–15–26 (A) | 79 | 83 | ||||||
Par Pharmaceutical, Inc., | ||||||||
7.500%, 4–1–27 (A) | 300 | 314 | ||||||
Valeant Pharmaceuticals International, Inc., | ||||||||
7.000%, 3–15–24 (A) | 645 | 668 | ||||||
|
| |||||||
1,175 | ||||||||
|
| |||||||
Total Health Care – 13.6% |
| 5,158 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 3.5% |
| |||||||
Bombardier, Inc., | ||||||||
7.875%, 4–15–27 (A) | 580 | 440 | ||||||
|
| |||||||
TransDigm, Inc. (GTD by TransDigm Group, Inc.), | ||||||||
6.250%, 3–15–26 (A) | 850 | 891 | ||||||
|
| |||||||
1,331 | ||||||||
|
|
12 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES INTEREST RATE HEDGED HIGH YIELD INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Air Freight & Logistics – 0.3% | ||||||||
XPO Logistics, Inc., | ||||||||
6.250%, 5–1–25 (A) | $ | 110 | $ | 117 | ||||
|
| |||||||
Building Products – 0.5% |
| |||||||
Beacon Escrow Corp., | ||||||||
4.875%, 11–1–25 (A) | 193 | 189 | ||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 0.2% |
| |||||||
Navistar International Corp. (GTD by Navistar, Inc.), | ||||||||
6.625%, 11–1–25 (A) | 80 | 82 | ||||||
|
| |||||||
Diversified Support Services – 1.0% |
| |||||||
United Rentals (North America), Inc. (GTD by United Rentals, Inc.), | ||||||||
4.875%, 1–15–28 | 350 | 368 | ||||||
|
| |||||||
Electrical Components & Equipment – 0.9% |
| |||||||
WESCO Distribution, Inc.: | ||||||||
7.125%, 6–15–25 (A) | 100 | 109 | ||||||
7.250%, 6–15–28 (A) | 210 | 230 | ||||||
|
| |||||||
339 | ||||||||
|
| |||||||
Office Services & Supplies – 0.3% |
| |||||||
Xerox Corp., | ||||||||
4.125%, 3–15–23 | 130 | 134 | ||||||
|
| |||||||
Security & Alarm Services – 1.6% |
| |||||||
Allied Universal Holdco LLC: | ||||||||
6.625%, 7–15–26 (A) | 100 | 106 | ||||||
9.750%, 7–15–27 (A) | 150 | 163 | ||||||
Prime Security Services Borrower LLC and Prime Finance, Inc., | ||||||||
5.750%, 4–15–26 (A) | 300 | 321 | ||||||
|
| |||||||
590 | ||||||||
|
| |||||||
Trucking – 0.5% |
| |||||||
Herc Holdings, Inc., | ||||||||
5.500%, 7–15–27 (A) | 170 | 176 | ||||||
|
| |||||||
Total Industrials – 8.8% |
| 3,326 | ||||||
Information Technology |
| |||||||
Application Software – 1.3% |
| |||||||
Solera LLC and Solera Finance, Inc., | ||||||||
10.500%, 3–1–24 (A) | 178 | 186 | ||||||
SS&C Technologies Holdings, Inc., | ||||||||
5.500%, 9–30–27 (A) | 280 | 297 | ||||||
|
| |||||||
483 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 0.3% |
| |||||||
Exela Intermediate LLC and Exela Finance, Inc., | ||||||||
10.000%, 7–15–23 (A) | 370 | 113 | ||||||
|
| |||||||
Total Information Technology – 1.6% |
| 596 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Materials |
| |||||||
Aluminum – 1.0% |
| |||||||
Novelis Corp. (GTD by Novelis, Inc.): | ||||||||
5.875%, 9–30–26 (A) | $ | 70 | $ | 72 | ||||
4.750%, 1–30–30 (A) | 309 | 302 | ||||||
|
| |||||||
374 | ||||||||
|
| |||||||
Commodity Chemicals – 1.0% |
| |||||||
NOVA Chemicals Corp.: | ||||||||
4.875%, 6–1–24 (A) | 215 | 213 | ||||||
5.250%, 6–1–27 (A) | 196 | 185 | ||||||
|
| |||||||
398 | ||||||||
|
| |||||||
Diversified Metals & Mining – 1.2% |
| |||||||
First Quantum Minerals Ltd.: | ||||||||
7.250%, 4–1–23 (A) | 140 | 140 | ||||||
7.500%, 4–1–25 (A) | 312 | 308 | ||||||
|
| |||||||
448 | ||||||||
|
| |||||||
Metal & Glass Containers – 1.6% |
| |||||||
Ball Corp., | ||||||||
2.875%, 8–15–30 | 150 | 148 | ||||||
BWAY Holding Co.: | ||||||||
5.500%, 4–15–24 (A) | 323 | 324 | ||||||
7.250%, 4–15–25 (A) | 160 | 151 | ||||||
|
| |||||||
623 | ||||||||
|
| |||||||
Paper Packaging – 0.9% |
| |||||||
Reynolds Group Issuer, Inc., Reynolds Group Issuer LLC and Reynolds Group Issuer (Luxembourg) S.A., | ||||||||
5.125%, 7–15–23 (A) | 320 | 324 | ||||||
|
| |||||||
Total Materials – 5.7% |
| 2,167 | ||||||
Real Estate |
| |||||||
Hotel & Resort REITs – 1.6% |
| |||||||
Hilton Domestic Operating Co., Inc.: | ||||||||
5.125%, 5–1–26 | 250 | 256 | ||||||
4.875%, 1–15–30 | 325 | 335 | ||||||
|
| |||||||
591 | ||||||||
|
| |||||||
Real Estate Development – 0.4% |
| |||||||
Howard Hughs Corp., | ||||||||
5.375%, 3–15–25 (A) | 150 | 153 | ||||||
|
| |||||||
Specialized REITs – 3.2% |
| |||||||
Iron Mountain, Inc., | ||||||||
4.500%, 2–15–31 (A) | 260 | 261 | ||||||
SBA Communications Corp., | ||||||||
4.875%, 9–1–24 | 355 | 364 | ||||||
Uniti Group L.P., Uniti Fiber Holdings, Inc., Uniti Group Finance 2019, Inc. and CSL Capital LLC (GTD by Uniti Group, Inc.), | ||||||||
7.875%, 2–15–25 (A) | 250 | 265 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Specialized REITs (Continued) |
| |||||||
VICI Properties L.P. and VICI Note Co., Inc., | ||||||||
4.125%, 8–15–30 (A) | $ | 320 | $ | 315 | ||||
|
| |||||||
1,205 | ||||||||
|
| |||||||
Total Real Estate – 5.2% |
| 1,949 | ||||||
Utilities |
| |||||||
Electric Utilities – 2.3% |
| |||||||
Calpine Corp.: | ||||||||
4.500%, 2–15–28 (A) | 100 | 103 | ||||||
5.125%, 3–15–28 (A) | 200 | 207 | ||||||
Emera, Inc., Series 2016–A, | ||||||||
6.750%, 6–15–76 | 220 | 244 | ||||||
Vistra Operations Co. LLC: | ||||||||
5.625%, 2–15–27 (A) | 205 | 216 | ||||||
5.000%, 7–31–27 (A) | 100 | 105 | ||||||
|
| |||||||
875 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders – 0.7% |
| |||||||
NRG Energy, Inc., | ||||||||
6.625%, 1–15–27 | 256 | 271 | ||||||
|
| |||||||
Multi-Utilities – 1.4% |
| |||||||
MEG Energy Corp., | ||||||||
7.125%, 2–1–27 (A) | 244 | 219 | ||||||
Pacific Gas and Electric Co., | ||||||||
5.250%, 7–1–30 | 300 | 290 | ||||||
|
| |||||||
509 | ||||||||
|
| |||||||
Total Utilities – 4.4% |
| 1,655 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 96.5% |
| $ | 36,536 | |||||
(Cost: $36,631) |
| |||||||
SHORT–TERM SECURITIES | Shares | |||||||
Money Market Funds (C) – 0.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, 0.030% | 32 | 32 | ||||||
|
| |||||||
TOTAL SHORT–TERM SECURITIES – 0.1% |
| $ | 32 | |||||
(Cost: $32) |
| |||||||
TOTAL INVESTMENT SECURITIES – 96.6% |
| $ | 36,568 | |||||
(Cost: $36,663) |
| |||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES (D) – 3.4% |
| 1,281 | ||||||
NET ASSETS – 100.0% |
| $ | 37,849 |
2020 | ANNUAL REPORT | 13 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES INTEREST RATE HEDGED HIGH YIELD INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
Notes to Schedule of Investments
(A) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020 the total value of these securities amounted to $25,435 or 67.2% of net assets. |
(B) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at September 30, 2020. |
(C) | Rate shown is the annualized 7-day yield at September 30, 2020. |
(D) | Cash of $230 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at September 30, 2020 (contracts unrounded):
Description | Type | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Depreciation | ||||||||||||||||||||||
U.S. 10-Year Treasury Note | Short | 69 | 12–21–20 | 6,900 | $ | (9,627 | ) | $ | (23 | ) | ||||||||||||||||||
U.S. 2-Year Treasury Note | Short | 55 | 12–31–20 | 11,000 | (12,153 | ) | (7 | ) | ||||||||||||||||||||
U.S. 5-Year Treasury Note | Short | 121 | 12–31–20 | 12,100 | (15,250 | ) | (31 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | (37,030 | ) | $ | (61 | ) | |||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of September 30, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Corporate Debt Securities | $ | — | $ | 36,536 | $ | — | ||||||
Short-Term Securities | 32 | — | — | |||||||||
Total | $ | 32 | $ | 36,536 | $ | — | ||||||
Liabilities | ||||||||||||
Futures Contracts | $ | 61 | $ | — | $ | — |
The following acronyms are used throughout this schedule:
GTD = Guaranteed
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
14 | ANNUAL REPORT | 2020 |
Table of Contents
PORTFOLIO HIGHLIGHTS | IVY PROSHARES MSCI ACWI INDEX FUND |
ALL DATA IS AS OF SEPTEMBER 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 99.2% | |||
Information Technology | 21.8% | |||
Health Care | 12.6% | |||
Consumer Discretionary | 12.6% | |||
Financials | 12.5% | |||
Industrials | 9.4% | |||
Communication Services | 9.2% | |||
Consumer Staples | 7.6% | |||
Materials | 4.9% | |||
Utilities | 3.1% | |||
Real Estate | 2.8% | |||
Energy | 2.7% | |||
Warrants | 0.0% | |||
Liabilites (Net of Cash and Other Assets), and Cash Equivalents+ | 0.8% |
Country Weightings
North America | 61.3% | |||
United States | 58.1% | |||
Other North America | 3.2% | |||
Europe | 19.1% | |||
United Kingdom | 4.1% | |||
Other Europe | 15.0% | |||
Pacific Basin | 18.0% | |||
Japan | 6.7% | |||
China | 4.0% | |||
Other Pacific Basin | 7.3% | |||
South America | 0.6% | |||
South Africa | 0.2% | |||
Liabilites (Net of Cash and Other Assets), and Cash Equivalents+ | 0.8% |
Top 10 Equity Holdings
| ||||||
Company | Country | Sector | Industry | |||
Apple, Inc. | United States | Information Technology | Technology Hardware, Storage & Peripherals | |||
Microsoft Corp. | United States | Information Technology | Systems Software | |||
Amazon.com, Inc. | United States | Consumer Discretionary | Internet & Direct Marketing Retail | |||
Facebook, Inc., Class A | United States | Communication Services | Interactive Media & Services | |||
Alibaba Group Holding Ltd. ADR | China | Consumer Discretionary | Internet & Direct Marketing Retail | |||
Alphabet, Inc., Class C | United States | Communication Services | Interactive Media & Services | |||
Alphabet, Inc., Class A | United States | Communication Services | Interactive Media & Services | |||
Johnson & Johnson | United States | Health Care | Pharmaceuticals | |||
Tencent Holdings Ltd. | China | Communication Services | Interactive Media & Services | |||
Taiwan Semiconductor Manufacturing Co. Ltd. | Taiwan | Information Technology | Semiconductors |
See your advisor or www.ivyinvestments.com for more information on the Fund’s most recently published Top 10 Equity Holdings.
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
2020 | ANNUAL REPORT | 15 |
Table of Contents
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT | IVY PROSHARES MSCI ACWI INDEX FUND |
(UNAUDITED)
Please note that the performance of the Fund’s other share classes will be greater or less than the performance shown above for Class A based on the differences in loads and fees paid by shareholders investing in the different classes.
(1) | The value of the investment in the Fund is impacted by the sales load at the time of the investment and by the ongoing expenses of the Fund and assumes reinvestment of dividends and distributions. |
Average Annual Total Return(2) | Class A(3) | Class E | Class I | |||||||||
1-year period ended 9-30-20 | 7.49% | 7.70% | 10.51% | |||||||||
5-year period ended 9-30-20 | — | — | — | |||||||||
10-year period ended 9-30-20 | — | — | — | |||||||||
Since Inception of Class through 9-30-20(4) | 7.92% | 8.09% | 8.99% |
(2) | Data quoted is past performance and is based on deduction of the maximum applicable sales load for each of the periods. Current performance may be lower or higher. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost. Please visit www.ivyinvestments.com for the Fund’s most recent month end performance. Class A and Class E Shares carry a maximum front-end sales load of 2.50%. Class I shares are not subject to sales charges. |
(3) | Class A shares carry a CDSC on shares purchased at net asset value for $1 million or more that are subsequently redeemed within 12 months of purchase. Effective October 1, 2020, Class A shares carry a CDSC on shares purchased at net asset value for $500,000 or more that are subsequently redeemed within 12 months of purchase. |
(4) | 4-20-17 for Class A shares, 4-20-17 for Class E shares, and 4-20-17 for Class I shares (the date on which shares were first acquired by shareholders). |
Past performance is not necessarily indicative of future performance. Indexes are unmanaged. The performance graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance results may include the effect of expense reduction arrangements for some or all of the periods shown. If those arrangements had not been in place, the performance results for those periods would have been lower.
16 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES MSCI ACWI INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS | Shares | Value | ||||||
Australia |
| |||||||
Consumer Discretionary – 0.1% |
| |||||||
Aristocrat Leisure Ltd. | 2 | $ | 33 | |||||
|
| |||||||
Consumer Staples – 0.2% |
| |||||||
Coles Group Ltd. | 1 | 15 | ||||||
Wesfarmers Ltd. | 2 | 75 | ||||||
Woolworths Ltd. | 2 | 44 | ||||||
|
| |||||||
134 | ||||||||
|
| |||||||
Energy – 0.0% |
| |||||||
Santos Ltd. | 7 | 25 | ||||||
Woodside Petroleum Ltd. | 2 | 23 | ||||||
|
| |||||||
48 | ||||||||
|
| |||||||
Financials – 0.6% |
| |||||||
Australia and New Zealand Banking Group Ltd. | 4 | 55 | ||||||
Australian Stock Exchange Ltd. | — | * | 27 | |||||
Commonwealth Bank of Australia | 3 | 115 | ||||||
Insurance Australia Group Ltd. | 7 | 21 | ||||||
Macquarie Group Ltd. | 1 | 49 | ||||||
National Australia Bank Ltd. | 5 | 66 | ||||||
QBE Insurance Group Ltd. | 4 | 24 | ||||||
Suncorp Group Ltd. | 3 | 17 | ||||||
Westpac Banking Corp. | 5 | 64 | ||||||
|
| |||||||
438 | ||||||||
|
| |||||||
Health Care – 0.2% |
| |||||||
Cochlear Ltd. | — | * | 28 | |||||
CSL Ltd. | 1 | 141 | ||||||
Ramsay Health Care Ltd. | 1 | 24 | ||||||
Sonic Healthcare Ltd. | 1 | 24 | ||||||
|
| |||||||
217 | ||||||||
|
| |||||||
Industrials – 0.0% |
| |||||||
Brambles Ltd. | 4 | 31 | ||||||
Transurban Group | 4 | 43 | ||||||
|
| |||||||
74 | ||||||||
|
| |||||||
Information Technology – 0.0% |
| |||||||
Afterpay Ltd. (A) | — | * | 28 | |||||
Computershare Ltd. | 3 | 25 | ||||||
|
| |||||||
53 | ||||||||
|
| |||||||
Materials – 0.5% |
| |||||||
BHP Group Ltd. | 4 | 111 | ||||||
BHP Group plc | 3 | 67 | ||||||
Fortescue Metals Group Ltd. | 4 | 48 | ||||||
Newcrest Mining Ltd. | 1 | 30 | ||||||
South32 Ltd. | 15 | 22 | ||||||
|
| |||||||
278 | ||||||||
|
| |||||||
Real Estate – 0.2% |
| |||||||
Dexus | 2 | 14 | ||||||
Goodman Group | 4 | 46 | ||||||
Mirvac Group | 13 | 20 | ||||||
Scentre Group | 19 | 31 | ||||||
Stockland Corp. Ltd. | 12 | 33 | ||||||
|
| |||||||
144 | ||||||||
|
| |||||||
Total Australia – 1.8% |
| 1,419 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Austria |
| |||||||
Financials – 0.0% |
| |||||||
Erste Bank der Oesterreichischen Sparkassen AG (A) | 1 | $ | 18 | |||||
|
| |||||||
Total Austria – 0.0% |
| $ | 18 | |||||
Belgium |
| |||||||
Consumer Staples – 0.1% |
| |||||||
Anheuser-Busch InBev S.A./N.V. | 1 | 61 | ||||||
|
| |||||||
Financials – 0.0% |
| |||||||
ageas N.V. (A) | — | * | 20 | |||||
Groupe Bruxelles Lambert S.A. | — | * | 19 | |||||
KBC Group N.V. | — | * | 24 | |||||
|
| |||||||
63 | ||||||||
|
| |||||||
Health Care – 0.0% |
| |||||||
UCB S.A./N.V. | — | * | 27 | |||||
|
| |||||||
Materials – 0.0% |
| |||||||
Solvay S.A. | — | * | 27 | |||||
Umicore S.A. | — | * | 17 | |||||
|
| |||||||
44 | ||||||||
|
| |||||||
Total Belgium – 0.1% |
| $ | 195 | |||||
Bermuda |
| |||||||
Financials – 0.0% |
| |||||||
Arch Capital Group Ltd. (A) | 1 | 22 | ||||||
Everest Re Group Ltd. | — | * | 24 | |||||
|
| |||||||
46 | ||||||||
|
| |||||||
Total Bermuda – 0.0% |
| $ | 46 | |||||
Brazil |
| |||||||
Consumer Discretionary – 0.1% |
| |||||||
Lojas Renner S.A. | 2 | 18 | ||||||
Magazine Luiza S.A. | 2 | 26 | ||||||
MercadoLibre, Inc. (A) | — | * | 72 | |||||
|
| |||||||
116 | ||||||||
|
| |||||||
Consumer Staples – 0.0% |
| |||||||
Ambev S.A. | 10 | 23 | ||||||
Natura &Co. Holding S.A. | 2 | 17 | ||||||
|
| |||||||
40 | ||||||||
|
| |||||||
Energy – 0.1% |
| |||||||
Petroleo Brasileiro S.A. | 15 | 53 | ||||||
|
| |||||||
Financials – 0.3% |
| |||||||
B3 S.A. - Brasil, Bolsa, Balcao | 4 | 42 | ||||||
Banco Bradesco S.A. | 10 | 34 | ||||||
Banco do Brasil S.A. | 4 | 19 | ||||||
Itau Unibanco Holdings S.A. | 9 | 37 | ||||||
Itausa Investimentos Itau S.A. | 13 | 21 | ||||||
|
| |||||||
153 | ||||||||
|
| |||||||
Health Care – 0.0% |
| |||||||
Notre Dame Intermedica Participacoes S.A. | 1 | 13 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrials – 0.0% |
| |||||||
Localiza Rent a Car S.A. | 2 | $ | 21 | |||||
Rumo S.A. (A) | 6 | 19 | ||||||
WEG S.A. | 2 | 27 | ||||||
|
| |||||||
67 | ||||||||
|
| |||||||
Materials – 0.1% |
| |||||||
Suzano Papel e Cellulose S.A. | 2 | 12 | ||||||
Vale S.A. | 6 | 67 | ||||||
|
| |||||||
79 | ||||||||
|
| |||||||
Total Brazil – 0.6% |
| $ | 521 | |||||
Canada |
| |||||||
Communication Services – 0.0% |
| |||||||
Rogers Communications, Inc., Class B | — | * | 18 | |||||
Thomson Reuters Corp. | — | * | 23 | |||||
|
| |||||||
41 | ||||||||
|
| |||||||
Consumer Discretionary – 0.1% |
| |||||||
Canadian Tire Corp. Ltd., Class A | — | * | 15 | |||||
Dollarama, Inc. | 1 | 23 | ||||||
lululemon athletica, Inc. (A) | — | * | 64 | |||||
Magna International, Inc. | — | * | 21 | |||||
Restaurant Brands International, Inc. | — | * | 23 | |||||
|
| |||||||
146 | ||||||||
|
| |||||||
Consumer Staples – 0.1% |
| |||||||
Alimentation Couche-Tard, Inc., Class B | 1 | 50 | ||||||
Metro, Inc. | 1 | 25 | ||||||
|
| |||||||
75 | ||||||||
|
| |||||||
Energy – 0.4% |
| |||||||
Canadian Natural Resources Ltd. | 2 | 34 | ||||||
Cenovus Energy, Inc. | 4 | 14 | ||||||
Enbridge, Inc. | 3 | 83 | ||||||
Pembina Pipeline Corp. | 1 | 28 | ||||||
Suncor Energy, Inc. | 3 | 32 | ||||||
TransCanada Corp. | 1 | 57 | ||||||
|
| |||||||
248 | ||||||||
|
| |||||||
Financials – 1.2% |
| |||||||
Bank of Montreal | 1 | 54 | ||||||
Bank of Nova Scotia (The) | 2 | 87 | ||||||
Brookfield Asset Management, Inc., Class A | 2 | 66 | ||||||
Canadian Imperial Bank of Commerce (B) | 1 | 54 | ||||||
Fairfax Financial Holdings Ltd. | — | * | 23 | |||||
Intact Financial Corp. | — | * | 31 | |||||
Manulife Financial Corp. | 3 | 46 | ||||||
National Bank of Canada (B) | 1 | 39 | ||||||
Power Corp. of Canada | 1 | 19 | ||||||
Royal Bank of Canada | 2 | 140 | ||||||
Sun Life Financial, Inc. | 1 | 42 | ||||||
Toronto-Dominion Bank | 3 | 118 | ||||||
|
| |||||||
719 | ||||||||
|
| |||||||
Industrials – 0.3% |
| |||||||
Canadian National Railway Co. | 1 | 102 | ||||||
Canadian Pacific Railway Ltd. | — | * | 58 |
2020 | ANNUAL REPORT | 17 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES MSCI ACWI INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrials (Continued) |
| |||||||
WSP Global, Inc. | — | * | $ | 27 | ||||
|
| |||||||
187 | ||||||||
|
| |||||||
Information Technology – 0.3% |
| |||||||
CGI Group, Inc., Class A (A) | — | * | 25 | |||||
Constellation Software, Inc. | — | * | 40 | |||||
Open Text Corp. | 1 | 24 | ||||||
Shopify, Inc., Class A (A) | — | * | 156 | |||||
|
| |||||||
245 | ||||||||
|
| |||||||
Materials – 0.5% |
| |||||||
Agnico-Eagle Mines Ltd. | — | * | 35 | |||||
B2Gold Corp. | 3 | 17 | ||||||
Barrick Gold Corp. | 3 | 78 | ||||||
First Quantum Minerals Ltd. | 2 | 13 | ||||||
Franco-Nevada Corp. | — | * | 45 | |||||
Kinross Gold Corp. | 2 | 17 | ||||||
Kirkland Lake Gold Ltd. | 1 | 26 | ||||||
Lundin Mining Corp. | 3 | 17 | ||||||
Nutrien Ltd. (B) | 1 | 35 | ||||||
Teck Cominco Ltd. | 2 | 32 | ||||||
Wheaton Precious Metals Corp. | 1 | 41 | ||||||
|
| |||||||
356 | ||||||||
|
| |||||||
Real Estate – 0.0% |
| |||||||
RioCan | 2 | 18 | ||||||
SmartREIT | 1 | 20 | ||||||
|
| |||||||
38 | ||||||||
|
| |||||||
Utilities – 0.2% |
| |||||||
Algonquin Power & Utilities Corp. (B) | 2 | 28 | ||||||
Canadian Utilities Ltd., Class A | 1 | 12 | ||||||
Emera, Inc. | 1 | 39 | ||||||
Fortis, Inc. | 1 | 52 | ||||||
Hydro One Ltd. | 1 | 25 | ||||||
|
| |||||||
156 | ||||||||
|
| |||||||
Total Canada – 3.1% |
| 2,211 | ||||||
Chile |
| |||||||
Utilities – 0.0% |
| |||||||
Enel Americas S.A. | 193 | 25 | ||||||
|
| |||||||
Total Chile – 0.0% |
| 25 | ||||||
China |
| |||||||
Communication Services – 1.1% |
| |||||||
Baidu.com, Inc. ADR (A) | — | * | 61 | |||||
Bilibili, Inc. ADR (A) | — | * | 15 | |||||
China Mobile Ltd. | 10 | 62 | ||||||
China Tower Corp. Ltd., H Shares | 138 | 24 | ||||||
China Unicom Ltd. | 23 | 15 | ||||||
JOYY, Inc. ADR | — | * | 14 | |||||
NetEase.com, Inc. ADR | — | * | 57 | |||||
Tencent Holdings Ltd. | 9 | 586 | ||||||
|
| |||||||
834 | ||||||||
|
| |||||||
Consumer Discretionary – 1.6% |
| |||||||
Alibaba Group Holding Ltd. ADR (A) | 3 | 833 | ||||||
ANTA Sports Products Ltd. | 2 | 25 | ||||||
BYD Co. Ltd., H Shares (B) | 2 | 27 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Consumer Discretionary (Continued) |
| |||||||
Geely Automobile Holdings Ltd. | 13 | $ | 26 | |||||
Huazhu Group Ltd. ADR | 1 | 22 | ||||||
JD.com, Inc. ADR (A) | 1 | 102 | ||||||
Li Ning Co. Ltd. | 4 | 20 | ||||||
Meituan Dianping, Class B (A) | 5 | 165 | ||||||
New Oriental Education & Technology Group, Inc. ADR (A) | — | * | 42 | |||||
NIO, Inc. ADR (A) | 2 | 32 | ||||||
Pinduoduo, Inc. ADR (A) | — | * | 34 | |||||
Shenzhou International Group Holdings Ltd. | 2 | 28 | ||||||
Trip.com Group Ltd. ADR (A) | 1 | 27 | ||||||
Vipshop Holdings Ltd. (A) | 1 | 15 | ||||||
YUM! Brands, Inc. | 1 | 37 | ||||||
|
| |||||||
1,435 | ||||||||
|
| |||||||
Consumer Staples – 0.1% |
| |||||||
China Mengniu Dairy Co. Ltd. | 6 | 29 | ||||||
Hengan International Group Co. Ltd. | 2 | 16 | ||||||
Yihai International Holding Ltd. | 1 | 16 | ||||||
|
| |||||||
61 | ||||||||
|
| |||||||
Energy – 0.1% |
| |||||||
CNOOC Ltd. | 28 | 27 | ||||||
|
| |||||||
Financials – 0.6% |
| |||||||
BOC Hong Kong (Holdings) Ltd., H Shares | 116 | 36 | ||||||
China Cinda Asset Management Co. Ltd., H Shares | 115 | 22 | ||||||
China Construction Bank Corp. | 130 | 84 | ||||||
China Life Insurance Co. Ltd. | 6 | 22 | ||||||
China Life Insurance Co. Ltd., H Shares | 16 | 37 | ||||||
China Merchants Bank Co. Ltd., H Shares | 8 | 38 | ||||||
China Minsheng Banking Corp. Ltd., H Shares | 28 | 15 | ||||||
China Pacific Insurance (Group) Co. Ltd., H Shares | 10 | 28 | ||||||
CITIC Securities Co. Ltd., H Shares | 12 | 26 | ||||||
Huatai Securities Co. Ltd., H Shares | 12 | 20 | ||||||
Industrial and Commercial Bank of China Ltd., H Shares | 83 | 43 | ||||||
PICC Property and Casualty Co. Ltd., H Shares | 30 | 21 | ||||||
Ping An Insurance (Group) Co. of China Ltd., H Shares | 10 | 103 | ||||||
|
| |||||||
495 | ||||||||
|
| |||||||
Health Care – 0.1% |
| |||||||
BeiGene Ltd. ADR (A) | — | * | 25 | |||||
CSPC Pharmaceutical Group Ltd. | 14 | 28 | ||||||
Innovent Biologics, Inc. (A) | 2 | 18 | ||||||
Shandong Weigao Group Medical Polymer Co. Ltd., H Shares | 6 | 12 | ||||||
Sinopharm Group Co. Ltd., H Shares | 7 | 15 | ||||||
WuXi AppTec Co. Ltd., H Shares (B) | 1 | 15 | ||||||
WuXi Biologics (Cayman), Inc. (A) | 2 | 44 | ||||||
|
| |||||||
157 | ||||||||
|
| |||||||
Industrials – 0.0% |
| |||||||
China Conch Venture Holdings Ltd. | 5 | 22 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrials (Continued) |
| |||||||
ZTO Express (Cayman), Inc. ADR | 1 | $ | 23 | |||||
|
| |||||||
45 | ||||||||
|
| |||||||
Information Technology – 0.1% |
| |||||||
AAC Technologies Holdings, Inc. | 2 | 13 | ||||||
GDS Holdings Ltd. ADR (A) | — | * | 18 | |||||
Semiconductor Manufacturing International Corp. (A)(B) | 7 | 16 | ||||||
Sunny Optical Technology (Group) Co. Ltd. | 2 | 26 | ||||||
Xiaomi Corp., Class B (A) | 18 | 49 | ||||||
ZTE Corp., H Shares | 5 | 12 | ||||||
|
| |||||||
134 | ||||||||
|
| |||||||
Materials – 0.1% |
| |||||||
Anhui Conch Cement Co. Ltd., H Shares | 5 | 33 | ||||||
|
| |||||||
Real Estate – 0.1% |
| |||||||
China Overseas Land & Investment Ltd. | 10 | 25 | ||||||
Country Garden Holdings Co. Ltd. | 25 | 43 | ||||||
Sunac China Holdings Ltd. | 5 | 21 | ||||||
|
| |||||||
89 | ||||||||
|
| |||||||
Utilities – 0.1% |
| |||||||
CGN Power Co. Ltd., H Shares | 110 | 23 | ||||||
ENN Energy Holdings Ltd. | 2 | 19 | ||||||
|
| |||||||
42 | ||||||||
|
| |||||||
Total China – 4.0% |
| 3,352 | ||||||
Denmark |
| |||||||
Consumer Staples – 0.1% |
| |||||||
Carlsberg Group | — | * | 28 | |||||
|
| |||||||
Financials – 0.0% |
| |||||||
Danske Bank A.S. | 1 | 16 | ||||||
|
| |||||||
Health Care – 0.5% |
| |||||||
Coloplast A/S, Class B | — | * | 32 | |||||
Genmab A.S. (A) | — | * | 47 | |||||
Novo Nordisk A/S, Class B | 3 | 180 | ||||||
Novozymes A/S, Class B | — | * | 30 | |||||
|
| |||||||
289 | ||||||||
|
| |||||||
Industrials – 0.3% |
| |||||||
A.P. Moller - Maersk A/S (B) | — | * | 27 | |||||
DSV Panalpina A/S | — | * | 64 | |||||
Vestas Wind Systems A/S | — | * | 47 | |||||
|
| |||||||
138 | ||||||||
|
| |||||||
Materials – 0.0% |
| |||||||
Chr. Hansen Holding A/S | — | * | 23 | |||||
|
| |||||||
Utilities – 0.1% |
| |||||||
Orsted A/S | — | * | 46 | |||||
|
| |||||||
Total Denmark – 1.0% |
| 540 |
18 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES MSCI ACWI INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS (Continued) | Shares | Value | ||||||
Finland |
| |||||||
Energy – 0.1% |
| |||||||
Neste Oyj | 1 | $ | 39 | |||||
|
| |||||||
Financials – 0.2% |
| |||||||
Nordea Bank AB (A) | 7 | 50 | ||||||
Sampo plc, A Shares | 1 | 34 | ||||||
|
| |||||||
84 | ||||||||
|
| |||||||
Industrials – 0.1% |
| |||||||
Kone Oyj, Class B | — | * | 44 | |||||
|
| |||||||
Information Technology – 0.1% |
| |||||||
Nokia OYJ | 10 | 37 | ||||||
|
| |||||||
Materials – 0.1% |
| |||||||
UPM-Kymmene Corp. | 1 | 29 | ||||||
|
| |||||||
Utilities – 0.0% |
| |||||||
Fortum Oyj | 1 | 19 | ||||||
|
| |||||||
Total Finland – 0.6% |
| $ | 252 | |||||
France |
| |||||||
Communication Services – 0.2% |
| |||||||
Orange S.A. | 3 | 34 | ||||||
Publicis Groupe S.A. | 1 | 21 | ||||||
Ubisoft Entertainment S.A. (A) | — | * | 17 | |||||
Vivendi Universal | 2 | 44 | ||||||
|
| |||||||
116 | ||||||||
|
| |||||||
Consumer Discretionary – 0.6% |
| |||||||
Accor S.A. | 1 | 19 | ||||||
Compagnie Generale des Etablissements Michelin, Class B | — | * | 26 | |||||
Hermes International | — | * | 49 | |||||
LVMH Moet Hennessy - Louis Vuitton | — | * | 202 | |||||
Peugeot S.A. | 2 | 30 | ||||||
Pinault-Printemps-Redoute S.A. | — | * | 80 | |||||
|
| |||||||
406 | ||||||||
|
| |||||||
Consumer Staples – 0.4% |
| |||||||
Danone S.A. | 1 | 56 | ||||||
L’Oreal | — | * | 123 | |||||
Pernod Ricard S.A. | — | * | 50 | |||||
|
| |||||||
229 | ||||||||
|
| |||||||
Energy – 0.2% |
| |||||||
Total S.A. (B) | 4 | 121 | ||||||
|
| |||||||
Financials – 0.2% |
| |||||||
Axa S.A. | 3 | 53 | ||||||
BNP Paribas S.A. | 2 | 61 | ||||||
Credit Agricole Group | 3 | 23 | ||||||
Societe Generale S.A. | 1 | 19 | ||||||
|
| |||||||
156 | ||||||||
|
| |||||||
Health Care – 0.3% |
| |||||||
EssilorLuxottica S.A. | — | * | 62 | |||||
Eurofins Scientific SE | — | * | 17 | |||||
Sanofi-Aventis | 2 | 166 | ||||||
|
| |||||||
245 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrials – 0.6% |
| |||||||
Airbus SE | 1 | $ | 65 | |||||
Alstom | — | * | 18 | |||||
Bouygues S.A. | 1 | 20 | ||||||
Compagnie de Saint-Gobain | 1 | 30 | ||||||
Edenred S.A. | 1 | 24 | ||||||
Eiffage S.A. | — | * | 30 | |||||
Legrand S.A. | 1 | 41 | ||||||
Safran | 1 | 51 | ||||||
Schneider Electric S.A. | 1 | 106 | ||||||
Teleperformance SE | — | * | 34 | |||||
Thales | — | * | 24 | |||||
Vinci | 1 | 73 | ||||||
|
| |||||||
516 | ||||||||
|
| |||||||
Information Technology – 0.3% |
| |||||||
Atos S.A. | 1 | 41 | ||||||
Cap Gemini S.A. | — | * | 38 | |||||
Dassault Systemes S.A. | — | * | 44 | |||||
Ingenico Group | — | * | 19 | |||||
|
| |||||||
142 | ||||||||
|
| |||||||
Materials – 0.1% |
| |||||||
Arkema S.A. | — | * | 23 | |||||
L Air Liquide S.A. | 1 | 98 | ||||||
|
| |||||||
121 | ||||||||
|
| |||||||
Utilities – 0.1% |
| |||||||
ENGIE | 3 | 42 | ||||||
Veolia Environnement S.A. | 1 | 24 | ||||||
|
| |||||||
66 | ||||||||
|
| |||||||
Total France – 3.0% |
| 2,118 | ||||||
Germany |
| |||||||
Communication Services – 0.1% |
| |||||||
Deutsche Telekom AG, Registered Shares | 5 | 78 | ||||||
Scout24 AG | — | * | 21 | |||||
|
| |||||||
99 | ||||||||
|
| |||||||
Consumer Discretionary – 0.3% |
| |||||||
adidas AG | — | * | 90 | |||||
Bayerische Motoren Werke AG | — | * | 32 | |||||
Continental AG | — | * | 28 | |||||
Daimler AG | 1 | 63 | ||||||
Delivery Hero SE (A) | — | * | 26 | |||||
Porsche Automobil Holding SE | — | * | 21 | |||||
Zalando SE (A) | — | * | 23 | |||||
|
| |||||||
283 | ||||||||
|
| |||||||
Consumer Staples – 0.0% |
| |||||||
Beiersdorf Aktiengesellschaft | — | * | 23 | |||||
Henkel AG & Co. KGaA | — | * | 27 | |||||
|
| |||||||
50 | ||||||||
|
| |||||||
Financials – 0.4% |
| |||||||
Allianz AG, Registered Shares | 1 | 114 | ||||||
Deutsche Bank AG | 3 | 28 | ||||||
Deutsche Boerse AG | — | * | 51 | |||||
Munchener Ruckversicherungs-Gesellschaft AG, Registered Shares | — | * | 61 | |||||
|
| |||||||
254 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care – 0.2% |
| |||||||
Bayer AG | 1 | $ | 90 | |||||
Fresenius Medical Care AG & Co. KGaA | — | * | 26 | |||||
Fresenius SE & Co. KGaA | 1 | 30 | ||||||
Merck KGaA | — | * | 31 | |||||
Sartorius AG | — | * | 24 | |||||
|
| |||||||
201 | ||||||||
|
| |||||||
Industrials – 0.3% |
| |||||||
Brenntag AG | — | * | 23 | |||||
Deutsche Post AG | 2 | 74 | ||||||
MTU Aero Engines Holding AG | — | * | 25 | |||||
Siemens AG | 2 | 152 | ||||||
|
| |||||||
274 | ||||||||
|
| |||||||
Information Technology – 0.4% |
| |||||||
Infineon Technologies AG | 2 | 51 | ||||||
SAP AG | 2 | 239 | ||||||
|
| |||||||
290 | ||||||||
|
| |||||||
Materials – 0.2% |
| |||||||
BASF Aktiengesellschaft | 1 | 79 | ||||||
HeidelbergCement AG | — | * | 17 | |||||
Symrise AG | — | * | 37 | |||||
|
| |||||||
133 | ||||||||
|
| |||||||
Real Estate – 0.2% |
| |||||||
Deutsche Wohnen AG | 1 | 28 | ||||||
Vonovia SE | 1 | 53 | ||||||
|
| |||||||
81 | ||||||||
|
| |||||||
Utilities – 0.1% |
| |||||||
E.ON AG | 4 | 41 | ||||||
RWE Aktiengesellschaft | 1 | 37 | ||||||
|
| |||||||
78 | ||||||||
|
| |||||||
Total Germany – 2.2% |
| 1,743 | ||||||
Hong Kong |
| |||||||
Communication Services – 0.0% |
| |||||||
HKT Trust and HKT Ltd. | 12 | 16 | ||||||
|
| |||||||
Consumer Discretionary – 0.1% |
| |||||||
Galaxy Entertainment Group | 4 | 27 | ||||||
Techtronic Industries Co. Ltd. | 2 | 33 | ||||||
