Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-5017
Ivy 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)
Wendy J. Hills
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, 2016
Table of Contents
ITEM 1. | REPORTS TO STOCKHOLDERS. |
Table of Contents
Semiannual Report
JUNE 30, 2016 |
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 | IVY FUNDS VIP |
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2 | SEMIANNUAL REPORT | 2016 |
Table of Contents
PRESIDENT’S LETTER | IVY FUNDS VIP |
JUNE 30, 2016 (UNAUDITED) | ||
Henry J. Herrmann, CFA |
Dear Shareholder,
Over the six months since our last report to you, the financial markets experienced significant volatility, despite moderate economic growth in the U.S.
Concerns about global economic growth, the direction of interest rates, fluctuation in oil prices and the U.S. presidential election are all contributors to the volatility.
Financial markets dislike uncertainty. We believe that the roller coaster ride in stocks is not finished. Volatility is likely to continue. Regardless, we still expect moderate positive returns for 2016.
Despite the uncertain backdrop, the U.S. economic expansion has continued. The U.S. is the relative bright spot, supported primarily by the U.S. consumer, who is benefitting from lower energy prices, lower inflation in general and an improved labor market. Demand for cars, homes and furnishings is strong.
When interest rates in the U.S. will rise, and by how much, remains an area of focus. Markets reacted negatively when the Federal Reserve raised rates slightly in December and seemed to imply more increases were likely. However, global economic concerns, fueled in June by Britain’s vote to leave the European Union, altered the timetable. Future rate increases will be slow to develop. Job growth and inflation will be the most important determinants of central bank policy.
Overseas, the European Central Bank and Bank of Japan are actively engaged in aggressive easing. As yet, these steps are not leading to strengthening economic activity.
China, in the face of economic softening, has turned toward more aggressive stimulus. We believe moderate economic acceleration is likely in China in 2016, which should be beneficial to broader global growth.
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
6/30/2016 | 12/31/2015 | |||||||
S&P 500 Index | 2,098.86 | 2,043.94 | ||||||
MSCI EAFE Index | 1,608.45 | 1,716.28 | ||||||
10-Year Treasury Yield | 1.49 | % | 2.27 | % | ||||
U.S. unemployment rate | 4.90 | % | 5.00 | % | ||||
30-year fixed mortgage rate | 3.48 | % | 4.01 | % | ||||
Oil price per barrel | $48.33 | $37.04 |
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 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.
2016 | 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, 2016.
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 | 2016 |
Table of Contents
ILLUSTRATION OF PORTFOLIO EXPENSES | IVY FUNDS VIP |
(UNAUDITED)
Actual(1) | Hypothetical(2) | |||||||||||||||||||||||||||
Portfolio | Beginning Account Value 12-31-15 | Ending Account Value 6-30-16 | Expenses Paid During Period* | Beginning Account Value 12-31-15 | Ending Account Value 6-30-16 | Expenses Paid During Period* | Annualized Expense Ratio Based on the Six-Month Period | |||||||||||||||||||||
Pathfinder Aggressive | $ | 1,000 | $ | 984.40 | $ | 0.50 | $ | 1,000 | $ | 1,024.40 | $ | 0.51 | 0.09% | |||||||||||||||
Pathfinder Conservative | $ | 1,000 | $ | 998.50 | $ | 0.40 | $ | 1,000 | $ | 1,024.48 | $ | 0.40 | 0.08% | |||||||||||||||
Pathfinder Moderate | $ | 1,000 | $ | 992.20 | $ | 0.20 | $ | 1,000 | $ | 1,024.68 | $ | 0.20 | 0.04% | |||||||||||||||
Pathfinder Moderately Aggressive | $ | 1,000 | $ | 992.40 | $ | 0.20 | $ | 1,000 | $ | 1,024.67 | $ | 0.20 | 0.04% | |||||||||||||||
Pathfinder Moderately Conservative | $ | 1,000 | $ | 994.20 | $ | 0.30 | $ | 1,000 | $ | 1,024.58 | $ | 0.30 | 0.06% | |||||||||||||||
Pathfinder Moderate – Managed Volatility | $ | 1,000 | $ | 985.20 | $ | 1.19 | $ | 1,000 | $ | 1,023.62 | $ | 1.21 | 0.25% | |||||||||||||||
Pathfinder Moderately Aggressive –Managed Volatility | $ | 1,000 | $ | 983.60 | $ | 1.59 | $ | 1,000 | $ | 1,023.29 | $ | 1.62 | 0.32% | |||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | $ | 1,000 | $ | 986.90 | $ | 1.59 | $ | 1,000 | $ | 1,023.22 | $ | 1.62 | 0.33% | |||||||||||||||
Asset Strategy | $ | 1,000 | $ | 973.10 | $ | 4.83 | $ | 1,000 | $ | 1,019.93 | $ | 4.95 | 0.99% | |||||||||||||||
Balanced | $ | 1,000 | $ | 997.30 | $ | 5.09 | $ | 1,000 | $ | 1,019.80 | $ | 5.15 | 1.02% | |||||||||||||||
Bond | $ | 1,000 | $ | 1,061.50 | $ | 4.12 | $ | 1,000 | $ | 1,020.88 | $ | 4.04 | 0.80% | |||||||||||||||
Core Equity | $ | 1,000 | $ | 994.90 | $ | 4.79 | $ | 1,000 | $ | 1,020.08 | $ | 4.85 | 0.96% | |||||||||||||||
Dividend Opportunities | $ | 1,000 | $ | 1,024.30 | $ | 5.06 | $ | 1,000 | $ | 1,019.87 | $ | 5.05 | 1.01% | |||||||||||||||
Energy | $ | 1,000 | $ | 1,160.10 | $ | 6.48 | $ | 1,000 | $ | 1,018.85 | $ | 6.06 | 1.21% | |||||||||||||||
Global Bond | $ | 1,000 | $ | 1,049.00 | $ | 2.97 | $ | 1,000 | $ | 1,021.93 | $ | 2.93 | 0.59% | |||||||||||||||
Global Growth | $ | 1,000 | $ | 940.00 | $ | 5.43 | $ | 1,000 | $ | 1,019.22 | $ | 5.65 | 1.13% | |||||||||||||||
Global Natural Resources | $ | 1,000 | $ | 1,112.40 | $ | 7.29 | $ | 1,000 | $ | 1,018.01 | $ | 6.96 | 1.38% | |||||||||||||||
Growth | $ | 1,000 | $ | 957.80 | $ | 4.70 | $ | 1,000 | $ | 1,020.03 | $ | 4.85 | 0.97% | |||||||||||||||
High Income | $ | 1,000 | $ | 1,075.10 | $ | 4.57 | $ | 1,000 | $ | 1,020.45 | $ | 4.44 | 0.89% | |||||||||||||||
International Core Equity | $ | 1,000 | $ | 945.50 | $ | 5.64 | $ | 1,000 | $ | 1,019.03 | $ | 5.86 | 1.17% | |||||||||||||||
Limited-Term Bond | $ | 1,000 | $ | 1,027.90 | $ | 4.06 | $ | 1,000 | $ | 1,020.83 | $ | 4.04 | 0.81% | |||||||||||||||
Micro Cap Growth | $ | 1,000 | $ | 966.20 | $ | 6.69 | $ | 1,000 | $ | 1,018.03 | $ | 6.86 | 1.37% | |||||||||||||||
Mid Cap Growth | $ | 1,000 | $ | 1,019.90 | $ | 5.55 | $ | 1,000 | $ | 1,019.38 | $ | 5.55 | 1.10% | |||||||||||||||
Money Market | $ | 1,000 | $ | 1,000.40 | $ | 2.20 | $ | 1,000 | $ | 1,022.69 | $ | 2.22 | 0.44% | |||||||||||||||
Real Estate Securities | $ | 1,000 | $ | 1,108.30 | $ | 6.43 | $ | 1,000 | $ | 1,018.78 | $ | 6.16 | 1.22% | |||||||||||||||
Science and Technology | $ | 1,000 | $ | 909.10 | $ | 5.44 | $ | 1,000 | $ | 1,019.12 | $ | 5.75 | 1.15% | |||||||||||||||
Small Cap Growth | $ | 1,000 | $ | 966.30 | $ | 5.60 | $ | 1,000 | $ | 1,019.17 | $ | 5.75 | 1.15% | |||||||||||||||
Small Cap Value | $ | 1,000 | $ | 1,107.60 | $ | 6.11 | $ | 1,000 | $ | 1,019.08 | $ | 5.86 | 1.16% | |||||||||||||||
Value | $ | 1,000 | $ | 982.40 | $ | 5.15 | $ | 1,000 | $ | 1,019.65 | $ | 5.25 | 1.05% |
* | Portfolio expenses are equal to the Portfolio’s annualized expense ratio (provided in the table), multiplied by the average account value over the period, multiplied by 182 days in the six-month period ended June 30, 2016, and divided by 366. |
(1) | This section uses the Portfolio’s actual total return and actual Portfolio expenses. It is a guide to the actual expenses paid by the Portfolio in the period. The “Ending Account Value” shown is computed using the Portfolio’s actual return and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. A shareholder may use the information here, together with the dollar amount invested, to estimate the expenses that were paid over the period. For every thousand dollars a shareholder has invested, the expenses are listed in the last column of this section. |
(2) | This section uses a hypothetical five percent annual return and actual Portfolio expenses. It helps to compare the Portfolio’s ongoing costs with other mutual funds. A shareholder can compare the Portfolio’s ongoing costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other Portfolios. |
The above illustrations are based on ongoing costs only.
2016 | SEMIANNUAL REPORT | 5 |
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PORTFOLIO HIGHLIGHTS | PATHFINDER PORTFOLIOS |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Pathfinder Aggressive – Asset Allocation
Ivy Funds VIP Growth | 19.3% | |
Ivy Funds VIP Global Growth | 16.4% | |
Ivy Funds VIP International Core Equity | 11.8% | |
Ivy Funds VIP Small Cap Value | 10.6% | |
Ivy Funds VIP Limited-Term Bond | 10.6% | |
Ivy Funds VIP Small Cap Growth | 10.2% | |
Ivy Funds VIP Mid Cap Growth | 10.1% | |
Ivy Funds VIP Value | 9.8% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.2% |
Pathfinder Conservative – Asset Allocation
Ivy Funds VIP Money Market | 34.5% | |
Ivy Funds VIP Limited-Term Bond | 15.7% | |
Ivy Funds VIP Dividend Opportunities | 13.3% | |
Ivy Funds VIP Growth | 12.6% | |
Ivy Funds VIP International Core Equity | 6.9% | |
Ivy Funds VIP Small Cap Growth | 5.2% | |
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 | 2.1% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.5% |
Pathfinder Moderate – Asset Allocation
Ivy Funds VIP Money Market | 19.8% | |
Ivy Funds VIP Dividend Opportunities | 15.4% | |
Ivy Funds VIP Growth | 13.7% | |
Ivy Funds VIP Global Growth | 11.8% | |
Ivy Funds VIP Limited-Term Bond | 10.8% | |
Ivy Funds VIP Small Cap Growth | 7.2% | |
Ivy Funds VIP International Core Equity | 6.9% | |
Ivy Funds VIP Small Cap Value | 5.3% | |
Ivy Funds VIP Value | 5.0% | |
Ivy Funds VIP Mid Cap Growth | 4.1% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.0% |
Pathfinder Moderately Aggressive – Asset Allocation
Ivy Funds VIP Dividend Opportunities | 15.3% | |
Ivy Funds VIP Growth | 13.6% | |
Ivy Funds VIP International Core Equity | 11.9% | |
Ivy Funds VIP Global Growth | 11.7% | |
Ivy Funds VIP Limited-Term Bond | 10.7% | |
Ivy Funds VIP Money Market | 9.9% | |
Ivy Funds VIP Small Cap Value | 8.5% | |
Ivy Funds VIP Small Cap Growth | 8.3% | |
Ivy Funds VIP Mid Cap Growth | 5.1% | |
Ivy Funds VIP Value | 5.0% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.0% |
Pathfinder Moderately Conservative – Asset Allocation
Ivy Funds VIP Money Market | 24.8% | |
Ivy Funds VIP Limited-Term Bond | 15.8% | |
Ivy Funds VIP Growth | 13.7% | |
Ivy Funds VIP Dividend Opportunities | 13.3% | |
Ivy Funds VIP Global Growth | 7.0% | |
Ivy Funds VIP International Core Equity | 6.9% | |
Ivy Funds VIP Small Cap Growth | 6.2% | |
Ivy Funds VIP Value | 5.0% | |
Ivy Funds VIP Mid Cap Growth | 4.1% | |
Ivy Funds VIP Small Cap Value | 3.2% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.0% |
Pathfinder Moderate – Managed Volatility – Asset Allocation
Ivy Funds VIP Money Market | 19.2% | |
Ivy Funds VIP Dividend Opportunities | 14.9% | |
Ivy Funds VIP Growth | 13.3% | |
Ivy Funds VIP Global Growth | 11.4% | |
Ivy Funds VIP Limited-Term Bond | 10.5% | |
Ivy Funds VIP Small Cap Growth | 7.0% | |
Ivy Funds VIP International Core Equity | 6.7% | |
Ivy Funds VIP Small Cap Value | 5.2% | |
Ivy Funds VIP Value | 4.8% | |
Ivy Funds VIP Mid Cap Growth | 4.0% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.0% |
6 | SEMIANNUAL REPORT | 2016 |
Table of Contents
PORTFOLIO HIGHLIGHTS | PATHFINDER PORTFOLIOS |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Pathfinder Moderately Aggressive – Managed Volatility – Asset Allocation
Ivy Funds VIP Dividend Opportunities | 14.9% | |
Ivy Funds VIP Growth | 13.3% | |
Ivy Funds VIP International Core Equity | 11.5% | |
Ivy Funds VIP Global Growth | 11.4% | |
Ivy Funds VIP Limited-Term Bond | 10.4% | |
Ivy Funds VIP Money Market | 9.6% | |
Ivy Funds VIP Small Cap Value | 8.3% | |
Ivy Funds VIP Small Cap Growth | 8.0% | |
Ivy Funds VIP Mid Cap Growth | 5.0% | |
Ivy Funds VIP Value | 4.8% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.8% |
Pathfinder Moderately Conservative – Managed Volatility – Asset Allocation
Ivy Funds VIP Money Market | 24.2% | |
Ivy Funds VIP Limited-Term Bond | 15.4% | |
Ivy Funds VIP Growth | 13.4% | |
Ivy Funds VIP Dividend Opportunities | 13.0% | |
Ivy Funds VIP Global Growth | 6.8% | |
Ivy Funds VIP International Core Equity | 6.8% | |
Ivy Funds VIP Small Cap Growth | 6.1% | |
Ivy Funds VIP Value | 4.9% | |
Ivy Funds VIP Mid Cap Growth | 4.0% | |
Ivy Funds VIP Small Cap Value | 3.1% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.3% |
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.
2016 | SEMIANNUAL REPORT | 7 |
Table of Contents
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2016 (UNAUDITED)
Pathfinder Aggressive
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy Funds VIP Global Growth | 1,603 | $ | 12,654 | |||||
Ivy Funds VIP Growth | 1,528 | 14,900 | ||||||
Ivy Funds VIP International Core Equity | 635 | 9,082 | ||||||
Ivy Funds VIP Limited-Term Bond | 1,666 | 8,214 | ||||||
Ivy Funds VIP Mid Cap Growth | 858 | 7,784 | ||||||
Ivy Funds VIP Small Cap Growth | 869 | 7,909 | ||||||
Ivy Funds VIP Small Cap Value | 519 | 8,189 | ||||||
Ivy Funds VIP Value | 1,446 | 7,575 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 98.8% |
| $ | 76,307 | |||||
(Cost: $87,783) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.8% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (A) | $ | 597 | 597 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.8% |
| $ | 597 | |||||
(Cost: $597) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.6% |
| $ | 76,904 | |||||
(Cost: $88,380) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.4% |
| 310 | ||||||
NET ASSETS – 100.0% |
| $ | 77,214 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. 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, 2016. 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 | $ | 76,307 | $ | — | $ | — | ||||||
Short-Term Securities | — | 597 | — | |||||||||
|
| |||||||||||
Total | $ | 76,307 | $ | 597 | $ | — | ||||||
|
|
During the period ended June 30, 2016, there were no transfers between Level 1 and 2.
Pathfinder Conservative
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy Funds VIP Dividend Opportunities | 2,009 | $ | 14,980 | |||||
Ivy Funds VIP Global Growth | 308 | 2,429 | ||||||
Ivy Funds VIP Growth | 1,461 | 14,245 | ||||||
Ivy Funds VIP International Core Equity | 545 | 7,793 | ||||||
Ivy Funds VIP Limited-Term Bond | 3,589 | 17,696 | ||||||
Ivy Funds VIP Mid Cap Growth | 378 | 3,432 | ||||||
Ivy Funds VIP Money Market | 38,889 | 38,889 | ||||||
Ivy Funds VIP Small Cap Growth | 639 | 5,810 | ||||||
Ivy Funds VIP Small Cap Value | 153 | 2,405 | ||||||
Ivy Funds VIP Value | 851 | 4,457 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 99.5% |
| $ | 112,136 | |||||
(Cost: $119,845) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.5% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (A) | $ | 595 | 595 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.5% |
| $ | 595 | |||||
(Cost: $595) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 112,731 | |||||
(Cost: $120,440) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (36 | ) | |||||
NET ASSETS – 100.0% |
| $ | 112,695 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. 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, 2016. 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 | $ | 112,136 | $ | — | $ | — | ||||||
Short-Term Securities | — | 595 | — | |||||||||
|
| |||||||||||
Total | $ | 112,136 | $ | 595 | $ | — | ||||||
|
|
During the period ended June 30, 2016, there were no transfers between Level 1 and 2.
Pathfinder Moderate
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy Funds VIP Dividend Opportunities | 17,794 | $ | 132,703 | |||||
Ivy Funds VIP Global Growth | 12,855 | 101,503 | ||||||
Ivy Funds VIP Growth | 12,082 | 117,792 | ||||||
Ivy Funds VIP International Core Equity | 4,179 | 59,810 | ||||||
Ivy Funds VIP Limited-Term Bond | 18,811 | 92,742 | ||||||
Ivy Funds VIP Mid Cap Growth | 3,873 | 35,132 | ||||||
Ivy Funds VIP Money Market | 170,628 | 170,628 | ||||||
Ivy Funds VIP Small Cap Growth | 6,867 | 62,463 | ||||||
Ivy Funds VIP Small Cap Value | 2,928 | 46,161 | ||||||
Ivy Funds VIP Value | 8,165 | 42,770 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 100.0% |
| $ | 861,704 | |||||
(Cost: $925,968) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.0% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (A) | $ | 219 | 219 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.0% |
| $ | 219 | |||||
(Cost: $219) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 861,923 | |||||
(Cost: $926,187) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0% |
| 358 | ||||||
NET ASSETS – 100.0% |
| $ | 862,281 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. 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, 2016. 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 | $ | 861,704 | $ | — | $ | — | ||||||
Short-Term Securities | — | 219 | — | |||||||||
|
| |||||||||||
Total | $ | 861,704 | $ | 219 | $ | — | ||||||
|
|
During the period ended June 30, 2016, there were no transfers between Level 1 and 2.
8 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2016 (UNAUDITED)
Pathfinder Moderately Aggressive
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy Funds VIP Dividend Opportunities | 20,893 | $ | 155,811 | |||||
Ivy Funds VIP Global Growth | 15,093 | 119,173 | ||||||
Ivy Funds VIP Growth | 14,184 | 138,294 | ||||||
Ivy Funds VIP International Core Equity | 8,412 | 120,387 | ||||||
Ivy Funds VIP Limited-Term Bond | 22,087 | 108,889 | ||||||
Ivy Funds VIP Mid Cap Growth | 5,685 | 51,564 | ||||||
Ivy Funds VIP Money Market | 100,168 | 100,168 | ||||||
Ivy Funds VIP Small Cap Growth | 9,214 | 83,812 | ||||||
Ivy Funds VIP Small Cap Value | 5,501 | 86,727 | ||||||
Ivy Funds VIP Value | 9,586 | 50,218 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 100.0% |
| $ | 1,015,043 | |||||
(Cost: $1,099,899) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.0% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (A) | $ | 441 | 441 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.0% |
| $ | 441 | |||||
(Cost: $441) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 1,015,484 | |||||
(Cost: $1,100,340) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (4 | ) | |||||
NET ASSETS – 100.0% |
| $ | 1,015,480 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. 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, 2016. 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 | $ | 1,015,043 | $ | — | $ | — | ||||||
Short-Term Securities | — | 441 | — | |||||||||
|
| |||||||||||
Total | $ | 1,015,043 | $ | 441 | $ | — | ||||||
|
|
During the period ended June 30, 2016, there were no transfers between Level 1 and 2.
Pathfinder Moderately Conservative
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy Funds VIP Dividend Opportunities | 4,719 | $ | 35,191 | |||||
Ivy Funds VIP Global Growth | 2,329 | 18,387 | ||||||
Ivy Funds VIP Growth | 3,698 | 36,051 | ||||||
Ivy Funds VIP International Core Equity | 1,279 | 18,303 | ||||||
Ivy Funds VIP Limited-Term Bond | 8,435 | 41,585 | ||||||
Ivy Funds VIP Mid Cap Growth | 1,185 | 10,750 | ||||||
Ivy Funds VIP Money Market | 65,279 | 65,279 | ||||||
Ivy Funds VIP Small Cap Growth | 1,801 | 16,381 | ||||||
Ivy Funds VIP Small Cap Value | 537 | 8,472 | ||||||
Ivy Funds VIP Value | 2,499 | 13,089 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 100.0% |
| $ | 263,488 | |||||
(Cost: $283,173) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.1% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (A) | $ | 307 | 307 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.1% |
| $ | 307 | |||||
(Cost: $307) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.1% |
| $ | 263,795 | |||||
(Cost: $283,480) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.1)% |
| (329 | ) | |||||
NET ASSETS – 100.0% |
| $ | 263,466 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. 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, 2016. 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 | $ | 263,488 | $ | — | $ | — | ||||||
Short-Term Securities | — | 307 | — | |||||||||
|
| |||||||||||
Total | $ | 263,488 | $ | 307 | $ | — | ||||||
|
|
During the period ended June 30, 2016, there were no transfers between Level 1 and 2.
Pathfinder Moderate – Managed
| ||||||||
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy Funds VIP Dividend Opportunities | 9,219 | $ | 68,753 | |||||
Ivy Funds VIP Global Growth | 6,673 | 52,690 | ||||||
Ivy Funds VIP Growth | 6,270 | 61,129 | ||||||
Ivy Funds VIP International Core Equity | 2,166 | 31,006 | ||||||
Ivy Funds VIP Limited-Term Bond | 9,755 | 48,093 | ||||||
Ivy Funds VIP Mid Cap Growth | 2,007 | 18,202 | ||||||
Ivy Funds VIP Money Market | 88,508 | 88,508 | ||||||
Ivy Funds VIP Small Cap Growth | 3,559 | 32,376 | ||||||
Ivy Funds VIP Small Cap Value | 1,514 | 23,872 | ||||||
Ivy Funds VIP Value | 4,236 | 22,191 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 97.0% |
| $ | 446,820 | |||||
(Cost: $493,786) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper(A) – 1.5% |
| |||||||
BorgWarner, Inc., | ||||||||
0.670%, 7-12-16 | $ | 7,000 | 6,998 | |||||
|
| |||||||
Master Note – 0.8% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (B) | 3,466 | 3,466 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.3% |
| $ | 10,464 | |||||
(Cost: $10,464) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.3% |
| $ | 457,284 | |||||
(Cost: $504,250) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES(C) – 0.7% |
| 3,174 | ||||||
NET ASSETS – 100.0% |
| $ | 460,458 |
Notes to Schedule of Investments
(A) | Rate shown is the yield to maturity at June 30, 2016. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. Date shown represents the date that the variable rate resets. |
(C) | Cash of $2,593 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2016 (contracts unrounded):
Description | Type | Expiration Date | Number of Contracts | Value | Unrealized Depreciation | |||||||||||
E-mini Russell 2000 Index | Short | 9-16-16 | 99 | $ | (11,359 | ) | $ | (222 | ) | |||||||
S&P 500 Index | Short | 9-16-16 | 98 | (51,210 | ) | (1,176 | ) | |||||||||
|
| |||||||||||||||
$ | (62,569 | ) | $ | (1,398 | ) | |||||||||||
|
|
2016 | SEMIANNUAL REPORT | 9 |
Table of Contents
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2016 (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, 2016. 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 | $ | 446,820 | $ | — | $ | — | ||||||
Short-Term Securities | — | 10,464 | — | |||||||||
|
| |||||||||||
Total | $ | 446,820 | $ | 10,464 | $ | — | ||||||
|
| |||||||||||
Liabilities | ||||||||||||
Futures Contracts | $ | 1,398 | $ | — | $ | — | ||||||
|
|
During the period ended June 30, 2016, there were no transfers between Level 1 and 2.
Pathfinder Moderately Aggressive – Managed Volatility
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy Funds VIP Dividend Opportunities | 1,386 | $ | 10,336 | |||||
Ivy Funds VIP Global Growth | 1,002 | 7,912 | ||||||
Ivy Funds VIP Growth | 942 | 9,181 | ||||||
Ivy Funds VIP International Core Equity | 558 | 7,987 | ||||||
Ivy Funds VIP Limited-Term Bond | 1,466 | 7,225 | ||||||
Ivy Funds VIP Mid Cap Growth | 377 | 3,421 | ||||||
Ivy Funds VIP Money Market | 6,648 | 6,648 | ||||||
Ivy Funds VIP Small Cap Growth | 611 | 5,561 | ||||||
Ivy Funds VIP Small Cap Value | 365 | 5,748 | ||||||
Ivy Funds VIP Value | 636 | 3,333 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 97.2% |
| $ | 67,352 | |||||
(Cost: $77,151) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 2.3% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (A) | $ | 1,620 | 1,620 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.3% |
| $ | 1,620 | |||||
(Cost: $1,620) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.5% |
| $ | 68,972 | |||||
(Cost: $78,771) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES(B) – 0.5% |
| 350 | ||||||
NET ASSETS – 100.0% |
| $ | 69,322 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. Date shown represents the date that the variable rate resets. |
(B) | Cash of $397 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2016 (contracts unrounded):
Description | Type | Expiration Date | Number of Contracts | Value | Unrealized Depreciation | |||||||||||
E-mini Russell 2000 Index | Short | 9-16-16 | 19 | $ | (2,180 | ) | $ | (45 | ) | |||||||
S&P 500 Index | Short | 9-16-16 | 14 | (7,316 | ) | (166 | ) | |||||||||
|
| |||||||||||||||
$ | (9,496 | ) | $ | (211 | ) | |||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2016. 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 | $ | 67,352 | $ | — | $ | — | ||||||
Short-Term Securities | — | 1,620 | — | |||||||||
|
| |||||||||||
Total | $ | 67,352 | $ | 1,620 | $ | — | ||||||
|
| |||||||||||
Liabilities | ||||||||||||
Futures Contracts | $ | 211 | $ | — | $ | — | ||||||
|
|
During the period ended June 30, 2016, there were no transfers between Level 1 and 2.
10 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2016 (UNAUDITED)
Pathfinder Moderately Conservative – Managed Volatility
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy Funds VIP Dividend Opportunities | 1,069 | $ | 7,969 | |||||
Ivy Funds VIP Global Growth | 529 | 4,175 | ||||||
Ivy Funds VIP Growth | 839 | 8,182 | ||||||
Ivy Funds VIP International Core Equity | 290 | 4,149 | ||||||
Ivy Funds VIP Limited-Term Bond | 1,912 | 9,428 | ||||||
Ivy Funds VIP Mid Cap Growth | 268 | 2,434 | ||||||
Ivy Funds VIP Money Market | 14,805 | 14,805 | ||||||
Ivy Funds VIP Small Cap Growth | 408 | 3,712 | ||||||
Ivy Funds VIP Small Cap Value | 121 | 1,914 | ||||||
Ivy Funds VIP Value | 567 | 2,970 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 97.7% |
| $ | 59,738 | |||||
(Cost: $65,341) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 1.9% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (A) | $ | 1,167 | 1,167 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.9% |
| $ | 1,167 | |||||
(Cost: $1,167) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.6% |
| $ | 60,905 | |||||
(Cost: $66,508) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES(B) – 0.4% |
| 245 | ||||||
NET ASSETS – 100.0% |
| $ | 61,150 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. Date shown represents the date that the variable rate resets. |
(B) | Cash of $338 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2016 (contracts unrounded):
Description | Type | Expiration Date | Number of Contracts | Value | Unrealized Depreciation | |||||||||||
E-mini Russell 2000 Index | Short | 9-16-16 | 12 | $ | (1,377 | ) | $ | (39 | ) | |||||||
S&P 500 Index | Short | 9-16-16 | 13 | (6,793 | ) | (140 | ) | |||||||||
|
| |||||||||||||||
$ | (8,170 | ) | $ | (179 | ) | |||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2016. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Affiliated Mutual Funds | $ | 59,738 | $ | — | $ | — | ||||||
Short-Term Securities | — | 1,167 | — | |||||||||
|
| |||||||||||
Total | $ | 59,738 | $ | 1,167 | $ | — | ||||||
|
| |||||||||||
Liabilities | ||||||||||||
Futures Contracts | $ | 179 | $ | — | $ | — | ||||||
|
|
During the period ended June 30, 2016, there were no transfers between Level 1 and 2.
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 11 |
Table of Contents
PORTFOLIO HIGHLIGHTS | ASSET STRATEGY |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 48.9% | |||
Information Technology | 10.1% | |||
Consumer Discretionary | 8.7% | |||
Health Care | 8.5% | |||
Consumer Staples | 6.2% | |||
Financials | 5.7% | |||
Energy | 5.4% | |||
Industrials | 2.9% | |||
Materials | 1.4% | |||
Bullion (Gold) | 6.9% | |||
Purchased Options | 0.0% | |||
Bonds | 20.0% | |||
United States Government and Government Agency Obligations | 14.7% | |||
Corporate Debt Securities | 5.3% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 24.2% |
Country Weightings
North America | 52.9% | |||
United States | 52.9% | |||
Europe | 10.6% | |||
United Kingdom | 6.8% | |||
Other Europe | 3.8% | |||
Bullion (Gold) | 6.9% | |||
Pacific Basin | 4.7% | |||
Other | 0.7% | |||
Cash and Other Assets (Net of Liabilities), Cash Equivalents+ and Purchased Options | 24.2% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Kraft Foods Group, Inc. | United States | Consumer Staples | Packaged Foods & Meats | |||
Microsoft Corp. | United States | Information Technology | Systems Software | |||
Halliburton Co. | United States | Energy | Oil & Gas Equipment & Services | |||
Adobe Systems, Inc. | United States | Information Technology | Application Software | |||
Home Depot, Inc. (The) | United States | Consumer Discretionary | Home Improvement Retail | |||
Pfizer, Inc. | United States | Health Care | Pharmaceuticals | |||
Intuit, Inc. | United States | Information Technology | Application Software | |||
JPMorgan Chase & Co. | United States | Financials | Other Diversified Financial Services | |||
Chipotle Mexican Grill, Inc., Class A | United States | Consumer Discretionary | Restaurants | |||
Allergan plc | United States | Health Care | Pharmaceuticals |
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.
12 | SEMIANNUAL REPORT | 2016 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Auto Parts & Equipment – 1.5% |
| |||||||
Continental AG (A) | 42 | $ | 7,853 | |||||
Delphi Automotive plc | 130 | 8,113 | ||||||
|
| |||||||
15,966 | ||||||||
|
| |||||||
Automobile Manufacturers – 0.4% |
| |||||||
Suzuki Motor Corp. (A) | 145 | 3,920 | ||||||
|
| |||||||
Cable & Satellite – 1.3% |
| |||||||
Comcast Corp., Class A | 216 | 14,107 | ||||||
|
| |||||||
Home Improvement Retail – 1.4% |
| |||||||
Home Depot, Inc. (The) | 121 | 15,438 | ||||||
|
| |||||||
Internet Retail – 1.1% |
| |||||||
Amazon.com, Inc. (B) | 16 | 11,629 | ||||||
|
| |||||||
Leisure Facilities – 0.0% |
| |||||||
Circuit of the Americas LLC, Class B (B) | — | * | — | |||||
|
| |||||||
Leisure Products – 1.2% |
| |||||||
Media Group Holdings LLC, Series H (B)(C)(D) | 32 | 1,599 | ||||||
Media Group Holdings LLC, Series I (B)(C)(D) | 19 | 6,540 | ||||||
Media Group Holdings LLC, Series T (B)(C)(D) | 4 | 5,354 | ||||||
|
| |||||||
13,493 | ||||||||
|
| |||||||
Movies & Entertainment – 0.0% |
| |||||||
Delta Topco Ltd. (B)(C) | 56,728 | — | * | |||||
|
| |||||||
Restaurants – 1.4% |
| |||||||
Chipotle Mexican Grill, Inc., Class A (B) | 38 | 15,224 | ||||||
|
| |||||||
Tires & Rubber – 0.4% |
| |||||||
Bridgestone Corp. (A) | 145 | 4,673 | ||||||
|
| |||||||
Total Consumer Discretionary – 8.7% |
| 94,450 | ||||||
Consumer Staples |
| |||||||
Brewers – 1.2% |
| |||||||
InBev N.V. (A) | 94 | 12,417 | ||||||
|
| |||||||
Hypermarkets & Super Centers – 0.6% |
| |||||||
Costco Wholesale Corp. | 43 | 6,721 | ||||||
|
| |||||||
Packaged Foods & Meats – 1.9% |
| |||||||
Kraft Foods Group, Inc. | 235 | 20,828 | ||||||
|
| |||||||
Soft Drinks – 1.1% |
| |||||||
Coca-Cola Co. (The) | 263 | 11,913 | ||||||
|
| |||||||
Tobacco – 1.4% |
| |||||||
ITC Ltd. (A) | 521 | 2,853 | ||||||
Philip Morris International, Inc. | 120 | 12,237 | ||||||
|
| |||||||
15,090 | ||||||||
|
| |||||||
Total Consumer Staples – 6.2% |
| 66,969 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 2.8% |
| |||||||
Halliburton Co. | 402 | $ | 18,202 | |||||
Schlumberger Ltd. | 152 | 12,020 | ||||||
|
| |||||||
30,222 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 2.6% |
| |||||||
Cabot Oil & Gas Corp. | 50 | 1,282 | ||||||
EOG Resources, Inc. | 145 | 12,113 | ||||||
Noble Energy, Inc. | 333 | 11,955 | ||||||
Pioneer Natural Resources Co. | 24 | 3,690 | ||||||
|
| |||||||
29,040 | ||||||||
|
| |||||||
Total Energy – 5.4% |
| 59,262 | ||||||
Financials |
| |||||||
Diversified Banks – 1.4% |
| |||||||
Axis Bank Ltd. (A) | 925 | 7,351 | ||||||
Banca Intesa S.p.A. (A) | 3,035 | 5,781 | ||||||
Kabushiki Kaisha Mitsubishi Tokyo Financial Group (A) | 379 | 1,701 | ||||||
|
| |||||||
14,833 | ||||||||
|
| |||||||
Life & Health Insurance – 1.2% |
| |||||||
AIA Group Ltd. (A) | 2,278 | 13,700 | ||||||
|
| |||||||
Other Diversified Financial Services – 2.6% |
| |||||||
Citigroup, Inc. | 302 | 12,799 | ||||||
JPMorgan Chase & Co. | 247 | 15,333 | ||||||
|
| |||||||
28,132 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.5% |
| |||||||
Berkshire Hathaway, Inc., Class B (B) | 39 | 5,603 | ||||||
|
| |||||||
Total Financials – 5.7% |
| 62,268 | ||||||
Health Care |
| |||||||
Biotechnology – 1.9% |
| |||||||
Alexion Pharmaceuticals, Inc. (B) | 62 | 7,258 | ||||||
Amgen, Inc. | 91 | 13,898 | ||||||
|
| |||||||
21,156 | ||||||||
|
| |||||||
Health Care Equipment – 0.7% |
| |||||||
Medtronic plc | 82 | 7,115 | ||||||
|
| |||||||
Managed Health Care – 0.8% |
| |||||||
Anthem, Inc. | 66 | 8,669 | ||||||
|
| |||||||
Pharmaceuticals – 5.1% |
| |||||||
Allergan plc (B) | 63 | 14,538 | ||||||
Bristol-Myers Squibb Co. | 132 | 9,694 | ||||||
Pfizer, Inc. | 438 | 15,411 | ||||||
Shire Pharmaceuticals Group plc ADR | 43 | 7,826 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 156 | 7,839 | ||||||
|
| |||||||
55,308 | ||||||||
|
| |||||||
Total Health Care – 8.5% |
| 92,248 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrials |
| |||||||
Aerospace & Defense – 1.2% |
| |||||||
Lockheed Martin Corp. | 52 | $ | 12,880 | |||||
|
| |||||||
Construction & Engineering – 0.6% |
| |||||||
Larsen & Toubro Ltd. (A) | 304 | 6,768 | ||||||
|
| |||||||
Industrial Conglomerates – 1.1% |
| |||||||
General Electric Co. | 380 | 11,972 | ||||||
|
| |||||||
Total Industrials – 2.9% |
| 31,620 | ||||||
Information Technology |
| |||||||
Application Software – 2.8% |
| |||||||
Adobe Systems, Inc. (B) | 162 | 15,472 | ||||||
Intuit, Inc. | 138 | 15,402 | ||||||
|
| |||||||
30,874 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 1.6% |
| |||||||
FleetCor Technologies, Inc. (B) | 36 | 5,124 | ||||||
Visa, Inc., Class A | 161 | 11,949 | ||||||
|
| |||||||
17,073 | ||||||||
|
| |||||||
Internet Software & Services – 2.4% |
| |||||||
Alibaba Group Holding Ltd. ADR (B) | 119 | 9,488 | ||||||
Alphabet, Inc., Class A (B) | 19 | 13,578 | ||||||
Facebook, Inc., Class A (B) | 25 | 2,809 | ||||||
|
| |||||||
25,875 | ||||||||
|
| |||||||
IT Consulting & Other Services – 1.3% |
| |||||||
Cognizant Technology Solutions Corp., Class A (B) | 243 | 13,897 | ||||||
|
| |||||||
Semiconductors – 0.3% |
| |||||||
Micron Technology, Inc. (B) | 266 | 3,653 | ||||||
|
| |||||||
Systems Software – 1.7% |
| |||||||
Microsoft Corp. | 373 | 19,082 | ||||||
|
| |||||||
Total Information Technology – 10.1% |
| 110,454 | ||||||
Materials |
| |||||||
Diversified Metals & Mining – 0.8% |
| |||||||
BHP Billiton plc (A) | 267 | 3,375 | ||||||
Rio Tinto plc (A) | 182 | 5,659 | ||||||
|
| |||||||
9,034 | ||||||||
|
| |||||||
Paper Products – 0.6% |
| |||||||
International Paper Co. | 146 | 6,204 | ||||||
|
| |||||||
Total Materials – 1.4% |
| 15,238 | ||||||
TOTAL COMMON STOCKS – 48.9% |
| $ | 532,509 | |||||
(Cost: $589,746) |
2016 | SEMIANNUAL REPORT | 13 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2016 (UNAUDITED)
PURCHASED OPTIONS | Number of Contracts (Unrounded) | Value | ||||||
Facebook, Inc., Class A, | ||||||||
Call $130.00, Expires 7-15-16, OTC (Ctrpty: Deutsche Bank AG) | 750 | $ | 2 | |||||
NIKE, Inc., Class B, | ||||||||
Call $65.00, Expires 10-21-16, OTC (Ctrpty: Citibank N.A.) | 2,400 | 52 | ||||||
Parker-Hannifin Corp., | ||||||||
Call $125.00, Expires 8-19-16, OTC (Ctrpty: UBS AG) | 375 | 6 | ||||||
PPG Industries, Inc., | ||||||||
Call $125.00, Expires 8-19-16, OTC (Ctrpty: JPMorgan Chase Bank N.A.) | 250 | 1 | ||||||
Union Pacific Corp., | ||||||||
Call $92.50, Expires 8-19-16, OTC (Ctrpty: JPMorgan Chase Bank N.A.) | 700 | 73 | ||||||
|
| |||||||
TOTAL PURCHASED OPTIONS – 0.0% |
| $ | 134 | |||||
(Cost: $799) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Consumer Discretionary |
| |||||||
Leisure Facilities – 0.1% |
| |||||||
Circuit of the Americas LLC, Series D, | ||||||||
0.000%, 12-31-20 (E) | $ | 3,642 | 1,127 | |||||
|
| |||||||
Movies & Entertainment – 5.2% |
| |||||||
Delta Topco Ltd., | ||||||||
10.000%, 11-24-60 (C)(F) | 57,563 | 56,679 | ||||||
|
| |||||||
Total Consumer Discretionary – 5.3% |
| 57,806 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 5.3% |
| $ | 57,806 | |||||
(Cost: $60,647) | ||||||||
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | ||||||||
Mortgage-Backed Obligations – 0.0% |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO: | ||||||||
5.500%, 3-15-23 (G) | 41 | 3 | ||||||
5.500%, 10-15-25 (G) | 200 | 24 | ||||||
6.000%, 11-15-35 (G) | 123 | 27 | ||||||
Federal National Mortgage Association Agency REMIC/CMO: | ||||||||
5.500%, 6-25-23 (G) | 81 | 9 | ||||||
5.500%, 8-25-33 (G) | 125 | 17 | ||||||
5.500%, 4-25-34 (G) | 210 | 40 | ||||||
5.500%, 11-25-36 (G) | 268 | 47 |
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS (Continued) | Principal | Value | ||||||
Mortgage-Backed Obligations (Continued) |
| |||||||
Government National Mortgage Association Agency REMIC/CMO, | ||||||||
5.500%, 7-20-35 (G) | $ | 110 | $ | 25 | ||||
|
| |||||||
192 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 0.0% |
| $ | 192 | |||||
(Cost: $193) | ||||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
Treasury Inflation Protected Obligations – 1.1% |
| |||||||
U.S. Treasury Notes: | ||||||||
0.125%, 4-15-21 | 4,256 | 4,362 | ||||||
0.625%, 1-15-26 | 7,895 | 8,316 | ||||||
|
| |||||||
12,678 | ||||||||
|
| |||||||
Treasury Obligations – 13.6% |
| |||||||
U.S. Treasury Bonds: | ||||||||
2.250%, 11-15-25 | 20,529 | 21,914 | ||||||
2.875%, 8-15-45 | 13,879 | 15,589 | ||||||
3.000%, 11-15-45 | 11,079 | 12,750 | ||||||
2.500%, 2-15-46 | 11,754 | 12,250 | ||||||
U.S. Treasury Notes: | ||||||||
1.625%, 7-31-20 | 10,230 | 10,522 | ||||||
1.750%, 12-31-20 (H) | 9,135 | 9,451 | ||||||
1.375%, 1-31-21 (H) | 23,154 | 23,568 | ||||||
2.000%, 8-15-25 | 28,890 | 30,217 | ||||||
1.625%, 2-15-26 | 11,483 | 11,619 | ||||||
|
| |||||||
147,880 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 14.7% |
| $ | 160,558 | |||||
(Cost: $153,722) | ||||||||
BULLION – 6.9% | Troy Ounces | |||||||
Gold | 56 | 74,706 | ||||||
|
| |||||||
(Cost: $69,043) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (I) – 19.5% |
| |||||||
Baxter International, Inc.: | ||||||||
0.630%, 7-6-16 | $ | 6,000 | 5,999 | |||||
0.730%, 7-11-16 | 7,000 | 6,998 | ||||||
Becton Dickinson & Co.: | ||||||||
0.730%, 7-12-16 | 5,000 | 4,999 | ||||||
0.760%, 7-27-16 | 7,000 | 6,996 | ||||||
BMW U.S. Capital LLC (GTD by BMW AG), | ||||||||
0.390%, 7-13-16 | 6,000 | 5,999 | ||||||
BorgWarner, Inc.: | ||||||||
0.700%, 7-6-16 | 5,000 | 5,000 | ||||||
0.670%, 7-12-16 | 10,000 | 9,998 | ||||||
Campbell Soup Co., | ||||||||
0.750%, 7-21-16 | 9,200 | 9,196 |
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Commercial Paper (I) (Continued) |
| |||||||
Caterpillar Financial Services Corp. (GTD by Caterpillar, Inc.), | ||||||||
0.470%, 7-26-16 | $ | 5,000 | $ | 4,998 | ||||
GlaxoSmithKline Finance plc (GTD by GlaxoSmithKline plc), | ||||||||
0.380%, 7-12-16 | 5,000 | 4,999 | ||||||
Harley-Davidson Financial Services (GTD by Harley-Davidson Credit Corp.), | ||||||||
0.740%, 7-14-16 | 5,000 | 4,999 | ||||||
J.M. Smucker Co. (The), | ||||||||
0.620%, 7-6-16 | 6,000 | 5,999 | ||||||
John Deere Canada ULC (GTD by Deere & Co.), | ||||||||
0.400%, 7-13-16 | 5,000 | 4,999 | ||||||
John Deere Financial Ltd. (GTD by John Deere Capital Corp.), | ||||||||
0.490%, 8-3-16 | 10,000 | 9,995 | ||||||
Kroger Co. (The), | ||||||||
0.570%, 7-1-16 | 4,507 | 4,507 | ||||||
Malayan Banking Berhad (GTD by Wells Fargo Bank N.A.), | ||||||||
0.430%, 7-26-16 | 7,300 | 7,298 | ||||||
McCormick & Co., Inc.: | ||||||||
0.570%, 7-1-16 | 5,000 | 5,000 | ||||||
0.640%, 7-14-16 | 10,000 | 9,998 | ||||||
Mondelez International, Inc., | ||||||||
0.650%, 7-5-16 | 10,000 | 9,999 | ||||||
NBCUniversal Enterprise, Inc.: | ||||||||
0.750%, 7-19-16 | 5,000 | 4,998 | ||||||
0.750%, 7-20-16 | 5,000 | 4,998 | ||||||
Novartis Securities Investment Ltd. (GTD by Novartis AG), | ||||||||
0.480%, 8-9-16 | 5,000 | 4,997 | ||||||
PepsiCo, Inc., | ||||||||
0.400%, 7-20-16 | 5,000 | 4,999 | ||||||
Rockwell Automation, Inc., | ||||||||
0.650%, 7-21-16 | 4,000 | 3,999 | ||||||
Shell International Finance B.V. (GTD by Royal Dutch Shell plc): | ||||||||
0.510%, 7-1-16 | 5,000 | 5,000 | ||||||
0.320%, 7-11-16 | 6,000 | 5,999 | ||||||
United Technologies Corp., | ||||||||
0.730%, 7-11-16 | 5,000 | 4,999 | ||||||
Virginia Electric and Power Co.: | ||||||||
0.660%, 7-7-16 | 6,000 | 5,999 | ||||||
0.650%, 7-19-16 | 10,000 | 9,997 | ||||||
0.660%, 8-2-16 | 5,000 | 4,997 | ||||||
W.W. Grainger, Inc., | ||||||||
0.350%, 7-12-16 | 5,000 | 4,999 | ||||||
Wisconsin Electric Power Co., | ||||||||
0.480%, 7-5-16 | 3,713 | 3,713 | ||||||
Wisconsin Gas LLC: | ||||||||
0.470%, 7-7-16 | 5,000 | 4,999 | ||||||
0.430%, 7-11-16 | 10,000 | 9,998 | ||||||
|
| |||||||
212,667 | ||||||||
|
| |||||||
Master Note – 0.3% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (J) | 3,140 | 3,140 | ||||||
|
|
14 | SEMIANNUAL REPORT | 2016 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2016 (UNAUDITED)
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Municipal Obligations – 3.6% |
| |||||||
MI Strategic Fund, Var Rate Demand Ltd. Oblig Rev Bonds (Air Prods and Chemicals, Inc. Proj), Ser 2007 (GTD by Air Prods and Chemicals, Inc.), | ||||||||
0.400%, 7-1-16 (J) | $ | 12,505 | $ | 12,505 | ||||
MS Business Fin Corp., Gulf Opp Zone Indl Dev Rev Bonds (Chevron USA, Inc. Proj), Ser 2007D (GTD by Chevron Corp.), | ||||||||
0.390%, 7-1-16 (J) | 27,100 | 27,100 | ||||||
|
| |||||||
39,605 | ||||||||
|
|
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
United States Government Agency Obligations – 0.4% |
| |||||||
Overseas Private Investment Corp. (GTD by U.S. Government), | ||||||||
0.390%, 7-7-16 (J) | $ | 4,000 | $ | 4,000 | ||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 23.8% | $ | 259,412 | ||||||
(Cost: $259,418) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.6% |
| $ | 1,085,317 | |||||
(Cost: $1,133,568) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.4% |
| 4,597 | ||||||
NET ASSETS – 100.0% |
| $ | 1,089,914 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | Listed on an exchange outside the United States. |
(B) | No dividends were paid during the preceding 12 months. |
(C) | Restricted securities. At June 30, 2016, 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 | $ | 26,773 | $ | — | * | |||||||||||||
Media Group Holdings LLC, Series H | 8-29-13 to 10-31-13 | 32 | 22,374 | 1,599 | ||||||||||||||||
Media Group Holdings LLC, Series I | 4-23-13 to 11-8-13 | 19 | 10,478 | 6,540 | ||||||||||||||||
Media Group Holdings LLC, Series T | 7-2-13 to 1-23-15 | 4 | 8,613 | 5,354 | ||||||||||||||||
Principal | ||||||||||||||||||||
Delta Topco Ltd., 10.000%, 11-24-60 | 4-1-12 to 1-1-15 | $ | 57,563 | 58,053 | 56,679 | |||||||||||||||
|
| |||||||||||||||||||
$ | 126,291 | $ | 70,172 | |||||||||||||||||
|
|
The total value of these securities represented 6.4% of net assets at June 30, 2016. |
(D) | Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is owned by the Portfolio and consolidated as described in Note 6 of the Notes to Financial Statements. |
(E) | Zero coupon bond. |
(F) | Payment-in-kind bonds. |
(G) | Interest-only security. Amount shown as principal represents notional amount for computation of interest. |
(H) | All or a portion of securities with an aggregate value of $950 are held in collateralized accounts for OTC derivatives collateral and is governed by International Swaps and Derivatives Association, Inc. Master Agreements. |
(I) | Rate shown is the yield to maturity at June 30, 2016. |
(J) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. Date shown represents the date that the variable rate resets. |
2016 | SEMIANNUAL REPORT | 15 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2016 (UNAUDITED)
The following forward foreign currency contracts were outstanding at June 30, 2016:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
British Pound | 3,200 | U.S. Dollar | 4,311 | 7-25-16 | State Street Global Markets | $ | 50 | $ | — | |||||||||||||||||||
Euro | 11,300 | U.S. Dollar | 12,553 | 7-25-16 | State Street Global Markets | 3 | — | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 53 | $ | — | |||||||||||||||||||||||||
|
|
The following written options were outstanding at June 30, 2016 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Expiration Month | Exercise Price | Premium Received | Value | |||||||||||||||||||||||
Facebook, Inc., Class A | Deutsche Bank AG | Put | 500 | July 2016 | $ | 110.00 | $ | 102 | $ | (28 | ) | |||||||||||||||||||
NIKE, Inc., Class B | Citibank N.A. | Put | 1,920 | October 2016 | 55.00 | 435 | (539 | ) | ||||||||||||||||||||||
Parker-Hannifin Corp. | UBS AG | Put | 250 | August 2016 | 105.00 | 80 | (67 | ) | ||||||||||||||||||||||
PPG Industries, Inc. | JPMorgan Chase Bank N.A. | Put | 250 | August 2016 | 105.00 | 55 | (105 | ) | ||||||||||||||||||||||
Union Pacific Corp. | JPMorgan Chase Bank N.A. | Put | 636 | August 2016 | 82.50 | 170 | (98 | ) | ||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | 842 | $ | (837 | ) | ||||||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2016. 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 | $ | 64,511 | $ | 16,446 | $ | 13,493 | ||||||
Consumer Staples | 51,699 | 15,270 | — | |||||||||
Energy | 59,262 | — | — | |||||||||
Financials | 33,735 | 28,533 | — | |||||||||
Health Care | 92,248 | — | — | |||||||||
Industrials | 24,852 | 6,768 | — | |||||||||
Information Technology | 110,454 | — | — | |||||||||
Materials | 6,204 | 9,034 | — | |||||||||
Total Common Stocks | $ | 442,965 | $ | 76,051 | $ | 13,493 | ||||||
Purchased Options | — | 134 | — | |||||||||
Corporate Debt Securities | — | 1,127 | 56,679 | |||||||||
United States Government Agency Obligations | — | 192 | — | |||||||||
United States Government Obligations | — | 160,558 | — | |||||||||
Bullion | 74,706 | — | — | |||||||||
Short-Term Securities | — | 259,412 | — | |||||||||
Total | $ | 517,671 | $ | 497,474 | $ | 70,172 | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 53 | $ | — | ||||||
Liabilities | ||||||||||||
Written Options | $ | — | $ | 837 | $ | — |
During the period ended June 30, 2016, securities totaling $87,406 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on June 30, 2016. Transfers out of Level 1 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 1-1-16 | $ | 43,715 | $ | 52,330 | ||||
Net realized gain (loss) | — | — | ||||||
Net change in unrealized appreciation (depreciation) | (27,699 | ) | (884 | ) | ||||
Purchases | — | 5,233 | ||||||
Sales | (2,523 | ) | — | |||||
Amortization/Accretion of premium/discount | — | — | ||||||
Transfers into Level 3 during the period | — | — | ||||||
Transfers out of Level 3 during the period | — | — | ||||||
Ending Balance 6-30-16 | $ | 13,493 | $ | 56,679 | ||||
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 6-30-16 | $ | (27,699 | ) | $ | (884 | ) |
16 | SEMIANNUAL REPORT | 2016 |
Table of Contents
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2016 (UNAUDITED)
Information about Level 3 fair value measurements:
Fair Value at 6-30-16 | Valuation Technique(s) | Unobservable Input(s) | Input Value(s) | |||||||||
Assets | ||||||||||||
Common Stocks | $ | 5,354 | Discounted cash flows model | Long-term growth rate | 2.50% | |||||||
Weighted average cost of capital | 9.62 to 15.12% | |||||||||||
Illiquidity discount | 10% | |||||||||||
6,540 | Transaction | Price | $344 | |||||||||
Illiquidity discount | 2.5 to 10% | |||||||||||
1,599 | Discounted cash flows model | Long-term growth rate | 2.5% | |||||||||
Weighted average cost of capital | 40% | |||||||||||
Illiquidity discount | 10% | |||||||||||
Methodology Weighting | 75% | |||||||||||
Discounted book value | Discount factor | 24% | ||||||||||
Illiquidity discount | 10% | |||||||||||
Methodology Weighting | 25% | |||||||||||
Corporate Debt Securities | 56,679 | Discounted cash flows model | Long-term growth rate | 2.50% | ||||||||
Weighted average cost of capital | 9.62% | |||||||||||
Illiquidity discount | 10% |
Significant increases (decreases) in long-term growth rate inputs or transaction price could result in a higher (lower) fair value measurement. However, significant increases (decreases) in weighted average cost of capital, discount factors, or illiquidity discount inputs could result in a lower (higher) fair value measurement.
During the period ended June 30, 2016, securities totaling $7,651 changed valuation techniques from discounted cash flows model to a transaction approach. The change in valuation techniques is primarily due to the discounted cash flows model no longer reflecting current market participant assumptions.
During the period ended June 30, 2016, securities totaling $3,533 changed valuation techniques from discounted cash flows model to a blended methodology of discounted cash flows model and discounted book value. The change in valuation techniques is primarily due to the blended methodology more closely reflecting current market participant assumptions.
