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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 811-5017
Ivy Funds Variable Insurance Portfolios
(Exact name of registrant as specified in charter)
6300 Lamar Avenue, Overland Park, Kansas 66202
(Address of principal executive offices) (Zip code)
Mara D. Herrington
6300 Lamar Avenue
Overland Park, Kansas 66202
(Name and address of agent for service)
Registrant’s telephone number, including area code: 913-236-2000
Date of fiscal year end: December 31
Date of reporting period: June 30, 2015
Table of Contents
ITEM 1. | REPORTS TO STOCKHOLDERS. |
Table of Contents
Semiannual Report
June 30, 2015
Ivy Funds Variable Insurance Portfolios
Pathfinder Aggressive
Pathfinder Conservative
Pathfinder Moderate
Pathfinder Moderately Aggressive
Pathfinder Moderately Conservative
Pathfinder Moderate - Managed Volatility
Pathfinder Moderately Aggressive - Managed Volatility
Pathfinder Moderately Conservative - Managed Volatility
Asset Strategy
Balanced
Bond
Core Equity
Dividend Opportunities
Energy
Global Bond
Global Growth
Global Natural Resources
Growth
High Income
International Core Equity
Limited-Term Bond
Micro Cap Growth
Mid Cap Growth
Money Market
Real Estate Securities
Science and Technology
Small Cap Growth
Small Cap Value
Value
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CONTENTS
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4 | ||||
Portfolio Highlights and Schedule of Investments: | ||||
6 | ||||
Managed Volatility Portfolios | ||||
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38 | ||||
41 | ||||
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2 | SEMIANNUAL REPORT | 2015 |
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Ivy Funds VIP | JUNE 30, 2015 (UNAUDITED) |
Henry J. Hermann, CFA
Dear Shareholder,
Over the six months since our last report to you, we’ve seen a few surprises and some familiar patterns. U.S. growth remains slow, developed economies overseas have shown very modest growth, China’s stock market has been very volatile and we’re still waiting for an interest rate policy change from the Federal Reserve.
The underlying driver of growth overseas has been central banks’ aggressive monetary policy. The Chinese have become more aggressive recently, in tandem with the European Central Bank and the Bank of Japan. Financial asset prices in Japan and the Eurozone have appreciated significantly so far, as have those in China. The presumption of economic acceleration imbedded in stock prices eventually will need to be substantiated by the data going forward for this to continue.
In the U.S., the Federal Reserve (Fed) remains steadfast in stating that rates will rise slowly and the timing of a decision on an increase will be data dependent, meaning driven by an increase in the rate of inflation and by job growth. Markets recently have begun to discount a less-accommodative Fed. A degree of uncertainty has emerged, as the equity and bond markets struggle to assess when and how much rates will rise.
Though economic data in the U.S. has improved, the timing of a rate increase is still up for debate. We believe that the economic foundation in the U.S. remains less than robust, so the odds of a rate increase by September are no better than even. When the Fed does implement a rate increase, it should be small enough not to disrupt economic growth.
The U.S. economy’s ability to maintain growth in the face of sluggish global growth is one of the key questions for the months ahead. We believe an improving U.S. jobs picture, little inflation and low interest rates create a favorable environment for U.S. businesses and will combine to drive corporate earnings growth and associated equity prices.
While challenges remain, we do see potential catalysts for growth in several areas and industries and our team continues to seek investment opportunities around the globe.
Economic Snapshot
6/30/2015 | 12/31/2014 | |||||||
S&P 500 Index | 2,063.11 | 2,058.90 | ||||||
MSCI EAFE Index | 1,842.46 | 1,774.89 | ||||||
10-Year Treasury Yield | 2.35% | 2.17% | ||||||
U.S. unemployment rate | 5.30% | 5.60% | ||||||
30-year fixed mortgage rate | 4.02% | 3.87% | ||||||
Oil price per barrel | $59.47 | $53.27 |
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,
Henry J. Herrmann, CFA
President
The opinions expressed in this letter are those of the President of the Ivy Funds Variable Insurance Portfolios and are current only through the end of the period of the report, as stated on the cover. The President’s views are subject to change at any time, based on market and other conditions, and no forecasts can be guaranteed.
2015 | SEMIANNUAL REPORT | 3 |
Table of Contents
ILLUSTRATION OF PORTFOLIO EXPENSES
Ivy Funds VIP | (UNAUDITED) |
Expense Example
As a shareholder of a Portfolio, you incur ongoing costs, including management fees, distribution and service fees, and other Portfolio expenses. The following table is intended to help you understand your ongoing costs (in dollars) of investing in a Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. As a shareholder in the underlying Ivy Funds VIP Portfolios, the Pathfinder Aggressive, Pathfinder Conservative, Pathfinder Moderate, Pathfinder Moderately Aggressive and Pathfinder Moderately Conservative Portfolios (collectively, the “Pathfinder Portfolios”) and the Pathfinder Moderate — Managed Volatility, Pathfinder Moderately Aggressive — Managed Volatility and Pathfinder Moderately Conservative — Managed Volatility Portfolios (collectively, the “Managed Volatility Portfolios”) will indirectly bear their pro rata share of the expenses incurred by the underlying funds. These expenses are not included in the Pathfinder Portfolios or Managed Volatility Portfolios annualized expense ratios or the expenses paid during the period. These expenses are, however, included in the effective expenses paid during the period. The example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ended June 30, 2015.
Actual Expenses
The first section in the following table provides information about actual investment values and actual expenses. You may use the information in this section, together with your initial investment in Portfolio shares, to estimate the expenses that you paid over the period. Simply divide the value of that investment by $1,000 (for example, a $7,500 initial investment divided by $1,000 = 7.5), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your investment during this period. In addition, there are fees and expenses imposed under the variable annuity or variable life insurance contract through which shares of the Portfolio are held. Additional fees have the effect of reducing investment returns.
Hypothetical Example for Comparison Purposes
The second section in the following table provides information about hypothetical investment values and hypothetical expenses based on the Portfolio’s actual expense ratio and an assumed rate of return of five percent per year before expenses, which is not the Portfolio’s actual return. The hypothetical investment values and expenses may not be used to estimate the actual investment value at the end of the period or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this five percent hypothetical example with the five percent hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs as a shareholder of the Portfolio and do not reflect any fees and expenses imposed under the variable annuity or variable life insurance contract through which shares of the Portfolio are held.
Expenses paid may be impacted by expense reduction arrangements. If those arrangements had not been in place, expenses paid would have been higher. See Note 7 to the Financial Statements for further information.
4 | SEMIANNUAL REPORT | 2015 |
Table of Contents
ILLUSTRATION OF PORTFOLIO EXPENSES
Ivy Funds VIP (UNAUDITED) |
Actual(1) | Hypothetical(2) | |||||||||||||||||||||||||||
Portfolio | Beginning Account Value 12-31-14 | Ending Account Value 6-30-15 | Expenses Paid During Period* | Beginning Account Value 12-31-14 | Ending Account Value 6-30-15 | Expenses Paid During Period* | Annualized Expense Ratio Based on the Six-Month Period | |||||||||||||||||||||
Pathfinder Aggressive | $ | 1,000 | $ | 1,043.60 | $ | 0.41 | $ | 1,000 | $ | 1,024.40 | $ | 0.40 | 0.08% | |||||||||||||||
Pathfinder Conservative | $ | 1,000 | $ | 1,018.90 | $ | 0.30 | $ | 1,000 | $ | 1,024.45 | $ | 0.30 | 0.07% | |||||||||||||||
Pathfinder Moderate | $ | 1,000 | $ | 1,026.70 | $ | 0.20 | $ | 1,000 | $ | 1,024.63 | $ | 0.20 | 0.03% | |||||||||||||||
Pathfinder Moderately Aggressive | $ | 1,000 | $ | 1,032.20 | $ | 0.20 | $ | 1,000 | $ | 1,024.63 | $ | 0.20 | 0.03% | |||||||||||||||
Pathfinder Moderately Conservative | $ | 1,000 | $ | 1,023.10 | $ | 0.20 | $ | 1,000 | $ | 1,024.58 | $ | 0.20 | 0.04% | |||||||||||||||
Pathfinder Moderate - Managed Volatility | $ | 1,000 | $ | 1,024.10 | $ | 1.32 | $ | 1,000 | $ | 1,023.52 | $ | 1.32 | 0.26% | |||||||||||||||
Pathfinder Moderately Aggressive - Managed Volatility | $ | 1,000 | $ | 1,029.20 | $ | 1.72 | $ | 1,000 | $ | 1,023.14 | $ | 1.72 | 0.33% | |||||||||||||||
Pathfinder Moderately Conservative - Managed Volatility | $ | 1,000 | $ | 1,019.60 | $ | 1.82 | $ | 1,000 | $ | 1,023.03 | $ | 1.82 | 0.36% | |||||||||||||||
Asset Strategy | $ | 1,000 | $ | 1,000.00 | $ | 4.80 | $ | 1,000 | $ | 1,019.96 | $ | 4.85 | 0.98% | |||||||||||||||
Balanced | $ | 1,000 | $ | 1,018.70 | $ | 4.95 | $ | 1,000 | $ | 1,019.89 | $ | 4.95 | 0.99% | |||||||||||||||
Bond | $ | 1,000 | $ | 998.00 | $ | 3.90 | $ | 1,000 | $ | 1,020.87 | $ | 3.94 | 0.79% | |||||||||||||||
Core Equity | $ | 1,000 | $ | 1,010.30 | $ | 4.72 | $ | 1,000 | $ | 1,020.06 | $ | 4.75 | 0.95% | |||||||||||||||
Dividend Opportunities | $ | 1,000 | $ | 989.20 | $ | 4.97 | $ | 1,000 | $ | 1,019.84 | $ | 5.05 | 1.00% | |||||||||||||||
Energy | $ | 1,000 | $ | 1,009.20 | $ | 6.03 | $ | 1,000 | $ | 1,018.82 | $ | 6.06 | 1.21% | |||||||||||||||
Global Bond | $ | 1,000 | $ | 1,010.60 | $ | 3.12 | $ | 1,000 | $ | 1,021.71 | $ | 3.13 | 0.62% | �� | ||||||||||||||
Global Growth | $ | 1,000 | $ | 1,049.20 | $ | 5.84 | $ | 1,000 | $ | 1,019.07 | $ | 5.75 | 1.15% | |||||||||||||||
Global Natural Resources | $ | 1,000 | $ | 1,003.00 | $ | 6.71 | $ | 1,000 | $ | 1,018.11 | $ | 6.76 | 1.35% | |||||||||||||||
Growth | $ | 1,000 | $ | 1,053.40 | $ | 4.93 | $ | 1,000 | $ | 1,020.00 | $ | 4.85 | 0.97% | |||||||||||||||
High Income | $ | 1,000 | $ | 1,020.00 | $ | 4.44 | $ | 1,000 | $ | 1,020.40 | $ | 4.44 | 0.89% | |||||||||||||||
International Core Equity | $ | 1,000 | $ | 1,073.10 | $ | 6.01 | $ | 1,000 | $ | 1,019.01 | $ | 5.86 | 1.17% | |||||||||||||||
Limited-Term Bond | $ | 1,000 | $ | 1,007.40 | $ | 4.01 | $ | 1,000 | $ | 1,020.81 | $ | 4.04 | 0.80% | |||||||||||||||
Micro Cap Growth | $ | 1,000 | $ | 1,070.00 | $ | 6.83 | $ | 1,000 | $ | 1,018.17 | $ | 6.66 | 1.34% | |||||||||||||||
Mid Cap Growth | $ | 1,000 | $ | 1,033.00 | $ | 5.59 | $ | 1,000 | $ | 1,019.34 | $ | 5.55 | 1.10% | |||||||||||||||
Money Market | $ | 1,000 | $ | 1,000.00 | $ | 0.90 | $ | 1,000 | $ | 1,023.90 | $ | 0.91 | 0.18% | |||||||||||||||
Real Estate Securities | $ | 1,000 | $ | 943.50 | $ | 5.83 | $ | 1,000 | $ | 1,018.77 | $ | 6.06 | 1.22% | |||||||||||||||
Science and Technology | $ | 1,000 | $ | 1,046.80 | $ | 5.73 | $ | 1,000 | $ | 1,019.16 | $ | 5.65 | 1.14% | |||||||||||||||
Small Cap Growth | $ | 1,000 | $ | 1,152.60 | $ | 6.03 | $ | 1,000 | $ | 1,019.17 | $ | 5.65 | 1.13% | |||||||||||||||
Small Cap Value | $ | 1,000 | $ | 1,006.10 | $ | 5.82 | $ | 1,000 | $ | 1,019.03 | $ | 5.86 | 1.16% | |||||||||||||||
Value | $ | 1,000 | $ | 996.60 | $ | 4.99 | $ | 1,000 | $ | 1,019.84 | $ | 5.05 | 1.00% |
* | Portfolio expenses are equal to the Portfolio’s annualized expense ratio (provided in the table), multiplied by the average account value over the period, multiplied by 181 days in the six-month period ended June 30, 2015, and divided by 365. |
(1) | This section uses the Portfolio’s actual total return and actual Portfolio expenses. It is a guide to the actual expenses paid by the Portfolio in the period. The “Ending Account Value” shown is computed using the Portfolio’s actual return and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. A shareholder may use the information here, together with the dollar amount invested, to estimate the expenses that were paid over the period. For every thousand dollars a shareholder has invested, the expenses are listed in the last column of this section. |
(2) | This section uses a hypothetical five percent annual return and actual Portfolio expenses. It helps to compare the Portfolio’s ongoing costs with other mutual funds. A shareholder can compare the Portfolio’s ongoing costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other Portfolios. |
The above illustrations are based on ongoing costs only.
2015 | SEMIANNUAL REPORT | 5 |
Table of Contents
Pathfinder Portfolios | ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Pathfinder Aggressive – Asset Allocation
Ivy Funds VIP Growth | 19.8% | |||
Ivy Funds VIP Global Growth | 16.7% | |||
Ivy Funds VIP International Core Equity | 11.8% | |||
Ivy Funds VIP Limited-Term Bond | 10.9% | |||
Ivy Funds VIP Small Cap Growth | 10.5% | |||
Ivy Funds VIP Value | 10.0% | |||
Ivy Funds VIP Mid Cap Growth | 9.8% | |||
Ivy Funds VIP Small Cap Value | 9.8% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.7% |
Pathfinder Conservative – Asset Allocation
Ivy Funds VIP Money Market | 34.8% | |||
Ivy Funds VIP Limited-Term Bond | 17.9% | |||
Ivy Funds VIP Growth | 12.9% | |||
Ivy Funds VIP Dividend Opportunities | 12.6% | |||
Ivy Funds VIP Small Cap Growth | 5.3% | |||
Ivy Funds VIP International Core Equity | 4.8% | |||
Ivy Funds VIP Value | 4.0% | |||
Ivy Funds VIP Mid Cap Growth | 3.0% | |||
Ivy Funds VIP Global Growth | 2.2% | |||
Ivy Funds VIP Small Cap Value | 2.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.5% |
Pathfinder Moderate – Asset Allocation
Ivy Funds VIP Money Market | 20.0% | |||
Ivy Funds VIP Dividend Opportunities | 14.6% | |||
Ivy Funds VIP Growth | 14.0% | |||
Ivy Funds VIP Global Growth | 12.0% | |||
Ivy Funds VIP Limited-Term Bond | 10.9% | |||
Ivy Funds VIP Small Cap Growth | 7.4% | |||
Ivy Funds VIP International Core Equity | 6.9% | |||
Ivy Funds VIP Value | 5.0% | |||
Ivy Funds VIP Small Cap Value | 4.9% | |||
Ivy Funds VIP Mid Cap Growth | 4.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.3% |
Pathfinder Moderately Aggressive – Asset Allocation
| ||||
Ivy Funds VIP Dividend Opportunities | 14.7% | |||
Ivy Funds VIP Growth | 14.0% | |||
Ivy Funds VIP Global Growth | 12.1% | |||
Ivy Funds VIP International Core Equity | 11.8% | |||
Ivy Funds VIP Limited-Term Bond | 11.0% | |||
Ivy Funds VIP Money Market | 10.0% | |||
Ivy Funds VIP Small Cap Growth | 8.5% | |||
Ivy Funds VIP Small Cap Value | 7.9% | |||
Ivy Funds VIP Value | 5.1% | |||
Ivy Funds VIP Mid Cap Growth | 5.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | -0.1% |
Pathfinder Moderately Conservative – Asset Allocation
Ivy Funds VIP Money Market | 25.0% | |||
Ivy Funds VIP Limited-Term Bond | 16.0% | |||
Ivy Funds VIP Growth | 14.0% | |||
Ivy Funds VIP Dividend Opportunities | 12.7% | |||
Ivy Funds VIP Global Growth | 7.1% | |||
Ivy Funds VIP International Core Equity | 6.8% | |||
Ivy Funds VIP Small Cap Growth | 6.4% | |||
Ivy Funds VIP Value | 5.0% | |||
Ivy Funds VIP Mid Cap Growth | 4.0% | |||
Ivy Funds VIP Small Cap Value | 3.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.0% |
Pathfinder Moderate – Managed Volatility – Asset Allocation
Ivy Funds VIP Money Market | 19.4% | |||
Ivy Funds VIP Dividend Opportunities | 14.2% | |||
Ivy Funds VIP Growth | 13.5% | |||
Ivy Funds VIP Global Growth | 11.6% | |||
Ivy Funds VIP Limited-Term Bond | 10.6% | |||
Ivy Funds VIP Small Cap Growth | 7.1% | |||
Ivy Funds VIP International Core Equity | 6.6% | |||
Ivy Funds VIP Value | 4.9% | |||
Ivy Funds VIP Small Cap Value | 4.8% | |||
Ivy Funds VIP Mid Cap Growth | 3.8% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.5% |
6 | SEMIANNUAL REPORT | 2015 |
Table of Contents
PORTFOLIO HIGHLIGHTS
Pathfinder Portfolios | ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Pathfinder Moderately Aggressive – Managed Volatility – Asset Allocation
Ivy Funds VIP Dividend Opportunities | 14.2% | |||
Ivy Funds VIP Growth | 13.5% | |||
Ivy Funds VIP Global Growth | 11.6% | |||
Ivy Funds VIP International Core Equity | 11.4% | |||
Ivy Funds VIP Limited-Term Bond | 10.6% | |||
Ivy Funds VIP Money Market | 9.7% | |||
Ivy Funds VIP Small Cap Growth | 8.2% | |||
Ivy Funds VIP Small Cap Value | 7.7% | |||
Ivy Funds VIP Value | 4.9% | |||
Ivy Funds VIP Mid Cap Growth | 4.8% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.4% |
Pathfinder Moderately Conservative – Managed Volatility – Asset Allocation
Ivy Funds VIP Money Market | 24.2% | |||
Ivy Funds VIP Limited-Term Bond | 15.5% | |||
Ivy Funds VIP Growth | 13.6% | |||
Ivy Funds VIP Dividend Opportunities | 12.3% | |||
Ivy Funds VIP Global Growth | 6.9% | |||
Ivy Funds VIP International Core Equity | 6.6% | |||
Ivy Funds VIP Small Cap Growth | 6.2% | |||
Ivy Funds VIP Value | 4.9% | |||
Ivy Funds VIP Mid Cap Growth | 3.8% | |||
Ivy Funds VIP Small Cap Value | 2.9% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.1% |
The percentages of investments in the underlying funds may not currently be within the target allocation ranges disclosed in the Portfolios’ prospectus due to market movements; these percentages are expected to change over time, and deviation from the target allocation ranges due to market movements is permitted by the prospectus.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2015 | SEMIANNUAL REPORT | 7 |
Table of Contents
SCHEDULE OF INVESTMENTS
Pathfinder Portfolios (in thousands) | JUNE 30, 2015 (UNAUDITED) |
Pathfinder Aggressive
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy Funds VIP Global Growth | 1,681 | $ | 14,807 | |||||
Ivy Funds VIP Growth | 1,561 | 17,520 | ||||||
Ivy Funds VIP International Core Equity | 619 | 10,409 | ||||||
Ivy Funds VIP Limited-Term Bond | 1,993 | 9,693 | ||||||
Ivy Funds VIP Mid Cap Growth | 840 | 8,677 | ||||||
Ivy Funds VIP Small Cap Growth | 776 | 9,306 | ||||||
Ivy Funds VIP Small Cap Value | 519 | 8,661 | ||||||
Ivy Funds VIP Value | 1,381 | 8,814 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 99.3% |
| $ | 87,887 | |||||
(Cost: $88,798) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.5% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (A) | $ | 466 | 466 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.5% |
| $ | 466 | |||||
(Cost: $466) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.8% |
| $ | 88,353 | |||||
(Cost: $89,264) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2% |
| 216 | ||||||
NET ASSETS – 100.0% |
| $ | 88,569 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Affiliated Mutual Funds | $ | 87,887 | $ | — | $ | — | ||||||
Short-Term Securities | — | 466 | — | |||||||||
|
| |||||||||||
Total | $ | 87,887 | $ | 466 | $ | — | ||||||
|
|
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
Pathfinder Conservative
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy Funds VIP Dividend Opportunities | 1,931 | $ | 15,243 | |||||
Ivy Funds VIP Global Growth | 300 | 2,645 | ||||||
Ivy Funds VIP Growth | 1,389 | 15,591 | ||||||
Ivy Funds VIP International Core Equity | 347 | 5,842 | ||||||
Ivy Funds VIP Limited-Term Bond | 4,438 | 21,582 | ||||||
Ivy Funds VIP Mid Cap Growth | 345 | 3,564 | ||||||
Ivy Funds VIP Money Market | 41,973 | 41,973 | ||||||
Ivy Funds VIP Small Cap Growth | 531 | 6,373 | ||||||
Ivy Funds VIP Small Cap Value | 142 | 2,371 | ||||||
Ivy Funds VIP Value | 757 | 4,828 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 99.5% |
| $ | 120,012 | |||||
(Cost: $120,741) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.5% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (A) | $ | 545 | 545 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.5% |
| $ | 545 | |||||
(Cost: $545) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 120,557 | |||||
(Cost: $121,286) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0% |
| 11 | ||||||
NET ASSETS – 100.0% |
| $ | 120,568 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Affiliated Mutual Funds | $ | 120,012 | $ | — | $ | — | ||||||
Short-Term Securities | — | 545 | — | |||||||||
|
| |||||||||||
Total | $ | 120,012 | $ | 545 | $ | — | ||||||
|
|
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
Pathfinder Moderate
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy Funds VIP Dividend Opportunities | 17,369 | $ | 137,112 | |||||
Ivy Funds VIP Global Growth | 12,745 | 112,238 | ||||||
Ivy Funds VIP Growth | 11,664 | 130,898 | ||||||
Ivy Funds VIP International Core Equity | 3,814 | 64,142 | ||||||
Ivy Funds VIP Limited-Term Bond | 21,058 | 102,400 | ||||||
Ivy Funds VIP Mid Cap Growth | 3,587 | 37,049 | ||||||
Ivy Funds VIP Money Market | 186,970 | 186,970 | ||||||
Ivy Funds VIP Small Cap Growth | 5,797 | 69,548 | ||||||
Ivy Funds VIP Small Cap Value | 2,770 | 46,212 | ||||||
Ivy Funds VIP Value | 7,373 | 47,048 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 99.7% |
| $ | 933,617 | |||||
(Cost: $918,872) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.0% | ||||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (A) | $ | 305 | 305 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.0% | $ | 305 | ||||||
(Cost: $305) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.7% |
| $ | 933,922 | |||||
(Cost: $919,177) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.3% |
| 2,656 | ||||||
NET ASSETS – 100.0% |
| $ | 936,578 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
8 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Pathfinder Portfolios (in thousands) JUNE 30, 2015 (UNAUDITED) |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Affiliated Mutual Funds | $ | 933,617 | $ | — | $ | — | ||||||
Short-Term Securities | — | 305 | — | |||||||||
|
| |||||||||||
Total | $ | 933,617 | $ | 305 | $ | — | ||||||
|
|
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
Pathfinder Moderately Aggressive
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy Funds VIP Dividend Opportunities | 20,715 | $ | 163,521 | |||||
Ivy Funds VIP Global Growth | 15,200 | 133,856 | ||||||
Ivy Funds VIP Growth | 13,910 | 156,110 | ||||||
Ivy Funds VIP International Core Equity | 7,824 | 131,593 | ||||||
Ivy Funds VIP Limited-Term Bond | 25,210 | 122,592 | ||||||
Ivy Funds VIP Mid Cap Growth | 5,347 | 55,232 | ||||||
Ivy Funds VIP Money Market | 111,491 | 111,491 | ||||||
Ivy Funds VIP Small Cap Growth | 7,901 | 94,790 | ||||||
Ivy Funds VIP Small Cap Value | 5,286 | 88,182 | ||||||
Ivy Funds VIP Value | 8,793 | 56,108 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 100.1% |
| $ | 1,113,475 | |||||
(Cost: $1,090,428) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.0% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (A) | $ | 312 | 312 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.0% |
| $ | 312 | |||||
(Cost: $312) | ||||||||
TOTAL INVESTMENT |
| $ | 1,113,787 | |||||
(Cost: $1,090,740) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.1)% |
| (710 | ) | |||||
NET ASSETS – 100.0% |
| $ | 1,113,077 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Affiliated Mutual Funds | $ | 1,113,475 | $ | — | $ | — | ||||||
Short-Term Securities | — | 312 | — | |||||||||
|
| |||||||||||
Total | $ | 1,113,475 | $ | 312 | $ | — | ||||||
|
|
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
2015 | SEMIANNUAL REPORT | 9 |
Table of Contents
SCHEDULE OF INVESTMENTS
Pathfinder Portfolios (in thousands) | JUNE 30, 2015 (UNAUDITED) |
Pathfinder Moderately Conservative
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy Funds VIP Dividend Opportunities | 4,643 | $ | 36,651 | |||||
Ivy Funds VIP Global Growth | 2,326 | 20,487 | ||||||
Ivy Funds VIP Growth | 3,597 | 40,373 | ||||||
Ivy Funds VIP International Core Equity | 1,173 | 19,736 | ||||||
Ivy Funds VIP Limited-Term Bond | 9,492 | 46,156 | ||||||
Ivy Funds VIP Mid Cap Growth | 1,106 | 11,427 | ||||||
Ivy Funds VIP Money Market | 72,081 | 72,081 | ||||||
Ivy Funds VIP Small Cap Growth | 1,533 | 18,391 | ||||||
Ivy Funds VIP Small Cap Value | 513 | 8,551 | ||||||
Ivy Funds VIP Value | 2,274 | 14,512 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 100.0% |
| $ | 288,365 | |||||
(Cost: $287,255) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.2% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (A) | $ | 578 | 578 | |||||
|
| |||||||
TOTAL SHORT-TERM |
| $ | 578 | |||||
(Cost: $578) | ||||||||
TOTAL INVESTMENT |
| $ | 288,943 | |||||
(Cost: $287,833) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.2)% |
| (634 | ) | |||||
NET ASSETS – 100.0% |
| $ | 288,309 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Affiliated Mutual Funds | $ | 288,365 | $ | — | $ | — | ||||||
Short-Term Securities | — | 578 | — | |||||||||
|
| |||||||||||
Total | $ | 288,365 | $ | 578 | $ | — | ||||||
|
|
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
Pathfinder Moderate – Managed Volatility
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy Funds VIP Dividend Opportunities | 5,395 | $ | 42,584 | |||||
Ivy Funds VIP Global Growth | 3,960 | 34,871 | ||||||
Ivy Funds VIP Growth | 3,621 | 40,639 | ||||||
Ivy Funds VIP International Core Equity | 1,184 | 19,916 | ||||||
Ivy Funds VIP Limited-Term Bond | 6,537 | 31,786 | ||||||
Ivy Funds VIP Mid Cap Growth | 1,114 | 11,503 | ||||||
Ivy Funds VIP Money Market | 58,115 | 58,115 | ||||||
Ivy Funds VIP Small Cap Growth | 1,790 | 21,470 | ||||||
Ivy Funds VIP Small Cap Value | 862 | 14,379 | ||||||
Ivy Funds VIP Value | 2,285 | 14,578 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 96.5% |
| $ | 289,841 | |||||
(Cost: $305,465) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 3.4% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (A) | $ | 10,075 | 10,075 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 3.4% |
| $ | 10,075 | |||||
(Cost: $10,075) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.9% |
| $ | 299,916 | |||||
(Cost: $315,540) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES(B) – 0.1% |
| 210 | ||||||
NET ASSETS – 100.0% |
| $ | 300,126 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
(B) | Cash of $304 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2015 (contracts unrounded):
Description | Type | Expiration Date | Number of Contracts | Value | Unrea- lized ciation | |||||||||||||
E-mini S&P 500 Index | Short | 9-18-15 | 6 | $ | (617 | ) | $ | 7 | ||||||||||
S&P 500 Index | Short | 9-18-15 | 12 | (6,163 | ) | 35 | ||||||||||||
|
| |||||||||||||||||
$ | (6,780 | ) | $ | 42 | ||||||||||||||
|
|
10 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Pathfinder Portfolios (in thousands) | JUNE 30, 2015 (UNAUDITED) |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Affiliated Mutual Funds | $ | 289,841 | $ | — | $ | — | ||||||
Short-Term Securities | — | 10,075 | — | |||||||||
|
| |||||||||||
Total | $ | 289,841 | $ | 10,075 | $ | — | ||||||
|
| |||||||||||
Futures Contracts | $ | 42 | $ | — | $ | — | ||||||
|
|
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
Pathfinder Moderately Aggressive – Managed Volatility
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy Funds VIP Dividend Opportunities | 1,015 | $ | 8,013 | |||||
Ivy Funds VIP Global Growth | 745 | 6,564 | ||||||
Ivy Funds VIP Growth | 682 | 7,652 | ||||||
Ivy Funds VIP International Core Equity | 383 | �� | 6,447 | |||||
Ivy Funds VIP Limited-Term Bond | 1,235 | 6,005 | ||||||
Ivy Funds VIP Mid Cap Growth | 262 | 2,706 | ||||||
Ivy Funds VIP Money Market | 5,465 | 5,465 | ||||||
Ivy Funds VIP Small Cap Growth | 386 | 4,629 | ||||||
Ivy Funds VIP Small Cap Value | 260 | 4,329 | ||||||
Ivy Funds VIP Value | 430 | 2,746 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 96.6% |
| $ | 54,556 | |||||
(Cost: $58,269) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 3.1% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (A) | $ | 1,756 | 1,756 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 3.1% |
| $ | 1,756 | |||||
(Cost: $1,756) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.7% |
| $ | 56,312 | |||||
(Cost: $60,025) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES(B) – 0.3% |
| 163 | ||||||
NET ASSETS – 100.0% |
| $ | 56,475 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
(B) | Cash of $60 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2015 (contracts unrounded):
Description | Type | Expiration Date | Number of Contracts | Value | Unrea- lized ciation | |||||||||||||
E-mini S&P 500 Index | Short | 9-18-15 | 13 | $ | (1,335 | ) | $ | 15 |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Affiliated Mutual Funds | $ | 54,556 | $ | — | $ | — | ||||||
Short-Term Securities | — | 1,756 | — | |||||||||
|
| |||||||||||
Total | $ | 54,556 | $ | 1,756 | $ | — | ||||||
|
| |||||||||||
Futures Contracts | $ | 15 | $ | — | $ | — | ||||||
|
|
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
2015 | SEMIANNUAL REPORT | 11 |
Table of Contents
SCHEDULE OF INVESTMENTS
Pathfinder Portfolios (in thousands) | JUNE 30, 2015 (UNAUDITED) |
Pathfinder Moderately Conservative – Managed Volatility
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy Funds VIP Dividend Opportunities | 632 | $ | 4,985 | |||||
Ivy Funds VIP Global Growth | 317 | 2,787 | ||||||
Ivy Funds VIP Growth | 489 | 5,490 | ||||||
Ivy Funds VIP International Core Equity | 160 | 2,684 | ||||||
Ivy Funds VIP Limited-Term Bond | 1,291 | 6,277 | ||||||
Ivy Funds VIP Mid Cap Growth | 150 | 1,554 | ||||||
Ivy Funds VIP Money Market | 9,816 | 9,816 | ||||||
Ivy Funds VIP Small Cap Growth | 207 | 2,487 | ||||||
Ivy Funds VIP Small Cap Value | 70 | 1,166 | ||||||
Ivy Funds VIP Value | 309 | 1,970 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 96.9% |
| $ | 39,216 | |||||
(Cost: $41,162) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 3.2% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (A) | $ | 1,286 | 1,286 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 3.2% | $ | 1,286 | ||||||
(Cost: $1,286) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.1% | $ | 40,502 | ||||||
(Cost: $42,448) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS(B) – (0.1)% |
| (21 | ) | |||||
NET ASSETS – 100.0% |
| $ | 40,481 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
(B) | Cash of $55 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2015 (contracts unrounded):
Description | Type | Expiration Date | Number of Contracts | Value | Unrea- lized ciation | |||||||||||||
E-mini S&P 500 Index | Short | 9-18-15 | 12 | $ | (1,233 | ) | $ | 14 |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Affiliated Mutual Funds | $ | 39,216 | $ | — | $ | — | ||||||
Short-Term Securities | — | 1,286 | — | |||||||||
|
| |||||||||||
Total | $ | 39,216 | $ | 1,286 | $ | — | ||||||
|
| |||||||||||
Futures Contracts | $ | 14 | $ | — | $ | — | ||||||
|
|
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
See Accompanying Notes to Financial Statements.
12 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Asset Strategy | ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 79.0% | |||
Information Technology | 18.8% | |||
Consumer Discretionary | 17.4% | |||
Financials | 11.6% | |||
Consumer Staples | 9.2% | |||
Health Care | 8.0% | |||
Energy | 6.7% | |||
Industrials | 5.3% | |||
Materials | 2.0% | |||
Bullion (Gold) | 3.1% | |||
Purchased Options | 0.0% | |||
Bonds | 4.1% | |||
Corporate Debt Securities | 4.1% | |||
United States Government and Government Agency Obligations | 0.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 13.8% |
Country Weightings
North America | 52.1% | |||
United States | 52.1% | |||
Pacific Basin | 15.5% | |||
China | 4.3% | |||
Other Pacific Basin | 11.2% | |||
Europe | 15.5% | |||
United Kingdom | 9.3% | |||
Other Europe | 6.2% | |||
Bullion (Gold) | 3.1% | |||
Cash and Other Assets (Net of Liabilities), Cash Equivalents+ and Purchased Options | 13.8% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
AIA Group Ltd. | Hong Kong | Financials | Life & Health Insurance | |||
Delta Topco Ltd. | United Kingdom | Consumer Discretionary | Movies & Entertainment | |||
Galaxy Entertainment Group | Macau | Consumer Discretionary | Casinos & Gaming | |||
Microsoft Corp. | United States | Information Technology | Systems Software | |||
Citigroup, Inc. | United States | Financials | Other Diversified Financial Services | |||
Cognizant Technology Solutions Corp., Class A | United States | Information Technology | IT Consulting & Other Services | |||
Phillips 66 | United States | Energy | Oil & Gas Refining & Marketing | |||
Tencent Holdings Ltd. | China | Information Technology | Internet Software & Services | |||
SABMiller plc | United Kingdom | Consumer Staples | Brewers | |||
Caterpillar, Inc. | United States | Industrials | Construction Machinery & Heavy Trucks |
See your advisor for more information on the Portfolio’s most recent published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2015 | SEMIANNUAL REPORT | 13 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS
Asset Strategy (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 1.0% |
| |||||||
Limited Brands, Inc. | 182 | $ | 15,594 | |||||
|
| |||||||
Auto Parts & Equipment – 2.4% |
| |||||||
Continental AG (A) | 82 | 19,333 | ||||||
Delphi Automotive plc | 199 | 16,924 | ||||||
|
| |||||||
36,257 | ||||||||
|
| |||||||
Automobile Manufacturers – 1.6% |
| |||||||
Toyota Motor Corp. (A) | 374 | 25,048 | ||||||
|
| |||||||
Broadcasting – 1.1% |
| |||||||
CBS Corp., Class B | 298 | 16,531 | ||||||
|
| |||||||
Casinos & Gaming – 2.3% |
| |||||||
Galaxy Entertainment Group (A) | 8,871 | 35,363 | ||||||
|
| |||||||
Home Improvement Retail – 1.5% |
| |||||||
Home Depot, Inc. (The) (B) | 208 | 23,126 | ||||||
|
| |||||||
Leisure Facilities – 0.0% |
| |||||||
Circuit of the Americas LLC, Class B (C) | — | * | — | |||||
|
| |||||||
Leisure Products – 2.2% |
| |||||||
Media Group Holdings LLC, Series H (C)(D)(E)(F) | 32 | 14,638 | ||||||
Media Group Holdings LLC, Series I (C)(D)(E)(F) | 19 | 7,482 | ||||||
Media Group Holdings LLC, Series T (C)(D)(E)(F) | 4 | 10,843 | ||||||
|
| |||||||
32,963 | ||||||||
|
| |||||||
Movies & Entertainment – 4.2% |
| |||||||
Delta Topco Ltd. (D) | 56,728 | 37,622 | ||||||
Legend Pictures LLC (C)(D)(E) | 10 | 17,239 | ||||||
Twenty-First Century Fox, Inc., Class A (B) | 256 | 8,331 | ||||||
|
| |||||||
63,192 | ||||||||
|
| |||||||
Restaurants – 1.1% |
| |||||||
McDonald’s Corp. | 169 | 16,019 | ||||||
|
| |||||||
Total Consumer |
| 264,093 | ||||||
Consumer Staples |
| |||||||
Brewers – 2.9% |
| |||||||
InBev N.V. (A) | 133 | 15,975 | ||||||
SABMiller plc (A) | 541 | 28,065 | ||||||
|
| |||||||
44,040 | ||||||||
|
| |||||||
Packaged Foods & Meats – 4.6% |
| |||||||
Kraft Foods Group, Inc. | 48 | 4,095 | ||||||
Mead Johnson Nutrition Co. (G) | 270 | 24,332 | ||||||
Mondelez International, Inc., Class A (G) | 465 | 19,130 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Packaged Foods & Meats (Continued) |
| |||||||
Unilever N.V., Certicaaten Van Aandelen (A) | 526 | $ | 21,885 | |||||
|
| |||||||
69,442 | ||||||||
|
| |||||||
Tobacco – 1.7% |
| |||||||
ITC Ltd. (A) | 771 | 3,813 | ||||||
Philip Morris International, Inc. | 274 | 21,951 | ||||||
|
| |||||||
25,764 | ||||||||
|
| |||||||
Total Consumer Staples – 9.2% |
| 139,246 | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 0.2% |
| |||||||
Schlumberger Ltd. | 28 | 2,370 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 3.0% |
| |||||||
Anadarko Petroleum Corp. | 24 | 1,858 | ||||||
Apache Corp. | 105 | 6,028 | ||||||
ConocoPhillips | 418 | 25,639 | ||||||
Noble Energy, Inc. | 274 | 11,711 | ||||||
|
| |||||||
45,236 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 2.0% |
| |||||||
Phillips 66 | 376 | 30,323 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 1.5% |
| |||||||
Plains GP Holdings L.P., Class A | 911 | 23,535 | ||||||
|
| |||||||
Total Energy – 6.7% |
| 101,464 | ||||||
Financials |
| |||||||
Diversified Banks – 4.6% |
| |||||||
Axis Bank Ltd. (A)(C) | 1,419 | 12,459 | ||||||
Banca Intesa S.p.A. (A) | 4,657 | 16,885 | ||||||
Kabushiki Kaisha Mitsubishi Tokyo Financial Group (A) | 582 | 4,185 | ||||||
Standard Chartered plc (A) | 584 | 9,355 | ||||||
State Bank of India (A) | 1,434 | 5,917 | ||||||
Wells Fargo & Co. | 360 | 20,224 | ||||||
|
| |||||||
69,025 | ||||||||
|
| |||||||
Life & Health Insurance – 3.1% |
| |||||||
AIA Group Ltd. (A) | 7,202 | 47,154 | ||||||
|
| |||||||
Other Diversified Financial Services – 3.7% |
| |||||||
Citigroup, Inc. | 585 | 32,299 | ||||||
JPMorgan Chase & Co. | 345 | 23,384 | ||||||
|
| |||||||
55,683 | ||||||||
|
| |||||||
Total Financials – 11.4% |
| 171,862 | ||||||
Health Care |
| |||||||
Biotechnology – 4.3% |
| |||||||
Amgen, Inc. | 140 | 21,523 | ||||||
Biogen, Inc. (B)(C) | 60 | 24,317 | ||||||
Gilead Sciences, Inc. | 169 | 19,740 | ||||||
|
| |||||||
65,580 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Managed Health Care – 1.2% |
| |||||||
Humana, Inc. (G) | 93 | $ | 17,847 | |||||
|
| |||||||
Pharmaceuticals – 2.5% |
| |||||||
Allergen plc (C) | 80 | 24,249 | ||||||
Bristol-Myers Squibb Co. | 202 | 13,468 | ||||||
|
| |||||||
37,717 | ||||||||
|
| |||||||
Total Health Care – 8.0% |
| 121,144 | ||||||
Industrials |
| |||||||
Construction & Engineering – 0.6% |
| |||||||
Larsen & Toubro Ltd. (A) | 326 | 9,121 | ||||||
|
| |||||||
Construction Machinery & Heavy |
| |||||||
AB Volvo, Class B (A) | 1,218 | 15,123 | ||||||
Caterpillar, Inc. | 312 | 26,421 | ||||||
|
| |||||||
41,544 | ||||||||
|
| |||||||
Industrial Machinery – 1.9% |
| |||||||
FANUC Ltd. (A) | 67 | 13,648 | ||||||
Ingersoll-Rand plc | 233 | 15,675 | ||||||
|
| |||||||
29,323 | ||||||||
|
| |||||||
Total Industrials – 5.3% | 79,988 | |||||||
Information Technology |
| |||||||
Application Software – 3.3% |
| |||||||
Adobe Systems, Inc. (C) | 308 | 24,927 | ||||||
Intuit, Inc. (H) | 246 | 24,759 | ||||||
|
| |||||||
49,686 | ||||||||
|
| |||||||
Data Processing & Outsourced |
| |||||||
Alliance Data Systems Corp. (C)(G) | 59 | 17,283 | ||||||
Visa, Inc., Class A | 247 | 16,613 | ||||||
|
| |||||||
33,896 | ||||||||
|
| |||||||
Internet Software & Services – 4.8% |
| |||||||
Alibaba Group Holding Ltd. ADR (C) | 183 | 15,064 | ||||||
Baidu.com, Inc. ADR (C) | 109 | 21,750 | ||||||
Google, Inc., Class A (C) | 13 | 7,236 | ||||||
Tencent Holdings Ltd. (A) | 1,416 | 28,252 | ||||||
|
| |||||||
72,302 | ||||||||
|
| |||||||
IT Consulting & Other Services – 2.1% |
| |||||||
Cognizant Technology Solutions Corp., Class A (C)(H) | 513 | 31,345 | ||||||
|
| |||||||
Semiconductor Equipment – 1.4% |
| |||||||
Applied Materials, Inc. | 805 | 15,480 | ||||||
ASML Holding N.V., NY Registry Shares | 56 | 5,842 | ||||||
|
| |||||||
21,322 | ||||||||
|
| |||||||
Semiconductors – 2.8% |
| |||||||
Micron Technology, Inc. (C) | 567 | 10,677 |
14 | SEMIANNUAL REPORT | 2015 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS
Asset Strategy (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Semiconductors (Continued) |
| |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. (A) | 2,794 | $ | 12,723 | |||||
Texas Instruments, Inc. | 360 | 18,518 | ||||||
|
| |||||||
41,918 | ||||||||
|
| |||||||
Systems Software – 2.2% |
| |||||||
Microsoft Corp. (B) | 768 | 33,916 | ||||||
|
| |||||||
Total Information |
| 284,385 | ||||||
Materials |
| |||||||
Diversified Chemicals – 1.1% |
| |||||||
PPG Industries, Inc. | 137 | 15,739 | ||||||
|
| |||||||
Diversified Metals & Mining – 0.9% |
| |||||||
Freeport-McMoRan Copper & Gold, Inc., Class B | 367 | 6,832 | ||||||
Rio Tinto plc (A) | 177 | 7,278 | ||||||
|
| |||||||
14,110 | ||||||||
|
| |||||||
Total Materials – 2.0% |
| 29,849 | ||||||
TOTAL COMMON |
| $ | 1,192,031 | |||||
(Cost: $1,137,077) | ||||||||
PREFERRED STOCKS | ||||||||
Financials |
| |||||||
Reinsurance – 0.2% |
| |||||||
WMI Holdings Corp., Class B, 3.000% | 2 | 2,386 | ||||||
|
| |||||||
Total Financials – 0.2% |
| 2,386 | ||||||
TOTAL PREFERRED STOCKS – 0.2% |
| $ | 2,386 | |||||
(Cost: $2,000) | ||||||||
PURCHASED OPTIONS | Number of Contracts (Unrounded) | |||||||
Anadarko Petroleum Corp., | ||||||||
Call $100.00, Expires | 477 | 4 |
PURCHASED OPTIONS (Continued) | Number of Contracts (Unrounded) | Value | ||||||
Apache Corp., | ||||||||
Call $70.00, Expires | 271 | $ | — | * | ||||
Dow Chemical Co. (The), | ||||||||
Call $55.00, Expires | 963 | 9 | ||||||
EOG Resources, Inc.: | ||||||||
Call $100.00, Expires | 226 | 3 | ||||||
Call $105.00, Expires 10-16-15, OTC (Ctrpty: Citibank N.A.) | 949 | 55 | ||||||
Exxon Mobil Corp., | ||||||||
Call $90.00, Expires | 236 | — | * | |||||
Financial Select Sector SPDR Fund: | ||||||||
Call $26.00, Expires | 3,604 | 59 | ||||||
Call $26.00, Expires | 5,976 | 99 | ||||||
Google, Inc., Class A: | ||||||||
Call $575.00, Expires | 162 | 25 | ||||||
Call $700.00, Expires | 370 | 6 | ||||||
Halliburton Co.: | ||||||||
Call $50.00, Expires | 1,804 | 4 | ||||||
Call $52.50, Expires | 2,144 | 3 | ||||||
Micron Technology, Inc.: | ||||||||
Call $32.00, Expires | 5,660 | 6 | ||||||
Call $32.00, Expires | 2,036 | 2 | ||||||
Call $31.00, Expires | 562 | 3 |
PURCHASED OPTIONS (Continued) | Number of Contracts (Unrounded) | Value | ||||||
Microsoft Corp.: | ||||||||
Call $49.00, Expires | 1,538 | $ | 3 | |||||
Call $50.00, Expires | 3,845 | 306 | ||||||
Noble Energy, Inc.: | ||||||||
Call $55.00, Expires | 358 | 2 | ||||||
Call $57.50, Expires | 339 | 1 | ||||||
Schlumberger Ltd., | ||||||||
Call $97.50, Expires | 543 | 9 | ||||||
|
| |||||||
TOTAL PURCHASED |
| $ | 599 | |||||
(Cost: $2,965) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Consumer Discretionary |
| |||||||
Automobile Manufacturers – 0.4% |
| |||||||
Aston Martin Holdings Ltd., | ||||||||
10.250%, | $ | 6,845 | 6,739 | |||||
|
| |||||||
Leisure Facilities – 0.2% |
| |||||||
Circuit of the Americas LLC, Series C, | ||||||||
0.000%, | 3,642 | 2,298 | ||||||
|
| |||||||
Movies & Entertainment – 3.5% |
| |||||||
Delta Topco Ltd., | ||||||||
10.000%, | 52,330 | 52,330 | ||||||
|
| |||||||
Total Consumer |
| 61,367 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 4.1% |
| $ | 61,367 | |||||
(Cost: $62,069) |
2015 | SEMIANNUAL REPORT | 15 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS
Asset Strategy (in thousands) | JUNE 30, 2015 (UNAUDITED) |
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | Principal | Value | ||||||
Mortgage-Backed Obligations – 0.0% |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO: | ||||||||
5.500%, 3-15-23 (L) | $ | 63 | $ | 6 | ||||
5.500%, 10-15-25 (L) | 257 | 38 | ||||||
6.000%, 11-15-35 (L) | 154 | 32 | ||||||
Federal National Mortgage Association Agency REMIC/CMO: | ||||||||
5.500%, 6-25-23 (L) | 107 | 14 | ||||||
5.500%, 8-25-33 (L) | 180 | 35 | ||||||
5.500%, 4-25-34 (L) | 278 | 61 | ||||||
5.500%, 11-25-36 (L) | 362 | 82 | ||||||
Government National Mortgage Association Agency REMIC/CMO: | ||||||||
5.500%, 3-20-32 (L) | 36 | — | * | |||||
5.000%, 7-20-33 (L) | 4 | — | * | |||||
5.500%, 11-20-33 (L) | 63 | 1 | ||||||
5.500%, 7-20-35 (L) | 135 | 26 | ||||||
|
| |||||||
295 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 0.0% |
| $ | 295 | |||||
(Cost: $287) | ||||||||
BULLION – 3.1% | Troy Ounces | |||||||
Gold | 39 | 46,237 | ||||||
|
| |||||||
(Cost: $48,038) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (M) – 12.5% |
| |||||||
Anheuser-Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB), | ||||||||
0.110%, 7-23-15 | $ | 10,000 | 9,999 | |||||
Bemis Co., Inc., | ||||||||
0.350%, 7-8-15 | 5,000 | 5,000 | ||||||
BMW U.S. Capital LLC (GTD by BMW AG), | ||||||||
0.110%, 7-8-15 | 10,000 | 10,000 | ||||||
Campbell Soup Co., | ||||||||
0.230%, 8-26-15 | 3,000 | 2,999 | ||||||
Danaher Corp., | ||||||||
0.170%, 7-10-15 | 21,893 | 21,892 | ||||||
Ecolab, Inc., | ||||||||
0.360%, 7-1-15 | 10,000 | 10,000 | ||||||
Emerson Electric Co., | ||||||||
0.130%, 7-22-15 | 7,000 | 6,999 | ||||||
Illinois Tool Works, Inc., | ||||||||
0.090%, 7-6-15 | 5,000 | 5,000 | ||||||
John Deere Canada ULC (GTD by Deere & Co.), | ||||||||
0.120%, 7-13-15 | 4,000 | 4,000 | ||||||
John Deere Capital Corp., | ||||||||
0.130%, 8-11-15 | 7,000 | 6,999 |
SHORT-TERM (Continued) | Principal | Value | ||||||
Commercial Paper (M) (Continued) |
| |||||||
Kellogg Co., | ||||||||
0.400%, 8-13-15 | $ | 5,000 | $ | 4,998 | ||||
Kroger Co. (The), | ||||||||
0.300%, 7-1-15 | 4,146 | 4,146 | ||||||
L Air Liquide S.A., | ||||||||
0.170%, 7-16-15 | 2,500 | 2,500 | ||||||
Mondelez International, Inc., | ||||||||
0.440%, 7-6-15 | 5,000 | 5,000 | ||||||
National Oilwell Varco, Inc.: | ||||||||
0.190%, 7-16-15 | 3,000 | 3,000 | ||||||
0.140%, 7-22-15 | 10,000 | 9,999 | ||||||
NBCUniversal Enterprise, Inc., | ||||||||
0.440%, 7-13-15 | 10,000 | 9,998 | ||||||
Novartis Finance Corp. (GTD by Novartis AG), | ||||||||
0.080%, 7-7-15 | 5,000 | 5,000 | ||||||
Sherwin-Williams Co. (The): | ||||||||
0.330%, 7-8-15 | 12,400 | 12,399 | ||||||
0.250%, 7-15-15 | 7,600 | 7,599 | ||||||
Toronto-Dominion Holdings USA, Inc. (GTD by Toronto Dominion Bank): | ||||||||
0.110%, 7-16-15 | 10,000 | 9,999 | ||||||
0.150%, 7-20-15 | 10,000 | 9,999 | ||||||
Virginia Electric and Power Co.: | ||||||||
0.380%, 7-8-15 | 4,800 | 4,800 | ||||||
0.370%, 7-15-15 | 10,000 | 9,998 | ||||||
Wisconsin Gas LLC, | ||||||||
0.140%, 7-14-15 | 8,000 | 8,000 | ||||||
|
| |||||||
190,323 | ||||||||
|
| |||||||
Master Note – 0.2% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (N) | 3,068 | 3,068 | ||||||
|
| |||||||
Municipal Obligations – 1.5% |
| |||||||
MS Business Fin Corp., Gulf Opp Zone Indl Dev Rev Bonds (Chevron USA, Inc. Proj), Ser 2007B (GTD by Chevron Corp.), | ||||||||
0.020%, 7-1-15 (N) | 12,200 | 12,200 | ||||||
MS Business Fin Corp., Gulf Opp Zone Indl Dev Rev Bonds (Chevron USA, Inc. Proj), Ser 2007D (GTD by Chevron Corp.), | ||||||||
0.020%, 7-1-15 (N) | 10,000 | 10,000 | ||||||
|
| |||||||
22,200 | ||||||||
|
|
SHORT-TERM (Continued) | Principal | Value | ||||||
United States Government Agency Obligations – 0.2% |
| |||||||
Overseas Private Investment Corp. | ||||||||
0.110%, 7-7-15 (N) | $ | 1,000 | $ | 1,000 | ||||
0.110%, 7-29-15 (N) | 2,000 | 2,000 | ||||||
|
| |||||||
3,000 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 14.4% |
| $ | 218,591 | |||||
(Cost: $218,591) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.6% |
| $ | 1,521,506 | |||||
(Cost: $1,471,027) | ||||||||
LIABILITIES, NET OF CASH AND OTHER |
| (9,237 | ) | |||||
NET ASSETS – 100.0% |
| $ | 1,512,269 |
16 | SEMIANNUAL REPORT | 2015 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS
Asset Strategy (in thousands) | JUNE 30, 2015 (UNAUDITED) |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | Listed on an exchange outside the United States. |
(B) | All or a portion of securities with an aggregate value of $5,932 have been pledged as collateral on open futures contracts. |
(C) | No dividends were paid during the preceding 12 months. |
(D) | Restricted securities. At June 30, 2015, the Portfolio owned the following restricted securities: |
Security | Acquisition Date(s) | Shares | Cost | Market Value | ||||||||||||||
Delta Topco Ltd. | 1-23-12 to 6-15-12 | 56,728 | $ | 29,297 | $ | 37,622 | ||||||||||||
Legend Pictures LLC | 12-18-12 | 10 | 18,161 | 17,239 | ||||||||||||||
Media Group Holdings LLC, Series H | 8-29-13 to 10-31-13 | 32 | 22,374 | 14,638 | ||||||||||||||
Media Group Holdings LLC, Series I | 4-23-13 to 11-8-13 | 19 | 10,478 | 7,482 | ||||||||||||||
Media Group Holdings LLC, Series T | 7-2-13 to 1-23-15 | 4 | 8,613 | 10,843 | ||||||||||||||
Principal | ||||||||||||||||||
Delta Topco Ltd., 10.000%, 11-24-60 | 4-1-12 to 1-1-15 | $ | 52,330 | 52,820 | 52,330 | |||||||||||||
|
| |||||||||||||||||
$ | 141,743 | $ | 140,154 | |||||||||||||||
|
|
The | total value of these securities represented 9.3% of net assets at June 30, 2015. |
(E) | Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is owned by the Portfolio and consolidated as described in Note 6 of the Notes to Financial Statements. |
(F) | Deemed to be an affiliate due to the Fund owning at least 5% of the voting securities. |
(G) | All or a portion of securities with an aggregate value of $5,328 are held in collateralized accounts for OTC derivatives collateral as governed by International Swaps and Derivatives Association, Inc. Master Agreements. |
(H) | All or a portion of securities with an aggregate value of $28,312 are held in collateralized accounts to cover potential obligations with respect to outstanding written options. |
(I) | Payment-in-kind bonds. |
(J) | Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2015 the total value of these securities amounted to $6,739 or 0.4% of net assets. |
(K) | Zero coupon bond. |
(L) | Interest-only security. Amount shown as principal represents notional amount for computation of interest. |
(M) | Rate shown is the yield to maturity at June 30, 2015. |
(N) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following forward foreign currency contracts were outstanding at June 30, 2015:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||
Euro | 55,152 | U.S. Dollar | 62,014 | 7-14-15 | Deutsche Bank AG | $ | 517 | $ | — | |||||||||||||||||
Japanese Yen | 5,322,658 | U.S. Dollar | 42,812 | 7-14-15 | Morgan Stanley International | — | 686 | |||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 517 | $ | 686 | |||||||||||||||||||||||
|
|
The following futures contracts were outstanding at June 30, 2015 (contracts unrounded):
Description | Type | Expiration Date | Number of Contracts | Value | Unrealized Depreciation | |||||||||||||||||
German Stock Index | Long | 9-18-15 | 199 | $ | 61,019 | $ | (714 | ) | ||||||||||||||
|
|
The following written options were outstanding at June 30, 2015 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Expiration Month | Exercise Price | Premium Received | Value | |||||||||||||||||||||
Anadarko Petroleum Corp. | Morgan Stanley & Co., Inc. | Put | 477 | August 2015 | $ | 85.00 | $ | 145 | $ | (352 | ) | |||||||||||||||||
Morgan Stanley & Co., Inc. | Call | 477 | August 2015 | 115.00 | 15 | (2 | ) | |||||||||||||||||||||
Apache Corp. | UBS AG | Put | 271 | July 2015 | 57.50 | 93 | (37 | ) | ||||||||||||||||||||
UBS AG | Call | 271 | July 2015 | 90.00 | 8 | — | * | |||||||||||||||||||||
EOG Resources, Inc. | Morgan Stanley & Co., Inc. | Put | 226 | July 2015 | 82.50 | 102 | (9 | ) | ||||||||||||||||||||
Morgan Stanley & Co., Inc. | Call | 226 | July 2015 | 120.00 | 21 | (1 | ) | |||||||||||||||||||||
Citibank N.A. | Put | 477 | October 2015 | 87.50 | 167 | (242 | ) | |||||||||||||||||||||
Citibank N.A. | Put | 472 | October 2015 | 90.00 | 207 | (303 | ) | |||||||||||||||||||||
Citibank N.A. | Call | 949 | October 2015 | 120.00 | 69 | (7 | ) | |||||||||||||||||||||
Exxon Mobil Corp. | Citibank N.A. | Put | 236 | July 2015 | 80.00 | 30 | (8 | ) | ||||||||||||||||||||
Financial Select Sector SPDR Fund | Morgan Stanley & Co., Inc. | Put | 5,976 | September 2015 | 22.00 | 134 | (120 | ) | ||||||||||||||||||||
N/A | Put | 3,604 | September 2015 | 22.00 | 79 | (72 | ) | |||||||||||||||||||||
Google, Inc., Class A | Deutsche Bank AG | Put | 162 | September 2015 | 525.00 | 251 | (237 | ) | ||||||||||||||||||||
Halliburton Co. | Deutsche Bank AG | Put | 2,144 | July 2015 | 45.00 | 217 | (480 | ) | ||||||||||||||||||||
Deutsche Bank AG | Call | 2,144 | July 2015 | 57.50 | 58 | (2 | ) |
2015 | SEMIANNUAL REPORT | 17 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS
Asset Strategy (in thousands) | JUNE 30, 2015 (UNAUDITED) |
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Expiration Month | Exercise Price | Premium Received | Value | |||||||||||||||||||||
Humana, Inc. | Goldman Sachs International | Put | 416 | August 2015 | 170.00 | 212 | (181 | ) | ||||||||||||||||||||
Goldman Sachs International | Call | 208 | August 2015 | 200.00 | 150 | (162 | ) | |||||||||||||||||||||
Goldman Sachs International | Call | 208 | August 2015 | 210.00 | 83 | (75 | ) | |||||||||||||||||||||
Micron Technology, Inc. | UBS AG | Put | 2,830 | July 2015 | 26.00 | 303 | (2,024 | ) | ||||||||||||||||||||
Societe Generale Bank | Put | 2,036 | July 2015 | 27.00 | 175 | (1,654 | ) | |||||||||||||||||||||
Societe Generale Bank | Call | 2,036 | July 2015 | 36.00 | 37 | (1 | ) | |||||||||||||||||||||
UBS AG | Put | 562 | October 2015 | 24.00 | 86 | (301 | ) | |||||||||||||||||||||
Microsoft Corp. | Bank of America N.A. | Put | 1,538 | July 2015 | 37.00 | 165 | (2 | ) | ||||||||||||||||||||
Bank of America N.A. | Put | 1,538 | January 2016 | 37.00 | 337 | (122 | ) | |||||||||||||||||||||
Noble Energy, Inc. | Bank of America N.A. | Put | 584 | August 2015 | 47.50 | 106 | (312 | ) | ||||||||||||||||||||
Schlumberger Ltd. | Citibank N.A. | Put | 543 | August 2015 | 82.50 | 109 | (82 | ) | ||||||||||||||||||||
Citibank N.A. | Call | 543 | August 2015 | 105.00 | 36 | (1 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 3,395 | $ | (6,789 | ) | ||||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 176,269 | $ | — | $ | 87,824 | ||||||
Consumer Staples | 139,246 | — | — | |||||||||
Energy | 101,464 | — | — | |||||||||
Financials | 171,862 | — | — | |||||||||
Health Care | 121,144 | — | — | |||||||||
Industrials | 79,988 | — | — | |||||||||
Information Technology | 284,385 | — | — | |||||||||
Materials | 29,849 | — | — | |||||||||
Total Common Stocks | $ | 1,104,207 | $ | — | $ | 87,824 | ||||||
Preferred Stocks | — | 2,386 | — | |||||||||
Purchased Options | 59 | 540 | — | |||||||||
Corporate Debt Securities | — | 9,037 | 52,330 | |||||||||
United States Government Agency Obligations | — | 295 | — | |||||||||
Bullion | 46,237 | — | — | |||||||||
Short-Term Securities | — | 218,591 | — | |||||||||
Total | $ | 1,150,503 | $ | 230,849 | $ | 140,154 | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 517 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 686 | $ | — | ||||||
Futures Contracts | $ | 714 | $ | — | $ | — | ||||||
Written Options | $ | 72 | $ | 6,717 | $ | — |
During the period ended June 30, 2015, securities totaling $211,199 were transferred from Level 2 to Level 1. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on December 31, 2014. Transfers out of Level 2 represent the values as of the beginning of the reporting period.
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Common Stocks | Corporate Debt Securities | |||||||
Beginning Balance 1-1-15 | $ | 92,612 | $ | 47,573 | ||||
Net realized gain (loss) | — | — | ||||||
Net change in unrealized appreciation (depreciation) | (5,389 | ) | — | * | ||||
Purchases | 601 | 4,757 | ||||||
Sales | — | — | ||||||
Amortization/Accretion of premium/discount | — | — | ||||||
Transfers into Level 3 during the period | — | — | ||||||
Transfers out of Level 3 during the period | — | — | ||||||
Ending Balance 6-30-15 | $ | 87,824 | $ | 52,330 | ||||
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 6-30-15 | $ | (5,389 | ) | $ | — | * |
18 | SEMIANNUAL REPORT | 2015 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS
Asset Strategy (in thousands) | JUNE 30, 2015 (UNAUDITED) |
Information about Level 3 fair value measurements:
Fair Value at 6-30-15 | Valuation Technique(s) | Unobservable Input(s) | Input Value(s) | |||||||||
Assets | ||||||||||||
Common Stocks | $ | 14,638 | Discounted book value | Multiple of book value | 1x | |||||||
Illiquidity discount | 10% | |||||||||||
73,186 | Discounted cash flows model | Long-term growth rate | 2.5% | |||||||||
Weighted average cost of capital | 8.1 to 14.1% | |||||||||||
Illiquidity discount | 10% | |||||||||||
Corporate Debt Securities | 52,330 | Discounted cash flows model | Long-term growth rate | 2.5% | ||||||||
Weighted average cost of capital | 8.1% | |||||||||||
Illiquidity discount | 10% |
Significant increase in price-earnings ratio or long-term growth rate inputs could result in a higher fair value measurement. However, significant increase in weighted average cost of capital of illiquidity discount inputs could result in a lower fair value measurement.