|
| |||||||
60 | ||||||||
|
| |||||||
Consumer Staples – 0.0% |
| |||||||
China Resources Beer (Holdings) Co. Ltd. | 3 | 19 | ||||||
WH Group Ltd. | 27 | 22 | ||||||
|
| |||||||
41 | ||||||||
|
| |||||||
Financials – 0.4% |
| |||||||
AIA Group Ltd. | 19 | 194 | ||||||
BOC Hong Kong (Holdings) Ltd. | 7 | 20 | ||||||
China Taiping Insurance Holdings Co. Ltd. | 14 | 21 | ||||||
Hang Seng Bank Ltd. | 2 | 23 | ||||||
Hong Kong Exchanges and Clearing Ltd. | 2 | 91 | ||||||
|
| |||||||
349 | ||||||||
|
|
2020 | ANNUAL REPORT | 19 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES MSCI ACWI INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care – 0.0% |
| |||||||
Alibaba Health Information Technology Ltd. (A) | 7 | $ | 17 | |||||
Sino Biopharmaceutical Ltd. | 26 | 29 | ||||||
|
| |||||||
46 | ||||||||
|
| |||||||
Industrials – 0.2% |
| |||||||
Beijing Enterprises Holdings Ltd. | 7 | 21 | ||||||
CITIC Pacific Ltd. | 26 | 19 | ||||||
Jardine Matheson Holdings Ltd. | 1 | 24 | ||||||
MTR Corp. Ltd. | 4 | 17 | ||||||
Shanghai Industrial Holdings Ltd. | 26 | 30 | ||||||
|
| |||||||
111 | ||||||||
|
| |||||||
Information Technology – 0.0% |
| |||||||
Lenovo Group Ltd. | 28 | 18 | ||||||
|
| |||||||
Materials – 0.0% |
| |||||||
China National Building Material Co. Ltd., H Shares | 13 | 17 | ||||||
|
| |||||||
Real Estate – 0.5% |
| |||||||
Cheung Kong (Holdings) Ltd. | 12 | 63 | ||||||
China Resources Land Ltd. | 7 | 30 | ||||||
Hang Lung Properties Ltd. | 7 | 17 | ||||||
Henderson Land Development Co. Ltd. | 7 | 26 | ||||||
Hongkong Land Holdings Ltd. | 6 | 22 | ||||||
Link (The) | 4 | 37 | ||||||
Longfor Group Holdings Ltd. | 4 | 21 | ||||||
New World Development Co. Ltd. (A) | 4 | 21 | ||||||
Sino Land Co. Ltd. | 19 | 22 | ||||||
Sun Hung Kai Properties Ltd. | 3 | 36 | ||||||
Swire Pacific Ltd., Class A | 3 | 13 | ||||||
Wharf (Holdings) Ltd. (The) | 4 | 17 | ||||||
|
| |||||||
325 | ||||||||
|
| |||||||
Utilities – 0.2% |
| |||||||
China Gas Holdings Ltd. | 9 | 27 | ||||||
CLP Holdings Ltd. | 3 | 30 | ||||||
Hong Kong & China Gas Co. Ltd. | 22 | 33 | ||||||
Power Assets Holdings Ltd. | 4 | 21 | ||||||
|
| |||||||
111 | ||||||||
|
| |||||||
Total Hong Kong – 1.4% |
| 1,094 | ||||||
India |
| |||||||
Consumer Discretionary – 0.0% |
| |||||||
Tata Motors Ltd. ADR (A) | 3 | 28 | ||||||
|
| |||||||
Energy – 0.2% |
| |||||||
Reliance Industries Ltd. GDR (C) | 2 | 142 | ||||||
|
| |||||||
Financials – 0.1% |
| |||||||
ICICI Bank Ltd. ADR | 8 | 75 | ||||||
|
| |||||||
Health Care – 0.1% |
| |||||||
Dr. Reddy’s Laboratories Ltd. ADR | 1 | 72 | ||||||
|
| |||||||
Industrials – 0.1% |
| |||||||
Larsen & Toubro Ltd. GDR (B) | 6 | 74 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Information Technology – 0.2% |
| |||||||
Infosys Technologies Ltd. ADR | 7 | $ | 102 | |||||
Wipro Ltd. ADR | 10 | 49 | ||||||
|
| |||||||
151 | ||||||||
|
| |||||||
Materials – 0.1% |
| |||||||
Vedanta Ltd. ADR | 6 | 42 | ||||||
|
| |||||||
Total India – 0.8% |
| 584 | ||||||
Indonesia |
| |||||||
Communication Services – 0.0% |
| |||||||
PT Telekomunikasi Indonesia Persero Tbk | 117 | 20 | ||||||
|
| |||||||
Consumer Discretionary – 0.0% |
| |||||||
PT Astra International Tbk | 59 | 18 | ||||||
|
| |||||||
Consumer Staples – 0.0% |
| |||||||
PT Indofood CBP Sukses Makmur Tbk | 15 | 10 | ||||||
|
| |||||||
Financials – 0.0% |
| |||||||
Bank Central Asia Tbk PT | 16 | 29 | ||||||
PT Bank Mandiri (Persero) Tbk | 46 | 15 | ||||||
PT Bank Negara Indonesia (Persero) Tbk | 37 | 11 | ||||||
PT Bank Rakyat Indonesia | 107 | 22 | ||||||
|
| |||||||
77 | ||||||||
|
| |||||||
Total Indonesia – 0.0% |
| 125 | ||||||
Ireland |
| |||||||
Consumer Discretionary – 0.1% |
| |||||||
Flutter Entertainment plc | — | * | 39 | |||||
|
| |||||||
Consumer Staples – 0.1% |
| |||||||
Kerry Group plc, Class A | — | * | 39 | |||||
|
| |||||||
Health Care – 0.3% |
| |||||||
Medtronic plc | 2 | 207 | ||||||
|
| |||||||
Industrials – 0.1% |
| |||||||
DCC plc | — | * | 16 | |||||
Kingspan Group plc | — | * | 27 | |||||
Trane Technologies plc | — | * | 44 | |||||
|
| |||||||
87 | ||||||||
|
| |||||||
Information Technology – 0.3% |
| |||||||
Accenture plc, Class A | 1 | 212 | ||||||
|
| |||||||
Materials – 0.0% |
| |||||||
James Hardie Industries plc, Class C | 1 | 23 | ||||||
|
| |||||||
Total Ireland – 0.9% |
| 607 | ||||||
Isle of Man |
| |||||||
Consumer Discretionary – 0.0% |
| |||||||
GVC Holdings plc | 1 | 17 | ||||||
|
| |||||||
Total Isle of Man – 0.0% |
| 17 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Israel |
| |||||||
Health Care – 0.0% |
| |||||||
Teva Pharmaceutical Industries Ltd. ADR (A) | 2 | $ | 19 | |||||
|
| |||||||
Information Technology – 0.0% |
| |||||||
NICE Systems Ltd. ADR (A) | — | * | 33 | |||||
Wix.com Ltd. (A) | — | * | 21 | |||||
|
| |||||||
54 | ||||||||
|
| |||||||
Total Israel – 0.0% |
| 73 | ||||||
Italy |
| |||||||
Consumer Discretionary – 0.1% |
| |||||||
Ferrari N.V. | — | * | 31 | |||||
Moncler S.p.A. | — | * | 19 | |||||
|
| |||||||
50 | ||||||||
|
| |||||||
Energy – 0.0% |
| |||||||
Eni S.p.A. | 4 | 29 | ||||||
|
| |||||||
Financials – 0.1% |
| |||||||
Assicurazioni Generali S.p.A. (A) | 2 | 25 | ||||||
Banca Intesa S.p.A. | 18 | 33 | ||||||
FinecoBank S.p.A. | 1 | 19 | ||||||
Mediobanca S.p.A. | 2 | 16 | ||||||
UniCredit S.p.A. | 3 | 22 | ||||||
|
| |||||||
115 | ||||||||
|
| |||||||
Industrials – 0.0% |
| |||||||
Prysmian S.p.A. | 1 | 28 | ||||||
|
| |||||||
Utilities – 0.1% |
| |||||||
ENEL S.p.A. | 11 | 100 | ||||||
Snam S.p.A. | 4 | 21 | ||||||
Terna Rete Elettrica Nazionale S.p.A. | 3 | 20 | ||||||
|
| |||||||
141 | ||||||||
|
| |||||||
Total Italy – 0.3% |
| 363 | ||||||
Japan |
| |||||||
Communication Services – 0.8% |
| |||||||
KDDI Corp. | 3 | 66 | ||||||
Nexon Co. Ltd. | 1 | 25 | ||||||
Nintendo Co. Ltd. | — | * | 102 | |||||
Nippon Telegraph and Telephone Corp. | 2 | 32 | ||||||
NTT DoCoMo, Inc. (B) | 2 | 62 | ||||||
SoftBank Corp. (B) | 4 | 40 | ||||||
SoftBank Group Corp. | 2 | 148 | ||||||
Z Holdings Corp. | 5 | 33 | ||||||
|
| |||||||
508 | ||||||||
|
| |||||||
Consumer Discretionary – 0.8% |
| |||||||
Bandai Namco Holdings, Inc. | — | * | 27 | |||||
Bridgestone Corp. | 1 | 18 | ||||||
Denso Corp. | 1 | 35 | ||||||
Fast Retailing Co. Ltd. | — | * | 58 | |||||
Honda Motor Co. Ltd. | 2 | 55 | ||||||
Makita Corp. | 1 | 28 | ||||||
Nissan Motor Co. Ltd. | 5 | 19 |
20 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES MSCI ACWI INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS (Continued) | Shares | Value | ||||||
Consumer Discretionary (Continued) |
| |||||||
Nitori Co. Ltd. | — | * | $ | 30 | ||||
Oriental Land Co. Ltd. | — | * | 49 | |||||
Pan Pacific International Holdings Corp. | 1 | 22 | ||||||
Panasonic Corp. (B) | 4 | 32 | ||||||
Sekisui House Ltd. (B) | 1 | 25 | ||||||
Shimano, Inc. | — | * | 25 | |||||
Sony Corp. | 2 | 135 | ||||||
Subaru Corp. (B) | 1 | 20 | ||||||
Suzuki Motor Corp. | 1 | 26 | ||||||
Toyota Industries Corp. | — | * | 22 | |||||
Toyota Motor Corp. | 3 | 174 | ||||||
Yamaha Corp. | — | * | 21 | |||||
|
| |||||||
821 | ||||||||
|
| |||||||
Consumer Staples – 0.4% |
| |||||||
Aeon Co. Ltd. | 1 | 25 | ||||||
Ajinomoto Co., Inc. | 1 | 23 | ||||||
Asahi Breweries Ltd. | 1 | 24 | ||||||
Japan Tobacco, Inc. | 1 | 27 | ||||||
Kao Corp. | 1 | 57 | ||||||
Kikkoman Corp. | — | * | 22 | |||||
Kirin Brewery Co. Ltd. | 1 | 25 | ||||||
Meiji Holdings Co. Ltd. | — | * | 24 | |||||
Seven & i Holdings Co. Ltd. | 1 | 36 | ||||||
Shiseido Co. Ltd. | 1 | 42 | ||||||
Unicharm Corp. | 1 | 35 | ||||||
Welcia Holdings Co. Ltd. | — | * | 8 | |||||
Yakult Honsha Co. Ltd. | — | * | 21 | |||||
|
| |||||||
369 | ||||||||
|
| |||||||
Financials – 0.7% |
| |||||||
Dai-ichi Mutual Life Insurance Co. (The) | 2 | 31 | ||||||
Daiwa Securities Group, Inc. | 5 | 22 | ||||||
Japan Exchange Group, Inc. | 1 | 25 | ||||||
Kabushiki Kaisha Mitsubishi Tokyo Financial Group (B) | 17 | 68 | ||||||
Mizuho Financial Group, Inc. (B) | 3 | 37 | ||||||
MS&AD Insurance Group Holdings, Inc. | 1 | 23 | ||||||
Nomura Holdings, Inc. | 4 | 20 | ||||||
ORIX Corp. | 4 | 52 | ||||||
Resona Holdings, Inc. | 7 | 22 | ||||||
Sompo Holdings, Inc. | 1 | 32 | ||||||
Sumitomo Mitsui Financial Group, Inc. (B) | 2 | 57 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 1 | 18 | ||||||
T&D Holdings, Inc. (B) | 3 | 30 | ||||||
Tokio Marine Holdings, Inc. (B) | 1 | 45 | ||||||
|
| |||||||
482 | ||||||||
|
| |||||||
Health Care – 1.0% |
| |||||||
Asahi Intecc Co. Ltd. | 1 | 20 | ||||||
Astellas Pharma, Inc. | 3 | 46 | ||||||
Chugai Pharmaceutical Co. Ltd. | 1 | 50 | ||||||
Daiichi Sankyo Co. Ltd. | 3 | 80 | ||||||
Eisai Co. Ltd. | — | * | 43 | |||||
M3, Inc. | 1 | 48 | ||||||
Olympus Corp. | 2 | 41 | ||||||
Ono Pharmaceutical Co. Ltd. | 1 | 38 | ||||||
Otsuka Holdings Co. Ltd. | 1 | 31 | ||||||
Santen Pharmaceutical Co. Ltd. | 2 | 31 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care (Continued) |
| |||||||
Shionogi & Co. Ltd. | 1 | $ | 32 | |||||
Sysmex Corp. | — | * | 30 | |||||
Takeda Pharmaceutical Co. Ltd. | 2 | 88 | ||||||
Terumo Corp. | 1 | 46 | ||||||
|
| |||||||
624 | ||||||||
|
| |||||||
Industrials – 1.2% |
| |||||||
Canon, Inc. | 2 | 27 | ||||||
Central Japan Railway Co. | — | * | 42 | |||||
Daifuku Co. Ltd. | — | * | 24 | |||||
Daikin Industries Ltd. | — | * | 69 | |||||
East Japan Railway Co. | — | * | 28 | |||||
FANUC Ltd. | — | * | 63 | |||||
Hankyu Hanshin Holdings, Inc. | 1 | 24 | ||||||
ITOCHU Corp. (B) | 2 | 59 | ||||||
Keihan Holdings Co. Ltd. | — | * | 20 | |||||
Keikyu Corp. | 2 | 24 | ||||||
Komatsu Ltd. | 2 | 37 | ||||||
Kubota Corp. | 2 | 32 | ||||||
Marubeni Corp. | 3 | 20 | ||||||
Minebea Mitsumi, Inc. | 1 | 24 | ||||||
MISUMI Group, Inc. | 1 | 22 | ||||||
Mitsubishi Corp. (B) | 2 | 51 | ||||||
Mitsubishi Electric Corp. | 3 | 36 | ||||||
Mitsubishi Heavy Industries Ltd. | 1 | 19 | ||||||
Mitsui & Co. Ltd. (B) | 3 | 47 | ||||||
Nagoya Railroad Co. Ltd. | 1 | 20 | ||||||
Nidec Corp. | 1 | 68 | ||||||
Nihon M&A Center, Inc. | — | * | 26 | |||||
Odakyu Electric Railway Co. Ltd. | 1 | 23 | ||||||
Recruit Holdings Co. Ltd. | 2 | 82 | ||||||
Ricoh Co. Ltd. (B) | 4 | 25 | ||||||
Secom Co. Ltd. | — | * | 29 | |||||
SG Holdings Co. Ltd. | — | * | 17 | |||||
SMC Corp. | — | * | 56 | |||||
Sumitomo Corp. (B) | 2 | 28 | ||||||
Sumitomo Electric Industries Ltd. | 2 | 23 | ||||||
Tokyu Corp. | 1 | 19 | ||||||
Toshiba Corp. | 1 | 22 | ||||||
Toyota Tsusho Corp. | 1 | 24 | ||||||
|
| |||||||
1,130 | ||||||||
|
| |||||||
Information Technology – 1.0% |
| |||||||
Advantest Corp. | — | * | 22 | |||||
FUJIFILM Holdings Corp. | 1 | 30 | ||||||
Fujitsu Ltd. | — | * | 40 | |||||
Hamamatsu Photonics K.K. | — | * | 24 | |||||
Hitachi Ltd. | 2 | 53 | ||||||
Hoya Corp. | 1 | 72 | ||||||
Keyence Corp. | — | * | 130 | |||||
Kyocera Corp. | 1 | 31 | ||||||
Murata Manufacturing Co. Ltd. | 1 | 64 | ||||||
Nomura Research Institute, Ltd. | 1 | 21 | ||||||
OBIC Co. Ltd. | — | * | 32 | |||||
OMRON Corp. | — | * | 30 | |||||
ROHM Co. Ltd. | — | * | 30 | |||||
Shimadzu Corp. | 1 | 21 | ||||||
TDK Corp. | — | * | 31 | |||||
Tokyo Electron Ltd. | — | * | 64 | |||||
Trend Micro, Inc. | — | * | 23 | |||||
YASKAWA Electric Corp. | 1 | 28 | ||||||
|
| |||||||
746 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Materials – 0.4% |
| |||||||
Asahi Kasei Corp. (B) | 4 | $ | 36 | |||||
Mitsubishi Chemical Holdings Corp. | 5 | 29 | ||||||
Mitsui Chemicals, Inc. | 1 | 25 | ||||||
Nippon Paint Holdings Co. Ltd. | — | * | 30 | |||||
Nippon Steel Corp. | 3 | 24 | ||||||
Nissan Chemical Corp. | — | * | 16 | |||||
Nitto Denko Corp. | 1 | 35 | ||||||
Shin-Etsu Chemical Co. Ltd. | 1 | 77 | ||||||
Sumitomo Chemical Co. Ltd. | 10 | 34 | ||||||
Sumitomo Metal Mining Co. Ltd. | 1 | 20 | ||||||
|
| |||||||
326 | ||||||||
|
| |||||||
Real Estate – 0.3% |
| |||||||
Daito Trust Construction Co. Ltd. | — | * | 17 | |||||
Daiwa House Industry Co. Ltd. | 1 | 29 | ||||||
Mitsubishi Estate Co. Ltd. | 2 | 31 | ||||||
Mitsui Fudosan Co. Ltd. | 2 | 28 | ||||||
Nippon Building Fund, Inc. | — | * | 34 | |||||
Sumitomo Realty & Development Co. Ltd. | 1 | 20 | ||||||
Tokyu Fudosan Holdings Corp. | 6 | 26 | ||||||
|
| |||||||
185 | ||||||||
|
| |||||||
Utilities – 0.1% |
| |||||||
Osaka Gas Co. Ltd. | 1 | 22 | ||||||
Tohoku Electric Power Co., Inc. | 3 | 30 | ||||||
Tokyo Gas Co. Ltd. | 1 | 30 | ||||||
|
| |||||||
82 | ||||||||
|
| |||||||
Total Japan – 6.7% |
| 5,273 | ||||||
Macau |
| |||||||
Consumer Discretionary – 0.0% |
| |||||||
Sands China Ltd. | 6 | 23 | ||||||
Wynn Macau Ltd. | 12 | 20 | ||||||
|
| |||||||
43 | ||||||||
|
| |||||||
Total Macau – 0.0% |
| 43 | ||||||
Malaysia |
| |||||||
Financials – 0.1% |
| |||||||
CIMB Group Holdings Berhad | 26 | 19 | ||||||
Public Bank Berhad | 8 | 31 | ||||||
|
| |||||||
50 | ||||||||
|
| |||||||
Health Care – 0.0% |
| |||||||
Hartalega Holdings Berhad | 4 | 16 | ||||||
Top Glove Corp. Berhad | 9 | 19 | ||||||
|
| |||||||
35 | ||||||||
|
| |||||||
Utilities – 0.0% |
| |||||||
Tenaga Nasional Berhad | 8 | 21 | ||||||
|
| |||||||
Total Malaysia – 0.1% |
| 106 | ||||||
Mexico |
| |||||||
Communication Services – 0.1% |
| |||||||
America Movil S.A.B. de C.V., Series L | 69 | 43 | ||||||
|
|
2020 | ANNUAL REPORT | 21 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES MSCI ACWI INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS (Continued) | Shares | Value | ||||||
Consumer Staples – 0.0% |
| |||||||
Fomento Economico Mexicano S.A.B. de C.V. | 4 | $ | 20 | |||||
Wal-Mart de Mexico S.A.B. de C.V. | 8 | 19 | ||||||
|
| |||||||
39 | ||||||||
|
| |||||||
Financials – 0.0% |
| |||||||
Grupo Financiero Banorte S.A.B. de C.V. (A) | 5 | 16 | ||||||
|
| |||||||
Materials – 0.0% |
| |||||||
CEMEX S.A.B. de C.V. | 59 | 23 | ||||||
Grupo Mexico S.A.B. de C.V. | 8 | 21 | ||||||
|
| |||||||
44 | ||||||||
|
| |||||||
Total Mexico – 0.1% |
| 142 | ||||||
Netherlands |
| |||||||
Communication Services – 0.0% |
| |||||||
Koninklijke KPN N.V. | 8 | 18 | ||||||
|
| |||||||
Consumer Discretionary – 0.1% |
| |||||||
Just Eat Takeaway.com N.V. (A) | — | * | 27 | |||||
Prosus N.V. (A) | 1 | 72 | ||||||
|
| |||||||
99 | ||||||||
|
| |||||||
Consumer Staples – 0.2% |
| |||||||
Heineken Holding N.V. | — | * | 19 | |||||
Heineken N.V. | — | * | 37 | |||||
Koninklijke Ahold Delhaize N.V. | 2 | 54 | ||||||
|
| |||||||
110 | ||||||||
|
| |||||||
Energy – 0.2% |
| |||||||
Royal Dutch Shell plc, Class A | 6 | 76 | ||||||
Royal Dutch Shell plc, Class B | 6 | 67 | ||||||
|
| |||||||
143 | ||||||||
|
| |||||||
Financials – 0.1% |
| |||||||
Aegon N.V. | 6 | 17 | ||||||
ING Groep N.V., Certicaaten Van Aandelen | 6 | 46 | ||||||
NN Group N.V. | 1 | 26 | ||||||
|
| |||||||
89 | ||||||||
|
| |||||||
Health Care – 0.1% |
| |||||||
argenx SE (A) | — | * | 24 | |||||
Koninklijke Philips Electronics N.V., Ordinary Shares | 1 | 60 | ||||||
Qiagen N.V. (A) | — | * | 17 | |||||
|
| |||||||
101 | ||||||||
|
| |||||||
Industrials – 0.0% |
| |||||||
Wolters Kluwer N.V. | — | * | 33 | |||||
|
| |||||||
Information Technology – 0.5% |
| |||||||
Adyen N.V. (A) | — | * | 57 | |||||
ASML Holding N.V., Ordinary Shares | 1 | 236 | ||||||
NXP Semiconductors N.V. | — | * | 53 | |||||
|
| |||||||
346 | ||||||||
|
| |||||||
Materials – 0.2% |
| |||||||
Akzo Nobel N.V. | — | * | 41 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Materials (Continued) |
| |||||||
Koninklijke DSM N.V. | — | * | $ | 52 | ||||
|
| |||||||
93 | ||||||||
|
| |||||||
Total Netherlands – 1.4% |
| 1,032 | ||||||
Norway |
| |||||||
Communication Services – 0.0% |
| |||||||
Telenor ASA | 1 | 25 | ||||||
|
| |||||||
Consumer Staples – 0.0% |
| |||||||
Mowi ASA | 1 | 25 | ||||||
|
| |||||||
Energy – 0.0% |
| |||||||
Equinor ASA | 2 | 29 | ||||||
|
| |||||||
Financials – 0.0% |
| |||||||
DNB ASA (A) | 2 | 26 | ||||||
|
| |||||||
Industrials – 0.0% |
| |||||||
Orkla ASA | 2 | 19 | ||||||
|
| |||||||
Materials – 0.0% |
| |||||||
Yara International ASA | — | * | 18 | |||||
|
| |||||||
Total Norway – 0.0% |
| 142 | ||||||
Peru |
| |||||||
Financials – 0.0% |
| |||||||
Credicorp Ltd. | — | * | 24 | |||||
|
| |||||||
Total Peru – 0.0% |
| 24 | ||||||
Philippines |
| |||||||
Financials – 0.0% |
| |||||||
Ayala Corp. | 1 | 21 | ||||||
|
| |||||||
Real Estate – 0.0% |
| |||||||
Ayala Land, Inc. | 34 | 21 | ||||||
|
| |||||||
Total Philippines – 0.0% |
| 42 | ||||||
Poland |
| |||||||
Communication Services – 0.0% |
| |||||||
CD Projekt S.A. (A) | — | * | 19 | |||||
Cyfrowy Polsat S.A. (A) | 4 | 27 | ||||||
|
| |||||||
46 | ||||||||
|
| |||||||
Energy – 0.0% |
| |||||||
Polski Koncern Naftowy Orlen S.A. | 2 | 18 | ||||||
|
| |||||||
Financials – 0.0% |
| |||||||
Bank Pekao S.A. | 2 | 23 | ||||||
PKO Bank Polski S.A. | 4 | 23 | ||||||
Powszechny Zaklad Ubezpieczen S.A. | 4 | 27 | ||||||
|
| |||||||
73 | ||||||||
|
| |||||||
Materials – 0.0% |
| |||||||
KGHM Polska Miedz S.A. | 1 | 19 | ||||||
|
| |||||||
Total Poland – 0.0% |
| 156 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Portugal |
| |||||||
Utilities – 0.0% |
| |||||||
EDP - Energias de Portugal S.A. | 5 | $ | 24 | |||||
|
| |||||||
Total Portugal – 0.0% |
| 24 | ||||||
Romania |
| |||||||
Real Estate – 0.0% |
| |||||||
NEPI Rockcastle plc | 4 | 16 | ||||||
|
| |||||||
Total Romania – 0.0% |
| 16 | ||||||
Russia |
| |||||||
Communication Services – 0.0% |
| |||||||
Mobile TeleSystems OJSC ADR | 2 | 20 | ||||||
|
| |||||||
Consumer Staples – 0.0% |
| |||||||
Magnit PJSC GDR | 2 | 29 | ||||||
|
| |||||||
Energy – 0.2% |
| |||||||
OAO Novatek GDR | — | * | 23 | |||||
Open Joint Stock Co. Gazprom ADR | 10 | 44 | ||||||
PJSC LUKOIL ADR | 1 | 43 | ||||||
Surgutneftegas PJSC ADR | 4 | 18 | ||||||
Tatneft PJSC | 1 | 20 | ||||||
|
| |||||||
148 | ||||||||
|
| |||||||
Financials – 0.1% |
| |||||||
Sberbank of Russia PJSC ADR | 5 | 53 | ||||||
|
| |||||||
Materials – 0.0% |
| |||||||
MMC Norilsk Nickel PJSC ADR | 1 | 32 | ||||||
|
| |||||||
Total Russia – 0.3% |
| 282 | ||||||
Singapore |
| |||||||
Communication Services – 0.0% |
| |||||||
Singapore Telecommunications Ltd. | 17 | 27 | ||||||
|
| |||||||
Consumer Staples – 0.0% |
| |||||||
Wilmar International Ltd. | 10 | 34 | ||||||
|
| |||||||
Financials – 0.1% |
| |||||||
DBS Group Holdings Ltd. | 3 | 46 | ||||||
Oversea-Chinese Banking Corp. Ltd. | 5 | 29 | ||||||
Singapore Exchange Ltd. | 3 | 21 | ||||||
United Overseas Bank Ltd. | 2 | 30 | ||||||
|
| |||||||
126 | ||||||||
|
| |||||||
Industrials – 0.0% |
| |||||||
Keppel Corp. Ltd. | 6 | 19 | ||||||
Singapore Airlines Ltd. | 8 | 20 | ||||||
Singapore Technologies Engineering Ltd. | 8 | 21 | ||||||
|
| |||||||
60 | ||||||||
|
| |||||||
Real Estate – 0.0% |
| |||||||
CapitaLand Ltd. | 10 | 19 | ||||||
City Developments Ltd. | 3 | 18 | ||||||
UOL Group Ltd. | 4 | 20 | ||||||
|
| |||||||
57 | ||||||||
|
| |||||||
Total Singapore – 0.1% |
| 304 |
22 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES MSCI ACWI INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS (Continued) | Shares | Value | ||||||
South Africa |
| |||||||
Communication Services – 0.2% |
| |||||||
MTN Group Ltd. | 8 | $ | 27 | |||||
Naspers Ltd., Class N | 1 | 121 | ||||||
Vodacom Group Ltd. | 3 | 21 | ||||||
|
| |||||||
169 | ||||||||
|
| |||||||
Financials – 0.0% |
| |||||||
Absa Group Ltd. | 3 | 15 | ||||||
FirstRand Ltd. | 11 | 28 | ||||||
Nedbank Ltd. | 2 | 13 | ||||||
Old Mutual plc | 25 | 15 | ||||||
Remgro Ltd. | 4 | 22 | ||||||
Sanlam Ltd. | 7 | 20 | ||||||
Standard Bank Group Ltd. | 4 | 24 | ||||||
|
| |||||||
137 | ||||||||
|
| |||||||
Materials – 0.0% |
| |||||||
AngloGold Ashanti Ltd. | 1 | 23 | ||||||
Gold Fields Ltd. | 2 | 21 | ||||||
Impala Platinum Holdings Ltd. (B) | 3 | 23 | ||||||
Mondi plc | 1 | 21 | ||||||
Sasol Ltd. | 2 | 19 | ||||||
Sibanye-Stillwater Ltd. | 6 | 16 | ||||||
|
| |||||||
123 | ||||||||
|
| |||||||
Total South Africa – 0.2% |
| 429 | ||||||
South Korea |
| |||||||
Communication Services – 0.2% |
| |||||||
Daum Communications Corp. | — | * | 33 | |||||
Naver Corp. | — | * | 55 | |||||
NCsoft Corp. | — | * | 24 | |||||
|
| |||||||
112 | ||||||||
|
| |||||||
Consumer Discretionary – 0.3% |
| |||||||
Hyundai Mobis | — | * | 40 | |||||
Hyundai Motor Co. | — | * | 50 | |||||
Kia Motors Corp. | 1 | 32 | ||||||
LG Electronics, Inc. | — | * | 31 | |||||
|
| |||||||
153 | ||||||||
|
| |||||||
Consumer Staples – 0.0% |
| |||||||
Korea Tobacco & Ginseng Corp. | — | * | 23 | |||||
LG Household & Health Care Ltd. | — | * | 28 | |||||
|
| |||||||
51 | ||||||||
|
| |||||||
Financials – 0.0% |
| |||||||
Hana Financial Group, Inc. | 1 | 26 | ||||||
KB Financial Group, Inc. | 1 | 24 | ||||||
Samsung Life Insurance Co. Ltd. | — | * | 21 | |||||
Shinhan Financial Group Co. Ltd. | 1 | 29 | ||||||
|
| |||||||
100 | ||||||||
|
| |||||||
Health Care – 0.1% |
| |||||||
Celltrion, Inc. (A) | — | * | 39 | |||||
Samsung BioLogics Co. Ltd. (A) | — | * | 21 | |||||
|
| |||||||
60 | ||||||||
|
| |||||||
Information Technology – 0.6% |
| |||||||
LG Display Co. Ltd. | 1 | 19 | ||||||
Samsung Electro-Mechanics Co. Ltd. | — | * | 23 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Information Technology (Continued) |
| |||||||
Samsung Electronics Co. Ltd. | 7 | $ | 343 | |||||
Samsung SDI Co. Ltd. | — | * | 38 | |||||
SK hynix, Inc. | 1 | 72 | ||||||
|
| |||||||
495 | ||||||||
|
| |||||||
Materials – 0.2% |
| |||||||
LG Chem Ltd. | — | * | 49 | |||||
POSCO | — | * | 31 | |||||
|
| |||||||
80 | ||||||||
|
| |||||||
Utilities – 0.0% |
| |||||||
Korea Electric Power Corp. | 1 | 21 | ||||||
|
| |||||||
Total South Korea – 1.4% |
| 1,072 | ||||||
Spain |
| |||||||
Communication Services – 0.1% |
| |||||||
Cellnex Telecom SAU | — | * | 29 | |||||
Telefonica S.A. | 7 | 26 | ||||||
|
| |||||||
55 | ||||||||
|
| |||||||
Consumer Discretionary – 0.1% |
| |||||||
Industria de Diseno Textil S.A. | 2 | 49 | ||||||
|
| |||||||
Energy – 0.0% |
| |||||||
Repsol YPF S.A. | 3 | 22 | ||||||
|
| |||||||
Financials – 0.2% |
| |||||||
Banco Bilbao Vizcaya Argentaria S.A. | 11 | 31 | ||||||
Banco Santander S.A. | 25 | 47 | ||||||
CaixaBank S.A. | 11 | 23 | ||||||
|
| |||||||
101 | ||||||||
|
| |||||||
Health Care – 0.0% |
| |||||||
Grifols S.A. | 1 | 28 | ||||||
|
| |||||||
Industrials – 0.0% |
| |||||||
Aena S.A. | — | * | 19 | |||||
Ferrovial S.A. | 1 | 25 | ||||||
|
| |||||||
44 | ||||||||
|
| |||||||
Information Technology – 0.1% |
| |||||||
Amadeus IT Holding S.A. | 1 | 39 | ||||||
|
| |||||||
Utilities – 0.1% |
| |||||||
Iberdrola S.A. | 8 | 97 | ||||||
|
| |||||||
Total Spain – 0.6% |
| 435 | ||||||
Sweden |
| |||||||
Consumer Discretionary – 0.0% |
| |||||||
H & M Hennes & Mauritz AB | 1 | 24 | ||||||
|
| |||||||
Consumer Staples – 0.0% |
| |||||||
Swedish Match AB | — | * | 22 | |||||
|
| |||||||
Financials – 0.2% |
| |||||||
Investor AB, B Shares | 1 | 62 | ||||||
Kinnevik AB, Class B | 1 | 33 | ||||||
Skandinaviska Enskilda Banken AB, Series A | 3 | 28 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Financials (Continued) |
| |||||||
Svenska Handelsbanken AB, Class A | 3 | $ | 22 | |||||
Swedbank AB | 1 | 23 | ||||||
|
| |||||||
168 | ||||||||
|
| |||||||
Industrials – 0.5% |
| |||||||
AB Volvo, Class B | 3 | 51 | ||||||
Alfa Laval AB | 1 | 24 | ||||||
Assa Abloy AB, Class B | 2 | 41 | ||||||
Atlas Copco AB, Class A | 2 | 81 | ||||||
Epiroc AB, Class A | 2 | 29 | ||||||
NIBE Industrier AB | 1 | 15 | ||||||
Sandvik AB | 2 | 41 | ||||||
|
| |||||||
282 | ||||||||
|
| |||||||
Information Technology – 0.2% |
| |||||||
Hexagon AB, Class B | — | * | 35 | |||||
Telefonaktiebolaget LM Ericsson, B Shares | 5 | 52 | ||||||
|
| |||||||
87 | ||||||||
|
| |||||||
Materials – 0.0% |
| |||||||
Boliden AB | 1 | 29 | ||||||
Svenska Cellulosa Aktiebolaget SCA (publ), Class B | 1 | 35 | ||||||
|
| |||||||
64 | ||||||||
|
| |||||||
Total Sweden – 0.9% |
| 647 | ||||||
Switzerland |
| |||||||
Communication Services – 0.1% |
| |||||||
Swisscom AG, Registered Shares | — | * | 28 | |||||
|
| |||||||
Consumer Discretionary – 0.1% |
| |||||||
Compagnie Financiere Richemont S.A. | 1 | 56 | ||||||
|
| |||||||
Consumer Staples – 0.8% |
| |||||||
Chocoladefabriken Lindt & Sprungli AG | — | * | 34 | |||||
Nestle S.A., Registered Shares | 4 | 532 | ||||||
|
| |||||||
566 | ||||||||
|
| |||||||
Financials – 0.6% |
| |||||||
Chubb Ltd. | 1 | 71 | ||||||
Credit Suisse Group AG, Registered Shares (A) | 4 | 37 | ||||||
Julius Baer Group Ltd. | — | * | 19 | |||||
Partners Group Holding AG | — | * | 40 | |||||
Swiss Life Holding Zurich | — | * | 27 | |||||
Swiss Re Ltd. | 1 | 41 | ||||||
UBS Group AG (A) | 6 | 63 | ||||||
Zurich Financial Services, Registered Shares | — | * | 82 | |||||
|
| |||||||
380 | ||||||||
|
| |||||||
Health Care – 1.2% |
| |||||||
Alcon, Inc. | 1 | 36 | ||||||
Givaudan S.A., Registered Shares | — | * | 60 | |||||
Lonza Group Ltd., Registered Shares | — | * | 59 | |||||
Novartis AG, Registered Shares | 3 | 286 | ||||||
Roche Holdings AG, Genusscheine | 1 | 365 |
2020 | ANNUAL REPORT | 23 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES MSCI ACWI INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care (Continued) |
| |||||||
Sonova Holding AG | — | * | $ | 24 | ||||
Straumann Holding AG | — | * | 20 | |||||
Vifor Pharma AG | — | * | 21 | |||||
|
| |||||||
871 | ||||||||
|
| |||||||
Industrials – 0.4% |
| |||||||
ABB Ltd. | 3 | 76 | ||||||
Ferguson plc | — | * | 38 | |||||
Geberit AG, Registered | — | * | 45 | |||||
Kuehne & Nagel International AG | — | * | 18 | |||||
Schindler Holding AG | — | * | 24 | |||||
SGS S.A. | — | * | 32 | |||||
|
| |||||||
233 | ||||||||
|
| |||||||
Information Technology – 0.0% |
| |||||||
Logitech International S.A., Registered Shares | — | * | 20 | |||||
STMicroelectronics N.V. | 1 | 30 | ||||||
TEMENOS Group AG | — | * | 19 | |||||
|
| |||||||
69 | ||||||||
|
| |||||||
Materials – 0.3% |
| |||||||
Clariant Ltd., Registered Shares | 1 | 21 | ||||||
Glencore International plc | 18 | 37 | ||||||
LafargeHolcim Ltd. | 1 | 36 | ||||||
Sika AG | — | * | 49 | |||||
|
| |||||||
143 | ||||||||
|
| |||||||
Total Switzerland – 3.5% |
| 2,346 | ||||||
Taiwan |
| |||||||
Consumer Discretionary – 0.0% |
| |||||||
Hotai Motor Co. Ltd. | 1 | 18 | ||||||
|
| |||||||
Consumer Staples – 0.0% |
| |||||||
President Chain Store Corp. | 2 | 19 | ||||||
Uni-President Enterprises Corp. | 12 | 27 | ||||||
|
| |||||||
46 | ||||||||
|
| |||||||
Financials – 0.2% |
| |||||||
Cathay Financial Holding Co. Ltd. | 14 | 19 | ||||||
Chailease Holding Co. Ltd. | 6 | 28 | ||||||
Chinatrust Financial Holding Co. Ltd. | 44 | 28 | ||||||
E.Sun Financial Holding Co. Ltd. | 36 | 32 | ||||||
First Commercial Bank Co. Ltd. | 32 | 23 | ||||||
Fubon Financial Holding Co. Ltd. | 15 | 22 | ||||||
Mega Financial Holding Co. | 16 | 15 | ||||||
Yuanta Financial Holdings Co. Ltd. | 50 | 31 | ||||||
|
| |||||||
198 | ||||||||
|
| |||||||
Industrials – 0.1% |
| |||||||
EVA Airways Corp. | 67 | 25 | ||||||
|
| |||||||
Information Technology – 1.2% |
| |||||||
Advanced Semiconductor Engineering, Inc. | 14 | 29 | ||||||
Asustek Computer, Inc. | 3 | 26 | ||||||
Delta Electronics, Inc. | 6 | 36 | ||||||
Foxconn Technology Co. Ltd. | 16 | 28 | ||||||
Hon Hai Precision Industry Co. Ltd. | 23 | 62 | ||||||
Largan Precision Co. Ltd. | — | * | 30 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Information Technology (Continued) |
| |||||||
MediaTek, Inc. | 3 | $ | 57 | |||||
Quanta Computer, Inc. | 7 | 18 | ||||||
Realtek Semiconductor Corp. | 2 | 20 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | 36 | 543 | ||||||
United Microelectronics Corp. | 34 | 34 | ||||||
Yageo Corp. | 1 | 17 | ||||||
|
| |||||||
900 | ||||||||
|
| |||||||
Materials – 0.1% |
| |||||||
China Steel Corp. | 34 | 24 | ||||||
Formosa Chemicals & Fiber Corp. | 12 | 28 | ||||||
Formosa Plastics Corp. | 10 | 28 | ||||||
Nan Ya Plastics Corp. | 15 | 30 | ||||||
Taiwan Cement Corp. | 15 | 22 | ||||||
|
| |||||||
132 | ||||||||
|
| |||||||
Total Taiwan – 1.6% |
| 1,319 | ||||||
Thailand |
| |||||||
Consumer Staples – 0.0% |
| |||||||
CP ALL plc | 14 | 26 | ||||||
|
| |||||||
Energy – 0.0% |
| |||||||
PTT Public Co. Ltd. | 19 | 20 | ||||||
|
| |||||||
Financials – 0.0% |
| |||||||
Bangkok Bank Public Co. Ltd. | 28 | 17 | ||||||
Kasikornbank Public Co. Ltd. | 9 | 22 | ||||||
|
| |||||||
39 | ||||||||
|
| |||||||
Industrials – 0.0% |
| |||||||
Airports of Thailand Public Co. Ltd. | 13 | 23 | ||||||
BTS Group Holdings Public Co. Ltd. | 55 | 16 | ||||||
|
| |||||||
39 | ||||||||
|
| |||||||
Materials – 0.0% |
| |||||||
PTT Global Chemical Public Co. Ltd. | 14 | 17 | ||||||
Siam Cement Public Co. Ltd. (The) | 3 | 26 | ||||||
|
| |||||||
43 | ||||||||
|
| |||||||
Total Thailand – 0.0% |
| 167 | ||||||
United Kingdom |
| |||||||
Communication Services – 0.2% |
| |||||||
BT Group plc | 17 | 22 | ||||||
Informa plc | 4 | 19 | ||||||
Vodafone Group plc | 44 | 58 | ||||||
WPP Group plc | 4 | 28 | ||||||
|
| |||||||
127 | ||||||||
|
| |||||||
Consumer Discretionary – 0.4% |
| |||||||
Aptiv plc | — | * | 38 | |||||
Barratt Developments plc | 4 | 27 | ||||||
Compass Group plc | 3 | 46 | ||||||
Fiat S.p.A. | 2 | 29 | ||||||
InterContinental Hotels Group plc | — | * | 23 | |||||
NEXT plc | — | * | 19 | |||||
Ocado Group plc (A) | 1 | 29 | ||||||
Persimmon plc | 1 | 25 | ||||||
|
| |||||||
236 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Consumer Staples – 0.7% |
| |||||||
Associated British Foods plc | 1 | $ | 15 | |||||
British American Tobacco plc | 4 | 129 | ||||||
Coca-Cola European Partners plc | 1 | 26 | ||||||
Coca-Cola HBC AG | 1 | 15 | ||||||
Diageo plc | 3 | 117 | ||||||
Imperial Tobacco Group plc | 1 | 25 | ||||||
Reckitt Benckiser Group plc | 1 | 104 | ||||||
Tesco plc | 13 | 36 | ||||||
Unilever N.V., Certicaaten Van Aandelen | 2 | 120 | ||||||
Unilever plc | 1 | 92 | ||||||
|
| |||||||
679 | ||||||||
|
| |||||||
Energy – 0.1% |
| |||||||
BP plc | 31 | 90 | ||||||
|
| |||||||
Financials – 0.8% |
| |||||||
3i Group plc | 2 | 26 | ||||||
Aon plc | — | * | 68 | |||||
Aviva plc | 8 | 28 | ||||||
Barclays plc | 28 | 36 | ||||||
HSBC Holdings plc | 31 | 120 | ||||||