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 | 52.9% | |||
United Kingdom | 6.8% | |||
India | 1.6% | |||
Ireland | 1.4% | |||
Hong Kong | 1.2% | |||
Belgium | 1.2% | |||
Japan | 1.0% | |||
Other Countries | 2.8% | |||
Other+ | 31.1% |
+Includes gold bullion, options, cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 17 |
Table of Contents
PORTFOLIO HIGHLIGHTS | BALANCED |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 52.7% | |||
Health Care | 13.6% | |||
Information Technology | 9.8% | |||
Consumer Discretionary | 7.1% | |||
Financials | 6.9% | |||
Consumer Staples | 5.6% | |||
Energy | 3.9% | |||
Industrials | 2.9% | |||
Materials | 2.4% | |||
Telecommunication Services | 0.5% | |||
Purchased Options | 0.0% | |||
Bonds | 31.0% | |||
Corporate Debt Securities | 30.1% | |||
Loans | 0.5% | |||
United States Government and Government Agency Obligations | 0.4% | |||
Cash and Other Assets (Net of Liabilities), | 16.3% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Carnival Corp. | Consumer Discretionary | Hotels, Resorts & Cruise Lines | ||
Shire Pharmaceuticals Group plc ADR | Health Care | Pharmaceuticals | ||
Comcast Corp., Class A | Consumer Discretionary | Cable & Satellite | ||
Johnson & Johnson | Health Care | Pharmaceuticals | ||
JPMorgan Chase & Co. | Financials | Other Diversified Financial Services | ||
Crown Castle International Corp. | Financials | Specialized REITs | ||
Mead Johnson Nutrition Co. | Consumer Staples | Packaged Foods & Meats | ||
Allergan plc, Convertible Series A, 5.500% | Health Care | Pharmaceuticals | ||
Teva Pharmaceutical Industries Ltd. ADR | Health Care | Pharmaceuticals | ||
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.
18 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Cable & Satellite – 1.6% |
| |||||||
Comcast Corp., Class A | 89 | $ | 5,820 | |||||
|
| |||||||
Casinos & Gaming – 0.8% |
| |||||||
Las Vegas Sands, Inc. | 73 | 3,172 | ||||||
|
| |||||||
Home Improvement Retail – 0.7% |
| |||||||
Home Depot, Inc. (The) | 22 | 2,794 | ||||||
|
| |||||||
Homefurnishing Retail – 1.0% |
| |||||||
Williams-Sonoma, Inc. | 70 | 3,654 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 1.9% |
| |||||||
Carnival Corp. | 156 | 6,907 | ||||||
|
| |||||||
Movies & Entertainment – 1.1% |
| |||||||
Twenty-First Century Fox, Inc. | 151 | 4,125 | ||||||
|
| |||||||
Total Consumer Discretionary – 7.1% | 26,472 | |||||||
Consumer Staples |
| |||||||
Brewers – 1.1% |
| |||||||
Anheuser-Busch InBev S.A. ADR | 31 | 4,114 | ||||||
|
| |||||||
Distillers & Vintners – 0.8% |
| |||||||
Constellation Brands, Inc. | 18 | 3,019 | ||||||
|
| |||||||
Packaged Foods & Meats – 3.7% |
| |||||||
J.M. Smucker Co. (The) | 26 | 3,965 | ||||||
Kraft Foods Group, Inc. | 47 | 4,118 | ||||||
Mead Johnson Nutrition Co. | 59 | 5,341 | ||||||
|
| |||||||
13,424 | ||||||||
|
| |||||||
Total Consumer Staples – 5.6% | 20,557 | |||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 1.1% |
| |||||||
Schlumberger Ltd. | 50 | 3,981 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 2.2% |
| |||||||
Newfield Exploration Co. (A) | 97 | 4,295 | ||||||
Noble Energy, Inc. | 113 | 4,048 | ||||||
|
| |||||||
8,343 | ||||||||
|
| |||||||
Total Energy – 3.3% | 12,324 | |||||||
Financials |
| |||||||
Investment Banking & Brokerage – 1.0% |
| |||||||
Morgan Stanley | 138 | 3,592 | ||||||
|
| |||||||
Other Diversified Financial Services – 1.5% |
| |||||||
JPMorgan Chase & Co. (B) | 90 | 5,599 | ||||||
|
| |||||||
Regional Banks – 1.2% |
| |||||||
PNC Financial Services Group, Inc. (The) | 56 | 4,538 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Specialized Finance – 1.2% |
| |||||||
Intercontinental Exchange, Inc. | 18 | $ | 4,633 | |||||
|
| |||||||
Specialized REITs – 1.5% |
| |||||||
Crown Castle International Corp. | 53 | 5,381 | ||||||
|
| |||||||
Total Financials – 6.4% | 23,743 | |||||||
Health Care |
| |||||||
Biotechnology – 0.5% |
| |||||||
Biogen, Inc. (A) | 8 | 1,814 | ||||||
|
| |||||||
Health Care Equipment – 1.8% |
| |||||||
DexCom, Inc. (A) | 29 | 2,266 | ||||||
Medtronic plc | 52 | 4,504 | ||||||
|
| |||||||
6,770 | ||||||||
|
| |||||||
Health Care Services – 0.9% |
| |||||||
Laboratory Corp. of America Holdings (A) | 24 | 3,107 | ||||||
|
| |||||||
Managed Health Care – 2.0% |
| |||||||
Anthem, Inc. | 33 | 4,354 | ||||||
UnitedHealth Group, Inc. | 21 | 2,990 | ||||||
|
| |||||||
7,344 | ||||||||
|
| |||||||
Pharmaceuticals – 5.9% |
| |||||||
Allergan plc (A) | 18 | 4,206 | ||||||
Johnson & Johnson | 46 | 5,636 | ||||||
Shire Pharmaceuticals Group plc ADR | 37 | 6,776 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 105 | 5,297 | ||||||
|
| |||||||
21,915 | ||||||||
|
| |||||||
Total Health Care – 11.1% | 40,950 | |||||||
Industrials |
| |||||||
Industrial Conglomerates – 1.1% |
| |||||||
General Electric Co. | 123 | 3,859 | ||||||
|
| |||||||
Railroads – 1.1% |
| |||||||
Union Pacific Corp. | 48 | 4,205 | ||||||
|
| |||||||
Total Industrials – 2.2% | 8,064 | |||||||
Information Technology |
| |||||||
Application Software – 1.1% |
| |||||||
Autodesk, Inc. (A) | 72 | 3,895 | ||||||
|
| |||||||
Communications Equipment – 1.1% |
| |||||||
Harris Corp. | 50 | 4,162 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 0.8% |
| |||||||
FleetCor Technologies, Inc. (A) | 21 | 3,059 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
IT Consulting & Other Services – 1.2% |
| |||||||
Cognizant Technology Solutions Corp., Class A (A) | 79 | $ | 4,502 | |||||
|
| |||||||
Semiconductor Equipment – 1.1% |
| |||||||
Applied Materials, Inc. | 166 | 3,982 | ||||||
|
| |||||||
Semiconductors – 3.1% |
| |||||||
Broadcom Corp., Class A | 34 | 5,292 | ||||||
Microchip Technology, Inc. | 61 | 3,079 | ||||||
Texas Instruments, Inc. | 51 | 3,186 | ||||||
|
| |||||||
11,557 | ||||||||
|
| |||||||
Systems Software – 0.9% |
| |||||||
Symantec Corp. | 155 | 3,180 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.5% |
| |||||||
Apple, Inc. | 19 | 1,773 | ||||||
|
| |||||||
Total Information Technology – 9.8% | 36,110 | |||||||
Materials |
| |||||||
Diversified Chemicals – 1.4% |
| |||||||
PPG Industries, Inc. | 48 | 5,010 | ||||||
|
| |||||||
Paper Packaging – 0.1% |
| |||||||
WestRock Co. | 9 | 355 | ||||||
|
| |||||||
Paper Products – 0.4% |
| |||||||
International Paper Co. | 36 | 1,536 | ||||||
|
| |||||||
Total Materials – 1.9% | 6,901 | |||||||
TOTAL COMMON STOCKS – 47.4% | $ | 175,121 | ||||||
(Cost: $155,590) | ||||||||
PREFERRED STOCKS | ||||||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 0.6% |
| |||||||
Hess Corp., 8.000%, Convertible | 27 | 2,028 | ||||||
|
| |||||||
Total Energy – 0.6% | 2,028 | |||||||
Financials |
| |||||||
Diversified Banks – 0.1% |
| |||||||
First Republic Bank, Series G, 5.500% | 15 | 393 | ||||||
|
| |||||||
Other Diversified Financial Services – 0.4% |
| |||||||
Citigroup, Inc., 6.300% | 48 | 1,282 | ||||||
|
| |||||||
Total Financials – 0.5% | 1,675 |
2016 | SEMIANNUAL REPORT | 19 |
Table of Contents
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2016 (UNAUDITED)
PREFERRED STOCKS (Continued) | Shares | Value | ||||||
Health Care |
| |||||||
Pharmaceuticals – 2.5% |
| |||||||
Allergan plc, Convertible Series A, 5.500% | 6 | $ | 5,335 | |||||
Teva Pharmaceutical Industries Ltd., Convertible, 7.000% | 5 | 4,050 | ||||||
|
| |||||||
9,385 | ||||||||
|
| |||||||
Total Health Care – 2.5% |
| 9,385 | ||||||
Industrials |
| |||||||
Environmental & Facilities Services – 0.7% |
| |||||||
Stericycle, Inc., 5.250% | 33 | 2,745 | ||||||
|
| |||||||
Total Industrials – 0.7% |
| 2,745 | ||||||
Materials |
| |||||||
Commodity Chemicals – 0.5% |
| |||||||
A. Schulman, Inc., Convertible, 6.000% | 3 | 1,923 | ||||||
|
| |||||||
Total Materials – 0.5% |
| 1,923 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 0.5% |
| |||||||
Frontier Communications Corp., Convertible Series A, 11.125% | 21 | 1,953 | ||||||
|
| |||||||
Total Telecommunication Services – 0.5% |
| 1,953 | ||||||
TOTAL PREFERRED STOCKS – 5.3% |
| $ | 19,709 | |||||
(Cost: $21,643) | ||||||||
PURCHASED OPTIONS | Number of Contracts (Unrounded) | |||||||
S&P 500 Index, | ||||||||
Put $2,000.00, Expires 7-1-16 | 265 | 3 | ||||||
|
| |||||||
TOTAL PURCHASED OPTIONS – 0.0% |
| $ | 3 | |||||
(Cost: $708) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Consumer Discretionary |
| |||||||
Auto Parts & Equipment – 0.1% |
| |||||||
Delphi Corp., | ||||||||
5.000%, 2-15-23 | $ | 200 | 212 | |||||
|
| |||||||
Automobile Manufacturers – 0.2% |
| |||||||
General Motors Co., | ||||||||
6.600%, 4-1-36 | 790 | 906 | ||||||
|
| |||||||
Automotive Retail – 0.1% |
| |||||||
AutoZone, Inc., | ||||||||
3.125%, 4-21-26 | 350 | 359 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Broadcasting – 0.0% |
| |||||||
Discovery Communications LLC, | ||||||||
3.300%, 5-15-22 | $ | 200 | $ | 202 | ||||
|
| |||||||
Cable & Satellite – 0.9% |
| |||||||
Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal), | ||||||||
3.150%, 3-1-26 | 642 | 683 | ||||||
Pearson Funding Five plc, | ||||||||
3.250%, 5-8-23 (C) | 300 | 293 | ||||||
Time Warner, Inc. (GTD by Historic TW, Inc.), | ||||||||
2.950%, 7-15-26 | 1,050 | 1,059 | ||||||
Viacom, Inc.: | ||||||||
2.500%, 9-1-18 | 100 | 101 | ||||||
2.200%, 4-1-19 | 600 | 603 | ||||||
2.750%, 12-15-19 | 500 | 507 | ||||||
|
| |||||||
3,246 | ||||||||
|
| |||||||
General Merchandise Stores – 0.1% |
| |||||||
Dollar General Corp.: | ||||||||
4.125%, 7-15-17 | 100 | 103 | ||||||
1.875%, 4-15-18 | 250 | 253 | ||||||
|
| |||||||
356 | ||||||||
|
| |||||||
Homebuilding – 0.1% |
| |||||||
Toll Brothers Finance Corp., | ||||||||
4.375%, 4-15-23 | 500 | 493 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.1% |
| |||||||
Hyatt Hotels Corp., | ||||||||
3.375%, 7-15-23 | 200 | 202 | ||||||
|
| |||||||
Housewares & Specialties – 0.2% |
| |||||||
Newell Rubbermaid, Inc., | ||||||||
4.200%, 4-1-26 | 810 | 879 | ||||||
|
| |||||||
Internet Retail – 0.1% |
| |||||||
Amazon.com, Inc., | ||||||||
2.600%, 12-5-19 | 450 | 469 | ||||||
|
| |||||||
Publishing – 0.1% |
| |||||||
Thomson Reuters Corp., | ||||||||
3.350%, 5-15-26 | 245 | 251 | ||||||
|
| |||||||
Specialty Stores – 0.2% |
| |||||||
GNC Holdings, Inc., Convertible, | ||||||||
1.500%, 8-15-20 (C) | 750 | 620 | ||||||
|
| |||||||
Total Consumer Discretionary – 2.2% |
| 8,195 | ||||||
Consumer Staples |
| |||||||
Brewers – 0.4% |
| |||||||
Anheuser-Busch InBev S.A./N.V., | ||||||||
2.650%, 2-1-21 | 800 | 829 | ||||||
Molson Coors Brewing Co., | ||||||||
3.000%, 7-15-26 | 175 | 175 | ||||||
SABMiller Holdings, Inc., | ||||||||
2.200%, 8-1-18 (C) | 500 | 508 | ||||||
|
| |||||||
1,512 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Distillers & Vintners – 0.1% |
| |||||||
Beam, Inc., | ||||||||
1.750%, 6-15-18 | $ | 250 | $ | 252 | ||||
|
| |||||||
Drug Retail – 0.4% |
| |||||||
CVS Health Corp.: | ||||||||
2.800%, 7-20-20 | 635 | 661 | ||||||
2.875%, 6-1-26 | 490 | 501 | ||||||
Walgreens Boots Alliance, Inc., | ||||||||
2.700%, 11-18-19 | 300 | 310 | ||||||
|
| |||||||
1,472 | ||||||||
|
| |||||||
Food Distributors – 0.1% |
| |||||||
Campbell Soup Co., | ||||||||
2.500%, 8-2-22 | 300 | 305 | ||||||
ConAgra Foods, Inc., | ||||||||
1.900%, 1-25-18 | 200 | 201 | ||||||
|
| |||||||
506 | ||||||||
|
| |||||||
Household Products – 0.1% |
| |||||||
Church & Dwight Co., Inc., | ||||||||
2.875%, 10-1-22 | 250 | 258 | ||||||
|
| |||||||
Packaged Foods & Meats – 0.0% |
| |||||||
Mead Johnson Nutrition Co., | ||||||||
3.000%, 11-15-20 | 200 | 209 | ||||||
|
| |||||||
Personal Products – 0.1% |
| |||||||
Estee Lauder Co., Inc. (The), | ||||||||
2.350%, 8-15-22 | 300 | 309 | ||||||
|
| |||||||
Tobacco – 0.2% |
| |||||||
BAT International Finance plc, | ||||||||
2.750%, 6-15-20 (C) | 600 | 622 | ||||||
|
| |||||||
Total Consumer Staples – 1.4% |
| 5,140 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 0.2% |
| |||||||
Chevron Corp., | ||||||||
2.954%, 5-16-26 | 700 | 723 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.6% |
| |||||||
Brand Energy & Infrastructure Services, | ||||||||
8.500%, 12-1-21 (C) | 1,500 | 1,440 | ||||||
Newpark Resources, Inc., Convertible, | ||||||||
4.000%, 10-1-17 | 200 | 185 | ||||||
Schlumberger Holding Corp., | ||||||||
2.350%, 12-21-18 (C) | 500 | 510 | ||||||
|
| |||||||
2,135 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.6% |
| |||||||
BP Capital Markets plc (GTD by BP plc): | ||||||||
2.241%, 9-26-18 | 400 | 408 | ||||||
2.315%, 2-13-20 | 500 | 512 | ||||||
Devon Energy Corp., | ||||||||
2.250%, 12-15-18 | 500 | 497 |
20 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2016 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Exploration & Production (Continued) |
| |||||||
Occidental Petroleum Corp., | ||||||||
2.600%, 4-15-22 | $ | 400 | $ | 410 | ||||
ONEOK Partners L.P., | ||||||||
3.200%, 9-15-18 | 500 | 506 | ||||||
|
| |||||||
2,333 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 0.9% |
| |||||||
Buckeye Partners L.P., | ||||||||
2.650%, 11-15-18 | 400 | 403 | ||||||
Hornbeck Offshore Services, Inc., Convertible, | ||||||||
1.500%, 9-1-19 | 1,708 | 980 | ||||||
Kinder Morgan Energy Partners L.P., | ||||||||
2.650%, 2-1-19 | 500 | 500 | ||||||
Plains All American Pipeline L.P. and PAA Finance Corp., | ||||||||
4.650%, 10-15-25 | 500 | 505 | ||||||
Williams Partners L.P., | ||||||||
3.600%, 3-15-22 | 1,000 | 946 | ||||||
|
| |||||||
3,334 | ||||||||
|
| |||||||
Total Energy – 2.3% |
| 8,525 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.9% |
| |||||||
Ares Capital Corp.: | ||||||||
4.875%, 11-30-18 | 1,200 | 1,255 | ||||||
3.875%, 1-15-20 | 1,950 | 2,017 | ||||||
|
| |||||||
3,272 | ||||||||
|
| |||||||
Consumer Finance – 1.2% |
| |||||||
American Express Co., | ||||||||
4.900%, 12-29-49 | 800 | 761 | ||||||
Capital One Bank USA N.A.: | ||||||||
2.150%, 11-21-18 | 500 | 504 | ||||||
2.250%, 2-13-19 | 500 | 506 | ||||||
Capital One N.A., | ||||||||
2.400%, 9-5-19 | 650 | 661 | ||||||
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.), | ||||||||
3.700%, 5-9-23 | 175 | 176 | ||||||
Hyundai Capital America, | ||||||||
2.875%, 8-9-18 (C) | 250 | 256 | ||||||
SLM Corp., | ||||||||
4.875%, 6-17-19 | 500 | 483 | ||||||
Total System Services, Inc., | ||||||||
2.375%, 6-1-18 | 1,100 | 1,108 | ||||||
|
| |||||||
4,455 | ||||||||
|
| |||||||
Diversified Banks – 6.8% |
| |||||||
ABN AMRO Bank N.V., | ||||||||
2.500%, 10-30-18 (C) | 800 | 819 | ||||||
Australia & New Zealand Banking Group Ltd., | ||||||||
4.400%, 5-19-26 (C) | 1,050 | 1,077 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Banks (Continued) |
| |||||||
Bank of America Corp.: | ||||||||
2.000%, 1-11-18 | $ | 400 | $ | 403 | ||||
8.000%, 7-29-49 | 1,452 | 1,443 | ||||||
Bank of New York Mellon Corp. (The), | ||||||||
2.100%, 1-15-19 | 500 | 511 | ||||||
Bank of Nova Scotia (The): | ||||||||
1.450%, 4-25-18 | 500 | 502 | ||||||
2.050%, 10-30-18 | 200 | 203 | ||||||
Barclays plc, | ||||||||
5.200%, 5-12-26 | 700 | 707 | ||||||
BB&T Corp., | ||||||||
2.050%, 5-10-21 | 875 | 888 | ||||||
BNP Paribas S.A., | ||||||||
2.450%, 3-17-19 | 900 | 919 | ||||||
Commonwealth Bank of Australia, | ||||||||
2.250%, 3-13-19 | 700 | 715 | ||||||
DBS Group Holdings Ltd., | ||||||||
2.246%, 7-16-19 (C) | 1,000 | 1,015 | ||||||
HSBC Holdings plc, | ||||||||
3.400%, 3-8-21 | 625 | 644 | ||||||
ING Bank N.V.: | ||||||||
2.500%, 10-1-19 (C) | 1,100 | 1,122 | ||||||
2.450%, 3-16-20 (C) | 800 | 816 | ||||||
2.750%, 3-22-21 (C) | 1,400 | 1,447 | ||||||
KeyBank N.A., | ||||||||
2.500%, 12-15-19 | 500 | 513 | ||||||
Lloyds Bank plc (GTD by Lloyds Banking Group plc), | ||||||||
2.350%, 9-5-19 | 600 | 604 | ||||||
Mizuho Bank Ltd., | ||||||||
2.650%, 9-25-19 (C) | 1,300 | 1,336 | ||||||
National Australia Bank Ltd., | ||||||||
2.400%, 12-9-19 (C) | 1,250 | 1,283 | ||||||
Rabobank Capital Funding Trust III (GTD by Rabobank Nederland), | ||||||||
5.254%, 12-29-49 (C) | 1,500 | 1,494 | ||||||
Royal Bank of Canada, | ||||||||
2.350%, 10-30-20 | 500 | 514 | ||||||
Royal Bank of Scotland Group plc (The), | ||||||||
7.640%, 3-29-49 | 800 | 760 | ||||||
Skandinaviska Enskilda Banken AB, | ||||||||
2.375%, 3-25-19 (C) | 500 | 509 | ||||||
Societe Generale S.A.: | ||||||||
4.250%, 4-14-25 (C) | 500 | 495 | ||||||
5.922%, 4-29-49 (C) | 1,000 | 1,008 | ||||||
Standard Chartered plc, | ||||||||
2.250%, 4-17-20 (C) | 1,400 | 1,381 | ||||||
Sumitomo Mitsui Banking Corp., | ||||||||
2.450%, 1-16-20 | 600 | 613 | ||||||
U.S. Bancorp, | ||||||||
3.100%, 4-27-26 | 420 | 437 | ||||||
Westpac Banking Corp., | ||||||||
2.250%, 7-30-18 | 1,000 | 1,019 | ||||||
|
| |||||||
25,197 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Investment Banking & Brokerage – 1.1% |
| |||||||
BGC Partners, Inc., | ||||||||
5.375%, 12-9-19 | $ | 500 | $ | 526 | ||||
Charles Schwab Corp. (The), | ||||||||
2.200%, 7-25-18 | 300 | 305 | ||||||
Credit Suisse Group Funding (Guernsey) Ltd., | ||||||||
2.750%, 3-26-20 | 500 | 494 | ||||||
Goldman Sachs Group, Inc. (The): | ||||||||
2.900%, 7-19-18 | 450 | 462 | ||||||
2.625%, 1-31-19 | 500 | 512 | ||||||
2.600%, 4-23-20 | 400 | 407 | ||||||
Morgan Stanley: | ||||||||
2.125%, 4-25-18 | 500 | 505 | ||||||
2.650%, 1-27-20 | 850 | 864 | ||||||
|
| |||||||
4,075 | ||||||||
|
| |||||||
Life & Health Insurance – 0.9% |
| |||||||
AIA Group Ltd., | ||||||||
2.250%, 3-11-19 (C) | 800 | 811 | ||||||
Citizens Financial Group, Inc., | ||||||||
3.750%, 7-1-24 | 1,568 | 1,575 | ||||||
New York Life Global Funding: | ||||||||
1.550%, 11-2-18 (C) | 350 | 353 | ||||||
2.000%, 4-13-21 (C) | 600 | 608 | ||||||
|
| |||||||
3,347 | ||||||||
|
| |||||||
Multi-Line Insurance – 0.4% |
| |||||||
American International Group, Inc., | ||||||||
2.300%, 7-16-19 | 300 | 305 | ||||||
Aon plc (GTD by Aon Corp.), | ||||||||
2.800%, 3-15-21 | 500 | 514 | ||||||
Loews Corp., | ||||||||
3.750%, 4-1-26 | 643 | 682 | ||||||
|
| |||||||
1,501 | ||||||||
|
| |||||||
Other Diversified Financial Services – 2.1% |
| |||||||
Citigroup, Inc.: | ||||||||
3.875%, 2-19-19 | 500 | 502 | ||||||
5.800%, 11-29-49 | 1,400 | 1,353 | ||||||
5.950%, 12-29-49 | 1,400 | 1,368 | ||||||
Daimler Finance North America LLC, | ||||||||
2.375%, 8-1-18 (C) | 150 | 153 | ||||||
Fidelity National Financial, Inc., | ||||||||
6.600%, 5-15-17 | 300 | 313 | ||||||
Fidelity National Information Services, Inc.: | ||||||||
2.000%, 4-15-18 | 250 | 251 | ||||||
2.850%, 10-15-18 | 300 | 308 | ||||||
Fifth Street Finance Corp., | ||||||||
4.875%, 3-1-19 | 1,300 | 1,284 | ||||||
JPMorgan Chase & Co., | ||||||||
7.900%, 4-29-49 | 500 | 510 | ||||||
Moody’s Corp., | ||||||||
2.750%, 7-15-19 | 250 | 258 | ||||||
PennantPark Investment Corp., | ||||||||
4.500%, 10-1-19 | 1,000 | 998 | ||||||
Total Capital, | ||||||||
2.125%, 8-10-18 | 300 | 306 | ||||||
|
| |||||||
7,604 | ||||||||
|
|
2016 | SEMIANNUAL REPORT | 21 |
Table of Contents
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2016 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Property & Casualty Insurance – 0.2% |
| |||||||
Berkshire Hathaway Finance Corp., | ||||||||
2.200%, 3-15-21 | $ | 250 | $ | 258 | ||||
Hanover Insurance Group, Inc. (The), | ||||||||
4.500%, 4-15-26 | 560 | 578 | ||||||
|
| |||||||
836 | ||||||||
|
| |||||||
Regional Banks – 0.6% |
| |||||||
PNC Bank N.A.: | ||||||||
2.200%, 1-28-19 | 750 | 765 | ||||||
3.250%, 6-1-25 | 700 | 744 | ||||||
SunTrust Banks, Inc.: | ||||||||
2.350%, 11-1-18 | 500 | 509 | ||||||
5.625%, 12-29-49 | 400 | 402 | ||||||
|
| |||||||
2,420 | ||||||||
|
| |||||||
Specialized Finance – 0.3% |
| |||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp., | ||||||||
5.450%, 6-15-23 (C) | 945 | 980 | ||||||
Intercontinental Exchange, Inc., | ||||||||
2.500%, 10-15-18 | 100 | 102 | ||||||
|
| |||||||
1,082 | ||||||||
|
| |||||||
Specialized REITs – 0.2% |
| |||||||
Crown Castle International Corp.: | ||||||||
5.250%, 1-15-23 | 200 | 225 | ||||||
3.700%, 6-15-26 | 350 | 360 | ||||||
|
| |||||||
585 | ||||||||
|
| |||||||
Total Financials – 14.7% |
| 54,374 | ||||||
Health Care |
| |||||||
Biotechnology – 0.5% |
| |||||||
Amgen, Inc.: | ||||||||
2.200%, 5-22-19 | 1,000 | 1,026 | ||||||
2.125%, 5-1-20 | 1,000 | 1,016 | ||||||
|
| |||||||
2,042 | ||||||||
|
| |||||||
Health Care Equipment – 0.1% |
| |||||||
Zimmer Holdings, Inc., | ||||||||
2.700%, 4-1-20 | 350 | 354 | ||||||
|
| |||||||
Health Care Facilities – 0.6% |
| |||||||
Surgery Center Holdings, Inc., | ||||||||
8.875%, 4-15-21 (C) | 2,000 | 2,055 | ||||||
|
| |||||||
Health Care Services – 0.3% |
| |||||||
Quest Diagnostics, Inc.: | ||||||||
2.500%, 3-30-20 | 500 | 504 | ||||||
3.450%, 6-1-26 | 780 | 807 | ||||||
|
| |||||||
1,311 | ||||||||
|
| |||||||
Health Care Supplies – 0.3% |
| |||||||
C.R. Bard, Inc., | ||||||||
1.375%, 1-15-18 | 500 | 502 | ||||||
Cardinal Health, Inc., | ||||||||
2.400%, 11-15-19 | 700 | 717 | ||||||
|
| |||||||
1,219 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Managed Health Care – 0.5% |
| |||||||
Aetna, Inc., | ||||||||
2.200%, 3-15-19 | $ | 400 | $ | 407 | ||||
UnitedHealth Group, Inc., | ||||||||
2.700%, 7-15-20 | 300 | 312 | ||||||
WellPoint, Inc., | ||||||||
1.875%, 1-15-18 | 1,000 | 1,006 | ||||||
|
| |||||||
1,725 | ||||||||
|
| |||||||
Pharmaceuticals – 0.8% |
| |||||||
AbbVie, Inc., | ||||||||
3.200%, 5-14-26 | 490 | 496 | ||||||
Forest Laboratories, Inc., | ||||||||
5.000%, 12-15-21 (C) | 1,258 | 1,408 | ||||||
Perrigo Co. Ltd., | ||||||||
2.300%, 11-8-18 | 945 | 953 | ||||||
|
| |||||||
2,857 | ||||||||
|
| |||||||
Total Health Care – 3.1% |
| 11,563 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 0.8% |
| |||||||
BAE Systems Holdings, Inc., | ||||||||
2.850%, 12-15-20 (C) | 400 | 409 | ||||||
Huntington Ingalls Industries, Inc., | ||||||||
5.000%, 11-15-25 (C) | 1,545 | 1,632 | ||||||
Northrop Grumman Corp., | ||||||||
1.750%, 6-1-18 | 250 | 252 | ||||||
TransDigm, Inc. (GTD by TransDigm Group, Inc.), | ||||||||
6.000%, 7-15-22 | 470 | 472 | ||||||
|
| |||||||
2,765 | ||||||||
|
| |||||||
Airlines – 0.1% |
| |||||||
Southwest Airlines Co., | ||||||||
2.650%, 11-5-20 | 375 | 387 | ||||||
|
| |||||||
Railroads – 0.1% |
| |||||||
Kansas City Southern de Mexico S.A. de C.V., | ||||||||
2.350%, 5-15-20 (C) | 291 | 291 | ||||||
|
| |||||||
Trucking – 0.1% |
| |||||||
Ryder System, Inc.: | ||||||||
2.450%, 11-15-18 | 100 | 102 | ||||||
2.350%, 2-26-19 | 400 | 404 | ||||||
|
| |||||||
506 | ||||||||
|
| |||||||
Total Industrials – 1.1% |
| 3,949 | ||||||
Information Technology |
| |||||||
Data Processing & Outsourced Services – 0.1% |
| |||||||
Fiserv, Inc., | ||||||||
2.700%, 6-1-20 | 300 | 310 | ||||||
|
| |||||||
Electronic Equipment & Instruments – 0.1% |
| |||||||
FLIR Systems, Inc., | ||||||||
3.125%, 6-15-21 | 350 | 360 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Semiconductor Equipment – 0.2% |
| |||||||
Lam Research Corp., | ||||||||
3.450%, 6-15-23 | $ | 490 | $ | 506 | ||||
|
| |||||||
Semiconductors – 1.3% |
| |||||||
Micron Technology, Inc., | ||||||||
5.500%, 2-1-25 | 1,426 | 1,212 | ||||||
Micron Technology, Inc., Convertible, | ||||||||
3.000%, 11-15-43 | 4,750 | 3,628 | ||||||
|
| |||||||
4,840 | ||||||||
|
| |||||||
Systems Software – 0.3% |
| |||||||
CA, Inc., | ||||||||
2.875%, 8-15-18 | 150 | 153 | ||||||
Oracle Corp., | ||||||||
2.250%, 10-8-19 | 1,000 | 1,032 | ||||||
|
| |||||||
1,185 | ||||||||
|
| |||||||
Total Information Technology – 2.0% |
| 7,201 | ||||||
Materials |
| |||||||
Construction Materials – 0.5% |
| |||||||
Hillman Group, Inc. (The), | ||||||||
6.375%, 7-15-22 (C) | 2,060 | 1,833 | ||||||
|
| |||||||
Diversified Chemicals – 0.1% |
| |||||||
Solvay Finance (America) LLC (GTD by Solvay S.A.), | ||||||||
3.400%, 12-3-20 (C) | 250 | 262 | ||||||
|
| |||||||
Diversified Metals & Mining – 0.1% |
| |||||||
Anglo American plc, | ||||||||
4.125%, 4-15-21 (C) | 500 | 473 | ||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.1% |
| |||||||
Monsanto Co., | ||||||||
2.125%, 7-15-19 | 300 | 303 | ||||||
|
| |||||||
Industrial Gases – 0.0% |
| |||||||
Praxair, Inc., | ||||||||
3.000%, 9-1-21 | 100 | 107 | ||||||
|
| |||||||
Metal & Glass Containers – 0.0% |
| |||||||
BlueScope Steel (Finance) Ltd. and BlueScope Steel Finance (USA) LLC, | ||||||||
7.125%, 5-1-18 (C) | 98 | 101 | ||||||
|
| |||||||
Specialty Chemicals – 0.1% |
| |||||||
Albemarle Corp. (GTD by Albemarle Holdings Corp. and Albemarle Holdings II Corp.), | ||||||||
3.000%, 12-1-19 | 150 | 152 | ||||||
RPM International, Inc., | ||||||||
3.450%, 11-15-22 | 250 | 255 | ||||||
|
| |||||||
407 | ||||||||
|
| |||||||
Total Materials – 0.9% |
| 3,486 |
22 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2016 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 0.9% |
| |||||||
AT&T, Inc.: | ||||||||
2.300%, 3-11-19 | $ | 2,050 | $ | 2,094 | ||||
4.125%, 2-17-26 | 980 | 1,053 | ||||||
Verizon Communications, Inc., | ||||||||
2.625%, 2-21-20 | 107 | 111 | ||||||
|
| |||||||
3,258 | ||||||||
|
| |||||||
Wireless Telecommunication Service – 0.2% |
| |||||||
American Tower Corp.: | ||||||||
4.700%, 3-15-22 | 195 | 215 | ||||||
3.375%, 10-15-26 | 455 | 458 | ||||||
Virgin Media Finance plc, | ||||||||
4.875%, 2-15-22 | 200 | 167 | ||||||
|
| |||||||
840 | ||||||||
|
| |||||||
Total Telecommunication Services – 1.1% |
| 4,098 | ||||||
Utilities |
| |||||||
Electric Utilities – 0.7% |
| |||||||
Electricite de France S.A., | ||||||||
2.150%, 1-22-19 (C) | 500 | 510 | ||||||
Entergy Texas, Inc., | ||||||||
2.550%, 6-1-21 | 325 | 336 | ||||||
Exelon Corp., | ||||||||
2.450%, 4-15-21 | 480 | 487 | ||||||
Georgia Power Co., | ||||||||
2.400%, 4-1-21 | 250 | 259 | ||||||
PPL Energy Supply LLC, | ||||||||
4.600%, 12-15-21 | 100 | 73 | ||||||
Southern Co. (The), | ||||||||
2.950%, 7-1-23 | 700 | 726 | ||||||
|
| |||||||
2,391 | ||||||||
|
| |||||||
Gas Utilities – 0.1% |
| |||||||
Sempra Energy, | ||||||||
2.400%, 3-15-20 | 500 | 510 | ||||||
|
| |||||||
Multi-Utilities – 0.1% |
| |||||||
Dominion Resources, Inc., | ||||||||
2.500%, 12-1-19 | 500 | 511 | ||||||
|
| |||||||
Renewable Electricity – 0.4% |
| |||||||
Canadian Solar, Inc., Convertible, | ||||||||
4.250%, 2-15-19 | 1,500 | 1,276 | ||||||
|
| |||||||
Total Utilities – 1.3% |
| 4,688 | ||||||
TOTAL CORPORATE DEBT |
| $ | 111,219 | |||||
(Cost: $110,766) |
LOANS (D) | Principal | Value | ||||||
Financials |
| |||||||
Other Diversified Financial Services – 0.3% |
| |||||||
WP Mustang Holdings LLC, | ||||||||
10.000%, 5-29-22 | $ | 1,246 | $ | 1,237 | ||||
|
| |||||||
Total Financials – 0.3% |
| 1,237 | ||||||
Industrials |
| |||||||
Industrial Machinery – 0.2% |
| |||||||
Dynacast International LLC, | ||||||||
9.500%, 1-30-23 | 800 | 764 | ||||||
|
| |||||||
Total Industrials – 0.2% |
| 764 | ||||||
TOTAL LOANS – 0.5% |
| $ | 2,001 | |||||
(Cost: $2,032) | ||||||||
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | ||||||||
Mortgage-Backed Obligations – 0.4% |
| |||||||
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | ||||||||
6.000%, 9-1-17 | 19 | 20 | ||||||
5.000%, 1-1-18 | 10 | 10 | ||||||
5.000%, 5-1-18 | 8 | 8 | ||||||
4.500%, 7-1-18 | 177 | 181 | ||||||
6.500%, 10-1-28 | 101 | 117 | ||||||
6.500%, 2-1-29 | 51 | 59 | ||||||
7.500%, 4-1-31 | 62 | 71 | ||||||
7.000%, 7-1-31 | 64 | 77 | ||||||
7.000%, 9-1-31 | 125 | 149 | ||||||
6.500%, 2-1-32 | 261 | 308 | ||||||
7.000%, 2-1-32 | 161 | 193 | ||||||
7.000%, 3-1-32 | 61 | 75 | ||||||
7.000%, 7-1-32 | 96 | 112 | ||||||
5.500%, 5-1-33 | 68 | 77 | ||||||
5.500%, 6-1-33 | 65 | 73 | ||||||
U.S. Department of Veterans Affairs, Guaranteed REMIC Pass-Through Certificates, Vendee Mortgage Trust 1997-A, Class 3-A, | ||||||||
8.293%, 12-15-26 | 43 | 52 | ||||||
|
| |||||||
1,582 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 0.4% | $ | 1,582 | ||||||
(Cost: $1,390) |
|
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper (E) – 13.9% |
| |||||||
BorgWarner, Inc., | ||||||||
0.700%, 7-6-16 | $ | 10,000 | $ | 9,999 | ||||
Campbell Soup Co., | ||||||||
0.750%, 7-21-16 | 5,000 | 4,998 | ||||||
CVS Health Corp., | ||||||||
0.630%, 7-1-16 | 5,000 | 5,000 | ||||||
GlaxoSmithKline Finance plc (GTD by GlaxoSmithKline plc), | ||||||||
0.380%, 7-12-16 | 5,000 | 4,999 | ||||||
J.M. Smucker Co. (The), | ||||||||
0.620%, 7-6-16 | 5,000 | 4,999 | ||||||
Kroger Co. (The), | ||||||||
0.650%, 7-6-16 | 4,380 | 4,380 | ||||||
Northern Illinois Gas Co., | ||||||||
0.420%, 7-1-16 | 5,941 | 5,941 | ||||||
Novartis Finance Corp. (GTD by Novartis AG), | ||||||||
0.380%, 7-27-16 | 6,000 | 5,998 | ||||||
Wisconsin Gas LLC, | ||||||||
0.470%, 7-7-16 | 5,000 | 4,999 | ||||||
|
| |||||||
51,313 | ||||||||
|
| |||||||
Master Note – 1.0% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (F) | 3,729 | 3,729 | ||||||
|
| |||||||
United States Government Agency Obligations – 0.5% |
| |||||||
Overseas Private Investment Corp. (GTD by U.S. Government), | ||||||||
0.420%, 7-7-16 (F) | 2,000 | 2,000 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 15.4% |
| $ | 57,042 | |||||
(Cost: $57,044) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.1% |
| $ | 366,677 | |||||
(Cost: $349,173) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.9% |
| 3,196 | ||||||
NET ASSETS – 100.0% |
| $ | 369,873 |
2016 | SEMIANNUAL REPORT | 23 |
Table of Contents
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2016 (UNAUDITED)
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | All or a portion of securities with an aggregate value of $5,596 are held in collateralized accounts to cover potential obligations with respect to outstanding written options. |
(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, 2016 the total value of these securities amounted to $29,930 or 8.1% of net assets. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. |
(E) | Rate shown is the yield to maturity at June 30, 2016. |
(F) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. Date shown represents the date that the variable rate resets. |
The following written options were outstanding at June 30, 2016 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Expiration Month | Exercise Price | Premium Received | Value | |||||||||||||||||||
S&P 500 Index | N/A | Put | 265 | July 2016 | $ | 1,800.00 | $ | 105 | $ | (1 | ) |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2016. 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 | $ | 175,121 | $ | — | $ | — | ||||||
Preferred Stocks | 17,786 | 1,923 | — | |||||||||
Purchased Options | 3 | — | — | |||||||||
Corporate Debt Securities | — | 111,219 | — | |||||||||
Loans | — | 1,237 | 764 | |||||||||
United States Government Agency Obligations | — | 1,582 | — | |||||||||
Short-Term Securities | — | 57,042 | — | |||||||||
Total | $ | 192,910 | $ | 173,003 | $ | 764 | ||||||
Liabilities | ||||||||||||
Written Options | $ | 1 | $ | — | $ | — |
During the period ended June 30, 2016, there were no transfers between any levels.
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.
24 | SEMIANNUAL REPORT | 2016 |
Table of Contents
PORTFOLIO HIGHLIGHTS | BOND |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Bonds | 97.1% | |||
Corporate Debt Securities | 64.8% | |||
United States Government and Government Agency Obligations | 25.7% | |||
Municipal Bonds – Taxable | 3.7% | |||
Asset-Backed Securities | 1.5% | |||
Other Government Securities | 1.2% | |||
Mortgage-Backed Securities | 0.2% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.9% |
Quality Weightings
Investment Grade | 87.3% | |||
AAA | 1.7% | |||
AA | 26.8% | |||
A | 21.8% | |||
BBB | 37.0% | |||
Non-Investment Grade | 9.8% | |||
BB | 3.1% | |||
Below CCC | 0.2% | |||
Non-rated | 6.5% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.9% |
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.
2016 | SEMIANNUAL REPORT | 25 |
Table of Contents
SCHEDULE OF INVESTMENTS | BOND (in thousands) |
JUNE 30, 2016 (UNAUDITED)
ASSET-BACKED SECURITIES | Principal | Value | ||||||
Air Canada Enhanced Equipment Trust Series 2015-2, Class AA, | ||||||||
3.750%, 12-15-27 (A) | $ | 1,000 | $ | 1,047 | ||||
American Airlines Class AA Pass Through Certificates, Series 2016-2, | ||||||||
3.200%, 6-15-28 | 1,000 | 1,034 | ||||||
American Airlines, Inc., Class AA Pass Through Certificates, Series 2016-1, | ||||||||
3.575%, 1-15-28 | 1,000 | 1,057 | ||||||
United Airlines Pass-Through Certificates, Series 2016-AA, | ||||||||
3.100%, 7-7-28 | 1,000 | 1,018 | ||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES – 1.5% |
| $ | 4,156 | |||||
(Cost: $4,000) | ||||||||
CORPORATE DEBT SECURITIES | ||||||||
Consumer Discretionary |
| |||||||
Advertising – 0.4% |
| |||||||
Omnicom Group, Inc., | ||||||||
3.600%, 4-15-26 | 1,000 | 1,054 | ||||||
|
| |||||||
Automobile Manufacturers – 0.4% |
| |||||||
BMW U.S. Capital LLC, | ||||||||
2.800%, 4-11-26 (A) | 1,000 | 1,026 | ||||||
|
| |||||||
Cable & Satellite – 1.4% |
| |||||||
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc.: | ||||||||
3.800%, 3-15-22 | 1,619 | 1,725 | ||||||
3.950%, 1-15-25 | 815 | 862 | ||||||
Time Warner, Inc. (GTD by Historic TW, Inc.), | ||||||||
2.950%, 7-15-26 | 1,500 | 1,512 | ||||||
|
| |||||||
4,099 | ||||||||
|
| |||||||
Footwear – 0.8% |
| |||||||
NIKE, Inc., | ||||||||
3.875%, 11-1-45 | 2,000 | 2,219 | ||||||
|
| |||||||
Homebuilding – 0.5% |
| |||||||
Toll Brothers Finance Corp., | ||||||||
4.375%, 4-15-23 | 1,555 | 1,532 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.4% |
| |||||||
Marriott International, Inc., Series R, | ||||||||
3.125%, 6-15-26 | 1,000 | 1,012 | ||||||
|
| |||||||
Housewares & Specialties – 0.4% |
| |||||||
Newell Rubbermaid, Inc., | ||||||||
4.200%, 4-1-26 | 1,000 | 1,085 | ||||||
|
| |||||||
Internet Retail – 0.1% |
| |||||||
Amazon.com, Inc., | ||||||||
4.800%, 12-5-34 | 370 | 435 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Movies & Entertainment – 0.8% |
| |||||||
Walt Disney Co. (The), | ||||||||
4.125%, 6-1-44 | $ | 2,000 | $ | 2,273 | ||||
|
| |||||||
Publishing – 0.2% |
| |||||||
Thomson Reuters Corp., | ||||||||
3.350%, 5-15-26 | 500 | 511 | ||||||
|
| |||||||
Total Consumer Discretionary – 5.4% |
| 15,246 | ||||||
Consumer Staples |
| |||||||
Brewers – 0.4% |
| |||||||
Molson Coors Brewing Co.: | ||||||||
3.000%, 7-15-26 | 500 | 500 | ||||||
4.200%, 7-15-46 | 500 | 502 | ||||||
|
| |||||||
1,002 | ||||||||
|
| |||||||
Drug Retail – 0.2% |
| |||||||
CVS Health Corp., | ||||||||
2.800%, 7-20-20 | 75 | 78 | ||||||
Walgreens Boots Alliance, Inc., | ||||||||
3.100%, 6-1-23 | 500 | 508 | ||||||
|
| |||||||
586 | ||||||||
|
| |||||||
Food Distributors – 0.4% |
| |||||||
Sysco Corp., | ||||||||
3.300%, 7-15-26 | 1,000 | 1,038 | ||||||
|
| |||||||
Food Retail – 0.9% |
| |||||||
Kroger Co. (The), | ||||||||
6.800%, 12-15-18 | 2,245 | 2,526 | ||||||
|
| |||||||
Household Products – 1.1% |
| |||||||
Kimberly-Clark Corp., | ||||||||
2.750%, 2-15-26 | 1,000 | 1,050 | ||||||
Procter & Gamble Co. (The), | ||||||||
2.700%, 2-2-26 | 2,000 | 2,118 | ||||||
|
| |||||||
3,168 | ||||||||
|
| |||||||
Packaged Foods & Meats – 1.7% |
| |||||||
General Mills, Inc., | ||||||||
1.400%, 10-20-17 | 700 | 704 | ||||||
Kraft Heinz Foods Co.: | ||||||||
3.000%, 6-1-26 (A) | 1,000 | 1,011 | ||||||
4.375%, 6-1-46 (A) | 2,000 | 2,117 | ||||||
Mead Johnson Nutrition Co., | ||||||||
4.125%, 11-15-25 | 1,000 | 1,091 | ||||||
|
| |||||||
4,923 | ||||||||
|
| |||||||
Soft Drinks – 1.1% |
| |||||||
Coca-Cola Co. (The), | ||||||||
2.875%, 10-27-25 | 2,000 | 2,120 | ||||||
PepsiCo, Inc., | ||||||||
2.850%, 2-24-26 | 1,000 | 1,046 | ||||||
|
| |||||||
3,166 | ||||||||
|
| |||||||
Total Consumer Staples – 5.8% | 16,409 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
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 | $ | 2,240 | ||||
|
| |||||||
Oil & Gas Exploration & Production – 2.0% |
| |||||||
BP Capital Markets plc (GTD by BP plc), | ||||||||
1.674%, 2-13-18 | 500 | 504 | ||||||
ConocoPhillips Co. (GTD by ConocoPhillips), | ||||||||
4.150%, 11-15-34 | 850 | 858 | ||||||
EQT Corp., | ||||||||
8.125%, 6-1-19 | 3,494 | 3,849 | ||||||
Occidental Petroleum Corp., | ||||||||
3.400%, 4-15-26 | 500 | 527 | ||||||
|
| |||||||
5,738 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 2.0% |
| |||||||
Copano Energy LLC and Copano Energy Finance Corp., | ||||||||
7.125%, 4-1-21 | 984 | 1,022 | ||||||
Plains All American Pipeline L.P. and PAA Finance Corp., | ||||||||
3.600%, 11-1-24 | 1,031 | 969 | ||||||
Sunoco Logistics Partners Operations L.P. (GTD by Sunoco Logistics Partners L.P.), | ||||||||
4.400%, 4-1-21 | 1,500 | 1,581 | ||||||
Tennessee Gas Pipeline Co., | ||||||||
7.000%, 3-15-27 | 2,000 | 2,137 | ||||||
|
| |||||||
5,709 | ||||||||
|
| |||||||
Total Energy – 4.8% | 13,687 | |||||||
Financials |
| |||||||
Asset Management & Custody Banks – 2.1% |
| |||||||
Ares Capital Corp., | ||||||||
3.875%, 1-15-20 | 2,780 | 2,876 | ||||||
Legg Mason, Inc., | ||||||||
4.750%, 3-15-26 | 2,000 | 2,110 | ||||||
State Street Corp., | ||||||||
2.650%, 5-19-26 | 1,000 | 1,021 | ||||||
|
| |||||||
6,007 | ||||||||
|
| |||||||
Consumer Finance – 2.3% |
| |||||||
American Express Credit Corp., | ||||||||
1.875%, 11-5-18 | 1,000 | 1,011 | ||||||
Capital One Financial Corp., | ||||||||
4.200%, 10-29-25 | 1,500 | 1,543 | ||||||
Discover Financial Services, | ||||||||
3.950%, 11-6-24 | 1,500 | 1,538 | ||||||
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.): | ||||||||
3.500%, 7-10-19 | 800 | 828 | ||||||
4.200%, 3-1-21 | 1,000 | 1,046 | ||||||
3.200%, 7-6-21 | 500 | 501 | ||||||
|
| |||||||
6,467 | ||||||||
|
|
26 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | BOND (in thousands) |
JUNE 30, 2016 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Banks – 5.1% |
| |||||||
Bank of America Corp.: | ||||||||
6.000%, 9-1-17 | $ | 1,000 | $ | 1,051 | ||||
2.625%, 4-19-21 | 1,000 | 1,015 | ||||||
4.200%, 8-26-24 | 500 | 517 | ||||||
3.875%, 8-1-25 | 500 | 532 | ||||||
Bank of Nova Scotia (The), | ||||||||
1.250%, 4-11-17 | 1,000 | 1,002 | ||||||
BB&T Corp., | ||||||||
2.050%, 5-10-21 | 3,000 | 3,044 | ||||||
Fifth Third Bank N.A., | ||||||||
2.250%, 6-14-21 | 500 | 508 | ||||||
Huntington Bancshares, Inc., | ||||||||
3.150%, 3-14-21 | 2,500 | 2,590 | ||||||
U.S. Bancorp, | ||||||||
3.100%, 4-27-26 | 1,000 | 1,041 | ||||||
U.S. Bank N.A., | ||||||||
1.350%, 1-26-18 | 2,000 | 2,007 | ||||||
Wells Fargo & Co., | ||||||||
4.400%, 6-14-46 | 1,000 | 1,016 | ||||||
|
| |||||||
14,323 | ||||||||
|
| |||||||
Health Care REITs – 0.5% |
| |||||||
Health Care REIT, Inc., | ||||||||
4.000%, 6-1-25 | 1,300 | 1,367 | ||||||
|
| |||||||
Industrial REITs – 0.2% |
| |||||||
Aircastle Ltd., | ||||||||
5.500%, 2-15-22 | 598 | 622 | ||||||
|
| |||||||
Investment Banking & Brokerage – 3.3% |
| |||||||
Credit Suisse Group Funding (Guernsey) Ltd., | ||||||||
3.125%, 12-10-20 (A) | 1,500 | 1,498 | ||||||
Goldman Sachs Group, Inc. (The): | ||||||||
2.625%, 4-25-21 | 1,500 | 1,521 | ||||||
4.250%, 10-21-25 | 2,500 | 2,587 | ||||||
3.750%, 2-25-26 | 1,000 | 1,049 | ||||||
Morgan Stanley, | ||||||||
3.875%, 1-27-26 | 2,500 | 2,662 | ||||||
|
| |||||||
9,317 | ||||||||
|
| |||||||
Life & Health Insurance – 0.4% |
| |||||||
Principal Life Global Funding II, | ||||||||
3.000%, 4-18-26 (A) | 1,000 | 1,020 | ||||||
|
| |||||||
Multi-Line Insurance – 0.5% |
| |||||||
American International Group, Inc.: | ||||||||
3.300%, 3-1-21 | 1,000 | 1,042 | ||||||
3.900%, 4-1-26 | 500 | 516 | ||||||
|
| |||||||
1,558 | ||||||||
|
| |||||||
Other Diversified Financial Services – 4.7% |
| |||||||
Citigroup, Inc.: | ||||||||
2.700%, 3-30-21 | 1,000 | 1,019 | ||||||
4.450%, 9-29-27 | 3,000 | 3,084 | ||||||
JPMorgan Chase & Co.: | ||||||||
2.000%, 8-15-17 | 1,000 | 1,010 | ||||||
2.700%, 5-18-23 | 2,000 | 2,021 | ||||||
4.950%, 6-1-45 | 1,000 | 1,099 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Other Diversified Financial Services (Continued) |
| |||||||
TIAA Asset Management Finance Co. LLC, | ||||||||
4.125%, 11-1-24 (A) | $ | 2,400 | $ | 2,522 | ||||
USAA Capital Corp., | ||||||||
2.450%, 8-1-20 (A) | 2,360 | 2,439 | ||||||
|
| |||||||
13,194 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.6% |
| |||||||
Berkshire Hathaway, Inc., | ||||||||
3.125%, 3-15-26 | 1,500 | 1,574 | ||||||
|
| |||||||
Regional Banks – 0.5% |
| |||||||
PNC Bank N.A.: | ||||||||
2.450%, 11-5-20 | 264 | 271 | ||||||
3.300%, 10-30-24 | 1,000 | 1,072 | ||||||
|
| |||||||
1,343 | ||||||||
|
| |||||||
Specialized Finance – 0.5% |
| |||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp.: | ||||||||
4.420%, 6-15-21 (A) | 500 | 514 | ||||||
5.450%, 6-15-23 (A) | 500 | 519 | ||||||
8.100%, 7-15-36 (A) | 500 | 539 | ||||||
|
| |||||||
1,572 | ||||||||
|
| |||||||
Specialized REITs – 0.4% |
| |||||||
Crown Castle International Corp., | ||||||||
5.250%, 1-15-23 | 1,027 | 1,152 | ||||||
|
| |||||||
Total Financials – 21.1% | 59,516 | |||||||
Health Care |
| |||||||
Biotechnology – 0.7% |
| |||||||
Amgen, Inc., | ||||||||
1.250%, 5-22-17 | 1,955 | 1,958 | ||||||
|
| |||||||
Health Care Services – 0.5% |
| |||||||
Quest Diagnostics, Inc., | ||||||||
3.450%, 6-1-26 | 1,500 | 1,551 | ||||||
|
| |||||||
Health Care Supplies – 1.1% |
| |||||||
Express Scripts Holding Co., | ||||||||
3.000%, 7-15-23 | 1,000 | 1,001 | ||||||
Medtronic, Inc., | ||||||||
4.375%, 3-15-35 | 1,752 | 1,976 | ||||||
|
| |||||||
2,977 | ||||||||
|
| |||||||
Pharmaceuticals – 0.9% |
| |||||||
AbbVie, Inc., | ||||||||
4.500%, 5-14-35 | 1,400 | 1,460 | ||||||
Perrigo Finance Unlimited Co. (GTD by Perrigo Co. plc), | ||||||||
3.500%, 3-15-21 | 1,000 | 1,035 | ||||||
|
| |||||||
2,495 | ||||||||
|
| |||||||
Total Health Care – 3.2% | 8,981 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Industrials |
| |||||||
Aerospace & Defense – 1.3% |
| |||||||
BAE Systems Finance, Inc., | ||||||||
7.500%, 7-1-27 (A) | $ | 1,522 | $ | 2,077 | ||||
BAE Systems Holdings, Inc., | ||||||||
4.750%, 10-7-44 (A) | 1,000 | 1,092 | ||||||
Boeing Co. (The), | ||||||||
1.650%, 10-30-20 | 500 | 506 | ||||||
|
| |||||||
3,675 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.8% |
| |||||||
FedEx Corp.: | ||||||||
3.250%, 4-1-26 | 1,000 | 1,042 | ||||||
4.750%, 11-15-45 | 1,000 | 1,115 | ||||||
|
| |||||||
2,157 | ||||||||
|
| |||||||
Airlines – 1.2% |
| |||||||
Norwegian Air Shuttle 2016-1, Class A, | ||||||||
4.875%, 5-10-28 (A) | 1,000 | �� | 1,004 | |||||
Southwest Airlines Co., | ||||||||
5.125%, 3-1-17 | 1,180 | 1,212 | ||||||
Sydney Airport Finance, | ||||||||
3.625%, 4-28-26 (A) | 1,000 | 1,032 | ||||||
|
| |||||||
3,248 | ||||||||
|
| |||||||
Building Products – 0.8% |
| |||||||
WESCO Distribution, Inc. (GTD by WESCO International, Inc.), | ||||||||
5.375%, 12-15-21 | 2,375 | 2,393 | ||||||
|
| |||||||
Environmental & Facilities Services – 1.0% |
| |||||||
Republic Services, Inc., | ||||||||
3.800%, 5-15-18 | 1,000 | 1,046 | ||||||
Waste Management, Inc. (GTD by Waste Management Holdings, Inc.): | ||||||||
2.400%, 5-15-23 | 1,000 | 1,015 | ||||||
7.100%, 8-1-26 | 565 | 759 | ||||||
|
| |||||||
2,820 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.4% |
| |||||||
Fortive Corp. (GTD by Danaher Corp.), | ||||||||
3.150%, 6-15-26 (A) | 1,000 | 1,029 | ||||||
|
| |||||||
Railroads – 0.4% |
| |||||||
Burlington Northern Santa Fe LLC, | ||||||||
3.400%, 9-1-24 | 1,000 | 1,091 | ||||||
|
| |||||||
Trading Companies & Distributors – 0.7% |
| |||||||
HD Supply, Inc., | ||||||||
5.250%, 12-15-21 (A) | 2,007 | 2,104 | ||||||
|
| |||||||
Total Industrials – 6.6% |
| 18,517 |
2016 | SEMIANNUAL REPORT | 27 |
Table of Contents
SCHEDULE OF INVESTMENTS | BOND (in thousands) |
JUNE 30, 2016 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Information Technology |
| |||||||
Data Processing & Outsourced Services – 2.6% |
| |||||||
Alliance Data Systems Corp., | ||||||||
5.250%, 12-1-17 (A) | $ | 4,500 | $ | 4,556 | ||||
Visa, Inc.: | ||||||||
2.800%, 12-14-22 | 1,000 | 1,055 | ||||||
3.150%, 12-14-25 | 1,500 | 1,605 | ||||||
|
| |||||||
7,216 | ||||||||
|
| |||||||
Electronic Equipment & Instruments – 0.4% |
| |||||||
FLIR Systems, Inc., | ||||||||
3.125%, 6-15-21 | 1,000 | 1,028 | ||||||
|
| |||||||
Internet Software & Services – 1.1% |
| |||||||
Alphabet, Inc., | ||||||||
3.375%, 2-25-24 | 2,950 | 3,241 | ||||||
|
| |||||||
Semiconductors – 0.6% |
| |||||||
Intel Corp., | ||||||||
3.100%, 7-29-22 | 1,000 | 1,071 | ||||||
Micron Technology, Inc., | ||||||||
7.500%, 9-15-23 (A) | 713 | 762 | ||||||
|
| |||||||
1,833 | ||||||||
|
| |||||||
Systems Software – 1.2% |
| |||||||
CA, Inc., | ||||||||
5.375%, 12-1-19 | 1,080 | 1,187 | ||||||
Microsoft Corp., | ||||||||
2.650%, 11-3-22 | 2,000 | 2,090 | ||||||
|
| |||||||
3,277 | ||||||||
|
| |||||||
Total Information Technology – 5.9% |
| 16,595 | ||||||
Materials |
| |||||||
Diversified Metals & Mining – 0.3% |
| |||||||
Glencore Funding LLC, | ||||||||
3.125%, 4-29-19 (A) | 1,000 | 975 | ||||||
|
| |||||||
Paper Packaging – 0.4% |
| |||||||
Amcor Finance USA, Inc., | ||||||||
3.625%, 4-28-26 (A) | 1,000 | 1,028 | ||||||
|
| |||||||
Specialty Chemicals – 0.7% |
| |||||||
Methanex Corp., | ||||||||
5.250%, 3-1-22 | 1,904 | 1,949 | ||||||
|
| |||||||
Total Materials – 1.4% |
| 3,952 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 4.2% |
| |||||||
AT&T, Inc.: | ||||||||
3.600%, 2-17-23 | 1,000 | 1,047 | ||||||
4.125%, 2-17-26 | 1,000 | 1,074 | ||||||
5.650%, 2-15-47 | 1,000 | 1,144 | ||||||
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 | 3,912 | ||||||
Verizon Communications, Inc., | ||||||||
5.150%, 9-15-23 | 4,000 | 4,660 | ||||||
|
| |||||||
11,837 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Wireless Telecommunication Service – 1.3% |
| |||||||
American Tower Corp.: | ||||||||
4.400%, 2-15-26 | $ | 1,000 | $ | 1,086 | ||||
3.375%, 10-15-26 | 1,500 | 1,509 | ||||||
Crown Castle Towers LLC, | ||||||||
3.663%, 5-15-25 (A) | 1,000 | 1,034 | ||||||
|
| |||||||
3,629 | ||||||||
|
| |||||||
Total Telecommunication Services – 5.5% |
| 15,466 | ||||||
Utilities |
| |||||||
Electric Utilities – 1.8% |
| |||||||
Commonwealth Edison Co., | ||||||||
3.650%, 6-15-46 | 500 | 512 | ||||||
Edison International, | ||||||||
2.950%, 3-15-23 | 2,000 | 2,050 | ||||||
Kansas City Power & Light Co., | ||||||||
6.375%, 3-1-18 | 1,500 | 1,615 | ||||||
Sierra Pacific Power Co., | ||||||||
2.600%, 5-1-26 (A) | 1,000 | 1,018 | ||||||
|
| |||||||
5,195 | ||||||||
|
| |||||||
Multi-Utilities – 2.5% |
| |||||||
Duke Energy Carolinas LLC, | ||||||||
3.750%, 6-1-45 | 3,000 | 3,170 | ||||||
Duke Energy Indiana LLC, | ||||||||
3.750%, 5-15-46 | 1,000 | 1,039 | ||||||
NorthWestern Corp., | ||||||||
6.340%, 4-1-19 | 2,400 | 2,705 | ||||||
|
| |||||||
6,914 | ||||||||
|
| |||||||
Water Utilities – 0.8% |
| |||||||
California Water Service Co., | ||||||||
5.875%, 5-1-19 | 2,000 | 2,231 | ||||||
|
| |||||||
Total Utilities – 5.1% |
| 14,340 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 64.8% |
| $ | 182,709 | |||||
(Cost: $175,983) | ||||||||
MORTGAGE-BACKED SECURITIES | ||||||||
Non-Agency REMIC/CMO – 0.2% |
| |||||||
MASTR Adjustable Rate Mortgage Trust 2005-1, | ||||||||
2.759%, 3-25-35 (B) | 1,380 | 434 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004-1, | ||||||||
2.760%, 2-25-34 (B) | 214 | 14 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004-3AC, | ||||||||
2.708%, 3-25-34 (B) | 396 | 19 | ||||||
|
| |||||||
467 | ||||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES – 0.2% | $ | 467 | ||||||
(Cost: $1,988) |
MUNICIPAL BONDS – TAXABLE | Principal | Value | ||||||
Massachusetts – 0.9% |
| |||||||
Cmnwlth of MA, Fed Hwy Grant Anticipation Notes (Accelerated Bridge Prog), Ser 2010A, | ||||||||
4.285%, 12-15-18 | $ | 2,500 | $ | 2,697 | ||||
|
| |||||||
New York – 1.7% |
| |||||||
NYC Indl Dev Agy, Rental Rev Bonds (Yankee Stadium Proj), Ser 2009, | ||||||||
11.000%, 3-1-29 (A) | 3,600 | 4,851 | ||||||
|
| |||||||
Ohio – 0.8% |
| |||||||
OH State Univ, Gen Receipts Bonds (Multiyear Debt Issuance Prog), Ser 2016A, | ||||||||
3.798%, 12-1-46 | 2,000 | 2,186 | ||||||
|
| |||||||
Pennsylvania – 0.3% |
| |||||||
Cmnwlth of PA, GO Bonds, Third Ser B of 2010 (Federally Taxable –Build America Bonds), | ||||||||
4.750%, 7-15-22 | 750 | 836 | ||||||
|
| |||||||
TOTAL MUNICIPAL BONDS – TAXABLE – 3.7% |
| $ | 10,570 | |||||
(Cost: $8,951) | ||||||||
OTHER GOVERNMENT SECURITIES (C) | ||||||||
Canada – 1.2% |
| |||||||
Province de Quebec, | ||||||||
7.140%, 2-27-26 | 2,500 | 3,441 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 1.2% | $ | 3,441 | ||||||
(Cost: $2,787) | ||||||||
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | ||||||||
Mortgage-Backed Obligations – 23.7% |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO: | ||||||||
4.000%, 6-15-26 | 4,082 | 4,445 | ||||||
4.000%, 11-15-36 | 862 | 913 | ||||||
4.500%, 9-15-37 | 216 | 217 | ||||||
4.500%, 8-15-39 | 755 | 784 | ||||||
5.045%, 7-25-44 (A)(B) | 2,200 | 2,298 | ||||||
4.490%, 12-25-44 (A)(B) | 5,000 | 5,440 | ||||||
4.400%, 1-25-45 (A)(B) | 3,000 | 3,251 | ||||||
4.005%, 5-25-45 (A)(B) | 1,000 | 1,062 | ||||||
3.782%, 10-25-45 (A)(B) | 2,000 | 2,087 | ||||||
3.623%, 11-25-45 (A)(B) | 2,500 | 2,588 | ||||||
4.595%, 11-25-46 (A)(B) | 2,055 | 2,261 | ||||||
4.436%, 7-25-48 (A)(B) | 2,350 | 2,407 | ||||||
4.572%, 12-25-48 (A)(B) | 1,000 | 1,081 | ||||||
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates: | ||||||||
3.000%, 8-1-28 | 3,752 | 3,941 | ||||||
3.500%, 10-1-28 | 4,255 | 4,513 | ||||||
3.000%, 1-1-33 | 727 | 769 |
28 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | BOND (in thousands) |
JUNE 30, 2016 (UNAUDITED)
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS (Continued) | Principal | Value | ||||||
Mortgage-Backed Obligations (Continued) |
| |||||||
Federal National Mortgage Association Agency REMIC/CMO: | ||||||||
2.717%, 2-25-22 | $ | 780 | $ | 824 | ||||
2.640%, 6-1-22 | 1,474 | 1,551 | ||||||
3.000%, 2-25-25 | 3,213 | 3,395 | ||||||
2.390%, 6-1-25 | 1,371 | 1,424 | ||||||
5.500%, 11-25-36 (D) | 1,053 | 184 | ||||||
4.500%, 6-25-40 | 483 | 520 | ||||||
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | ||||||||
4.514%, 12-1-19 | 7,083 | 7,744 | ||||||
5.500%, 10-1-21 | 791 | 841 | ||||||
2.759%, 4-1-22 | 1,611 | 1,703 | ||||||
6.000%, 7-1-22 | 622 | 684 | ||||||
6.000%, 9-1-22 | 1,024 | 1,125 | ||||||
2.703%, 4-1-23 | 692 | 731 | ||||||
3.000%, 7-1-28 | 3,513 | 3,689 | ||||||
5.500%, 2-1-35 | 741 | 854 | ||||||
Government National Mortgage Association Agency REMIC/CMO: | ||||||||
2.000%, 3-16-42 | 3,573 | 3,582 |
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS (Continued) | Principal | Value | ||||||
Mortgage-Backed Obligations (Continued) |
| |||||||
0.009%, 6-17-45 (B)(D) | $ | 27 | $ | — | * | |||
|
| |||||||
66,908 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 23.7% | �� | $ | 66,908 | |||||
(Cost: $66,214) | ||||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
Treasury Obligations – 2.0% |
| |||||||
U.S. Treasury Bonds: | ||||||||
3.000%, 11-15-44 | 2,744 | 3,158 | ||||||
2.500%, 5-15-46 | 500 | 521 | ||||||
U.S. Treasury Notes: | ||||||||
1.625%, 2-15-26 | 1,000 | 1,012 | ||||||
1.625%, 5-15-26 | 1,000 | 1,013 | ||||||
|
| |||||||
5,704 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 2.0% |
| $ | 5,704 | |||||
(Cost: $5,543) |
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper(E) – 0.8% |
| |||||||
St. Jude Medical, Inc., | ||||||||
0.650%, 7-1-16 | $ | 2,135 | $ | 2,135 | ||||
|
| |||||||
Master Note – 1.3% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (F) | 3,672 | 3,672 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.1% |
| $ | 5,807 | |||||
(Cost: $5,807) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.2% |
| $ | 279,762 | |||||
(Cost: $271,273) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.8% |
| 2,160 | ||||||
NET ASSETS – 100.0% | $ | 281,922 |
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, 2016 the total value of these securities amounted to $59,289 or 21.0% of net assets. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. |
(C) | Other Government Securities may 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, 2016. |
(F) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. 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, 2016. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | $ | — | $ | 4,156 | $ | — | ||||||
Corporate Debt Securities | — | 182,709 | — | |||||||||
Mortgage-Backed Securities | — | 467 | — | |||||||||
Municipal Bonds | — | 10,570 | — | |||||||||
Other Government Securities | — | 3,441 | — | |||||||||
United States Government Agency Obligations | — | 66,908 | — | |||||||||
United States Government Obligations | — | 5,704 | — | |||||||||
Short-Term Securities | — | 5,807 | — | |||||||||
Total | $ | — | $ | 279,762 | $ | — |
During the period ended June 30, 2016, 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.