During the period ended June 30, 2015, securities totaling $7,147 changed valuation techniques from transaction to discounted cash flows model. The change in valuation techniques is primarily due to the transaction method no longer reflecting current market conditions. Securities totaling $18,532 changed valuation techniques from discounted cash flows model to discounted book value. The change in valuation techniques is primarily due to the discounted cash flows model no longer reflecting current market conditions.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
CMO = Collateralized Mortgage Obligation
GTD = Guaranteed
OTC = Over the Counter
REMIC = Real Estate Mortgage Investment Conduit
Country Diversification
(as a % of net assets) | ||||
United States | 52.1% | |||
United Kingdom | 9.3% | |||
China | 4.3% | |||
Hong Kong | 3.1% | |||
Japan | 2.8% | |||
Macau | 2.3% | |||
India | 2.1% | |||
Netherlands | 1.8% | |||
Germany | 1.3% | |||
Italy | 1.1% | |||
Ireland | 1.0% | |||
Sweden | 1.0% | |||
Other Countries | 0.9% | |||
Other+ | 16.9% |
+Includes gold bullion, options, cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 19 |
Table of Contents
Balanced | ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 69.5% | |||
Consumer Discretionary | 16.4% | |||
Information Technology | 11.8% | |||
Financials | 10.4% | |||
Industrials | 9.9% | |||
Health Care | 8.5% | |||
Materials | 4.5% | |||
Energy | 3.8% | |||
Consumer Staples | 3.6% | |||
Telecommunication Services | 0.6% | |||
Bonds | 28.2% | |||
Corporate Debt Securities | 27.1% | |||
United States Government and Government Agency Obligations | 1.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.3% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Limited Brands, Inc. | Consumer Discretionary | Apparel Retail | ||
PNC Financial Services Group, Inc. (The) | Financials | Regional Banks | ||
Home Depot, Inc. (The) | Consumer Discretionary | Home Improvement Retail | ||
Boeing Co. (The) | Industrials | Aerospace & Defense | ||
JPMorgan Chase & Co. | Financials | Other Diversified Financial Services | ||
Union Pacific Corp. | Industrials | Railroads | ||
Cognizant Technology Solutions Corp., Class A | Information Technology | IT Consulting & Other Services | ||
Carnival Corp. | Consumer Discretionary | Hotels, Resorts & Cruise Lines | ||
Citigroup, Inc. | Financials | Other Diversified Financial Services | ||
Broadcom Corp., Class A | Information Technology | Semiconductors |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
20 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Balanced (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 2.3% |
| |||||||
Limited Brands, Inc. | 110 | $ | 9,413 | |||||
|
| |||||||
Cable & Satellite – 2.4% |
| |||||||
Comcast Corp., Class A | 96 | 5,786 | ||||||
Time Warner Cable, Inc. | 22 | 3,866 | ||||||
|
| |||||||
9,652 | ||||||||
|
| |||||||
Casinos & Gaming – 1.2% |
| |||||||
Las Vegas Sands, Inc. | 95 | 4,979 | ||||||
|
| |||||||
Department Stores – 1.0% |
| |||||||
Kohl’s Corp. | 64 | 3,982 | ||||||
|
| |||||||
Home Improvement Retail – 2.1% |
| |||||||
Home Depot, Inc. (The) | 79 | 8,779 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 2.6% |
| |||||||
Carnival Corp. | 133 | 6,544 | ||||||
Hyatt Hotels Corp., | 72 | 4,082 | ||||||
|
| |||||||
10,626 | ||||||||
|
| |||||||
Internet Retail – 1.2% |
| |||||||
Amazon.com, Inc. (A) | 12 | 5,122 | ||||||
|
| |||||||
Motorcycle Manufacturers – 1.0% |
| |||||||
Harley-Davidson, Inc. | 71 | 4,012 | ||||||
|
| |||||||
Movies & Entertainment – 1.3% |
| |||||||
Twenty-First Century Fox, Inc. | 162 | 5,210 | ||||||
|
| |||||||
Restaurants – 1.3% |
| |||||||
McDonald’s Corp. | 56 | 5,362 | ||||||
|
| |||||||
Total Consumer Discretionary – 16.4% | 67,137 | |||||||
Consumer Staples |
| |||||||
Brewers – 1.0% |
| |||||||
Anheuser-Busch InBev S.A. ADR | 34 | 4,079 | ||||||
|
| |||||||
Distillers & Vintners – 1.4% |
| |||||||
Constellation Brands, Inc. | 50 | 5,766 | ||||||
|
| |||||||
Packaged Foods & Meats – 1.2% |
| |||||||
Mead Johnson Nutrition Co. | 55 | 4,980 | ||||||
|
| |||||||
Total Consumer Staples – 3.6% | 14,825 | |||||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 2.1% |
| |||||||
ConocoPhillips | 69 | 4,219 | ||||||
Noble Energy, Inc. | 109 | 4,660 | ||||||
|
| |||||||
8,879 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Oil & Gas Storage & Transportation – 1.7% |
| |||||||
Energy Transfer | 80 | $ | 4,172 | |||||
Plains GP Holdings L.P., Class A | 104 | 2,695 | ||||||
|
| |||||||
6,867 | ||||||||
|
| |||||||
Total Energy – 3.8% | 15,746 | |||||||
Financials |
| |||||||
Asset Management & Custody Banks – 1.4% |
| |||||||
Northern Trust Corp. | 77 | 5,918 | ||||||
|
| |||||||
Consumer Finance – 0.8% |
| |||||||
American Express Co. | 42 | 3,225 | ||||||
|
| |||||||
Multi-Line Insurance – 1.3% |
| |||||||
American International Group, Inc. | 88 | 5,409 | ||||||
|
| |||||||
Other Diversified Financial Services – 3.4% |
| |||||||
Citigroup, Inc. | 117 | 6,463 | ||||||
JPMorgan Chase & Co. | 112 | 7,616 | ||||||
|
| |||||||
14,079 | ||||||||
|
| |||||||
Regional Banks – 2.3% |
| |||||||
PNC Financial Services Group, Inc. (The) | 97 | 9,259 | ||||||
|
| |||||||
Specialized REITs – 1.2% |
| |||||||
Crown Castle International Corp. | 59 | 4,730 | ||||||
|
| |||||||
Total Financials – 10.4% |
| 42,620 | ||||||
Health Care |
| |||||||
Biotechnology – 0.9% |
| |||||||
Biogen, Inc. (A) | 9 | 3,757 | ||||||
|
| |||||||
Pharmaceuticals – 6.8% |
| |||||||
Allergen plc (A) | 21 | 6,373 | ||||||
GlaxoSmithKline plc ADR | 102 | 4,257 | ||||||
Johnson & Johnson | 61 | 5,935 | ||||||
Shire Pharmaceuticals Group plc ADR | 24 | 5,747 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 92 | 5,455 | ||||||
|
| |||||||
27,767 | ||||||||
|
| |||||||
Total Health Care – 7.7% |
| 31,524 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 5.4% |
| |||||||
Boeing Co. (The) | 58 | 8,101 | ||||||
Lockheed Martin Corp. | 23 | 4,350 | ||||||
Precision Castparts Corp. | 22 | 4,297 | ||||||
Rockwell Collins, Inc. | 56 | 5,163 | ||||||
|
| |||||||
21,911 | ||||||||
|
| |||||||
Electrical Components & Equipment – 1.4% |
| |||||||
Rockwell Automation, Inc. | 47 | 5,858 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrial Conglomerates – 1.3% |
| |||||||
General Electric Co. | 206 | $ | 5,474 | |||||
|
| |||||||
Railroads – 1.8% |
| |||||||
Union Pacific Corp. | 78 | 7,429 | ||||||
|
| |||||||
Total Industrials – 9.9% | 40,672 | |||||||
Information Technology |
| |||||||
Application Software – 1.2% |
| |||||||
Autodesk, Inc. (A) | 97 | 4,857 | ||||||
|
| |||||||
Data Processing & Outsourced |
| |||||||
Alliance Data Systems | 19 | 5,634 | ||||||
FleetCor Technologies, | 33 | 5,197 | ||||||
|
| |||||||
10,831 | ||||||||
|
| |||||||
IT Consulting & Other Services – 1.7% |
| |||||||
Cognizant Technology Solutions Corp., | 113 | 6,885 | ||||||
|
| |||||||
Semiconductor Equipment – 1.2% |
| |||||||
Applied Materials, Inc. | 264 | 5,065 | ||||||
|
| |||||||
Semiconductors – 3.9% |
| |||||||
Broadcom Corp., Class A | 125 | 6,441 | ||||||
Microchip Technology, Inc. | 95 | 4,491 | ||||||
Texas Instruments, Inc. | 100 | 5,172 | ||||||
|
| |||||||
16,104 | ||||||||
|
| |||||||
Technology Hardware, Storage & |
| |||||||
Apple, Inc. | 37 | 4,691 | ||||||
|
| |||||||
Total Information Technology – 11.8% | 48,433 | |||||||
Materials |
| |||||||
Diversified Chemicals – 1.9% |
| |||||||
Dow Chemical Co. (The) | 40 | 2,047 | ||||||
PPG Industries, Inc. | 52 | 5,942 | ||||||
|
| |||||||
7,989 | ||||||||
|
| |||||||
Diversified Metals & Mining – 0.9% |
| |||||||
Freeport-McMoRan Copper & Gold, Inc., Class B | 209 | 3,899 | ||||||
|
| |||||||
Industrial Gases – 1.2% |
| |||||||
Praxair, Inc. | 40 | 4,722 | ||||||
|
| |||||||
Total Materials – 4.0% | 16,610 | |||||||
TOTAL COMMON | $ | 277,567 | ||||||
(Cost: $218,300) |
2015 | SEMIANNUAL REPORT | 21 |
Table of Contents
SCHEDULE OF INVESTMENTS
Balanced (in thousands) | JUNE 30, 2015 (UNAUDITED) |
PREFERRED STOCKS | Shares | Value | ||||||
Health Care |
| |||||||
Pharmaceuticals – 0.8% |
| |||||||
Allergan plc, | 3 | $ | 3,128 | |||||
|
| |||||||
Total Health Care – 0.8% |
| 3,128 | ||||||
Materials |
| |||||||
Commodity Chemicals – 0.5% |
| |||||||
A. Schulman, Inc., Convertible (A) | 2 | 2,097 | ||||||
|
| |||||||
Total Materials – 0.5% |
| 2,097 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication |
| |||||||
Frontier Communications Corp., Convertible Series A, 11.125% (A) | 25 | 2,529 | ||||||
|
| |||||||
Total Telecommunication |
| 2,529 | ||||||
TOTAL PREFERRED STOCKS – 1.9% |
| $ | 7,754 | |||||
(Cost: $7,597) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.3% |
| |||||||
Limited Brands, Inc.: | ||||||||
6.900%, 7-15-17 | $ | 250 | 272 | |||||
6.625%, 4-1-21 | 460 | 506 | ||||||
5.625%, 2-15-22 | 414 | 436 | ||||||
|
| |||||||
1,214 | ||||||||
|
| |||||||
Auto Parts & Equipment – 0.1% |
| |||||||
Delphi Corp., | ||||||||
5.000%, 2-15-23 | 411 | 438 | ||||||
|
| |||||||
Automobile Manufacturers – 0.5% |
| |||||||
Toyota Motor | ||||||||
2.000%, 10-24-18 | 400 | 403 | ||||||
Volkswagen Group of America, Inc.: | ||||||||
2.125%, 5-23-19 (B) | 1,250 | 1,249 | ||||||
2.400%, 5-22-20 (B) | 500 | 497 | ||||||
|
| |||||||
2,149 | ||||||||
|
| |||||||
Broadcasting – 0.0% |
| |||||||
Discovery | ||||||||
3.300%, 5-15-22 | 200 | 196 | ||||||
|
| |||||||
Cable & Satellite – 0.6% |
| |||||||
News American, Inc., | ||||||||
3.000%, 9-15-22 | 1,000 | 976 | ||||||
Pearson Funding Five plc, | ||||||||
3.250%, 5-8-23 (B) | 300 | 287 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Cable & Satellite (Continued) |
| |||||||
Viacom, Inc.: | ||||||||
2.500%, 9-1-18 | $ | 100 | $ | 101 | ||||
2.200%, 4-1-19 | 700 | 692 | ||||||
2.750%, 12-15-19 | 500 | 500 | ||||||
|
| |||||||
2,556 | ||||||||
|
| |||||||
Distributors – 0.1% |
| |||||||
LKQ Corp., | ||||||||
4.750%, 5-15-23 | 282 | 269 | ||||||
|
| |||||||
General Merchandise Stores – 0.1% |
| |||||||
Dollar General Corp.: | ||||||||
4.125%, 7-15-17 | 100 | 104 | ||||||
1.875%, 4-15-18 | 250 | 249 | ||||||
|
| |||||||
353 | ||||||||
|
| |||||||
Homebuilding – 0.1% |
| |||||||
Toll Brothers | ||||||||
4.375%, 4-15-23 | 500 | 490 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.1% |
| |||||||
Hyatt Hotels Corp., | ||||||||
3.375%, 7-15-23 | 250 | 243 | ||||||
|
| |||||||
Internet Retail – 0.1% |
| |||||||
Amazon.com, Inc., | ||||||||
2.600%, 12-5-19 | 450 | 452 | ||||||
|
| |||||||
Total Consumer | 8,360 | |||||||
Consumer Staples |
| |||||||
Brewers – 0.2% |
| |||||||
Heineken N.V., | ||||||||
1.400%, 10-1-17 (B) | 250 | 250 | ||||||
SABMiller Holdings, Inc., | ||||||||
2.200%, 8-1-18 (B) | 500 | 505 | ||||||
|
| |||||||
755 | ||||||||
|
| |||||||
Distillers & Vintners – 0.2% |
| |||||||
Beam, Inc., | ||||||||
1.750%, 6-15-18 | 250 | 249 | ||||||
Brown-Forman Corp., | ||||||||
1.000%, 1-15-18 | 500 | 493 | ||||||
|
| |||||||
742 | ||||||||
|
| |||||||
Drug Retail – 0.1% |
| |||||||
Walgreens Boots | ||||||||
2.700%, 11-18-19 | 300 | 300 | ||||||
|
| |||||||
Food Distributors – 0.2% |
| |||||||
Campbell Soup Co., | ||||||||
2.500%, 8-2-22 | 700 | 665 | ||||||
ConAgra Foods, Inc., | ||||||||
1.900%, 1-25-18 | 200 | 197 | ||||||
|
| |||||||
862 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Household Products – 0.0% |
| |||||||
Church & Dwight | ||||||||
2.875%, 10-1-22 | $ | 250 | $ | 244 | ||||
|
| |||||||
Personal Products – 0.1% |
| |||||||
Estee Lauder Co., | ||||||||
2.350%, 8-15-22 | 300 | 290 | ||||||
|
| |||||||
Tobacco – 0.1% |
| |||||||
BAT International Finance plc, | ||||||||
2.750%, 6-15-20 (B) | 600 | 604 | ||||||
|
| |||||||
Total Consumer Staples – 0.9% |
| 3,797 | ||||||
Energy |
| |||||||
Oil & Gas Drilling – 0.1% |
| |||||||
Transocean, Inc., | ||||||||
2.500%, 10-15-17 | 500 | 485 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.0% |
| |||||||
National Oilwell | ||||||||
1.350%, 12-1-17 | 250 | 247 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 1.8% |
| |||||||
BP Capital Markets plc, | ||||||||
2.315%, 2-13-20 | 500 | 498 | ||||||
BP Capital Markets plc (GTD by BP plc), | ||||||||
2.241%, 9-26-18 | 400 | 406 | ||||||
ConocoPhillips, | ||||||||
1.050%, 12-15-17 | 400 | 397 | ||||||
Devon Energy Corp., | ||||||||
2.250%, 12-15-18 | 500 | 501 | ||||||
ONEOK Partners L.P., | ||||||||
3.200%, 9-15-18 | 750 | 766 | ||||||
Stone Energy | ||||||||
1.750%, 3-1-17 | 1,650 | 1,507 | ||||||
Whiting Petroleum | ||||||||
1.250%, 4-1-20 (B) | 2,900 | 3,168 | ||||||
|
| |||||||
7,243 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 0.8% |
| |||||||
Buckeye Partners L.P., | ||||||||
2.650%, 11-15-18 | 400 | 398 | ||||||
Hornbeck Offshore Services, Inc., Convertible, | ||||||||
1.500%, 9-1-19 | 1,575 | 1,286 | ||||||
Kinder Morgan Energy Partners L.P., | ||||||||
2.650%, 2-1-19 | 500 | 495 | ||||||
Williams Partners L.P., | ||||||||
3.600%, 3-15-22 | 1,000 | 970 | ||||||
|
| |||||||
3,149 | ||||||||
|
| |||||||
Total Energy – 2.7% |
| 11,124 |
22 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Balanced (in thousands) JUNE 30, 2015 (UNAUDITED) |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.8% |
| |||||||
Ares Capital Corp.: | ||||||||
4.875%, 11-30-18 | $ | 1,200 | $ | 1,257 | ||||
3.875%, 1-15-20 | 1,950 | 1,978 | ||||||
|
| |||||||
3,235 | ||||||||
|
| |||||||
Consumer Finance – 1.2% |
| |||||||
American Express Co., | ||||||||
4.900%, 12-29-49 | 800 | 775 | ||||||
American Express | ||||||||
2.125%, 7-27-18 | 100 | 101 | ||||||
American Honda Finance Corp., | ||||||||
2.125%, 10-10-18 | 150 | 152 | ||||||
Capital One Bank USA N.A.: | ||||||||
2.150%, 11-21-18 | 500 | 499 | ||||||
2.250%, 2-13-19 | 500 | 497 | ||||||
Capital One N.A., | ||||||||
2.400%, 9-5-19 | 650 | 644 | ||||||
Charles Schwab Corp. (The), | ||||||||
2.200%, 7-25-18 | 300 | 304 | ||||||
Hyundai Capital America, | ||||||||
2.875%, 8-9-18 (B) | 250 | 256 | ||||||
Intercontinental Exchange Group, Inc., | ||||||||
2.500%, 10-15-18 | 100 | 102 | ||||||
SLM Corp., | ||||||||
4.875%, 6-17-19 | 500 | 495 | ||||||
Total System Services, Inc., | ||||||||
2.375%, 6-1-18 | 1,100 | 1,097 | ||||||
|
| |||||||
4,922 | ||||||||
|
| |||||||
Diversified Banks – 5.7% |
| |||||||
ABN AMRO Bank N.V., | ||||||||
2.500%, 10-30-18 (B) | 800 | 813 | ||||||
Banco Hipotecario Nacional: | ||||||||
7.916%, 7-25-09 (B)(C) | 17 | — | ||||||
8.000%, 3-31-11 (B)(C) | 4 | — | ||||||
Bank of America Corp.: | ||||||||
2.000%, 1-11-18 | 400 | 401 | ||||||
8.000%, 12-29-49 | 1,452 | 1,532 | ||||||
Bank of New York Mellon Corp. (The), | ||||||||
2.100%, 1-15-19 | 500 | 501 | ||||||
Bank of Nova Scotia (The): | ||||||||
1.450%, 4-25-18 | 500 | 497 | ||||||
2.050%, 10-30-18 | 200 | 202 | ||||||
Barclays Bank plc, | ||||||||
2.500%, 2-20-19 | 400 | 402 | ||||||
BNP Paribas S.A., | ||||||||
2.450%, 3-17-19 | 900 | 911 | ||||||
Commonwealth Bank | ||||||||
2.250%, 3-13-19 | 700 | 703 | ||||||
DBS Group Holdings Ltd., | ||||||||
2.246%, 7-16-19 (B) | 1,000 | 1,000 | ||||||
ING Bank N.V.: | ||||||||
2.500%, 10-1-19 (B) | 1,100 | 1,106 | ||||||
2.450%, 3-16-20 (B) | 800 | 799 | ||||||
KeyBank N.A., | ||||||||
2.500%, 12-15-19 | 500 | 502 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Banks (Continued) |
| |||||||
Lloyds Bank plc, | ||||||||
2.350%, 9-5-19 | $ | 600 | $ | 600 | ||||
Mizuho Bank Ltd., | ||||||||
2.650%, 9-25-19 (B) | 1,300 | 1,315 | ||||||
National Australia | ||||||||
2.400%, 12-9-19 (B) | 1,250 | 1,255 | ||||||
Rabobank Capital Funding Trust III (GTD by Rabobank Nederland), | ||||||||
5.254%, 12-31-49 (B) | 1,500 | 1,548 | ||||||
Royal Bank of Scotland Group plc (The), | ||||||||
7.640%, 3-29-49 | 700 | 748 | ||||||
Skandinaviska Enskilda Banken AB, | ||||||||
2.375%, 3-25-19 (B) | 1,000 | 1,010 | ||||||
Societe Generale S.A.: | ||||||||
4.250%, 4-14-25 (B) | 500 | 469 | ||||||
5.922%, 4-29-49 (B) | 1,000 | 1,024 | ||||||
Standard Chartered plc, | ||||||||
2.250%, 4-17-20 (B) | 2,000 | 1,964 | ||||||
Sumitomo Mitsui Banking Corp., | ||||||||
2.450%, 1-16-20 | 600 | 601 | ||||||
Swedbank AB (publ), | ||||||||
1.750%, 3-12-18 (B) | 300 | 300 | ||||||
UBS Preferred Funding Trust V, | ||||||||
6.243%, 5-29-49 | 1,250 | 1,278 | ||||||
Wells Fargo & Co.: | ||||||||
1.500%, 1-16-18 | 250 | 249 | ||||||
2.150%, 1-15-19 | 500 | 503 | ||||||
Westpac Banking Corp., | ||||||||
2.250%, 7-30-18 | 1,000 | 1,015 | ||||||
|
| |||||||
23,248 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 0.9% |
| |||||||
BGC Partners, Inc., | ||||||||
5.375%, 12-9-19 | 500 | 521 | ||||||
Credit Suisse Group Funding (Guernsey) Ltd., | ||||||||
2.750%, 3-26-20 (B) | 500 | 494 | ||||||
Goldman Sachs Group, Inc. (The): | ||||||||
2.900%, 7-19-18 | 450 | 461 | ||||||
2.625%, 1-31-19 | 1,000 | 1,016 | ||||||
2.600%, 4-23-20 | 800 | 795 | ||||||
Morgan Stanley, | ||||||||
2.125%, 4-25-18 | 500 | 503 | ||||||
|
| |||||||
3,790 | ||||||||
|
| |||||||
Life & Health Insurance – 0.2% |
| |||||||
AIA Group Ltd., | ||||||||
2.250%, 3-11-19 (B) | 800 | 794 | ||||||
|
| |||||||
Mortgage REITs – 0.3% |
| |||||||
Mubadala GE Capital, | ||||||||
3.000%, 11-10-19 (B) | 1,250 | 1,239 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Multi-Line Insurance – 0.1% |
| |||||||
American International Group, Inc., | ||||||||
2.300%, 7-16-19 | $ | 300 | $ | 299 | ||||
|
| |||||||
Other Diversified Financial Services – 2.9% |
| |||||||
Citigroup, Inc.: | ||||||||
3.875%, 2-19-19 | 500 | 496 | ||||||
2.550%, 4-8-19 | 2,050 | 2,066 | ||||||
2.400%, 2-18-20 | 850 | 841 | ||||||
5.800%, 11-29-49 | 1,400 | 1,404 | ||||||
5.950%, 12-31-49 | 1,250 | 1,206 | ||||||
Daimler Finance North America LLC, | ||||||||
2.375%, 8-1-18 (B) | 150 | 152 | ||||||
Fidelity National Financial, Inc., | ||||||||
6.600%, 5-15-17 | 800 | 866 | ||||||
Fifth Street Finance Corp., | ||||||||
4.875%, 3-1-19 | 1,300 | 1,323 | ||||||
JPMorgan Chase & Co., | ||||||||
7.900%, 4-29-49 | 500 | 529 | ||||||
Moody’s Corp., | ||||||||
2.750%, 7-15-19 | 250 | 252 | ||||||
MUFG Americas Holdings Corp., | ||||||||
2.250%, 2-10-20 | 750 | 740 | ||||||
PennantPark Investment Corp., | ||||||||
4.500%, 10-1-19 | 1,650 | 1,656 | ||||||
Total Capital, | ||||||||
2.125%, 8-10-18 | 300 | 304 | ||||||
Total Capital Canada Ltd., | ||||||||
1.450%, 1-15-18 | 200 | 200 | ||||||
|
| |||||||
12,035 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.1% |
| |||||||
Berkshire Hathaway Finance Corp., | ||||||||
2.000%, 8-15-18 | 250 | 253 | ||||||
Berkshire Hathaway, Inc., | ||||||||
1.550%, 2-9-18 | 250 | 251 | ||||||
|
| |||||||
504 | ||||||||
|
| |||||||
Regional Banks – 0.5% |
| |||||||
BB&T Corp., | ||||||||
1.450%, 1-12-18 | 300 | 299 | ||||||
PNC Bank N.A., | ||||||||
2.200%, 1-28-19 | 750 | 753 | ||||||
SunTrust Banks, Inc.: | ||||||||
2.350%, 11-1-18 | 500 | 503 | ||||||
5.625%, 12-29-49 | 400 | 402 | ||||||
|
| |||||||
1,957 | ||||||||
|
| |||||||
Specialized REITs – 0.7% |
| |||||||
Air Lease Corp., | ||||||||
3.750%, 2-1-22 | 600 | 599 | ||||||
Aircastle Ltd., | ||||||||
5.125%, 3-15-21 | 1,626 | 1,642 | ||||||
Crown Castle | ||||||||
5.250%, 1-15-23 | 623 | 628 | ||||||
|
| |||||||
2,869 | ||||||||
|
|
2015 | SEMIANNUAL REPORT | 23 |
Table of Contents
SCHEDULE OF INVESTMENTS
Balanced (in thousands) | JUNE 30, 2015 (UNAUDITED) |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Thrifts & Mortgage Finance – 0.1% |
| |||||||
Walter Investment Management Corp., Convertible, | ||||||||
4.500%, 11-1-19 | $ | 650 | $ | 532 | ||||
|
| |||||||
Total Financials – 13.5% |
| 55,424 | ||||||
Health Care |
| |||||||
Biotechnology – 0.3% |
| |||||||
Amgen, Inc., | ||||||||
2.200%, 5-22-19 | 1,300 | 1,295 | ||||||
|
| |||||||
Health Care Equipment – 0.3% |
| |||||||
Mallinckrodt International Finance S.A., | ||||||||
3.500%, 4-15-18 | 250 | 251 | ||||||
Medtronic, Inc., | ||||||||
2.500%, 3-15-20 (B) | 500 | 500 | ||||||
Zimmer Holdings, Inc., | ||||||||
2.700%, 4-1-20 | 350 | 348 | ||||||
|
| |||||||
1,099 | ||||||||
|
| |||||||
Health Care Services – 0.1% |
| |||||||
Quest Diagnostics, Inc., | ||||||||
2.500%, 3-30-20 | 500 | 496 | ||||||
|
| |||||||
Health Care Supplies – 0.7% |
| |||||||
C.R. Bard, Inc., | ||||||||
1.375%, 1-15-18 | 500 | 496 | ||||||
Cardinal Health, Inc., | ||||||||
2.400%, 11-15-19 | 700 | 694 | ||||||
Express Scripts Holding Co., | ||||||||
2.250%, 6-15-19 | 1,500 | 1,487 | ||||||
|
| |||||||
2,677 | ||||||||
|
| |||||||
Managed Health Care – 0.4% |
| |||||||
Aetna, Inc., | ||||||||
2.200%, 3-15-19 | 800 | 800 | ||||||
WellPoint, Inc., | ||||||||
1.875%, 1-15-18 | 1,000 | 998 | ||||||
|
| |||||||
1,798 | ||||||||
|
| |||||||
Pharmaceuticals – 0.8% |
| |||||||
Amgen, Inc., | ||||||||
2.125%, 5-1-20 | 1,000 | 978 | ||||||
Forest Laboratories, Inc., | ||||||||
5.000%, 12-15-21 (B) | 1,258 | 1,364 | ||||||
Perrigo Co. Ltd., | ||||||||
2.300%, 11-8-18 | 945 | 946 | ||||||
|
| |||||||
3,288 | ||||||||
|
| |||||||
Total Health Care – 2.6% |
| 10,653 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Industrials |
| |||||||
Aerospace & Defense – 0.6% |
| |||||||
General Dynamics Corp., | ||||||||
1.000%, 11-15-17 | $ | 500 | $ | 498 | ||||
Northrop Grumman Corp., | ||||||||
1.750%, 6-1-18 | 250 | 250 | ||||||
TransDigm Group, Inc., | ||||||||
7.500%, 7-15-21 | 1,626 | 1,748 | ||||||
|
| |||||||
2,496 | ||||||||
|
| |||||||
Environmental & Facilities Services – 0.1% |
| |||||||
Ecolab, Inc., | ||||||||
1.450%, 12-8-17 | 500 | 496 | ||||||
|
| |||||||
Industrial Machinery – 0.5% |
| |||||||
Eaton Corp., | ||||||||
1.500%, 11-2-17 | 1,940 | 1,935 | ||||||
|
| |||||||
Railroads – 0.2% |
| |||||||
Kansas City Southern de Mexico S.A. de C.V., | ||||||||
2.350%, 5-15-20 | 300 | 293 | ||||||
Union Pacific Corp., | ||||||||
2.250%, 2-15-19 | 250 | 253 | ||||||
|
| |||||||
546 | ||||||||
|
| |||||||
Trucking – 0.1% |
| |||||||
Ryder System, Inc.: | ||||||||
2.450%, 11-15-18 | 100 | 100 | ||||||
2.350%, 2-26-19 | 400 | 399 | ||||||
|
| |||||||
499 | ||||||||
|
| |||||||
Total Industrials – 1.5% |
| 5,972 | ||||||
Information Technology |
| |||||||
Data Processing & Outsourced Services – 0.2% |
| |||||||
Fidelity National Information Services, Inc., | ||||||||
2.000%, 4-15-18 | 250 | 250 | ||||||
Fiserv, Inc., | ||||||||
2.700%, 6-1-20 | 300 | 299 | ||||||
|
| |||||||
549 | ||||||||
|
| |||||||
IT Consulting & Other Services – 0.4% |
| |||||||
iGATE Corp., | ||||||||
4.750%, 4-15-19 | 1,626 | 1,685 | ||||||
|
| |||||||
Semiconductors – 0.4% |
| |||||||
Broadcom Corp., | ||||||||
2.700%, 11-1-18 | 250 | 253 | ||||||
Micron Technology, Inc., | ||||||||
5.500%, 2-1-25 (B) | 1,626 | 1,524 | ||||||
|
| |||||||
1,777 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Systems Software – 0.3% |
| |||||||
CA, Inc., | ||||||||
2.875%, 8-15-18 | $ | 150 | $ | 153 | ||||
Oracle Corp., | ||||||||
2.250%, 10-8-19 | 1,200 | 1,206 | ||||||
|
| |||||||
1,359 | ||||||||
|
| |||||||
Total Information Technology – 1.3% |
| 5,370 | ||||||
Materials |
| |||||||
Diversified Metals & Mining – 0.6% |
| |||||||
Anglo American plc, | ||||||||
4.125%, 4-15-21 (B) | 500 | 500 | ||||||
BHP Billiton Finance (USA) Ltd. (GTD by BHP Billiton plc and BHP Billiton Ltd.), | ||||||||
2.050%, 9-30-18 | 100 | 102 | ||||||
Freeport-McMoRan Copper & Gold, Inc., | ||||||||
2.375%, 3-15-18 | 150 | 149 | ||||||
Glencore Funding LLC: | ||||||||
3.125%, 4-29-19 (B) | 500 | 504 | ||||||
2.875%, 4-16-20 (B) | 1,000 | 979 | ||||||
Teck Resources, | ||||||||
3.000%, 3-1-19 | 100 | 96 | ||||||
|
| |||||||
2,330 | ||||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.1% |
| |||||||
Monsanto Co., | ||||||||
2.125%, 7-15-19 | 600 | 595 | ||||||
|
| |||||||
Industrial Gases – 0.3% |
| |||||||
Airgas, Inc., | ||||||||
1.650%, 2-15-18 | 500 | 497 | ||||||
Praxair, Inc.: | ||||||||
1.250%, 11-7-18 | 400 | 394 | ||||||
3.000%, 9-1-21 | 500 | 515 | ||||||
|
| |||||||
1,406 | ||||||||
|
| |||||||
Metal & Glass Containers – 0.1% |
| |||||||
BlueScope Steel (Finance) Ltd. and BlueScope Steel Finance (USA) LLC, | ||||||||
7.125%, 5-1-18 (B) | 300 | 306 | ||||||
|
| |||||||
Specialty Chemicals – 0.1% |
| |||||||
Albemarle Corp. (GTD by Albemarle Holdings Corp. and Albemarle Holdings II Corp.), | ||||||||
3.000%, 12-1-19 | 150 | 150 | ||||||
RPM International, Inc., | ||||||||
3.450%, 11-15-22 | 250 | 241 | ||||||
|
| |||||||
391 | ||||||||
|
| |||||||
Total Materials – 1.2% |
| 5,028 |
24 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Balanced (in thousands) | JUNE 30, 2015 (UNAUDITED) |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 0.5% |
| |||||||
AT&T, Inc., | ||||||||
2.300%, 3-11-19 | $ | 2,050 | $ | 2,050 | ||||
Verizon Communications, Inc., | ||||||||
2.625%, 2-21-20 | 107 | 107 | ||||||
|
| |||||||
2,157 | ||||||||
|
| |||||||
Wireless Telecommunication Service – 0.1% |
| |||||||
American Tower Corp., | ||||||||
4.700%, 3-15-22 | 195 | 203 | ||||||
Virgin Media Finance plc, | ||||||||
4.875%, 2-15-22 | 200 | 188 | ||||||
|
| |||||||
391 | ||||||||
|
| |||||||
Total Telecommunication Services – 0.6% |
| 2,548 | ||||||
Utilities |
| |||||||
Electric Utilities – 0.2% |
| |||||||
Electricite de France S.A., | ||||||||
2.150%, 1-22-19 (B) | 500 | 503 | ||||||
PPL Energy Supply LLC, | ||||||||
4.600%, 12-15-21 | 100 | 92 | ||||||
Southern Co. (The), | ||||||||
2.450%, 9-1-18 | 150 | 153 | ||||||
|
| |||||||
748 | ||||||||
|
| |||||||
Gas Utilities – 0.1% |
| |||||||
Sempra Energy, | ||||||||
2.400%, 3-15-20 | 500 | 496 | ||||||
|
| |||||||
Multi-Utilities – 0.1% |
| |||||||
Dominion Resources, Inc., | ||||||||
2.500%, 12-1-19 | 500 | 501 | ||||||
|
| |||||||
Renewable Electricity – 0.4% |
| |||||||
Canadian Solar, Inc., Convertible, | ||||||||
4.250%, 2-15-19 | 1,400 | 1,371 | ||||||
|
| |||||||
Total Utilities – 0.8% |
| 3,116 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 27.1% |
| $ | 111,392 | |||||
(Cost: $110,906) |
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | Principal | Value | ||||||
Mortgage-Backed Obligations – 0.7% |
| |||||||
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | ||||||||
6.000%, 9-1-17 | $ | 46 | $ | 47 | ||||
5.000%, 1-1-18 | 20 | 22 | ||||||
5.500%, 4-1-18 | 1 | 1 | ||||||
5.000%, 5-1-18 | 15 | 16 | ||||||
4.500%, 7-1-18 | 301 | 313 | ||||||
6.500%, 10-1-28 | 116 | 134 | ||||||
6.500%, 2-1-29 | 62 | 71 | ||||||
7.500%, 4-1-31 | 75 | 87 | ||||||
7.000%, 7-1-31 | 76 | 88 | ||||||
7.000%, 9-1-31 | 139 | 163 | ||||||
6.500%, 2-1-32 | 309 | 365 | ||||||
7.000%, 2-1-32 | 183 | 212 | ||||||
7.000%, 3-1-32 | 76 | 92 | ||||||
7.000%, 7-1-32 | 115 | 133 | ||||||
6.000%, 9-1-32 | 544 | 629 | ||||||
5.500%, 5-1-33 | 137 | 155 | ||||||
5.500%, 6-1-33 | 84 | 95 | ||||||
U.S. Department of Veterans Affairs, Guaranteed REMIC Pass-Through Certificates, Vendee Mortgage Trust 1997-A, Class 3-A, | ||||||||
8.293%, 12-15-26 | 46 | 56 | ||||||
|
| |||||||
2,679 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 0.7% | $ | 2,679 | ||||||
(Cost: $2,387) | ||||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
Treasury Obligations – 0.4% |
| |||||||
U.S. Treasury Notes: | ||||||||
0.625%, 2-15-17 | 200 | 200 | ||||||
0.625%, 5-31-17 | 1,500 | 1,499 | ||||||
|
| |||||||
1,699 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 0.4% | $ | 1,699 | ||||||
(Cost: $1,686) |
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper (D) – 1.2% |
| |||||||
EMC Corp., | ||||||||
0.110%, 7-16-15 | $ | 5,000 | $ | 5,000 | ||||
|
| |||||||
Master Note – 0.9% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (E) | 3,507 | 3,507 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.1% |
| $ | 8,507 | |||||
(Cost: $8,507) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.8% |
| $ | 409,598 | |||||
(Cost: $349,383) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2% |
| 747 | ||||||
NET ASSETS – 100.0% |
| $ | 410,345 |
2015 | SEMIANNUAL REPORT | 25 |
Table of Contents
SCHEDULE OF INVESTMENTS
Balanced (in thousands) | JUNE 30, 2015 (UNAUDITED) |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2015 the total value of these securities amounted to $28,278 or 6.9% of net assets. |
(C) | Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
(D) | Rate shown is the yield to maturity at June 30, 2015. |
(E) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 277,567 | $ | — | $ | — | ||||||
Preferred Stocks | 5,657 | 2,097 | — | |||||||||
Corporate Debt Securities | — | 111,392 | — | |||||||||
United States Government Agency Obligations | — | 2,679 | — | |||||||||
United States Government Obligations | — | 1,699 | — | |||||||||
Short-Term Securities | — | 8,507 | — | |||||||||
Total | $ | 283,224 | $ | 126,374 | $ | — |
During the period ended June 30, 2015, securities totaling $1,865 were transferred from Level 3 to Level 2 due to increased availability of observable market data due to increased market activity or information for these securities. Transfers out of Level 3 represent the values as of the beginning of the reporting period. There were no transfers between Level 1 and 2 during the period.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
GTD = Guaranteed
REMIC = Real Estate Mortgage Investment Conduit
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
26 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Bond | ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
|
| |||
Bonds | 89.5% | |||
Corporate Debt Securities | 56.3% | |||
United States Government and Government Agency Obligations | 29.4% | |||
Municipal Bonds | 2.6% | |||
Other Government Securities | 1.1% | |||
Mortgage-Backed Securities | 0.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 10.5% |
Quality Weightings
|
| |||
Investment Grade | 81.0% | |||
AAA | 0.9% | |||
AA | 33.8% | |||
A | 23.4% | |||
BBB | 22.9% | |||
Non-Investment Grade | 8.5% | |||
BB | 4.4% | |||
B | 0.7% | |||
Below CCC | 0.1% | |||
Non-rated | 3.3% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 10.5% |
Our preference is to always use ratings obtained from Standard & Poor’s. For securities not rated by Standard & Poor’s, ratings are obtained from Moody’s. 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.
2015 | SEMIANNUAL REPORT | 27 |
Table of Contents
SCHEDULE OF INVESTMENTS
Bond (in thousands) | JUNE 30, 2015 (UNAUDITED) |
CORPORATE DEBT SECURITIES | Principal | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 1.3% |
| |||||||
Limited Brands, Inc.: | ||||||||
7.000%, 5-1-20 | $ | 1,000 | $ | 1,132 | ||||
5.625%, 2-15-22 | 2,665 | 2,805 | ||||||
|
| |||||||
3,937 | ||||||||
|
| |||||||
Apparel, Accessories & Luxury Goods – 0.5% |
| |||||||
Hanesbrands, Inc., | ||||||||
6.375%, 12-15-20 | 1,400 | 1,465 | ||||||
|
| |||||||
Automobile Manufacturers – 0.7% |
| |||||||
General Motors Co., | ||||||||
5.000%, 4-1-35 | 2,000 | 1,964 | ||||||
|
| |||||||
Cable & Satellite – 0.8% |
| |||||||
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc.: | ||||||||
3.800%, 3-15-22 | 1,619 | 1,626 | ||||||
3.950%, 1-15-25 | 815 | 798 | ||||||
|
| |||||||
2,424 | ||||||||
|
| |||||||
Homebuilding – 0.7% |
| |||||||
Toll Brothers Finance Corp., | ||||||||
4.375%, 4-15-23 | 2,055 | 2,014 | ||||||
|
| |||||||
Internet Retail – 1.4% |
| |||||||
Amazon.com, Inc., | ||||||||
4.800%, 12-5-34 | 4,370 | 4,328 | ||||||
|
| |||||||
Restaurants – 0.6% |
| |||||||
McDonald’s Corp., | ||||||||
5.350%, 3-1-18 | 1,660 | 1,819 | ||||||
|
| |||||||
Total Consumer Discretionary – 6.0% |
| 17,951 | ||||||
Consumer Staples |
| |||||||
Brewers – 0.7% |
| |||||||
Anheuser-Busch InBev Worldwide, Inc., | ||||||||
1.375%, 7-15-17 | 2,000 | 2,009 | ||||||
|
| |||||||
Drug Retail – 0.3% |
| |||||||
Walgreen Co., | ||||||||
1.800%, 9-15-17 | 1,000 | 1,004 | ||||||
|
| |||||||
Food Retail – 0.9% |
| |||||||
Kroger Co. (The), | ||||||||
6.800%, 12-15-18 | 2,245 | 2,581 | ||||||
|
| |||||||
Household Products – 0.9% |
| |||||||
Procter & Gamble Co. (The), | ||||||||
8.000%, 9-1-24 | 2,000 | 2,756 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Packaged Foods & Meats – 0.7% |
| |||||||
General Mills, Inc., | ||||||||
1.400%, 10-20-17 | $ | 2,200 | $ | 2,196 | ||||
|
| |||||||
Total Consumer Staples – 3.5% |
| 10,546 | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 0.8% |
| |||||||
Enterprise Products Operating LLC (GTD by Enterprise Products Partners L.P.), | ||||||||
6.500%, 1-31-19 | 2,000 | 2,279 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 2.6% |
| |||||||
BP Capital Markets plc, | ||||||||
1.674%, 2-13-18 | 2,250 | 2,257 | ||||||
ConocoPhillips Co. (GTD by ConocoPhillips), | ||||||||
4.150%, 11-15-34 | 1,500 | 1,446 | ||||||
EQT Corp., | ||||||||
8.125%, 6-1-19 | 3,494 | 4,087 | ||||||
|
| |||||||
7,790 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 1.8% |
| |||||||
Copano Energy LLC and Copano Energy Finance Corp., | ||||||||
7.125%, 4-1-21 | 984 | 1,042 | ||||||
Plains All American Pipeline L.P. and PAA Finance Corp., | ||||||||
3.600%, 11-1-24 | 2,031 | 1,957 | ||||||
Tennessee Gas Pipeline Co., | ||||||||
7.000%, 3-15-27 | 2,000 | 2,351 | ||||||
|
| |||||||
5,350 | ||||||||
|
| |||||||
Total Energy – 5.2% |
| 15,419 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.9% |
| |||||||
Ares Capital Corp., | ||||||||
3.875%, 1-15-20 | 2,780 | 2,819 | ||||||
|
| |||||||
Consumer Finance – 1.2% |
| |||||||
Discover Financial Services, | ||||||||
3.950%, 11-6-24 | 2,800 | 2,717 | ||||||
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.), | ||||||||
3.500%, 7-10-19 | 800 | 817 | ||||||
|
| |||||||
3,534 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Banks – 3.2% |
| |||||||
Bank of America Corp., | ||||||||
5.650%, 5-1-18 | $ | 2,000 | $ | 2,196 | ||||
Bank of Nova Scotia (The), | ||||||||
1.250%, 4-11-17 | 2,000 | 2,004 | ||||||
U.S. Bank N.A., | ||||||||
1.350%, 1-26-18 | 2,000 | 1,998 | ||||||
Wachovia Corp., | ||||||||
5.750%, 6-15-17 | 3,000 | 3,258 | ||||||
|
| |||||||
9,456 | ||||||||
|
| |||||||
Health Care REITs – 0.4% |
| |||||||
Health Care REIT, Inc., | ||||||||
4.000%, 6-1-25 | 1,300 | 1,283 | ||||||
|
| |||||||
Investment Banking & Brokerage – 2.2% |
| |||||||
Goldman Sachs Group, Inc. (The), | ||||||||
7.500%, 2-15-19 | 3,000 | 3,522 | ||||||
Morgan Stanley: | ||||||||
5.950%, 12-28-17 | 2,000 | 2,198 | ||||||
3.700%, 10-23-24 | 1,000 | 994 | ||||||
|
| |||||||
6,714 | ||||||||
|
| |||||||
Other Diversified Financial Services – 3.0% |
| |||||||
Citigroup, Inc.: | ||||||||
1.300%, 11-15-16 | 2,000 | 1,998 | �� | |||||
2.550%, 4-8-19 | 1,668 | 1,681 | ||||||
JPMorgan Chase & Co., | ||||||||
2.000%, 8-15-17 | 3,000 | 3,030 | ||||||
TIAA Asset Management Finance Co. LLC, | ||||||||
4.125%, 11-1-24 (A) | 2,400 | 2,414 | ||||||
|
| |||||||
9,123 | ||||||||
|
| |||||||
Regional Banks – 1.0% |
| |||||||
PNC Bank N.A.: | ||||||||
1.500%, 2-23-18 | 1,500 | 1,494 | ||||||
3.300%, 10-30-24 | 1,500 | 1,477 | ||||||
|
| |||||||
2,971 | ||||||||
|
| |||||||
Specialized REITs – 1.1% |
| |||||||
Aircastle Ltd., | ||||||||
5.500%, 2-15-22 | 2,098 | 2,141 | ||||||
Crown Castle International Corp., | ||||||||
5.250%, 1-15-23 | 1,027 | 1,035 | ||||||
|
| |||||||
3,176 | ||||||||
|
| |||||||
Total Financials – 13.0% |
| 39,076 | ||||||
Health Care |
| |||||||
Biotechnology – 1.0% |
| |||||||
Amgen, Inc., | ||||||||
1.250%, 5-22-17 | 2,955 | 2,952 | ||||||
|
|
28 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Bond (in thousands) | JUNE 30, 2015 (UNAUDITED) |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Health Care Equipment – 1.0% |
| |||||||
Medtronic, Inc., | ||||||||
4.375%, 3-15-35 (A) | $ | 2,940 | $ | 2,909 | ||||
|
| |||||||
Pharmaceuticals – 1.6% |
| |||||||
AbbVie, Inc., | ||||||||
4.500%, 5-14-35 | 1,900 | 1,853 | ||||||
Actavis Funding SCS (GTD by Warner Chilcott Ltd., Actavis Capital S.a.r.l. and Actavis, Inc.), | ||||||||
2.350%, 3-12-18 | 1,200 | 1,207 | ||||||
Mylan, Inc., | ||||||||
1.350%, 11-29-16 | 1,800 | 1,794 | ||||||
|
| |||||||
4,854 | ||||||||
|
| |||||||
Total Health Care – 3.6% |
| 10,715 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 1.3% |
| |||||||
BAE Systems Finance, Inc., | ||||||||
7.500%, 7-1-27 (A) | 1,522 | 1,999 | ||||||
BAE Systems plc, | ||||||||
3.500%, 10-11-16 (A) | 1,700 | 1,747 | ||||||
|
| |||||||
3,746 | ||||||||
|
| |||||||
Airlines – 0.4% |
| |||||||
Southwest Airlines Co., | ||||||||
5.125%, 3-1-17 | 1,180 | 1,252 | ||||||
|
| |||||||
Electrical Components & Equipment – 0.8% |
| |||||||
WESCO Distribution, Inc., | ||||||||
5.375%, 12-15-21 | 2,375 | 2,399 | ||||||
|
| |||||||
Environmental & Facilities Services – 2.0% |
| |||||||
Republic Services, Inc., | ||||||||
3.800%, 5-15-18 | 1,000 | 1,051 | ||||||
Waste Management, Inc.: | ||||||||
6.100%, 3-15-18 | 2,000 | 2,232 | ||||||
7.100%, 8-1-26 | 2,065 | 2,704 | ||||||
|
| |||||||
5,987 | ||||||||
|
| |||||||
Industrial Conglomerates – 1.1% |
| |||||||
General Electric Capital Corp., | ||||||||
5.625%, 9-15-17 | 3,000 | 3,265 | ||||||
|
| |||||||
Railroads – 0.3% |
| |||||||
Burlington Northern Santa Fe LLC, | ||||||||
3.400%, 9-1-24 | 1,000 | 991 | ||||||
|
| |||||||
Trading Companies & Distributors – 0.7% |
| |||||||
HD Supply, Inc., | ||||||||
5.250%, 12-15-21 (A) | 2,007 | 2,035 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Trucking – 0.7% |
| |||||||
Penske Truck Leasing Co. L.P., | ||||||||
2.875%, 7-17-18 (A) | $ | 2,000 | $ | 2,036 | ||||
|
| |||||||
Total Industrials – 7.3% |
| 21,711 | ||||||
Information Technology |
| |||||||
Communications Equipment – 0.3% |
| |||||||
QUALCOMM, Inc., | ||||||||
2.250%, 5-20-20 | 1,000 | 994 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 1.5% |
| |||||||
Alliance Data Systems Corp., | ||||||||
5.250%, 12-1-17 (A) | 4,500 | 4,646 | ||||||
|
| |||||||
Electronic Equipment & Instruments – 1.1% |
| |||||||
Xerox Corp., | ||||||||
6.350%, 5-15-18 | 2,827 | 3,149 | ||||||
|
| |||||||
Electronic Manufacturing Services – 1.2% |
| |||||||
Jabil Circuit, Inc., | ||||||||
8.250%, 3-15-18 | 3,150 | 3,567 | ||||||
|
| |||||||
Internet Software & Services – 1.7% |
| |||||||
Alibaba Group Holding Ltd., | ||||||||
3.600%, 11-28-24 (A) | 2,040 | 1,964 | ||||||
Google, Inc., | ||||||||
3.375%, 2-25-24 | 2,950 | 3,024 | ||||||
|
| |||||||
4,988 | ||||||||
|
| |||||||
Systems Software – 0.6% |
| |||||||
CA, Inc., | ||||||||
5.375%, 12-1-19 | 1,580 | 1,758 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 2.5% |
| |||||||
Apple, Inc., | ||||||||
2.500%, 2-9-25 | 4,000 | 3,745 | ||||||
Oracle Corp., | ||||||||
3.900%, 5-15-35 | 4,040 | 3,745 | ||||||
|
| |||||||
7,490 | ||||||||
|
| |||||||
Total Information Technology – 8.9% |
| 26,592 | ||||||
Materials |
| |||||||
Diversified Metals & Mining – 0.8% |
| |||||||
Glencore Funding LLC, | ||||||||
3.125%, 4-29-19 (A) | 2,500 | 2,521 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Specialty Chemicals – 0.7% |
| |||||||
Methanex Corp., | ||||||||
5.250%, 3-1-22 | $ | 1,904 | $ | 2,035 | ||||
|
| |||||||
Total Materials – 1.5% |
| 4,556 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 2.8% |
| |||||||
Telefonos de Mexico S.A.B de C.V. (GTD by America Movil S.A.B. de C.V.), | ||||||||
5.500%, 11-15-19 | 3,500 | 3,922 | ||||||
Verizon Communications, Inc., | ||||||||
5.150%, 9-15-23 | 4,000 | 4,383 | ||||||
|
| |||||||
8,305 | ||||||||
|
| |||||||
Wireless Telecommunication Service – 0.3% |
| |||||||
Crown Castle Towers LLC, | ||||||||
3.663%, 5-15-25 (A) | 1,000 | 979 | ||||||
|
| |||||||
Total Telecommunication Services – 3.1% |
| 9,284 | ||||||
Utilities |
| |||||||
Electric Utilities – 0.5% |
| |||||||
Kansas City Power & Light Co., | ||||||||
6.375%, 3-1-18 | 1,500 | 1,679 | ||||||
|
| |||||||
Multi-Utilities – 2.9% |
| |||||||
Duke Energy Carolinas LLC, | ||||||||
3.750%, 6-1-45 | 3,000 | 2,725 | ||||||
Duke Energy Indiana, Inc., | ||||||||
3.750%, 7-15-20 | 3,000 | 3,192 | ||||||
NorthWestern Corp., | ||||||||
6.340%, 4-1-19 | 2,400 | 2,753 | ||||||
|
| |||||||
8,670 | ||||||||
|
| |||||||
Water Utilities – 0.8% |
| |||||||
California Water Service Co., | ||||||||
5.875%, 5-1-19 | 2,000 | 2,282 | ||||||
|
| |||||||
Total Utilities – 4.2% |
| 12,631 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 56.3% |
| $ | 168,481 | |||||
(Cost: $167,058) |
2015 | SEMIANNUAL REPORT | 29 |
Table of Contents
SCHEDULE OF INVESTMENTS
Bond (in thousands) | JUNE 30, 2015 (UNAUDITED) |
MORTGAGE-BACKED SECURITIES | Principal | Value | ||||||
Non-Agency REMIC/CMO – 0.1% |
| |||||||
MASTR Adjustable Rate Mortgage Trust 2005-1, | ||||||||
2.608%, 3-25-35 (B) | $ | 1,747 | $ | 173 | ||||
Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004-1, | ||||||||
2.597%, 2-25-34 (B) | 328 | 24 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004-3AC, | ||||||||
2.398%, 3-25-34 (B) | 602 | 37 | ||||||
|
| |||||||
234 | ||||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES – 0.1% |
| $ | 234 | |||||
(Cost: $2,675) | ||||||||
MUNICIPAL BONDS | ||||||||
Massachusetts – 0.9% |
| |||||||
Cmnwlth of MA, Fed Hwy Grant Anticipation Notes (Accelerated Bridge Prog), Ser 2010A, | ||||||||
4.285%, 12-15-18 | 2,500 | 2,711 | ||||||
|
| |||||||
New York – 1.7% |
| |||||||
NYC Indl Dev Agy, Rental Rev Bonds (Yankee Stadium Proj), Ser 2009, | ||||||||
11.000%, 3-1-29 (A) | 3,800 | 5,078 | ||||||
|
| |||||||
TOTAL MUNICIPAL BONDS – 2.6% |
| $ | 7,789 | |||||
(Cost: $6,361) | ||||||||
OTHER GOVERNMENT SECURITIES (C) | ||||||||
Canada – 1.1% |
| |||||||
Province de Quebec, | ||||||||
7.140%, 2-27-26 | 2,500 | 3,302 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 1.1% |
| $ | 3,302 | |||||
(Cost: $2,811) | ||||||||
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | ||||||||
Mortgage-Backed Obligations – 21.1% |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO: | ||||||||
4.000%, 6-15-26 | 4,409 | 4,755 |
UNITED STATES (Continued) | Principal | Value | ||||||
Mortgage-Backed Obligations (Continued) |
| |||||||
4.000%, 11-15-36 | $ | 1,065 | $ | 1,116 | ||||
4.500%, 9-15-37 | 629 | 637 | ||||||
4.500%, 8-15-39 | 1,206 | 1,256 | ||||||
5.045%, 7-25-44 (A)(B) | 1,950 | 2,089 | ||||||
4.498%, 12-25-44 (A)(B) | 1,000 | 1,060 | ||||||
3.782%, 10-25-45 (A)(B) | 2,000 | 2,025 | ||||||
3.623%, 11-25-45 (A)(B) | 1,000 | 1,003 | ||||||
4.751%, 11-25-46 (A)(B) | 2,055 | 2,207 | ||||||
4.436%, 7-25-48 (A)(B) | 2,350 | 2,470 | ||||||
4.570%, 12-25-48 (A)(B) | 1,000 | 1,072 | ||||||
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates, | ||||||||
3.000%, 1-1-33 | 823 | 834 | ||||||
Federal Home Loan Mortgage Corp. Fixed Rate Pass-Through Certificates: | ||||||||
3.000%, 8-1-28 | 4,405 | 4,539 | ||||||
3.500%, 10-1-28 | 4,855 | 5,115 | ||||||
Federal National Mortgage Association Agency REMIC/CMO: | ||||||||
3.000%, 2-25-25 | 3,538 | 3,698 | ||||||
2.390%, 6-1-25 | 1,500 | 1,519 | ||||||
1.500%, 4-25-28 | 4,750 | 4,718 | ||||||
5.500%, 11-25-36 (D) | 1,422 | 323 | ||||||
5.500%, 4-25-37 | 713 | 769 | ||||||
4.500%, 6-25-40 | 755 | 806 | ||||||
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | ||||||||
4.514%, 12-1-19 | 7,209 | 7,942 | ||||||
5.500%, 10-1-21 | 1,168 | 1,258 | ||||||
6.000%, 7-1-22 | 839 | 926 | ||||||
6.000%, 9-1-22 | 1,363 | 1,512 | ||||||
3.000%, 7-1-28 | 4,152 | 4,278 | ||||||
5.500%, 2-1-35 | 912 | 1,039 | ||||||
Government National Mortgage Association Agency REMIC/CMO: | ||||||||
2.000%, 3-16-42 | 4,323 | 4,241 | ||||||
0.120%, 6-17-45 (B)(D) | 56 | — | * | |||||
|
| |||||||
63,207 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 21.1% |
| $ | 63,207 | |||||
(Cost: $63,892) |
UNITED STATES GOVERNMENT OBLIGATIONS | Principal | Value | ||||||
Treasury Obligations – 8.3% |
| |||||||
U.S. Treasury Bonds, | ||||||||
3.000%, 11-15-44 | $ | 7,744 | $ | 7,539 | ||||
U.S. Treasury Notes: | ||||||||
3.125%, 1-31-17 | 6,000 | 6,244 | ||||||
2.750%, 2-28-18 | 6,000 | 6,289 | ||||||
2.000%, 2-15-23 | 5,000 | 4,939 | ||||||
|
| |||||||
25,011 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 8.3% |
| $ | 25,011 | |||||
(Cost: $26,258) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Commercial Paper (E) – 7.3% |
| |||||||
Air Products and Chemicals, Inc., | ||||||||
0.140%, 7-6-15 | 4,000 | 4,000 | ||||||
EMC Corp., | ||||||||
0.110%, 7-16-15 | 1,654 | 1,654 | ||||||
John Deere Canada ULC (GTD by Deere & Co.), | ||||||||
0.120%, 7-13-15 | 6,000 | 5,999 | ||||||
Kroger Co. (The): | ||||||||
0.300%, 7-1-15 | 6,140 | 6,140 | ||||||
0.360%, 7-6-15 | 4,000 | 4,000 | ||||||
|
| |||||||
21,793 | ||||||||
|
| |||||||
Master Note – 1.2% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (F) | 3,639 | 3,639 | ||||||
|
| |||||||
United States Government Agency Obligations – 0.7% |
| |||||||
Overseas Private Investment Corp. (GTD by U.S. Government), | ||||||||
0.110%, 7-7-15 (F) | 2,000 | 2,000 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 9.2% |
| $ | 27,432 | |||||
(Cost: $27,432) | ||||||||
TOTAL INVESTMENT SECURITIES – 98.7% |
| $ | 295,456 | |||||
(Cost: $296,487) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.3% |
| 4,020 | ||||||
NET ASSETS – 100.0% |
| $ | 299,476 |
30 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Bond (in thousands) JUNE 30, 2015 (UNAUDITED) |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2015 the total value of these securities amounted to $40,254 or 13.4% of net assets. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. |
(C) | Other Government Securities include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(D) | Interest-only security. Amount shown as principal represents notional amount for computation of interest. |
(E) | Rate shown is the yield to maturity at June 30, 2015. |
(F) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | — | $ | 168,481 | $ | — | ||||||
Mortgage-Backed Securities | — | 234 | — | |||||||||
Municipal Bonds | — | 7,789 | — | |||||||||
Other Government Securities | — | 3,302 | — | |||||||||
United States Government Agency Obligations | — | 63,207 | — | |||||||||
United States Government Obligations | — | 25,011 | — | |||||||||
Short-Term Securities | — | 27,432 | — | |||||||||
Total | $ | — | $ | 295,456 | $ | — |
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
CMO = Collateralized Mortgage Obligation
GTD = Guaranteed
REITS = Real Estate Investment Trusts
REMIC = Real Estate Mortgage Investment Conduit
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 31 |
Table of Contents
Core Equity ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 98.8% | |||
Health Care | 22.2% | |||
Information Technology | 18.3% | |||
Consumer Discretionary | 17.4% | |||
Financials | 9.8% | |||
Industrials | 8.1% | |||
Consumer Staples | 8.1% | |||
Energy | 7.0% | |||
Materials | 4.2% | |||
Telecommunication Services | 3.7% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.2% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Citigroup, Inc. | Financials | Other Diversified Financial Services | ||
Teva Pharmaceutical Industries Ltd. ADR | Health Care | Pharmaceuticals | ||
Allergen plc | Health Care | Pharmaceuticals | ||
Philip Morris International, Inc. | Consumer Staples | Tobacco | ||
Bristol-Myers Squibb Co. | Health Care | Pharmaceuticals | ||
Dollar General Corp. | Consumer Discretionary | General Merchandise Stores | ||
Microsoft Corp. | Information Technology | Systems Software | ||
Medtronic plc | Health Care | Health Care Equipment | ||
Applied Materials, Inc. | Information Technology | Semiconductor Equipment | ||
Adobe Systems, Inc. | Information Technology | Application Software |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
32 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Equity (in thousands) JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel, Accessories & Luxury Goods – 0.7% |
| |||||||
Polo Ralph Lauren Corp. | 27 | $ | 3,613 | |||||
|
| |||||||
Auto Parts & Equipment – 3.7% |
| |||||||
Delphi Automotive plc | 125 | 10,602 | ||||||
Magna International, Inc. | 128 | 7,168 | ||||||
|
| |||||||
17,770 | ||||||||
|
| |||||||
Broadcasting – 1.8% |
| |||||||
CBS Corp., Class B | 159 | 8,852 | ||||||
|
| |||||||
Cable & Satellite – 1.9% |
| |||||||
Comcast Corp., Class A | 150 | 9,027 | ||||||
|
| |||||||
General Merchandise Stores – 2.7% |
| |||||||
Dollar General Corp. | 169 | 13,146 | ||||||
|
| |||||||
Home Improvement Retail – 2.2% |
| |||||||
Home Depot, Inc. (The) | 97 | 10,724 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 1.4% |
| |||||||
Hilton Worldwide Holdings, Inc. (A) | 239 | 6,595 | ||||||
|
| |||||||
Internet Retail – 1.5% |
| |||||||
Amazon.com, Inc. (A) | 16 | 7,076 | ||||||
|
| |||||||
Restaurants – 1.5% |
| |||||||
Starbucks Corp. | 133 | 7,142 | ||||||
|
| |||||||
Total Consumer Discretionary – 17.4% |
| 83,945 | ||||||
Consumer Staples |
| |||||||
Brewers – 2.3% |
| |||||||
Anheuser-Busch InBev S.A. ADR | 92 | 11,114 | ||||||
|
| |||||||
Hypermarkets & Super Centers – 1.8% |
| |||||||
Costco Wholesale Corp. | 66 | 8,883 | ||||||
|
| |||||||
Packaged Foods & Meats – 1.0% |
| |||||||
Kraft Foods Group, Inc. | 58 | 4,963 | ||||||
|
| |||||||
Tobacco – 3.0% |
| |||||||
Philip Morris International, Inc. | 179 | 14,332 | ||||||
|
| |||||||
Total Consumer Staples – 8.1% |
| 39,292 | ||||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 4.3% |
| |||||||
Cabot Oil & Gas Corp. | 252 | 7,961 | ||||||
Cimarex Energy Co. | 32 | 3,567 | ||||||
EOG Resources, Inc. | 33 | 2,889 | ||||||
Noble Energy, Inc. | 153 | 6,524 | ||||||
|
| |||||||
20,941 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 1.1% |
| |||||||
Phillips 66 | 67 | 5,367 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Oil & Gas Storage & Transportation – 1.6% |
| |||||||
MarkWest Energy Partners L.P. | 137 | $ | 7,747 | |||||
|
| |||||||
Total Energy – 7.0% |
| 34,055 | ||||||
Financials |
| |||||||
Consumer Finance – 2.1% |
| |||||||
Capital One Financial Corp. | 118 | 10,380 | ||||||
|
| |||||||
Multi-Line Insurance – 2.0% |
| |||||||
American International Group, Inc. | 155 | 9,564 | ||||||
|
| |||||||
Other Diversified Financial Services – 5.7% |
| |||||||
Citigroup, Inc. | 395 | 21,820 | ||||||
JPMorgan Chase & Co. | 86 | 5,820 | ||||||
|
| |||||||
27,640 | ||||||||
|
| |||||||
Total Financials – 9.8% |
| 47,584 | ||||||
Health Care |
| |||||||
Biotechnology – 4.2% |
| |||||||
Alexion Pharmaceuticals, Inc. (A) | 64 | 11,497 | ||||||
Celgene Corp. (A) | 78 | 9,039 | ||||||
|
| |||||||
20,536 | ||||||||
|
| |||||||
Health Care Equipment – 2.6% |
| |||||||
Medtronic plc (A) | 170 | 12,567 | ||||||
|
| |||||||
Health Care Facilities – 1.7% |
| |||||||
HCA Holdings, Inc. (A) | 91 | 8,256 | ||||||
|
| |||||||
Managed Health Care – 1.6% |
| |||||||
Humana, Inc. | 40 | 7,603 | ||||||
|
| |||||||
Pharmaceuticals – 12.1% |
| |||||||
Allergen plc (A) | 52 | 15,719 | ||||||
Bristol-Myers Squibb Co. | 198 | 13,175 | ||||||
Shire Pharmaceuticals Group plc ADR | 52 | 12,461 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 289 | 17,051 | ||||||
|
| |||||||
58,406 | ||||||||
|
| |||||||
Total Health Care – 22.2% |
| 107,368 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 3.5% |
| |||||||
Boeing Co. (The) | 72 | 9,988 | ||||||
Rockwell Collins, Inc. | 74 | 6,815 | ||||||
|
| |||||||
16,803 | ||||||||
|
| |||||||
Railroads – 4.6% |
| |||||||
Canadian Pacific Railway Ltd. | 54 | 8,611 | ||||||
Kansas City Southern | 89 | 8,108 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Railroads (Continued) |
| |||||||
Union Pacific Corp. | 60 | $ | 5,751 | |||||
|
| |||||||
22,470 | ||||||||
|
| |||||||
Total Industrials – 8.1% |
| 39,273 | ||||||
Information Technology |
| |||||||
Application Software – 3.9% |
| |||||||
Adobe Systems, Inc. (A) | 154 | 12,467 | ||||||
Autodesk, Inc. (A) | 129 | 6,445 | ||||||
|
| |||||||
18,912 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 2.1% |
| |||||||
MasterCard, Inc., Class A | 106 | 9,918 | ||||||
|
| |||||||
Internet Software & Services – 1.4% |
| |||||||
Google, Inc., Class A (A) | 13 | 6,858 | ||||||
|
| |||||||
IT Consulting & Other Services – 2.1% |
| |||||||
Cognizant Technology Solutions Corp., Class A (A) | 165 | 10,049 | ||||||
|
| |||||||
Semiconductor Equipment – 2.6% |
| |||||||
Applied Materials, Inc. | 651 | 12,518 | ||||||
|
| |||||||
Semiconductors – 3.5% |
| |||||||
NXP Semiconductors N.V. (A) | 61 | 5,971 | ||||||
Texas Instruments, Inc. | 217 | 11,157 | ||||||
|
| |||||||
17,128 | ||||||||
|
| |||||||
Systems Software – 2.7% |
| |||||||
Microsoft Corp. | 296 | 13,051 | ||||||
|
| |||||||
Total Information Technology – 18.3% |
| 88,434 | ||||||
Materials |
| |||||||
Diversified Chemicals – 2.1% |
| |||||||
PPG Industries, Inc. | 88 | 10,073 | ||||||
|
| |||||||
Industrial Gases – 2.1% |
| |||||||
Air Products and Chemicals, Inc. | 73 | 10,002 | ||||||
|
| |||||||
Total Materials – 4.2% |
| 20,075 | ||||||
Telecommunication Services |
| |||||||
Alternative Carriers – 1.6% |
| |||||||
Level 3 Communications, Inc. (A) | 148 | 7,769 | ||||||
|
| |||||||
Wireless Telecommunication Service – 2.1% |
| |||||||
American Tower Corp., Class A | 107 | 10,000 | ||||||
|
| |||||||
Total Telecommunication Services – 3.7% |
| 17,769 | ||||||
TOTAL COMMON STOCKS – 98.8% |
| $ | 477,795 | |||||
(Cost: $419,483) |
2015 | SEMIANNUAL REPORT | 33 |
Table of Contents
SCHEDULE OF INVESTMENTS
Core Equity (in thousands) | JUNE 30, 2015 (UNAUDITED) |
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper (B) – 1.4% |
| |||||||
Northern Illinois Gas Co., | ||||||||
0.300%, 7-1-15 | $ | 6,533 | $ | 6,533 | ||||
|
| |||||||
Master Note – 0.2% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (C) | 882 | 882 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.6% | $ | 7,415 | ||||||
(Cost: $7,415) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.4% |
| $ | 485,210 | |||||
(Cost: $426,898) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.4)% |
| (1,743 | ) | |||||
NET ASSETS – 100.0% |
| $ | 483,467 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Rate shown is the yield to maturity at June 30, 2015. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 477,795 | $ | — | $ | — | ||||||
Short-Term Securities | — | 7,415 | — | |||||||||
Total | $ | 477,795 | $ | 7,415 | $ | — |
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
ADR = American Depositary Receipts
See Accompanying Notes to Financial Statements.
34 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Dividend Opportunities | ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 90.2% | |||
Health Care | 18.6% | |||
Financials | 14.9% | |||
Industrials | 14.1% | |||
Consumer Discretionary | 12.5% | |||
Information Technology | 12.5% | |||
Energy | 6.7% | |||
Consumer Staples | 5.2% | |||
Materials | 4.3% | |||
Utilities | 1.4% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 9.8% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Citigroup, Inc. | Financials | Other Diversified Financial Services | ||
Teva Pharmaceutical Industries Ltd. ADR | Health Care | Pharmaceuticals | ||
JPMorgan Chase & Co. | Financials | Other Diversified Financial Services | ||
Bristol-Myers Squibb Co. | Health Care | Pharmaceuticals | ||
Pfizer, Inc. | Health Care | Pharmaceuticals | ||
Medtronic plc | Health Care | Health Care Equipment | ||
Applied Materials, Inc. | Information Technology | Semiconductor Equipment | ||
Microsoft Corp. | Information Technology | Systems Software | ||
Energy Transfer Equity L.P. | Energy | Oil & Gas Storage & Transportation | ||
McDonald’s Corp. | Consumer Discretionary | Restaurants |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2015 | SEMIANNUAL REPORT | 35 |
Table of Contents
SCHEDULE OF INVESTMENTS
Dividend Opportunities (in thousands) JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Advertising – 1.6% |
| |||||||
Omnicom Group, Inc. | 114 | $ | 7,943 | |||||
|
| |||||||
Apparel Retail – 1.4% |
| |||||||
Limited Brands, Inc. | 86 | 7,407 | ||||||
|
| |||||||
Automobile Manufacturers – 1.1% |
| |||||||
Ford Motor Co. | 358 | 5,376 | ||||||
|
| |||||||
Cable & Satellite – 3.8% |
| |||||||
Comcast Corp., Class A | 112 | 6,757 | ||||||
Time Warner Cable, Inc. | 71 | 12,712 | ||||||
|
| |||||||
19,469 | ||||||||
|
| |||||||
Home Improvement Retail – 1.8% |
| |||||||
Home Depot, Inc. (The) | 85 | 9,435 | ||||||
|
| |||||||
Restaurants – 2.8% |
| |||||||
McDonald’s Corp. | 148 | 14,094 | ||||||
|
| |||||||
Total Consumer Discretionary – 12.5% |
| 63,724 | ||||||
Consumer Staples |
| |||||||
Brewers – 2.0% |
| |||||||
Anheuser-Busch InBev S.A. ADR | 86 | 10,342 | ||||||
|
| |||||||
Packaged Foods & Meats – 0.9% |
| |||||||
Mead Johnson Nutrition Co. | 51 | 4,610 | ||||||
|
| |||||||
Tobacco – 2.3% |
| |||||||
Philip Morris International, Inc. | 145 | 11,637 | ||||||
|
| |||||||
Total Consumer Staples – 5.2% |
| 26,589 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 1.6% |
| |||||||
Occidental Petroleum Corp. | 104 | 8,072 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 5.1% |
| |||||||
Energy Transfer Equity L.P. | 222 | 14,230 | ||||||
MarkWest Energy Partners L.P. | 160 | 9,007 | ||||||
Plains GP Holdings L.P., Class A | 98 | 2,536 | ||||||
|
| |||||||
25,773 | ||||||||
|
| |||||||
Total Energy – 6.7% |
| 33,845 | ||||||
Financials |
| |||||||
Diversified Banks – 1.6% |
| |||||||
Wells Fargo & Co. | 145 | 8,143 | ||||||
|
| |||||||
Industrial REITs – 1.2% |
| |||||||
ProLogis | 167 | 6,185 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Other Diversified Financial Services – 7.1% |
| |||||||
Citigroup, Inc. | 339 | $ | 18,732 | |||||
JPMorgan Chase & Co. | 252 | 17,070 | ||||||
|
| |||||||
35,802 | ||||||||
|
| |||||||
Property & Casualty Insurance – 1.0% |
| |||||||
ACE Ltd. | 50 | 5,089 | ||||||
|
| |||||||
Regional Banks – 1.9% |
| |||||||
PNC Financial Services Group, Inc. (The) | 100 | 9,598 | ||||||
|
| |||||||
Specialized REITs – 2.1% |
| |||||||
Crown Castle International Corp. | 133 | 10,644 | ||||||
|
| |||||||
Total Financials – 14.9% |
| 75,461 | ||||||
Health Care |
| |||||||
Health Care Equipment – 3.2% |
| |||||||
Medtronic plc | 221 | 16,376 | ||||||
|
| |||||||
Pharmaceuticals – 15.4% |
| |||||||
AbbVie, Inc. | 123 | 8,278 | ||||||
Bristol-Myers Squibb Co. | 255 | 16,991 | ||||||
Johnson & Johnson | 98 | 9,512 | ||||||
Merck & Co., Inc. | 151 | 8,602 | ||||||
Pfizer, Inc. | 505 | 16,934 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 299 | 17,695 | ||||||
|
| |||||||
78,012 | ||||||||
|
| |||||||
Total Health Care – 18.6% |
| 94,388 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 4.6% |
| |||||||
Boeing Co. (The) | 75 | 10,341 | ||||||
Honeywell International, Inc. | 131 | 13,333 | ||||||
|
| |||||||
23,674 | ||||||||
|
| |||||||
Commercial Printing – 1.7% |
| |||||||
Corrections Corp. of America | 259 | 8,579 | ||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 1.0% |
| |||||||
Caterpillar, Inc. | 59 | 4,979 | ||||||
|
| |||||||
Industrial Machinery – 2.6% |
| |||||||
Eaton Corp. | 196 | 13,194 | ||||||
|
| |||||||
Railroads – 2.6% |
| |||||||
Union Pacific Corp. | 138 | 13,122 | ||||||
|
| |||||||
Research & Consulting Services – 1.6% |
| |||||||
Nielsen Holdings N.V. | 180 | 8,070 | ||||||
|
| |||||||
Total Industrials – 14.1% |
| 71,618 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Information Technology |
| |||||||
Data Processing & Outsourced Services – 1.4% |
| |||||||
Paychex, Inc. | 156 | $ | 7,290 | |||||
|
| |||||||
Semiconductor Equipment – 3.1% |
| |||||||
Applied Materials, Inc. | 818 | 15,722 | ||||||
|
| |||||||
Semiconductors – 3.1% |
| |||||||
Analog Devices, Inc. | 78 | 4,987 | ||||||
Texas Instruments, Inc. | 211 | 10,856 | ||||||
|
| |||||||
15,843 | ||||||||
|
| |||||||
Systems Software – 3.0% |
| |||||||
Microsoft Corp. | 340 | 15,015 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.9% |
| |||||||
Apple, Inc. | 21 | 2,571 | ||||||
Seagate Technology | 153 | 7,263 | ||||||
|
| |||||||
9,834 | ||||||||
|
| |||||||
Total Information Technology – 12.5% |
| 63,704 | ||||||
Materials |
| |||||||
Diversified Chemicals – 3.1% |
| |||||||
Dow Chemical Co. (The) | 129 | 6,621 | ||||||
PPG Industries, Inc. | 80 | 9,189 | ||||||
|
| |||||||
15,810 | ||||||||
|
| |||||||
Industrial Gases – 1.2% |
| |||||||
Air Products and Chemicals, Inc. | 45 | 6,103 | ||||||
|
| |||||||
Total Materials – 4.3% |
| 21,913 | ||||||
Utilities |
| |||||||
Electric Utilities – 1.4% |
| |||||||
PPL Corp. | 243 | 7,175 | ||||||
|
| |||||||
Total Utilities – 1.4% |
| 7,175 | ||||||
TOTAL COMMON STOCKS – 90.2% | $ | 458,417 | ||||||
(Cost: $389,834) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (A) – 7.9% |
| |||||||
Air Products and Chemicals, Inc.: | ||||||||
0.140%, 7-6-15 | $ | 3,000 | 3,000 | |||||
0.130%, 7-24-15 | 5,000 | 4,999 |
36 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Dividend Opportunities (in thousands) JUNE 30, 2015 (UNAUDITED) |
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Commercial Paper (A) (Continued) |
| |||||||
Essilor International S.A., | ||||||||
0.150%, 7-24-15 | $ | 15,000 | $ | 14,998 | ||||
General Mills, Inc., | ||||||||
0.360%, 7-6-15 | 5,000 | 5,000 | ||||||
Kroger Co. (The), | ||||||||
0.300%, 7-1-15 | 3,991 | 3,991 | ||||||
Siemens Capital Co. LLC (GTD by Siemens AG), | ||||||||
0.110%, 7-29-15 | 3,000 | 3,000 | ||||||
St. Jude Medical, Inc., | ||||||||
0.270%, 7-31-15 | 4,984 | 4,983 | ||||||
|
| |||||||
39,971 | ||||||||
|
| |||||||
Master Note – 0.5% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (B) | 2,760 | 2,760 | ||||||
|
| |||||||
TOTAL SHORT-TERM | $ | 42,731 | ||||||
(Cost: $42,731) | ||||||||
TOTAL INVESTMENT SECURITIES – 98.6% | $ | 501,148 | ||||||
(Cost: $432,565) | ||||||||
CASH AND OTHER ASSETS, NET |
| 6,905 | ||||||
NET ASSETS – 100.0% | $ | 508,053 |
Notes to Schedule of Investments
(A) | Rate shown is the yield to maturity at June 30, 2015. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 458,417 | $ | — | $ | — | ||||||
Short-Term Securities | — | 42,731 | — | |||||||||
Total | $ | 458,417 | $ | 42,731 | $ | — |
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
GTD = Guaranteed
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 37 |
Table of Contents
Energy ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 97.1% | |||
Energy | 89.7% | |||
Industrials | 4.1% | |||
Financials | 2.5% | |||
Information Technology | 0.8% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.9% |
Country Weightings
North America | 91.8% | |||
United States | 87.1% | |||
Canada | 4.7% | |||
Europe | 4.5% | |||
Other | 0.8% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.9% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Schlumberger Ltd. | United States | Energy | Oil & Gas Equipment & Services | |||
Baker Hughes, Inc. | United States | Energy | Oil & Gas Equipment & Services | |||
Halliburton Co. | United States | Energy | Oil & Gas Equipment & Services | |||
Cimarex Energy Co. | United States | Energy | Oil & Gas Exploration & Production | |||
EOG Resources, Inc. | United States | Energy | Oil & Gas Exploration & Production | |||
CME Group, Inc. | United States | Financials | Specialized Finance | |||
Weatherford International Ltd. | Switzerland | Energy | Oil & Gas Equipment & Services | |||
Anadarko Petroleum Corp. | United States | Energy | Oil & Gas Exploration & Production | |||
Concho Resources, Inc. | United States | Energy | Oil & Gas Exploration & Production | |||
Phillips 66 Partners L.P. | United States | Energy | Oil & Gas Storage & Transportation |
See your advisor for more information on the Portfolio’s most recent published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
38 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Energy (in thousands) JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 4.1% |
| |||||||
Chevron Corp. | 12 | $ | 1,196 | |||||
Exxon Mobil Corp. | 21 | 1,768 | ||||||
Royal Dutch Shell plc, Class A (A) | 40 | 1,123 | ||||||
Suncor Energy, Inc. | 49 | 1,345 | ||||||
|
| |||||||
5,432 | ||||||||
|
| |||||||
Oil & Gas Drilling – 3.2% |
| |||||||
Helmerich & Payne, Inc. | 32 | 2,229 | ||||||
Patterson-UTI Energy, Inc. | 110 | 2,070 | ||||||
|
| |||||||
4,299 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services – 21.1% |
| |||||||
Baker Hughes, Inc. | 79 | 4,881 | ||||||
Cameron International Corp. (B) | 31 | 1,645 | ||||||
Core Laboratories N.V. | 14 | 1,545 | ||||||
Dril-Quip, Inc. (B) | 17 | 1,279 | ||||||
FMC Technologies, Inc. (B) | 30 | 1,257 | ||||||
Forum Energy Technologies, Inc. (B) | 117 | 2,369 | ||||||
Halliburton Co. | 111 | 4,789 | ||||||
Schlumberger Ltd. | 61 | 5,296 | ||||||
Superior Energy Services, Inc. | 96 | 2,022 | ||||||
Weatherford International Ltd. (B) | 260 | 3,195 | ||||||
|
| |||||||
28,278 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 36.2% |
| |||||||
Anadarko Petroleum Corp. | 41 | 3,193 | ||||||
Antero Resources Corp. (B) | 38 | 1,293 | ||||||
Cabot Oil & Gas Corp. | 63 | 1,971 | ||||||
Canadian Natural Resources Ltd. | 66 | 1,794 | ||||||
Cimarex Energy Co. | 40 | 4,462 | ||||||
Concho Resources, Inc. (B) | 27 | 3,097 | ||||||
ConocoPhillips | 30 | 1,824 | ||||||
Continental Resources, Inc. (B) | 62 | 2,620 | ||||||
EOG Resources, Inc. | 45 | 3,940 | ||||||
Gulfport Energy Corp. (B) | 49 | 1,988 | ||||||
Laredo Petroleum Holdings, Inc. (B) | 79 | 988 | ||||||
Memorial Resource Development Corp. (B) | 83 | 1,577 | ||||||
Newfield Exploration Co. (B) | 74 | 2,682 | ||||||
Noble Energy, Inc. | 64 | 2,744 | ||||||
Oasis Petroleum LLC (B) | 94 | 1,485 | ||||||
Parsley Energy, Inc., Class A (B) | 159 | 2,777 | ||||||
Pioneer Natural Resources Co. | 21 | 2,926 | ||||||
Rice Energy, Inc. (B) | 111 | 2,303 | ||||||
RSP Permian, Inc. (B) | 79 | 2,225 | ||||||
Southwestern Energy Co. (B) | 49 | 1,106 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Oil & Gas Exploration & Production (Continued) |
| |||||||
Whiting Petroleum Corp. (B) | 44 | $ | 1,472 | |||||
|
| |||||||
48,467 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 10.3% |
| |||||||
HollyFrontier Corp. | 31 | 1,313 | ||||||
Marathon Petroleum Corp. | 50 | 2,626 | ||||||
Marathon Petroleum Corp. L.P. | 38 | 2,705 | ||||||
Phillips 66 | 31 | 2,514 | ||||||
Tesoro Corp. | 28 | 2,401 | ||||||
Valero Energy Corp. | 36 | 2,263 | ||||||
|
| |||||||
13,822 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 14.8% |
| |||||||
Columbia Pipeline Partners L.P. | 60 | 1,520 | ||||||
Enbridge, Inc. | 32 | 1,511 | ||||||
Energy Transfer Equity L.P. | 45 | 2,884 | ||||||
MarkWest Energy Partners L.P. | 33 | 1,849 | ||||||
Phillips 66 Partners L.P. | 41 | 2,977 | ||||||
Plains GP Holdings L.P., Class A | 36 | 929 | ||||||
Rice Midstream Partners L.P. | 45 | 775 | ||||||
Shell Midstream Partners L.P. | 19 | 847 | ||||||
Tallgrass Energy GP L.P., Class A (B) | 79 | 2,540 | ||||||
Valero Energy Partners L.P. | 25 | 1,257 | ||||||
Williams Co., Inc. (The) | 48 | 2,781 | ||||||
|
| |||||||
19,870 | ||||||||
|
| |||||||
Total Energy – 89.7% |
| 120,168 | ||||||
Financials |
| |||||||
Specialized Finance – 2.5% |
| |||||||
CME Group, Inc. | 36 | 3,341 | ||||||
|
| |||||||
Total Financials – 2.5% |
| 3,341 | ||||||
Industrials |
| |||||||
Construction & Engineering – 1.0% |
| |||||||
Fluor Corp. | 25 | 1,341 | ||||||
|
| |||||||
Electrical Components & Equipment – 1.1% |
| |||||||
SolarCity Corp. (B) | 29 | 1,553 | ||||||
|
| |||||||
Railroads – 2.0% |
| |||||||
Canadian Pacific Railway Ltd. | 10 | 1,666 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Railroads (Continued) |
| |||||||
Kansas City Southern | 11 | $ | 994 | |||||
|
| |||||||
2,660 | ||||||||
|
| |||||||
Total Industrials – 4.1% |
| 5,554 | ||||||
Information Technology |
| |||||||
Semiconductor Equipment – 0.8% |
| |||||||
SolarEdge Technologies, Inc. (B) | 30 | 1,088 | ||||||
|
| |||||||
Total Information Technology – 0.8% |
| 1,088 | ||||||
TOTAL COMMON STOCKS – 97.1% |
| $ | 130,151 | |||||
(Cost: $127,468) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 2.7% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (C) | $ | 3,629 | 3,629 | |||||
|
| |||||||
TOTAL SHORT-TERM | $ | 3,629 | ||||||
(Cost: $3,629) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.8% | $ | 133,780 | ||||||
(Cost: $131,097) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2% |
| 226 | ||||||
NET ASSETS – 100.0% | $ | 134,006 |
2015 | SEMIANNUAL REPORT | 39 |
Table of Contents
SCHEDULE OF INVESTMENTS
Energy (in thousands) JUNE 30, 2015 (UNAUDITED) |
Notes to Schedule of Investments
(A) | Listed on an exchange outside the United States. |
(B) | No dividends were paid during the preceding 12 months. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 130,151 | $ | — | $ | — | ||||||
Short-Term Securities | — | 3,629 | — | |||||||||
Total | $ | 130,151 | $ | 3,629 | $ | — |
During the period ended June 30, 2015, securities totaling $1,238 were transferred from Level 2 to Level 1. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on December 31, 2014. Transfers out of Level 2 represent the values as of the beginning of the reporting period.
The following acronym is used throughout this schedule:
ADR = American Depositary Receipts
Country Diversification
(as a % of net assets) | ||||
United States | 87.1% | |||
Canada | 4.7% | |||
Switzerland | 2.4% | |||
Netherlands | 1.2% | |||
Other Countries | 1.7% | |||
Other+ | 2.9% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
40 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Global Bond ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 5.6% | |||
Financials | 1.5% | |||
Health Care | 1.3% | |||
Utilities | 1.3% | |||
Energy | 0.9% | |||
Information Technology | 0.6% | |||
Bonds | 90.5% | |||
Corporate Debt Securities | 67.1% | |||
United States Government and Government Agency Obligations | 14.8% | |||
Other Government Securities | 6.1% | |||
Loans | 2.5% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.9% |
Quality Weightings
Investment Grade | 41.3% | |||
AA | 16.9% | |||
A | 3.2% | |||
BBB | 21.2% | |||
Non-Investment Grade | 49.2% | |||
BB | 28.9% | |||
B | 13.1% | |||
CCC | 2.9% | |||
Non-rated | 4.3% | |||
Cash and Other Assets (Net of Liabilities), Cash Equivalents+ and Equities | 9.5% |
Our preference is to always use ratings obtained from Standard & Poor’s. For securities not rated by Standard & Poor’s, ratings are obtained from Moody’s. 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 | 38.5% | |||
United States | 31.3% | |||
Mexico | 4.1% | |||
Other North America | 3.1% | |||
Europe | 27.9% | |||
United Kingdom | 7.6% | |||
Luxembourg | 6.3% | |||
Netherlands | 4.0% | |||
Russia | 4.0% | |||
Other Europe | 6.0% | |||
South America | 18.1% | |||
Brazil | 6.0% | |||
Chile | 3.7% | |||
Other South America | 8.4% | |||
Pacific Basin | 7.4% | |||
Bahamas/Caribbean | 2.5% | |||
Other | 1.7% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.9% |
+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.