Legal & General Group plc | 12 | 30 | ||||||
Lloyds Banking Group plc | 114 | 39 | ||||||
London Stock Exchange Group plc, New Ordinary Shares | — | * | 55 | |||||
Prudential plc | 4 | 58 | ||||||
Standard Chartered plc | 5 | 23 | ||||||
Willis Towers Watson plc | — | * | 39 | |||||
|
| |||||||
522 | ||||||||
|
| |||||||
Health Care – 0.5% |
| |||||||
AstraZeneca plc | 2 | 220 | ||||||
GlaxoSmithKline plc | 8 | 142 | ||||||
Smith & Nephew plc | 1 | 28 | ||||||
|
| |||||||
390 | ||||||||
|
| |||||||
Industrials – 0.5% |
| |||||||
Ashtead Group plc | 1 | 30 | ||||||
BAE Systems plc | 5 | 32 | ||||||
Bunzl plc | 1 | 22 | ||||||
Experian plc | 1 | 54 | ||||||
IHS Markit Ltd. | 1 | 57 | ||||||
Intertek Group plc | — | * | 31 | |||||
RELX plc | 3 | 65 | ||||||
Rentokil Initial plc | 4 | 30 | ||||||
Smiths Group plc | 1 | 21 | ||||||
Spirax-Sarco Engineering plc | — | * | 29 | |||||
|
| |||||||
371 | ||||||||
|
| |||||||
Information Technology – 0.0% |
| |||||||
Halma plc | 1 | 32 | ||||||
Sage Group plc | 2 | 22 | ||||||
|
| |||||||
54 | ||||||||
|
| |||||||
Materials – 0.7% |
| |||||||
Amcor plc | 3 | 33 | ||||||
Anglo American plc | 2 | 53 | ||||||
Croda International plc | — | * | 22 | |||||
Linde plc | 1 | 202 | ||||||
Rio Tinto Ltd. | 1 | 44 | ||||||
Rio Tinto plc | 2 | 97 | ||||||
|
| |||||||
451 | ||||||||
|
|
24 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES MSCI ACWI INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS (Continued) | Shares | Value | ||||||
Utilities – 0.2% |
| |||||||
National Grid plc | 5 | $ | 60 | |||||
SSE plc | 2 | 30 | ||||||
United Utilities Group plc | 1 | 14 | ||||||
|
| |||||||
104 | ||||||||
|
| |||||||
Total United Kingdom – 4.1% |
| 3,024 | ||||||
United States |
| |||||||
Communication Services – 6.1% |
| |||||||
Activision Blizzard, Inc. | 1 | 94 | ||||||
Alphabet, Inc., Class A (A) | — | * | 658 | |||||
Alphabet, Inc., Class C (A) | — | * | 674 | |||||
AT&T, Inc. | 11 | 311 | ||||||
CenturyLink, Inc. | 2 | 17 | ||||||
Charter Communications, Inc., Class A (A) | — | * | 141 | |||||
Comcast Corp., Class A | 7 | 322 | ||||||
Discovery, Inc. (A) | 1 | 22 | ||||||
Electronic Arts, Inc. (A) | — | * | 55 | |||||
Facebook, Inc., Class A (A) | 4 | 956 | ||||||
Fox Corp., Class A | 1 | 26 | ||||||
IAC/InterActiveCorp (A) | — | * | 24 | |||||
Liberty Broadband Corp. (A) | — | * | 35 | |||||
Liberty Global, Inc., Series C (A) | 1 | 19 | ||||||
Match Group, Inc. (A) | — | * | 31 | |||||
Netflix, Inc. (A) | 1 | 336 | ||||||
Omnicom Group, Inc. | 1 | 26 | ||||||
Pinterest, Inc., Class A (A) | 1 | 25 | ||||||
RingCentral, Inc., Class A (A) | — | * | 28 | |||||
Sirius XM Holdings, Inc. (B) | 5 | 24 | ||||||
Take-Two Interactive Software, Inc. (A) | — | * | 28 | |||||
T-Mobile U.S., Inc. (A) | 1 | 88 | ||||||
Twitter, Inc. (A) | 1 | 54 | ||||||
Verizon Communications, Inc. | 6 | 368 | ||||||
ViacomCBS, Inc., Class B | 1 | 27 | ||||||
Walt Disney Co. (The) | 3 | 342 | ||||||
Zillow, Inc. (A) | — | * | 21 | |||||
|
| |||||||
4,752 | ||||||||
|
| |||||||
Consumer Discretionary – 7.6% |
| |||||||
Advance Auto Parts, Inc. | — | * | 16 | |||||
Amazon.com, Inc. (A) | 1 | 2,003 | ||||||
AutoZone, Inc. (A) | — | * | 40 | |||||
Best Buy Co., Inc. | — | * | 42 | |||||
Booking Holdings, Inc. (A) | — | * | 106 | |||||
Burlington Stores, Inc. (A) | — | * | 23 | |||||
CarMax, Inc. (A) | — | * | 25 | |||||
Chipotle Mexican Grill, Inc., Class A (A) | — | * | 50 | |||||
D.R. Horton, Inc. | 1 | 44 | ||||||
Darden Restaurants, Inc. | — | * | 24 | |||||
Dollar General Corp. | — | * | 78 | |||||
Dollar Tree, Inc. (A) | — | * | 32 | |||||
Domino’s Pizza, Inc. | — | * | 25 | |||||
eBay, Inc. | 1 | 55 | ||||||
Expedia, Inc. | — | * | 22 | |||||
Ford Motor Co. | 7 | 48 | ||||||
Garmin Ltd. | — | * | 27 | |||||
General Motors Co. | 2 | 57 | ||||||
Genuine Parts Co. | — | * | 24 | |||||
Hasbro, Inc. | — | * | 20 | |||||
Hilton Worldwide Holdings, Inc. | — | * | 36 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Consumer Discretionary (Continued) |
| |||||||
Home Depot, Inc. (The) | 2 | $ | 459 | |||||
Las Vegas Sands, Inc. | 1 | 28 | ||||||
Lennar Corp. | — | * | 40 | |||||
LKQ Corp. (A) | 1 | 17 | ||||||
Lowe’s Co., Inc. | 1 | 189 | ||||||
Marriott International, Inc., Class A | — | * | 37 | |||||
McDonalds Corp. | 1 | 252 | ||||||
MGM Resorts International | 1 | 18 | ||||||
NIKE, Inc., Class B | 2 | 235 | ||||||
NVR, Inc. (A) | — | * | 24 | |||||
O’Reilly Automotive, Inc. (A) | — | * | 52 | |||||
Peloton Interactive, Inc., Class A (A) | — | * | 28 | |||||
Pulte Homes, Inc. | 1 | 25 | ||||||
Roku, Inc. (A) | — | * | 36 | |||||
Ross Stores, Inc. | 1 | 54 | ||||||
Royal Caribbean Cruises Ltd. | — | * | 19 | |||||
Starbucks Corp. | 2 | 156 | ||||||
TAL Education Group ADR (A) | 1 | 49 | ||||||
Target Corp. | 1 | 122 | ||||||
Tesla Motors, Inc. (A) | 1 | 486 | ||||||
Tiffany & Co. | — | * | 21 | |||||
TJX Cos., Inc. (The) | 2 | 102 | ||||||
Tractor Supply Co. | — | * | 28 | |||||
Uber Technologies, Inc. (A) | 1 | 53 | ||||||
Ulta Beauty, Inc. (A) | — | * | 21 | |||||
V.F. Corp. | 1 | 39 | ||||||
Vail Resorts, Inc. | — | * | 13 | |||||
Wayfair, Inc., Class A (A) | — | * | 27 | |||||
Whirlpool Corp. | — | * | 23 | |||||
Wynn Resorts Ltd. | — | * | 19 | |||||
YUM! Brands, Inc. | — | * | 44 | |||||
|
| |||||||
5,513 | ||||||||
|
| |||||||
Consumer Staples – 4.3% |
| |||||||
Altria Group, Inc. | 3 | 108 | ||||||
Archer Daniels Midland Co. | 1 | 39 | ||||||
Brown-Forman Corp., Class B | 1 | 38 | ||||||
Campbell Soup Co. | — | * | 17 | |||||
Church & Dwight Co., Inc. | — | * | 39 | |||||
Clorox Co. (The) | — | * | 43 | |||||
Coca-Cola Co. (The) | 6 | 302 | ||||||
Colgate-Palmolive Co. | 1 | 91 | ||||||
ConAgra Foods, Inc. | 1 | 29 | ||||||
Constellation Brands, Inc. | — | * | 50 | |||||
Costco Wholesale Corp. | 1 | 237 | ||||||
Estee Lauder Co., Inc. (The), Class A | — | * | 74 | |||||
General Mills, Inc. | 1 | 58 | ||||||
Hershey Foods Corp. | — | * | 33 | |||||
Hormel Foods Corp. | 1 | 25 | ||||||
J.M. Smucker Co. (The) | — | * | 26 | |||||
Kellogg Co. | — | * | 29 | |||||
Keurig Dr Pepper, Inc. | 1 | 15 | ||||||
Kimberly-Clark Corp. | 1 | 76 | ||||||
Kraft Foods Group, Inc. | 1 | 34 | ||||||
Kroger Co. (The) | 1 | 42 | ||||||
Lamb Weston Holdings, Inc. | — | * | 18 | |||||
McCormick & Co., Inc. | — | * | 42 | |||||
Mondelez International, Inc., Class A | 2 | 121 | ||||||
Monster Beverage Corp. (A) | 1 | 53 | ||||||
PepsiCo, Inc. | 2 | 290 | ||||||
Philip Morris International, Inc. | 2 | 168 | ||||||
Procter & Gamble Co. (The) | 4 | 530 | ||||||
Sysco Corp. | 1 | 46 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Consumer Staples (Continued) |
| |||||||
Tyson Foods, Inc. | — | * | $ | 28 | ||||
Walgreen Co. | 1 | 43 | ||||||
Wal-Mart Stores, Inc. | 2 | 294 | ||||||
|
| |||||||
3,038 | ||||||||
|
| |||||||
Energy – 1.1% |
| |||||||
Baker Hughes, Inc. | 1 | 14 | ||||||
Cabot Oil & Gas Corp. | 1 | 13 | ||||||
CF Industries Holdings, Inc. | 1 | 22 | ||||||
Cheniere Energy, Inc. (A) | — | * | 22 | |||||
Chevron Corp. | 3 | 208 | ||||||
Concho Resources, Inc. | — | * | 17 | |||||
ConocoPhillips | 2 | 54 | ||||||
EOG Resources, Inc. | 1 | 35 | ||||||
Exxon Mobil Corp. | 7 | 224 | ||||||
Halliburton Co. | 1 | 17 | ||||||
Hess Corp. | — | * | 18 | |||||
Kinder Morgan, Inc. | 3 | 37 | ||||||
Marathon Petroleum Corp. | 1 | 30 | ||||||
Occidental Petroleum Corp. | 2 | 18 | ||||||
ONEOK, Inc. | 1 | 27 | ||||||
Phillips 66 | 1 | 37 | ||||||
Pioneer Natural Resources Co. | — | * | 22 | |||||
Schlumberger Ltd. | 2 | 36 | ||||||
Valero Energy Corp. | 1 | 32 | ||||||
Williams Co., Inc. (The) | 2 | 40 | ||||||
|
| |||||||
923 | ||||||||
|
| |||||||
Financials – 5.3% |
| |||||||
Aflac, Inc. | 1 | 40 | ||||||
Alleghany Corp. | — | * | 24 | |||||
Allstate Corp. (The) | 1 | 48 | ||||||
Ally Financial, Inc. | 1 | 29 | ||||||
American Express Co. | 1 | 97 | ||||||
American International Group, Inc. | 1 | 34 | ||||||
Ameriprise Financial, Inc. | — | * | 37 | |||||
Annaly Capital Management, Inc. | 3 | 19 | ||||||
Arthur J. Gallagher & Co. | — | * | 30 | |||||
Bank of America Corp. | 12 | 278 | ||||||
Bank of New York Mellon Corp. (The) | 1 | 45 | ||||||
Berkshire Hathaway, Inc., Class B (A) | 2 | 433 | ||||||
BlackRock, Inc., Class A | — | * | 130 | |||||
Blackstone Group, Inc. (The), Class A | 1 | 55 | ||||||
Capital One Financial Corp. | 1 | 52 | ||||||
Charles Schwab Corp. (The) | 2 | 66 | ||||||
Cincinnati Financial Corp. | — | * | 21 | |||||
Citigroup, Inc. | 3 | 122 | ||||||
Citizens Financial Group, Inc. | 1 | 20 | ||||||
CME Group, Inc. | 1 | 94 | ||||||
Discover Financial Services | 1 | 30 | ||||||
E*TRADE Financial Corp. | — | * | 23 | |||||
Equitable Holdings, Inc. | 1 | 12 | ||||||
Fifth Third Bancorp | 1 | 25 | ||||||
First Republic Bank | — | * | 28 | |||||
FNF Group | 1 | 18 | ||||||
Globe Life, Inc. | — | * | 15 | |||||
Goldman Sachs Group, Inc. (The) | 1 | 103 | ||||||
Hartford Financial Services Group, Inc. (The) | 1 | 20 | ||||||
Huntington Bancshares, Inc. | 2 | 19 | ||||||
Intercontinental Exchange, Inc. | 1 | 83 | ||||||
JPMorgan Chase & Co. | 5 | 436 |
2020 | ANNUAL REPORT | 25 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES MSCI ACWI INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS (Continued) | Shares | Value | ||||||
Financials (Continued) |
| |||||||
KeyCorp | 2 | $ | 24 | |||||
KKR & Co. | 1 | 30 | ||||||
M&T Bank Corp. | — | * | 23 | |||||
Markel Corp. (A) | — | * | 22 | |||||
MarketAxess Holdings, Inc. | — | * | 30 | |||||
Marsh & McLennan Cos., Inc. | 1 | 83 | ||||||
MetLife, Inc. | 1 | 46 | ||||||
Moody’s Corp. | — | * | 78 | |||||
Morgan Stanley | 2 | 90 | ||||||
MSCI, Inc., Class A | — | * | 49 | |||||
NASDAQ, Inc. | — | * | 22 | |||||
Northern Trust Corp. | — | * | 27 | |||||
PNC Financial Services Group, Inc. (The) | 1 | 74 | ||||||
Principal Financial Group, Inc. | 1 | 22 | ||||||
Progressive Corp. (The) | 1 | 80 | ||||||
Prudential Financial, Inc. | 1 | 42 | ||||||
Raymond James Financial, Inc. | — | * | 26 | |||||
Regions Financial Corp. | 2 | 25 | ||||||
S&P Global, Inc. | — | * | 137 | |||||
State Street Corp. | 1 | 40 | ||||||
SVB Financial Group (A) | — | * | 20 | |||||
Synchrony Financial | 1 | 26 | ||||||
T. Rowe Price Group, Inc. | — | * | 54 | |||||
TD Ameritrade Holding Corp. | 1 | 29 | ||||||
Travelers Co., Inc. (The) | — | * | 36 | |||||
Truist Financial Corp. | 2 | 76 | ||||||
U.S. Bancorp | 2 | 68 | ||||||
Voya Financial, Inc. | — | * | 20 | |||||
Wells Fargo & Co. | 6 | 130 | ||||||
Zions Bancorporation | 1 | 23 | ||||||
|
| |||||||
3,938 | ||||||||
|
| |||||||
Health Care – 8.0% |
| |||||||
Abbott Laboratories | 3 | 284 | ||||||
AbbVie, Inc. | 3 | 238 | ||||||
Abiomed, Inc. (A) | — | * | 19 | |||||
Agilent Technologies, Inc. | — | * | 48 | |||||
Alexion Pharmaceuticals, Inc. (A) | — | * | 38 | |||||
Align Technology, Inc. (A) | — | * | 37 | |||||
Alnylam Pharmaceuticals, Inc. (A) | — | * | 27 | |||||
AmerisourceBergen Corp. | — | * | 23 | |||||
Amgen, Inc. | 1 | 228 | ||||||
Anthem, Inc. | — | * | 92 | |||||
Bausch Health Cos., Inc. (A) | 1 | 17 | ||||||
Baxter International, Inc. | 1 | 60 | ||||||
Becton Dickinson & Co. | — | * | 94 | |||||
Biogen, Inc. (A) | — | * | 74 | |||||
BioMarin Pharmaceutical, Inc. (A) | — | * | 22 | |||||
Boston Scientific Corp. (A) | 2 | 76 | ||||||
Bristol-Myers Squibb Co. | 4 | 211 | ||||||
Cardinal Health, Inc. | — | * | 20 | |||||
Catalent, Inc. (A) | — | * | 17 | |||||
Centene Corp. (A) | 1 | 52 | ||||||
Cerner Corp. | — | * | 36 | |||||
Cigna Corp. | 1 | 93 | ||||||
Cooper Cos., Inc. (The) | — | * | 31 | |||||
CVS Caremark Corp. | 2 | 117 | ||||||
Danaher Corp. | 1 | 200 | ||||||
Dentsply Sirona, Inc. | — | * | 17 | |||||
DexCom, Inc. (A) | — | * | 56 | |||||
Edwards Lifesciences Corp. (A) | 1 | 69 | ||||||
Eli Lilly and Co. | 1 | 196 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care (Continued) |
| |||||||
Exact Sciences Corp. (A) | — | * | $ | 25 | ||||
Gilead Sciences, Inc. | 2 | 121 | ||||||
HCA Holdings, Inc. | — | * | 51 | |||||
Hologic, Inc. (A) | — | * | 27 | |||||
Humana, Inc. | — | * | 81 | |||||
IDEXX Laboratories, Inc. (A) | — | * | 52 | |||||
Illumina, Inc. (A) | — | * | 70 | |||||
Incyte Corp. (A) | — | * | 28 | |||||
Insulet Corp. (A) | — | * | 21 | |||||
Intuitive Surgical, Inc. (A) | — | * | 126 | |||||
Ionis Pharmaceuticals, Inc. (A) | — | * | 20 | |||||
Johnson & Johnson | 4 | 595 | ||||||
Laboratory Corp. of America Holdings (A) | — | * | 29 | |||||
McKesson Corp. | — | * | 36 | |||||
Merck & Co., Inc. | 4 | 316 | ||||||
Mettler-Toledo International, Inc. (A) | — | * | 36 | |||||
Moderna, Inc. (A)(B) | — | * | 28 | |||||
Mylan, Inc. (A) | 1 | 20 | ||||||
Neurocrine Biosciences, Inc. (A) | — | * | 13 | |||||
PerkinElmer, Inc. | — | * | 24 | |||||
Pfizer, Inc. | 8 | 309 | ||||||
Quest Diagnostics, Inc. | — | * | 24 | |||||
Quintiles Transnational Holdings, Inc. (A) | — | * | 46 | |||||
Regeneron Pharmaceuticals, Inc. (A) | — | * | 81 | |||||
ResMed, Inc. | — | * | 38 | |||||
Sarepta Therapeutics, Inc. (A) | — | * | 15 | |||||
Seattle Genetics, Inc. (A) | — | * | 34 | |||||
STERIS plc | — | * | 26 | |||||
Stryker Corp. | — | * | 104 | |||||
Teladoc Health, Inc. (A)(B) | — | * | 21 | |||||
Teleflex, Inc. | — | * | 27 | |||||
Thermo Fisher Scientific, Inc. | 1 | 266 | ||||||
UnitedHealth Group, Inc. | 1 | 437 | ||||||
Universal Health Services, Inc., Class B | — | * | 25 | |||||
Varian Medical Systems, Inc. (A) | — | * | 25 | |||||
Veeva Systems, Inc., Class A (A) | — | * | 57 | |||||
Vertex Pharmaceuticals, Inc. (A) | — | * | 110 | |||||
Waters Corp. (A) | — | * | 23 | |||||
West Pharmaceutical Services, Inc. | — | * | 25 | |||||
Zimmer Holdings, Inc. | — | * | 43 | |||||
Zoetis, Inc. | 1 | 116 | ||||||
|
| |||||||
6,063 | ||||||||
|
| |||||||
Industrials – 4.7% |
| |||||||
3M Co. | 1 | 136 | ||||||
AMETEK, Inc. | — | * | 37 | |||||
Boeing Co. (The) | 1 | 133 | ||||||
C.H. Robinson Worldwide, Inc. | — | * | 25 | |||||
Carrier Global Corp. | 1 | 37 | ||||||
Caterpillar, Inc. | 1 | 112 | ||||||
Cintas Corp. | — | * | 49 | |||||
Copart, Inc. (A) | — | * | 38 | |||||
CoStar Group, Inc. (A) | — | * | 54 | |||||
CSX Corp. | 1 | 87 | ||||||
Cummins, Inc. | — | * | 51 | |||||
Deere & Co. | — | * | 92 | |||||
Dover Corp. | — | * | 28 | |||||
Eaton Corp. | 1 | 67 | ||||||
Emerson Electric Co. | 1 | 56 | ||||||
Equifax, Inc. | — | * | 35 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrials (Continued) |
| |||||||
Expeditors International of Washington, Inc. | — | * | $ | 30 | ||||
Fastenal Co. | 1 | 42 | ||||||
FedEx Corp. | — | * | 89 | |||||
Fortive Corp. | — | * | 32 | |||||
Fortune Brands Home & Security, Inc. | — | * | 19 | |||||
General Dynamics Corp. | — | * | 45 | |||||
General Electric Co. | 13 | 78 | ||||||
HEICO Corp., Class A | — | * | 18 | |||||
Honeywell International, Inc. | 1 | 161 | ||||||
IDEX Corp. | — | * | 28 | |||||
Illinois Tool Works, Inc. | — | * | 76 | |||||
Ingersoll-Rand, Inc. (A) | 1 | 27 | ||||||
J.B. Hunt Transport Services, Inc. | — | * | 15 | |||||
Jacobs Engineering Group, Inc. | — | * | 24 | |||||
Johnson Controls, Inc. | 1 | 48 | ||||||
Kansas City Southern | — | * | 29 | |||||
L3Harris Technologies, Inc. | — | * | 56 | |||||
Lennox International, Inc. | — | * | 16 | |||||
Lockheed Martin Corp. | — | * | 130 | |||||
Masco Corp. | 1 | 28 | ||||||
Norfolk Southern Corp. | — | * | 81 | |||||
Northrop Grumman Corp. | — | * | 74 | |||||
Old Dominion Freight Line, Inc. | — | * | 30 | |||||
Otis Worldwide Corp. | 1 | 38 | ||||||
PACCAR, Inc. | 1 | 49 | ||||||
Parker Hannifin Corp. | — | * | 42 | |||||
Raytheon Technologies Corp. | 2 | 122 | ||||||
Republic Services, Inc., Class A | — | * | 28 | |||||
Robert Half International Inc. | — | * | 12 | |||||
Rockwell Automation, Inc. | — | * | 40 | |||||
Rollins, Inc. | — | * | 12 | |||||
Roper Industries, Inc. | — | * | 62 | |||||
Snap-on, Inc. | — | * | 20 | |||||
Stanley Black & Decker, Inc. | — | * | 43 | |||||
TransDigm Group, Inc. | — | * | 37 | |||||
TransUnion | — | * | 32 | |||||
Union Pacific Corp. | 1 | 198 | ||||||
United Parcel Service, Inc., Class B | 1 | 167 | ||||||
United Rentals, Inc. (A) | — | * | 22 | |||||
Verisk Analytics, Inc., Class A | — | * | 52 | |||||
W.W. Grainger, Inc. | — | * | 29 | |||||
Waste Connections, Inc. | — | * | 40 | |||||
Waste Management, Inc. | 1 | 66 | ||||||
Westinghouse Air Brake Technologies Corp. | — | * | 21 | |||||
Xylem, Inc. | — | * | 24 | |||||
|
| |||||||
3,369 | ||||||||
|
| |||||||
Information Technology – 16.4% |
| |||||||
Adobe, Inc. (A) | 1 | 359 | ||||||
Advanced Micro Devices, Inc. (A) | 2 | 143 | ||||||
Akamai Technologies, Inc. (A) | — | * | 30 | |||||
Amphenol Corp., Class A | — | * | 49 | |||||
Analog Devices, Inc. | 1 | 65 | ||||||
ANSYS, Inc. (A) | — | * | 45 | |||||
Apple, Inc. | 26 | 3,006 | ||||||
Applied Materials, Inc. | 1 | 85 | ||||||
Arista Networks, Inc. (A) | — | * | 19 | |||||
Autodesk, Inc. (A) | — | * | 77 | |||||
Automatic Data Processing, Inc. | 1 | 87 | ||||||
Avalara, Inc. (A) | — | * | 16 | |||||
Booz Allen Hamilton Holding Corp. | — | * | 15 |
26 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES MSCI ACWI INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS (Continued) | Shares | Value | ||||||
Information Technology (Continued) |
| |||||||
Broadcom Corp., Class A | 1 | $ | 219 | |||||
Broadridge Financial Solutions, Inc. | — | * | 26 | |||||
Cadence Design Systems, Inc. (A) | — | * | 45 | |||||
CDW Corp. | — | * | 28 | |||||
Check Point Software Technologies Ltd. (A) | — | * | 39 | |||||
Cisco Systems, Inc. | 6 | 254 | ||||||
Citrix Systems, Inc. | — | * | 24 | |||||
Cognex Corp. | — | * | 20 | |||||
Cognizant Technology Solutions Corp., Class A | 1 | 57 | ||||||
Corning, Inc. | 1 | 41 | ||||||
Coupa Software, Inc. (A) | — | * | 25 | |||||
CrowdStrike Holdings, Inc., Class A (A) | — | * | 28 | |||||
Datadog, Inc., Class A (A) | — | * | 18 | |||||
Dell Technologies, Inc., Class V (A) | — | * | 24 | |||||
DocuSign, Inc. (A) | — | * | 55 | |||||
EPAM Systems, Inc. (A) | — | * | 29 | |||||
FactSet Research Systems, Inc. | — | * | 22 | |||||
Fair Isaac Corp.(A) | — | * | 18 | |||||
Fidelity National Information Services, Inc. | 1 | 143 | ||||||
Fiserv, Inc. (A) | 1 | 93 | ||||||
FleetCor Technologies, Inc. (A) | — | * | 33 | |||||
Fortinet, Inc. (A) | — | * | 25 | |||||
Garter, Inc., Class A (A) | — | * | 24 | |||||
Global Payments, Inc. | — | * | 83 | |||||
GoDaddy, Inc., Class A (A) | — | * | 22 | |||||
Hewlett Packard Enterprise Co. | 2 | 22 | ||||||
Hewlett-Packard Co. | 2 | 45 | ||||||
Intel Corp. | 6 | 333 | ||||||
International Business Machines Corp. | 1 | 157 | ||||||
Intuit, Inc. | — | * | 131 | |||||
Jack Henry & Associates, Inc. | — | * | 17 | |||||
Juniper Networks, Inc. | 1 | 23 | ||||||
Keysight Technologies, Inc. (A) | — | * | 29 | |||||
KLA Corp. | — | * | 46 | |||||
Lam Research Corp. | — | * | 73 | |||||
Leidos Holdings, Inc. | — | * | 21 | |||||
Marvell Technology Group Ltd. | 1 | 41 | ||||||
MasterCard, Inc., Class A | 1 | 463 | ||||||
Maxim Integrated Products, Inc. | — | * | 24 | |||||
Microchip Technology, Inc. | — | * | 39 | |||||
Micron Technology, Inc. (A) | 2 | 77 | ||||||
Microsoft Corp. | 11 | 2,266 | ||||||
MongoDB, Inc. (A) | — | * | 16 | |||||
Motorola Solutions, Inc. | — | * | 42 | |||||
NetApp, Inc. | 1 | 22 | ||||||
NortonLifeLock, Inc. | 1 | 17 | ||||||
NVIDIA Corp. | 1 | 506 | ||||||
Okta, Inc. (A) | — | * | 38 | |||||
Oracle Corp. | 3 | 179 | ||||||
Palo Alto Networks, Inc. (A) | — | * | 37 | |||||
Paychex, Inc. | — | * | 35 | |||||
Paycom Software, Inc. (A) | — | * | 24 | |||||
PayPal, Inc. (A) | 2 | 336 | ||||||
PTC, Inc. (A) | — | * | 17 | |||||
Qorvo, Inc. (A) | — | * | 23 | |||||
QUALCOMM, Inc. | 2 | 198 | ||||||
salesforce.com, Inc. (A) | 1 | 340 | ||||||
Seagate Technology | — | * | 23 | |||||
ServiceNow, Inc. (A) | — | * | 135 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Information Technology (Continued) |
| |||||||
Skyworks Solutions, Inc. | — | * | $ | 39 | ||||
Snap, Inc., Class A (A) | 1 | 36 | ||||||
Splunk, Inc. (A) | — | * | 47 | |||||
Square, Inc., Class A (A) | 1 | 86 | ||||||
SS&C Technologies Holdings, Inc. | — | * | 25 | |||||
Synopsys, Inc. (A) | — | * | 52 | |||||
TE Connectivity Ltd. | 1 | 54 | ||||||
Texas Instruments, Inc. | 1 | 188 | ||||||
Trade Desk, Inc. (The), Class A (A) | — | * | 31 | |||||
Trimble Navigation Ltd. (A) | — | * | 21 | |||||
Twilio, Inc., Class A (A) | — | * | 44 | |||||
Tyler Technologies, Inc. (A) | — | * | 17 | |||||
VeriSign, Inc. (A) | — | * | 34 | |||||
Visa, Inc., Class A | 3 | 515 | ||||||
VMware, Inc., Class A (A)(B) | — | * | 20 | |||||
Western Digital Corp. | — | * | 18 | |||||
Workday, Inc., Class A (A) | — | * | 56 | |||||
Xilinx, Inc. | — | * | 35 | |||||
Zebra Technologies Corp., Class A (A) | — | * | 23 | |||||
Zoom Video Communications, Inc. (A) | — | * | 106 | |||||
Zscaler, Inc. (A) | — | * | 14 | |||||
|
| |||||||
12,647 | ||||||||
|
| |||||||
Materials – 1.3% |
| |||||||
Air Products and Chemicals, Inc. | — | * | 102 | |||||
Avery Dennison Corp. | — | * | 28 | |||||
Ball Corp. | 1 | 49 | ||||||
Celanese Corp., Series A | — | * | 28 | |||||
Corteva, Inc. | 1 | 34 | ||||||
Crown Holdings, Inc. (A) | — | * | 22 | |||||
Dow, Inc. | 1 | 59 | ||||||
DuPont De Nemours, Inc. | 1 | 61 | ||||||
Eastman Chemical Co. | — | * | 29 | |||||
Ecolab, Inc. | — | * | 76 | |||||
FMC Corp. | — | * | 30 | |||||
Freeport-McMoRan Copper & Gold, Inc., Class B | 2 | 35 | ||||||
International Flavors & Fragrances, Inc. | — | * | 21 | |||||
International Paper Co. | 1 | 40 | ||||||
LyondellBasell Industries N.V., Class A | — | * | 35 | |||||
Martin Marietta Materials, Inc. | — | * | 27 | |||||
Newmont Corp. | 1 | 75 | ||||||
Nucor Corp. | 1 | 26 | ||||||
Packaging Corp. of America | — | * | 28 | |||||
PPG Industries, Inc. | — | * | 45 | |||||
RPM International, Inc. | — | * | 19 | |||||
Sherwin-Williams Co. (The) | — | * | 88 | |||||
Vulcan Materials Co. | — | * | 32 | |||||
WestRock Co. | 1 | 22 | ||||||
|
| |||||||
1,011 | ||||||||
|
| |||||||
Real Estate – 1.5% |
| |||||||
Alexandria Real Estate Equities, Inc. | — | * | 38 | |||||
American Tower Corp., Class A | 1 | 162 | ||||||
AvalonBay Communities, Inc. | — | * | 33 | |||||
Boston Properties, Inc. | — | * | 20 | |||||
CB Richard Ellis Group, Inc. (A) | 1 | 24 | ||||||
Crown Castle International Corp. | 1 | 104 | ||||||
Digital Realty Trust, Inc. | — | * | 60 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Real Estate (Continued) |
| |||||||
Duke Realty Corp. | 1 | $ | 28 | |||||
Equinix, Inc. | — | * | 100 | |||||
Equity Residential | 1 | 29 | ||||||
Essex Property Trust, Inc. | — | * | 23 | |||||
Extra Space Storage, Inc. | — | * | 27 | |||||
Healthpeak Properties, Inc. | 1 | 32 | ||||||
Host Hotels & Resorts, Inc. | 1 | 16 | ||||||
Invitation Homes, Inc. | 1 | 28 | ||||||
Iron Mountain, Inc. | 1 | 16 | ||||||
Mid-America Apartment Communities, Inc. | — | * | 25 | |||||
ProLogis, Inc. | 1 | 116 | ||||||
Public Storage, Inc. | — | * | 50 | |||||
Realty Income Corp. | 1 | 33 | ||||||
SBA Communications Corp. | — | * | 55 | |||||
Simon Property Group, Inc. | — | * | 30 | |||||
Sun Communities, Inc. | — | * | 30 | |||||
UDR, Inc. | 1 | 17 | ||||||
Ventas, Inc. | 1 | 27 | ||||||
VICI Properties, Inc. | 1 | 17 | ||||||
W.P. Carey, Inc. | — | * | 22 | |||||
Welltower, Inc. | 1 | 36 | ||||||
Weyerhaeuser Co. | 1 | 35 | ||||||
|
| |||||||
1,233 | ||||||||
|
| |||||||
Utilities – 1.8% |
| |||||||
AES Corp. (The) | 1 | 22 | ||||||
Alliant Energy Corp. | — | * | 21 | |||||
Ameren Corp. | — | * | 28 | |||||
American Electric Power Co., Inc. | 1 | 56 | ||||||
American Water Works Co., Inc. | — | * | 44 | |||||
Atmos Energy Corp. | — | * | 29 | |||||
CenterPoint Energy, Inc. | 1 | 27 | ||||||
CMS Energy Corp. | — | * | 28 | |||||
Consolidated Edison, Inc. | 1 | 49 | ||||||
Dominion Energy, Inc. | 1 | 97 | ||||||
DTE Energy Co. | — | * | 42 | |||||
Duke Energy Corp. | 1 | 91 | ||||||
Edison International | 1 | 32 | ||||||
Entergy Corp. | — | * | 29 | |||||
Evergy, Inc. | — | * | 20 | |||||
Eversource Energy | 1 | 50 | ||||||
Exelon Corp. | 1 | 52 | ||||||
FirstEnergy Corp. | 1 | 25 | ||||||
NextEra Energy, Inc. | 1 | 201 | ||||||
NiSource, Inc. | 1 | 26 | ||||||
NRG Energy, Inc. | 1 | 15 | ||||||
PG&E Corp.(A) | 2 | 15 | ||||||
Pinnacle West Capital Corp. | — | * | 23 | |||||
PPL Corp. | 1 | 32 | ||||||
Public Service Enterprise Group, Inc. | 1 | 41 | ||||||
Sempra Energy | — | * | 51 | |||||
Southern Co. (The) | 2 | 82 | ||||||
WEC Energy Group, Inc. | 1 | 56 | ||||||
Xcel Energy, Inc. | 1 | 56 | ||||||
|
| |||||||
1,340 | ||||||||
|
| |||||||
Total United States – 58.1% |
| 43,827 | ||||||
TOTAL COMMON STOCKS – 98.9% |
| $ | 76,155 | |||||
(Cost: $59,883) |
|
2020 | ANNUAL REPORT | 27 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES MSCI ACWI INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
PREFERRED STOCKS | Shares | Value | ||||||
Germany | ||||||||
Consumer Discretionary – 0.1% |
| |||||||
Volkswagen AG, 2.260% (A) | — | * | $ | 56 | ||||
|
| |||||||
Consumer Staples – 0.1% |
| |||||||
Henkel AG & Co. KGaA | — | * | 31 | |||||
|
| |||||||
Total Germany – 0.2% |
| 87 | ||||||
South Korea |
| |||||||
Information Technology – 0.1% |
| |||||||
Samsung Electronics Co. Ltd. | 1 | 57 | ||||||
|
| |||||||
Total South Korea – 0.1% |
| 57 | ||||||
TOTAL PREFERRED STOCKS – 0.3% |
| $ | 144 | |||||
(Cost: $131) |
| |||||||
WARRANTS | ||||||||
Thailand – 0.0% |
| |||||||
BTS Group Holdings Public Co. Ltd., Expires 12–30–40 (D) | 8 | $ | — | * | ||||
Minor International Public Co. Ltd., Expires 12–29–29 (D) | 1 | — | * | |||||
|
| |||||||
— | * | |||||||
|
|
WARRANTS (Continued) | Shares | Value | ||||||
United States – 0.0% |
| |||||||
Occidental Petroleum Corp., Expires 8–4–27 (D) | — | * | $ | 1 | ||||
|
| |||||||
TOTAL WARRANTS – 0.0% |
| $ | 1 | |||||
(Cost: $6) |
| |||||||
SHORT-TERM SECURITIES | ||||||||
Money Market Funds (E) – 1.5% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares 0.040% (F) | 1,126 | 1,126 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.5% |
| $ | 1,126 | |||||
(Cost: $1,126) |
| |||||||
TOTAL INVESTMENT SECURITIES – 100.7% |
| $ | 77,426 | |||||
(Cost: $61,146) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.7)% |
| (557 | ) | |||||
NET ASSETS – 100.0% |
| $ | 76,869 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | No dividends were paid during the preceding 12 months. |
(B) | All or a portion of securities with an aggregate value of $1,104 are on loan. |
(C) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2020 the total value of these securities amounted to $142 or 0.2% of net assets. |
(D) | Warrants entitle the Fund to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
(E) | Rate shown is the annualized 7-day yield at September 30, 2020. |
(F) | Investment made with cash collateral received from securities on loan. |
28 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES MSCI ACWI INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of September 30, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | ||||||||||||
Communication Services | $ | 5,003 | $ | 2,053 | $ | — | ||||||
Consumer Discretionary | 6,985 | 2,658 | — | |||||||||
Consumer Staples | 3,226 | 2,576 | — | |||||||||
Energy | 1,267 | 833 | — | |||||||||
Financials | 5,202 | 4,399 | — | |||||||||
Health Care | 6,416 | 3,249 | — | |||||||||
Industrials | 3,762 | 3,488 | — | |||||||||
Information Technology | 13,380 | 3,339 | — | |||||||||
Materials | 1,799 | 1,958 | — | |||||||||
Real Estate | 1,271 | 918 | — | |||||||||
Utilities | 1,542 | 831 | — | |||||||||
Total Common Stocks | $ | 49,853 | $ | 26,302 | $ | — | ||||||
Preferred Stocks | — | 144 | — | |||||||||
Warrants | 1 | — | * | — | ||||||||
Short-Term Securities | 1,126 | — | — | |||||||||
Total | $ | 50,980 | $ | 26,446 | $ | — |
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
GDR = Global Depositary Receipts
REIT = Real Estate Investment Trust
Market Sector Diversification | ||||
(as a % of net assets) |
| |||
Information Technology | 21.8 | % | ||
Health Care | 12.6 | % | ||
Consumer Discretionary | 12.6 | % | ||
Financials | 12.5 | % | ||
Industrials | 9.4 | % | ||
Communication Service | 9.2 | % | ||
Consumer Staples | 7.6 | % | ||
Materials | 4.9 | % | ||
Utilities | 3.1 | % | ||
Real Estate | 2.8 | % | ||
Energy | 2.7 | % | ||
Other+ | 0.8 | % |
+ | Includes liabilities (net of cash and other assets), and cash equivalents |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 29 |
Table of Contents
PORTFOLIO HIGHLIGHTS | IVY PROSHARES RUSSELL 2000 DIVIDEND GROWERS INDEX FUND |
ALL DATA IS AS OF SEPTEMBER 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 99.8 | % | ||
Financials | 24.2 | % | ||
Utilities | 22.9 | % | ||
Industrials | 20.4 | % | ||
Consumer Staples | 10.0 | % | ||
Materials | 7.0 | % | ||
Consumer Discretionary | 5.6 | % | ||
Health Care | 4.2 | % | ||
Information Technology | 3.0 | % | ||
Real Estate | 2.5 | % | ||
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | 0.2 | % |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Andersons, Inc. (The) | Consumer Staples | Food Distributors | ||
Calavo Growers, Inc. | Consumer Staples | Packaged Foods & Meats | ||
Badger Meter, Inc. | Information Technology | Electronic Equipment & Instruments | ||
Cass Information Systems, Inc. | Information Technology | Data Processing & Outsourced Services | ||
Healthcare Services Group, Inc. | Industrials | Diversified Support Services | ||
Chesapeake Utilities Corp. | Utilities | Gas Utilities | ||
Sensient Technologies Corp. | Materials | Specialty Chemicals | ||
Standex International Corp. | Industrials | Industrial Machinery | ||
Aaron Rents, Inc. | Consumer Discretionary | Homefurnishing Retail | ||
PetMed Express, Inc. | Consumer Discretionary | Internet & Direct Marketing Retail |
See your advisor or www.ivyinvestments.com for more information on the Fund’s most recently published Top 10 Equity Holdings.