2016 | SEMIANNUAL REPORT | 29 |
Table of Contents
PORTFOLIO HIGHLIGHTS | CORE EQUITY |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 98.1% | |||
Information Technology | 20.1% | |||
Health Care | 15.8% | |||
Consumer Staples | 14.9% | |||
Consumer Discretionary | 13.5% | |||
Energy | 11.5% | |||
Industrials | 8.3% | |||
Telecommunication Services | 5.8% | |||
Financials | 5.1% | |||
Materials | 3.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.9% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Halliburton Co. | Energy | Oil & Gas Equipment & Services | ||
Philip Morris International, Inc. | Consumer Staples | Tobacco | ||
Applied Materials, Inc. | Information Technology | Semiconductor Equipment | ||
Microsoft Corp. | Information Technology | Systems Software | ||
American Tower Corp., Class A | Telecommunication Services | Wireless Telecommunication Service | ||
Kraft Foods Group, Inc. | Consumer Staples | Packaged Foods & Meats | ||
Teva Pharmaceutical Industries Ltd. ADR | Health Care | Pharmaceuticals | ||
Shire Pharmaceuticals Group plc ADR | Health Care | Pharmaceuticals | ||
Adobe Systems, Inc. | Information Technology | Application Software | ||
Amazon.com, Inc. | Consumer Discretionary | Internet Retail |
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.
30 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORE EQUITY (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Auto Parts & Equipment – 1.3% |
| |||||||
Magna International, Inc. | 165 | $ | 5,783 | |||||
|
| |||||||
Cable & Satellite – 2.6% |
| |||||||
Comcast Corp., Class A | 170 | 11,095 | ||||||
|
| |||||||
Home Improvement Retail – 1.7% |
| |||||||
Home Depot, Inc. (The) | 56 | 7,185 | ||||||
|
| |||||||
Housewares & Specialties – 1.2% |
| |||||||
Newell Rubbermaid, Inc. | 106 | 5,168 | ||||||
|
| |||||||
Internet Retail – 2.6% |
| |||||||
Amazon.com, Inc. (A) | 16 | 11,300 | ||||||
|
| |||||||
Movies & Entertainment – 2.4% |
| |||||||
Twenty-First Century Fox, Inc., Class A | 377 | 10,193 | ||||||
|
| |||||||
Restaurants – 1.7% |
| |||||||
Chipotle Mexican Grill, Inc., Class A (A) | 18 | 7,209 | ||||||
|
| |||||||
Total Consumer Discretionary – 13.5% |
| 57,933 | ||||||
Consumer Staples |
| |||||||
Brewers – 3.8% |
| |||||||
Anheuser-Busch InBev S.A. ADR | 52 | 6,872 | ||||||
Molson Coors Brewing Co., Class B | 94 | 9,456 | ||||||
|
| |||||||
16,328 | ||||||||
|
| |||||||
Hypermarkets & Super Centers – 1.6% |
| |||||||
Costco Wholesale Corp. | 45 | 7,078 | ||||||
|
| |||||||
Packaged Foods & Meats – 5.3% |
| |||||||
Kellogg Co. | 35 | 2,866 | ||||||
Kraft Foods Group, Inc. | 150 | 13,254 | ||||||
Mead Johnson Nutrition Co. | 72 | 6,525 | ||||||
|
| |||||||
22,645 | ||||||||
|
| |||||||
Tobacco – 4.2% |
| |||||||
Philip Morris International, Inc. | 176 | 17,858 | ||||||
|
| |||||||
Total Consumer Staples – 14.9% |
| 63,909 | ||||||
Energy |
| |||||||
Oil & Gas Drilling – 0.7% |
| |||||||
Helmerich & Payne, Inc. | 47 | 3,168 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 4.2% |
| |||||||
Halliburton Co. | 400 | 18,116 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Oil & Gas Exploration & Production – 6.6% |
| |||||||
Cabot Oil & Gas Corp. | 281 | $ | 7,238 | |||||
Cimarex Energy Co. | 95 | 11,292 | ||||||
EOG Resources, Inc. | 114 | 9,535 | ||||||
|
| |||||||
28,065 | ||||||||
|
| |||||||
Total Energy – 11.5% |
| 49,349 | ||||||
Financials |
| |||||||
Multi-Line Insurance – 1.5% |
| |||||||
American International Group, Inc. | 123 | 6,485 | ||||||
|
| |||||||
Other Diversified Financial Services – 2.3% |
| |||||||
JPMorgan Chase & Co. | 156 | 9,706 | ||||||
|
| |||||||
Specialized REITs – 1.3% |
| |||||||
Crown Castle International Corp. | 57 | 5,812 | ||||||
|
| |||||||
Total Financials – 5.1% |
| 22,003 | ||||||
Health Care |
| |||||||
Biotechnology – 3.0% |
| |||||||
Alexion Pharmaceuticals, Inc. (A) | 59 | 6,934 | ||||||
Celgene Corp. (A) | 58 | 5,728 | ||||||
|
| |||||||
12,662 | ||||||||
|
| |||||||
Health Care Facilities – 2.0% |
| |||||||
HCA Holdings, Inc. (A) | 112 | 8,633 | ||||||
|
| |||||||
Managed Health Care – 0.4% |
| |||||||
Anthem, Inc. | 15 | 1,917 | ||||||
|
| |||||||
Pharmaceuticals – 10.4% |
| |||||||
Allergan plc (A) | 42 | 9,704 | ||||||
Bristol-Myers Squibb Co. | 139 | 10,240 | ||||||
Shire Pharmaceuticals Group plc ADR | 65 | 12,014 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 251 | 12,591 | ||||||
|
| |||||||
44,549 | ||||||||
|
| |||||||
Total Health Care – 15.8% |
| 67,761 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 1.5% |
| |||||||
Rockwell Collins, Inc. | 75 | 6,394 | ||||||
|
| |||||||
Railroads – 5.6% |
| |||||||
Canadian Pacific Railway Ltd. | 50 | 6,483 | ||||||
Kansas City Southern | 94 | 8,505 | ||||||
Union Pacific Corp. | 103 | 8,971 | ||||||
|
| |||||||
23,959 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Trucking – 1.2% |
| |||||||
J.B. Hunt Transport Services, Inc. | 62 | $ | 5,034 | |||||
|
| |||||||
Total Industrials – 8.3% |
| 35,387 | ||||||
Information Technology |
| |||||||
Application Software – 2.7% |
| |||||||
Adobe Systems, Inc. (A) | 120 | 11,466 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 4.0% |
| |||||||
MasterCard, Inc., Class A | 97 | 8,542 | ||||||
Visa, Inc., Class A | 115 | 8,500 | ||||||
|
| |||||||
17,042 | ||||||||
|
| |||||||
Internet Software & Services – 4.2% |
| |||||||
Alphabet, Inc., Class A (A) | 11 | 7,457 | ||||||
Facebook, Inc., Class A (A) | 93 | 10,617 | ||||||
|
| |||||||
18,074 | ||||||||
|
| |||||||
Semiconductor Equipment – 3.3% |
| |||||||
Applied Materials, Inc. | 596 | 14,284 | ||||||
|
| |||||||
Semiconductors – 2.6% |
| |||||||
NXP Semiconductors N.V. (A) | 140 | 10,960 | ||||||
|
| |||||||
Systems Software – 3.3% |
| |||||||
Microsoft Corp. | 277 | 14,184 | ||||||
|
| |||||||
Total Information Technology – 20.1% |
| 86,010 | ||||||
Materials |
| |||||||
Industrial Gases – 1.6% |
| |||||||
Air Products and Chemicals, Inc. | 48 | 6,747 | ||||||
|
| |||||||
Specialty Chemicals – 1.5% |
| |||||||
Sherwin-Williams Co. (The) | 23 | 6,637 | ||||||
|
| |||||||
Total Materials – 3.1% |
| 13,384 | ||||||
Telecommunication Services |
| |||||||
Alternative Carriers – 2.6% |
| |||||||
Level 3 Communications, Inc. (A) | 213 | 10,942 | ||||||
|
| |||||||
Wireless Telecommunication Service – 3.2% |
| |||||||
American Tower Corp., Class A | 123 | 13,917 | ||||||
|
| |||||||
Total Telecommunication Services – 5.8% |
| 24,859 | ||||||
TOTAL COMMON STOCKS – 98.1% |
| $ | 420,595 | |||||
(Cost: $395,820) |
2016 | SEMIANNUAL REPORT | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS | CORE EQUITY (in thousands) |
JUNE 30, 2016 (UNAUDITED)
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper (B) – 2.7% |
| |||||||
J.M. Smucker Co. (The), | ||||||||
0.620%, 7-6-16 | $ | 6,000 | $ | 5,999 | ||||
Northern Illinois Gas Co., | ||||||||
0.420%, 7-1-16 | 5,278 | 5,278 | ||||||
|
| |||||||
11,277 | ||||||||
|
| |||||||
Master Note – 0.3% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (C) | 1,220 | 1,220 | ||||||
|
|
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Municipal Obligations – 0.1% |
| |||||||
CA GO Bonds, Ser 2004B6 (GTD by U.S. Bank N.A.), | ||||||||
0.390%, 7-7-16 (C) | $ | 500 | $ | 500 | ||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 3.1% |
| $ | 12,997 | |||||
(Cost: $12,997) | ||||||||
TOTAL INVESTMENT SECURITIES – 101.2% |
| $ | 433,592 | |||||
(Cost: $408,817) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.2)% |
| (4,983 | ) | |||||
NET ASSETS – 100.0% |
| $ | 428,609 |
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, 2016. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. 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, 2016. 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 | $ | 420,595 | $ | — | $ | — | ||||||
Short-Term Securities | — | 12,997 | — | |||||||||
Total | $ | 420,595 | $ | 12,997 | $ | — |
During the period ended June 30, 2016, 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.
32 | SEMIANNUAL REPORT | 2016 |
Table of Contents
PORTFOLIO HIGHLIGHTS | DIVIDEND OPPORTUNITIES |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 88.6% | |||
Financials | 16.7% | |||
Health Care | 14.8% | |||
Information Technology | 13.2% | |||
Industrials | 13.0% | |||
Consumer Discretionary | 9.3% | |||
Consumer Staples | 8.4% | |||
Energy | 6.9% | |||
Materials | 5.3% | |||
Utilities | 1.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 11.4% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Pfizer, Inc. | Health Care | Pharmaceuticals | ||
Microsoft Corp. | Information Technology | Systems Software | ||
Teva Pharmaceutical Industries Ltd. ADR | Health Care | Pharmaceuticals | ||
JPMorgan Chase & Co. | Financials | Other Diversified Financial Services | ||
Crown Castle International Corp. | Financials | Specialized REITs | ||
Philip Morris International, Inc. | Consumer Staples | Tobacco | ||
General Electric Co. | Industrials | Industrial Conglomerates | ||
Comcast Corp., Class A | Consumer Discretionary | Cable & Satellite | ||
CVS Caremark Corp. | Consumer Staples | Drug Retail | ||
Applied Materials, Inc. | Information Technology | Semiconductor Equipment |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+ Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2016 | SEMIANNUAL REPORT | 33 |
Table of Contents
SCHEDULE OF INVESTMENTS | DIVIDEND OPPORTUNITIES (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Advertising – 1.5% |
| |||||||
Omnicom Group, Inc. | 93 | $ | 7,607 | |||||
|
| |||||||
Apparel Retail – 0.6% |
| |||||||
Limited Brands, Inc. | 45 | 2,994 | ||||||
|
| |||||||
Cable & Satellite – 2.5% |
| |||||||
Comcast Corp., Class A | 195 | 12,689 | ||||||
|
| |||||||
Home Improvement Retail – 1.6% |
| |||||||
Home Depot, Inc. (The) | 67 | 8,568 | ||||||
|
| |||||||
Housewares & Specialties – 1.4% |
| |||||||
Newell Rubbermaid, Inc. | 149 | 7,230 | ||||||
|
| |||||||
Restaurants – 1.7% |
| |||||||
McDonalds Corp. | 73 | 8,791 | ||||||
|
| |||||||
Total Consumer Discretionary – 9.3% |
| 47,879 | ||||||
Consumer Staples |
| |||||||
Brewers – 1.6% |
| |||||||
Anheuser-Busch InBev S.A. ADR | 63 | 8,296 | ||||||
|
| |||||||
Drug Retail – 2.3% |
| |||||||
CVS Caremark Corp. | 123 | 11,805 | ||||||
|
| |||||||
Packaged Foods & Meats – 1.8% |
| |||||||
Unilever plc (A) | 188 | 9,020 | ||||||
|
| |||||||
Tobacco – 2.7% |
| |||||||
Philip Morris International, Inc. | 137 | 13,951 | ||||||
|
| |||||||
Total Consumer Staples – 8.4% |
| 43,072 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 1.9% |
| |||||||
Suncor Energy, Inc. | 354 | 9,818 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 1.1% |
| |||||||
Halliburton Co. | 124 | 5,609 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 3.9% |
| |||||||
Noble Energy, Inc. | 295 | 10,587 | ||||||
Occidental Petroleum Corp. | 124 | 9,385 | ||||||
|
| |||||||
19,972 | ||||||||
|
| |||||||
Total Energy – 6.9% |
| 35,399 | ||||||
Financials |
| |||||||
Diversified Banks – 1.7% |
| |||||||
Wells Fargo & Co. | 181 | 8,571 | ||||||
|
| |||||||
Industrial REITs – 1.8% |
| |||||||
ProLogis | 190 | 9,315 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Investment Banking & Brokerage – 0.7% |
| |||||||
Morgan Stanley | 142 | $ | 3,689 | |||||
|
| |||||||
Multi-Line Insurance – 1.9% |
| |||||||
American International Group, Inc. | 189 | 9,991 | ||||||
|
| |||||||
Other Diversified Financial Services – 4.8% |
| |||||||
Citigroup, Inc. | 145 | 6,157 | ||||||
JPMorgan Chase & Co. | 297 | 18,485 | ||||||
|
| |||||||
24,642 | ||||||||
|
| |||||||
Property & Casualty Insurance – 1.9% |
| |||||||
ACE Ltd. | 73 | 9,548 | ||||||
|
| |||||||
Regional Banks – 0.3% |
| |||||||
PNC Financial Services Group, Inc. (The) | 17 | 1,392 | ||||||
|
| |||||||
Specialized REITs – 3.6% |
| |||||||
Communications Sales & Leasing, Inc. | 150 | 4,323 | ||||||
Crown Castle International Corp. | 138 | 13,972 | ||||||
|
| |||||||
18,295 | ||||||||
|
| |||||||
Total Financials – 16.7% | 85,443 | |||||||
Health Care |
| |||||||
Health Care Equipment – 2.1% |
| |||||||
Medtronic plc | 125 | 10,823 | ||||||
|
| |||||||
Managed Health Care – 1.5% |
| |||||||
Anthem, Inc. | 57 | 7,506 | ||||||
|
| |||||||
Pharmaceuticals – 11.2% |
| |||||||
Bristol-Myers Squibb Co. | 150 | 11,017 | ||||||
Pfizer, Inc. | 793 | 27,909 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 376 | 18,887 | ||||||
|
| |||||||
57,813 | ||||||||
|
| |||||||
Total Health Care – 14.8% | 76,142 | |||||||
Industrials |
| |||||||
Aerospace & Defense – 4.0% |
| |||||||
BAE Systems plc (A) | 969 | 6,782 | ||||||
Boeing Co. (The) | 32 | 4,208 | ||||||
Honeywell International, Inc. | 81 | 9,404 | ||||||
|
| |||||||
20,394 | ||||||||
|
| |||||||
Commercial Printing – 2.2% |
| |||||||
Corrections Corp. of America | 329 | 11,511 | ||||||
|
| |||||||
Industrial Conglomerates – 2.6% |
| |||||||
General Electric Co. | 416 | 13,094 | ||||||
|
| |||||||
Industrial Machinery – 1.2% |
| |||||||
Eaton Corp. | 107 | 6,382 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Railroads – 2.0% |
| |||||||
Union Pacific Corp. | 116 | $ | 10,081 | |||||
|
| |||||||
Research & Consulting Services – 1.0% |
| |||||||
Nielsen Holdings plc | 103 | 5,363 | ||||||
|
| |||||||
Total Industrials – 13.0% | 66,825 | |||||||
Information Technology |
| |||||||
Communications Equipment – 1.9% |
| |||||||
Harris Corp. | 117 | 9,779 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 1.6% |
| |||||||
Paychex, Inc. | 139 | 8,253 | ||||||
|
| |||||||
Semiconductor Equipment – 2.3% |
| |||||||
Applied Materials, Inc. | 482 | 11,544 | ||||||
|
| |||||||
Semiconductors – 3.7% |
| |||||||
Cypress Semiconductor Corp. | 868 | 9,158 | ||||||
Texas Instruments, Inc. | 160 | 10,027 | ||||||
|
| |||||||
19,185 | ||||||||
|
| |||||||
Systems Software – 3.7% |
| |||||||
Microsoft Corp. | 375 | 19,199 | ||||||
|
| |||||||
Total Information Technology – 13.2% |
| 67,960 | ||||||
Materials |
| |||||||
Diversified Chemicals – 2.2% |
| |||||||
Dow Chemical Co. (The) | 38 | 1,909 | ||||||
PPG Industries, Inc. | 91 | 9,451 | ||||||
|
| |||||||
11,360 | ||||||||
|
| |||||||
Industrial Gases – 1.6% |
| |||||||
Air Products and Chemicals, Inc. | 57 | 8,086 | ||||||
|
| |||||||
Paper Products – 1.5% |
| |||||||
International Paper Co. | 179 | 7,586 | ||||||
|
| |||||||
Total Materials – 5.3% |
| 27,032 | ||||||
Utilities |
| |||||||
Electric Utilities – 1.0% |
| |||||||
PPL Corp. | 131 | 4,945 | ||||||
|
| |||||||
Total Utilities – 1.0% |
| 4,945 | ||||||
TOTAL COMMON STOCKS – 88.6% |
| $ | 454,697 | |||||
(Cost: $395,330) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (B) – 10.8% |
| |||||||
Becton Dickinson & Co., | ||||||||
0.730%, 7-12-16 | $ | 4,000 | 3,999 | |||||
BMW U.S. Capital LLC (GTD by BMW AG), | ||||||||
0.390%, 7-13-16 | 5,000 | 4,999 |
34 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | DIVIDEND OPPORTUNITIES (in thousands) |
JUNE 30, 2016 (UNAUDITED)
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Commercial Paper (B) (Continued) |
| |||||||
CVS Health Corp., | ||||||||
0.630%, 7-1-16 | $ | 5,000 | $ | 5,000 | ||||
DTE Energy Co. (GTD by Detroit Edison Co.), | ||||||||
0.710%, 7-8-16 | 5,000 | 4,999 | ||||||
Harley-Davidson Financial Services (GTD by Harley-Davidson Credit Corp.), | ||||||||
0.750%, 7-25-16 | 5,000 | 4,998 | ||||||
J.M. Smucker Co. (The), | ||||||||
0.620%, 7-6-16 | 7,000 | 6,999 | ||||||
Kroger Co. (The), | ||||||||
0.570%, 7-1-16 | 4,789 | 4,789 | ||||||
Shell International Finance B.V. (GTD by Royal Dutch Shell plc), | ||||||||
0.510%, 7-1-16 | 2,500 | 2,500 | ||||||
W.W. Grainger, Inc., | ||||||||
0.380%, 7-26-16 | 2,500 | 2,499 | ||||||
Wisconsin Gas LLC: | ||||||||
0.470%, 7-7-16 | 5,000 | 5,000 | ||||||
0.430%, 7-11-16 | 10,000 | 9,998 | ||||||
|
| |||||||
55,780 | ||||||||
|
|
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Master Note – 0.5% | ||||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (C) | $ | 2,314 | $ | 2,314 | ||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 11.3% | $ | 58,094 | ||||||
(Cost: $58,096) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.9% | $ | 512,791 | ||||||
(Cost: $453,426) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1% | 720 | |||||||
NET ASSETS – 100.0% | $ | 513,511 |
Notes to Schedule of Investments
(A) | Listed on an exchange outside the United States. |
(B) | Rate shown is the yield to maturity at June 30, 2016. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. 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, 2016. 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 | $ | 47,879 | $ | — | $ | — | ||||||
Consumer Staples | 34,052 | 9,020 | — | |||||||||
Energy | 35,399 | — | — | |||||||||
Financials | 85,443 | — | — | |||||||||
Health Care | 76,142 | — | — | |||||||||
Industrials | 60,043 | 6,782 | — | |||||||||
Information Technology | 67,960 | — | — | |||||||||
Materials | 27,032 | — | — | |||||||||
Utilities | 4,945 | — | — | |||||||||
Total Common Stocks | $ | 438,895 | $ | 15,802 | $ | — | ||||||
Short-Term Securities | — | 58,094 | — | |||||||||
Total | $ | 438,895 | $ | 73,896 | $ | — |
During the period ended June 30, 2016, securities totaling $14,873 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on June 30, 2016. Transfers out of Level 1 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
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 35 |
Table of Contents
PORTFOLIO HIGHLIGHTS | ENERGY |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 98.8% | |||
Energy | 96.1% | |||
Information Technology | 1.4% | |||
Materials | 1.3% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.2% |
Country Weightings
North America | 95.1% | |||
United States | 92.5% | |||
Other North America | 2.6% | |||
Europe | 3.7% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.2% |
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 | |||
Continental Resources, Inc. | United States | Energy | Oil & Gas Exploration & Production | |||
Newfield Exploration Co. | United States | Energy | Oil & Gas Exploration & Production | |||
Parsley Energy, Inc., Class A | United States | Energy | Oil & Gas Exploration & Production | |||
Pioneer Natural Resources Co. | United States | Energy | Oil & Gas Exploration & Production | |||
Cimarex Energy Co. | United States | Energy | Oil & Gas Exploration & Production | |||
EOG Resources, Inc. | United States | Energy | Oil & Gas Exploration & Production | |||
Anadarko Petroleum Corp. | United States | Energy | Oil & Gas Exploration & Production | |||
Concho Resources, Inc. | United States | Energy | Oil & Gas Exploration & Production |
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.
36 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | ENERGY (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 6.2% |
| |||||||
Chevron Corp. | 15 | $ | 1,578 | |||||
Exxon Mobil Corp. | 43 | 4,050 | ||||||
Royal Dutch Shell plc, Class A (A) | 62 | 1,697 | ||||||
Suncor Energy, Inc. | 84 | 2,332 | ||||||
|
| |||||||
9,657 | ||||||||
|
| |||||||
Oil & Gas Drilling – 2.6% |
| |||||||
Patterson-UTI Energy, Inc. | 187 | 3,977 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 24.8% |
| |||||||
Baker Hughes, Inc. | 107 | 4,843 | ||||||
Core Laboratories N.V. | 33 | 4,095 | ||||||
FMC Technologies, Inc. (B) | 29 | 761 | ||||||
Forum Energy Technologies, Inc. (B) | 201 | 3,471 | ||||||
Halliburton Co. | 166 | 7,511 | ||||||
Schlumberger Ltd. | 102 | 8,070 | ||||||
Superior Energy Services, Inc. | 248 | 4,562 | ||||||
U.S. Silica Holdings, Inc. | 151 | 5,198 | ||||||
|
| |||||||
38,511 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 52.6% |
| |||||||
Anadarko Petroleum Corp. | 107 | 5,706 | ||||||
Cimarex Energy Co. | 51 | 6,133 | ||||||
Concho Resources, Inc. (B) | 46 | 5,540 | ||||||
Continental Resources, Inc. (B) | 159 | 7,182 | ||||||
Diamondback Energy, Inc. (B) | 48 | 4,373 | ||||||
EOG Resources, Inc. | 72 | 5,973 | ||||||
Gulfport Energy Corp. (B) | 68 | 2,129 | ||||||
Laredo Petroleum Holdings, Inc. (B) | 238 | 2,490 | ||||||
Marathon Oil Corp. | 235 | 3,528 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Oil & Gas Exploration & Production (Continued) |
| |||||||
Memorial Resource Development Corp. (B) | 138 | $ | 2,184 | |||||
Newfield Exploration Co. (B) | 151 | 6,658 | ||||||
Noble Energy, Inc. | 107 | 3,842 | ||||||
Oasis Petroleum LLC (B) | 406 | 3,789 | ||||||
Parsley Energy, Inc., Class A (B) | 231 | 6,247 | ||||||
Pioneer Natural Resources Co. | 41 | 6,154 | ||||||
RSP Permian, Inc. (B) | 141 | 4,919 | ||||||
Whiting Petroleum Corp. (B) | 352 | 3,256 | ||||||
WPX Energy, Inc. (B) | 165 | 1,535 | ||||||
|
| |||||||
81,638 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 2.9% |
| |||||||
Marathon Petroleum Corp. | 18 | 679 | ||||||
Marathon Petroleum Corp. L.P. | 57 | 1,926 | ||||||
Phillips 66 | 16 | 1,257 | ||||||
Tesoro Corp. | 8 | 616 | ||||||
|
| |||||||
4,478 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 7.0% |
| |||||||
Enbridge, Inc. | 39 | 1,662 | ||||||
Enterprise Products Partners L.P. | 93 | 2,727 | ||||||
Phillips 66 Partners L.P. | 40 | 2,210 | ||||||
Shell Midstream Partners L.P. | 23 | 762 | ||||||
Tallgrass Energy GP L.P., Class A | 130 | 2,936 | ||||||
Valero Energy Partners L.P. | 13 | 606 | ||||||
|
| |||||||
10,903 | ||||||||
|
| |||||||
Total Energy – 96.1% |
| 149,164 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Information Technology |
| |||||||
Data Processing & Outsourced Services – 1.4% |
| |||||||
Wright Express Corp. (B) | 25 | $ | 2,235 | |||||
|
| |||||||
Total Information Technology – 1.4% |
| 2,235 | ||||||
Materials |
| |||||||
Specialty Chemicals – 1.3% |
| |||||||
Flotek Industries, Inc. (B) | 155 | 2,045 | ||||||
|
| |||||||
Total Materials – 1.3% |
| 2,045 | ||||||
TOTAL COMMON STOCKS – 98.8% |
| $ | 153,444 | |||||
(Cost: $145,351) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 1.2% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (C) | $ | 1,815 | 1,815 | |||||
TOTAL SHORT-TERM SECURITIES – 1.2% |
| $ | 1,815 | |||||
(Cost: $1,815) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 155,259 | |||||
(Cost: $147,166) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0% |
| 40 | ||||||
NET ASSETS – 100.0% | $ | 155,299 |
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, 2016. 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, 2016. 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 | ||||||||||||
Energy | $ | 147,467 | $ | 1,697 | $ | — | ||||||
Information Technology | 2,235 | — | — | |||||||||
Materials | 2,045 | — | — | |||||||||
Total Common Stocks | $ | 151,747 | $ | 1,697 | $ | — | ||||||
Short-Term Securities | — | 1,815 | — | |||||||||
Total | $ | 151,747 | $ | 3,512 | $ | — |
During the period ended June 30, 2016, securities totaling $1,269 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on June 30, 2016. Transfers out of Level 1 represent the values as of the beginning of the reporting period.
2016 | SEMIANNUAL REPORT | 37 |
Table of Contents
SCHEDULE OF INVESTMENTS | ENERGY (in thousands) |
JUNE 30, 2016 (UNAUDITED)
Country Diversification
(as a % of net assets) | ||||
United States | 92.5% | |||
Netherlands | 2.6% | |||
Canada | 2.6% | |||
United Kingdom | 1.1% | |||
Other+ | 1.2% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
38 | SEMIANNUAL REPORT | 2016 |
Table of Contents
PORTFOLIO HIGHLIGHTS | GLOBAL BOND |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 4.4% | |||
Utilities | 1.3% | |||
Financials | 1.0% | |||
Health Care | 0.8% | |||
Energy | 0.7% | |||
Information Technology | 0.6% | |||
Bonds | 86.5% | |||
Corporate Debt Securities | 73.3% | |||
United States Government and Government Agency Obligations | 10.5% | |||
Loans | 1.7% | |||
Other Government Securities | 1.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 9.1% |
Quality Weightings
Investment Grade | 48.6% | |||
AA | 11.7% | |||
A | 13.8% | |||
BBB | 23.1% | |||
Non-Investment Grade | 37.9% | |||
BB | 20.2% | |||
B | 13.8% | |||
CCC | 1.8% | |||
Non-rated | 2.1% | |||
Cash and Other Assets (Net of Liabilities), Cash Equivalents+ and Equities | 13.5% |
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 | 39.6% | |||
United States | 31.3% | |||
Mexico | 5.3% | |||
Other North America | 3.0% | |||
Europe | 25.2% | |||
United Kingdom | 8.0% | |||
Netherlands | 6.8% | |||
Luxembourg | 4.0% | |||
Other Europe | 6.4% | |||
South America | 11.7% | |||
Chile | 3.9% | |||
Other South America | 7.8% | |||
Pacific Basin | 7.0% | |||
Bahamas/Caribbean | 4.6% | |||
Other | 2.8% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 9.1% |
+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.
2016 | SEMIANNUAL REPORT | 39 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Brazil |
| |||||||
Utilities – 0.5% |
| |||||||
Alupar Investimento S.A. | 12 | $ | 51 | |||||
Transmissora Alianca de Energia Eletrica S.A. | 10 | 61 | ||||||
|
| |||||||
112 | ||||||||
|
| |||||||
Total Brazil – 0.5% |
| $ | 112 | |||||
Chile |
| |||||||
Utilities – 0.1% |
| |||||||
Aguas Andinas S.A. | 34 | 20 | ||||||
|
| |||||||
Total Chile – 0.1% |
| $ | 20 | |||||
Panama |
| |||||||
Financials – 1.0% |
| |||||||
Banco Latinoamericano de Comercio Exterior S.A. | 8 | 211 | ||||||
|
| |||||||
Total Panama – 1.0% |
| $ | 211 | |||||
United Kingdom |
| |||||||
Energy – 0.7% |
| |||||||
Royal Dutch Shell plc, Class A | 5 | 129 | ||||||
Seadrill Partners LLC | 4 | 20 | ||||||
|
| |||||||
149 | ||||||||
|
| |||||||
Total United Kingdom – 0.7% |
| $ | 149 | |||||
United States |
| |||||||
Health Care – 0.8% |
| |||||||
Bristol-Myers Squibb Co. | 2 | 162 | ||||||
|
| |||||||
Information Technology – 0.6% |
| |||||||
Intel Corp. | 4 | 135 | ||||||
|
| |||||||
Utilities – 0.7% |
| |||||||
PPL Corp. | 4 | 136 | ||||||
|
| |||||||
Total United States – 2.1% |
| $ | 433 | |||||
TOTAL COMMON STOCKS – 4.4% | $ | 925 | ||||||
(Cost: $942) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Argentina |
| |||||||
Energy – 0.9% |
| |||||||
Pan American Energy LLC, | ||||||||
7.875%, 5-7-21 | $ | 100 | 102 | |||||
YPF Sociedad Anonima, | ||||||||
8.875%, 12-19-18 (A) | 80 | 86 | ||||||
|
| |||||||
188 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Industrials – 0.2% |
| |||||||
Aeropuertos Argentina 2000 S.A., | ||||||||
10.750%, 12-1-20 (A) | $ | 37 | $ | 40 | ||||
|
| |||||||
Total Argentina – 1.1% |
| $ | 228 | |||||
Bahrain |
| |||||||
Financials – 1.2% |
| |||||||
HDFC Bank Ltd., | ||||||||
3.000%, 3-6-18 | 250 | 254 | ||||||
|
| |||||||
Total Bahrain – 1.2% |
| $ | 254 | |||||
Brazil |
| |||||||
Consumer Staples – 0.5% |
| |||||||
BFF International Ltd., | ||||||||
7.250%, 1-28-20 | 100 | 109 | ||||||
|
| |||||||
Energy – 0.0% |
| |||||||
Lancer Finance Co. (SPV) Ltd., | ||||||||
5.850%, 12-12-16 (A)(B) | 15 | — | * | |||||
|
| |||||||
Financials – 0.0% |
| |||||||
Banco Cruzeiro do Sul S.A., | ||||||||
7.000%, 7-8-13 (B) | 96 | 2 | ||||||
|
| |||||||
Industrials – 1.2% |
| |||||||
Embraer Overseas Ltd., | ||||||||
6.375%, 1-24-17 | 225 | 229 | ||||||
Odebrecht Drilling Norbe VII/IX Ltd., | ||||||||
6.350%, 6-30-21 (A) | 94 | 27 | ||||||
|
| |||||||
256 | ||||||||
|
| |||||||
Materials – 1.0% |
| |||||||
Suzano Trading Ltd., | ||||||||
5.875%, 1-23-21 (A) | 200 | 208 | ||||||
|
| |||||||
Total Brazil – 2.7% | $ | 575 | ||||||
British Virgin Islands |
| |||||||
Energy – 0.5% |
| |||||||
QGOG Atlantic/Alaskan Rigs Ltd., | ||||||||
5.250%, 7-30-18 (A) | 115 | 93 | ||||||
|
| |||||||
Financials – 1.4% |
| |||||||
Horsepower Finance Ltd., | ||||||||
2.100%, 3-3-17 | 300 | 301 | ||||||
|
| |||||||
Total British Virgin Islands – 1.9% |
| $ | 394 | |||||
Canada |
| |||||||
Financials – 0.5% |
| |||||||
Bank of Montreal, | ||||||||
1.800%, 7-31-18 | 100 | 101 | ||||||
|
| |||||||
Total Canada – 0.5% |
| $ | 101 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Cayman Islands |
| |||||||
Financials – 1.0% |
| |||||||
Banco Bradesco S.A., | ||||||||
4.500%, 1-12-17 (A) | $200 | $ | 202 | |||||
|
| |||||||
Telecommunication Services – 0.9% |
| |||||||
Sable International Finance Ltd., | ||||||||
6.875%, 8-1-22 (A) | 200 | 201 | ||||||
|
| |||||||
Total Cayman Islands – 1.9% |
| $ | 403 | |||||
Chile |
| |||||||
Industrials – 2.0% |
| |||||||
Guanay Finance Ltd., | ||||||||
6.000%, 12-15-20 (A) | 229 | 227 | ||||||
LATAM Airlines Group S.A., | ||||||||
7.250%, 6-9-20 (A) | 200 | 194 | ||||||
|
| |||||||
421 | ||||||||
|
| |||||||
Materials – 1.8% |
| |||||||
Inversiones CMPC S.A. (GTD by Empresas CMPC S.A.): | ||||||||
4.750%, 1-19-18 (A) | 175 | 181 | ||||||
4.375%, 5-15-23 (A) | 200 | 205 | ||||||
|
| |||||||
386 | ||||||||
|
| |||||||
Total Chile – 3.8% |
| $ | 807 | |||||
China |
| |||||||
Information Technology – 2.4% |
| |||||||
Alibaba Group Holding Ltd., | ||||||||
1.625%, 11-28-17 | 500 | 501 | ||||||
|
| |||||||
Total China – 2.4% |
| $ | 501 | |||||
Columbia |
| |||||||
Energy – 0.4% |
| |||||||
Empresas Publicas de Medellin E.S.P., | ||||||||
8.375%, 2-1-21 (C) | COP274,000 | 88 | ||||||
|
| |||||||
Financials – 0.9% |
| |||||||
Banco de Bogota S.A., | ||||||||
5.000%, 1-15-17 (A) | $ | 200 | 203 | |||||
|
| |||||||
Utilities – 0.5% |
| |||||||
Emgesa S.A. E.S.P., | ||||||||
8.750%, 1-25-21 (C) | COP302,000 | 98 | ||||||
|
| |||||||
Total Columbia – 1.8% |
| $ | 389 | |||||
France |
| |||||||
Financials – 0.5% |
| |||||||
Societe Generale S.A., | ||||||||
5.922%, 4-29-49 (A) | $ | 100 | 101 | |||||
|
| |||||||
Total France – 0.5% |
| $ | 101 |
40 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2016 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Hong Kong |
| |||||||
Telecommunication Services – 1.0% |
| |||||||
Hutchison Whampoa Ltd., | ||||||||
1.625%, 10-31-17 (A) | $ | 200 | $ | 201 | ||||
|
| |||||||
Total Hong Kong – 1.0% | $ | 201 | ||||||
India |
| |||||||
Industrials – 0.9% |
| |||||||
Adani Ports and Special Economic Zone Ltd., | ||||||||
3.500%, 7-29-20 (A) | 200 | 199 | ||||||
|
| |||||||
Total India ��� 0.9% | $ | 199 | ||||||
Indonesia |
| |||||||
Utilities – 1.4% |
| |||||||
Majapahit Holding B.V., | ||||||||
7.750%, 10-17-16 | 300 | 305 | ||||||
|
| |||||||
Total Indonesia – 1.4% |
| $ | 305 | |||||
Ireland |
| |||||||
Financials – 1.7% |
| |||||||
MTS International Funding Ltd., | ||||||||
5.000%, 5-30-23 (A) | 350 | 359 | ||||||
|
| |||||||
Total Ireland – 1.7% |
| $ | 359 | |||||
Jamaica |
| |||||||
Telecommunication Services – 0.8% |
| |||||||
Digicel Group Ltd., | ||||||||
6.000%, 4-15-21 (A) | 200 | 172 | ||||||
|
| |||||||
Total Jamaica – 0.8% | $ | 172 | ||||||
Luxembourg |
| |||||||
Consumer Discretionary – 0.9% |
| |||||||
Altice S.A., | ||||||||
7.625%, 2-15-25 (A) | 200 | 195 | ||||||
|
| |||||||
Financials – 1.0% |
| |||||||
OJSC Russian Agricultural Bank, | ||||||||
5.100%, 7-25-18 (A) | 200 | 206 | ||||||
|
| |||||||
Information Technology – 1.6% |
| |||||||
BC Luxco 1 S.A.: | ||||||||
7.375%, 1-29-20 (A) | 200 | 194 | ||||||
7.375%, 1-29-20 | 150 | 146 | ||||||
|
| |||||||
340 | ||||||||
|
| |||||||
Materials – 0.5% |
| |||||||
Steel Capital S.A., | ||||||||
6.700%, 10-25-17 | 100 | 105 | ||||||
|
| |||||||
Total Luxembourg – 4.0% |
| $ | 846 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Mexico |
| |||||||
Consumer Staples – 0.8% |
| |||||||
Sigma Alimentos S.A. de C.V., | ||||||||
5.625%, 4-14-18 (A) | $ 150 | $ | 160 | |||||
|
| |||||||
Financials – 1.2% |
| |||||||
PLA Administradora Industrial, | ||||||||
5.250%, 11-10-22 (A) | 250 | 254 | ||||||
|
| |||||||
Materials – 3.3% |
| |||||||
C5 Capital (SPV) Ltd., | ||||||||
4.908%, 12-29-49 (A)(D) | 150 | 119 | ||||||
CEMEX S.A.B. de C.V., | ||||||||
6.500%, 12-10-19 (A) | 550 | 583 | ||||||
|
| |||||||
702 | ||||||||
|
| |||||||
Total Mexico – 5.3% |
| $ | 1,116 | |||||
Netherlands |
| |||||||
Consumer Discretionary – 3.4% |
| |||||||
Myriad International Holdings B.V., | ||||||||
6.375%, 7-28-17 (A) | 500 | 519 | ||||||
VTR Finance B.V., | ||||||||
6.875%, 1-15-24 (A) | 200 | 200 | ||||||
|
| |||||||
719 | ||||||||
|
| |||||||
Energy – 0.8% |
| |||||||
Petrobras Global Finance B.V. (GTD by Petroleo Brasileiro S.A.): | ||||||||
4.875%, 3-17-20 | 125 | 117 | ||||||
8.375%, 5-23-21 | 60 | 62 | ||||||
|
| |||||||
179 | ||||||||
|
| |||||||
Materials – 0.7% |
| |||||||
Cimpor Financial Operations B.V. (GTD by InterCement Participacoes S.A. and InterCement Brasil S.A.), | ||||||||
5.750%, 7-17-24 (A) | 200 | 147 | ||||||
|
| |||||||
Telecommunication Services – 0.4% |
| |||||||
VimpleCom Holdings B.V., | ||||||||
9.000%, 2-13-18 (A)(C) | RUB5,000 | 77 | ||||||
|
| |||||||
Utilities – 1.5% |
| |||||||
Listrindo Capital B.V., | ||||||||
6.950%, 2-21-19 (A) | $ | 200 | 207 | |||||
Majapahit Holding B.V., | ||||||||
7.750%, 1-20-20 (A) | 100 | 114 | ||||||
|
| |||||||
321 | ||||||||
|
| |||||||
Total Netherlands – 6.8% | $ | 1,443 | ||||||
Panama |
| |||||||
Financials – 1.5% |
| |||||||
Banco Latinoamericano de Comercio Exterior S.A., | ||||||||
3.750%, 4-4-17 (A) | 300 | 306 | ||||||
|
| |||||||
Total Panama – 1.5% | $ | 306 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Peru |
| |||||||
Financials – 0.5% |
| |||||||
InRetail Shopping Malls, | ||||||||
5.250%, 10-10-21 (A) | $ | 100 | $ | 103 | ||||
|
| |||||||
Total Peru – 0.5% | $ | 103 | ||||||
Russia |
| |||||||
Materials – 0.9% |
| |||||||
Uralkali Finance Ltd., | ||||||||
3.723%, 4-30-18 (A) | 200 | 200 | ||||||
|
| |||||||
Total Russia – 0.9% | $ | 200 | ||||||
Singapore |
| |||||||
Consumer Staples – 0.5% |
| |||||||
Olam International Ltd., | ||||||||
7.500%, 8-12-20 | 100 | 111 | ||||||
|
| |||||||
Telecommunication Services – 1.0% |
| |||||||
TBG Global Pte. Ltd., | ||||||||
4.625%, 4-3-18 (A) | 200 | 203 | ||||||
|
| |||||||
Total Singapore – 1.5% | $ | 314 | ||||||
South Korea |
| |||||||
Financials – 1.2% |
| |||||||
Woori Bank, | ||||||||
2.625%, 7-20-21 (A) | 250 | 257 | ||||||
|
| |||||||
Total South Korea – 1.2% | $ | 257 | ||||||
Spain |
| |||||||
Financials – 0.9% |
| |||||||
Banco Bilbao Vizcaya Argentaria S.A., | ||||||||
9.000%, 5-29-49 | 200 | 199 | ||||||
|
| |||||||
Total Spain – 0.9% | $ | 199 | ||||||
United Arab Emirates |
| |||||||
Financials – 1.6% |
| |||||||
ICICI Bank Ltd., | ||||||||
3.500%, 3-18-20 (A) | 325 | 333 | ||||||
|
| |||||||
Total United Arab Emirates – 1.6% | $ | 333 | ||||||
United Kingdom |
| |||||||
Consumer Staples – 1.8% |
| |||||||
BAT International Finance plc, | ||||||||
1.850%, 6-15-18 (A) | 375 | 379 | ||||||
|
| |||||||
Financials – 4.7% |
| |||||||
Barclays plc, | ||||||||
8.250%, 12-29-49 | 200 | 195 | ||||||
HSBC Holdings plc, | ||||||||
5.625%, 12-29-49 | 200 | 193 | ||||||
Royal Bank of Scotland Group plc (The), | ||||||||
7.640%, 3-29-49 | 200 | 190 |
2016 | SEMIANNUAL REPORT | 41 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2016 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Financials (Continued) |
| |||||||
State Bank of India: | ||||||||
3.250%, 4-18-18 (A) | $ | 200 | $ | 204 | ||||
3.622%, 4-17-19 (A) | 200 | 208 | ||||||
|
| |||||||
990 | ||||||||
|
| |||||||
Materials – 0.8% |
| |||||||
Vedanta Resources plc, | ||||||||
6.000%, 1-31-19 (A) | 200 | 171 | ||||||
|
| |||||||
Total United Kingdom – 7.3% |
| $ | 1,540 | |||||
United States |
| |||||||
Consumer Discretionary – 0.2% |
| |||||||
BakerCorp International, Inc., | ||||||||
8.250%, 6-1-19 | 50 | 42 | ||||||
|
| |||||||
Consumer Staples – 4.9% |
| |||||||
Anheuser-Busch InBev S.A./N.V., | ||||||||
2.650%, 2-1-21 | 500 | 518 | ||||||
Bunge Ltd. Finance Corp., | ||||||||
3.500%, 11-24-20 | 250 | 262 | ||||||
SABMiller Holdings, Inc., | ||||||||
2.200%, 8-1-18 (A) | 200 | 203 | ||||||
Simmons Foods, Inc., | ||||||||
7.875%, 10-1-21 (A) | 50 | 46 | ||||||
|
| |||||||
1,029 | ||||||||
|
| |||||||
Energy – 0.4% |
| |||||||
Brand Energy & Infrastructure Services, | ||||||||
8.500%, 12-1-21 (A) | 80 | 77 | ||||||
|
| |||||||
Financials – 4.4% |
| |||||||
Aircastle Ltd., | ||||||||
4.625%, 12-15-18 | 235 | 242 | ||||||
Citigroup, Inc., | ||||||||
8.400%, 4-29-49 | 75 | 82 | ||||||
Daimler Finance North America LLC, | ||||||||
2.950%, 1-11-17 (A) | 200 | 202 | ||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp., | ||||||||
3.480%, 6-1-19 (A) | 50 | 51 | ||||||
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.), | ||||||||
3.000%, 9-25-17 | 100 | 102 | ||||||
Hyundai Capital America, | ||||||||
2.000%, 3-19-18 (A) | 200 | 201 | ||||||
Wells Fargo & Co., | ||||||||
7.980%, 3-29-49 | 50 | 52 | ||||||
|
| |||||||
932 | ||||||||
|
| |||||||
Health Care – 0.8% |
| |||||||
Fresenius U.S. Finance II, Inc.: | ||||||||
4.250%, 2-1-21 (A) | 100 | 104 | ||||||
4.500%, 1-15-23 (A) | 75 | 77 | ||||||
|
| |||||||
181 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Industrials – 0.4% |
| |||||||
TransDigm, Inc. (GTD by TransDigm Group, Inc.), | ||||||||
6.000%, 7-15-22 | $ | 82 | $ | 82 | ||||
|
| |||||||
Information Technology – 1.2% |
| |||||||
Alliance Data Systems Corp., | ||||||||
5.250%, 12-1-17 (A) | 150 | 152 | ||||||
Micron Technology, Inc., | ||||||||
5.875%, 2-15-22 | 100 | 94 | ||||||
|
| |||||||
246 | ||||||||
|
| |||||||
Materials – 0.5% |
| |||||||
Hillman Group, Inc. (The), | ||||||||
6.375%, 7-15-22 (A) | 110 | 98 | ||||||
|
| |||||||
Telecommunication Services – 3.0% |
| |||||||
American Tower Corp., | ||||||||
3.400%, 2-15-19 | 170 | 177 | ||||||
T-Mobile USA, Inc., | ||||||||
6.000%, 3-1-23 | 230 | 238 | ||||||
Verizon Communications, Inc., | ||||||||
2.625%, 2-21-20 | 214 | 222 | ||||||
|
| |||||||
637 | ||||||||
|
| |||||||
Utilities – 1.2% |
| |||||||
Sempra Energy, | ||||||||
2.850%, 11-15-20 | 250 | 259 | ||||||
|
| |||||||
Total United States – 17.0% |
| $ | 3,583 | |||||
Venezuela |
| |||||||
Financials – 1.2% |
| |||||||
Corporacion Andina de Fomento, | ||||||||
1.500%, 8-8-17 | 250 | 251 | ||||||
|
| |||||||
Total Venezuela – 1.2% |
| $ | 251 | |||||
TOTAL CORPORATE DEBT SECURITIES – 73.3% |
| $ | 15,480 | |||||
(Cost: $15,905) | ||||||||
OTHER GOVERNMENT SECURITIES (E) | ||||||||
Russia – 1.0% |
| |||||||
Russian Federation, | ||||||||
3.500%, 1-16-19 (A) | 200 | 207 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 1.0% |
| $ | 207 | |||||
(Cost: $199) |
LOANS (D) | Principal | Value | ||||||
United States |
| |||||||
Industrials – 1.1% |
| |||||||
TransDigm, Inc., | ||||||||
3.750%, 2-28-20 | $ | 240 | $ | 238 | ||||
|
| |||||||
Information Technology – 0.3% |
| |||||||
Magic Newco LLC, | ||||||||
5.000%, 12-12-18 | 49 | 49 | ||||||
|
| |||||||
Materials – 0.3% |
| |||||||
BakerCorp International, Inc., | ||||||||
4.250%, 2-7-20 | 74 | 67 | ||||||
|
| |||||||
Total United States – 1.7% |
| $ | 354 | |||||
TOTAL LOANS – 1.7% |
| $ | 354 | |||||
(Cost: $362) | ||||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
United States – 10.5% |
| |||||||
U.S. Treasury Bonds, | ||||||||
2.250%, 11-15-25 | 200 | 213 | ||||||
U.S. Treasury Notes: | ||||||||
0.625%, 8-31-17 | 600 | 601 | ||||||
0.750%, 12-31-17 | 1,250 | 1,253 | ||||||
1.750%, 5-15-22 | 145 | 150 | ||||||
|
| |||||||
2,217 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 10.5% |
| $ | 2,217 | |||||
(Cost: $2,200) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Master Note – 8.1% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (F) | 1,710 | 1,710 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 8.1% |
| $ | 1,710 | |||||
(Cost: $1,710) | ||||||||
TOTAL INVESTMENT |
| $ | 20,893 | |||||
(Cost: $21,318) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.0% |
| 204 | ||||||
NET ASSETS – 100.0% |
| $ | 21,097 |
42 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2016 (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, 2016 the total value of these securities amounted to $9,656 or 45.8% of net assets. |
(B) | Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
(C) | Principal amounts are denominated in the indicated foreign currency, where applicable (COP — Columbian Peso and RUB — Russian Ruble). |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. |
(E) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(F) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. Date shown represents the date that the variable rate resets. |
The following forward foreign currency contracts were outstanding at June 30, 2016:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
British Pound | 81 | U.S. Dollar | 119 | 7-25-16 | Barclays Capital, Inc. | $ | 11 | $ | — |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2016. 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 | ||||||||||||
Energy | $ | 20 | $ | 129 | $ | — | ||||||
Financials | 211 | — | — | |||||||||
Health Care | 162 | — | — | |||||||||
Information Technology | 135 | — | — | |||||||||
Utilities | 268 | — | — | |||||||||
Total Common Stocks | $ | 796 | $ | 129 | $ | — | ||||||
Corporate Debt Securities | — | 15,480 | — | |||||||||
Other Government Securities | — | 207 | — | |||||||||
Loans | — | 354 | — | |||||||||
United States Government Obligations | — | 2,217 | — | |||||||||
Short-Term Securities | — | 1,710 | — | |||||||||
Total | $ | 796 | $ | 20,097 | $ | — | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 11 | $ | — |
During the period ended June 30, 2016, securities totaling $63 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 $105 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on June 30, 2016. Transfers between levels represent the values as of the beginning of the reporting period.