2015 | SEMIANNUAL REPORT | 41 |
Table of Contents
SCHEDULE OF INVESTMENTS
Global Bond (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Brazil |
| |||||||
Utilities – 0.6% |
| |||||||
Alupar Investimento S.A. | 11 | $ | 58 | |||||
Transmissora Alianca de Energia Eletrica S.A. | 10 | 67 | ||||||
|
| |||||||
125 | ||||||||
|
| |||||||
Total Brazil – 0.6% |
| $ | 125 | |||||
Chile |
| |||||||
Utilities – 0.1% |
| |||||||
Aguas Andinas S.A. | 34 | 20 | ||||||
|
| |||||||
Total Chile - 0.1% |
| $ | 20 | |||||
Panama |
| |||||||
Financials – 1.5% |
| |||||||
Banco Latinoamericano de Comercio Exterior S.A. | 9 | 286 | ||||||
|
| |||||||
Total Panama – 1.5% |
| $ | 286 | |||||
United Kingdom |
| |||||||
Energy – 0.9% |
| |||||||
Royal Dutch Shell plc, Class A | 5 | 131 | ||||||
Seadrill Partners LLC | 4 | 47 | ||||||
|
| |||||||
178 | ||||||||
|
| |||||||
Health Care – 0.4% |
| |||||||
GlaxoSmithKline plc | 4 | 84 | ||||||
|
| |||||||
Total United Kingdom – 1.3% |
| $ | 262 | |||||
United States |
| |||||||
Health Care – 0.9% |
| |||||||
Bristol-Myers Squibb Co. | 3 | 167 | ||||||
|
| |||||||
Information Technology – 0.6% |
| |||||||
Intel Corp. | 4 | 125 | ||||||
|
| |||||||
Utilities – 0.6% |
| |||||||
PPL Corp. | 4 | 106 | ||||||
|
| |||||||
Total United States – 2.1% |
| $ | 398 | |||||
TOTAL COMMON STOCKS – 5.6% |
| $ | 1,091 | |||||
(Cost: $1,078) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Argentina |
| |||||||
Consumer Discretionary – 0.4% |
| |||||||
Arcos Dorados Holdings, Inc. | ||||||||
10.250%, 7-13-16 (A) | BRL250 | 75 | ||||||
|
|
CORPORATE DEBT (Continued) | Principal | Value | ||||||
Energy – 1.0% |
| |||||||
Pan American Energy LLC | ||||||||
7.875%, 5-7-21 | $ | 100 | $ | 102 | ||||
YPF Sociedad Anonima 8.875%, 12-19-18 (B) | 80 | 85 | ||||||
|
| |||||||
187 | ||||||||
|
| |||||||
Industrials – 0.2% |
| |||||||
Aeropuertos Argentina 2000 S.A. | ||||||||
10.750%, 12-1-20 (B) | 45 | 48 | ||||||
|
| |||||||
Total Argentina – 1.6% |
| $ | 310 | |||||
Austria |
| |||||||
Consumer Staples – 1.1% |
| |||||||
JBS Investments GmbH (GTD by JBS S.A. and JBS Hungary Holdings Kft.) | ||||||||
7.750%, 10-28-20 (B) | 200 | 218 | ||||||
|
| |||||||
Total Austria – 1.1% |
| $ | 218 | |||||
Brazil |
| |||||||
Consumer Discretionary – 1.5% |
| |||||||
Globo Comunicacoe e Participacoes S.A. | ||||||||
6.250%, 12-20-49 (C) | 300 | 300 | ||||||
|
| |||||||
Consumer Staples – 0.6% |
| |||||||
BFF International Ltd. | ||||||||
7.250%, 1-28-20 | 100 | 111 | ||||||
|
| |||||||
Energy – 0.1% |
| |||||||
Lancer Finance Co. (SPV) Ltd. | ||||||||
5.850%, 12-12-16 (B) | 24 | 9 | ||||||
|
| |||||||
Financials – 1.1% |
| |||||||
Banco Bradesco S.A. | ||||||||
4.125%, 5-16-16 (B) | 200 | 204 | ||||||
Banco Cruzeiro do Sul S.A. | ||||||||
7.000%, 7-8-13 (D) | 115 | 12 | ||||||
|
| |||||||
216 | ||||||||
|
| |||||||
Industrials – 1.6% |
| |||||||
Embraer Overseas Ltd. | ||||||||
6.375%, 1-24-17 | 225 | 237 | ||||||
Odebrecht Drilling Norbe VII/IX Ltd. | ||||||||
6.350%, 6-30-21 (B) | 103 | 79 | ||||||
|
| |||||||
316 | ||||||||
|
| |||||||
Materials – 0.5% |
| |||||||
Suzano Trading Ltd. | ||||||||
5.875%, 1-23-21 (B) | 100 | 103 | ||||||
|
| |||||||
Total Brazil – 5.4% |
| $ | 1,055 |
CORPORATE DEBT (Continued) | Principal | Value | ||||||
British Virgin Islands |
| |||||||
Energy – 0.8% |
| |||||||
QGOG Atlantic/Alaskan Rigs Ltd. | ||||||||
5.250%, 7-30-18 (B) | $ | 181 | $ | 161 | ||||
|
| |||||||
Total British Virgin Islands – 0.8% |
| $ | 161 | |||||
Cayman Islands |
| |||||||
Industrials – 0.7% |
| |||||||
Odebrecht Offshore Drilling Finance | ||||||||
6.750%, 10-1-22 (B) | 184 | 132 | ||||||
|
| |||||||
Total Cayman Islands – 0.7% |
| $ | 132 | |||||
Chile |
| |||||||
Industrials – 2.4% |
| |||||||
Guanay Finance Ltd. | ||||||||
6.000%, 12-15-20 (B) | 250 | 258 | ||||||
LATAM Airlines Group S.A. | ||||||||
7.250%, 6-9-20 (B) | 200 | 206 | ||||||
|
| |||||||
464 | ||||||||
|
| |||||||
Materials – 1.2% |
| |||||||
Inversiones CMPC S.A. (GTD by Empresas CMPC S.A.): | ||||||||
4.750%, 1-19-18 (B) | 25 | 26 | ||||||
4.375%, 5-15-23 (B) | 200 | 201 | ||||||
|
| |||||||
227 | ||||||||
|
| |||||||
Total Chile – 3.6% |
| $ | 691 | |||||
China |
| |||||||
Utilities – 0.5% |
| |||||||
China Resources Power Holdings Co. Ltd. | ||||||||
3.750%, 8-3-15 | 100 | 100 | ||||||
|
| |||||||
Total China – 0.5% |
| $ | 100 | |||||
Columbia |
| |||||||
Energy – 1.4% |
| |||||||
Empresas Publicas de Medellin E.S.P. | ||||||||
8.375%, 2-1-21 (A) | COP | 274,000 | 111 | |||||
Pacific Rubiales Energy Corp.: | ||||||||
5.375%, 1-26-19 (B) | $ | 100 | 82 | |||||
7.250%, 12-12-21 (B) | 100 | 82 | ||||||
|
| |||||||
275 | ||||||||
|
|
42 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Global Bond (in thousands) | JUNE 30, 2015 (UNAUDITED) |
CORPORATE DEBT (Continued) | Principal | Value | ||||||
Financials – 1.1% |
| |||||||
Banco de Bogota S.A. | ||||||||
5.000%, 1-15-17 (B) | $ | 200 | $ | 206 | ||||
|
| |||||||
Utilities – 0.6% |
| |||||||
Emgesa S.A. E.S.P. | ||||||||
8.750%, 1-25-21 (A) | COP | 302,000 | 123 | |||||
|
| |||||||
Total Columbia – 3.1% |
| $ | 604 | |||||
France |
| |||||||
Financials – 0.5% |
| |||||||
Societe Generale S.A. | ||||||||
5.922%, 4-29-49 (B) | $ | 100 | 102 | |||||
|
| |||||||
Total France – 0.5% |
| $ | 102 | |||||
Germany |
| |||||||
Industrials – 0.5% |
| |||||||
Rearden G Holdings EINS GmbH | ||||||||
7.875%, 3-30-20 (B) | 100 | 97 | ||||||
|
| |||||||
Total Germany – 0.5% |
| $ | 97 | |||||
Hong Kong |
| |||||||
Telecommunication Services – 1.0% |
| |||||||
Hutchison Whampoa Ltd. | ||||||||
1.625%, 10-31-17 (B) | 200 | 199 | ||||||
|
| |||||||
Total Hong Kong – 1.0% |
| $ | 199 | |||||
India |
| |||||||
Utilities – 0.5% |
| |||||||
Rural Electrification Corp. Ltd. | ||||||||
4.250%, 1-25-16 | 100 | 101 | ||||||
|
| |||||||
Total India – 0.5% |
| $ | 101 | |||||
Indonesia |
| |||||||
Telecommunication Services – 1.1% |
| |||||||
Indosat Palapa Co. B.V. | ||||||||
7.375%, 7-29-20 (B) | 200 | 207 | ||||||
|
| |||||||
Utilities – 1.6% |
| |||||||
Majapahit Holding B.V. | ||||||||
7.750%, 10-17-16 | 300 | 321 | ||||||
|
| |||||||
Total Indonesia – 2.7% |
| $ | 528 | |||||
Ireland |
| |||||||
Financials – 1.6% |
| |||||||
MTS International Funding Ltd. | ||||||||
5.000%, 5-30-23 (B) | 350 | 313 | ||||||
|
| |||||||
Total Ireland – 1.6% |
| $ | 313 |
CORPORATE DEBT (Continued) | Principal | Value | ||||||
Jamaica |
| |||||||
Telecommunication Services – 1.0% |
| |||||||
Digicel Group Ltd. | ||||||||
6.000%, 4-15-21 (B) | $ | 200 | $ | 193 | ||||
|
| |||||||
Total Jamaica – 1.0% |
| $ | 193 | |||||
Luxembourg |
| |||||||
Consumer Discretionary – 1.0% |
| |||||||
Altice S.A. | ||||||||
7.625%, 2-15-25 (B) | 200 | 188 | ||||||
|
| |||||||
Energy – 0.9% |
| |||||||
Offshore Drilling Holding S.A. | ||||||||
8.375%, 9-20-20 (B)(C) | 200 | 179 | ||||||
|
| |||||||
Financials – 1.0% |
| |||||||
OJSC Russian Agricultural Bank | ||||||||
5.100%, 7-25-18 (B) | 200 | 191 | ||||||
|
| |||||||
Information Technology – 1.0% |
| |||||||
BC Luxco 1 S.A. | ||||||||
7.375%, 1-29-20 (B) | 200 | 200 | ||||||
|
| |||||||
Materials – 1.6% |
| |||||||
Evraz Group S.A. | ||||||||
7.400%, 4-24-17 | 200 | 202 | ||||||
Steel Capital S.A. | ||||||||
6.700%, 10-25-17 | 100 | 104 | ||||||
|
| |||||||
306 | ||||||||
|
| |||||||
Total Luxembourg – 5.5% |
| $ | 1,064 | |||||
Mexico |
| |||||||
Consumer Discretionary – 0.4% |
| |||||||
Controladora Mabe S.A. de C.V.: | ||||||||
6.500%, 12-15-15 (B) | 25 | 25 | ||||||
6.500%, 12-15-15 | 50 | 51 | ||||||
|
| |||||||
76 | ||||||||
|
| |||||||
Materials – 3.7% |
| |||||||
C5 Capital (SPV) Ltd. | ||||||||
4.559%, 12-29-49 (B)(C) | 150 | 132 | ||||||
CEMEX S.A.B. de C.V. | ||||||||
6.500%, 12-10-19 (B) | 550 | 577 | ||||||
|
| |||||||
709 | ||||||||
|
| |||||||
Total Mexico – 4.1% |
| $ | 785 | |||||
Netherlands |
| |||||||
Consumer Discretionary – 1.1% |
| |||||||
VTR Finance B.V. | ||||||||
6.875%, 1-15-24 (B) | 200 | 204 | ||||||
|
|
CORPORATE DEBT (Continued) | Principal | Value | ||||||
Energy – 0.6% |
| |||||||
Petrobras Global Finance (GTD by Petroleo Brasileiro S.A.) | ||||||||
4.875%, 3-17-20 | $ | 125 | $ | 119 | ||||
|
| |||||||
Materials – 0.8% |
| |||||||
Cimpor Financial Operations B.V. (GTD by InterCement Participacoes S.A. and InterCement Brasil S.A.) | ||||||||
5.750%, 7-17-24 (B) | 200 | 162 | ||||||
|
| |||||||
Telecommunication Services – 0.4% |
| |||||||
VimpleCom Holdings B.V. | ||||||||
9.000%, 2-13-18 (A)(B) | RUB | 5,000 | 83 | |||||
|
| |||||||
Utilities – 1.1% |
| |||||||
Listrindo Capital B.V. | ||||||||
6.950%, 2-21-19 (B) | $ | 200 | 209 | |||||
|
| |||||||
Total Netherlands – 4.0% |
| $ | 777 | |||||
Norway |
| |||||||
Consumer Discretionary – 1.2% |
| |||||||
World Wide Supply A.S. | ||||||||
7.750%, 5-26-17 (B) | 400 | 236 | ||||||
|
| |||||||
Total Norway – 1.2% |
| $ | 236 | |||||
Panama |
| |||||||
Financials – 1.6% |
| |||||||
Banco Latinoamericano | ||||||||
3.750%, 4-4-17 (B) | 300 | 308 | ||||||
|
| |||||||
Total Panama – 1.6% |
| $ | 308 | |||||
Peru |
| |||||||
Financials – 0.5% |
| |||||||
InRetail Shopping Malls | ||||||||
5.250%, 10-10-21 (B) | 100 | 103 | ||||||
|
| |||||||
Total Peru – 0.5% |
| $ | 103 | |||||
Russia |
| |||||||
Energy – 1.0% |
| |||||||
Novatek Finance Ltd. | ||||||||
5.326%, 2-3-16 (B) | 200 | 202 | ||||||
|
| |||||||
Industrials – 1.0% |
| |||||||
SCF Capital Ltd. | ||||||||
5.375%, 10-27-17 | 200 | 192 | ||||||
|
| |||||||
Materials – 1.0% |
| |||||||
Uralkali Finance Ltd. | ||||||||
3.723%, 4-30-18 (B) | 200 | 185 | ||||||
|
| |||||||
Total Russia – 3.0% |
| $ | 579 |
2015 | SEMIANNUAL REPORT | 43 |
Table of Contents
SCHEDULE OF INVESTMENTS
Global Bond (in thousands) | JUNE 30, 2015 (UNAUDITED) |
CORPORATE DEBT (Continued) | Principal | Value | ||||||
Singapore |
| |||||||
Consumer Staples – 1.1% |
| |||||||
Olam International Ltd. | ||||||||
7.500%, 8-12-20 | $ | 100 | $ | 112 | ||||
Olam International Ltd., Convertible | ||||||||
6.000%, 10-15-16 | 100 | 102 | ||||||
|
| |||||||
214 | ||||||||
|
| |||||||
Energy – 0.5% |
| |||||||
Noble Group Ltd. | ||||||||
4.875%, 8-5-15 | 100 | 100 | ||||||
|
| |||||||
Telecommunication Services – 1.1% |
| |||||||
TBG Global Pte. Ltd. | ||||||||
4.625%, 4-3-18 (B) | 200 | 199 | ||||||
|
| |||||||
Total Singapore – 2.7% |
| $ | 513 | |||||
United Arab Emirates |
| |||||||
Financials – 1.7% |
| |||||||
ICICI Bank Ltd. | ||||||||
3.500%, 3-18-20 (B) | 325 | 330 | ||||||
|
| |||||||
Total United Arab Emirates – 1.7% |
| $ | 330 | |||||
United Kingdom |
| |||||||
Financials – 5.3% |
| |||||||
Barclays plc | ||||||||
8.250%, 12-29-49 | 200 | 211 | ||||||
HSBC Holdings plc | ||||||||
5.625%, 12-29-49 | 200 | 200 | ||||||
Royal Bank of Scotland Group plc (The) | ||||||||
7.640%, 3-29-49 | 200 | 214 | ||||||
State Bank of India: | ||||||||
3.250%, 4-18-18 (B) | 200 | 204 | ||||||
3.622%, 4-17-19 (B) | 200 | 204 | ||||||
|
| |||||||
1,033 | ||||||||
|
| |||||||
Materials – 1.0% |
| |||||||
Vedanta Resources plc | ||||||||
6.000%, 1-31-19 (B) | 200 | 194 | ||||||
|
| |||||||
Total United Kingdom – 6.3% |
| $ | 1,227 | |||||
United States |
| |||||||
Consumer Discretionary – 0.2% |
| |||||||
B-Corp Merger Sub, Inc. | ||||||||
8.250%, 6-1-19 | 50 | 43 | ||||||
|
| |||||||
Consumer Staples – 1.1% |
| |||||||
SABMiller Holdings, Inc. | ||||||||
2.200%, 8-1-18 (B) | 200 | 202 | ||||||
|
|
CORPORATE DEBT (Continued) | Principal | Value | ||||||
Energy – 0.4% |
| |||||||
Brand Energy & Infrastructure Services | ||||||||
8.500%, 12-1-21 (B) | $ | 80 | $ | 74 | ||||
|
| |||||||
Financials – 4.3% |
| |||||||
Aircastle Ltd. | ||||||||
4.625%, 12-15-18 | 235 | 242 | ||||||
Citigroup, Inc. | ||||||||
8.400%, 4-29-49 | 75 | 85 | ||||||
Daimler Finance North America LLC | ||||||||
2.950%, 1-11-17 (B) | 200 | 205 | ||||||
General Motors Financial Co., Inc. | ||||||||
3.000%, 9-25-17 | 100 | 102 | ||||||
UBS Preferred Funding Trust V | ||||||||
6.243%, 5-29-49 | 200 | 205 | ||||||
|
| |||||||
839 | ||||||||
|
| |||||||
Industrials – 0.4% |
| |||||||
TransDigm, Inc. | ||||||||
6.000%, 7-15-22 | 82 | 81 | ||||||
|
| |||||||
Information Technology – 2.4% |
| |||||||
Alliance Data Systems Corp. | ||||||||
5.250%, 12-1-17 (B) | 150 | 155 | ||||||
iGATE Corp. | ||||||||
4.750%, 4-15-19 | 300 | 311 | ||||||
|
| |||||||
466 | ||||||||
|
| |||||||
Materials – 0.1% |
| |||||||
Hillman Group, Inc. (The) | ||||||||
6.375%, 7-15-22 (B) | 25 | 23 | ||||||
|
| |||||||
Telecommunication Services – 3.0% |
| |||||||
American Tower Corp. | ||||||||
3.400%, 2-15-19 | 125 | 128 | ||||||
T-Mobile USA, Inc. | ||||||||
6.000%, 3-1-23 | 230 | 236 | ||||||
Verizon Communications, Inc. | ||||||||
2.625%, 2-21-20 | 214 | 213 | ||||||
|
| |||||||
577 | ||||||||
|
| |||||||
Total United States – 11.9% |
| $ | 2,305 | |||||
TOTAL CORPORATE DEBT SECURITIES – 67.1% |
| $ | 13,031 | |||||
(Cost: $13,694) |
OTHER GOVERNMENT SECURITIES (E) | Principal | Value | ||||||
Argentina – 1.1% |
| |||||||
City of Buenos Aires | ||||||||
9.950%, 3-1-17 (B) | $ | 200 | $ | 207 | ||||
|
| |||||||
Luxembourg – 0.8% |
| |||||||
BC Luxco 1 S.A. | ||||||||
7.375%, 1-29-20 | 150 | 150 | ||||||
|
| |||||||
Russia – 1.0% |
| |||||||
Russian Federation | ||||||||
3.500%, 1-16-19 (B) | 200 | 197 | ||||||
|
| |||||||
Spain – 1.1% |
| |||||||
Banco Bilbao Vizcaya Argentaria S.A. | ||||||||
9.000%, 5-29-49 | 200 | 215 | ||||||
|
| |||||||
Venezuela – 2.1% |
| |||||||
Corporacion Andina | ||||||||
3.750%, 1-15-16 | 155 | 157 | ||||||
1.500%, 8-8-17 | 250 | 251 | ||||||
|
| |||||||
408 | ||||||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 6.1% |
| $ | 1,177 | |||||
(Cost: $1,186) | ||||||||
LOANS (C) | ||||||||
United States |
| |||||||
Health Care – 0.5% |
| |||||||
DAE Aviation Holdings, Inc. | ||||||||
0.000%, 11-2-18 (F) | 91 | 91 | ||||||
|
| |||||||
Industrials – 1.2% |
| |||||||
TransDigm, Inc. | ||||||||
3.750%, 2-28-20 | 243 | 241 | ||||||
|
| |||||||
Information Technology – 0.3% |
| |||||||
Magic Newco LLC | ||||||||
5.000%, 12-12-18 | 50 | 50 | ||||||
|
| |||||||
Materials – 0.5% |
| |||||||
BakerCorp International | ||||||||
4.250%, 2-7-20 | 74 | 71 | ||||||
EP Minerals LLC | ||||||||
5.500%, 8-20-20 | 29 | 29 | ||||||
|
| |||||||
100 | ||||||||
|
| |||||||
Total United States – 2.5% |
| $ | 482 | |||||
TOTAL LOANS – 2.5% |
| $ | 482 | |||||
(Cost: $485) |
44 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Global Bond (in thousands) | JUNE 30, 2015 (UNAUDITED) |
UNITED STATES GOVERNMENT OBLIGATIONS | Principal | Value | ||||||
United States – 14.8% |
| |||||||
U.S. Treasury Notes: | ||||||||
0.625%, 8-31-17 | $ | 1,500 | $ | 1,497 | ||||
0.750%, 12-31-17 | 1,250 | 1,247 | ||||||
1.750%, 5-15-22 | 145 | 142 | ||||||
|
| |||||||
2,886 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 14.8% |
| $ | 2,886 | |||||
(Cost: $2,893) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Master Note – 3.2% |
| |||||||
Toyota Motor Credit Corp. | ||||||||
0.140%, 7-1-15 (G) | 618 | 618 | ||||||
|
| |||||||
TOTAL SHORT-TERM |
| $ | 618 | |||||
(Cost: $618) | ||||||||
TOTAL INVESTMENT |
| $ | 19,285 | |||||
(Cost: $19,954) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.7% |
| 139 | ||||||
NET ASSETS – 100.0% |
| $ | 19,424 |
Notes to Schedule of Investments
(A) | Principal amounts are denominated in the indicated foreign currency, where applicable (BRL—Brazilian Real, COP—Columbian Peso and RUB—Russian Ruble). |
(B) | Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2015 the total value of these securities amounted to $8,589 or 44.2% of net assets. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. |
(D) | Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
(E) | Other Government Securities include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(F) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(G) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following forward foreign currency contracts were outstanding at June 30, 2015:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||
British Pound | 143 | U.S. Dollar | 219 | 7-14-15 | Barclays Capital, Inc. | $ | — | $ | 6 |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 1,091 | $ | — | $ | — | ||||||
Corporate Debt Securities | — | 13,031 | — | |||||||||
Other Government Securities | — | 1,177 | — | |||||||||
Loans | — | 482 | — | |||||||||
United States Government Obligations | — | 2,886 | — | |||||||||
Short-Term Securities | — | 618 | — | |||||||||
Total | $ | 1,091 | $ | 18,194 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 6 | $ | — |
2015 | SEMIANNUAL REPORT | 45 |
Table of Contents
SCHEDULE OF INVESTMENTS
Global Bond (in thousands) | JUNE 30, 2015 (UNAUDITED) |
During the period ended June 30, 2015, securities totaling $607 were transferred from Level 3 to Level 2 due to increased availability of observable market data due to increased market activity or information for these securities. Securities totaling $411 were transferred from Level 2 to Level 1. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on December 31, 2014. Transfers between levels represent the values as of the beginning of the reporting period.
The following acronym is used throughout this schedule:
GTD = Guaranteed
Country Diversification
(as a % of net assets) | ||||
United States | 31.3% | |||
United Kingdom | 7.6% | |||
Luxembourg | 6.3% | |||
Brazil | 6.0% | |||
Mexico | 4.1% | |||
Netherlands | 4.0% | |||
Russia | 4.0% | |||
Chile | 3.7% | |||
Columbia | 3.1% | |||
Panama | 3.1% | |||
Indonesia | 2.7% |
Country Diversification (Continued)
Argentina | 2.7% | |||
Singapore | 2.7% | |||
Venezuela | 2.1% | |||
United Arab Emirates | 1.7% | |||
Ireland | 1.6% | |||
Norway | 1.2% | |||
Austria | 1.1% | |||
Spain | 1.1% | |||
Hong Kong | 1.0% | |||
Jamaica | 1.0% | |||
Other Countries | 4.0% | |||
Other+ | 3.9% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
46 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Global Growth | ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 95.2% | |||
Health Care | 21.3% | |||
Consumer Discretionary | 19.0% | |||
Information Technology | 17.5% | |||
Industrials | 11.9% | |||
Financials | 11.0% | |||
Consumer Staples | 7.3% | |||
Telecommunication Services | 3.8% | |||
Energy | 2.4% | |||
Materials | 1.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 4.8% |
Country Weightings
North America | 48.8% | |||
United States | 47.4% | |||
Other North America | 1.4% | |||
Europe | 27.6% | |||
United Kingdom | 7.1% | |||
Germany | 5.4% | |||
France | 4.3% | |||
Netherlands | 3.9% | |||
Other Europe | 6.9% | |||
Pacific Basin | 16.3% | |||
Japan | 8.6% | |||
China | 5.7% | |||
Other Pacific Basin | 2.0% | |||
Other | 2.5% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 4.8% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Visa, Inc., Class A | United States | Information Technology | Data Processing & Outsourced Services | |||
Amazon.com, Inc. | United States | Consumer Discretionary | Internet Retail | |||
Carnival Corp. | United States | Consumer Discretionary | Hotels, Resorts & Cruise Lines | |||
Biogen, Inc. | United States | Health Care | Biotechnology | |||
Gilead Sciences, Inc. | United States | Health Care | Biotechnology | |||
HCA Holdings, Inc. | United States | Health Care | Health Care Facilities | |||
Cognizant Technology Solutions Corp., Class A | United States | Information Technology | IT Consulting & Other Services | |||
Teva Pharmaceutical Industries Ltd. ADR | Israel | Health Care | Pharmaceuticals | |||
Prudential plc | United Kingdom | Financials | Life & Health Insurance | |||
J.B. Hunt Transport Services, Inc. | United States | Industrials | Trucking |
See your advisor for more information on the Portfolio’s most recent published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2015 | SEMIANNUAL REPORT | 47 |
Table of Contents
SCHEDULE OF INVESTMENTS
Global Growth (in thousands) JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Canada |
| |||||||
Industrials – 1.4% |
| |||||||
Canadian Pacific Railway Ltd. | 44 | $ | 7,101 | |||||
|
| |||||||
Total Canada – 1.4% |
| $ | 7,101 | |||||
China |
| |||||||
Consumer Discretionary – 1.1% |
| |||||||
JD.com, Inc. ADR (A) | 156 | 5,304 | ||||||
|
| |||||||
Financials – 0.9% |
| |||||||
China Construction Bank Corp. | 5,170 | 4,722 | ||||||
|
| |||||||
Industrials – 1.2% |
| |||||||
CAR, Inc. (A) | 2,881 | 6,133 | ||||||
|
| |||||||
Information Technology – 2.5% |
| |||||||
Baidu.com, Inc. ADR (A) | 32 | 6,279 | ||||||
Legend Holdings Corp. (A)(B) | 448 | 2,505 | ||||||
Tencent Holdings Ltd. | 194 | 3,870 | ||||||
|
| |||||||
12,654 | ||||||||
|
| |||||||
Total China – 5.7% |
| $ | 28,813 | |||||
Denmark |
| |||||||
Financials – 1.1% |
| |||||||
Danske Bank A.S. | 183 | 5,372 | ||||||
|
| |||||||
Total Denmark – 1.1% |
| $ | 5,372 | |||||
France |
| |||||||
Consumer Discretionary – 0.1% |
| |||||||
Hermes International | 2 | 627 | ||||||
|
| |||||||
Industrials – 3.2% |
| |||||||
Airbus Group SE | 96 | 6,251 | ||||||
Safran | 146 | 9,926 | ||||||
|
| |||||||
16,177 | ||||||||
|
| |||||||
Materials – 1.0% |
| |||||||
L Air Liquide S.A. | 40 | 5,045 | ||||||
|
| |||||||
Total France – 4.3% |
| $ | 21,849 | |||||
Germany |
| |||||||
Consumer Discretionary – 2.3% |
| |||||||
Continental AG | 48 | 11,308 | ||||||
|
| |||||||
Health Care – 3.1% |
| |||||||
Bayer AG | 34 | 4,765 | ||||||
Fresenius SE & Co. KGaA | 172 | 11,025 | ||||||
|
| |||||||
15,790 | ||||||||
|
| |||||||
Total Germany – 5.4% |
| $ | 27,098 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Hong Kong |
| |||||||
Financials – 0.9% |
| |||||||
AIA Group Ltd. | 675 | $ | 4,422 | |||||
|
| |||||||
Total Hong Kong – 0.9% |
| $ | 4,422 | |||||
India |
| |||||||
Consumer Staples – 1.1% |
| |||||||
ITC Ltd. | 1,148 | 5,683 | ||||||
|
| |||||||
Total India – 1.1% |
| $ | 5,683 | |||||
Israel |
| |||||||
Health Care – 2.5% |
| |||||||
Teva Pharmaceutical Industries Ltd. ADR | 211 | 12,457 | ||||||
|
| |||||||
Total Israel – 2.5% |
| $ | 12,457 | |||||
Italy |
| |||||||
Financials – 3.4% |
| |||||||
Azimut Holding S.p.A. | 297 | 8,688 | ||||||
Banca Intesa S.p.A. | 2,276 | 8,251 | ||||||
|
| |||||||
16,939 | ||||||||
|
| |||||||
Total Italy – 3.4% |
| $ | 16,939 | |||||
Japan |
| |||||||
Consumer Discretionary – 3.8% |
| |||||||
Fuji Heavy Industries Ltd. | 287 | 10,553 | ||||||
Honda Motor Co. Ltd. | 265 | 8,578 | ||||||
|
| |||||||
19,131 | ||||||||
|
| |||||||
Industrials – 2.6% |
| |||||||
Komatsu Ltd. | 333 | 6,677 | ||||||
Mitsubishi Electric Corp. | 474 | 6,127 | ||||||
|
| |||||||
12,804 | ||||||||
|
| |||||||
Information Technology – 2.2% |
| |||||||
Tokyo Electron Ltd. | 175 | 11,046 | ||||||
|
| |||||||
Total Japan – 8.6% |
| $ | 42,981 | |||||
Netherlands |
| |||||||
Consumer Discretionary – 1.1% |
| |||||||
Koninklijke Philips Electronics N.V., Ordinary Shares | 219 | 5,576 | ||||||
|
| |||||||
Information Technology – 2.8% |
| |||||||
ASML Holding N.V., NY Registry Shares | 59 | 6,104 | ||||||
NXP Semiconductors N.V. (A) | 80 | 7,903 | ||||||
|
| |||||||
14,007 | ||||||||
|
| |||||||
Total Netherlands – 3.9% |
| $ | 19,583 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Spain |
| |||||||
Financials – 1.3% |
| |||||||
CaixaBank S.A. | 1,443 | $ | 6,686 | |||||
|
| |||||||
Total Spain – 1.3% |
| $ | 6,686 | |||||
Switzerland |
| |||||||
Health Care – 1.1% |
| |||||||
Novartis AG, Registered Shares | 58 | 5,709 | ||||||
|
| |||||||
Total Switzerland – 1.1% |
| $ | 5,709 | |||||
United Kingdom |
| |||||||
Consumer Staples – 1.4% |
| |||||||
SABMiller plc | 139 | 7,211 | ||||||
|
| |||||||
Financials – 3.4% |
| |||||||
Aviva plc | 670 | 5,185 | ||||||
Prudential plc | 497 | 11,979 | ||||||
|
| |||||||
17,164 | ||||||||
|
| |||||||
Health Care – 2.3% |
| |||||||
Shire plc | 142 | 11,360 | ||||||
|
| |||||||
Total United Kingdom – 7.1% |
| $ | 35,735 | |||||
United States |
| |||||||
Consumer Discretionary – 10.6% |
| |||||||
Amazon.com, Inc. (A) | 35 | 15,292 | ||||||
Carnival Corp. | 303 | 14,947 | ||||||
Hilton Worldwide Holdings, Inc. (A) | 331 | 9,132 | ||||||
Home Depot, Inc. (The) | 69 | 7,620 | ||||||
Limited Brands, Inc. | 73 | 6,294 | ||||||
|
| |||||||
53,285 | ||||||||
|
| |||||||
Consumer Staples – 4.8% |
| |||||||
Coca-Cola Co. (The) | 220 | 8,640 | ||||||
InBev N.V. | 88 | 10,496 | ||||||
Mead Johnson Nutrition Co. | 56 | 5,089 | ||||||
|
| |||||||
24,225 | ||||||||
|
| |||||||
Energy – 2.4% |
| |||||||
Halliburton Co. | 154 | 6,623 | ||||||
Schlumberger Ltd. | 66 | 5,659 | ||||||
|
| |||||||
12,282 | ||||||||
|
| |||||||
Health Care – 12.3% |
| |||||||
Acadia Healthcare Co., Inc. (A) | 31 | 2,422 | ||||||
Allergen plc (A) | 28 | 8,542 | ||||||
Biogen, Inc. (A) | 36 | 14,743 | ||||||
Gilead Sciences, Inc. | 124 | 14,572 | ||||||
HCA Holdings, Inc. (A) | 151 | 13,709 | ||||||
Medtronic plc | 106 | 7,871 | ||||||
|
| |||||||
61,859 | ||||||||
|
|
48 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Global Growth (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrials – 3.5% |
| |||||||
J.B. Hunt Transport Services, Inc. | 144 | $ | 11,791 | |||||
Kansas City Southern | 62 | 5,636 | ||||||
|
| |||||||
17,427 | ||||||||
|
| |||||||
Information Technology – 10.0% |
| |||||||
Cognizant Technology Solutions Corp., Class A (A) | 206 | 12,612 | ||||||
Google, Inc., Class C (A) | 19 | 9,896 | ||||||
GrubHub, Inc. (A) | 112 | 3,810 | ||||||
Micron Technology, Inc. (A) | 215 | 4,053 | ||||||
Visa, Inc., Class A | 299 | 20,083 | ||||||
|
| |||||||
50,454 | ||||||||
|
| |||||||
Telecommunication Services – 3.8% |
| |||||||
Level 3 Communications, Inc. (A) | 192 | 10,131 | ||||||
SBA Communications Corp. (A) | 76 | 8,733 | ||||||
|
| |||||||
18,864 | ||||||||
|
| |||||||
Total United States – 47.4% |
| $ | 238,396 | |||||
TOTAL COMMON STOCKS – 95.2% |
| $ | 478,824 | |||||
(Cost: $434,234) |
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper (C) – 3.4% |
| |||||||
EMC Corp. | ||||||||
0.130%, 7-13-15 | $ | 5,000 | $ | 5,000 | ||||
Freddie Mac Discount Notes | ||||||||
0.035%, 7-7-15 | 1,671 | 1,671 | ||||||
Mondelez International, Inc. | ||||||||
0.290%, 7-21-15 | 5,000 | 4,999 | ||||||
Northern Illinois Gas Co. | ||||||||
0.300%, 7-1-15 | 5,364 | 5,364 | ||||||
|
| |||||||
17,034 | ||||||||
|
| |||||||
Master Note – 0.4% |
| |||||||
Toyota Motor Credit Corp. | ||||||||
0.140%, 7-1-15 (D) | 2,069 | 2,069 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 3.8% |
| $ | 19,103 | |||||
(Cost: $19,103) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.0% |
| $ | 497,927 | |||||
(Cost: $453,337) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.0% |
| 5,135 | ||||||
NET ASSETS – 100.0% |
| $ | 503,062 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2015 the total value of these securities amounted to $2,505 or 0.5% of net assets. |
(C) | Rate shown is the yield to maturity at June 30, 2015. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 478,824 | $ | — | $ | — | ||||||
Short-Term Securities | — | 19,103 | — | |||||||||
Total | $ | 478,824 | $ | 19,103 | $ | — |
2015 | SEMIANNUAL REPORT | 49 |
Table of Contents
SCHEDULE OF INVESTMENTS
Global Growth (in thousands) | JUNE 30, 2015 (UNAUDITED) |
During the period ended June 30, 2015, securities totaling $154,462 were transferred from Level 2 to Level 1. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on December 31, 2014. Transfers out of Level 2 represent the values as of the beginning of the reporting period.
The following acronym is used throughout this schedule:
ADR = American Depositary Receipts
Market Sector Diversification
(as a % of net assets) |
| |||
Health Care | 21.3% | |||
Consumer Discretionary | 19.0% | |||
Information Technology | 17.5% | |||
Industrials | 11.9% | |||
Financials | 11.0% | |||
Consumer Staples | 7.3% | |||
Telecommunication Services | 3.8% | |||
Energy | 2.4% | |||
Materials | 1.0% | |||
Other+ | 4.8% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
50 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Global Natural Resources | ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 98.0% | |||
Energy | 66.5% | |||
Materials | 22.7% | |||
Industrials | 6.6% | |||
Financials | 2.2% | |||
Utilities | 0.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.0% |
Country Weightings
North America | 87.6% | |||
United States | 82.1% | |||
Canada | 5.5% | |||
Europe | 10.4% | |||
United Kingdom | 6.7% | |||
Other Europe | 3.7% | |||
Pacific Basin | 0.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.0% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Schlumberger Ltd. | United States | Energy | Oil & Gas Equipment & Services | |||
Halliburton Co. | United States | Energy | Oil & Gas Equipment & Services | |||
Dow Chemical Co. (The) | United States | Materials | Diversified Chemicals | |||
LyondellBasell Industries N.V., Class A | United States | Materials | Specialty Chemicals | |||
Baker Hughes, Inc. | United States | Energy | Oil & Gas Equipment & Services | |||
Rio Tinto plc | United Kingdom | Materials | Diversified Metals & Mining | |||
BHP Billiton plc | United Kingdom | Materials | Diversified Metals & Mining | |||
EOG Resources, Inc. | United States | Energy | Oil & Gas Exploration & Production | |||
Weatherford International Ltd. | Switzerland | Energy | Oil & Gas Equipment & Services | |||
Suncor Energy, Inc. | Canada | Energy | Integrated Oil & Gas |
See your advisor for more information on the Portfolio’s most recent published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2015 | SEMIANNUAL REPORT | 51 |
Table of Contents
SCHEDULE OF INVESTMENTS
Global Natural Resources (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Canada |
| |||||||
Energy – 3.7% |
| |||||||
Canadian Natural Resources Ltd. | 72 | $ | 1,957 | |||||
Suncor Energy, Inc. | 122 | 3,365 | ||||||
|
| |||||||
5,322 | ||||||||
|
| |||||||
Industrials – 1.8% |
| |||||||
Canadian Pacific Railway Ltd. | 16 | 2,636 | ||||||
|
| |||||||
Total Canada – 5.5% |
| $ | 7,958 | |||||
China |
| |||||||
Materials – 0.0% |
| |||||||
China Metal Recycling (Holdings) Ltd. (A) | 1,900 | — | ||||||
|
| |||||||
Total China – 0.0% |
| $ | — | |||||
France |
| |||||||
Materials – 0.7% |
| |||||||
L Air Liquide S.A. | 8 | 993 | ||||||
|
| |||||||
Total France – 0.7% |
| $ | 993 | |||||
Netherlands |
| |||||||
Energy – 0.5% |
| |||||||
Core Laboratories N.V. | 6 | 724 | ||||||
|
| |||||||
Total Netherlands – 0.5% |
| $ | 724 | |||||
Switzerland |
| |||||||
Energy – 2.5% |
| |||||||
Weatherford International Ltd. (A) | 299 | 3,673 | ||||||
|
| |||||||
Total Switzerland – 2.5% |
| $ | 3,673 | |||||
United Kingdom |
| |||||||
Materials – 6.7% |
| |||||||
BHP Billiton plc | 220 | 4,315 | ||||||
Randgold Resources Ltd. ADR | 13 | 900 | ||||||
Rio Tinto plc | 111 | 4,578 | ||||||
|
| |||||||
9,793 | ||||||||
|
| |||||||
Total United Kingdom – 6.7% |
| $ | 9,793 | |||||
United States |
| |||||||
Energy – 59.8% |
| |||||||
Anadarko Petroleum Corp. | 37 | 2,916 | ||||||
Antero Resources Corp. (A) | 42 | 1,435 | ||||||
Baker Hughes, Inc. | 81 | 5,004 | ||||||
Cabot Oil & Gas Corp. | 56 | 1,777 | ||||||
Cameron International Corp. (A) | 34 | 1,760 | ||||||
Cimarex Energy Co. | 25 | 2,791 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Energy (Continued) |
| |||||||
Concho Resources, Inc. (A) | 25 | $ | 2,881 | |||||
ConocoPhillips | 12 | 728 | ||||||
Continental Resources, Inc. (A) | 68 | 2,880 | ||||||
Dril-Quip, Inc. (A) | 11 | 813 | ||||||
Energy Transfer Equity L.P. | 44 | 2,820 | ||||||
EOG Resources, Inc. | 45 | 3,940 | ||||||
Exxon Mobil Corp. | 9 | 732 | ||||||
FMC Technologies, Inc. (A) | 19 | 786 | ||||||
Forum Energy Technologies, Inc. (A) | 69 | 1,403 | ||||||
Gulfport Energy Corp. (A) | 34 | 1,352 | ||||||
Halliburton Co. | 162 | 6,992 | ||||||
Helmerich & Payne, Inc. | 22 | 1,532 | ||||||
HollyFrontier Corp. | 21 | 884 | ||||||
Marathon Petroleum Corp. | 62 | 3,233 | ||||||
MarkWest Energy Partners L.P. | 26 | 1,480 | ||||||
Newfield Exploration Co. (A) | 26 | 932 | ||||||
Noble Energy, Inc. | 68 | 2,892 | ||||||
Oasis Petroleum LLC (A) | 101 | 1,602 | ||||||
Patterson-UTI Energy, Inc. | 88 | 1,662 | ||||||
Phillips 66 | 40 | 3,190 | ||||||
Pioneer Natural Resources Co. | 19 | 2,580 | ||||||
Plains GP Holdings L.P., Class A | 57 | 1,478 | ||||||
Rice Energy, Inc. (A) | 78 | 1,623 | ||||||
Rice Midstream Partners L.P. | 53 | 927 | ||||||
Schlumberger Ltd. | 94 | 8,136 | ||||||
Shell Midstream Partners L.P. | 23 | 1,050 | ||||||
Superior Energy Services, Inc. | 96 | 2,021 | ||||||
Tallgrass Energy GP L.P., Class A (A) | 88 | 2,840 | ||||||
Tesoro Corp. | 14 | 1,215 | ||||||
Valero Energy Corp. | 26 | 1,624 | ||||||
Valero Energy Partners L.P. | 15 | 751 | ||||||
Whiting Petroleum Corp. (A) | 48 | 1,613 | ||||||
Williams Co., Inc. (The) | 47 | 2,674 | ||||||
|
| |||||||
86,949 | ||||||||
|
| |||||||
Financials – 2.2% |
| |||||||
CME Group, Inc. | 35 | 3,224 | ||||||
|
| |||||||
Industrials – 4.8% |
| |||||||
Caterpillar, Inc. | 35 | 2,998 | ||||||
Fluor Corp. | 25 | 1,347 | ||||||
Joy Global, Inc. | 51 | 1,834 | ||||||
Kansas City Southern | 9 | 784 | ||||||
|
| |||||||
6,963 | ||||||||
|
| |||||||
Materials – 13.5% |
| |||||||
Dow Chemical Co. (The) (B) | 119 | 6,097 | ||||||
Freeport-McMoRan Copper & Gold, Inc., Class B | 163 | 3,026 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Materials (Continued) |
| |||||||
LyondellBasell Industries N.V., Class A | 49 | $ | 5,083 | |||||
PPG Industries, Inc. | 20 | 2,283 | ||||||
Praxair, Inc. | 6 | 741 | ||||||
Southern Copper Corp. | 79 | 2,322 | ||||||
|
| |||||||
19,552 | ||||||||
|
| |||||||
Total United States – 80.3% |
| $ | 116,688 | |||||
TOTAL COMMON STOCKS – 96.2% |
| $ | 139,829 | |||||
(Cost: $147,095) | ||||||||
INVESTMENT FUNDS | ||||||||
United States – 1.8% |
| |||||||
SPDR Gold Trust (A) | 23 | 2,585 | ||||||
|
| |||||||
TOTAL INVESTMENT FUNDS – 1.8% |
| $ | 2,585 | |||||
(Cost: $2,724) | ||||||||
PREFERRED STOCKS | ||||||||
United States |
| |||||||
Utilities – 0.0% |
| |||||||
Konarka Technologies, Inc., 8.000%, Convertible (A)(C) | 68 | — | ||||||
|
| |||||||
Total United States – 0.0% |
| $ | — | |||||
TOTAL PREFERRED STOCKS – 0.0% |
| $ | — | |||||
(Cost: $211) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 2.1% |
| |||||||
Toyota Motor Credit Corp. | ||||||||
0.140%, 7-1-15 (D) | $ | 3,108 | 3,108 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.1% |
| $ | 3,108 | |||||
(Cost: $3,108) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.1% |
| $ | 145,522 | |||||
(Cost: $153,138) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.1)% |
| (215 | ) | |||||
NET ASSETS – 100.0% |
| $ | 145,307 |
52 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Global Natural Resources (in thousands) | JUNE 30, 2015 (UNAUDITED) |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | All or a portion of securities with an aggregate value of $307 are held in collateralized accounts for OTC derivatives collateral as governed by International Swaps and Derivatives Association, Inc. Master Agreements. |
(C) | Restricted security. At June 30, 2015, the Portfolio owned the following restricted security: |
Security | Acquisition Date(s) | Shares | Cost | Market Value | ||||||||||||||
Konarka Technologies, Inc., 8.000%, Convertible | 8-31-07 | 68 | $ | 211 | $ | — | ||||||||||||
|
|
The | total value of this security represented 0.0% of net assets at June 30, 2015. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following forward foreign currency contracts were outstanding at June 30, 2015:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||
British Pound | 996 | U.S. Dollar | 1,522 | 7-14-15 | State Street Global Markets | $ | — | $ | 43 | |||||||||||||||||
British Pound | 4,988 | U.S. Dollar | 7,625 | 7-14-15 | UBS AG | — | 212 | |||||||||||||||||||
Canadian Dollar | 4,223 | U.S. Dollar | 3,424 | 7-14-15 | UBS AG | 43 | — | |||||||||||||||||||
Euro | 933 | U.S. Dollar | 1,048 | 7-14-15 | UBS AG | 8 | — | |||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 51 | $ | 255 | |||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 139,829 | $ | — | $ | — | ||||||
Investment Funds | 2,585 | — | — | |||||||||
Short-Term Securities | — | 3,108 | — | |||||||||
Total | $ | 142,414 | $ | 3,108 | $ | — | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 51 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 254 | $ | — |
During the period ended June 30, 2015, securities totaling $9,914 were transferred from Level 2 to Level 1. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on December 31, 2014. Transfers out of Level 2 represent the values as of the beginning of the reporting period.
The following acronym is used throughout this schedule:
ADR = American Depositary Receipts
Market Sector Diversification
(as a % of net assets) | ||||
Energy | 66.5% | |||
Materials | 22.7% | |||
Industrials | 6.6% | |||
Financials | 2.2% | |||
Utilities | 0.0% | |||
Other+ | 2.0% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 53 |
Table of Contents
Growth | ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 99.3% | |||
Information Technology | 30.5% | |||
Consumer Discretionary | 27.2% | |||
Health Care | 24.1% | |||
Industrials | 8.1% | |||
Consumer Staples | 3.6% | |||
Telecommunication Services | 2.3% | |||
Financials | 1.5% | |||
Materials | 1.2% | |||
Energy | 0.8% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.7% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Apple, Inc. | Information Technology | Technology Hardware, Storage & Peripherals | ||
MasterCard, Inc., Class A | Information Technology | Data Processing & Outsourced Services | ||
Biogen, Inc. | Health Care | Biotechnology | ||
Home Depot, Inc. (The) | Consumer Discretionary | Home Improvement Retail | ||
Visa, Inc., Class A | Information Technology | Data Processing & Outsourced Services | ||
Allergen plc | Health Care | Pharmaceuticals | ||
Gilead Sciences, Inc. | Health Care | Biotechnology | ||
Celgene Corp. | Health Care | Biotechnology | ||
Facebook, Inc., Class A | Information Technology | Internet Software & Services | ||
HCA Holdings, Inc. | Health Care | Health Care Facilities |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
54 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Growth (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 1.1% |
| |||||||
Limited Brands, Inc. | 116 | $ | 9,945 | |||||
|
| |||||||
Apparel, Accessories & Luxury Goods – 0.7% |
| |||||||
Under Armour, Inc., Class A (A) | 79 | 6,575 | ||||||
|
| |||||||
Automotive Retail – 2.7% |
| |||||||
AutoZone, Inc. (A) | 16 | 10,537 | ||||||
O’Reilly Automotive, Inc. (A) | 58 | 13,175 | ||||||
|
| |||||||
23,712 | ||||||||
|
| |||||||
Broadcasting – 0.7% |
| |||||||
CBS Corp., Class B | 116 | 6,421 | ||||||
|
| |||||||
Cable & Satellite – 2.1% |
| |||||||
Comcast Corp., Class A | 303 | 18,229 | ||||||
|
| |||||||
Casinos & Gaming – 0.5% |
| |||||||
Las Vegas Sands, Inc. | 84 | 4,426 | ||||||
|
| |||||||
Consumer Electronics – 1.7% |
| |||||||
Harman International Industries, Inc. | 124 | 14,784 | ||||||
|
| |||||||
Footwear – 1.6% |
| |||||||
NIKE, Inc., Class B | 127 | 13,762 | ||||||
|
| |||||||
Home Improvement Retail – 3.8% |
| |||||||
Home Depot, Inc. (The) | 303 | 33,672 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 2.4% |
| |||||||
Hilton Worldwide Holdings, Inc. (A) | 754 | 20,759 | ||||||
|
| |||||||
Internet Retail – 4.2% |
| |||||||
Amazon.com, Inc. (A) | 52 | 22,355 | ||||||
Netflix, Inc. (A) | 9 | 6,044 | ||||||
priceline.com, Inc. (A) | 8 | 9,096 | ||||||
|
| |||||||
37,495 | ||||||||
|
| |||||||
Leisure Products – 0.3% |
| |||||||
Polaris Industries, Inc. | 16 | 2,414 | ||||||
|
| |||||||
Movies & Entertainment – 2.0% |
| |||||||
Twenty-First Century Fox, Inc., Class A | 123 | 4,003 | ||||||
Walt Disney Co. (The) | 121 | 13,857 | ||||||
|
| |||||||
17,860 | ||||||||
|
| |||||||
Restaurants – 1.8% |
| |||||||
Starbucks Corp. | 293 | 15,725 | ||||||
|
| |||||||
Specialty Stores – 1.6% |
| |||||||
Ulta Salon, Cosmetics & Fragrance, Inc. (A) | 93 | 14,333 | ||||||
|
| |||||||
Total Consumer Discretionary – 27.2% |
| 240,112 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Consumer Staples |
| |||||||
Brewers – 2.2% |
| |||||||
Anheuser-Busch InBev S.A. ADR | 160 | $ | 19,356 | |||||
|
| |||||||
Personal Products – 0.5% |
| |||||||
Estee Lauder Co., Inc. (The), Class A | 49 | 4,246 | ||||||
|
| |||||||
Tobacco – 0.9% |
| |||||||
Philip Morris International, Inc. | 99 | 7,929 | ||||||
|
| |||||||
Total Consumer Staples – 3.6% |
| 31,531 | ||||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 0.8% |
| |||||||
EOG Resources, Inc. | 84 | 7,380 | ||||||
|
| |||||||
Total Energy – 0.8% |
| 7,380 | ||||||
Financials |
| |||||||
Investment Banking & Brokerage – 1.5% |
| |||||||
Charles Schwab Corp. (The) | 411 | 13,416 | ||||||
|
| |||||||
Total Financials – 1.5% |
| 13,416 | ||||||
Health Care |
| |||||||
Biotechnology – 14.1% |
| |||||||
Alexion Pharmaceuticals, Inc. (A) | 56 | 10,087 | ||||||
Amgen, Inc. | 54 | 8,213 | ||||||
Biogen, Inc. (A) | 89 | 36,072 | ||||||
Celgene Corp. (A) | 257 | 29,709 | ||||||
Gilead Sciences, Inc. | 272 | 31,846 | ||||||
Vertex Pharmaceuticals, Inc. (A) | 72 | 8,841 | ||||||
|
| |||||||
124,768 | ||||||||
|
| |||||||
Health Care Facilities – 2.7% |
| |||||||
HCA Holdings, Inc. (A) | 266 | 24,141 | ||||||
|
| |||||||
Pharmaceuticals – 7.3% |
| |||||||
Allergen plc (A) | 106 | 32,293 | ||||||
Bristol-Myers Squibb Co. | 247 | 16,455 | ||||||
Shire Pharmaceuticals Group plc ADR | 64 | 15,455 | ||||||
|
| |||||||
64,203 | ||||||||
|
| |||||||
Total Health Care – 24.1% |
| 213,112 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 2.3% |
| |||||||
Boeing Co. (The) | 147 | 20,350 | ||||||
|
| |||||||
Industrial Conglomerates – 0.8% |
| |||||||
Danaher Corp. | 79 | 6,770 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Railroads – 5.0% |
| |||||||
Canadian Pacific Railway Ltd. | 120 | $ | 19,244 | |||||
Kansas City Southern | 47 | 4,250 | ||||||
Union Pacific Corp. | 217 | 20,676 | ||||||
|
| |||||||
44,170 | ||||||||
|
| |||||||
Total Industrials – 8.1% |
| 71,290 | ||||||
Information Technology |
| |||||||
Application Software – 1.6% |
| |||||||
Adobe Systems, Inc. (A) | 179 | 14,485 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 9.9% |
| |||||||
Alliance Data Systems Corp. (A) | 30 | 8,817 | ||||||
FleetCor Technologies, Inc. (A) | 38 | 5,993 | ||||||
MasterCard, Inc., Class A | 432 | 40,355 | ||||||
Visa, Inc., Class A | 482 | 32,346 | ||||||
|
| |||||||
87,511 | ||||||||
|
| |||||||
Internet Software & Services – 7.6% |
| |||||||
Facebook, Inc., Class A (A) | 310 | 26,613 | ||||||
Google, Inc., Class A (A) | 20 | 10,725 | ||||||
Google, Inc., Class C (A) | 32 | 16,837 | ||||||
LinkedIn Corp., Class A (A) | 43 | 8,825 | ||||||
Twitter, Inc. (A) | 124 | 4,473 | ||||||
|
| |||||||
67,473 | ||||||||
|
| |||||||
IT Consulting & Other Services – 1.7% |
| |||||||
Cognizant Technology Solutions Corp., Class A (A) | 252 | 15,401 | ||||||
|
| |||||||
Semiconductor Equipment – 1.9% |
| |||||||
Applied Materials, Inc. | 269 | 5,172 | ||||||
Lam Research Corp. | 146 | 11,861 | ||||||
|
| |||||||
17,033 | ||||||||
|
| |||||||
Semiconductors – 1.8% |
| |||||||
NXP Semiconductors N.V. (A) | 159 | 15,594 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 6.0% |
| |||||||
Apple, Inc. | 419 | 52,539 | ||||||
|
| |||||||
Total Information Technology – 30.5% |
| 270,036 | ||||||
Materials |
| |||||||
Diversified Chemicals – 1.2% |
| |||||||
PPG Industries, Inc. | 89 | 10,256 | ||||||
|
| |||||||
Total Materials – 1.2% |
| 10,256 |
2015 | SEMIANNUAL REPORT | 55 |
Table of Contents
SCHEDULE OF INVESTMENTS
Growth (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Telecommunication Services |
| |||||||
Wireless Telecommunication Service – 2.3% |
| |||||||
American Tower Corp., Class A | 127 | $ | 11,839 | |||||
SBA Communications Corp. (A) | 78 | 9,002 | ||||||
|
| |||||||
20,841 | ||||||||
|
| |||||||
Total Telecommunication Services – 2.3% |
| 20,841 | ||||||
TOTAL COMMON STOCKS – 99.3% |
| $ | 877,974 | |||||
(Cost: $625,930) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (B) – 0.1% |
| |||||||
Freddie Mac Discount Notes, | ||||||||
0.035%, 7-7-15 | $ | 1,184 | 1,184 | |||||
|
| |||||||
Master Note – 0.4% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (C) | 3,417 | 3,417 | ||||||
|
| |||||||
United States Government Agency Obligations – 0.2% |
| |||||||
Overseas Private Investment Corp. (GTD by U.S. Government), | ||||||||
0.110%, 7-7-15 (C) | 1,395 | 1,395 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.7% |
| $ | 5,996 | |||||
(Cost: $5,996) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 883,970 | |||||
(Cost: $631,926) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (183 | ) | |||||
NET ASSETS – 100.0% |
| $ | 883,787 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Rate shown is the yield to maturity at June 30, 2015. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
56 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Growth (in thousands) | JUNE 30, 2015 (UNAUDITED) |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 877,974 | $ | — | $ | — | ||||||
Short-Term Securities | — | 5,996 | — | |||||||||
Total | $ | 877,974 | $ | 5,996 | $ | — |
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
GTD = Guaranteed
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 57 |
Table of Contents
High Income | ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 1.6% | |||
Telecommunication Services | 0.9% | |||
Consumer Discretionary | 0.5% | |||
Materials | 0.1% | |||
Financials | 0.1% | |||
Energy | 0.0% | |||
Utilities | 0.0% | |||
Industrials | 0.0% | |||
Warrants | 0.0% | |||
Bonds | 92.3% | |||
Corporate Debt Securities | 71.5% | |||
Loans | 20.8% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 6.1% |
Quality Weightings
Investment Grade | 0.4% | |||
BBB | 0.4% | |||
Non-Investment Grade | 91.9% | |||
BB | 15.1% | |||
B | 30.6% | |||
CCC | 43.1% | |||
Non-rated | 3.1% | |||
Cash and Other Assets (Net of Liabilities), Cash Equivalents+ and Equities | 7.7% |
Our preference is to always use ratings obtained from Standard & Poor’s. For securities not rated by Standard & Poor’s, ratings are obtained from Moody’s. 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.