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
30 | ANNUAL REPORT | 2020 |
Table of Contents
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT | IVY PROSHARES RUSSELL 2000 DIVIDEND GROWERS INDEX FUND |
(UNAUDITED)
Please note that the performance of the Fund’s other share classes will be greater or less than the performance shown above for Class A based on the differences in loads and fees paid by shareholders investing in the different classes.
(1) | The value of the investment in the Fund is impacted by the sales load at the time of the investment and by the ongoing expenses of the Fund and assumes reinvestment of dividends and distributions. |
Average Annual Total Return(2) | Class A(3) | Class E | Class I | Class N | ||||||||||||
1-year period ended 9-30-20 | -21.04% | -20.99% | -18.89% | -18.87% | ||||||||||||
5-year period ended 9-30-20 | — | — | — | — | ||||||||||||
10-year period ended 9-30-20 | — | — | — | — | ||||||||||||
Since Inception of Class through 9-30-20(4) | -3.03% | -2.93% | -2.07% | -2.06% |
(2) | Data quoted is past performance and is based on deduction of the maximum applicable sales load for each of the periods. Current performance may be lower or higher. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost. Please visit www.ivyinvestments.com for the Fund’s most recent month end performance. Class A and Class E Shares carry a maximum front-end sales load of 2.50%. Class I and Class N shares are not subject to sales charges. |
(3) | Class A shares carry a CDSC on shares purchased at net asset value for $1 million or more that are subsequently redeemed within 12 months of purchase. Effective October 1, 2020, Class A shares carry a CDSC on shares purchased at net asset value for $500,000 or more that are subsequently redeemed within 12 months of purchase. |
(4) | 4-20-17 for Class A shares, 4-20-17 for Class E shares, 4-20-17 for Class I shares and 4-20-17 for Class N shares (the date on which shares were first acquired by shareholders). |
Past performance is not necessarily indicative of future performance. Indexes are unmanaged. The performance graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance results may include the effect of expense reduction arrangements for some or all of the periods shown. If those arrangements had not been in place, the performance results for those periods would have been lower.
2020 | ANNUAL REPORT | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES RUSSELL 2000 DIVIDEND GROWERS INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Automotive Retail – 1.3% |
| |||||||
Lithia Motors, Inc. | 4 | $ | 1,014 | |||||
|
| |||||||
Casinos & Gaming – 1.4% |
| |||||||
Churchill Downs, Inc. | 6 | 1,038 | ||||||
|
| |||||||
Homefurnishing Retail – 1.5% |
| |||||||
Aaron Rents, Inc. | 20 | 1,116 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 1.4% |
| |||||||
PetMed Express, Inc. | 35 | 1,113 | ||||||
|
| |||||||
Total Consumer Discretionary – 5.6% |
| 4,281 | ||||||
Consumer Staples |
| |||||||
Food Distributors – 1.5% |
| |||||||
Andersons, Inc. (The) | 61 | 1,168 | ||||||
|
| |||||||
Household Products – 1.4% |
| |||||||
WD-40 Co. | 6 | 1,049 | ||||||
|
| |||||||
Packaged Foods & Meats – 5.7% |
| |||||||
Calavo Growers, Inc. | 17 | 1,146 | ||||||
J&J Snack Foods Corp. | 8 | 1,021 | ||||||
Lancaster Colony Corp. | 6 | 1,101 | ||||||
Tootsie Roll Industries, Inc. (A) | 35 | 1,070 | ||||||
|
| |||||||
4,338 | ||||||||
|
| |||||||
Tobacco – 1.4% |
| |||||||
Universal Corp. | 26 | 1,076 | ||||||
|
| |||||||
Total Consumer Staples – 10.0% |
| 7,631 | ||||||
Financials |
| |||||||
Investment Banking & Brokerage – 1.3% |
| |||||||
Northwest Bancshares, Inc. | 107 | 986 | ||||||
|
| |||||||
Multi-Line Insurance – 1.2% |
| |||||||
Horace Mann Educators Corp. | 29 | 954 | ||||||
|
| |||||||
Regional Banks – 20.4% |
| |||||||
Atlantic Union Bankshares Corp. | 46 | 989 | ||||||
BancFirst Corp. | 25 | 1,007 | ||||||
Bar Harbor Bankshares, Inc. | 53 | 1,089 | ||||||
Bryn Mawr Bank Corp. | 40 | 983 | ||||||
Columbia Banking System, Inc. | 40 | 951 | ||||||
Community Bank System, Inc. | 18 | 976 | ||||||
First Financial Corp. | 32 | 1,000 | ||||||
First of Long Island Corp. (The) | 70 | 1,035 | ||||||
Heritage Financial Corp. | 53 | 983 | ||||||
International Bancshares Corp. | 35 | 922 | ||||||
Southside Bancshares, Inc. | 40 | 967 | ||||||
Stock Yards Bancorp, Inc. | 25 | 853 | ||||||
Tompkins Financial Corp. | 17 | 952 | ||||||
United Bankshares, Inc. | 42 | 901 | ||||||
Washington Trust Bancorp, Inc. | 33 | 998 | ||||||
Wesbanco, Inc. | 48 | 1,020 | ||||||
|
| |||||||
15,626 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Thrifts & Mortgage Finance – 1.3% |
| |||||||
Provident Financial Services, Inc. | 82 | $ | 998 | |||||
|
| |||||||
Total Financials – 24.2% |
| 18,564 | ||||||
Health Care |
| |||||||
Health Care Facilities – 1.4% |
| |||||||
National HealthCare Corp. | 17 | 1,089 | ||||||
|
| |||||||
Health Care Services – 1.4% |
| |||||||
Ensign Group, Inc. (The) | 19 | 1,091 | ||||||
|
| |||||||
Health Care Supplies – 1.4% |
| |||||||
Atrion Corp. | 2 | 1,045 | ||||||
|
| |||||||
Total Health Care – 4.2% |
| 3,225 | ||||||
Industrials |
| |||||||
Agricultural & Farm Machinery – 1.4% |
| |||||||
Lindsay Corp. | 11 | 1,065 | ||||||
|
| |||||||
Commercial Printing – 1.2% |
| |||||||
Brady Corp., Class A | 23 | 925 | ||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 1.2% |
| |||||||
Douglas Dynamics, Inc. | 27 | 939 | ||||||
|
| |||||||
Diversified Support Services – 4.2% |
| |||||||
Healthcare Services Group, Inc. | 52 | 1,124 | ||||||
Matthews International Corp. | 49 | 1,096 | ||||||
McGrath RentCorp | 17 | 985 | ||||||
|
| |||||||
3,205 | ||||||||
|
| |||||||
Environmental & Facilities Services – 1.4% |
| |||||||
ABM Industries, Inc. | 29 | 1,063 | ||||||
|
| |||||||
Human Resource & Employment Services – 1.4% |
| |||||||
Insperity, Inc. | 17 | 1,093 | ||||||
|
| |||||||
Industrial Machinery – 5.5% |
| |||||||
Franklin Electric Co., Inc. | 19 | 1,090 | ||||||
Gorman-Rupp Co. (The) | 34 | 1,011 | ||||||
Hillenbrand, Inc. | 35 | 996 | ||||||
Standex International Corp. | 19 | 1,118 | ||||||
|
| |||||||
4,215 | ||||||||
|
| |||||||
Office Services & Supplies – 1.4% |
| |||||||
HNI Corp. | 34 | 1,069 | ||||||
|
| |||||||
Trading Companies & Distributors – 2.7% |
| |||||||
Applied Industrial Technologies, Inc. | 18 | 983 | ||||||
GATX Corp. | 16 | 1,050 | ||||||
|
| |||||||
2,033 | ||||||||
|
| |||||||
Total Industrials – 20.4% |
| 15,607 | ||||||
Information Technology |
| |||||||
Data Processing & Outsourced Services – 1.5% |
| |||||||
Cass Information Systems, Inc. | 28 | 1,134 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Electronic Equipment & Instruments – 1.5% |
| |||||||
Badger Meter, Inc. | 17 | $ | 1,143 | |||||
|
| |||||||
Total Information Technology – 3.0% |
| 2,277 | ||||||
Materials |
| |||||||
Specialty Chemicals – 7.0% |
| |||||||
Balchem Corp. | 11 | 1,084 | ||||||
H.B. Fuller Co. | 23 | 1,031 | ||||||
Quaker Chemical Corp. | 6 | 1,029 | ||||||
Sensient Technologies Corp. | 19 | 1,122 | ||||||
Stepan Co. | 10 | 1,052 | ||||||
|
| |||||||
5,318 | ||||||||
|
| |||||||
Total Materials – 7.0% |
| 5,318 | ||||||
Real Estate |
| |||||||
Health Care REITs – 2.5% |
| |||||||
National Health Investors, Inc. | 17 | 1,022 | ||||||
Universal Health Realty Income Trust | 16 | 922 | ||||||
|
| |||||||
1,944 | ||||||||
|
| |||||||
Total Real Estate – 2.5% |
| 1,944 | ||||||
Utilities |
| |||||||
Electric Utilities – 2.7% |
| |||||||
ALLETE, Inc. | 20 | 1,047 | ||||||
Portland General Electric Co. | 29 | 1,015 | ||||||
|
| |||||||
2,062 | ||||||||
|
| |||||||
Gas Utilities – 8.0% |
| |||||||
Chesapeake Utilities Corp. | 13 | 1,123 | ||||||
New Jersey Resources Corp. | 36 | 981 | ||||||
Northwest Natural Gas Co. | 21 | 973 | ||||||
South Jersey Industries, Inc. | 49 | 951 | ||||||
Southwest Gas Corp. | 17 | 1,078 | ||||||
Spire, Inc. | 19 | 1,010 | ||||||
|
| |||||||
6,116 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders – 1.4% |
| |||||||
Black Hills Corp. | 20 | 1,046 | ||||||
|
| |||||||
Multi-Utilities – 2.6% |
| |||||||
Avista Corp. | 30 | 1,007 | ||||||
NorthWestern Corp. | 21 | 1,016 | ||||||
|
| |||||||
2,023 | ||||||||
|
| |||||||
Water Utilities – 8.2% |
| |||||||
American States Water Co. | 14 | 1,061 | ||||||
Artesian Resources Corp. | 31 | 1,077 | ||||||
California Water Service Group | 24 | 1,036 | ||||||
Middlesex Water Co. | 17 | 1,055 | ||||||
SJW Corp. | 17 | 1,062 | ||||||
York Water Co. (The) | 24 | 1,025 | ||||||
|
| |||||||
6,316 | ||||||||
|
| |||||||
Total Utilities – 22.9% |
| 17,563 | ||||||
TOTAL COMMON STOCKS – 99.8% |
| $ | 76,410 | |||||
(Cost: $76,317) |
|
32 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES RUSSELL 2000 DIVIDEND GROWERS INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
SHORT-TERM SECURITIES | Shares | Value | ||||||
Money Market Funds (C) – 1.4% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, 0.040% (B) | 1,072 | $ | 1,072 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.4% |
| $ | 1,072 | |||||
(Cost: $1,072) |
| |||||||
TOTAL INVESTMENT SECURITIES – 101.2% |
| $ | 77,482 | |||||
(Cost: $77,389) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.2)% |
| (904 | ) | |||||
NET ASSETS – 100.0% |
| $ | 76,578 |
Notes to Schedule of Investments
(A) | All or a portion of securities with an aggregate value of $1,050 are on loan. |
(B) | Investment made with cash collateral received from securities on loan. |
(C) | Rate shown is the annualized 7-day yield at September 30, 2020. |
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of September 30, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 76,410 | $ | — | $ | — | ||||||
Short-Term Securities | 1,072 | — | — | |||||||||
Total | $ | 77,482 | $ | — | $ | — |
The following acronym is used throughout this schedule:
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 33 |
Table of Contents
PORTFOLIO HIGHLIGHTS | IVY PROSHARES S&P 500 BOND INDEX FUND |
ALL DATA IS AS OF SEPTEMBER 30, 2020 (UNAUDITED)
Asset Allocation
Bonds | 98.7% | |||
Corporate Debt Securities | 98.7% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.3% |
Quality Weightings
Investment Grade | 98.7% | |||
AAA | 3.4% | |||
AA | 10.3% | |||
A | 39.9% | |||
BBB | 45.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.3% |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
34 | ANNUAL REPORT | 2020 |
Table of Contents
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT | IVY PROSHARES S&P 500 BOND INDEX FUND |
(UNAUDITED)
Please note that the performance of the Fund’s other share classes will be greater or less than the performance shown above for Class A based on the differences in loads and fees paid by shareholders investing in the different classes.
(1) | The value of the investment in the Fund is impacted by the sales load at the time of the investment and by the ongoing expenses of the Fund and assumes reinvestment of dividends and distributions. |
Average Annual Total Return(2) | Class A(3) | Class E | Class I | Class R | ||||||||||||
1-year period ended 9-30-20 | 5.10% | 5.15% | 8.07% | 7.25% | ||||||||||||
5-year period ended 9-30-20 | — | — | — | — | ||||||||||||
10-year period ended 9-30-20 | — | — | — | — | ||||||||||||
Since Inception of Class through 9-30-20(4) | 4.78% | 4.83% | 5.82% | 5.04% |
(2) | Data quoted is past performance and is based on deduction of the maximum applicable sales load for each of the periods. Current performance may be lower or higher. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost. Please visit www.ivyinvestments.com for the Fund’s most recent month end performance. Class A and Class E Shares carry a maximum front-end sales load of 2.50%. Class I and Class R shares are not subject to sales charges. |
(3) | Class A shares carry a CDSC on shares purchased at net asset value for $1 million or more that are subsequently redeemed within 12 months of purchase. Effective October 1, 2020, Class A shares carry a CDSC on shares purchased at net asset value for $500,000 or more that are subsequently redeemed within 12 months of purchase. |
(4) | 4-20-17 for Class A shares, 4-20-17 for Class E shares, 4-20-17 for Class I shares and 4-20-17 for Class R shares (the date on which shares were first acquired by shareholders). |
Past performance is not necessarily indicative of future performance. Indexes are unmanaged. The performance graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance results may include the effect of expense reduction arrangements for some or all of the periods shown. If those arrangements had not been in place, the performance results for those periods would have been lower.
2020 | ANNUAL REPORT | 35 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES S&P 500 BOND INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES | Principal | Value | ||||||
Communication Services |
| |||||||
Broadcasting – 1.0% |
| |||||||
Discovery Communications LLC (GTD by Discovery, Inc.), | ||||||||
3.950%, 3–20–28 | $ | 552 | $ | 628 | ||||
Discovery Communications, Inc., | ||||||||
5.200%, 9–20–47 | 200 | 240 | ||||||
Fox Corp., | ||||||||
4.709%, 1–25–29 | 483 | 578 | ||||||
|
| |||||||
1,446 | ||||||||
|
| |||||||
Cable & Satellite – 3.6% |
| |||||||
Comcast Corp., | ||||||||
3.750%, 4–1–40 | 250 | 292 | ||||||
Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal): | ||||||||
3.000%, 2–1–24 | 450 | 485 | ||||||
3.700%, 4–15–24 | 400 | 442 | ||||||
3.100%, 4–1–25 | 250 | 275 | ||||||
3.950%, 10–15–25 | 447 | 513 | ||||||
3.150%, 3–1–26 | 300 | 333 | ||||||
4.150%, 10–15–28 | 100 | 121 | ||||||
3.400%, 4–1–30 | 250 | 288 | ||||||
4.250%, 10–15–30 | 180 | 221 | ||||||
4.600%, 10–15–38 | 350 | 446 | ||||||
4.700%, 10–15–48 | 400 | 529 | ||||||
3.999%, 11–1–49 | 150 | 182 | ||||||
4.049%, 11–1–52 | 150 | 184 | ||||||
4.950%, 10–15–58 | 100 | 143 | ||||||
Viacom, Inc.: | ||||||||
4.750%, 5–15–25 | 270 | 310 | ||||||
4.375%, 3–15–43 | 361 | 382 | ||||||
|
| |||||||
5,146 | ||||||||
|
| |||||||
Integrated Telecommunication Services – 7.2% |
| |||||||
AT&T, Inc.: | ||||||||
3.000%, 6–30–22 | 190 | 198 | ||||||
3.400%, 5–15–25 | 225 | 249 | ||||||
4.125%, 2–17–26 | 400 | 458 | ||||||
4.250%, 3–1–27 | 255 | 296 | ||||||
2.300%, 6–1–27 | 500 | 524 | ||||||
4.100%, 2–15–28 | 200 | 231 | ||||||
4.350%, 3–1–29 | 478 | 561 | ||||||
4.500%, 5–15–35 | 290 | 342 | ||||||
5.250%, 3–1–37 | 200 | 250 | ||||||
4.850%, 3–1–39 | 150 | 181 | ||||||
4.300%, 12–15–42 | 150 | 169 | ||||||
4.350%, 6–15–45 | 300 | 336 | ||||||
4.750%, 5–15–46 | 200 | 234 | ||||||
4.500%, 3–9–48 | 532 | 607 | ||||||
4.550%, 3–9–49 | 300 | 344 | ||||||
5.150%, 2–15–50 | 100 | 127 | ||||||
3.850%, 6–1–60 | 428 | 434 | ||||||
Verizon Communications, Inc.: | ||||||||
3.500%, 11–1–24 | 450 | 497 | ||||||
3.376%, 2–15–25 | 350 | 390 | ||||||
2.625%, 8–15–26 | 150 | 164 | ||||||
4.125%, 3–16–27 | 510 | 602 | ||||||
3.000%, 3–22–27 | 360 | 400 | ||||||
4.329%, 9–21–28 | 120 | 145 | ||||||
4.500%, 8–10–33 | 100 | 126 | ||||||
5.250%, 3–16–37 | 626 | 866 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Integrated Telecommunication Services (Continued) |
| |||||||
4.862%, 8–21–46 | $ | 447 | $ | 611 | ||||
5.500%, 3–16–47 | 395 | 594 | ||||||
4.522%, 9–15–48 | 300 | 393 | ||||||
5.012%, 4–15–49 | 105 | 151 | ||||||
|
| |||||||
10,480 | ||||||||
|
| |||||||
Interactive Media & Services – 0.7% |
| |||||||
Alphabet, Inc.: | ||||||||
1.998%, 8–15–26 | 120 | 129 | ||||||
1.900%, 8–15–40 | 500 | 479 | ||||||
2.250%, 8–15–60 | 440 | 415 | ||||||
|
| |||||||
1,023 | ||||||||
|
| |||||||
Movies & Entertainment – 1.4% |
| |||||||
Walt Disney Co. (The): | ||||||||
1.750%, 8–30–24 | 605 | 630 | ||||||
1.750%, 1–13–26 | 475 | 493 | ||||||
2.000%, 9–1–29 | 450 | 465 | ||||||
2.750%, 9–1–49 | 450 | 433 | ||||||
|
| |||||||
2,021 | ||||||||
|
| |||||||
Total Communication Services—13.9% |
| 20,116 | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.3% |
| |||||||
TJX Cos., Inc. (The), | ||||||||
3.875%, 4–15–30 | 340 | 403 | ||||||
|
| |||||||
Automobile Manufacturers – 0.6% |
| |||||||
General Motors Co.: | ||||||||
4.875%, 10–2–23 | 531 | 579 | ||||||
5.200%, 4–1–45 | 200 | 215 | ||||||
|
| |||||||
794 | ||||||||
|
| |||||||
Casinos & Gaming – 0.3% |
| |||||||
Las Vegas Sands Corp., | ||||||||
3.900%, 8–8–29 | 500 | 500 | ||||||
|
| |||||||
Footwear – 0.4% |
| |||||||
NIKE, Inc., | ||||||||
2.400%, 3–27–25 | 500 | 538 | ||||||
|
| |||||||
General Merchandise Stores – 0.2% |
| |||||||
Dollar Tree, Inc.: | ||||||||
3.700%, 5–15–23 | 150 | 162 | ||||||
4.000%, 5–15–25 | 150 | 169 | ||||||
|
| |||||||
331 | ||||||||
|
| |||||||
Home Improvement Retail – 0.7% |
| |||||||
Home Depot, Inc. (The): | ||||||||
2.950%, 6–15–29 | 200 | 226 | ||||||
4.500%, 12–6–48 | 395 | 528 | ||||||
Lowe’s Co., Inc.: | ||||||||
3.650%, 4–5–29 | 100 | 115 | ||||||
4.050%, 5–3–47 | 150 | 179 | ||||||
|
| |||||||
1,048 | ||||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.3% |
| |||||||
Marriott International, Inc., Series R, | ||||||||
3.500%, 10–15–32 | 471 | 464 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Internet & Direct Marketing Retail – 2.1% |
| |||||||
Amazon.com, Inc.: | ||||||||
2.800%, 8–22–24 | $ | 400 | $ | 433 | ||||
1.500%, 6–3–30 | 375 | 383 | ||||||
3.875%, 8–22–37 | 400 | 497 | ||||||
4.950%, 12–5–44 | 100 | 142 | ||||||
2.700%, 6–3–60 | 500 | 514 | ||||||
Booking Holdings, Inc., | ||||||||
4.100%, 4–13–25 | 414 | 466 | ||||||
eBay, Inc., | ||||||||
4.000%, 7–15–42 | 500 | 561 | ||||||
|
| |||||||
2,996 | ||||||||
|
| |||||||
Restaurants – 0.7% |
| |||||||
McDonalds Corp., | ||||||||
2.125%, 3–1–30 | 500 | 520 | ||||||
Starbucks Corp.: | ||||||||
3.800%, 8–15–25 | 200 | 226 | ||||||
4.500%, 11–15–48 | 200 | 244 | ||||||
|
| |||||||
990 | ||||||||
|
| |||||||
Total Consumer Discretionary – 5.6% |
| 8,064 | ||||||
Consumer Staples |
| |||||||
Brewers – 0.3% |
| |||||||
Molson Coors Brewing Co.: | ||||||||
3.000%, 7–15–26 | 150 | 160 | ||||||
4.200%, 7–15–46 | 260 | 275 | ||||||
|
| |||||||
435 | ||||||||
|
| |||||||
Drug Retail – 2.8% |
| |||||||
CVS Health Corp.: | ||||||||
3.500%, 7–20–22 | 150 | 157 | ||||||
3.700%, 3–9–23 | 200 | 214 | ||||||
4.100%, 3–25–25 | 660 | 746 | ||||||
2.875%, 6–1–26 | 200 | 217 | ||||||
4.300%, 3–25–28 | 430 | 503 | ||||||
3.750%, 4–1–30 | 500 | 571 | ||||||
4.780%, 3–25–38 | 325 | 393 | ||||||
5.125%, 7–20–45 | 152 | 191 | ||||||
5.050%, 3–25–48 | 375 | 477 | ||||||
4.250%, 4–1–50 | 500 | 587 | ||||||
|
| |||||||
4,056 | ||||||||
|
| |||||||
Food Distributors – 0.3% |
| |||||||
Sysco Corp., | ||||||||
5.650%, 4–1–25 | 340 | 402 | ||||||
|
| |||||||
Household Products – 0.4% |
| |||||||
Procter & Gamble Co. (The), | ||||||||
3.550%, 3–25–40 | 450 | 547 | ||||||
|
| |||||||
Hypermarkets & Super Centers – 1.6% |
| |||||||
Costco Wholesale Corp., | ||||||||
1.375%, 6–20–27 | 500 | 512 | ||||||
Wal-Mart Stores, Inc., | ||||||||
2.550%, 4–11–23 | 100 | 105 | ||||||
Walmart, Inc.: | ||||||||
3.400%, 6–26–23 | 400 | 432 | ||||||
3.550%, 6–26–25 | 340 | 384 | ||||||
3.700%, 6–26–28 | 283 | 334 | ||||||
3.950%, 6–28–38 | 470 | 588 | ||||||
|
| |||||||
2,355 | ||||||||
|
|
36 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES S&P 500 BOND INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Packaged Foods & Meats – 0.7% |
| |||||||
Conagra Brands, Inc., | ||||||||
5.400%, 11–1–48 | $ | 400 | $ | 539 | ||||
Tyson Foods, Inc. (GTD by Tyson Fresh Meats, Inc.), | ||||||||
5.100%, 9–28–48 | 332 | 457 | ||||||
|
| |||||||
996 | ||||||||
|
| |||||||
Soft Drinks – 1.5% |
| |||||||
Coca–Cola Co. (The): | ||||||||
3.450%, 3–25–30 | 250 | 295 | ||||||
1.375%, 3–15–31 | 500 | 495 | ||||||
2.750%, 6–1–60 | 500 | 503 | ||||||
PepsiCo, Inc.: | ||||||||
1.625%, 5–1–30 | 500 | 513 | ||||||
3.875%, 3–19–60 | 320 | 403 | ||||||
|
| |||||||
2,209 | ||||||||
|
| |||||||
Tobacco – 1.4% |
| |||||||
Altria Group, Inc. (GTD by Philip Morris USA, Inc.): | ||||||||
4.000%, 1–31–24 | 105 | 116 | ||||||
3.800%, 2–14–24 | 100 | 109 | ||||||
4.400%, 2–14–26 | 100 | 115 | ||||||
4.800%, 2–14–29 | 200 | 237 | ||||||
5.800%, 2–14–39 | 100 | 128 | ||||||
3.875%, 9–16–46 | 300 | 307 | ||||||
5.950%, 2–14–49 | 400 | 536 | ||||||
Philip Morris International, Inc., | ||||||||
2.100%, 5–1–30 | 410 | 422 | ||||||
|
| |||||||
1,970 | ||||||||
|
| |||||||
Total Consumer Staples – 9.0% |
| 12,970 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 1.1% |
| |||||||
Chevron Corp.: | ||||||||
3.191%, 6–24–23 | 140 | 150 | ||||||
2.954%, 5–16–26 | 500 | 557 | ||||||
Chevron USA, Inc. (GTD by Chevron Corp.), | ||||||||
2.343%, 8–12–50 | 453 | 422 | ||||||
Phillips 66 (GTD by Phillips 66 Co.), | ||||||||
4.875%, 11–15–44 | 350 | 415 | ||||||
|
| |||||||
1,544 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.6% |
| |||||||
Baker Hughes, a GE Co. LLC and Baker Hughes Co-Obligor, Inc., | ||||||||
4.080%, 12–15–47 | 450 | 449 | ||||||
Halliburton Co., | ||||||||
5.000%, 11–15–45 | 350 | 358 | ||||||
|
| |||||||
807 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 1.9% |
| |||||||
Concho Resources, Inc., | ||||||||
4.300%, 8–15–28 | 225 | 249 | ||||||
ConocoPhillips Co. (GTD by ConocoPhillips), | ||||||||
6.500%, 2–1–39 | 100 | 146 | ||||||
Exxon Mobil Corp.: | ||||||||
2.992%, 3–19–25 | 250 | 274 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Exploration & Production (Continued) |
| |||||||
3.043%, 3–1–26 | $ | 280 | $ | 309 | ||||
3.482%, 3–19–30 | 250 | 288 | ||||||
4.227%, 3–19–40 | 250 | 306 | ||||||
3.095%, 8–16–49 | 150 | 153 | ||||||
4.327%, 3–19–50 | 250 | 311 | ||||||
3.452%, 4–15–51 | 250 | 274 | ||||||
Marathon Oil Corp., | ||||||||
4.400%, 7–15–27 | 150 | 149 | ||||||
Noble Energy, Inc., | ||||||||
5.250%, 11–15–43 | 220 | 291 | ||||||
|
| |||||||
2,750 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.3% |
| |||||||
Valero Energy Corp., | ||||||||
1.200%, 3–15–24 | 500 | 498 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 1.4% |
| |||||||
Kinder Morgan, Inc.: | ||||||||
4.300%, 6–1–25 | 253 | 285 | ||||||
5.550%, 6–1–45 | 200 | 238 | ||||||
5.200%, 3–1–48 | 150 | 175 | ||||||
MPLX L.P.: | ||||||||
4.700%, 4–15–48 | 777 | 786 | ||||||
5.500%, 2–15–49 | 140 | 156 | ||||||
Williams Co., Inc. (The), | ||||||||
4.550%, 6–24–24 | 100 | 111 | ||||||
Williams Partners L.P., | ||||||||
3.750%, 6–15–27 | 310 | 340 | ||||||
|
| |||||||
2,091 | ||||||||
|
| |||||||
Total Energy – 5.3% |
| 7,690 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.3% |
| |||||||
BlackRock, Inc., | ||||||||
1.900%, 1–28–31 | 500 | 518 | ||||||
|
| |||||||
Consumer Finance – 2.2% |
| |||||||
American Express Co.: | ||||||||
2.750%, 5–20–22 | 443 | 458 | ||||||
2.500%, 8–1–22 | 150 | 156 | ||||||
2.500%, 7–30–24 | 264 | 280 | ||||||
Capital One Financial Corp., | ||||||||
3.800%, 1–31–28 | 300 | 335 | ||||||
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.): | ||||||||
4.200%, 11–6–21 | 475 | 490 | ||||||
5.100%, 1–17–24 | 325 | 355 | ||||||
3.950%, 4–13–24 | 150 | 159 | ||||||
4.350%, 1–17–27 | 160 | 174 | ||||||
3.600%, 6–21–30 | 450 | 464 | ||||||
Synchrony Financial: | ||||||||
4.250%, 8–15–24 | 115 | 125 | ||||||
3.950%, 12–1–27 | 134 | 144 | ||||||
|
| |||||||
3,140 | ||||||||
|
| |||||||
Diversified Banks – 7.0% |
| |||||||
Bank of America Corp.: | ||||||||
2.503%, 10–21–22 | 200 | 204 | ||||||
3.300%, 1–11–23 | 110 | 117 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Banks (Continued) |
| |||||||
4.125%, 1–22–24 | $ | 130 | $ | 144 | ||||
4.200%, 8–26–24 | 124 | 138 | ||||||
3.950%, 4–21–25 | 105 | 116 | ||||||
3.500%, 4–19–26 | 325 | 364 | ||||||
3.248%, 10–21–27 | 705 | 779 | ||||||
4.183%, 11–25–27 | 805 | 923 | ||||||
Bank of New York Mellon Corp. (The), | ||||||||
1.600%, 4–24–25 | 500 | 519 | ||||||
BB&T Corp., | ||||||||
3.050%, 6–20–22 | 250 | 261 | ||||||
KeyCorp, | ||||||||
2.550%, 10–1–29 | 450 | 478 | ||||||
Truist Bank, | ||||||||
2.150%, 12–6–24 | 340 | 360 | ||||||
U.S. Bancorp: | ||||||||
3.000%, 7–30–29 | 178 | 198 | ||||||
1.375%, 7–22–30 | 500 | 496 | ||||||
Wells Fargo & Co., | ||||||||
3.550%, 9–29–25 | 332 | 369 | ||||||
Wells Fargo & Co.: | ||||||||
3.500%, 3–8–22 | 211 | 220 | ||||||
2.625%, 7–22–22 | 400 | 415 | ||||||
3.069%, 1–24–23 | 302 | 311 | ||||||
3.450%, 2–13–23 | 105 | 111 | ||||||
3.300%, 9–9–24 | 306 | 334 | ||||||
3.000%, 2–19–25 | 110 | 119 | ||||||
3.000%, 4–22–26 | 150 | 163 | ||||||
4.100%, 6–3–26 | 150 | 169 | ||||||
3.000%, 10–23–26 | 310 | 338 | ||||||
4.150%, 1–24–29 | 580 | 682 | ||||||
5.606%, 1–15–44 | 178 | 241 | ||||||
3.900%, 5–1–45 | 208 | 243 | ||||||
4.400%, 6–14–46 | 500 | 594 | ||||||
4.750%, 12–7–46 | 375 | 468 | ||||||
Wells Fargo Bank N.A., | ||||||||
3.625%, 10–22–21 | 250 | 258 | ||||||
|
| |||||||
10,132 | ||||||||
|
| |||||||
Financial Exchanges & Data – 0.5% |
| |||||||
Intercontinental Exchange, Inc.: | ||||||||
4.250%, 9–21–48 | 150 | 186 | ||||||
3.000%, 9–15–60 | 500 | 506 | ||||||
|
| |||||||
692 | ||||||||
|
| |||||||
Insurance Brokers – 0.1% |
| |||||||
Marsh & McLennan Cos., Inc., | ||||||||
4.375%, 3–15–29 | 150 | 182 | ||||||
|
| |||||||
Investment Banking & Brokerage – 5.7% |
| |||||||
Goldman Sachs Group, Inc. (The): | ||||||||
2.350%, 11–15–21 | 200 | 200 | ||||||
5.750%, 1–24–22 | 350 | 373 | ||||||
3.000%, 4–26–22 | 500 | 507 | ||||||
3.625%, 1–22–23 | 300 | 321 | ||||||
3.200%, 2–23–23 | 150 | 159 | ||||||
4.000%, 3–3–24 | 200 | 220 | ||||||
3.850%, 7–8–24 | 200 | 220 | ||||||
3.500%, 1–23–25 | 300 | 329 | ||||||
3.500%, 4–1–25 | 500 | 552 | ||||||
4.250%, 10–21–25 | 350 | 398 | ||||||
3.500%, 11–16–26 | 559 | 618 | ||||||
3.850%, 1–26–27 | 365 | 410 | ||||||
6.750%, 10–1–37 | 450 | 651 |
2020 | ANNUAL REPORT | 37 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES S&P 500 BOND INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Investment Banking & Brokerage (Continued) |
| |||||||
Morgan Stanley: | ||||||||
2.625%, 11–17–21 | $ | 270 | $ | 277 | ||||
2.750%, 5–19–22 | 245 | 254 | ||||||
3.125%, 1–23–23 | 200 | 211 | ||||||
4.100%, 5–22–23 | 264 | 285 | ||||||
3.875%, 4–29–24 | 200 | 220 | ||||||
3.700%, 10–23–24 | 330 | 366 | ||||||
4.000%, 7–23–25 | 500 | 564 | ||||||
3.875%, 1–27–26 | 203 | 231 | ||||||
3.950%, 4–23–27 | 190 | 215 | ||||||
4.300%, 1–27–45 | 500 | 634 | ||||||
|
| |||||||
8,215 | ||||||||
|
| |||||||
Life & Health Insurance – 0.2% |
| |||||||
Prudential Financial, Inc.: | ||||||||
3.935%, 12–7–49 | 150 | 170 | ||||||
4.350%, 2–25–50 | 150 | 180 | ||||||
|
| |||||||
350 | ||||||||
|
| |||||||
Multi-Line Insurance – 0.6% |
| |||||||
American International Group, Inc.: | ||||||||
4.125%, 2–15–24 | 345 | 383 | ||||||
3.900%, 4–1–26 | 280 | 319 | ||||||
4.750%, 4–1–48 | 100 | 122 | ||||||
|
| |||||||
824 | ||||||||
|
| |||||||
Other Diversified Financial Services – 3.9% |
| |||||||
Citigroup, Inc.: | ||||||||
2.900%, 12–8–21 | 610 | 627 | ||||||
2.750%, 4–25–22 | 298 | 308 | ||||||
4.400%, 6–10–25 | 219 | 246 | ||||||
3.200%, 10–21–26 | 425 | 469 | ||||||
4.450%, 9–29–27 | 275 | 318 | ||||||
4.125%, 7–25–28 | 200 | 230 | ||||||
8.125%, 7–15–39 | 200 | 349 | ||||||
4.650%, 7–23–48 | 300 | 393 | ||||||
JPMorgan Chase & Co.: | ||||||||
4.500%, 1–24–22 | 150 | 158 | ||||||
3.250%, 9–23–22 | 300 | 317 | ||||||
2.972%, 1–15–23 | 510 | 526 | ||||||
3.200%, 1–25–23 | 290 | 308 | ||||||
2.700%, 5–18–23 | 230 | 243 | ||||||
3.875%, 9–10–24 | 300 | 332 | ||||||
2.950%, 10–1–26 | 405 | 446 | ||||||
3.625%, 12–1–27 | 380 | 425 | ||||||
|
| |||||||
5,695 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.5% |
| |||||||
Berkshire Hathaway Finance Corp. (GTD by Berkshire Hathaway, Inc.): | ||||||||
4.200%, 8–15–48 | 100 | 129 | ||||||
4.250%, 1–15–49 | 150 | 195 | ||||||
Berkshire Hathaway, Inc., | ||||||||
2.750%, 3–15–23 | 322 | 339 | ||||||
|
| |||||||
663 | ||||||||
|
| |||||||
Regional Banks – 0.6% |
| |||||||
Fifth Third Bancorp, | ||||||||
3.650%, 1–25–24 | 340 | 371 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Regional Banks (Continued) |
| |||||||
PNC Financial Services Group, Inc. (The): | ||||||||
2.600%, 7–23–26 | $ | 230 | $ | 251 | ||||
3.450%, 4–23–29 | 186 | 214 | ||||||
|
| |||||||
836 | ||||||||
|
| |||||||
Total Financials – 21.6% |
| 31,247 | ||||||
Health Care |
| |||||||
Biotechnology – 1.8% |
| |||||||
Amgen, Inc.: | ||||||||
2.650%, 5–11–22 | 100 | 103 | ||||||
2.300%, 2–25–31 | 433 | 454 | ||||||
4.400%, 5–1–45 | 340 | 422 | ||||||
4.663%, 6–15–51 | 300 | 391 | ||||||
Biogen, Inc., | ||||||||
5.200%, 9–15–45 | 150 | 198 | ||||||
Gilead Sciences, Inc.: | ||||||||
4.750%, 3–1–46 | 393 | 508 | ||||||
4.150%, 3–1–47 | 451 | 550 | ||||||
|
| |||||||
2,626 | ||||||||
|
| |||||||
Health Care Equipment – 0.4% |
| |||||||
Boston Scientific Corp., | ||||||||
3.750%, 3–1–26 | 307 | 349 | ||||||
Zimmer Holdings, Inc., | ||||||||
3.550%, 4–1–25 | 150 | 166 | ||||||
|
| |||||||
515 | ||||||||
|
| |||||||
Health Care Services – 1.3% |
| |||||||
Cigna Corp.: | ||||||||
3.750%, 7–15–23 | 688 | 746 | ||||||
4.800%, 8–15–38 | 624 | 773 | ||||||
CVS Caremark Corp., | ||||||||
3.875%, 7–20–25 | 325 | 366 | ||||||
|
| |||||||
1,885 | ||||||||
|
| |||||||
Health Care Supplies – 0.9% |
| |||||||
Abbott Laboratories: | ||||||||
3.750%, 11–30–26 | 88 | 102 | ||||||
4.900%, 11–30–46 | 490 | 690 | ||||||
Medtronic, Inc. (GTD by Medtronic Global Holdings SCA and Medtronic plc): | ||||||||
3.500%, 3–15–25 | 130 | 146 | ||||||
4.375%, 3–15–35 | 250 | 335 | ||||||
|
| |||||||
1,273 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 0.4% |
| |||||||
Thermo Fisher Scientific, Inc., | ||||||||
4.133%, 3–25–25 | 500 | 569 | ||||||
|
| |||||||
Managed Health Care – 1.3% |
| |||||||
Anthem, Inc.: | ||||||||
3.650%, 12–1–27 | 340 | 387 | ||||||
4.101%, 3–1–28 | 200 | 233 | ||||||
UnitedHealth Group, Inc.: | ||||||||
3.500%, 8–15–39 | 228 | 261 | ||||||
3.700%, 8–15–49 | 350 | 418 | ||||||
3.125%, 5–15–60 | 500 | 535 | ||||||
|
| |||||||
1,834 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Pharmaceuticals – 5.4% |
| |||||||
AbbVie, Inc.: | ||||||||
2.900%, 11–6–22 | $ | 465 | $ | 488 | ||||
3.600%, 5–14–25 | 300 | 332 | ||||||
4.250%, 11–14–28 | 500 | 594 | ||||||