The following acronym is used throughout this schedule:
GTD = Guaranteed
2016 | SEMIANNUAL REPORT | 43 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2016 (UNAUDITED)
Country Diversification
(as a % of net assets) | ||||
United States | 31.3% | |||
United Kingdom | 8.0% | |||
Netherlands | 6.8% | |||
Mexico | 5.3% | |||
Luxembourg | 4.0% | |||
Chile | 3.9% | |||
Brazil | 3.2% | |||
Panama | 2.5% | |||
China | 2.4% | |||
Russia | 1.9% | |||
Cayman Islands | 1.9% | |||
British Virgin Islands | 1.9% |
Country Diversification (Continued)
Columbia | 1.8% | |||
Ireland | 1.7% | |||
United Arab Emirates | 1.6% | |||
Singapore | 1.5% | |||
Indonesia | 1.4% | |||
South Korea | 1.2% | |||
Bahrain | 1.2% | |||
Venezuela | 1.2% | |||
Argentina | 1.1% | |||
Hong Kong | 1.0% | |||
Other Countries | 4.1% | |||
Other+ | 9.1% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
44 | SEMIANNUAL REPORT | 2016 |
Table of Contents
PORTFOLIO HIGHLIGHTS | GLOBAL GROWTH |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 93.0% | |||
Information Technology | 25.0% | |||
Health Care | 24.7% | |||
Consumer Discretionary | 17.1% | |||
Industrials | 10.3% | |||
Consumer Staples | 8.2% | |||
Energy | 3.7% | |||
Telecommunication Services | 2.5% | |||
Financials | 1.5% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 7.0% |
Country Weightings
North America | 59.5% | |||
United States | 58.1% | |||
Other North America | 1.4% | |||
Europe | 19.6% | |||
Germany | 4.8% | |||
United Kingdom | 3.8% | |||
Netherlands | 3.6% | |||
Other Europe | 7.4% | |||
Pacific Basin | 10.4% | |||
China | 9.1% | |||
Other Pacific Basin | 1.3% | |||
Other | 2.3% | |||
South America | 1.2% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 7.0% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Amazon.com, Inc. | United States | Consumer Discretionary | Internet Retail | |||
Visa, Inc., Class A | United States | Information Technology | Data Processing & Outsourced Services | |||
Alphabet, Inc., Class C | United States | Information Technology | Internet Software & Services | |||
Allergan plc | United States | Health Care | Pharmaceuticals | |||
JD.com, Inc. ADR | China | Consumer Discretionary | Internet Retail | |||
Anthem, Inc. | United States | Health Care | Managed Health Care | |||
Fresenius SE & Co. KGaA | Germany | Health Care | Health Care Services | |||
Tencent Holdings Ltd. | China | Information Technology | Internet Software & Services | |||
MasterCard, Inc., Class A | United States | Information Technology | Data Processing & Outsourced Services | |||
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.
2016 | SEMIANNUAL REPORT | 45 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL GROWTH (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Belgium |
| |||||||
Consumer Staples – 2.5% |
| |||||||
InBev N.V. | 88 | $ | 11,581 | |||||
|
| |||||||
Total Belgium – 2.5% |
| $ | 11,581 | |||||
Brazil |
| |||||||
Information Technology – 1.2% |
| |||||||
MercadoLibre, Inc. | 40 | 5,613 | ||||||
|
| |||||||
Total Brazil – 1.2% | $ | 5,613 | ||||||
Canada |
| |||||||
Industrials – 1.4% |
| |||||||
Canadian Pacific Railway Ltd. | 50 | 6,485 | ||||||
|
| |||||||
Total Canada – 1.4% | $ | 6,485 | ||||||
China |
| |||||||
Consumer Discretionary – 3.3% |
| |||||||
JD.com, Inc. ADR (A) | 740 | 15,702 | ||||||
|
| |||||||
Industrials – 0.4% |
| |||||||
CAR, Inc. (A) | 1,723 | 1,685 | ||||||
|
| |||||||
Information Technology – 5.4% |
| |||||||
Alibaba Group Holding Ltd. ADR (A) | 147 | 11,700 | ||||||
Tencent Holdings Ltd. | 593 | 13,605 | ||||||
|
| |||||||
25,305 | ||||||||
|
| |||||||
Total China – 9.1% | $ | 42,692 | ||||||
France |
| |||||||
Consumer Staples – 0.7% |
| |||||||
Pernod Ricard | 29 | 3,201 | ||||||
|
| |||||||
Industrials – 2.7% |
| |||||||
European Aeronautic Defence and Space Co. | 137 | 7,855 | ||||||
Safran | 74 | 4,983 | ||||||
|
| |||||||
12,838 | ||||||||
|
| |||||||
Total France – 3.4% |
| $ | 16,039 | |||||
Germany |
| |||||||
Consumer Discretionary – 1.7% |
| |||||||
Continental AG | 42 | 7,857 | ||||||
Health Care – 3.1% |
| |||||||
Fresenius SE & Co. KGaA | 197 | 14,501 | ||||||
|
| |||||||
Total Germany – 4.8% |
| $ | 22,358 | |||||
India |
| |||||||
Consumer Staples – 1.3% |
| |||||||
ITC Ltd. | 1,148 | 6,287 | ||||||
|
| |||||||
Total India – 1.3% | $ | 6,287 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Ireland |
| |||||||
Health Care – 1.5% |
| |||||||
Medtronic plc | 82 | $ | 7,131 | |||||
|
| |||||||
Total Ireland – 1.5% | $ | 7,131 | ||||||
Israel |
| |||||||
Health Care – 2.3% |
| |||||||
Teva Pharmaceutical Industries Ltd. ADR | 211 | 10,587 | ||||||
|
| |||||||
Total Israel – 2.3% | $ | 10,587 | ||||||
Netherlands |
| |||||||
Consumer Discretionary – 1.0% |
| |||||||
Koninklijke Philips Electronics N.V., Ordinary Shares | 191 | 4,747 | ||||||
|
| |||||||
Information Technology – 2.6% |
| |||||||
ASML Holding N.V., NY Registry Shares | 59 | 5,815 | ||||||
NXP Semiconductors N.V. (A) | 80 | 6,305 | ||||||
|
| |||||||
12,120 | ||||||||
|
| |||||||
Total Netherlands – 3.6% | $ | 16,867 | ||||||
United Kingdom |
| |||||||
Financials – 1.5% |
| |||||||
Prudential plc | 421 | 7,148 | ||||||
|
| |||||||
Health Care – 2.3% |
| |||||||
Shire plc | 176 | 10,850 | ||||||
|
| |||||||
Total United Kingdom – 3.8% | $ | 17,998 | ||||||
United States |
| |||||||
Consumer Discretionary – 11.1% |
| |||||||
Amazon.com, Inc. (A) | 33 | 23,370 | ||||||
Carnival Corp. | 179 | 7,918 | ||||||
Home Depot, Inc. (The) | 69 | 8,756 | ||||||
Limited Brands, Inc. | 100 | 6,729 | ||||||
TripAdvisor, Inc. (A) | 80 | 5,123 | ||||||
|
| |||||||
51,896 | ||||||||
|
| |||||||
Consumer Staples – 3.7% |
| |||||||
Coca-Cola Co. (The) | 225 | 10,190 | ||||||
Kraft Foods Group, Inc. | 81 | 7,185 | ||||||
|
| |||||||
17,375 | ||||||||
|
| |||||||
Energy – 3.7% |
| |||||||
Halliburton Co. | 230 | 10,423 | ||||||
Schlumberger Ltd. | 90 | 7,094 | ||||||
|
| |||||||
17,517 | ||||||||
|
| |||||||
Health Care – 15.5% |
| |||||||
Acadia Healthcare Co., Inc. (A) | 155 | 8,604 | ||||||
Allergan plc (A) | 72 | 16,592 | ||||||
Anthem, Inc. | 118 | 15,523 | ||||||
Biogen, Inc. (A) | 27 | 6,432 | ||||||
Bristol-Myers Squibb Co. | 77 | 5,696 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care (Continued) |
| |||||||
Gilead Sciences, Inc. | 89 | $ | 7,454 | |||||
HCA Holdings, Inc. (A) | 157 | 12,102 | ||||||
|
| |||||||
72,403 | ||||||||
|
| |||||||
Industrials – 5.8% |
| |||||||
J.B. Hunt Transport Services, Inc. | 162 | 13,093 | ||||||
Kansas City Southern | 62 | 5,568 | ||||||
Rockwell Collins, Inc. | 101 | 8,609 | ||||||
|
| |||||||
27,270 | ||||||||
|
| |||||||
Information Technology – 15.8% |
| |||||||
Alphabet, Inc., Class C (A) | 27 | 18,563 | ||||||
Cognizant Technology Solutions Corp., Class A (A) | 141 | 8,053 | ||||||
Facebook, Inc., Class A (A) | 101 | 11,595 | ||||||
MasterCard, Inc., Class A | 152 | 13,412 | ||||||
Visa, Inc., Class A | 299 | 22,183 | ||||||
|
| |||||||
73,806 | ||||||||
|
| |||||||
Telecommunication Services – 2.5% |
| |||||||
Level 3 Communications, Inc. (A) | 231 | 11,883 | ||||||
|
| |||||||
Total United States – 58.1% |
| $ | 272,150 | |||||
TOTAL COMMON STOCKS – 93.0% |
| $ | 435,788 | |||||
(Cost: $416,180) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper(B) – 7.2% |
| |||||||
Caterpillar Financial Services Corp. (GTD by Caterpillar, Inc.), | ||||||||
0.490%, 7-7-16 | $ | 5,000 | 5,000 | |||||
Ecolab, Inc., | ||||||||
0.740%, 7-13-16 | 7,000 | 6,998 | ||||||
J.M. Smucker Co. (The), | ||||||||
0.620%, 7-6-16 | 5,000 | 4,999 | ||||||
Mondelez International, Inc., | ||||||||
0.690%, 7-6-16 | 5,000 | 4,999 | ||||||
Northern Illinois Gas Co., | ||||||||
0.420%, 7-1-16 | 6,702 | 6,702 | ||||||
Verizon Communications, Inc., | ||||||||
0.700%, 7-5-16 | 5,000 | 5,000 | ||||||
|
| |||||||
33,698 | ||||||||
|
| |||||||
Master Note – 0.5% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (C) | 2,120 | 2,120 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 7.7% |
| $ | 35,818 | |||||
(Cost: $35,819) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.7% |
| $ | 471,606 | |||||
(Cost: $451,999) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.7)% |
| (3,127 | ) | |||||
NET ASSETS – 100.0% |
| $ | 468,479 |
46 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL GROWTH (in thousands) |
JUNE 30, 2016 (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, 2016. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. Date shown represents the date that the variable rate resets. |
The following forward foreign currency contracts were outstanding at June 30, 2016:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Euro | 32,600 | U.S. Dollar | 36,246 | 7-25-16 | Citibank N.A. | $ | 41 | $ | — |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2016. 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 | $ | 67,598 | $ | 12,604 | $ | — | ||||||
Consumer Staples | 17,375 | 21,069 | — | |||||||||
Energy | 17,517 | — | — | |||||||||
Financials | — | 7,148 | — | |||||||||
Health Care | 90,121 | 25,351 | — | |||||||||
Industrials | 33,755 | 14,523 | — | |||||||||
Information Technology | 103,239 | 13,605 | — | |||||||||
Telecommunication Services | 11,883 | — | — | |||||||||
Total Common Stocks | $ | 341,488 | $ | 94,300 | $ | — | ||||||
Short-Term Securities | — | 35,818 | — | |||||||||
Total | $ | 341,488 | $ | 130,118 | $ | — | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 41 | $ | — |
During the period ended June 30, 2016, securities totaling $99,491 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on June 30, 2016. Transfers out of Level 1 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
Market Sector Diversification
(as a % of net assets) | ||||
Information Technology | 25.0% | |||
Health Care | 24.7% | |||
Consumer Discretionary | 17.1% | |||
Industrials | 10.3% | |||
Consumer Staples | 8.2% | |||
Energy | 3.7% | |||
Telecommunication Services | 2.5% | |||
Financials | 1.5% | |||
Other+ | 7.0% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 47 |
Table of Contents
PORTFOLIO HIGHLIGHTS | GLOBAL NATURAL RESOURCES |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 94.0% | |||
Energy | 66.4% | |||
Materials | 23.6% | |||
Industrials | 2.5% | |||
Financials | 1.5% | |||
Utilities | 0.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 6.0% |
Country Weightings
North America | 83.9% | |||
United States | 80.8% | |||
Other North America | 3.1% | |||
Europe | 10.1% | |||
United Kingdom | 8.1% | |||
Other Europe | 2.0% | |||
Pacific Basin | 0.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 6.0% |
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 | |||
EOG Resources, Inc. | United States | Energy | Oil & Gas Exploration & Production | |||
Concho Resources, Inc. | United States | Energy | Oil & Gas Exploration & Production | |||
Continental Resources, Inc. | United States | Energy | Oil & Gas Exploration & Production | |||
Rio Tinto plc | United Kingdom | Materials | Diversified Metals & Mining | |||
Cimarex Energy Co. | United States | Energy | Oil & Gas Exploration & Production | |||
Suncor Energy, Inc. | Canada | Energy | Integrated Oil & Gas | |||
Baker Hughes, Inc. | United States | Energy | Oil & Gas Equipment & Services |
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.
48 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL NATURAL RESOURCES (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Canada |
| |||||||
Energy – 3.1% |
| |||||||
Suncor Energy, Inc. | 144 | $ | 3,999 | |||||
|
| |||||||
Total Canada – 3.1% |
| $ | 3,999 | |||||
China |
| |||||||
Materials – 0.0% |
| |||||||
China Metal Recycling (Holdings) Ltd. (A) | 1,900 | — | ||||||
|
| |||||||
Total China – 0.0% |
| $ | — | |||||
France |
| |||||||
Materials – 0.8% |
| |||||||
L Air Liquide S.A. | 9 | 974 | ||||||
|
| |||||||
Total France – 0.8% |
| $ | 974 | |||||
Netherlands |
| |||||||
Energy – 1.2% |
| |||||||
Core Laboratories N.V. | 13 | 1,617 | ||||||
|
| |||||||
Total Netherlands – 1.2% |
| $ | 1,617 | |||||
United Kingdom |
| |||||||
Materials – 8.1% |
| |||||||
BHP Billiton plc | 295 | 3,729 | ||||||
Randgold Resources Ltd. ADR | 20 | 2,259 | ||||||
Rio Tinto plc | 146 | 4,523 | ||||||
|
| |||||||
10,511 | ||||||||
|
| |||||||
Total United Kingdom – 8.1% |
| $ | 10,511 | |||||
United States |
| |||||||
Energy – 62.1% |
| |||||||
Anadarko Petroleum Corp. | 53 | 2,836 | ||||||
Baker Hughes, Inc. | 86 | 3,886 | ||||||
Cimarex Energy Co. | 35 | 4,188 | ||||||
Concho Resources, Inc. (A) | 41 | 4,914 | ||||||
Continental Resources, Inc. (A) | 103 | 4,649 | ||||||
Diamondback Energy, Inc. (A) | 13 | 1,149 | ||||||
Enterprise Products Partners L.P. | 24 | 693 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Energy (Continued) |
| |||||||
EOG Resources, Inc. | 60 | $ | 4,997 | |||||
Exxon Mobil Corp. | 28 | 2,601 | ||||||
FMC Technologies, Inc. (A) | 21 | 571 | ||||||
Gulfport Energy Corp. (A) | 44 | 1,379 | ||||||
Halliburton Co. | 194 | 8,791 | ||||||
Marathon Oil Corp. | 178 | 2,665 | ||||||
Marathon Petroleum Corp. | 17 | 655 | ||||||
Marathon Petroleum Corp. L.P. | 28 | 927 | ||||||
Newfield Exploration Co. (A) | 71 | 3,121 | ||||||
Noble Energy, Inc. | 81 | 2,906 | ||||||
Oasis Petroleum LLC (A) | 205 | 1,918 | ||||||
Patterson-UTI Energy, Inc. | 94 | 1,997 | ||||||
Phillips 66 | 14 | 1,139 | ||||||
Pioneer Natural Resources Co. | 26 | 3,856 | ||||||
Schlumberger Ltd. | 140 | 11,063 | ||||||
Shell Midstream Partners L.P. | 27 | 927 | ||||||
Superior Energy Services, Inc. | 136 | 2,497 | ||||||
Tallgrass Energy GP L.P., Class A | 101 | 2,285 | ||||||
U.S. Silica Holdings, Inc. | 39 | 1,339 | ||||||
Valero Energy Corp. | 10 | 495 | ||||||
Valero Energy Partners L.P. | 12 | 585 | ||||||
Whiting Petroleum Corp. (A) | 145 | 1,344 | ||||||
|
| |||||||
80,373 | ||||||||
|
| |||||||
Financials – 1.5% |
| |||||||
CME Group, Inc. | 21 | 1,997 | ||||||
|
| |||||||
Industrials – 2.5% |
| |||||||
Caterpillar, Inc. | 42 | 3,203 | ||||||
|
| |||||||
Materials – 12.1% |
| |||||||
Dow Chemical Co. (The) | 140 | 6,942 | ||||||
LyondellBasell Industries N.V., Class A | 32 | 2,400 | ||||||
PPG Industries, Inc. | 24 | 2,473 | ||||||
Praxair, Inc. | 7 | 815 | ||||||
Southern Copper Corp. | 113 | 3,045 | ||||||
|
| |||||||
15,675 | ||||||||
|
| |||||||
Total United States – 78.2% |
| $ | 101,248 | |||||
TOTAL COMMON STOCKS – 91.4% |
| $ | 118,349 | |||||
(Cost: $128,038) |
INVESTMENT FUNDS | Shares | Value | ||||||
United States – 2.6% |
| |||||||
SPDR Gold Trust (A) | 27 | $ | 3,403 | |||||
|
| |||||||
TOTAL INVESTMENT FUNDS – 2.6% |
| $ | 3,403 | |||||
(Cost: $3,140) | ||||||||
PREFERRED STOCKS | ||||||||
United States |
| |||||||
Utilities – 0.0% |
| |||||||
Konarka Technologies, Inc., 8.000%, Convertible (A)(B) | 68 | — | ||||||
|
| |||||||
Total United States – 0.0% |
| $ | — | |||||
TOTAL PREFERRED STOCKS – 0.0% |
| $ | — | |||||
(Cost: $211) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (C) – 2.5% |
| |||||||
Kroger Co. (The), | ||||||||
0.570%, 7-1-16 | $ | 3,293 | 3,293 | |||||
|
| |||||||
Master Note – 2.8% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (D) | 3,605 | 3,605 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 5.3% |
| $ | 6,898 | |||||
(Cost: $6,898) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.3% |
| $ | 128,650 | |||||
(Cost: $138,287) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.7% |
| 870 | ||||||
NET ASSETS – 100.0% | $ | 129,520 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Restricted security. At June 30, 2016, 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 | $ | — | ||||||||||||||
|
|
Thetotal value of this security represented 0.0% of net assets at June 30, 2016. |
(C) | Rate shown is the yield to maturity at June 30, 2016. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. Date shown represents the date that the variable rate resets. |
2016 | SEMIANNUAL REPORT | 49 |
Table of Contents
SCHEDULE OF INVESTMENTS | GLOBAL NATURAL RESOURCES (in thousands) |
JUNE 30, 2016 (UNAUDITED)
The following forward foreign currency contracts were outstanding at June 30, 2016: |
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
British Pound | 5,423 | U.S. Dollar | 7,979 | 7-25-16 | UBS AG | $ | 758 | $ | — | |||||||||||||||||||
Canadian Dollar | 4,970 | U.S. Dollar | 3,891 | 7-25-16 | UBS AG | 44 | — | |||||||||||||||||||||
Euro | 912 | U.S. Dollar | 1,033 | 7-25-16 | UBS AG | 20 | — | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 822 | $ | — | |||||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2016. 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 | ||||||||||||
Energy | $ | 85,989 | $ | — | $ | — | ||||||
Financials | 1,997 | — | — | |||||||||
Industrials | 3,203 | — | — | |||||||||
Materials | 17,934 | 9,226 | — | |||||||||
Total Common Stocks | $ | 109,123 | $ | 9,226 | $ | — | ||||||
Investment Funds | 3,403 | — | — | |||||||||
Short-Term Securities | — | 6,898 | — | |||||||||
Total | $ | 112,526 | $ | 16,124 | $ | — | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 822 | $ | — |
During the period ended June 30, 2016, securities totaling $7,207 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on June 30, 2016. Transfers out of Level 1 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 | 66.4% | |||
Materials | 23.6% | |||
Industrials | 2.5% | |||
Financials | 1.5% | |||
Utilities | 0.0% | |||
Other+ | 6.0% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
50 | SEMIANNUAL REPORT | 2016 |
Table of Contents
PORTFOLIO HIGHLIGHTS | GROWTH |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 97.7% | |||
Information Technology | 35.1% | |||
Health Care | 18.7% | |||
Consumer Discretionary | 17.7% | |||
Industrials | 10.9% | |||
Consumer Staples | 4.6% | |||
Energy | 4.0% | |||
Financials | 3.1% | |||
Telecommunication Services | 2.2% | |||
Materials | 1.4% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.3% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Visa, Inc., Class A | Information Technology | Data Processing & Outsourced Services | ||
Lam Research Corp. | Information Technology | Semiconductor Equipment | ||
Home Depot, Inc. (The) | Consumer Discretionary | Home Improvement Retail | ||
MasterCard, Inc., Class A | Information Technology | Data Processing & Outsourced Services | ||
Allergan plc | Health Care | Pharmaceuticals | ||
Amazon.com, Inc. | Consumer Discretionary | Internet Retail | ||
Philip Morris International, Inc. | Consumer Staples | Tobacco | ||
Facebook, Inc., Class A | Information Technology | Internet Software & Services | ||
Microsoft Corp. | Information Technology | Systems Software | ||
Celgene Corp. | Health Care | Biotechnology |
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.
2016 | SEMIANNUAL REPORT | 51 |
Table of Contents
SCHEDULE OF INVESTMENTS | GROWTH (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Automotive Retail – 3.6% |
| |||||||
AutoZone, Inc. (A) | 19 | $ | 14,845 | |||||
O’Reilly Automotive, Inc. (A) | 55 | 14,802 | ||||||
|
| |||||||
29,647 | ||||||||
|
| |||||||
Cable & Satellite – 2.0% |
| |||||||
Comcast Corp., Class A | 251 | 16,369 | ||||||
|
| |||||||
Casinos & Gaming – 0.5% |
| |||||||
Las Vegas Sands, Inc. | 92 | 3,992 | ||||||
|
| |||||||
Footwear – 0.8% |
| |||||||
NIKE, Inc., Class B | 116 | 6,420 | ||||||
|
| |||||||
Home Improvement Retail – 4.0% |
| |||||||
Home Depot, Inc. (The) | 260 | 33,238 | ||||||
|
| |||||||
Internet Retail – 3.5% |
| |||||||
Amazon.com, Inc. (A) | 40 | 28,942 | ||||||
|
| |||||||
Movies & Entertainment – 1.1% |
| |||||||
Walt Disney Co. (The) | 97 | 9,488 | ||||||
|
| |||||||
Restaurants – 1.3% |
| |||||||
Starbucks Corp. | 187 | 10,653 | ||||||
|
| |||||||
Specialty Stores – 0.9% |
| |||||||
Ulta Salon, Cosmetics & Fragrance, Inc. (A) | 30 | 7,212 | ||||||
|
| |||||||
Total Consumer Discretionary – 17.7% |
| 145,961 | ||||||
Consumer Staples |
| |||||||
Brewers – 1.2% |
| |||||||
Anheuser-Busch InBev S.A. ADR | 75 | 9,836 | ||||||
|
| |||||||
Tobacco – 3.4% |
| |||||||
Philip Morris International, Inc. | 277 | 28,126 | ||||||
|
| |||||||
Total Consumer Staples – 4.6% |
| 37,962 | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 2.1% |
| |||||||
Halliburton Co. | 227 | 10,276 | ||||||
Schlumberger Ltd. | 95 | 7,505 | ||||||
|
| |||||||
17,781 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 1.9% |
| |||||||
EOG Resources, Inc. | 187 | 15,583 | ||||||
|
| |||||||
Total Energy – 4.0% |
| 33,364 | ||||||
Financials |
| |||||||
Investment Banking & Brokerage – 1.4% |
| |||||||
Charles Schwab Corp. (The) | 454 | 11,478 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Specialized Finance – 1.7% |
| |||||||
CME Group, Inc. | 147 | $ | 14,279 | |||||
|
| |||||||
Total Financials – 3.1% |
| 25,757 | ||||||
Health Care |
| |||||||
Biotechnology – 7.0% |
| |||||||
Alexion Pharmaceuticals, Inc. (A) | 37 | 4,262 | ||||||
Amgen, Inc. | 54 | 8,140 | ||||||
Biogen, Inc. (A) | 10 | 2,491 | ||||||
Celgene Corp. (A) | 225 | 22,152 | ||||||
Gilead Sciences, Inc. | 201 | 16,801 | ||||||
Vertex Pharmaceuticals, Inc. (A) | 47 | 4,043 | ||||||
|
| |||||||
57,889 | ||||||||
|
| |||||||
Health Care Equipment – 1.1% |
| |||||||
DexCom, Inc. (A) | 115 | 9,107 | ||||||
|
| |||||||
Health Care Facilities – 2.3% |
| |||||||
HCA Holdings, Inc. (A) | 243 | 18,713 | ||||||
|
| |||||||
Pharmaceuticals – 8.3% |
| |||||||
Allergan plc (A) | 131 | 30,299 | ||||||
Bristol-Myers Squibb Co. | 281 | 20,660 | ||||||
Shire Pharmaceuticals Group plc ADR | 96 | 17,709 | ||||||
|
| |||||||
68,668 | ||||||||
|
| |||||||
Total Health Care – 18.7% |
| 154,377 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 5.4% |
| |||||||
Honeywell International, Inc. | 126 | 14,598 | ||||||
Lockheed Martin Corp. | 82 | 20,301 | ||||||
Northrop Grumman Corp. | 42 | 9,380 | ||||||
|
| |||||||
44,279 | ||||||||
|
| |||||||
Industrial Conglomerates – 1.3% |
| |||||||
Danaher Corp. | 103 | 10,393 | ||||||
|
| |||||||
Railroads – 4.2% |
| |||||||
Canadian Pacific Railway Ltd. | 137 | 17,618 | ||||||
Union Pacific Corp. | 198 | 17,293 | ||||||
|
| |||||||
34,911 | ||||||||
|
| |||||||
Total Industrials – 10.9% |
| 89,583 | ||||||
Information Technology |
| |||||||
Application Software – 4.1% |
| |||||||
Adobe Systems, Inc. (A) | 229 | 21,916 | ||||||
salesforce.com, Inc. (A) | 146 | 11,602 | ||||||
|
| |||||||
33,518 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 9.9% |
| |||||||
FleetCor Technologies, Inc. (A) | 103 | 14,728 | ||||||
MasterCard, Inc., Class A | 368 | 32,380 | ||||||
Visa, Inc., Class A | 461 | 34,155 | ||||||
|
| |||||||
81,263 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Internet Software & Services – 8.0% |
| |||||||
Alphabet, Inc., Class A (A) | 31 | $ | 22,133 | |||||
Alphabet, Inc., Class C (A) | 24 | 16,298 | ||||||
Facebook, Inc., Class A (A) | 243 | 27,781 | ||||||
|
| |||||||
66,212 | ||||||||
|
| |||||||
Semiconductor Equipment – 4.1% |
| |||||||
Lam Research Corp. | 406 | 34,143 | ||||||
|
| |||||||
Semiconductors – 4.1% |
| |||||||
Microchip Technology, Inc. | 394 | 19,989 | ||||||
NXP Semiconductors N.V. (A) | 179 | 14,054 | ||||||
|
| |||||||
34,043 | ||||||||
|
| |||||||
Systems Software – 2.9% |
| |||||||
Microsoft Corp. | 459 | 23,477 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 2.0% |
| |||||||
Apple, Inc. | 172 | 16,414 | ||||||
|
| |||||||
Total Information Technology – 35.1% |
| 289,070 | ||||||
Materials |
| |||||||
Diversified Chemicals – 1.4% |
| |||||||
PPG Industries, Inc. | 109 | 11,321 | ||||||
|
| |||||||
Total Materials – 1.4% |
| 11,321 | ||||||
Telecommunication Services |
| |||||||
Wireless Telecommunication Service – 2.2% |
| |||||||
American Tower Corp., Class A | 157 | 17,883 | ||||||
|
| |||||||
Total Telecommunication Services – 2.2% |
| 17,883 | ||||||
TOTAL COMMON STOCKS – 97.7% |
| $ | 805,278 | |||||
(Cost: $657,999) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (B) – 3.4% |
| |||||||
CVS Health Corp., | ||||||||
0.630%, 7-1-16 | $ | 1,797 | 1,797 | |||||
DTE Energy Co. (GTD by Detroit Edison Co.), | ||||||||
0.750%, 7-18-16 | 10,000 | 9,996 | ||||||
J.M. Smucker Co. (The), | ||||||||
0.620%, 7-6-16 | 6,000 | 5,999 | ||||||
Northern Illinois Gas Co., | ||||||||
0.420%, 7-1-16 | 6,841 | 6,841 | ||||||
Novartis Finance Corp. (GTD by Novartis AG), | ||||||||
0.380%, 7-27-16 | 4,000 | 3,999 | ||||||
|
| |||||||
28,632 | ||||||||
|
|
52 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | GROWTH (in thousands) |
JUNE 30, 2016 (UNAUDITED)
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Master Note – 0.2% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (C) | $ | 1,345 | $ | 1,345 | ||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 3.6% |
| $ | 29,977 | |||||
(Cost: $29,979) | ||||||||
TOTAL INVESTMENT SECURITIES – 101.3% |
| $ | 835,255 | |||||
(Cost: $687,978) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.3)% |
| (10,616 | ) | |||||
NET ASSETS – 100.0% | $ | 824,639 |
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, 2016. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. 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, 2016. 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 | $ | 805,278 | $ | — | $ | — | ||||||
Short-Term Securities | — | 29,977 | — | |||||||||
Total | $ | 805,278 | $ | 29,977 | $ | — |
During the period ended June 30, 2016, 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.
2016 | SEMIANNUAL REPORT | 53 |
Table of Contents
PORTFOLIO HIGHLIGHTS | HIGH INCOME |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 0.5% | |||
Warrants | 0.0% | |||
Bonds | 90.4% | |||
Corporate Debt Securities | 76.5% | |||
Loans | 13.9% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 9.1% |
Quality Weightings
Investment Grade | 1.4% | |||
BBB | 1.4% | |||
Non-Investment Grade | 89.0% | |||
BB | 15.4% | |||
B | 31.6% | |||
CCC | 38.5% | |||
Below CCC | 0.7% | |||
Non-rated | 2.8% | |||
Cash and Other Assets (Net of Liabilities), Cash Equivalents+ and Equities | 9.6% |
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.
54 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Casinos & Gaming – 0.0% |
| |||||||
New Cotai Participation Corp., | — | * | $ | 74 | ||||
|
| |||||||
Total Consumer Discretionary – 0.0% | 74 | |||||||
Industrials |
| |||||||
Railroads – 0.1% |
| |||||||
Kansas City Southern | 3 | 252 | ||||||
|
| |||||||
Total Industrials – 0.1% | 252 | |||||||
Utilities |
| |||||||
Gas Utilities – 0.0% |
| |||||||
Suburban Propane Partners L.P. | 4 | 119 | ||||||
|
| |||||||
Total Utilities – 0.0% |
| 119 | ||||||
TOTAL COMMON STOCKS – 0.1% |
| $ | 445 | |||||
(Cost: $272) | ||||||||
PREFERRED STOCKS | ||||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 0.4% |
| |||||||
Frontier Communications Corp., Convertible Series A, 11.125% | 35 | 3,351 | ||||||
|
| |||||||
Total Telecommunication Services – 0.4% |
| 3,351 | ||||||
TOTAL PREFERRED STOCKS – 0.4% |
| $ | 3,351 | |||||
(Cost: $3,565) | ||||||||
WARRANTS | ||||||||
Agricultural Products – 0.0% |
| |||||||
ASG Consolidated LLC, | 1 | – | ||||||
|
| |||||||
TOTAL WARRANTS – 0.0% |
| $ | – | |||||
(Cost: $72) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Consumer Discretionary |
| |||||||
Advertising – 0.9% |
| |||||||
Acosta, Inc., | ||||||||
7.750%, 10-1-22 (C) | $ | 4,985 | 4,374 | |||||
Lamar Media Corp., | ||||||||
5.375%, 1-15-24 | 959 | 1,000 | ||||||
Outfront Media Capital LLC and Outfront Media Capital Corp.: |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Advertising (Continued) |
| |||||||
5.250%, 2-15-22 | $ | 544 | $ | 552 | ||||
5.625%, 2-15-24 | 573 | 590 | ||||||
|
| |||||||
6,516 | ||||||||
|
| |||||||
Apparel Retail – 1.3% |
| |||||||
Hot Topic, Inc., | ||||||||
9.250%, 6-15-21 (C) | 5,002 | 5,065 | ||||||
HT Intermediate Holdings Corp., | ||||||||
12.000%, 5-15-19 (C)(D) | 1,527 | 1,439 | ||||||
Neiman Marcus Group Ltd., Inc., | ||||||||
8.000%, 10-15-21 (C) | 3,764 | 3,068 | ||||||
Nine West Holdings, Inc., | ||||||||
8.250%, 3-15-19 (C) | 1,959 | 313 | ||||||
|
| |||||||
9,885 | ||||||||
|
| |||||||
Automotive Retail – 0.7% |
| |||||||
Group 1 Automotive, Inc., | ||||||||
5.000%, 6-1-22 | 855 | 842 | ||||||
Penske Automotive Group, Inc., | ||||||||
5.500%, 5-15-26 | 474 | 450 | ||||||
Sonic Automotive, Inc., | ||||||||
5.000%, 5-15-23 | 4,477 | 4,388 | ||||||
|
| |||||||
5,680 | ||||||||
|
| |||||||
Broadcasting – 1.4% |
| |||||||
Clear Channel Outdoor Holdings, Inc., | ||||||||
6.500%, 11-15-22 | 5,994 | 5,947 | ||||||
Clear Channel Worldwide Holdings, Inc., Series A, | ||||||||
7.625%, 3-15-20 | 221 | 202 | ||||||
Clear Channel Worldwide Holdings, Inc., Series B, | ||||||||
7.625%, 3-15-20 | 1,780 | 1,694 | ||||||
Cumulus Media, Inc., | ||||||||
7.750%, 5-1-19 | 4,115 | 1,687 | ||||||
iHeartCommunications, Inc., | ||||||||
10.000%, 1-15-18 | 1,383 | 712 | ||||||
iHeartCommunications, Inc. (GTD by iHeartMedia Capital I LLC), | ||||||||
10.625%, 3-15-23 | 1,094 | 757 | ||||||
|
| |||||||
10,999 | ||||||||
|
| |||||||
Cable & Satellite – 8.4% |
| |||||||
Altice Financing S.A.: | ||||||||
6.625%, 2-15-23 (C) | 708 | 695 | ||||||
7.500%, 5-15-26 (C) | 2,614 | 2,568 | ||||||
Altice S.A.: | ||||||||
7.250%, 5-15-22 (C)(E) | EUR | 256 | 286 | |||||
7.750%, 5-15-22 (C) | $ | 9,915 | 10,014 | |||||
6.250%, 2-15-25 (C)(E) | EUR | 354 | 360 | |||||
7.625%, 2-15-25 (C) | $ | 1,969 | 1,922 | |||||
Altice U.S. Finance I Corp., | ||||||||
5.500%, 5-15-26 (C) | 1,927 | 1,927 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Cable & Satellite (Continued) |
| |||||||
Cablevision Systems Corp., | ||||||||
5.875%, 9-15-22 | $ | 4,858 | $ | 4,360 | ||||
CCO Holdings LLC and CCO Holdings Capital Corp., | ||||||||
5.500%, 5-1-26 (C) | 94 | 95 | ||||||
Columbus International, Inc., | ||||||||
7.375%, 3-30-21 (C) | 517 | 546 | ||||||
DISH DBS Corp.: | ||||||||
6.750%, 6-1-21 | 1,936 | 2,006 | ||||||
5.875%, 7-15-22 | 910 | 885 | ||||||
5.000%, 3-15-23 | 418 | 380 | ||||||
5.875%, 11-15-24 | 454 | 424 | ||||||
7.750%, 7-1-26 (C) | 1,432 | 1,479 | ||||||
Neptune Finco Corp.: | ||||||||
10.125%, 1-15-23 (C) | 2,523 | 2,826 | ||||||
6.625%, 10-15-25 (C) | 788 | 829 | ||||||
10.875%, 10-15-25 (C) | 1,946 | 2,228 | ||||||
Numericable – SFR S.A., | ||||||||
7.375%, 5-1-26 (C) | 5,637 | 5,574 | ||||||
Sirius XM Radio, Inc.: | ||||||||
4.625%, 5-15-23 (C) | 4,936 | 4,788 | ||||||
6.000%, 7-15-24 (C) | 8,000 | 8,270 | ||||||
VTR Finance B.V., | ||||||||
6.875%, 1-15-24 (C) | 8,235 | 8,210 | ||||||
Wave Holdco LLC and Wave Holdco Corp., | ||||||||
8.250%, 7-15-19 (C)(D) | 844 | 849 | ||||||
WaveDivision Escrow LLC and WaveDivision Escrow Corp., | ||||||||
8.125%, 9-1-20 (C) | 2,825 | 2,938 | ||||||
|
| |||||||
64,459 | ||||||||
|
| |||||||
Casinos & Gaming – 2.7% |
| |||||||
Boyd Gaming Corp., | ||||||||
6.375%, 4-1-26 (C) | 374 | 391 | ||||||
Gateway Casinos & Entertainment Ltd., | ||||||||
8.500%, 11-26-20 (C)(E) | CAD | 3,540 | 2,576 | |||||
MCE Finance Ltd., | ||||||||
5.000%, 2-15-21 (C) | $ | 600 | 594 | |||||
Studio City Finance Ltd., | ||||||||
8.500%, 12-1-20 (C) | 8,750 | 8,837 | ||||||
Wynn Macau Ltd., | ||||||||
5.250%, 10-15-21 (C) | 8,498 | 8,267 | ||||||
|
| |||||||
20,665 | ||||||||
|
| |||||||
Department Stores – 0.4% |
| |||||||
Bon-Ton Stores, Inc. (The): | ||||||||
10.625%, 7-15-17 | 815 | 750 | ||||||
8.000%, 6-15-21 | 4,995 | 2,048 | ||||||
|
| |||||||
2,798 | ||||||||
|
| |||||||
Distributors – 1.0% |
| |||||||
Pinnacle Operating Corp., | ||||||||
9.000%, 11-15-20 (C) | 8,833 | 7,420 | ||||||
|
|
2016 | SEMIANNUAL REPORT | 55 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2016 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Education Services – 2.6% |
| |||||||
Laureate Education, Inc., | ||||||||
10.000%, 9-1-19 (C)(F) | $ | 22,872 | $ | 20,013 | ||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.2% |
| |||||||
Carlson Travel Holdings, | ||||||||
7.500%, 8-15-19 (C)(D) | 1,890 | 1,805 | ||||||
|
| |||||||
Movies & Entertainment – 1.3% |
| |||||||
AMC Entertainment, Inc., | ||||||||
5.750%, 6-15-25 | 626 | 623 | ||||||
Cinemark USA, Inc.: | ||||||||
5.125%, 12-15-22 | 208 | 212 | ||||||
4.875%, 6-1-23 | 2,900 | 2,864 | ||||||
EMI Music Publishing Group North America Holdings, | ||||||||
7.625%, 6-15-24 (C) | 1,145 | 1,176 | ||||||
WMG Acquisition Corp., | ||||||||
6.750%, 4-15-22 (C) | 5,314 | 5,354 | ||||||
|
| |||||||
10,229 | ||||||||
|
| |||||||
Publishing – 0.2% |
| |||||||
MDC Partners, Inc., | ||||||||
6.500%, 5-1-24 (C) | 1,457 | 1,446 | ||||||
|
| |||||||
Specialized Consumer Services – 2.2% |
| |||||||
BakerCorp International, Inc., | ||||||||
8.250%, 6-1-19 | 10,903 | 9,213 | ||||||
Emdeon, Inc., | ||||||||
11.000%, 12-31-19 | 1,204 | 1,281 | ||||||
Nielsen Finance, | ||||||||
5.500%, 10-1-21 (C) | 2,371 | 2,448 | ||||||
Nielsen Finance LLC and Nielsen Finance Co., | ||||||||
5.000%, 4-15-22 (C) | 3,885 | 3,963 | ||||||
|
| |||||||
16,905 | ||||||||
|
| |||||||
Specialty Stores – 1.5% |
| |||||||
Jo-Ann Stores Holdings, Inc., | ||||||||
9.750%, 10-15-19 (C)(D) | 11,107 | 9,718 | ||||||
Jo-Ann Stores, Inc., | ||||||||
8.125%, 3-15-19 (C) | 1,205 | 1,154 | ||||||
NBTY, Inc., | ||||||||
7.625%, 5-15-21 (C) | 710 | 711 | ||||||
|
| |||||||
11,583 | ||||||||
|
| |||||||
Total Consumer Discretionary – 24.8% |
| 190,403 | ||||||
Consumer Staples |
| |||||||
Food Distributors – 1.6% |
| |||||||
Performance Food Group, Inc., | ||||||||
5.500%, 6-1-24 (C) | 1,874 | 1,907 | ||||||
Simmons Foods, Inc., | ||||||||
7.875%, 10-1-21 (C) | 8,112 | 7,382 | ||||||
U.S. Foods, Inc., | ||||||||
5.875%, 6-15-24 (C) | 2,864 | 2,935 | ||||||
|
| |||||||
12,224 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Hypermarkets & Super Centers – 0.1% |
| |||||||
Albertsons Cos. LLC, Safeway, Inc., New Albertson’s, Inc. and Albertson’s LLC, | ||||||||
6.625%, 6-15-24 (C) | $ | 477 | $ | 493 | ||||
|
| |||||||
Packaged Foods & Meats – 1.7% |
| |||||||
Bumble Bee Foods LLC: | ||||||||
9.000%, 12-15-17 (C) | 906 | 917 | ||||||
9.625%, 3-15-18 (C)(D) | 1,855 | 1,837 | ||||||
JBS Investments GmbH (GTD by JBS S.A. and JBS Hungary Holdings Kft.), | ||||||||
7.750%, 10-28-20 (C) | 400 | 422 | ||||||
JBS USA LLC and JBS USA Finance, Inc.: | ||||||||
7.250%, 6-1-21 (C) | 372 | 385 | ||||||
5.875%, 7-15-24 (C) | 4,261 | 4,128 | ||||||
5.750%, 6-15-25 (C) | 1,588 | 1,493 | ||||||
Post Holdings, Inc.: | ||||||||
7.375%, 2-15-22 | 977 | 1,027 | ||||||
7.750%, 3-15-24 (C) | 1,696 | 1,859 | ||||||
8.000%, 7-15-25 (C) | 1,079 | 1,196 | ||||||
|
| |||||||
13,264 | ||||||||
|
| |||||||
Tobacco – 0.5% |
| |||||||
Prestige Brands, Inc., | ||||||||
5.375%, 12-15-21 (C) | 3,658 | 3,713 | ||||||
|
| |||||||
Total Consumer Staples – 3.9% |
| 29,694 | ||||||
Energy |
| |||||||
Coal & Consumable Fuels – 0.4% |
| |||||||
Foresight Energy LLC and Foresight Energy Finance Corp., | ||||||||
7.875%, 8-15-21 (C)(G) | 4,390 | 3,029 | ||||||
|
| |||||||
Integrated Oil & Gas – 0.3% |
| |||||||
Petrobras Global Finance B.V. (GTD by Petroleo Brasileiro S.A.), | ||||||||
8.375%, 5-23-21 | 2,376 | 2,452 | ||||||
|
| |||||||
Oil & Gas Drilling – 0.6% |
| |||||||
Globe Luxembourg SCA, | ||||||||
9.625%, 5-1-18 (C)(F) | 1,429 | 1,189 | ||||||
KCA DEUTAG UK Finance plc, | ||||||||
7.250%, 5-15-21 (C) | 1,981 | 1,486 | ||||||
Offshore Drilling Holding S.A., | ||||||||
8.375%, 9-20-20 (C)(F) | 4,601 | 2,156 | ||||||
Offshore Group Investment Ltd., | ||||||||
0.000%, 11-1-19 | 1,693 | — | ||||||
|
| |||||||
4,831 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Equipment & Services – 0.6% |
| |||||||
Brand Energy & Infrastructure Services, | ||||||||
8.500%, 12-1-21 (C) | $ | 4,638 | $ | 4,452 | ||||
Key Energy Services, Inc., | ||||||||
6.750%, 3-1-21 | 484 | 194 | ||||||
|
| |||||||
4,646 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 2.7% |
| |||||||
Bellatrix Exploration Ltd., | ||||||||
8.500%, 5-15-20 (C) | 2,247 | 1,550 | ||||||
California Resources Corp., | ||||||||
8.000%, 12-15-22 (C) | 2,837 | 2,014 | ||||||
Clayton Williams Energy, Inc., | ||||||||
7.750%, 4-1-19 | 6,928 | 5,231 | ||||||
Crownrock L.P., | ||||||||
7.750%, 2-15-23 (C) | 715 | 747 | ||||||
EnCana Corp., | ||||||||
6.500%, 8-15-34 | 1,094 | 1,097 | ||||||
Endeavor Energy Resources L.P.: | ||||||||
7.000%, 8-15-21 (C) | 2,185 | 2,147 | ||||||
8.125%, 9-15-23 (C) | 758 | 773 | ||||||
Gulfport Energy Corp., | ||||||||
6.625%, 5-1-23 | 221 | 218 | ||||||
Laredo Petroleum, Inc., | ||||||||
7.375%, 5-1-22 | 2,300 | 2,306 | ||||||
Midstates Petroleum Co., Inc. and Midstates Petroleum Co. LLC, | ||||||||
10.000%, 6-1-20 (G) | 1,657 | 978 | ||||||
Parsley Energy LLC and Parsley Finance Corp., | ||||||||
6.250%, 6-1-24 (C) | 429 | 436 | ||||||
Whiting Petroleum Corp., | ||||||||
6.500%, 10-1-18 | 3,145 | 3,019 | ||||||
|
| |||||||
20,516 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 1.5% |
| |||||||
PBF Holding Co. LLC and PBF Finance Corp., | ||||||||
7.000%, 11-15-23 (C) | 2,455 | 2,372 | ||||||
Seven Generations Energy Ltd.: | ||||||||
8.250%, 5-15-20 (C) | 4,093 | 4,241 | ||||||
6.750%, 5-1-23 (C) | 4,505 | 4,539 | ||||||
|
| |||||||
11,152 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 0.1% |
| |||||||
Access Midstream Partners L.P., | ||||||||
4.875%, 5-15-23 | 1,191 | 1,152 | ||||||
|
| |||||||
Total Energy – 6.2% |
| 47,778 | ||||||
Financials |
| |||||||
Consumer Finance – 0.9% |
| |||||||
Creditcorp, | ||||||||
12.000%, 7-15-18 (C) | 4,228 | 1,607 |
56 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2016 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Finance (Continued) |
| |||||||
Quicken Loans, Inc., | ||||||||
5.750%, 5-1-25 (C) | $ | 3,346 | $ | 3,229 | ||||
Speedy Cash Intermediate Holdings Corp., | ||||||||
10.750%, 5-15-18 (C) | 2,366 | 1,360 | ||||||
Speedy Group Holdings Corp., | ||||||||
12.000%, 11-15-17 (C) | 986 | 375 | ||||||
|
| |||||||
6,571 | ||||||||
|
| |||||||
Diversified Capital Markets – 1.1% |
| |||||||
Patriot Merger Corp., | ||||||||
9.000%, 7-15-21 (C) | 8,406 | 8,101 | ||||||
|
| |||||||
Industrial REITs – 1.1% |
| |||||||
Aircastle Ltd.: | ||||||||
5.125%, 3-15-21 | 5,883 | 6,118 | ||||||
5.500%, 2-15-22 | 1,532 | 1,593 | ||||||
5.000%, 4-1-23 | 1,015 | 1,032 | ||||||
|
| |||||||
8,743 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 0.1% |
| |||||||
GFI Group, Inc., | ||||||||
8.375%, 7-19-18 (F) | 851 | 919 | ||||||
|
| |||||||
Other Diversified Financial Services – 2.7% |
| |||||||
AAF Holdings LLC and AAF Finance Co., | ||||||||
12.000%, 7-1-19 (C)(D) | 2,569 | 2,517 | ||||||
Balboa Merger Sub, Inc., | ||||||||
11.375%, 12-1-21 (C) | 9,982 | 7,936 | ||||||
Greektown Holdings LLC and Greektown Mothership Corp., | ||||||||
8.875%, 3-15-19 (C) | 2,672 | 2,772 | ||||||
New Cotai LLC and New Cotai Capital Corp., | ||||||||
10.625%, 5-1-19 (C)(D) | 12,079 | 7,459 | ||||||
|
| |||||||
20,684 | ||||||||
|
| |||||||
Property & Casualty Insurance – 1.8% |