58 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Income (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Cable & Satellite – 0.5% |
| |||||||
Time Warner Cable, Inc. | 24 | $ | 4,187 | |||||
|
| |||||||
Casinos & Gaming – 0.0% |
| |||||||
New Cotai Participation Corp., Class B (A) | — | * | 67 | |||||
|
| |||||||
Total Consumer Discretionary – 0.5% |
| 4,254 | ||||||
Energy |
| |||||||
Oil & Gas Storage & Transportation – 0.0% |
| |||||||
Crestwood Midstream Partners L.P. | 14 | 159 | ||||||
Inergy L.P. | 33 | 136 | ||||||
|
| |||||||
295 | ||||||||
|
| |||||||
Total Energy – 0.0% |
| 295 | ||||||
Financials |
| |||||||
Consumer Finance – 0.1% |
| |||||||
JG Wentworth Co. (A) | 82 | 751 | ||||||
|
| |||||||
Total Financials – 0.1% |
| 751 | ||||||
Industrials |
| |||||||
Railroads – 0.0% |
| |||||||
Kansas City Southern | 3 | 255 | ||||||
|
| |||||||
Total Industrials – 0.0% |
| 255 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 0.2% |
| |||||||
Frontier Communications Corp. | 275 | 1,361 | ||||||
|
| |||||||
Total Telecommunication Services – 0.2% |
| 1,361 | ||||||
Utilities |
| |||||||
Gas Utilities – 0.0% |
| |||||||
Suburban Propane Partners L.P. | 4 | 142 | ||||||
|
| |||||||
Total Utilities – 0.0% |
| 142 | ||||||
TOTAL COMMON STOCKS – 0.8% |
| $ | 7,058 | |||||
(Cost: $7,172) | ||||||||
PREFERRED STOCKS | ||||||||
Materials |
| |||||||
Steel – 0.1% |
| |||||||
ArcelorMittal, 6.000%, Convertible | 23 | 353 | ||||||
|
| |||||||
Total Materials – 0.1% |
| 353 |
PREFERRED STOCKS (Continued) | Shares | Value | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 0.7% |
| |||||||
Frontier Communications Corp., Convertible Series A, 11.125% (A) | 61 | $ | 6,058 | |||||
|
| |||||||
Total Telecommunication Services – 0.7% |
| 6,058 | ||||||
TOTAL PREFERRED STOCKS – 0.8% |
| $ | 6,411 | |||||
(Cost: $6,660) | ||||||||
WARRANTS | ||||||||
Agricultural Products – 0.0% |
| |||||||
ASG Consolidated LLC (B) | 1 | 18 | ||||||
|
| |||||||
TOTAL WARRANTS – 0.0% |
| $ | 18 | |||||
(Cost: $72) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Consumer Discretionary |
| |||||||
Advertising – 0.9% |
| |||||||
Acosta, Inc., | ||||||||
7.750%, 10-1-22 (C) | $ | 4,985 | 5,022 | |||||
Lamar Media Corp., | ||||||||
5.375%, 1-15-24 | 1,376 | 1,395 | ||||||
Outfront Media Capital LLC and Outfront Media Capital Corp.: | ||||||||
5.250%, 2-15-22 | 743 | 752 | ||||||
5.625%, 2-15-24 | 500 | 511 | ||||||
5.625%, 2-15-24 (C) | 73 | 75 | ||||||
|
| |||||||
7,755 | ||||||||
|
| |||||||
Apparel Retail – 1.9% |
| |||||||
Bon-Ton Stores, Inc. (The), | ||||||||
8.000%, 6-15-21 | 4,024 | 3,079 | ||||||
Chinos Intermediate Holdings A, Inc., | ||||||||
7.750%, 5-1-19 (C)(D) | 2,869 | 2,309 | ||||||
Gymboree Corp. (The), | ||||||||
9.125%, 12-1-18 | 3,071 | 1,213 | ||||||
Hot Topic, Inc., | ||||||||
9.250%, 6-15-21 (C) | 1,264 | 1,327 | ||||||
HT Intermediate Holdings Corp., | ||||||||
12.000%, 5-15-19 (C)(D) | 641 | 651 | ||||||
Neiman Marcus Group Ltd., Inc., | ||||||||
8.000%, 10-15-21 (C) | 3,152 | 3,325 | ||||||
Nine West Holdings, Inc., | ||||||||
8.250%, 3-15-19 (C) | 6,131 | 4,108 | ||||||
|
| |||||||
16,012 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Auto Parts & Equipment – 0.4% |
| |||||||
Midas Intermediate HoldCo II LLC & Midas Intermediate Finance, Inc., | ||||||||
7.875%, 10-1-22 (C) | $ | 2,209 | $ | 2,204 | ||||
Schaeffler Finance B.V., | ||||||||
4.250%, 5-15-21 (C) | 1,553 | 1,514 | ||||||
|
| |||||||
3,718 | ||||||||
|
| |||||||
Automobile Manufacturers – 0.4% |
| |||||||
Jaguar Land Rover plc, | ||||||||
5.625%, 2-1-23 (C) | 1,458 | 1,509 | ||||||
Navistar International Corp., | ||||||||
8.250%, 11-1-21 | 2,248 | 2,136 | ||||||
|
| |||||||
3,645 | ||||||||
|
| |||||||
Automotive Retail – 0.6% |
| |||||||
Group 1 Automotive, Inc., | ||||||||
5.000%, 6-1-22 | 1,110 | 1,104 | ||||||
Sonic Automotive, Inc., | ||||||||
5.000%, 5-15-23 | 4,227 | 4,132 | ||||||
|
| |||||||
5,236 | ||||||||
|
| |||||||
Broadcasting – 1.9% |
| |||||||
Clear Channel Communications, Inc., | ||||||||
10.000%, 1-15-18 | 2,111 | 1,699 | ||||||
Clear Channel Outdoor Holdings, Inc., | ||||||||
6.500%, 11-15-22 | 4,494 | 4,658 | ||||||
Clear Channel Worldwide Holdings, Inc., Series A, | ||||||||
7.625%, 3-15-20 | 221 | 228 | ||||||
Clear Channel Worldwide Holdings, Inc., Series B, | ||||||||
7.625%, 3-15-20 | 1,780 | 1,856 | ||||||
Cumulus Media, Inc., | ||||||||
7.750%, 5-1-19 | 3,815 | 3,500 | ||||||
iHeartCommunications, Inc. (GTD by iHeartMedia Capital I LLC), | ||||||||
10.625%, 3-15-23 (C) | 1,485 | 1,407 | ||||||
WideOpenWest Finance LLC and WideOpenWest Capital Corp., | ||||||||
10.250%, 7-15-19 | 1,991 | 2,125 | ||||||
|
| |||||||
15,473 | ||||||||
|
| |||||||
Cable & Satellite – 5.3% |
| |||||||
Altice Financing S.A., | ||||||||
6.625%, 2-15-23 (C) | 708 | 703 | ||||||
Altice S.A.: | ||||||||
7.250%, 5-15-22 (C)(E) | EUR | 256 | 288 | |||||
7.750%, 5-15-22 (C) | $ | 8,565 | 8,287 | |||||
6.250%, 2-15-25 (C)(E) | EUR | 354 | 375 | |||||
7.625%, 2-15-25 (C) | $ | 1,969 | 1,851 | |||||
Cable One, Inc., | ||||||||
5.750%, 6-15-22 (C) | 529 | 536 |
2015 | SEMIANNUAL REPORT | 59 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Income (in thousands) | JUNE 30, 2015 (UNAUDITED) |
CORPORATE DEBT | Principal | Value | ||||||
Cable & Satellite (Continued) |
| |||||||
Cablevision Systems Corp., | ||||||||
5.875%, 9-15-22 | $ | 965 | $ | 936 | ||||
CCO Holdings LLC and CCO Holdings Capital Corp.: | ||||||||
5.250%, 3-15-21 | 293 | 292 | ||||||
5.250%, 9-30-22 | 390 | 384 | ||||||
5.125%, 2-15-23 | 390 | 380 | ||||||
5.750%, 9-1-23 | 98 | 98 | ||||||
5.750%, 1-15-24 | 2,519 | 2,538 | ||||||
Columbus International, Inc., | ||||||||
7.375%, 3-30-21 (C) | 517 | 556 | ||||||
DISH DBS Corp.: | ||||||||
6.750%, 6-1-21 | 836 | 871 | ||||||
5.875%, 7-15-22 | 910 | 892 | ||||||
5.000%, 3-15-23 | 418 | 388 | ||||||
Sirius XM Radio, Inc.: | ||||||||
5.875%, 10-1-20 (C) | 1,645 | 1,686 | ||||||
5.750%, 8-1-21 (C) | 500 | 514 | ||||||
4.625%, 5-15-23 (C) | 4,936 | 4,634 | ||||||
6.000%, 7-15-24 (C) | 8,000 | 8,080 | ||||||
VTR Finance B.V., | ||||||||
6.875%, 1-15-24 (C) | 6,735 | 6,882 | ||||||
Wave Holdco LLC and Wave Holdco Corp., | ||||||||
8.250%, 7-15-19 (C)(D) | 553 | 563 | ||||||
WaveDivision Escrow LLC and WaveDivision Escrow Corp., | ||||||||
8.125%, 9-1-20 (C) | 2,357 | 2,451 | ||||||
|
| |||||||
44,185 | ||||||||
|
| |||||||
Casinos & Gaming – 2.4% |
| |||||||
Gateway Casinos & Entertainment Ltd., | ||||||||
8.500%, 11-26-20 (C)(E) | CAD | 2,465 | 1,983 | |||||
MCE Finance Ltd., | ||||||||
5.000%, 2-15-21 (C) | $ | 1,929 | 1,832 | |||||
Scientific Games Corp., | ||||||||
8.125%, 9-15-18 | 408 | 386 | ||||||
Studio City Finance Ltd., | ||||||||
8.500%, 12-1-20 (C) | 8,750 | 8,717 | ||||||
Wynn Macau Ltd., | ||||||||
5.250%, 10-15-21 (C) | 7,898 | 7,464 | ||||||
|
| |||||||
20,382 | ||||||||
|
| |||||||
Catalog Retail – 0.1% |
| |||||||
Argos Merger Sub, Inc., | ||||||||
7.125%, 3-15-23 (C) | 429 | 449 | ||||||
|
| |||||||
Distributors – 1.1% |
| |||||||
LKQ Corp., | ||||||||
4.750%, 5-15-23 | 2,250 | 2,146 |
CORPORATE DEBT | Principal | Value | ||||||
Distributors (Continued) |
| |||||||
Pinnacle Operating Corp., | ||||||||
9.000%, 11-15-20 (C) | $ | 6,983 | $ | 6,931 | ||||
|
| |||||||
9,077 | ||||||||
|
| |||||||
Education Services – 2.1% |
| |||||||
Laureate Education, Inc., | ||||||||
10.000%, 9-1-19 (C)(F) | 18,603 | 17,347 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.3% |
| |||||||
Interval Acquisition Corp., | ||||||||
5.625%, 4-15-23 (C) | 2,034 | 2,059 | ||||||
|
| |||||||
Leisure Facilities – 0.2% |
| |||||||
Palace Entertainment Holdings LLC, | ||||||||
8.875%, 4-15-17 (C) | 1,742 | 1,742 | ||||||
|
| |||||||
Movies & Entertainment – 1.3% |
| |||||||
AMC Entertainment, Inc.: | ||||||||
5.875%, 2-15-22 | 1,509 | 1,532 | ||||||
5.750%, 6-15-25 (C) | 2,416 | 2,362 | ||||||
Cinemark USA, Inc.: | ||||||||
5.125%, 12-15-22 | 675 | 669 | ||||||
4.875%, 6-1-23 | 2,900 | 2,787 | ||||||
WMG Acquisition Corp.: | ||||||||
5.625%, 4-15-22 (C) | 251 | 252 | ||||||
6.750%, 4-15-22 (C) | 3,664 | 3,481 | ||||||
|
| |||||||
11,083 | ||||||||
|
| |||||||
Restaurants – 0.1% |
| |||||||
Carrols Restaurant Group, Inc., | ||||||||
8.000%, 5-1-22 (C) | 921 | 967 | ||||||
|
| |||||||
Specialized Consumer Services – 3.1% |
| |||||||
AA Bond Co. Ltd., | ||||||||
9.500%, 7-31-19 (C)(E) | GBP | 1,275 | 2,184 | |||||
B-Corp Merger Sub, Inc., | ||||||||
8.250%, 6-1-19 | $ | 8,778 | 7,505 | |||||
Carlson Travel Holdings, | ||||||||
7.500%, 8-15-19 (C)(D) | 1,390 | 1,411 | ||||||
Carlson Wagonlit B.V.: | ||||||||
6.875%, 6-15-19 (C) | 2,674 | 2,818 | ||||||
7.500%, 6-15-19 (C)(E) | EUR | 1,787 | 2,102 | |||||
Emdeon, Inc., | ||||||||
11.000%, 12-31-19 | $ | 1,204 | 1,306 | |||||
Lansing Trade Group, | ||||||||
9.250%, 2-15-19 (C) | 1,571 | 1,536 |
CORPORATE DEBT (Continued) | Principal | Value | ||||||
Specialized Consumer Services (Continued) |
| |||||||
Nielsen Finance, | ||||||||
5.500%, 10-1-21 (C) | $ | 2,871 | $ | 2,900 | ||||
Nielsen Finance LLC and Nielsen Finance Co., | ||||||||
5.000%, 4-15-22 (C) | 4,385 | 4,308 | ||||||
|
| |||||||
26,070 | ||||||||
|
| |||||||
Specialty Stores – 3.0% |
| |||||||
Academy Ltd. and Academy Finance Corp., | ||||||||
9.250%, 8-1-19 (C) | 671 | 705 | ||||||
Jo-Ann Stores Holdings, Inc., | ||||||||
9.750%, 10-15-19 (C)(D) | 11,527 | 10,317 | ||||||
Jo-Ann Stores, Inc., | ||||||||
8.125%, 3-15-19 (C) | 1,205 | 1,134 | ||||||
New Academy Finance Co. LLC, | ||||||||
8.000%, 6-15-18 (C)(D) | 10,461 | 10,566 | ||||||
Spencer Spirit Holdings, Inc., | ||||||||
9.000%, 5-1-18 (C)(D) | 2,421 | 2,451 | ||||||
|
| |||||||
25,173 | ||||||||
|
| |||||||
Total Consumer Discretionary – 25.1% |
| 210,373 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 0.5% |
| |||||||
American Seafoods Group LLC, | ||||||||
10.750%, 5-15-16 (C) | 1,716 | 1,690 | ||||||
ASG Consolidated LLC, | ||||||||
15.000%, 5-15-17 (C)(D) | 4,122 | 2,597 | ||||||
|
| |||||||
4,287 | ||||||||
|
| |||||||
Food Distributors – 2.8% |
| |||||||
Simmons Foods, Inc., | ||||||||
7.875%, 10-1-21 (C) | 5,612 | 5,163 | ||||||
U.S. Foodservice, Inc., | ||||||||
8.500%, 6-30-19 | 17,304 | 18,039 | ||||||
|
| |||||||
23,202 | ||||||||
|
| |||||||
Packaged Foods & Meats – 1.2% |
| |||||||
Bumble Bee Foods LLC, | ||||||||
9.625%, 3-15-18 (C)(D) | 2,031 | 2,087 | ||||||
JBS USA LLC and JBS USA Finance, Inc.: | ||||||||
5.875%, 7-15-24 (C) | 5,695 | 5,731 | ||||||
5.750%, 6-15-25 (C) | 1,406 | 1,392 |
60 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Income (in thousands) | JUNE 30, 2015 (UNAUDITED) |
CORPORATE DEBT | Principal | Value | ||||||
Packaged Foods & Meats (Continued) |
| |||||||
Post Holdings, Inc., | ||||||||
7.375%, 2-15-22 | $ | 977 | $ | 994 | ||||
|
| |||||||
10,204 | ||||||||
|
| |||||||
Tobacco – 0.3% |
| |||||||
Prestige Brands, Inc., | ||||||||
5.375%, 12-15-21 (C) | 2,358 | 2,358 | ||||||
|
| |||||||
Total Consumer Staples – 4.8% |
| 40,051 | ||||||
Energy |
| |||||||
Coal & Consumable Fuels – 0.4% |
| |||||||
Foresight Energy LLC and Foresight Energy Finance Corp., | ||||||||
7.875%, 8-15-21 (C) | 3,749 | 3,365 | ||||||
|
| |||||||
Oil & Gas Drilling – 0.2% |
| |||||||
KCA DEUTAG UK Finance plc, | ||||||||
7.250%, 5-15-21 (C) | 1,981 | 1,644 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.6% |
| |||||||
Brand Energy & Infrastructure Services, | ||||||||
8.500%, 12-1-21 (C) | 4,238 | 3,941 | ||||||
Key Energy Services, Inc., | ||||||||
6.750%, 3-1-21 | 816 | 482 | ||||||
Seventy Seven Energy, Inc., | ||||||||
6.500%, 7-15-22 | 664 | 425 | ||||||
|
| |||||||
4,848 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 1.8% |
| |||||||
Bellatrix Exploration Ltd., | ||||||||
8.500%, 5-15-20 (C) | 2,247 | 2,107 | ||||||
California Resources Corp., | ||||||||
6.000%, 11-15-24 | 5,749 | 4,937 | ||||||
Chesapeake Energy Corp.: | ||||||||
3.525%, 4-15-19 (F) | 496 | 454 | ||||||
4.875%, 4-15-22 | 951 | 827 | ||||||
Crownrock L.P., | ||||||||
7.750%, 2-15-23 (C) | 715 | 761 | ||||||
Endeavor Energy Resources L.P.: | ||||||||
7.000%, 8-15-21 (C) | 1,177 | 1,171 | ||||||
8.125%, 9-15-23 (C) | 758 | 782 | ||||||
Midstates Petroleum Co., Inc. and Midstates Petroleum Co. LLC, | ||||||||
10.000%, 6-1-20 (C) | 1,883 | 1,803 | ||||||
Parsley Energy LLC and Parsely Finance Corp., | ||||||||
7.500%, 2-15-22 (C) | 834 | 846 | ||||||
Rice Energy, Inc., | ||||||||
7.250%, 5-1-23 (C) | 798 | 818 | ||||||
Whiting Petroleum Corp., | ||||||||
5.750%, 3-15-21 | 578 | 569 | ||||||
|
| |||||||
15,075 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.8% |
| |||||||
Gulfport Energy Corp., | ||||||||
6.625%, 5-1-23 (C) | 221 | 224 |
CORPORATE DEBT | Principal | Value | ||||||
Oil & Gas Refining & Marketing (Continued) |
| |||||||
Offshore Drilling Holding S.A., | ||||||||
8.375%, 9-20-20 (C)(F) | $ | 4,063 | $ | 3,636 | ||||
Offshore Group Investment Ltd.: | ||||||||
7.500%, 11-1-19 | 2,160 | 1,328 | ||||||
7.125%, 4-1-23 | 493 | 301 | ||||||
Seven Generations Energy Ltd., | ||||||||
6.750%, 5-1-23 (C) | 1,531 | 1,527 | ||||||
|
| |||||||
7,016 | ||||||||
|
| |||||||
Total Energy – 3.8% |
| 31,948 | ||||||
Financials |
| |||||||
Consumer Finance – 1.5% |
| |||||||
Creditcorp, | ||||||||
12.000%, 7-15-18 (C) | 4,228 | 3,541 | ||||||
General Motors Financial Co., Inc., | ||||||||
4.250%, 5-15-23 | 429 | 434 | ||||||
Quicken Loans, Inc., | ||||||||
5.750%, 5-1-25 (C) | 3,346 | 3,204 | ||||||
Speedy Cash Intermediate Holdings Corp., | ||||||||
10.750%, 5-15-18 (C) | 5,082 | 4,803 | ||||||
Speedy Group Holdings Corp., | ||||||||
12.000%, 11-15-17 (C) | 986 | 882 | ||||||
|
| |||||||
12,864 | ||||||||
|
| |||||||
Diversified Capital Markets – 1.1% |
| |||||||
JLL/Delta Dutch Newco B.V., | ||||||||
7.500%, 2-1-22 (C) | 1,037 | 1,081 | ||||||
Patriot Merger Corp., | ||||||||
9.000%, 7-15-21 (C) | 8,406 | 8,301 | ||||||
|
| |||||||
9,382 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 0.2% |
| |||||||
GFI Group, Inc., | ||||||||
9.625%, 7-19-18 (F) | 1,735 | 1,956 | ||||||
|
| |||||||
Other Diversified Financial Services – 4.0% |
| |||||||
AAF Holdings LLC and AAF Finance Co., | ||||||||
12.000%, 7-1-19 (C)(D) | 1,710 | 1,688 | ||||||
Abengoa Finance SAU, | ||||||||
7.750%, 2-1-20 (C) | 5,394 | 5,340 | ||||||
Balboa Merger Sub, Inc., | ||||||||
11.375%, 12-1-21 (C) | 9,982 | 9,920 | ||||||
Greektown Holdings LLC and Greektown Mothership Corp., | ||||||||
8.875%, 3-15-19 (C) | 3,033 | 3,185 | ||||||
New Cotai LLC and New Cotai Capital Corp., | ||||||||
10.625%, 5-1-19 (C)(D) | 8,378 | 7,205 | ||||||
TransUnion Holding Co., Inc., | ||||||||
8.125%, 6-15-18 (D) | 600 | 613 |
CORPORATE DEBT | Principal | Value | ||||||
Other Diversified Financial Services (Continued) |
| |||||||
TransUnion LLC and TransUnion Financing Corp., | ||||||||
9.625%, 6-15-18 (D) | $ | 5,430 | $ | 5,445 | ||||
|
| |||||||
33,396 | ||||||||
|
| |||||||
Property & Casualty Insurance – 1.4% |
| |||||||
Hub International Ltd., | ||||||||
7.875%, 10-1-21 (C) | 2,663 | 2,716 | ||||||
Onex USI Acquisition Corp., | ||||||||
7.750%, 1-15-21 (C) | 9,188 | 9,326 | ||||||
|
| |||||||
12,042 | ||||||||
|
| |||||||
Real Estate Development – 0.3% |
| |||||||
Hub Holdings LLC and Hub Holdings Finance, Inc., | ||||||||
8.125%, 7-15-19 (C)(D) | 1,990 | 1,980 | ||||||
|
| |||||||
Real Estate Services – 0.2% |
| |||||||
Stearns Holdings, Inc., | ||||||||
9.375%, 8-15-20 (C) | 1,357 | 1,364 | ||||||
|
| |||||||
Specialized Finance – 1.2% |
| |||||||
Consolidated Communications Finance II Co., | ||||||||
6.500%, 10-1-22 (C) | 1,505 | 1,451 | ||||||
Flexi-Van Leasing, Inc., | ||||||||
7.875%, 8-15-18 (C) | 1,881 | 1,909 | ||||||
TMX Finance LLC and TitleMax Finance Corp., | ||||||||
8.500%, 9-15-18 (C) | 7,798 | 6,394 | ||||||
|
| |||||||
9,754 | ||||||||
|
| |||||||
Specialized REITs – 0.5% |
| |||||||
Aircastle Ltd.: | ||||||||
5.125%, 3-15-21 | 2,728 | 2,755 | ||||||
5.500%, 2-15-22 | 1,532 | 1,564 | ||||||
|
| |||||||
4,319 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.5% |
| |||||||
Provident Funding Associates L.P. and PFG Finance Corp., | ||||||||
6.750%, 6-15-21 (C) | 4,573 | 4,367 | ||||||
|
| |||||||
Total Financials – 10.9% |
| 91,424 | ||||||
Health Care |
| |||||||
Biotechnology – 0.2% |
| |||||||
Concordia Healthcare Corp., | ||||||||
7.000%, 4-15-23 (C) | 1,401 | 1,401 | ||||||
|
| |||||||
Health Care Equipment – 0.2% |
| |||||||
Mallinckrodt International Finance S.A. and Mallinckrodt CB LLC, | ||||||||
5.750%, 8-1-22 (C) | 1,278 | 1,303 | ||||||
|
|
2015 | SEMIANNUAL REPORT | 61 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Income (in thousands) | JUNE 30, 2015 (UNAUDITED) |
CORPORATE DEBT | Principal | Value | ||||||
Health Care Facilities – 2.9% |
| |||||||
Acadia Healthcare Co., Inc., | ||||||||
5.625%, 2-15-23 (C) | $ | 300 | $ | 304 | ||||
AmSurg Corp., | ||||||||
5.625%, 11-30-20 | 897 | 913 | ||||||
AmSurg Escrow Corp., | ||||||||
5.625%, 7-15-22 | 1,384 | 1,396 | ||||||
Capsugel S.A., | ||||||||
7.000%, 5-15-19 (C)(D) | 1,807 | 1,839 | ||||||
ConvaTec Finance International S.A., | ||||||||
8.250%, 1-15-19 (C)(D) | 2,570 | 2,525 | ||||||
DaVita HealthCare Partners, Inc., | ||||||||
5.000%, 5-1-25 | 1,473 | 1,418 | ||||||
ExamWorks Group, Inc., | ||||||||
5.625%, 4-15-23 | 293 | 301 | ||||||
FWCT-2 Escrow Corp., | ||||||||
6.875%, 2-1-22 | 1,752 | 1,850 | ||||||
MPH Acquisition Holdings LLC, | ||||||||
6.625%, 4-1-22 (C) | 2,133 | 2,178 | ||||||
Tenet Healthcare Corp.: | ||||||||
6.750%, 2-1-20 | 1,408 | 1,471 | ||||||
3.786%, 6-15-20 (C)(F) | 378 | 381 | ||||||
6.000%, 10-1-20 | 1,928 | 2,056 | ||||||
8.125%, 4-1-22 | 6,621 | 7,250 | ||||||
THC Escrow Corp. II, | ||||||||
6.750%, 6-15-23 (C) | 756 | 772 | ||||||
|
| |||||||
24,654 | ||||||||
|
| |||||||
Health Care Services – 1.4% |
| |||||||
MedImpact Holdings, Inc., | ||||||||
10.500%, 2-1-18 (C) | 6,790 | 7,147 | ||||||
Truven Health Analytics, Inc., | ||||||||
10.625%, 6-1-20 | 4,548 | 4,764 | ||||||
|
| |||||||
11,911 | ||||||||
|
| |||||||
Health Care Supplies – 0.6% |
| |||||||
Ortho-Clinical Diagnostics, | ||||||||
6.625%, 5-15-22 (C) | 6,019 | 5,312 | ||||||
|
| |||||||
Pharmaceuticals – 1.0% |
| |||||||
JLL/Delta Dutch Newco B.V., | ||||||||
8.750%, 5-1-20 (C)(D) | 4,505 | 4,573 | ||||||
VRX Escrow Corp.: | ||||||||
5.375%, 3-15-20 (C) | 1,434 | 1,481 | ||||||
5.875%, 5-15-23 (C) | 1,434 | 1,468 | ||||||
6.125%, 4-15-25 (C) | 717 | 738 | ||||||
|
| |||||||
8,260 | ||||||||
|
| |||||||
Total Health Care – 6.3% |
| 52,841 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 2.5% |
| |||||||
Silver II Borrower SCA and Silver II U.S. Holdings, | ||||||||
7.750%, 12-15-20 (C) | 7,077 | 6,546 |
CORPORATE DEBT | Principal | Value | ||||||
Aerospace & Defense (Continued) |
| |||||||
TransDigm Group, Inc.: | ||||||||
5.500%, 10-15-20 | $ | 550 | $ | 547 | ||||
7.500%, 7-15-21 | 4,206 | 4,521 | ||||||
TransDigm, Inc.: | ||||||||
6.000%, 7-15-22 | 4,325 | 4,271 | ||||||
6.500%, 7-15-24 | 5,515 | 5,446 | ||||||
|
| |||||||
21,331 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.4% |
| |||||||
TRAC Intermodal LLC and TRAC Intermodal Corp., | ||||||||
11.000%, 8-15-19 | 1,865 | 2,014 | ||||||
XPO Logistics, Inc., | ||||||||
6.500%, 6-15-22 (C) | 1,135 | 1,111 | ||||||
|
| |||||||
3,125 | ||||||||
|
| |||||||
Building Products – 1.2% |
| |||||||
CPG Merger Sub LLC, | ||||||||
8.000%, 10-1-21 (C) | 614 | 635 | ||||||
Ply Gem Industries, Inc., | ||||||||
6.500%, 2-1-22 | 5,078 | 4,987 | ||||||
Roofing Supply Group LLC and Roofing Supply Finance, Inc., | ||||||||
10.000%, 6-1-20 (C) | 3,988 | 4,078 | ||||||
USG Corp., | ||||||||
5.500%, 3-1-25 (C) | 711 | 708 | ||||||
|
| |||||||
10,408 | ||||||||
|
| |||||||
Diversified Support Services – 0.4% |
| |||||||
Algeco Scotsman Global Finance plc: | ||||||||
8.500%, 10-15-18 (C) | 1,500 | 1,447 | ||||||
10.750%, 10-15-19 (C) | 1,513 | 1,161 | ||||||
Nexeo Solutions LLC, | ||||||||
8.375%, 3-1-18 | 470 | 435 | ||||||
|
| |||||||
3,043 | ||||||||
|
| |||||||
Environmental & Facilities Services – 0.4% |
| |||||||
GFL Environmental, Inc., | ||||||||
7.875%, 4-1-20 (C) | 2,871 | 2,943 | ||||||
|
| |||||||
Railroads – 0.4% |
| |||||||
Florida East Coast Holdings Corp. and Florida East Coast Industries LLC: | ||||||||
6.750%, 5-1-19 (C) | 2,449 | 2,455 | ||||||
9.750%, 5-1-20 (C) | 1,017 | 964 | ||||||
|
| |||||||
3,419 | ||||||||
|
| |||||||
Trading Companies & Distributors – 0.5% |
| |||||||
HD Supply, Inc., | ||||||||
11.500%, 7-15-20 | 3,831 | 4,425 | ||||||
|
| |||||||
Total Industrials – 5.8% |
| 48,694 | ||||||
Information Technology |
| |||||||
Application Software – 0.3% |
| |||||||
Infor Software Parent LLC and Infor Software Parent, Inc., | ||||||||
7.125%, 5-1-21 (C)(D) | 2,461 | 2,470 | ||||||
|
|
CORPORATE DEBT | Principal | Value | ||||||
Data Processing & Outsourced Services – 2.4% |
| |||||||
Alliance Data Systems Corp.: | ||||||||
5.250%, 12-1-17 (C) | $ | 2,400 | $ | 2,478 | ||||
6.375%, 4-1-20 (C) | 5,733 | 5,919 | ||||||
5.375%, 8-1-22 (C) | 3,474 | 3,422 | ||||||
Italics Merger Sub, Inc., | ||||||||
7.125%, 7-15-23 (C) | 8,456 | 8,350 | ||||||
|
| |||||||
20,169 | ||||||||
|
| |||||||
Electronic Manufacturing Services – 0.3% |
| |||||||
KEMET Corp., | ||||||||
10.500%, 5-1-18 | 2,639 | 2,672 | ||||||
|
| |||||||
Internet Software & Services – 0.2% |
| |||||||
J2 Global, Inc., | ||||||||
8.000%, 8-1-20 | 1,502 | 1,622 | ||||||
|
| |||||||
IT Consulting & Other Services – 0.4% |
| |||||||
NCR Escrow Corp.: | ||||||||
5.875%, 12-15-21 | 1,759 | 1,812 | ||||||
6.375%, 12-15-23 | 1,656 | 1,755 | ||||||
|
| |||||||
3,567 | ||||||||
|
| |||||||
Semiconductor Equipment – 0.0% |
| |||||||
Photronics, Inc., Convertible, | ||||||||
3.250%, 4-1-16 | 170 | 181 | ||||||
|
| |||||||
Semiconductors – 0.7% |
| |||||||
Micron Technology, Inc.: | ||||||||
5.875%, 2-15-22 | 2,517 | 2,552 | ||||||
5.500%, 2-1-25 (C) | 3,064 | 2,871 | ||||||
|
| |||||||
5,423 | ||||||||
|
| |||||||
Technology Distributors – 0.8% |
| |||||||
Sophia L.P. and Sophia Finance, Inc.: | ||||||||
9.625%, 12-1-18 (C)(D) | 3,218 | 3,258 | ||||||
9.750%, 1-15-19 (C) | 3,206 | 3,407 | ||||||
|
| |||||||
6,665 | ||||||||
|
| |||||||
Total Information Technology – 5.1% |
| 42,769 | ||||||
Materials |
| |||||||
Aluminum – 1.4% |
| |||||||
Constellium N.V.: | ||||||||
8.000%, 1-15-23 (C) | 3,774 | 3,868 | ||||||
5.750%, 5-15-24 (C) | 1,101 | 980 | ||||||
Wise Metals Group LLC, | ||||||||
8.750%, 12-15-18 (C) | 1,712 | 1,808 | ||||||
Wise Metals Intermediate Holdings, | ||||||||
9.750%, 6-15-19 (C)(D) | 4,499 | 4,792 | ||||||
|
| |||||||
11,448 | ||||||||
|
| |||||||
Construction Materials – 0.6% |
| |||||||
Hillman Group, Inc. (The), | ||||||||
6.375%, 7-15-22 (C) | 5,272 | 4,982 | ||||||
|
|
62 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Income (in thousands) | JUNE 30, 2015 (UNAUDITED) |
CORPORATE DEBT | Principal | Value | ||||||
Diversified Metals & Mining – 2.0% |
| |||||||
Artsonig Pty Ltd., | ||||||||
11.500%, 4-1-19 (C)(D) | $ | 4,326 | $ | 1,644 | ||||
Crystal Merger Sub, Inc., | ||||||||
7.625%, 10-15-21 (C) | 489 | 477 | ||||||
FMG Resources Pty Ltd.: | ||||||||
8.250%, 11-1-19 (C) | 9,806 | 8,274 | ||||||
9.750%, 3-1-22 (C) | 371 | 383 | ||||||
6.875%, 4-1-22 (C) | 5,144 | 3,607 | ||||||
Lundin Mining Corp.: | ||||||||
7.500%, 11-1-20 (C) | 1,326 | 1,429 | ||||||
7.875%, 11-1-22 (C) | 1,091 | 1,167 | ||||||
|
| |||||||
16,981 | ||||||||
|
| |||||||
Metal & Glass Containers – 1.5% |
| |||||||
Ardagh Finance Holdings, | ||||||||
8.625%, 6-15-19 (C)(D) | 4,165 | 4,311 | ||||||
Ardagh Packaging Finance plc and Ardagh Holdings USA, Inc., | ||||||||
6.000%, 6-30-21 (C) | 981 | 983 | ||||||
BlueScope Steel (Finance) Ltd. and BlueScope Steel Finance (USA) LLC, | ||||||||
7.125%, 5-1-18 (C) | 2,746 | 2,801 | ||||||
Consolidated Container Co. LLC and Consolidated Container Capital, Inc., | ||||||||
10.125%, 7-15-20 (C) | 1,794 | 1,597 | ||||||
Signode Industrial Group, | ||||||||
6.375%, 5-1-22 (C) | 3,247 | 3,149 | ||||||
|
| |||||||
12,841 | ||||||||
|
| |||||||
Paper Packaging – 0.3% |
| |||||||
Beverage Packaging Holdings II Issuer, Inc. and Beverage Packaging Holdings (Luxembourg) II S.A., | ||||||||
6.000%, 6-15-17 (C) | 790 | 790 | ||||||
Exopack Holdings S.A., | ||||||||
7.875%, 11-1-19 (C) | 610 | 607 | ||||||
Reynolds Group Holdings Ltd., | ||||||||
9.875%, 8-15-19 | 746 | 783 | ||||||
|
| |||||||
2,180 | ||||||||
|
| |||||||
Precious Metals & Minerals – 0.2% |
| |||||||
Prince Mineral Holding Corp., | ||||||||
11.500%, 12-15-19 (C)(F) | 1,792 | 1,649 | ||||||
|
| |||||||
Total Materials – 6.0% |
| 50,081 | ||||||
Telecommunication Services |
| |||||||
Alternative Carriers – 0.7% |
| |||||||
Level 3 Communications, Inc., | ||||||||
5.750%, 12-1-22 | 1,916 | 1,902 | ||||||
Level 3 Escrow II, Inc., | ||||||||
5.375%, 8-15-22 | 3,628 | 3,664 | ||||||
|
| |||||||
5,566 | ||||||||
|
|
CORPORATE DEBT | Principal | Value | ||||||
Integrated Telecommunication Services – 1.8% |
| |||||||
BCP (Singapore) VI Cayman Financing Co. Ltd., | ||||||||
8.000%, 4-15-21 (C) | $ | 629 | $ | 633 | ||||
CenturyLink, Inc., | ||||||||
5.625%, 4-1-20 | 1,250 | 1,274 | ||||||
Frontier Communications Corp.: | ||||||||
6.250%, 9-15-21 | 1,501 | 1,366 | ||||||
7.125%, 1-15-23 | 1,285 | 1,140 | ||||||
6.875%, 1-15-25 | 1,201 | 1,004 | ||||||
GCI, Inc., | ||||||||
6.875%, 4-15-25 | 2,909 | 2,938 | ||||||
Sprint Corp.: | ||||||||
7.250%, 9-15-21 | 3,507 | 3,452 | ||||||
7.875%, 9-15-23 | 1,708 | 1,665 | ||||||
7.125%, 6-15-24 | 2,049 | 1,901 | ||||||
|
| |||||||
15,373 | ||||||||
|
| |||||||
Wireless Telecommunication Service – 1.0% |
| |||||||
Digicel Group Ltd., | ||||||||
8.250%, 9-30-20 (C) | 2,313 | 2,313 | ||||||
T-Mobile USA, Inc.: | ||||||||
6.464%, 4-28-19 | 1,350 | 1,391 | ||||||
6.542%, 4-28-20 | 980 | 1,026 | ||||||
6.633%, 4-28-21 | 1,861 | 1,931 | ||||||
6.125%, 1-15-22 | 791 | 817 | ||||||
6.731%, 4-28-22 | 196 | 204 | ||||||
6.000%, 3-1-23 | 1,104 | 1,130 | ||||||
|
| |||||||
8,812 | ||||||||
|
| |||||||
Total Telecommunication |
| 29,751 | ||||||
Utilities |
| |||||||
Renewable Electricity – 0.2% |
| |||||||
Abengoa Yield plc, | ||||||||
7.000%, 11-15-19 (C) | 2,086 | 2,149 | ||||||
|
| |||||||
Total Utilities – 0.2% |
| 2,149 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 71.5% |
| $ | 600,081 | |||||
(Cost: $628,235) | ||||||||
LOANS (F) | ||||||||
Consumer Discretionary |
| |||||||
Advertising – 0.2% |
| |||||||
Advantage Sales & Marketing, Inc., | ||||||||
7.500%, 7-25-22 | 1,943 | 1,950 | ||||||
|
| |||||||
Apparel Retail – 1.9% |
| |||||||
Gymboree Corp. (The), | ||||||||
5.000%, 2-23-18 | 509 | 362 | ||||||
Hoffmaster Group, Inc., | ||||||||
10.000%, 5-9-21 | 2,188 | 2,133 | ||||||
Nine West Holdings, Inc., | ||||||||
6.250%, 1-8-20 | 3,065 | 2,147 |
LOANS (F) (Continued) | Principal | Value | ||||||
Apparel Retail (Continued) |
| |||||||
Talbots, Inc. (The): | ||||||||
5.500%, 3-19-20 | $ | 2,430 | $ | 2,369 | ||||
9.500%, 3-19-21 | 6,493 | 6,363 | ||||||
True Religion Apparel, Inc., | ||||||||
5.875%, 7-30-19 | 4,234 | 2,647 | ||||||
|
| |||||||
16,021 | ||||||||
|
| |||||||
Auto Parts & Equipment – 0.4% |
| |||||||
Direct ChassisLink, Inc., | ||||||||
8.250%, 11-7-19 | 3,603 | 3,509 | ||||||
|
| |||||||
Casinos & Gaming – 0.3% |
| |||||||
Centaur Acquisition LLC, | ||||||||
8.750%, 2-20-20 | 675 | 681 | ||||||
Gateway Casinos & Entertainment Ltd.: | ||||||||
5.340%, 11-26-19 (E) | CAD1,940 | 1,535 | ||||||
6.185%, 11-26-19 (E) | 5 | 4 | ||||||
|
| |||||||
2,220 | ||||||||
|
| |||||||
General Merchandise Stores – 1.3% |
| |||||||
BJ’s Wholesale Club, Inc., | ||||||||
8.500%, 3-31-20 | $ | 4,277 | 4,309 | |||||
Orchard Acquisition Co. LLC, | ||||||||
7.000%, 2-8-19 | 6,795 | 6,568 | ||||||
|
| |||||||
10,877 | ||||||||
|
| |||||||
Housewares & Specialties – 0.4% |
| |||||||
KIK Custom Products, Inc.: | ||||||||
5.500%, 4-29-19 | 1,448 | 1,449 | ||||||
9.500%, 10-29-19 | 2,105 | 2,105 | ||||||
|
| |||||||
3,554 | ||||||||
|
| |||||||
Movies & Entertainment – 0.7% |
| |||||||
Formula One Holdings Ltd. and Delta Two S.a.r.l., | ||||||||
7.750%, 7-29-22 | 5,686 | 5,672 | ||||||
|
| |||||||
Specialized Consumer Services – 0.1% |
| |||||||
Wand Intermediate I L.P., | ||||||||
8.250%, 9-17-22 | 908 | 910 | ||||||
|
| |||||||
Total Consumer Discretionary – 5.3% |
| 44,713 | ||||||
Consumer Staples |
| |||||||
Food Distributors – 0.2% |
| |||||||
Performance Food Group, Inc., | ||||||||
6.250%, 11-14-19 | 1,680 | 1,682 | ||||||
|
|
2015 | SEMIANNUAL REPORT | 63 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Income (in thousands) | JUNE 30, 2015 (UNAUDITED) |
LOANS (F) (Continued) | Principal | Value | ||||||
Food Retail – 0.3% |
| |||||||
Focus Brands, Inc., | ||||||||
10.250%, 8-21-18 | $ | 2,837 | $ | 2,851 | ||||
|
| |||||||
Hypermarkets & Super Centers – 0.2% |
| |||||||
GOBP Holdings, Inc., | ||||||||
9.250%, 10-21-22 | 1,807 | 1,789 | ||||||
|
| |||||||
Packaged Foods & Meats – 0.2% |
| |||||||
Shearer’s Foods LLC, | ||||||||
7.750%, 6-30-22 | 1,386 | 1,369 | ||||||
|
| |||||||
Total Consumer Staples – 0.9% |
| 7,691 | ||||||
Energy |
| |||||||
Coal & Consumable Fuels – 0.3% |
| |||||||
Westmoreland Coal Co., | ||||||||
7.500%, 12-16-20 | 2,513 | 2,451 | ||||||
|
| |||||||
Oil & Gas Drilling – 0.2% |
| |||||||
KCA Deutag Alpha Ltd., | ||||||||
6.250%, 5-16-20 | 2,441 | 2,093 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.2% |
| |||||||
Regent Purchaser Investment, Inc., | ||||||||
6.000%, 8-14-21 | 2,051 | 1,274 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.3% |
| |||||||
Callon Petroleum Co., | ||||||||
8.500%, 10-8-21 | 2,255 | 2,234 | ||||||
Sabine Oil & Gas LLC, | ||||||||
8.750%, 12-31-18 (G) | 468 | 160 | ||||||
|
| |||||||
2,394 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.5% |
| |||||||
Fieldwood Energy LLC, | ||||||||
8.375%, 9-30-20 | 5,704 | 4,356 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 0.2% |
| |||||||
Bowie Resources Holdings LLC: | ||||||||
6.750%, 8-12-20 | 1,003 | 950 | ||||||
11.750%, 2-16-21 | 857 | 810 | ||||||
|
| |||||||
1,760 | ||||||||
|
| |||||||
Total Energy – 1.7% |
| 14,328 | ||||||
Financials |
| |||||||
Consumer Finance – 0.2% |
| |||||||
TransFirst, Inc., | ||||||||
9.000%, 11-12-22 | 1,315 | 1,317 | ||||||
|
| |||||||
Other Diversified Financial Services – 0.5% |
| |||||||
WP Mustang Holdings LLC: | ||||||||
5.500%, 5-29-21 | 1,696 | 1,689 | ||||||
8.500%, 5-29-22 | 2,813 | 2,764 | ||||||
|
| |||||||
4,453 | ||||||||
|
| |||||||
Total Financials – 0.7% |
| 5,770 |
LOANS (F) (Continued) | Principal | Value | ||||||
Health Care |
| |||||||
Health Care Facilities – 0.4% |
| |||||||
Surgery Center Holdings, Inc.: | ||||||||
5.250%, 11-3-20 | $ | 238 | $ | 237 | ||||
8.500%, 11-3-21 | 2,912 | 2,899 | ||||||
|
| |||||||
3,136 | ||||||||
|
| |||||||
Health Care Services – 0.2% |
| |||||||
Accellent, Inc., | ||||||||
7.500%, 3-12-22 | 1,414 | 1,349 | ||||||
|
| |||||||
Health Care Supplies – 0.4% |
| |||||||
Sage Products Holdings III LLC, | ||||||||
9.250%, 6-13-20 | 3,580 | 3,607 | ||||||
|
| |||||||
Health Care Technology – 0.6% |
| |||||||
Carestream Health, Inc., | ||||||||
9.500%, 12-7-19 | 3,330 | 3,300 | ||||||
Vitera Healthcare Solutions LLC: | ||||||||
6.000%, 11-4-20 | 1,256 | 1,256 | ||||||
9.250%, 11-4-21 | 765 | 749 | ||||||
|
| |||||||
5,305 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 0.3% |
| |||||||
Atrium Innovations, Inc., | ||||||||
7.750%, 8-10-21 | 2,893 | 2,662 | ||||||
|
| |||||||
Total Health Care – 1.9% |
| 16,059 | ||||||
Industrials |
| |||||||
Air Freight & Logistics – 0.4% |
| |||||||
DAE Aviation Holdings, Inc., | ||||||||
9.000%, 8-5-19 | 3,282 | 3,296 | ||||||
|
| |||||||
Building Products – 0.7% |
| |||||||
GYP Holdings III Corp.: | ||||||||
4.750%, 4-1-21 | 465 | 447 | ||||||
7.750%, 4-1-22 | 3,358 | 3,199 | ||||||
Hampton Rubber Co. & SEI Holding Corp., | ||||||||
9.000%, 3-27-22 | 2,678 | 2,266 | ||||||
|
| |||||||
5,912 | ||||||||
|
| |||||||
Construction & Engineering – 0.2% |
| |||||||
Tensar International Corp.: | ||||||||
5.750%, 7-10-21 | 821 | 775 | ||||||
9.500%, 7-10-22 | 1,122 | 909 | ||||||
|
| |||||||
1,684 | ||||||||
|
| |||||||
Environmental & Facilities Services – 0.0% |
| |||||||
Brickman Group Ltd. (The), | ||||||||
7.500%, 12-18-21 | 513 | 513 | ||||||
|
| |||||||
Industrial Conglomerates – 0.3% |
| |||||||
Crosby Worldwide Ltd., | ||||||||
7.000%, 11-22-21 | 2,438 | 2,270 | ||||||
|
| |||||||
Industrial Machinery – 1.1% |
| |||||||
Capital Safety North America Holdings, Inc., | ||||||||
6.500%, 3-28-22 | 3,608 | 3,635 |
LOANS (F) (Continued) | Principal | Value | ||||||
Industrial Machinery (Continued) |
| |||||||
Dynacast International LLC, | ||||||||
9.500%, 1-30-23 | $ | 4,933 | $ | 4,921 | ||||
NN, Inc., | ||||||||
6.000%, 8-29-21 | 711 | 712 | ||||||
|
| |||||||
9,268 | ||||||||
|
| |||||||
Research & Consulting Services – 0.3% |
| |||||||
Larchmont Resources LLC, | ||||||||
8.250%, 8-7-19 | 3,162 | 2,593 | ||||||
|
| |||||||
Total Industrials – 3.0% |
| 25,536 | ||||||
Information Technology |
| |||||||
Application Software – 2.8% |
| |||||||
Applied Systems, Inc., | ||||||||
7.500%, 1-23-22 | 2,311 | 2,315 | ||||||
Aptean Holdings, Inc.: | ||||||||
5.250%, 2-27-20 | 1,515 | 1,496 | ||||||
8.500%, 2-27-21 | 1,022 | 984 | ||||||
Misys plc and Magic Newco LLC, | ||||||||
12.000%, 6-12-19 | 13,954 | 15,161 | ||||||
TIBCO Software, Inc., | ||||||||
6.500%, 12-4-20 | 3,312 | 3,306 | ||||||
|
| |||||||
23,262 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 0.4% |
| |||||||
Sedgwick Claims Management Services, Inc., | ||||||||
6.750%, 2-28-22 | 3,395 | 3,326 | ||||||
|
| |||||||
Internet Software & Services – 0.7% |
| |||||||
TravelCLICK, Inc. & TCH-2 Holdings LLC: | ||||||||
5.500%, 5-12-21 | 2,804 | 2,794 | ||||||
8.750%, 11-12-21 | 2,827 | 2,792 | ||||||
W3 Co., | ||||||||
9.250%, 9-1-20 | 714 | 568 | ||||||
|
| |||||||
6,154 | ||||||||
|
| |||||||
IT Consulting & Other Services – 1.0% |
| |||||||
Active Network, Inc. (The): | ||||||||
5.500%, 11-15-20 | 2,018 | 1,988 | ||||||
9.500%, 11-15-21 | 2,881 | 2,737 | ||||||
Triple Point Group Holdings, Inc.: | ||||||||
5.250%, 7-13-20 | 2,513 | 2,255 | ||||||
9.250%, 7-13-21 | 1,587 | 1,333 | ||||||
|
| |||||||
8,313 | ||||||||
|
| |||||||
Total Information Technology – 4.9% |
| 41,055 | ||||||
Materials |
| |||||||
Construction Materials – 0.6% |
| |||||||
U.S. LBM Holdings LLC, | ||||||||
8.000%, 5-2-20 | 5,256 | 5,256 | ||||||
|
|
64 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Income (in thousands) | JUNE 30, 2015 (UNAUDITED) |
LOANS (F) (Continued) | Principal | Value | ||||||
Diversified Metals & Mining – 0.3% |
| |||||||
EP Minerals LLC: | ||||||||
5.500%, 8-20-20 | $ | 1,009 | $ | 1,007 | ||||
8.500%, 8-20-21 | 996 | 996 | ||||||
|
| |||||||
2,003 | ||||||||
|
| |||||||
Metal & Glass Containers – 0.1% |
| |||||||
Consolidated Container Co. LLC, | ||||||||
7.750%, 1-3-20 | 830 | 772 | ||||||
|
| |||||||
Paper Packaging – 0.4% |
| |||||||
FPC Holdings, Inc., | ||||||||
9.250%, 5-27-20 | 1,740 | 1,675 | ||||||
Ranpak (Rack Merger), | ||||||||
8.250%, 10-1-22 | 1,982 | 1,975 | ||||||
|
| |||||||
3,650 | ||||||||
|
| |||||||
Specialty Chemicals – 0.7% |
| |||||||
Chemstralia Ltd., | ||||||||
7.250%, 2-26-22 | 4,462 | 4,462 | ||||||
Chromaflo Technologies Corp., | ||||||||
8.250%, 6-2-20 | 1,394 | 1,310 | ||||||
|
| |||||||
5,772 | ||||||||
|
| |||||||
Total Materials – 2.1% |
| 17,453 | ||||||
Telecommunication Services |
| |||||||
Alternative Carriers – 0.2% |
| |||||||
Cable & Wireless Communications, | ||||||||
6.500%, 3-31-17 | 1,330 | 1,333 | ||||||
|
| |||||||
Total Telecommunication Services – 0.2% |
| 1,333 |
LOANS (F) (Continued) | Principal | Value | ||||||
Utilities |
| |||||||
Independent Power Producers & Energy Traders – 0.1% |
| |||||||
Alinta Energy Finance PTY Ltd.: | ||||||||
0.000%, 8-13-18 (H) | $ | 43 | $ | 43 | ||||
6.375%, 8-13-19 | 886 | 890 | ||||||
|
| |||||||
933 | ||||||||
|
| |||||||
Total Utilities – 0.1% |
| 933 | ||||||
TOTAL LOANS – 20.8% | $ | 174,871 | ||||||
(Cost: $182,009) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Commercial Paper (I) – 4.3% |
| |||||||
Harley-Davidson Financial Services (GTD by Harley-Davidson Credit Corp.), | ||||||||
0.170%, 7-9-15 | 5,000 | 5,000 | ||||||
J.M. Smucker Co. (The), | ||||||||
0.350%, 7-1-15 | 5,298 | 5,298 | ||||||
McCormick & Co., Inc.: | ||||||||
0.160%, 7-6-15 | 5,000 | 5,000 | ||||||
0.180%, 7-7-15 | 5,000 | 5,000 | ||||||
Mondelez International, Inc., | ||||||||
0.290%, 7-21-15 | 2,000 | 1,999 | ||||||
NBCUniversal Enterprise, Inc., | ||||||||
0.360%, 7-7-15 | 12,756 | 12,755 | ||||||
|
| |||||||
35,052 | ||||||||
|
|
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Master Note – 0.2% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (J) | $ | 2,058 | $ | 2,058 | ||||
|
| |||||||
Municipal Obligations – 0.0% |
| |||||||
MI Strategic Fund, Var Rate Demand Ltd. Oblig Rev Bonds (Air Products and Chemicals, Inc. Proj), Ser 2007 (GTD by Bank of New York (The)), | ||||||||
0.040%, 7-1-15 (J) | 293 | 293 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 4.5% |
| $ | 37,403 | |||||
(Cost: $37,403) | ||||||||
TOTAL INVESTMENT SECURITIES – 98.4% |
| $ | 825,842 | |||||
(Cost: $861,551) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.6% |
| 13,171 | ||||||
NET ASSETS – 100.0% |
| $ | 839,013 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | No dividends were paid during the preceding 12 months. |
(B) | Warrants entitle the Portfolio to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
(C) | Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2015 the total value of these securities amounted to $421,213 or 50.2% of net assets. |
(D) | Payment-in-kind bonds. |
(E) | Principal amounts are denominated in the indicated foreign currency, where applicable (CAD—Canadian Dollar, EUR—Euro and GBP—British Pound). |
(F) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. |
(G) | Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
(H) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(I) | Rate shown is the yield to maturity at June 30, 2015. |
(J) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
2015 | SEMIANNUAL REPORT | 65 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Income (in thousands) | JUNE 30, 2015 (UNAUDITED) |
The following forward foreign currency contracts were outstanding at June 30, 2015:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||
British Pound | 1,379 | U.S. Dollar | 2,109 | 7-14-15 | Morgan Stanley International | $ | — | $ | 58 | |||||||||||||||||
Canadian Dollar | 4,207 | U.S. Dollar | 3,410 | 7-14-15 | Morgan Stanley International | 43 | — | |||||||||||||||||||
Euro | 2,518 | U.S. Dollar | 2,832 | 7-14-15 | Morgan Stanley International | 24 | — | |||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 67 | $ | 58 | |||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 4,187 | $ | — | $ | 67 | ||||||
Energy | 295 | — | — | |||||||||
Financials | 751 | — | — | |||||||||
Industrials | 255 | — | — | |||||||||
Telecommunication Services | 1,361 | — | — | |||||||||
Utilities | 142 | — | — | |||||||||
Total Common Stocks | $ | 6,991 | $ | — | $ | 67 | ||||||
Preferred Stocks | 6,058 | 353 | — | |||||||||
Warrants | — | 18 | — | |||||||||
Corporate Debt Securities | — | 600,081 | — | |||||||||
Loans | — | 146,198 | 28,673 | |||||||||
Short-Term Securities | — | 37,403 | — | |||||||||
Total | $ | 13,049 | $ | 784,053 | $ | 28,740 | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 67 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 58 | $ | — |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Common Stocks | Warrants | Corporate Debt Securities | Loans | |||||||||||||
Beginning Balance 1-1-15 | $ | 56 | $ | 39 | $ | 12,913 | $ | 53,090 | ||||||||
Net realized gain (loss) | — | — | — | (576 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) | 11 | — | — | 129 | ||||||||||||
Purchases | — | — | — | 10,394 | ||||||||||||
Sales | — | — | — | (4,564 | ) | |||||||||||
Amortization/Accretion of premium/discount | — | — | — | 43 | ||||||||||||
Transfers into Level 3 during the period | — | — | — | 5,201 | ||||||||||||
Transfers out of Level 3 during the period | — | (39 | ) | (12,913 | ) | (35,044 | ) | |||||||||
Ending Balance 6-30-15 | $ | 67 | $ | — | $ | — | $ | 28,673 | ||||||||
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 6-30-15 | $ | 11 | — | $ | — | $ | 5 |
Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information. As shown above, transfers in and out of Level 3 represent the values as of the beginning of the reporting period. During the period ended June 30, 2015, there were no transfers between Levels 1 and 2.
66 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
High Income (in thousands) | JUNE 30, 2015 (UNAUDITED) |
Information about Level 3 fair value measurements:
Fair Value at 6-30-15 | Valuation Technique(s) | Unobservable Input(s) | ||||||
Assets | ||||||||
Common Stocks | $ | 67 | Broker | Broker quotes | ||||
Loans | 28,673 | Third-party valuation service | Broker quotes |
The following acronyms are used throughout this schedule:
GTD = Guaranteed
REIT = Real Estate Investment Trusts
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 67 |
Table of Contents
International Core Equity | ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
|
| |||
Stocks | 98.5% | |||
Financials | 24.2% | |||
Health Care | 14.3% | |||
Consumer Discretionary | 12.5% | |||
Materials | 12.2% | |||
Industrials | 11.3% | |||
Consumer Staples | 9.3% | |||
Information Technology | 6.0% | |||
Telecommunication Services | 3.9% | |||
Energy | 3.3% | |||
Utilities | 1.5% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.5% |
Country Weightings
|
| |||
Europe | 62.7% | |||
United Kingdom | 24.4% | |||
Germany | 8.2% | |||
France | 8.2% | |||
Ireland | 5.4% | |||
Spain | 3.5% | |||
Other Europe | 13.0% | |||
Pacific Basin | 29.0% | |||
Japan | 15.9% | |||
China | 6.5% | |||
Other Pacific Basin | 6.6% | |||
North America | 3.7% | |||
United States | 3.7% | |||
Other | 2.0% | |||
South America | 1.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.5% |
Top 10 Equity Holdings
| ||||||
Company | Country | Sector | Industry | |||
Svenska Cellulosa Aktiebolaget SCA (publ), Class B | Sweden | Materials | Paper Products | |||
Dai-ichi Mutual Life Insurance Co. (The) | Japan | Financials | Life & Health Insurance | |||
Fresenius SE & Co. KGaA | Germany | Health Care | Health Care Services | |||
Mitsubishi Heavy Industries Ltd. | Japan | Industrials | Industrial Machinery | |||
Softbank Corp. | Japan | Telecommunication Services | Wireless Telecommunication Service | |||
WPP Group plc | United Kingdom | Consumer Discretionary | Advertising | |||
Teva Pharmaceutical Industries Ltd. ADR | Israel | Health Care | Pharmaceuticals | |||
China Construction Bank Corp. | China | Financials | Diversified Banks | |||
ING Groep N.V., Certicaaten Van Aandelen | Netherlands | Financials | Diversified Banks | |||
Tokio Marine Holdings, Inc. | Japan | Financials | Property & Casualty Insurance |
See your advisor for more information on the Portfolio’s most recent published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
68 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
International Core Equity (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Australia |
| |||||||
Financials – 1.3% |
| |||||||
Macquarie Group Ltd. | 157 | $ | 9,885 | |||||
|
| |||||||
Health Care – 0.8% |
| |||||||
Cochlear Ltd. | 91 | 5,617 | ||||||
|
| |||||||
Materials – 1.3% |
| |||||||
Amcor Ltd. | 922 | 9,755 | ||||||
|
| |||||||
Total Australia – 3.4% |
| $ | 25,257 | |||||
Brazil |
| |||||||
Consumer Staples – 1.1% |
| |||||||
Hypermarcas S.A. (A) | 1,138 | 8,294 | ||||||
|
| |||||||
Total Brazil – 1.1% |
| $ | 8,294 | |||||
China |
| |||||||
Consumer Staples – 1.6% |
| |||||||
Kweichow Moutai Co. Ltd., Class A (A) | 288 | 11,967 | ||||||
|
| |||||||
Financials – 2.2% |
| |||||||
China Construction Bank Corp. | 15,312 | 13,985 | ||||||
Haitong Securities Co. Ltd., H Shares | 785 | 2,076 | ||||||
|
| |||||||
16,061 | ||||||||
|
| |||||||
Information Technology – 1.7% |
| |||||||
Baidu.com, Inc. ADR (A) | 65 | 12,998 | ||||||
|
| |||||||
Telecommunication Services – 1.0% |
| |||||||
China Unicom Ltd. | 4,710 | 7,413 | ||||||
|
| |||||||
Total China – 6.5% |
| $ | 48,439 | |||||
Denmark |
| |||||||
Financials – 1.8% |
| |||||||
Danske Bank A.S. | 437 | 12,857 | ||||||
|
| |||||||
Telecommunication Services – 0.9% |
| |||||||
TDC A/S | 940 | 6,895 | ||||||
|
| |||||||
Total Denmark – 2.7% |
| $ | 19,752 | |||||
Finland |
| |||||||
Information Technology – 1.5% |
| |||||||
Nokia Corp., Series A ADR | 623 | 4,266 | ||||||
Nokia OYJ | 984 | 6,680 | ||||||
|
| |||||||
10,946 | ||||||||
|
| |||||||
Total Finland – 1.5% |
| $ | 10,946 | |||||
France |
| |||||||
Consumer Staples – 1.5% |
| |||||||
Pernod Ricard | 94 | 10,868 | ||||||
|
| |||||||
Energy – 1.1% |
| |||||||
Total S.A. | 178 | 8,629 | ||||||
|
| |||||||
Industrials – 1.3% |
| |||||||
Bouygues S.A. | 256 | 9,573 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Materials – 2.8% |
| |||||||
ArcelorMittal | 1,024 | $ | 9,973 | |||||
Lafarge | 161 | 10,646 | ||||||
|
| |||||||
20,619 | ||||||||
|
| |||||||
Utilities – 1.5% |
| |||||||
Gaz de France | 601 | 11,140 | ||||||
|
| |||||||
Total France – 8.2% |
| $ | 60,829 | |||||
Germany |
| |||||||
Consumer Discretionary – 0.8% |
| |||||||
Porsche Automobil Holding SE | 73 | 6,125 | ||||||
|
| |||||||
Health Care – 4.7% |
| |||||||
Bayer AG | 61 | 8,586 | ||||||
Fresenius Medical Care AG & Co. KGaA | 119 | 9,781 | ||||||
Fresenius SE & Co. KGaA | 256 | 16,403 | ||||||
|
| |||||||
34,770 | ||||||||
|
| |||||||
Industrials – 1.4% |
| |||||||
Deutsche Lufthansa AG | 795 | 10,250 | ||||||
|
| |||||||
Total Germany – 6.9% |
| $ | 51,145 | |||||
Hong Kong |
| |||||||
Financials – 1.2% |
| |||||||
Cheung Kong (Holdings) Ltd. | 586 | 8,607 | ||||||
|
| |||||||
Total Hong Kong – 1.2% |
| $ | 8,607 | |||||
Ireland |
| |||||||
Financials – 1.2% |
| |||||||
Bank of Ireland (A) | 22,195 | 8,970 | ||||||
|
| |||||||
Health Care – 1.3% |
| |||||||
Shire Pharmaceuticals Group plc ADR | 38 | 9,249 | ||||||
|
| |||||||
Materials – 2.9% |
| |||||||
CRH plc | 396 | 11,113 | ||||||
James Hardie Industries plc, Class C | 792 | 10,582 | ||||||
|
| |||||||
21,695 | ||||||||
|
| |||||||
Total Ireland – 5.4% |
| $ | 39,914 | |||||
Israel |
| |||||||
Health Care – 2.0% |
| |||||||
Teva Pharmaceutical Industries Ltd. ADR | 246 | 14,528 | ||||||
|
| |||||||
Total Israel – 2.0% |
| $ | 14,528 | |||||
Italy |
| |||||||
Financials – 1.3% |
| |||||||
Banca Intesa S.p.A. | 2,573 | 9,330 | ||||||
|
| |||||||
Total Italy – 1.3% |
| $ | 9,330 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Japan |
| |||||||
Consumer Discretionary – 2.4% |
| |||||||
Honda Motor Co. Ltd. | 401 | $ | 12,980 | |||||
Nissin Kogyo Co. Ltd. | 305 | 5,032 | ||||||
|
| |||||||
18,012 | ||||||||
|
| |||||||
Energy – 1.1% |
| |||||||
Inpex Corp. | 702 | 7,986 | ||||||
|
| |||||||
Financials – 5.5% |
| |||||||
Dai-ichi Mutual Life Insurance Co. (The) | 837 | 16,460 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 238 | 10,611 | ||||||
Tokio Marine Holdings, Inc. | 320 | 13,328 | ||||||
|
| |||||||
40,399 | ||||||||
|
| |||||||
Industrials – 4.9% |
| |||||||
Komatsu Ltd. | 558 | 11,196 | ||||||
Mitsubishi Electric Corp. | 713 | 9,217 | ||||||
Mitsubishi Heavy Industries Ltd. | 2,616 | 15,918 | ||||||
|
| |||||||
36,331 | ||||||||
|
| |||||||
Telecommunication Services – 2.0% |
| |||||||
Softbank Corp. | 258 | 15,197 | ||||||
|
| |||||||
Total Japan – 15.9% |
| $ | 117,925 | |||||
Netherlands |
| |||||||
Financials – 1.8% |
| |||||||
ING Groep N.V., Certicaaten Van Aandelen | 818 | 13,510 | ||||||
|
| |||||||
Total Netherlands – 1.8% |
| $ | 13,510 | |||||
South Korea |
| |||||||
Consumer Discretionary – 0.9% |
| |||||||
Hyundai Mobis | 35 | 6,681 | ||||||
|
| |||||||
Information Technology – 1.1% |
| |||||||
Samsung Electronics Co. Ltd. | 7 | 8,151 | ||||||
|
| |||||||
Total South Korea – 2.0% |
| $ | 14,832 | |||||
Spain |
| |||||||
Consumer Discretionary – 1.1% |
| |||||||
Mediaset Espana Comunicacion S.A. | 628 | 8,225 | ||||||
|
| |||||||
Financials – 1.4% |
| |||||||
CaixaBank S.A. | 2,312 | 10,711 | ||||||
|
| |||||||
Health Care – 1.0% |
| |||||||
Grifols S.A. | 141 | 5,682 | ||||||
Grifols S.A. ADR | 49 | 1,524 | ||||||
|
| |||||||
7,206 | ||||||||
|
| |||||||
Total Spain – 3.5% |
| $ | 26,142 |
2015 | SEMIANNUAL REPORT | 69 |
Table of Contents
SCHEDULE OF INVESTMENTS
International Core Equity (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Sweden |
| |||||||
Industrials – 0.5% |
| |||||||
Sandvik AB | 360 | $ | 3,985 | |||||
|
| |||||||
Materials – 2.4% |
| |||||||
Svenska Cellulosa Aktiebolaget SCA (publ), Class B | 694 | 17,653 | ||||||
|
| |||||||
Total Sweden – 2.9% |
| $ | 21,638 | |||||
Switzerland |
| |||||||
Health Care – 1.2% |
| |||||||
Roche Holdings AG, Genusscheine | 30 | 8,519 | ||||||
|
| |||||||
Industrials – 1.6% |
| |||||||
Adecco S.A. | 146 | 11,891 | ||||||
|
| |||||||
Total Switzerland – 2.8% | $ | 20,410 | ||||||
United Kingdom |
| |||||||
Consumer Discretionary – 5.2% |
| |||||||
Burberry Group plc | 404 | 9,965 | ||||||
Carnival plc | 73 | 3,711 | ||||||
Marks and Spencer Group plc | 1,171 | 9,860 | ||||||
WPP Group plc | 662 | 14,822 | ||||||
|
| |||||||
38,358 | ||||||||
|
| |||||||
Consumer Staples – 5.1% |
| |||||||
Diageo plc | 233 | 6,734 | ||||||
Diageo plc ADR | 33 | 3,876 | ||||||
Imperial Tobacco Group plc | 173 | 8,317 | ||||||
SABMiller plc | 207 | 10,743 | ||||||
Unilever plc | 191 | 8,182 | ||||||
|
| |||||||
37,852 | ||||||||
|
| |||||||
Energy – 1.1% |
| |||||||
BP plc | 1,252 | 8,264 | ||||||
|
| |||||||
Financials – 6.5% |
| |||||||
Aviva plc | 1,364 | 10,551 | ||||||
HSBC Holdings plc | 930 | 8,420 | ||||||
Legal & General Group plc | 2,439 | 9,537 | ||||||
Prudential plc | 440 | 10,601 | ||||||
Standard Chartered plc | 588 | 9,414 | ||||||
|
| |||||||
48,523 | ||||||||
|
| |||||||
Health Care – 3.3% |
| |||||||
GlaxoSmithKline plc | 516 | 10,714 | ||||||
GlaxoSmithKline plc ADR | 89 | 3,715 | ||||||
Smith & Nephew plc | 594 | 10,031 | ||||||
|
| |||||||
24,460 | ||||||||
|
| |||||||
Industrials – 1.6% |
| |||||||
BAE Systems plc | 1,650 | 11,698 | ||||||
|
| |||||||
Materials – 1.6% |
| |||||||
Antofagasta plc | 317 | 3,433 | ||||||
Rio Tinto plc | 206 | 8,453 | ||||||
|
| |||||||
11,886 | ||||||||
|
| |||||||
Total United Kingdom – 24.4% |
| $ | 181,041 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
United States |
| |||||||
Consumer Discretionary – 0.8% |
| |||||||
Carnival Corp. | 118 | $ | 5,813 | |||||
|
| |||||||
Information Technology – 1.7% |
| |||||||
Cognizant Technology Solutions Corp., Class A (A) | 207 | 12,647 | ||||||
|
| |||||||
Materials – 1.2% |
| |||||||
Freeport-McMoRan Copper & Gold, Inc., Class B | 473 | 8,804 | ||||||
|
| |||||||
Total United States – 3.7% |
| $ | 27,264 | |||||
TOTAL COMMON |
| $ | 719,803 | |||||
(Cost: $697,601) | ||||||||
PREFERRED STOCKS | ||||||||
Germany |
| |||||||
Consumer Discretionary – 1.3% |
| |||||||
Volkswagen AG, 2.260% | 43 | 9,918 | ||||||
|
| |||||||
Total Germany – 1.3% |
| $ | 9,918 | |||||
TOTAL PREFERRED |
| $ | 9,918 | |||||
(Cost: $11,004) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (B) – 1.2% |
| |||||||
Air Products and Chemicals, Inc. | ||||||||
0.130%, 7-24-15 | $ | 4,000 | 3,999 | |||||
Mondelez International, Inc. | ||||||||
0.420%, 7-22-15 | 5,000 | 4,999 | ||||||
|
| |||||||
8,998 | ||||||||
|
| |||||||
Master Note – 0.1% |
| |||||||
Toyota Motor Credit Corp. | ||||||||
0.140%, 7-1-15 (C) | 660 | 660 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.3% |
| $ | 9,658 | |||||
(Cost: $9,658) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.8% |
| $ | 739,379 | |||||
(Cost: $718,263) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2% |
| 1,248 | ||||||
NET ASSETS – 100.0% |
| $ | 740,627 |
70 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
International Core Equity (in thousands) | JUNE 30, 2015 (UNAUDITED) |
Notes to Schedule of Investments
(A)No | dividends were paid during the preceding 12 months. |
(B)Rate | shown is the yield to maturity at June 30, 2015. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following forward foreign currency contracts were outstanding at June 30, 2015:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||
Chinese Yuan Renminbi | 427,885 | U.S. Dollar | 68,734 | 7-14-15 | Deutsche Bank AG | $ | — | $ | 132 |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 719,803 | $ | — | $ | — | ||||||||
Preferred Stocks | 9,918 | — | — | |||||||||||
Short-Term Securities | — | 9,658 | — | |||||||||||
Total | $ | 729,721 | $ | 9,658 | $ | — | ||||||||
Liabilities | ||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 132 | $ | — |
During the period ended June 30, 2015, securities totaling $371,792 were transferred from Level 2 to Level 1. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on December 31, 2014. Transfers out of Level 2 represent the values as of the beginning of the reporting period.
The following acronym is used throughout this schedule:
ADR = American Depositary Receipts
Market Sector Diversification
(as a % of net assets) |
| |||
Financials | 24.2% | |||
Health Care | 14.3% | |||
Consumer Discretionary | 12.5% | |||
Materials | 12.2% | |||
Industrials | 11.3% | |||
Consumer Staples | 9.3% | |||
Information Technology | 6.0% | |||
Telecommunication Services | 3.9% | |||
Energy | 3.3% | |||
Utilities | 1.5% | |||
Other+ | 1.5% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 71 |
Table of Contents
Limited-Term Bond | ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 1.0% | |||
Financials | 1.0% | |||
Bonds | 86.3% | |||
Corporate Debt Securities | 68.5% | |||
United States Government and Government Agency Obligations | 17.8% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 12.7% |
Quality Weightings
Investment Grade | 83.4 | % | ||
AA | 27.7 | % | ||
A | 27.5 | % | ||
BBB | 28.2 | % | ||
Non-Investment Grade | 2.9 | % | ||
BB | 2.1 | % | ||
B | 0.5 | % | ||
Non-rated | 0.3 | % | ||
Cash and Other Assets (Net of Liabilities), Cash Equivalents+ and Equities | 13.7 | % |
Our preference is to always use ratings obtained from Standard & Poor’s. For securities not rated by Standard & Poor’s, ratings are obtained from Moody’s. 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.
72 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Limited-Term Bond (in thousands) | JUNE 30, 2015 (UNAUDITED) |
PREFERRED STOCKS | Shares | Value | ||||||
Financials |
| |||||||
Other Diversified Financial Services – 1.0% |
| |||||||
Lloyds Banking Group plc | 161 | $ | 4,025 | |||||
|
| |||||||
Total Financials – 1.0% |
| 4,025 | ||||||
TOTAL PREFERRED |
| $ | 4,025 | |||||
(Cost: $4,100) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.6% |
| |||||||
Limited Brands, Inc., | ||||||||
8.500%, 6-15-19 | $ | 2,000 | 2,359 | |||||
|
| |||||||
Apparel, Accessories & Luxury Goods – 1.9% |
| |||||||
Hanesbrands, Inc., | ||||||||
6.375%, 12-15-20 | 4,338 | 4,539 | ||||||
LVMH Moet Hennessy – Louis Vuitton, | ||||||||
1.625%, 6-29-17 (A) | 3,000 | 3,018 | ||||||
|
| |||||||
7,557 | ||||||||
|
| |||||||
Auto Parts & Equipment – 0.6% |
| |||||||
BorgWarner Automotive, Inc., | ||||||||
8.000%, 10-1-19 | 2,000 | 2,407 | ||||||
|
| |||||||
Automobile Manufacturers – 1.5% |
| |||||||
Toyota Motor Credit Corp.: | ||||||||
2.000%, 9-15-16 | 1,750 | 1,776 | ||||||
2.000%, 10-24-18 | 4,000 | 4,034 | ||||||
|
| |||||||
5,810 | ||||||||
|
| |||||||
Automotive Retail – 0.9% |
| |||||||
AutoZone, Inc., | ||||||||
1.300%, 1-13-17 | 3,500 | 3,505 | ||||||
|
| |||||||
Broadcasting – 0.3% |
| |||||||
CBS Corp., | ||||||||
7.625%, 1-15-16 | 1,000 | 1,034 | ||||||
|
| |||||||
Cable & Satellite – 2.8% |
| |||||||
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc., | ||||||||
5.875%, 10-1-19 | 2,592 | 2,924 | ||||||
Lender Processing Services, Inc. and Black Knight Lending Solutions, Inc., | ||||||||
5.750%, 4-15-23 | 1,076 | 1,132 | ||||||
TCI Communications, Inc., | ||||||||
8.750%, 8-1-15 | 1,415 | 1,425 | ||||||
Time Warner Cable, Inc., | ||||||||
5.850%, 5-1-17 | 1,901 | 2,030 | ||||||
Time Warner Co., Inc. (GTD by Time Warner, Inc.), | ||||||||
7.250%, 10-15-17 | 3,337 | 3,761 | ||||||
|
| |||||||
11,272 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Department Stores – 1.1% |
| |||||||
Macy’s Retail Holdings, Inc.: | ||||||||
7.450%, 7-15-17 | $ | 1,000 | $ | 1,114 | ||||
7.875%, 8-15-36 | 2,000 | 2,132 | ||||||
TJX Cos., Inc. (The), | ||||||||
2.750%, 6-15-21 | 1,000 | 1,011 | ||||||
|
| |||||||
4,257 | ||||||||
|
| |||||||
General Merchandise Stores – 1.6% |
| |||||||
Dollar General Corp., | ||||||||
4.125%, 7-15-17 | 4,000 | 4,182 | ||||||
Target Corp., | ||||||||
6.000%, 1-15-18 | 2,025 | 2,252 | ||||||
|
| |||||||
6,434 | ||||||||
|
| |||||||
Home Improvement Retail – 0.5% |
| |||||||
Lowe’s Co., Inc., | ||||||||
2.125%, 4-15-16 | 2,000 | 2,023 | ||||||
|
| |||||||
Internet Retail – 1.1% |
| |||||||
Amazon.com, Inc.: | ||||||||
1.200%, 11-29-17 | 2,000 | 1,993 | ||||||
3.800%, 12-5-24 | 2,520 | 2,526 | ||||||
|
| |||||||
4,519 | ||||||||
|
| |||||||
Leisure Products – 0.3% |
| |||||||
Mattel, Inc., | ||||||||
2.500%, 11-1-16 | 1,000 | 1,016 | ||||||
|
| |||||||
Total Consumer Discretionary – 13.2% |
| 52,193 | ||||||
Consumer Staples |
| |||||||
Brewers – 0.8% |
| |||||||
Heineken N.V., | ||||||||
1.400%, 10-1-17 (A) | 2,000 | 2,000 | ||||||
International CCE, Inc., | ||||||||
2.125%, 9-15-15 | 1,075 | 1,078 | ||||||
|
| |||||||
3,078 | ||||||||
|
| |||||||
Distillers & Vintners – 0.7% |
| |||||||
Beam, Inc., | ||||||||
1.875%, 5-15-17 | 2,672 | 2,695 | ||||||
|
| |||||||
Food Distributors – 1.2% |
| |||||||
Bestfoods, | ||||||||
7.000%, 10-15-17 | 2,500 | 2,808 | ||||||
Wm. Wrigley Jr. Co., | ||||||||
2.400%, 10-21-18 (A) | 2,000 | 2,027 | ||||||
|
| |||||||
4,835 | ||||||||
|
| |||||||
Food Retail – 0.6% |
| |||||||
Kroger Co. (The), | ||||||||
6.800%, 12-15-18 | 2,245 | 2,581 | ||||||
|
| |||||||
Packaged Foods & Meats – 0.6% |
| |||||||
Tyson Foods, Inc. (GTD by Tyson Fresh Meats, Inc.), | ||||||||
2.650%, 8-15-19 | 2,459 | 2,474 | ||||||
|
| |||||||
Total Consumer Staples – 3.9% |
| 15,663 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 0.8% |
| |||||||
Phillips Petroleum Co., | ||||||||
6.650%, 7-15-18 | $ | 1,500 | $ | 1,715 | ||||
Statoil ASA (GTD by Statoil Petroleum AS), | ||||||||
1.950%, 11-8-18 | 1,500 | 1,507 | ||||||
|
| |||||||
3,222 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services – 1.2% |
| |||||||
Enterprise Products Operating LLC (GTD by Enterprise Products Partners L.P.), | ||||||||
6.500%, 1-31-19 | 1,850 | 2,108 | ||||||
Schlumberger Investment S.A. (GTD by Schlumberger Ltd.), | ||||||||
1.950%, 9-14-16 (A) | 1,000 | 1,013 | ||||||
Schlumberger Norge A.S., | ||||||||
1.250%, 8-1-17 (A) | 1,500 | 1,497 | ||||||
|
| |||||||
4,618 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 2.7% |
| |||||||
BP Capital Markets plc, | ||||||||
1.674%, 2-13-18 | 3,750 | 3,761 | ||||||
ConocoPhillips Co. (GTD by ConocoPhillips), | ||||||||
3.350%, 11-15-24 | 1,000 | 988 | ||||||
EQT Corp., | ||||||||
8.125%, 6-1-19 | 2,650 | 3,100 | ||||||
Marathon Oil Corp., | ||||||||
0.900%, 11-1-15 | 2,000 | 2,000 | ||||||
Plains Exploration & Production Co., | ||||||||
6.875%, 2-15-23 | 1,000 | 1,072 | ||||||
|
| |||||||
10,921 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.7% |
| |||||||
Shell International Finance B.V. (GTD by Royal Dutch Shell plc), | ||||||||
2.000%, 11-15-18 | 2,625 | 2,652 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 1.2% |
| |||||||
Copano Energy LLC and Copano Energy Finance Corp., | ||||||||
7.125%, 4-1-21 | 995 | 1,053 | ||||||
DCP Midstream Operating L.P. (GTD by DCP Midstream Partners L.P.), | ||||||||
3.250%, 10-1-15 | 1,500 | 1,500 | ||||||
El Paso Corp., | ||||||||
7.000%, 6-15-17 | 2,000 | 2,175 | ||||||
|
| |||||||
4,728 | ||||||||
|
| |||||||
Total Energy – 6.6% |
| 26,141 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 1.0% |
| |||||||
Ares Capital Corp., | ||||||||
3.875%, 1-15-20 | 2,820 | 2,860 |
2015 | SEMIANNUAL REPORT | 73 |
Table of Contents
SCHEDULE OF INVESTMENTS
Limited-Term Bond (in thousands) | JUNE 30, 2015 (UNAUDITED) |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Asset Management & Custody Banks (Continued) |
| |||||||
Mitsubishi UFJ Trust & Banking Corp., | ||||||||
0.369%, 9-3-15 (B) | $ | 1,000 | $ | 1,000 | ||||
|
| |||||||
3,860 | ||||||||
|
| |||||||
Consumer Finance – 6.2% |
| |||||||
American Express Credit Corp., | ||||||||
1.300%, 7-29-16 | 1,978 | 1,984 | ||||||
American Honda Finance Corp.: | ||||||||
7.625%, 10-1-18 (A) | 1,000 | 1,184 | ||||||
2.125%, 10-10-18 | 3,000 | 3,044 | ||||||
Capital One Bank USA N.A., | ||||||||
2.150%, 11-21-18 | 2,000 | 1,996 | ||||||
Capital One Financial Corp., | ||||||||
6.750%, 9-15-17 | 1,000 | 1,107 | ||||||
Capital One N.A., | ||||||||
2.400%, 9-5-19 | 1,000 | 990 | ||||||
Caterpillar Financial Services Corp., | ||||||||
1.000%, 11-25-16 | 3,000 | 3,007 | ||||||
Discover Financial Services, | ||||||||
3.950%, 11-6-24 | 4,200 | 4,075 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
1.500%, 1-17-17 | 1,000 | 999 | ||||||
5.000%, 5-15-18 | 1,126 | 1,210 | ||||||
Hyundai Capital America: | ||||||||
1.875%, 8-9-16 (A) | 1,000 | 1,006 | ||||||
2.875%, 8-9-18 (A) | 1,000 | 1,023 | ||||||
Western Union Co. (The), | ||||||||
5.930%, 10-1-16 | 3,000 | 3,150 | ||||||
|
| |||||||
24,775 | ||||||||
|
| |||||||
Diversified Banks – 4.7% |
| |||||||
Bank of America Corp.: | ||||||||
5.650%, 5-1-18 | 1,000 | 1,098 | ||||||
2.600%, 1-15-19 | 2,000 | 2,021 | ||||||
Bank of New York Mellon Corp. (The), | ||||||||
2.300%, 9-11-19 | 2,550 | 2,546 | ||||||
Bank of Nova Scotia (The), | ||||||||
2.050%, 10-30-18 | 2,500 | 2,524 | ||||||
Bear Stearns Co., Inc. (The), | ||||||||
6.400%, 10-2-17 | 2,000 | 2,201 | ||||||
Commonwealth Bank of Australia, | ||||||||
2.250%, 3-13-19 | 2,500 | 2,510 | ||||||
HSBC Bank plc, | ||||||||
3.100%, 5-24-16 (A) | 1,000 | 1,020 | ||||||
U.S. Bancorp, | ||||||||
2.200%, 11-15-16 | 1,000 | 1,017 | ||||||
Wachovia Corp., | ||||||||
5.750%, 2-1-18 | 1,500 | 1,655 | ||||||
Wells Fargo & Co., | ||||||||
2.150%, 1-15-19 | 2,000 | 2,011 | ||||||
|
| |||||||
18,603 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Investment Banking & Brokerage – 1.4% |
| |||||||
Goldman Sachs Group, Inc. (The), | ||||||||
3.700%, 8-1-15 | $ | 1,000 | $ | 1,003 | ||||
Merrill Lynch & Co., Inc., | ||||||||
6.400%, 8-28-17 | 2,000 | 2,192 | ||||||
Morgan Stanley, | ||||||||
5.950%, 12-28-17 | 2,000 | 2,198 | ||||||
|
| |||||||
5,393 | ||||||||
|
| |||||||
Life & Health Insurance – 1.6% |
| |||||||
Aflac, Inc., | ||||||||
3.625%, 11-15-24 | 2,204 | 2,208 | ||||||
MetLife, Inc., | ||||||||
6.817%, 8-15-18 | 2,558 | 2,943 | ||||||
Prudential Financial, Inc., | ||||||||
4.750%, 9-17-15 | 1,000 | 1,008 | ||||||
|
| |||||||
6,159 | ||||||||
|
| |||||||
Other Diversified Financial Services – 3.9% |
| |||||||
Citigroup, Inc.: | ||||||||
1.300%, 11-15-16 | 2,000 | 1,998 | ||||||
2.550%, 4-8-19 | 1,000 | 1,008 | ||||||
Daimler Finance North America LLC, | ||||||||
1.300%, 7-31-15 (A) | 1,760 | 1,761 | ||||||
Fidelity National Financial, Inc., | ||||||||
6.600%, 5-15-17 | 1,000 | 1,082 | ||||||
John Deere Capital Corp., | ||||||||
1.200%, 10-10-17 | 2,986 | 2,981 | ||||||
JPMorgan Chase & Co., | ||||||||
6.000%, 1-15-18 | 3,316 | 3,651 | ||||||
TIAA Asset Management Finance Co. LLC, | ||||||||
2.950%, 11-1-19 (A) | 3,000 | 3,020 | ||||||
|
| |||||||
15,501 | ||||||||
|
| |||||||
Property & Casualty Insurance – 1.0% |
| |||||||
Berkshire Hathaway, Inc., | ||||||||
2.100%, 8-14-19 | 4,000 | 4,021 | ||||||
|
| |||||||
Regional Banks – 0.9% |
| |||||||
PNC Bank N.A., | ||||||||
1.300%, 10-3-16 | 2,000 | 2,008 | ||||||
PNC Funding Corp. (GTD by PNC Financial Services Group, Inc.), | ||||||||
6.700%, 6-10-19 | 1,447 | 1,686 | ||||||
|
| |||||||
3,694 | ||||||||
|
| |||||||
Total Financials – 20.7% |
| 82,006 | ||||||
Health Care |
| |||||||
Biotechnology – 0.7% |
| |||||||
Amgen, Inc.: | ||||||||
5.850%, 6-1-17 | 2,373 | 2,569 | ||||||
6.150%, 6-1-18 | 102 | 114 | ||||||
|
| |||||||
2,683 | ||||||||
|
| |||||||
Health Care Equipment – 1.1% |
| |||||||
Medtronic, Inc., | ||||||||
3.500%, 3-15-25 (A) | 2,748 | 2,739 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Health Care Equipment (Continued) |
| |||||||
Stryker Corp., | ||||||||
2.000%, 9-30-16 | $ | 1,772 | $ | 1,791 | ||||
|
| |||||||
4,530 | ||||||||
|
| |||||||
Health Care Services – 0.1% |
| |||||||
Quest Diagnostics, Inc., | ||||||||
3.200%, 4-1-16 | 544 | 553 | ||||||
|
| |||||||
Health Care Supplies – 2.1% |
| |||||||
Cardinal Health, Inc., | ||||||||
3.500%, 11-15-24 | 3,775 | 3,707 | ||||||
Catholic Health Initiatives, | ||||||||
2.600%, 8-1-18 | 3,575 | 3,633 | ||||||
DENTSPLY International, Inc., | ||||||||
2.750%, 8-15-16 | 1,000 | 1,016 | ||||||
|
| |||||||
8,356 | ||||||||
|
| |||||||
Pharmaceuticals – 2.6% |
| |||||||
AbbVie, Inc., | ||||||||
2.500%, 5-14-20 | 1,200 | 1,187 | ||||||
Actavis Funding SCS (GTD by Warner Chilcott Ltd., Actavis Capital S.a.r.l. and Actavis, Inc.), | ||||||||
2.350%, 3-12-18 | 1,950 | 1,961 | ||||||
Merck Sharp & Dohme Corp., | ||||||||
5.000%, 6-30-19 | 3,000 | 3,338 | ||||||
Mylan, Inc., | ||||||||
1.350%, 11-29-16 | 1,500 | 1,495 | ||||||
Roche Holdings, Inc., | ||||||||
6.000%, 3-1-19 (A) | 2,002 | 2,277 | ||||||
|
| |||||||
10,258 | ||||||||
|
| |||||||
Total Health Care – 6.6% |
| 26,380 | ||||||
Industrials |
| |||||||
Air Freight & Logistics – 0.7% |
| |||||||
FedEx Corp., | ||||||||
8.000%, 1-15-19 | 2,252 | 2,690 | ||||||
|
| |||||||
Airlines – 0.6% |
| |||||||
Southwest Airlines Co., | ||||||||
5.125%, 3-1-17 | 2,263 | 2,401 | ||||||
|
| |||||||
Construction Machinery & Heavy |
| |||||||
Joy Global, Inc., | ||||||||
6.000%, 11-15-16 | 4,500 | 4,772 | ||||||
|
| |||||||
Environmental & Facilities Services – 1.8% |
| |||||||
Republic Services, Inc., | ||||||||
3.800%, 5-15-18 | 4,000 | 4,206 | ||||||
Waste Management, Inc., | ||||||||
6.100%, 3-15-18 | 2,540 | 2,834 | ||||||
|
| |||||||
7,040 | ||||||||
|
| |||||||
Industrial Conglomerates – 2.3% |
| |||||||
Danaher Corp., | ||||||||
5.400%, 3-1-19 | 3,750 | 4,183 |
74 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Limited-Term Bond (in thousands) | JUNE 30, 2015 (UNAUDITED) |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Industrial Conglomerates (Continued) |
| |||||||
General Electric Capital Corp.: | ||||||||
5.625%, 9-15-17 | $ | 1,000 | $ | 1,088 | ||||
5.625%, 5-1-18 | 3,500 | 3,872 | ||||||
|
| |||||||
9,143 | ||||||||
|
| |||||||
Railroads – 0.8% |
| |||||||
Burlington Northern Santa Fe Corp., | ||||||||
5.750%, 3-15-18 | 2,750 | 3,053 | ||||||
|
| |||||||
Trading Companies & Distributors – 0.5% |
| |||||||
HD Supply, Inc., | ||||||||
5.250%, 12-15-21 (A) | 2,054 | 2,082 | ||||||
|
| |||||||
Trucking – 1.5% |
| |||||||
Penske Truck Leasing Co. L.P., | ||||||||
2.500%, 3-15-16 (A) | 4,000 | 4,028 | ||||||
Ryder System, Inc., | ||||||||
2.450%, 11-15-18 | 2,000 | 2,010 | ||||||
|
| |||||||
6,038 | ||||||||
|
| |||||||
Total Industrials – 9.4% |
| 37,219 | ||||||
Information Technology |
| |||||||
Communications Equipment – 0.4% |
| |||||||
QUALCOMM, Inc., | ||||||||
2.250%, 5-20-20 | 1,550 | 1,541 | ||||||
|
| |||||||
Data Processing & Outsourced |
| |||||||
Alliance Data Systems Corp., | ||||||||
6.375%, 4-1-20 (A) | 1,000 | 1,032 | ||||||
|
| |||||||
Electronic Manufacturing Services – 0.8% |
| |||||||
Jabil Circuit, Inc., | ||||||||
7.750%, 7-15-16 | 3,000 | 3,143 | ||||||
|
| |||||||
Systems Software – 0.3% |
| |||||||
CA, Inc., | ||||||||
5.375%, 12-1-19 | 1,000 | 1,112 | ||||||
|
| |||||||
Technology Hardware, Storage & |
| |||||||
Apple, Inc., | ||||||||
1.550%, 2-7-20 | 3,350 | 3,279 | ||||||
Oracle Corp., | ||||||||
2.950%, 5-15-25 | 2,604 | 2,504 | ||||||
|
| |||||||
5,783 | ||||||||
|
| |||||||
Total Information |
| 12,611 | ||||||
Materials |
| |||||||
Diversified Chemicals – 0.3% |
| |||||||
Dow Chemical Co. (The), | ||||||||
4.250%, 11-15-20 | 1,168 | 1,245 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Metals & Mining – 0.4% |
| |||||||
Rio Tinto Finance (USA) Ltd., | ||||||||
2.250%, 9-20-16 | $ | 1,500 | $ | 1,522 | ||||
|
| |||||||
Metal & Glass Containers – 0.3% |
| |||||||
FBG Finance Ltd., | ||||||||
7.875%, 6-1-16 (A) | 1,000 | 1,059 | ||||||
|
| |||||||
Specialty Chemicals – 0.5% |
| |||||||
Methanex Corp., | ||||||||
3.250%, 12-15-19 | 2,163 | 2,174 | ||||||
|
| |||||||
Total Materials – 1.5% |
| 6,000 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication |
| |||||||
CC Holdings GS V LLC, | ||||||||
2.381%, 12-15-17 | 1,000 | 1,011 | ||||||
SBA Tower Trust, | ||||||||
2.240%, 4-16-18 (A) | 1,320 | 1,313 | ||||||
Verizon Communications, Inc., | ||||||||
6.350%, 4-1-19 | 2,455 | 2,804 | ||||||
|
| |||||||
5,128 | ||||||||
|
| |||||||
Wireless Telecommunication Service – 0.5% |
| |||||||
American Tower Corp., | ||||||||
5.900%, 11-1-21 | 1,000 | 1,125 | ||||||
Crown Castle Towers LLC, | ||||||||
3.222%, 5-15-22 (A) | 1,000 | 984 | ||||||
|
| |||||||
2,109 | ||||||||
|
| |||||||
Total Telecommunication |
| 7,237 | ||||||
Utilities |
| |||||||
Electric Utilities – 0.8% |
| |||||||
Kansas City Power & Light Co., | ||||||||
7.150%, 4-1-19 | 2,590 | 3,053 | ||||||
|
| |||||||
Multi-Utilities – 0.8% |
| |||||||
Dominion Resources, Inc., | ||||||||
6.400%, 6-15-18 | 3,000 | 3,381 | ||||||
|
| |||||||
Total Utilities – 1.6% |
| 6,434 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 68.5% |
| $ | 271,884 | |||||
(Cost: $270,952) | ||||||||
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | ||||||||
Agency Obligations – 1.1% |
| |||||||
Ukraine Government AID Bond, | ||||||||
1.844%, 5-16-19 | 4,500 | 4,506 | ||||||
|
|
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS (Continued) | Principal | Value | ||||||
Mortgage-Backed Obligations – 13.1% |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO: | ||||||||
4.000%, 6-15-26 | $ | 4,409 | $ | 4,755 | ||||
4.303%,9-25-44 (A)(B) | 2,000 | 2,103 | ||||||
Federal Home Loan Mortgage Corp. Fixed Rate Pass-Through Certificates: | ||||||||
3.000%, 8-1-28 | 4,405 | 4,539 | ||||||
3.000%, 9-1-28 | 4,222 | 4,351 | ||||||
3.500%, 10-1-28 | 4,853 | 5,113 | ||||||
Federal National Mortgage Association Agency REMIC/CMO: | ||||||||
3.000%, 2-25-25 | 2,599 | 2,717 | ||||||
2.000%, 4-25-39 | 1,502 | 1,468 | ||||||
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | ||||||||
2.000%, 12-30-15 | 1,000 | 1,009 | ||||||
4.580%, 6-1-19 | 3,639 | 3,988 | ||||||
3.680%, 2-1-21 | 1,514 | 1,577 | ||||||
4.380%, 6-1-21 | 1,848 | 2,033 | ||||||
5.500%, 10-1-21 | 910 | 979 | ||||||
5.450%, 10-18-21 | 4,640 | 4,915 | ||||||
5.500%, 11-1-22 | 318 | 339 | ||||||
3.000%, 7-1-28 | 4,152 | 4,278 | ||||||
3.000%, 9-1-28 | 2,216 | 2,283 | ||||||
4.000%, 12-1-31 | 3,387 | 3,620 | ||||||
Government National Mortgage Association Agency REMIC/CMO, | ||||||||
2.000%, 3-16-42 | 1,853 | 1,818 | ||||||
|
| |||||||
51,885 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 14.2% |
| $ | 56,391 | |||||
(Cost: $56,054) | ||||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
Treasury Obligations – 3.6% |
| |||||||
U.S. Treasury Notes: | ||||||||
0.750%, 10-31-17 | 5,000 | 4,993 | ||||||
2.750%, 2-28-18 | 9,000 | 9,434 | ||||||
|
| |||||||
14,427 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 3.6% |
| $ | 14,427 | |||||
(Cost: $14,434) |
2015 | SEMIANNUAL REPORT | 75 |
Table of Contents
SCHEDULE OF INVESTMENTS
Limited-Term Bond (in thousands) | JUNE 30, 2015 (UNAUDITED) |
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper (C) – 11.5% |
| |||||||
Air Products and Chemicals, Inc., | ||||||||
0.140%, 7-6-15 | $ | 4,000 | $ | 4,000 | ||||
General Mills, Inc., | ||||||||
0.360%, 7-6-15 | 5,000 | 5,000 | ||||||
John Deere Capital Corp., | ||||||||
0.130%, 8-11-15 | 5,000 | 4,999 | ||||||
Kroger Co. (The), | ||||||||
0.300%, 7-1-15 | 6,517 | 6,517 | ||||||
Novartis Finance Corp. (GTD by Novartis AG), | ||||||||
0.080%, 7-7-15 | 10,000 | 10,000 | ||||||
Siemens Capital Co. LLC (GTD by Siemens AG), | ||||||||
0.110%, 7-29-15 | 5,000 | 5,000 | ||||||
St. Jude Medical, Inc., | ||||||||
0.260%, 8-4-15 | 10,000 | 9,997 | ||||||
|
| |||||||
45,513 | ||||||||
|
|
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Master Note – 0.4% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (D) | $ | 1,482 | $ | 1,482 | ||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 11.9% | $ | 46,995 | ||||||
(Cost: $46,995) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.2% |
| $ | 393,722 | |||||
(Cost: $392,535) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.8% |
| 3,021 | ||||||
NET ASSETS – 100.0% |
| $ | 396,743 |
Notes to Schedule of Investments
(A) | Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2015 the total value of these securities amounted to $36,186 or 9.1% of net assets. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. |
(C) | Rate shown is the yield to maturity at June 30, 2015. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Preferred Stocks | $ | 4,025 | $ | — | $ | — | ||||||
Corporate Debt Securities | — | 271,884 | — | |||||||||
United States Government Agency Obligations | — | 56,391 | — | |||||||||
United States Government Obligations | — | 14,427 | — | |||||||||
Short-Term Securities | — | 46,995 | — | |||||||||
Total | $ | 4,025 | $ | 389,697 | $ | — |
During the period ended June 30, 2015, securities totaling $1,737 were transferred from Level 3 to Level 2 due to increased availability of observable market data due to increased market activity or information for these securities. Transfers out of Level 3 represent the values as of the beginning of the reporting period. There were no transfers between Level 1 and 2 during the period.
The following acronyms are used throughout this schedule:
AID = Agency International Development
CMO = Collateralized Mortgage Obligation
GTD = Guaranteed
REMIC = Real Estate Mortgage Investment Conduit
See Accompanying Notes to Financial Statements.