4.450%, 5–14–46 | 282 | 335 | ||||||
Bristol - Myers Squibb Co.: | ||||||||
3.875%, 8–15–25 | 500 | 571 | ||||||
4.550%, 2–20–48 | 473 | 639 | ||||||
4.250%, 10–26–49 | 500 | 656 | ||||||
Eli Lilly and Co., | ||||||||
3.950%, 3–15–49 | 300 | 375 | ||||||
Johnson & Johnson: | ||||||||
0.550%, 9–1–25 | 500 | 500 | ||||||
0.950%, 9–1–27 | 500 | 500 | ||||||
2.900%, 1–15–28 | 150 | 169 | ||||||
Merck & Co., Inc.: | ||||||||
2.750%, 2–10–25 | 295 | 321 | ||||||
3.400%, 3–7–29 | 500 | 582 | ||||||
1.450%, 6–24–30 | 350 | 355 | ||||||
Mylan N.V., | ||||||||
3.950%, 6–15–26 | 260 | 292 | ||||||
Pfizer, Inc., | ||||||||
2.700%, 5–28–50 | 480 | 500 | ||||||
Walgreens Boots Alliance, Inc., | ||||||||
3.450%, 6–1–26 | 600 | 656 | ||||||
|
| |||||||
7,865 | ||||||||
|
| |||||||
Total Health Care – 11.5% |
| 16,567 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 3.9% |
| |||||||
Boeing Co. (The): | ||||||||
2.700%, 2–1–27 | 500 | 487 | ||||||
5.040%, 5–1–27 (A) | 320 | 351 | ||||||
3.200%, 3–1–29 | 100 | 99 | ||||||
5.150%, 5–1–30 | 650 | 728 | ||||||
3.750%, 2–1–50 | 500 | 458 | ||||||
5.805%, 5–1–50 | 500 | 603 | ||||||
General Dynamics Corp., | ||||||||
3.250%, 4–1–25 | 450 | 498 | ||||||
Lockheed Martin Corp., | ||||||||
3.550%, 1–15–26 | 230 | 262 | ||||||
Northrop Grumman Corp.: | ||||||||
2.930%, 1–15–25 | 175 | 190 | ||||||
4.400%, 5–1–30 | 250 | 307 | ||||||
4.030%, 10–15–47 | 280 | 340 | ||||||
United Technologies Corp.: | ||||||||
3.950%, 8–16–25 | 460 | 523 | ||||||
4.500%, 6–1–42 | 301 | 379 | ||||||
4.625%, 11–16–48 | 355 | 462 | ||||||
|
| |||||||
5,687 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.8% |
| |||||||
FedEx Corp.: | ||||||||
4.050%, 2–15–48 | 326 | 375 | ||||||
4.950%, 10–17–48 | 100 | 128 | ||||||
United Parcel Service, Inc., | ||||||||
5.300%, 4–1–50 | 400 | 589 | ||||||
|
| |||||||
1,092 | ||||||||
|
|
38 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES S&P 500 BOND INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Airlines – 0.1% |
| |||||||
Southwest Airlines Co., | ||||||||
5.125%, 6–15–27 | $ | 170 | $ | 185 | ||||
|
| |||||||
Construction Machinery & Heavy Trucks – 0.4% |
| |||||||
Caterpillar, Inc., | ||||||||
2.600%, 4–9–30 | 470 | 516 | ||||||
|
| |||||||
Industrial Conglomerates – 2.0% |
| |||||||
GE Capital International Funding Co.: | ||||||||
3.373%, 11–15–25 | 200 | 213 | ||||||
4.418%, 11–15–35 | 600 | 634 | ||||||
General Electric Capital Corp.: | ||||||||
6.750%, 3–15–32 | 350 | 440 | ||||||
5.875%, 1–14–38 | 860 | 1,002 | ||||||
Honeywell International, Inc.: | ||||||||
1.850%, 11–1–21 | 150 | 152 | ||||||
2.800%, 6–1–50 | 460 | 490 | ||||||
|
| |||||||
2,931 | ||||||||
|
| |||||||
Railroads – 0.4% |
| |||||||
Union Pacific Corp., | ||||||||
3.950%, 9–10–28 | 500 | 589 | ||||||
|
| |||||||
Total Industrials – 7.6% |
| 11,000 | ||||||
Information Technology |
| |||||||
Application Software – 0.7% |
| |||||||
Adobe, Inc., | ||||||||
2.300%, 2–1–30 | 300 | 323 | ||||||
NVIDIA Corp., | ||||||||
3.500%, 4–1–50 | 350 | 409 | ||||||
salesforce.com, Inc., | ||||||||
3.700%, 4–11–28 | 307 | 362 | ||||||
|
| |||||||
1,094 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 2.6% |
| |||||||
Fiserv, Inc.: | ||||||||
3.200%, 7–1–26 | 137 | 152 | ||||||
3.500%, 7–1–29 | 380 | 433 | ||||||
4.400%, 7–1–49 | 450 | 561 | ||||||
Global Payments, Inc., | ||||||||
3.200%, 8–15–29 | 200 | 218 | ||||||
PayPal Holdings, Inc.: | ||||||||
2.650%, 10–1–26 | 442 | 482 | ||||||
2.300%, 6–1–30 | 370 | 391 | ||||||
Visa, Inc.: | ||||||||
2.800%, 12–14–22 | 280 | 294 | ||||||
3.150%, 12–14–25 | 150 | 168 | ||||||
2.700%, 4–15–40 | 500 | 540 | ||||||
4.300%, 12–14–45 | 313 | 415 | ||||||
2.000%, 8–15–50 | 162 | 149 | ||||||
|
| |||||||
3,803 | ||||||||
|
| |||||||
IT Consulting & Other Services – 1.1% |
| |||||||
International Business Machines Corp.: | ||||||||
2.850%, 5–13–22 | 200 | 208 | ||||||
3.000%, 5–15–24 | 118 | 128 | ||||||
3.300%, 5–15–26 | 150 | 169 | ||||||
3.500%, 5–15–29 | 419 | 484 | ||||||
4.150%, 5–15–39 | 500 | 611 | ||||||
|
| |||||||
1,600 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Semiconductor Equipment – 0.1% |
| |||||||
Lam Research Corp., | ||||||||
3.750%, 3–15–26 | $ | 100 | $ | 115 | ||||
|
| |||||||
Semiconductors – 3.6% |
| |||||||
Broadcom Corp. and Broadcom Cayman Finance Ltd. (GTD by Broadcom Ltd.): | ||||||||
3.875%, 1–15–27 | 384 | 426 | ||||||
3.500%, 1–15–28 | 500 | 541 | ||||||
Broadcom, Inc.: | ||||||||
3.150%, 11–15–25 | 500 | 539 | ||||||
4.250%, 4–15–26 | 500 | 564 | ||||||
4.110%, 9–15–28 | 500 | 559 | ||||||
Intel Corp.: | ||||||||
3.300%, 10–1–21 | 645 | 664 | ||||||
3.734%, 12–8–47 | 689 | 821 | ||||||
Micron Technology, Inc., | ||||||||
2.497%, 4–24–23 | 150 | 156 | ||||||
QUALCOMM, Inc.: | ||||||||
3.250%, 5–20–27 | 210 | 235 | ||||||
2.150%, 5–20–30 | 350 | 367 | ||||||
4.300%, 5–20–47 | 260 | 333 | ||||||
|
| |||||||
5,205 | ||||||||
|
| |||||||
Systems Software – 5.7% |
| |||||||
Microsoft Corp.: | ||||||||
2.000%, 8–8–23 | 150 | 156 | ||||||
2.875%, 2–6–24 | 350 | 377 | ||||||
3.125%, 11–3–25 | 585 | 654 | ||||||
2.400%, 8–8–26 | 280 | 305 | ||||||
3.300%, 2–6–27 | 250 | 286 | ||||||
4.100%, 2–6–37 | 450 | 584 | ||||||
3.700%, 8–8–46 | 420 | 527 | ||||||
3.950%, 8–8–56 | 300 | 396 | ||||||
2.675%, 6–1–60 | 500 | 523 | ||||||
Oracle Corp.: | ||||||||
2.500%, 5–15–22 | 300 | 309 | ||||||
2.500%, 10–15–22 | 350 | 365 | ||||||
2.400%, 9–15–23 | 642 | 676 | ||||||
3.400%, 7–8–24 | 154 | 168 | ||||||
2.950%, 11–15–24 | 450 | 488 | ||||||
2.650%, 7–15–26 | 530 | 578 | ||||||
3.250%, 11–15–27 | 280 | 317 | ||||||
2.950%, 4–1–30 | 355 | 397 | ||||||
3.800%, 11–15–37 | 250 | 293 | ||||||
3.850%, 4–1–60 | 500 | 587 | ||||||
ServiceNow, Inc., | ||||||||
1.400%, 9–1–30 | 200 | 194 | ||||||
|
| |||||||
8,180 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 4.5% |
| |||||||
Apple, Inc.: | ||||||||
1.700%, 9–11–22 | 400 | 411 | ||||||
2.850%, 2–23–23 | 150 | 158 | ||||||
2.400%, 5–3–23 | 400 | 421 | ||||||
3.000%, 2–9–24 | 360 | 388 | ||||||
3.450%, 5–6–24 | 150 | 165 | ||||||
2.850%, 5–11–24 | 300 | 323 | ||||||
3.200%, 5–13–25 | 230 | 256 | ||||||
3.250%, 2–23–26 | 150 | 169 | ||||||
3.350%, 2–9–27 | 348 | 398 | ||||||
3.200%, 5–11–27 | 200 | 227 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Technology Hardware, Storage & Peripherals (Continued) |
| |||||||
2.900%, 9–12–27 | $ | 643 | $ | 722 | ||||
3.000%, 11–13–27 | 150 | 169 | ||||||
1.250%, 8–20–30 | 500 | 497 | ||||||
3.850%, 5–4–43 | 150 | 187 | ||||||
3.450%, 2–9–45 | 500 | 592 | ||||||
3.750%, 11–13–47 | 300 | 369 | ||||||
Hewlett Packard Enterprise Co., | ||||||||
6.350%, 10–15–45 (A) | 520 | 660 | ||||||
HP, Inc., | ||||||||
6.000%, 9–15–41 | 300 | 367 | ||||||
|
| |||||||
6,479 | ||||||||
|
| |||||||
Total Information Technology – 18.3% |
| 26,476 | ||||||
Materials |
| |||||||
Diversified Chemicals – 1.0% |
| |||||||
Dow Chemical Co. (The), | ||||||||
4.375%, 11–15–42 | 300 | 339 | ||||||
DowDuPont, Inc.: | ||||||||
4.205%, 11–15–23 | 562 | 618 | ||||||
4.493%, 11–15–25 | 270 | 310 | ||||||
5.419%, 11–15–48 | 110 | 147 | ||||||
|
| |||||||
1,414 | ||||||||
|
| |||||||
Industrial Gases – 0.3% |
| |||||||
Air Products and Chemicals, Inc., | ||||||||
2.800%, 5–15–50 | 415 | 435 | ||||||
|
| |||||||
Paper Packaging – 0.4% |
| |||||||
International Paper Co.: | ||||||||
4.400%, 8–15–47 | 250 | 304 | ||||||
4.350%, 8–15–48 (B) | 250 | 306 | ||||||
|
| |||||||
610 | ||||||||
|
| |||||||
Total Materials – 1.7% |
| 2,459 | ||||||
Real Estate |
| |||||||
Health Care REITs – 0.5% |
| |||||||
Health Care REIT, Inc., | ||||||||
4.000%, 6–1–25 | 300 | 335 | ||||||
Welltower, Inc., | ||||||||
3.100%, 1–15–30 | 300 | 318 | ||||||
|
| |||||||
653 | ||||||||
|
| |||||||
Industrial REITs – 0.3% |
| |||||||
Prologis L.P., | ||||||||
1.250%, 10–15–30 | 442 | 431 | ||||||
|
| |||||||
Retail REITs – 0.3% |
| |||||||
Simon Property Group L.P., | ||||||||
2.450%, 9–13–29 | 450 | 446 | ||||||
|
| |||||||
Specialized REITs – 0.8% |
| |||||||
American Tower Corp., | ||||||||
3.800%, 8–15–29 | 570 | 652 | ||||||
Crown Castle International Corp., | ||||||||
3.250%, 1–15–51 | 183 | 182 |
2020 | ANNUAL REPORT | 39 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES S&P 500 BOND INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Specialized REITs (Continued) |
| |||||||
Equinix, Inc., | ||||||||
2.150%, 7–15–30 | $ | 320 | $ | 324 | ||||
|
| |||||||
1,158 | ||||||||
|
| |||||||
Total Real Estate – 1.9% |
| 2,688 | ||||||
Utilities |
| |||||||
Electric Utilities – 2.0% |
| |||||||
Duke Energy Corp.: | ||||||||
2.650%, 9–1–26 | 246 | 266 | ||||||
3.750%, 9–1–46 | 150 | 171 | ||||||
Exelon Corp., | ||||||||
4.050%, 4–15–30 | 360 | 421 | ||||||
FirstEnergy Corp., | ||||||||
3.900%, 7–15–27 | 200 | 220 | ||||||
Georgia Power Co., | ||||||||
4.300%, 3–15–42 | 309 | 369 | ||||||
NextEra Energy Capital Holdings, Inc. (GTD by NextEra Energy, Inc.), | ||||||||
2.750%, 11–1–29 | 340 | 367 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Electric Utilities (Continued) |
| |||||||
Southern California Edison Co., | ||||||||
4.125%, 3–1–48 | $ | 520 | $ | 568 | ||||
Southern Co. (The): | ||||||||
2.950%, 7–1–23 | 300 | 319 | ||||||
4.400%, 7–1–46 | 100 | 118 | ||||||
|
| |||||||
2,819 | ||||||||
|
| |||||||
Multi-Utilities – 0.3% |
| |||||||
NiSource, Inc., | ||||||||
1.700%, 2–15–31 | 337 | 331 | ||||||
Sempra Energy, | ||||||||
3.400%, 2–1–28 | 150 | 165 | ||||||
|
| |||||||
496 | ||||||||
|
| |||||||
Total Utilities – 2.3% |
| 3,315 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 98.7% |
| $ | 142,592 | |||||
(Cost: $132,676) |
|
SHORT-TERM SECURITIES | Shares | Value | ||||||
Money Market Funds (C) – 0.9% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, | ||||||||
0.030% | 1,304 | $ | 1,304 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.9% |
| $ | 1,304 | |||||
(Cost: $1,304) |
| |||||||
TOTAL INVESTMENT SECURITIES – 99.6% |
| $ | 143,896 | |||||
(Cost: $133,980) |
| |||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.4% |
| 586 | ||||||
NET ASSETS – 100.0% |
| $ | 144,482 |
Notes to Schedule of Investments
(A) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at September 30, 2020. |
(B) | All or a portion of securities with an aggregate value of $227 are on loan. |
(C) | Rate shown is the annualized 7-day yield at September 30, 2020. |
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of September 30, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Corporate Debt Securities | $ | — | $ | 142,592 | $ | — | ||||||
Short-Term Securities | 1,304 | — | — | |||||||||
Total | $ | 1,304 | $ | 142,592 | $ | — |
The following acronyms are used throughout this schedule:
GTD = Guaranteed
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
40 | ANNUAL REPORT | 2020 |
Table of Contents
PORTFOLIO HIGHLIGHTS | IVY PROSHARES S&P 500 DIVIDEND ARISTOCRATS INDEX FUND |
ALL DATA IS AS OF SEPTEMBER 30, 2020 (UNAUDITED)
Asset Allocation
Stocks | 99.7% | |||
Industrials | 25.1% | |||
Consumer Staples | 20.2% | |||
Materials | 12.5% | |||
Consumer Discretionary | 10.4% | |||
Financials | 10.0% | |||
Health Care | 8.7% | |||
Real Estate | 4.5% | |||
Utilities | 3.0% | |||
Energy | 2.4% | |||
Communication Services | 1.5% | |||
Information Technology | 1.4% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.3% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Target Corp. | Consumer Discretionary | General Merchandise Stores | ||
V.F. Corp. | Consumer Discretionary | Apparel, Accessories & Luxury Goods | ||
Carrier Global Corp. | Industrials | Building Products | ||
Leggett & Platt, Inc. | Consumer Discretionary | Home Furnishings | ||
Sysco Corp. | Consumer Staples | Food Distributors | ||
Expeditors International of Washington, Inc. | Industrials | Air Freight & Logistics | ||
Lowe’s Co., Inc. | Consumer Discretionary | Home Improvement Retail | ||
Sherwin-Williams Co. (The) | Materials | Specialty Chemicals | ||
Brown-Forman Corp., Class B | Consumer Staples | Distillers & Vintners | ||
McDonalds Corp. | Consumer Discretionary | Restaurants |
See your advisor or www.ivyinvestments.com for more information on the Fund’s most recently published Top 10 Equity Holdings.
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
2020 | ANNUAL REPORT | 41 |
Table of Contents
COMPARISON OF CHANGE IN VALUE OF $10,000 INVESTMENT | IVY PROSHARES S&P 500 DIVIDEND ARISTOCRATS INDEX FUND |
(UNAUDITED)
Please note that the performance of the Fund’s other share classes will be greater or less than the performance shown above for Class A based on the differences in loads and fees paid by shareholders investing in the different classes.
(1) | The value of the investment in the Fund is impacted by the sales load at the time of the investment and by the ongoing expenses of the Fund and assumes reinvestment of dividends and distributions. |
Average Annual Total Return(2) | Class A(3) | Class E | Class I | Class N | Class R | |||||||||||||||
1-year period ended 9-30-20 | 0.35% | 0.40% | 3.07% | 3.07% | 2.37% | |||||||||||||||
5-year period ended 9-30-20 | — | — | — | — | — | |||||||||||||||
10-year period ended 9-30-20 | — | — | — | — | — | |||||||||||||||
Since Inception of Class through 9-30-20(4) | 8.61% | 8.66% | 9.69% | 9.69% | 8.87% |
(2) | Data quoted is past performance and is based on deduction of the maximum applicable sales load for each of the periods. Current performance may be lower or higher. Past performance is no guarantee of future results. Investment return and principal value of an investment will fluctuate and shares, when redeemed, may be worth more or less than their original cost. Please visit www.ivyinvestments.com for the Fund’s most recent month end performance. Class A and Class E Shares carry a maximum front-end sales load of 2.50%. Class I, Class N and Class R shares are not subject to sales charges. |
(3) | Class A shares carry a CDSC on shares purchased at net asset value for $1 million or more that are subsequently redeemed within 12 months of purchase. Effective October 1, 2020, Class A shares carry a CDSC on shares purchased at net asset value for $500,000 or more that are subsequently redeemed within 12 months of purchase. |
(4) | 4-20-17 for Class A shares, 4-20-17 for Class E shares, 4-20-17 for Class I shares, 4-20-17 for Class N shares and 4-20-17 for Class R shares (the date on which shares were first acquired by shareholders). |
Past performance is not necessarily indicative of future performance. Indexes are unmanaged. The performance graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares. Performance results may include the effect of expense reduction arrangements for some or all of the periods shown. If those arrangements had not been in place, the performance results for those periods would have been lower.
42 | ANNUAL REPORT | 2020 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES S&P 500 DIVIDEND ARISTOCRATS INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS | Shares | Value | ||||||
Communication Services |
| |||||||
Integrated Telecommunication Services – 1.5% |
| |||||||
AT&T, Inc. | 196 | $ | 5,602 | |||||
|
| |||||||
Total Communication Services – 1.5% |
| 5,602 | ||||||
Consumer Discretionary |
| |||||||
Apparel, Accessories & Luxury Goods – 1.8% |
| |||||||
V.F. Corp. | 97 | 6,814 | ||||||
|
| |||||||
Distributors – 1.6% |
| |||||||
Genuine Parts Co. | 66 | 6,238 | ||||||
|
| |||||||
General Merchandise Stores – 1.9% |
| |||||||
Target Corp. | 47 | 7,394 | ||||||
|
| |||||||
Home Furnishings – 1.7% |
| |||||||
Leggett & Platt, Inc. | 162 | 6,658 | ||||||
|
| |||||||
Home Improvement Retail – 1.7% |
| |||||||
Lowe’s Co., Inc. | 40 | 6,555 | ||||||
|
| |||||||
Restaurants – 1.7% |
| |||||||
McDonalds Corp. | 29 | 6,418 | ||||||
|
| |||||||
Total Consumer Discretionary – 10.4% |
| 40,077 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 1.7% |
| |||||||
Archer Daniels Midland Co. | 138 | 6,418 | ||||||
|
| |||||||
Distillers & Vintners – 1.7% |
| |||||||
Brown-Forman Corp., Class B | 85 | 6,436 | ||||||
|
| |||||||
Drug Retail – 1.3% |
| |||||||
Walgreen Co. | 143 | 5,152 | ||||||
|
| |||||||
Food Distributors – 3.2% |
| |||||||
McCormick & Co., Inc. | 30 | 5,828 | ||||||
Sysco Corp. | 106 | 6,580 | ||||||
|
| |||||||
12,408 | ||||||||
|
| |||||||
Household Products – 4.6% |
| |||||||
Clorox Co. (The) | 26 | 5,378 | ||||||
Colgate-Palmolive Co. | 78 | 6,032 | ||||||
Procter & Gamble Co. (The) | 46 | 6,411 | ||||||
|
| |||||||
17,821 | ||||||||
|
| |||||||
Hypermarkets & Super Centers – 1.6% |
| |||||||
Wal-Mart Stores, Inc. | 44 | 6,194 | ||||||
|
| |||||||
Packaged Foods & Meats – 1.5% |
| |||||||
Hormel Foods Corp. | 116 | 5,651 | ||||||
|
| |||||||
Personal Products – 1.5% |
| |||||||
Kimberly-Clark Corp. | 39 | 5,823 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Soft Drinks – 3.1% |
| |||||||
Coca-Cola Co. (The) | 120 | $ | 5,916 | |||||
PepsiCo, Inc. | 43 | 5,919 | ||||||
|
| |||||||
11,835 | ||||||||
|
| |||||||
Total Consumer Staples – 20.2% |
| 77,738 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 1.2% |
| |||||||
Chevron Corp. | 64 | 4,642 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 1.2% |
| |||||||
Exxon Mobil Corp. | 134 | 4,593 | ||||||
|
| |||||||
Total Energy – 2.4% |
| 9,235 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 2.9% |
| |||||||
Franklin Resources, Inc. | 282 | 5,740 | ||||||
T. Rowe Price Group, Inc. | 43 | 5,561 | ||||||
|
| |||||||
11,301 | ||||||||
|
| |||||||
Financial Exchanges & Data – 1.6% |
| |||||||
S&P Global, Inc. | 17 | 5,987 | ||||||
|
| |||||||
Life & Health Insurance – 1.5% |
| |||||||
Aflac, Inc. | 158 | 5,744 | ||||||
|
| |||||||
Property & Casualty Insurance – 2.7% |
| |||||||
Chubb Ltd. | 43 | 5,001 | ||||||
Cincinnati Financial Corp. | 70 | 5,443 | ||||||
|
| |||||||
10,444 | ||||||||
|
| |||||||
Regional Banks – 1.3% |
| |||||||
People’s United Financial, Inc. | 484 | 4,992 | ||||||
|
| |||||||
Total Financials – 10.0% |
| 38,468 | ||||||
Health Care |
| |||||||
Health Care Equipment – 2.9% |
| |||||||
Becton Dickinson & Co. | 21 | 4,972 | ||||||
Medtronic plc | 60 | 6,267 | ||||||
|
| |||||||
11,239 | ||||||||
|
| |||||||
Health Care Services – 1.2% |
| |||||||
Cardinal Health, Inc. | 103 | 4,828 | ||||||
|
| |||||||
Health Care Supplies – 1.7% |
| |||||||
Abbott Laboratories | 59 | 6,391 | ||||||
|
| |||||||
Pharmaceuticals – 2.9% |
| |||||||
AbbVie, Inc. | 60 | 5,241 | ||||||
Johnson & Johnson | 39 | 5,840 | ||||||
|
| |||||||
11,081 | ||||||||
|
| |||||||
Total Health Care – 8.7% |
| 33,539 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrials |
| |||||||
Aerospace & Defense – 2.8% |
| |||||||
General Dynamics Corp. | 39 | $ | 5,357 | |||||
Raytheon Technologies Corp. | 94 | 5,386 | ||||||
|
| |||||||
10,743 | ||||||||
|
| |||||||
Air Freight & Logistics – 1.7% |
| |||||||
Expeditors International of Washington, Inc. | 72 | 6,559 | ||||||
|
| |||||||
Building Products – 3.3% |
| |||||||
A. O. Smith Corp. | 113 | 5,979 | ||||||
Carrier Global Corp. | 219 | 6,676 | ||||||
|
| |||||||
12,655 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 1.6% |
| |||||||
Caterpillar, Inc. | 42 | 6,299 | ||||||
|
| |||||||
Diversified Support Services – 1.6% |
| |||||||
Cintas Corp. | 19 | 6,392 | ||||||
|
| |||||||
Electrical Components & Equipment – 3.0% |
| |||||||
Emerson Electric Co. | 92 | 6,013 | ||||||
Roper Industries, Inc. | 14 | 5,528 | ||||||
|
| |||||||
11,541 | ||||||||
|
| |||||||
Industrial Conglomerates – 1.5% |
| |||||||
3M Co. | 36 | 5,823 | ||||||
|
| |||||||
Industrial Machinery – 8.0% |
| |||||||
Dover Corp. | 55 | 5,966 | ||||||
Illinois Tool Works, Inc. | 31 | 6,076 | ||||||
Otis Worldwide Corp. | 100 | 6,239 | ||||||
Pentair, Inc. | 137 | 6,275 | ||||||
Stanley Black & Decker, Inc. | 38 | 6,164 | ||||||
|
| |||||||
30,720 | ||||||||
|
| |||||||
Trading Companies & Distributors – 1.6% |
| |||||||
W.W. Grainger, Inc. | 17 | 6,072 | ||||||
|
| |||||||
Total Industrials – 25.1% |
| 96,804 | ||||||
Information Technology |
| |||||||
Data Processing & Outsourced Services – 1.4% |
| |||||||
Automatic Data Processing, Inc. | 40 | 5,573 | ||||||
|
| |||||||
Total Information Technology – 1.4% |
| 5,573 | ||||||
Materials |
| |||||||
Industrial Gases – 3.0% |
| |||||||
Air Products and Chemicals, Inc. | 20 | 5,937 | ||||||
Linde plc | 24 | 5,669 | ||||||
|
| |||||||
11,606 | ||||||||
|
| |||||||
Paper Packaging – 1.6% |
| |||||||
Amcor plc | 545 | 6,017 | ||||||
|
|
2020 | ANNUAL REPORT | 43 |
Table of Contents
SCHEDULE OF INVESTMENTS | IVY PROSHARES S&P 500 DIVIDEND ARISTOCRATS INDEX FUND (in thousands) |
SEPTEMBER 30, 2020
COMMON STOCKS (Continued) | Shares | Value | ||||||
Specialty Chemicals – 6.3% |
| |||||||
Albemarle Corp. | 67 | $ | 5,960 | |||||
Ecolab, Inc. | 28 | 5,527 | ||||||
PPG Industries, Inc. | 53 | 6,416 | ||||||
Sherwin-Williams Co. (The) | 9 | 6,530 | ||||||
|
| |||||||
24,433 | ||||||||
|
| |||||||
Steel – 1.6% |
| |||||||
Nucor Corp. | 136 | 6,083 | ||||||
|
| |||||||
Total Materials – 12.5% |
| 48,139 | ||||||
Real Estate |
| |||||||
Residential REITs – 1.4% |
| |||||||
Essex Property Trust, Inc. | 27 | 5,448 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Retail REITs – 3.1% |
| |||||||
Federal Realty Investment Trust | 80 | $ | 5,846 | |||||
Realty Income Corp. | 101 | 6,148 | ||||||
|
| |||||||
11,994 | ||||||||
|
| |||||||
Total Real Estate – 4.5% |
| 17,442 | ||||||
Utilities |
| |||||||
Gas Utilities – 1.4% |
| |||||||
Atmos Energy Corp. | 56 | 5,392 | ||||||
|
| |||||||
Multi-Utilities – 1.6% |
| |||||||
Consolidated Edison, Inc. | 77 | 5,981 | ||||||
|
| |||||||
Total Utilities – 3.0% |
| 11,373 | ||||||
TOTAL COMMON STOCKS – 99.7% |
| $ | 383,990 | |||||
(Cost: $329,695) |
|
SHORT-TERM SECURITIES | Shares | Value | ||||||
Money Market Funds (A) – 0.0% |
| |||||||
State Street Institutional U.S. Government Money Market Fund – Premier Class, 0.030% | 144 | $ | 144 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.0% |
| $ | 144 | |||||
(Cost: $144) |
| |||||||
TOTAL INVESTMENT SECURITIES – 99.7% |
| $ | 384,134 | |||||
(Cost: $329,839) |
| |||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.3% |
| 978 | ||||||
NET ASSETS – 100.0% |
| $ | 385,112 |
Notes to Schedule of Investments
(A) | Rate shown is the annualized 7-day yield at September 30, 2020. |
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of September 30, 2020. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 383,990 | $ | — | $ | — | ||||||
Short-Term Securities | 144 | — | — | |||||||||
Total | $ | 384,134 | $ | — | $ | — |
The following acronym is used throughout this schedule:
REIT = Real Estate Investment Trusts
See Accompanying Notes to Financial Statements.
44 | ANNUAL REPORT | 2020 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY FUNDS |
AS OF SEPTEMBER 30, 2020
(In thousands, except per share amounts) | Ivy ProShares Interest Rate Hedged High Yield Index Fund | Ivy ProShares MSCI ACWI Index Fund | Ivy ProShares Russell 2000 Dividend Growers Index Fund | Ivy ProShares S&P 500 Bond Index Fund | Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | |||||||||||||||
ASSETS |
| |||||||||||||||||||
Investments in unaffiliated securities at value+^ | $ | 36,568 | $ | 77,426 | $ | 77,482 | $ | 143,896 | $ | 384,134 | ||||||||||
Investments at Value | 36,568 | 77,426 | 77,482 | 143,896 | 384,134 | |||||||||||||||
Cash | — | — | — | — | * | — | ||||||||||||||
Cash denominated in foreign currencies at value+ | — | 172 | — | — | — | |||||||||||||||
Restricted cash | 230 | — | — | — | — | |||||||||||||||
Investment securities sold receivable | 1,711 | 1,368 | — | 5,535 | — | |||||||||||||||
Dividends and interest receivable | 595 | 165 | 194 | 1,234 | 819 | |||||||||||||||
Capital shares sold receivable | 61 | 118 | 199 | 137 | 283 | |||||||||||||||
Receivable from affiliates | 98 | 185 | 82 | 103 | 178 | |||||||||||||||
Receivable from securities lending income – net | — | — | * | — | * | — | * | — | ||||||||||||
Variation margin receivable | 30 | — | — | — | — | |||||||||||||||
Prepaid and other assets | 31 | 31 | 32 | 35 | 44 | |||||||||||||||
Total Assets | 39,324 | 79,465 | 77,989 | 150,940 | 385,458 | |||||||||||||||
LIABILITIES | ||||||||||||||||||||
Cash collateral on securities loaned at value | — | 1,126 | 1,072 | — | — | |||||||||||||||
Investment securities purchased payable | 1,418 | 1,337 | — | 6,282 | — | |||||||||||||||
Capital shares redeemed payable | 20 | 7 | 136 | 96 | 230 | |||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 1 | 2 | 2 | 2 | 6 | |||||||||||||||
Overdraft due to custodian | — | 66 | 159 | — | — | |||||||||||||||
Distribution and service fees payable | — | * | — | * | — | * | — | * | — | * | ||||||||||
Shareholder servicing payable | 6 | 10 | 11 | 20 | 42 | |||||||||||||||
Investment management fee payable | — | * | 1 | 1 | 1 | 4 | ||||||||||||||
Accounting services fee payable | 4 | 5 | 4 | 6 | 11 | |||||||||||||||
Other liabilities | 26 | 42 | 26 | 51 | 53 | |||||||||||||||
Total Liabilities | 1,475 | 2,596 | 1,411 | 6,458 | 346 | |||||||||||||||
Total Net Assets | $ | 37,849 | $ | 76,869 | $ | 76,578 | $ | 144,482 | $ | 385,112 | ||||||||||
NET ASSETS | ||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 44,944 | $ | 58,311 | $ | 91,759 | $ | 130,984 | $ | 325,290 | ||||||||||
Accumulated earnings gain (loss) | (7,095 | ) | 18,558 | (15,181 | ) | 13,498 | 59,822 | |||||||||||||
Total Net Assets | $ | 37,849 | $ | 76,869 | $ | 76,578 | $ | 144,482 | $ | 385,112 | ||||||||||
CAPITAL SHARES OUTSTANDING: | ||||||||||||||||||||
Class A | 352 | 1,490 | 173 | 433 | 295 | |||||||||||||||
Class E | 119 | 138 | 108 | 155 | 210 | |||||||||||||||
Class I | 3,752 | 4,392 | 7,149 | 12,401 | 23,609 | |||||||||||||||
Class N | N/A | N/A | 1,375 | N/A | 6,298 | |||||||||||||||
Class R | 104 | N/A | N/A | 105 | 83 | |||||||||||||||
NET ASSET VALUE PER SHARE: | ||||||||||||||||||||
Class A | $8.74 | $12.77 | $8.70 | $11.03 | $12.63 | |||||||||||||||
Class E | $8.75 | $12.77 | $8.69 | $11.03 | $12.63 | |||||||||||||||
Class I | $8.75 | $12.77 | $8.70 | $11.03 | $12.63 | |||||||||||||||
Class N | N/A | N/A | $8.70 | N/A | $12.63 | |||||||||||||||
Class R | $8.75 | N/A | N/A | $11.03 | $12.62 | |||||||||||||||
+COST | ||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 36,663 | $ | 61,146 | $ | 77,389 | $ | 133,980 | $ | 329,839 | ||||||||||
Cash denominated in foreign currencies at cost | — | 174 | — | — | — | |||||||||||||||
^Securities loaned at value | — | 1,104 | 1,050 | 227 | — |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 45 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY FUNDS |
FOR THE YEAR ENDED SEPTEMBER 30, 2020
(In thousands) | Ivy ProShares Interest Rate Hedged High Yield Index Fund | Ivy ProShares MSCI ACWI Index Fund | Ivy ProShares Russell 2000 Dividend Growers Index Fund | Ivy ProShares S&P 500 Bond Index Fund | Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | |||||||||||||||
INVESTMENT INCOME |
| |||||||||||||||||||
Dividends from unaffiliated securities | $ | — | $ | 2,429 | $ | 2,874 | $ | — | $ | 10,570 | ||||||||||
Foreign dividend withholding tax | — | (127 | ) | — | — | — | ||||||||||||||
Interest and amortization from unaffiliated securities | 2,946 | 1 | 1 | 4,282 | 3 | |||||||||||||||
Securities lending income – net | — | 9 | 7 | 1 | 19 | |||||||||||||||
Total Investment Income | 2,946 | 2,312 | 2,882 | 4,283 | 10,592 | |||||||||||||||
EXPENSES | ||||||||||||||||||||
Investment management fee | 238 | 501 | 419 | 274 | 1,368 | |||||||||||||||
Distribution and service fees: | ||||||||||||||||||||
Class A | 7 | 44 | 4 | 10 | 8 | |||||||||||||||
Class E | 3 | 4 | 3 | 4 | 6 | |||||||||||||||
Class R(1) | 5 | 9 | 3 | 6 | 5 | |||||||||||||||
Shareholder servicing: | ||||||||||||||||||||
Class A | 1 | 19 | 3 | 2 | 4 | |||||||||||||||
Class E | 1 | 2 | 1 | 1 | 5 | |||||||||||||||
Class I | 72 | 90 | 149 | 218 | 492 | |||||||||||||||
Class N(2) | — | * | 4 | 2 | — | * | 9 | |||||||||||||
Class R(1) | 2 | 4 | 2 | 3 | 3 | |||||||||||||||
Registration fees | 68 | 70 | 72 | 74 | 88 | |||||||||||||||
Custodian fees | 4 | 54 | 19 | 8 | 17 | |||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 7 | 36 | 7 | 18 | 22 | |||||||||||||||
Accounting services fee | 37 | 63 | 55 | 67 | 128 | |||||||||||||||
Professional fees | 65 | 73 | 45 | 52 | 49 | |||||||||||||||
Third-party valuation service fees | — | 101 | — | — | — | |||||||||||||||
Listing, data and related fees | 28 | 56 | 44 | 24 | 139 | |||||||||||||||
Other | 16 | 25 | 20 | 21 | 37 | |||||||||||||||
Total Expenses | 554 | 1,155 | 848 | 782 | 2,380 | |||||||||||||||
Less: | ||||||||||||||||||||
Expenses in excess of limit | (228 | ) | (377 | ) | (164 | ) | (214 | ) | (427 | ) | ||||||||||
Total Net Expenses | 326 | 778 | 684 | 568 | 1,953 | |||||||||||||||
Net Investment Income | 2,620 | 1,534 | 2,198 | 3,715 | 8,639 | |||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments in unaffiliated securities | (1,582 | ) | 5,492 | (12,718 | ) | 4,263 | 9,551 | |||||||||||||
Futures contracts | (1,691 | ) | — | — | — | — | ||||||||||||||
Foreign currency exchange transactions | — | 23 | — | — | — | |||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments in unaffiliated securities | (323 | ) | 6,162 | (10,871 | ) | 2,488 | (4,618 | ) | ||||||||||||
Futures contracts | (351 | ) | — | — | — | — | ||||||||||||||
Foreign currency exchange transactions | — | 2 | — | — | — | |||||||||||||||
Net Realized and Unrealized Gain (Loss) | (3,947 | ) | 11,679 | (23,589 | ) | 6,751 | 4,933 | |||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (1,327 | ) | $ | 13,213 | $ | (21,391 | ) | $ | 10,466 | $ | 13,572 |
* | Not shown due to rounding. |
(1) | Effective June 19, 2020, Ivy ProShares MSCI ACWI Index Fund and Ivy ProShares Russell 2000 Dividend Growers Index Fund liquidated Class R. |
(2) | Effective September 1, 2020, Ivy ProShares Interest Rate Hedged High Yield Index Fund, Ivy ProShares MSCI ACWI Index Fund and Ivy ProShares S&P 500 Bond Index Fund liquidated Class N. |
See Accompanying Notes to Financial Statements.