| |||||||
Hub International Ltd., | ||||||||
7.875%, 10-1-21 (C) | 3,563 | 3,420 | ||||||
Onex USI Acquisition Corp., | ||||||||
7.750%, 1-15-21 (C) | 10,688 | 10,581 | ||||||
|
| |||||||
14,001 | ||||||||
|
| |||||||
Real Estate Development – 0.3% |
| |||||||
Hub Holdings LLC and Hub Holdings Finance, Inc., | ||||||||
8.125%, 7-15-19 (C)(D) | 2,440 | 2,342 | ||||||
|
| |||||||
Real Estate Operating Companies – 0.1% |
| |||||||
VEREIT Operating Partnership L.P. (GTD by VEREIT, Inc.), | ||||||||
4.875%, 6-1-26 | 476 | 488 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Specialized Finance – 1.5% |
| |||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp.: | ||||||||
4.420%, 6-15-21 (C) | $ | 950 | $ | 976 | ||||
5.875%, 6-15-21 (C) | 667 | 684 | ||||||
5.450%, 6-15-23 (C) | 475 | 493 | ||||||
7.125%, 6-15-24 (C) | 667 | 697 | ||||||
6.020%, 6-15-26 (C) | 950 | 986 | ||||||
Flexi-Van Leasing, Inc., | ||||||||
7.875%, 8-15-18 (C) | 1,254 | 1,216 | ||||||
TMX Finance LLC and TitleMax Finance Corp., | ||||||||
8.500%, 9-15-18 (C) | 7,798 | 6,238 | ||||||
|
| |||||||
11,290 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.6% |
| |||||||
Provident Funding Associates L.P. and PFG Finance Corp., | ||||||||
6.750%, 6-15-21 (C) | 4,973 | 4,712 | ||||||
|
| |||||||
Total Financials – 10.2% | 77,851 | |||||||
Health Care |
| |||||||
Health Care Facilities – 2.3% |
| |||||||
Centene Escrow Corp.: | ||||||||
5.625%, 2-15-21 (C) | 634 | 661 | ||||||
6.125%, 2-15-24 (C) | 453 | 482 | ||||||
Greatbatch Ltd., | ||||||||
9.125%, 11-1-23 (C) | 2,788 | 2,778 | ||||||
HCA, Inc., | ||||||||
5.250%, 6-15-26 | 652 | 676 | ||||||
MPH Acquisition Holdings LLC, | ||||||||
7.125%, 6-1-24 (C) | 1,906 | 2,001 | ||||||
Surgery Center Holdings, Inc., | ||||||||
8.875%, 4-15-21 (C) | 4,847 | 4,980 | ||||||
Tenet Healthcare Corp.: | ||||||||
6.750%, 2-1-20 | 1,408 | 1,390 | ||||||
8.125%, 4-1-22 | 4,662 | 4,778 | ||||||
|
| |||||||
17,746 | ||||||||
|
| |||||||
Health Care Supplies – 0.6% |
| |||||||
Kinetic Concepts, Inc. and KCI USA, Inc., | ||||||||
10.500%, 11-1-18 | 1,504 | 1,500 | ||||||
Ortho-Clinical Diagnostics, | ||||||||
6.625%, 5-15-22 (C) | 1,965 | 1,631 | ||||||
Universal Hospital Services, Inc., | ||||||||
7.625%, 8-15-20 | 1,579 | 1,451 | ||||||
|
| |||||||
4,582 | ||||||||
|
| |||||||
Pharmaceuticals – 2.6% |
| |||||||
Concordia Healthcare Corp.: | ||||||||
9.500%, 10-21-22 (C) | 10,096 | 9,415 | ||||||
7.000%, 4-15-23 (C) | 1,144 | 975 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Pharmaceuticals (Continued) |
| |||||||
Jaguar Holding Co. II and Pharmaceutical Product Development LLC, | ||||||||
6.375%, 8-1-23 (C) | $ | 2,117 | $ | 2,165 | ||||
JLL/Delta Dutch Pledgeco B.V., | ||||||||
8.750%, 5-1-20 (C)(D) | 4,648 | 4,648 | ||||||
VPII Escrow Corp., | ||||||||
7.500%, 7-15-21 (C) | 1,750 | 1,543 | ||||||
VRX Escrow Corp., | ||||||||
5.375%, 3-15-20 (C) | 1,574 | 1,345 | ||||||
|
| |||||||
20,091 | ||||||||
|
| |||||||
Total Health Care – 5.5% | 42,419 | |||||||
Industrials |
| |||||||
Aerospace & Defense – 3.2% |
| |||||||
KLX, Inc., | ||||||||
5.875%, 12-1-22 (C) | 3,335 | 3,268 | ||||||
Silver II Borrower SCA and Silver II U.S. Holdings, | ||||||||
7.750%, 12-15-20 (C) | 7,371 | 6,505 | ||||||
TransDigm Group, Inc., | ||||||||
7.500%, 7-15-21 | 1,398 | 1,477 | ||||||
TransDigm, Inc. (GTD by TransDigm Group, Inc.): | ||||||||
6.000%, 7-15-22 | 5,075 | 5,101 | ||||||
6.500%, 7-15-24 | 5,515 | 5,543 | ||||||
6.375%, 6-15-26 (C) | 2,490 | 2,484 | ||||||
|
| |||||||
24,378 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.2% |
| |||||||
TRAC Intermodal LLC and TRAC Intermodal Corp., | ||||||||
11.000%, 8-15-19 | 939 | 990 | ||||||
XPO Logistics, Inc., | ||||||||
6.500%, 6-15-22 (C) | 935 | 892 | ||||||
|
| |||||||
1,882 | ||||||||
|
| |||||||
Building Products – 1.0% |
| |||||||
Ply Gem Industries, Inc., | ||||||||
6.500%, 2-1-22 | 5,467 | 5,364 | ||||||
Summit Materials LLC and Summit Materials Finance Corp.: | ||||||||
8.500%, 4-15-22 (C) | 373 | 395 | ||||||
6.125%, 7-15-23 | 777 | 766 | ||||||
WESCO Distribution, Inc. (GTD by WESCO International, Inc.), | ||||||||
5.375%, 6-15-24 (C) | 953 | 953 | ||||||
|
| |||||||
7,478 | ||||||||
|
| |||||||
Diversified Support Services – 0.2% |
| |||||||
Algeco Scotsman Global Finance plc, | ||||||||
8.500%, 10-15-18 (C) | 970 | 786 |
2016 | SEMIANNUAL REPORT | 57 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2016 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Support Services (Continued) |
| |||||||
United Rentals (North America), Inc. (GTD by United Rentals, Inc.), | ||||||||
5.875%, 9-15-26 | $ | 472 | $ | 468 | ||||
|
| |||||||
1,254 | ||||||||
|
| |||||||
Environmental & Facilities Services – 0.5% |
| |||||||
GFL Environmental, Inc.: | ||||||||
7.875%, 4-1-20 (C) | 3,146 | 3,162 | ||||||
9.875%, 2-1-21 (C) | 851 | 906 | ||||||
|
| |||||||
4,068 | ||||||||
|
| |||||||
Railroads – 0.6% |
| |||||||
Florida East Coast Holdings Corp. and Florida East Coast Industries LLC: | ||||||||
6.750%, 5-1-19 (C) | 3,449 | 3,432 | ||||||
9.750%, 5-1-20 (C) | 1,017 | 864 | ||||||
|
| |||||||
4,296 | ||||||||
|
| |||||||
Security & Alarm Services – 0.8% |
| |||||||
Prime Security Services Borrower LLC, | ||||||||
9.250%, 5-15-23 (C) | 5,948 | 6,305 | ||||||
|
| |||||||
Trading Companies & Distributors – 0.2% |
| |||||||
HD Supply, Inc., | ||||||||
5.750%, 4-15-24 (C) | 1,640 | 1,706 | ||||||
|
| |||||||
Total Industrials – 6.7% | 51,367 | |||||||
Information Technology |
| |||||||
Application Software – 2.1% |
| |||||||
Ensemble S Merger Sub, Inc., | ||||||||
9.000%, 9-30-23 (C) | 1,871 | 1,848 | ||||||
Infor Software Parent LLC and Infor Software Parent, Inc., | ||||||||
7.125%, 5-1-21 (C)(D) | 2,461 | 2,190 | ||||||
Kronos Acquisition Holdings, Inc., | ||||||||
9.000%, 8-15-23 (C) | 8,916 | 8,738 | ||||||
Michael Baker Holdings LLC and Michael Baker Finance Corp., | ||||||||
8.875%, 4-15-19 (C)(D) | 653 | 525 | ||||||
Michael Baker International LLC, | ||||||||
8.250%, 10-15-18 (C) | 3,062 | 2,970 | ||||||
|
| |||||||
16,271 | ||||||||
|
| |||||||
Communications Equipment – 0.7% |
| |||||||
West Corp., | ||||||||
5.375%, 7-15-22 (C) | 5,972 | 5,554 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 2.1% |
| |||||||
Alliance Data Systems Corp.: | ||||||||
5.250%, 12-1-17 (C) | 1,110 | 1,124 | ||||||
6.375%, 4-1-20 (C) | 3,362 | 3,387 | ||||||
5.375%, 8-1-22 (C) | 4,224 | 4,045 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Data Processing & Outsourced Services (Continued) |
| |||||||
Italics Merger Sub, Inc., | ||||||||
7.125%, 7-15-23 (C) | $ | 8,150 | $ | 7,722 | ||||
|
| |||||||
16,278 | ||||||||
|
| |||||||
Electronic Manufacturing Services – 0.3% |
| |||||||
KEMET Corp., | ||||||||
10.500%, 5-1-18 | 2,639 | 2,507 | ||||||
|
| |||||||
IT Consulting & Other Services – 0.8% |
| |||||||
NCR Escrow Corp.: | ||||||||
5.875%, 12-15-21 | 2,509 | 2,547 | ||||||
6.375%, 12-15-23 | 3,346 | 3,413 | ||||||
|
| |||||||
5,960 | ||||||||
|
| |||||||
Semiconductors – 1.2% |
| |||||||
Micron Technology, Inc.: | ||||||||
5.875%, 2-15-22 | 4,282 | 4,025 | ||||||
7.500%, 9-15-23 (C) | 1,931 | 2,065 | ||||||
5.500%, 2-1-25 | 3,064 | 2,604 | ||||||
|
| |||||||
8,694 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.3% |
| |||||||
Western Digital Corp.: | ||||||||
7.375%, 4-1-23 (C) | 468 | 498 | ||||||
10.500%, 4-1-24 (C) | 1,414 | 1,513 | ||||||
|
| |||||||
2,011 | ||||||||
|
| |||||||
Total Information Technology –7.5% | 57,275 | |||||||
Materials |
| |||||||
Aluminum – 1.4% |
| |||||||
Constellium N.V.: | ||||||||
8.000%, 1-15-23 (C) | 3,774 | 3,321 | ||||||
5.750%, 5-15-24 (C) | 1,851 | 1,458 | ||||||
Kaiser Aluminum Corp., | ||||||||
5.875%, 5-15-24 (C) | 379 | 389 | ||||||
Wise Metals Group LLC, | ||||||||
8.750%, 12-15-18 (C) | 2,712 | 2,495 | ||||||
Wise Metals Intermediate Holdings, | ||||||||
9.750%, 6-15-19 (C)(D) | 5,689 | 3,072 | ||||||
|
| |||||||
10,735 | ||||||||
|
| |||||||
Construction Materials – 0.8% |
| |||||||
Hillman Group, Inc. (The), | ||||||||
6.375%, 7-15-22 (C) | 6,615 | 5,887 | ||||||
|
| |||||||
Diversified Chemicals – 0.4% |
| |||||||
PQ Corp., | ||||||||
6.750%, 11-15-22 (C) | 284 | 296 | ||||||
PSPC Escrow Corp., | ||||||||
6.500%, 2-1-22 (C) | 1,923 | 1,692 | ||||||
PSPC Escrow II Corp., | ||||||||
10.375%, 5-1-21 (C) | 796 | 802 | ||||||
|
| |||||||
2,790 | ||||||||
|
| |||||||
Diversified Metals & Mining – 1.2% |
| |||||||
Artsonig Pty Ltd., | ||||||||
11.500%, 4-1-19 (C)(D) | 4,861 | 389 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Metals & Mining (Continued) |
| |||||||
Crystal Merger Sub, Inc., | ||||||||
7.625%, 10-15-21 (C) | $ | 489 | $ | 342 | ||||
FMG Resources Pty Ltd.: | ||||||||
9.750%, 3-1-22 (C) | 371 | 410 | ||||||
6.875%, 4-1-22 (C) | 5,144 | 4,887 | ||||||
Lundin Mining Corp.: | ||||||||
7.500%, 11-1-20 (C) | 1,326 | 1,352 | ||||||
7.875%, 11-1-22 (C) | 1,091 | 1,116 | ||||||
U.S. Steel Corp., | ||||||||
8.375%, 7-1-21 (C) | 661 | 697 | ||||||
|
| |||||||
9,193 | ||||||||
|
| |||||||
Metal & Glass Containers – 1.1% |
| |||||||
Ardagh Finance Holdings, | ||||||||
8.625%, 6-15-19 (C)(D) | 3,128 | 3,159 | ||||||
Ardagh Packaging Finance plc and Ardagh Holdings USA, Inc.: | ||||||||
6.000%, 6-30-21 (C) | 517 | 513 | ||||||
7.250%, 5-15-24 (C) | 1,443 | 1,473 | ||||||
BlueScope Steel (Finance) Ltd. and BlueScope Steel Finance (USA) LLC, | ||||||||
7.125%, 5-1-18 (C) | 1,004 | 1,034 | ||||||
Signode Industrial Group, | ||||||||
6.375%, 5-1-22 (C) | 2,865 | 2,739 | ||||||
|
| |||||||
8,918 | ||||||||
|
| |||||||
Paper Packaging – 0.6% |
| |||||||
Beverage Packaging Holdings II Issuer, Inc. and Beverage Packaging Holdings (Luxembourg) II S.A., | ||||||||
6.000%, 6-15-17 (C) | 790 | 792 | ||||||
Coveris Holdings S.A., | ||||||||
7.875%, 11-1-19 (C) | 610 | 592 | ||||||
Reynolds Group Holdings Ltd., | ||||||||
9.875%, 8-15-19 | 746 | 770 | ||||||
Reynolds Group Issuer, Inc., Reynolds Group Issuer LLC and Reynolds Group Issuer (Luxembourg) S.A.: | ||||||||
5.125%, 7-15-23 (C) | 1,432 | 1,450 | ||||||
7.000%, 7-15-24 (C) | 764 | 787 | ||||||
|
| |||||||
4,391 | ||||||||
|
| |||||||
Total Materials – 5.5% | 41,914 | |||||||
Telecommunication Services |
| |||||||
Alternative Carriers – 0.9% |
| |||||||
Consolidated Communications Finance II Co., | ||||||||
6.500%, 10-1-22 | 1,880 | 1,687 | ||||||
Level 3 Communications, Inc., | ||||||||
5.750%, 12-1-22 | 1,317 | 1,333 | ||||||
Level 3 Escrow II, Inc., | ||||||||
5.375%, 8-15-22 | 3,015 | 3,045 |
58 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2016 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Alternative Carriers (Continued) |
| |||||||
Zayo Group LLC and Zayo Capital, Inc., | ||||||||
6.000%, 4-1-23 | $ | 679 | $ | 693 | ||||
|
| |||||||
6,758 | ||||||||
|
| |||||||
Integrated Telecommunication Services – 3.4% |
| |||||||
BCP (Singapore) VI Cayman Financing Co. Ltd., | ||||||||
8.000%, 4-15-21 (C) | 377 | 323 | ||||||
Frontier Communications Corp.: | ||||||||
8.875%, 9-15-20 | 2,664 | 2,844 | ||||||
6.250%, 9-15-21 | 1,501 | 1,415 | ||||||
10.500%, 9-15-22 | 1,567 | 1,658 | ||||||
7.125%, 1-15-23 | 367 | 328 | ||||||
6.875%, 1-15-25 | 1,041 | 874 | ||||||
11.000%, 9-15-25 | 1,763 | 1,831 | ||||||
GCI, Inc., | ||||||||
6.875%, 4-15-25 | 3,604 | 3,647 | ||||||
Sprint Corp.: | ||||||||
7.250%, 9-15-21 | 8,023 | 6,840 | ||||||
7.875%, 9-15-23 | 5,563 | 4,548 | ||||||
7.125%, 6-15-24 | 2,049 | 1,621 | ||||||
|
| |||||||
25,929 | ||||||||
|
| |||||||
Wireless Telecommunication Service – 1.9% |
| |||||||
Sable International Finance Ltd., | ||||||||
6.875%, 8-1-22 (C) | 3,844 | 3,861 | ||||||
Sprint Nextel Corp.: | ||||||||
6.000%, 12-1-16 | 905 | 911 | ||||||
9.125%, 3-1-17 | 466 | 480 | ||||||
8.375%, 8-15-17 | 1,762 | 1,810 | ||||||
9.000%, 11-15-18 (C) | 569 | 606 | ||||||
7.000%, 8-15-20 | 466 | 417 | ||||||
T-Mobile USA, Inc.: | ||||||||
6.464%, 4-28-19 | 1,350 | 1,372 | ||||||
6.731%, 4-28-22 | 196 | 206 | ||||||
6.000%, 4-15-24 | 1,683 | 1,750 | ||||||
6.500%, 1-15-26 | 3,251 | 3,430 | ||||||
|
| |||||||
14,843 | ||||||||
|
| |||||||
Total Telecommunication Services – 6.2% |
| 47,530 | ||||||
TOTAL CORPORATE DEBT |
| $ | 586,231 | |||||
(Cost: $633,636) | ||||||||
LOANS (F) | ||||||||
Consumer Discretionary |
| |||||||
Advertising – 0.2% |
| |||||||
Advantage Sales & Marketing, Inc., | ||||||||
7.500%, 7-25-22 | 1,943 | 1,800 | ||||||
|
|
LOANS (F) (Continued) | Principal | Value | ||||||
Apparel Retail – 1.3% |
| |||||||
Talbots, Inc. (The): | ||||||||
5.500%, 3-19-20 | $ | 2,322 | $ | 2,246 | ||||
9.500%, 3-19-21 | 6,489 | 6,003 | ||||||
True Religion Apparel, Inc., | ||||||||
5.875%, 7-30-19 | 4,234 | 1,799 | ||||||
|
| |||||||
10,048 | ||||||||
|
| |||||||
Casinos & Gaming – 0.2% |
| |||||||
Gateway Casinos & Entertainment Ltd.: | ||||||||
5.250%, 11-26-19 (E) | CAD | 1,921 | 1,442 | |||||
5.950%, 11-26-19 (E) | 5 | 4 | ||||||
|
| |||||||
1,446 | ||||||||
|
| |||||||
Department Stores – 0.1% |
| |||||||
Belk, Inc., | ||||||||
0.000%, 12-10-22 (H) | $ | 1,096 | 867 | |||||
|
| |||||||
General Merchandise Stores – 0.8% |
| |||||||
BJ’s Wholesale Club, Inc., | ||||||||
8.500%, 3-31-20 | 4,257 | 4,097 | ||||||
Orchard Acquisition Co. LLC, | ||||||||
7.000%, 2-8-19 | 6,634 | 2,255 | ||||||
|
| |||||||
6,352 | ||||||||
|
| |||||||
Housewares & Specialties – 0.2% |
| |||||||
KIK Custom Products, Inc., | ||||||||
6.000%, 8-26-22 | 1,543 | 1,518 | ||||||
|
| |||||||
Movies & Entertainment – 0.3% |
| |||||||
Formula One Holdings Ltd. and Delta Two S.a.r.l., | ||||||||
7.750%, 7-29-22 | 2,164 | 2,048 | ||||||
|
| |||||||
Total Consumer Discretionary – 3.1% |
| 24,079 | ||||||
Consumer Staples | ||||||||
Food Distributors – 0.3% |
| |||||||
Chefs’ Warehouse, Inc. (The): | ||||||||
0.000%, 6-22-22 (H) | 243 | 242 | ||||||
5.750%, 6-22-22 | 2,154 | 2,140 | ||||||
|
| |||||||
2,382 | ||||||||
|
| |||||||
Food Retail – 0.4% |
| |||||||
Focus Brands, Inc., | ||||||||
10.250%, 8-21-18 | 2,837 | 2,830 | ||||||
|
| |||||||
Hypermarkets & Super Centers – 0.2% |
| |||||||
GOBP Holdings, Inc., | ||||||||
9.250%, 10-21-22 | 1,807 | 1,717 | ||||||
|
| |||||||
Packaged Foods & Meats – 0.2% |
| |||||||
Shearer’s Foods LLC, | ||||||||
7.750%, 6-30-22 | 1,386 | 1,247 | ||||||
|
| |||||||
Total Consumer Staples – 1.1% |
| 8,176 |
LOANS (F) (Continued) | Principal | Value | ||||||
Energy |
| |||||||
Coal & Consumable Fuels – 0.2% |
| |||||||
Westmoreland Coal Co., | ||||||||
7.500%, 12-16-20 | $ | 1,935 | $ | 1,451 | ||||
|
| |||||||
Oil & Gas Drilling – 0.4% |
| |||||||
KCA Deutag Alpha Ltd., | ||||||||
6.250%, 5-16-20 | 4,262 | 3,276 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.0% |
| |||||||
Sabine Oil & Gas LLC, | ||||||||
11.750%, 12-31-18 (G) | 468 | 16 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 0.2% |
| |||||||
Bowie Resources Holdings LLC: | ||||||||
8.750%, 8-12-20 | 900 | 738 | ||||||
12.500%, 2-16-21 | 857 | 677 | ||||||
|
| |||||||
1,415 | ||||||||
|
| |||||||
Total Energy – 0.8% |
| 6,158 | ||||||
Financials |
| |||||||
Other Diversified Financial Services – 0.4% |
| |||||||
WP Mustang Holdings LLC, | ||||||||
10.000%, 5-29-22 | 3,313 | 3,289 | ||||||
|
| |||||||
Specialized Finance – 0.3% |
| |||||||
Bats Global Markets, Inc., | ||||||||
0.000%, 6-20-23 (H) | 1,917 | 1,906 | ||||||
|
| |||||||
Total Financials – 0.7% |
| 5,195 | ||||||
Health Care |
| |||||||
Life Sciences Tools & Services – 0.3% |
| |||||||
Atrium Innovations, Inc., | ||||||||
7.750%, 8-10-21 | 2,893 | 2,691 | ||||||
|
| |||||||
Total Health Care – 0.3% |
| 2,691 | ||||||
Industrials |
| |||||||
Building Products – 0.4% |
| |||||||
C.H.I. Overhead Doors, Inc., | ||||||||
8.750%, 7-31-23 | 1,935 | 1,858 | ||||||
Hampton Rubber Co. & SEI Holding Corp., | ||||||||
9.000%, 3-27-22 | 1,785 | 1,249 | ||||||
|
| |||||||
3,107 | ||||||||
|
| |||||||
Construction & Engineering – 0.1% |
| |||||||
Tensar International Corp., | ||||||||
9.500%, 7-10-22 | 1,122 | 724 | ||||||
|
| |||||||
Industrial Conglomerates – 0.2% |
| |||||||
Crosby Worldwide Ltd., | ||||||||
7.000%, 11-22-21 | 2,072 | 1,339 | ||||||
�� |
|
|
2016 | SEMIANNUAL REPORT | 59 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2016 (UNAUDITED)
LOANS (F) (Continued) | Principal | Value | ||||||
Industrial Machinery – 0.7% |
| |||||||
Dynacast International LLC, | ||||||||
9.500%, 1-30-23 | $ | 5,443 | $ | 5,198 | ||||
|
| |||||||
Research & Consulting Services – 0.1% |
| |||||||
Larchmont Resources LLC, | ||||||||
11.250%, 8-7-19 (G) | 2,772 | 998 | ||||||
|
| |||||||
Total Industrials – 1.5% |
| 11,366 | ||||||
Information Technology |
| |||||||
Application Software – 3.9% |
| |||||||
Applied Systems, Inc., | ||||||||
7.500%, 1-23-22 | 2,286 | 2,263 | ||||||
Aptean Holdings, Inc., | ||||||||
5.250%, 2-27-20 | 1,302 | 1,280 | ||||||
Misys plc and Magic Newco LLC, | ||||||||
12.000%, 6-12-19 | 21,429 | 22,273 | ||||||
TIBCO Software, Inc., | ||||||||
6.500%, 12-4-20 | 4,226 | 3,864 | ||||||
|
| |||||||
29,680 | ||||||||
|
| |||||||
Internet Software & Services – 0.6% |
| |||||||
TravelCLICK, Inc. & TCH-2 Holdings LLC: | ||||||||
5.500%, 5-12-21 | 2,196 | 2,174 | ||||||
8.750%, 11-12-21 | 2,827 | 2,601 | ||||||
|
| |||||||
4,775 | ||||||||
|
| |||||||
IT Consulting & Other Services – 0.5% |
| |||||||
Active Network, Inc. (The), | ||||||||
5.500%, 11-15-20 | 1,768 | 1,748 | ||||||
Triple Point Group Holdings, Inc., | ||||||||
5.250%, 7-13-20 | 2,480 | 2,029 | ||||||
|
| |||||||
3,777 | ||||||||
|
| |||||||
Total Information Technology – 5.0% |
| 38,232 | ||||||
Materials |
| |||||||
Diversified Metals & Mining – 0.3% |
| |||||||
EP Minerals LLC, | ||||||||
8.500%, 8-20-21 | 996 | 911 |
LOANS (F) (Continued) | Principal | Value | ||||||
Diversified Metals & Mining (Continued) |
| |||||||
FMG Resources Pty Ltd., | ||||||||
4.250%, 6-30-19 | $ | 1,348 | $ | 1,287 | ||||
|
| |||||||
2,198 | ||||||||
|
| |||||||
Paper Packaging – 0.4% |
| |||||||
FPC Holdings, Inc., | ||||||||
9.250%, 5-27-20 | 1,740 | 1,148 | ||||||
Ranpak (Rack Merger), | ||||||||
8.250%, 10-1-22 | 1,982 | 1,745 | ||||||
|
| |||||||
2,893 | ||||||||
|
| |||||||
Specialty Chemicals – 0.7% |
| |||||||
Chemstralia Ltd., | ||||||||
7.250%, 2-26-22 | 4,417 | 4,351 | ||||||
Chromaflo Technologies Corp., | ||||||||
8.250%, 6-2-20 | 1,145 | 1,031 | ||||||
MacDermid, Inc.: | ||||||||
0.000%, 6-7-20 (H) | 187 | 184 | ||||||
5.500%, 6-7-20 | 94 | 92 | ||||||
|
| |||||||
5,658 | ||||||||
|
| |||||||
Total Materials – 1.4% |
| 10,749 | ||||||
TOTAL LOANS – 13.9% |
| $ | 106,646 | |||||
(Cost: $121,939) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Commercial Paper (I) – 7.6% |
| |||||||
Baxter International, Inc., | ||||||||
0.630%, 7-5-16 | 4,000 | 4,000 | ||||||
Bemis Co., Inc.: | ||||||||
0.710%, 7-8-16 | 2,000 | 2,000 | ||||||
0.740%, 7-15-16 | 4,000 | 3,999 | ||||||
BorgWarner, Inc., | ||||||||
0.670%, 7-12-16 | 8,000 | 7,998 | ||||||
Ecolab, Inc.: | ||||||||
0.740%, 7-13-16 | 8,000 | 7,998 | ||||||
0.740%, 7-15-16 | 4,000 | 3,999 |
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Commercial Paper (I) (Continued) |
| |||||||
GlaxoSmithKline Finance plc (GTD by GlaxoSmithKline plc), | ||||||||
0.380%, 7-12-16 | $ | 5,000 | $ | 4,999 | ||||
Kellogg Co., | ||||||||
0.710%, 7-6-16 | 5,231 | 5,230 | ||||||
Kroger Co. (The), | ||||||||
0.570%, 7-1-16 | 3,244 | 3,244 | ||||||
Mondelez International, Inc., | ||||||||
0.630%, 7-7-16 | 5,000 | 4,999 | ||||||
St. Jude Medical, Inc., | ||||||||
0.650%, 7-1-16 | 9,709 | 9,709 | ||||||
|
| |||||||
58,175 | ||||||||
|
| |||||||
Master Note – 0.2% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (J) | 1,344 | 1,344 | ||||||
|
| |||||||
Municipal Obligations – 0.0% |
| |||||||
MI Strategic Fund, Var Rate Demand Ltd. Oblig Rev Bonds (Air Prods and Chemicals, Inc. Proj), Ser 2007 (GTD by Air Prods and Chemicals, Inc.), | ||||||||
0.400%, 7-1-16 (J) | 293 | 293 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 7.8% |
| $ | 59,812 | |||||
(Cost: $59,813) | ||||||||
TOTAL INVESTMENT |
| $ | 756,485 | |||||
(Cost: $819,297) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES (K) – 1.3% |
| 9,694 | ||||||
NET ASSETS – 100.0% |
| $ | 766,179 |
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, 2016 the total value of these securities amounted to $426,430 or 55.7% of net assets. |
(D) | Payment-in-kind bonds. |
(E) | Principal amounts are denominated in the indicated foreign currency, where applicable (CAD—Canadian Dollar and EUR—Euro). |
(F) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. |
(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. |
60 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2016 (UNAUDITED)
(I) | Rate shown is the yield to maturity at June 30, 2016. |
(J) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. Date shown represents the date that the variable rate resets. |
(K) | Cash of $130 is held in collateralized accounts for OTC derivatives collateral as governed by International Swaps and Derivatives Association, Inc. Master Agreements. |
The following forward foreign currency contracts were outstanding at June 30, 2016:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Canadian Dollar | 5,176 | U.S. Dollar | 4,059 | 7-25-16 | Morgan Stanley International | $ | 52 | $ | — | |||||||||||||||||||
Euro | 578 | U.S. Dollar | 655 | 7-25-16 | Morgan Stanley International | 13 | — | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | 65 | $ | — | |||||||||||||||||||||||||
|
|
The following total return swap agreements were outstanding at June 30, 2016:
Counterparty | Underlying Security | Termination Date | Notional Amount(1) | Financing Fee(2)(3) | Unrealized Appreciation | |||||||||||
Morgan Stanley & Co., Inc. | iBoxx $ Liquid High Yield Index | 12/20/2016 | $ | 2,453 | 3M LIBOR less 0.62340% | $2 |
(1) | Notional amount changes by the percentage change of the price of the index applied to the notional amount. |
(2) | The Portfolio pays the financing fee multiplied by the notional amount each quarter. |
(3) | At the termination date, a net cash flow is exchanged where the market-linked total return is equivalent to the return of the underlying security less a financing rate, if any. As the receiver, a Portfolio would owe payments on any net positive total return, and would receive payments in the event of a negative total return. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2016. 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 | $ | — | $ | — | $ | 74 | ||||||
Industrials | 252 | — | — | |||||||||
Utilities | 119 | — | — | |||||||||
Total Common Stocks | $ | 371 | $ | — | $ | 74 | ||||||
Preferred Stocks | 3,351 | — | — | |||||||||
Corporate Debt Securities | — | 586,231 | — | |||||||||
Loans | — | 77,719 | 28,927 | |||||||||
Short-Term Securities | — | 59,812 | — | |||||||||
Total | $ | 3,722 | $ | 723,762 | $ | 29,001 | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 65 | $ | — | ||||||
Total Return Swaps | $ | — | $ | 2 | $ | — |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Common Stocks | Warrants | Loans | ||||||||||
Beginning Balance 1-1-16 | $ | 62 | $ | — | $ | 40,479 | ||||||
Net realized gain (loss) | — | — | (2,088 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | 12 | (2 | ) | 1,728 | ||||||||
Purchases | — | — | — | |||||||||
Sales | — | — | (13,575 | ) | ||||||||
Amortization/Accretion of premium/discount | — | — | (153 | ) | ||||||||
Transfers into Level 3 during the period | — | 2 | 8,751 | |||||||||
Transfers out of Level 3 during the period | — | — | (6,215 | ) | ||||||||
Ending Balance 6-30-16 | $ | 74 | $ | — | $ | 28,927 | ||||||
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 6-30-16 | $ | 12 | $ | (2 | ) | $ | 408 |
2016 | SEMIANNUAL REPORT | 61 |
Table of Contents
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2016 (UNAUDITED)
Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information. As shown above, transfers in and out of Level 3 represent the values as of the beginning of the reporting period. During the period ended June 30, 2016, there were no transfers between Levels 1 and 2.
Information about Level 3 fair value measurements:
Fair Value at 6-30-16 | Valuation Technique(s) | Unobservable Input(s) | ||||||
Assets | ||||||||
Common Stocks | $ | 74 | Broker | Broker quotes | ||||
Loans | 28,927 | Third-party valuation service | Broker quotes |
The following acronyms are used throughout this schedule:
GTD = Guaranteed
OTC = Over the Counter
REITS = Real Estate Investment Trusts
See Accompanying Notes to Financial Statements.
62 | SEMIANNUAL REPORT | 2016 |
Table of Contents
PORTFOLIO HIGHLIGHTS | INTERNATIONAL CORE EQUITY |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 96.7% | |||
Financials | 17.4% | |||
Health Care | 15.4% | |||
Consumer Discretionary | 13.8% | |||
Industrials | 12.7% | |||
Consumer Staples | 9.6% | |||
Information Technology | 8.3% | |||
Materials | 7.9% | |||
Energy | 7.2% | |||
Telecommunication Services | 4.4% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.3% |
Country Weightings
Europe | 54.1% | |||
United Kingdom | 18.6% | |||
Germany | 7.2% | |||
Switzerland | 5.8% | |||
France | 5.5% | |||
Ireland | 5.0% | |||
Other Europe | 12.0% | |||
Pacific Basin | 32.8% | |||
Japan | 18.7% | |||
China | 5.1% | |||
Australia | 4.2% | |||
Other Pacific Basin | 4.8% | |||
Other | 4.4% | |||
North America | 4.0% | |||
South America | 1.4% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.3% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
SoftBank Group Corp. | Japan | Telecommunication Services | Wireless Telecommunication Service | |||
Teva Pharmaceutical Industries Ltd. ADR | Israel | Health Care | Pharmaceuticals | |||
Bridgestone Corp. | Japan | Consumer Discretionary | Tires & Rubber | |||
Svenska Cellulosa Aktiebolaget SCA (publ), Class B | Sweden | Materials | Paper Products | |||
Fresenius SE & Co. KGaA | Germany | Health Care | Health Care Services | |||
Shire Pharmaceuticals Group plc ADR | Ireland | Health Care | Pharmaceuticals | |||
BAE Systems plc | United Kingdom | Industrials | Aerospace & Defense | |||
Mitsubishi Heavy Industries Ltd. | Japan | Industrials | Industrial Machinery | |||
Pernod Ricard | France | Consumer Staples | Distillers & Vintners | |||
Nokia OYJ | Finland | Information Technology | Communications Equipment |
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.
2016 | SEMIANNUAL REPORT | 63 |
Table of Contents
SCHEDULE OF INVESTMENTS | INTERNATIONAL CORE EQUITY (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Australia |
| |||||||
Energy – 1.0% |
| |||||||
Oil Search Ltd. | 1,178 | $ | 5,950 | |||||
|
| |||||||
Financials – 1.6% |
| |||||||
Westpac Banking Corp. | 458 | 10,163 | ||||||
|
| |||||||
Health Care – 0.1% |
| |||||||
Cochlear Ltd. | 6 | 560 | ||||||
|
| |||||||
Materials – 1.5% |
| |||||||
Amcor Ltd. | 861 | 9,685 | ||||||
|
| |||||||
Total Australia – 4.2% |
| $ | 26,358 | |||||
Brazil |
| |||||||
Consumer Staples – 0.8% |
| |||||||
Hypermarcas S.A. | 647 | 4,682 | ||||||
|
| |||||||
Information Technology – 0.6% |
| |||||||
MercadoLibre, Inc. | 28 | 3,925 | ||||||
|
| |||||||
Total Brazil – 1.4% |
| $ | 8,607 | |||||
Canada |
| |||||||
Energy – 1.2% |
| |||||||
Suncor Energy, Inc. | 268 | 7,443 | ||||||
|
| |||||||
Total Canada – 1.2% |
| $ | 7,443 | |||||
China |
| |||||||
Consumer Discretionary – 1.3% |
| |||||||
JD.com, Inc. ADR (A) | 388 | 8,245 | ||||||
|
| |||||||
Consumer Staples – 1.8% |
| |||||||
Kweichow Moutai Co. Ltd., A Shares | 252 | 11,101 | ||||||
|
| |||||||
Financials – 1.3% |
| |||||||
PICC Property and Casualty Co. Ltd., H Shares | 5,337 | 8,414 | ||||||
|
| |||||||
Information Technology – 0.7% |
| |||||||
Alibaba Group Holding Ltd. ADR (A) | 60 | 4,740 | ||||||
|
| |||||||
Total China – 5.1% |
| $ | 32,500 | |||||
Denmark |
| |||||||
Financials – 1.2% |
| |||||||
Danske Bank A.S. | 285 | 7,504 | ||||||
|
| |||||||
Total Denmark – 1.2% |
| $ | 7,504 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Finland |
| |||||||
Information Technology – 2.7% |
| |||||||
Nokia Corp., Series A ADR | 804 | $ | 4,575 | |||||
Nokia OYJ | 2,260 | 12,873 | ||||||
|
| |||||||
17,448 | ||||||||
|
| |||||||
Total Finland – 2.7% |
| $ | 17,448 | |||||
France |
| |||||||
Consumer Staples – 2.0% |
| |||||||
Pernod Ricard | 118 | 13,042 | ||||||
|
| |||||||
Industrials – 3.5% |
| |||||||
Bouygues S.A. | 237 | 6,789 | ||||||
European Aeronautic Defence and Space Co. | 151 | 8,667 | ||||||
Vinci | 96 | 6,753 | ||||||
|
| |||||||
22,209 | ||||||||
|
| |||||||
Total France – 5.5% |
| $ | 35,251 | |||||
Germany |
| |||||||
Health Care – 5.2% |
| |||||||
Bayer AG | 86 | 8,621 | ||||||
Fresenius Medical Care AG & Co. KGaA | 112 | 9,730 | ||||||
Fresenius SE & Co. KGaA | 198 | 14,561 | ||||||
|
| |||||||
32,912 | ||||||||
|
| |||||||
Industrials – 2.0% |
| |||||||
Deutsche Post AG | 450 | 12,686 | ||||||
|
| |||||||
Total Germany – 7.2% |
| $ | 45,598 | |||||
Hong Kong |
| |||||||
Financials – 2.9% |
| |||||||
AIA Group Ltd. | 1,424 | 8,565 | ||||||
Cheung Kong (Holdings) Ltd. | 904 | 9,947 | ||||||
|
| |||||||
18,512 | ||||||||
|
| |||||||
Total Hong Kong – 2.9% |
| $ | 18,512 | |||||
Ireland |
| |||||||
Health Care – 2.3% |
| |||||||
Shire Pharmaceuticals Group plc ADR | 78 | 14,346 | ||||||
|
| |||||||
Materials – 2.7% |
| |||||||
CRH plc | 320 | 9,389 | ||||||
James Hardie Industries plc, Class C | 525 | 8,130 | ||||||
|
| |||||||
17,519 | ||||||||
|
| |||||||
Total Ireland – 5.0% |
| $ | 31,865 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Israel |
| |||||||
Health Care – 2.5% |
| |||||||
Teva Pharmaceutical Industries Ltd. ADR | 318 | $ | 15,975 | |||||
|
| |||||||
Total Israel – 2.5% | $ | 15,975 | ||||||
Italy |
| |||||||
Consumer Discretionary – 0.7% |
| |||||||
Luxottica Group S.p.A. | 93 | 4,532 | ||||||
|
| |||||||
Financials – 0.9% |
| |||||||
Banca Intesa S.p.A. | 3,103 | 5,910 | ||||||
|
| |||||||
Total Italy – 1.6% | $ | 10,442 | ||||||
Japan |
| |||||||
Consumer Discretionary – 6.3% |
| |||||||
Bridgestone Corp. | 460 | 14,767 | ||||||
Honda Motor Co. Ltd. | 473 | 11,875 | ||||||
Isuzu Motors Ltd. | 855 | 10,530 | ||||||
Nissin Kogyo Co. Ltd. | 252 | 3,222 | ||||||
|
| |||||||
40,394 | ||||||||
|
| |||||||
Energy – 1.5% |
| |||||||
Inpex Corp. | 1,213 | 9,487 | ||||||
|
| |||||||
Financials – 2.9% |
| |||||||
Dai-ichi Mutual Life Insurance Co. (The) | 539 | 6,030 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 210 | 6,073 | ||||||
Tokio Marine Holdings, Inc. | 192 | 6,382 | ||||||
|
| |||||||
18,485 | ||||||||
|
| |||||||
Industrials – 3.5% |
| |||||||
Komatsu Ltd. | 517 | 8,973 | ||||||
Mitsubishi Heavy Industries Ltd. | 3,265 | 13,129 | ||||||
|
| |||||||
22,102 | ||||||||
|
| |||||||
Information Technology – 0.6% |
| |||||||
Murata Manufacturing Co. Ltd. | 36 | 3,980 | ||||||
|
| |||||||
Telecommunication Services – 3.9% |
| |||||||
SoftBank Group Corp. | 433 | 24,504 | ||||||
|
| |||||||
Total Japan – 18.7% |
| $ | 118,952 | |||||
Luxembourg |
| |||||||
Energy – 0.6% |
| |||||||
Tenaris S.A. | 148 | 2,142 | ||||||
Tenaris S.A. ADR | 63 | 1,805 | ||||||
|
| |||||||
3,947 | ||||||||
|
| |||||||
Total Luxembourg – 0.6% | $ | 3,947 |
64 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | INTERNATIONAL CORE EQUITY (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS (Continued) | Shares | Value | ||||||
Netherlands |
| |||||||
Financials – 1.0% |
| |||||||
ING Groep N.V., Certicaaten Van Aandelen | 630 | $ | 6,521 | |||||
|
| |||||||
Information Technology – 0.2% |
| |||||||
ASML Holding N.V., Ordinary Shares | 10 | 985 | ||||||
|
| |||||||
Total Netherlands – 1.2% |
| $ | 7,506 | |||||
South Africa |
| |||||||
Consumer Discretionary – 1.9% |
| |||||||
Naspers Ltd., Class N | 79 | 12,093 | ||||||
|
| |||||||
Total South Africa – 1.9% |
| $ | 12,093 | |||||
South Korea |
| |||||||
Information Technology – 1.6% |
| |||||||
Samsung Electronics Co. Ltd. | 8 | 10,424 | ||||||
|
| |||||||
Total South Korea – 1.6% |
| $ | 10,424 | |||||
Spain |
| |||||||
Financials – 1.4% |
| |||||||
Banco Bilbao Vizcaya Argentaria S.A. | 1,500 | 8,595 | ||||||
|
| |||||||
Total Spain – 1.4% | $ | 8,595 | ||||||
Sweden |
| |||||||
Financials – 1.0% |
| |||||||
SwedBank AB | 306 | 6,433 | ||||||
|
| |||||||
Materials – 2.3% |
| |||||||
Svenska Cellulosa Aktiebolaget SCA (publ), Class B | 457 | 14,674 | ||||||
|
| |||||||
Total Sweden – 3.3% |
| $ | 21,107 | |||||
Switzerland |
| |||||||
Consumer Staples – 1.4% |
| |||||||
Nestle S.A., Registered Shares | 110 | 8,492 | ||||||
|
| |||||||
Health Care – 2.9% |
| |||||||
Novartis AG ADR | 26 | 2,129 | ||||||
Novartis AG, Registered Shares | 109 | 8,988 | ||||||
Roche Holdings AG, Genusscheine | 28 | 7,415 | ||||||
|
| |||||||
18,532 | ||||||||
|
| |||||||
Industrials – 1.5% |
| |||||||
Adecco S.A. | 190 | 9,579 | ||||||
|
| |||||||
Total Switzerland – 5.8% |
| $ | 36,603 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Taiwan |
| |||||||
Information Technology – 0.3% |
| |||||||
Hon Hai Precision Industry Co. Ltd. | 765 | $ | 1,971 | |||||
|
| |||||||
Total Taiwan – 0.3% |
| $ | 1,971 | |||||
United Kingdom |
| |||||||
Consumer Discretionary – 2.9% |
| |||||||
Carnival plc | 84 | 3,744 | ||||||
Whitbread plc | 56 | 2,611 | ||||||
WPP Group plc | 587 | 12,232 | ||||||
|
| |||||||
18,587 | ||||||||
|
| |||||||
Consumer Staples – 3.6% |
| |||||||
Diageo plc | 70 | 1,967 | ||||||
Diageo plc ADR | 21 | 2,404 | ||||||
Imperial Tobacco Group plc | 172 | 9,312 | ||||||
Unilever plc | 195 | 9,322 | ||||||
|
| |||||||
23,005 | ||||||||
|
| |||||||
Energy – 2.9% |
| |||||||
BP plc | 1,700 | 9,950 | ||||||
Royal Dutch Shell plc, Class A | 7 | 179 | ||||||
Royal Dutch Shell plc, Class B | 288 | 7,965 | ||||||
|
| |||||||
18,094 | ||||||||
|
| |||||||
Financials – 2.7% |
| |||||||
Aviva plc | 1,381 | 7,281 | ||||||
Legal & General Group plc | 2,743 | 7,021 | ||||||
Prudential plc | 174 | 2,951 | ||||||
|
| |||||||
17,253 | ||||||||
|
| |||||||
Health Care – 2.4% |
| |||||||
Shire plc | 103 | 6,353 | ||||||
Smith & Nephew plc | 527 | 8,956 | ||||||
|
| |||||||
15,309 | ||||||||
|
| |||||||
Industrials – 2.2% |
| |||||||
BAE Systems plc | 2,012 | 14,084 | ||||||
|
| |||||||
Materials – 1.4% |
| |||||||
Rio Tinto plc | 219 | 6,816 | ||||||
Rio Tinto plc ADR | 71 | 2,229 | ||||||
|
| |||||||
9,045 | ||||||||
|
| |||||||
Telecommunication Services – 0.5% |
| |||||||
BT Group plc | 569 | 3,126 | ||||||
|
| |||||||
Total United Kingdom – 18.6% |
| $ | 118,503 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
United States |
| |||||||
Consumer Discretionary – 0.7% |
| |||||||
Carnival Corp. | 101 | $ | 4,469 | |||||
|
| |||||||
Information Technology – 1.6% |
| |||||||
Cognizant Technology Solutions Corp., Class A (A) | 178 | 10,167 | ||||||
|
| |||||||
Total United States – 2.3% |
| $ | 14,636 | |||||
TOTAL COMMON STOCKS – 96.2% |
| $ | 611,840 | |||||
(Cost: $657,387) | ||||||||
PREFERRED STOCKS | ||||||||
United States |
| |||||||
Financials – 0.5% |
| |||||||
Mandatory Exchangeable Trust, 5.750% (A)(B) | 29 | 2,965 | ||||||
|
| |||||||
Total United States – 0.5% | $ | 2,965 | ||||||
TOTAL PREFERRED STOCKS – 0.5% |
| $ | 2,965 | |||||
(Cost: $2,900) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (C) – 1.7% |
| |||||||
Army & Air Force Exchange Service, | ||||||||
0.360%, 7-14-16 | $ | 5,000 | 4,999 | |||||
Kroger Co. (The), | ||||||||
0.570%, 7-1-16 | 5,744 | 5,744 | ||||||
|
| |||||||
10,743 | ||||||||
|
| |||||||
Master Note – 0.4% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (D) | 2,473 | 2,473 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.1% |
| $ | 13,216 | |||||
(Cost: $13,216) | ||||||||
TOTAL INVESTMENT SECURITIES – 98.8% |
| $ | 628,021 | |||||
(Cost: $673,503) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.2% |
| 7,582 | ||||||
NET ASSETS – 100.0% | $ | 635,603 |
2016 | SEMIANNUAL REPORT | 65 |
Table of Contents
SCHEDULE OF INVESTMENTS | INTERNATIONAL CORE EQUITY (in thousands) |
JUNE 30, 2016 (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, 2016 the total value of these securities amounted to $2,965 or 0.5% of net assets. |
(C) | Rate shown is the yield to maturity at June 30, 2016. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. Date shown represents the date that the variable rate resets. |
The following forward foreign currency contracts were outstanding at June 30, 2016:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||||||||
British Pound | 22,100 | U.S. Dollar | 32,714 | 7-25-16 | Barclays Capital, Inc. | $ | 3,288 | $ | — | |||||||||||||||||||||||||
Euro | 45,100 | U.S. Dollar | 50,123 | 7-25-16 | State Street Global Markets | 35 | — | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||
$ | 3,323 | $ | — | |||||||||||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2016. 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 | $ | 12,714 | $ | 75,606 | $ | — | ||||||
Consumer Staples | 7,086 | 53,236 | — | |||||||||
Energy | 9,248 | 35,673 | — | |||||||||
Financials | — | 107,790 | — | |||||||||
Health Care | 32,450 | 65,184 | — | |||||||||
Industrials | — | 80,660 | — | |||||||||
Information Technology | 23,407 | 30,233 | — | |||||||||
Materials | 2,229 | 48,694 | — | |||||||||
Telecommunication Services | — | 27,630 | — | |||||||||
Total Common Stocks | $ | 87,134 | $ | 524,706 | $ | — | ||||||
Preferred Stocks | 2,965 | — | — | |||||||||
Short-Term Securities | — | 13,216 | — | |||||||||
Total | $ | 90,099 | $ | 537,922 | $ | — | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 3,323 | $ | — |
During the period ended June 30, 2016, securities totaling $465,471 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on June 30, 2016. Transfers out of Level 1 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 | 17.4% | |||
Health Care | 15.4% | |||
Consumer Discretionary | 13.8% | |||
Industrials | 12.7% | |||
Consumer Staples | 9.6% | |||
Information Technology | 8.3% | |||
Materials | 7.9% |
Market Sector Diversification (Continued)
Energy | 7.2% | |||
Telecommunication Services | 4.4% | |||
Other+ | 3.3% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
66 | SEMIANNUAL REPORT | 2016 |
Table of Contents
PORTFOLIO HIGHLIGHTS | LIMITED-TERM BOND |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Bonds | 96.8% | |||
Corporate Debt Securities | 60.7% | |||
United States Government and Government Agency Obligations | 34.3% | |||
Asset-Backed Securities | 0.7% | |||
Municipal Bonds – Taxable | 0.7% | |||
Mortgage-Backed Securities | 0.4% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.2% |
Quality Weightings
Investment Grade | 89.8% | |||
AAA | 0.6% | |||
AA | 36.9% | |||
A | 22.2% | |||
BBB | 30.1% | |||
Non-Investment Grade | 7.0% | |||
BB | 2.3% | |||
B | 0.6% | |||
CCC | 0.4% | |||
Non-rated | 3.7% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.2% |
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.