76 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Micro Cap Growth | ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 96.3% | |||
Health Care | 34.8% | |||
Consumer Discretionary | 20.0% | |||
Information Technology | 17.4% | |||
Industrials | 9.8% | |||
Financials | 4.9% | |||
Consumer Staples | 4.6% | |||
Telecommunication Services | 3.0% | |||
Energy | 1.8% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.7% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Adeptus Health, Inc., Class A | Health Care | Health Care Services | ||
2U, Inc. | Consumer Discretionary | Education Services | ||
Retrophin, Inc. | Health Care | Biotechnology | ||
Callidus Software, Inc. | Information Technology | Application Software | ||
Repligen Corp. | Health Care | Biotechnology | ||
Nautilus Group, Inc. (The) | Consumer Discretionary | Leisure Products | ||
ZS Pharma, Inc. | Health Care | Pharmaceuticals | ||
Rentrak Corp. | Consumer Discretionary | Movies & Entertainment | ||
Enanta Pharmaceuticals, Inc. | Health Care | Biotechnology | ||
Global Telecom & Technology, Inc. | Telecommunication Services | Integrated Telecommunication Services |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2015 | SEMIANNUAL REPORT | 77 |
Table of Contents
SCHEDULE OF INVESTMENTS
Micro Cap Growth (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 1.1% |
| |||||||
Boot Barn Holdings, Inc. (A) | 20 | $ | 637 | |||||
Christopher & Banks Corp. (A) | 39 | 156 | ||||||
|
| |||||||
793 | ||||||||
|
| |||||||
Apparel, Accessories & Luxury Goods – 1.0% |
| |||||||
Movado Group, Inc. | 25 | 690 | ||||||
|
| |||||||
Broadcasting – 0.8% |
| |||||||
Entravision Communications Corp. | 69 | 568 | ||||||
|
| |||||||
Education Services – 2.3% |
| |||||||
2U, Inc. (A) | 50 | 1,619 | ||||||
|
| |||||||
Home Improvement Retail – 1.1% |
| |||||||
Tile Shop Holdings, Inc. (A) | 57 | 812 | ||||||
|
| |||||||
Homebuilding – 0.8% |
| |||||||
M/I Homes, Inc. (A) | 23 | 572 | ||||||
|
| |||||||
Homefurnishing Retail – 1.1% |
| |||||||
Kirkland’s, Inc. | 27 | 758 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.5% |
| |||||||
Morgans Hotel Group Co. (A) | 49 | 327 | ||||||
|
| |||||||
Leisure Products – 3.9% |
| |||||||
Arctic Cat, Inc. | 23 | 754 | ||||||
Malibu Boats, Inc., Class A (A) | 31 | 623 | ||||||
Nautilus Group, Inc. (The) (A) | 64 | 1,381 | ||||||
|
| |||||||
2,758 | ||||||||
|
| |||||||
Movies & Entertainment – 1.7% |
| |||||||
Rentrak Corp. (A) | 17 | 1,193 | ||||||
|
| |||||||
Restaurants – 3.9% |
| |||||||
Dave & Buster’s Entertainment, Inc. (A) | 22 | 798 | ||||||
Del Frisco’s Restaurant Group, Inc. (A) | 43 | 796 | ||||||
Good Times Restaurants, Inc. (A) | 59 | 523 | ||||||
Habit Restaurants, Inc. (The), Class A (A) | 22 | 685 | ||||||
|
| |||||||
2,802 | ||||||||
|
| |||||||
Specialty Stores – 1.8% |
| |||||||
Build-A-Bear Workshop, Inc. (A) | 41 | 659 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Specialty Stores (Continued) |
| |||||||
Sportsman’s Warehouse Holdings, Inc. (A) | 58 | $ | 664 | |||||
|
| |||||||
1,323 | ||||||||
|
| |||||||
Total Consumer Discretionary – 20.0% |
| 14,215 | ||||||
Consumer Staples |
| |||||||
Food Distributors – 0.6% |
| |||||||
Chefs’ Warehouse Holdings LLC (The) (A) | 21 | 438 | ||||||
|
| |||||||
Food Retail – 1.2% |
| |||||||
Natural Grocers by Vitamin Cottage, Inc. (A) | 34 | 844 | ||||||
|
| |||||||
Packaged Foods & Meats – 0.6% |
| |||||||
Inventure Foods, Inc. (A) | 41 | 415 | ||||||
|
| |||||||
Personal Products – 2.2% |
| |||||||
IGI Laboratories, Inc. (A) | 80 | 503 | ||||||
Inter Parfums, Inc. | 32 | 1,092 | ||||||
|
| |||||||
1,595 | ||||||||
|
| |||||||
Total Consumer Staples – 4.6% |
| 3,292 | ||||||
Energy |
| |||||||
Oil & Gas Drilling – 0.5% |
| |||||||
Pioneer Drilling Co. (A) | 52 | 327 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 1.0% |
| |||||||
Basic Energy Services, Inc. (A) | 29 | 220 | ||||||
RigNet, Inc. (A) | 17 | 532 | ||||||
|
| |||||||
752 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.3% |
| |||||||
Triangle Petroleum Corp. (A) | 40 | 199 | ||||||
|
| |||||||
Total Energy – 1.8% |
| 1,278 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 1.8% |
| |||||||
Actua Corp. (A) | 23 | 334 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 47 | 938 | ||||||
|
| |||||||
1,272 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 1.2% |
| |||||||
Marcus & Millichap, Inc. (A) | 19 | 877 | ||||||
|
| |||||||
Office REITs – 0.6% |
| |||||||
City Office REIT, Inc. | 33 | 410 | ||||||
|
| |||||||
Specialized REITs – 0.9% |
| |||||||
Ashford Hospitality Prime, Inc. | 42 | 637 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Thrifts & Mortgage Finance – 0.4% |
| |||||||
PennyMac Financial Services, Inc., Class A (A) | 17 | $ | 315 | |||||
|
| |||||||
Total Financials – 4.9% |
| 3,511 | ||||||
Health Care |
| |||||||
Biotechnology – 12.0% |
| |||||||
Acceleron Pharma, Inc. (A) | 14 | 437 | ||||||
Ardelyx, Inc. (A) | 33 | 524 | ||||||
Argos Therapeutics, Inc. (A) | 40 | 272 | ||||||
Cara Therapeutics, Inc. (A) | 48 | 586 | ||||||
Concert Pharmaceuticals, Inc. (A) | 50 | 743 | ||||||
Enanta Pharmaceuticals, Inc. (A) | 27 | 1,192 | ||||||
NewLink Genetics Corp. (A) | 18 | 783 | ||||||
Repligen Corp. (A) | 36 | 1,502 | ||||||
Retrophin, Inc. (A) | 47 | 1,548 | ||||||
Synergy Pharmaceuticals, Inc. (A) | 70 | 583 | ||||||
Verastem, Inc. (A) | 49 | 372 | ||||||
|
| |||||||
8,542 | ||||||||
|
| |||||||
Health Care Equipment – 3.4% |
| |||||||
Avinger, Inc. (A) | 28 | 365 | ||||||
K2M Group Holdings, Inc. (A) | 36 | 853 | ||||||
Oxford Immunotec Global plc (A) | 47 | 652 | ||||||
Sunshine Heart, Inc. (A) | 58 | 199 | ||||||
Veracyte, Inc. (A) | 31 | 341 | ||||||
|
| |||||||
2,410 | ||||||||
|
| |||||||
Health Care Facilities – 2.9% |
| |||||||
AAC Holdings, Inc. (A) | 26 | 1,133 | ||||||
Surgical Care Affiliates, Inc. (A) | 23 | 894 | ||||||
|
| |||||||
2,027 | ||||||||
|
| |||||||
Health Care Services – 4.1% |
| |||||||
Adeptus Health, Inc., Class A (A) | 21 | 2,023 | ||||||
Cross Country Healthcare, Inc. (A) | 73 | 925 | ||||||
|
| |||||||
2,948 | ||||||||
|
| |||||||
Health Care Supplies – 1.7% |
| |||||||
Quidel Corp. (A) | 48 | 1,101 | ||||||
TearLab Corp. (A) | 70 | 142 | ||||||
|
| |||||||
1,243 | ||||||||
|
| |||||||
Health Care Technology – 4.3% |
| |||||||
Evolent Health, Inc., Class A (A) | 34 | 661 | ||||||
HealthStream, Inc. (A) | 29 | 870 | ||||||
Imprivata, Inc. (A) | 53 | 861 | ||||||
Press Ganey Holdings, Inc. (A) | 23 | 662 | ||||||
|
| |||||||
3,054 | ||||||||
|
|
78 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Micro Cap Growth (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Pharmaceuticals – 6.4% |
| |||||||
Aerie Pharmaceuticals, Inc. (A) | 44 | $ | 782 | |||||
Intersect ENT, Inc. (A) | 34 | 976 | ||||||
Intra-Cellular Therapies, Inc. (A) | 30 | 971 | ||||||
Pernix Therapeutics Holdings, Inc. (A) | 102 | 603 | ||||||
ZS Pharma, Inc. (A) | 24 | 1,242 | ||||||
|
| |||||||
4,574 | ||||||||
|
| |||||||
Total Health Care – 34.8% |
| 24,798 | ||||||
Industrials |
| |||||||
Building Products – 3.6% |
| |||||||
Builders FirstSource, Inc. (A) | 71 | 907 | ||||||
NCI Building Systems, Inc. (A) | 50 | 750 | ||||||
PGT, Inc. (A) | 62 | 901 | ||||||
|
| |||||||
2,558 | ||||||||
|
| |||||||
Construction & Engineering – 0.6% |
| |||||||
Orion Marine Group, Inc. (A) | 62 | 445 | ||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 0.6% |
| |||||||
Wabash National Corp. (A) | 36 | 446 | ||||||
|
| |||||||
Electrical Components & Equipment – 0.7% |
| |||||||
Enphase Energy, Inc. (A) | 44 | 337 | ||||||
Orion Energy Systems, Inc. (A) | 55 | 138 | ||||||
|
| |||||||
475 | ||||||||
|
| |||||||
Office Services & Supplies – 1.0% |
| |||||||
ARC Document Solutions, Inc. (A) | 96 | 729 | ||||||
|
| |||||||
Research & Consulting Services – 0.4% |
| |||||||
Levy Acquisition Corp. (A) | 16 | 244 | ||||||
|
| |||||||
Trucking – 2.9% |
| |||||||
Celadon Group, Inc. | 7 | 147 | ||||||
Covenant Transportation Group, Inc., Class A (A) | 33 | 835 | ||||||
Marten Transport Ltd. | 26 | 565 | ||||||
Roadrunner Transportation Systems, Inc. (A) | 20 | 503 | ||||||
|
| |||||||
2,050 | ||||||||
|
| |||||||
Total Industrials – 9.8% |
| 6,947 | ||||||
Information Technology |
| |||||||
Application Software – 3.4% |
| |||||||
Callidus Software, Inc. (A) | 99 | 1,535 | ||||||
Globant S.A. (A) | 6 | 195 | ||||||
Materialise N.V. ADR (A) | 31 | 284 | ||||||
Yodlee, Inc. (A) | 27 | 388 | ||||||
|
| |||||||
2,402 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Communications Equipment – 1.4% |
| |||||||
Ruckus Wireless, Inc. (A) | 49 | $ | 506 | |||||
ShoreTel, Inc. (A) | 70 | 475 | ||||||
|
| |||||||
981 | ||||||||
|
| |||||||
Electronic Equipment & Instruments – 0.5% |
| |||||||
CUI Global, Inc. (A) | 67 | 339 | ||||||
|
| |||||||
Electronic Manufacturing Services – 1.0% |
| |||||||
M/A-COM Technology Solutions Holdings, Inc. (A) | 19 | 742 | ||||||
|
| |||||||
Home Entertainment Software – 0.4% |
| |||||||
Glu Mobile, Inc. (A) | 51 | 314 | ||||||
|
| |||||||
Internet Software & Services – 4.2% |
| |||||||
Amber Road, Inc. (A) | 72 | 505 | ||||||
Boingo Wireless, Inc. (A) | 76 | 629 | ||||||
Q2 Holdings, Inc. (A) | 36 | 1,017 | ||||||
Tech Target, Inc. (A) | 44 | 391 | ||||||
Xactly Corp. (A) | 48 | 415 | ||||||
|
| |||||||
2,957 | ||||||||
|
| |||||||
Semiconductor Equipment – 2.2% |
| |||||||
MaxLinear, Inc., Class A (A) | 76 | 919 | ||||||
Nanometrics, Inc. (A) | 25 | 401 | ||||||
Ultra Clean Holdings, Inc. (A) | 35 | 218 | ||||||
|
| |||||||
1,538 | ||||||||
|
| |||||||
Semiconductors – 0.8% |
| |||||||
Exar Corp. (A) | 60 | 588 | ||||||
|
| |||||||
Systems Software – 2.6% |
| |||||||
Barracuda Networks, Inc. (A) | 17 | 670 | ||||||
TubeMogul, Inc. (A) | 52 | 744 | ||||||
Varonis Systems, Inc. (A) | 19 | 420 | ||||||
|
| |||||||
1,834 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.9% |
| |||||||
Datalink Corp. (A) | 32 | 285 | ||||||
Dot Hill Systems Corp. (A) | 61 | 372 | ||||||
|
| |||||||
657 | ||||||||
|
| |||||||
Total Information Technology – 17.4% |
| 12,352 | ||||||
Telecommunication Services |
| |||||||
Alternative Carriers – 0.5% |
| |||||||
inContact, Inc. (A) | 37 | 365 | ||||||
|
| |||||||
Integrated Telecommunication Services – 1.6% |
| |||||||
GTT Communications, Inc. (A) | 48 | 1,136 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Wireless Telecommunication Service – 0.9% |
| |||||||
RingCentral, Inc., Class A (A) | 35 | $ | 642 | |||||
|
| |||||||
Total Telecommunication Services – 3.0% |
| 2,143 | ||||||
TOTAL COMMON STOCKS – 96.3% | $ | 68,536 | ||||||
(Cost: $53,811) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 4.3% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (B) | $ | 3,089 | 3,089 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 4.3% |
| $ | 3,089 | |||||
(Cost: $3,089) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.6% |
| $ | 71,625 | |||||
(Cost: $56,900) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.6)% |
| (405 | ) | |||||
NET ASSETS – 100.0% |
| $ | 71,220 |
2015 | SEMIANNUAL REPORT | 79 |
Table of Contents
SCHEDULE OF INVESTMENTS
Micro Cap Growth (in thousands) | JUNE 30, 2015 (UNAUDITED) |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 68,536 | $ | — | $ | — | ||||||
Short-Term Securities | — | 3,089 | — | |||||||||
Total | $ | 68,536 | $ | 3,089 | $ | — |
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
80 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Mid Cap Growth | ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 96.1% | |||
Consumer Discretionary | 20.2% | |||
Health Care | 17.3% | |||
Industrials | 16.6% | |||
Information Technology | 15.7% | |||
Financials | 10.7% | |||
Consumer Staples | 7.5% | |||
Energy | 6.1% | |||
Materials | 2.0% | |||
Purchased Options | 0.3% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.6% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Northern Trust Corp. | Financials | Asset Management & Custody Banks | ||
Electronic Arts, Inc. | Information Technology | Home Entertainment Software | ||
Intuitive Surgical, Inc. | Health Care | Health Care Equipment | ||
Signature Bank | Financials | Regional Banks | ||
First Republic Bank | Financials | Regional Banks | ||
Expeditors International of Washington, Inc. | Industrials | Air Freight & Logistics | ||
BioMarin Pharmaceutical, Inc. | Health Care | Biotechnology | ||
Microchip Technology, Inc. | Information Technology | Semiconductors | ||
Fortune Brands Home & Security, Inc. | Industrials | Building Products | ||
Hain Celestial Group, Inc. (The) | Consumer Staples | Packaged Foods & Meats |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2015 | SEMIANNUAL REPORT | 81 |
Table of Contents
SCHEDULE OF INVESTMENTS
Mid Cap Growth (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 2.7% |
| |||||||
DSW, Inc., Class A | 236 | $ | 7,861 | |||||
Urban Outfitters, Inc. (A) | 244 | 8,549 | ||||||
|
| |||||||
16,410 | ||||||||
|
| |||||||
Apparel, Accessories & Luxury Goods – 4.3% |
| |||||||
Burberry Group plc (B) | 267 | 6,579 | ||||||
Kate Spade & Co. (A) | 224 | 4,818 | ||||||
Polo Ralph Lauren | 69 | 9,104 | ||||||
Under Armour, Inc., | 59 | 4,900 | ||||||
|
| |||||||
25,401 | ||||||||
|
| |||||||
Auto Parts & Equipment – 1.6% |
| |||||||
BorgWarner, Inc. | 168 | 9,577 | ||||||
|
| |||||||
Department Stores – 1.2% |
| |||||||
Nordstrom, Inc. | 97 | 7,231 | ||||||
|
| |||||||
Homefurnishing Retail – 1.5% |
| |||||||
Bed Bath & Beyond, | 133 | 9,144 | ||||||
|
| |||||||
Internet Retail – 1.1% |
| |||||||
TripAdvisor, Inc. (A) | 75 | 6,567 | ||||||
|
| |||||||
Leisure Products – 2.9% |
| |||||||
Mattel, Inc. | 342 | 8,786 | ||||||
Polaris Industries, Inc. | 57 | 8,509 | ||||||
|
| |||||||
17,295 | ||||||||
|
| |||||||
Restaurants – 2.0% |
| |||||||
Dunkin’ Brands Group, | 217 | 11,943 | ||||||
|
| |||||||
Specialty Stores – 2.9% |
| |||||||
Tiffany & Co. | 72 | 6,588 | ||||||
Ulta Salon, Cosmetics & Fragrance, Inc. (A) | 69 | 10,668 | ||||||
|
| |||||||
17,256 | ||||||||
|
| |||||||
Total Consumer Discretionary – 20.2% |
| 120,824 | ||||||
Consumer Staples |
| |||||||
Distillers & Vintners – 1.0% |
| |||||||
Brown-Forman Corp., Class B | 62 | 6,165 | ||||||
|
| |||||||
Food Retail – 1.3% |
| |||||||
Whole Foods Market, Inc. | 198 | 7,791 | ||||||
|
| |||||||
Packaged Foods & Meats – 4.0% |
| |||||||
Hain Celestial Group, Inc. (The) (A) | 182 | 12,010 | ||||||
Mead Johnson Nutrition Co. (C) | 127 | 11,489 | ||||||
|
| |||||||
23,499 | ||||||||
|
| |||||||
Personal Products – 1.2% |
| |||||||
Coty, Inc., Class A (D) | 227 | 7,263 | ||||||
|
| |||||||
Total Consumer Staples – 7.5% |
| 44,718 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 6.1% |
| |||||||
Cabot Oil & Gas Corp. | 287 | $ | 9,051 | |||||
Cimarex Energy Co. | 41 | 4,502 | ||||||
Continental Resources, Inc. (A) | 187 | 7,941 | ||||||
Noble Energy, Inc. | 144 | 6,128 | ||||||
Oasis Petroleum LLC (A) | 180 | 2,856 | ||||||
Southwestern Energy Co. (A) | 263 | 5,973 | ||||||
|
| |||||||
36,451 | ||||||||
|
| |||||||
Total Energy – 6.1% |
| 36,451 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 3.9% |
| |||||||
Northern Trust Corp. | 244 | 18,654 | ||||||
Oaktree Capital Group LLC | 91 | 4,854 | ||||||
|
| |||||||
23,508 | ||||||||
|
| |||||||
Regional Banks – 5.2% |
| |||||||
First Republic Bank | 214 | 13,475 | ||||||
Signature Bank (A) | 97 | 14,147 | ||||||
UMB Financial Corp. | 58 | 3,326 | ||||||
|
| |||||||
30,948 | ||||||||
|
| |||||||
Specialized Finance – 1.6% |
| |||||||
CME Group, Inc. | 100 | 9,293 | ||||||
|
| |||||||
Total Financials – 10.7% |
| 63,749 | ||||||
Health Care |
| |||||||
Biotechnology – 7.1% |
| |||||||
ACADIA Pharmaceuticals, Inc. (A) | 129 | 5,420 | ||||||
Alkermes plc (A) | 154 | 9,896 | ||||||
BioMarin Pharmaceutical, Inc. (A) | 89 | 12,149 | ||||||
Incyte Corp. (A) | 64 | 6,709 | ||||||
Medivation, Inc. (A) | 71 | 8,161 | ||||||
|
| |||||||
42,335 | ||||||||
|
| |||||||
Health Care Distributors – 1.5% |
| |||||||
Henry Schein, Inc. (A) | 64 | 9,093 | ||||||
|
| |||||||
Health Care Equipment – 2.7% |
| |||||||
Intuitive Surgical, Inc. (A) | 32 | 15,715 | ||||||
|
| |||||||
Health Care Facilities – 1.2% |
| |||||||
Acadia Healthcare Co., Inc. (A) | 90 | 7,058 | ||||||
|
| |||||||
Health Care Supplies – 1.6% |
| |||||||
Align Technology, Inc. (A) | 154 | 9,657 | ||||||
|
| |||||||
Health Care Technology – 1.2% |
| |||||||
Cerner Corp. (A)(C) | 104 | 7,156 | ||||||
|
| |||||||
Pharmaceuticals – 2.0% |
| |||||||
Zoetis, Inc. | 247 | 11,925 | ||||||
|
| |||||||
Total Health Care – 17.3% |
| 102,939 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrials |
| |||||||
Air Freight & Logistics – 2.1% |
| |||||||
Expeditors International of Washington, Inc. | 279 | $ | 12,878 | |||||
|
| |||||||
Building Products – 2.0% |
| |||||||
Fortune Brands Home & Security, Inc. | 263 | 12,067 | ||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 0.9% |
| |||||||
Joy Global, Inc. | 146 | 5,289 | ||||||
|
| |||||||
Electrical Components & Equipment – 0.5% |
| |||||||
Generac Holdings, Inc. (A) | 78 | 3,101 | ||||||
|
| |||||||
Environmental & Facilities Services – 1.5% |
| |||||||
Stericycle, Inc. (A) | 66 | 8,784 | ||||||
|
| |||||||
Industrial Machinery – 1.6% |
| |||||||
Flowserve Corp. | 160 | 8,412 | ||||||
Woodward, Inc. | 17 | 910 | ||||||
|
| |||||||
9,322 | ||||||||
|
| |||||||
Research & Consulting Services – 5.2% |
| |||||||
CoStar Group, Inc. (A) | 60 | 12,002 | ||||||
Towers Watson & Co., Class A | 63 | 7,880 | ||||||
Verisk Analytics, Inc., | 151 | 10,996 | ||||||
|
| |||||||
30,878 | ||||||||
|
| |||||||
Trading Companies & Distributors – 2.0% |
| |||||||
Fastenal Co. | 283 | 11,944 | ||||||
|
| |||||||
Trucking – 0.8% |
| |||||||
J.B. Hunt Transport Services, Inc. | 58 | 4,744 | ||||||
|
| |||||||
Total Industrials – 16.6% |
| 99,007 | ||||||
Information Technology |
| |||||||
Application Software – 1.4% |
| |||||||
ANSYS, Inc. (A) | 90 | 8,172 | ||||||
|
| |||||||
Communications Equipment – 1.1% |
| |||||||
F5 Networks, Inc. (A) | 55 | 6,590 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 1.5% |
| |||||||
Alliance Data Systems Corp. (A) | 31 | 8,977 | ||||||
|
| |||||||
Home Entertainment Software – 2.8% |
| |||||||
Electronic Arts, Inc. (A)(C) | 247 | 16,402 | ||||||
|
| |||||||
Internet Software & Services – 3.6% |
| |||||||
GrubHub, Inc. (A) | 198 | 6,752 | ||||||
Pandora Media, Inc. (A) | 631 | 9,813 | ||||||
WebMD Health Corp., | 114 | 5,063 | ||||||
|
| |||||||
21,628 | ||||||||
|
| |||||||
IT Consulting & Other Services – 1.3% |
| |||||||
Teradata Corp. (A) | 207 | 7,666 | ||||||
|
|
82 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Mid Cap Growth (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Semiconductors – 2.0% |
| |||||||
Microchip Technology, Inc. | 255 | $ | 12,076 | |||||
|
| |||||||
Systems Software – 1.3% |
| |||||||
ServiceNow, Inc. (A) | 106 | 7,843 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.7% |
| |||||||
SanDisk Corp. | 76 | 4,450 | ||||||
|
| |||||||
Total Information Technology – 15.7% |
| 93,804 | ||||||
Materials |
| |||||||
Fertilizers & Agricultural Chemicals – 1.0% |
| |||||||
Scotts Miracle-Gro Co. (The) | 100 | 5,915 | ||||||
|
| |||||||
Specialty Chemicals – 1.0% |
| |||||||
Valspar Corp. (The) | 76 | 6,246 | ||||||
|
| |||||||
Total Materials – 2.0% |
| 12,161 | ||||||
TOTAL COMMON STOCKS – 96.1% |
| $ | 573,653 | |||||
(Cost: $496,730) |
PURCHASED OPTIONS | Number of Contracts (Unrounded) | Value | ||||||
Russell 2000 Index, | ||||||||
Put $1,240.00, Expires 7-31-15, OTC (Ctrpty: UBS AG) | 337 | $ | 715 | |||||
S&P 500 Index, | ||||||||
Put $2,050.00, Expires 7-31-15 | 148 | 500 | ||||||
SPDR S&P MIDCAP 400 ETF Trust, | ||||||||
Put $272.50, Expires 7-31-15, OTC (Ctrpty: Deutsche Bank AG) | 1,753 | 841 | ||||||
|
| |||||||
TOTAL PURCHASED OPTIONS – 0.3% |
| $ | 2,056 | |||||
(Cost: $1,192) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (E) – 3.6% |
| |||||||
Air Products and Chemicals, Inc., | ||||||||
0.140%, 7-6-15 | $ | 3,000 | 3,000 |
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Commercial Paper (E) (Continued) |
| |||||||
Bemis Co., Inc., | ||||||||
0.350%, 7-8-15 | $ | 5,000 | $ | 4,999 | ||||
St. Jude Medical, Inc., | ||||||||
0.260%, 8-4-15 | 8,000 | 7,998 | ||||||
Toronto-Dominion Holdings USA, Inc. (GTD by Toronto Dominion Bank), | ||||||||
0.150%, 7-20-15 | 5,000 | 5,000 | ||||||
|
| |||||||
20,997 | ||||||||
|
| |||||||
Master Note – 0.3% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (F) | 1,990 | 1,990 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 3.9% |
| $ | 22,987 | |||||
(Cost: $22,987) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.3% |
| $ | 598,696 | |||||
(Cost: $520,909) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.3)% |
| (1,902 | ) | |||||
NET ASSETS – 100.0% |
| $ | 596,794 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Listed on an exchange outside the United States. |
(C) | All or a portion of securities with an aggregate value of $579 are held in collateralized accounts for OTC derivatives collateral as governed by International Swaps and Derivatives Association, Inc. Master Agreements. |
(D) | All or a portion of securities with an aggregate value of $1,074 are held in collateralized accounts to cover potential obligations with respect to outstanding written options. |
(E) | Rate shown is the yield to maturity at June 30, 2015. |
(F) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following written options were outstanding at June 30, 2015 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Expiration Month | Exercise Price | Premium Received | Value | |||||||||||||||||||
Coty, Inc., Class A | N/A | Call | 336 | July 2015 | $ | 32.00 | $ | 41 | $ | (43 | ) | |||||||||||||||
Pacira Pharmaceuticals, Inc. | Goldman Sachs International | Put | 329 | July 2015 | 85.00 | 253 | (490 | ) | ||||||||||||||||||
Russell 2000 Index | UBS AG | Put | 337 | July 2015 | 1,140.00 | 66 | (133 | ) | ||||||||||||||||||
S&P 500 Index | N/A | Put | 148 | July 2015 | 1,880.00 | 41 | (91 | ) | ||||||||||||||||||
SPDR S&P MIDCAP 400 ETF Trust | Duetsche Bank AG | Put | 1,753 | July 2015 | 250.00 | 51 | (158 | ) | ||||||||||||||||||
Woodward, Inc. | Credit Suisse (USA), Inc. | Put | 288 | July 2015 | 50.00 | 25 | (3 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 477 | $ | (918 | ) | ||||||||||||||||||||||
|
|
2015 | SEMIANNUAL REPORT | 83 |
Table of Contents
SCHEDULE OF INVESTMENTS
Mid Cap Growth (in thousands) | JUNE 30, 2015 (UNAUDITED) |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 573,653 | $ | — | $ | — | ||||||
Purchased Options | 500 | 1,556 | — | |||||||||
Short-Term Securities | — | 22,987 | — | |||||||||
Total | $ | 574,153 | $ | 24,543 | $ | — | ||||||
Liabilities | ||||||||||||
Written Options | $ | 134 | $ | 784 | $ | — |
During the period ended June 30, 2015, securities totaling $6,428 were transferred from Level 2 to Level 1. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on December 31, 2014. Transfers out of Level 2 represent the values as of the beginning of the reporting period.
The following acronyms are used throughout this schedule:
GTD = Guaranteed
OTC = Over the Counter
See Accompanying Notes to Financial Statements.
84 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Money Market | ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Corporate Obligations | 67.1% | |||
Notes | 28.6% | |||
Commercial Paper | 28.5% | |||
Certificate Of Deposit | 9.8% | |||
Master Note | 0.2% | |||
Municipal Obligations | 26.3% | |||
United States Government and Government Agency Obligations | 6.2% | |||
Cash and Other Assets (Net of Liabilities) | 0.4% |
2015 | SEMIANNUAL REPORT | 85 |
Table of Contents
SCHEDULE OF INVESTMENTS
Money Market (in thousands) | JUNE 30, 2015 (UNAUDITED) |
CORPORATE OBLIGATIONS | Principal | Value | ||||||
Certificate Of Deposit |
| |||||||
Banco del Estado de Chile: | ||||||||
0.360%, 7-6-15 (A) | $ | 2,750 | $ | 2,750 | ||||
0.220%, 7-23-15 | 6,000 | 6,000 | ||||||
0.220%, 7-30-15 | 3,000 | 3,000 | ||||||
0.210%, 8-20-15 | 1,500 | 1,500 | ||||||
0.350%, 3-21-16 (A) | 3,200 | 3,200 | ||||||
Bank of America N.A.: | ||||||||
0.250%, 7-14-15 | 8,000 | 8,000 | ||||||
0.230%, 8-10-15 | 5,000 | 5,000 | ||||||
BMO Harris Bank N.A.: | ||||||||
0.310%, 7-5-15 (A) | 8,500 | 8,500 | ||||||
0.310%, 7-14-15 (A) | 7,100 | 7,100 | ||||||
Toyota Motor Credit Corp., | ||||||||
0.270%, 7-20-15 (A) | 8,400 | 8,400 | ||||||
|
| |||||||
Total Certificate Of Deposit – 9.8% |
| 53,450 | ||||||
Commercial Paper (B) |
| |||||||
Air Products and Chemicals, Inc., | ||||||||
0.130%, 7-24-15 | 4,000 | 3,999 | ||||||
BMW U.S. Capital LLC (GTD by BMW AG), | ||||||||
0.130%, 7-7-15 | 6,500 | 6,500 | ||||||
Coca-Cola Co. (The), | ||||||||
0.300%, 9-22-15 | 3,000 | 2,998 | ||||||
Corporacion Andina de Fomento, | ||||||||
0.180%, 7-8-15 | 5,000 | 5,000 | ||||||
EMC Corp., | ||||||||
0.180%, 8-6-15 | 4,400 | 4,399 | ||||||
Essilor International S.A.: | ||||||||
0.130%, 7-10-15 | 3,500 | 3,500 | ||||||
0.130%, 7-16-15 | 5,000 | 5,000 | ||||||
0.140%, 7-22-15 | 6,300 | 6,299 | ||||||
0.140%, 7-23-15 | 3,000 | 3,000 | ||||||
J.M. Smucker Co. (The), | ||||||||
0.350%, 7-1-15 | 2,680 | 2,680 | ||||||
John Deere Financial Ltd. (GTD by John Deere Capital Corp.), | ||||||||
0.130%, 7-8-15 | 3,000 | 3,000 | ||||||
Kroger Co. (The), | ||||||||
0.300%, 7-1-15 | 2,680 | 2,680 | ||||||
L Air Liquide S.A.: | ||||||||
0.160%, 7-10-15 | 6,250 | 6,250 | ||||||
0.170%, 7-16-15 | 12,000 | 11,999 | ||||||
L Oreal USA, Inc., | ||||||||
0.130%, 7-20-15 | 4,000 | 4,000 | ||||||
McCormick & Co., Inc., | ||||||||
0.230%, 7-1-15 | 2,300 | 2,300 | ||||||
National Oilwell Varco, Inc.: | ||||||||
0.150%, 7-14-15 | 3,200 | 3,200 | ||||||
0.190%, 7-16-15 | 5,000 | 5,000 |
CORPORATE (Continued) | Principal | Value | ||||||
Commercial Paper (B) (Continued) |
| |||||||
Northern Illinois Gas Co.: | ||||||||
0.300%, 7-1-15 | $ | 12,700 | $ | 12,700 | ||||
0.270%, 7-7-15 | 2,750 | 2,750 | ||||||
0.250%, 7-9-15 | 3,000 | 3,000 | ||||||
0.280%, 7-13-15 | 8,200 | 8,199 | ||||||
River Fuel Funding Co. #3, Inc. (GTD by Bank of Nova Scotia), | ||||||||
0.210%, 7-15-15 | 15,300 | 15,298 | ||||||
St. Jude Medical, Inc.: | ||||||||
0.510%, 7-8-15 | 9,700 | 9,699 | ||||||
0.240%, 7-20-15 | 8,200 | 8,199 | ||||||
0.270%, 7-23-15 | 6,600 | 6,599 | ||||||
0.260%, 8-3-15 | 500 | 500 | ||||||
0.260%, 8-4-15 | 1,500 | 1,499 | ||||||
Wisconsin Electric Power Co., | ||||||||
0.150%, 7-1-15 | 1,925 | 1,925 | ||||||
Wisconsin Gas LLC, | ||||||||
0.130%, 7-10-15 | 3,000 | 3,000 | ||||||
|
| |||||||
Total Commercial Paper – 28.5% |
| 155,172 | ||||||
Master Note |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (A) | 1,212 | 1,212 | ||||||
|
| |||||||
Total Master Note – 0.2% |
| 1,212 | ||||||
Notes |
| |||||||
American Honda Finance Corp.: | ||||||||
0.270%, 7-10-15 (A) | 15,500 | 15,500 | ||||||
0.300%, 7-15-15 (A) | 4,300 | 4,300 | ||||||
Anheuser-Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB), | ||||||||
0.800%, 7-15-15 | 13,960 | 13,963 | ||||||
Banco del Estado de Chile, | ||||||||
0.390%, 7-22-15 (A) | 10,200 | 10,200 | ||||||
Bank of Nova Scotia (The): | ||||||||
0.280%, 7-5-15 (A) | 5,500 | 5,500 | ||||||
0.790%, 7-17-15 (A) | 4,000 | 4,018 | ||||||
0.280%, 7-22-15 (A) | 13,000 | 13,000 | ||||||
0.510%, 9-27-15 (A) | 2,000 | 2,002 | ||||||
BMO Harris Bank N.A., | ||||||||
0.290%, 7-10-15 (A) | 6,450 | 6,450 | ||||||
General Electric Capital Corp.: | ||||||||
1.625%, 7-2-15 | 1,115 | 1,115 | ||||||
0.460%, 7-6-15 (A) | 4,200 | 4,202 | ||||||
0.870%, 7-8-15 (A) | 625 | 627 | ||||||
0.470%, 7-9-15 (A) | 2,478 | 2,480 | ||||||
1.024%, 7-9-15 (A) | 1,200 | 1,200 | ||||||
1.076%, 8-8-15 (A) | 600 | 603 | ||||||
0.880%, 9-12-15 (A) | 4,050 | 4,060 | ||||||
1.000%, 9-23-15 (A) | 7,000 | 7,012 |
CORPORATE OBLIGATIONS (Continued) | Principal | Value | ||||||
Notes (Continued) |
| |||||||
JPMorgan Chase & Co.: | ||||||||
0.440%, 7-22-15 (A) | $ | 1,650 | $ | 1,650 | ||||
0.440%, 9-8-15 (A) | 4,750 | 4,750 | ||||||
John Deere Capital Corp., | ||||||||
0.400%, 9-13-15 (A) | 2,600 | 2,602 | ||||||
JPMorgan Chase Bank N.A., | ||||||||
0.330%, 7-23-15 (A) | 6,400 | 6,400 | ||||||
NIKE, Inc., | ||||||||
5.150%, 10-15-15 | 515 | 522 | ||||||
PepsiCo, Inc.: | ||||||||
0.480%, 7-30-15 (A) | 1,900 | 1,900 | ||||||
0.490%, 8-28-15 (A) | 1,150 | 1,151 | ||||||
Rabobank Nederland, | ||||||||
0.320%, 9-1-15 (A) | 5,000 | 5,000 | ||||||
Toyota Motor Credit Corp.: | ||||||||
0.290%, 7-14-15 (A) | 7,500 | 7,500 | ||||||
0.440%, 9-18-15 (A) | 825 | 825 | ||||||
U.S. Bank National Association, | ||||||||
0.330%, 8-28-15 (A) | 7,700 | 7,701 | ||||||
Wells Fargo & Co., | ||||||||
0.480%, 7-28-15 (A) | 850 | 850 | ||||||
Wells Fargo Bank N.A.: | ||||||||
0.330%, 7-20-15 (A) | 7,500 | 7,500 | ||||||
0.390%, 7-20-15 (A) | 3,000 | 3,000 | ||||||
0.370%, 9-10-15 (A) | 3,500 | 3,500 | ||||||
0.410%, 9-15-15 (A) | 4,500 | 4,500 | ||||||
|
| |||||||
Total Notes – 28.6% |
| 155,583 | ||||||
TOTAL CORPORATE OBLIGATIONS – 67.1% |
| $ | 365,417 | |||||
(Cost: $365,417) | ||||||||
MUNICIPAL OBLIGATIONS | ||||||||
California – 3.8% |
| |||||||
CA Hlth Fac Fin Auth, Var Rate Hosp Rev Bonds (Adventist Hlth Sys/West), Ser 1998B (GTD by Bank of America N.A.), | ||||||||
0.020%, 7-1-15 (A) | 800 | 800 | ||||||
CA Infra and Econ Dev Bank, Var Rate Dnd Rfdg Rev Bds (LA Cnty Mus of Nat Hist Fndtn), Ser 2008A (GTD by Wells Fargo Bank N.A.), | ||||||||
0.010%, 7-1-15 (A) | 1,900 | 1,900 |
86 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Money Market (in thousands) | JUNE 30, 2015 (UNAUDITED) |
MUNICIPAL OBLIGATIONS (Continued) | Principal | Value | ||||||
California (Continued) |
| |||||||
CA Muni Fin Auth, Recovery Zone Fac Bonds (Chevron USA, Inc. Proj), Ser 2010C (GTD by Chevron Corp.), | ||||||||
0.010%, 7-1-15 (A) | $ | 4,314 | $ | 4,314 | ||||
CA Pollutn Ctl Fin Auth, Pollutn Ctl Rfdg Rev Bonds (Pacific Gas and Elec Co.), Ser C (GTD by JPMorgan Chase Bank N.A.), | ||||||||
0.010%, 7-1-15 (A) | 2,979 | 2,979 | ||||||
CA Statewide Cmnty Dev Auth, Multifam Hsng Rev Bonds (Wyndover Apts), Ser 2004 LL (GTD by U.S. Government), | ||||||||
0.070%, 7-7-15 (A) | 2,232 | 2,232 | ||||||
CA Statewide Cmnty Dev Auth, Multifam Hsng Rev Bonds (The Crossings Sr Apts/Phase I), Ser 2005 I (GTD by U.S. Government), | ||||||||
0.070%, 7-7-15 (A) | 8,700 | 8,700 | ||||||
|
| |||||||
20,925 | ||||||||
|
| |||||||
Colorado – 2.0% |
| |||||||
Castle Rock, CO, Cert of Part, Ser 2008 (GTD by Wells Fargo Bank N.A.), | ||||||||
0.090%, 7-7-15 (A) | 5,350 | 5,350 | ||||||
CO Hsng and Fin Auth, Multifam Hsng Rev Bonds (Greentree Vlg Apts Proj), Ser 2007 (GTD by U.S. Bank N.A.), | ||||||||
0.070%, 7-7-15 (A) | 3,100 | 3,100 | ||||||
Exempla Gen Impvt Dist of Lafayette, CO, Spl Impvt Dist No. 02-01, Spl Assmt Rev Rfdg and Impvt Bonds, Ser 2002 (GTD by Wells Fargo Bank N.A.), | ||||||||
0.110%, 7-7-15 (A) | 250 | 250 | ||||||
Sheridan Redev Agy CO Tax, Var Rfdg S Santa Fe Dr Corridor Redev PJ, Ser A-1 (GTD by JPMorgan Chase & Co.): | ||||||||
0.090%, 7-7-15 (A) | 1,500 | 1,500 | ||||||
0.250%, 7-7-15 (A) | 550 | 550 | ||||||
|
| |||||||
10,750 | ||||||||
|
|
MUNICIPAL OBLIGATIONS (Continued) | Principal | Value | ||||||
Florida – 0.6% |
| |||||||
FL Muni Power Agy, All-Requirements Power Supply Proj Var Rate Demand Rfdg Rev Bonds, Ser 2008C (GTD by Bank of America N.A.), | ||||||||
0.060%, 7-1-15 (A) | $ | 3,060 | $ | 3,060 | ||||
|
| |||||||
Georgia – 3.4% |
| |||||||
Dev Auth of Monroe Cty, Pollutn Ctl Rev Bonds (GA Power Co. Plant Scherer Proj), First Ser 2008 (GTD by Georgia Power Co.), | ||||||||
0.060%, 7-1-15 (A) | 2,275 | 2,275 | ||||||
Muni Elec Auth GA, Gen Resolution Proj Bond Anticipation Notes, Ser B (Taxable), (GTD by TD Bank), | ||||||||
0.130%, 7-1-15 | 4,100 | 4,100 | ||||||
Muni Elec Auth GA, Gen Resolution Proj Bond Anticipation Notes, Ser A (Taxable), (GTD by Wells Fargo Bank N.A.), | ||||||||
0.150%, 7-1-15 | 12,130 | 12,130 | ||||||
|
| |||||||
18,505 | ||||||||
|
| |||||||
Illinois – 1.3% |
| |||||||
Chicago, IL, O’Hare Intl Arpt Rev Notes, Ser 2015D-3 (GTD by BMO Harris Bank N.A.), | ||||||||
0.160%, 7-23-15 | 5,482 | 5,482 | ||||||
Elmhurst, IL, Adj Demand Rev Bonds, Joint Comsn on Accred of Hlthcare Org (GTD by JPMorgan Chase Bank N.A.), | ||||||||
0.060%, 7-7-15 (A) | 545 | 545 | ||||||
IL Fin Auth, Var Rate Demand Rev Bonds (The Univ of Chicago Med Ctr), Ser D (GTD by JPMorgan Chase & Co.), | ||||||||
0.040%, 7-1-15 (A) | 1,000 | 1,000 | ||||||
|
| |||||||
7,027 | ||||||||
|
|
MUNICIPAL OBLIGATIONS (Continued) | Principal | Value | ||||||
Iowa – 0.2% |
| |||||||
IA Fin Auth, Var Rate Demand Hlth Fac Rev Bonds (Great River Med Ctr Proj), Ser 2008 (GTD by Great River Medical Center), | ||||||||
0.030%, 7-1-15 (A) | $ | 1,065 | $ | 1,065 | ||||
|
| |||||||
Louisiana – 1.5% |
| |||||||
LA Pub Fac Auth, Rev Bonds (Air Products and Chemicals Proj), Ser 2009A (GTD by Air Products and Chemicals, Inc.), | ||||||||
0.080%, 7-7-15 (A) | 2,350 | 2,350 | ||||||
LA Pub Fac Auth, Rev Bonds (Air Products and Chemicals Proj), Ser 2008A (GTD by Air Products and Chemicals, Inc.), | ||||||||
0.040%, 7-1-15 (A) | 3,941 | 3,941 | ||||||
Parish of St. Bernard, LA, Exempt Fac Rev Bonds (Mobil Oil Corp. Proj), Ser 1996 (GTD by Exxon Mobil Corp.), | ||||||||
0.020%, 7-1-15 (A) | 1,600 | 1,600 | ||||||
|
| |||||||
7,891 | ||||||||
|
| |||||||
Maryland – 0.1% |
| |||||||
MD Hlth and Higher Edu Fac Auth Rev Bonds, Anne Arundel Hlth Sys Issue, Ser 2009A (GTD by Toronto Dominion Bank), | ||||||||
0.120%, 7-7-15 (A) | 515 | 515 | ||||||
|
| |||||||
Michigan – 0.4% |
| |||||||
MI Strategic Fund, Var Rate Demand Ltd. Oblig Rev Bonds (Air Products and Chemicals, Inc. Proj), Ser 2007 (GTD by Bank of New York (The)), | ||||||||
0.040%, 7-1-15 (A) | 1,900 | 1,900 | ||||||
|
| |||||||
Minnesota – 0.4% |
| |||||||
MN Office of Higher Edu, Adj Rate Supplemental Student Loan Prog Rev Bonds, Ser 2008B (Tax-Exempt), | ||||||||
0.080%, 7-7-15 (A) | 2,000 | 2,000 | ||||||
|
|
2015 | SEMIANNUAL REPORT | 87 |
Table of Contents
SCHEDULE OF INVESTMENTS
Money Market (in thousands) | JUNE 30, 2015 (UNAUDITED) |
MUNICIPAL OBLIGATIONS (Continued) | Principal | Value | ||||||
Mississippi – 2.3% |
| |||||||
MS Business Fin Corp., Gulf Opp Zone Indl Dev Rev Bonds (Chevron USA, Inc. Proj), Ser 2007B (GTD by Chevron Corp.), | ||||||||
0.020%, 7-1-15 (A) | $ | 4,637 | $ | 4,637 | ||||
MS Business Fin Corp., Gulf Opp Zone Indl Dev Rev Bonds (Chevron USA, Inc. Proj), Ser 2007D (GTD by Chevron Corp.), | ||||||||
0.020%, 7-1-15 (A) | 2,220 | 2,220 | ||||||
MS Business Fin Corp., Gulf Opp Zone Indl Dev Rev Bonds (Chevron USA, Inc. Proj), Ser 2010J (GTD by Chevron Corp.), | ||||||||
0.020%, 7-1-15 (A) | 4,332 | 4,332 | ||||||
MS Business Fin Corp., Gulf Opp Zone Indl Dev Var Rev Bonds (Chevron USA, Inc. Proj), Ser 2007D (GTD by Chevron Corp.), | ||||||||
0.020%, 7-1-15 (A) | 1,550 | 1,550 | ||||||
|
| |||||||
12,739 | ||||||||
|
| |||||||
Missouri – 0.3% |
| |||||||
Kansas City, MO, Var Rate Demand Taxable Spl Oblig Rfdg Bonds (President Hotel Redev Proj), Ser 2009B (GTD by JPMorgan Chase & Co.), | ||||||||
0.130%, 7-7-15 (A) | 1,340 | 1,340 | ||||||
|
| |||||||
New Jersey – 0.7% |
| |||||||
NJ Hlth Care Fac Fin Auth, Rev Bonds, AHS Hosp Corp. Issue, Ser 2008C (GTD by JPMorgan Chase & Co.), | ||||||||
0.050%, 7-7-15 (A) | 3,200 | 3,200 | ||||||
Trap Rock Industries, Inc., Var Demand Bonds, Ser 2005 (GTD by Wachovia Bank N.A.), | ||||||||
0.180%, 7-7-15 (A) | 767 | 767 | ||||||
|
| |||||||
3,967 | ||||||||
|
|
MUNICIPAL OBLIGATIONS (Continued) | Principal | Value | ||||||
New York – 3.5% |
| |||||||
NY Hsng Fin Agy, Clinton Park Phase II Hsng Rev Bonds, Ser 2011 A-1 (GTD by Wells Fargo Bank N.A.), | ||||||||
0.070%, 7-7-15 (A) | $ | 2,000 | $ | 2,000 | ||||
NY Hsng Fin Agy, Related West 30th Street Hsng Rev Bonds, Ser 2012 A-1 (GTD by Wells Fargo Bank N.A.), | ||||||||
0.070%, 7-7-15 (A) | 1,800 | 1,800 | ||||||
NY Hsng Fin Agy, Related-Caroline Apt Hsng Rev Bonds, Ser 2008A (GTD by Federal Home Loan Mortgage Corp.), | ||||||||
0.080%, 7-7-15 (A) | 2,400 | 2,400 | ||||||
NY State Hsng Fin Agy, Maestro West Chelsea Hsng Rev Bonds, Ser 2014A, | ||||||||
0.070%, 7-7-15 (A) | 2,250 | 2,250 | ||||||
NY State Hsng Fin Agy, Riverside Ctr 2 Hsng Rev Bonds, Ser 2013A-2 (GTD by Bank of America N.A.), | ||||||||
0.070%, 7-7-15 (A) | 5,000 | 5,000 | ||||||
NYC GO Bonds, Fiscal 2006 Ser E (GTD by Bank of America N.A.), | ||||||||
0.070%, 7-7-15 (A) | 2,600 | 2,600 | ||||||
NYC Hsng Dev Corp., Multi-Fam Mtg Rev Bonds (Target V Apt), Ser 2006A (GTD by Citibank N.A.), | ||||||||
0.070%, 7-7-15 (A) | 3,000 | 3,000 | ||||||
|
| |||||||
19,050 | ||||||||
|
| |||||||
Ohio – 0.3% |
| |||||||
Columbus Rgnl Arpt Auth, Cap Funding Rev Bonds (OASBO Expanded Asset Pooled Fin Prog), Sr Ser 2006, | ||||||||
0.070%, 7-7-15 (A) | 1,800 | 1,800 | ||||||
|
| |||||||
Oregon – 0.1% |
| |||||||
Hosp Fac Auth of Clackamas Cnty, OR, Rev Bonds (Legacy Hlth Sys), Ser 2008B (GTD by U.S. Bank N.A.), | ||||||||
0.060%, 7-7-15 (A) | 700 | 700 | ||||||
|
|
MUNICIPAL OBLIGATIONS (Continued) | Principal | Value | ||||||
South Dakota – 0.8% |
| |||||||
SD Hlth and Edu Fac Auth, Var Rate Demand Rev Bonds (Sioux Vly Hosp and Hlth Sys), Ser 2001C (GTD by U.S. Bank N.A.), | ||||||||
0.070%, 7-7-15 (A) | $ | 4,585 | $ | 4,585 | ||||
|
| |||||||
Tennessee – 1.0% |
| |||||||
Johnson City, TN Hlth and Edu Fac, Hosp Rev Bonds (Mountain States Hlth Alliance), Ser 2013A (GTD by U.S. Bank N.A.), | ||||||||
0.070%, 7-7-15 (A) | 5,500 | 5,500 | ||||||
|
| |||||||
Texas – 2.4% |
| |||||||
Harris Cnty Hosp Dist, Sr Lien Rfdg Rev Bonds, Ser 2010 (GTD by JPMorgan Chase & Co.), | ||||||||
0.070%, 7-7-15 (A) | 1,500 | 1,500 | ||||||
Port Arthur Nav Dist Indl Dev Corp., Exempt Fac Var Rate Rev Bonds (Air Prdts Proj), Ser 2006 (GTD by Air Products and Chemicals, Inc.), | ||||||||
0.040%, 7-1-15 (A) | 9,220 | 9,220 | ||||||
Port Arthur Nav Dist Indl Dev Corp., Exempt Fac Var Rate Rev Bonds (Air Prdts Proj), Ser 2005 (GTD by Air Products and Chemicals, Inc.), | ||||||||
0.040%, 7-1-15 (A) | 2,250 | 2,250 | ||||||
|
| |||||||
12,970 | ||||||||
|
| |||||||
Wisconsin – 0.8% |
| |||||||
WI Hlth and Edu Fac Auth, Var Rate Demand Rev Bonds (Wausau Hosp, Inc.), Ser 1998B (GTD by JPMorgan Chase Bank N.A.), | ||||||||
0.060%, 7-7-15 (A) | 4,600 | 4,600 | ||||||
|
|
88 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Money Market (in thousands) | JUNE 30, 2015 (UNAUDITED) |
MUNICIPAL OBLIGATIONS (Continued) | Principal | Value | ||||||
Wyoming – 0.4% |
| |||||||
Uinta Cnty, WY, Pollutn Ctl Rfdg Rev Bonds (Chevron USA, Inc. Proj), Ser 1992 (GTD by Chevron Corp.), | ||||||||
0.020%, 7-1-15 (A) | $ | 2,381 | $ | 2,381 | ||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS – 26.3% |
| $ | 143,270 | |||||
(Cost: $143,270) | ||||||||
UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | ||||||||
United States Government Agency Obligations – 6.2% |
| |||||||
Overseas Private Investment Corp. (GTD by U.S. Government): | ||||||||
0.110%, 7-1-15 (A) | 3,820 | 3,820 | ||||||
0.110%, 7-3-15 (A) | 2,914 | 2,914 | ||||||
0.110%, 7-7-15 (A) | 22,106 | 22,106 | ||||||
0.110%, 7-29-15 (A) | 5,100 | 5,100 | ||||||
|
| |||||||
33,940 | ||||||||
|
|
UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Continued) | Value | |||||
TOTAL UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS – 6.2% | $ | 33,940 | ||||
(Cost: $33,940) | ||||||
TOTAL INVESTMENT SECURITIES – 99.6% | $ | 542,627 | ||||
(Cost: $542,627) | ||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.4% | 2,120 | |||||
NET ASSETS – 100.0% | $ | 544,747 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
(B) | Rate shown is the yield to maturity at June 30, 2015. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | — | $ | 365,417 | $ | — | ||||||
Municipal Obligations | — | 143,270 | — | |||||||||
United States Government and Government Agency Obligations | — | 33,940 | — | |||||||||
Total | $ | — | $ | 542,627 | $ | — |
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 89 |
Table of Contents
SCHEDULE OF INVESTMENTS
Money Market (in thousands) | JUNE 30, 2015 (UNAUDITED) |
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
GTD = Guaranteed
See Accompanying Notes to Financial Statements.
90 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Real Estate Securities | ALL DATA IS AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 98.6% | |||
Financials | 96.2% | |||
Consumer Discretionary | 1.2% | |||
Information Technology | 1.2% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.4% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Simon Property Group, Inc. | Financials | Retail REITs | ||
Equity Residential | Financials | Residential REITs | ||
Boston Properties, Inc. | Financials | Office REITs | ||
AvalonBay Communities, Inc. | Financials | Residential REITs | ||
Public Storage, Inc. | Financials | Specialized REITs | ||
Essex Property Trust, Inc. | Financials | Residential REITs | ||
Vornado Realty Trust | Financials | Office REITs | ||
Health Care, Inc. | Financials | Health Care REITs | ||
Host Hotels & Resorts, Inc. | Financials | Specialized REITs | ||
General Growth Properties, Inc. | Financials | Retail REITs |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2015 | SEMIANNUAL REPORT | 91 |
Table of Contents
SCHEDULE OF INVESTMENTS
Real Estate Securities (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Hotels, Resorts & Cruise Lines – 1.2% |
| |||||||
Hilton Worldwide Holdings, Inc. (A) | 20 | $ | 551 | |||||
|
| |||||||
Total Consumer Discretionary – 1.2% |
| 551 | ||||||
Financials |
| |||||||
Diversified REITs – 0.7% |
| |||||||
Liberty Property Trust | 10 | 332 | ||||||
|
| |||||||
Health Care REITs – 4.8% |
| |||||||
HCP, Inc. | 10 | 368 | ||||||
Health Care, Inc. | 28 | 1,825 | ||||||
|
| |||||||
2,193 | ||||||||
|
| |||||||
Industrial REITs – 3.8% |
| |||||||
DCT Industrial Trust, Inc. | 17 | 520 | ||||||
ProLogis | 34 | 1,251 | ||||||
|
| |||||||
1,771 | ||||||||
|
| |||||||
Office REITs – 22.4% |
| |||||||
Alexandria Real Estate Equities, Inc. | 16 | 1,408 | ||||||
Boston Properties, Inc. | 19 | 2,251 | ||||||
Digital Realty Trust, Inc. | 6 | 373 | ||||||
Duke Realty Corp. | 58 | 1,068 | ||||||
Highwoods Properties, Inc. | 14 | 551 | ||||||
Hudson Pacific Properties, Inc. | 17 | 485 | ||||||
Kilroy Realty Corp. | 8 | 557 | ||||||
Mack-Cali Realty Corp. | 19 | 345 | ||||||
Paramount Group, Inc. | 20 | 338 | ||||||
SL Green Realty Corp. | 10 | 1,121 | ||||||
Vornado Realty Trust | 20 | 1,889 | ||||||
|
| |||||||
10,386 | ||||||||
|
| |||||||
Residential REITs – 22.7% |
| |||||||
American Campus Communities, Inc. | 15 | 577 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Residential REITs (Continued) |
| |||||||
Apartment Investment and Management Co., Class A | 18 | $ | 683 | |||||
AvalonBay Communities, Inc. | 13 | 2,136 | ||||||
Camden Property Trust | 12 | 921 | ||||||
Equity Lifestyle Properties, Inc. | 13 | 678 | ||||||
Equity Residential | 35 | 2,429 | ||||||
Essex Property Trust, Inc. | 9 | 1,945 | ||||||
Mid-America Apartment Communities, Inc. | 2 | 139 | ||||||
UDR, Inc. | 31 | 1,005 | ||||||
|
| |||||||
10,513 | ||||||||
|
| |||||||
Retail REITs – 22.6% |
| |||||||
Acadia Realty Trust | 20 | 592 | ||||||
Brixmor Property Group, Inc. | 19 | 435 | ||||||
DDR Corp. | 12 | 178 | ||||||
Federal Realty Investment Trust | 10 | 1,268 | ||||||
General Growth Properties, Inc. | 56 | 1,431 | ||||||
Kimco Realty Corp. | 45 | 1,003 | ||||||
Kite Realty Group Trust | 14 | 351 | ||||||
Simon Property Group, Inc. | 26 | 4,556 | ||||||
Weingarten Realty Investors | 20 | 667 | ||||||
|
| |||||||
10,481 | ||||||||
|
| |||||||
Specialized REITs – 19.2% |
| |||||||
Chesapeake Lodging Trust | 12 | 350 | ||||||
CubeSmart | 25 | 579 | ||||||
Extra Space Storage, Inc. | 15 | 972 | ||||||
Host Hotels & Resorts, Inc. | 75 | 1,493 | ||||||
LaSalle Hotel Properties | 5 | 188 | ||||||
Pebblebrook Hotel Trust | 17 | 733 | ||||||
Public Storage, Inc. | 12 | 2,121 | ||||||
Strategic Hotels & Resorts, Inc. (A) | 58 | 709 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Specialized REITs (Continued) |
| |||||||
Sunstone Hotel Investors, Inc. | 28 | $ | 423 | |||||
Ventas, Inc. | 21 | 1,310 | ||||||
|
| |||||||
8,878 | ||||||||
|
| |||||||
Total Financials – 96.2% |
| 44,554 | ||||||
Information Technology |
| |||||||
Internet Software & Services – 1.2% |
| |||||||
Equinix, Inc. | 2 | 559 | ||||||
|
| |||||||
Total Information Technology – 1.2% |
| 559 | ||||||
TOTAL COMMON STOCKS – 98.6% |
| $ | 45,664 | |||||
(Cost: $43,216) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 1.6% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (B) | $ | 724 | 724 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.6% |
| $ | 724 | |||||
(Cost: $724) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.2% |
| $ | 46,388 | |||||
(Cost: $43,940) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.2)% |
| (84 | ) | |||||
NET ASSETS – 100.0% |
| $ | 46,304 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 45,664 | $ | — | $ | — | ||||||
Short-Term Securities | — | 724 | — | |||||||||
Total | $ | 45,664 | $ | 724 | $ | — |
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
92 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Science and Technology | ALL DATA AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 94.8% | |||
Information Technology | 59.1% | |||
Health Care | 20.1% | |||
Industrials | 5.2% | |||
Consumer Discretionary | 5.1% | |||
Telecommunication Services | 1.9% | |||
Utilities | 1.4% | |||
Financials | 1.1% | |||
Materials | 0.6% | |||
Consumer Staples | 0.3% | |||
Warrants | 0.1% | |||
Purchased Options | 0.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 5.1% |
Country Weightings
North America | 73.6% | |||
United States | 73.6% | |||
Europe | 11.1% | |||
Spain | 3.5% | |||
Other Europe | 7.6% | |||
Pacific Basin | 5.1% | |||
Other | 4.0% | |||
Israel | 4.0% | |||
Bahamas/Caribbean | 1.1% | |||
Cash and Other Assets (Net of Liabilities), Cash Equivalents+ and Purchased Options | 5.1% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Alliance Data Systems Corp. | United States | Information Technology | Data Processing & Outsourced Services | |||
Micron Technology, Inc. | United States | Information Technology | Semiconductors | |||
Aspen Technology, Inc. | United States | Information Technology | Application Software | |||
Vertex Pharmaceuticals, Inc. | United States | Health Care | Biotechnology | |||
Euronet Worldwide, Inc. | United States | Information Technology | Data Processing & Outsourced Services | |||
ACI Worldwide, Inc. | United States | Information Technology | Application Software | |||
Cerner Corp. | United States | Health Care | Health Care Technology | |||
NXP Semiconductors N.V. | Netherlands | Information Technology | Semiconductors | |||
Isis Pharmaceuticals, Inc. | United States | Health Care | Biotechnology | |||
Tenet Healthcare Corp. | United States | Health Care | Health Care Facilities |
See your advisor for more information on the Portfolio’s most recent published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2015 | SEMIANNUAL REPORT | 93 |
Table of Contents
SCHEDULE OF INVESTMENTS
Science and Technology (in thousands) JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Automobile Manufacturers – 1.9% |
| |||||||
Tesla Motors, Inc. (A) | 44 | $ | 11,884 | |||||
|
| |||||||
Consumer Electronics – 3.2% |
| |||||||
Garmin Ltd. | 149 | 6,554 | ||||||
Harman International Industries, Inc. | 110 | 13,119 | ||||||
|
| |||||||
19,673 | ||||||||
|
| |||||||
Total Consumer Discretionary – 5.1% |
| 31,557 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 0.3% |
| |||||||
Arcadia Biosciences, Inc. (A) | 299 | 1,907 | ||||||
|
| |||||||
Total Consumer Staples – 0.3% |
| 1,907 | ||||||
Financials |
| |||||||
Office REITs – 0.9% |
| |||||||
QTS Realty Trust, Inc., Class A | 159 | 5,785 | ||||||
|
| |||||||
Specialized REITs – 0.2% |
| |||||||
Communications Sales & Leasing, Inc. | 54 | 1,323 | ||||||
|
| |||||||
Total Financials – 1.1% |
| 7,108 | ||||||
Health Care |
| |||||||
Biotechnology – 8.7% |
| |||||||
Evogene Ltd. (A) | 175 | 1,551 | ||||||
FibroGen, Inc. (A) | 113 | 2,653 | ||||||
Isis Pharmaceuticals, Inc. (A) | 318 | 18,318 | ||||||
PTC Therapeutics, Inc. (A) | 70 | 3,379 | ||||||
Seres Therapeutics, Inc. (A) | 17 | 693 | ||||||
Spark Therapeutics, Inc. (A) | 12 | 705 | ||||||
Vertex Pharmaceuticals, Inc. (A) | 216 | 26,721 | ||||||
|
| |||||||
54,020 | ||||||||
|
| |||||||
Health Care Equipment – 1.6% |
| |||||||
Avinger, Inc. (A) | 133 | 1,721 | ||||||
Cardiovascular Systems, Inc. (A) | 86 | 2,264 | ||||||
Intuitive Surgical, Inc. (A) | 13 | 6,105 | ||||||
|
| |||||||
10,090 | ||||||||
|
| |||||||
Health Care Facilities – 2.9% |
| |||||||
Tenet Healthcare Corp. (A) | 312 | 18,082 | ||||||
|
| |||||||
Health Care Technology – 3.2% |
| |||||||
Cerner Corp. (A) | 284 | 19,634 | ||||||
|
| |||||||
Life Sciences Tools & Services – 1.4% |
| |||||||
PRA Health Sciences, Inc. (A) | 228 | 8,288 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Pharmaceuticals – 2.3% |
| |||||||
Teva Pharmaceutical Industries Ltd. ADR | 242 | $ | 14,314 | |||||
|
| |||||||
Total Health Care – 20.1% |
| 124,428 | ||||||
Industrials |
| |||||||
Building Products – 0.8% |
| |||||||
Advanced Drainage Systems, Inc. | 172 | 5,036 | ||||||
|
| |||||||
Construction & Engineering – 2.1% |
| |||||||
Abengoa S.A., Class B (B) | 1,361 | 4,279 | ||||||
Abengoa S.A., Class B ADR | 560 | 8,903 | ||||||
|
| |||||||
13,182 | ||||||||
|
| |||||||
Industrial Machinery – 2.3% |
| |||||||
Pentair, Inc. | 206 | 14,142 | ||||||
|
| |||||||
Total Industrials – 5.2% |
| 32,360 | ||||||
Information Technology |
| |||||||
Application Software – 11.2% |
| |||||||
ACI Worldwide, Inc. (A) | 809 | 19,872 | ||||||
Aspen Technology, Inc. (A) | 669 | 30,459 | ||||||
Globant S.A. (A) | 110 | 3,336 | ||||||
Mobileye N.V. (A) | 166 | 8,810 | ||||||
Silver Spring Networks, Inc. (A) | 552 | 6,854 | ||||||
|
| |||||||
69,331 | ||||||||
|
| |||||||
Communications Equipment – 0.7% |
| |||||||
Ruckus Wireless, Inc. (A) | 398 | 4,116 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 13.5% |
| |||||||
Alliance Data Systems Corp. (A) | 112 | 32,814 | ||||||
Euronet Worldwide, Inc. (A)(C) | 377 | 23,249 | ||||||
EVERTEC, Inc. | 227 | 4,813 | ||||||
QIWI plc ADR | 223 | 6,244 | ||||||
WNS (Holdings) Ltd. ADR (A) | 604 | 16,146 | ||||||
|
| |||||||
83,266 | ||||||||
|
| |||||||
Electronic Components – 1.9% |
| |||||||
Universal Display Corp. (A) | 229 | 11,862 | ||||||
|
| |||||||
Electronic Equipment & Instruments – 0.8% |
| |||||||
FLIR Systems, Inc. | 168 | 5,166 | ||||||
|
| |||||||
Internet Software & Services – 7.7% |
| |||||||
21Vianet Group, Inc. ADR (A) | 176 | 3,603 | ||||||
Alibaba Group Holding Ltd. ADR (A) | 70 | 5,784 | ||||||
Baidu.com, Inc. ADR (A) | 15 | 2,906 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Internet Software & Services (Continued) |
| |||||||
Facebook, Inc., Class A (A) | 150 | $ | 12,839 | |||||
Google, Inc., Class A (A) | 13 | 7,236 | ||||||
Google, Inc., Class C (A) | 18 | 9,283 | ||||||
Twitter, Inc. (A) | 167 | 6,060 | ||||||
|
| |||||||
47,711 | ||||||||
|
| |||||||
IT Consulting & Other Services – 2.3% |
| |||||||
Acxiom Corp. (A) | 654 | 11,503 | ||||||
Virtusa Corp. (A) | 56 | 2,868 | ||||||
|
| |||||||
14,371 | ||||||||
|
| |||||||
Semiconductor Equipment – 1.1% |
| |||||||
Nanometrics, Inc. (A) | 154 | 2,481 | ||||||
Photronics, Inc. (A) | 473 | 4,495 | ||||||
|
| |||||||
6,976 | ||||||||
|
| |||||||
Semiconductors – 17.5% |
| |||||||
Cypress Semiconductor Corp. | 766 | 9,010 | ||||||
Dialog Semiconductor plc (A)(B) | 139 | 7,493 | ||||||
Marvell Technology Group Ltd. | 506 | 6,669 | ||||||
Micron Technology, Inc. (A) | 1,679 | 31,623 | ||||||
Microsemi Corp. (A) | 451 | 15,752 | ||||||
NXP Semiconductors N.V. (A) | 198 | 19,404 | ||||||
Rambus, Inc. (A) | 667 | 9,658 | ||||||
Semtech Corp. (A) | 367 | 7,293 | ||||||
Silicon Laboratories, Inc. (A) | 26 | 1,388 | ||||||
|
| |||||||
108,290 | ||||||||
|
| |||||||
Systems Software – 2.4% |
| |||||||
Microsoft Corp. | 331 | 14,614 | ||||||
|
| |||||||
Total Information Technology – 59.1% |
| 365,703 | ||||||
Materials |
| |||||||
Commodity Chemicals – 0.5% |
| |||||||
BioAmber, Inc. (A) | 369 | 3,172 | ||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.1% |
| |||||||
Marrone Bio Innovations, Inc. (A) | 280 | 553 | ||||||
|
| |||||||
Total Materials – 0.6% |
| 3,725 | ||||||
Telecommunication Services |
| |||||||
Alternative Carriers – 1.4% |
| |||||||
Zayo Group Holdings, Inc. (A) | 324 | 8,320 | ||||||
|
| |||||||
Integrated Telecommunication Services – 0.5% |
| |||||||
China Unicom Ltd. (B) | 2,080 | 3,274 | ||||||
|
| |||||||
Total Telecommunication Services – 1.9% |
| 11,594 |
94 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Science and Technology (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Utilities |
| |||||||
Renewable Electricity – 1.4% |
| |||||||
Abengoa Yield plc | 159 | $ | 4,989 | |||||
Abengoa Yield plc (D) | 111 | 3,413 | ||||||
|
| |||||||
8,402 | ||||||||
|
| |||||||
Total Utilities – 1.4% | 8,402 | |||||||
TOTAL COMMON STOCKS – 94.8% |
| $ | 586,784 | |||||
(Cost: $380,050) | ||||||||
WARRANTS | ||||||||
Commodity Chemicals – 0.1% |
| |||||||
BioAmber, Inc. (E) | 201 | 386 | ||||||
|
| |||||||
TOTAL WARRANTS – 0.1% |
| $ | 386 | |||||
(Cost: $24) |
PURCHASED OPTIONS | Number of Contracts (Unrounded) | Value | ||||||
Apple, Inc.: | ||||||||
Call $135.00, Expires 7-17-15, OTC (Ctrpty: Citibank N.A.) | 1,725 | $ | 18 | |||||
Call $135.00, Expires 8-21-15, OTC (Ctrpty: Citibank N.A.) | 352 | 46 | ||||||
Call $140.00, Expires 8-21-15, OTC (Ctrpty: Citibank N.A.) | 352 | 21 | ||||||
|
| |||||||
TOTAL PURCHASED OPTIONS – 0.0% |
| $ | 85 | |||||
(Cost: $849) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (F) – 4.5% |
| |||||||
Army & Air Force Exchange Service, | ||||||||
0.100%, 7-10-15 | $ | 10,000 | 9,999 | |||||
General Mills, Inc., | ||||||||
0.360%, 7-6-15 | 5,000 | 5,000 |
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Commercial Paper (F) (Continued) |
| |||||||
Kroger Co. (The), | ||||||||
0.300%, 7-1-15 | $ | 8,157 | $ | 8,157 | ||||
Unilever Capital Corp. (GTD by Unilever N.V.), | ||||||||
0.160%, 7-6-15 | 5,000 | 5,000 | ||||||
|
| |||||||
28,156 | ||||||||
|
| |||||||
Master Note – 0.6% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (G) | 3,553 | 3,553 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 5.1% |
| $ | 31,709 | |||||
(Cost: $31,709) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 618,964 | |||||
(Cost: $412,632) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (33 | ) | |||||
NET ASSETS – 100.0% |
| $ | 618,931 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Listed on an exchange outside the United States. |
(C) | All or a portion of securities with an aggregate value of $494 are held in collateralized accounts to cover potential obligations with respect to outstanding written options. |
(D) | Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2015 the total value of these securities amounted to $3,413 or 0.6% of net assets. |
(E) | Warrants entitle the Portfolio to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
(F) | Rate shown is the yield to maturity at June 30, 2015. |
(G) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following written options were outstanding at June 30, 2015 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Expiration Month | Exercise Price | Premium Received | Value | |||||||||||||||||||||
Apple, Inc. | Citibank N.A. | Put | 1,725 | July 2015 | $ | 120.00 | $ | 508 | $ | (89 | ) | |||||||||||||||||
Citibank N.A. | Put | 352 | August 2015 | 120.00 | 70 | (91 | ) | |||||||||||||||||||||
Citibank N.A. | Put | 352 | August 2015 | 125.00 | 119 | (162 | ) | |||||||||||||||||||||
Citibank N.A. | Call | 704 | August 2015 | 155.00 | 22 | (5 | ) | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 719 | $ | (347 | ) | ||||||||||||||||||||||||
|
|
2015 | SEMIANNUAL REPORT | 95 |
Table of Contents
SCHEDULE OF INVESTMENTS
Science and Technology (in thousands) | JUNE 30, 2015 (UNAUDITED) |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 31,557 | $ | — | $ | — | ||||||
Consumer Staples | 1,907 | — | — | |||||||||
Financials | 7,108 | — | — | |||||||||
Health Care | 124,428 | — | — | |||||||||
Industrials | 32,360 | — | — | |||||||||
Information Technology | 365,703 | — | — | |||||||||
Materials | 3,725 | — | — | |||||||||
Telecommunication Services | 11,594 | — | — | |||||||||
Utilities | 4,989 | 3,413 | — | |||||||||
Total Common Stocks | $ | 583,371 | $ | 3,413 | $ | — | ||||||
Warrants | 386 | — | — | |||||||||
Purchased Options | — | 85 | — | |||||||||
Short-Term Securities | — | 31,709 | — | |||||||||
Total | $ | 583,757 | $ | 35,207 | $ | — | ||||||
Liabilities | ||||||||||||
Written Options | $ | — | $ | 347 | $ | — |
During the period ended June 30, 2015, securities totaling $15,703 were transferred from Level 2 to Level 1. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on December 31, 2014. Transfers out of Level 2 represent the values as of the beginning of the reporting period.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
GTD = Guaranteed
OTC = Over the Counter
REIT = Real Estate Investment Trust
Country Diversification
(as a % of net assets) |
| |||
United States | 73.6% | |||
Israel | 4.0% | |||
Spain | 3.5% | |||
Netherlands | 3.1% | |||
India | 2.6% | |||
China | 2.5% | |||
United Kingdom | 2.3% | |||
Germany | 1.2% | |||
Bermuda | 1.1% | |||
Cyprus | 1.0% | |||
Other+ | 5.1% |
+Includes options, cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
96 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Small Cap Growth | ALL DATA AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 96.0% | |||
Information Technology | 27.6% | |||
Health Care | 26.8% | |||
Consumer Discretionary | 22.1% | |||
Industrials | 7.9% | |||
Financials | 7.7% | |||
Energy | 3.9% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 4.0% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Skechers USA, Inc. | Consumer Discretionary | Footwear | ||
Portfolio Recovery Associates, Inc. | Financials | Consumer Finance | ||
Integrated Device Technology, Inc. | Information Technology | Semiconductors | ||
Apogee Enterprises, Inc. | Industrials | Building Products | ||
DexCom, Inc. | Health Care | Health Care Equipment | ||
Lithia Motors, Inc. | Consumer Discretionary | Automotive Retail | ||
ExamWorks Group, Inc. | Health Care | Health Care Services | ||
Akorn, Inc. | Health Care | Pharmaceuticals | ||
Tyler Technologies, Inc. | Information Technology | Application Software | ||
ZS Pharma, Inc. | Health Care | Pharmaceuticals |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2015 | SEMIANNUAL REPORT | 97 |
Table of Contents
SCHEDULE OF INVESTMENTS
Small Cap Growth (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary | ||||||||
Apparel Retail – 1.7% |
| |||||||
Boot Barn Holdings, Inc. (A) | 137 | $ | 4,387 | |||||
Francesca’s Holdings Corp. (A) | 279 | 3,761 | ||||||
|
| |||||||
8,148 | ||||||||
|
| |||||||
Auto Parts & Equipment – 3.5% |
| |||||||
Gentherm, Inc. (A) | 154 | 8,470 | ||||||
Motorcar Parts of America, Inc. (A) | 267 | 8,046 | ||||||
|
| |||||||
16,516 | ||||||||
|
| |||||||
Automotive Retail – 2.6% |
| |||||||
Lithia Motors, Inc. | 109 | 12,286 | ||||||
|
| |||||||
Consumer Electronics – 1.5% |
| |||||||
Harman International Industries, Inc. | 58 | 6,954 | ||||||
|
| |||||||
Footwear – 3.9% |
| |||||||
Skechers USA, Inc. (A) | 169 | 18,607 | ||||||
|
| |||||||
Homebuilding – 1.1% |
| |||||||
LGI Homes, Inc. (A) | 261 | 5,169 | ||||||
|
| |||||||
Internet Retail – 1.2% |
| |||||||
NutriSystem, Inc. | 230 | 5,727 | ||||||
|
| |||||||
Leisure Facilities – 2.2% |
| |||||||
Vail Resorts, Inc. | 97 | 10,549 | ||||||
|
| |||||||
Movies & Entertainment – 1.0% |
| |||||||
IMAX Corp. (A) | 113 | 4,543 | ||||||
|
| |||||||
Restaurants – 1.3% |
| |||||||
Carrols Restaurant Group, Inc. (A) | 174 | 1,808 | ||||||
Red Robin Gourmet Burgers, Inc. (A) | 54 | 4,634 | ||||||
|
| |||||||
6,442 | ||||||||
|
| |||||||
Specialized Consumer Services – 2.1% |
| |||||||
LifeLock, Inc. (A) | 622 | 10,196 | ||||||
|
| |||||||
Total Consumer Discretionary – 22.1% |
| 105,137 | ||||||
Energy |
| |||||||
Oil & Gas Storage & Transportation – 3.9% |
| |||||||
Sunoco, Inc. | 93 | 4,222 | ||||||
Tallgrass Energy GP L.P., Class A (A) | 260 | 8,365 | ||||||
Targa Resources Corp. | 68 | 6,080 | ||||||
|
| |||||||
18,667 | ||||||||
|
| |||||||
Total Energy – 3.9% |
| 18,667 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Financials |
| |||||||
Consumer Finance – 3.3% |
| |||||||
Portfolio Recovery Associates, Inc. (A) | 251 | $ | 15,666 | |||||
|
| |||||||
Regional Banks – 3.4% |
| |||||||
Cathay General Bancorp | 188 | 6,097 | ||||||
Columbia Banking System, Inc. | 199 | 6,479 | ||||||
Talmer Bancorp, Inc., Class A | 218 | 3,648 | ||||||
|
| |||||||
16,224 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 1.0% |
| |||||||
LendingTree, Inc. (A) | 61 | 4,787 | ||||||
|
| |||||||
Total Financials – 7.7% |
| 36,677 | ||||||
Health Care |
| |||||||
Biotechnology – 3.5% |
| |||||||
Exact Sciences Corp. (A) | 159 | 4,723 | ||||||
Insys Therapeutics, Inc. (A) | 237 | 8,520 | ||||||
KYTHERA Biopharmaceuticals, Inc. (A) | 49 | 3,677 | ||||||
|
| |||||||
16,920 | ||||||||
|
| |||||||
Health Care Equipment – 8.5% |
| |||||||
AtriCure, Inc. (A) | 428 | 10,546 | ||||||
Cyberonics, Inc. (A) | 70 | 4,187 | ||||||
DexCom, Inc. (A) | 160 | 12,792 | ||||||
Entellus Medical, Inc. (A) | 88 | 2,269 | ||||||
K2M Group Holdings, Inc. (A) | 436 | 10,468 | ||||||
|
| |||||||
40,262 | ||||||||
|
| |||||||
Health Care Facilities – 3.1% |
| |||||||
Acadia Healthcare Co., Inc. (A) | 125 | 9,813 | ||||||
Surgical Care Affiliates, Inc. (A) | 128 | 4,895 | ||||||
|
| |||||||
14,708 | ||||||||
|
| |||||||
Health Care Services – 2.5% |
| |||||||
ExamWorks Group, Inc. (A) | 306 | 11,957 | ||||||
|
| |||||||
Health Care Supplies – 3.9% |
| |||||||
Align Technology, Inc. (A) | 81 | 5,078 | ||||||
LDR Holding Corp. (A) | 129 | 5,572 | ||||||
Spectranetics Corp. (The) (A) | 135 | 3,110 | ||||||
Vascular Solutions, Inc. (A) | 136 | 4,705 | ||||||
|
| |||||||
18,465 | ||||||||
|
| |||||||
Pharmaceuticals – 5.3% |
| |||||||
Akorn, Inc. (A) | 255 | 11,130 | ||||||
Revance Therapeutics, Inc. (A) | 110 | 3,529 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Pharmaceuticals (Continued) |
| |||||||
ZS Pharma, Inc. (A) | 206 | $ | 10,792 | |||||
|
| |||||||
25,451 | ||||||||
|
| |||||||
Total Health Care – 26.8% |
| 127,763 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 0.9% |
| |||||||