46 | ANNUAL REPORT | 2020 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY FUNDS |
Ivy ProShares Interest Rate Hedged High Yield Index Fund | Ivy ProShares MSCI ACWI Index Fund | Ivy ProShares Russell 2000 Dividend Growers Index Fund | ||||||||||||||||||||||
(In thousands) | Year ended 9-30-20 | Year ended 9-30-19 | Year ended 9-30-20 | Year ended 9-30-19 | Year ended 9-30-20 | Year ended 9-30-19 | ||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 2,620 | $ | 3,398 | $ | 1,534 | $ | 1,934 | $ | 2,198 | $ | 2,612 | ||||||||||||
Net realized gain (loss) on investments | (3,273 | ) | (3,474 | ) | 5,515 | (2,160 | ) | (12,718 | ) | (2,214 | ) | |||||||||||||
Net change in unrealized appreciation (depreciation) | (674 | ) | 661 | 6,164 | 1,987 | (10,871 | ) | 3,029 | ||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,327 | ) | 585 | 13,213 | 1,761 | (21,391 | ) | 3,427 | ||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Accumulated earnings: | ||||||||||||||||||||||||
(combined net investment income and net realized gains) | ||||||||||||||||||||||||
Class A | (172 | ) | (196 | ) | (279 | ) | (211 | ) | (34 | ) | (43 | ) | ||||||||||||
Class E | (66 | ) | (69 | ) | (28 | ) | (22 | ) | (23 | ) | (24 | ) | ||||||||||||
Class I | (2,561 | ) | (3,397 | ) | (980 | ) | (864 | ) | (1,820 | ) | (2,434 | ) | ||||||||||||
Class N(1) | (50 | ) | (63 | ) | (575 | ) | (604 | ) | (472 | ) | (783 | ) | ||||||||||||
Class R(2) | (49 | ) | (59 | ) | (21 | ) | (22 | ) | (10 | ) | (15 | ) | ||||||||||||
Total Distributions to Shareholders | (2,898 | ) | (3,784 | ) | (1,883 | ) | (1,723 | ) | (2,359 | ) | (3,299 | ) | ||||||||||||
Capital Share Transactions | (18,200 | ) | 17,734 | (46,832 | ) | 9,382 | (29,825 | ) | (6,271 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets | (22,425 | ) | 14,535 | (35,502 | ) | 9,420 | (53,575 | ) | (6,143 | ) | ||||||||||||||
Net Assets, Beginning of Period | 60,274 | 45,739 | 112,371 | 102,951 | 130,153 | 136,296 | ||||||||||||||||||
Net Assets, End of Period | $ | 37,849 | $ | 60,274 | $ | 76,869 | $ | 112,371 | $ | 76,578 | $ | 130,153 |
(1) | Effective September 1, 2020, Ivy ProShares Interest Rate Hedged High Yield Index Fund and Ivy ProShares MSCI ACWI Index Fund liquidated Class N. |
(2) | Effective June 19, 2020, Ivy ProShares MSCI ACWI Index Fund and Ivy ProShares Russell 2000 Dividend Growers Index Fund liquidated Class R. |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 47 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY FUNDS |
Ivy ProShares S&P 500 Bond Index Fund | Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | |||||||||||||||
(In thousands) | Year ended 9-30-20 | Year ended 9-30-19 | Year ended 9-30-20 | Year ended 9-30-19 | ||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 3,715 | $ | 3,317 | $ | 8,639 | $ | 7,762 | ||||||||
Net realized gain on investments | 4,263 | 482 | 9,551 | 3,214 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 2,488 | 9,762 | (4,618 | ) | 24,013 | |||||||||||
Net Increase in Net Assets Resulting from Operations | 10,466 | 13,561 | 13,572 | 34,989 | ||||||||||||
Distributions to Shareholders From: | ||||||||||||||||
Accumulated earnings: | ||||||||||||||||
(combined net investment income and net realized gains) | ||||||||||||||||
Class A | (105 | ) | (91 | ) | (90 | ) | (61 | ) | ||||||||
Class E | (41 | ) | (37 | ) | (76 | ) | (51 | ) | ||||||||
Class I | (3,661 | ) | (3,111 | ) | (10,009 | ) | (9,112 | ) | ||||||||
Class N(1) | (28 | ) | (32 | ) | (2,737 | ) | (2,706 | ) | ||||||||
Class R | (23 | ) | (25 | ) | (28 | ) | (23 | ) | ||||||||
Total Distributions to Shareholders | (3,858 | ) | (3,296 | ) | (12,940 | ) | (11,953 | ) | ||||||||
Capital Share Transactions | 786 | 50,761 | (8,483 | ) | (9,356 | ) | ||||||||||
Net Increase (Decrease) in Net Assets | 7,394 | 61,026 | (7,851 | ) | 13,680 | |||||||||||
Net Assets, Beginning of Period | 137,088 | 76,062 | 392,963 | 379,283 | ||||||||||||
Net Assets, End of Period | $ | 144,482 | $ | 137,088 | $ | 385,112 | $ | 392,963 |
(1) | Effective September 1, 2020, Ivy ProShares S&P 500 Bond Index Fund liquidated Class N. |
See Accompanying Notes to Financial Statements.
48 | ANNUAL REPORT | 2020 |
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2020 | ANNUAL REPORT | 49 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY FUNDS |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
IVY PROSHARES INTEREST RATE HEDGED HIGH YIELD INDEX FUND
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 9.44 | $ | 0.47 | $ | (0.65 | ) | $ | (0.18 | ) | $ | (0.52 | ) | $ | — | $ | (0.52 | ) | ||||||||||
Year ended 9-30-2019 | 10.05 | 0.54 | (0.54 | ) | 0.00 | * | (0.51 | ) | (0.10 | ) | (0.61 | ) | ||||||||||||||||
Year ended 9-30-2018 | 10.07 | 0.50 | 0.01 | 0.51 | (0.48 | ) | (0.05 | ) | (0.53 | ) | ||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.20 | 0.01 | 0.21 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||
Class E Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 9.44 | 0.48 | (0.65 | ) | (0.17 | ) | (0.52 | ) | — | (0.52 | ) | |||||||||||||||||
Year ended 9-30-2019 | 10.05 | 0.54 | (0.54 | ) | 0.00 | * | (0.51 | ) | (0.10 | ) | (0.61 | ) | ||||||||||||||||
Year ended 9-30-2018 | 10.07 | 0.50 | 0.01 | 0.51 | (0.48 | ) | (0.05 | ) | (0.53 | ) | ||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.20 | 0.01 | 0.21 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 9.44 | 0.50 | (0.65 | ) | (0.15 | ) | (0.54 | ) | — | (0.54 | ) | |||||||||||||||||
Year ended 9-30-2019 | �� | 10.05 | 0.56 | (0.54 | ) | 0.02 | (0.53 | ) | (0.10 | ) | (0.63 | ) | ||||||||||||||||
Year ended 9-30-2018 | 10.07 | 0.53 | 0.00 | * | 0.53 | (0.50 | ) | (0.05 | ) | (0.55 | ) | |||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.22 | 0.00 | * | 0.22 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 9.44 | 0.43 | (0.65 | ) | (0.22 | ) | (0.47 | ) | — | (0.47 | ) | |||||||||||||||||
Year ended 9-30-2019 | 10.05 | 0.49 | (0.54 | ) | (0.05 | ) | (0.46 | ) | (0.10 | ) | (0.56 | ) | ||||||||||||||||
Year ended 9-30-2018 | 10.07 | 0.46 | 0.00 | * | 0.46 | (0.43 | ) | (0.05 | ) | (0.48 | ) | |||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.18 | 0.01 | 0.19 | (0.12 | ) | — | (0.12 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | For the period from April 20, 2017 (commencement of operations of the class) through September 30, 2017. |
(5) | Annualized. |
(6) | Portfolio Turnover is calculated at the fund level. Percentage indicated was calculated for the period ended September 30, 2017. |
50 | ANNUAL REPORT | 2020 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 8.74 | -1.89 | % | $ | 3 | 0.90 | % | 5.30 | % | 1.25 | % | 4.95 | % | 39 | % | ||||||||||||||||
Year ended 9-30-2019 | 9.44 | 0.15 | 3 | 0.90 | 5.60 | 1.16 | 5.34 | 50 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 10.05 | 5.21 | 3 | 0.90 | 5.04 | 1.30 | 4.64 | 33 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.07 | 2.15 | 3 | 0.90 | (5) | 4.51 | (5) | 1.00 | (5) | 4.41 | (5) | 27 | (6) | |||||||||||||||||||
Class E Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 8.75 | -1.76 | 1 | 0.88 | 5.33 | 1.30 | 4.91 | 39 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 9.44 | 0.15 | 1 | 0.90 | 5.60 | 1.19 | 5.31 | 50 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 10.05 | 5.21 | 1 | 0.90 | 5.04 | 1.26 | 4.68 | 33 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.07 | 2.15 | 1 | 0.90 | (5) | 4.51 | (5) | 0.98 | (5) | 4.43 | (5) | 27 | (6) | |||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 8.75 | -1.52 | 33 | 0.65 | 5.55 | 1.15 | 5.05 | 39 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 9.44 | 0.39 | 54 | 0.65 | 5.85 | 1.05 | 5.45 | 50 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 10.05 | 5.48 | 40 | 0.65 | 5.31 | 1.17 | 4.79 | 33 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.07 | 2.24 | 15 | 0.65 | (5) | 4.86 | (5) | 0.89 | (5) | 4.62 | (5) | 27 | (6) | |||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 8.75 | -2.31 | 1 | 1.40 | 4.80 | 1.72 | 4.48 | 39 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 9.44 | -0.33 | 1 | 1.39 | 5.11 | 1.62 | 4.88 | 50 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 10.05 | 4.70 | 1 | 1.37 | 4.57 | 1.71 | 4.23 | 33 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.07 | 1.95 | 1 | 1.37 | (5) | 4.04 | (5) | 1.46 | (5) | 3.95 | (5) | 27 | (6) |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 51 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY FUNDS |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
IVY PROSHARES MSCI ACWI INDEX FUND
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 11.77 | $ | 0.14 | $ | 1.05 | $ | 1.19 | $ | (0.19 | ) | $ | — | $ | (0.19 | ) | ||||||||||||
Year ended 9-30-2019 | 11.81 | 0.19 | (0.06 | ) | 0.13 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 10.92 | 0.17 | 0.84 | 1.01 | (0.12 | ) | — | * | (0.12 | ) | ||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.09 | 0.86 | 0.95 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||
Class E Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 11.77 | 0.17 | 1.04 | 1.21 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 11.81 | 0.21 | (0.07 | ) | 0.14 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 10.92 | 0.19 | 0.84 | 1.03 | (0.14 | ) | — | * | (0.14 | ) | ||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.09 | 0.87 | 0.96 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 11.77 | 0.17 | 1.05 | 1.22 | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 11.81 | 0.22 | (0.07 | ) | 0.15 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 10.92 | 0.20 | 0.84 | 1.04 | (0.15 | ) | — | * | (0.15 | ) | ||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.09 | 0.87 | 0.96 | (0.04 | ) | — | (0.04 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | For the period from April 20, 2017 (commencement of operations of the class) through September 30, 2017. |
(5) | Annualized. |
(6) | Portfolio Turnover is calculated at the fund level. Percentage indicated was calculated for the period ended September 30, 2017. |
52 | ANNUAL REPORT | 2020 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 12.77 | 10.23 | % | $ | 19 | 0.89 | % | 1.20 | % | 1.36 | % | 0.73 | % | 22 | % | ||||||||||||||||
Year ended 9-30-2019 | 11.77 | 1.14 | 16 | 0.90 | 1.66 | 1.28 | 1.28 | 28 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 11.81 | 9.27 | 14 | 0.90 | 1.48 | 1.24 | 1.14 | 39 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.92 | 9.50 | 10 | 0.90 | (5) | 1.79 | (5) | 1.31 | (5) | 1.38 | (5) | 51 | (6) | |||||||||||||||||||
Class E Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 12.77 | 10.45 | 2 | 0.70 | 1.39 | 1.35 | 0.74 | 22 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 11.77 | 1.21 | 2 | 0.74 | 1.82 | 1.26 | 1.30 | 28 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 11.81 | 9.53 | 1 | 0.75 | 1.61 | 1.18 | 1.18 | 39 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.92 | 9.56 | 1 | 0.75 | (5) | 1.95 | (5) | 1.28 | (5) | 1.42 | (5) | 51 | (6) | |||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 12.77 | 10.51 | 56 | 0.65 | 1.45 | 1.18 | 0.92 | 22 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 11.77 | 1.31 | 52 | 0.65 | 1.90 | 1.11 | 1.44 | 28 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 11.81 | 9.64 | 51 | 0.65 | 1.76 | 1.09 | 1.32 | 39 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.92 | 9.60 | 26 | 0.65 | (5) | 1.95 | (5) | 1.18 | (5) | 1.42 | (5) | 51 | (6) |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 53 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY FUNDS |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
IVY PROSHARES RUSSELL 2000 DIVIDEND GROWERS INDEX FUND
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 10.97 | $ | 0.19 | $ | (2.26 | ) | $ | (2.07 | ) | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | ||||||||||
Year ended 9-30-2019 | 10.97 | 0.19 | 0.06 | 0.25 | (0.18 | ) | (0.07 | ) | (0.25 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 10.44 | 0.16 | 0.51 | 0.67 | (0.14 | ) | — | * | (0.14 | ) | ||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.07 | 0.39 | 0.46 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
Class E Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.97 | 0.21 | (2.27 | ) | (2.06 | ) | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||
Year ended 9-30-2019 | 10.97 | 0.21 | 0.05 | 0.26 | (0.19 | ) | (0.07 | ) | (0.26 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 10.44 | 0.17 | 0.51 | 0.68 | (0.15 | ) | — | * | (0.15 | ) | ||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.07 | 0.39 | 0.46 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.98 | 0.21 | (2.27 | ) | (2.06 | ) | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||
Year ended 9-30-2019 | 10.97 | 0.22 | 0.06 | 0.28 | (0.20 | ) | (0.07 | ) | (0.27 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 10.44 | 0.19 | 0.51 | 0.70 | (0.17 | ) | — | * | (0.17 | ) | ||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.09 | 0.37 | 0.46 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
Class N Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.98 | 0.21 | (2.26 | ) | (2.05 | ) | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||
Year ended 9-30-2019 | 10.97 | 0.22 | 0.06 | 0.28 | (0.20 | ) | (0.07 | ) | (0.27 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 10.44 | 0.20 | 0.50 | 0.70 | (0.17 | ) | — | * | (0.17 | ) | ||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.09 | 0.37 | 0.46 | (0.02 | ) | — | (0.02 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | For the period from April 20, 2017 (commencement of operations of the class) through September 30, 2017. |
(5) | Annualized. |
(6) | Portfolio Turnover is calculated at the fund level. Percentage indicated was calculated for the period ended September 30, 2017. |
54 | ANNUAL REPORT | 2020 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 8.70 | -19.03 | % | $ | 2 | 0.88 | % | 1.89 | % | 1.08 | % | 1.69 | % | 71 | % | ||||||||||||||||
Year ended 9-30-2019 | 10.97 | 2.31 | 2 | 0.90 | 1.72 | 1.12 | 1.50 | 30 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 10.97 | 6.52 | 1 | 0.90 | 1.55 | 0.91 | 1.54 | 36 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.44 | 4.55 | 1 | 0.90 | (5) | 1.48 | (5) | 1.05 | (5) | 1.33 | (5) | 12 | (6) | |||||||||||||||||||
Class E Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 8.69 | -18.97 | 1 | 0.71 | 2.08 | 1.04 | 1.75 | 71 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.97 | 2.48 | 1 | 0.73 | 1.93 | 0.96 | 1.70 | 30 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 10.97 | 6.63 | 1 | 0.79 | 1.67 | 0.91 | 1.54 | 36 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.44 | 4.60 | 1 | 0.80 | (5) | 1.59 | (5) | 1.03 | (5) | 1.36 | (5) | 12 | (6) | |||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 8.70 | -18.89 | 62 | 0.65 | 2.12 | 0.84 | 1.93 | 71 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.98 | 2.66 | 99 | 0.65 | 2.00 | 0.81 | 1.84 | 30 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 10.97 | 6.79 | 97 | 0.65 | 1.82 | 0.83 | 1.64 | 36 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.44 | 4.65 | 33 | 0.65 | (5) | 1.98 | (5) | 0.94 | (5) | 1.69 | (5) | 12 | (6) | |||||||||||||||||||
Class N Shares |
| |||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 8.70 | -18.87 | 12 | 0.63 | 2.11 | 0.66 | 2.08 | 71 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.98 | 2.66 | 27 | 0.64 | 2.00 | — | — | 30 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 10.97 | 6.79 | 36 | 0.65 | 1.93 | 0.66 | 1.92 | 36 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.44 | 4.65 | 3 | 0.65 | (5) | 2.08 | (5) | 0.79 | (5) | 1.94 | (5) | 12 | (6) |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 55 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY FUNDS |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
IVY PROSHARES S&P 500 BOND INDEX FUND
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 10.50 | $ | 0.27 | $ | 0.54 | $ | 0.81 | $ | (0.28 | ) | $ | — | $ | (0.28 | ) | ||||||||||||
Year ended 9-30-2019 | 9.62 | 0.29 | 0.88 | 1.17 | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.09 | 0.27 | (0.50 | ) | (0.23 | ) | (0.24 | ) | — | * | (0.24 | ) | ||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.11 | 0.06 | 0.17 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||
Class E Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.50 | 0.27 | 0.54 | 0.81 | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 9.62 | 0.29 | 0.89 | 1.18 | (0.30 | ) | — | (0.30 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.09 | 0.27 | (0.49 | ) | (0.22 | ) | (0.25 | ) | — | * | (0.25 | ) | ||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.11 | 0.06 | 0.17 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.50 | 0.29 | 0.54 | 0.83 | (0.30 | ) | — | (0.30 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 9.62 | 0.31 | 0.89 | 1.20 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.10 | 0.30 | (0.51 | ) | (0.21 | ) | (0.27 | ) | — | * | (0.27 | ) | ||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.12 | 0.07 | 0.19 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 10.50 | 0.21 | 0.54 | 0.75 | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||||
Year ended 9-30-2019 | 9.62 | 0.24 | 0.89 | 1.13 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||
Year ended 9-30-2018 | 10.09 | 0.22 | (0.50 | ) | (0.28 | ) | (0.19 | ) | — | * | (0.19 | ) | ||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.08 | 0.07 | 0.15 | (0.06 | ) | — | (0.06 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | For the period from April 20, 2017 (commencement of operations of the class) through September 30, 2017. |
(5) | Annualized. |
(6) | Portfolio Turnover is calculated at the fund level. Percentage indicated was calculated for the period ended September 30, 2017. |
56 | ANNUAL REPORT | 2020 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 11.03 | 7.80 | % | $ | 5 | 0.65 | % | 2.47 | % | 0.69 | % | 2.43 | % | 64 | % | ||||||||||||||||
Year ended 9-30-2019 | 10.50 | 12.46 | 4 | 0.65 | 2.92 | 0.69 | 2.88 | 33 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.62 | -2.26 | 3 | 0.65 | 2.73 | 0.70 | 2.68 | 79 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.09 | 1.69 | 3 | 0.65 | (5) | 2.34 | (5) | — | — | 45 | (6) | |||||||||||||||||||||
Class E Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 11.03 | 7.86 | 1 | 0.59 | 2.54 | 0.72 | 2.41 | 64 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.50 | 12.52 | 1 | 0.60 | 2.98 | 0.72 | 2.86 | 33 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.62 | -2.22 | 1 | 0.60 | 2.79 | 0.69 | 2.70 | 79 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.09 | 1.71 | 1 | 0.60 | (5) | 2.39 | (5) | 0.64 | (5) | 2.35 | (5) | 45 | (6) | |||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 11.03 | 8.07 | 137 | 0.40 | 2.73 | 0.56 | 2.57 | 64 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.50 | 12.74 | 130 | 0.40 | 3.17 | 0.61 | 2.96 | 33 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.62 | -2.02 | 70 | 0.40 | 3.02 | 0.60 | 2.82 | 79 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.10 | 1.78 | 34 | 0.40 | (5) | 2.65 | (5) | 0.54 | (5) | 2.51 | (5) | 45 | (6) | |||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 11.03 | 7.25 | 1 | 1.14 | 1.99 | — | — | 64 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 10.50 | 11.91 | 1 | 1.15 | 2.43 | 1.18 | 2.40 | 33 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 9.62 | -2.76 | 1 | 1.15 | 2.23 | 1.19 | 2.19 | 79 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.09 | 1.50 | 1 | 1.13 | (5) | 1.85 | (5) | — | — | 45 | (6) |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 57 |
Table of Contents
FINANCIAL HIGHLIGHTS | IVY FUNDS |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
IVY PROSHARES S&P 500 DIVIDEND ARISTOCRATS INDEX FUND
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gain on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 12.66 | $ | 0.24 | $ | 0.11 | $ | 0.35 | $ | (0.23 | ) | $ | (0.15 | ) | $ | (0.38 | ) | |||||||||||
Year ended 9-30-2019 | 11.96 | 0.21 | 0.83 | 1.04 | (0.22 | ) | (0.12 | ) | (0.34 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 10.62 | 0.21 | 1.30 | 1.51 | (0.17 | ) | — | * | (0.17 | ) | ||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.08 | 0.56 | 0.64 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
Class E Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 12.67 | 0.26 | 0.10 | 0.36 | (0.25 | ) | (0.15 | ) | (0.40 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 11.96 | 0.22 | 0.84 | 1.06 | (0.23 | ) | (0.12 | ) | (0.35 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 10.62 | 0.21 | 1.30 | 1.51 | (0.17 | ) | — | * | (0.17 | ) | ||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.08 | 0.56 | 0.64 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 12.67 | 0.27 | 0.10 | 0.37 | (0.26 | ) | (0.15 | ) | (0.41 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 11.96 | 0.24 | 0.84 | 1.08 | (0.25 | ) | (0.12 | ) | (0.37 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 10.62 | 0.24 | 1.30 | 1.54 | (0.20 | ) | — | * | (0.20 | ) | ||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.09 | 0.56 | 0.65 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||
Class N Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 12.67 | 0.27 | 0.10 | 0.37 | (0.26 | ) | (0.15 | ) | (0.41 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 11.96 | 0.24 | 0.84 | 1.08 | (0.25 | ) | (0.12 | ) | (0.37 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 10.62 | 0.25 | 1.29 | 1.54 | (0.20 | ) | — | * | (0.20 | ) | ||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.09 | 0.56 | 0.65 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||||
Year ended 9-30-2020 | 12.65 | 0.19 | 0.10 | 0.29 | (0.17 | ) | (0.15 | ) | (0.32 | ) | ||||||||||||||||||
Year ended 9-30-2019 | 11.95 | 0.15 | 0.83 | 0.98 | (0.16 | ) | (0.12 | ) | (0.28 | ) | ||||||||||||||||||
Year ended 9-30-2018 | 10.62 | 0.15 | 1.29 | 1.44 | (0.11 | ) | — | * | (0.11 | ) | ||||||||||||||||||
Year ended 9-30-2017(4) | 10.00 | 0.05 | 0.57 | 0.62 | — | — | — |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | For the period from April 20, 2017 (commencement of operations of the class) through September 30, 2017. |
(5) | Annualized. |
(6) | Portfolio Turnover is calculated at the fund level. Percentage indicated was calculated for the period ended September 30, 2017. |
58 | ANNUAL REPORT | 2020 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | $ | 12.63 | 2.88 | % | $ | 4 | 0.74 | % | 2.01 | % | 0.84 | % | 1.91 | % | 40 | % | ||||||||||||||||
Year ended 9-30-2019 | 12.66 | 9.04 | 3 | 0.75 | 1.79 | 0.89 | 1.65 | 28 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 11.96 | 14.29 | 2 | 0.75 | 1.87 | 0.81 | 1.81 | 27 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.62 | 6.39 | 1 | 0.75 | (5) | 1.63 | (5) | 0.86 | (5) | 1.52 | (5) | 4 | (6) | |||||||||||||||||||
Class E Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 12.63 | 2.94 | 3 | 0.60 | 2.12 | 0.93 | 1.79 | 40 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 12.67 | 9.14 | 2 | 0.73 | 1.82 | 0.94 | 1.61 | 28 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 11.96 | 14.29 | 1 | 0.75 | 1.87 | 0.76 | 1.86 | 27 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.62 | 6.39 | 1 | 0.75 | (5) | 1.64 | (5) | 0.81 | (5) | 1.58 | (5) | 4 | (6) | |||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 12.63 | 3.07 | 297 | 0.50 | 2.21 | 0.64 | 2.07 | 40 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 12.67 | 9.39 | 301 | 0.50 | 2.04 | 0.69 | 1.85 | 28 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 11.96 | 14.56 | 282 | 0.50 | 2.14 | 0.65 | 1.99 | 27 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.62 | 6.49 | 87 | 0.50 | (5) | 1.97 | (5) | 0.72 | (5) | 1.75 | (5) | 4 | (6) | |||||||||||||||||||
Class N Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 12.63 | 3.07 | 80 | 0.50 | 2.24 | 0.50 | 2.24 | 40 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 12.67 | 9.40 | 86 | 0.50 | 2.03 | 0.53 | 2.00 | 28 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 11.96 | 14.56 | 93 | 0.49 | 2.17 | — | — | 27 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.62 | 6.49 | 3 | 0.50 | (5) | 1.89 | (5) | 0.57 | (5) | 1.82 | (5) | 4 | (6) | |||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||||||||
Year ended 9-30-2020 | 12.62 | 2.37 | 1 | 1.19 | 1.53 | — | — | 40 | ||||||||||||||||||||||||
Year ended 9-30-2019 | 12.65 | 8.50 | 1 | 1.26 | 1.28 | 1.28 | 1.26 | 28 | ||||||||||||||||||||||||
Year ended 9-30-2018 | 11.95 | 13.61 | 1 | 1.26 | 1.35 | — | — | 27 | ||||||||||||||||||||||||
Year ended 9-30-2017(4) | 10.62 | 6.20 | 1 | 1.29 | (5) | 1.09 | (5) | 1.35 | (5) | 1.03 | (5) | 4 | (6) |
See Accompanying Notes to Financial Statements.
2020 | ANNUAL REPORT | 59 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS | IVY FUNDS |
SEPTEMBER 30, 2020
1. | ORGANIZATION |
Ivy Funds, a Delaware statutory trust (the “Trust”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Ivy ProShares Interest Rate Hedged High Yield Index Fund, Ivy ProShares MSCI ACWI Index Fund, Ivy ProShares Russell 2000 Dividend Growers Index Fund, Ivy ProShares S&P 500 Bond Index Fund and Ivy ProShares S&P 500 Dividend Aristocrats Index Fund (each, a “Fund”) are five series of the Trust and are the only series of the Trust included in these financial statements. The investment objective(s), policies and risk factors of each Fund are described more fully in the Funds’ Prospectus and Statement of Additional Information (“SAI”). Each Fund’s investment manager is Ivy Investment Management Company (“IICO” or the “Manager”).
Each Fund offered Class A, Class E, Class I, Class N and Class R shares. Effective June 19, 2020, Ivy ProShares MSCI ACWI Index Fund and Ivy ProShares Russell 2000 Dividend Growers Index Fund liquidated Class R. Effective September 1, 2020, Ivy ProShares Interest Rate Hedged High Yield Index Fund, Ivy ProShares MSCI ACWI Index Fund and Ivy ProShares S&P 500 Bond Index Fund liquidated Class N. Class A and Class E shares are sold at their offering price, which is normally net asset value (“NAV”) plus a front-end sales charge. For Class A shares, a 1% contingent deferred sales charge (“CDSC”) is only imposed on shares purchased at NAV for $1 million or more that are subsequently redeemed within 12 months of purchase. Effective October 1, 2020, Class A shares carry a CDSC on shares purchased at NAV for $500,000 or more that are subsequently redeemed within 12 months of purchase. Class I, Class N and Class R shares are sold without either a front-end sales charge or a CDSC. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Net investment income, net assets and NAV per share may differ due to each class having its own expenses, such as transfer agent and shareholder servicing fees, directly attributable to that class. Class A, E and R have a distribution and service plan. Class I shares and Class N shares are not included in the plan.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by each Fund.
Security Transactions and Related Investment Income. Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Realized gains and losses are calculated on the identified cost basis. Interest income is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. All or a portion of the distributions received from a real estate investment trust or publicly traded partnership may be designated as a reduction of cost of the related investment or realized gain.
Foreign Currency Translation. Each Fund’s accounting records are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies are translated into U.S. dollars daily, using foreign exchange rates obtained from an independent pricing service approved by the Board of Trustees of the Trust (the “Board”). Purchases and sales of investment securities and accruals of income and expenses are translated at the rate of exchange prevailing on the date of the transaction. For assets and liabilities other than investments in securities, net realized and unrealized gains and losses from foreign currency translation arise from changes in currency exchange rates. Each Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized gain (loss) and net change in unrealized appreciation (depreciation) on investments. Foreign exchange rates are typically valued as of the close of the New York Stock Exchange (“NYSE”), normally 4:00 P.M. Eastern time, on each day the NYSE is open for trading.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Income Taxes. It is the policy of each Fund to distribute all of its taxable income and capital gains to its shareholders and to otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. In addition, each Fund intends to pay distributions as required to avoid imposition of excise tax. Accordingly, no provision has been made for Federal income taxes. The Funds file income tax returns in U.S. federal and applicable state jurisdictions. The Funds’ tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax returns. Management of the Trust periodically reviews all tax positions to assess whether it is more likely than not that the position would be sustained upon examination by the relevant tax authority based on the technical merits of each position. As of the date of these financial statements, management believes that no liability for unrecognized tax positions is required.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders are recorded by each Fund on the business day following record date. Net investment income dividends and capital gains distributions are determined in accordance with income tax regulations, which may differ from accounting principles generally accepted in the United
60 | ANNUAL REPORT | 2020 |
Table of Contents
States of America (“U.S. GAAP”). If the total dividends and distributions made in any tax year exceed net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a return of capital for tax purposes.
Segregation and Collateralization. In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”), the Dodd Frank Wall Street Reform and Consumer Protection Act, or the interpretive rules and regulations of the U.S. Commodities Futures Trading Commission require that a Fund either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, financial futures contracts, foreign currency exchange contracts, options written, securities with extended settlement periods, and swaps), the Fund will segregate collateral or designate on its books and records, cash or other liquid securities having a value at least equal to the amount that is required to be physically segregated for the benefit of the counterparty. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party has requirements to deliver/deposit cash or securities as collateral for certain investments. Certain countries require that cash reserves be held while investing in companies incorporated in that country. These cash reserves and cash collateral that has been pledged to cover obligations of the Funds under derivative contracts, if any, will be reported separately on the Statement of Assets and Liabilities as “Restricted cash”. Securities collateral pledged for the same purpose, if any, is noted on the Schedule of Investments.
Concentration of Market and Credit Risk. In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Funds may be exposed to counterparty credit risk, or the risk that an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded on the Funds’ Statement of Assets and Liabilities, less any collateral held by the Funds.
Certain 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 Funds may acquire securities in default and are not obligated to dispose of securities whose issuers subsequently default.
Certain Funds may enter into financial instrument transactions (such as swaps, futures, options and other derivatives) that may have off-balance sheet market risk. Off-balance sheet market risk exists when the maximum potential loss on a particular financial instrument is greater than the value of such financial instrument, as reflected on the Statement of Assets and Liabilities.
If a Fund invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in financial derivatives that provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad.
The London Interbank Offered Rate “LIBOR” is an indicative measure of the average interest rate at which major global banks could borrow from one another. LIBOR is quoted in multiple currencies and multiple time frames using data reported by private-sector banks. LIBOR is used extensively in the United States and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds and loans, floating rate mortgages, asset-backed securities, consumer loans, and interest rate swaps and other derivatives.
It is expected that a number of private-sector banks currently reporting information used to set LIBOR will stop doing so after 2021 when their current reporting commitment ends, which could either cause LIBOR to stop publication immediately or cause LIBOR’s regulator to determine that its quality has degraded to the degree that it is no longer representative of its underlying market.
Management believes that, with respect to any significant investments by the Funds in instruments linked to LIBOR, the impact on investments and discontinuation of LIBOR may represent a significant risk.
However, management acknowledges that the anticipated transition away from LIBOR will occur after 2021 and certain of the current investments will mature prior to that time. Furthermore, the ways in which LIBOR’s discontinuation potentially
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could impact the Funds’ investments is not fully known. The extent of that impact may vary depending on various factors, which include, but are not limited to: (i) existing fallback or termination provisions in individual contracts and (ii) whether, how, and when industry participants develop and adopt new successor reference rates and/or fallbacks for both legacy and new instruments.
In addition, the transition to a successor rate could potentially cause (i) increased volatility or illiquidity in markets for instruments that currently rely on LIBOR, (ii) a reduction in the value of certain instruments held by a Fund, or (iii) reduced effectiveness of related Fund transactions, such as hedging.
As the impacts of the transition become clearer during the next year, management will be evaluating the impacts of these changes.
An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. This coronavirus has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.
The individual Funds herein have adopted a Liquidity Risk Management Program (the “Program”). The Fund’s board has designated a Liquidity Risk Management Committee (the “Committee”) as the administrator of the Program. The Committee or delegates of the Committee conduct the day-to-day operation of the Program. Under the Program, the Committee manages the Fund’s liquidity risk, which is the risk that any Fund could not meet shareholder redemption requests without significant dilution of remaining shareholders’ interests in the Fund. This risk is managed by monitoring the degree of liquidity of the Fund’s investments, limiting the amount of the Fund’s illiquid investments, and utilizing various risk management tools and facilities available to the Fund for meeting shareholder redemptions, among other means. The Committee’s process of determining the degree of liquidity of the Fund’s investments is supported by one or more third-party liquidity assessment vendors. The Fund’s board reviewed a report prepared by a designee of the Committee regarding the operation, adequacy and effectiveness of the Program from the period June 1, 2019, through March 31, 2020. The report described the Program’s liquidity classification methodology and the methodology in establishing a Fund’s Highly Liquid Investment Minimum (“HLIM”), if necessary. The Committee reported that during the period covered by the report, there were no material changes to the Program and no significant liquidity events impacting the Fund or its ability to timely meet redemptions without dilution to existing shareholders. In addition, the Committee provided its assessment that the Program, including the operation of each Fund’s HLIM, where applicable, had been effective in managing the Fund’s liquidity risk.
Custodian Fees. “Custodian fees” on the Statement of Operations may include interest expense incurred by a Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. A Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by that Fund. The “Earnings credit” line item, if shown, represents earnings on cash balances maintained by that Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Indemnification. The Trust’s organizational documents provide current and former Trustees and Officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Trust. In the normal course of business, the Trust may also enter into contracts that provide general indemnification. The Trust’s maximum exposure under these arrangements is unknown and is dependent on future claims that may be made against the Trust. The risk of material loss from such claims is considered remote.
Basis of Preparation. Each Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 (“ASC 946”). The accompanying financial statements were prepared in accordance with U.S. GAAP, including but not limited to ASC 946. U.S. GAAP requires the use of estimates made by management. Management believes that estimates and valuations are appropriate; however, actual results may differ from those estimates, and the valuations reflected in the accompanying financial statements may differ from the value ultimately realized upon sale or maturity.
Subsequent Events. Management has performed a review for subsequent events through the date this report was issued.
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3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Each Fund’s investments are reported at fair value. Fair value is defined as the price that each Fund would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Each Fund calculates the NAV of its shares as of the close of the NYSE, normally 4:00 P.M. Eastern time, on each day the NYSE is open for trading.
For purposes of calculating the NAV, the portfolio securities and financial instruments are valued on each business day using pricing and valuation methods as adopted by the Board. Where market quotes are readily available, fair value is generally determined on the basis of the last reported sales price, or if no sales are reported, based on quotes obtained from a quotation reporting system, established market makers, or pricing services.
Prices for fixed-income securities are typically based on quotes that are obtained from an independent pricing service approved by the Board. To determine values of fixed-income securities, the independent pricing service utilizes such factors as current quotations by broker/dealers, coupon, maturity, quality, type of issue, trading characteristics, and other yield and risk factors it deems relevant in determining valuations. Securities that cannot be valued by the independent pricing service may be valued using quotes obtained from dealers that make markets in the securities.
Short-term securities with maturities of 60 days or less are valued based on quotes that are obtained from an independent pricing service approved by the Board as described in the preceding paragraph above.
Because many foreign markets close before the NYSE, events may occur between the close of the foreign market and the close of the NYSE that could have a material impact on the valuation of foreign securities. Waddell & Reed Services Company (“WRSCO”), pursuant to procedures adopted by the Board, evaluates the impact of these events and may adjust the valuation of foreign securities to reflect the fair value as of the close of the NYSE. In addition, all securities for which values are not readily available or are deemed unreliable are appraised at fair value as determined in good faith under the supervision of the Board.
Where market quotes are not readily available, portfolio securities or financial instruments are valued at fair value, as determined in good faith by the Board or Valuation Committee pursuant to procedures approved by the Board.
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE close, that materially affect the values of a Fund’s securities or financial instruments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available.
The Board has delegated to WRSCO the responsibility for monitoring significant events that may materially affect the values of a Fund’s securities or financial instruments and for determining whether the value of the applicable securities or financial instruments should be re-evaluated in light of such significant events. IICO, pursuant to authority delegated by the Board, has established a Valuation Committee to administer and oversee the valuation process, including the use of third party pricing vendors.
The Board has adopted methods for valuing securities and financial instruments in circumstances where market quotes are not readily available. For instances in which daily market quotes are not readily available, investments may be valued, pursuant to procedures established by the Board, with reference to other securities or indices. In the event that the security or financial instrument cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or financial instrument will be determined in good faith by the Valuation Committee in accordance with the procedures adopted by the Board.