2016 | SEMIANNUAL REPORT | 67 |
Table of Contents
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2016 (UNAUDITED)
ASSET-BACKED SECURITIES | Principal | Value | ||||||
American Airlines Class AA Pass Through Certificates, Series 2016-2, | ||||||||
3.200%, 6-15-28 | $ | 1,000 | $ | 1,034 | ||||
SBA Tower Trust, Series 2013-1C (GTD by SBA Guarantor LLC and SBA Holdings LLC), | ||||||||
2.240%, 4-16-18 (A) | 1,700 | 1,705 | ||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES – 0.7% |
| $ | 2,739 | |||||
(Cost: $2,698) | ||||||||
CORPORATE DEBT SECURITIES | ||||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.3% |
| |||||||
TJX Cos., Inc. (The), | ||||||||
2.750%, 6-15-21 | 1,000 | 1,056 | ||||||
|
| |||||||
Apparel, Accessories & Luxury Goods – 0.8% |
| |||||||
Hanesbrands, Inc., | ||||||||
4.625%, 5-15-24 (A) | 1,500 | 1,504 | ||||||
LVMH Moet Hennessy – Louis Vuitton, | ||||||||
1.625%, 6-29-17 (A) | 1,725 | 1,734 | ||||||
|
| |||||||
3,238 | ||||||||
|
| |||||||
Auto Parts & Equipment – 0.6% |
| |||||||
BorgWarner Automotive, Inc., | ||||||||
8.000%, 10-1-19 | 2,000 | 2,343 | ||||||
|
| |||||||
Automobile Manufacturers – 1.4% |
| |||||||
BMW U.S. Capital LLC, | ||||||||
2.000%, 4-11-21 (A) | 1,500 | 1,519 | ||||||
Toyota Motor Credit Corp., | ||||||||
2.000%, 10-24-18 | 4,000 | 4,078 | ||||||
|
| |||||||
5,597 | ||||||||
|
| |||||||
Cable & Satellite – 2.1% |
| |||||||
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc., | ||||||||
4.450%, 4-1-24 | 1,190 | 1,303 | ||||||
Lender Processing Services, Inc. and Black Knight Lending Solutions, Inc., | ||||||||
5.750%, 4-15-23 | 1,076 | 1,127 | ||||||
Time Warner Cable, Inc., | ||||||||
5.850%, 5-1-17 | 1,901 | 1,968 | ||||||
Time Warner Co., Inc. (GTD by Time Warner, Inc.), | ||||||||
7.250%, 10-15-17 | 3,337 | 3,587 | ||||||
|
| |||||||
7,985 | ||||||||
|
| |||||||
General Merchandise Stores – 1.1% |
| |||||||
Dollar General Corp., | ||||||||
4.125%, 7-15-17 | 4,000 | 4,113 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.2% |
| |||||||
Marriott International, Inc., Series Q, | ||||||||
2.300%, 1-15-22 | 1,000 | 1,004 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Internet Retail – 1.0% |
| |||||||
Amazon.com, Inc.: | ||||||||
1.200%, 11-29-17 | $ | 2,000 | $ | 2,007 | ||||
3.800%, 12-5-24 | 1,520 | 1,705 | ||||||
|
| |||||||
3,712 | ||||||||
|
| |||||||
Leisure Products – 0.3% |
| |||||||
Mattel, Inc., | ||||||||
2.500%, 11-1-16 | 1,000 | 1,005 | ||||||
|
| |||||||
Total Consumer Discretionary – 7.8% |
| 30,053 | ||||||
Consumer Staples |
| |||||||
Brewers – 1.0% |
| |||||||
Anheuser-Busch InBev S.A./N.V., | ||||||||
3.300%, 2-1-23 | 2,090 | 2,199 | ||||||
SABMiller Holdings, Inc., | ||||||||
3.750%, 1-15-22 (A) | 1,500 | 1,608 | ||||||
|
| |||||||
3,807 | ||||||||
|
| |||||||
Distillers & Vintners – 0.9% |
| |||||||
Beam, Inc., | ||||||||
1.875%, 5-15-17 | 2,672 | 2,682 | ||||||
Constellation Brands, Inc., | ||||||||
3.875%, 11-15-19 | 945 | 995 | ||||||
|
| |||||||
3,677 | ||||||||
|
| |||||||
Drug Retail – 0.5% |
| |||||||
CVS Health Corp., | ||||||||
2.250%, 12-5-18 | 2,000 | 2,046 | ||||||
|
| |||||||
Food Distributors – 0.7% |
| |||||||
Bestfoods, | ||||||||
7.000%, 10-15-17 | 2,500 | 2,681 | ||||||
|
| |||||||
Food Retail – 0.4% |
| |||||||
Kroger Co. (The), | ||||||||
6.800%, 12-15-18 | 1,245 | 1,401 | ||||||
|
| |||||||
Packaged Foods & Meats – 1.8% |
| |||||||
Hershey Co. (The), | ||||||||
1.600%, 8-21-18 | 2,000 | 2,032 | ||||||
Kraft Heinz Foods Co., | ||||||||
4.875%, 2-15-25 (A) | 2,250 | 2,468 | ||||||
Tyson Foods, Inc. (GTD by Tyson Fresh Meats, Inc.), | ||||||||
2.650%, 8-15-19 | 2,459 | 2,526 | ||||||
|
| |||||||
7,026 | ||||||||
|
| |||||||
Total Consumer Staples – 5.3% |
| 20,638 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 0.4% |
| |||||||
Statoil ASA (GTD by Statoil Petroleum AS), | ||||||||
1.950%, 11-8-18 | 1,500 | 1,520 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Equipment & Services – 1.2% |
| |||||||
Enterprise Products Operating LLC (GTD by Enterprise Products Partners L.P.), | ||||||||
6.500%, 1-31-19 | $ | 1,850 | $ | 2,072 | ||||
Schlumberger Investment S.A. (GTD by Schlumberger Ltd.), | ||||||||
1.950%, 9-14-16 (A) | 1,000 | 1,002 | ||||||
Schlumberger Norge A.S. (GTD by Schlumberger Ltd.), | ||||||||
1.250%, 8-1-17 (A) | 1,500 | 1,499 | ||||||
|
| |||||||
4,573 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 2.0% |
| |||||||
BP Capital Markets plc (GTD by BP plc), | ||||||||
1.674%, 2-13-18 | 3,750 | 3,779 | ||||||
ConocoPhillips Co. (GTD by ConocoPhillips), | ||||||||
3.350%, 11-15-24 | 1,000 | 1,030 | ||||||
EQT Corp., | ||||||||
8.125%, 6-1-19 | 2,650 | 2,919 | ||||||
|
| |||||||
7,728 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.7% |
| |||||||
Shell International Finance B.V. (GTD by Royal Dutch Shell plc), | ||||||||
2.000%, 11-15-18 | 2,625 | 2,670 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 1.1% |
| |||||||
El Paso Corp., | ||||||||
7.000%, 6-15-17 | 2,000 | 2,083 | ||||||
Sunoco Logistics Partners Operations L.P. (GTD by Sunoco Logistics Partners L.P.), | ||||||||
4.400%, 4-1-21 | 2,000 | 2,108 | ||||||
|
| |||||||
4,191 | ||||||||
|
| |||||||
Total Energy – 5.4% |
| 20,682 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.7% |
| |||||||
Ares Capital Corp., | ||||||||
3.875%, 1-15-20 | 2,820 | 2,917 | ||||||
|
| |||||||
Consumer Finance – 4.0% |
| |||||||
American Honda Finance Corp.: | ||||||||
7.625%, 10-1-18 (A) | 1,000 | 1,138 | ||||||
2.125%, 10-10-18 | 3,000 | 3,080 | ||||||
Capital One Financial Corp., | ||||||||
6.750%, 9-15-17 | 1,000 | 1,060 | ||||||
Discover Financial Services, | ||||||||
3.950%, 11-6-24 | 2,775 | 2,846 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
5.000%, 5-15-18 | 1,126 | 1,193 | ||||||
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.): | ||||||||
2.400%, 5-9-19 | 3,000 | 3,004 | ||||||
4.200%, 3-1-21 | 1,000 | 1,046 | ||||||
Hyundai Capital America, | ||||||||
2.875%, 8-9-18 (A) | 1,000 | 1,025 |
68 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2016 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Finance (Continued) |
| |||||||
Total System Services, Inc., | ||||||||
3.800%, 4-1-21 | $ | 850 | $ | 900 | ||||
|
| |||||||
15,292 | ||||||||
|
| |||||||
Diversified Banks – 4.0% |
| |||||||
Ally Financial, Inc., | ||||||||
5.500%, 2-15-17 | 1,630 | 1,654 | ||||||
Bank of America Corp., | ||||||||
2.625%, 4-19-21 | 1,500 | 1,523 | ||||||
Bank of New York Mellon Corp. (The), | ||||||||
2.300%, 9-11-19 | 2,550 | 2,602 | ||||||
BB&T Corp., | ||||||||
2.050%, 5-10-21 | 1,150 | 1,167 | ||||||
Bear Stearns Co., Inc. (The), | ||||||||
6.400%, 10-2-17 | 2,000 | 2,125 | ||||||
Branch Banking and Trust Co., | ||||||||
1.450%, 5-10-19 | 2,000 | 2,008 | ||||||
Huntington Bancshares, Inc., | ||||||||
3.150%, 3-14-21 | 1,000 | 1,036 | ||||||
Huntington National Bank, | ||||||||
2.200%, 11-6-18 | 1,000 | 1,012 | ||||||
U.S. Bancorp, | ||||||||
3.100%, 4-27-26 | 704 | 733 | ||||||
Wachovia Corp., | ||||||||
5.750%, 2-1-18 | 1,500 | 1,605 | ||||||
|
| |||||||
15,465 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 1.8% |
| |||||||
Goldman Sachs Group, Inc. (The): | ||||||||
2.750%, 9-15-20 | 800 | 817 | ||||||
4.000%, 3-3-24 | 800 | 858 | ||||||
3.500%, 12-22-29 (B) | 1,350 | 1,329 | ||||||
Merrill Lynch & Co., Inc., | ||||||||
6.400%, 8-28-17 | 2,000 | 2,110 | ||||||
Morgan Stanley: | ||||||||
2.800%, 6-16-20 | 1,000 | 1,024 | ||||||
2.500%, 4-21-21 | 1,000 | 1,011 | ||||||
|
| |||||||
7,149 | ||||||||
|
| |||||||
Life & Health Insurance – 1.6% |
| |||||||
Athene Global Funding, |
| |||||||
2.875%, 10-23-18 (A) | 2,550 | 2,530 | ||||||
New York Life Global Funding, |
| |||||||
1.550%, 11-2-18 (A) | 1,500 | 1,514 | ||||||
Principal Life Global Funding II, |
| |||||||
2.625%, 11-19-20 (A) | 2,000 | 2,059 | ||||||
|
| |||||||
6,103 | ||||||||
|
| |||||||
Other Diversified Financial Services – 3.1% |
| |||||||
Citigroup, Inc.: |
| |||||||
1.300%, 11-15-16 | 2,000 | 2,001 | ||||||
2.650%, 10-26-20 | 1,000 | 1,018 | ||||||
2.700%, 3-30-21 | 1,000 | 1,019 | ||||||
Fidelity National Financial, Inc., |
| |||||||
6.600%, 5-15-17 | 1,000 | 1,042 | ||||||
Fidelity National Information Services, Inc., | ||||||||
2.850%, 10-15-18 | 1,100 | 1,129 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Other Diversified Financial Services (Continued) |
| |||||||
JPMorgan Chase & Co.: |
| |||||||
6.000%, 1-15-18 | $ | 1,316 | $ | 1,408 | ||||
2.550%, 3-1-21 | 1,000 | 1,020 | ||||||
USAA Capital Corp., |
| |||||||
2.450%, 8-1-20 (A) | 3,245 | 3,354 | ||||||
|
| |||||||
11,991 | ||||||||
|
| |||||||
Property & Casualty Insurance – 1.5% |
| |||||||
ACE INA Holdings, Inc. (GTD by ACE Ltd.), | ||||||||
2.300%, 11-3-20 | 1,500 | 1,541 | ||||||
Berkshire Hathaway, Inc.: |
| |||||||
2.100%, 8-14-19 | 3,000 | 3,091 | ||||||
2.750%, 3-15-23 | 1,000 | 1,034 | ||||||
|
| |||||||
5,666 | ||||||||
|
| |||||||
Regional Banks – 0.4% |
| |||||||
PNC Funding Corp. (GTD by PNC Financial Services Group, Inc.), | ||||||||
6.700%, 6-10-19 | 1,447 | 1,659 | ||||||
|
| |||||||
Specialized Finance – 0.8% |
| |||||||
ADOP Co., |
| |||||||
6.625%, 10-1-17 (A) | 1,000 | 1,053 | ||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp., |
| |||||||
3.480%, 6-1-19 (A) | 1,875 | 1,921 | ||||||
|
| |||||||
2,974 | ||||||||
|
| |||||||
Specialized REITs – 0.3% |
| |||||||
Crown Castle International Corp., |
| |||||||
4.875%, 4-15-22 | 1,000 | 1,098 | ||||||
|
| |||||||
Total Financials – 18.2% | 70,314 | |||||||
Health Care |
| |||||||
Biotechnology – 0.7% |
| |||||||
Amgen, Inc., | ||||||||
5.850%, 6-1-17 | 2,373 | 2,472 | ||||||
|
| |||||||
Health Care Supplies – 1.7% |
| |||||||
Catholic Health Initiatives, | ||||||||
2.600%, 8-1-18 | 3,575 | 3,643 | ||||||
Medtronic, Inc., | ||||||||
3.500%, 3-15-25 | 1,750 | 1,909 | ||||||
Stryker Corp., | ||||||||
2.625%, 3-15-21 | 1,000 | 1,034 | ||||||
|
| |||||||
6,586 | ||||||||
|
| |||||||
Pharmaceuticals – 0.7% |
| |||||||
AbbVie, Inc., | ||||||||
2.500%, 5-14-20 | 1,200 | 1,228 | ||||||
Mylan, Inc., | ||||||||
1.350%, 11-29-16 | 1,500 | 1,498 | ||||||
|
| |||||||
2,726 | ||||||||
|
| |||||||
Total Health Care – 3.1% | 11,784 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Industrials |
| |||||||
Aerospace & Defense – 2.3% |
| |||||||
BAE Systems Holdings, Inc.: | ||||||||
6.375%, 6-1-19 (A) | $ | 941 | $ | 1,058 | ||||
3.850%, 12-15-25 (A) | 1,500 | 1,591 | ||||||
BAE Systems plc, | ||||||||
4.750%, 10-11-21 (A) | 748 | 835 | ||||||
Exelis, Inc.: | ||||||||
4.250%, 10-1-16 | 2,150 | 2,163 | ||||||
5.550%, 10-1-21 | 460 | 522 | ||||||
Huntington Ingalls Industries, Inc., | ||||||||
5.000%, 11-15-25 (A) | 1,057 | 1,116 | ||||||
TransDigm Group, Inc., | ||||||||
7.500%, 7-15-21 | 1,407 | 1,486 | ||||||
|
| |||||||
8,771 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.7% |
| |||||||
FedEx Corp., | ||||||||
8.000%, 1-15-19 | 2,252 | 2,617 | ||||||
|
| |||||||
Airlines – 1.0% |
| |||||||
Southwest Airlines Co.: | ||||||||
5.125%, 3-1-17 | 2,263 | 2,325 | ||||||
2.650%, 11-5-20 | 1,500 | 1,548 | ||||||
|
| |||||||
3,873 | ||||||||
|
| |||||||
Environmental & Facilities Services – 2.0% |
| |||||||
Republic Services, Inc., | ||||||||
3.800%, 5-15-18 | 4,000 | 4,185 | ||||||
Waste Management, Inc. (GTD by Waste Management Holdings, Inc.): | ||||||||
6.100%, 3-15-18 | 2,540 | 2,754 | ||||||
7.100%, 8-1-26 | 550 | 738 | ||||||
|
| |||||||
7,677 | ||||||||
|
| |||||||
Industrial Conglomerates – 1.1% |
| |||||||
Fortive Corp. (GTD by Danaher Corp.), | ||||||||
2.350%, 6-15-21 (A) | 1,300 | 1,319 | ||||||
General Electric Capital Corp., | ||||||||
5.012%, 1-1-24 | 2,586 | 2,900 | ||||||
|
| |||||||
4,219 | ||||||||
|
| |||||||
Railroads – 0.8% |
| |||||||
Burlington Northern Santa Fe Corp., | ||||||||
5.750%, 3-15-18 | 2,750 | 2,964 | ||||||
|
| |||||||
Trading Companies & Distributors – 0.5% |
| |||||||
HD Supply, Inc., | ||||||||
5.250%, 12-15-21 (A) | 2,054 | 2,154 | ||||||
|
| |||||||
Total Industrials – 8.4% | 32,275 | |||||||
Information Technology |
| |||||||
Application Software – 0.6% |
| |||||||
Michael Baker International LLC, | ||||||||
8.250%, 10-15-18 (A) | 2,454 | 2,380 | ||||||
|
|
2016 | SEMIANNUAL REPORT | 69 |
Table of Contents
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2016 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Communications Equipment – 0.5% |
| |||||||
Cisco Systems, Inc., | ||||||||
2.200%, 2-28-21 | $ | 2,000 | $ | 2,060 | ||||
|
| |||||||
Data Processing & Outsourced Services – 1.2% |
| |||||||
Alliance Data Systems Corp., | ||||||||
6.375%, 4-1-20 (A) | 1,000 | 1,008 | ||||||
Visa, Inc., | ||||||||
2.800%, 12-14-22 | 3,600 | 3,798 | ||||||
|
| |||||||
4,806 | ||||||||
|
| |||||||
Electronic Equipment & Instruments – 0.2% |
| |||||||
FLIR Systems, Inc., | ||||||||
3.125%, 6-15-21 | 750 | 771 | ||||||
|
| |||||||
Electronic Manufacturing Services – 0.8% |
| |||||||
Jabil Circuit, Inc., | ||||||||
7.750%, 7-15-16 | 3,000 | 3,003 | ||||||
|
| |||||||
Semiconductor Equipment – 0.4% |
| |||||||
Lam Research Corp., | ||||||||
2.800%, 6-15-21 | 1,500 | 1,536 | ||||||
|
| |||||||
Semiconductors – 0.3% |
| |||||||
Intel Corp., | ||||||||
2.450%, 7-29-20 | 1,000 | 1,040 | ||||||
|
| |||||||
Systems Software – 1.0% |
| |||||||
CA, Inc., | ||||||||
5.375%, 12-1-19 | 1,500 | 1,649 | ||||||
Microsoft Corp., | ||||||||
2.000%, 11-3-20 | 2,000 | 2,051 | ||||||
|
| |||||||
3,700 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.6% |
| |||||||
Apple, Inc., | ||||||||
1.550%, 2-7-20 | 2,500 | 2,519 | ||||||
|
| |||||||
Total Information Technology – 5.6% |
| 21,815 | ||||||
Materials |
| |||||||
Diversified Chemicals – 0.2% |
| |||||||
Dow Chemical Co. (The), | ||||||||
4.250%, 11-15-20 | 724 | 791 | ||||||
|
| |||||||
Specialty Chemicals – 0.5% |
| |||||||
Methanex Corp., | ||||||||
3.250%, 12-15-19 | 2,163 | 2,101 | ||||||
|
| |||||||
Total Materials – 0.7% |
| 2,892 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 1.7% |
| |||||||
AT&T, Inc.: | ||||||||
5.875%, 10-1-19 | 2,592 | 2,932 | ||||||
3.600%, 2-17-23 | 2,415 | 2,528 | ||||||
CC Holdings GS V LLC, | ||||||||
2.381%, 12-15-17 | 1,000 | 1,013 | ||||||
|
| |||||||
6,473 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Wireless Telecommunication Service – 1.5% |
| |||||||
American Tower Corp.: | ||||||||
3.300%, 2-15-21 | $ | 2,500 | $ | 2,608 | ||||
5.900%, 11-1-21 | 1,000 | 1,164 | ||||||
3.375%, 10-15-26 | 1,000 | 1,006 | ||||||
Crown Castle Towers LLC, | ||||||||
3.222%, 5-15-22 (A) | 1,000 | 1,039 | ||||||
|
| |||||||
5,817 | ||||||||
|
| |||||||
Total Telecommunication Services – 3.2% |
| 12,290 | ||||||
Utilities |
| |||||||
Electric Utilities – 1.9% |
| |||||||
Emera U.S. Finance L.P. (GTD by Emera U.S. Holdings, Inc.), | ||||||||
2.150%, 6-15-19 (A) | 1,000 | 1,011 | ||||||
Entergy Mississippi, Inc., | ||||||||
2.850%, 6-1-28 | 1,050 | 1,067 | ||||||
Entergy Texas, Inc., | ||||||||
2.550%, 6-1-21 | 1,275 | 1,317 | ||||||
Kansas City Power & Light Co., | ||||||||
7.150%, 4-1-19 | 2,590 | 2,977 | ||||||
National Rural Utilities Cooperative Finance Corp., | ||||||||
1.650%, 2-8-19 | 1,000 | 1,012 | ||||||
|
| |||||||
7,384 | ||||||||
|
| |||||||
Multi-Utilities – 1.1% |
| |||||||
Dominion Resources, Inc., | ||||||||
6.400%, 6-15-18 | 3,000 | 3,274 | ||||||
Dominion Resources, Inc., Series A, | ||||||||
1.400%, 9-15-17 | 1,000 | 999 | ||||||
|
| |||||||
4,273 | ||||||||
|
| |||||||
Total Utilities – 3.0% |
| 11,657 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 60.7% |
| $ | 234,400 | |||||
(Cost: $230,192) | ||||||||
MORTGAGE-BACKED SECURITIES | ||||||||
Non-Agency REMIC/CMO – 0.2% |
| |||||||
Bear Stearns Deutsche Bank Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-AFR1, Class C, | ||||||||
5.097%, 9-15-27 (A) | 640 | 712 | ||||||
|
| |||||||
Other – 0.2% |
| |||||||
CFCRE Commercial Mortgage Trust, Series 2015-RUM, Class B, | ||||||||
2.585%, 7-15-30 (A)(B) | 870 | 848 | ||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES – 0.4% | $ | 1,560 | ||||||
(Cost: $1,571) |
MUNICIPAL BONDS – TAXABLE | Principal | Value | ||||||
California – 0.7% |
| |||||||
Alameda Corridor Trans Auth, Taxable Sr Lien Rev Bonds, Ser 1999C, | ||||||||
6.500%, 10-1-19 | $ | 1,200 | $ | 1,305 | ||||
The Regents of the Univ of CA, Gen Rev Bonds, Ser 2013AH, | ||||||||
1.796%, 7-1-19 | 1,500 | 1,535 | ||||||
|
| |||||||
2,840 | ||||||||
|
| |||||||
TOTAL MUNICIPAL BONDS – TAXABLE – 0.7% |
| $ | 2,840 | |||||
(Cost: $2,805) | ||||||||
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | ||||||||
Agency Obligations – 3.2% |
| |||||||
Federal Home Loan Bank: | ||||||||
1.900%, 4-12-23 | 2,165 | 2,181 | ||||||
2.750%, 3-2-26 | 2,000 | 2,003 | ||||||
2.500%, 4-27-26 | 2,420 | 2,432 | ||||||
2.000%, 4-21-31 | 950 | 950 | ||||||
Ukraine Government AID Bond, | ||||||||
1.844%, 5-16-19 | 4,500 | 4,581 | ||||||
|
| |||||||
12,147 | ||||||||
|
| |||||||
Mortgage-Backed Obligations – 22.4% |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO: | ||||||||
2.699%, 5-25-18 | 1,047 | 1,072 | ||||||
3.669%, 2-25-22(A)(B) | 1,000 | 980 | ||||||
4.000%, 6-15-26 | 4,082 | 4,445 | ||||||
5.045%, 7-25-44(A)(B) | 1,100 | 1,149 | ||||||
5.116%, 8-25-44(A)(B) | 1,000 | 1,104 | ||||||
4.302%, 9-25-44(A)(B) | 2,000 | 2,071 | ||||||
4.490%, 12-25-44(A)(B) | 3,047 | 3,315 | ||||||
3.883%, 2-25-45(A)(B) | 1,906 | 1,969 | ||||||
4.344%, 1-25-46(A)(B) | 1,000 | 1,080 | ||||||
4.595%, 11-25-46(A)(B) | 1,557 | 1,713 | ||||||
4.436%, 7-25-48(A)(B) | 1,275 | 1,286 | ||||||
4.572%, 12-25-48(A)(B) | 3,625 | 3,917 | ||||||
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates: | ||||||||
3.000%, 8-1-28 | 3,752 | 3,941 | ||||||
3.000%, 9-1-28 | 3,653 | 3,837 | ||||||
3.500%, 10-1-28 | 4,254 | 4,512 | ||||||
3.000%, 11-1-29 | 1,640 | 1,728 | ||||||
4.500%, 8-1-30 | 1,186 | 1,302 | ||||||
3.000%, 1-15-42 | 1,102 | 1,147 | ||||||
2.500%, 5-15-44 | 972 | 1,010 | ||||||
Federal National Mortgage Association Agency REMIC/CMO: | ||||||||
2.990%, 11-1-18 | 1,700 | 1,773 | ||||||
3.000%, 2-25-25 | 2,360 | 2,494 | ||||||
3.510%, 4-25-29 | 2,500 | 2,550 | ||||||
2.375%, 2-24-31 | 1,500 | 1,503 | ||||||
2.000%, 4-25-39 | 1,210 | 1,213 | ||||||
2.000%, 6-25-39 | 4,038 | 4,096 | ||||||
2.000%, 4-25-40 | 1,224 | 1,237 | ||||||
2.500%, 11-25-45 | 3,409 | 3,511 |
70 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2016 (UNAUDITED)
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS (Continued) | Principal | Value | ||||||
Mortgage-Backed Obligations (Continued) |
| |||||||
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | ||||||||
4.580%, 6-1-19 | $ | 3,567 | $ | 3,877 | ||||
4.643%, 7-1-20 | 2,427 | 2,663 | ||||||
3.680%, 2-1-21 | 1,275 | 1,333 | ||||||
4.380%, 6-1-21 | 1,792 | 2,002 | ||||||
5.500%, 10-1-21 | 616 | 655 | ||||||
3.000%, 7-1-28 | 3,513 | 3,689 | ||||||
3.000%, 9-1-28 | 1,880 | 1,973 | ||||||
4.000%, 12-1-31 | 2,732 | 2,958 | ||||||
2.000%, 10-25-41 | 2,369 | 2,398 | ||||||
2.500%, 12-25-45 | 3,521 | 3,627 | ||||||
Government National Mortgage Association Agency REMIC/CMO, | ||||||||
2.000%, 3-16-42 | 1,531 | 1,535 | ||||||
|
| |||||||
86,665 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 25.6% |
| $ | 98,812 | |||||
(Cost: $97,360) |
UNITED STATES GOVERNMENT OBLIGATIONS | Principal | Value | ||||||
Treasury Obligations – 8.7% |
| |||||||
U.S. Treasury Notes: | ||||||||
0.625%, 9-30-17 | $ | 15,000 | $ | 15,016 | ||||
0.750%, 10-31-17 | 5,000 | 5,013 | ||||||
2.750%, 2-28-18 | 9,000 | 9,322 | ||||||
2.000%, 8-15-25 | 3,850 | 4,027 | ||||||
|
| |||||||
33,378 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 8.7% |
| $ | 33,378 | |||||
(Cost: $33,050) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Commercial Paper(C) – 0.8% |
| |||||||
Kroger Co. (The), | ||||||||
0.570%, 7-1-16 | 2,972 | 2,972 | ||||||
|
|
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Master Note – 0.3% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (D) | $ | 1,321 | $ | 1,321 | ||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.1% |
| $ | 4,293 | |||||
(Cost: $4,293) | ||||||||
TOTAL INVESTMENT SECURITIES – 97.9% |
| $ | 378,022 | |||||
(Cost: $371,969) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 2.1% |
| 8,251 | ||||||
NET ASSETS – 100.0% |
| $ | 386,273 |
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, 2016 the total value of these securities amounted to $61,288 or 15.9% of net assets. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. |
(C) | Rate shown is the yield to maturity at June 30, 2016. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. 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, 2016. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Asset-Backed Securities | $ | — | $ | 2,739 | $ | — | ||||||
Corporate Debt Securities | — | 234,400 | — | |||||||||
Mortgage-Backed Securities | — | 1,560 | — | |||||||||
Municipal Bonds | — | 2,840 | — | |||||||||
United States Government Agency Obligations | — | 98,812 | — | |||||||||
United States Government Obligations | — | 33,378 | — | |||||||||
Short-Term Securities | — | 4,293 | — | |||||||||
Total | $ | — | $ | 378,022 | $ | — |
During the period ended June 30, 2016, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
AID = Agency International Development
CMO = Collateralized Mortgage Obligation
GTD = Guaranteed
REIT = Real Estate Investment Trust
REMIC = Real Estate Mortgage Investment Conduit
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 71 |
Table of Contents
PORTFOLIO HIGHLIGHTS | MICRO CAP GROWTH |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 94.4% | |||
Information Technology | 25.7% | |||
Health Care | 25.2% | |||
Consumer Discretionary | 16.7% | |||
Telecommunication Services | 7.8% | |||
Industrials | 6.0% | |||
Financials | 4.0% | |||
Energy | 3.5% | |||
Materials | 3.0% | |||
Consumer Staples | 2.5% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 5.6% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
8x8, Inc. | Telecommunication Services | Alternative Carriers | ||
Tile Shop Holdings, Inc. | Consumer Discretionary | Home Improvement Retail | ||
SPS Commerce, Inc. | Information Technology | Internet Software & Services | ||
Flotek Industries, Inc. | Materials | Specialty Chemicals | ||
Nautilus Group, Inc. (The) | Consumer Discretionary | Leisure Products | ||
Cornerstone OnDemand, Inc. | Information Technology | Internet Software & Services | ||
LogMeIn, Inc. | Information Technology | Internet Software & Services | ||
Q2 Holdings, Inc. | Information Technology | Internet Software & Services | ||
MYR Group, Inc. | Industrials | Construction & Engineering | ||
Imprivata, Inc. | Health Care | Health Care Technology |
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.
72 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | MICRO CAP GROWTH (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Auto Parts & Equipment – 2.1% |
| |||||||
Motorcar Parts of America, Inc.(A) | 43 | $ | 1,177 | |||||
|
| |||||||
Broadcasting – 1.4% |
| |||||||
Entravision Communications Corp. | 114 | 769 | ||||||
|
| |||||||
Education Services – 1.8% |
| |||||||
2U, Inc.(A) | 35 | 1,023 | ||||||
|
| |||||||
Home Improvement Retail – 4.2% |
| |||||||
Tile Shop Holdings, Inc.(A) | 119 | 2,372 | ||||||
|
| |||||||
Leisure Products – 3.0% |
| |||||||
Nautilus Group, Inc. (The)(A) | 93 | 1,659 | ||||||
|
| |||||||
Restaurants – 2.2% |
| |||||||
Kona Grill, Inc.(A) | 74 | 794 | ||||||
Potbelly Corp.(A) | 34 | 427 | ||||||
|
| |||||||
1,221 | ||||||||
|
| |||||||
Specialty Stores – 2.0% |
| |||||||
DAVIDsTEA, Inc.(A) | 4 | 56 | ||||||
Sportsman’s Warehouse Holdings, Inc.(A) | 131 | 1,056 | ||||||
|
| |||||||
1,112 | ||||||||
|
| |||||||
Total Consumer Discretionary - 16.7% | 9,333 | |||||||
Consumer Staples |
| |||||||
Packaged Foods & Meats – 1.5% |
| |||||||
Inventure Foods, Inc.(A) | 105 | 818 | ||||||
|
| |||||||
Personal Products – 1.0% |
| |||||||
Inter Parfums, Inc. | 20 | 566 | ||||||
|
| |||||||
Total Consumer Staples - 2.5% | 1,384 | |||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 1.4% |
| |||||||
Natural Gas Services Group, Inc.(A) | 35 | 790 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 2.1% |
| |||||||
Earthstone Energy, Inc.(A) | 33 | 357 | ||||||
Laredo Petroleum Holdings, Inc.(A) | 35 | 367 | ||||||
Rice Energy, Inc.(A) | 52 | 455 | ||||||
|
| |||||||
1,179 | ||||||||
|
| |||||||
Total Energy - 3.5% | 1,969 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 2.0% |
| |||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 53 | $ | 1,136 | |||||
|
| |||||||
Health Care REITs – 1.4% |
| |||||||
Community Healthcare Trust, Inc. | 38 | 809 | ||||||
|
| |||||||
Mortgage REITs – 0.6% |
| |||||||
American Capital Mortgage Investment Corp. | 20 | 308 | ||||||
|
| |||||||
Total Financials - 4.0% | 2,253 | |||||||
Health Care |
| |||||||
Biotechnology – 1.1% |
| |||||||
Natera, Inc.(A) | 51 | 613 | ||||||
|
| |||||||
Health Care Equipment – 5.1% |
| |||||||
Avinger, Inc.(A) | 56 | 663 | ||||||
AxoGen, Inc.(A) | 55 | 375 | ||||||
K2M Group Holdings, Inc.(A) | 83 | 1,281 | ||||||
Oxford Immunotec Global plc(A) | 62 | 560 | ||||||
|
| |||||||
2,879 | ||||||||
|
| |||||||
Health Care Services – 2.7% |
| |||||||
Adeptus Health, Inc., Class A(A) | 16 | 826 | ||||||
American Renal Associates Holdings, Inc.(A) | 23 | 669 | ||||||
|
| |||||||
1,495 | ||||||||
|
| |||||||
Health Care Supplies – 4.8% |
| |||||||
Endologix, Inc.(A) | 109 | 1,358 | ||||||
ICU Medical, Inc.(A) | 12 | 1,308 | ||||||
|
| |||||||
2,666 | ||||||||
|
| |||||||
Health Care Technology – 6.1% |
| |||||||
Evolent Health, Inc., Class A(A) | 44 | 837 | ||||||
Imprivata, Inc.(A) | 98 | 1,369 | ||||||
Omnicell, Inc.(A) | 35 | 1,198 | ||||||
|
| |||||||
3,404 | ||||||||
|
| |||||||
Pharmaceuticals – 5.4% |
| |||||||
Aerie Pharmaceuticals, Inc.(A) | 47 | 834 | ||||||
Intersect ENT, Inc.(A) | 76 | 980 | ||||||
Intra-Cellular Therapies, Inc.(A) | 25 | 974 | ||||||
Revance Therapeutics, Inc.(A) | 16 | 215 | ||||||
|
| |||||||
3,003 | ||||||||
|
| |||||||
Total Health Care - 25.2% | 14,060 | |||||||
Industrials |
| |||||||
Building Products – 2.8% |
| |||||||
American Woodmark Corp.(A) | 10 | 677 | ||||||
PGT, Inc.(A) | 87 | 900 | ||||||
|
| |||||||
1,577 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Construction & Engineering – 2.5% |
| |||||||
MYR Group, Inc.(A) | 58 | $ | 1,390 | |||||
|
| |||||||
Heavy Electrical Equipment – 0.7% |
| |||||||
Power Solutions International, Inc.(A) | 22 | 398 | ||||||
|
| |||||||
Total Industrials - 6.0% | 3,365 | |||||||
Information Technology |
| |||||||
Application Software – 2.3% |
| |||||||
Zix Corp.(A) | 352 | 1,319 | ||||||
|
| |||||||
Communications Equipment – 1.1% |
| |||||||
Oclaro, Inc.(A) | 122 | 596 | ||||||
|
| |||||||
Electronic Manufacturing Services – 1.9% |
| |||||||
Mercury Computer Systems, Inc.(A) | 42 | 1,049 | ||||||
|
| |||||||
Internet Software & Services – 13.3% |
| |||||||
comScore, Inc.(A) | 39 | 937 | ||||||
Cornerstone OnDemand, Inc.(A) | 41 | 1,564 | ||||||
LogMeIn, Inc.(A) | 25 | 1,560 | ||||||
Q2 Holdings, Inc.(A) | 52 | 1,463 | ||||||
SPS Commerce, Inc.(A) | 31 | 1,897 | ||||||
|
| |||||||
7,421 | ||||||||
|
| |||||||
Semiconductor Equipment – 1.9% |
| |||||||
PDF Solutions, Inc.(A) | 76 | 1,060 | ||||||
|
| |||||||
Semiconductors – 4.2% |
| |||||||
Acacia Communications, Inc.(A) | 26 | 1,049 | ||||||
NVE Corp. | 23 | 1,331 | ||||||
|
| |||||||
2,380 | ||||||||
|
| |||||||
Systems Software – 1.0% |
| |||||||
SecureWorks Corp., Class A(A) | 39 | 556 | ||||||
|
| |||||||
Total Information Technology - 25.7% | 14,381 | |||||||
Materials |
| |||||||
Specialty Chemicals – 3.0% |
| |||||||
Flotek Industries, Inc.(A) | 126 | 1,660 | ||||||
|
| |||||||
Total Materials - 3.0% | 1,660 | |||||||
Telecommunication Services |
| |||||||
Alternative Carriers – 4.4% |
| |||||||
8x8, Inc.(A) | 170 | 2,479 | ||||||
|
| |||||||
Integrated Telecommunication Services – 1.9% |
| |||||||
GTT Communications, Inc.(A) | 58 | 1,076 | ||||||
|
| |||||||
Wireless Telecommunication Service – 1.5% |
| |||||||
RingCentral, Inc., Class A(A) | 42 | 830 | ||||||
|
| |||||||
Total Telecommunication Services – 7.8% |
| 4,385 |
2016 | SEMIANNUAL REPORT | 73 |
Table of Contents
SCHEDULE OF INVESTMENTS | MICRO CAP GROWTH (in thousands) |
JUNE 30, 2016 (UNAUDITED
COMMON STOCKS (Continued) | Shares | Value | ||||||
TOTAL COMMON STOCKS – 94.4% | $ | 52,790 | ||||||
(Cost: $48,428) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note - 5.4% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (B) | $ | 3,003 | 3,003 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 5.4% | $ | 3,003 | ||||||
(Cost: $3,003) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.8% | $ | 55,793 | ||||||
(Cost: $51,431) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2% | 129 | |||||||
NET ASSETS – 100.0% | $ | 55,922 |
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, 2016. 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, 2016. 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 | $ | 52,790 | $ | — | $ | — | ||||||
Short-Term Securities | — | 3,003 | — | |||||||||
Total | $ | 52,790 | $ | 3,003 | $ | — |
During the period ended June 30, 2016, 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.
74 | SEMIANNUAL REPORT | 2016 |
Table of Contents
PORTFOLIO HIGHLIGHTS | MID CAP GROWTH |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 98.4% | |||
Consumer Discretionary | 20.6% | |||
Information Technology | 19.6% | |||
Health Care | 17.9% | |||
Industrials | 15.8% | |||
Financials | 10.6% | |||
Consumer Staples | 7.5% | |||
Energy | 5.2% | |||
Materials | 1.2% | |||
Purchased Options | 0.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.6% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Fastenal Co. | Industrials | Trading Companies & Distributors | ||
Intuitive Surgical, Inc. | Health Care | Health Care Equipment | ||
Zoetis, Inc. | Health Care | Pharmaceuticals | ||
CoStar Group, Inc. | Industrials | Research & Consulting Services | ||
Mead Johnson Nutrition Co. | Consumer Staples | Packaged Foods & Meats | ||
Microchip Technology, Inc. | Information Technology | Semiconductors | ||
Electronic Arts, Inc. | Information Technology | Home Entertainment Software | ||
CME Group, Inc. | Financials | Specialized Finance | ||
Northern Trust Corp. | Financials | Asset Management & Custody Banks | ||
Fortune Brands Home & Security, Inc. | Industrials | Building Products |
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.
2016 | SEMIANNUAL REPORT | 75 |
Table of Contents
SCHEDULE OF INVESTMENTS | MID CAP GROWTH (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 1.0% |
| |||||||
DSW, Inc., Class A | 295 | $ | 6,250 | |||||
|
| |||||||
Apparel, Accessories & Luxury Goods – 3.7% |
| |||||||
Burberry Group plc (A) | 361 | 5,618 | ||||||
Kate Spade & Co. (B) | 314 | 6,479 | ||||||
lululemon athletica, Inc. (B) | 103 | 7,636 | ||||||
Under Armour, Inc., Class A (B) | 66 | 2,666 | ||||||
|
| |||||||
22,399 | ||||||||
|
| |||||||
Auto Parts & Equipment – 1.3% |
| |||||||
BorgWarner, Inc. | 261 | 7,714 | ||||||
|
| |||||||
Homebuilding – 1.7% |
| |||||||
D.R. Horton, Inc. | 324 | 10,210 | ||||||
|
| |||||||
Homefurnishing Retail – 2.7% |
| |||||||
Bed Bath & Beyond, Inc. | 182 | 7,886 | ||||||
Williams-Sonoma, Inc. | 156 | 8,112 | ||||||
|
| |||||||
15,998 | ||||||||
|
| |||||||
Internet Retail – 1.1% |
| |||||||
TripAdvisor, Inc. (B) | 98 | 6,312 | ||||||
|
| |||||||
Leisure Products – 3.8% |
| |||||||
Mattel, Inc. (C) | 385 | 12,062 | ||||||
Polaris Industries, Inc. | 128 | 10,457 | ||||||
|
| |||||||
22,519 | ||||||||
|
| |||||||
Restaurants – 1.9% |
| |||||||
Dunkin’ Brands Group, Inc. (C) | 258 | 11,242 | ||||||
|
| |||||||
Specialty Stores – 3.4% |
| |||||||
Tiffany & Co. | 136 | 8,240 | ||||||
Tractor Supply Co. | 136 | 12,396 | ||||||
|
| |||||||
20,636 | ||||||||
|
| |||||||
Total Consumer Discretionary – 20.6% |
| 123,280 | ||||||
Consumer Staples |
| |||||||
Food Retail – 1.8% |
| |||||||
Whole Foods Market, Inc. | 341 | 10,909 | ||||||
|
| |||||||
Packaged Foods & Meats – 5.7% |
| |||||||
Blue Buffalo Pet Products, Inc. (B) | 253 | 5,897 | ||||||
Hain Celestial Group, Inc. (The) (B) | 239 | 11,904 | ||||||
Mead Johnson Nutrition Co. (C) | 176 | 15,981 | ||||||
|
| |||||||
33,782 | ||||||||
|
| |||||||
Total Consumer Staples – 7.5% | 44,691 | |||||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 5.2% |
| |||||||
Cabot Oil & Gas Corp. | 271 | 6,968 | ||||||
Cimarex Energy Co. | 62 | 7,452 | ||||||
Continental Resources, Inc. (B) | 221 | 9,990 | ||||||
Noble Energy, Inc. | 188 | 6,749 | ||||||
|
| |||||||
31,159 | ||||||||
|
| |||||||
Total Energy – 5.2% | 31,159 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 3.3% |
| |||||||
Northern Trust Corp. | 220 | $ | 14,589 | |||||
Oaktree Capital Group LLC | 115 | 5,152 | ||||||
|
| |||||||
19,741 | ||||||||
|
| |||||||
Insurance Brokers – 1.5% |
| |||||||
Willis Towers Watson plc | 74 | 9,163 | ||||||
|
| |||||||
Regional Banks – 3.3% |
| |||||||
First Republic Bank | 149 | 10,407 | ||||||
Signature Bank (B) | 76 | 9,536 | ||||||
|
| |||||||
19,943 | ||||||||
|
| |||||||
Specialized Finance – 2.5% |
| |||||||
CME Group, Inc. | 152 | 14,823 | ||||||
|
| |||||||
Total Financials – 10.6% | 63,670 | |||||||
Health Care |
| |||||||
Biotechnology – 4.4% |
| |||||||
ACADIA Pharmaceuticals, Inc. (B) | 138 | 4,480 | ||||||
Alkermes plc (B) | 190 | 8,227 | ||||||
BioMarin Pharmaceutical, Inc. (B) | 101 | 7,874 | ||||||
Medivation, Inc. (B) | 100 | 6,027 | ||||||
|
| |||||||
26,608 | ||||||||
|
| |||||||
Health Care Distributors – 1.0% |
| |||||||
Henry Schein, Inc. (B) | 34 | 6,057 | ||||||
|
| |||||||
Health Care Equipment – 4.8% |
| |||||||
Edwards Lifesciences Corp. (B) | 108 | 10,745 | ||||||
Intuitive Surgical, Inc. (B) | 27 | 18,029 | ||||||
|
| |||||||
28,774 | ||||||||
|
| |||||||
Health Care Facilities – 0.9% |
| |||||||
Acadia Healthcare Co., Inc. (B) | 92 | 5,106 | ||||||
|
| |||||||
Health Care Services – 2.3% |
| |||||||
Diplomat Pharmacy, Inc. (B) | 133 | 4,648 | ||||||
Laboratory Corp. of America Holdings (B) | 69 | 8,966 | ||||||
|
| |||||||
13,614 | ||||||||
|
| |||||||
Health Care Supplies – 1.6% |
| |||||||
Align Technology, Inc. (B) | 121 | 9,776 | ||||||
|
| |||||||
Pharmaceuticals – 2.9% |
| |||||||
Zoetis, Inc. | 367 | 17,400 | ||||||
|
| |||||||
Total Health Care – 17.9% | 107,335 | |||||||
Industrials |
| |||||||
Air Freight & Logistics – 2.0% |
| |||||||
Expeditors International of Washington, Inc. | 242 | 11,870 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Building Products – 3.1% |
| |||||||
A. O. Smith Corp. | 61 | $ | 5,411 | |||||
Fortune Brands Home & Security, Inc. (C) | 233 | 13,492 | ||||||
|
| |||||||
18,903 | ||||||||
|
| |||||||
Electrical Components & Equipment – 0.8% |
| |||||||
Generac Holdings, Inc. (B) | 144 | 5,034 | ||||||
|
| |||||||
Industrial Machinery – 2.3% |
| |||||||
IDEX Corp. | 108 | 8,897 | ||||||
Woodward, Inc. | 85 | 4,911 | ||||||
|
| |||||||
13,808 | ||||||||
|
| |||||||
Research & Consulting Services – 4.3% |
| |||||||
CoStar Group, Inc. (B) | 75 | 16,376 | ||||||
Verisk Analytics, Inc., Class A (B) | 115 | 9,308 | ||||||
|
| |||||||
25,684 | ||||||||
|
| |||||||
Trading Companies & Distributors – 3.3% |
| |||||||
Fastenal Co. (C) | 441 | 19,596 | ||||||
|
| |||||||
Total Industrials – 15.8% | 94,895 | |||||||
Information Technology |
| |||||||
Application Software – 3.4% |
| |||||||
ANSYS, Inc. (B) | 95 | 8,641 | ||||||
Ellie Mae, Inc. (B) | 52 | 4,782 | ||||||
Guidewire Software, Inc. (B) | 107 | 6,606 | ||||||
|
| |||||||
20,029 | ||||||||
|
| |||||||
Communications Equipment – 1.6% |
| |||||||
Harris Corp. | 116 | 9,663 | ||||||
|
| |||||||
Electronic Manufacturing Services – 1.8% |
| |||||||
Trimble Navigation Ltd. (B) | 435 | 10,606 | ||||||
|
| |||||||
Home Entertainment Software – 2.5% |
| |||||||
Electronic Arts, Inc. (B)(C) | 198 | 15,035 | ||||||
|
| |||||||
Internet Software & Services – 3.4% |
| |||||||
Akamai Technologies, Inc. (B) | 55 | 3,086 | ||||||
GrubHub, Inc. (B) | 253 | 7,874 | ||||||
Pandora Media, Inc. (B) | 771 | 9,597 | ||||||
|
| |||||||
20,557 | ||||||||
|
| |||||||
Semiconductors – 3.7% |
| |||||||
Maxim Integrated Products, Inc. | 170 | 6,066 | ||||||
Microchip Technology, Inc. | 313 | 15,873 | ||||||
Monolithic Power Systems, Inc. | 7 | 484 | ||||||
|
| |||||||
22,423 | ||||||||
|
| |||||||
Systems Software – 3.2% |
| |||||||
Red Hat, Inc. (B) | 123 | 8,905 | ||||||
ServiceNow, Inc. (B) | 156 | 10,327 | ||||||
|
| |||||||
19,232 | ||||||||
|
| |||||||
Total Information Technology – 19.6% |
| 117,545 |
76 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | MID CAP GROWTH (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS (Continued) | Shares | Value | ||||||
Materials |
| |||||||
Fertilizers & Agricultural Chemicals – 1.2% |
| |||||||
Scotts Miracle-Gro Co. (The) | 100 | $ | 6,984 | |||||
|
| |||||||
Total Materials – 1.2% |
| 6,984 | ||||||
TOTAL COMMON STOCKS – 98.4% |
| $ | 589,559 | |||||
(Cost: $558,907) | ||||||||
PURCHASED OPTIONS | Number of Contracts (Unrounded) | |||||||
Alkermes plc, | ||||||||
Put $38.00, Expires 8-19-16, OTC (Ctrpty: Goldman Sachs International) | 655 | 72 | ||||||
|
| |||||||
TOTAL PURCHASED OPTIONS – 0.0% |
| $ | 72 | |||||
(Cost: $186) |
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper (D) – 0.7% |
| |||||||
Kroger Co. (The), | ||||||||
0.570%, 7-1-16 | $ | 4,239 | $ | 4,239 | ||||
|
| |||||||
Master Note – 1.0% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (E) | 5,961 | 5,961 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.7% |
| $ | 10,200 | |||||
(Cost: $10,200) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.1% |
| $ | 599,831 | |||||
(Cost: $569,293) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.1)% |
| (440 | ) | |||||
NET ASSETS – 100.0% |
| $ | 599,391 |
Notes to Schedule of Investments
(A) | Listed on an exchange outside the United States. |
(B) | No dividends were paid during the preceding 12 months. |
(C) | All or a portion of securities with an aggregate value of $1,509 are held in collateralized accounts for OTC derivatives collateral and is governed by International Swaps and Derivatives Association, Inc. Master Agreements. |
(D) | Rate shown is the yield to maturity at June 30, 2016. |
(E) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. Date shown represents the date that the variable rate resets. |
The following written options were outstanding at June 30, 2016 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Expiration Month | Exercise Price | Premium Received | Value | |||||||||||||||||||
Alkermes plc | Goldman Sachs International | Put | 655 | August 2016 | $30.00 | $ | 36 | $ | (8 | ) | ||||||||||||||||
Goldman Sachs International | Call | 655 | August 2016 | 52.00 | 89 | (42 | ) | |||||||||||||||||||
Pacira Pharmaceuticals, Inc. | Goldman Sachs International | Put | 329 | August 2016 | 85.00 | 920 | (1,694 | ) | ||||||||||||||||||
Signature Bank | Citibank N.A. | Call | 394 | September 2016 | 145.00 | 172 | (36 | ) | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||
$ | 1,217 | $ | (1,780 | ) | ||||||||||||||||||||||
|
|
|
|
2016 | SEMIANNUAL REPORT | 77 |
Table of Contents
SCHEDULE OF INVESTMENTS | MID CAP GROWTH (in thousands) |
JUNE 30, 2016 (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, 2016. 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 | $ | 117,662 | $ | 5,618 | $ | — | ||||||
Consumer Staples | 44,691 | — | — | |||||||||
Energy | 31,159 | — | — | |||||||||
Financials | 63,670 | — | — | |||||||||
Health Care | 107,335 | — | — | |||||||||
Industrials | 94,895 | — | — | |||||||||
Information Technology | 117,545 | — | — | |||||||||
Materials | 6,984 | — | — | |||||||||
Total Common Stocks | $ | 583,941 | $ | 5,618 | $ | — | ||||||
Purchased Options | — | 72 | — | |||||||||
Short-Term Securities | — | 10,200 | — | |||||||||
Total | $ | 583,941 | $ | 15,890 | $ | — | ||||||
Liabilities | ||||||||||||
Written Options | $ | — | $ | 1,780 | $ | — |
During the period ended June 30, 2016, securities totaling $5,362 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on June 30, 2016. Transfers out of Level 1 represent the values as of the beginning of the reporting period.
The following acronym is used throughout this schedule:
OTC = Over the Counter
See Accompanying Notes to Financial Statements.
78 | SEMIANNUAL REPORT | 2016 |
Table of Contents
PORTFOLIO HIGHLIGHTS | MONEY MARKET |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Corporate Obligations | 63.9% | |||
Commercial Paper | 40.8% | |||
Certificate Of Deposit | 10.8% | |||
Notes | 10.4% | |||
Master Note | 1.9% | |||
Municipal Obligations | 19.2% | |||
United States Government and Government Agency Obligations | 16.9% | |||
Cash and Other Assets (Net of Liabilities) | 0.0% |
2016 | SEMIANNUAL REPORT | 79 |
Table of Contents
SCHEDULE OF INVESTMENTS | MONEY MARKET (in thousands) |
JUNE 30, 2016 (UNAUDITED)
CORPORATE OBLIGATIONS | Principal | Value | ||||||
Certificate Of Deposit |
| |||||||
Banco del Estado de Chile: | ||||||||
0.800%, 7-14-16 (A) | $ | 6,300 | $ | 6,300 | ||||
0.800%, 7-22-16 (A) | 9,500 | 9,500 | ||||||
Bank of America N.A., | ||||||||
0.670%, 7-6-16 | 6,000 | 6,000 | ||||||
Bank of Montreal: | ||||||||
0.800%, 7-7-16 (A) | 6,200 | 6,200 | ||||||
0.790%, 7-17-16 (A) | 5,000 | 5,000 | ||||||
Bank of Nova Scotia (The), | ||||||||
0.800%, 7-19-16 (A) | 8,500 | 8,500 | ||||||
BMO Harris Bank N.A., | ||||||||
0.790%, 7-7-16 (A) | 8,500 | 8,500 | ||||||
Toyota Motor Credit Corp., | ||||||||
0.750%, 7-18-16 (A) | 8,500 | 8,500 | ||||||
|
| |||||||
Total Certificate Of Deposit – 10.8% |
| 58,500 | ||||||
Commercial Paper (B) |
| |||||||
Air Products and Chemicals, Inc., | ||||||||
0.460%, 7-13-16 | 1,500 | 1,500 | ||||||
American Honda Finance Corp. (GTD by Honda Motor Co.): | ||||||||
0.510%, 8-4-16 | 4,000 | 3,998 | ||||||
0.530%, 8-22-16 | 6,525 | 6,520 | ||||||
Archer Daniels Midland Co., | ||||||||
0.420%, 7-18-16 | 2,250 | 2,249 | ||||||
BMW U.S. Capital LLC (GTD by BMW AG), | ||||||||
0.500%, 8-9-16 | 3,700 | 3,698 | ||||||
BorgWarner, Inc., | ||||||||
0.650%, 7-1-16 | 2,685 | 2,685 | ||||||
Caterpillar Financial Services Corp. (GTD by Caterpillar, Inc.), | ||||||||
0.490%, 7-27-16 | 4,500 | 4,498 | ||||||
Coca-Cola Co. (The), | ||||||||
0.710%, 10-13-16 | 10,000 | 9,979 | ||||||
Corporacion Andina de Fomento: | ||||||||
0.810%, 10-5-16 | 7,400 | 7,384 | ||||||
0.810%, 10-14-16 | 10,600 | 10,575 | ||||||
CVS Health Corp., | ||||||||
0.630%, 7-1-16 | 2,675 | 2,675 | ||||||
DTE Energy Co. (GTD by Detroit Edison Co.), | ||||||||
0.700%, 7-7-16 | 2,675 | 2,675 | ||||||
Essilor International S.A.: | ||||||||
0.450%, 7-11-16 | 4,700 | 4,699 | ||||||
0.570%, 7-18-16 | 7,800 | 7,798 | ||||||
0.560%, 7-19-16 | 6,400 | 6,398 | ||||||
0.630%, 8-8-16 | 3,500 | 3,498 | ||||||
0.620%, 9-14-16 | 1,500 | 1,498 | ||||||
GlaxoSmithKline Finance plc (GTD by GlaxoSmithKline plc): | ||||||||
0.410%, 7-14-16 | 4,000 | 3,999 | ||||||
0.430%, 7-18-16 | 11,000 | 10,998 | ||||||
0.630%, 8-22-16 | 6,700 | 6,694 | ||||||
J.M. Smucker Co. (The), | ||||||||
0.620%, 7-6-16 | 2,675 | 2,675 | ||||||
Kroger Co. (The), | ||||||||
0.650%, 7-6-16 | 2,675 | 2,675 | ||||||
Malayan Banking Berhad (GTD by Wells Fargo Bank N.A.): | ||||||||
0.580%, 7-26-16 | 1,200 | 1,199 | ||||||
0.720%, 8-4-16 | 5,250 | 5,246 |
CORPORATE OBLIGATIONS (Continued) | Principal | Value | ||||||
Commercial Paper (B) (Continued) |
| |||||||
0.660%, 8-8-16 | $ | 6,100 | $ | 6,096 | ||||
0.740%, 8-17-16 | 3,600 | 3,596 | ||||||
0.680%, 10-4-16 | 4,575 | 4,567 | ||||||
Northern Illinois Gas Co., | ||||||||
0.420%, 7-1-16 | 4,653 | 4,653 | ||||||
Pfizer, Inc., | ||||||||
0.500%, 8-15-16 | 2,000 | 1,999 | ||||||
Rabobank Nederland, | ||||||||
0.800%, 10-12-16 | 7,650 | 7,632 | ||||||
River Fuel Funding Co. #3, Inc. (GTD by Bank of Nova Scotia), | ||||||||
0.640%, 7-29-16 | 26,859 | 26,845 | ||||||
Rockwell Automation, Inc.: | ||||||||
0.440%, 7-5-16 | 5,169 | 5,169 | ||||||
0.610%, 7-6-16 | 6,000 | 6,000 | ||||||
0.420%, 7-11-16 | 7,500 | 7,499 | ||||||
0.430%, 7-21-16 | 2,000 | 1,999 | ||||||
St. Jude Medical, Inc., | ||||||||
0.650%, 7-1-16 | 2,675 | 2,675 | ||||||
Total Capital Canada Ltd. (GTD by Total S.A.), | ||||||||
0.560%, 7-21-16 | 6,955 | 6,953 | ||||||
Toyota Motor Credit Corp., | ||||||||
0.690%, 7-15-16 (A) | 8,000 | 8,000 | ||||||
Wisconsin Electric Power Co.: | ||||||||
0.450%, 7-6-16 | 4,000 | 4,000 | ||||||
0.600%, 7-7-16 | 5,500 | 5,499 | ||||||
Wisconsin Gas LLC, | ||||||||
0.430%, 7-11-16 | 1,500 | 1,500 | ||||||
|
| |||||||
Total Commercial Paper – 40.8% |
| 220,495 | ||||||
Master Note |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (A) | 10,189 | 10,189 | ||||||
|
| |||||||
Total Master Note – 1.9% |
| 10,189 | ||||||
Notes |
| |||||||
Banco del Estado de Chile, | ||||||||
0.800%, 7-26-16 (A) | 11,000 | 11,000 | ||||||
Bank of Nova Scotia (The), | ||||||||
1.150%, 7-15-16 (A) | 4,000 | 4,001 | ||||||
BMO Harris Bank N.A., | ||||||||
0.900%, 7-18-16 (A) | 7,000 | 7,000 | ||||||
JPMorgan Chase Bank N.A.: | ||||||||
0.840%, 7-22-16 (A) | 1,650 | 1,650 | ||||||
0.880%, 9-7-16 (A) | 4,750 | 4,750 | ||||||
Royal Bank of Canada: | ||||||||
0.880%, 7-14-16 (A) | 4,500 | 4,501 | ||||||
0.850%, 7-20-16 | 2,113 | 2,115 | ||||||
0.670%, 9-6-16 (A) | 2,500 | 2,499 | ||||||
Wells Fargo Bank N.A.: | ||||||||
0.700%, 7-20-16 (A) | 3,000 | 3,000 | ||||||
0.720%, 7-20-16 (A) | 7,500 | 7,500 | ||||||
0.780%, 8-9-16 (A) | 3,500 | 3,500 | ||||||
0.770%, 9-14-16 (A) | 4,500 | 4,500 | ||||||
|
| |||||||
Total Notes – 10.4% |
| 56,016 | ||||||
TOTAL CORPORATE OBLIGATIONS – 63.9% |
| $ | 345,200 | |||||
(Cost: $345,200) |
MUNICIPAL OBLIGATIONS | Principal | Value | ||||||
California – 4.1% |
| |||||||
CA Hlth Fac Fin Auth, Var Rate Hosp Rev Bonds (Adventist Hlth Sys/West), Ser 1998B (GTD by U.S. Bank N.A.), | ||||||||
0.360%, 7-1-16 (A) | $ | 700 | $ | 700 | ||||
CA Muni Fin Auth, Recovery Zone Fac Bonds (Chevron USA, Inc. Proj), Ser 2010C (GTD by Chevron Corp.), | ||||||||
0.340%, 7-1-16 (A) | 4,314 | 4,314 | ||||||
CA Pollutn Ctl Fin Auth, Pollutn Ctl Rfdg Rev Bonds (Pacific Gas and Elec Co.), Ser C (GTD by TD Bank N.A.), | ||||||||
0.420%, 7-1-16 (A) | 1,200 | 1,200 | ||||||
CA Statewide Cmnty Dev Auth, Multifam Hsng Rev Bonds (Wyndover Apts), Ser 2004 LL (GTD by FNMA), | ||||||||
0.450%, 7-7-16 (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 FNMA), | ||||||||
0.450%, 7-7-16 (A) | 8,700 | 8,700 | ||||||
San Francisco City and Cnty, Pub Util Comnty Water Rev, Series A1T (Taxable), (GTD by Royal Bank of Canada), | ||||||||
0.550%, 7-19-16 | 5,000 | 5,000 | ||||||
|
| |||||||
22,146 | ||||||||
|
| |||||||
Colorado – 1.2% |
| |||||||
Castle Rock, CO, Cert of Part, Ser 2008 (GTD by Wells Fargo Bank N.A.), | ||||||||
0.450%, 7-7-16 (A) | 1,200 | 1,200 | ||||||
CO Hsng and Fin Auth, Multifam Hsng Rev Bonds (Greentree Vlg Apts Proj), Ser 2007 (GTD by U.S. Bank N.A.), | ||||||||
0.450%, 7-7-16 (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.), | ||||||||
0.430%, 7-7-16 (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.): | ||||||||
0.450%, 7-7-16 (A) | 1,500 | 1,500 | ||||||
0.620%, 7-7-16 (A) | 550 | 550 | ||||||
|
| |||||||
6,600 | ||||||||
|
| |||||||
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.), | ||||||||
0.410%, 7-1-16 (A) | 3,060 | 3,060 | ||||||
|
|
80 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | MONEY MARKET (in thousands) |
JUNE 30, 2016 (UNAUDITED)
MUNICIPAL OBLIGATIONS (Continued) | Principal | Value | ||||||
Georgia – 2.6% |
| |||||||
Muni Elec Auth GA, Gen Resolution Proj Bond Anticipation Notes, Ser B (Taxable), (GTD by TD Bank), | ||||||||
0.450%, 7-12-16 | $ | 2,052 | $ | 2,052 | ||||
Muni Elec Auth GA, Gen Resolution Proj Bond Anticipation Notes, Ser A (Taxable), (GTD by Wells Fargo Bank N.A.), | ||||||||
0.450%, 7-7-16 | 12,000 | 12,000 | ||||||
|
| |||||||
14,052 | ||||||||
|
| |||||||
Illinois – 0.3% |
| |||||||
Elmhurst, IL, Adj Demand Rev Bonds, Joint Comsn on Accred of Hlthcare Org (GTD by JPMorgan Chase Bank N.A.), | ||||||||
0.420%, 7-7-16 (A) | 460 | 460 | ||||||
IL Fin Auth, Var Rate Demand Rev Bonds (The Univ of Chicago Med Ctr), Ser D (GTD by JPMorgan Chase & Co.), | ||||||||
0.370%, 7-1-16 (A) | 1,000 | 1,000 | ||||||
|
| |||||||
1,460 | ||||||||
|
| |||||||
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), | ||||||||
0.400%, 7-1-16 (A) | 960 | 960 | ||||||
|
| |||||||
Louisiana – 1.5% |
| |||||||
LA Pub Fac Auth, Rev Bonds (Air Products and Chemicals Proj), Ser 2009A (GTD by Air Products and Chemicals, Inc.), | ||||||||
0.400%, 7-7-16 (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.), | ||||||||
0.400%, 7-1-16 (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.), | ||||||||
0.390%, 7-1-16 (A) | 1,600 | 1,600 | ||||||
|
| |||||||
7,891 | ||||||||
|
| |||||||
Maryland – 0.3% |
| |||||||
MD Hlth and Higher Edu Fac Auth Rev Bonds, Anne Arundel Hlth Sys Issue, Ser 2009A (GTD by TD Bank N.A.), | ||||||||
0.390%, 7-7-16 (A) | 1,370 | 1,370 | ||||||
|
|
MUNICIPAL OBLIGATIONS (Continued) | Principal | Value | ||||||
Michigan – 0.4% |
| |||||||
MI Strategic Fund, Var Rate Demand Ltd. Oblig Rev Bonds (Air Prods and Chemicals, Inc. Proj), Ser 2007 (GTD by Air Prods and Chemicals, Inc.), | ||||||||
0.400%, 7-1-16 (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), (GTD by U.S. Bank N.A.), | ||||||||
0.420%, 7-7-16 (A) | 2,000 | 2,000 | ||||||
|
| |||||||
Missouri – 0.2% |
| |||||||
Kansas City, MO, Var Rate Demand Taxable Spl Oblig Rfdg Bonds (President Hotel Redev Proj), Ser 2009B (GTD by JPMorgan Chase & Co.), | ||||||||
0.450%, 7-7-16 (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.), | ||||||||
0.420%, 7-7-16 (A) | 3,200 | 3,200 | ||||||
Trap Rock Industries, Inc., Var Demand Bonds, Ser 2005 (GTD by Wachovia Bank N.A.), | ||||||||
0.450%, 7-7-16 (A) | 547 | 547 | ||||||
|
| |||||||
3,747 | ||||||||
|
| |||||||
New York – 1.4% |
| |||||||
NY Hsng Fin Agy, Related-Caroline Apt Hsng Rev Bonds, Ser 2008A (GTD by FHLMC), | ||||||||
0.450%, 7-7-16 (A) | 2,400 | 2,400 | ||||||
NY State Hsng Fin Agy, Maestro West Chelsea Hsng Rev Bonds, Ser 2015B (GTD by Wells Fargo Bank N.A.), | ||||||||
0.430%, 7-7-16 (A) | 1,000 | 1,000 | ||||||
NYC GO Bonds, Fiscal 2006 Ser E (GTD by Bank of America N.A.), | ||||||||
0.410%, 7-7-16 (A) | 4,100 | 4,100 | ||||||
|
| |||||||
7,500 | ||||||||
|
| |||||||
Ohio – 0.3% |
| |||||||
Columbus Rgnl Arpt Auth, Cap Funding Rev Bonds (OASBO Expanded Asset Pooled Fin Prog), Sr Ser 2006 (GTD by U.S. Bank N.A.), | ||||||||
0.420%, 7-7-16 (A) | 1,700 | 1,700 | ||||||
|
|
MUNICIPAL OBLIGATIONS (Continued) | Principal | Value | ||||||
Oregon – 0.1% |
| |||||||
Hosp Fac Auth of Clackamas Cnty, OR, Rev Bonds (Legacy Hlth Sys), Ser 2008B (GTD by U.S. Bank N.A.), | ||||||||
0.400%, 7-7-16 (A) | $ | 700 | $ | 700 | ||||
|
| |||||||
South Dakota – 0.7% |
| |||||||
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.), | ||||||||
0.430%, 7-7-16 (A) | 3,700 | 3,700 | ||||||
|
| |||||||
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.), | ||||||||
0.410%, 7-7-16 (A) | 5,500 | 5,500 | ||||||
|
| |||||||
Texas – 2.1% |
| |||||||
Port Arthur Nav Dist Indl Dev Corp., Exempt Fac Var Rate Rev Bonds (Air Products Proj), Ser 2006 (GTD by Air Products and Chemicals, Inc.), | ||||||||
0.400%, 7-1-16 (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.), | ||||||||
0.400%, 7-1-16 (A) | 2,250 | 2,250 | ||||||
|
| |||||||
11,470 | ||||||||
|
| |||||||
Wisconsin – 0.7% |
| |||||||
WI Hlth and Edu Fac Auth, Var Rate Demand Rev Bonds (Wausau Hosp, Inc.), Ser 1998B (GTD by JPMorgan Chase Bank N.A.), | ||||||||
0.400%, 7-7-16 (A) | 4,000 | 4,000 | ||||||
|
| |||||||
Wyoming – 0.4% |
| |||||||
Uinta Cnty, WY, Pollutn Ctl Rfdg Rev Bonds (Chevron USA, Inc. Proj), Ser 1992 (GTD by Chevron Corp.), | ||||||||
0.390%, 7-1-16 (A) | 2,381 | 2,381 | ||||||
|
| |||||||
TOTAL MUNICIPAL OBLIGATIONS – 19.2% |
| $ | 103,477 | |||||
(Cost: $103,477) | ||||||||
UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | ||||||||
Treasury Notes – 1.5% |
| |||||||
U.S. Treasury Notes, | ||||||||
0.430%, 7-2-16 (A) | 8,000 | 7,983 | ||||||
|
|
2016 | SEMIANNUAL REPORT | 81 |
Table of Contents
SCHEDULE OF INVESTMENTS | MONEY MARKET (in thousands) |
JUNE 30, 2016 (UNAUDITED)
UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Continued) | Principal | Value | ||||||
United States Government Agency Obligations – 15.4% |
| |||||||
Federal Home Loan Bank, | ||||||||
0.720%, 2-17-17 | $ | 6,200 | $ | 6,200 | ||||
Overseas Private Investment Corp. (GTD by U.S. Government): | ||||||||
0.350%, 7-6-16 (A) | 800 | 800 | ||||||
0.360%, 7-6-16 (A) | 6,591 | 6,590 | ||||||
0.410%, 7-6-16 (A) | 10,967 | 10,967 | ||||||
0.420%, 7-6-16 (A) | 2,000 | 2,000 | ||||||
0.350%, 7-7-16 (A) | 4,300 | 4,300 | ||||||
0.360%, 7-7-16 (A) | 13,552 | 13,552 | ||||||
0.390%, 7-7-16 (A) | 8,100 | 8,100 | ||||||
0.410%, 7-7-16 (A) | 11,900 | 11,900 | ||||||
0.420%, 7-7-16 (A) | 18,619 | 18,619 | ||||||
|
| |||||||
83,028 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS – 16.9% |
| $ | 91,011 | |||||
(Cost: $91,011) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 539,688 | |||||
(Cost: $539,688) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0% |
| 220 | ||||||
NET ASSETS – 100.0% |
| $ | 539,908 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. Date shown represents the date that the variable rate resets. |
(B) | Rate shown is the yield to maturity at June 30, 2016. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2016. 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 | $ | — | $ | 345,200 | $ | — | ||||||
Municipal Obligations | — | 103,477 | — | |||||||||
United States Government and Government Agency Obligations | — | 91,011 | — | |||||||||
Total | $ | — | $ | 539,688 | $ | — |
During the period ended June 30, 2016, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
FHLMC = Federal Home Loan Mortgage Corp.