Huntington Ingalls Industries, Inc. | 38 | 4,250 | ||||||
|
| |||||||
Air Freight & Logistics – 0.9% |
| |||||||
Forward Air Corp. | 87 | 4,568 | ||||||
|
| |||||||
Building Products – 2.8% |
| |||||||
Apogee Enterprises, Inc. | 252 | 13,289 | ||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 1.0% |
| |||||||
Astec Industries, Inc. | 110 | 4,613 | ||||||
|
| |||||||
Human Resource & Employment Services – 1.1% |
| |||||||
WageWorks, Inc. (A) | 129 | 5,199 | ||||||
|
| |||||||
Industrial Machinery – 1.2% |
| |||||||
Barnes Group, Inc. | 143 | 5,588 | ||||||
|
| |||||||
Total Industrials – 7.9% |
| 37,507 | ||||||
Information Technology |
| |||||||
Application Software – 8.5% |
| |||||||
Bottomline Technologies (de), Inc. (A) | 201 | 5,579 | ||||||
BroadSoft, Inc. (A) | 172 | 5,932 | ||||||
Paycom Software, Inc. (A) | 140 | 4,778 | ||||||
Synchronoss Technologies, Inc. (A) | 206 | 9,414 | ||||||
Tyler Technologies, Inc. (A) | 85 | 10,965 | ||||||
Ultimate Software Group, Inc. (The) (A) | 22 | 3,617 | ||||||
|
| |||||||
40,285 | ||||||||
|
| |||||||
Communications Equipment – 0.8% |
| |||||||
Ruckus Wireless, Inc. (A) | 374 | 3,865 | ||||||
|
| |||||||
Electronic Components – 0.5% |
| |||||||
Universal Display Corp. (A) | 45 | 2,344 | ||||||
|
| |||||||
Electronic Equipment & Instruments – 0.7% |
| |||||||
Fitbit, Inc., Class A (A) | 88 | 3,345 | ||||||
|
| |||||||
Electronic Manufacturing Services – 2.8% |
| |||||||
IPG Photonics Corp. (A) | 96 | 8,173 | ||||||
Methode Electronics, Inc. | 192 | 5,283 | ||||||
|
| |||||||
13,456 | ||||||||
|
|
98 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Small Cap Growth (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Internet Software & Services – 4.1% |
| |||||||
Alarm.com Holdings, Inc. (A) | 5 | $ | 77 | |||||
Demandware, Inc. (A) | 115 | 8,159 | ||||||
Gogo, Inc. (A) | 237 | 5,083 | ||||||
Textura Corp. (A) | 222 | 6,189 | ||||||
|
| |||||||
19,508 | ||||||||
|
| |||||||
Semiconductors – 6.6% |
| |||||||
Ambarella, Inc. (A) | 60 | 6,202 | ||||||
Atmel Corp. | 493 | 4,860 | ||||||
Integrated Device Technology, Inc. (A) | 638 | 13,838 | ||||||
Silicon Motion Technology Corp. ADR | 188 | 6,521 | ||||||
|
| |||||||
31,421 | ||||||||
|
| |||||||
Systems Software – 1.0% |
| |||||||
Barracuda Networks, Inc. (A) | 123 | 4,853 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 2.6% |
| |||||||
Super Micro Computer, Inc. (A) | 107 | 3,153 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Technology Hardware, Storage & Peripherals (Continued) |
| |||||||
Synaptics, Inc. (A) | 106 | $ | 9,151 | |||||
|
| |||||||
12,304 | ||||||||
|
| |||||||
Total Information Technology – 27.6% |
| 131,381 | ||||||
TOTAL COMMON STOCKS – 96.0% |
| $ | 457,132 | |||||
(Cost: $343,453) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (B) – 2.9% |
| |||||||
John Deere Canada ULC (GTD by Deere & Co.), | ||||||||
0.130%, 8-11-15 | $ | 5,000 | 4,999 | |||||
Northern Illinois Gas Co., | ||||||||
0.300%, 7-1-15 | 3,797 | 3,797 | ||||||
Novartis Finance Corp. (GTD by Novartis AG), | ||||||||
0.080%, 7-7-15 | 5,000 | 5,000 | ||||||
|
| |||||||
13,796 | ||||||||
|
|
SHORT-TERM (Continued) | Principal | Value | ||||||
Master Note – 0.8% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (C) | $ | 3,973 | $ | 3,973 | ||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 3.7% | $ | 17,769 | ||||||
(Cost: $17,769) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.7% | $ | 474,901 | ||||||
(Cost: $361,222) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.3% |
| 1,271 | ||||||
NET ASSETS – 100.0% | $ | 476,172 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Rate shown is the yield to maturity at June 30, 2015. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 457,132 | $ | — | $ | — | ||||||
Short-Term Securities | — | 17,769 | — | |||||||||
Total | $ | 457,132 | $ | 17,769 | $ | — |
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
GTD = Guaranteed
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 99 |
Table of Contents
Small Cap Value | ALL DATA AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 98.2% | |||
Financials | 32.2% | |||
Consumer Discretionary | 15.2% | |||
Industrials | 14.7% | |||
Materials | 12.2% | |||
Consumer Staples | 6.9% | |||
Information Technology | 6.6% | |||
Energy | 4.4% | |||
Health Care | 3.9% | |||
Utilities | 2.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.8% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
B&G Foods, Inc. | Consumer Staples | Packaged Foods & Meats | ||
Matson, Inc. | Industrials | Marine | ||
Webster Financial Corp. | Financials | Regional Banks | ||
Cytec Industries, Inc. | Materials | Specialty Chemicals | ||
Krispy Kreme Doughnuts, Inc. | Consumer Discretionary | Restaurants | ||
First Horizon National Corp. | Financials | Regional Banks | ||
Western Alliance Bancorporation | Financials | Regional Banks | ||
Carmike Cinemas, Inc. | Consumer Discretionary | Movies & Entertainment | ||
Masonite International Corp. | Industrials | Building Products | ||
SVB Financial Group | Financials | Regional Banks |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
100 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Small Cap Value (in thousands) JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 1.8% |
| |||||||
Men’s Wearhouse, Inc. (The) | 98 | $ | 6,281 | |||||
|
| |||||||
Automotive Retail – 1.8% |
| |||||||
Monro Muffler Brake, Inc. | 99 | 6,160 | ||||||
|
| |||||||
Consumer Electronics – 1.5% |
| |||||||
Harman International Industries, Inc. | 45 | 5,388 | ||||||
|
| |||||||
Homebuilding – 0.2% |
| |||||||
Beazer Homes USA, Inc. (A) | 42 | 838 | ||||||
|
| |||||||
Internet Retail – 2.3% |
| |||||||
FTD Co., Inc. (A) | 101 | 2,841 | ||||||
NutriSystem, Inc. | 203 | 5,041 | ||||||
|
| |||||||
7,882 | ||||||||
|
| |||||||
Movies & Entertainment – 4.7% |
| |||||||
Carmike Cinemas, Inc. (A) | 362 | 9,595 | ||||||
DreamWorks Animation SKG, Inc., Class A (A) | 255 | 6,725 | ||||||
|
| |||||||
16,320 | ||||||||
|
| |||||||
Restaurants – 2.9% |
| |||||||
Krispy Kreme Doughnuts, Inc. (A) | 519 | 9,998 | ||||||
|
| |||||||
Total Consumer Discretionary – 15.2% |
| 52,867 | ||||||
Consumer Staples |
| |||||||
Food Retail – 1.3% |
| |||||||
Smart & Final Stores, Inc. (A) | 239 | 4,276 | ||||||
|
| |||||||
Packaged Foods & Meats – 5.6% |
| |||||||
B&G Foods, Inc. | 530 | 15,135 | ||||||
Diamond Foods, Inc. (A) | 141 | 4,413 | ||||||
|
| |||||||
19,548 | ||||||||
|
| |||||||
Total Consumer Staples – 6.9% |
| 23,824 | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 1.2% |
| |||||||
Frank’s International N.V. | 85 | 1,598 | ||||||
Superior Energy Services, Inc. | 130 | 2,731 | ||||||
|
| |||||||
4,329 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.5% |
| |||||||
Laredo Petroleum Holdings, Inc. (A) | 148 | 1,862 | ||||||
|
| |||||||
Oil & Gas Refining & Marketing – 1.1% |
| |||||||
Delek U.S. Holdings, Inc. | 101 | 3,733 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Oil & Gas Storage & Transportation – 1.6% |
| |||||||
Sunoco, Inc. | 121 | $ | 5,477 | |||||
|
| |||||||
Total Energy – 4.4% |
| 15,401 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.5% |
| |||||||
Janus Capital Group, Inc. | 104 | 1,779 | ||||||
|
| |||||||
Consumer Finance – 2.4% |
| |||||||
JG Wentworth Co. (A) | 102 | 941 | ||||||
Portfolio Recovery Associates, Inc. (A) | 122 | 7,577 | ||||||
|
| |||||||
8,518 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 1.5% |
| |||||||
Greenhill & Co., Inc. | 128 | 5,286 | ||||||
|
| |||||||
Office REITs – 1.5% |
| |||||||
Corporate Office Properties Trust | 151 | 3,565 | ||||||
Highwoods Properties, Inc. | 44 | 1,766 | ||||||
|
| |||||||
5,331 | ||||||||
|
| |||||||
Property & Casualty Insurance – 2.0% |
| |||||||
Argo Group International Holdings Ltd. | 122 | 6,782 | ||||||
|
| |||||||
Real Estate Operating Companies – 0.5% |
| |||||||
Forest City Enterprises, Inc., Class A (A) | 76 | 1,675 | ||||||
|
| |||||||
Regional Banks – 16.9% |
| |||||||
First Horizon National Corp. | 635 | 9,949 | ||||||
PrivateBancorp, Inc. | 192 | 7,634 | ||||||
SVB Financial Group (A) | 63 | 9,042 | ||||||
Synovus Financial Corp. | 256 | 7,882 | ||||||
Talmer Bancorp, Inc., Class A | 217 | 3,628 | ||||||
Webster Financial Corp. | 270 | 10,686 | ||||||
Western Alliance Bancorporation (A) | 291 | 9,824 | ||||||
|
| |||||||
58,645 | ||||||||
|
| |||||||
Reinsurance – 3.9% |
| |||||||
Endurance Specialty Holdings Ltd. | 91 | 6,005 | ||||||
Reinsurance Group of America, Inc. | 79 | 7,485 | ||||||
|
| |||||||
13,490 | ||||||||
|
| |||||||
Retail REITs – 1.4% |
| |||||||
Kite Realty Group Trust | 193 | 4,733 | ||||||
|
| |||||||
Specialized REITs – 1.6% |
| |||||||
LaSalle Hotel Properties | 97 | 3,443 | ||||||
Strategic Hotels & Resorts, Inc. (A) | 181 | 2,195 | ||||||
|
| |||||||
5,638 | ||||||||
|
| |||||||
Total Financials – 32.2% |
| 111,877 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care |
| |||||||
Health Care Facilities – 3.6% |
| |||||||
HealthSouth Corp. | 94 | $ | 4,335 | |||||
LifePoint Health, Inc. (A) | 92 | 8,037 | ||||||
|
| |||||||
12,372 | ||||||||
|
| |||||||
Health Care Supplies – 0.3% |
| |||||||
Halyard Health, Inc. (A) | 25 | 996 | ||||||
|
| |||||||
Total Health Care – 3.9% |
| 13,368 | ||||||
Industrials |
| |||||||
Building Products – 3.9% |
| |||||||
Continental Building Products, Inc. (A) | 209 | 4,429 | ||||||
Masonite International Corp. (A) | 132 | 9,262 | ||||||
|
| |||||||
13,691 | ||||||||
|
| |||||||
Commercial Printing – 1.0% |
| |||||||
Deluxe Corp. | 56 | 3,460 | ||||||
|
| |||||||
Diversified Support Services – 1.6% |
| |||||||
G&K Services, Inc. (A) | 79 | 5,473 | ||||||
|
| |||||||
Industrial Machinery – 1.8% |
| |||||||
CLARCOR, Inc. | 45 | 2,801 | ||||||
Woodward, Inc. | 63 | 3,442 | ||||||
|
| |||||||
6,243 | ||||||||
|
| |||||||
Marine – 4.5% |
| |||||||
Kirby Corp. (A) | 43 | 3,296 | ||||||
Matson, Inc. | 293 | 12,319 | ||||||
|
| |||||||
15,615 | ||||||||
|
| |||||||
Office Services & Supplies – 1.9% |
| |||||||
Avery Dennison Corp. | 110 | 6,691 | ||||||
|
| |||||||
Total Industrials – 14.7% |
| 51,173 | ||||||
Information Technology |
| |||||||
Electronic Manufacturing Services – 1.1% |
| |||||||
Plexus Corp. (A) | 91 | 4,002 | ||||||
|
| |||||||
Home Entertainment Software – 1.9% |
| |||||||
Take-Two Interactive Software, Inc. (A) | 241 | 6,650 | ||||||
|
| |||||||
Semiconductor Equipment – 0.9% |
| |||||||
Teradyne, Inc. | 167 | 3,220 | ||||||
|
| |||||||
Semiconductors – 1.2% |
| |||||||
Fairchild Semiconductor International, Inc. (A) | 237 | 4,124 | ||||||
|
| |||||||
Technology Distributors – 1.5% |
| |||||||
Ingram Micro, Inc., Class A (A) | 109 | 2,723 | ||||||
Insight Enterprises, Inc. (A) | 79 | 2,354 | ||||||
|
| |||||||
5,077 | ||||||||
|
| |||||||
Total Information Technology – 6.6% |
| 23,073 |
2015 | SEMIANNUAL REPORT | 101 |
Table of Contents
SCHEDULE OF INVESTMENTS
Small Cap Value (in thousands) | JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Materials |
| |||||||
Aluminum – 1.6% |
| |||||||
Kaiser Aluminum Corp. | 66 | $ | 5,507 | |||||
|
| |||||||
Commodity Chemicals – 0.6% |
| |||||||
Axiall Corp. | 59 | 2,114 | ||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 1.9% |
| |||||||
Scotts Miracle-Gro Co. (The) | 110 | 6,515 | ||||||
|
| |||||||
Forest Products – 2.2% |
| |||||||
Boise Cascade Co. (A) | 133 | 4,871 | ||||||
Louisiana-Pacific Corp. (A) | 154 | 2,624 | ||||||
|
| |||||||
7,495 | ||||||||
|
| |||||||
Paper Products – 1.9% |
| |||||||
Schweitzer-Mauduit International, Inc. | 169 | 6,724 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Specialty Chemicals – 4.0% |
| |||||||
Cytec Industries, Inc. | 174 | $ | 10,521 | |||||
Flotek Industries, Inc. (A) | 275 | 3,441 | ||||||
|
| |||||||
13,962 | ||||||||
|
| |||||||
Total Materials – 12.2% |
| 42,317 | ||||||
Utilities |
| |||||||
Electric Utilities – 0.9% |
| |||||||
Great Plains Energy, Inc. | 135 | 3,270 | ||||||
|
| |||||||
Gas Utilities – 1.2% |
| |||||||
Southwest Gas Corp. | 78 | 4,130 | ||||||
|
| |||||||
Total Utilities – 2.1% |
| 7,400 | ||||||
TOTAL COMMON STOCKS – 98.2% |
| $ | 341,300 | |||||
(Cost: $312,693) |
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper (B) – 1.7% |
| |||||||
National Oilwell Varco, Inc., | ||||||||
0.190%, 7-16-15 | $ | 3,000 | $ | 3,000 | ||||
Toronto-Dominion Holdings USA, Inc. (GTD by Toronto Dominion Bank), | ||||||||
0.150%, 7-20-15 | 3,000 | 3,000 | ||||||
|
| |||||||
6,000 | ||||||||
|
| |||||||
Master Note – 1.3% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (C) | 4,493 | �� | 4,493 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 3.0% |
| $ | 10,493 | |||||
(Cost: $10,492) | ||||||||
TOTAL INVESTMENT SECURITIES – 101.2% |
| $ | 351,793 | |||||
(Cost: $323,185) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.2)% |
| (4,116 | ) | |||||
NET ASSETS – 100.0% | $ | 347,677 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Rate shown is the yield to maturity at June 30, 2015. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 341,300 | $ | — | $ | — | ||||||
Short-Term Securities | — | 10,493 | — | |||||||||
Total | $ | 341,300 | $ | 10,493 | $ | — |
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
GTD = Guaranteed
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
102 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Value | ALL DATA AS OF JUNE 30, 2015 (UNAUDITED) |
Asset Allocation
Stocks | 97.0% | |||
Financials | 26.8% | |||
Consumer Discretionary | 20.5% | |||
Health Care | 14.3% | |||
Information Technology | 12.5% | |||
Consumer Staples | 9.9% | |||
Energy | 7.4% | |||
Utilities | 3.0% | |||
Materials | 2.6% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.0% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
American International Group, Inc. | Financials | Multi-Line Insurance | ||
Citigroup, Inc. | Financials | Other Diversified Financial Services | ||
Capital One Financial Corp. | Financials | Consumer Finance | ||
Time Warner Cable, Inc. | Consumer Discretionary | Cable & Satellite | ||
Microsoft Corp. | Information Technology | Systems Software | ||
Teva Pharmaceutical Industries Ltd. ADR | Health Care | Pharmaceuticals | ||
JPMorgan Chase & Co. | Financials | Other Diversified Financial Services | ||
HCA Holdings, Inc. | Health Care | Health Care Facilities | ||
Las Vegas Sands, Inc. | Consumer Discretionary | Casinos & Gaming | ||
Marathon Petroleum Corp. | Energy | Oil & Gas Refining & Marketing |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2015 | SEMIANNUAL REPORT | 103 |
Table of Contents
SCHEDULE OF INVESTMENTS
Value (in thousands) JUNE 30, 2015 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Auto Parts & Equipment – 3.1% |
| |||||||
Magna International, Inc. | 222 | $ | 12,446 | |||||
|
| |||||||
Cable & Satellite – 7.3% |
| |||||||
Comcast Corp., Class A | 184 | �� | 11,066 | |||||
Time Warner Cable, Inc. | 104 | 18,512 | ||||||
|
| |||||||
29,578 | ||||||||
|
| |||||||
Casinos & Gaming – 3.2% |
| |||||||
Las Vegas Sands, Inc. | 245 | 12,853 | ||||||
|
| |||||||
Department Stores – 2.5% |
| |||||||
Macy’s, Inc. | 152 | 10,242 | ||||||
|
| |||||||
Homebuilding – 2.0% |
| |||||||
Pulte Homes, Inc. | 404 | 8,143 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 2.4% |
| |||||||
Wyndham Worldwide Corp. | 119 | 9,723 | ||||||
|
| |||||||
Total Consumer Discretionary – 20.5% |
| 82,985 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 1.3% |
| |||||||
Ingredion, Inc. | 63 | 5,052 | ||||||
|
| |||||||
Brewers – 2.0% |
| |||||||
Molson Coors Brewing Co., Class B (A) | 117 | 8,182 | ||||||
|
| |||||||
Drug Retail – 1.0% |
| |||||||
CVS Caremark Corp. | 40 | 4,153 | ||||||
|
| |||||||
Soft Drinks – 2.5% |
| |||||||
Coca-Cola Enterprises, Inc. | 237 | 10,291 | ||||||
|
| |||||||
Tobacco – 3.1% |
| |||||||
Philip Morris International, Inc. | 155 | 12,434 | ||||||
|
| |||||||
Total Consumer Staples – 9.9% |
| 40,112 | ||||||
Energy |
| |||||||
Oil & Gas Refining & Marketing – 4.4% |
| |||||||
Marathon Petroleum Corp. (A) | 242 | 12,664 | ||||||
NuStar Energy L.P. | 88 | 5,241 | ||||||
|
| |||||||
17,905 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 3.0% |
| |||||||
MarkWest Energy Partners L.P. | 108 | 6,111 | ||||||
VTTI Energy Partners L.P. | 245 | 6,145 | ||||||
|
| |||||||
12,256 | ||||||||
|
| |||||||
Total Energy – 7.4% |
| 30,161 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 2.0% |
| |||||||
State Street Corp. | 107 | $ | 8,239 | |||||
|
| |||||||
Consumer Finance – 4.7% |
| |||||||
Capital One Financial Corp. | 218 | 19,134 | ||||||
|
| |||||||
Life & Health Insurance – 2.2% |
| |||||||
MetLife, Inc. | 157 | 8,790 | ||||||
|
| |||||||
Multi-Line Insurance – 6.3% |
| |||||||
American International Group, Inc. | 412 | 25,458 | ||||||
|
| |||||||
Other Diversified Financial Services – 8.3% |
| |||||||
Citigroup, Inc. (A) | 357 | 19,743 | ||||||
JPMorgan Chase & Co. | 206 | 13,972 | ||||||
|
| |||||||
33,715 | ||||||||
|
| |||||||
Regional Banks – 0.7% |
| |||||||
First Republic Bank | 46 | 2,918 | ||||||
|
| |||||||
Reinsurance – 2.6% |
| |||||||
Reinsurance Group of America, Inc. | 110 | 10,407 | ||||||
|
| |||||||
Total Financials – 26.8% |
| 108,661 | ||||||
Health Care |
| |||||||
Biotechnology – 2.4% |
| |||||||
Amgen, Inc. | 65 | 9,963 | ||||||
|
| |||||||
Health Care Facilities – 3.2% |
| |||||||
HCA Holdings, Inc. (B) | 143 | 12,973 | ||||||
|
| |||||||
Managed Health Care – 5.0% |
| |||||||
Aetna, Inc. | 55 | 7,036 | ||||||
Anthem, Inc. | 29 | 4,776 | ||||||
Humana, Inc. | 44 | 8,455 | ||||||
|
| |||||||
20,267 | ||||||||
|
| |||||||
Pharmaceuticals – 3.7% |
| |||||||
Teva Pharmaceutical Industries Ltd. ADR | 251 | 14,840 | ||||||
|
| |||||||
Total Health Care – 14.3% |
| 58,043 | ||||||
Information Technology |
| |||||||
Semiconductor Equipment – 1.5% |
| |||||||
Lam Research Corp. | 75 | 6,109 | ||||||
|
| |||||||
Semiconductors – 2.1% |
| |||||||
Micron Technology, Inc. (B) | 461 | 8,687 | ||||||
|
| |||||||
Systems Software – 3.8% |
| |||||||
Microsoft Corp. | 346 | 15,294 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Technology Hardware, Storage & Peripherals – 5.1% |
| |||||||
SanDisk Corp. (A) | 166 | $ | 9,641 | |||||
Western Digital Corp. | 139 | 10,901 | ||||||
|
| |||||||
20,542 | ||||||||
|
| |||||||
Total Information Technology – 12.5% |
| 50,632 | ||||||
Materials |
| |||||||
Diversified Chemicals – 2.6% |
| |||||||
Dow Chemical Co. (The) | 205 | 10,490 | ||||||
|
| |||||||
Total Materials – 2.6% |
| 10,490 | ||||||
Utilities |
| |||||||
Electric Utilities – 3.0% |
| |||||||
Exelon Corp. | 386 | 12,112 | ||||||
|
| |||||||
Total Utilities – 3.0% |
| 12,112 | ||||||
TOTAL COMMON STOCKS – 97.0% |
| $ | 393,196 | |||||
(Cost: $364,217) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (C) – 3.2% |
| |||||||
Air Products and Chemicals, Inc., | ||||||||
0.130%, 7-24-15 | $ | 5,000 | 5,000 | |||||
General Mills, Inc., | ||||||||
0.360%, 7-6-15 | 5,000 | 5,000 | ||||||
Mondelez International, Inc., | ||||||||
0.290%, 7-21-15 | 3,000 | 2,999 | ||||||
|
| |||||||
12,999 | ||||||||
|
| |||||||
Master Note – 1.2% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.140%, 7-1-15 (D) | 5,020 | 5,020 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 4.4% |
| $ | 18,019 | |||||
(Cost: $18,019) | ||||||||
TOTAL INVESTMENT SECURITIES – 101.4% |
| $ | 411,215 | |||||
(Cost: $382,236) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.4)% |
| (5,769 | ) | |||||
NET ASSETS – 100.0% |
| $ | 405,446 |
104 | SEMIANNUAL REPORT | 2015 |
Table of Contents
SCHEDULE OF INVESTMENTS
Value (in thousands) | JUNE 30, 2015 (UNAUDITED) |
Notes to Schedule of Investments
(A) | All or a portion of securities with an aggregate value of $9,703 are held in collateralized accounts to cover potential obligations with respect to outstanding written options. |
(B) | No dividends were paid during the preceding 12 months. |
(C) | Rate shown is the yield to maturity at June 30, 2015. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2015. Date shown represents the date that the variable rate resets. |
The following written options were outstanding at June 30, 2015 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Expiration Month | Exercise Price | Premium Received | Value | |||||||||||||||||||
First Republic Bank | N/A | Put | 341 | August 2015 | $ | 55.00 | $ | 22 | $ | (11 | ) | |||||||||||||||
N/A | Put | 134 | November 2015 | 55.00 | 16 | (14 | ) | |||||||||||||||||||
Ingredion, Inc. | N/A | Put | 203 | August 2015 | 80.00 | 33 | (53 | ) | ||||||||||||||||||
JPMorgan Chase & Co. | N/A | Put | 305 | August 2015 | 62.50 | 16 | (17 | ) | ||||||||||||||||||
Marathon Petroleum Corp. | N/A | Call | 336 | July 2015 | 47.50 | 171 | (170 | ) | ||||||||||||||||||
Molson Coors Brewing Co., Class B | N/A | Call | 590 | July 2015 | 90.00 | 42 | (4 | ) | ||||||||||||||||||
NuStar Energy L.P. | N/A | Put | 267 | August 2015 | 60.00 | 35 | (78 | ) | ||||||||||||||||||
N/A | Put | 267 | September 2015 | 60.00 | 46 | (88 | ) | |||||||||||||||||||
VTTI Energy Partners L.P. | N/A | Put | 418 | July 2015 | 22.50 | 31 | (6 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 412 | $ | (441 | ) | ||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2015. 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 | $ | 393,196 | $ | — | $ | — | ||||||
Short-Term Securities | — | 18,019 | — | |||||||||
Total | $ | 393,196 | $ | 18,019 | $ | — | ||||||
Liabilities | ||||||||||||
Written Options | $ | 105 | $ | 336 | $ | — |
During the period ended June 30, 2015, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
OTC = Over the Counter
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 105 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
Ivy Funds VIP | AS OF JUNE 30, 2015 (UNAUDITED) |
(In thousands, except per share amounts) | Pathfinder Aggressive | Pathfinder Conservative | Pathfinder Moderate | Pathfinder Moderately Aggressive | Pathfinder Moderately Conservative | Pathfinder Moderate - Managed Volatility | Pathfinder Moderately Aggressive - Managed Volatility | |||||||||||||||||||||
ASSETS | ||||||||||||||||||||||||||||
Investments in affiliated securities at market value+ | $ | 87,887 | $ | 120,012 | $ | 933,617 | $ | 1,113,475 | $ | 288,365 | $ | 289,841 | $ | 54,556 | ||||||||||||||
Investments in unaffiliated securities at value+ | 466 | 545 | 305 | 312 | 578 | 10,075 | 1,756 | |||||||||||||||||||||
Investments at Market Value | 88,353 | 120,557 | 933,922 | 1,113,787 | 288,943 | 299,916 | 56,312 | |||||||||||||||||||||
Cash | 1 | 1 | 1 | 1 | 1 | 1 | 1 | |||||||||||||||||||||
Restricted cash | — | — | — | — | — | 304 | 60 | |||||||||||||||||||||
Investment securities sold receivable | 134 | 55 | 295 | 288 | 22 | — | — | |||||||||||||||||||||
Dividends and interest receivable | — | * | — | * | — | * | — | * | — | * | 1 | — | * | |||||||||||||||
Capital shares sold receivable | 92 | 27 | 2,445 | 19 | 11 | 1,027 | 176 | |||||||||||||||||||||
Prepaid and other assets | — | — | — | — | 8 | — | — | |||||||||||||||||||||
Total Assets | 88,580 | 120,640 | 936,663 | 1,114,095 | 288,985 | 301,249 | 56,549 | |||||||||||||||||||||
LIABILITIES | ||||||||||||||||||||||||||||
Investment securities purchased payable | — | — | — | — | — | 1,090 | 65 | |||||||||||||||||||||
Capital shares redeemed payable | 1 | 61 | 21 | 944 | 657 | 8 | 2 | |||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 6 | 6 | 40 | 47 | 13 | 2 | 1 | |||||||||||||||||||||
Shareholder servicing payable | 1 | — | * | 4 | 4 | 1 | 1 | — | * | |||||||||||||||||||
Investment management fee payable | — | — | — | — | — | 2 | — | * | ||||||||||||||||||||
Accounting services fee payable | 2 | 3 | 13 | 14 | 5 | 5 | 2 | |||||||||||||||||||||
Variation margin payable | — | — | — | — | — | 13 | 3 | |||||||||||||||||||||
Other liabilities | 1 | 2 | 7 | 9 | — | 2 | 1 | |||||||||||||||||||||
Total Liabilities | 11 | 72 | 85 | 1,018 | 676 | 1,123 | 74 | |||||||||||||||||||||
Total Net Assets | $ | 88,569 | $ | 120,568 | $ | 936,578 | $ | 1,113,077 | $ | 288,309 | $ | 300,126 | $ | 56,475 | ||||||||||||||
NET ASSETS | ||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 80,721 | $ | 113,144 | $ | 844,561 | $ | 985,905 | $ | 265,263 | $ | 295,703 | $ | 55,780 | ||||||||||||||
Undistributed net investment income | 1,200 | 1,330 | 11,377 | 16,610 | 3,459 | 2,968 | 678 | |||||||||||||||||||||
Accumulated net realized gain | 7,559 | 6,823 | 65,895 | 87,515 | 18,477 | 17,037 | 3,715 | |||||||||||||||||||||
Net unrealized appreciation (depreciation) | (911 | ) | (729 | ) | 14,745 | 23,047 | 1,110 | (15,582 | ) | (3,698 | ) | |||||||||||||||||
Total Net Assets | $ | 88,569 | $ | 120,568 | $ | 936,578 | $ | 1,113,077 | $ | 288,309 | $ | 300,126 | $ | 56,475 | ||||||||||||||
CAPITAL SHARES OUTSTANDING | 16,867 | 23,063 | 171,503 | 196,110 | 53,329 | 54,336 | 10,370 | |||||||||||||||||||||
NET ASSET VALUE PER SHARE | $5.25 | $5.23 | $5.46 | $5.68 | $5.41 | $5.52 | $5.45 | |||||||||||||||||||||
+COST | ||||||||||||||||||||||||||||
Investments in affiliated securities at cost | $ | 88,798 | $ | 120,741 | $ | 918,872 | $ | 1,090,428 | $ | 287,255 | $ | 305,465 | $ | 58,269 | ||||||||||||||
Investments in unaffiliated securities at cost | 466 | 545 | 305 | 312 | 578 | 10,075 | 1,756 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
106 | SEMIANNUAL REPORT | 2015 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
Ivy Funds VIP | AS OF JUNE 30, 2015 (UNAUDITED) |
(In thousands, except per share amounts) | Pathfinder Moderately Conservative - Managed Volatility | Asset Strategy(1) | Balanced | Bond | Core Equity | Dividend Opportunities | Energy | |||||||||||||||||||||
ASSETS |
| |||||||||||||||||||||||||||
Investments in affiliated securities at market value+ | $ | 39,216 | $ | 32,963 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Investments in unaffiliated securities at value+ | 1,286 | 1,442,306 | 409,598 | 295,456 | 485,210 | 501,148 | 133,780 | |||||||||||||||||||||
Bullion at value+ | — | 46,237 | — | — | — | — | — | |||||||||||||||||||||
Investments at Market Value | 40,502 | 1,521,506 | 409,598 | 295,456 | 485,210 | 501,148 | 133,780 | |||||||||||||||||||||
Cash | 1 | 1,007 | 1 | 1 | 1 | 1 | 1 | |||||||||||||||||||||
Cash denominated in foreign currencies at value+ | — | 1 | — | — | — | — | — | |||||||||||||||||||||
Restricted cash | 55 | — | — | — | — | — | — | |||||||||||||||||||||
Investment securities sold receivable | — | — | — | 1,972 | 4,168 | 6,098 | — | |||||||||||||||||||||
Dividends and interest receivable | 1 | 4,426 | 1,195 | 2,355 | 516 | 888 | 50 | |||||||||||||||||||||
Capital shares sold receivable | 1 | 1,376 | 5 | 1 | 10 | 222 | 219 | |||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | 517 | — | — | — | — | — | |||||||||||||||||||||
Prepaid and other assets | — | — | — | — | * | — | — | — | ||||||||||||||||||||
Total Assets | 40,560 | 1,528,833 | 410,799 | 299,785 | 489,905 | 508,357 | 134,050 | |||||||||||||||||||||
LIABILITIES |
| |||||||||||||||||||||||||||
Investment securities purchased payable | 70 | 7,307 | — | — | 5,822 | — | — | |||||||||||||||||||||
Capital shares redeemed payable | 4 | 1,000 | 361 | 206 | 415 | 243 | 26 | |||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | — | * | 149 | 78 | 83 | 170 | 29 | 5 | ||||||||||||||||||||
Distribution and service fees payable | — | 10 | 3 | 2 | 3 | 3 | 1 | |||||||||||||||||||||
Shareholder servicing payable | — | * | 7 | 1 | 1 | 2 | 2 | 1 | ||||||||||||||||||||
Investment management fee payable | — | * | 28 | — | 4 | 9 | 10 | 3 | ||||||||||||||||||||
Accounting services fee payable | 1 | 21 | 10 | 8 | 11 | 11 | 5 | |||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | 686 | — | — | — | — | — | |||||||||||||||||||||
Variation margin payable | 3 | 535 | — | — | — | — | — | |||||||||||||||||||||
Written options at value+ | — | 6,789 | — | — | — | — | — | |||||||||||||||||||||
Other liabilities | 1 | 32 | 1 | 5 | 6 | 6 | 3 | |||||||||||||||||||||
Total Liabilities | 79 | 16,564 | 454 | 309 | 6,438 | 304 | 44 | |||||||||||||||||||||
Total Net Assets | $ | 40,481 | $ | 1,512,269 | $ | 410,345 | $ | 299,476 | $ | 483,467 | $ | 508,053 | $ | 134,006 | ||||||||||||||
NET ASSETS |
| |||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 39,984 | $ | 1,454,066 | $ | 318,690 | $ | 296,061 | $ | 386,491 | $ | 415,265 | $ | 137,344 | ||||||||||||||
Undistributed (distributions in excess of) net investment income | 358 | 20,485 | 2,399 | 2,879 | 871 | 3,479 | (34 | ) | ||||||||||||||||||||
Accumulated net realized gain (loss) | 2,071 | (8,422 | ) | 29,041 | 1,567 | 37,793 | 20,726 | (5,987 | ) | |||||||||||||||||||
Net unrealized appreciation (depreciation) | (1,932 | ) | 46,140 | 60,215 | (1,031 | ) | 58,312 | 68,583 | 2,683 | |||||||||||||||||||
Total Net Assets | $ | 40,481 | $ | 1,512,269 | $ | 410,345 | $ | 299,476 | $ | 483,467 | $ | 508,053 | $ | 134,006 | ||||||||||||||
CAPITAL SHARES OUTSTANDING | 7,550 | 166,910 | 45,836 | 57,835 | 40,439 | 64,361 | 20,512 | |||||||||||||||||||||
NET ASSET VALUE PER SHARE | $5.36 | $9.06 | $8.95 | $5.18 | $11.96 | $7.89 | $6.53 | |||||||||||||||||||||
+COST |
| |||||||||||||||||||||||||||
Investments in affiliated securities at cost | $ | 41,162 | $ | 41,465 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Investments in unaffiliated securities at cost | 1,286 | 1,381,524 | 349,383 | 296,487 | 426,898 | 432,565 | 131,097 | |||||||||||||||||||||
Bullion at cost | — | 48,038 | — | — | — | — | — | |||||||||||||||||||||
Cash denominated in foreign currencies at cost | — | 1 | — | — | — | — | — | |||||||||||||||||||||
Written options premiums received at cost | — | 3,395 | — | — | — | — | — |
* | Not shown due to rounding. |
(1) | Consolidated Statement of Assets and Liabilities (See Note 6 in Notes to Financial Statements). |
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 107 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
Ivy Funds VIP | AS OF JUNE 30, 2015 (UNAUDITED) |
(In thousands, except per share amounts) | Global Bond | Global Growth | Global Natural Resources | Growth | High Income | International Core Equity | Limited- Term Bond | |||||||||||||||||||||
ASSETS | ||||||||||||||||||||||||||||
Investments in unaffiliated securities at value+ | $ | 19,285 | $ | 497,927 | $ | 145,522 | $ | 883,970 | $ | 825,842 | $ | 739,379 | $ | 393,722 | ||||||||||||||
Investments at Market Value | 19,285 | 497,927 | 145,522 | 883,970 | 825,842 | 739,379 | 393,722 | |||||||||||||||||||||
Cash | 2 | 1 | 1 | 1 | 2,159 | 1 | 1 | |||||||||||||||||||||
Cash denominated in foreign currencies at value+ | — | 1 | — | — | 7 | 1 | — | |||||||||||||||||||||
Restricted cash | — | — | — | — | — | 21 | — | |||||||||||||||||||||
Investment securities sold receivable | 4 | 13,522 | — | * | — | 2,096 | 552 | — | ||||||||||||||||||||
Dividends and interest receivable | 209 | 1,113 | 123 | 364 | 12,262 | 2,832 | 2,898 | |||||||||||||||||||||
Capital shares sold receivable | 27 | 188 | 76 | 218 | 259 | 351 | 262 | |||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 51 | — | 67 | — | — | |||||||||||||||||||||
Prepaid and other assets | — | — | — | 1 | — | * | — | — | ||||||||||||||||||||
Total Assets | 19,527 | 512,752 | 145,773 | 884,554 | 842,692 | 743,137 | 396,883 | |||||||||||||||||||||
LIABILITIES | ||||||||||||||||||||||||||||
Investment securities purchased payable | 92 | 9,476 | 12 | — | 2,479 | 2,026 | — | |||||||||||||||||||||
Capital shares redeemed payable | 2 | 116 | 166 | 462 | 1,018 | 214 | 102 | |||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 1 | 59 | 18 | 252 | 54 | 77 | 12 | |||||||||||||||||||||
Distribution and service fees payable | — | * | 4 | 1 | 6 | 6 | 5 | 3 | ||||||||||||||||||||
Shareholder servicing payable | — | * | 2 | 1 | 3 | 2 | 3 | 2 | ||||||||||||||||||||
Investment management fee payable | — | 11 | 4 | 16 | 13 | 17 | 5 | |||||||||||||||||||||
Accounting services fee payable | 1 | 11 | 5 | 18 | 17 | 14 | 10 | |||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 6 | — | 255 | — | 58 | 132 | — | |||||||||||||||||||||
Other liabilities | 1 | 11 | 4 | 10 | 32 | 22 | 6 | |||||||||||||||||||||
Total Liabilities | 103 | 9,690 | 466 | 767 | 3,679 | 2,510 | 140 | |||||||||||||||||||||
Total Net Assets | $ | 19,424 | $ | 503,062 | $ | 145,307 | $ | 883,787 | $ | 839,013 | $ | 740,627 | $ | 396,743 | ||||||||||||||
NET ASSETS | ||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 20,154 | $ | 436,217 | $ | 182,429 | $ | 586,837 | $ | 852,509 | $ | 691,379 | $ | 396,827 | ||||||||||||||
Undistributed (distributions in excess of) net investment income | 336 | 1,650 | 349 | (354 | ) | 27,910 | 2,717 | 2,998 | ||||||||||||||||||||
Accumulated net realized gain (loss) | (391 | ) | 20,701 | (29,651 | ) | 45,260 | (5,558 | ) | 25,581 | (4,269 | ) | |||||||||||||||||
Net unrealized appreciation (depreciation) | (675 | ) | 44,494 | (7,820 | ) | 252,044 | (35,848 | ) | 20,950 | 1,187 | ||||||||||||||||||
Total Net Assets | $ | 19,424 | $ | 503,062 | $ | 145,307 | $ | 883,787 | $ | 839,013 | $ | 740,627 | $ | 396,743 | ||||||||||||||
CAPITAL SHARES OUTSTANDING | 3,950 | 57,126 | 30,689 | 78,750 | 229,489 | 44,036 | 81,587 | |||||||||||||||||||||
NET ASSET VALUE PER SHARE | $4.92 | $8.81 | $4.73 | $11.22 | $3.66 | $16.82 | $4.86 | |||||||||||||||||||||
+COST | ||||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 19,954 | $ | 453,337 | $ | 153,138 | $ | 631,926 | $ | 861,551 | $ | 718,263 | $ | 392,535 | ||||||||||||||
Cash denominated in foreign currencies at cost | — | 1 | — | — | 7 | 1 | — |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
108 | SEMIANNUAL REPORT | 2015 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
Ivy Funds VIP | AS OF JUNE 30, 2015 (UNAUDITED) |
(In thousands, except per share amounts) | Micro Cap Growth | Mid Cap Growth | Money Market | Real Estate Securities | Science and Technology | Small Cap Growth | Small Cap Value | |||||||||||||||||||||
ASSETS |
| |||||||||||||||||||||||||||
Investments in unaffiliated securities at value+ | $ | 71,625 | $ | 598,696 | $ | 542,627 | $ | 46,388 | $ | 618,964 | $ | 474,901 | $ | 351,793 | ||||||||||||||
Investments at Market Value | 71,625 | 598,696 | 542,627 | 46,388 | 618,964 | 474,901 | 351,793 | |||||||||||||||||||||
Cash | 1 | 525 | 4 | 1 | 1 | 1 | 1 | |||||||||||||||||||||
Investment securities sold receivable | 4 | 742 | — | 109 | 205 | 1,304 | 3,740 | |||||||||||||||||||||
Dividends and interest receivable | 29 | 301 | 163 | 155 | 203 | 60 | 350 | |||||||||||||||||||||
Capital shares sold receivable | 1 | 415 | 1,583 | 5 | 663 | 222 | 104 | |||||||||||||||||||||
Receivable from affiliates | — | 91 | 696 | — | — | — | — | |||||||||||||||||||||
Prepaid and other assets | — | — | 1 | — | — | — | — | |||||||||||||||||||||
Total Assets | 71,660 | 600,770 | 545,074 | 46,658 | 620,036 | 476,488 | 355,988 | |||||||||||||||||||||
LIABILITIES |
| |||||||||||||||||||||||||||
Investment securities purchased payable | 387 | 2,755 | — | 337 | 393 | 70 | 8,164 | |||||||||||||||||||||
Capital shares redeemed payable | 37 | 246 | 264 | 5 | 248 | 109 | 92 | |||||||||||||||||||||
Distributions payable | — | — | 1 | — | — | — | — | |||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 7 | 18 | 37 | 6 | 75 | 104 | 30 | |||||||||||||||||||||
Distribution and service fees payable | — | * | 4 | — | — | * | 4 | 3 | 2 | |||||||||||||||||||
Shareholder servicing payable | — | * | 2 | 2 | — | * | 2 | 2 | 1 | |||||||||||||||||||
Investment management fee payable | 2 | 14 | 6 | 1 | 14 | 11 | 8 | |||||||||||||||||||||
Accounting services fee payable | 4 | 13 | 11 | 3 | 13 | 11 | 8 | |||||||||||||||||||||
Written options at value+ | — | 918 | — | — | 347 | — | — | |||||||||||||||||||||
Other liabilities | 3 | 6 | 6 | 2 | 9 | 6 | 6 | |||||||||||||||||||||
Total Liabilities | 440 | 3,976 | 327 | 354 | 1,105 | 316 | 8,311 | |||||||||||||||||||||
Total Net Assets | $ | 71,220 | $ | 596,794 | $ | 544,747 | $ | 46,304 | $ | 618,931 | $ | 476,172 | $ | 347,677 | ||||||||||||||
NET ASSETS |
| |||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 52,186 | $ | 493,459 | $ | 544,737 | $ | 40,740 | $ | 389,776 | $ | 334,121 | $ | 296,625 | ||||||||||||||
Undistributed (distributions in excess of) net investment income | (327 | ) | (1,380 | ) | — | 517 | (1,498 | ) | (1,819 | ) | 2,666 | |||||||||||||||||
Accumulated net realized gain | 4,636 | 27,369 | 10 | 2,599 | 23,948 | 30,191 | 19,778 | |||||||||||||||||||||
Net unrealized appreciation | 14,725 | 77,346 | — | 2,448 | 206,705 | 113,679 | 28,608 | |||||||||||||||||||||
Total Net Assets | $ | 71,220 | $ | 596,794 | $ | 544,747 | $ | 46,304 | $ | 618,931 | $ | 476,172 | $ | 347,677 | ||||||||||||||
CAPITAL SHARES OUTSTANDING | 2,932 | 57,772 | 544,741 | 5,727 | 25,016 | 39,692 | 20,840 | |||||||||||||||||||||
NET ASSET VALUE PER SHARE | $24.29 | $10.33 | $1.00 | $8.08 | $24.74 | $12.00 | $16.68 | |||||||||||||||||||||
+COST |
| |||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 56,900 | $ | 520,909 | $ | 542,627 | $ | 43,940 | $ | 412,632 | $ | 361,222 | $ | 323,185 | ||||||||||||||
Written options premiums received at cost | — | 477 | — | — | 719 | — | — |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 109 |
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STATEMENTS OF ASSETS AND LIABILITIES
Ivy Funds VIP | AS OF JUNE 30, 2015 (UNAUDITED) |
(In thousands, except per share amounts) | Value | |||
ASSETS | ||||
Investments in unaffiliated securities at value+ | $ | 411,215 | ||
Investments at Market Value | 411,215 | |||
Cash | 1 | |||
Investment securities sold receivable | 315 | |||
Dividends and interest receivable | 611 | |||
Capital shares sold receivable | 75 | |||
Total Assets | 412,217 | |||
LIABILITIES | ||||
Investment securities purchased payable | 5,985 | |||
Capital shares redeemed payable | 263 | |||
Independent Trustees and Chief Compliance Officer fees payable | 54 | |||
Distribution and service fees payable | 3 | |||
Shareholder servicing payable | 2 | |||
Investment management fee payable | 8 | |||
Accounting services fee payable | 10 | |||
Written options at value+ | 441 | |||
Other liabilities | 5 | |||
Total Liabilities | 6,771 | |||
Total Net Assets | $ | 405,446 | ||
NET ASSETS | ||||
Capital paid in (shares authorized – unlimited) | $ | 344,474 | ||
Undistributed net investment income | 7,408 | |||
Accumulated net realized gain | 24,614 | |||
Net unrealized appreciation | 28,950 | |||
Total Net Assets | $ | 405,446 | ||
CAPITAL SHARES OUTSTANDING | 63,541 | |||
NET ASSET VALUE PER SHARE | $6.38 | |||
+COST | ||||
Investments in unaffiliated securities at cost | $ | 382,236 | ||
Written options premiums received at cost | 412 |
See Accompanying Notes to Financial Statements.
110 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Ivy Funds VIP | FOR THE SIX MONTHS ENDED JUNE 30, 2015 (UNAUDITED) |
(In thousands) | Pathfinder Aggressive | Pathfinder Conservative | Pathfinder Moderate | Pathfinder Moderately Aggressive | Pathfinder Moderately Conservative | Pathfinder Managed | Pathfinder Moderately Managed | |||||||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||||||||||||||
Dividends from affiliated securities | $ | 1,241 | $ | 1,376 | $ | 11,570 | $ | 16,847 | $ | 3,538 | $ | 3,310 | $ | 785 | ||||||||||||||
Interest and amortization from unaffiliated securities | — | * | — | * | — | * | — | * | — | * | 6 | 1 | ||||||||||||||||
Total Investment Income | 1,241 | 1,376 | 11,570 | 16,847 | 3,538 | 3,316 | 786 | |||||||||||||||||||||
EXPENSES | ||||||||||||||||||||||||||||
Investment management fee | — | — | — | — | — | 250 | 50 | |||||||||||||||||||||
Shareholder servicing | 1 | 1 | 6 | 6 | 2 | 1 | — | * | ||||||||||||||||||||
Custodian fees | 1 | 1 | 1 | 1 | 1 | 2 | 1 | |||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 3 | 3 | 24 | 30 | 8 | 6 | 1 | |||||||||||||||||||||
Accounting services fee | 13 | 18 | 77 | 87 | 30 | 28 | 10 | |||||||||||||||||||||
Professional fees | 12 | 13 | 22 | 32 | 20 | 18 | 16 | |||||||||||||||||||||
Other | 5 | 6 | 25 | 30 | 2 | 17 | 5 | |||||||||||||||||||||
Total Expenses | 35 | 42 | 155 | 186 | 63 | 322 | 83 | |||||||||||||||||||||
Net Investment Income | 1,206 | 1,334 | 11,415 | 16,661 | 3,475 | 2,994 | 703 | |||||||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||
Investments in affiliated securities | 668 | 1,114 | 7,818 | 8,753 | 2,608 | 602 | 108 | |||||||||||||||||||||
Distributions of realized capital gains from affiliated securities | 6,894 | 5,711 | 58,094 | 78,790 | 15,876 | 16,618 | 3,673 | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | (129 | ) | (47 | ) | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||
Investments in affiliated securities | (5,107 | ) | (5,866 | ) | (52,601 | ) | (68,892 | ) | (15,229 | ) | (15,245 | ) | (3,173 | ) | ||||||||||||||
Futures contracts | — | — | — | — | — | 55 | 21 | |||||||||||||||||||||
Net Realized and Unrealized Gain | 2,455 | 959 | 13,311 | 18,651 | 3,255 | 1,901 | 582 | |||||||||||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 3,661 | $ | 2,293 | $ | 24,726 | $ | 35,312 | $ | 6,730 | $ | 4,895 | $ | 1,285 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 111 |
Table of Contents
STATEMENTS OF OPERATIONS
Ivy Funds VIP | FOR THE SIX MONTHS ENDED JUNE 30, 2015 (UNAUDITED) |
(In thousands) | Pathfinder Moderately | Asset Strategy(1) | Balanced | Bond | Core Equity | Dividend Opportunities | Energy | |||||||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||||||||||||||
Dividends from unaffiliated securities | $ | — | $ | 14,298 | $ | 2,677 | $ | — | $ | 3,498 | $ | 5,805 | $ | 780 | ||||||||||||||
Dividends from affiliated securities | 444 | — | — | — | — | — | — | |||||||||||||||||||||
Foreign dividend withholding tax | — | (463 | ) | (27 | ) | — | (67 | ) | (75 | ) | (19 | ) | ||||||||||||||||
Interest and amortization from unaffiliated securities | 1 | 2,744 | 1,877 | 4,172 | 5 | 47 | 6 | |||||||||||||||||||||
Foreign interest withholding tax | — | — | * | — | — | — | — | — | ||||||||||||||||||||
Total Investment Income | 445 | 16,579 | 4,527 | 4,172 | 3,436 | 5,777 | 767 | |||||||||||||||||||||
EXPENSES | ||||||||||||||||||||||||||||
Investment management fee | 35 | 5,347 | 1,442 | 726 | 1,741 | 1,798 | 548 | |||||||||||||||||||||
Service fee | — | 1,961 | 518 | 382 | 622 | 642 | 161 | |||||||||||||||||||||
Shareholder servicing | — | * | 11 | 3 | 2 | 3 | 3 | 1 | ||||||||||||||||||||
Custodian fees | 1 | 49 | 2 | 4 | 5 | 6 | 3 | |||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 1 | 47 | 5 | 12 | 23 | 14 | 3 | |||||||||||||||||||||
Accounting services fee | 8 | 124 | 62 | 47 | 66 | 67 | 31 | |||||||||||||||||||||
Professional fees | 14 | 99 | 20 | 25 | 19 | 20 | 17 | |||||||||||||||||||||
Other | 3 | 118 | — | 11 | 19 | 14 | 13 | |||||||||||||||||||||
Total Expenses | 62 | 7,756 | 2,052 | 1,209 | 2,498 | 2,564 | 777 | |||||||||||||||||||||
Less: | ||||||||||||||||||||||||||||
Expenses in excess of limit | — | (50 | ) | — | — | (124 | ) | — | — | |||||||||||||||||||
Total Net Expenses | 62 | 7,706 | 2,052 | 1,209 | 2,374 | 2,564 | 777 | |||||||||||||||||||||
Net Investment Income (Loss) | 383 | 8,873 | 2,475 | 2,963 | 1,062 | 3,213 | (10 | ) | ||||||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||
Investments in unaffiliated securities | — | (15,511 | ) | 29,001 | 3,053 | 37,919 | 20,440 | (1,314 | ) | |||||||||||||||||||
Investments in affiliated securities | 124 | — | — | — | — | — | — | |||||||||||||||||||||
Distributions of realized capital gains from affiliated securities | 1,991 | — | — | — | — | — | — | |||||||||||||||||||||
Futures contracts | (43 | ) | (514 | ) | — | — | — | — | — | |||||||||||||||||||
Written options | — | 2,778 | — | — | — | 132 | — | |||||||||||||||||||||
Forward foreign currency contracts | — | 3,766 | — | — | — | — | — | |||||||||||||||||||||
Foreign currency exchange transactions | — | (217 | ) | — | — | — | — | (1 | ) | |||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||
Investments in unaffiliated securities | — | 11,677 | (23,659 | ) | (6,525 | ) | (33,550 | ) | (29,375 | ) | 2,078 | |||||||||||||||||
Investments in affiliated securities | (1,893 | ) | (3,914 | ) | — | — | — | — | — | |||||||||||||||||||
Futures contracts | 15 | (714 | ) | — | — | — | — | — | ||||||||||||||||||||
Written options | — | (4,304 | ) | — | — | — | — | — | ||||||||||||||||||||
Forward foreign currency contracts | — | (274 | ) | — | — | — | — | — | ||||||||||||||||||||
Foreign currency exchange transactions | — | (4 | ) | — | — | — | — | — | * | |||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | 194 | (7,231 | ) | 5,342 | (3,472 | ) | 4,369 | (8,803 | ) | 763 | ||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 577 | $ | 1,642 | $ | 7,817 | $ | (509 | ) | $ | 5,431 | $ | (5,590 | ) | $ | 753 |
* | Not shown due to rounding. |
(1) | Consolidated Statement of Operations (See Note 6 in Notes to Financial Statements). |
See Accompanying Notes to Financial Statements.
112 | SEMIANNUAL REPORT | 2015 |
Table of Contents
STATEMENTS OF OPERATIONS
Ivy Funds VIP | FOR THE SIX MONTHS ENDED JUNE 30, 2015 (UNAUDITED) |
(In thousands) | Global Bond | Global Growth | Global Natural Resources | Growth | High Income | International Core Equity | Limited-Term Bond | |||||||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||||||||||||||
Dividends from unaffiliated securities | $ | 29 | $ | 4,919 | $ | 1,365 | $ | 4,229 | $ | 67 | $ | 11,484 | $ | 78 | ||||||||||||||
Foreign dividend withholding tax | (1 | ) | (406 | ) | (49 | ) | (79 | ) | — | (1,287 | ) | — | ||||||||||||||||
Interest and amortization from unaffiliated securities | 383 | 22 | 7 | 23 | 31,555 | 11 | 4,762 | |||||||||||||||||||||
Foreign interest withholding tax | — | — | * | — | — | — | — | * | — | |||||||||||||||||||
Total Investment Income | 411 | 4,535 | 1,323 | 4,173 | 31,622 | 10,208 | 4,840 | |||||||||||||||||||||
EXPENSES | ||||||||||||||||||||||||||||
Investment management fee | 60 | 2,031 | 750 | 3,105 | 2,579 | 2,919 | 1,136 | |||||||||||||||||||||
Service fee | 24 | 598 | 188 | 1,109 | 1,049 | 858 | 568 | |||||||||||||||||||||
Shareholder servicing | — | * | 3 | 1 | 4 | 5 | 4 | 3 | ||||||||||||||||||||
Custodian fees | 3 | 26 | 3 | 8 | 9 | 42 | 5 | |||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | — | * | 15 | 5 | 36 | 23 | 21 | 12 | ||||||||||||||||||||
Accounting services fee | 7 | 65 | 32 | 105 | 103 | 83 | 64 | |||||||||||||||||||||
Professional fees | 20 | 25 | 22 | 25 | 39 | 32 | 25 | |||||||||||||||||||||
Other | 6 | 67 | 10 | 26 | 39 | 47 | 13 | |||||||||||||||||||||
Total Expenses | 120 | 2,830 | 1,011 | 4,418 | 3,846 | 4,006 | 1,826 | |||||||||||||||||||||
Less: | ||||||||||||||||||||||||||||
Expenses in excess of limit | (60 | ) | (72 | ) | — | (133 | ) | (124 | ) | — | — | |||||||||||||||||
Total Net Expenses | 60 | 2,758 | 1,011 | 4,285 | 3,722 | 4,006 | 1,826 | |||||||||||||||||||||
Net Investment Income (Loss) | 351 | 1,777 | 312 | (112 | ) | 27,900 | 6,202 | 3,014 | ||||||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||
Investments in unaffiliated securities | (262 | ) | 20,503 | (4,455 | ) | 45,301 | (5,704 | ) | 27,008 | 1,171 | ||||||||||||||||||
Futures contracts | (35 | ) | — | — | — | — | — | — | ||||||||||||||||||||
Forward foreign currency contracts | 11 | 1,692 | 511 | — | 385 | (1,425 | ) | — | ||||||||||||||||||||
Foreign currency exchange transactions | (6 | ) | (68 | ) | (4 | ) | — | (9 | ) | (78 | ) | — | ||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||
Investments in unaffiliated securities | 139 | (1,658 | ) | 4,550 | 1,147 | (5,762 | ) | 13,977 | (639 | ) | ||||||||||||||||||
Forward foreign currency contracts | (9 | ) | (1,473 | ) | (342 | ) | — | (79 | ) | 63 | — | |||||||||||||||||
Foreign currency exchange transactions | 5 | (41 | ) | (1 | ) | — | (144 | ) | 14 | — | ||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | (157 | ) | 18,955 | 259 | 46,448 | (11,313 | ) | 39,559 | 532 | |||||||||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 194 | $ | 20,732 | $ | 571 | $ | 46,336 | $ | 16,587 | $ | 45,761 | $ | 3,546 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 113 |
Table of Contents
STATEMENTS OF OPERATIONS
Ivy Funds VIP | FOR THE SIX MONTHS ENDED JUNE 30, 2015 (UNAUDITED) |
(In thousands) | Micro Cap Growth | Mid Cap Growth | Money Market | Real Estate Securities | Science and Technology | Small Cap Growth | Small Cap Value | |||||||||||||||||||||
INVESTMENT INCOME | ||||||||||||||||||||||||||||
Dividends from unaffiliated securities | $ | 116 | $ | 1,982 | $ | — | $ | 759 | $ | 1,971 | $ | 797 | $ | 3,060 | ||||||||||||||
Foreign dividend withholding tax | — | — | — | — | (124 | ) | — | (2 | ) | |||||||||||||||||||
Interest and amortization from unaffiliated securities | 1 | 18 | 523 | — | * | 28 | 18 | 13 | ||||||||||||||||||||
Total Investment Income | 117 | 2,000 | 523 | 759 | 1,875 | 815 | 3,071 | |||||||||||||||||||||
EXPENSES | ||||||||||||||||||||||||||||
Investment management fee | 329 | 2,456 | 1,045 | 236 | 2,566 | 1,901 | 1,477 | |||||||||||||||||||||
Service fee | 87 | 722 | — | 66 | 755 | 559 | 434 | |||||||||||||||||||||
Shareholder servicing | 1 | 4 | 2 | — | * | 4 | 2 | 2 | ||||||||||||||||||||
Custodian fees | 3 | 7 | 7 | 2 | 20 | 6 | 8 | |||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 2 | 15 | 15 | 2 | 19 | 17 | 10 | |||||||||||||||||||||
Accounting services fee | 21 | 77 | 68 | 20 | 78 | 64 | 54 | |||||||||||||||||||||
Professional fees | 14 | 20 | 18 | 12 | 19 | 17 | 15 | |||||||||||||||||||||
Other | 5 | 25 | 12 | 4 | 27 | 14 | 17 | |||||||||||||||||||||
Total Expenses | 462 | 3,326 | 1,167 | 342 | 3,488 | 2,580 | 2,017 | |||||||||||||||||||||
Less: | ||||||||||||||||||||||||||||
Expenses in excess of limit | — | (148 | ) | (696 | ) | (24 | ) | (60 | ) | (45 | ) | — | ||||||||||||||||
Total Net Expenses | 462 | 3,178 | 471 | 318 | 3,428 | 2,535 | 2,017 | |||||||||||||||||||||
Net Investment Income (Loss) | (345 | ) | (1,178 | ) | 52 | 441 | (1,553 | ) | (1,720 | ) | 1,054 | |||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||
Investments in unaffiliated securities | 4,642 | 27,589 | 7 | 2,688 | 23,733 | 30,931 | 20,915 | |||||||||||||||||||||
Written options | — | 397 | — | — | 257 | — | — | |||||||||||||||||||||
Foreign currency exchange transactions | — | (2 | ) | — | — | 14 | — | — | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||
Investments in unaffiliated securities | 415 | (7,941 | ) | — | (5,899 | ) | 3,693 | 34,651 | (19,770 | ) | ||||||||||||||||||
Written options | — | (500 | ) | — | — | 425 | — | — | ||||||||||||||||||||
Foreign currency exchange transactions | — | — | * | — | — | — | * | — | — | |||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | 5,057 | 19,543 | 7 | (3,211 | ) | 28,122 | 65,582 | 1,145 | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 4,712 | $ | 18,365 | $ | 59 | $ | (2,770 | ) | $ | 26,569 | $ | 63,862 | $ | 2,199 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
114 | SEMIANNUAL REPORT | 2015 |
Table of Contents
STATEMENTS OF OPERATIONS
Ivy Funds VIP | FOR THE SIX MONTHS ENDED JUNE 30, 2015 (UNAUDITED) |
(In thousands) | Value | |||
INVESTMENT INCOME | ||||
Dividends from unaffiliated securities | $ | 3,748 | ||
Foreign dividend withholding tax | (47 | ) | ||
Interest and amortization from unaffiliated securities | 29 | |||
Total Investment Income | 3,730 | |||
EXPENSES | ||||
Investment management fee | 1,421 | |||
Service fee | 507 | |||
Shareholder servicing | 3 | |||
Custodian fees | 5 | |||
Independent Trustees and Chief Compliance Officer fees | 13 | |||
Accounting services fee | 62 | |||
Professional fees | 21 | |||
Other | 18 | |||
Total Expenses | 2,050 | |||
Less: | ||||
Expenses in excess of limit | (20 | ) | ||
Total Net Expenses | 2,030 | |||
Net Investment Income | 1,700 | |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments in unaffiliated securities | 25,690 | |||
Written options | 542 | |||
Net change in unrealized appreciation (depreciation) on: | ||||
Investments in unaffiliated securities | (29,247 | ) | ||
Written options | (108 | ) | ||
Net Realized and Unrealized Loss | (3,123 | ) | ||
Net Decrease in Net Assets Resulting from Operations | $ | (1,423 | ) |
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 115 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Ivy Funds VIP
Pathfinder Aggressive | Pathfinder Conservative | Pathfinder Moderate | ||||||||||||||||||||||
(In thousands) | Six months ended 6-30-15 (Unaudited) | Year ended | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | ||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 1,206 | $ | 2,347 | $ | 1,334 | $ | 1,382 | $ | 11,415 | $ | 15,553 | ||||||||||||
Net realized gain on investments | 7,562 | 8,641 | 6,825 | 7,710 | 65,912 | 74,027 | ||||||||||||||||||
Net change in unrealized depreciation | (5,107 | ) | (6,882 | ) | (5,866 | ) | (4,943 | ) | (52,601 | ) | (51,453 | ) | ||||||||||||
Net Increase in Net Assets Resulting from Operations | 3,661 | 4,106 | 2,293 | 4,149 | 24,726 | 38,127 | ||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Net investment income | (2,349 | ) | (731 | ) | (1,382 | ) | (1,290 | ) | (15,559 | ) | (9,590 | ) | ||||||||||||
Net realized gains | (8,641 | ) | (6,254 | ) | (7,709 | ) | (7,315 | ) | (74,025 | ) | (65,663 | ) | ||||||||||||
Total Distributions to Shareholders | (10,990 | ) | (6,985 | ) | (9,091 | ) | (8,605 | ) | (89,584 | ) | (75,253 | ) | ||||||||||||
Capital Share Transactions | 11,062 | 1,858 | 5,088 | 5,514 | 72,941 | 44,022 | ||||||||||||||||||
Net Increase (Decrease) in Net Assets | 3,733 | (1,021 | ) | (1,710 | ) | 1,058 | 8,083 | 6,896 | ||||||||||||||||
Net Assets, Beginning of Period | 84,836 | 85,857 | 122,278 | 121,220 | 928,495 | 921,599 | ||||||||||||||||||
Net Assets, End of Period | $ | 88,569 | $ | 84,836 | $ | 120,568 | $ | 122,278 | $ | 936,578 | $ | 928,495 | ||||||||||||
Undistributed net investment income | $ | 1,200 | $ | 2,343 | $ | 1,330 | $ | 1,378 | $ | 11,377 | $ | 15,521 | ||||||||||||
Pathfinder Moderately Aggressive | Pathfinder Moderately Conservative | Pathfinder Moderate - Managed Volatility | ||||||||||||||||||||||
(In thousands) | Six months ended 6-30-15 (Unaudited) | Year ended | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | ||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 16,661 | $ | 25,192 | $ | 3,475 | $ | 4,235 | $ | 2,994 | $ | 1,126 | ||||||||||||
Net realized gain on investments | 87,543 | 92,905 | 18,484 | 22,166 | 17,091 | 4,681 | ||||||||||||||||||
Net change in unrealized depreciation | (68,892 | ) | (68,770 | ) | (15,229 | ) | (15,176 | ) | (15,190 | ) | (1,351 | ) | ||||||||||||
Net Increase in Net Assets Resulting from Operations | 35,312 | 49,327 | 6,730 | 11,225 | 4,895 | 4,456 | ||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Net investment income | (25,209 | ) | (11,294 | ) | (4,238 | ) | (2,929 | ) | — | (1,154 | ) | |||||||||||||
Net realized gains | (92,917 | ) | (75,997 | ) | (22,167 | ) | (18,975 | ) | — | (4,820 | ) | |||||||||||||
Total Distributions to Shareholders | (118,126 | ) | (87,291 | ) | (26,405 | ) | (21,904 | ) | — | (5,974 | ) | |||||||||||||
Capital Share Transactions | 97,959 | 46,422 | 16,636 | 2,211 | 92,119 | 170,669 | ||||||||||||||||||
Net Increase (Decrease) in Net Assets | 15,145 | 8,458 | (3,039 | ) | (8,468 | ) | 97,014 | 169,151 | ||||||||||||||||
Net Assets, Beginning of Period | 1,097,932 | 1,089,474 | 291,348 | 299,816 | 203,112 | 33,961 | ||||||||||||||||||
Net Assets, End of Period | $ | 1,113,077 | $ | 1,097,932 | $ | 288,309 | $ | 291,348 | $ | 300,126 | $ | 203,112 | ||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 16,610 | $ | 25,158 | $ | 3,459 | $ | 4,222 | $ | 2,968 | $ | (26 | ) |
See Accompanying Notes to Financial Statements.
116 | SEMIANNUAL REPORT | 2015 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Ivy Funds VIP
Pathfinder Moderately Aggressive - Managed Volatility | Pathfinder Moderately Conservative - Managed Volatility | Asset Strategy(1) | ||||||||||||||||||||||
(In thousands) | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | Six months ended 6-30-15 (Unaudited) | Year ended | ||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 703 | $ | 494 | $ | 383 | $ | 159 | $ | 8,873 | $ | 15,802 | ||||||||||||
Net realized gain (loss) on investments | 3,734 | 1,748 | 2,072 | 925 | (9,698 | ) | 260,940 | |||||||||||||||||
Net change in unrealized appreciation (depreciation) | (3,152 | ) | (974 | ) | (1,878 | ) | (400 | ) | 2,467 | (367,347 | ) | |||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 1,285 | 1,268 | 577 | 684 | 1,642 | (90,605 | ) | |||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Net investment income | — | (517 | ) | — | (182 | ) | (5,385 | ) | (8,178 | ) | ||||||||||||||
Net realized gains | — | (1,794 | ) | (101 | ) | (854 | ) | (258,553 | ) | (216,767 | ) | |||||||||||||
Total Distributions to Shareholders | — | (2,311 | ) | (101 | ) | (1,036 | ) | (263,938 | ) | (224,945 | ) | |||||||||||||
Capital Share Transactions | 12,299 | 33,567 | 8,901 | 21,636 | 174,962 | 210,680 | ||||||||||||||||||
Net Increase (Decrease) in Net Assets | 13,584 | 32,524 | 9,377 | 21,284 | (87,334 | ) | (104,870 | ) | ||||||||||||||||
Net Assets, Beginning of Period | 42,891 | 10,367 | 31,104 | 9,820 | 1,599,603 | 1,704,473 | ||||||||||||||||||
Net Assets, End of Period | $ | 56,475 | $ | 42,891 | $ | 40,481 | $ | 31,104 | $ | 1,512,269 | $ | 1,599,603 | ||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 678 | $ | (25 | ) | $ | 358 | $ | (25 | ) | $ | 20,485 | $ | 17,214 | ||||||||||
Balanced | Bond | Core Equity | ||||||||||||||||||||||
(In thousands) | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | ||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 2,475 | $ | 3,682 | $ | 2,963 | $ | 7,635 | $ | 1,062 | $ | 1,682 | ||||||||||||
Net realized gain (loss) on investments | 29,001 | 54,338 | 3,053 | (39 | ) | 37,919 | 80,703 | |||||||||||||||||
Net change in unrealized appreciation (depreciation) | (23,659 | ) | (28,137 | ) | (6,525 | ) | 5,780 | (33,550 | ) | (35,874 | ) | |||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 7,817 | 29,883 | (509 | ) | 13,376 | 5,431 | 46,511 | |||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Net investment income | (3,688 | ) | (3,847 | ) | (8,716 | ) | (11,937 | ) | (1,727 | ) | (2,471 | ) | ||||||||||||
Net realized gains | (54,222 | ) | (34,578 | ) | — | (9,440 | ) | (80,819 | ) | (69,613 | ) | |||||||||||||
Total Distributions to Shareholders | (57,910 | ) | (38,425 | ) | (8,716 | ) | (21,377 | ) | (82,546 | ) | (72,084 | ) | ||||||||||||
Capital Share Transactions | 45,750 | 5,353 | (851 | ) | 3,460 | 55,241 | 30,929 | |||||||||||||||||
Net Increase (Decrease) in Net Assets | (4,343 | ) | (3,189 | ) | (10,076 | ) | (4,541 | ) | (21,874 | ) | 5,356 | |||||||||||||
Net Assets, Beginning of Period | 414,688 | 417,877 | 309,552 | 314,093 | 505,341 | 499,985 | ||||||||||||||||||
Net Assets, End of Period | $ | 410,345 | $ | 414,688 | $ | 299,476 | $ | 309,552 | $ | 483,467 | $ | 505,341 | ||||||||||||
Undistributed net investment income | $ | 2,399 | $ | 3,612 | $ | 2,879 | $ | 8,632 | $ | 871 | $ | 1,536 |
(1) | Consolidated Statements of Changes in Net Assets (See Note 6 in Notes to Financial Statements). |
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 117 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Ivy Funds VIP
Dividend Opportunities | Energy | Global Bond | ||||||||||||||||||||||
(In thousands) | Six months ended 6-30-15 (Unaudited) | Year ended | Six months ended 6-30-15 (Unaudited) | Year ended | Six months ended 6-30-15 (Unaudited) | Year ended | ||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 3,213 | $ | 6,516 | $ | (10 | ) | $ | (121 | ) | $ | 351 | $ | 715 | ||||||||||
Net realized gain (loss) on investments | 20,572 | 55,801 | (1,315 | ) | 103 | (292 | ) | 12 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | (29,375 | ) | (15,845 | ) | 2,078 | (17,054 | ) | 135 | (804 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (5,590 | ) | 46,472 | 753 | (17,072 | ) | 194 | (77 | ) | |||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Net investment income | (6,503 | ) | (5,596 | ) | (72 | ) | — | (701 | ) | (415 | ) | |||||||||||||
Net realized gains | (55,662 | ) | (37,543 | ) | (654 | ) | (3,701 | ) | — | — | ||||||||||||||
Total Distributions to Shareholders | (62,165 | ) | (43,139 | ) | (726 | ) | (3,701 | ) | (701 | ) | (415 | ) | ||||||||||||
Capital Share Transactions | 64,584 | 23,426 | 16,012 | 39,548 | 652 | 3,938 | ||||||||||||||||||
Net Increase (Decrease) in Net Assets | (3,171 | ) | 26,759 | 16,039 | 18,775 | 145 | 3,446 | |||||||||||||||||
Net Assets, Beginning of Period | 511,224 | 484,465 | 117,967 | 99,192 | 19,279 | 15,833 | ||||||||||||||||||
Net Assets, End of Period | $ | 508,053 | $ | 511,224 | $ | 134,006 | $ | 117,967 | $ | 19,424 | $ | 19,279 | ||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 3,479 | $ | 6,769 | $ | (34 | ) | $ | 49 | $ | 336 | $ | 692 | |||||||||||
Global Growth | Global Natural Resources | Growth | ||||||||||||||||||||||
(In thousands) | Six months ended 6-30-15 (Unaudited) | Year ended | Six months ended 6-30-15 (Unaudited) | Year ended | Six months ended 6-30-15 (Unaudited) | Year ended | ||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 1,777 | $ | 3,940 | $ | 312 | $ | 207 | $ | (112 | ) | $ | 924 | |||||||||||
Net realized gain (loss) on investments | 22,127 | 24,100 | (3,948 | ) | 3,105 | 45,301 | 192,215 | |||||||||||||||||
Net change in unrealized appreciation (depreciation) | (3,172 | ) | (23,474 | ) | 4,207 | (24,165 | ) | 1,147 | (103,553 | ) | ||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 20,732 | 4,566 | 571 | (20,853 | ) | 46,336 | 89,586 | |||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Net investment income | (2,105 | ) | (8,928 | ) | (137 | ) | — | (949 | ) | (3,270 | ) | |||||||||||||
Net realized gains | (24,394 | ) | (36,409 | ) | — | — | (104,978 | ) | (145,321 | ) | ||||||||||||||
Total Distributions to Shareholders | (26,499 | ) | (45,337 | ) | (137 | ) | — | (105,927 | ) | (148,591 | ) | |||||||||||||
Capital Share Transactions | 77,366 | 53,264 | (809 | ) | (5,991 | ) | 72,023 | (271,109 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets | 71,599 | 12,493 | (375 | ) | (26,844 | ) | 12,432 | (330,114 | ) | |||||||||||||||
Net Assets, Beginning of Period | 431,463 | 418,970 | 145,682 | 172,526 | 871,355 | 1,201,469 | ||||||||||||||||||
Net Assets, End of Period | $ | 503,062 | $ | 431,463 | $ | 145,307 | $ | 145,682 | $ | 883,787 | $ | 871,355 | ||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 1,650 | $ | 2,046 | $ | 349 | $ | 178 | $ | (354 | ) | $ | 707 |
See Accompanying Notes to Financial Statements.