When a Fund uses these fair valuation methods applied by WRSCO that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Board or persons acting at its direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. The prices used by a Fund may differ from the value that will ultimately be realized at the time the securities are sold.
WRSCO is responsible for monitoring the implementation of the pricing and valuation policies through a series of activities to provide reasonable comfort of the accuracy of prices including: 1) periodic vendor due diligence meetings to review methodologies, new developments, and process at vendors, 2) daily and monthly multi-source pricing comparisons reviewed and submitted to the Valuation Committee, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by management and the Valuation Committee.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market
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data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputs is summarized as follows:
• | Level 1 – Observable inputs such as quoted prices, available in active markets, for identical assets or liabilities. |
• | Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
• | Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at its direction that are used in determining the fair value of investments. |
A description of the valuation techniques applied to the Funds’ major classes of assets and liabilities measured at fair value on a recurring basis follows:
Corporate Bonds. The fair value of corporate bonds, as obtained from an independent pricing service, is estimated using various techniques, which consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (where observable), bond spreads, fundamental data relating to the issuer, and credit default swap spreads adjusted for any basis difference between cash and derivative instruments. While most corporate bonds are categorized in Level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they are categorized in Level 3 of the fair value hierarchy.
Derivative Instruments. Forward foreign currency contracts are valued based upon the closing prices of the forward currency rates determined at the close of the NYSE, which values are provided by an independent pricing service. Swaps derive their value from underlying asset prices, indices, reference rates and other inputs or a combination of these factors. Swaps are valued by an independent pricing service unless the price is unavailable, in which case they are valued at the price provided by a dealer in that security. Exchange-traded futures contracts are generally valued at the settlement price. Listed options are ordinarily valued at the mean of the last bid and ask price for a comparable listed option provided by an independent pricing service unless the price is unavailable, in which case they are valued at a quotation obtained from a broker-dealer. Over-the-counter (“OTC”) options are ordinarily valued at the mean of the last bid and ask price for a comparable listed option provided by an independent pricing service unless such a price is unavailable, in which case they are valued at a quotation obtained from a broker-dealer.
Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. OTC derivative contracts include forward foreign currency contracts, swap agreements, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices. Depending on the product and the terms of the transaction, the fair value of the OTC derivative products are modeled taking into account the counterparties’ creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets, as is the case with interest rate swap and option contracts. OTC derivative products valued using pricing models with significant observable inputs are categorized within Level 2 of the fair value hierarchy.
Equity Securities. Equity securities traded on U.S. or foreign securities exchanges or included in a national market system are valued at the official closing price at the close of each business day unless otherwise stated below. OTC equity securities and listed securities for which no price is readily available are valued at the average of the last bid and ask prices.
Mutual funds, including investment funds, typically are valued at the NAV reported as of the valuation date.
Securities that are stated at the last reported sales price or closing price on the day of valuation taken from the primary exchange where the security is principally traded and to the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy.
Foreign securities, for which the primary trading market closes at the same time or after the NYSE, are valued based on quotations from the primary market in which they are traded and categorized in Level 1. Because many foreign securities markets and exchanges close prior to the close of the NYSE, closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intra-day trading in the U.S.
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markets for investments such as American Depositary Receipts, financial futures, exchange-traded funds, and the movement of certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Overdraft due to custodian. Due to the short-term nature of overdraft due to custodian, the carrying value approximates fair value and the liability is categorized as Level 2 in the fair value hierarchy.
Restricted Securities. Restricted securities that are deemed to be Rule 144A securities and illiquid, as well as restricted securities held in non-public entities, are included in Level 3 of the fair value hierarchy to the extent that significant inputs to valuation are unobservable, because they trade infrequently, if at all and, therefore, the inputs are unobservable. Restricted securities that are valued at a discount to similar publicly traded securities may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety; otherwise they may be categorized as Level 3.
U.S. Government and Agency Securities. U.S. government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, U.S. government and agency securities are normally categorized in Level 2 of the fair value hierarchy depending on the liquidity and transparency of the market.
Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information.
For fair valuations using unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the Notes to the Schedule of Investments for each respective Fund.
Net realized gain (loss) and net unrealized appreciation (depreciation), shown on the reconciliation of Level 3 investments, if applicable, are included on the Statement of Operations in net realized gain (loss) on investments in unaffiliated and/or affiliated securities and in net change in unrealized appreciation (depreciation) on investments in unaffiliated and/or affiliated securities, respectively.
4. | DERIVATIVE INSTRUMENTS ($ amounts in thousands unless indicated otherwise) |
The following disclosures contain information on why and how the Funds use derivative instruments, the associated risks of investing in derivative instruments, and how derivative instruments affect the Funds’ financial positions and results of operations.
Futures Contracts. Certain Funds are authorized to engage in buying and selling futures contracts. Upon entering into a futures contract, a Fund is required to deposit, in a segregated account, an amount equal to a varying specified percentage of the contract amount. This amount is known as the initial margin. Subsequent amounts, known as variation margin, are paid or received by the Fund each day, dependent on the daily fluctuations in the value of the underlying debt security or index. Options on futures contracts may also be purchased or sold by a Fund.
Futures contracts are reported on a schedule following the Schedule of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are identified on the Schedule of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted on the Statement of Assets and Liabilities. The net change in unrealized appreciation (depreciation) is reported on the Statement of Operations. Realized gains (losses) are reported on the Statement of Operations at the closing or expiration of futures contracts.
Risks of entering into futures contracts include the possibility of loss of securities or cash held as collateral, that there may be an illiquid market where the Fund is unable to close the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
Ivy ProShares Interest Rate Hedged High Yield Index Fund invests in long and/or short positions in futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk).
Collateral and rights of offset. A Fund mitigates credit risk with respect to OTC derivative counterparties through credit support annexes (“CSA”) included with an International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreement which is the standard contract governing all OTC derivative transactions between the Fund and each of its
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counterparties. Although it is not possible to eliminate credit risk entirely, the CSA allows the Fund and its counterparty to reduce their exposure to the risk of payment default by the other party by holding an amount in collateral equivalent to the realized and unrealized amount of exposure to the counterparty, which is generally held by the Fund’s custodian. An amount of collateral is moved to/from applicable counterparties only if the amount of collateral required to be posted surpasses both the threshold and the minimum transfer amount pre-agreed in the CSA between the Fund and the counterparty. See Note 2 “Segregation and Collateralization” for additional information with respect to collateral practices.
Additional Disclosure Related to Derivative Instruments
Fair values of derivative instruments as of September 30, 2020:
Assets | Liabilities | |||||||||||||
Fund | Type of Risk Exposure | Statement of Assets & Liabilities Location | Value | Statement of Assets & Liabilities Location | Value | |||||||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund | Interest rate | $ | — | Unrealized depreciation on futures contracts* | $ | 61 |
* | The value presented includes cumulative gain (loss) on open futures contracts; however, the value reflected on the accompanying Statement of Assets and Liabilities is only the unsettled variation margin receivable (payable) as of year ended September 30, 2020. |
Amount of realized gain (loss) on derivatives recognized on the Statement of Operations for the year ended September 30, 2020:
Net realized gain (loss) on: | ||||||||||||||||||||||||||
Fund | Type of Risk Exposure | Investments in unaffiliated securities* | Swap agreements | Futures contracts | Written options | Forward foreign currency contracts | Total | |||||||||||||||||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund | Interest rate | $ | — | $ | — | $ | (1,691 | ) | $ | — | $ | — | $ | (1,691 | ) |
* | Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments. |
Change in unrealized appreciation (depreciation) on derivatives recognized on the Statement of Operations for the year ended September 30, 2020:
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||
Fund | Type of Risk Exposure | Investments in unaffiliated securities* | Swap agreements | Futures contracts | Written options | Forward foreign currency contracts | Total | |||||||||||||||||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund | Interest rate | $ | — | $ | — | $ | (351 | ) | $ | — | $ | — | $ | (351 | ) |
* | Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments. |
During the year ended September 30, 2020, the average derivative volume was as follows:
Fund | Forward foreign currency contracts(1) | Long futures contracts(2) | Short futures contracts(2) | Swap agreements(3) | Purchased options(2) | Written options(2) | ||||||||||||||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund | $— | $ | — | $ | 45,711 | $ | — | $ | — | $ | — |
(1) | Average absolute value of unrealized appreciation/depreciation during the period. |
(2) | Average value outstanding during the period. |
(3) | Average notional amount outstanding during the period. |
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5. | INVESTMENT MANAGEMENT AND PAYMENTS TO AFFILIATED PERSONS |
($ amounts in thousands unless indicated otherwise) |
Management Fees. IICO serves as each Fund’s investment manager. The management fee is accrued daily by each Fund at the following annual rates as a percentage of average daily net assets:
Fund (M - Millions) | $0 to $1,000M | $1,000 to $2,000M | $2,000 to $5,000M | Over $5,000M | ||||||||||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund | 0.50 | % | 0.48 | % | 0.46 | % | 0.45 | % | ||||||||
Ivy ProShares MSCI ACWI Index Fund | 0.45 | 0.43 | 0.41 | 0.40 | ||||||||||||
Ivy ProShares Russell 2000 Dividend Growers Index Fund | 0.40 | 0.38 | 0.36 | 0.35 | ||||||||||||
Ivy ProShares S&P 500 Bond Index Fund | 0.20 | 0.18 | 0.16 | 0.15 | ||||||||||||
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | 0.35 | 0.33 | 0.31 | 0.30 |
IICO has entered into a Subadvisory Agreement with the following entity on behalf of the Funds:
Under an agreement between IICO and ProShare Advisors LLC (“ProShare Advisors”), ProShare Advisors serves as subadviser to the Funds. The subadviser makes investment decisions in accordance with the Fund’s investment objectives, policies and restrictions under the supervision of IICO and the oversight of the Board. IICO pays all applicable costs of the subadvisers.
Independent Trustees and Chief Compliance Officer Fees. Fees paid to the Independent Trustees can be paid in cash or deferred to a later date, at the election of the Trustees according to the Deferred Fee Agreement entered into between the Trust and the Trustee(s). Each Fund records its portion of the deferred fees as a liability on the Statement of Assets and Liabilities. All fees paid in cash plus any appreciation (depreciation) in the underlying deferred plan are shown on the Statement of Operations. Additionally, fees paid to the Chief Compliance Officer of the Funds are shown on the Statement of Operations.
Accounting Services Fees. The Trust has an Accounting and Administrative Services Agreement with WRSCO, doing business as WI Services Company (“WISC”). Under the agreement, WISC acts as the agent in providing bookkeeping and accounting services and assistance to the Trust, including maintenance of Fund records, pricing of Fund shares and preparation of certain shareholder reports. For these services, each Fund pays WISC a monthly fee of one-twelfth of the annual fee based on the average net asset levels shown in the following table:
(M - Millions) | $0 to $10M | $10 to $25M | $25 to $50M | $50 to $100M | $100 to $200M | $200 to $350M | $350 to $550M | $550 to $750M | $750 to $1,000M | Over $1,000M | ||||||||||||||||||||||||||||||
Annual Fee Rate | $ | 0.00 | $ | 11.50 | $ | 23.10 | $ | 35.50 | $ | 48.40 | $ | 63.20 | $ | 82.50 | $ | 96.30 | $ | 121.60 | $ | 148.50 |
In addition, for each class of shares in excess of one, each Fund pays WISC a monthly per-class fee equal to 2.5% of the monthly accounting services base fee.
Each Fund also pays WISC a monthly administrative fee at the annual rate of 0.01%, or one basis point, for the first $1 billion of net assets with no fee charged for net assets in excess of $1 billion. This fee is voluntarily waived by WISC until a Fund’s net assets are at least $10 million and is included in “Accounting services fee” on the Statement of Operations.
Shareholder Servicing. General. Under the Shareholder Servicing Agreement between the Trust and WISC, with respect to Class A and Class E shares, for each shareholder account that was in existence at any time during the prior month, each Fund pays a monthly fee that ranges from $1.5042 to $1.6958 per account; however, WISC has agreed to reduce that fee if the number of total shareholder accounts within the Complex (InvestEd Portfolios and Ivy Funds) reaches certain levels. For Class R shares, each Fund pays a monthly fee equal to one-twelfth of 0.25 of 1% of the average daily net assets of the class for the preceding month. For Class I shares, each Fund pays a monthly fee equal to one-twelfth of 0.15 of 1% of the average daily net assets of the class for the preceding month. For Class N shares, each Fund pays WISC a monthly fee equal to one-twelfth of 0.01 of 1% of the average daily net assets of the class for the preceding month. Each Fund also reimburses WISC for certain out-of-pocket costs for all classes.
Listing, Data and Related Fees. The Funds may incur costs relating to their initial and ongoing listing on an exchange. Additionally, a Fund may enter into a license agreement for the right to use an Index and its Trade Mark(s) and to receive data related to the index from the index provider. The portion of such costs attributed to each Fund is reflected on the Statements of Operations as “Listing, data and related fees”.
Networked accounts. For certain networked accounts (that is, those accounts whose Fund shares are purchased through certain financial intermediaries), WISC has agreed to reduce its per account fees charged to the Funds to $0.50 per month per shareholder account. Additional fees may be paid by the Funds to those intermediaries. The Fund will reimburse WISC for such costs if the annual rate of the third-party per account charges for a Fund are less than or equal to $12.00 per account or an annual fee of 0.14 of 1% that is based on average daily net assets.
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Broker accounts. Certain broker-dealers that maintain shareholder accounts with each Fund through an omnibus account provide transfer agent and other shareholder-related services that would otherwise be provided by WISC if the individual accounts that comprise the omnibus account were opened by their beneficial owners directly. Each Fund may pay such broker-dealers a per account fee for each open account within the omnibus account (up to $18.00 per account), or a fixed rate fee (up to an annual fee of 0.20 of 1% that is based on average daily net assets), based on the average daily NAV of the omnibus account (or a combination thereof).
Distribution and Service Plan. Class A and Class E Shares. Under a Distribution and Service Plan adopted by the Trust pursuant to Rule 12b–1 under the 1940 Act (the “Distribution and Service Plan”), each Fund may pay a distribution and/or service fee to Ivy Distributors, Inc. (“IDI”) for Class A and Class E shares in an amount not to exceed 0.25% of the Fund’s average annual net assets. The fee is to be paid to compensate IDI for amounts it expends in connection with the distribution of the Class A and Class E shares and/or provision of personal services to Fund shareholders and/or maintenance of shareholder accounts of that class.
Class R Shares. Under the Distribution and Service Plan, each Fund may pay IDI a fee of up to 0.50%, on an annual basis, of the average daily net assets of the Fund’s Class R shares to compensate IDI for, either directly or through third parties, distributing the Class R shares of that Fund, providing personal services to Class R shareholders and/or maintaining Class R shareholder accounts.
Sales Charges. As principal underwriter for the Trust’s shares, IDI receives sales commissions (which are not an expense of the Trust) for sales of Class A and Class E shares. A CDSC may be assessed against a shareholder’s redemption amount of certain Class A and Class E shares and is paid to IDI. During the year ended September 30, 2020, IDI received the following amounts in sales commissions and CDSCs:
Gross Sales | CDSC | Commissions Paid(1) | ||||||||||||||
Commissions | Class A | Class E | ||||||||||||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund | $ | — | * | $ | — | $ | — | $ | — | * | ||||||
Ivy ProShares MSCI ACWI Index Fund | 26 | — | — | 22 | ||||||||||||
Ivy ProShares Russell 2000 Dividend Growers Index Fund | 1 | — | * | — | 1 | |||||||||||
Ivy ProShares S&P 500 Bond Index Fund | 1 | — | — | 1 | ||||||||||||
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | 3 | — | * | — | 1 |
* | Not shown due to rounding. |
(1) | IDI reallowed/paid this portion of the sales charge to financial advisors and selling broker-dealers. |
Expense Reimbursements and/or Waivers. IICO, the Funds’ investment manager, IDI, the Funds’ distributor, and/or Waddell & Reed Services Company, doing business as WISC, the Funds’ transfer agent, have contractually agreed to reimburse sufficient management fees, 12b-1 fees and/or shareholder servicing fees to cap the total annual ordinary fund operating expenses (which would exclude interest, taxes, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses, if any). Fund and class expense limitations and related waivers/reimbursements for the year ended September 30, 2020 were as follows:
Fund Name | Share Class Name | Type of Expense Limit | Commencement Date | End Date | Expense Limit | Amount of Expense Waiver/ Reimbursement | Expense Reduced | ||||||||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund | All Classes | Contractual | 4-20-2017 | 1-31-2021 | N/A | $ | 152 | (1) | Investment Management Fee | ||||||||
Class A | Contractual | 4-20-2017 | 1-31-2021 | 0.90% | $ | 1 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Class E | Contractual | 4-20-2017 | 7-31-2021 | 0.81%(2) | $ | 1 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Class I | Contractual | 4-20-2017 | 1-31-2021 | 0.65% | $ | 74 | Shareholder Servicing | ||||||||||
Ivy ProShares MSCI ACWI Index Fund | All Classes | Contractual | 4-20-2017 | 1-31-2021 | N/A | $ | 254 | (1) | Investment Management Fee | ||||||||
Class A | Contractual | 4-20-2017 | 1-31-2021 | 0.89%(3) | $ | 21 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Class E | Contractual | 4-20-2017 | 7-31-2021 | 0.70%(4) | $ | 5 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Class I | Contractual | 4-20-2017 | 1-31-2021 | 0.65% | $ | 93 | Shareholder Servicing | ||||||||||
Class N | Contractual | 4-20-2017 | 1-31-2021 | 0.65% | $ | 4 | Shareholder Servicing | ||||||||||
Class N | Contractual | 4-20-2017 | 1-31-2021 | Not to exceed Class I | $ | — | N/A |
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Fund Name | Share Class Name | Type of Expense Limit | Commencement Date | End Date | Expense Limit | Amount of Expense Waiver/ Reimbursement | Expense Reduced | ||||||||||
Ivy ProShares Russell 2000 Dividend Growers Index Fund | All Classes | Contractual | 4-20-2017 | 1-31-2021 | N/A | $ | 30 | (1) | Investment Management Fee | ||||||||
Class A | Contractual | 4-20-2017 | 1-31-2021 | 0.88%(3) | $ | 3 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Class E | Contractual | 4-20-2017 | 7-31-2021 | 0.71%(5) | $ | 3 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Class I | Contractual | 4-20-2017 | 1-31-2021 | 0.65% | $ | 128 | Shareholder Servicing | ||||||||||
Class N | Contractual | 4-20-2017 | 1-31-2021 | 0.65% | $ | — | N/A | ||||||||||
Class N | Contractual | 4-20-2017 | 1-31-2021 | Not to exceed Class I | $ | — | N/A | ||||||||||
Ivy ProShares S&P 500 Bond Index Fund | Class A | Contractual | 4-20-2017 | 1-31-2021 | 0.65% | $ | 2 | 12b-1 Fees and/or Shareholder Servicing | |||||||||
Class E | Contractual | 4-20-2017 | 7-31-2021 | 0.59%(6) | $ | 2 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Class I | Contractual | 4-20-2017 | 1-31-2021 | 0.40% | $ | 210 | Shareholder Servicing | ||||||||||
Class N | Contractual | 4-20-2017 | 1-31-2021 | 0.40% | $ | — | * | Shareholder Servicing | |||||||||
Class N | Contractual | 4-20-2017 | 1-31-2021 | Not to exceed Class I | $ | — | N/A | ||||||||||
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | Class A | Contractual | 4-20-2017 | 1-31-2021 | 0.74%(7) | $ | 3 | 12b-1 Fees and/or Shareholder Servicing | |||||||||
Class E | Contractual | 4-20-2017 | 7-31-2021 | 0.60%(8) | $ | 8 | 12b-1 Fees and/or Shareholder Servicing | ||||||||||
Class I | Contractual | 4-20-2017 | 1-31-2021 | 0.50% | $ | 416 | Shareholder Servicing | ||||||||||
Class N | Contractual | 4-20-2017 | 1-31-2021 | 0.50% | $ | — | * | Shareholder Servicing | |||||||||
Class N | Contractual | 4-20-2017 | 1-31-2021 | Not to exceed Class I | $ | — | N/A |
* | Not shown due to rounding. |
(1) | Due to Class A, Class E, Class I and/or Class N contractual expense limits, investment management fees were waived for all share classes. |
(2) | Reflects the lower expense limit which went into effect June 1, 2020. Prior to June 1, 2020, the expense limit in effect was 0.89%. Prior to January 1, 2020, the expense limit in effect was 0.90%. |
(3) | Reflects the lower expense limit which went into effect January 1, 2020. Prior to January 1, 2020, the expense limit in effect was 0.90%. |
(4) | Reflects the lower expense limit which went into effect January 1, 2020. Prior to January 1, 2020, the expense limit in effect was 0.71%. |
(5) | Reflects the lower expense limit which went into effect January 1, 2020. Prior to January 1, 2020, the expense limit in effect was 0.72%. |
(6) | Reflects the lower expense limit which went into effect January 1, 2020. Prior to January 1, 2020, the expense limit in effect was 0.60%. |
(7) | Reflects the lower expense limit which went into effect January 1, 2020. Prior to January 1, 2020, the expense limit in effect was 0.75%. |
(8) | Reflects the lower expense limit which went into effect January 1, 2020. Prior to January 1, 2020, the expense limit in effect was 0.62%. |
Any amounts due to the Funds as a reimbursement but not paid as of September 30, 2020 are shown as a receivable from affiliates on the Statement of Assets and Liabilities.
6. | INTERFUND LENDING PROGRAM |
Pursuant to an exemptive order issued by the SEC (“Order”), the Ivy Funds, Ivy Variable Insurance Portfolios and InvestEd Portfolios (collectively, the “Funds” only for purposes of this footnote 6) have the ability to lend money to, and borrow money from, each other pursuant to a master interfund lending agreement (“Interfund Lending Program”). Under the Interfund Lending Program, the Funds may lend or borrow money for temporary purposes directly to or from one another (each an “Interfund Loan”), subject to meeting the conditions of the Order. The interest rate to be charged on an Interfund Loan is the average of the overnight repurchase agreement rate and the short-term bank loan rate. The Funds made no Interfund Loans under the Interfund Lending Program during the year ended September 30, 2020.
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7. | INVESTMENT SECURITIES TRANSACTIONS ($ amounts in thousands) |
The cost of purchases and the proceeds from maturities and sales of investment securities (excluding short-term securities) for the year ended September 30, 2020, were as follows:
Purchases | Sales | |||||||||||||||
U.S. Government | Other Issuers | U.S. Government | Other Issuers | |||||||||||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund | $ | — | $ | 18,215 | $ | — | $ | 38,158 | ||||||||
Ivy ProShares MSCI ACWI Index Fund | — | 24,176 | — | 70,615 | ||||||||||||
Ivy ProShares Russell 2000 Dividend Growers Index Fund | — | 73,738 | — | 99,642 | ||||||||||||
Ivy ProShares S&P 500 Bond Index Fund | — | 88,483 | — | 86,669 | ||||||||||||
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | — | 156,461 | — | 169,816 |
8. | LOANS OF PORTFOLIO SECURITIES ($ amounts in thousands) |
The Funds may lend their portfolio securities only to borrowers that are approved by the Fund’s securities lending agent, The Bank of New York Mellon (“BNYM”). The borrower pledges and maintains with the Fund collateral consisting of cash or securities issued or guaranteed by the U.S. government. The collateral received by the Fund is required to have a value of at least 102% of the market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% of the market value for all other securities, except in the case of loans of foreign securities which are denominated and payable in U.S. dollars, in which case the collateral is required to have a value of at least 102% of the market value of the loaned securities. The market value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Fund and any excess collateral is returned by the Fund on the next business day. During the term of the loan, the Fund is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
Cash received as collateral for securities on loan may be reinvested in the Dreyfus Institutional Preferred Government Money Market Fund — Institutional Shares or certain other registered money market funds and are disclosed in the Fund’s Schedule of Investments and are reflected in the Statement of Assets and Liabilities as cash collateral on securities loaned at value. Non-cash collateral, in the form of securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, is not disclosed in the Fund’s Statement of Assets and Liabilities as it is held by the lending agent on behalf of the Fund and the Fund does not have the ability to re-hypothecate these securities. The securities on loan for each Fund are also disclosed in its Schedule of Investments. The total value of any securities on loan as of September 30, 2020 and the total value of the related cash collateral are disclosed in the Statement of Assets and Liabilities. Income earned by the Funds from securities lending activity is disclosed in the Statements of Operations.
The following is a summary of each Fund’s securities lending positions and related cash and non-cash collateral received as of September 30, 2020:
Fund | Value of Securities on Loan | Cash Collateral Received | Non-Cash Collateral Received | Total Collateral Received | ||||||||||||
Ivy ProShares MSCI ACWI Index Fund | $ | 1,104 | $ | 1,126 | $ | 35 | $ | 1,161 | ||||||||
Ivy ProShares Russell 2000 Dividend Growers Index Fund | 1,050 | 1,072 | — | 1,072 | ||||||||||||
Ivy ProShares S&P 500 Bond Index Fund | 227 | — | 232 | 232 |
The cash collateral received amounts presented in the table above are transactions accounted for as secured borrowings and have an overnight and continuous maturity. The proceeds from the cash collateral received is invested in registered money market funds.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Funds benefit from a borrower indemnity provided by BNYM. BNYM’s indemnity allows for full replacement of securities lent wherein BNYM will purchase the unreturned loaned securities on the open market by applying the proceeds of the collateral or to the extent such proceeds are insufficient or the collateral is unavailable, BNYM will purchase the unreturned loan securities at BNYM’s expense. However, the Fund could suffer a loss if the value of the investments purchased with cash collateral falls below the value of the cash collateral received.
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9. | CAPITAL SHARE TRANSACTIONS (All amounts in thousands) |
The Trust has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class of each Fund. Transactions in shares of beneficial interest were as follows:
Ivy ProShares Interest Rate Hedged High Yield Index Fund | Ivy ProShares MSCI ACWI Index Fund | |||||||||||||||||||||||||||||||
Year ended 9-30-20 | Year ended 9-30-19 | Year ended 9-30-20 | Year ended 9-30-19 | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||
Class A | 38 | $ | 332 | 23 | $ | 218 | 285 | $ | 3,413 | 270 | $ | 3,059 | ||||||||||||||||||||
Class E | 17 | 153 | 20 | 190 | 10 | 121 | 19 | 212 | ||||||||||||||||||||||||
Class I | 662 | 5,978 | 3,013 | 29,012 | 1,085 | 12,931 | 1,475 | 16,462 | ||||||||||||||||||||||||
Class N(2) | — | — | — | — | 621 | 7,056 | — | — | ||||||||||||||||||||||||
Class R(1) | — | * | 4 | 3 | 28 | — | — | — | — | |||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||
Class A | 1 | 11 | 1 | 8 | 11 | 132 | 8 | 86 | ||||||||||||||||||||||||
Class E | 2 | 14 | 1 | 8 | — | * | 7 | — | * | 4 | ||||||||||||||||||||||
Class I | 253 | 2,276 | 311 | 2,964 | 58 | 702 | 49 | 547 | ||||||||||||||||||||||||
Class N(2) | — | — | — | — | 49 | 575 | — | — | ||||||||||||||||||||||||
Class R(1) | — | * | 1 | — | * | 2 | — | — | — | — | ||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||
Class A | (12 | ) | (107 | ) | (6 | ) | (52 | ) | (168 | ) | (2,022 | ) | (131 | ) | (1,470 | ) | ||||||||||||||||
Class E | (22 | ) | (184 | ) | (1 | ) | (11 | ) | (3 | ) | (37 | ) | (1 | ) | (10 | ) | ||||||||||||||||
Class I | (2,894 | ) | (25,787 | ) | (1,534 | ) | (14,633 | ) | (1,211 | ) | (14,254 | ) | (1,360 | ) | (15,325 | ) | ||||||||||||||||
Class N(2) | (100 | ) | (891 | ) | — | — | (4,067 | ) | (53,090 | ) | — | — | ||||||||||||||||||||
Class R(1) | — | * | — | * | — | * | — | * | (199 | ) | (2,366 | ) | — | — | ||||||||||||||||||
Net increase (decrease) | (2,055 | ) | $ | (18,200 | ) | 1,831 | $ | 17,734 | (3,529 | ) | (46,832 | ) | 835 | $ | 9,382 | |||||||||||||||||
Ivy ProShares Russell 2000 Dividend Growers Index Fund | Ivy ProShares S&P 500 Bond Index Fund | |||||||||||||||||||||||||||||||
Year ended 9-30-20 | Year ended 9-30-19 | Year ended 9-30-20 | Year ended 9-30-19 | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||
Class A | 51 | $ | 496 | 113 | $ | 1,196 | 116 | $ | 1,272 | 57 | $ | 582 | ||||||||||||||||||||
Class E | 10 | 104 | 14 | 148 | 20 | 211 | 20 | 202 | ||||||||||||||||||||||||
Class I | 2,107 | 20,664 | 2,960 | 31,511 | 5,073 | 54,442 | 8,033 | 79,242 | ||||||||||||||||||||||||
Class N(2) | 704 | 6,783 | 110 | 1,186 | — | — | — | — | ||||||||||||||||||||||||
Class R(1) | — | — | — | — | 1 | 12 | 4 | 35 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||
Class A | 1 | 10 | 1 | 14 | 2 | 21 | — | * | 3 | |||||||||||||||||||||||
Class E | 1 | 5 | — | * | 3 | 1 | 13 | 1 | 7 | |||||||||||||||||||||||
Class I | 166 | 1,597 | 180 | 1,919 | 319 | 3,412 | 276 | 2,727 | ||||||||||||||||||||||||
Class N(2) | 49 | 472 | 73 | 783 | — | — | — | — | ||||||||||||||||||||||||
Class R(1) | — | — | — | * | — | * | — | * | 1 | — | * | 1 | ||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||
Class A | (70 | ) | (698 | ) | (57 | ) | (607 | ) | (36 | ) | (379 | ) | (9 | ) | (86 | ) | ||||||||||||||||
Class E | (2 | ) | (20 | ) | (1 | ) | (14 | ) | (6 | ) | (62 | ) | (1 | ) | (13 | ) | ||||||||||||||||
Class I | (4,150 | ) | (41,798 | ) | (2,934 | ) | (31,400 | ) | (5,347 | ) | (57,039 | ) | (3,233 | ) | (31,938 | ) | ||||||||||||||||
Class N(2) | (1,840 | ) | (16,724 | ) | (1,022 | ) | (11,010 | ) | (100 | ) | (1,116 | ) | — | — | ||||||||||||||||||
Class R(1) | (80 | ) | (716 | ) | — | — | — | * | (2 | ) | — | * | (1 | ) | ||||||||||||||||||
Net increase (decrease) | (3,053 | ) | $ | (29,825 | ) | (563 | ) | $ | (6,271 | ) | 43 | $ | 786 | 5,148 | $ | 50,761 |
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Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | ||||||||||||||||
Year ended 9-30-20 | Year ended 9-30-19 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Shares issued from sale of shares: | ||||||||||||||||
Class A | 122 | $ | 1,476 | 70 | $ | 830 | ||||||||||
Class E | 36 | 453 | 68 | 777 | ||||||||||||
Class I | 6,522 | 79,126 | 9,504 | 111,338 | ||||||||||||
Class N | 2,706 | 31,107 | 698 | 8,218 | ||||||||||||
Class R | 25 | 293 | 2 | 23 | ||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||
Class A | 3 | 41 | 2 | 18 | ||||||||||||
Class E | 4 | 44 | 2 | 24 | ||||||||||||
Class I | 727 | 8,966 | 644 | 7,505 | ||||||||||||
Class N | 223 | 2,737 | 233 | 2,706 | ||||||||||||
Class R | — | * | 1 | — | * | — | * | |||||||||
Shares redeemed: | ||||||||||||||||
Class A | (39 | ) | (491 | ) | (34 | ) | (397 | ) | ||||||||
Class E | (11 | ) | (130 | ) | (10 | ) | (111 | ) | ||||||||
Class I | (7,386 | ) | (88,624 | ) | (9,933 | ) | (117,510 | ) | ||||||||
Class N | (3,436 | ) | (43,176 | ) | (1,934 | ) | (22,777 | ) | ||||||||
Class R | (24 | ) | (306 | ) | — | * | — | * | ||||||||
Net decrease | (528 | ) | $ | (8,483 | ) | (688 | ) | $ | (9,356 | ) |
* | Not shown due to rounding. |
(1) | Effective June 19, 2020, Ivy ProShares MSCI ACWI Index Fund and Ivy ProShares Russell 2000 Dividend Growers Index Fund liquidated Class R. |
(2) | Effective September 1, 2020, Ivy ProShares Interest Rate Hedged High Yield Index Fund, Ivy ProShares MSCI ACWI Index Fund and Ivy ProShares S&P 500 Bond Index Fund liquidated Class N. |
10. | FEDERAL INCOME TAX MATTERS ($ amounts in thousands) |
For Federal income tax purposes, cost of investments owned at September 30, 2020 and the related unrealized appreciation (depreciation) were as follows:
Fund | Cost of Investments | Gross Appreciation | Gross Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund | $ | 36,669 | $ | 1,177 | $ | 1,278 | $ | (101 | ) | |||||||
Ivy ProShares MSCI ACWI Index Fund | 61,759 | 22,136 | 6,469 | 15,667 | ||||||||||||
Ivy ProShares Russell 2000 Dividend Growers Index Fund | 82,350 | 3,725 | 8,593 | (4,868 | ) | |||||||||||
Ivy ProShares S&P 500 Bond Index Fund | 133,981 | 10,332 | 417 | 9,915 | ||||||||||||
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | 339,529 | 72,654 | 28,049 | 44,605 |
For Federal income tax purposes, the Funds’ undistributed earnings and profit for the year ended September 30, 2020 and the post-October and late-year ordinary activity were as follows:
Fund | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Tax Return of Capital | Post- October Capital Losses Deferred | Late-Year Ordinary Losses Deferred | |||||||||||||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund | $ | 105 | $ | — | $ | — | $ | — | $ | — | ||||||||||
Ivy ProShares MSCI ACWI Index Fund | 833 | 2,061 | — | — | — | |||||||||||||||
Ivy ProShares Russell 2000 Dividend Growers Index Fund | 222 | — | — | — | — | |||||||||||||||
Ivy ProShares S&P 500 Bond Index Fund | 355 | 3,230 | — | — | — | |||||||||||||||
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | 1,840 | 13,381 | — | — | — |
Internal Revenue Code regulations permit each Fund to elect to defer into its next fiscal year capital losses and certain specified ordinary items incurred between each November 1 and the end of its fiscal year. Each Fund is also permitted to defer into its next fiscal certain ordinary losses that are generated between January 1 and the end of its fiscal year.
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The tax character of dividends and distributions paid during the two fiscal years ended September 30, 2020 and 2019 were as follows:
September 30, 2020 | September 30, 2019 | |||||||||||||||
Fund | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | ||||||||||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund | $ | 2,898 | $ | — | $ | 3,392 | $ | 392 | ||||||||
Ivy ProShares MSCI ACWI Index Fund | 1,883 | — | 1,723 | — | ||||||||||||
Ivy ProShares Russell 2000 Dividend Growers Index Fund | 2,359 | — | 3,299 | — | ||||||||||||
Ivy ProShares S&P 500 Bond Index Fund | 3,858 | — | 3,296 | — | ||||||||||||
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | 9,470 | 3,470 | 11,817 | 136 |
(1) | Includes short-term capital gains distributed, if any. |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Accumulated capital losses represent net capital loss carryovers as of September 30, 2020 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2020, the capital loss carryovers were as follows:
Fund | Short-Term Capital Loss Carryover | Long-Term Capital Loss Carryover | ||||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund | $ | 2,418 | $ | 4,681 | ||||
Ivy ProShares MSCI ACWI Index Fund | — | — | ||||||
Ivy ProShares Russell 2000 Dividend Growers Index Fund | 3,368 | 7,165 | ||||||
Ivy ProShares S&P 500 Bond Index Fund | — | — | ||||||
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | — | — |
Net investment income dividends and capital gains distributions are determined in accordance with income tax regulations which may differ from U.S. GAAP. These differences are due to differing treatments for items such as deferral of wash sales, post-October losses, late-year ordinary losses, foreign currency transactions, net operating losses, income from passive foreign investment companies (PFICs) and partnership transactions. At September 30, 2020, the following reclassifications were made:
Fund | Accumulated Earnings Gain (Loss) | Paid-In Capital | ||||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund | $ | — | $ | — | ||||
Ivy ProShares MSCI ACWI Index Fund | (1,288 | ) | 1,288 | |||||
Ivy ProShares Russell 2000 Dividend Growers Index Fund | — | — | ||||||
Ivy ProShares S&P 500 Bond Index Fund | — | — | ||||||
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | — | — |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM | IVY FUNDS |
To the Shareholders and Board of Trustees of Ivy Funds:
Opinion on the Financial Statements and Financial Highlights
We have audited the accompanying statements of assets and liabilities of Ivy ProShares Interest Rate Hedged High Yield Index Fund, Ivy ProShares MSCI ACWI Index Fund, Ivy ProShares Russell 2000 Dividend Growers Index Fund, Ivy ProShares S&P 500 Bond Index Fund, and Ivy ProShares S&P 500 Dividend Aristocrats Index Fund, each a series of Ivy Funds (the “Funds”), including the schedules of investments, as of September 30, 2020, the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for the years ended September 30, 2020, 2019, 2018, and for the period from April 20, 2017 (commencement of operations) through September 30, 2017, and the related notes. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds as of September 30, 2020, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for the years ended September 30, 2020, 2019, 2018, and the period from April 20, 2017 (commencement of operations) through September 30, 2017, in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. Our procedures included confirmation of securities owned as of September 30, 2020, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
Kansas City, Missouri
November 24, 2020
We have served as the auditor of one or more Waddell & Reed investment companies since 1997.
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INCOME TAX INFORMATION | IVY FUNDS |
AMOUNTS NOT ROUNDED (UNAUDITED)
The Funds hereby designate the following amounts of dividends paid from net ordinary income as dividends qualifying for the 70% dividends received deduction for corporations or as qualified dividend income for individuals for the tax period ended September 30, 2020:
Dividends Received Deduction for Corporations | Qualified Dividend Income for Individuals | |||||||
Ivy ProShares Interest Rate Hedged High Yield Index Fund | $ | — | $ | — | ||||
Ivy ProShares MSCI ACWI Index Fund | 1,031,506 | 1,857,694 | ||||||
Ivy ProShares Russell 2000 Dividend Growers Index Fund | 2,329,729 | 2,329,323 | ||||||
Ivy ProShares S&P 500 Bond Index Fund | — | — | ||||||
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | 9,024,853 | 9,432,460 |
The Funds hereby designate the following amounts as distributions of long-term capital gains:
Ivy ProShares Interest Rate Hedged High Yield Index Fund | $ | — | ||
Ivy ProShares MSCI ACWI Index Fund | 1,288,000 | |||
Ivy ProShares Russell 2000 Dividend Growers Index Fund | — | |||
Ivy ProShares S&P 500 Bond Index Fund | — | |||
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | 3,469,960 |
The Funds utilized the following earnings and profits distributed to shareholders on the redemption of shares as part of the dividends paid deduction:
Ivy ProShares Interest Rate Hedged High Yield Index Fund | $ | — | ||
Ivy ProShares MSCI ACWI Index Fund | 1,288,000 | |||
Ivy ProShares Russell 2000 Dividend Growers Index Fund | — | |||
Ivy ProShares S&P 500 Bond Index Fund | — | |||
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund | — |
Shareholders are advised to consult with their tax advisors concerning the tax treatment of dividends and distributions from all the Funds.
The tax status of dividends paid will be reported to you on Form 1099-DIV after the close of the applicable calendar year.
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BOARD OF TRUSTEES AND OFFICERS | IVY FUNDS |
(UNAUDITED)
Each of the individuals listed below serves as a trustee for the Trust (45 portfolios), and for the rest of the funds within the Fund Complex, which also includes, in addition to the Trust, InvestEd Portfolios (“InvestEd”) (10 portfolios), the Ivy High Income Opportunities Fund (a closed-end fund) (“IVH”) and Ivy Variable Insurance Portfolios (“Ivy VIP”) (28 Portfolios).