FNMA = Federal National Mortgage Association
GTD = Guaranteed
See Accompanying Notes to Financial Statements.
82 | SEMIANNUAL REPORT | 2016 |
Table of Contents
PORTFOLIO HIGHLIGHTS | REAL ESTATE SECURITIES |
ALL DATA IS AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 98.2% | |||
Financials | 91.8% | |||
Information Technology | 4.6% | |||
Industrials | 1.8% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.8% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Simon Property Group, Inc. | Financials | Retail REITs | ||
Public Storage, Inc. | Financials | Specialized REITs | ||
Equinix, Inc. | Information Technology | Internet Software & Services | ||
AvalonBay Communities, Inc. | Financials | Residential REITs | ||
Welltower, Inc. | Financials | Health Care REITs | ||
ProLogis | Financials | Industrial REITs | ||
Vornado Realty Trust | Financials | Office REITs | ||
Boston Properties, Inc. | Financials | Office REITs | ||
Digital Realty Trust, 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.
2016 | SEMIANNUAL REPORT | 83 |
Table of Contents
SCHEDULE OF INVESTMENTS | REAL ESTATE SECURITIES (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Financials |
| |||||||
Diversified REITs – 2.2% |
| |||||||
Liberty Property Trust | 16 | $ | 635 | |||||
STORE Capital Corp. | 15 | 445 | ||||||
|
| |||||||
1,080 | ||||||||
|
| |||||||
Health Care REITs – 6.3% |
| |||||||
HCP, Inc. | 11 | 404 | ||||||
Physicians Realty Trust | 24 | 500 | ||||||
Welltower, Inc. | 30 | 2,262 | ||||||
|
| |||||||
3,166 | ||||||||
|
| |||||||
Hotel & Resort REITs – 0.5% |
| |||||||
Pebblebrook Hotel Trust | 10 | 270 | ||||||
|
| |||||||
Industrial REITs – 7.2% |
| |||||||
DCT Industrial Trust, Inc. | 12 | 578 | ||||||
First Industrial Realty Trust, Inc. | 33 | 915 | ||||||
ProLogis | 43 | 2,129 | ||||||
|
| |||||||
3,622 | ||||||||
|
| |||||||
Office REITs – 16.9% |
| |||||||
Alexandria Real Estate Equities, Inc. | 9 | 880 | ||||||
Boston Properties, Inc. | 13 | 1,675 | ||||||
Douglas Emmett, Inc. | 7 | 248 | ||||||
Duke Realty Corp. | 43 | 1,157 | ||||||
Highwoods Properties, Inc. | 14 | 729 | ||||||
Kilroy Realty Corp. | 10 | 630 | ||||||
SL Green Realty Corp. | 13 | 1,427 | ||||||
Vornado Realty Trust | 18 | 1,761 | ||||||
|
| |||||||
8,507 | ||||||||
|
| |||||||
Residential REITs – 19.4% |
| |||||||
American Campus Communities, Inc. | 23 | 1,195 | ||||||
Apartment Investment and Management Co., Class A | 6 | 264 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Residential REITs (Continued) |
| |||||||
AvalonBay Communities, Inc. | 13 | $ | 2,320 | |||||
Camden Property Trust | 10 | 867 | ||||||
Education Realty Trust, Inc. | 13 | 595 | ||||||
Equity Lifestyle Properties, Inc. | 7 | 592 | ||||||
Equity Residential | 19 | 1,283 | ||||||
Essex Property Trust, Inc. | 6 | 1,472 | ||||||
Sun Communities, Inc. | 10 | 782 | ||||||
UDR, Inc. | 10 | 379 | ||||||
|
| |||||||
9,749 | ||||||||
|
| |||||||
Retail REITs – 22.9% |
| |||||||
Brixmor Property Group, Inc. | 20 | 521 | ||||||
DDR Corp. | 22 | 393 | ||||||
Federal Realty Investment Trust | 4 | 712 | ||||||
General Growth Properties, Inc. | 49 | 1,475 | ||||||
Kimco Realty Corp. | 38 | 1,177 | ||||||
Macerich Co. (The) | 11 | 914 | ||||||
Regency Centers Corp. | 5 | 385 | ||||||
Simon Property Group, Inc. | 24 | 5,257 | ||||||
Weingarten Realty Investors | 16 | 637 | ||||||
|
| |||||||
11,471 | ||||||||
|
| |||||||
Specialized REITs – 16.4% |
| |||||||
CubeSmart | 21 | 655 | ||||||
Digital Realty Trust, Inc. | 15 | 1,613 | ||||||
Extra Space Storage, Inc. | 9 | 833 | ||||||
Host Hotels & Resorts, Inc. | 57 | 924 | ||||||
LaSalle Hotel Properties | 4 | 94 | ||||||
Public Storage, Inc. | 10 | 2,480 | ||||||
RLJ Lodging Trust | 11 | 236 | ||||||
Ventas, Inc. | 19 | 1,398 | ||||||
|
| |||||||
8,233 | ||||||||
|
| |||||||
Total Financials – 91.8% |
| 46,098 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrials |
| |||||||
Office Services & Supplies – 1.8% |
| |||||||
CyrusOne, Inc. | 16 | $ | 890 | |||||
|
| |||||||
Total Industrials – 1.8% |
| 890 | ||||||
Information Technology |
| |||||||
Internet Software & Services – 4.6% |
| |||||||
Equinix, Inc. | 6 | 2,322 | ||||||
|
| |||||||
Total Information Technology – 4.6% |
| 2,322 | ||||||
TOTAL COMMON STOCKS – 98.2% |
| $ | 49,310 | |||||
(Cost: $41,551) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 1.5% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (A) | $ | 731 | 731 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.5% |
| $ | 731 | |||||
(Cost: $731) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.7% |
| $ | 50,041 | |||||
(Cost: $42,282) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.3% |
| 152 | ||||||
NET ASSETS – 100.0% |
| $ | 50,193 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. 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, 2016. 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 | $ | 49,310 | $ | — | $ | — | ||||||
Short-Term Securities | — | 731 | — | |||||||||
Total | $ | 49,310 | $ | 731 | $ | — |
During the period ended June 30, 2016, 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.
84 | SEMIANNUAL REPORT | 2016 |
Table of Contents
PORTFOLIO HIGHLIGHTS | SCIENCE AND TECHNOLOGY |
ALL DATA AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 93.6% | |||
Information Technology | 66.2% | |||
Health Care | 18.1% | |||
Consumer Discretionary | 2.8% | |||
Telecommunication Services | 1.8% | |||
Financials | 1.8% | |||
Industrials | 1.3% | |||
Utilities | 1.1% | |||
Materials | 0.3% | |||
Consumer Staples | 0.2% | |||
Warrants | 0.0% | |||
Bonds | 0.5% | |||
Corporate Debt Securities | 0.5% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 5.9% |
Country Weightings
North America | 78.7% | |||
United States | 78.7% | |||
Europe | 5.8% | |||
Pacific Basin | 4.5% | |||
Other | 4.1% | |||
Israel | 4.1% | |||
Bahamas/Caribbean | 1.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 5.9% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Aspen Technology, Inc. | United States | Information Technology | Application Software | |||
Micron Technology, Inc. | United States | Information Technology | Semiconductors | |||
Alliance Data Systems Corp. | United States | Information Technology | Data Processing & Outsourced Services | |||
Euronet Worldwide, Inc. | United States | Information Technology | Data Processing & Outsourced Services | |||
Microsoft Corp. | United States | Information Technology | Systems Software | |||
Vertex Pharmaceuticals, Inc. | United States | Health Care | Biotechnology | |||
Cerner Corp. | United States | Health Care | Health Care Technology | |||
Microsemi Corp. | United States | Information Technology | Semiconductors | |||
Facebook, Inc., Class A | United States | Information Technology | Internet Software & Services | |||
ACI Worldwide, Inc. | United States | Information Technology | Application Software |
See your advisor for more information on the Portfolio’s most recent published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2016 | SEMIANNUAL REPORT | 85 |
Table of Contents
SCHEDULE OF INVESTMENTS | SCIENCE AND TECHNOLOGY (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Consumer Electronics – 2.8% |
| |||||||
Garmin Ltd. | 187 | $ | 7,937 | |||||
Harman International Industries, Inc. | 84 | 6,062 | ||||||
|
| |||||||
13,999 | ||||||||
|
| |||||||
Total Consumer Discretionary – 2.8% |
| 13,999 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 0.2% |
| |||||||
Arcadia Biosciences, Inc. (A) | 299 | 775 | ||||||
|
| |||||||
Total Consumer Staples – 0.2% |
| 775 | ||||||
Financials |
| |||||||
Specialized REITs – 1.8% |
| |||||||
QTS Realty Trust, Inc., Class A | 159 | 8,884 | ||||||
|
| |||||||
Total Financials – 1.8% |
| 8,884 | ||||||
Health Care |
| |||||||
Biotechnology – 6.3% |
| |||||||
Evogene Ltd. (A) | 175 | 1,095 | ||||||
FibroGen, Inc. (A) | 113 | 1,852 | ||||||
Isis Pharmaceuticals, Inc. (A) | 360 | 8,373 | ||||||
Seres Therapeutics, Inc. (A) | 44 | 1,278 | ||||||
Vertex Pharmaceuticals, Inc. (A)(B) | 216 | 18,615 | ||||||
|
| |||||||
31,213 | ||||||||
|
| |||||||
Health Care Equipment – 0.3% |
| |||||||
Avinger, Inc. (A) | 133 | 1,592 | ||||||
|
| |||||||
Health Care Facilities – 2.4% |
| |||||||
Tenet Healthcare Corp. (A) | 429 | 11,869 | ||||||
|
| |||||||
Health Care Technology – 3.6% |
| |||||||
Cerner Corp. (A) | 308 | 18,025 | ||||||
|
| |||||||
Life Sciences Tools & Services – 1.6% |
| |||||||
PRA Health Sciences, Inc. (A) | 196 | 8,178 | ||||||
|
| |||||||
Managed Health Care – 0.9% |
| |||||||
Anthem, Inc. | 35 | 4,531 | ||||||
|
| |||||||
Pharmaceuticals – 3.0% |
| |||||||
Teva Pharmaceutical Industries Ltd. ADR | 295 | 14,838 | ||||||
|
| |||||||
Total Health Care – 18.1% |
| 90,246 | ||||||
Industrials |
| |||||||
Building Products – 1.1% |
| |||||||
Advanced Drainage Systems, Inc. | 205 | 5,600 | ||||||
|
| |||||||
Construction & Engineering – 0.2% |
| |||||||
Abengoa S.A., Class B (A)(C) | 2,680 | 739 | ||||||
|
| |||||||
Total Industrials – 1.3% |
| 6,339 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Information Technology |
| |||||||
Application Software – 12.2% |
| |||||||
ACI Worldwide, Inc. (A) | 876 | $ | 17,097 | |||||
Aspen Technology, Inc. (A) | 669 | 26,908 | ||||||
Globant S.A. (A) | 143 | 5,612 | ||||||
Mobileye N.V. (A) | 96 | 4,443 | ||||||
Silver Spring Networks, Inc. (A) | 552 | 6,710 | ||||||
|
| |||||||
60,770 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 13.0% |
| |||||||
Alliance Data Systems Corp. (A) | 112 | 22,021 | ||||||
Euronet Worldwide, Inc. (A) | 299 | 20,676 | ||||||
EVERTEC, Inc. | 166 | 2,575 | ||||||
QIWI plc ADR | 223 | 2,916 | ||||||
WNS (Holdings) Ltd. ADR (A) | 611 | 16,492 | ||||||
|
| |||||||
64,680 | ||||||||
|
| |||||||
Electronic Components – 2.5% |
| |||||||
Universal Display Corp. (A) | 183 | 12,373 | ||||||
|
| |||||||
Internet Software & Services – 9.7% |
| |||||||
Alibaba Group Holding Ltd. ADR (A) | 73 | 5,814 | ||||||
Alphabet, Inc., Class A (A) | 13 | 9,427 | ||||||
Alphabet, Inc., Class C (A) | 18 | 12,343 | ||||||
Facebook, Inc., Class A (A) | 150 | 17,108 | ||||||
Pandora Media, Inc. (A) | 280 | 3,482 | ||||||
|
| |||||||
48,174 | ||||||||
|
| |||||||
IT Consulting & Other Services – 4.4% |
| |||||||
Acxiom Corp. (A) | 654 | 14,388 | ||||||
CSRA, Inc. | 136 | 3,175 | ||||||
Virtusa Corp. (A) | 156 | 4,494 | ||||||
|
| |||||||
22,057 | ||||||||
|
| |||||||
Semiconductor Equipment – 1.4% |
| |||||||
Nanometrics, Inc. (A) | 140 | 2,900 | ||||||
Photronics, Inc. (A) | 473 | 4,212 | ||||||
|
| |||||||
7,112 | ||||||||
|
| |||||||
Semiconductors – 18.6% |
| |||||||
Cypress Semiconductor Corp. | 892 | 9,414 | ||||||
Dialog Semiconductor plc (A)(C) | 139 | 4,153 | ||||||
Marvell Technology Group Ltd. | 506 | 4,820 | ||||||
Micron Technology, Inc. (A) | 1,679 | 23,096 | ||||||
Microsemi Corp. (A) | 533 | 17,422 | ||||||
NXP Semiconductors N.V. (A) | 198 | 15,480 | ||||||
Rambus, Inc. (A) | 667 | 8,051 | ||||||
Semtech Corp. (A) | 367 | 8,766 | ||||||
Silicon Laboratories, Inc. (A) | 26 | 1,253 | ||||||
|
| |||||||
92,455 | ||||||||
|
| |||||||
Systems Software – 3.9% |
| |||||||
Microsoft Corp. | 380 | 19,445 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.5% |
| |||||||
Apple, Inc. | 26 | 2,514 | ||||||
|
| |||||||
Total Information Technology – 66.2% |
| 329,580 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Materials |
| |||||||
Commodity Chemicals – 0.3% |
| |||||||
BioAmber, Inc. (A) | 480 | $ | 1,431 | |||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.0% |
| |||||||
Marrone Bio Innovations, Inc. (A) | 280 | 229 | ||||||
|
| |||||||
Total Materials – 0.3% |
| 1,660 | ||||||
Telecommunication Services |
| |||||||
Alternative Carriers – 1.8% |
| |||||||
Zayo Group Holdings, Inc. (A) | 324 | 9,035 | ||||||
|
| |||||||
Total Telecommunication Services – 1.8% |
| 9,035 | ||||||
Utilities |
| |||||||
Renewable Electricity – 1.1% |
| |||||||
Atlantica Yield plc (A) | 283 | 5,260 | ||||||
|
| |||||||
Total Utilities – 1.1% |
| 5,260 | ||||||
TOTAL COMMON STOCKS – 93.6% |
| $ | 465,778 | |||||
(Cost: $347,742) | ||||||||
WARRANTS |
| |||||||
Commodity Chemicals – 0.0% |
| |||||||
BioAmber, Inc., expires | 201 | 76 | ||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.0% |
| |||||||
Marrone Bio Innovations, Inc., expires 8-20-23 (D)(E) | 230 | — | * | |||||
|
| |||||||
TOTAL WARRANTS – 0.0% |
| $ | 76 | |||||
(Cost: $24) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Materials |
| |||||||
Fertilizers & Agricultural Chemicals – 0.5% |
| |||||||
Marrone Bio Innovations, Inc., | ||||||||
8.000%, 8-20-20 (E) | $ | 2,300 | 2,347 | |||||
|
| |||||||
Total Materials – 0.5% |
| 2,347 | ||||||
TOTAL CORPORATE DEBT |
| $ | 2,347 | |||||
(Cost: $2,300) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Commercial Paper (F) – 6.9% |
| |||||||
Archer Daniels Midland Co., | ||||||||
0.400%, 7-18-16 | 5,000 | 4,999 | ||||||
Emerson Electric Co., | ||||||||
0.410%, 7-8-16 | 5,000 | 5,000 | ||||||
GlaxoSmithKline Finance plc | ||||||||
0.380%, 7-12-16 | 5,000 | 4,999 |
86 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | SCIENCE AND TECHNOLOGY (in thousands) |
JUNE 30, 2016 (UNAUDITED)
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Commercial Paper (F) (Continued) |
| |||||||
J.M. Smucker Co. (The), | ||||||||
0.620%, 7-6-16 | $ | 4,000 | $ | 3,999 | ||||
Kroger Co. (The), | ||||||||
0.570%, 7-1-16 | 5,496 | 5,496 | ||||||
Mattel, Inc., | ||||||||
0.730%, 7-11-16 | 5,000 | 4,999 | ||||||
NBCUniversal Enterprise, Inc., | ||||||||
0.750%, 7-20-16 | 5,000 | 4,998 | ||||||
|
| |||||||
34,490 | ||||||||
|
| |||||||
Master Note – 0.5% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (G) | 2,328 | 2,328 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 7.4% |
| $ | 36,818 | |||||
(Cost: $36,819) | ||||||||
TOTAL INVESTMENT SECURITIES – 101.5% |
| $ | 505,019 | |||||
(Cost: $386,885) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.5)% |
| (7,318 | ) | |||||
NET ASSETS – 100.0% |
| $ | 497,701 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | No dividends were paid during the preceding 12 months. |
(B) | All or a portion of securities with an aggregate value of $852 are held in collateralized accounts for OTC derivatives collateral and is governed by International Swaps and Derivatives Association, Inc. Master Agreements. |
(C) | Listed on an exchange outside the United States. |
(D) | Warrants entitle the Portfolio to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
(E) | Restricted securities. At June 30, 2016, the Fund owned the following restricted securities: |
Security | Acquisition Date(s) | Principal | Cost | Market Value | ||||||||||||||||
Marrone Bio Innovations, Inc., 8.000%, 08-20-20 | 8-20-15 | $ | 2,300 | $ | 2,300 | $ | 2,347 | |||||||||||||
Shares | ||||||||||||||||||||
Marrone Bio Innovations, Inc., expires 8-20-23 | 8-20-15 | 230 | — | — | * | |||||||||||||||
|
| |||||||||||||||||||
$ | 2,300 | $ | 2,347 | |||||||||||||||||
|
|
The total value of these securities represented 0.5% of net assets at June 30, 2016.
(F) | Rate shown is the yield to maturity at June 30, 2016. |
(G) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. Date shown represents the date that the variable rate resets. |
The following written options were outstanding at June 30, 2016 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Expiration Month | Exercise Price | Premium Received | Value | |||||||||||||||||||||||
JD.com, Inc., Class A ADR | UBS AG | Put | 2,049 | August 2016 | $ | 24.00 | $ | 727 | $ | (610 | ) | |||||||||||||||||||
|
|
2016 | SEMIANNUAL REPORT | 87 |
Table of Contents
SCHEDULE OF INVESTMENTS | SCIENCE AND TECHNOLOGY (in thousands) |
JUNE 30, 2016 (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, 2016. 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 | $ | 13,999 | $ | — | $ | — | ||||||
Consumer Staples | 775 | — | — | |||||||||
Financials | 8,884 | — | — | |||||||||
Health Care | 90,246 | — | — | |||||||||
Industrials | 5,600 | 739 | — | |||||||||
Information Technology | 325,427 | 4,153 | — | |||||||||
Materials | 1,660 | — | — | |||||||||
Telecommunication Services | 9,035 | — | — | |||||||||
Utilities | 5,260 | — | — | |||||||||
Total Common Stocks | $ | 460,886 | $ | 4,892 | $ | — | ||||||
Warrants | — | 76 | — | |||||||||
Corporate Debt Securities | — | 2,347 | — | |||||||||
Short-Term Securities | — | 36,818 | — | |||||||||
Total | $ | 460,886 | $ | 44,133 | $ | — | ||||||
Liabilities | ||||||||||||
Written Options | $ | — | $ | 610 | $ | — |
During the period ended June 30, 2016, securities totaling $5,145 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to international securities due to significant market movement of the S&P 500 on June 30, 2016. Transfers out of Level 1 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 | 78.7% | |||
Israel | 4.1% | |||
India | 3.3% | |||
Netherlands | 3.1% | |||
Spain | 1.3% | |||
China | 1.2% | |||
Bermuda | 1.0% | |||
Other Countries | 1.4% | |||
Other+ | 5.9% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
88 | SEMIANNUAL REPORT | 2016 |
Table of Contents
PORTFOLIO HIGHLIGHTS | SMALL CAP GROWTH |
ALL DATA AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 95.1% | |||
Information Technology | 31.3% | |||
Consumer Discretionary | 20.4% | |||
Health Care | 19.4% | |||
Industrials | 9.2% | |||
Financials | 5.8% | |||
Energy | 3.0% | |||
Materials | 2.7% | |||
Consumer Staples | 2.3% | |||
Telecommunication Services | 1.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 4.9% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Dycom Industries, Inc. | Information Technology | Communications Equipment | ||
AMN Healthcare Services, Inc. | Health Care | Health Care Services | ||
Take-Two Interactive Software, Inc. | Information Technology | Home Entertainment Software | ||
Vail Resorts, Inc. | Consumer Discretionary | Leisure Facilities | ||
K2M Group Holdings, Inc. | Health Care | Health Care Equipment | ||
Nautilus Group, Inc. (The) | Consumer Discretionary | Leisure Products | ||
Tyler Technologies, Inc. | Information Technology | Application Software | ||
Silicon Motion Technology Corp. ADR | Information Technology | Semiconductors | ||
LendingTree, Inc. | Financials | Thrifts & Mortgage Finance | ||
Skechers USA, Inc. | Consumer Discretionary | Footwear |
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.
2016 | SEMIANNUAL REPORT | 89 |
Table of Contents
SCHEDULE OF INVESTMENTS | SMALL CAP GROWTH (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 0.6% |
| |||||||
Citi Trends, Inc. | 165 | $ | 2,555 | |||||
|
| |||||||
Auto Parts & Equipment – 1.7% |
| |||||||
Motorcar Parts of America, Inc. (A) | 264 | 7,183 | ||||||
|
| |||||||
Automotive Retail – 1.0% |
| |||||||
Lithia Motors, Inc. | 59 | 4,198 | ||||||
|
| |||||||
Casinos & Gaming – 1.4% |
| |||||||
Penn National Gaming, Inc. (A) | 432 | 6,025 | ||||||
|
| |||||||
Footwear – 2.3% |
| |||||||
Skechers USA, Inc. (A) | 338 | 10,032 | ||||||
|
| |||||||
Home Improvement Retail – 0.9% |
| |||||||
Tile Shop Holdings, Inc. (A) | 200 | 3,966 | ||||||
|
| |||||||
Homebuilding – 2.4% |
| |||||||
Installed Building Products, Inc. (A) | 113 | 4,086 | ||||||
LGI Homes, Inc. (A) | 191 | 6,107 | ||||||
|
| |||||||
10,193 | ||||||||
|
| |||||||
Leisure Facilities – 2.5% |
| |||||||
Vail Resorts, Inc. | 79 | 10,851 | ||||||
|
| |||||||
Leisure Products – 2.4% |
| |||||||
Nautilus Group, Inc. (The) (A) | 584 | 10,418 | ||||||
|
| |||||||
Movies & Entertainment – 1.2% |
| |||||||
IMAX Corp. (A) | 171 | 5,035 | ||||||
|
| |||||||
Restaurants – 2.6% |
| |||||||
Carrols Restaurant Group, Inc. (A) | 227 | 2,699 | ||||||
Chuy’s Holdings, Inc. (A) | 107 | 3,703 | ||||||
Dave & Buster’s Entertainment, Inc. (A) | 100 | 4,698 | ||||||
|
| |||||||
11,100 | ||||||||
|
| |||||||
Specialty Stores – 1.4% |
| |||||||
Five Below, Inc. (A) | 129 | 5,978 | ||||||
|
| |||||||
Total Consumer Discretionary – 20.4% |
| 87,534 | ||||||
Consumer Staples |
| |||||||
Food Distributors – 0.3% |
| |||||||
U.S. Foods Holding Corp. (A) | 55 | 1,333 | ||||||
|
| |||||||
Packaged Foods & Meats – 2.0% |
| |||||||
Lance, Inc. | 254 | 8,593 | ||||||
|
| |||||||
Total Consumer Staples – 2.3% |
| 9,926 | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 0.5% |
| |||||||
Matrix Service Co. (A) | 115 | 1,901 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Oil & Gas Exploration & Production – 2.5% |
| |||||||
Parsley Energy, Inc., Class A (A) | 216 | $ | 5,848 | |||||
Rice Energy, Inc. (A) | 126 | 2,768 | ||||||
Viper Energy Partners L.P. | 116 | 2,165 | ||||||
|
| |||||||
10,781 | ||||||||
|
| |||||||
Total Energy – 3.0% |
| 12,682 | ||||||
Financials |
| |||||||
Consumer Finance – 1.3% |
| |||||||
Portfolio Recovery Associates, Inc. (A) | 236 | 5,690 | ||||||
|
| |||||||
Regional Banks – 1.4% |
| |||||||
Banc of California, Inc. | 183 | 3,305 | ||||||
Renasant Corp. | 90 | 2,900 | ||||||
|
| |||||||
6,205 | ||||||||
|
| |||||||
Specialized Finance – 0.7% |
| |||||||
Bats Global Markets, Inc. | 111 | 2,841 | ||||||
|
| |||||||
Thrifts & Mortgage Finance – 2.4% |
| |||||||
LendingTree, Inc. (A) | 114 | 10,105 | ||||||
|
| |||||||
Total Financials – 5.8% |
| 24,841 | ||||||
Health Care |
| |||||||
Biotechnology – 1.0% |
| |||||||
Eagle Pharmaceuticals, Inc. (A) | 56 | 2,172 | ||||||
Ligand Pharmaceuticals, Inc. (A) | 19 | 2,219 | ||||||
|
| |||||||
4,391 | ||||||||
|
| |||||||
Health Care Equipment – 8.3% |
| |||||||
AtriCure, Inc. (A) | 268 | 3,784 | ||||||
DexCom, Inc. (A) | 93 | 7,357 | ||||||
Inogen, Inc. (A) | 143 | 7,181 | ||||||
K2M Group Holdings, Inc. (A) | 688 | 10,673 | ||||||
Nevro Corp. (A) | 93 | 6,852 | ||||||
|
| |||||||
35,847 | ||||||||
|
| |||||||
Health Care Facilities – 3.1% |
| |||||||
Acadia Healthcare Co., Inc. (A) | 115 | 6,364 | ||||||
Surgical Care Affiliates, Inc. (A) | 145 | 6,900 | ||||||
|
| |||||||
13,264 | ||||||||
|
| |||||||
Health Care Services – 4.8% |
| |||||||
AMN Healthcare Services, Inc. (A) | 349 | 13,934 | ||||||
ExamWorks Group, Inc. (A) | 189 | 6,594 | ||||||
|
| |||||||
20,528 | ||||||||
|
| |||||||
Health Care Supplies – 1.3% |
| |||||||
Vascular Solutions, Inc. (A) | 136 | 5,646 | ||||||
|
| |||||||
Pharmaceuticals – 0.9% |
| |||||||
Akorn, Inc. (A) | 130 | 3,701 | ||||||
|
| |||||||
Total Health Care – 19.4% |
| 83,377 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrials |
| |||||||
Building Products – 4.8% |
| |||||||
American Woodmark Corp. (A) | 117 | $ | 7,780 | |||||
Apogee Enterprises, Inc. | 154 | 7,140 | ||||||
Insteel Industries, Inc. | 99 | 2,819 | ||||||
Trex Co., Inc. (A) | 62 | 2,785 | ||||||
|
| |||||||
20,524 | ||||||||
|
| |||||||
Construction & Engineering – 1.2% |
| |||||||
Comfort Systems USA, Inc. | 153 | 4,990 | ||||||
|
| |||||||
Industrial Machinery – 2.2% |
| |||||||
John Bean Technologies Corp. | 85 | 5,216 | ||||||
Woodward, Inc. | 77 | 4,409 | ||||||
|
| |||||||
9,625 | ||||||||
|
| |||||||
Trading Companies & Distributors – 1.0% |
| |||||||
Beacon Roofing Supply, Inc. (A) | 100 | 4,547 | ||||||
|
| |||||||
Total Industrials – 9.2% |
| 39,686 | ||||||
Information Technology |
| |||||||
Application Software – 10.3% |
| |||||||
BroadSoft, Inc. (A) | 222 | 9,109 | ||||||
Ellie Mae, Inc. (A) | 52 | 4,738 | ||||||
HubSpot, Inc. (A) | 112 | 4,880 | ||||||
Paycom Software, Inc. (A) | 124 | 5,349 | ||||||
Tyler Technologies, Inc. (A) | 62 | 10,328 | ||||||
Ultimate Software Group, Inc. (The) (A) | 31 | 6,584 | ||||||
Zendesk, Inc. (A) | 122 | 3,224 | ||||||
|
| |||||||
44,212 | ||||||||
|
| |||||||
Communications Equipment – 4.7% |
| |||||||
Applied Optoelectronics, Inc. (A) | 191 | 2,128 | ||||||
Dycom Industries, Inc. (A) | 203 | 18,212 | ||||||
|
| |||||||
20,340 | ||||||||
|
| |||||||
Home Entertainment Software – 2.6% |
| |||||||
Take-Two Interactive Software, Inc. (A) | 293 | 11,103 | ||||||
|
| |||||||
Internet Software & Services – 1.7% |
| |||||||
LogMeIn, Inc. (A) | 62 | 3,901 | ||||||
Shopify, Inc., Class A (A) | 112 | 3,448 | ||||||
|
| |||||||
7,349 | ||||||||
|
| |||||||
Semiconductor Equipment – 1.5% |
| |||||||
MaxLinear, Inc., Class A (A) | 357 | 6,421 | ||||||
|
| |||||||
Semiconductors – 7.4% |
| |||||||
Himax Technologies, Inc. ADR | 643 | 5,307 | ||||||
Integrated Device Technology, Inc. (A) | 420 | 8,460 | ||||||
Mellanox Technologies Ltd. (A) | 158 | 7,568 | ||||||
Silicon Motion Technology Corp. ADR | 214 | 10,215 | ||||||
|
| |||||||
31,550 | ||||||||
|
|
90 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | SMALL CAP GROWTH (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS (Continued) | Shares | Value | ||||||
Systems Software – 3.1% |
| |||||||
Gigamon, Inc. (A) | 178 | $ | 6,663 | |||||
Imperva, Inc. (A) | 86 | 3,712 | ||||||
Rubicon Project, Inc. (The) (A) | 55 | 755 | ||||||
SecureWorks Corp., Class A (A) | 168 | 2,364 | ||||||
|
| |||||||
13,494 | ||||||||
|
| |||||||
Total Information Technology – 31.3% |
| 134,469 | ||||||
Materials |
| |||||||
Construction Materials – 1.4% |
| |||||||
U.S. Concrete, Inc. (A) | 101 | 6,146 | ||||||
|
| |||||||
Specialty Chemicals – 1.3% |
| |||||||
Flotek Industries, Inc. (A) | 409 | 5,392 | ||||||
|
| |||||||
Total Materials – 2.7% |
| 11,538 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Telecommunication Services |
| |||||||
Wireless Telecommunication Service – 1.0% |
| |||||||
RingCentral, Inc., Class A (A) | 215 | $ | 4,244 | |||||
|
| |||||||
Total Telecommunication Services – 1.0% |
| 4,244 | ||||||
TOTAL COMMON STOCKS – 95.1% |
| $ | 408,297 | |||||
(Cost: $358,620) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (B) – 4.5% |
| |||||||
CVS Health Corp., | ||||||||
0.630%, 7-1-16 | $ | 5,000 | 5,000 | |||||
GlaxoSmithKline Finance plc (GTD by GlaxoSmithKline plc), | ||||||||
0.380%, 7-12-16 | 5,000 | 4,999 | ||||||
J.M. Smucker Co. (The), | ||||||||
0.620%, 7-6-16 | 4,000 | 4,000 |
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Commercial Paper (B) (Continued) |
| |||||||
Northern Illinois Gas Co., | ||||||||
0.420%, 7-1-16 | $ | 5,302 | $ | 5,302 | ||||
|
| |||||||
19,301 | ||||||||
|
| |||||||
Master Note – 0.4% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (C) | 1,789 | 1,789 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 4.9% |
| $ | 21,090 | |||||
(Cost: $21,090) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 429,387 | |||||
(Cost: $379,710) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (93 | ) | |||||
NET ASSETS – 100.0% | $ | 429,294 |
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, 2016. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. 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, 2016. 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 | $ | 408,297 | $ | — | $ | — | ||||||
Short-Term Securities | — | 21,090 | — | |||||||||
Total | $ | 408,297 | $ | 21,090 | $ | — |
During the period ended June 30, 2016, 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.
2016 | SEMIANNUAL REPORT | 91 |
Table of Contents
PORTFOLIO HIGHLIGHTS | SMALL CAP VALUE |
ALL DATA AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 97.1% | |||
Industrials | 19.2% | |||
Financials | 17.4% | |||
Consumer Staples | 12.9% | |||
Materials | 12.7% | |||
Information Technology | 11.0% | |||
Consumer Discretionary | 7.7% | |||
Utilities | 7.7% | |||
Health Care | 4.7% | |||
Energy | 3.8% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.9% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Take-Two Interactive Software, Inc. | Information Technology | Home Entertainment Software | ||
Beacon Roofing Supply, Inc. | Industrials | Trading Companies & Distributors | ||
Webster Financial Corp. | Financials | Regional Banks | ||
Flotek Industries, Inc. | Materials | Specialty Chemicals | ||
Woodward, Inc. | Industrials | Industrial Machinery | ||
LifePoint Health, Inc. | Health Care | Health Care Facilities | ||
Nu Skin Enterprises, Inc., Class A | Consumer Staples | Personal Products | ||
Continental Building Products, Inc. | Industrials | Building Products | ||
Laredo Petroleum Holdings, Inc. | Energy | Oil & Gas Exploration & Production | ||
Communications Sales & Leasing, Inc. | Financials | Specialized 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.
92 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | SMALL CAP VALUE (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Automotive Retail – 2.2% |
| |||||||
Monro Muffler Brake, Inc. | 116 | $ | 7,365 | |||||
|
| |||||||
Footwear – 1.4% |
| |||||||
Crocs, Inc.(A) | 424 | 4,787 | ||||||
|
| |||||||
Homefurnishing Retail – 0.8% |
| |||||||
Restoration Hardware Holdings, Inc.(A) | 97 | 2,794 | ||||||
|
| |||||||
Movies & Entertainment – 1.7% |
| |||||||
AMC Entertainment Holdings, Inc., Class A | 212 | 5,849 | ||||||
|
| |||||||
Restaurants – 1.6% |
| |||||||
Cheesecake Factory, Inc. (The) | 115 | 5,524 | ||||||
|
| |||||||
Total Consumer Discretionary – 7.7% |
| 26,319 | ||||||
Consumer Staples |
| |||||||
Food Retail – 3.4% |
| |||||||
Casey’s General Stores, Inc. | 42 | 5,563 | ||||||
Smart & Final Stores, Inc.(A) | 403 | 6,001 | ||||||
|
| |||||||
11,564 | ||||||||
|
| |||||||
Packaged Foods & Meats – 4.1% |
| |||||||
Pinnacle Foods, Inc. | 160 | 7,397 | ||||||
TreeHouse Foods, Inc.(A) | 66 | 6,777 | ||||||
|
| |||||||
14,174 | ||||||||
|
| |||||||
Personal Products – 2.9% |
| |||||||
Nu Skin Enterprises, Inc., Class A | 216 | 9,991 | ||||||
|
| |||||||
Soft Drinks – 2.5% |
| |||||||
Coca-Cola Bottling Co. Consolidated | 57 | 8,391 | ||||||
|
| |||||||
Total Consumer Staples – 12.9% |
| 44,120 | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 1.2% |
| |||||||
U.S. Silica Holdings, Inc. | 117 | 4,023 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 2.6% |
| |||||||
Laredo Petroleum Holdings, Inc.(A) | 847 | 8,879 | ||||||
|
| |||||||
Total Energy – 3.8% |
| 12,902 | ||||||
Financials |
| |||||||
Industrial REITs – 1.1% |
| |||||||
STAG Industrial, Inc. | 162 | 3,853 | ||||||
|
| |||||||
Office REITs – 1.9% |
| |||||||
Highwoods Properties, Inc. | 121 | 6,363 | ||||||
|
| |||||||
Property & Casualty Insurance – 0.0% |
| |||||||
Argo Group International Holdings Ltd. | — | * | — | * | ||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Regional Banks – 8.3% |
| |||||||
FCB Financial Holdings, Inc., Class A (A) | 155 | $ | 5,260 | |||||
Tompkins Financial Corp. | 25 | 1,593 | ||||||
Webster Financial Corp. | 464 | 15,742 | ||||||
Western Alliance Bancorporation(A) | 181 | 5,900 | ||||||
|
| |||||||
28,495 | ||||||||
|
| |||||||
Reinsurance – 2.1% |
| |||||||
Reinsurance Group of America, Inc. | 73 | 7,109 | ||||||
|
| |||||||
Specialized REITs – 4.0% |
| |||||||
Communications Sales & Leasing, Inc. | 297 | 8,584 | ||||||
Entertainment Properties Trust | 63 | 5,082 | ||||||
|
| |||||||
13,666 | ||||||||
|
| |||||||
Total Financials – 17.4% |
| 59,486 | ||||||
Health Care |
| |||||||
Health Care Facilities – 3.3% |
| |||||||
LifePoint Health, Inc.(A) | 171 | 11,161 | ||||||
|
| |||||||
Health Care Services – 1.4% |
| |||||||
Healthways, Inc.(A) | 408 | 4,717 | ||||||
|
| |||||||
Total Health Care – 4.7% |
| 15,878 | ||||||
Industrials |
| |||||||
Airlines – 0.9% |
| |||||||
Copa Holdings S.A., Class A | 60 | 3,151 | ||||||
|
| |||||||
Building Products – 2.8% |
| |||||||
Continental Building Products, Inc.(A) | 421 | 9,366 | ||||||
|
| |||||||
Commercial Printing – 2.3% |
| |||||||
Deluxe Corp. | 57 | 3,767 | ||||||
Multi-Color Corp. | 65 | 4,146 | ||||||
|
| |||||||
7,913 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 0.8% |
| |||||||
Manitowoc Co., Inc. (The) | 528 | 2,879 | ||||||
|
| |||||||
Industrial Machinery – 3.3% |
| |||||||
Woodward, Inc. | 194 | 11,197 | ||||||
|
| |||||||
Marine – 1.3% |
| |||||||
Kirby Corp.(A) | 74 | 4,586 | ||||||
|
| |||||||
Trading Companies & Distributors – 5.9% |
| |||||||
Beacon Roofing Supply, Inc.(A) | 351 | 15,949 | ||||||
Univar, Inc.(A) | 220 | 4,158 | ||||||
|
| |||||||
20,107 | ||||||||
|
| |||||||
Trucking – 1.9% |
| |||||||
YRC Worldwide, Inc.(A) | 739 | 6,501 | ||||||
|
| |||||||
Total Industrials – 19.2% |
| 65,700 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Information Technology |
| |||||||
Communications Equipment – 0.9% |
| |||||||
Oclaro, Inc.(A) | 585 | $ | 2,856 | |||||
|
| |||||||
Data Processing & Outsourced Services – 1.3% |
| |||||||
Wright Express Corp.(A) | 51 | 4,519 | ||||||
|
| |||||||
Home Entertainment Software – 4.9% |
| |||||||
Take-Two Interactive Software, Inc.(A) | 443 | 16,783 | ||||||
|
| |||||||
IT Consulting & Other Services – 3.9% |
| |||||||
Computer Sciences Corp. | 121 | 5,992 | ||||||
Science Applications International Corp. | 124 | 7,241 | ||||||
|
| |||||||
13,233 | ||||||||
|
| |||||||
Total Information Technology – 11.0% |
| 37,391 | ||||||
Materials |
| |||||||
Aluminum – 1.4% |
| |||||||
Kaiser Aluminum Corp. | 54 | 4,884 | ||||||
|
| |||||||
Gold – 2.2% |
| |||||||
IAMGOLD Corp.(A) | 1,275 | 5,281 | ||||||
Kinross Gold Corp.(A) | 463 | 2,264 | ||||||
|
| |||||||
7,545 | ||||||||
|
| |||||||
Precious Metals & Minerals – 2.4% |
| |||||||
Hecla Mining Co.(A) | 433 | 2,206 | ||||||
Silver Standard Resources, Inc.(A) | 447 | 5,803 | ||||||
|
| |||||||
8,009 | ||||||||
|
| |||||||
Specialty Chemicals – 6.7% |
| |||||||
Flotek Industries, Inc.(A) | 852 | 11,242 | ||||||
PolyOne Corp. | 236 | 8,303 | ||||||
|
| |||||||
Sensient Technologies Corp. | 46 | 3,267 | ||||||
|
| |||||||
22,812 | ||||||||
|
| |||||||
Total Materials – 12.7% |
| 43,250 | ||||||
Utilities |
| |||||||
Electric Utilities – 3.3% |
| |||||||
ALLETE, Inc. | 93 | 6,030 | ||||||
IDACORP, Inc. | 45 | 3,628 | ||||||
Portland General Electric Co. | 37 | 1,630 | ||||||
|
| |||||||
11,288 | ||||||||
|
| |||||||
Gas Utilities – 1.9% |
| |||||||
New Jersey Resources Corp. | 99 | 3,797 | ||||||
South Jersey Industries, Inc. | 83 | 2,628 | ||||||
|
| |||||||
6,425 | ||||||||
|
| |||||||
Multi-Utilities – 2.5% |
| |||||||
MDU Resources Group, Inc. | 182 | 4,356 | ||||||
NorthWestern Corp. | 67 | 4,214 | ||||||
|
| |||||||
8,570 | ||||||||
|
| |||||||
Total Utilities – 7.7% |
| 26,283 | ||||||
TOTAL COMMON STOCKS – 97.1% |
| $ | 331,329 | |||||
(Cost: $310,196) |
2016 | SEMIANNUAL REPORT | 93 |
Table of Contents
SCHEDULE OF INVESTMENTS | SMALL CAP VALUE (in thousands) |
JUNE 30, 2016 (UNAUDITED)
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper(B) – 1.5% |
| |||||||
Kroger Co. (The), | ||||||||
0.570%, 7-1-16 | $ | 5,332 | $ | 5,332 | ||||
|
| |||||||
Master Note – 0.9% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (C) | 2,945 | 2,945 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.4% |
| $ | 8,277 | |||||
(Cost: $8,277) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.5% |
| $ | 339,606 | |||||
(Cost: $318,473) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.5% |
| 1,645 | ||||||
NET ASSETS – 100.0% | $ | 341,251 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | No dividends were paid during the preceding 12 months. |
(B) | Rate shown is the yield to maturity at June 30, 2016. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. 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, 2016. 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 | $ | 331,329 | $ | — | $ | — | ||||||
Short-Term Securities | — | 8,277 | — | |||||||||
Total | $ | 331,329 | $ | 8,277 | $ | — |
During the period ended June 30, 2016, 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.
94 | SEMIANNUAL REPORT | 2016 |
Table of Contents
PORTFOLIO HIGHLIGHTS | VALUE |
ALL DATA AS OF JUNE 30, 2016 (UNAUDITED)
Asset Allocation
Stocks | 95.5% | |||
Financials | 32.9% | |||
Health Care | 15.3% | |||
Information Technology | 11.6% | |||
Energy | 10.0% | |||
Consumer Discretionary | 9.9% | |||
Consumer Staples | 7.3% | |||
Utilities | 4.9% | |||
Materials | 3.3% | |||
Industrials | 0.3% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 4.5% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
JPMorgan Chase & Co. | Financials | Other Diversified Financial Services | ||
Citigroup, Inc. | Financials | Other Diversified Financial Services | ||
Microsoft Corp. | Information Technology | Systems Software | ||
Duke Energy Corp. | Utilities | Electric Utilities | ||
Capital One Financial Corp. | Financials | Consumer Finance | ||
American International Group, Inc. | Financials | Multi-Line Insurance | ||
MetLife, Inc. | Financials | Life & Health Insurance | ||
Dow Chemical Co. (The) | Materials | Diversified Chemicals | ||
Comcast Corp., Class A | Consumer Discretionary | Cable & Satellite | ||
Hess Corp. | Energy | Integrated Oil & Gas |
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.