118 | SEMIANNUAL REPORT | 2015 |
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STATEMENTS OF CHANGES IN NET ASSETS
Ivy Funds VIP
High Income | International Core Equity | Limited-Term Bond | ||||||||||||||||||||||
(In thousands) | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | ||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income | $ | 27,900 | $ | 51,169 | $ | 6,202 | $ | 8,630 | $ | 3,014 | $ | 6,419 | ||||||||||||
Net realized gain (loss) on investments | (5,328 | ) | 8,514 | 25,505 | 88,878 | 1,171 | (4,673 | ) | ||||||||||||||||
Net change in unrealized appreciation (depreciation) | (5,985 | ) | (48,743 | ) | 14,054 | (86,788 | ) | (639 | ) | 2,628 | ||||||||||||||
Net Increase in Net Assets Resulting from Operations | 16,587 | 10,940 | 45,761 | 10,720 | 3,546 | 4,374 | ||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Net investment income | (51,203 | ) | (39,918 | ) | (8,590 | ) | (16,870 | ) | (6,694 | ) | (2,598 | ) | ||||||||||||
Net realized gains | (8,694 | ) | (6,022 | ) | (84,858 | ) | (52,403 | ) | — | (605 | ) | |||||||||||||
Total Distributions to Shareholders | (59,897 | ) | (45,940 | ) | (93,448 | ) | (69,273 | ) | (6,694 | ) | (3,203 | ) | ||||||||||||
Capital Share Transactions | 63,878 | 164,154 | 131,941 | 42,851 | (74,546 | ) | 36,655 | |||||||||||||||||
Net Increase (Decrease) in Net Assets | 20,568 | 129,154 | 84,254 | (15,702 | ) | (77,694 | ) | 37,826 | ||||||||||||||||
Net Assets, Beginning of Period | 818,445 | 689,291 | 656,373 | 672,075 | 474,437 | 436,611 | ||||||||||||||||||
Net Assets, End of Period | $ | 839,013 | $ | 818,445 | $ | 740,627 | $ | 656,373 | $ | 396,743 | $ | 474,437 | ||||||||||||
Undistributed net investment income | $ | 27,910 | $ | 51,134 | $ | 2,717 | $ | 5,183 | $ | 2,998 | $ | 6,678 | ||||||||||||
Micro Cap Growth | Mid Cap Growth | Money Market | ||||||||||||||||||||||
(In thousands) | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | Six months ended 6-30-15 (Unaudited) | Year ended | ||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | (345 | ) | $ | (847 | ) | $ | (1,178 | ) | $ | (1,555 | ) | $ | 52 | $ | 133 | ||||||||
Net realized gain on investments | 4,642 | 10,617 | 27,984 | 48,139 | 7 | 10 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 415 | (11,501 | ) | (8,441 | ) | (9,125 | ) | — | — | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,712 | (1,731 | ) | 18,365 | 37,459 | 59 | 143 | |||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | (52 | ) | (133 | ) | ||||||||||||||||
Net realized gains | (10,595 | ) | (9,754 | ) | (46,460 | ) | (26,432 | ) | — | — | ||||||||||||||
Total Distributions to Shareholders | (10,595 | ) | (9,754 | ) | (46,460 | ) | (26,432 | ) | (52 | ) | (133 | ) | ||||||||||||
Capital Share Transactions | 5,447 | 3,965 | 67,908 | 120,182 | 33,216 | (93,182 | ) | |||||||||||||||||
Net Increase (Decrease) in Net Assets | (436 | ) | (7,520 | ) | 39,813 | 131,209 | 33,223 | (93,172 | ) | |||||||||||||||
Net Assets, Beginning of Period | 71,656 | 79,176 | 556,981 | 425,772 | 511,524 | 604,696 | ||||||||||||||||||
Net Assets, End of Period | $ | 71,220 | $ | 71,656 | $ | 596,794 | $ | 556,981 | $ | 544,747 | $ | 511,524 | ||||||||||||
Undistributed (distributions in excess of) net investment income | $ | (327 | ) | $ | 18 | $ | (1,380 | ) | $ | (200 | ) | $ | — | $ | — |
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 119 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Ivy Funds VIP
Real Estate Securities | Science and Technology | Small Cap Growth | ||||||||||||||||||||||
(In thousands) | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | ||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 441 | $ | 542 | $ | (1,553 | ) | $ | (2,915 | ) | $ | (1,720 | ) | $ | (3,515 | ) | ||||||||
Net realized gain on investments | 2,688 | 5,063 | 24,004 | 36,496 | 30,931 | 98,430 | ||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (5,899 | ) | 6,552 | 4,118 | (17,241 | ) | 34,651 | (98,411 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (2,770 | ) | 12,157 | 26,569 | 16,340 | 63,862 | (3,496 | ) | ||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Net investment income | (518 | ) | (469 | ) | — | — | — | — | ||||||||||||||||
Net realized gains | (4,943 | ) | (2,680 | ) | (34,801 | ) | (46,854 | ) | (66,812 | ) | (43,758 | ) | ||||||||||||
Total Distributions to Shareholders | (5,461 | ) | (3,149 | ) | (34,801 | ) | (46,854 | ) | (66,812 | ) | (43,758 | ) | ||||||||||||
Capital Share Transactions | 2,255 | 3,120 | 41,134 | 46,759 | 53,557 | (87,569 | ) | |||||||||||||||||
Net Increase (Decrease) in Net Assets | (5,976 | ) | 12,128 | 32,902 | 16,245 | 50,607 | (134,823 | ) | ||||||||||||||||
Net Assets, Beginning of Period | 52,280 | 40,152 | 586,029 | 569,784 | 425,565 | 560,388 | ||||||||||||||||||
Net Assets, End of Period | $ | 46,304 | $ | 52,280 | $ | 618,931 | $ | 586,029 | $ | 476,172 | $ | 425,565 | ||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 517 | $ | 594 | $ | (1,498 | ) | $ | 41 | $ | (1,819 | ) | $ | (99 | ) | |||||||||
Small Cap Value | Value | |||||||||||||||||||||||
(In thousands) | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | Six months ended 6-30-15 (Unaudited) | Year ended 12-31-14 | ||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||
Net investment income (loss) | $ | 1,054 | $ | (309 | ) | $ | 1,700 | $ | 2,678 | |||||||||||||||
Net realized gain on investments | 20,915 | 27,675 | 26,232 | 53,260 | ||||||||||||||||||||
Net change in unrealized depreciation | (19,770 | ) | (5,376 | ) | (29,355 | ) | (18,250 | ) | ||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,199 | 21,990 | (1,423 | ) | 37,688 | |||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Net investment income | (294 | ) | (253 | ) | (3,133 | ) | (3,881 | ) | ||||||||||||||||
Net realized gains | (26,881 | ) | (43,526 | ) | (52,275 | ) | (47,695 | ) | ||||||||||||||||
Total Distributions to Shareholders | (27,175 | ) | (43,779 | ) | (55,408 | ) | (51,576 | ) | ||||||||||||||||
Capital Share Transactions | 18,915 | 86,384 | 46,084 | 58,465 | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (6,061 | ) | 64,595 | (10,747 | ) | 44,577 | ||||||||||||||||||
Net Assets, Beginning of Period | 353,738 | 289,143 | 416,193 | 371,616 | ||||||||||||||||||||
Net Assets, End of Period | $ | 347,677 | $ | 353,738 | $ | 405,446 | $ | 416,193 | ||||||||||||||||
Undistributed net investment income | $ | 2,666 | $ | 1,906 | $ | 7,408 | $ | 8,841 |
See Accompanying Notes to Financial Statements.
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Ivy Funds VIP | FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD |
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Pathfinder Aggressive | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | $ | 5.73 | $ | 0.08 | (2) | $ | 0.18 | $ | 0.26 | $ | (0.16 | ) | $ | (0.58 | ) | $ | (0.74 | ) | ||||||||||
Year ended 12-31-2014 | 5.95 | 0.16 | (2) | 0.10 | 0.26 | (0.05 | ) | (0.43 | ) | (0.48 | ) | |||||||||||||||||
Year ended 12-31-2013 | 5.04 | 0.05 | (2) | 1.27 | 1.32 | (0.07 | ) | (0.34 | ) | (0.41 | ) | |||||||||||||||||
Year ended 12-31-2012 | 4.77 | 0.07 | (2) | 0.48 | 0.55 | (0.05 | ) | (0.23 | ) | (0.28 | ) | |||||||||||||||||
Year ended 12-31-2011 | 5.16 | 0.04 | (2) | (0.24 | ) | (0.20 | ) | (0.06 | ) | (0.13 | ) | (0.19 | ) | |||||||||||||||
Year ended 12-31-2010 | 4.63 | 0.06 | 0.63 | 0.69 | (0.05 | ) | (0.11 | ) | (0.16 | ) | ||||||||||||||||||
Pathfinder Conservative | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 5.54 | 0.06 | (2) | 0.05 | 0.11 | (0.06 | ) | (0.36 | ) | (0.42 | ) | |||||||||||||||||
Year ended 12-31-2014 | 5.77 | 0.06 | (2) | 0.12 | 0.18 | (0.06 | ) | (0.35 | ) | (0.41 | ) | |||||||||||||||||
Year ended 12-31-2013 | 5.33 | 0.06 | (2) | 0.70 | 0.76 | (0.08 | ) | (0.24 | ) | (0.32 | ) | |||||||||||||||||
Year ended 12-31-2012 | 5.18 | 0.08 | (2) | 0.27 | 0.35 | (0.05 | ) | (0.15 | ) | (0.20 | ) | |||||||||||||||||
Year ended 12-31-2011 | 5.32 | 0.06 | (2) | (0.02 | ) | 0.04 | (0.07 | ) | (0.11 | ) | (0.18 | ) | ||||||||||||||||
Year ended 12-31-2010 | 5.02 | 0.06 | 0.39 | 0.45 | (0.05 | ) | (0.10 | ) | (0.15 | ) | ||||||||||||||||||
Pathfinder Moderate | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 5.87 | 0.07 | (2) | 0.10 | 0.17 | (0.10 | ) | (0.48 | ) | (0.58 | ) | |||||||||||||||||
Year ended 12-31-2014 | 6.14 | 0.10 | (2) | 0.14 | 0.24 | (0.07 | ) | (0.44 | ) | (0.51 | ) | |||||||||||||||||
Year ended 12-31-2013 | 5.33 | 0.07 | (2) | 1.02 | 1.09 | (0.07 | ) | (0.21 | ) | (0.28 | ) | |||||||||||||||||
Year ended 12-31-2012 | 5.06 | 0.07 | (2) | 0.40 | 0.47 | (0.05 | ) | (0.15 | ) | (0.20 | ) | |||||||||||||||||
Year ended 12-31-2011 | 5.27 | 0.06 | (2) | (0.13 | ) | (0.07 | ) | (0.06 | ) | (0.08 | ) | (0.14 | ) | |||||||||||||||
Year ended 12-31-2010 | 4.76 | 0.06 | 0.53 | 0.59 | (0.03 | ) | (0.05 | ) | (0.08 | ) | ||||||||||||||||||
Pathfinder Moderately Aggressive | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 6.14 | 0.09 | (2) | 0.12 | 0.21 | (0.14 | ) | (0.53 | ) | (0.67 | ) | |||||||||||||||||
Year ended 12-31-2014 | 6.38 | 0.14 | (2) | 0.14 | 0.28 | (0.07 | ) | (0.45 | ) | (0.52 | ) | |||||||||||||||||
Year ended 12-31-2013 | 5.45 | 0.07 | (2) | 1.19 | 1.26 | (0.07 | ) | (0.26 | ) | (0.33 | ) | |||||||||||||||||
Year ended 12-31-2012 | 5.09 | 0.08 | (2) | 0.46 | 0.54 | (0.04 | ) | (0.14 | ) | (0.18 | ) | |||||||||||||||||
Year ended 12-31-2011 | 5.37 | 0.05 | (2) | (0.21 | ) | (0.16 | ) | (0.04 | ) | (0.08 | ) | (0.12 | ) | |||||||||||||||
Year ended 12-31-2010 | 4.80 | 0.05 | 0.63 | 0.68 | (0.04 | ) | (0.07 | ) | (0.11 | ) | ||||||||||||||||||
Pathfinder Moderately Conservative | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 5.80 | 0.07 | (2) | 0.08 | 0.15 | (0.09 | ) | (0.45 | ) | (0.54 | ) | |||||||||||||||||
Year ended 12-31-2014 | 6.03 | 0.08 | (2) | 0.14 | 0.22 | (0.06 | ) | (0.39 | ) | (0.45 | ) | |||||||||||||||||
Year ended 12-31-2013 | 5.41 | 0.06 | (2) | 0.87 | 0.93 | (0.08 | ) | (0.23 | ) | (0.31 | ) | |||||||||||||||||
Year ended 12-31-2012 | 5.19 | 0.08 | (2) | 0.34 | 0.42 | (0.05 | ) | (0.15 | ) | (0.20 | ) | |||||||||||||||||
Year ended 12-31-2011 | 5.34 | 0.06 | (2) | (0.06 | ) | 0.00 | (0.06 | ) | (0.09 | ) | (0.15 | ) | ||||||||||||||||
Year ended 12-31-2010 | 4.94 | 0.06 | 0.47 | 0.53 | (0.05 | ) | (0.08 | ) | (0.13 | ) | ||||||||||||||||||
Pathfinder Moderate – Managed Volatility | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 5.39 | 0.07 | (2) | 0.06 | 0.13 | — | — | — | ||||||||||||||||||||
Year ended 12-31-2014 | 5.37 | 0.06 | (2) | 0.14 | 0.20 | (0.03 | ) | (0.15 | ) | (0.18 | ) | |||||||||||||||||
Year ended 12-31-2013(4) | 5.00 | (0.01 | )(2) | 0.38 | 0.37 | — | — | * | — | * | ||||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 5.29 | 0.08 | (2) | 0.08 | 0.16 | — | — | — | ||||||||||||||||||||
Year ended 12-31-2014 | 5.41 | 0.09 | (2) | 0.11 | 0.20 | (0.07 | ) | (0.25 | ) | (0.32 | ) | |||||||||||||||||
Year ended 12-31-2013(4) | 5.00 | (0.02 | )(2) | 0.43 | 0.41 | — | — | * | — | * | ||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 5.27 | 0.06 | (2) | 0.04 | 0.10 | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||
Year ended 12-31-2014 | 5.31 | 0.04 | (2) | 0.11 | 0.15 | (0.03 | ) | (0.16 | ) | (0.19 | ) | |||||||||||||||||
Year ended 12-31-2013(4) | 5.00 | (0.02 | )(2) | 0.33 | 0.31 | — | — | * | — | * |
* | Not shown due to rounding. |
(1) | Based on net asset value. Total returns for periods less than one year are not annualized. |
(2) | Based on average weekly shares outstanding. |
(3) | Annualized. |
(4) | For the period from August 1, 2013 (commencement of operations of the Portfolio) through December 31, 2013. |
(5) | Ratios of expenses to average net assets excluding offering cost was 0.26%. |
(6) | Ratios of expenses to average net assets excluding offering cost was 0.29%. |
(7) | Ratios of expenses to average net assets excluding offering cost was 0.33%. |
(8) | Ratios of expenses to average net assets excluding offering cost was 0.36%. |
(9) | Ratios of expenses to average net assets excluding offering cost was 0.35%. |
122 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Net Asset Value, End of Period | Total Return(1) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||
Pathfinder Aggressive | ||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | $ | 5.25 | 4.36 | % | $ | 89 | 0.08 | %(3) | 2.78 | %(3) | 9 | % | ||||||||||||
Year ended 12-31-2014 | 5.73 | 4.86 | 85 | 0.07 | 2.73 | 28 | ||||||||||||||||||
Year ended 12-31-2013 | 5.95 | 27.13 | 86 | 0.07 | 0.96 | 38 | ||||||||||||||||||
Year ended 12-31-2012 | 5.04 | 12.18 | 69 | 0.08 | 1.41 | 38 | ||||||||||||||||||
Year ended 12-31-2011 | 4.77 | -4.15 | 65 | 0.07 | 0.85 | 18 | ||||||||||||||||||
Year ended 12-31-2010 | 5.16 | 15.53 | 72 | 0.08 | 1.35 | 24 | ||||||||||||||||||
Pathfinder Conservative | ||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 5.23 | 1.89 | 121 | 0.07 | (3) | 2.20 | (3) | 10 | ||||||||||||||||
Year ended 12-31-2014 | 5.54 | 3.39 | 122 | 0.06 | 1.13 | 30 | ||||||||||||||||||
Year ended 12-31-2013 | 5.77 | 14.75 | 121 | 0.07 | 1.15 | 66 | ||||||||||||||||||
Year ended 12-31-2012 | 5.33 | 6.95 | 107 | 0.07 | 1.57 | 36 | ||||||||||||||||||
Year ended 12-31-2011 | 5.18 | 0.75 | 88 | 0.07 | 1.17 | 24 | ||||||||||||||||||
Year ended 12-31-2010 | 5.32 | 9.38 | 71 | 0.08 | 1.65 | 26 | ||||||||||||||||||
Pathfinder Moderate | ||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 5.46 | 2.67 | 937 | 0.03 | (3) | 2.44 | (3) | 9 | ||||||||||||||||
Year ended 12-31-2014 | 5.87 | 4.24 | 928 | 0.03 | 1.69 | 24 | ||||||||||||||||||
Year ended 12-31-2013 | 6.14 | 20.83 | 922 | 0.03 | 1.15 | 39 | ||||||||||||||||||
Year ended 12-31-2012 | 5.33 | 9.53 | 733 | 0.04 | 1.43 | 24 | ||||||||||||||||||
Year ended 12-31-2011 | 5.06 | -1.46 | 582 | 0.04 | 1.15 | 16 | ||||||||||||||||||
Year ended 12-31-2010 | 5.27 | 12.63 | 461 | 0.04 | 1.52 | 18 | ||||||||||||||||||
Pathfinder Moderately Aggressive | ||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 5.68 | 3.22 | 1,113 | 0.03 | (3) | 3.00 | (3) | 8 | ||||||||||||||||
Year ended 12-31-2014 | 6.14 | 4.61 | 1,098 | 0.03 | 2.30 | 23 | ||||||||||||||||||
Year ended 12-31-2013 | 6.38 | 23.81 | 1,089 | 0.03 | 1.15 | 33 | ||||||||||||||||||
Year ended 12-31-2012 | 5.45 | 10.82 | 873 | 0.04 | 1.42 | 25 | ||||||||||||||||||
Year ended 12-31-2011 | 5.09 | -3.02 | 723 | 0.04 | 0.97 | 14 | ||||||||||||||||||
Year ended 12-31-2010 | 5.37 | 14.46 | 501 | 0.04 | 1.35 | 23 | ||||||||||||||||||
Pathfinder Moderately Conservative | ||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 5.41 | 2.31 | 288 | 0.04 | (3) | 2.39 | (3) | 10 | ||||||||||||||||
Year ended 12-31-2014 | 5.80 | 3.88 | 291 | 0.04 | 1.43 | 27 | ||||||||||||||||||
Year ended 12-31-2013 | 6.03 | 17.71 | 300 | 0.05 | 1.09 | 46 | ||||||||||||||||||
Year ended 12-31-2012 | 5.41 | 8.41 | 240 | 0.05 | 1.57 | 26 | ||||||||||||||||||
Year ended 12-31-2011 | 5.19 | 0.00 | 194 | 0.05 | 1.12 | 18 | ||||||||||||||||||
Year ended 12-31-2010 | 5.34 | 10.97 | 151 | 0.06 | 1.60 | 21 | ||||||||||||||||||
Pathfinder Moderate – Managed Volatility |
| |||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 5.52 | 2.41 | 300 | 0.26 | (3) | 2.40 | (3) | 6 | ||||||||||||||||
Year ended 12-31-2014 | 5.39 | 3.75 | 203 | 0.28 | (5) | 1.06 | 23 | |||||||||||||||||
Year ended 12-31-2013(4) | 5.37 | 7.50 | 34 | 0.58 | (3)(6) | -0.57 | (3) | 18 | ||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | ||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 5.45 | 2.92 | 56 | 0.33 | (3) | 2.84 | (3) | 6 | ||||||||||||||||
Year ended 12-31-2014 | 5.29 | 3.91 | 43 | 0.41 | (7) | 1.74 | 32 | |||||||||||||||||
Year ended 12-31-2013(4) | 5.41 | 8.27 | 10 | 1.04 | (3)(8) | -1.03 | (3) | 15 | ||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | ||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 5.36 | 1.96 | 40 | 0.36 | (3) | 2.20 | (3) | 9 | ||||||||||||||||
Year ended 12-31-2014 | 5.27 | 3.06 | 31 | 0.47 | (8) | 0.76 | 36 | |||||||||||||||||
Year ended 12-31-2013(4) | 5.31 | 6.29 | 10 | 0.98 | (3)(9) | -0.97 | (3) | 21 |
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 123 |
Table of Contents
FINANCIAL HIGHLIGHTS
Ivy Funds VIP | FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD |
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Asset Strategy | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | $ | 10.87 | $ | 0.06 | (3) | $ | 0.01 | $ | 0.07 | $ | (0.04 | ) | $ | (1.84 | ) | $ | (1.88 | ) | ||||||||||
Year ended 12-31-2014 | 13.25 | 0.11 | (3) | (0.78 | ) | (0.67 | ) | (0.06 | ) | (1.65 | ) | (1.71 | ) | |||||||||||||||
Year ended 12-31-2013 | 10.73 | 0.10 | (3) | 2.57 | 2.67 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
Year ended 12-31-2012 | 9.11 | 0.18 | (3) | 1.55 | 1.73 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year ended 12-31-2011 | 9.91 | 0.06 | (3) | (0.76 | ) | (0.70 | ) | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||
Year ended 12-31-2010 | 9.23 | 0.09 | 0.69 | 0.78 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||
Balanced | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 10.19 | 0.06 | (3) | 0.16 | 0.22 | (0.09 | ) | (1.37 | ) | (1.46 | ) | |||||||||||||||||
Year ended 12-31-2014 | 10.46 | 0.09 | (3) | 0.64 | 0.73 | (0.10 | ) | (0.90 | ) | (1.00 | ) | |||||||||||||||||
Year ended 12-31-2013 | 9.37 | 0.10 | (3) | 2.01 | 2.11 | (0.15 | ) | (0.87 | ) | (1.02 | ) | |||||||||||||||||
Year ended 12-31-2012 | 9.01 | 0.14 | (3) | 0.88 | 1.02 | (0.14 | ) | (0.52 | ) | (0.66 | ) | |||||||||||||||||
Year ended 12-31-2011 | 9.59 | 0.14 | (3) | 0.20 | 0.34 | (0.15 | ) | (0.77 | ) | (0.92 | ) | |||||||||||||||||
Year ended 12-31-2010 | 8.48 | 0.15 | 1.26 | 1.41 | (0.17 | ) | (0.13 | ) | (0.30 | ) | ||||||||||||||||||
Bond | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 5.34 | 0.05 | (3) | (0.06 | ) | (0.01 | ) | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||
Year ended 12-31-2014 | 5.49 | 0.13 | (3) | 0.10 | 0.23 | (0.21 | ) | (0.17 | ) | (0.38 | ) | |||||||||||||||||
Year ended 12-31-2013 | 5.90 | 0.14 | (3) | (0.26 | ) | (0.12 | ) | (0.20 | ) | (0.09 | ) | (0.29 | ) | |||||||||||||||
Year ended 12-31-2012 | 5.80 | 0.15 | (3) | 0.18 | 0.33 | (0.18 | ) | (0.05 | ) | (0.23 | ) | |||||||||||||||||
Year ended 12-31-2011 | 5.60 | 0.17 | (3) | 0.22 | 0.39 | (0.15 | ) | (0.04 | ) | (0.19 | ) | |||||||||||||||||
Year ended 12-31-2010 | 5.50 | 0.12 | 0.20 | 0.32 | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||||
Core Equity | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 14.18 | 0.03 | (3) | 0.17 | 0.20 | (0.05 | ) | (2.37 | ) | (2.42 | ) | |||||||||||||||||
Year ended 12-31-2014 | 15.13 | 0.05 | (3) | 1.24 | 1.29 | (0.08 | ) | (2.16 | ) | (2.24 | ) | |||||||||||||||||
Year ended 12-31-2013 | 12.38 | 0.07 | (3) | 3.88 | 3.95 | (0.07 | ) | (1.13 | ) | (1.20 | ) | |||||||||||||||||
Year ended 12-31-2012 | 11.70 | 0.07 | (3) | 1.96 | 2.03 | (0.08 | ) | (1.27 | ) | (1.35 | ) | |||||||||||||||||
Year ended 12-31-2011 | 11.91 | 0.07 | (3) | 0.15 | 0.22 | (0.04 | ) | (0.39 | ) | (0.43 | ) | |||||||||||||||||
Year ended 12-31-2010 | 9.95 | 0.04 | 2.02 | 2.06 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||||
Dividend Opportunities | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 9.05 | 0.05 | (3) | (0.12 | ) | (0.07 | ) | (0.11 | ) | (0.98 | ) | (1.09 | ) | |||||||||||||||
Year ended 12-31-2014 | 9.04 | 0.12 | (3) | 0.71 | 0.83 | (0.10 | ) | (0.72 | ) | (0.82 | ) | |||||||||||||||||
Year ended 12-31-2013 | 7.24 | 0.10 | (3) | 2.01 | 2.11 | (0.13 | ) | (0.18 | ) | (0.31 | ) | |||||||||||||||||
Year ended 12-31-2012 | 6.47 | 0.14 | (3) | 0.71 | 0.85 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year ended 12-31-2011 | 6.86 | 0.09 | (3) | (0.41 | ) | (0.32 | ) | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||
Year ended 12-31-2010 | 5.96 | 0.07 | 0.90 | 0.97 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||
Energy | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 6.51 | 0.00 | (3) | 0.05 | 0.05 | — | * | (0.03 | ) | (0.03 | ) | |||||||||||||||||
Year ended 12-31-2014 | 7.50 | (0.01 | )(3) | (0.73 | ) | (0.74 | ) | — | (0.25 | ) | (0.25 | ) | ||||||||||||||||
Year ended 12-31-2013 | 5.89 | (0.02 | )(3) | 1.65 | 1.63 | — | (0.02 | ) | (0.02 | ) | ||||||||||||||||||
Year ended 12-31-2012 | 5.81 | (0.01 | )(3) | 0.09 | 0.08 | — | — | — | ||||||||||||||||||||
Year ended 12-31-2011 | 6.39 | (0.02 | )(3) | (0.56 | ) | (0.58 | ) | — | — | — | ||||||||||||||||||
Year ended 12-31-2010 | 5.26 | (0.01 | ) | 1.16 | 1.15 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Global Bond | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 5.05 | 0.09 | (3) | (0.03 | ) | 0.06 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||
Year ended 12-31-2014 | 5.16 | 0.19 | (3) | (0.18 | ) | 0.01 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||
Year ended 12-31-2013 | 5.07 | 0.15 | (3) | (0.06 | ) | 0.09 | — | — | — | |||||||||||||||||||
Year ended 12-31-2012 | 4.90 | 0.15 | (3) | 0.16 | 0.31 | (0.14 | ) | — | * | (0.14 | ) | |||||||||||||||||
Year ended 12-31-2011 | 5.00 | 0.12 | (3) | (0.12 | ) | 0.00 | (0.10 | ) | — | (0.10 | ) | |||||||||||||||||
Year ended 12-31-2010(5) | 5.00 | 0.00 | 0.00 | 0.00 | — | — | — |
* | Not shown due to rounding. |
(1) | Based on net asset value. Total returns for periods less than one year are not annualized. |
(2) | Ratios excluding expense waivers are included only for periods in which the Portfolio had waived or reimbursed expenses. |
(3) | Based on average weekly shares outstanding. |
(4) | Annualized. |
(5) | For the period from August 23, 2010 (commencement of operations of the Portfolio) through December 31, 2010. |
124 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Net Asset End of Period | Total Return(1) | 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(2) | Ratio of Net Investment Income (Loss) to Average Net Assets Excluding Expense Waiver(2) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Asset Strategy | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | $ | 9.06 | 0.01 | % | $ | 1,512 | 0.98 | %(4) | 1.13 | %(4) | 0.99 | %(4) | 1.12 | %(4) | 34 | % | ||||||||||||||||
Year ended 12-31-2014 | 10.87 | -5.26 | 1,600 | 0.97 | 0.94 | 0.98 | 0.93 | 130 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 13.25 | 25.13 | 1,704 | 0.97 | 0.82 | 0.98 | 0.81 | 64 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 10.73 | 19.18 | 1,345 | 1.00 | 1.83 | 1.01 | 1.82 | 49 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 9.11 | -7.21 | 1,197 | 0.99 | 0.62 | 1.00 | 0.61 | 57 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 9.91 | 8.68 | 1,295 | 1.02 | 1.07 | 1.03 | 1.06 | 104 | ||||||||||||||||||||||||
Balanced | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 8.95 | 1.87 | 410 | 0.99 | (4) | 1.20 | (4) | — | — | 23 | ||||||||||||||||||||||
Year ended 12-31-2014 | 10.19 | 7.57 | 415 | 1.01 | 0.90 | — | — | 43 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 10.46 | 23.70 | 418 | 1.01 | 0.99 | — | — | 38 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 9.37 | 11.75 | 355 | 1.01 | 1.55 | — | — | 43 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 9.01 | 3.31 | 345 | 1.01 | 1.46 | — | — | 32 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 9.59 | 17.11 | 375 | 1.01 | 1.52 | — | — | 48 | ||||||||||||||||||||||||
Bond | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 5.18 | -0.20 | 299 | 0.79 | (4) | 1.94 | (4) | — | — | 37 | ||||||||||||||||||||||
Year ended 12-31-2014 | 5.34 | 4.34 | 310 | 0.78 | 2.43 | — | — | 28 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 5.49 | -2.09 | 314 | 0.78 | 2.50 | — | — | 48 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 5.90 | 5.78 | 511 | 0.78 | 2.62 | — | — | 33 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 5.80 | 7.31 | 640 | 0.77 | 3.02 | — | — | 65 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 5.60 | 6.04 | 508 | 0.78 | 2.25 | — | — | 49 | ||||||||||||||||||||||||
Core Equity | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 11.96 | 1.03 | 483 | 0.95 | (4) | 0.43 | (4) | 1.00 | (4) | 0.38 | (4) | 28 | ||||||||||||||||||||
Year ended 12-31-2014 | 14.18 | 9.68 | 505 | 0.95 | 0.34 | 1.00 | 0.29 | 57 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 15.13 | 33.51 | 500 | 0.96 | 0.55 | 1.01 | 0.50 | 70 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 12.38 | 18.60 | 391 | 0.97 | 0.60 | 1.02 | 0.55 | 53 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 11.70 | 1.66 | 376 | 0.96 | 0.57 | 1.01 | 0.52 | 70 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 11.91 | 20.89 | 429 | 0.96 | 0.33 | 1.01 | 0.28 | 100 | ||||||||||||||||||||||||
Dividend Opportunities | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 7.89 | -1.08 | 508 | 1.00 | (4) | 1.25 | (4) | — | — | 22 | ||||||||||||||||||||||
Year ended 12-31-2014 | 9.05 | 9.84 | 511 | 1.00 | 1.33 | — | — | 42 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 9.04 | 29.61 | 484 | 1.00 | 1.23 | — | — | 53 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 7.24 | 13.18 | 386 | 1.01 | 1.95 | — | — | 43 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 6.47 | -4.69 | 343 | 1.00 | 1.30 | — | — | 45 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 6.86 | 16.37 | 296 | 1.02 | 1.37 | — | — | 44 | ||||||||||||||||||||||||
Energy | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 6.53 | 0.92 | 134 | 1.21 | (4) | -0.02 | (4) | — | — | 15 | ||||||||||||||||||||||
Year ended 12-31-2014 | 6.51 | -10.56 | 118 | 1.18 | -0.10 | — | — | 21 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 7.50 | 27.76 | 99 | 1.23 | -0.24 | — | — | 33 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 5.89 | 1.38 | 67 | 1.25 | -0.18 | — | — | 38 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 5.81 | -9.08 | 62 | 1.24 | -0.36 | — | — | 14 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 6.39 | 21.96 | 44 | 1.28 | -0.25 | — | — | 27 | ||||||||||||||||||||||||
Global Bond | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 4.92 | 1.06 | 19 | 0.62 | (4) | 3.69 | (4) | 1.25 | (4) | 3.06 | (4) | 10 | ||||||||||||||||||||
Year ended 12-31-2014 | 5.05 | 0.18 | 19 | 0.48 | 3.69 | 1.11 | 3.06 | 37 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 5.16 | 1.74 | 16 | 0.63 | 3.00 | 1.26 | 2.37 | 26 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 5.07 | 6.41 | 11 | 0.67 | 3.01 | 1.29 | 2.39 | 28 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 4.90 | 0.08 | 7 | 0.81 | 2.45 | 1.43 | 1.83 | 46 | ||||||||||||||||||||||||
Year ended 12-31-2010(5) | 5.00 | -0.10 | 5 | 0.90 | (4) | 0.09 | (4) | 1.52 | (4) | -0.53 | (4) | 28 |
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 125 |
Table of Contents
FINANCIAL HIGHLIGHTS
Ivy Funds VIP | FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD |
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Global Growth | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | $ | 8.84 | $ | 0.03 | (3) | $ | 0.43 | $ | 0.46 | $ | (0.04 | ) | $ | (0.45 | ) | $ | (0.49 | ) | ||||||||||
Year ended 12-31-2014 | 9.81 | 0.09 | (3) | 0.01 | 0.10 | (0.21 | ) | (0.86 | ) | (1.07 | ) | |||||||||||||||||
Year ended 12-31-2013 | 8.46 | 0.09 | (3) | 1.51 | 1.60 | (0.08 | ) | (0.17 | ) | (0.25 | ) | |||||||||||||||||
Year ended 12-31-2012 | 7.86 | 0.09 | (3) | 1.22 | 1.31 | (0.17 | ) | (0.54 | ) | (0.71 | ) | |||||||||||||||||
Year ended 12-31-2011 | 8.51 | 0.14 | (3) | (0.76 | ) | (0.62 | ) | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||
Year ended 12-31-2010 | 7.49 | 0.08 | 1.01 | 1.09 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||
Global Natural Resources | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 4.72 | 0.01 | (3) | 0.00 | * | 0.01 | — | * | — | — | * | |||||||||||||||||
Year ended 12-31-2014 | 5.43 | 0.01 | (3) | (0.72 | ) | (0.71 | ) | — | — | — | ||||||||||||||||||
Year ended 12-31-2013 | 5.04 | 0.00 | *(3) | 0.39 | 0.39 | — | — | — | ||||||||||||||||||||
Year ended 12-31-2012 | 5.29 | (0.01 | )(3) | 0.07 | 0.06 | — | (0.31 | ) | (0.31 | ) | ||||||||||||||||||
Year ended 12-31-2011 | 6.73 | (0.01 | )(3) | (1.43 | ) | (1.44 | ) | — | — | — | ||||||||||||||||||
Year ended 12-31-2010 | 5.75 | (0.02 | ) | 1.00 | 0.98 | — | — | — | ||||||||||||||||||||
Growth | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 12.08 | 0.00 | *(3) | 0.65 | 0.65 | (0.01 | ) | (1.50 | ) | (1.51 | ) | |||||||||||||||||
Year ended 12-31-2014 | 13.33 | 0.01 | (3) | 1.28 | 1.29 | (0.06 | ) | (2.48 | ) | (2.54 | ) | |||||||||||||||||
Year ended 12-31-2013 | 10.63 | 0.03 | (3) | 3.65 | 3.68 | (0.05 | ) | (0.93 | ) | (0.98 | ) | |||||||||||||||||
Year ended 12-31-2012 | 10.19 | 0.05 | (3) | 1.20 | 1.25 | (0.01 | ) | (0.80 | ) | (0.81 | ) | |||||||||||||||||
Year ended 12-31-2011 | 10.38 | 0.01 | (3) | 0.22 | 0.23 | (0.04 | ) | (0.38 | ) | (0.42 | ) | |||||||||||||||||
Year ended 12-31-2010 | 9.28 | 0.04 | 1.12 | 1.16 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
High Income | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 3.85 | 0.13 | (3) | (0.04 | ) | 0.09 | (0.24 | ) | (0.04 | ) | (0.28 | ) | ||||||||||||||||
Year ended 12-31-2014 | 4.00 | 0.25 | (3) | (0.17 | ) | 0.08 | (0.20 | ) | (0.03 | ) | (0.23 | ) | ||||||||||||||||
Year ended 12-31-2013 | 3.80 | 0.27 | (3) | 0.12 | 0.39 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
Year ended 12-31-2012 | 3.42 | 0.29 | (3) | 0.33 | 0.62 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Year ended 12-31-2011 | 3.49 | 0.28 | (3) | (0.09 | ) | 0.19 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||
Year ended 12-31-2010 | 3.30 | 0.27 | 0.19 | 0.46 | (0.27 | ) | — | (0.27 | ) | |||||||||||||||||||
International Core Equity | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 18.00 | 0.17 | (3) | 1.26 | 1.43 | (0.24 | ) | (2.37 | ) | (2.61 | ) | |||||||||||||||||
Year ended 12-31-2014 | 19.75 | 0.24 | (3) | 0.10 | 0.34 | (0.51 | ) | (1.58 | ) | (2.09 | ) | |||||||||||||||||
Year ended 12-31-2013 | 16.07 | 0.27 | (3) | 3.70 | 3.97 | (0.29 | ) | — | (0.29 | ) | ||||||||||||||||||
Year ended 12-31-2012 | 14.67 | 0.25 | (3) | 1.64 | 1.89 | (0.36 | ) | (0.13 | ) | (0.49 | ) | |||||||||||||||||
Year ended 12-31-2011 | 17.29 | 0.32 | (3) | (2.68 | ) | (2.36 | ) | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||
Year ended 12-31-2010 | 15.38 | 0.26 | 1.86 | 2.12 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||
Limited-Term Bond | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 4.90 | 0.03 | (3) | 0.00 | * | 0.03 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||
Year ended 12-31-2014 | 4.89 | 0.07 | (3) | (0.02 | ) | 0.05 | (0.03 | ) | (0.01 | ) | (0.04 | ) | ||||||||||||||||
Year ended 12-31-2013 | 4.92 | 0.05 | (3) | (0.08 | ) | (0.03 | ) | — | — | * | — | * | ||||||||||||||||
Year ended 12-31-2012 | 5.03 | 0.07 | (3) | 0.10 | 0.17 | (0.15 | ) | (0.13 | ) | (0.28 | ) | |||||||||||||||||
Year ended 12-31-2011 | 4.96 | 0.06 | (3) | 0.09 | 0.15 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year ended 12-31-2010(5) | 5.00 | 0.02 | (0.06 | ) | (0.04 | ) | — | — | — | |||||||||||||||||||
Micro Cap Growth | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 26.73 | (0.13 | )(3) | 1.85 | 1.72 | — | (4.16 | ) | (4.16 | ) | ||||||||||||||||||
Year ended 12-31-2014 | 31.78 | (0.32 | )(3) | (0.66 | ) | (0.98 | ) | — | (4.07 | ) | (4.07 | ) | ||||||||||||||||
Year ended 12-31-2013 | 21.13 | (0.31 | )(3) | 12.05 | 11.74 | — | (1.09 | ) | (1.09 | ) | ||||||||||||||||||
Year ended 12-31-2012 | 20.56 | (0.20 | )(3) | 2.57 | 2.37 | — | (1.80 | ) | (1.80 | ) | ||||||||||||||||||
Year ended 12-31-2011 | 22.11 | (0.26 | )(3) | (1.29 | ) | (1.55 | ) | — | — | — | ||||||||||||||||||
Year ended 12-31-2010 | 15.70 | (0.21 | ) | 6.62 | 6.41 | — | — | — |
* | Not shown due to rounding. |
(1) | Based on net asset value. Total returns for periods less than one year are not annualized. |
(2) | Ratios excluding expense waivers are included only for periods in which the Portfolio had waived or reimbursed expenses. |
(3) | Based on average weekly shares outstanding. |
(4) | Annualized. |
(5) | For the period from August 23, 2010 (commencement of operations of the Portfolio) through December 31, 2010. |
126 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Net Asset End of Period | Total Return(1) | 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(2) | Ratio of Net Investment Income (Loss) to Average Net Assets Excluding Expense Waiver(2) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Global Growth | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | $ | 8.81 | 4.92 | % | $ | 503 | 1.15 | %(4) | 0.74 | %(4) | 1.18 | %(4) | 0.71 | %(4) | 28 | % | ||||||||||||||||
Year ended 12-31-2014 | 8.84 | 0.96 | 431 | 1.13 | 0.93 | 1.16 | 0.90 | 65 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 9.81 | 19.23 | 419 | 1.14 | 1.06 | 1.17 | 1.03 | 49 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 8.46 | 18.05 | 478 | 1.15 | 1.09 | 1.18 | 1.06 | 44 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 7.86 | -7.32 | 266 | 1.15 | 1.67 | 1.18 | 1.64 | 61 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 8.51 | 14.79 | 331 | 1.17 | 1.22 | 1.20 | 1.19 | 75 | ||||||||||||||||||||||||
Global Natural Resources | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 4.73 | 0.30 | 145 | 1.35 | (4) | 0.41 | (4) | — | — | 17 | ||||||||||||||||||||||
Year ended 12-31-2014 | 4.72 | -13.04 | 146 | 1.33 | 0.12 | — | — | 31 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 5.43 | 7.80 | 173 | 1.35 | -0.02 | — | — | 134 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 5.04 | 1.89 | 180 | 1.36 | -0.13 | — | — | 102 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 5.29 | -21.45 | 184 | 1.37 | -0.14 | — | — | 100 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 6.73 | 17.06 | 236 | 1.37 | -0.31 | — | — | 117 | ||||||||||||||||||||||||
Growth | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 11.22 | 5.34 | 884 | 0.97 | (4) | -0.03 | (4) | 1.00 | (4) | -0.06 | (4) | 17 | ||||||||||||||||||||
Year ended 12-31-2014 | 12.08 | 11.81 | 871 | 0.96 | 0.10 | 0.99 | 0.07 | 26 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 13.33 | 36.46 | 1,201 | 0.96 | 0.30 | 0.99 | 0.27 | 43 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 10.63 | 12.75 | 992 | 0.97 | 0.47 | 1.00 | 0.44 | 47 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 10.19 | 2.12 | 859 | 0.97 | 0.07 | 1.00 | 0.04 | 42 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 10.38 | 12.58 | 917 | 0.97 | 0.42 | 1.00 | 0.39 | 64 | ||||||||||||||||||||||||
High Income | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 3.66 | 2.00 | 839 | 0.89 | (4) | 6.65 | (4) | 0.92 | (4) | 6.62 | (4) | 18 | ||||||||||||||||||||
Year ended 12-31-2014 | 3.85 | 1.90 | 818 | 0.88 | 6.31 | 0.91 | 6.28 | 55 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 4.00 | 10.50 | 689 | 0.88 | 6.99 | 0.93 | 6.94 | 84 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 3.80 | 18.64 | 449 | 0.89 | 7.86 | 0.94 | 7.81 | 91 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 3.42 | 5.26 | 272 | 0.90 | 8.01 | 0.95 | 7.96 | 78 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 3.49 | 14.86 | 243 | 0.91 | 8.27 | 0.96 | 8.22 | 108 | ||||||||||||||||||||||||
International Core Equity | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 16.82 | 7.31 | 741 | 1.17 | (4) | 1.81 | (4) | — | — | 53 | ||||||||||||||||||||||
Year ended 12-31-2014 | 18.00 | 1.44 | 656 | 1.16 | 1.28 | — | — | 102 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 19.75 | 24.91 | 672 | 1.16 | 1.51 | — | — | 92 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 16.07 | 13.33 | 622 | 1.17 | 1.64 | — | — | 85 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 14.67 | -13.88 | 521 | 1.19 | 1.96 | — | — | 100 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 17.29 | 14.09 | 580 | 1.19 | 1.70 | — | — | 107 | ||||||||||||||||||||||||
Limited-Term Bond | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 4.86 | 0.74 | 397 | 0.80 | (4) | 1.33 | (4) | — | — | 18 | ||||||||||||||||||||||
Year ended 12-31-2014 | 4.90 | 0.97 | 474 | 0.80 | 1.38 | — | — | 34 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 4.89 | -0.54 | 437 | 0.82 | 1.14 | — | — | 25 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 4.92 | 3.37 | 123 | 0.81 | 1.33 | 0.82 | 1.32 | 60 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 5.03 | 3.17 | 241 | 0.76 | 1.27 | 0.84 | 1.19 | 55 | ||||||||||||||||||||||||
Year ended 12-31-2010(5) | 4.96 | -0.85 | 142 | 0.76 | (4) | 0.92 | (4) | 0.84 | (4) | 0.84 | (4) | 15 | ||||||||||||||||||||
Micro Cap Growth | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 24.29 | 7.00 | 71 | 1.34 | (4) | -1.00 | (4) | — | — | 19 | ||||||||||||||||||||||
Year ended 12-31-2014 | 26.73 | -1.74 | 72 | 1.32 | -1.16 | — | — | 51 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 31.78 | 57.28 | 79 | 1.34 | -1.19 | — | — | 61 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 21.13 | 11.84 | 49 | 1.35 | -0.91 | — | — | 52 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 20.56 | -7.01 | 46 | 1.34 | -1.20 | — | — | 57 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 22.11 | 40.85 | 55 | 1.35 | -1.15 | — | — | 77 |
See Accompanying Notes to Financial Statements.
2015 | SEMIANNUAL REPORT | 127 |
Table of Contents
FINANCIAL HIGHLIGHTS
Ivy Funds VIP | FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD |
Net Asset Value, Beginning of Period | Net Investment Income (Loss) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Mid Cap Growth | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | $ | 10.84 | $ | (0.02 | )(3) | $ | 0.40 | $ | 0.38 | $ | — | $ | (0.89 | ) | $ | (0.89 | ) | |||||||||||
Year ended 12-31-2014 | 10.72 | (0.04 | )(3) | 0.82 | 0.78 | — | (0.66 | ) | (0.66 | ) | ||||||||||||||||||
Year ended 12-31-2013 | 8.54 | (0.04 | )(3) | 2.54 | 2.50 | — | (0.32 | ) | (0.32 | ) | ||||||||||||||||||
Year ended 12-31-2012 | 8.37 | (0.02 | )(3) | 1.07 | 1.05 | — | (0.88 | ) | (0.88 | ) | ||||||||||||||||||
Year ended 12-31-2011 | 8.69 | (0.03 | )(3) | 0.01 | (0.02 | ) | — | * | (0.30 | ) | (0.30 | ) | ||||||||||||||||
Year ended 12-31-2010 | 6.61 | 0.00 | 2.08 | 2.08 | — | * | — | — | * | |||||||||||||||||||
Money Market | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 1.00 | 0.00 | *(3) | 0.00 | 0.00 | * | — | * | — | — | * | |||||||||||||||||
Year ended 12-31-2014 | 1.00 | 0.00 | *(3) | 0.00 | 0.00 | * | — | * | — | — | * | |||||||||||||||||
Year ended 12-31-2013 | 1.00 | 0.00 | *(3) | 0.00 | 0.00 | * | — | * | — | — | * | |||||||||||||||||
Year ended 12-31-2012 | 1.00 | 0.00 | *(3) | 0.00 | * | 0.00 | * | — | * | — | — | * | ||||||||||||||||
Year ended 12-31-2011 | 1.00 | 0.00 | (3) | 0.00 | 0.00 | — | * | — | — | * | ||||||||||||||||||
Year ended 12-31-2010 | 1.00 | 0.00 | 0.00 | 0.00 | — | * | — | * | — | * | ||||||||||||||||||
Real Estate Securities | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 9.59 | 0.08 | (3) | (0.57 | ) | (0.49 | ) | (0.10 | ) | (0.92 | ) | (1.02 | ) | |||||||||||||||
Year ended 12-31-2014 | 7.90 | 0.10 | (3) | 2.20 | 2.30 | (0.09 | ) | (0.52 | ) | (0.61 | ) | |||||||||||||||||
Year ended 12-31-2013 | 7.89 | 0.08 | (3) | 0.02 | 0.10 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
Year ended 12-31-2012 | 6.75 | 0.08 | (3) | 1.11 | 1.19 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year ended 12-31-2011 | 6.48 | 0.06 | (3) | 0.26 | 0.32 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year ended 12-31-2010 | 5.14 | 0.05 | 1.40 | 1.45 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||
Science and Technology | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 25.02 | (0.07 | )(3) | 1.29 | 1.22 | — | (1.50 | ) | (1.50 | ) | ||||||||||||||||||
Year ended 12-31-2014 | 26.58 | (0.13 | )(3) | 0.74 | 0.61 | — | (2.17 | ) | (2.17 | ) | ||||||||||||||||||
Year ended 12-31-2013 | 18.10 | (0.11 | )(3) | 9.89 | 9.78 | — | (1.30 | ) | (1.30 | ) | ||||||||||||||||||
Year ended 12-31-2012 | 15.25 | (0.12 | )(3) | 4.22 | 4.10 | — | (1.25 | ) | (1.25 | ) | ||||||||||||||||||
Year ended 12-31-2011 | 16.73 | (0.13 | )(3) | (0.75 | ) | (0.88 | ) | — | (0.60 | ) | (0.60 | ) | ||||||||||||||||
Year ended 12-31-2010 | 15.30 | (0.08 | ) | 1.96 | 1.88 | — | (0.45 | ) | (0.45 | ) | ||||||||||||||||||
Small Cap Growth | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 12.15 | (0.05 | )(3) | 1.87 | 1.82 | — | (1.97 | ) | (1.97 | ) | ||||||||||||||||||
Year ended 12-31-2014 | 13.76 | (0.10 | )(3) | 0.11 | 0.01 | — | (1.62 | ) | (1.62 | ) | ||||||||||||||||||
Year ended 12-31-2013 | 9.60 | (0.10 | )(3) | 4.26 | 4.16 | — | — | — | ||||||||||||||||||||
Year ended 12-31-2012 | 9.34 | (0.08 | )(3) | 0.57 | 0.49 | — | (0.23 | ) | (0.23 | ) | ||||||||||||||||||
Year ended 12-31-2011 | 10.53 | (0.10 | )(3) | (1.00 | ) | (1.10 | ) | — | (0.09 | ) | (0.09 | ) | ||||||||||||||||
Year ended 12-31-2010 | 8.17 | (0.07 | ) | 2.43 | 2.36 | — | — | — | ||||||||||||||||||||
Small Cap Value | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 17.98 | 0.05 | (3) | 0.07 | 0.12 | (0.02 | ) | (1.40 | ) | (1.42 | ) | |||||||||||||||||
Year ended 12-31-2014 | 19.90 | (0.01 | )(3) | 1.19 | 1.18 | (0.02 | ) | (3.08 | ) | (3.10 | ) | |||||||||||||||||
Year ended 12-31-2013 | 16.04 | (0.01 | )(3) | 5.20 | 5.19 | (0.16 | ) | (1.17 | ) | (1.33 | ) | |||||||||||||||||
Year ended 12-31-2012 | 14.57 | 0.12 | (3) | 2.44 | 2.56 | (0.07 | ) | (1.02 | ) | (1.09 | ) | |||||||||||||||||
Year ended 12-31-2011 | 16.78 | 0.08 | (3) | (2.21 | ) | (2.13 | ) | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||
Year ended 12-31-2010 | 13.29 | 0.07 | 3.43 | 3.50 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||
Value | ||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 7.39 | 0.03 | (3) | (0.04 | ) | (0.01 | ) | (0.06 | ) | (0.94 | ) | (1.00 | ) | |||||||||||||||
Year ended 12-31-2014 | 7.82 | 0.05 | (3) | 0.71 | 0.76 | (0.09 | ) | (1.10 | ) | (1.19 | ) | |||||||||||||||||
Year ended 12-31-2013 | 5.97 | 0.05 | (3) | 2.03 | 2.08 | (0.05 | ) | (0.18 | ) | (0.23 | ) | |||||||||||||||||
Year ended 12-31-2012 | 5.57 | 0.07 | (3) | 0.91 | 0.98 | (0.08 | ) | (0.50 | ) | (0.58 | ) | |||||||||||||||||
Year ended 12-31-2011 | 6.05 | 0.06 | (3) | (0.50 | ) | (0.44 | ) | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||
Year ended 12-31-2010 | 5.14 | 0.03 | 0.93 | 0.96 | (0.05 | ) | — | (0.05 | ) |
* | Not shown due to rounding. |
(1) | Based on net asset value. Total returns for periods less than one year are not annualized. |
(2) | Ratios excluding expense waivers are included only for periods in which the Portfolio had waived or reimbursed expenses. |
(3) | Based on average weekly shares outstanding. |
(4) | Annualized. |
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Net Asset End of Period | Total Return(1) | 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(2) | Ratio of Net Investment Income (Loss) to Average Net Assets Excluding Expense Waiver(2) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Mid Cap Growth | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | $ | 10.33 | 3.30 | % | $ | 597 | 1.10 | %(4) | -0.41 | %(4) | 1.15 | %(4) | -0.46 | %(4) | 21 | % | ||||||||||||||||
Year ended 12-31-2014 | 10.84 | 7.87 | 557 | 1.10 | -0.34 | 1.15 | -0.39 | 43 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 10.72 | 29.94 | 426 | 1.10 | -0.36 | 1.16 | -0.42 | 35 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 8.54 | 13.56 | 264 | 1.12 | -0.27 | 1.17 | -0.32 | 35 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 8.37 | -0.56 | 173 | 1.16 | -0.32 | 1.18 | -0.34 | 49 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 8.69 | 31.56 | 142 | 1.17 | 0.01 | 1.19 | -0.01 | 44 | ||||||||||||||||||||||||
Money Market | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 1.00 | 0.02 | 545 | 0.18 | (4) | 0.02 | (4) | 0.45 | (4) | -0.25 | (4) | — | ||||||||||||||||||||
Year ended 12-31-2014 | 1.00 | 0.02 | 512 | 0.15 | 0.02 | 0.45 | -0.28 | — | ||||||||||||||||||||||||
Year ended 12-31-2013 | 1.00 | 0.02 | 605 | 0.19 | 0.02 | 0.45 | -0.24 | — | ||||||||||||||||||||||||
Year ended 12-31-2012 | 1.00 | 0.02 | 245 | 0.30 | 0.02 | 0.47 | -0.15 | — | ||||||||||||||||||||||||
Year ended 12-31-2011 | 1.00 | 0.02 | 223 | 0.28 | 0.02 | 0.47 | -0.17 | — | ||||||||||||||||||||||||
Year ended 12-31-2010 | 1.00 | 0.08 | 178 | 0.42 | 0.06 | 0.49 | -0.01 | — | ||||||||||||||||||||||||
Real Estate Securities | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 8.08 | -5.65 | 46 | 1.22 | (4) | 1.68 | (4) | 1.31 | (4) | 1.59 | (4) | 32 | ||||||||||||||||||||
Year ended 12-31-2014 | 9.59 | 30.17 | 52 | 1.21 | 1.16 | 1.30 | 1.07 | 81 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 7.90 | 1.13 | 40 | 1.24 | 1.01 | 1.33 | 0.92 | 43 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 7.89 | 17.72 | 40 | 1.33 | 1.03 | 1.34 | 1.02 | 47 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 6.75 | 5.01 | 39 | 1.33 | 0.87 | — | — | 54 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 6.48 | 28.51 | 40 | 1.36 | 0.75 | — | — | 67 | ||||||||||||||||||||||||
Science and Technology | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 24.74 | 4.68 | 619 | 1.14 | (4) | -0.51 | (4) | 1.16 | (4) | -0.53 | (4) | 18 | ||||||||||||||||||||
Year ended 12-31-2014 | 25.02 | 2.91 | 586 | 1.13 | -0.51 | 1.15 | -0.53 | 29 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 26.58 | 56.39 | 570 | 1.14 | -0.49 | 1.16 | -0.51 | 51 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 18.10 | 27.83 | 334 | 1.15 | -0.67 | 1.17 | -0.69 | 44 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 15.25 | -5.77 | 279 | 1.16 | -0.77 | 1.18 | -0.79 | 50 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 16.73 | 12.75 | 326 | 1.16 | -0.48 | 1.18 | -0.50 | 27 | ||||||||||||||||||||||||
Small Cap Growth | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 12.00 | 15.26 | 476 | 1.13 | (4) | -0.77 | (4) | 1.15 | (4) | -0.79 | (4) | 40 | ||||||||||||||||||||
Year ended 12-31-2014 | 12.15 | 1.59 | 426 | 1.14 | -0.80 | 1.16 | -0.82 | 85 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 13.76 | 43.36 | 560 | 1.14 | -0.84 | 1.16 | -0.86 | 74 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 9.60 | 5.17 | 448 | 1.14 | -0.80 | 1.16 | -0.82 | 85 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 9.34 | -10.60 | 350 | 1.14 | -0.95 | 1.16 | -0.97 | 80 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 10.53 | 28.85 | 419 | 1.14 | -0.83 | 1.16 | -0.85 | 60 | ||||||||||||||||||||||||
Small Cap Value | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 16.68 | 0.61 | 348 | 1.16 | (4) | 0.61 | (4) | — | — | 72 | ||||||||||||||||||||||
Year ended 12-31-2014 | 17.98 | 7.05 | 354 | 1.15 | -0.10 | — | — | 81 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 19.90 | 33.53 | 289 | 1.16 | -0.09 | — | — | 54 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 16.04 | 18.63 | 246 | 1.17 | 0.78 | — | — | 64 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 14.57 | -12.79 | 228 | 1.17 | 0.50 | — | — | 59 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 16.78 | 26.41 | 244 | 1.17 | 0.54 | — | — | 78 | ||||||||||||||||||||||||
Value | ||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2015 (unaudited) | 6.38 | -0.34 | 405 | 1.00 | (4) | 0.84 | (4) | 1.01 | (4) | 0.83 | (4) | 48 | ||||||||||||||||||||
Year ended 12-31-2014 | 7.39 | 10.94 | 416 | 1.00 | 0.72 | 1.01 | 0.71 | 76 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 7.82 | 35.34 | 372 | 1.00 | 0.76 | 1.01 | 0.75 | 63 | ||||||||||||||||||||||||
Year ended 12-31-2012 | 5.97 | 18.88 | 308 | 1.00 | 1.20 | 1.02 | 1.18 | 67 | ||||||||||||||||||||||||
Year ended 12-31-2011 | 5.57 | -7.32 | 287 | 1.00 | 1.04 | 1.01 | 1.03 | 60 | ||||||||||||||||||||||||
Year ended 12-31-2010 | 6.05 | 18.71 | 316 | 1.01 | 0.52 | 1.02 | 0.51 | 51 |
See Accompanying Notes to Financial Statements.
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Ivy Funds VIP | JUNE 30, 2015 (UNAUDITED) |
1. | ORGANIZATION |
Ivy Funds Variable Insurance Portfolios, a Delaware statutory trust (the “Trust”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is divided into 29 series (each a “Portfolio”). The assets belonging to each Portfolio, except Pathfinder Aggressive, Pathfinder Conservative, Pathfinder Moderate, Pathfinder Moderately Aggressive and Pathfinder Moderately Conservative (collectively, the “Pathfinder Portfolios”) and Pathfinder Moderate – Managed Volatility, Pathfinder Moderately Aggressive – Managed Volatility and Pathfinder Moderately Conservative – Managed Volatility (collectively, the “Managed Volatility Portfolios”), are held separately by the custodian. The investment objective, policies and risk factors of each Portfolio are described more fully in the Prospectus and Statement of Additional Information (“SAI”). Each Portfolio’s investment adviser is Waddell & Reed Investment Management Company (“WRIMCO”).
2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by each Portfolio.
Security Transactions and Related Investment Income. Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Realized gains and losses are calculated on the identified cost basis. Interest income is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Portfolio is informed of the ex-dividend date. All or a portion of the distributions received from a real estate investment trust or publicly traded partnership may be designated as a reduction of cost of the related investment and/or realized gain.
Foreign Currency Translation. Each Portfolio’s accounting records are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies are translated into U.S. dollars daily, using foreign exchange rates obtained from an independent pricing service authorized by the Board of Trustees of the Trust (the “Board”). Purchases and sales of investment securities and accruals of income and expenses are translated at the rate of exchange prevailing on the date of the transaction. For assets and liabilities other than investments in securities, net realized and unrealized gains and losses from foreign currency translation arise from changes in currency exchange rates. Each Portfolio combines fluctuations from currency exchange rates and fluctuations in value when computing net realized gain (loss) and net change in unrealized appreciation (depreciation) on investments. Foreign exchange rates are typically valued as of the close of the New York Stock Exchange (“NYSE”), normally 4:00 P.M. Eastern time, on each day the NYSE is open for trading.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders are recorded by each Portfolio on the business day following record date. Net investment income dividends and capital gains distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America (“U.S. GAAP”). If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a tax return of capital.
Income Taxes. It is the policy of each Portfolio to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. In addition, each Portfolio intends to pay distributions as required to avoid imposition of excise tax. Accordingly, no provision has been made for Federal income taxes. The Portfolios file income tax returns in U.S. federal and applicable state jurisdictions. The Portfolios’ tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax returns. Management of the Trust periodically reviews all tax positions to assess that it is more likely than not that the position would be sustained upon examination by the relevant tax authority based on the technical merits of each position. As of the date of these financial statements, management believes that no liability for unrecognized tax positions is required.
Segregation and Collateralization. In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”) require that a Portfolio either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, financial futures contracts, foreign currency exchange contracts, options written, securities with extended settlement periods and swaps), the Portfolio will segregate collateral or designate on its books and records cash or other liquid securities having a value at least equal to the amount that is required to be physically segregated for the benefit of the counterparty. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party has requirements to deliver/deposit cash or securities as collateral for certain investments. Certain countries require that cash reserves be held while investing in companies incorporated in that country. These cash reserves and cash collateral that has been pledged to cover obligations of the Portfolios under derivative contracts, if any, will be reported separately on the Statement of Assets and Liabilities as “Restricted cash.” Securities collateral pledged for the same purpose, if any, is noted on the Schedule of Investments.
Concentration of Market and Credit Risk. In the normal course of business, the Portfolios invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Portfolios may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Portfolios; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Portfolios may be exposed to counterparty credit risk, or the risk that an entity with which the Portfolios have unsettled or open transactions may fail to or be unable to perform on its commitments. The Portfolios manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Portfolios to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Portfolios’
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exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded on the Portfolios’ Statement of Assets and Liabilities, less any collateral held by the Portfolios.
Certain Portfolios may hold high-yield and/or non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Portfolios may acquire securities in default and are not obligated to dispose of securities whose issuers subsequently default.
Certain Portfolios may enter into financial instrument transactions (such as swaps, futures, options and other derivatives) that may have off-balance sheet market risk. Off-balance sheet market risk exists when the maximum potential loss on a particular financial instrument is greater than the value of such financial instrument, as reflected on the Statement of Assets and Liabilities.
If a Portfolio invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in financial derivatives that provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Portfolio, or, in the case of hedging positions, that the Portfolio’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad.
Inflation-Indexed Bonds. Certain Portfolios may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statement of Operations, even though investors do not receive their principal until maturity.
Interest Only Obligations. These securities entitle the owner to receive only the interest portion from a bond, Treasury note or pool of mortgages. These securities are generally created by a third party separating a bond or pool of mortgages into distinct interest-only and principal-only securities. As the principal (par) amount of a bond or pool of mortgages is paid down, the amount of interest income earned by the owner will decline as well.
Loans. Certain Portfolios may invest in loans, the interest rates of which float or adjust periodically based upon a specified adjustment schedule, benchmark indicator, or prevailing interest rates, the debtor of which may be a domestic or foreign corporation, partnership or other entity (“Borrower”). Loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates generally include prime rates of one or more major U.S. banks, London Interbank Offered Rate (“LIBOR”) rates or certificates of deposit rates. Loans often require prepayments from excess cash flow or permit the Borrower to repay at its election. The degree to which Borrowers repay cannot be predicted with accuracy. As a result, the actual maturity may be substantially less than the stated maturities. Loans are exempt from registration under the Securities Act of 1933, as amended, may contain certain restrictions on resale, and cannot be sold publicly. A Portfolio’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties.
When a Portfolio purchases assignments, it acquires all the rights and obligations under the loan agreement of the assigning lender. Assignments may, however, be arranged through private negotiations between potential assignees and potential assignors, and the rights and obligations acquired by the purchaser of an assignment may differ from, and be more limited than those held by the assigning lender. When a Portfolio purchases a participation of a loan interest, the Portfolio typically enters into a contractual agreement with the lender or other third party selling the participation. A participation interest in loans includes the right to receive payments of principal, interest and any fees to which it is entitled from the lender and only upon receipt by the lender of payments from the Borrower, but not from the Borrower directly. When investing in a participation interest, if a Borrower is unable to meet its obligations under a loan agreement, a Portfolio generally has no right to enforce compliance with the terms of the loan agreement. As a result, the Portfolio assumes the credit risk of the Borrower, the selling participant, and any other persons that are interpositioned between the Portfolio and the Borrower. If the lead lender in a typical lending syndicate becomes insolvent, enters Federal Deposit Insurance Corporation (“FDIC”) receivership or, if not FDIC insured, enters into bankruptcy, the Portfolio may incur certain costs and delays in receiving payment or may suffer a loss of principal and/or interest.
Payment In-Kind Securities. Certain Portfolios may invest in payment in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statement of Assets and Liabilities.
Securities on a When-Issued or Delayed Delivery Basis. Certain Portfolios may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by a Portfolio on a when-issued basis normally take place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of a Portfolio’s net asset value (“NAV”) to the extent the Portfolio executes such transactions while remaining substantially fully invested. When a Portfolio engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Portfolio to lose the opportunity to obtain or
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dispose of the security at a price and yield WRIMCO, or the Portfolio’s investment subadviser, as applicable, consider advantageous. The Portfolio maintains internally designated assets with a value equal to or greater than the amount of its purchase commitments. The Portfolio may also sell securities that it purchased on a when-issued or delayed delivery basis prior to settlement of the original purchase.
Custodian Fees. “Custodian fees” on the Statement of Operations may include interest expense incurred by a Portfolio on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. A Portfolio pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by that Portfolio. The “Earnings credit” line item, if shown, represents earnings on cash balances maintained by that Portfolio during the period. Such interest expense and other custodian fees may be paid with these earnings.
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 Trustee according to the Deferred Fee Agreement entered into between the Trust and the Trustee(s). Each Portfolio records its portion of the deferred fees as a liability on the Statement of Assets and Liabilities. All fees paid in cash plus any appreciation (depreciation) in the underlying deferred plan are shown on the Statement of Operations. Additionally, fees paid to the office of the Chief Compliance Officer of the Portfolios are shown on the Statement of Operations.
Indemnifications. The Trust’s organizational documents provide current and former Trustees and Officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Trust. In the normal course of business, the Trust may also enter into contracts that provide general indemnification. The Trust’s maximum exposure under these arrangements is unknown and is dependent on future claims that may be made against the Trust. The risk of material loss from such claims is considered remote.
Basis of Preparation. Each Portfolio is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 (“ASC 946”). The accompanying financial statements were prepared in accordance with U.S. GAAP, including but not limited to ASC 946. U.S. GAAP requires the use of estimates made by management. Management believes that estimates and valuations are appropriate; however, actual results may differ from those estimates, and the valuations reflected in the accompanying financial statements may differ from the value ultimately realized upon sale or maturity.
New Rule Issuance. In July 2014, the SEC issued Final Rule Release No. 33-9616, Money Market Fund Reform; Amendments to Form PF, which amends the rules governing money market funds. The final amendments impose different implementation dates for the changes that certain money market funds will need to make. Management is currently evaluating the implication of these amendments and their impact of the Final Rule to the Portfolios’ financial statements and related disclosures.
Subsequent Events. Management has performed a review for subsequent events through the date this report was issued.
3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Each Portfolio calculates the NAV of its shares as of the close of the NYSE, normally 4:00 P.M. Eastern time, on each day the NYSE is open for trading.
For purposes of calculating the NAV, the portfolio securities and other assets 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 last reported sales prices, 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 authorized 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 Money Market Portfolio and short-term securities with maturities of 60 days or less 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. Effective July 1, 2015, short-term securities with maturities of 60 days or less held in all Portfolios (with the exception of Money Market Portfolio) are valued based on quotes that are obtained from an independent pricing service authorized 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 assets 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
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the values of a Portfolio’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available.
The Board has delegated to WRSCO the responsibility for monitoring significant events that may materially affect the values of a Portfolio’s securities or assets and for determining whether the value of the applicable securities or assets should be re-evaluated in light of such significant events. The Board has established a Valuation Committee to administer and oversee the valuation process, including the use of third party pricing vendors.
The Board has adopted methods for valuing securities and other assets 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 asset cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or asset will be determined in good faith by the Valuation Committee in accordance with the procedures adopted by the Board.
When a Portfolio uses these fair valuation methods applied by WRSCO that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Board or persons acting at their direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. The prices used by a Portfolio may differ from the value that will ultimately be realized at the time the securities were 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 input such as quoted prices, available in active markets, for identical assets or liabilities.
Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.
Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.
A description of the valuation techniques applied to the Portfolios’ major classes of assets and liabilities measured at fair value on a recurring basis follows:
Asset-Backed Securities and Mortgage-Backed Securities. The fair value of asset-backed securities and mortgage-backed securities are estimated using recently executed transactions and based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, and otherwise they would be categorized as Level 3.
Bullion. The fair value of bullion is at the last settlement price at the end of each day on the board of trade or exchange upon which they are traded and are categorized in Level 1 of the fair value hierarchy.
Corporate Bonds. The fair value of corporate bonds, as obtained from an independent pricing service, is estimated using various techniques, which consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (where observable), bond spreads, fundamental data relating to the issuer, and credit default swap spreads adjusted for any basis difference between cash and derivative instruments. While most corporate bonds are categorized in Level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they are categorized in Level 3 of the fair value hierarchy.
Derivative Instruments. Forward foreign currency contracts are valued based upon the closing prices of the forward currency rates determined at the close of the NYSE provided by an independent pricing service. Swaps are valued by an independent pricing service unless the price is unavailable, in
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which case they are valued at the price provided by a dealer in that security. Futures contracts traded on an exchange are generally valued at the settlement price. Listed options are ordinarily valued at the mean of the last bid and ask price provided by an independent pricing service unless the price is unavailable, in which case they are valued at a quotation obtained from a broker-dealer. Over the counter (“OTC”) options are ordinarily valued at the mean of the last bid and ask price provided by an independent pricing service for a comparable listed option unless such a price is unavailable, in which case they are valued at a quotation obtained from a broker-dealer. If no comparable listed option exists from which to obtain a price from an independent pricing service and a quotation cannot be obtained from a broker-dealer, the OTC option will be valued using a model reasonably designed to provide a current market price.
Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. OTC derivative contracts include forward foreign currency contracts, swap agreements, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices. Depending on the product and the terms of the transaction, the fair value of the OTC derivative products are modeled taking into account the counterparties’ creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets, as is the case with interest rate swap and option contracts. OTC derivative products valued using pricing models with significant observable inputs are categorized within Level 2 of the fair value hierarchy.
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 asked 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.
Restricted Securities. Restricted securities that are deemed to be both 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, 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 1 or 2 of the fair value hierarchy depending on the liquidity and transparency of the market.
Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information. Transfers between levels represent the values as of the beginning of the reporting period.
For fair valuations using unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during
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the period. The beginning of period timing recognition is used for the transfers between Levels of the Portfolios’ assets and liabilities. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the Notes to the Schedule of Investments for each respective Portfolio.
Net realized gain (loss) and net unrealized appreciation (depreciation), shown on the reconciliation of Level 3 investments if applicable, are included on the Statement of Operations in net realized gain (loss) on investments in unaffiliated and/or affiliated securities and in net change in unrealized appreciation (depreciation) on investments in unaffiliated and/or affiliated securities, respectively. Additionally, the net change in unrealized appreciation for all Level 3 investments still held as of June 30, 2015, if applicable, is included on the Statement of Operations in net change in unrealized appreciation (depreciation) on investments in unaffiliated and/or affiliated securities.
The Portfolios may own different types of assets that are classified as Level 2 or Level 3. Assets classified as Level 2 can have a variety of observable inputs, including, but not limited to, benchmark yields, reported trades, broker quotes, benchmark securities, and bid/offer quotations. These observable inputs are collected and utilized, primarily by an independent pricing service, in different evaluated pricing approaches depending upon the specific asset to determine a value.
4. | DERIVATIVE INSTRUMENTS ($ amounts in thousands unless indicated otherwise) |
The following disclosures contain information on why and how the Portfolios use derivative instruments, the associated risks of investing in derivative instruments, and how derivative instruments affect the Portfolios’ financial positions and results of operations when presented by primary underlying risk exposure.
Forward Foreign Currency Contracts. Each Portfolio, other than Money Market and the Pathfinder Portfolios, may enter into forward foreign currency contracts (“forward contracts”) for the purchase or sale of a foreign currency at a negotiated rate at a future date. Forward contracts are reported on a schedule following the Schedule of Investments. Forward contracts will be valued daily based upon the closing prices of the forward currency rates provided by an independent pricing service determined at the close of the NYSE as provided by a bank, dealer or independent pricing service. The resulting unrealized appreciation and depreciation is reported on the Statement of Assets and Liabilities as a receivable or payable and on the Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) on the Statement of Operations.
Risks to a Portfolio related to the use of such contracts include both market and credit risk. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. Credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, a Portfolio’s maximum loss will consist of the aggregate unrealized gain on appreciated contracts that is not collateralized.
Futures Contracts. Each Portfolio, other than Money Market and the Pathfinder Portfolios, may engage in buying and selling futures contracts. Upon entering into a futures contract, the Portfolio is required to deposit, in a segregated account, an amount equal to a varying specified percentage of the contract amount. This amount is known as the initial margin. Subsequent payments (variation margins) are made or received by the Portfolio each day, dependent on the daily fluctuations in the value of the underlying debt security or index.
Futures contracts are reported on a schedule following the Schedule of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are identified on the Schedule of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted on the Statement of Assets and Liabilities. The net change in unrealized appreciation (depreciation) is reported on the Statement of Operations. Realized gains (losses) are reported on the Statement of Operations at the closing or expiration of futures contracts.
Risks of entering into futures contracts include the possibility of loss of securities or cash held as collateral, that there may be an illiquid market where the Portfolio is unable to close the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Portfolio’s securities.
Option Contracts. Options purchased by a Portfolio are accounted for in the same manner as portfolio securities. The cost of instruments acquired through the exercise of call options is increased by the premium paid to purchase the call. The proceeds from instruments sold through the exercise of put options are decreased by the premium paid to purchase the put.
When a Portfolio writes (sells) an option, an amount equal to the premium received by the Portfolio is recorded as a liability. The amount of the liability is subsequently adjusted to reflect the current value of the option written. When an option expires on its stipulated expiration date or a Portfolio enters into a closing purchase transaction, the Portfolio realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the call option was sold), and the liability related to such option is extinguished. When a written call option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining whether a Portfolio has realized a gain or loss. For each Portfolio, when a written put is exercised, the cost basis of the instruments purchased by a Portfolio is reduced by the amount of the premium received.
Investments in options, whether purchased or written, involve certain risks. Writing put options and purchasing call options may increase a Portfolio’s exposure to the underlying instrument. With written options, there may be times when a Portfolio will be required to purchase or sell instruments to meet its obligation under the option contract where the required action is not beneficial to the Portfolio, due to unfavorable movement of the market price of the underlying instrument. Additionally, to the extent a Portfolio enters into OTC option transactions with counterparties, the Portfolio will be exposed to the risk that counterparties to these OTC transactions will be unable to meet their obligations under the terms of the transaction.
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Swap Agreements. Each Portfolio, other than Money Market and the Pathfinder Portfolios, may invest in swap agreements. Swaps are marked to market daily and changes in value are recorded as unrealized appreciation (depreciation) on the Statement of Operations.
Total return swaps involve a commitment to pay periodic interest payments in exchange for a market-linked return based on a security or a basket of securities representing a variety of securities or a particular index. To the extent the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Portfolio will receive a payment from or make a payment to the counterparty. Payments received or made by the Portfolio are recorded as realized gain or loss on the Statement of Operations. Any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as swap premiums paid and swap premiums received, respectively, if any, on the Statement of Assets and Liabilities and amortized over the term of the swap. A liquidation payment received or made at the termination or maturity of the swap is recorded as realized gain or loss on the Statement of Operations.
The creditworthiness of the counterparty with which a Portfolio enters into a swap agreement is monitored by WRIMCO. If a firm’s creditworthiness declines, the value of the agreement would likely decline, potentially resulting in losses. If a default occurs by the counterparty to such a transaction, the Portfolio will have contractual remedies pursuant to the agreement related to the transaction. The maximum loss a Portfolio may incur consists of the aggregate unrealized gain on appreciated contracts that is not collateralized.
Collateral and rights of offset. A Portfolio may mitigate credit risk with respect to OTC derivative counterparties through credit support annexes (“CSA”) included with an International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreement which is the standard contract governing most derivative transactions between the Portfolio and each of its counterparties. The CSA allows the Portfolio and its counterparty to offset certain derivative financial instruments’ payables and/or receivables against each other and/or with collateral, which is generally held by the Portfolio’s custodian. The amount of collateral moved to/from applicable counterparties is based upon minimum transfer amounts specified in the CSA. To the extent amounts due to the Portfolio from its counterparties are not fully collateralized contractually or otherwise, the Portfolio bears the risk of loss from counterparty non-performance. See Note 2 “Segregation and Collateralization” for additional information with respect to collateral practices.
Offsetting of Assets and Liabilities. FASB Accounting Standards Update 2011-11, Disclosures about Offsetting Assets and Liabilities, requires an entity that has financial instruments that are either (1) offset or (2) subject to an enforceable master netting arrangement or similar agreement to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position.