Board members who are not “interested persons” of the Trust as defined in Section 2(a)(19) of the 1940 Act (“Independent Trustees”) constitute at least 75% of the Board.
Joseph Harroz, Jr. serves as Independent Chairman of the Trust’s Board and of the Board of Trustees of the other funds in the Fund Complex. Subject to the Trustee Emeritus and Retirement Policy, a Trustee serves until his or her successor is elected and qualified or until his or her earlier death, resignation or removal.
The Statement of Additional Information (“SAI”) for the Trust includes additional information about the Trust’s Trustees. The SAI is available without charge, upon request by calling 1.888.923.3355. It is also available on the Ivy Investments website, www.ivyinvestments.com.
Independent Trustees
The following table provides information regarding each Independent Trustee.
Name, Address and Year of Birth | Position Held with the Trust | Trustee Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen | Other Directorships Held During Past 5 Years | |||||
James M. Concannon 6300 Lamar Avenue Overland Park, KS 66202 1947 | Trustee | 2017 | Emeritus Dean and Professor of Law, Washburn University School of Law (1973 to present). | 84 | Director, Kansas Legal Services for Prisoners, Inc. (non-profit community service); Director, U.S. Alliance Corporation and wholly-owned subsidiaries: U.S. Alliance Life and Security Company, Dakota Capital Life Insurance Company (Insurance), and U.S. Alliance Corporation, Montana (2009 to present); Director, Kansas Appleseed, Inc. (non-profit community service) (2007 to present); Trustee, Waddell & Reed Advisors Funds (WRA Funds) (1997-2018); Trustee, Ivy NextShares (2017-2019); Trustee, Ivy VIP (1997 to present) (28 portfolios overseen); Trustee, InvestEd (2001 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2017 to present) (1 portfolio overseen). |
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Name, Address and Year of Birth | Position Held with the Trust | Trustee Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen | Other Directorships Held During Past 5 Years | |||||
H. Jeffrey Dobbs 6300 Lamar Avenue Overland Park, KS 66202 1955 | Trustee | 2019 | Global Sector Chairman, Industrial Manufacturing, KPMG LLP (2010-2015). | 84 | Director, Valparaiso University (2012 to present); Director, TechAccel LLC (Tech R&D) (2015 to present); Board Member, Kansas City Repertory Theatre (2015 to present); Board Member, PatientsVoices, Inc. (healthcare) (2018 to present); Board Member, Kansas City Campus for Animal Care (2018 to present); Director, National Association of Manufacturers (2010-2015); Director, The Children’s Center (2003-2015); Director, Metropolitan Affairs Coalition (2003-2015); Director, Michigan Roundtable for Diversity and Inclusion (2003-2015); Trustee, Ivy NextShares (2019); Trustee, Ivy VIP (2019 to present) (28 portfolios overseen); Trustee, InvestEd (2019 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2019 to present) (1 portfolio overseen). | |||||
James D. Gressett 6300 Lamar Avenue Overland Park, KS 66202 1950 | Trustee | 2002 | Chief Executive Officer (CEO) of CalPac Pizza LLC (2011 to present); CEO of CalPac Pizza II LLC (2012 to present); CEO of PacPizza LLC (Pizza Hut franchise) (2000 to present); Member/CEO, Southern Pac Pizza LLC (2013 to present); Partner, Century Bridge Partners (real estate investments) (2007 to present); Manager, Hartley Ranch Angus Beef, LLC (2013 to present); President, Penn Capital Corp. (1995 to present); Partner, Penn Capital Partners (1999 to present); Partner, 1788 Chicken, LLC (food franchise) (2016 to present). | 84 | Member/Secretary, The Metochoi Group LLC (1999 to present); Member/Chairman, Idea Homes LLC (homebuilding and development) (2013 to present); Trustee, WRA Funds (2017-2018); Trustee, Ivy NextShares (2016-2019); Trustee, Ivy VIP (2017 to present) (28 portfolios overseen); Trustee, InvestEd (2017 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2013 to present) (1 portfolio overseen). |
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Name, Address and Year of Birth | Position Held with the Trust | Trustee Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen | Other Directorships Held During Past 5 Years | |||||
Joseph Harroz, Jr. 6300 Lamar Avenue Overland Park, KS 66202 1967 | Trustee Independent Chairman | 1998 2006 | President (2020 to present), Interim President (2019-2020), Vice President (2010-2019) and Dean (2010-2019), College of Law, University of Oklahoma; Managing Member, Harroz Investments, LLC, (commercial enterprises) (1998-2019); Managing Member, St. Clair, LLC (commercial enterprises) (2019 to present). | 84 | Director and Shareholder, Valliance Bank (2007 to present); Director, Foundation Healthcare (formerly Graymark HealthCare) (2008-2017); Trustee, The Mewbourne Family Support Organization (2006 to present) (non-profit); Independent Director, LSQ Manager, Inc. (real estate) (2007-2016); Director, Oklahoma Foundation for Excellence (non-profit) (2008 to present); Independent Chairman and Trustee, WRA Funds (Independent Chairman: 2015-2018; Trustee: 1998-2018); Independent Chairman and Trustee, Ivy NextShares (2016-2019); Independent Chairman and Trustee, Ivy VIP (Independent Chairman: 2015 to present; Trustee: 1998 to present) (28 portfolios overseen); Independent Chairman and Trustee, InvestEd (Independent Chairman: 2015 to present; Trustee: 2001 to present) (10 portfolios overseen); Independent Chairman and Trustee, Ivy High Income Opportunities Fund (2013 to present) (1 portfolio overseen). | |||||
Glendon E. Johnson, Jr. 6300 Lamar Avenue Overland Park, KS 66202 1951 | Trustee | 2002 | Of Counsel, Lee & Smith, PC (law firm, emphasis on finance, securities, mergers and acquisitions law) (1996-2019); Owner and Manager, Castle Valley Ranches, LLC (ranching) and Castle Valley Outdoors, LLC (outdoor recreation) (1995 to present); Formerly, Partner, Kelly, Drye & Warren LLP (law firm) (1989-1996); Partner, Lane & Edson PC (law firm) (1987-1989). | 84 | Director, Thomas Foundation for Cancer Research (non-profit) (2005 to present); Director, Warriors Afield Legacy Foundation (non-profit) (2014 to present); Trustee, WRA Funds (2017-2018); Trustee, Ivy NextShares (2016-2019); Trustee, Ivy VIP (2017 to present) (28 portfolios overseen); Trustee, InvestEd (2017 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2013 to present) (1 portfolio overseen). |
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Name, Address and Year of Birth | Position Held with the Trust | Trustee Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen | Other Directorships Held During Past 5 Years | |||||
Sandra A.J. Lawrence 6300 Lamar Avenue Overland Park, KS 66202 1957 | Trustee | 2019 | Retired, formerly, Chief Administrative Officer, Children’s Mercy Hospitals and Clinics (2016-2019); CFO, Children’s Mercy Hospitals and Clinics (2005-2016). | 84 | Director, Hall Family Foundation (1993 to present); Director, Westar Energy (utility) (2004-2018); Trustee, Nelson-Atkins Museum of Art (non-profit) (2007-2020); Director, Turn the Page KC (non-profit) (2012-2016); Director, Kansas Metropolitan Business and Healthcare Coalition (non-profit) (2017-2019); Director, National Association of Corporate Directors (non-profit) (2017 to present); Director, American Shared Hospital Services (medical device) (2017 to present); Director, Evergy, Inc., Kansas City Power & Light Company, KCP&L Greater Missouri Operations Company, Westar Energy, Inc. and Kansas Gas and Electric Company (related utility companies) (2018 to present); Director, Stowers (research) (2018); Co-Chair, Women Corporate Directors (director education) (2018-2020); Trustee, Ivy NextShares (2019); Trustee, Ivy VIP (2019 to present) (28 portfolios overseen); Trustee, InvestEd (2019 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2019 to present) (1 portfolio overseen). | |||||
Frank J. Ross, Jr. Polsinelli PC 900 West 48th Place Suite 900 Kansas City, MO 64112 1953 | Trustee | 2017 | Shareholder/Director, Polsinelli PC (law firm) (1980 to present). | 84 | Trustee, WRA Funds (1996-2018); Trustee, Ivy NextShares (2017-2019); Trustee, Ivy VIP (1996 to present) (28 portfolios overseen); Trustee, InvestEd (2001 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2017 to present) (1 portfolio overseen). |
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Name, Address and Year of Birth | Position Held with the Trust | Trustee Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen | Other Directorships Held During Past 5 Years | |||||
Michael G. Smith 6300 Lamar Avenue Overland Park, KS 66202 1944 | Trustee | 2002 | Retired; formerly, with Merrill Lynch as Managing Director of Global Investor Client Strategy (1996-1998), Head of Regional Institutional Sales (1995-1996) and of U.S. Central Region (1986-1995, 1999). | 84 | Director, Executive Board, Cox Business School, Southern Methodist University (1998-2019); Lead Director, Northwestern Mutual Funds (2003-2017) (29 portfolios overseen); Director, CTMG, Inc. (clinical testing) (2008-2015); Trustee, WRA Funds (2017-2018); Trustee, Ivy NextShares (2016-2019); Trustee, Ivy VIP (2017 to present) (28 portfolios overseen); Trustee, InvestEd (2017 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2013 to present) (1 portfolio overseen). | |||||
Edward M. Tighe 6300 Lamar Avenue Overland Park, KS 66202 1942 | Trustee | 1999 | Retired; formerly, CEO and Director of Asgard Holdings, LLC (computer network and security services) (2002-2004); President, Citco Technology Management (1995-2000); CEO, Global Mutual Fund Services (1993-2000); Sr. Vice President, Templeton Global Investors (1988-1992). | 84 | Trustee, Hansberger Institutional Funds (2000-2007); Director, The Research Coast Principium Foundation, Inc. (non-profit) (2012-2015); Trustee, WRA Funds (2017-2018); Trustee, Ivy NextShares (2016-2019); Trustee, Ivy VIP (2017 to present) (28 portfolios overseen); Trustee, InvestEd (2017 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2013 to present) (1 portfolio overseen). |
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Interested Trustees
Messrs. Herrmann and Sanders are “interested” by virtue of their current or former engagement as an officer of Waddell & Reed Financial, Inc. (“WDR”) or its wholly owned subsidiaries, including each Fund’s investment manager, Ivy Investment Management Company (“IICO”), each Fund’s principal underwriter, Ivy Distributors, Inc. (“IDI”), and each Fund’s shareholder servicing and accounting services agent, Waddell & Reed Services Company, doing business as WI Services Company (“WISC”), as well as by virtue of their personal ownership in shares of WDR.
Name, Address and Year of Birth | Position(s) Held with the Trust | Trustee/Officer Since | Principal Occupation(s) During Past 5 Years | Number of Funds in Fund Complex Overseen | Other Directorships Held | |||||
Henry J. Herrmann 6300 Lamar Avenue Overland Park, KS 66202 1942 | Trustee | 1998 | Retired, Non-Executive Chairman of the Board, WDR (2016-2018); Formerly Chairman, WDR (2010-2018); CEO, WDR (2005-2016); President, CEO and Chairman, IICO (2002-2016); President, CEO and Chairman, Waddell & Reed Investment Management Company (WRIMCO) (1993-2016); President of each of the funds in the Fund Complex (2001-2016). | 84 | Director, WDR, (1998 to present); Director, IICO (2002-2016); Director, WRIMCO (1991-2016); Director, WISC (2001-2016); Director, W&R Capital Management Group, Inc. (2008-2016); Director, Waddell & Reed (1993-2016); Director, Blue Cross Blue Shield of Kansas City (2007-2017); Trustee, WRA Funds (1998-2018); Trustee, Ivy NextShares (2016-2019); Trustee, Ivy VIP (1998 to present) (28 portfolios overseen); Trustee, InvestEd (2001 to present) (10 portfolios overseen); Trustee, Ivy High Income Opportunities Fund (2013 to present) (1 portfolio overseen). | |||||
Philip J. Sanders 6300 Lamar Avenue Overland Park, KS 66202 1959 | Trustee | 2019 | CEO, WDR (2016 to present); President, CEO and Chairman, IICO (2016 to present); President, CEO and Chairman, WRIMCO (2016-2018); CIO, WDR (2011-2019); CIO, IICO (2010-2019); CIO, WRIMCO (2010-2018); President of each of the funds in the Fund Complex (2016 to present). | 84 | Trustee, Ivy NextShares (2019); Trustee, Ivy VIP (2019 to present) (28 portfolios overseen); Trustee, InvestEd (2019 to present) (10 portfolios overseen);Trustee, Ivy High Income Opportunities Fund, (2019 to present) (1 portfolio overseen). |
Officers
The Board has appointed officers who are responsible for the day-to-day business decisions based on policies it has established. The officers serve at the pleasure of the Board. The Trust’s principal officers are:
Name, Address and Year of Birth | Position(s) Held with the Trust and Fund Complex | Officer of Trust Since | Officer of Fund Complex Since* | Principal Occupation(s) During Past 5 Years | ||||
Jennifer K. Dulski 6300 Lamar Avenue Overland Park, KS 66202 1980 | Secretary | 2017 | 2017 | Secretary for each of the funds in the Fund Complex (2017 to present); Senior Vice President and Associate General Counsel of Waddell & Reed, IICO and IDI (2018 to present). |
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Name, Address and Year of Birth | Position(s) Held with the Trust and Fund Complex | Officer of Trust Since | Officer of Fund Complex Since* | Principal Occupation(s) During Past 5 Years | ||||
Joseph W. Kauten 6300 Lamar Avenue Overland Park, KS 66202 1969 | Vice President
Treasurer
Principal Financial Officer | 2008
2008
2008 | 2006
2006
2007 | Principal Financial Officer of each of the funds in the Fund Complex (2007 to present); Vice President and Treasurer of each of the funds in the Fund Complex (2006 to present); Principal Accounting Officer of each of the funds in the Fund Complex (2006-2017); Assistant Treasurer of each of the funds in the Fund Complex (2003-2006); Vice President of Waddell & Reed Services Company (“WRSCO”) (2007 to present). | ||||
Philip J. Sanders** 1959 | President | 2016 | 2016 | CEO of WDR (2016 to present); President, CEO and Chairman of IICO (2016 to present) and WRIMCO (2016-2018); President of each of the funds in the Fund Complex (2016 to present); CIO of WDR (2011-2019); CIO of IICO (2010-2019) and WRIMCO (2010-2018). | ||||
Scott J. Schneider 6300 Lamar Avenue Overland Park, KS 66202 1968 | Vice President
Chief Compliance Officer | 2008
2008 | 2006
2004 | Chief Compliance Officer (2004 to present) and Vice President (2006 to present) of each of the funds in the Fund Complex; Vice President of IICO (2006 to present) and WRIMCO (2006-2018). | ||||
Philip A. Shipp 6300 Lamar Avenue Overland Park, KS 66202 1969 | Assistant Secretary | 2012 | 2012 | Assistant Secretary of each of the funds in the Fund Complex (2012 to present); Vice President of Waddell & Reed and IDI (2010 to present). |
* This is the date when the officer first became an officer of one or more of the funds that are the predecessors to current funds within Ivy Funds (each, a predecessor fund) (if applicable).
** Mr. Sanders was Vice President of the Trust since 2006, and of the other Trusts within the Fund Complex, until his appointment as President in 2016.
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RENEWAL OF INVESTMENT MANAGEMENT AGREEMENTS | IVY FUNDS |
At a meeting of the Board of Trustees (the “Board”) of Ivy Funds (the “Trust”) held on August 11th and 12th, 2020, the Board, including all of the trustees who are not “interested persons” (the “Independent Trustees”), as defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”), unanimously approved the continuance of the Investment Management Agreement (the “Management Agreement”) between Ivy Investment Management Company (“IICO”) and the Trust, and the continuance of the Investment Subadvisory Agreements between IICO and:
• | Apollo Credit Management, LLC (with respect to the Ivy Apollo Multi-Asset Income Fund and Ivy Apollo Strategic Income Fund) |
• | LaSalle Investment Management Securities, LLC and LaSalle Investment Management Securities B.V. (with respect to the Ivy LaSalle Global Real Estate Fund and the Ivy Apollo Multi-Asset Income Fund) |
• | Mackenzie Investments Europe Limited and Mackenzie Investments Asia Limited (with respect to the Ivy International Small Cap Fund) |
• | Pictet Asset Management Limited and Pictet Asset Management (Singapore) Pte Ltd. (with respect to the Ivy Emerging Markets Local Currency Debt Fund and the Ivy Targeted Return Bond Fund), and Pictet Asset Management Limited and Pictet Asset Management SA (with respect to the Ivy Targeted Return Bond Fund) |
• | PineBridge Investments, LLC (with respect to the Ivy PineBridge High Yield Fund) |
• | ProShare Advisors, LLC (with respect to the Ivy ProShares S&P 500 Dividend Aristocrats Index Fund, the Ivy ProShares Russell 2000 Dividend Growers Index Fund, the Ivy ProShares Interest Rate Hedged High Yield Index Fund, the Ivy ProShares S&P 500 Bond Index Fund and the Ivy ProShares MSCI ACWI Index Fund) |
• | Pzena Investment Management, LLC (with respect to the Ivy Pzena International Value Fund) |
• | Securian Asset Management, Inc. (with respect to the Ivy Securian Core Bond Fund and the Ivy Securian Real Estate Securities Fund) |
• | Wilshire Associates Incorporated (with respect to the Ivy Wilshire Global Allocation Fund) |
Each subadviser is referred to herein as a “Subadviser,” and the Management Agreement and the Investment Subadvisory Agreements are referred to collectively herein as the “Agreements.”
The Board’s Independent Trustees were assisted in their review by independent legal counsel and met with such counsel separately from representatives of IICO and the Subadvisers. Independent legal counsel explained the factors that the Board should consider as part of its review of the Agreements, all as outlined in a memorandum it had provided to the Board prior to the meeting, including, among other things, the nature and the quality of the services provided by IICO and the Subadvisers, profitability (including any fall-out benefits) from IICO’s and the Subadvisers’ relationships with each series of the Trust (each, a “Fund” and together, the “Funds”), economies of scale, the role played by the Independent Trustees, and information on comparative fees and expenses. The Independent Trustees also considered the written responses and materials produced by IICO and each Subadviser in response to 15(c) due diligence request lists submitted by the Independent Trustees’ legal counsel prior to the meeting, as well as materials produced in response to a follow-up request list sent to IICO by independent legal counsel on behalf of the Independent Trustees. Included in those responses, which had been provided to the Board prior to the meeting, was a Fund-by-Fund profitability analysis prepared by IICO, as well as an explanation of the methodology by which the profitability analysis was calculated. The Board also received extensive materials on performance, expenses and comparable fund information from an independent mutual fund rating service. Finally, the Independent Trustees received and reviewed a considerable amount of information that their independent fee consultant had provided to them. The Independent Trustees previously had reviewed and discussed these materials during a telephonic meeting in July 2020. They further reviewed these materials among themselves, with their independent legal counsel and the independent fee consultant, and with the other Board members at executive sessions of the Independent Trustees at the August 11-12, 2020 Board meeting, during which the Board considered various factors described below, none of which by itself was considered dispositive. However, the material factors and conclusions that formed the basis for the Board’s determination to approve the Agreements are discussed separately below.
Nature, Extent and Quality of Services
The Board considered the nature, extent and quality of services provided to the Funds by IICO and each Subadviser, taking into account the large amount of materials produced by IICO and the Subadvisers in response to the 15(c) due diligence requests submitted on its behalf by independent legal counsel to the Independent Trustees.
The Board also took into account the report from its Investment Oversight Committee (the “IOC”), in light of that committee’s duties to assist the Board in the 15(c) process. The IOC had reported to the Board on its review of the performance of the Funds, IICO’s investment risk management function, and the on-going changes IICO and its affiliates
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has been undertaking for the Trust and the overall fund complex. As such, the Board examined all of IICO’s activities in light of performance and expense structure, as well as the proposed overall rationalization of the Ivy Funds complex, which is designed to provide economies of scale to the shareholders, reduce the Funds’ expenses and enhance the performance of the Funds, particularly in the context of substantial industry change and regulatory developments.
The Board likewise considered the knowledge it had received from its regular meetings, including from the materials provided in connection with those meetings, such as the resources and key personnel of IICO and each Subadviser, as well as the other services provided to the Funds by IICO and each Subadviser, as applicable (e.g., managing the quality of execution of portfolio transactions and the selection of broker-dealers for those transactions, monitoring adherence to each Fund’s investment restrictions, producing reports, providing support services for the Board and its committees, communicating with shareholders and overseeing the activities of other service providers, including monitoring compliance with various Fund policies and procedures and with applicable laws and regulations). The Board also took into account the compliance environment at IICO and each Subadviser, noting the resources that each entity has dedicated towards compliance. The Board concluded that the nature and extent of the services provided by IICO and each Subadviser were appropriate, that the quality of those services had been consistent with quality norms in the industry and that the Funds were likely to benefit from the continued provision of those services.
Benefits from the Relationship with the Funds
The Board next discussed whether IICO or any Subadviser derives any other direct or indirect benefit from serving the Funds. In that regard, the Board discussed the transfer agency and shareholder servicing fees that Waddell & Reed Services Company (“WISC”), an affiliate of IICO, has provided to the Funds. The Board took note of the caps that management previously had agreed to on shareholder servicing costs. The Board also considered the benefits that accrue to each service provider organization from its respective relationship with the Funds, including the fact that a variety of services are provided by other affiliates of IICO, including distribution, administrative and Fund accounting services, and, as discussed above, shareholder servicing. The Board also considered that WISC has outsourced certain of its transactional processing operations to a sub-agent, which is designed to promote, and has achieved, greater efficiencies and savings for Fund shareholders over time. After full consideration of these and other factors, the Board concluded that none of IICO, any Subadviser or any of their affiliates receives any additional direct or indirect benefits that would preclude the Board from approving the continuation of the Management Agreement with IICO or any Investment Subadvisory Agreement with a Subadviser.
Economies of Scale
The Board discussed whether economies of scale are being realized by the Funds and whether fee levels reflect those economies of scale for the benefit of the Funds’ shareholders. The Board considered the fact that as a Fund’s assets have grown, the expenses of that Fund generally have fallen. Additionally, in that regard, the Board considered the various initiatives that IICO has recently undertaken, and continues to implement, in seeking to rationalize the Ivy Funds complex, reduce expenses and enhance performance.
Performance of the Funds and Costs of Services Provided
The Board considered the performance of each Fund and the costs of the services provided, focusing in particular on a number of Funds that the independent fee consultant had identified. Specifically, the Board examined the investment performance of each Fund, including the percentile ranking of each Fund over various periods of time. The Board also examined the performance of each Fund against its respective benchmark index and peer funds for the same periods. After extensively reviewing all of the performance information provided, the Board concluded that the Funds’ performance in each asset class was acceptable. Although the performance of some of the focus Funds identified by the independent fee consultant lagged that of their peers or respective benchmark index, the Board recognized that IICO, or the applicable Subadviser, had taken, or was taking, steps to address that underperformance, and determined to continue to monitor closely the performance of those Funds.
The Board also considered the expenses and expense ratio of each Fund, and the expense limitation and fee reduction arrangements entered into by IICO in light of the services provided by IICO and each Subadviser. The Board also compared each Fund’s expenses, including advisory, distribution and shareholder servicing fees, with the expenses and advisory fees of other investment advisers managing similarly situated funds, as well as the advisory fees that IICO charges for providing advisory services to other accounts in the same asset class for certain Funds. In that regard, the Board noted that IICO performs significant additional services for the Funds as compared to those other accounts. The Board also took into account the information on IICO’s profitability in managing the Funds, including the methodology used to calculate profitability. The Board finally considered the amount of assets in each Fund, each Fund’s average account size and how those factors affect the Funds’ expense ratios, noting that, as the Funds’ assets have increased or decreased over time, the expense ratios of the Funds generally have fallen or risen, respectively. After completing this examination, the Board concluded that each Fund’s expenses are appropriate at the current time.
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Independent Fee Consultant Review
Independent legal counsel, on behalf of the Independent Trustees, engaged the independent fee consultant to assist them in evaluating the reasonableness of the management fees charged by IICO to all funds within the Ivy Funds complex. The independent fee consultant’s review addressed the following fee-related factors:
1. | The nature, extent and quality of IICO’s services to the Funds; |
2. | Management fees and expenses in the context of performance; |
3. | Product category expenses, including peers; |
4. | Profit margins of IICO’s parent from supplying such services; |
5. | Subadviser and institutional fee analyses; and |
6. | Possible economies of scale as a Fund grows larger. |
The following summarizes the findings of the independent fee consultant retained by the Independent Trustees.
Summary Findings
The report stated that IICO delivered reasonable levels of performance in the longer-term periods and reasonable levels of service to the Funds in relation to its management fees as compared to the investment advisers of comparable funds. For the 36 months ended March 31, 2020, approximately 23% of the funds within the Ivy Funds complex were in the top quartile of performance and 55% of the Funds were in the top two quartiles of performance and that short-term performance of such funds were showing signs of improvement. Specifically, the report noted that 50% of the funds within the Ivy Funds complex were in the top two quartiles in the one-year period. The independent fee consultant noted that the funds’ performance appeared to be grounded in a number of institutional competitive advantages at IICO, including investment management depth, ability to attract top talent, proactive management, performance-focused culture, economic analysis and an effective trading infrastructure.
The report further indicated that total expenses of the funds in the complex, on average, were reasonable in relation to the average total expenses of their respective group of peer funds and that their net management fees were reasonable in relation to the average net management fees of their respective groups of peer funds. The report also stated that the management fees IICO charges to the funds are reasonable in relation to the management fees it charges to its institutional account clients. The report noted that these institutional account clients have different service and infrastructure needs and in addition, the average spread between management fees IICO charged to the funds and those it charges to institutional account clients is reasonable relative to the average fee spreads computed from industry surveys.
The report stated that while it was difficult to confirm overall economies of scale, it was clear that the Funds’ shareholders generally are benefitting from lower expenses as the funds’ assets grow.
The report also noted that the overall profitability of IICO’s parent relative to other complexes is reasonable.
Finally, the report also examined the fees that IICO retains on Funds that are subadvised by unaffiliated Subadvisers and indicated that those fees are reasonable relative to the industry. The report also stated that the subadvisory fees that IICO earns for serving as a subadviser to an unaffiliated fund when compared to fees of similar Funds likewise are reasonable relative to the industry.
Conclusions
The independent fee consultant’s report concluded that it believes that the services provided by IICO and its affiliates and expenses incurred by the funds within the Ivy Funds complex in the previous 12 months are reasonable and provide adequate justification for renewal of the Funds’ existing Agreements.
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ANNUAL PRIVACY NOTICE | IVY FUNDS |
(UNAUDITED)
FACTS | What does Ivy Funds do with your personal information? | |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share and protect your personal information. Please read this notice carefully to understand what we do. | |
What? | The types of personal information we collect and share depend on the product or service you have with us. The information can include: | |
• Social Security Number and income, | ||
• Assets and transaction history, and | ||
• Checking account information and wire transfer instructions. | ||
When you are no longer our customer, we continue to share your information as described in this notice. | ||
How? | All financial companies need to share customers’ personal information to conduct everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information, the reasons Ivy Funds chooses to share, and whether you can limit this sharing. |
Reasons we can share your personal information | Does Ivy Funds share? | Can you limit this sharing? | ||
For our everyday business purposes – such as to process your transactions, maintain your accounts, respond to court orders and legal investigations or report to credit bureaus | Yes | No | ||
For our marketing purposes – to offer our products and services to you | Yes | No | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes – information about your transactions and experiences | Yes | No | ||
For our affiliates everyday business purposes – information about your creditworthiness | No | We don’t share | ||
For our affiliates to market to you | No | We don’t share | ||
For non-affiliates to market to you | No | We don’t share |
Questions? | Call 1(800) 777-6472 with questions about this notice. Client service representatives are available Monday through Friday from 7:30 am to 7:00 pm CST. You may also go to www.ivyinvestments.com/privacy_policy. | |
If we serve you through an investment professional, such as a registered representative of a broker-dealer or an investment adviser representative (each, a “financial advisor”), please contact them directly. Specific internet addresses, mailing addresses and telephone numbers are listed on your statements and other correspondence. |
Who we are | ||
Who is providing this notice? | Ivy Funds | |
What we do | ||
How does Ivy Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. | |
How does Ivy Funds collect my personal information? | We collect your personal information, for example, when you: | |
• Give us your contact information or other personal information, | ||
• Open an account, or | ||
• Make deposits to an account or withdrawals from an account. | ||
We also collect your personal information from our affiliates. | ||
Why can’t I limit all sharing? | Federal law gives you the right to limit only: | |
• Sharing for affiliates’ everyday business purposes – information about your creditworthiness, | ||
• Affiliates from using your information to market to you, and | ||
• Sharing for non-affiliates to market to you. | ||
State laws and individual companies may give you additional rights to limit sharing. |
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Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies. | |
• Affiliates of Ivy Funds include Waddell & Reed Services Company, Ivy Distributors, Inc., and Ivy Investment Management Company. | ||
Non-affiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies. | |
• Ivy Funds does not share your personal information with non-affiliates so they can market to you. | ||
Joint marketing | A formal agreement between non-affiliated financial companies that together market financial products or services to you. | |
• Ivy Funds does not jointly market. | ||
Other important information | ||
If you own shares of Ivy Funds in the name of a third party, such as a bank or a broker-dealer, the third party’s privacy policy may apply to you in addition to ours. | ||
If you are working with a financial advisor, and the financial advisor leaves their firm and joins another non-affiliated broker-dealer or registered investment adviser, then the financial advisor may be permitted to use limited information to contact you. The information that the financial advisor may use is comprised of your name, address, email address, telephone number and account title. |
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PROXY VOTING INFORMATION | IVY FUNDS |
Proxy Voting Guidelines
A description of the policies and procedures Ivy Funds uses to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1.888.923.3355 and (ii) on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.
Proxy Voting Records
Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on Form N-PX through the Ivy Investments’ website at www.ivyinvestments.com and on the SEC’s website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE INFORMATION | IVY FUNDS |
Portfolio holdings can be found on the Trust’s website at www.ivyinvestments.com. Alternatively, a complete schedule of portfolio holdings of each Fund for the first and third quarters of each fiscal year is filed with the SEC and can be found as an exhibit to the Trust’s Form N-PORT. These holdings may be viewed in the following ways:
• | On the SEC’s website at www.sec.gov. |
• | For review and copy at the SEC’s Public Reference Room in Washington, DC. Information on the operations of the Public Reference Room may be obtained by calling 1.800.SEC.0330. |
HOUSEHOLDING NOTICE | IVY FUNDS |
If you currently receive one copy of the shareholder reports and prospectus for your household (even if more than one person in your household owns shares of the Trust) and you would prefer to receive separate shareholder reports and prospectuses for each account holder living at your address, you can do either of the following:
Call us at 888.923.3355.
Write to us at the following address: WI Services Company, P.O. Box 219722, Kansas City, Missouri 64121-9722.
Please list each account for which you would like to receive separate shareholder reports and prospectus mailings. We will resume sending separate documents within 30 days of receiving your request.
TO ALL TRADITIONAL IRA PLANHOLDERS: | IVY FUNDS |
As required by law, we are hereby providing notice to you that income tax may be withheld automatically from any distribution or withdrawal from a traditional IRA. A Fund is generally required to withhold taxes unless you make a written election not to have taxes withheld. The election may be made on the distribution/withdrawal form provided by Waddell & Reed, Inc. which can be obtained from your Waddell & Reed representative or by submitting Internal Revenue Service Form W–4P. Once made, an election can be revoked by providing written notice to Waddell & Reed, Inc. If you elect not to have tax withheld you may be required to make payments of estimated tax. Penalties may be imposed by the IRS if withholding and estimated tax payments are not adequate.
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THE IVY FUNDS FAMILY |
Domestic Equity Funds
Ivy Accumulative Fund
Ivy Core Equity Fund
Ivy Large Cap Growth Fund
Ivy Mid Cap Growth Fund
Ivy Mid Cap Income Opportunities Fund
Ivy Small Cap Core Fund
Ivy Small Cap Growth Fund
Ivy Value Fund
Global/International Funds
Ivy Emerging Markets Equity Fund
Ivy Global Equity Income Fund
Ivy Global Growth Fund
Ivy International Small Cap Fund
Ivy International Core Equity Fund
Ivy Managed International Opportunities Fund
Ivy Pictet Emerging Markets Local Currency Debt Fund
Ivy Pzena International Value Fund
Index Funds
Ivy ProShares Interest Rate Hedged High Yield Index Fund
Ivy ProShares MSCI ACWI Index Fund
Ivy ProShares Russell 2000 Dividend Growers Index Fund
Ivy ProShares S&P 500 Bond Index Fund
Ivy ProShares S&P 500 Dividend Aristocrats Index Fund
Specialty Funds
Ivy Apollo Multi-Asset Income Fund
Ivy Asset Strategy Fund
Ivy Balanced Fund
Ivy Energy Fund
Ivy LaSalle Global Real Estate Fund
Ivy Natural Resources Fund
Ivy Science and Technology Fund
Ivy Securian Real Estate Securities Fund
Ivy Wilshire Global Allocation Fund
Fixed Income Funds
Ivy Apollo Strategic Income Fund
Ivy California Municipal High Income Fund
Ivy Corporate Bond Fund
Ivy Crossover Credit Fund
Ivy Global Bond Fund
Ivy Government Securities Fund
Ivy High Income Fund
Ivy Limited-Term Bond Fund
Ivy Municipal Bond Fund
Ivy Municipal High Income Fund
Ivy Pictet Targeted Return Bond Fund
Ivy PineBridge High Yield Fund
Ivy Securian Core Bond Fund
Money Market Funds
Ivy Cash Management Fund
Ivy Government Money Market Fund
1.888.923.3355
Visit us online at www.ivyinvestments.com
The Ivy Funds are managed by Ivy Investment Management Company and distributed by its subsidiary, Ivy Distributors, Inc.
Before investing, investors should consider carefully the investment objectives, risks, charges and expenses of a mutual fund. This and other important information is contained in the prospectus and summary prospectus, which may be obtained at www.ivyinvestments.com or from a financial advisor. Read it carefully before investing.
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ANN-IPS (9-20)
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ITEM | 2. CODE OF ETHICS |
(a) | As of September 30, 2020, the Registrant has adopted a code of ethics (the “Code”), as defined in Item 2 of Form N-CSR, that applies to the Principal Executive Officer and Principal Financial Officer or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. A copy of this code of ethics is filed as an exhibit to this Form N-CSR. |
(b) | There have been no amendments, during the period covered by this report, to a provision of the Code that applies to the registrant’s Principal Executive Officer, Principal Financial Officer, Principal Accounting Officer or Controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the Code. |
(c) | During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from a provision of the Code that applies to the registrant’s Principal Executive Officer, Principal Financial Officer, Principal Accounting Officer or Controller, or persons performing similar functions, regardless of whether those individuals were employed by the registrant or a third party, that related to one or more of the items set forth in paragraph (b) of this item’s instructions. |
ITEM | 3. AUDIT COMMITTEE FINANCIAL EXPERT |
The Board of Trustees of the Registrant has determined that each of H. Jeffrey Dobbs, James D. Gressett and Edward M. Tighe is an audit committee financial expert, as defined in Item 3 of Form N-CSR, serving on its audit committee. Each of Mr. Dobbs, Mr. Gressett and Mr. Tighe is independent for purposes of Item 3 of Form N-CSR. Under applicable securities laws, a person who is determined to be an audit committee financial expert will not be deemed an “expert” for any purpose, including without limitation for the purposes of Section 11 of the Securities Act of 1933, as a result of being designated or identified as an audit committee financial expert. The designation or identification of a person as an audit committee financial expert does not impose on such person any duties, obligations, or liability that are greater than the duties, obligations, and liability imposed on such person as a member of the audit committee and board of trustees in the absence of such designation or identification. The designation or identification of a person as an audit committee financial expert does not affect the duties, obligations, or liability of any other member of the audit committee or board of trustees.
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ITEM | 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
(a) | Audit Fees |
The aggregate fees billed for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for each of the last two fiscal years are as follows:
2020 | $ | 433,100 | ||||||
2019 | 422,700 |
(b) | Audit-Related Fees |
The aggregate fees billed for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s annual financial statements and are not reported under paragraph (a) of this Item are as follows:
2020 | $ | 0 | ||||||
2019 | 0 |
These fees are related to the review of Form N-1A.
(c) | Tax Fees |
The aggregate fees billed for professional services rendered by the principal accountant for tax compliance, tax advice and tax planning are as follows:
2020 | $ | 87,360 | ||||||
2019 | 73,440 |
These fees are related to the review of the registrant’s tax returns.
(d) | All Other Fees |
The aggregate fees billed for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this item are as follows:
2020 | $ | 7,854 | ||||||
2019 | 4,977 |
These fees are related to the review of internal control.
(e) (1) | Registrant’s audit committee considers with the principal accountants all audit services to be provided by the principal accountants and pre-approves all such audit services. |
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The audit committee shall pre-approve all non-audit services to be provided by the principal accountants to the registrant; provided that the pre-approval requirement does not apply to non-audit services that (i) were not identified as such at the time of the pre-approval and (ii) do not aggregate more than 5% of total fees paid to the principal accountants by the registrant during the fiscal year in which the services are provided, if the audit committee approves the provision of such non-audit services prior to the completion of the audit.
The audit committee shall pre-approve all non-audit services to be provided by the principal accountants to the investment adviser (not including any subadvisor whose role is primarily portfolio management and is subcontracted and overseen by the investment advisor) or any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant if the engagement relates directly to the operations or financial reporting of the registrant; provided that the pre-approval requirement does not apply to non-audit services that (i) were not identified as such at the time of the pre-approval and (ii) do not aggregate more than 5% of total fees paid to the principal accountants by the registrant for all services and by the registrant’s investment adviser for non-audit services if the engagement relates directly to the operations or financial reporting of the registrant during the fiscal year in which those services are provided, if the audit committee approves the provision of such non-audit services prior to the completion of the audit.
(e) (2) | None of the services described in each of paragraphs (b) through (d) of this Item were approved by the audit committee pursuant to the waiver provisions of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
(f) | Not applicable |
(g) | $78,417 and $95,214 are the aggregate non-audit fees billed in each of the last two fiscal years for services rendered by the principal accountant to the registrant. $43,050 and $74,000 are the aggregate non-audit fees billed in each of the last two fiscal years for services rendered by the principal accountant to the investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser) and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant. |
(h) | Not Applicable. |
ITEM | 5. AUDIT COMMITTEE OF LISTED REGISTRANTS |
Not applicable.
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ITEM | 6. SCHEDULE OF INVESTMENTS. |
(a) | See Item 1 Shareholder Report. |
(b) | 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 |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s board of trustees.
ITEM | 11. CONTROLS AND PROCEDURES. |
(a) | The Registrant’s Principal Executive Officer and Principal Financial Officer, or persons performing similar functions, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, have concluded that such controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective and adequately designed to ensure that information required to be disclosed by the Registrant in its reports that it files or submits is accumulated and communicated to the Registrant’s management, including the Principal Executive Officer and Principal Financial Officer, or persons performing similar functions, as appropriate, to allow timely decisions regarding required disclosure. |
(b) | There were no significant changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
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Not applicable.
ITEM 13. EXHIBITS.
(a) (1) The Code described in Item 2 of this Form N-CSR.
Attached hereto as Exhibit 99.CODE.
Attached hereto as Exhibit 99.CERT.
Attached hereto as Exhibit 99.906CERT.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
IVY FUNDS
(Registrant)
By | /s/Jennifer K. Dulski | |
Jennifer K. Dulski, Secretary | ||
Date: | December 4, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/Philip J. Sanders | |
Philip J. Sanders, President and Principal Executive Officer | ||
Date: | December 4, 2020 | |
By | /s/Joseph W. Kauten | |
Joseph W. Kauten, Vice President and Principal Financial Officer | ||
Date: | December 4, 2020 |