The following tables present financial instruments subject to master netting agreements as of June 30, 2015:
Assets
Gross Amounts Not Offset on the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||
Portfolio | Gross Amounts of Recognized Assets | Gross Amounts Offset on the Statement of Assets and Liabilities | Net Amounts of Assets Presented on the Statement of Assets and Liabilities | Financial Instruments and Derivatives Available for Offset | Non-Cash Collateral Received | Cash Collateral Received | Net Amount Receivable | |||||||||||||||||||||
Asset Strategy | ||||||||||||||||||||||||||||
Investments in unaffiliated securities at value* | $ | 539 | $ | — | $ | 539 | $ | (539 | ) | $ | — | $ | — | $ | — | |||||||||||||
Unrealized appreciation on forward foreign currency contracts | 517 | — | 517 | (517 | ) | — | — | — | ||||||||||||||||||||
Total | $ | 1,056 | $ | — | $ | 1,056 | $ | (1,056 | ) | $ | — | $ | — | $ | — | |||||||||||||
Global Natural Resources | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts(1) | $ | 51 | $ | — | $ | 51 | $ | (51 | ) | $ | — | $ | — | $ | — | |||||||||||||
High Income | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts(1) | $ | 494 | $ | — | $ | 494 | $ | (76 | ) | $ | — | $ | — | $ | 418 | |||||||||||||
Mid Cap Growth | ||||||||||||||||||||||||||||
Investments in unaffiliated securities at value* | $ | 1,556 | $ | — | $ | 1,556 | $ | (291 | ) | $ | (295 | ) | $ | (684 | ) | $ | 286 | |||||||||||
Science and Technology | ||||||||||||||||||||||||||||
Investments in unaffiliated securities at value* | $ | 85 | $ | — | $ | 85 | $ | (85 | ) | $ | — | $ | — | $ | — |
* Purchased options are reported as investments in unaffiliated securities on the Statement of Assets and Liabilities.
(1) | Amounts include forward contracts that have an offset to an open and close contract, but have not settled. These amounts are included on the Statement of Assets and Liabilities line item for Investment securities sold receivable. |
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Liabilities
Gross Amounts Not Offset on the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||
Portfolio | Gross Amounts of Recognized Liabilities | Gross Amounts Offset on the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented on the Statement of Assets and Liabilities | Financial Instruments and Derivatives Available for Offset | Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount Payable | |||||||||||||||||||||
Asset Strategy | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts(1) | $ | 713 | $ | — | $ | 713 | $ | — | $ | (629 | ) | $ | — | $ | 84 | |||||||||||||
Written options at value | 6,716 | — | 6,716 | (1,056 | ) | (4,624 | ) | — | 1,036 | |||||||||||||||||||
Total | $ | 7,429 | $ | — | $ | 7,429 | $ | (1,056 | ) | $ | (5,253 | ) | $ | — | $ | 1,120 | ||||||||||||
Global Bond | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts(1) | $ | 7 | $ | — | $ | 7 | $ | — | $ | — | $ | — | $ | 7 | ||||||||||||||
Global Natural Resources | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts(1) | $ | 267 | $ | — | $ | 267 | $ | (51 | ) | $ | (173 | ) | $ | — | $ | 43 | ||||||||||||
High Income | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts(1) | $ | 88 | $ | — | $ | 88 | $ | (76 | ) | $ | — | $ | — | $ | 12 | |||||||||||||
International Core Equity | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | $ | 132 | $ | — | $ | 132 | $ | — | $ | — | $ | — | $ | 132 | ||||||||||||||
Mid Cap Growth | ||||||||||||||||||||||||||||
Written options at value | $ | 784 | $ | — | $ | 784 | $ | (291 | ) | $ | (490 | ) | $ | — | $ | 3 | ||||||||||||
Science and Technology | ||||||||||||||||||||||||||||
Written options at value | $ | 347 | $ | — | $ | 347 | $ | (85 | ) | $ | — | $ | — | $ | 262 |
(1) | Amounts include forward contracts that have an offset to an open and close contract, but have not settled. These amounts are included on the Statement of Assets and Liabilities line item for Investment securities purchased payable. |
Additional Disclosure Related to Derivative Instruments
Fair values of derivative instruments as of June 30, 2015:
Assets | Liabilities | |||||||||||||||
Portfolio | Type of Risk Exposure | Statement of Assets & Liabilities Location | Value | Statement of Assets & Liabilities Location | Value | |||||||||||
Pathfinder Moderate – Managed Volatility | Equity | Unrealized appreciation on futures contracts** | $ | 42 | $ | — | ||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | Equity | Unrealized appreciation on futures contracts** | 15 | — | ||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | Equity | Unrealized appreciation on futures contracts** | 14 | — | ||||||||||||
Asset Strategy | Equity | Investments in unaffiliated securities at value* | 599 | Written options at value | 6,789 | |||||||||||
Equity | — | Unrealized depreciation on futures contracts** | 714 | |||||||||||||
Foreign currency | Unrealized appreciation on forward foreign currency contracts | 517 | Unrealized depreciation on forward foreign currency contracts | 686 | ||||||||||||
Global Bond | Foreign currency | — | Unrealized depreciation on forward foreign currency contracts | 6 | ||||||||||||
Global Natural Resources | Foreign currency | Unrealized appreciation on forward foreign currency contracts | 51 | Unrealized depreciation on forward foreign currency contracts | 255 | |||||||||||
High Income | Foreign currency | Unrealized appreciation on forward foreign currency contracts | 67 | Unrealized depreciation on forward foreign currency contracts | 58 | |||||||||||
International Core Equity | Foreign currency | — | Unrealized depreciation on forward foreign currency contracts | 132 | ||||||||||||
Mid Cap Growth | Equity | Investments in unaffiliated securities at value* | 2,056 | Written options at value | 918 | |||||||||||
Science and Technology | Equity | Investments in unaffiliated securities at value* | 85 | Written options at value | 347 | |||||||||||
Value | Equity | — | Written options at value | 441 |
* 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; however, the value reflected on the accompanying Statement of Assets and Liabilities is only the unsettled variation margin receivable (payable) as of June 30, 2015.
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Amount of realized gain (loss) on derivatives recognized on the Statement of Operations for the period ended June 30, 2015:
Net realized gain (loss) on: | ||||||||||||||||||||||||||
Portfolio | Type of Risk Exposure | Investments in unaffiliated securities* | Swap agreements | Futures contracts | Written options | Forward foreign currency contracts | Total | |||||||||||||||||||
Pathfinder Moderate – Managed Volatility | Equity | $ | — | $ | — | $ | (129 | ) | $ | — | $ | — | $ | (129 | ) | |||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | Equity | — | — | (47 | ) | — | — | (47 | ) | |||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | Equity | — | — | (43 | ) | — | — | (43 | ) | |||||||||||||||||
Asset Strategy | Equity | (1,796 | ) | — | (514 | ) | 2,778 | — | 468 | |||||||||||||||||
Foreign currency | — | — | — | — | 3,766 | 3,766 | ||||||||||||||||||||
Dividend Opportunities | Equity | — | — | — | 132 | — | 132 | |||||||||||||||||||
Global Bond | Interest rate | — | — | (35 | ) | — | — | (35 | ) | |||||||||||||||||
Foreign currency | — | — | — | — | 11 | 11 | ||||||||||||||||||||
Global Growth | Foreign currency | — | — | — | — | 1,692 | 1,692 | |||||||||||||||||||
Global Natural Resources | Foreign currency | — | — | — | — | 511 | 511 | |||||||||||||||||||
High Income | Foreign currency | — | — | — | — | 385 | 385 | |||||||||||||||||||
International Core Equity | Foreign currency | — | — | — | — | (1,425 | ) | (1,425 | ) | |||||||||||||||||
Mid Cap Growth | Equity | — | — | — | 397 | — | 397 | |||||||||||||||||||
Science and Technology | Equity | (733 | ) | — | — | 257 | — | (476 | ) | |||||||||||||||||
Value | Equity | — | — | — | 542 | — | 542 |
* Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
Change in unrealized appreciation (depreciation) on derivatives recognized on the Statement of Operations for the period ended June 30, 2015:
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||
Portfolio | Type of Risk Exposure | Investments in unaffiliated securities* | Swap agreements | Futures contracts | Written options | Forward foreign currency contracts | Total | |||||||||||||||||||
Pathfinder Moderate – Managed Volatility | Equity | $ | — | $ | — | $ | 55 | $ | — | $ | — | $ | 55 | |||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | Equity | — | — | 21 | — | — | 21 | |||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | Equity | — | — | 15 | — | — | 15 | |||||||||||||||||||
Asset Strategy | Equity | (1,909 | ) | — | (714 | ) | (4,304 | ) | — | (6,927 | ) | |||||||||||||||
Foreign currency | — | — | — | — | (274 | ) | (274 | ) | ||||||||||||||||||
Global Bond | Foreign currency | — | — | — | — | (9 | ) | (9 | ) | |||||||||||||||||
Global Growth | Foreign currency | — | — | — | — | (1,473 | ) | (1,473 | ) | |||||||||||||||||
Global Natural Resources | Foreign currency | — | — | — | — | (342 | ) | (342 | ) | |||||||||||||||||
High Income | Foreign currency | — | — | — | — | (79 | ) | (79 | ) | |||||||||||||||||
International Core Equity | Foreign currency | — | — | — | — | 63 | 63 | |||||||||||||||||||
Mid Cap Growth | Equity | 864 | — | — | (500 | ) | — | 364 | ||||||||||||||||||
Science and Technology | Equity | (435 | ) | — | — | 425 | — | (10 | ) | |||||||||||||||||
Value | Equity | — | — | — | (108 | ) | — | (108 | ) |
* Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
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During the period ended June 30, 2015, the average derivative volume was as follows:
Portfolio | Forward foreign currency contracts(1) | Long futures contracts(1) | Short futures contracts(1) | Swap agreements(2) | Purchased options(1) | Written options(1) | ||||||||||||||||||
Pathfinder Moderate – Managed Volatility | $ | — | $ | — | $ | 5,375 | $ | — | $ | — | $ | — | ||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | — | — | 1,219 | — | — | — | ||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | — | — | 1,249 | — | — | — | ||||||||||||||||||
Asset Strategy | 181 | 36,343 | — | — | 1,553 | 2,265 | ||||||||||||||||||
Dividend Opportunities | — | — | — | — | — | 9 | ||||||||||||||||||
Global Bond | 1 | 370 | — | — | — | — | ||||||||||||||||||
Global Growth | 7 | — | — | — | — | — | ||||||||||||||||||
Global Natural Resources | 15 | — | — | — | — | — | ||||||||||||||||||
High Income | 43 | — | — | — | — | — | ||||||||||||||||||
International Core Equity | 421 | — | — | — | — | — | ||||||||||||||||||
Mid Cap Growth | — | — | — | — | 294 | 317 | ||||||||||||||||||
Science and Technology | — | — | — | — | 198 | 357 | ||||||||||||||||||
Value | — | — | — | — | — | 386 |
(1) | Average value outstanding during the period. |
(2) | Average notional amount outstanding during the period. |
The derivative instruments outstanding as of period end and the amounts of realized and changes in unrealized gains and losses on derivative instruments during the period, as disclosed in the Statement of Operations and Notes to Schedule of Investments, serve as indicators of the volume of derivative activity for the Portfolios.
Objectives and Strategies
Pathfinder Moderate – Managed Volatility. The Portfolio’s objective in using derivatives during the period was to manage the volatility of the Portfolio’s equity returns in an attempt to stabilize the equity returns of the Portfolio. To achieve this objective, the Portfolio utilized short exchange traded futures contracts on certain equity indices.
Pathfinder Moderately Aggressive – Managed Volatility. The Portfolio’s objective in using derivatives during the period was to manage the volatility of the Portfolio’s equity returns in an attempt to stabilize the equity returns of the Portfolio. To achieve this objective, the Portfolio utilized short exchange traded futures contracts on certain equity indices.
Pathfinder Moderately Conservative – Managed Volatility. The Portfolio’s objective in using derivatives during the period was to manage the volatility of the Portfolio’s equity returns in an attempt to stabilize the equity returns of the Portfolio. To achieve this objective, the Portfolio utilized short exchange traded futures contracts on certain equity indices.
Asset Strategy. The Portfolio’s objectives in using derivatives during the period included hedging market risk on equity securities, increasing exposure to various equity markets, managing exposure to various foreign currencies, and hedging certain event risks on positions held by the Portfolio. To achieve the objective of hedging market risk and increasing exposure to equity markets, the Portfolio utilized futures and option contracts, both written and purchased, on foreign and domestic equity indices. To manage foreign currency exposure, the Portfolio utilized forward contracts to either increase or decrease exposure to a given currency. To manage event risks, the Portfolio utilized long futures on foreign equity indices and option contracts, both written and purchased, on individual equity securities.
Dividend Opportunities. The Portfolio’s objectives in using derivatives during the period included generating additional income from written option premiums and gaining exposure to, or facilitate trading in, certain securities. To achieve these objectives, the Portfolio utilized written options on individual equity securities.
Global Bond. The Portfolio’s objectives in using derivatives during the period were managing the exposure to various foreign currencies and mitigating the impact or rising interest rates. To manage the exposure to various currencies, the Portfolio utilized forward contracts to either hedge a position held by the Portfolio, to gain exposure to a currency where a foreign bond is not available, or to take a fundamental position long or short in a particular currency. To mitigate the impact of rising interest rates, the Portfolio utilized Treasury futures contracts.
Global Growth. The Portfolio’s objective in using derivatives during the period was to manage the exposure to various foreign currencies. To achieve this objective, the Portfolio utilized forward contracts to either increase or decrease exposure to a given currency.
Global Natural Resources. The Portfolio’s objective in using derivatives during the period was to manage the exposure to various foreign currencies. To achieve this objective, the Portfolio utilized forward contracts to either increase or decrease exposure to a given currency.
High Income. The Portfolio’s objective in using derivatives during the period was to hedge the exposure to foreign currencies from securities held in the portfolio. To achieve this objective, the Portfolio utilized forward contracts.
International Core Equity. The Portfolio’s objective in using derivatives during the period was to manage the exposure to various foreign currencies. To achieve this objective, the Portfolio utilized forward contracts to either increase or decrease exposure to a given currency.
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Mid Cap Growth. The Portfolio’s objectives in using derivatives during the period included gaining exposure to certain sectors, enhance income, hedging certain event risks on positions held by the Portfolio and hedging market risk on equity securities. To achieve these objectives, the Portfolio utilized options, both written and purchased, on either an index or on individual or baskets of equity securities.
Science and Technology. The Portfolio’s objective in using derivatives during the period was to enhance income, and hedge market risk and individual security exposure in its portfolio. To achieve this objective, the Portfolio utilized options, both written and purchased, on individual equity securities.
Value. The Portfolio’s objectives in using derivatives during the period included generating additional income from written option premiums and gaining exposure to, or facilitate trading in, certain securities. To achieve these objectives, the Portfolio utilized written options on individual equity securities.
5. | WRITTEN OPTION ACTIVITY ($ amounts in thousands) |
Transactions in written options were as follows:
Portfolio | Outstanding at 12-31-14 | Options written | Options closed | Options exercised | Options expired | Outstanding at 6-30-15 | ||||||||||||||||||
Asset Strategy | ||||||||||||||||||||||||
Number of Contracts | 3,033 | 54,777 | (7,852 | ) | (2,691 | ) | (16,113 | ) | 31,154 | |||||||||||||||
Premium Received | $ | 1,392 | $ | 5,616 | $ | (887 | ) | $ | (335 | ) | $ | (2,391 | ) | $ | 3,395 | |||||||||
Dividend Opportunities | ||||||||||||||||||||||||
Number of Contracts | N/A | 957 | — | — | (957 | ) | N/A | |||||||||||||||||
Premium Received | N/A | $ | 132 | $ | — | $ | — | $ | (132 | ) | N/A | |||||||||||||
Mid Cap Growth | ||||||||||||||||||||||||
Number of Contracts | 1,034 | 6,292 | (885 | ) | (725 | ) | (2,525 | ) | 3,191 | |||||||||||||||
Premium Received | $ | 176 | $ | 1,575 | $ | (768 | ) | $ | (70 | ) | $ | (436 | ) | $ | 477 | |||||||||
Science and Technology | ||||||||||||||||||||||||
Number of Contracts | 5,021 | 4,707 | (6,429 | ) | (166 | ) | — | 3,133 | ||||||||||||||||
Premium Received | $ | 246 | $ | 1,031 | $ | (509 | ) | $ | (49 | ) | $ | — | $ | 719 | ||||||||||
Value | ||||||||||||||||||||||||
Number of Contracts | 1,642 | 18,173 | (3,631 | ) | (1,073 | ) | (12,250 | ) | 2,861 | |||||||||||||||
Premium Received | $ | 269 | $ | 1,345 | $ | (251 | ) | $ | (301 | ) | $ | (650 | ) | $ | 412 |
6. | BASIS FOR CONSOLIDATION OF THE ASSET STRATEGY PORTFOLIO |
Ivy VIP ASF II, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated as a wholly owned subsidiary acting as an investment vehicle for Ivy Funds VIP Asset Strategy Portfolio (referred to as “the Portfolio” in this subsection). VIP ASF III (SBP), LLC and VIP ASF, LLC (each a “Company”, collectively “the Companies”), Delaware limited liability companies, were incorporated as wholly owned companies acting as investment vehicles for the Portfolio. Each Subsidiary and Company acts as an investment vehicle for the Portfolio, in order to effect certain investments for the Portfolio consistent with the Portfolio’s investment objectives and policies as specified in its prospectus and SAI.
The Portfolio’s investment portfolio has been consolidated and includes the portfolio holdings of the Portfolio, its Subsidiary and the Companies. The consolidated financial statements include the accounts of the Portfolio, its Subsidiary and the Companies. All inter-company transactions and balances have been eliminated. A subscription agreement was entered into between the Portfolio and its Subsidiary and each Company comprising the entire issued share capital of the Subsidiary and each Company with the intent that the Portfolio will remain the sole shareholder and retain all rights. Under the Articles of Association, shares issued by the Subsidiary and each Company confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and each Company and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary and each Company.
See the table below for details regarding the structure, incorporation and relationship as of June 30, 2015 of each Subsidiary and Company to the Portfolio (amounts in thousands).
Subsidiary/Company | Date of Incorporation | Subscription Agreement | Portfolio Net Assets | Subsidiary Net Assets | Percentage of Portfolio Net Assets | |||||||||||||||
Ivy VIP ASF II, Ltd. | 1-31-13 | 4-10-13 | $ | 1,512,269 | $ | 46,582 | 3.08 | % | ||||||||||||
VIP ASF III (SBP), LLC | 4-9-13 | 4-23-13 | 1,512,269 | 32,973 | 2.18 | |||||||||||||||
VIP ASF, LLC | 12-10-12 | 12-18-12 | 1,512,269 | 17,243 | 1.14 |
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7. | INVESTMENT MANAGEMENT AND PAYMENTS TO AFFILIATED PERSONS ($ amounts in thousands unless indicated otherwise) |
Management Fees. WRIMCO, a wholly owned subsidiary of Waddell & Reed, Inc. (“W&R”), serves as each Portfolio’s investment adviser. The management fee is accrued daily by each Portfolio, except the Pathfinder Portfolios, at the following annual rates as a percentage of average daily net assets:
Portfolio (M – Millions) | $0 to $500M | $500 to $1,000M | $1,000 to $1,500M | $1,500 to $2,000M | $2,000 to $3,000M | Over $3,000M | ||||||||||||||||||
Asset Strategy | 0.700 | % | 0.700 | % | 0.650 | % | 0.650 | % | 0.600 | % | 0.550 | % | ||||||||||||
Balanced | 0.700 | 0.700 | 0.650 | 0.650 | 0.600 | 0.550 | ||||||||||||||||||
Bond | 0.525 | 0.500 | 0.450 | 0.400 | 0.400 | 0.400 | ||||||||||||||||||
Core Equity | 0.700 | 0.700 | 0.650 | 0.650 | 0.600 | 0.550 | ||||||||||||||||||
Dividend Opportunities | 0.700 | 0.700 | 0.650 | 0.650 | 0.600 | 0.550 | ||||||||||||||||||
Energy | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Global Bond | 0.625 | 0.600 | 0.550 | 0.500 | 0.500 | 0.500 | ||||||||||||||||||
Global Growth | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Global Natural Resources | 1.000 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Growth | 0.700 | 0.700 | 0.650 | 0.650 | 0.600 | 0.550 | ||||||||||||||||||
High Income | 0.625 | 0.600 | 0.550 | 0.500 | 0.500 | 0.500 | ||||||||||||||||||
International Core Equity | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Limited-Term Bond | 0.500 | 0.450 | 0.400 | 0.350 | 0.350 | 0.350 | ||||||||||||||||||
Micro Cap Growth | 0.950 | 0.950 | 0.930 | 0.930 | 0.900 | 0.860 | ||||||||||||||||||
Mid Cap Growth | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Money Market | 0.400 | 0.400 | 0.400 | 0.400 | 0.400 | 0.400 | ||||||||||||||||||
Real Estate Securities | 0.900 | 0.900 | 0.870 | 0.870 | 0.840 | 0.800 | ||||||||||||||||||
Science and Technology | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Small Cap Growth | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Small Cap Value | 0.850 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Value | 0.700 | 0.700 | 0.650 | 0.650 | 0.600 | 0.550 |
Each Managed Volatility Portfolio pays a management fee to WRIMCO for providing investment advice and supervising its investments at the following annual rates as a percentage of average daily net assets:
Portfolio (M – Millions) | $0 to $500M | $500 to $1,000M | Over $1,000M | |||||||||
Pathfinder Moderate – Managed Volatility | 0.200 | % | 0.170 | % | 0.150 | % | ||||||
Pathfinder Moderately Aggressive – Managed Volatility | 0.200 | 0.170 | 0.150 | |||||||||
Pathfinder Moderately Conservative – Managed Volatility | 0.200 | 0.170 | 0.150 |
WRIMCO uses all of the management fee it receives from the Managed Volatility Portfolios to pay Advantus Capital Management Inc. (“Advantus Capital”). Accordingly, Advantus Capital receives a fee based on the total assets of the Managed Volatility Portfolios.
Effective October 1, 2006, under terms of a settlement agreement, the fee is payable at the following annual rates for those Portfolios included in the settlement agreement until September 30, 2016:
Portfolio (M – Millions) | $0 to $500M | $500 to $1,000M | $1,000 to $1,500M | $1,500 to $2,000M | $2,000 to $3,000M | Over $3,000M | ||||||||||||||||||
Asset Strategy | 0.690 | % | 0.690 | % | 0.650 | % | 0.650 | % | 0.600 | % | 0.550 | % | ||||||||||||
Bond(1) | 0.485 | 0.500 | 0.450 | 0.400 | 0.400 | 0.400 | ||||||||||||||||||
Core Equity | 0.650 | 0.650 | 0.650 | 0.650 | 0.600 | 0.550 | ||||||||||||||||||
Global Growth | 0.820 | 0.820 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Growth | 0.670 | 0.670 | 0.650 | 0.650 | 0.600 | 0.550 | ||||||||||||||||||
High Income | 0.575 | 0.600 | 0.550 | 0.500 | 0.500 | 0.500 | ||||||||||||||||||
Mid Cap Growth | 0.830 | 0.830 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Science and Technology | 0.830 | 0.830 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Small Cap Growth | 0.830 | 0.830 | 0.830 | 0.830 | 0.800 | 0.760 | ||||||||||||||||||
Value | 0.690 | 0.690 | 0.650 | 0.650 | 0.600 | 0.550 |
(1) | Effective August 6, 2007, after completion of the merger between a former Limited-Term Bond Portfolio and Bond Portfolio, the fee is contractually payable by Bond Portfolio as follows: |
Portfolio (M – Millions) | $0 to $500M | $500 to $1,000M | $1,000 to $1,500M | $1,500 to $2,000M | $2,000 to $3,000M | Over $3,000M | ||||||||||||||||||
Bond | 0.475 | % | 0.475 | % | 0.450 | % | 0.400 | % | 0.400 | % | 0.400 | % |
The Pathfinder Portfolios pay no management fees; however, WRIMCO receives management fees from the underlying funds.
WRIMCO has agreed to waive a Portfolio’s investment management fee on any Portfolio, except the Pathfinder Portfolios and Managed Volatility Portfolios, that is not subadvised on any day that the Portfolio’s net assets are less than $25 million, subject to WRIMCO’s right to change or modify this waiver. See Expense Reimbursements and/or Waivers for more information.
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WRIMCO has entered into Subadvisory Agreements with the following entities on behalf of certain Portfolios:
Wall Street Associates serves as subadvisor to Micro Cap Growth. Advantus Capital serves as subadvisor to Real Estate Securities and the Managed Volatility Portfolios. Each subadvisor makes investment decisions in accordance with the Portfolio’s investment objectives, policies and restrictions under the supervision of WRIMCO and the Board of Trustees. WRIMCO pays all applicable costs of the subadvisors.
Accounting Services Fees. The Trust has an Accounting and Administrative Services Agreement with Waddell & Reed Services Company (“WRSCO”), doing business as WI Services Company (“WISC”), an affiliate of W&R. Under the agreement, WISC acts as the agent in providing bookkeeping and accounting services and assistance to the Trust, including maintenance of Portfolio records, pricing of Portfolio shares and preparation of certain shareholder reports. For these services, each Portfolio (excluding Pathfinder Portfolios and Managed Volatility Portfolios) pays WISC a monthly fee of one-twelfth of the annual fee based on the average net asset levels shown in the following table:
(M – Millions) | $0 to $10M | $10 to $25M | $25 to $50M | $50 to $100M | $100 to $200M | $200 to $350M | $350 to $550M | $550 to $750M | $750 to $1,000M | Over $1,000M | ||||||||||||||||||||||||||||||
Annual Fee Rate | $ | 0.00 | $ | 11.50 | $ | 23.10 | $ | 35.50 | $ | 48.40 | $ | 63.20 | $ | 82.50 | $ | 96.30 | $ | 121.60 | $ | 148.50 |
Under the Accounting Services Agreement, each Pathfinder Portfolio and Managed Volatility Portfolio pays WISC a monthly fee of one-twelfth of the annual fee shown in the following table:
(M – Millions) | $0 to $10M | $10 to $25M | $25 to $50M | $50 to $100M | $100 to $200M | $200 to $350M | $350 to $550M | $550 to $750M | $750 to $1,000M | Over $1,000M | ||||||||||||||||||||||||||||||
Annual Fee Rate | $ | 0.00 | $ | 5.75 | $ | 11.55 | $ | 17.75 | $ | 24.20 | $ | 31.60 | $ | 41.25 | $ | 48.15 | $ | 60.80 | $ | 74.25 |
Each Portfolio also pays WISC a monthly administrative fee at the annual rate of 0.01%, or one basis point, for the first $1 billion of net assets with no fee charged for net assets in excess of $1 billion. This fee is voluntarily waived by WISC until a Portfolio’s net assets are at least $10 million and is included in “Accounting services fee” on the Statement of Operations.
Shareholder Servicing. Under the Transfer Agency Agreement between the Trust and WISC, each Portfolio reimburses WISC for certain out-of-pocket costs.
Service Plan. Under a Service Plan adopted by the Trust pursuant to Rule 12b–1 under the 1940 Act, each Portfolio, except Money Market, the Pathfinder Portfolios and the Managed Volatility Portfolios, may pay a service fee to W&R in an amount not to exceed 0.25% of the Portfolio’s average annual net assets. The fee is to be paid to compensate W&R for amounts it expends in connection with the provision of personal services to Policyowners and/or maintenance of Policyowner accounts.
Expense Reimbursements and/or Waivers. During the period ended June 30, 2015, the following amounts were waived as a result of the reduced management fees related to the settlement agreement:
Asset Strategy | $ | 50 | ||
Core Equity | 124 | |||
Global Growth | 72 | |||
Growth | 133 | |||
High Income | 124 | |||
Mid Cap Growth | 58 | |||
Science and Technology | 60 | |||
Small Cap Growth | 45 | |||
Value | 20 |
Effective January 28, 2010, WRIMCO has voluntarily agreed to reimburse sufficient expenses of Money Market to maintain a minimum annualized yield of 0.02%. For the period ended June 30, 2015, expenses in the amount of $696 were reimbursed. This reimbursement serves to reduce shareholder servicing.
For the period from August 23, 2010 through August 31, 2011, W&R and/or WRSCO have contractually agreed to reimburse sufficient expenses of Limited-Term Bond to cap the expenses for the Portfolio at 0.76%. For the period from September 1, 2011 through January 31, 2012, W&R and/or WRSCO have voluntarily agreed to reimburse sufficient expenses of Limited-Term Bond to cap the expenses for the Portfolio at 0.76%. This reimbursement serves to reduce 12b-1 fees and/or accounting services fees.
Effective May 1, 2012, W&R and/or WRSCO have voluntarily agreed to reimburse sufficient expenses of Mid Cap Growth to cap the expenses for the Portfolio at 1.10%. For the period ended June 30, 2015, expenses in the amount of $90 were reimbursed. This reimbursement serves to reduce 12b-1 fees and/or accounting services fees.
Effective December 3, 2012, WRIMCO has contractually agreed to reduce the management fee computed and paid by Real Estate Securities Portfolio each day on NAV by 0.09% on an annualized basis. For the period ended June 30, 2015, expenses in the amount of $24 were reimbursed.
During the period ended June 30, 2015, the following amounts were waived as a result of the reduced management fees related to the voluntary waiver of management fee to any Portfolio, excluding Pathfinder Portfolios and Managed Volatility Portfolios, having less than $25 million in net assets:
Global Bond | $ | 60 |
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Any amounts due to the Portfolios as a reimbursement but not paid as of June 30, 2015 are shown as a receivable from affiliates on the Statement of Assets and Liabilities.
8. INTERFUND LENDING PROGRAM
Pursuant to an exemptive order issued by the SEC (“Order”), the Trust and the Advisors Fund Complex (Waddell & Reed Advisors Funds, Ivy Funds and InvestEd Portfolios; referred to with the Funds for purposes of this section as Funds) have the ability to lend money to, and borrow money from, each other pursuant to a master interfund lending agreement (“Interfund Lending Program”). Under the Interfund Lending Program, the Funds may lend or borrow money for temporary purposes directly to or from one another (each an “Interfund Loan”), subject to meeting the conditions of the Order. The interest rate to be charged on an Interfund Loan is the average of the overnight repurchase agreement rate and the short-term bank loan rate. The Funds made no Interfund Loans under the Interfund Lending Program during the period ended June 30, 2015.
9. AFFILIATED COMPANY TRANSACTIONS (All amounts in thousands)
A summary of the transactions in affiliated companies during the period ended June 30, 2015 follows:
Portfolio | 12-31-14 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss) | Distributions Received | 6-30-15 Share Balance | 6-30-15 Value | |||||||||||||||||||||
Asset Strategy | ||||||||||||||||||||||||||||
Media Group Holdings LLC, Series H(2) | 32 | $ | — | $ | — | $ | — | $ | — | 32 | $ | 14,638 | ||||||||||||||||
Media Group Holdings LLC, Series I(2) | 19 | — | — | — | — | 19 | 7,482 | |||||||||||||||||||||
Media Group Holdings LLC, Series T(2) | 4 | 601 | — | — | — | 4 | 10,843 | |||||||||||||||||||||
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$ | — | $ | — | $ | 32,963 | |||||||||||||||||||||||
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Portfolio | 12-31-14 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss)(1) | Distributions Received | 6-30-15 Share Balance | 6-30-15 Value | |||||||||||||||||||||
Pathfinder Aggressive | ||||||||||||||||||||||||||||
Ivy Funds VIP Global Growth | 1,429 | $ | 3,194 | $ | 759 | $ | 805 | $ | 62 | 1,681 | $ | 14,807 | ||||||||||||||||
Ivy Funds VIP Growth | 1,398 | 2,662 | 727 | 2,079 | 126 | 1,561 | 17,520 | |||||||||||||||||||||
Ivy Funds VIP International Core Equity | 460 | 3,152 | 354 | 782 | 428 | 619 | 10,409 | |||||||||||||||||||||
Ivy Funds VIP Limited-Term Bond | 2,478 | 1,394 | 3,742 | 27 | 169 | 1,993 | 9,693 | |||||||||||||||||||||
Ivy Funds VIP Mid Cap Growth | 799 | 972 | 401 | 774 | 70 | 840 | 8,677 | |||||||||||||||||||||
Ivy Funds VIP Small Cap Growth | 694 | 1,598 | 525 | 1,466 | — | 776 | 9,306 | |||||||||||||||||||||
Ivy Funds VIP Small Cap Value | 483 | 962 | 281 | 692 | 71 | 519 | 8,661 | |||||||||||||||||||||
Ivy Funds VIP Value | 1,133 | 1,983 | 258 | 937 | 315 | 1,381 | 8,814 | |||||||||||||||||||||
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$ | 7,562 | $ | 1,241 | $ | 87,887 | |||||||||||||||||||||||
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Portfolio | 12-31-14 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss)(1) | Distributions Received | 6-30-15 Share Balance | 6-30-15 Value | |||||||||||||||||||||
Pathfinder Conservative | ||||||||||||||||||||||||||||
Ivy Funds VIP Dividend Opportunities | 1,801 | $ | 2,177 | $ | 898 | $ | 1,764 | $ | 410 | 1,931 | $ | 15,243 | ||||||||||||||||
Ivy Funds VIP Global Growth | N/A | 2,895 | 79 | 130 | 11 | 300 | 2,645 | |||||||||||||||||||||
Ivy Funds VIP Growth | 1,339 | 2,173 | 1,498 | 2,015 | 113 | 1,389 | 15,591 | |||||||||||||||||||||
Ivy Funds VIP International Core Equity | 339 | 932 | 666 | 682 | 295 | 347 | 5,842 | |||||||||||||||||||||
Ivy Funds VIP Limited-Term Bond | 4,871 | 1,794 | 3,888 | 55 | 322 | 4,438 | 21,582 | |||||||||||||||||||||
Ivy Funds VIP Mid Cap Growth | 353 | 353 | 376 | 343 | 29 | 345 | 3,564 | |||||||||||||||||||||
Ivy Funds VIP Money Market | 41,837 | 2,485 | 2,350 | — | 4 | 41,973 | 41,973 | |||||||||||||||||||||
Ivy Funds VIP Small Cap Growth | 511 | 1,020 | 662 | 1,100 | — | 531 | 6,373 | |||||||||||||||||||||
Ivy Funds VIP Small Cap Value | 142 | 233 | 236 | 185 | 19 | 142 | 2,371 | |||||||||||||||||||||
Ivy Funds VIP Value | 668 | 845 | 206 | 551 | 173 | 757 | 4,828 | |||||||||||||||||||||
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$ | 6,825 | $ | 1,376 | $ | 120,012 | |||||||||||||||||||||||
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Portfolio | 12-31-14 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss)(1) | Distributions Received | 6-30-15 Share Balance | 6-30-15 Value | |||||||||||||||||||||
Pathfinder Moderate | ||||||||||||||||||||||||||||
Ivy Funds VIP Dividend Opportunities | 15,656 | $ | 17,945 | $ | 2,699 | $ | 14,629 | $ | 3,676 | 17,369 | $ | 137,112 | ||||||||||||||||
Ivy Funds VIP Global Growth | 10,571 | 27,862 | 6,669 | 6,472 | 473 | 12,745 | 112,238 | |||||||||||||||||||||
Ivy Funds VIP Growth | 10,865 | 16,728 | 6,864 | 16,318 | 943 | 11,664 | 130,898 | |||||||||||||||||||||
Ivy Funds VIP International Core Equity | 2,555 | 24,657 | 2,379 | 4,499 | 2,291 | 3,814 | 64,142 | |||||||||||||||||||||
Ivy Funds VIP Limited-Term Bond | 27,528 | 8,938 | 40,380 | 295 | 1,806 | 21,058 | 102,400 | |||||||||||||||||||||
Ivy Funds VIP Mid Cap Growth | 3,547 | 3,237 | 2,135 | 3,514 | 299 | 3,587 | 37,049 | |||||||||||||||||||||
Ivy Funds VIP Money Market | 180,149 | 12,144 | 5,323 | — | 18 | 186,970 | 186,970 | |||||||||||||||||||||
Ivy Funds VIP Small Cap Growth | 5,395 | 10,357 | 4,754 | 11,285 | — | 5,797 | 69,548 | |||||||||||||||||||||
Ivy Funds VIP Small Cap Value | 2,683 | 3,992 | 2,092 | 3,855 | 380 | 2,770 | 46,212 | |||||||||||||||||||||
Ivy Funds VIP Value | 6,289 | 8,507 | 1,042 | 5,045 | 1,684 | 7,373 | 47,048 | |||||||||||||||||||||
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$ | 65,912 | $ | 11,570 | $ | 933,617 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Portfolio | 12-31-14 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss)(1) | Distributions Received | 6-30-15 Share Balance | 6-30-15 Value | |||||||||||||||||||||
Pathfinder Moderately Aggressive | ||||||||||||||||||||||||||||
Ivy Funds VIP Dividend Opportunities | 18,472 | $ | 21,957 | $ | 2,380 | $ | 17,009 | $ | 4,375 | 20,715 | $ | 163,521 | ||||||||||||||||
Ivy Funds VIP Global Growth | 12,472 | 32,626 | 6,327 | 7,456 | 563 | 15,200 | 133,856 | |||||||||||||||||||||
Ivy Funds VIP Growth | 12,818 | 19,130 | 6,129 | 18,912 | 1,123 | 13,910 | 156,110 | |||||||||||||||||||||
Ivy Funds VIP International Core Equity | 6,029 | 35,974 | 3,769 | 10,795 | 5,454 | 7,824 | 131,593 | |||||||||||||||||||||
Ivy Funds VIP Limited-Term Bond | 32,471 | 11,360 | 46,632 | 335 | 2,149 | 25,210 | 122,592 | |||||||||||||||||||||
Ivy Funds VIP Mid Cap Growth | 5,231 | 4,543 | 2,491 | 5,010 | 444 | 5,347 | 55,232 | |||||||||||||||||||||
Ivy Funds VIP Money Market | 106,252 | 7,678 | 2,439 | — | 11 | 111,491 | 111,491 | |||||||||||||||||||||
Ivy Funds VIP Small Cap Growth | 7,274 | 13,652 | 5,321 | 15,028 | — | 7,901 | 94,790 | |||||||||||||||||||||
Ivy Funds VIP Small Cap Value | 5,064 | 7,167 | 2,814 | 7,084 | 723 | 5,286 | 88,182 | |||||||||||||||||||||
Ivy Funds VIP Value | 7,420 | 10,355 | 967 | 5,914 | 2,005 | 8,793 | 56,108 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 87,543 | $ | 16,847 | $ | 1,113,475 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Portfolio | 12-31-14 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss)(1) | Distributions Received | 6-30-15 Share Balance | 6-30-15 Value | |||||||||||||||||||||
Pathfinder Moderately Conservative | ||||||||||||||||||||||||||||
Ivy Funds VIP Dividend Opportunities | 4,280 | $ | 4,721 | $ | 1,296 | $ | 4,122 | $ | 985 | 4,643 | $ | 36,651 | ||||||||||||||||
Ivy Funds VIP Global Growth | 1,667 | 7,756 | 1,448 | 1,154 | 87 | 2,326 | 20,487 | |||||||||||||||||||||
Ivy Funds VIP Growth | 3,426 | 5,074 | 2,891 | 5,125 | 291 | 3,597 | 40,373 | |||||||||||||||||||||
Ivy Funds VIP International Core Equity | 806 | 7,511 | 970 | 1,444 | 708 | 1,173 | 19,736 | |||||||||||||||||||||
Ivy Funds VIP Limited-Term Bond | 11,568 | 3,165 | 13,253 | 105 | 777 | 9,492 | 46,156 | |||||||||||||||||||||
Ivy Funds VIP Mid Cap Growth | 1,119 | 974 | 881 | 1,117 | 92 | 1,106 | 11,427 | |||||||||||||||||||||
Ivy Funds VIP Money Market | 70,976 | 3,978 | 2,874 | — | 7 | 72,081 | 72,081 | |||||||||||||||||||||
Ivy Funds VIP Small Cap Growth | 1,458 | 2,704 | 1,546 | 3,076 | — | 1,533 | 18,391 | |||||||||||||||||||||
Ivy Funds VIP Small Cap Value | 508 | 721 | 536 | 752 | 70 | 513 | 8,551 | |||||||||||||||||||||
Ivy Funds VIP Value | 1,983 | 2,475 | 456 | 1,589 | 521 | 2,274 | 14,512 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 18,484 | $ | 3,538 | $ | 288,365 | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
Portfolio | 12-31-14 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss)(1) | Distributions Received | 6-30-15 Share Balance | 6-30-15 Value | |||||||||||||||||||||
Pathfinder Moderate – Managed Volatility | ||||||||||||||||||||||||||||
Ivy Funds VIP Dividend Opportunities | 3,314 | $ | 18,144 | $ | 95 | $ | 3,783 | $ | 1,052 | 5,395 | $ | 42,584 | ||||||||||||||||
Ivy Funds VIP Global Growth | 2,237 | 17,008 | 943 | 1,691 | 135 | 3,960 | 34,871 | |||||||||||||||||||||
Ivy Funds VIP Growth | 2,302 | 16,800 | 877 | 4,373 | 270 | 3,621 | 40,639 | |||||||||||||||||||||
Ivy Funds VIP International Core Equity | 542 | 11,820 | 326 | 1,204 | 655 | 1,184 | 19,916 | |||||||||||||||||||||
Ivy Funds VIP Limited-Term Bond | 5,880 | 13,613 | 10,279 | 41 | 517 | 6,537 | 31,786 | |||||||||||||||||||||
Ivy Funds VIP Mid Cap Growth | 749 | 4,360 | 353 | 809 | 85 | 1,114 | 11,503 | |||||||||||||||||||||
Ivy Funds VIP Money Market | 38,465 | 19,777 | 127 | — | 5 | 58,115 | 58,115 | |||||||||||||||||||||
Ivy Funds VIP Small Cap Growth | 1,144 | 8,968 | 872 | 2,993 | — | 1,790 | 21,470 | |||||||||||||||||||||
Ivy Funds VIP Small Cap Value | 567 | 5,436 | 248 | 966 | 109 | 862 | 14,379 | |||||||||||||||||||||
Ivy Funds VIP Value | 1,336 | 6,609 | 32 | 1,360 | 482 | 2,285 | 14,578 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 17,220 | $ | 3,310 | $ | 289,841 | |||||||||||||||||||||||
|
|
|
|
|
|
144 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Portfolio | 12-31-14 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss)(1) | Distributions Received | 6-30-15 Share Balance | 6-30-15 Value | |||||||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | ||||||||||||||||||||||||||||
Ivy Funds VIP Dividend Opportunities | 698 | $ | 2,755 | $ | 17 | $ | 733 | $ | 204 | 1,015 | $ | 8,013 | ||||||||||||||||
Ivy Funds VIP Global Growth | 471 | 2,718 | 163 | 323 | 26 | 745 | 6,564 | |||||||||||||||||||||
Ivy Funds VIP Growth | 485 | 2,501 | 140 | 844 | 52 | 682 | 7,652 | |||||||||||||||||||||
Ivy Funds VIP International Core Equity | 228 | 2,886 | 98 | 462 | 254 | 383 | 6,447 | |||||||||||||||||||||
Ivy Funds VIP Limited-Term Bond | 1,234 | 2,003 | 1,982 | 7 | 100 | 1,235 | 6,005 | |||||||||||||||||||||
Ivy Funds VIP Mid Cap Growth | 197 | 787 | 79 | 194 | 21 | 262 | 2,706 | |||||||||||||||||||||
Ivy Funds VIP Money Market | 4,038 | 1,439 | 12 | — | — | * | 5,465 | 5,465 | ||||||||||||||||||||
Ivy Funds VIP Small Cap Growth | 275 | 1,555 | 182 | 657 | — | 386 | 4,629 | |||||||||||||||||||||
Ivy Funds VIP Small Cap Value | 191 | 1,254 | 59 | 297 | 34 | 260 | 4,329 | |||||||||||||||||||||
Ivy Funds VIP Value | 281 | 1,035 | 6 | 264 | 94 | 430 | 2,746 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 3,781 | $ | 785 | $ | 54,556 | |||||||||||||||||||||||
|
|
|
|
|
|
Portfolio | 12-31-14 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss)(1) | Distributions Received | 6-30-15 Share Balance | 6-30-15 Value | |||||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | ||||||||||||||||||||||||||||
Ivy Funds VIP Dividend Opportunities | 443 | $ | 1,786 | $ | 153 | $ | 458 | $ | 123 | 632 | $ | 4,985 | ||||||||||||||||
Ivy Funds VIP Global Growth | 173 | 1,487 | 137 | 136 | 11 | 317 | 2,787 | |||||||||||||||||||||
Ivy Funds VIP Growth | 354 | 1,922 | 292 | 612 | 37 | 489 | 5,490 | |||||||||||||||||||||
Ivy Funds VIP International Core Equity | 83 | 1,466 | 106 | 166 | 89 | 160 | 2,684 | |||||||||||||||||||||
Ivy Funds VIP Limited-Term Bond | 1,201 | 2,039 | 1,581 | 10 | 97 | 1,291 | 6,277 | |||||||||||||||||||||
Ivy Funds VIP Mid Cap Growth | 116 | 489 | 103 | 114 | 12 | 150 | 1,554 | |||||||||||||||||||||
Ivy Funds VIP Money Market | 7,368 | 2,711 | 262 | — | 1 | 9,816 | 9,816 | |||||||||||||||||||||
Ivy Funds VIP Small Cap Growth | 151 | 889 | 181 | 351 | — | 207 | 2,487 | |||||||||||||||||||||
Ivy Funds VIP Small Cap Value | 52 | 366 | 59 | 81 | 9 | 70 | 1,166 | |||||||||||||||||||||
Ivy Funds VIP Value | 205 | 762 | 50 | 187 | 65 | 309 | 1,970 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 2,115 | $ | 444 | $ | 39,216 | |||||||||||||||||||||||
|
|
|
|
|
|
* | Not shown due to rounding. |
(1) | Included in Realized Gain/Loss, if applicable, are distributions from capital gains from the underlying securities. |
(2) | No dividends were paid during the preceding 12 months. |
2015 | SEMIANNUAL REPORT | 145 |
Table of Contents
10. | INVESTMENT SECURITIES TRANSACTIONS ($ amounts in thousands) |
The cost of purchases and the proceeds from maturities and sales of investment securities (excluding short-term securities) for the period ended June 30, 2015, were as follows:
Purchases | Sales | |||||||||||||||
U.S. Government | Other Issuers | U.S. Government | Other Issuers | |||||||||||||
Pathfinder Aggressive | $ | — | $ | 15,917 | $ | — | $ | 7,715 | ||||||||
Pathfinder Conservative | — | 14,907 | — | 11,974 | ||||||||||||
Pathfinder Moderate | — | 134,367 | — | 82,154 | ||||||||||||
Pathfinder Moderately Aggressive | — | 164,442 | — | 88,023 | ||||||||||||
Pathfinder Moderately Conservative | — | 39,079 | — | 28,759 | ||||||||||||
Pathfinder Moderate – Managed Volatility | — | 122,535 | — | 14,754 | ||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | — | 18,933 | — | 2,846 | ||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | — | 13,917 | — | 3,048 | ||||||||||||
Asset Strategy | — | 444,192 | — | 448,224 | ||||||||||||
Balanced | — | 93,295 | 9,405 | 86,173 | ||||||||||||
Bond | 31,334 | 73,278 | 31,713 | 82,291 | ||||||||||||
Core Equity | — | 138,847 | — | 156,419 | ||||||||||||
Dividend Opportunities | — | 102,699 | — | 113,956 | ||||||||||||
Energy | — | 33,625 | — | 18,808 | ||||||||||||
Global Bond | — | 2,321 | 251 | 1,578 | ||||||||||||
Global Growth | — | 206,640 | — | 128,421 | ||||||||||||
Global Natural Resources | — | 27,115 | — | 25,116 | ||||||||||||
Growth | — | 147,656 | — | 168,928 | ||||||||||||
High Income | — | 177,918 | — | 145,366 | ||||||||||||
International Core Equity | — | 403,207 | — | 358,040 | ||||||||||||
Limited-Term Bond | 11,601 | 61,837 | 13,888 | 156,195 | ||||||||||||
Micro Cap Growth | — | 12,778 | — | 19,372 | ||||||||||||
Mid Cap Growth | — | 133,646 | — | 117,121 | ||||||||||||
Money Market | — | — | — | — | ||||||||||||
Real Estate Securities | — | 16,503 | — | 19,650 | ||||||||||||
Science and Technology | — | 103,369 | — | 113,537 | ||||||||||||
Small Cap Growth | — | 172,454 | — | 187,455 | ||||||||||||
Small Cap Value | — | 244,476 | — | 251,402 | ||||||||||||
Value | — | 197,407 | — | 183,520 |
11. | CAPITAL SHARE TRANSACTIONS (All amounts in thousands) |
The Trust has authorized an unlimited number of no par value shares of beneficial interest. Transactions in shares of beneficial interest were as follows:
Pathfinder Aggressive | Pathfinder Conservative | |||||||||||||||||||||||||||||||||
Six months ended 6-30-15 | Year ended 12-31-14 | Six months ended 6-30-15 | Year ended 12-31-14 | |||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||
Shares issued from sale of shares | 648 | $ | 3,770 | 747 | $ | 4,305 | 537 | $ | 3,009 | 2,064 | $ | 11,433 | ||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 2,058 | 10,990 | 1,273 | 6,985 | 1,720 | 9,091 | 1,597 | 8,605 | ||||||||||||||||||||||||||
Shares redeemed | (646 | ) | (3,698 | ) | (1,649 | ) | (9,432 | ) | (1,267 | ) | (7,012 | ) | (2,599 | ) | (14,524 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
Net increase | 2,060 | $ | 11,062 | 371 | $ | 1,858 | 990 | $ | 5,088 | 1,062 | $ | 5,514 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
Pathfinder Moderate | Pathfinder Moderately Aggressive | |||||||||||||||||||||||||||||||||
Six months ended 6-30-15 | Year ended 12-31-14 | Six months ended 6-30-15 | Year ended 12-31-14 | |||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||
Shares issued from sale of shares | 1,801 | $ | 10,457 | 3,228 | $ | 19,159 | 1,276 | $ | 7,805 | 2,244 | $ | 13,878 | ||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 16,149 | 89,584 | 13,275 | 75,253 | 20,436 | 118,126 | 14,771 | 87,292 | ||||||||||||||||||||||||||
Shares redeemed | (4,601 | ) | (27,100 | ) | (8,549 | ) | (50,390 | ) | (4,540 | ) | (27,972 | ) | (8,905 | ) | (54,748 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
Net increase | 13,349 | $ | 72,941 | 7,954 | $ | 44,022 | 17,172 | $ | 97,959 | 8,110 | $ | 46,422 | ||||||||||||||||||||||
|
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|
|
146 | SEMIANNUAL REPORT | 2015 |
Table of Contents
Pathfinder Moderately Conservative | Pathfinder Moderate - Managed Volatility | |||||||||||||||||||||||||||||||||
Six months ended 6-30-15 | Year ended 12-31-14 | Six months ended 6-30-15 | Year ended 12-31-14 | |||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||
Shares issued from sale of shares | 365 | $ | 2,127 | 1,311 | $ | 7,695 | 17,091 | $ | 94,391 | 31,417 | $ | 171,351 | ||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 4,818 | 26,405 | 3,895 | 21,903 | — | — | 1,132 | 5,973 | ||||||||||||||||||||||||||
Shares redeemed | (2,048 | ) | (11,896 | ) | (4,692 | ) | (27,387 | ) | (413 | ) | (2,272 | ) | (1,212 | ) | (6,655 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
Net increase | 3,135 | $ | 16,636 | 514 | $ | 2,211 | 16,678 | $ | 92,119 | 31,337 | $ | 170,669 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
Pathfinder Moderately Aggressive - Managed Volatility | Pathfinder Moderately Conservative - Managed Volatility | |||||||||||||||||||||||||||||||||
Six months ended 6-30-15 | Year ended 12-31-14 | Six months ended 6-30-15 | Year ended 12-31-14 | |||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||
Shares issued from sale of shares | 2,484 | $ | 13,501 | 6,690 | $ | 36,541 | 2,006 | $ | 10,810 | 4,956 | $ | 26,598 | ||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | — | — | 447 | 2,311 | 19 | 101 | 200 | 1,036 | ||||||||||||||||||||||||||
Shares redeemed | (220 | ) | (1,202 | ) | (948 | ) | (5,285 | ) | (374 | ) | (2,010 | ) | (1,106 | ) | (5,998 | ) | ||||||||||||||||||
|
|
|
|
| ||||||||||||||||||||||||||||||
Net increase | 2,264 | $ | 12,299 | 6,189 | $ | 33,567 | 1,651 | $ | 8,901 | 4,050 | $ | 21,636 | ||||||||||||||||||||||
|
|
|
|
| ||||||||||||||||||||||||||||||
Asset Strategy | Balanced | |||||||||||||||||||||||||||||||||
Six months ended 6-30-15 | Year ended 12-31-14 | Six months ended 6-30-15 | Year ended 12-31-14 | |||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||
Shares issued from sale of shares | 6,591 | $ | 69,405 | 21,679 | $ | 258,981 | 1,484 | $ | 14,999 | 2,842 | $ | 28,726 | ||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 27,988 | 263,938 | 20,293 | 224,946 | 6,352 | 57,910 | 3,988 | 38,426 | ||||||||||||||||||||||||||
Shares redeemed | (14,842 | ) | (158,381 | ) | (23,452 | ) | (273,247 | ) | (2,678 | ) | (27,159 | ) | (6,109 | ) | (61,799 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
Net increase | 19,737 | $ | 174,962 | 18,520 | $ | 210,680 | 5,158 | $ | 45,750 | 721 | $ | 5,353 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
Bond | Core Equity | |||||||||||||||||||||||||||||||||
Six months ended 6-30-15 | Year ended 12-31-14 | Six months ended 6-30-15 | Year ended 12-31-14 | |||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||
Shares issued from sale of shares | 1,718 | $ | 9,237 | 3,799 | $ | 20,608 | 668 | $ | 9,190 | 1,770 | $ | 25,364 | ||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 1,671 | 8,716 | 4,054 | 21,376 | 6,758 | 82,546 | 5,503 | 72,083 | ||||||||||||||||||||||||||
Shares redeemed | (3,505 | ) | (18,804 | ) | (7,120 | ) | (38,524 | ) | (2,634 | ) | (36,495 | ) | (4,665 | ) | (66,518 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
Net increase (decrease) | (116 | ) | $ | (851 | ) | 733 | $ | 3,460 | 4,792 | $ | 55,241 | 2,608 | $ | 30,929 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
Dividend Opportunities | Energy | |||||||||||||||||||||||||||||||||
Six months ended 6-30-15 | Year ended 12-31-14 | Six months ended 6-30-15 | Year ended 12-31-14 | |||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||
Shares issued from sale of shares | 2,525 | $ | 22,445 | 5,652 | $ | 49,996 | 3,643 | $ | 24,366 | 6,777 | $ | 53,541 | ||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 7,592 | 62,165 | 5,114 | 43,139 | 106 | 726 | 464 | 3,701 | ||||||||||||||||||||||||||
Shares redeemed | (2,268 | ) | (20,026 | ) | (7,820 | ) | (69,709 | ) | (1,364 | ) | (9,080 | ) | (2,333 | ) | (17,694 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
Net increase | 7,849 | $ | 64,584 | 2,946 | $ | 23,426 | 2,385 | $ | 16,012 | 4,908 | $ | 39,548 | ||||||||||||||||||||||
|
|
|
|
2015 | SEMIANNUAL REPORT | 147 |
Table of Contents
Global Bond | Global Growth | |||||||||||||||||||||||||||||||||
Six months ended 6-30-15 | Year ended 12-31-14 | Six months ended 6-30-15 | Year ended 12-31-14 | |||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||
Shares issued from sale of shares | 506 | $ | 2,549 | 2,214 | $ | 11,534 | 8,819 | $ | 82,499 | 5,686 | $ | 51,687 | ||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 140 | 701 | 80 | 415 | 2,920 | 26,499 | 5,096 | 45,337 | ||||||||||||||||||||||||||
Shares redeemed | (515 | ) | (2,598 | ) | (1,545 | ) | (8,011 | ) | (3,394 | ) | (31,632 | ) | (4,688 | ) | (43,760 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
Net increase | 131 | $ | 652 | 749 | $ | 3,938 | 8,345 | $ | 77,366 | 6,094 | $ | 53,264 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
Global Natural Resources | Growth | |||||||||||||||||||||||||||||||||
Six months ended 6-30-15 | Year ended 12-31-14 | Six months ended 6-30-15 | Year ended 12-31-14 | |||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||
Shares issued from sale of shares | 4,047 | $ | 19,450 | 7,458 | $ | 41,162 | 2,001 | $ | 24,604 | 7,325 | $ | 87,478 | ||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 28 | 137 | — | — | 9,363 | 105,927 | 13,698 | 148,590 | ||||||||||||||||||||||||||
Shares redeemed | (4,220 | ) | (20,396 | ) | (8,380 | ) | (47,153 | ) | (4,729 | ) | (58,508 | ) | (39,022 | ) | (507,177 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
Net increase (decrease) | (145 | ) | $ | (809 | ) | (922 | ) | $ | (5,991 | ) | 6,635 | $ | 72,023 | (17,999 | ) | $ | (271,109 | ) | ||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
High Income | International Core Equity | |||||||||||||||||||||||||||||||||
Six months ended 6-30-15 | Year ended 12-31-14 | Six months ended 6-30-15 | Year ended 12-31-14 | |||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||
Shares issued from sale of shares | 24,637 | $ | 95,182 | 94,562 | $ | 380,482 | 4,242 | $ | 75,666 | 2,368 | $ | 44,147 | ||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 16,178 | 59,897 | 11,698 | 45,940 | 5,314 | 93,448 | 3,766 | 69,273 | ||||||||||||||||||||||||||
Shares redeemed | (23,879 | ) | (91,201 | ) | (66,208 | ) | (262,268 | ) | (1,991 | ) | (37,173 | ) | (3,691 | ) | (70,569 | ) | ||||||||||||||||||
|
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| |||||||||||||||||||||||||||||||
Net increase | 16,936 | $ | 63,878 | 40,052 | $ | 164,154 | 7,565 | $ | 131,941 | 2,443 | $ | 42,851 | ||||||||||||||||||||||
|
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|
| |||||||||||||||||||||||||||||||
Limited-Term Bond | Micro Cap Growth | |||||||||||||||||||||||||||||||||
Six months ended 6-30-15 | Year ended 12-31-14 | Six months ended 6-30-15 | Year ended 12-31-14 | |||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||
Shares issued from sale of shares | 9,019 | $ | 44,669 | 16,115 | $ | 79,082 | 103 | $ | 2,724 | 412 | $ | 11,765 | ||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 1,372 | 6,694 | 653 | 3,203 | 452 | 10,595 | 403 | 9,753 | ||||||||||||||||||||||||||
Shares redeemed | (25,606 | ) | (125,909 | ) | (9,292 | ) | (45,630 | ) | (304 | ) | (7,872 | ) | (626 | ) | (17,553 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
Net increase (decrease) | (15,215 | ) | $ | (74,546 | ) | 7,476 | $ | 36,655 | 251 | $ | 5,447 | 189 | $ | 3,965 | ||||||||||||||||||||
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| |||||||||||||||||||||||||||||||
Mid Cap Growth | Money Market | |||||||||||||||||||||||||||||||||
Six months ended 6-30-15 | Year ended 12-31-14 | Six months ended 6-30-15 | Year ended 12-31-14 | |||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||
Shares issued from sale of shares | 4,522 | $ | 49,444 | 14,956 | $ | 156,737 | 69,499 | $ | 69,499 | 274,736 | $ | 274,736 | ||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 4,426 | 46,460 | 2,653 | 26,432 | 52 | 52 | 135 | 135 | ||||||||||||||||||||||||||
Shares redeemed | (2,536 | ) | (27,996 | ) | (5,954 | ) | (62,987 | ) | (36,335 | ) | (36,335 | ) | (368,053 | ) | (368,053 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
Net increase (decrease) | 6,412 | $ | 67,908 | 11,655 | $ | 120,182 | 33,216 | $ | 33,216 | (93,182 | ) | $ | (93,182 | ) | ||||||||||||||||||||
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| |||||||||||||||||||||||||||||||
Real Estate Securities | Science and Technology | |||||||||||||||||||||||||||||||||
Six months ended 6-30-15 | Year ended 12-31-14 | Six months ended 6-30-15 | Year ended 12-31-14 | |||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||
Shares issued from sale of shares | 804 | $ | 7,654 | 1,108 | $ | 9,681 | 2,624 | $ | 67,819 | 4,963 | $ | 126,886 | ||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 634 | 5,461 | 372 | 3,149 | 1,358 | 34,801 | 2,014 | 46,854 | ||||||||||||||||||||||||||
Shares redeemed | (1,165 | ) | (10,860 | ) | (1,108 | ) | (9,710 | ) | (2,385 | ) | (61,486 | ) | (4,991 | ) | (126,981 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
Net increase | 273 | $ | 2,255 | 372 | $ | 3,120 | 1,597 | $ | 41,134 | 1,986 | $ | 46,759 | ||||||||||||||||||||||
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Small Cap Growth | Small Cap Value | |||||||||||||||||||||||||||||||||
Six months ended 6-30-15 | Year ended 12-31-14 | Six months ended 6-30-15 | Year ended 12-31-14 | |||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||
Shares issued from sale of shares | 1,948 | $ | 24,700 | 7,646 | $ | 92,766 | 669 | $ | 11,805 | 4,405 | $ | 76,940 | ||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 5,677 | 66,812 | 4,050 | 43,759 | 1,621 | 27,175 | 2,615 | 43,779 | ||||||||||||||||||||||||||
Shares redeemed | (2,952 | ) | (37,955 | ) | (17,412 | ) | (224,094 | ) | (1,124 | ) | (20,065 | ) | (1,875 | ) | (34,335 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||
Net increase (decrease) | 4,673 | $ | 53,557 | (5,716 | ) | $ | (87,569 | ) | 1,166 | $ | 18,915 | 5,145 | $ | 86,384 | ||||||||||||||||||||
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| |||||||||||||||||||||||||||||||
Value | ||||||||||||||||||||||||||||||||||
Six months ended 6-30-15 | Year ended 12-31-14 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | |||||||||||||||||||||||||||||||
Shares issued from sale of shares | 2,784 | $ | 19,836 | 10,972 | $ | 80,723 | ||||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 8,521 | 55,408 | 7,565 | 51,576 | ||||||||||||||||||||||||||||||
Shares redeemed | (4,107 | ) | (29,160 | ) | (9,741 | ) | (73,834 | ) | ||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
Net increase | 7,198 | $ | 46,084 | 8,796 | $ | 58,465 | ||||||||||||||||||||||||||||
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12. COMMITMENTS
Bridge loan commitments may obligate a Portfolio to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Portfolio earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income is included in interest income on the Statements of Operations. At June 30, 2015, there were no outstanding bridge loan commitments.
13. FEDERAL INCOME TAX MATTERS ($ amounts in thousands)
For Federal income tax purposes, cost of investments owned at June 30, 2015 and the related unrealized appreciation (depreciation) were as follows:
Portfolio | Cost of Investments | Gross Appreciation | Gross Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Pathfinder Aggressive | $ | 89,265 | $ | 1,683 | $ | 2,595 | $ | (912 | ) | |||||||
Pathfinder Conservative | 121,287 | 441 | 1,171 | (730 | ) | |||||||||||
Pathfinder Moderate | 919,177 | 21,669 | 6,924 | 14,745 | ||||||||||||
Pathfinder Moderately Aggressive | 1,090,741 | 30,943 | 7,897 | 23,046 | ||||||||||||
Pathfinder Moderately Conservative | 287,835 | 4,007 | 2,899 | 1,108 | ||||||||||||
Pathfinder Moderate – Managed Volatility | 315,540 | — | 15,624 | (15,624 | ) | |||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | 60,025 | — | 3,713 | (3,713 | ) | |||||||||||
Pathfinder Moderately Conservative – Managed Volatility | 42,449 | — | 1,947 | (1,947 | ) | |||||||||||
Asset Strategy | 1,456,173 | 121,149 | 55,816 | 65,333 | ||||||||||||
Balanced | 349,325 | 66,322 | 6,049 | 60,273 | ||||||||||||
Bond | 296,775 | 5,299 | 6,618 | (1,319 | ) | |||||||||||
Core Equity | 427,063 | 68,811 | 10,664 | 58,147 | ||||||||||||
Dividend Opportunities | 432,109 | 78,059 | 9,020 | 69,039 | ||||||||||||
Energy | 131,104 | 11,909 | 9,233 | 2,676 | ||||||||||||
Global Bond | 19,954 | 350 | 1,019 | (669 | ) | |||||||||||
Global Growth | 453,340 | 60,370 | 15,783 | 44,587 | ||||||||||||
Global Natural Resources | 153,187 | 11,857 | 19,522 | (7,665 | ) | |||||||||||
Growth | 631,943 | 257,496 | 5,469 | 252,027 | ||||||||||||
High Income | 861,614 | 7,065 | 42,837 | (35,772 | ) | |||||||||||
International Core Equity | 721,788 | 46,274 | 28,683 | 17,591 | ||||||||||||
Limited-Term Bond | 393,394 | 1,193 | 865 | 328 | ||||||||||||
Micro Cap Growth | 56,901 | 19,665 | 4,941 | 14,724 | ||||||||||||
Mid Cap Growth | 521,688 | 113,455 | 36,447 | 77,008 | ||||||||||||
Money Market | 542,627 | — | — | — | ||||||||||||
Real Estate Securities | 44,022 | 4,234 | 1,868 | 2,366 | ||||||||||||
Science and Technology | 412,588 | 223,015 | 16,639 | 206,376 | ||||||||||||
Small Cap Growth | 361,349 | 120,750 | 7,198 | 113,552 | ||||||||||||
Small Cap Value | 323,062 | 38,221 | 9,490 | 28,731 | ||||||||||||
Value | 377,973 | 48,570 | 15,328 | 33,242 |
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For Federal income tax purposes, the Portfolios’ distributed and undistributed earnings and profit for the year ended December 31, 2014 and the post-October and late-year ordinary activity updated with information available through the date of this report were as follows:
Portfolio | Distributed Ordinary Income | Undistributed Ordinary Income | Distributed Long-Term Capital Gains | Undistributed Long-Term Capital Gains | Tax Return of Capital | Post-October Capital Losses Deferred | Late-Year Ordinary Losses Deferred | |||||||||||||||||||||
Pathfinder Aggressive | $ | 949 | $ | 2,386 | $ | 6,036 | $ | 8,601 | $ | — | $ | — | $ | — | ||||||||||||||
Pathfinder Conservative | 1,952 | 1,392 | 6,653 | 7,697 | — | — | — | |||||||||||||||||||||
Pathfinder Moderate | 11,327 | 15,569 | 63,926 | 73,996 | — | — | — | |||||||||||||||||||||
Pathfinder Moderately Aggressive | 12,275 | 25,237 | 75,017 | 92,849 | — | — | — | |||||||||||||||||||||
Pathfinder Moderately Conservative | 3,503 | 4,245 | 18,400 | 22,150 | — | — | — | |||||||||||||||||||||
Pathfinder Moderate – Managed Volatility | 1,691 | — | 4,283 | — | — | 67 | — | |||||||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | 814 | — | 1,498 | — | — | 25 | — | |||||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | 302 | 79 | 734 | 21 | — | — | — | |||||||||||||||||||||
Asset Strategy | 8,178 | 14,337 | 216,768 | 249,563 | — | — | — | |||||||||||||||||||||
Balanced | 7,921 | 4,730 | 30,505 | 53,171 | — | — | — | |||||||||||||||||||||
Bond | 11,940 | 8,712 | 9,436 | — | — | — | — | |||||||||||||||||||||
Core Equity | 15,331 | 12,260 | 56,753 | 70,279 | — | — | — | |||||||||||||||||||||
Dividend Opportunities | 8,905 | 13,522 | 34,234 | 48,634 | — | — | — | |||||||||||||||||||||
Energy | 232 | 71 | 3,469 | 652 | — | 2,218 | — | |||||||||||||||||||||
Global Bond | 415 | 697 | — | — | — | — | — | |||||||||||||||||||||
Global Growth | 8,928 | 2,100 | 36,409 | 24,390 | — | — | — | |||||||||||||||||||||
Global Natural Resources | — | 133 | — | — | — | 2,188 | — | |||||||||||||||||||||
Growth | 15,505 | 6,345 | 133,086 | 99,569 | — | — | — | |||||||||||||||||||||
High Income | 39,918 | 53,343 | 6,022 | 6,499 | — | — | — | |||||||||||||||||||||
International Core Equity | 55,559 | 33,621 | 13,714 | 59,822 | — | — | — | |||||||||||||||||||||
Limited-Term Bond | 2,601 | 6,692 | 602 | — | — | 140 | — | |||||||||||||||||||||
Micro Cap Growth | 172 | — | 9,582 | 10,589 | — | — | — | |||||||||||||||||||||
Mid Cap Growth | 8,594 | 4,583 | 17,837 | 41,767 | — | — | — | |||||||||||||||||||||
Money Market | 133 | 36 | — | — | — | — | — | |||||||||||||||||||||
Real Estate Securities | 469 | 1,668 | 2,681 | 3,771 | — | — | — | |||||||||||||||||||||
Science and Technology | — | — | 46,854 | 34,789 | — | — | 4 | |||||||||||||||||||||
Small Cap Growth | 11,898 | — | 31,860 | 66,810 | — | — | — | |||||||||||||||||||||
Small Cap Value | 14,775 | 2,833 | 29,005 | 24,339 | — | — | — | |||||||||||||||||||||
Value | 14,922 | 14,492 | 36,653 | 40,908 | — | — | — |
Internal Revenue Code regulations permit each Portfolio to elect to defer into its next fiscal year capital losses incurred between each November 1 and the end of its fiscal year. Each Portfolio is also permitted to defer into its next fiscal year late-year ordinary losses that arise from the netting of activity generated between each November 1 and the end of its fiscal year on certain specified ordinary items.
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Accumulated capital losses represent net capital loss carryovers as of December 31, 2014 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. Under the Regulated Investment Company Modernization Act of 2010 (the “Modernization Act”), the Portfolio is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Any losses incurred during those future taxable years will be required to be utilized prior to any losses incurred in pre-enactment taxable years which have only an eight year carryforward period. As a result of this ordering rule, pre-enactment capital loss carryovers may expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under the previous law. The Portfolio’s first fiscal year end subject to the Modernization Act was December 31, 2011. The following table shows the expiration dates for capital loss carryovers from pre-enactment taxable years and the amounts of capital loss carryovers, if any, by each of the applicable portfolios electing to be taxed as a regulated investment company during the period end December 31, 2014:
Pre-Enactment | Post-Enactment | |||||||||||||||||||||||
Portfolio | 2015 | 2016 | 2017 | 2018 | Short-Term Capital Loss Carryover | Long-Term Capital Loss Carryover | ||||||||||||||||||
Pathfinder Aggressive | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
Pathfinder Conservative | — | — | — | — | — | — | ||||||||||||||||||
Pathfinder Moderate | — | — | — | — | — | — | ||||||||||||||||||
Pathfinder Moderately Aggressive | — | — | — | — | — | — | ||||||||||||||||||
Pathfinder Moderately Conservative | — | — | — | — | — | — | ||||||||||||||||||
Pathfinder Moderate – Managed Volatility | — | — | — | — | — | — | ||||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | — | — | — | — | — | — | ||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | — | — | — | — | — | — | ||||||||||||||||||
Asset Strategy | — | — | — | — | — | — | ||||||||||||||||||
Balanced | — | — | — | — | — | — | ||||||||||||||||||
Bond | — | — | — | — | 94 | 1,104 | ||||||||||||||||||
Core Equity | — | — | — | — | — | — | ||||||||||||||||||
Dividend Opportunities | — | — | — | — | — | — | ||||||||||||||||||
Energy | — | 432 | 1,950 | 432 | — | — | ||||||||||||||||||
Global Bond | — | — | — | — | 44 | 59 | ||||||||||||||||||
Global Growth | — | — | — | — | — | — | ||||||||||||||||||
Global Natural Resources | — | — | — | — | 2,442 | 20,833 | ||||||||||||||||||
Growth | — | — | — | — | — | — | ||||||||||||||||||
High Income | — | — | — | — | — | — | ||||||||||||||||||
International Core Equity | — | — | — | — | — | — | ||||||||||||||||||
Limited-Term Bond | — | — | — | — | 876 | 3,565 | ||||||||||||||||||
Micro Cap Growth | — | — | — | — | — | — | ||||||||||||||||||
Mid Cap Growth | — | — | — | — | — | — | ||||||||||||||||||
Money Market | — | — | — | — | — | — | ||||||||||||||||||
Real Estate Securities | — | — | — | — | — | — | ||||||||||||||||||
Science and Technology | — | — | — | — | — | — | ||||||||||||||||||
Small Cap Growth | — | — | — | — | — | — | ||||||||||||||||||
Small Cap Value | — | — | — | — | — | — | ||||||||||||||||||
Value | — | — | — | — | — | — |
14. | REGULATORY AND LITIGATION MATTERS |
On July 24, 2006, WRIMCO, W&R and WRSCO (collectively, “Waddell & Reed”) reached a settlement with the SEC to resolve proceedings brought in connection with its investigation of frequent trading and market timing in certain Waddell & Reed Advisors Funds.
Under the terms of the SEC’s cease-and desist order (“SEC Order”), pursuant to which Waddell & Reed neither admitted nor denied any of the findings contained therein, among other provisions Waddell & Reed agreed to pay $40 million in disgorgement and $10 million in civil money penalties.
Pursuant to the terms of the SEC order, the $50 million in disgorgement and civil penalties, plus accrued interest (“Fair Fund”), must be distributed in accordance with a distribution plan developed by an independent distribution consultant, in consultation with W&R and as approved by the SEC, using a distribution methodology acceptable to the Funds’ Disinterested Trustees. The SEC Order also required that the independent distribution consultant develop the distribution methodology pursuant to which Fund shareholders shall receive their proportionate share of losses, if any, suffered by the Funds due to market timing. On July 15, 2014, the SEC ordered that the Fair Fund be distributed to investors as provided for in the distribution plan.
The foregoing is only a summary of the SEC Order. A copy of the SEC Order and the distribution plan are available on the SEC’s website at www.sec.gov.
2015 | SEMIANNUAL REPORT | 151 |
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Ivy Funds VIP
Proxy Voting Guidelines
A description of the policies and procedures Ivy Funds Variable Insurance Portfolios uses to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1.888.WADDELL and (ii) on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.
Proxy Voting Records
Information regarding how the Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on Form N-PX through Waddell & Reed’s website at www.waddell.com and on the SEC’s website at www.sec.gov.
152 | SEMIANNUAL REPORT | 2015 |
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QUARTERLY PORTFOLIO SCHEDULE INFORMATION
Ivy Funds VIP
Portfolio holdings can be found on the Trust’s website at www.waddell.com. Alternatively, a complete schedule of portfolio holdings of each Portfolio for the first and third quarters of each fiscal year is filed with the SEC and can be found on the Trust’s Form N-Q. These holdings may be viewed in the following ways:
• | On the SEC’s website at www.sec.gov. |
• | For review and copy at the SEC’s Public Reference Room in Washington, DC. Information on the operations of the Public Reference Room may be obtained by calling 1.800.SEC.0330. |
2015 | SEMIANNUAL REPORT | 153 |
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154 | SEMIANNUAL REPORT | 2015 |
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The Ivy Funds Variable Insurance Portfolios Family
Global/International Portfolios
Global Growth
International Core Equity
Domestic Equity Portfolios
Core Equity
Dividend Opportunities
Growth
Micro Cap Growth
Mid Cap Growth
Small Cap Growth
Small Cap Value
Value
Fixed Income Portfolios
Bond
Global Bond
High Income
Limited-Term Bond
Money Market Portfolios
Money Market
Specialty Portfolios
Asset Strategy
Balanced
Energy
Global Natural Resources
Pathfinder Aggressive
Pathfinder Conservative
Pathfinder Moderate
Pathfinder Moderately Aggressive
Pathfinder Moderately Conservative
Pathfinder Moderate – Managed Volatility
Pathfinder Moderately Aggressive – Managed Volatility
Pathfinder Moderately Conservative – Managed Volatility
Real Estate Securities
Science and Technology
The underlying portfolios discussed in this report are only available as investment options in variable annuity and variable life insurance contracts issued by life insurance companies. They are not offered or made available directly to the general public.
This report is submitted for the general information of the shareholders of Ivy Funds Variable Insurance Portfolios. It is not authorized for distribution to prospective investors in a Portfolio unless accompanied with or preceded by the current Portfolio prospectus as well as the variable product prospectus.
2015 | SEMIANNUAL REPORT | 155 |
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SEMIANN-IVYVIP (6-15)
Table of Contents
ITEM 2. | CODE OF ETHICS |
Required in annual report only.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT |
Required in annual report only.
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Required in annual report only.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS |
Not applicable.
ITEM 6. | SCHEDULE OF INVESTMENTS. |
See Item 1 Shareholder Report.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
Not applicable.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS |
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s board of directors.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | The Registrant’s Principal Executive Officer and Principal Financial Officer, or persons performing similar functions, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, have |
1
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concluded that such controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective and adequately designed to ensure that information required to be disclosed by the Registrant in its reports that it files or submits is accumulated and communicated to the Registrant’s management, including the Principal Executive Officer and Principal Financial Officer, or persons performing similar functions, as appropriate, to allow timely decisions regarding required disclosure. |
(b) | There were no significant changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the registrant’s second fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. | EXHIBITS. |
(a)(1) Required in annual report only.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)).
Attached hereto as Exhibit 99.CERT.
(b) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)).
Attached hereto as Exhibit 99.906CERT.
2
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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 VARIABLE INSURANCE PORTFOLIOS | ||
(Registrant) | ||
By | /s/ Mara D. Herrington | |
Mara D. Herrington, Vice President and Secretary | ||
Date: | September 8, 2015 |
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/ Henry J. Herrmann | |
Henry J. Herrmann, Principal Executive Officer | ||
Date: | September 8, 2015 | |
By | /s/ Joseph W. Kauten | |
Joseph W. Kauten, Principal Financial Officer | ||
Date: | September 8, 2015 |