2016 | SEMIANNUAL REPORT | 95 |
Table of Contents
SCHEDULE OF INVESTMENTS | VALUE (in thousands) |
JUNE 30, 2016 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Cable & Satellite – 3.1% |
| |||||||
Comcast Corp., Class A | 178 | $ | 11,598 | |||||
|
| |||||||
Casinos & Gaming – 2.1% |
| |||||||
Las Vegas Sands, Inc. | 174 | 7,550 | ||||||
|
| |||||||
General Merchandise Stores – 2.5% |
| |||||||
Target Corp. | 133 | 9,251 | ||||||
|
| |||||||
Housewares & Specialties – 2.2% |
| |||||||
Newell Rubbermaid, Inc. | 166 | 8,077 | ||||||
|
| |||||||
Total Consumer Discretionary – 9.9% |
| 36,476 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 2.8% |
| |||||||
Ingredion, Inc. | 80 | 10,301 | ||||||
|
| |||||||
Drug Retail – 2.5% |
| |||||||
CVS Caremark Corp. | 95 | 9,086 | ||||||
|
| |||||||
Tobacco – 2.0% |
| |||||||
Philip Morris International, Inc. | 75 | 7,578 | ||||||
|
| |||||||
Total Consumer Staples – 7.3% |
| 26,965 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 4.6% |
| |||||||
Chevron Corp. | 56 | 5,839 | ||||||
Hess Corp. | 187 | 11,227 | ||||||
|
| |||||||
17,066 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 2.8% |
| |||||||
Marathon Petroleum Corp.(A) | 267 | 10,128 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 2.6% |
| |||||||
Energy Transfer Partners L.P. | 75 | 2,870 | ||||||
VTTI Energy Partners L.P. | 329 | 6,681 | ||||||
|
| |||||||
9,551 | ||||||||
|
| |||||||
Total Energy – 10.0% |
| 36,745 | ||||||
Financials |
| |||||||
Consumer Finance – 5.8% |
| |||||||
Capital One Financial Corp. | 213 | 13,502 | ||||||
Synchrony Financial(B) | 314 | 7,925 | ||||||
|
| |||||||
21,427 | ||||||||
|
| |||||||
Life & Health Insurance – 3.3% |
| |||||||
MetLife, Inc. | 306 | 12,196 | ||||||
|
| |||||||
Mortgage REITs – 2.6% |
| |||||||
American Capital Agency Corp. | 479 | 9,496 | ||||||
|
| |||||||
Multi-Line Insurance – 3.7% |
| |||||||
American International Group, Inc.(A) | 254 | 13,450 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Other Diversified Financial Services – 9.5% |
| |||||||
Citigroup, Inc.(A) | 408 | $ | 17,312 | |||||
JPMorgan Chase & Co. | 283 | 17,561 | ||||||
|
| |||||||
34,873 | ||||||||
|
| |||||||
Property & Casualty Insurance – 3.0% |
| |||||||
Allstate Corp. (The) | 157 | 11,010 | ||||||
|
| |||||||
Reinsurance – 2.5% |
| |||||||
Reinsurance Group of America, Inc. | 96 | 9,340 | ||||||
|
| |||||||
Specialized REITs – 2.5% |
| |||||||
Communications Sales & Leasing, Inc. | 321 | 9,268 | ||||||
|
| |||||||
Total Financials – 32.9% |
| 121,060 | ||||||
Health Care |
| |||||||
Biotechnology – 2.7% |
| |||||||
Amgen, Inc. | 66 | 10,057 | ||||||
|
| |||||||
Health Care Facilities – 2.8% |
| |||||||
HCA Holdings, Inc.(B) | 136 | 10,450 | ||||||
|
| |||||||
Managed Health Care – 6.8% |
| |||||||
Aetna, Inc. | 56 | 6,827 | ||||||
Anthem, Inc. | 64 | 8,458 | ||||||
Cigna Corp. | 44 | 5,581 | ||||||
Humana, Inc. | 22 | 3,993 | ||||||
|
| |||||||
24,859 | ||||||||
|
| |||||||
Pharmaceuticals – 3.0% |
| |||||||
Teva Pharmaceutical Industries Ltd. ADR | 218 | 10,935 | ||||||
|
| |||||||
Total Health Care – 15.3% |
| 56,301 | ||||||
Industrials |
| |||||||
Industrial Machinery – 0.3% |
| |||||||
Eaton Corp. | 20 | 1,195 | ||||||
|
| |||||||
Total Industrials – 0.3% |
| 1,195 | ||||||
Information Technology |
| |||||||
IT Consulting & Other Services – 0.7% |
| |||||||
Computer Sciences Corp. | 53 | 2,631 | ||||||
|
| |||||||
Semiconductor Equipment – 1.4% |
| |||||||
Lam Research Corp. | 63 | 5,271 | ||||||
|
| |||||||
Semiconductors – 3.0% |
| |||||||
Micron Technology, Inc.(A)(B) | 789 | 10,857 | ||||||
|
| |||||||
Systems Software – 4.3% |
| |||||||
Microsoft Corp. | 310 | 15,868 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 2.2% |
| |||||||
Western Digital Corp.(A) | 174 | 8,237 | ||||||
|
| |||||||
Total Information Technology – 11.6% |
| 42,864 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Materials |
| |||||||
Diversified Chemicals – 3.3% |
| |||||||
Dow Chemical Co. (The) | 244 | $ | 12,114 | |||||
|
| |||||||
Total Materials – 3.3% |
| 12,114 | ||||||
Utilities |
| |||||||
Electric Utilities – 4.9% |
| |||||||
Duke Energy Corp. | 159 | 13,641 | ||||||
Exelon Corp.(A) | 118 | 4,279 | ||||||
|
| |||||||
17,920 | ||||||||
|
| |||||||
Total Utilities – 4.9% |
| 17,920 | ||||||
TOTAL COMMON STOCKS – 95.5% |
| $ | 351,640 | |||||
(Cost: $355,028) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper(C) – 3.7% |
| |||||||
J.M. Smucker Co. (The), | ||||||||
0.620%, 7-6-16 | $ | 3,000 | 3,000 | |||||
Kroger Co. (The), | ||||||||
0.570%, 7-1-16 | 5,449 | 5,449 | ||||||
Novartis Finance Corp. (GTD by Novartis AG), | ||||||||
0.380%, 7-27-16 | 5,000 | 4,998 | ||||||
|
| |||||||
13,447 | ||||||||
|
| |||||||
Master Note – 0.7% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.590%, 7-6-16 (D) | 2,696 | 2,696 | ||||||
TOTAL SHORT-TERM SECURITIES – 4.4% |
| $ | 16,143 | |||||
(Cost: $16,143) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.9% |
| $ | 367,783 | |||||
(Cost: $371,171) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1% |
| 253 | ||||||
NET ASSETS – 100.0% | $ | 368,036 |
96 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS | VALUE (in thousands) |
JUNE 30, 2016 (UNAUDITED)
Notes to Schedule of Investments
(A) | All or a portion of securities with an aggregate value of $17,577 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, 2016. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2016. Date shown represents the date that the variable rate resets. |
The following written options were outstanding at June 30, 2016 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Expiration Month | Exercise Price | Premium Received | Value | |||||||||||||||||||
American International Group, Inc. | N/A | Call | 159 | July 2016 | $ | 60.00 | $ | 8 | $ | — | * | |||||||||||||||
Chevron Corp. | N/A | Put | 94 | July 2016 | 90.00 | 11 | (1 | ) | ||||||||||||||||||
Exelon Corp. | N/A | Call | 1,066 | July 2016 | 33.00 | 36 | (352 | ) | ||||||||||||||||||
Micron Technology, Inc. | N/A | Call | 823 | July 2016 | 15.00 | 13 | (18 | ) | ||||||||||||||||||
Newell Rubbermaid, Inc. | N/A | Put | 299 | September 2016 | 42.00 | 16 | (20 | ) | ||||||||||||||||||
Synchrony Financial | N/A | Put | 714 | August 2016 | 22.00 | 23 | (27 | ) | ||||||||||||||||||
VTTI Energy Partners L.P. | N/A | Put | 251 | July 2016 | 20.00 | 57 | (16 | ) | ||||||||||||||||||
Western Digital Corp. | N/A | Call | 235 | July 2016 | 55.00 | 13 | (2 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 177 | $ | (436 | ) | ||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2016. 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 | $ | 351,640 | $ | — | $ | — | ||||||
Short-Term Securities | — | 16,143 | — | |||||||||
Total | $ | 351,640 | $ | 16,143 | $ | — | ||||||
Liabilities | ||||||||||||
Written Options | $ | 373 | $ | 63 | $ | — |
During the period ended June 30, 2016, securities totaling $24 were transferred from Level 2 to Level 1 due to increased availability of observable market data due to increased market activity or information for these securities. 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 = Guarenteed
OTC = Over the Counter
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 97 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY FUNDS VIP |
AS OF JUNE 30, 2016 (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 unaffiliated securities at value+ | $ | 597 | $ | 595 | $ | 219 | $ | 441 | $ | 307 | $ | 10,464 | $ | 1,620 | |||||||||||||||||||||
Investments in affiliated securities at market value+ | 76,307 | 112,136 | 861,704 | 1,015,043 | 263,488 | 446,820 | 67,352 | ||||||||||||||||||||||||||||
Investments at Market Value | 76,904 | 112,731 | 861,923 | 1,015,484 | 263,795 | 457,284 | 68,972 | ||||||||||||||||||||||||||||
Cash | 1 | 1 | 1 | 1 | 1 | 1 | 1 | ||||||||||||||||||||||||||||
Restricted cash | — | — | — | — | — | 2,593 | 397 | ||||||||||||||||||||||||||||
Investment securities sold receivable | — | — | 380 | 158 | 292 | — | — | ||||||||||||||||||||||||||||
Dividends and interest receivable | — | * | 2 | 8 | 5 | 3 | 5 | 1 | |||||||||||||||||||||||||||
Capital shares sold receivable | 320 | — | * | 146 | 2 | — | * | 1,361 | 124 | ||||||||||||||||||||||||||
Total Assets | 77,225 | 112,734 | 862,458 | 1,015,650 | 264,091 | 461,244 | 69,495 | ||||||||||||||||||||||||||||
LIABILITIES | |||||||||||||||||||||||||||||||||||
Capital shares redeemed payable | 1 | 27 | 113 | 92 | 600 | 11 | 52 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 5 | 5 | 38 | 47 | 12 | 4 | 1 | ||||||||||||||||||||||||||||
Shareholder servicing payable | — | * | 1 | 4 | 4 | 1 | 2 | — | * | ||||||||||||||||||||||||||
Investment management fee payable | — | — | — | — | — | 3 | — | * | |||||||||||||||||||||||||||
Accounting services fee payable | 2 | 3 | 12 | 14 | 5 | 7 | 2 | ||||||||||||||||||||||||||||
Variation margin payable | — | — | — | — | — | 754 | 117 | ||||||||||||||||||||||||||||
Other liabilities | 3 | 3 | 10 | 13 | 7 | 5 | 1 | ||||||||||||||||||||||||||||
Total Liabilities | 11 | 39 | 177 | 170 | 625 | 786 | 173 | ||||||||||||||||||||||||||||
Total Net Assets | $ | 77,214 | $ | 112,695 | $ | 862,281 | $ | 1,015,480 | $ | 263,466 | $ | 460,458 | $ | 69,322 | |||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 83,198 | $ | 115,590 | $ | 878,359 | $ | 1,037,632 | $ | 270,229 | $ | 487,660 | $ | 75,835 | |||||||||||||||||||||
Undistributed net investment income | 706 | 802 | 6,693 | 8,721 | 2,076 | 2,931 | 462 | ||||||||||||||||||||||||||||
Accumulated net realized gain | 4,786 | 4,012 | 41,493 | 53,983 | 10,846 | 18,231 | 3,035 | ||||||||||||||||||||||||||||
Net unrealized depreciation | (11,476 | ) | (7,709 | ) | (64,264 | ) | (84,856 | ) | (19,685 | ) | (48,364 | ) | (10,010 | ) | |||||||||||||||||||||
Total Net Assets | $ | 77,214 | $ | 112,695 | $ | 862,281 | $ | 1,015,480 | $ | 263,466 | $ | 460,458 | $ | 69,322 | |||||||||||||||||||||
CAPITAL SHARES OUTSTANDING | 17,570 | 23,672 | 179,596 | 208,175 | 54,742 | 90,694 | 14,265 | ||||||||||||||||||||||||||||
NET ASSET VALUE PER SHARE | $ | 4.39 | $ | 4.76 | $ | 4.80 | $ | 4.88 | $ | 4.81 | $ | 5.08 | $ | 4.86 | |||||||||||||||||||||
+COST | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 597 | $ | 595 | $ | 219 | $ | 441 | $ | 307 | $ | 10,464 | $ | 1,620 | |||||||||||||||||||||
Investments in affiliated securities at cost | 87,783 | 119,845 | 925,968 | 1,099,899 | 283,173 | 493,786 | 77,151 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
98 | SEMIANNUAL REPORT | 2016 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY FUNDS VIP |
AS OF JUNE 30, 2016 (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 unaffiliated securities at value+ | $ | 1,167 | $ | 1,010,611 | $ | 366,677 | $ | 279,762 | $ | 433,592 | $ | 512,791 | $ | 155,259 | |||||||||||||||||||||
Investments in affiliated securities at market value+ | 59,738 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Bullion at value+ | — | 74,706 | — | — | — | — | — | ||||||||||||||||||||||||||||
Investments at Market Value | 60,905 | 1,085,317 | 366,677 | 279,762 | 433,592 | 512,791 | 155,259 | ||||||||||||||||||||||||||||
Cash | 1 | 2,377 | 27 | 1 | 1 | 1 | 237 | ||||||||||||||||||||||||||||
Cash denominated in foreign currencies at value+ | — | 1 | — | — | — | — | — | ||||||||||||||||||||||||||||
Restricted cash | 338 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Investment securities sold receivable | — | — | 3,220 | 2,708 | 2,221 | 1,708 | — | ||||||||||||||||||||||||||||
Dividends and interest receivable | 1 | 4,845 | 1,104 | 2,004 | 514 | 1,013 | 64 | ||||||||||||||||||||||||||||
Capital shares sold receivable | 12 | 149 | 219 | 142 | 110 | 23 | 66 | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | 53 | — | — | — | — | — | ||||||||||||||||||||||||||||
Total Assets | 61,257 | 1,092,742 | 371,247 | 284,617 | 436,438 | 515,536 | 155,626 | ||||||||||||||||||||||||||||
LIABILITIES | |||||||||||||||||||||||||||||||||||
Investment securities purchased payable | — | — | 1,210 | 2,494 | 7,446 | 1,824 | 235 | ||||||||||||||||||||||||||||
Capital shares redeemed payable | 5 | 1,775 | 60 | 111 | 207 | 140 | 73 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 1 | 128 | 73 | 69 | 145 | 26 | 5 | ||||||||||||||||||||||||||||
Distribution and service fees payable | — | 7 | 3 | 2 | 3 | 4 | 1 | ||||||||||||||||||||||||||||
Shareholder servicing payable | — | * | 6 | 2 | 1 | 2 | 2 | 1 | |||||||||||||||||||||||||||
Investment management fee payable | — | * | 21 | 7 | 4 | 8 | 10 | 4 | |||||||||||||||||||||||||||
Accounting services fee payable | 2 | 21 | 10 | 8 | 10 | 11 | 5 | ||||||||||||||||||||||||||||
Variation margin payable | 98 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Written options at value+ | — | 837 | 1 | — | — | — | — | ||||||||||||||||||||||||||||
Other liabilities | 1 | 33 | 8 | 6 | 8 | 8 | 3 | ||||||||||||||||||||||||||||
Total Liabilities | 107 | 2,828 | 1,374 | 2,695 | 7,829 | 2,025 | 327 | ||||||||||||||||||||||||||||
Total Net Assets | $ | 61,150 | $ | 1,089,914 | $ | 369,873 | $ | 281,922 | $ | 428,609 | $ | 513,511 | $ | 155,299 | |||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 64,564 | $ | 1,182,038 | $ | 348,229 | $ | 267,973 | $ | 396,510 | $ | 447,654 | $ | 170,055 | |||||||||||||||||||||
Undistributed (distributions in excess of) net investment income | 348 | 21,629 | 2,751 | 2,412 | (344 | ) | 3,760 | (197 | ) | ||||||||||||||||||||||||||
Accumulated net realized gain (loss) | 2,020 | (65,508 | ) | 1,285 | 3,048 | 7,668 | 2,732 | (22,652 | ) | ||||||||||||||||||||||||||
Net unrealized appreciation (depreciation) | (5,782 | ) | (48,245 | ) | 17,608 | 8,489 | 24,775 | 59,365 | 8,093 | ||||||||||||||||||||||||||
Total Net Assets | $ | 61,150 | $ | 1,089,914 | $ | 369,873 | $ | 281,922 | $ | 428,609 | $ | 513,511 | $ | 155,299 | |||||||||||||||||||||
CAPITAL SHARES OUTSTANDING | 12,307 | 135,660 | 50,630 | 52,467 | 41,887 | 68,858 | 26,597 | ||||||||||||||||||||||||||||
NET ASSET VALUE PER SHARE | $ | 4.97 | $ | 8.03 | $ | 7.31 | $ | 5.37 | $ | 10.23 | $ | 7.46 | $ | 5.84 | |||||||||||||||||||||
+COST | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 1,167 | $ | 1,064,525 | $ | 349,173 | $ | 271,273 | $ | 408,817 | $ | 453,426 | $ | 147,166 | |||||||||||||||||||||
Investments in affiliated securities at cost | 65,341 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Bullion at cost | — | 69,043 | — | — | — | — | — | ||||||||||||||||||||||||||||
Cash denominated in foreign currencies at cost | — | 1 | — | — | — | — | — | ||||||||||||||||||||||||||||
Written options premiums received at cost | — | 842 | 105 | — | — | — | — |
*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.
2016 | SEMIANNUAL REPORT | 99 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY FUNDS VIP |
AS OF JUNE 30, 2016 (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+ | $ | 20,893 | $ | 471,606 | $ | 128,650 | $ | 835,255 | $ | 756,485 | $ | 628,021 | $ | 378,022 | |||||||||||||||||||||
Investments at Market Value | 20,893 | 471,606 | 128,650 | 835,255 | 756,485 | 628,021 | 378,022 | ||||||||||||||||||||||||||||
Cash | 2 | 1 | — | * | 1 | 1,368 | 1 | 1 | |||||||||||||||||||||||||||
Cash denominated in foreign currencies at value+ | — | 1 | — | — | 6 | 620 | — | ||||||||||||||||||||||||||||
Restricted cash | — | — | — | — | 130 | 20 | — | ||||||||||||||||||||||||||||
Investment securities sold receivable | — | 7,896 | — | 4,812 | 1,191 | 4,892 | 5,736 | ||||||||||||||||||||||||||||
Dividends and interest receivable | 215 | 683 | 146 | 545 | 12,847 | 2,991 | 2,661 | ||||||||||||||||||||||||||||
Capital shares sold receivable | 8 | 132 | 191 | 4 | 562 | 746 | — | * | |||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | 11 | 41 | 822 | — | 65 | 3,323 | — | ||||||||||||||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | 2 | — | — | ||||||||||||||||||||||||||||
Prepaid and other assets | — | — | — | 1 | 1 | — | — | ||||||||||||||||||||||||||||
Total Assets | 21,129 | 480,360 | 129,809 | 840,618 | 772,657 | 640,614 | 386,420 | ||||||||||||||||||||||||||||
LIABILITIES | |||||||||||||||||||||||||||||||||||
Investment securities purchased payable | — | 11,650 | — | 15,270 | 4,532 | 688 | — | ||||||||||||||||||||||||||||
Capital shares redeemed payable | 28 | 139 | 255 | 436 | 1,805 | 4,201 | 107 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 1 | 51 | 15 | 213 | 50 | 65 | 13 | ||||||||||||||||||||||||||||
Distribution and service fees payable | — | * | 3 | 1 | 5 | 5 | 4 | 3 | |||||||||||||||||||||||||||
Shareholder servicing payable | — | * | 2 | 1 | 4 | 3 | 3 | 2 | |||||||||||||||||||||||||||
Investment management fee payable | — | 11 | 3 | 15 | 12 | 15 | 5 | ||||||||||||||||||||||||||||
Accounting services fee payable | 1 | 11 | 5 | 17 | 17 | 13 | 10 | ||||||||||||||||||||||||||||
Other liabilities | 2 | 14 | 9 | 19 | 54 | 22 | 7 | ||||||||||||||||||||||||||||
Total Liabilities | 32 | 11,881 | 289 | 15,979 | 6,478 | 5,011 | 147 | ||||||||||||||||||||||||||||
Total Net Assets | $ | 21,097 | $ | 468,479 | $ | 129,520 | $ | 824,639 | $ | 766,179 | $ | 635,603 | $ | 386,273 | |||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 22,331 | $ | 454,049 | $ | 187,009 | $ | 640,834 | $ | 850,197 | $ | 695,158 | $ | 380,865 | |||||||||||||||||||||
Undistributed net investment income | 279 | 776 | 191 | 888 | 26,861 | 8,584 | 2,861 | ||||||||||||||||||||||||||||
Accumulated net realized gain (loss) | (1,101 | ) | (5,947 | ) | (48,865 | ) | 35,640 | (48,134 | ) | (25,930 | ) | (3,506 | ) | ||||||||||||||||||||||
Net unrealized appreciation (depreciation) | (412 | ) | 19,601 | (8,815 | ) | 147,277 | (62,745 | ) | (42,209 | ) | 6,053 | ||||||||||||||||||||||||
Total Net Assets | $ | 21,097 | $ | 468,479 | $ | 129,520 | $ | 824,639 | $ | 766,179 | $ | 635,603 | $ | 386,273 | |||||||||||||||||||||
CAPITAL SHARES OUTSTANDING | 4,404 | 59,333 | 32,006 | 84,581 | 229,503 | 44,411 | 78,349 | ||||||||||||||||||||||||||||
NET ASSET VALUE PER SHARE | $ | 4.79 | $ | 7.90 | $ | 4.05 | $ | 9.75 | $ | 3.34 | $ | 14.31 | $ | 4.93 | |||||||||||||||||||||
+COST | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 21,318 | $ | 451,999 | $ | 138,287 | $ | 687,978 | $ | 819,297 | $ | 673,503 | $ | 371,969 | |||||||||||||||||||||
Cash denominated in foreign currencies at cost | — | 1 | — | — | 6 | 620 | — |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
100 | SEMIANNUAL REPORT | 2016 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY FUNDS VIP |
AS OF JUNE 30, 2016 (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+ | $ | 55,793 | $ | 599,831 | $ | 539,688 | $ | 50,041 | $ | 505,019 | $ | 429,387 | $ | 339,606 | |||||||||||||||||||||
Investments at Market Value | 55,793 | 599,831 | 539,688 | 50,041 | 505,019 | 429,387 | 339,606 | ||||||||||||||||||||||||||||
Cash | 1 | 1 | 32 | 75 | 1 | 1 | 1 | ||||||||||||||||||||||||||||
Investment securities sold receivable | 306 | 1,060 | — | 117 | 727 | — | 8,628 | ||||||||||||||||||||||||||||
Dividends and interest receivable | 12 | 357 | 204 | 151 | 240 | 86 | 412 | ||||||||||||||||||||||||||||
Capital shares sold receivable | 113 | 150 | 206 | 3 | 184 | 116 | 20 | ||||||||||||||||||||||||||||
Receivable from affiliates | — | 95 | 31 | — | — | — | — | ||||||||||||||||||||||||||||
Prepaid and other assets | — | — | 1 | — | — | — | — | ||||||||||||||||||||||||||||
Total Assets | 56,225 | 601,494 | 540,162 | 50,387 | 506,171 | 429,590 | 348,667 | ||||||||||||||||||||||||||||
LIABILITIES | |||||||||||||||||||||||||||||||||||
Investment securities purchased payable | 161 | 11 | — | 161 | 711 | — | 7,190 | ||||||||||||||||||||||||||||
Capital shares redeemed payable | 127 | 250 | 166 | 21 | 7,038 | 170 | 172 | ||||||||||||||||||||||||||||
Distributions payable | — | — | 26 | — | — | — | — | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 6 | 18 | 34 | 5 | 66 | 88 | 26 | ||||||||||||||||||||||||||||
Distribution and service fees payable | — | * | 4 | — | — | * | 3 | 3 | 2 | ||||||||||||||||||||||||||
Shareholder servicing payable | — | * | 2 | 2 | — | * | 3 | 2 | 1 | ||||||||||||||||||||||||||
Investment management fee payable | 2 | 14 | 6 | 1 | 11 | 10 | 8 | ||||||||||||||||||||||||||||
Accounting services fee payable | 3 | 13 | 11 | 2 | 11 | 10 | 8 | ||||||||||||||||||||||||||||
Written options at value+ | — | 1,780 | — | — | 610 | — | — | ||||||||||||||||||||||||||||
Other liabilities | 4 | 11 | 9 | 4 | 17 | 13 | 9 | ||||||||||||||||||||||||||||
Total Liabilities | 303 | 2,103 | 254 | 194 | 8,470 | 296 | 7,416 | ||||||||||||||||||||||||||||
Total Net Assets | $ | 55,922 | $ | 599,391 | $ | 539,908 | $ | 50,193 | $ | 497,701 | $ | 429,294 | $ | 341,251 | |||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 55,078 | $ | 569,806 | $ | 539,891 | $ | 39,598 | $ | 385,778 | $ | 398,355 | $ | 307,417 | |||||||||||||||||||||
Undistributed (distributions in excess of) net investment income | (256 | ) | (785 | ) | — | 767 | (1,346 | ) | (1,709 | ) | (886 | ) | |||||||||||||||||||||||
Accumulated net realized gain (loss) | (3,262 | ) | 395 | 17 | 2,069 | (4,982 | ) | (17,029 | ) | 13,587 | |||||||||||||||||||||||||
Net unrealized appreciation | 4,362 | 29,975 | — | 7,759 | 118,251 | 49,677 | 21,133 | ||||||||||||||||||||||||||||
Total Net Assets | $ | 55,922 | $ | 599,391 | $ | 539,908 | $ | 50,193 | $ | 497,701 | $ | 429,294 | $ | 341,251 | |||||||||||||||||||||
CAPITAL SHARES OUTSTANDING | 3,173 | 66,081 | 539,894 | 5,625 | 24,884 | 47,195 | 21,645 | ||||||||||||||||||||||||||||
NET ASSET VALUE PER SHARE | $ | 17.62 | $ | 9.07 | $ | 1.00 | $ | 8.92 | $ | 20.00 | $ | 9.10 | $ | 15.77 | |||||||||||||||||||||
+COST | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 51,431 | $ | 569,293 | $ | 539,688 | $ | 42,282 | $ | 386,885 | $ | 379,710 | $ | 318,473 | |||||||||||||||||||||
Written options premiums received at cost | — | 1,217 | — | — | 727 | — | — |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 101 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES | IVY FUNDS VIP |
AS OF JUNE 30, 2016 (UNAUDITED)
(In thousands, except per share amounts) | Value | ||||
ASSETS | |||||
Investments in unaffiliated securities at value+ | $ | 367,783 | |||
Investments at Market Value | 367,783 | ||||
Cash | 1 | ||||
Investment securities sold receivable | 4,500 | ||||
Dividends and interest receivable | 764 | ||||
Capital shares sold receivable | 38 | ||||
Total Assets | 373,086 | ||||
LIABILITIES | |||||
Investment securities purchased payable | 4,197 | ||||
Capital shares redeemed payable | 343 | ||||
Independent Trustees and Chief Compliance Officer fees payable | 45 | ||||
Distribution and service fees payable | 3 | ||||
Shareholder servicing payable | 2 | ||||
Investment management fee payable | 7 | ||||
Accounting services fee payable | 10 | ||||
Written options at value+ | 436 | ||||
Other liabilities | 7 | ||||
Total Liabilities | 5,050 | ||||
Total Net Assets | $ | 368,036 | |||
NET ASSETS | |||||
Capital paid in (shares authorized – unlimited) | $ | 377,273 | |||
Distributions in excess of net investment income | (2,261 | ) | |||
Accumulated net realized loss | (3,329 | ) | |||
Net unrealized depreciation | (3,647 | ) | |||
Total Net Assets | $ | 368,036 | |||
CAPITAL SHARES OUTSTANDING | 70,256 | ||||
NET ASSET VALUE PER SHARE | $ | 5.24 | |||
+COST | |||||
Investments in unaffiliated securities at cost | $ | 371,171 | |||
Written options premiums received at cost | 177 |
See Accompanying Notes to Financial Statements.
102 | SEMIANNUAL REPORT | 2016 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY FUNDS VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (UNAUDITED)
(In thousands) | Pathfinder Aggressive | Pathfinder Conservative | Pathfinder Moderate | Pathfinder Moderately Aggressive | Pathfinder Moderately Conservative | Pathfinder Managed | Pathfinder Managed | ||||||||||||||||||||||||||||
INVESTMENT INCOME | |||||||||||||||||||||||||||||||||||
Dividends from affiliated securities | $ | 746 | $ | 852 | $ | 6,895 | $ | 8,957 | $ | 2,163 | $ | 3,453 | $ | 587 | |||||||||||||||||||||
Interest and amortization from unaffiliated securities | 1 | 1 | 1 | 1 | 1 | 33 | 4 | ||||||||||||||||||||||||||||
Total Investment Income | 747 | 853 | 6,896 | 8,958 | 2,164 | 3,486 | 591 | ||||||||||||||||||||||||||||
EXPENSES | |||||||||||||||||||||||||||||||||||
Investment management fee | — | — | — | — | — | 420 | 66 | ||||||||||||||||||||||||||||
Shareholder servicing | 1 | 1 | 6 | 7 | 2 | 3 | 1 | ||||||||||||||||||||||||||||
Custodian fees | 1 | 1 | 1 | 1 | 1 | 2 | 1 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 2 | 3 | 24 | 30 | 7 | 10 | 2 | ||||||||||||||||||||||||||||
Accounting services fee | 13 | 18 | 73 | 85 | 29 | 42 | 12 | ||||||||||||||||||||||||||||
Professional fees | 12 | 13 | 23 | 33 | 21 | 20 | 16 | ||||||||||||||||||||||||||||
Other | 8 | 8 | 29 | 36 | 14 | 29 | 7 | ||||||||||||||||||||||||||||
Total Expenses | 37 | 44 | 156 | 192 | 74 | 526 | 105 | ||||||||||||||||||||||||||||
Net Investment Income | 710 | 809 | 6,740 | 8,766 | 2,090 | 2,960 | 486 | ||||||||||||||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||||||||||||||
Investments in affiliated securities | 68 | 169 | 2,105 | 2,903 | 307 | 258 | 51 | ||||||||||||||||||||||||||||
Distributions of realized capital gains from affiliated securities | 4,726 | 3,849 | 39,407 | 51,095 | 10,550 | 19,737 | 3,349 | ||||||||||||||||||||||||||||
Futures contracts | — | — | — | — | — | (1,565 | ) | (327 | ) | ||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | — | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Investments in affiliated securities | (7,022 | ) | (5,070 | ) | (55,616 | ) | (71,280 | ) | (14,656 | ) | (24,377 | ) | (4,312 | ) | |||||||||||||||||||||
Futures contracts | — | — | — | — | — | (1,592 | ) | (248 | ) | ||||||||||||||||||||||||||
Net Realized and Unrealized Loss | (2,228 | ) | (1,052 | ) | (14,104 | ) | (17,282 | ) | (3,799 | ) | (7,539 | ) | (1,487 | ) | |||||||||||||||||||||
Net Decrease in Net Assets Resulting from Operations | $ | (1,518 | ) | $ | (243 | ) | $ | (7,364 | ) | $ | (8,516 | ) | $ | (1,709 | ) | $ | (4,579 | ) | $ | (1,001 | ) |
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 103 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY FUNDS VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (UNAUDITED)
(In thousands) | Pathfinder Moderately Conservative - Managed Volatility | Asset Strategy(1) | Balanced | Bond | Core Equity | Dividend Opportunities | Energy | ||||||||||||||||||||||||||||
INVESTMENT INCOME | |||||||||||||||||||||||||||||||||||
Dividends from unaffiliated securities | $ | — | $ | 4,719 | $ | 2,351 | $ | — | $ | 2,905 | $ | 6,293 | $ | 706 | |||||||||||||||||||||
Dividends from affiliated securities | 459 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Foreign dividend withholding tax | — | (144 | ) | (43 | ) | — | (65 | ) | (77 | ) | (15 | ) | |||||||||||||||||||||||
Interest and amortization from unaffiliated securities | 4 | 5,148 | 2,197 | 3,597 | 15 | 115 | 14 | ||||||||||||||||||||||||||||
Foreign interest withholding tax | — | — | * | — | — | — | — | — | |||||||||||||||||||||||||||
Payment in-kind bond security income | — | 28 | — | — | — | — | — | ||||||||||||||||||||||||||||
Total Investment Income | 463 | 9,751 | 4,505 | 3,597 | 2,855 | 6,331 | 705 | ||||||||||||||||||||||||||||
EXPENSES | |||||||||||||||||||||||||||||||||||
Investment management fee | 55 | 3,986 | 1,276 | 659 | 1,496 | 1,735 | 550 | ||||||||||||||||||||||||||||
Service fee | — | 1,437 | 456 | 347 | 534 | 620 | 162 | ||||||||||||||||||||||||||||
Shareholder servicing | — | * | 9 | 2 | 2 | 3 | 3 | 1 | |||||||||||||||||||||||||||
Custodian fees | 1 | 22 | 5 | 4 | 5 | 6 | 4 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 1 | 37 | 12 | 9 | 16 | 14 | 3 | ||||||||||||||||||||||||||||
Accounting services fee | 12 | 124 | 60 | 46 | 62 | 66 | 31 | ||||||||||||||||||||||||||||
Professional fees | 15 | 117 | 23 | 24 | 19 | 21 | 17 | ||||||||||||||||||||||||||||
Other | 7 | 78 | 18 | 16 | 19 | 20 | 14 | ||||||||||||||||||||||||||||
Total Expenses | 91 | 5,810 | 1,852 | 1,107 | 2,154 | 2,485 | 782 | ||||||||||||||||||||||||||||
Less: | |||||||||||||||||||||||||||||||||||
Expenses in excess of limit | — | (50 | ) | — | — | (107 | ) | — | — | ||||||||||||||||||||||||||
Total Net Expenses | 91 | 5,760 | 1,852 | 1,107 | 2,047 | 2,485 | 782 | ||||||||||||||||||||||||||||
Net Investment Income (Loss) | 372 | 3,991 | 2,653 | 2,490 | 808 | 3,846 | (77 | ) | |||||||||||||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | — | (15,678 | ) | 712 | 3,063 | 6,914 | 574 | (7,053 | ) | ||||||||||||||||||||||||||
Investments in affiliated securities | 28 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Distributions of realized capital gains from affiliated securities | 2,238 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Futures contracts | (211 | ) | 1,580 | — | — | — | — | — | |||||||||||||||||||||||||||
Written options | — | 1,384 | 681 | — | — | — | — | ||||||||||||||||||||||||||||
Forward foreign currency contracts | — | (891 | ) | — | — | — | — | — | |||||||||||||||||||||||||||
Foreign currency exchange transactions | — | 15 | — | — | — | 2 | 1 | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | — | (24,730 | ) | (5,618 | ) | 11,034 | (10,592 | ) | 7,713 | 28,672 | |||||||||||||||||||||||||
Investments in affiliated securities | (2,857 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
Futures contracts | (212 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
Written options | — | (1,112 | ) | 104 | — | — | — | — | |||||||||||||||||||||||||||
Forward foreign currency contracts | — | (155 | ) | — | — | — | — | — | |||||||||||||||||||||||||||
Foreign currency exchange transactions | — | 19 | — | — | — | — | — | * | |||||||||||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | (1,014 | ) | (39,568 | ) | (4,121 | ) | 14,097 | (3,678 | ) | 8,289 | 21,620 | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (642 | ) | $ | (35,577 | ) | $ | (1,468 | ) | $ | 16,587 | $ | (2,870 | ) | $ | 12,135 | $ | 21,543 |
*Not shown due to rounding.
(1) Consolidated Statement of Operations (See Note 6 in Notes to Financial Statements).
See Accompanying Notes to Financial Statements.
104 | SEMIANNUAL REPORT | 2016 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY FUNDS VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (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 | $ | 27 | $ | 3,787 | $ | 1,092 | $ | 5,147 | $ | 269 | $ | 13,226 | $ | — | |||||||||||||||||||||
Foreign dividend withholding tax | — | * | (233 | ) | (37 | ) | (46 | ) | — | (876 | ) | — | |||||||||||||||||||||||
Interest and amortization from unaffiliated securities | 373 | 73 | 12 | 49 | 29,886 | 42 | 4,442 | ||||||||||||||||||||||||||||
Foreign interest withholding tax | — | — | * | — | — | — | — | * | — | ||||||||||||||||||||||||||
Total Investment Income | 400 | 3,627 | 1,067 | 5,150 | 30,155 | 12,392 | 4,442 | ||||||||||||||||||||||||||||
EXPENSES | |||||||||||||||||||||||||||||||||||
Investment management fee | 63 | 2,011 | 587 | 2,912 | 2,276 | 2,688 | 964 | ||||||||||||||||||||||||||||
Service fee | 25 | 592 | 147 | 1,040 | 922 | 791 | 482 | ||||||||||||||||||||||||||||
Shareholder servicing | — | * | 3 | 1 | 6 | 5 | 4 | 3 | |||||||||||||||||||||||||||
Custodian fees | 2 | 14 | 3 | 7 | 6 | 45 | 4 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | — | * | 14 | 4 | 30 | 21 | 20 | 11 | |||||||||||||||||||||||||||
Accounting services fee | 7 | 65 | 30 | 102 | 89 | 80 | 61 | ||||||||||||||||||||||||||||
Professional fees | 20 | 27 | 22 | 27 | 43 | 28 | 26 | ||||||||||||||||||||||||||||
Other | 5 | 23 | 14 | 35 | 29 | 47 | 11 | ||||||||||||||||||||||||||||
Total Expenses | 122 | 2,749 | 808 | 4,159 | 3,391 | 3,703 | 1,562 | ||||||||||||||||||||||||||||
Less: | |||||||||||||||||||||||||||||||||||
Expenses in excess of limit | (63 | ) | (71 | ) | — | (125 | ) | (125 | ) | — | — | ||||||||||||||||||||||||
Total Net Expenses | 59 | 2,678 | 808 | 4,034 | 3,266 | 3,703 | 1,562 | ||||||||||||||||||||||||||||
Net Investment Income | 341 | 949 | 259 | 1,116 | 26,889 | 8,689 | 2,880 | ||||||||||||||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | (329 | ) | (5,938 | ) | (10,385 | ) | 35,664 | (26,368 | ) | (23,879 | ) | 1,148 | |||||||||||||||||||||||
Written options | — | — | — | — | — | (25 | ) | — | |||||||||||||||||||||||||||
Swap agreements | — | — | — | — | 222 | — | — | ||||||||||||||||||||||||||||
Forward foreign currency contracts | 3 | — | (113 | ) | — | (289 | ) | (759 | ) | — | |||||||||||||||||||||||||
Foreign currency exchange transactions | (3 | ) | (118 | ) | 3 | — | 4 | (9 | ) | — | |||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | 948 | (25,158 | ) | 23,115 | (74,663 | ) | 53,604 | (22,952 | ) | 6,621 | |||||||||||||||||||||||||
Swap agreements | — | — | — | — | 29 | — | — | ||||||||||||||||||||||||||||
Forward foreign currency contracts | 8 | 41 | 611 | — | 10 | 2,301 | — | ||||||||||||||||||||||||||||
Foreign currency exchange transactions | 4 | 30 | — | * | — | — | * | 18 | — | ||||||||||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | 631 | (31,143 | ) | 13,231 | (38,999 | ) | 27,212 | (45,305 | ) | 7,769 | |||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 972 | $ | (30,194 | ) | $ | 13,490 | $ | (37,883 | ) | $ | 54,101 | $ | (36,616 | ) | $ | 10,649 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 105 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY FUNDS VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (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 | $ | 87 | $ | 2,389 | $ | — | $ | 941 | $ | 1,333 | $ | 590 | $ | 2,005 | |||||||||||||||||||||
Foreign dividend withholding tax | — | — | — | — | (12 | ) | — | — | |||||||||||||||||||||||||||
Interest and amortization from unaffiliated securities | 8 | 42 | 1,387 | 1 | 184 | 64 | 27 | ||||||||||||||||||||||||||||
Total Investment Income | 95 | 2,431 | 1,387 | 942 | 1,505 | 654 | 2,032 | ||||||||||||||||||||||||||||
EXPENSES | |||||||||||||||||||||||||||||||||||
Investment management fee | 249 | 2,434 | 1,081 | 210 | 2,186 | 1,690 | 1,350 | ||||||||||||||||||||||||||||
Service fee | 65 | 716 | — | 58 | 643 | 497 | 397 | ||||||||||||||||||||||||||||
Shareholder servicing | — | * | 4 | 4 | — | * | 4 | 3 | 2 | ||||||||||||||||||||||||||
Custodian fees | 2 | 7 | 7 | 3 | 22 | 6 | 9 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 2 | 16 | 15 | 2 | 17 | 14 | 9 | ||||||||||||||||||||||||||||
Accounting services fee | 19 | 74 | 68 | 14 | 67 | 61 | 48 | ||||||||||||||||||||||||||||
Professional fees | 14 | 21 | 18 | 12 | 20 | 16 | 16 | ||||||||||||||||||||||||||||
Other | 8 | 30 | 16 | 7 | 54 | 24 | 13 | ||||||||||||||||||||||||||||
Total Expenses | 359 | 3,302 | 1,209 | 306 | 3,013 | 2,311 | 1,844 | ||||||||||||||||||||||||||||
Less: | |||||||||||||||||||||||||||||||||||
Expenses in excess of limit | — | (153 | ) | (31 | ) | (21 | ) | (52 | ) | (40 | ) | — | |||||||||||||||||||||||
Total Net Expenses | 359 | 3,149 | 1,178 | 285 | 2,961 | 2,271 | 1,844 | ||||||||||||||||||||||||||||
Net Investment Income (Loss) | (264 | ) | (718 | ) | 209 | 657 | (1,456 | ) | (1,617 | ) | 188 | ||||||||||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | (3,256 | ) | (153 | ) | 17 | 2,214 | (4,001 | ) | (16,900 | ) | 13,409 | ||||||||||||||||||||||||
Written options | — | 1,056 | — | — | (916 | ) | — | — | |||||||||||||||||||||||||||
Foreign currency exchange transactions | — | (2 | ) | — | — | — | * | — | — | ||||||||||||||||||||||||||
Net change in unrealized appreciation | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | 1,560 | 14,409 | — | 2,066 | (46,598 | ) | 4,903 | 19,904 | |||||||||||||||||||||||||||
Written options | — | (1,649 | ) | — | — | (56 | ) | — | — | ||||||||||||||||||||||||||
Foreign currency exchange transactions | — | 1 | — | — | — | * | — | — | |||||||||||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | (1,696 | ) | 13,662 | 17 | 4,280 | (51,571 | ) | (11,997 | ) | 33,313 | |||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (1,960 | ) | $ | 12,944 | $ | 226 | $ | 4,937 | $ | (53,027 | ) | $ | (13,614 | ) | $ | 33,501 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
106 | SEMIANNUAL REPORT | 2016 |
Table of Contents
STATEMENTS OF OPERATIONS | IVY FUNDS VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2016 (UNAUDITED)
(In thousands) | Value | ||||
INVESTMENT INCOME | |||||
Dividends from unaffiliated securities | $ | 4,235 | |||
Foreign dividend withholding tax | (21 | ) | |||
Interest and amortization from unaffiliated securities | 55 | ||||
Total Investment Income | 4,269 | ||||
EXPENSES | |||||
Investment management fee | 1,272 | ||||
Service fee | 454 | ||||
Shareholder servicing | 2 | ||||
Custodian fees | 4 | ||||
Independent Trustees and Chief Compliance Officer fees | 12 | ||||
Accounting services fee | 58 | ||||
Professional fees | 21 | ||||
Other | 95 | ||||
Total Expenses | 1,918 | ||||
Less: | |||||
Expenses in excess of limit | (18 | ) | |||
Total Net Expenses | 1,900 | ||||
Net Investment Income | 2,369 | ||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||
Net realized gain (loss) on: | |||||
Investments in unaffiliated securities | (8,095 | ) | |||
Written options | 197 | ||||
Net change in unrealized appreciation (depreciation) on: | |||||
Investments in unaffiliated securities | (857 | ) | |||
Written options | (518 | ) | |||
Net Realized and Unrealized Loss | (9,273 | ) | |||
Net Decrease in Net Assets Resulting from Operations | $ | (6,904 | ) |
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 107 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY FUNDS VIP |
Pathfinder Aggressive | Pathfinder Conservative | Pathfinder Moderate | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-16 (Unaudited) | Year ended 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year ended 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year ended 12-31-15 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 710 | $ | 1,185 | $ | 809 | $ | 1,311 | $ | 6,740 | $ | 11,297 | ||||||||||||||||||
Net realized gain on investments | 4,794 | 7,754 | 4,018 | 7,057 | 41,512 | 68,307 | ||||||||||||||||||||||||
Net change in unrealized depreciation | (7,022 | ) | (8,650 | ) | (5,070 | ) | (7,776 | ) | (55,616 | ) | (75,994 | ) | ||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,518 | ) | 289 | (243 | ) | 592 | (7,364 | ) | 3,610 | |||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income | (1,183 | ) | (2,349 | ) | (1,313 | ) | (1,383 | ) | (11,307 | ) | (15,558 | ) | ||||||||||||||||||
Net realized gains | (7,759 | ) | (8,641 | ) | (7,061 | ) | (7,709 | ) | (68,309 | ) | (74,025 | ) | ||||||||||||||||||
Total Distributions to Shareholders | (8,942 | ) | (10,990 | ) | (8,374 | ) | (9,092 | ) | (79,616 | ) | (89,583 | ) | ||||||||||||||||||
Capital Share Transactions | 2,538 | 11,001 | 3,885 | 3,649 | 56,667 | 50,072 | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (7,922 | ) | 300 | (4,732 | ) | (4,851 | ) | (30,313 | ) | (35,901 | ) | |||||||||||||||||||
Net Assets, Beginning of Period | 85,136 | 84,836 | 117,427 | 122,278 | 892,594 | 928,495 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 77,214 | $ | 85,136 | $ | 112,695 | $ | 117,427 | $ | 862,281 | $ | 892,594 | ||||||||||||||||||
Undistributed net investment income | $ | 706 | $ | 1,179 | $ | 802 | $ | 1,306 | $ | 6,693 | $ | 11,260 | ||||||||||||||||||
Pathfinder Moderately Aggressive | Pathfinder Moderately Conservative | Pathfinder Moderate - Managed Volatility | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-16 (Unaudited) | Year ended 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year ended 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year ended 12-31-15 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 8,766 | $ | 16,512 | $ | 2,090 | $ | 3,420 | $ | 2,960 | $ | 2,609 | ||||||||||||||||||
Net realized gain on investments | 53,998 | 90,384 | 10,857 | 19,158 | 18,430 | 15,146 | ||||||||||||||||||||||||
Net change in unrealized depreciation | (71,280 | ) | (105,515 | ) | (14,656 | ) | (21,368 | ) | (25,969 | ) | (22,003 | ) | ||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (8,516 | ) | 1,381 | (1,709 | ) | 1,210 | (4,579 | ) | (4,248 | ) | ||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income | (16,506 | ) | (25,209 | ) | (3,418 | ) | (4,238 | ) | (2,612 | ) | — | |||||||||||||||||||
Net realized gains | (90,369 | ) | (92,919 | ) | (19,162 | ) | (22,167 | ) | (15,291 | ) | — | |||||||||||||||||||
Total Distributions to Shareholders | (106,875 | ) | (118,128 | ) | (22,580 | ) | (26,405 | ) | (17,903 | ) | — | |||||||||||||||||||
Capital Share Transactions | 76,446 | 73,240 | 16,063 | 5,539 | 87,440 | 196,636 | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (38,945 | ) | (43,507 | ) | (8,226 | ) | (19,656 | ) | 64,958 | 192,388 | ||||||||||||||||||||
Net Assets, Beginning of Period | 1,054,425 | 1,097,932 | 271,692 | 291,348 | 395,500 | 203,112 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 1,015,480 | $ | 1,054,425 | $ | 263,466 | $ | 271,692 | $ | 460,458 | $ | 395,500 | ||||||||||||||||||
Undistributed net investment income | $ | 8,721 | $ | 16,461 | $ | 2,076 | $ | 3,404 | $ | 2,931 | $ | 2,583 |
See Accompanying Notes to Financial Statements.
108 | SEMIANNUAL REPORT | 2016 |
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 6-30-16 (Unaudited) | Year 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year ended 12-31-15 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 486 | $ | 625 | $ | 372 | $ | 323 | $ | 3,991 | $ | 11,864 | ||||||||||||||||||
Net realized gain (loss) on investments | 3,073 | 3,401 | 2,055 | 1,804 | (13,590 | ) | (67,184 | ) | ||||||||||||||||||||||
Net change in unrealized depreciation | (4,560 | ) | (4,904 | ) | (3,069 | ) | (2,659 | ) | (25,978 | ) | (65,940 | ) | ||||||||||||||||||
Net Decrease in Net Assets Resulting from Operations | (1,001 | ) | (878 | ) | (642 | ) | (532 | ) | (35,577 | ) | (121,260 | ) | ||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income | (624 | ) | — | (322 | ) | — | (6,389 | ) | (5,385 | ) | ||||||||||||||||||||
Net realized gains | (3,420 | ) | — | (1,837 | ) | (102 | ) | — | (258,552 | ) | ||||||||||||||||||||
Total Distributions to Shareholders | (4,044 | ) | — | (2,159 | ) | (102 | ) | (6,389 | ) | (263,937 | ) | |||||||||||||||||||
Capital Share Transactions | 7,507 | 24,847 | 10,166 | 23,315 | (136,386 | ) | 53,860 | |||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | 2,462 | 23,969 | 7,365 | 22,681 | (178,352 | ) | (331,337 | ) | ||||||||||||||||||||||
Net Assets, Beginning of Period | 66,860 | 42,891 | 53,785 | 31,104 | 1,268,266 | 1,599,603 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 69,322 | $ | 66,860 | $ | 61,150 | $ | 53,785 | $ | 1,089,914 | $ | 1,268,266 | ||||||||||||||||||
Undistributed net investment income | $ | 462 | $ | 600 | $ | 348 | $ | 298 | $ | 21,629 | $ | 24,012 | ||||||||||||||||||
Balanced | Bond | Core Equity | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-16 (Unaudited) | Year ended 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year ended 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year ended 12-31-15 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 2,653 | $ | 5,164 | $ | 2,490 | $ | 5,615 | $ | 808 | $ | 1,829 | ||||||||||||||||||
Net realized gain on investments | 1,393 | 54,582 | 3,063 | 3,195 | 6,914 | 51,913 | ||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (5,514 | ) | (60,752 | ) | 11,034 | (8,039 | ) | (10,592 | ) | (56,495 | ) | |||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,468 | ) | (1,006 | ) | 16,587 | 771 | (2,870 | ) | (2,753 | ) | ||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income | (5,061 | ) | (3,687 | ) | (6,593 | ) | (8,715 | ) | (1,939 | ) | (1,727 | ) | ||||||||||||||||||
Net realized gains | (54,663 | ) | (54,222 | ) | (741 | ) | — | (51,884 | ) | (80,819 | ) | |||||||||||||||||||
Total Distributions to Shareholders | (59,724 | ) | (57,909 | ) | (7,334 | ) | (8,715 | ) | (53,823 | ) | (82,546 | ) | ||||||||||||||||||
Capital Share Transactions | 47,823 | 27,469 | (7,131 | ) | (21,808 | ) | 31,363 | 33,897 | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (13,369 | ) | (31,446 | ) | 2,122 | (29,752 | ) | (25,330 | ) | (51,402 | ) | |||||||||||||||||||
Net Assets, Beginning of Period | 383,242 | 414,688 | 279,800 | 309,552 | 453,939 | 505,341 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 369,873 | $ | 383,242 | $ | 281,922 | $ | 279,800 | $ | 428,609 | $ | 453,939 | ||||||||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 2,751 | $ | 5,159 | $ | 2,412 | $ | 6,515 | $ | (344 | ) | $ | 787 |
(1)Consolidated | Statements of Changes in Net Assets (See Note 6 in Notes to Financial Statements). |
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 109 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY FUNDS VIP |
Dividend Opportunities | Energy | Global Bond | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-16 (Unaudited) | Year 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year 12-31-15 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 3,846 | $ | 5,832 | $ | (77 | ) | $ | 100 | $ | 341 | $ | 741 | |||||||||||||||||
Net realized gain (loss) on investments | 576 | 30,204 | (7,052 | ) | (10,628 | ) | (329 | ) | (730 | ) | ||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 7,713 | (46,306 | ) | 28,672 | (21,184 | ) | 960 | (560 | ) | |||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 12,135 | (10,270 | ) | 21,543 | (31,712 | ) | 972 | (549 | ) | |||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income | (6,264 | ) | (6,503 | ) | (203 | ) | (72 | ) | (731 | ) | (701 | ) | ||||||||||||||||||
Net realized gains | (28,123 | ) | (55,662 | ) | — | (654 | ) | — | — | |||||||||||||||||||||
Total Distributions to Shareholders | (34,387 | ) | (62,165 | ) | (203 | ) | (726 | ) | (731 | ) | (701 | ) | ||||||||||||||||||
Capital Share Transactions | 21,251 | 75,723 | 16,800 | 31,630 | 984 | 1,843 | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (1,001 | ) | 3,288 | 38,140 | (808 | ) | 1,225 | 593 | ||||||||||||||||||||||
Net Assets, Beginning of Period | 514,512 | 511,224 | 117,159 | 117,967 | 19,872 | 19,279 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 513,511 | $ | 514,512 | $ | 155,299 | $ | 117,159 | $ | 21,097 | $ | 19,872 | ||||||||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 3,760 | $ | 6,176 | $ | (197 | ) | $ | 82 | $ | 279 | $ | 725 | |||||||||||||||||
Global Growth | Global Natural Resources | Growth | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-16 (Unaudited) | Year 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year ended 12-31-15 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 949 | $ | 1,122 | $ | 259 | $ | 749 | $ | 1,116 | $ | 219 | ||||||||||||||||||
Net realized gain (loss) on investments | (6,056 | ) | 15,626 | (10,495 | ) | (12,647 | ) | 35,664 | 89,855 | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (25,087 | ) | (2,978 | ) | 23,726 | (20,514 | ) | (74,663 | ) | (28,957 | ) | |||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (30,194 | ) | 13,770 | 13,490 | (32,412 | ) | (37,883 | ) | 61,117 | |||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income | (1,039 | ) | (2,105 | ) | (874 | ) | (137 | ) | (205 | ) | (949 | ) | ||||||||||||||||||
Net realized gains | (14,220 | ) | (24,394 | ) | — | — | (89,838 | ) | (104,978 | ) | ||||||||||||||||||||
Total Distributions to Shareholders | (15,259 | ) | (26,499 | ) | (874 | ) | (137 | ) | (90,043 | ) | (105,927 | ) | ||||||||||||||||||
Capital Share Transactions | 7,323 | 87,875 | 2,965 | 806 | 55,658 | 70,362 | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (38,130 | ) | 75,146 | 15,581 | (31,743 | ) | (72,268 | ) | 25,552 | |||||||||||||||||||||
Net Assets, Beginning of Period | 506,609 | 431,463 | 113,939 | 145,682 | 896,907 | 871,355 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 468,479 | $ | 506,609 | $ | 129,520 | $ | 113,939 | $ | 824,639 | $ | 896,907 | ||||||||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 776 | $ | 984 | $ | 191 | $ | 803 | $ | 888 | $ | (23 | ) |
See Accompanying Notes to Financial Statements.
110 | SEMIANNUAL REPORT | 2016 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS | IVY FUNDS VIP |
High Income | International Core Equity | Limited-Term Bond | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-16 (Unaudited) | Year 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year ended 12-31-15 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 26,889 | $ | 57,486 | $ | 8,689 | $ | 8,183 | $ | 2,880 | $ | 5,550 | ||||||||||||||||||
Net realized gain (loss) on investments | (26,431 | ) | (22,456 | ) | (24,672 | ) | 9,958 | 1,148 | 988 | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 53,643 | (86,526 | ) | (20,633 | ) | (28,472 | ) | 6,621 | (2,394 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 54,101 | (51,496 | ) | (36,616 | ) | (10,331 | ) | 10,649 | 4,144 | |||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income | (56,542 | ) | (51,203 | ) | (8,905 | ) | (8,590 | ) | (5,754 | ) | (6,695 | ) | ||||||||||||||||||
Net realized gains | — | (8,693 | ) | (7,190 | ) | (84,858 | ) | — | — | |||||||||||||||||||||
Total Distributions to Shareholders | (56,542 | ) | (59,896 | ) | (16,095 | ) | (93,448 | ) | (5,754 | ) | (6,695 | ) | ||||||||||||||||||
Capital Share Transactions | 43,121 | 18,446 | 13,676 | 122,044 | (3,378 | ) | (87,130 | ) | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | 40,680 | (92,946 | ) | (39,035 | ) | 18,265 | 1,517 | (89,681 | ) | |||||||||||||||||||||
Net Assets, Beginning of Period | 725,499 | 818,445 | 674,638 | 656,373 | 384,756 | 474,437 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 766,179 | $ | 725,499 | $ | 635,603 | $ | 674,638 | $ | 386,273 | $ | 384,756 | ||||||||||||||||||
Undistributed net investment income | $ | 26,861 | $ | 56,511 | $ | 8,584 | $ | 8,809 | $ | 2,861 | $ | 5,735 |
Micro Cap Growth | Mid Cap Growth | Money Market | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-16 (Unaudited) | Year 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year 12-31-15 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (264 | ) | $ | (740 | ) | $ | (718 | ) | $ | (397 | ) | $ | 209 | $ | 107 | ||||||||||||||
Net realized gain (loss) on investments | �� | (3,256 | ) | 6,307 | 901 | 33,638 | 17 | 14 | ||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 1,560 | (11,508 | ) | 12,761 | (68,573 | ) | — | — | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (1,960 | ) | (5,941 | ) | 12,944 | (35,332 | ) | 226 | 121 | |||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income | — | — | — | — | (209 | ) | (107 | ) | ||||||||||||||||||||||
Net realized gains | (6,098 | ) | (10,594 | ) | (32,997 | ) | (46,460 | ) | (17 | ) | — | |||||||||||||||||||
Total Distributions to Shareholders | (6,098 | ) | (10,594 | ) | (32,997 | ) | (46,460 | ) | (226 | ) | (107 | ) | ||||||||||||||||||
Capital Share Transactions | 5,083 | 3,776 | 32,998 | 111,257 | 566 | 27,804 | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (2,975 | ) | (12,759 | ) | 12,945 | 29,465 | 566 | 27,818 | ||||||||||||||||||||||
Net Assets, Beginning of Period | 58,897 | 71,656 | 586,446 | 556,981 | 539,342 | 511,524 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 55,922 | $ | 58,897 | $ | 599,391 | $ | 586,446 | $ | 539,908 | $ | 539,342 | ||||||||||||||||||
Undistributed (distributions in excess of) net investment income | $ | (256 | ) | $ | 8 | $ | (785 | ) | $ | (65 | ) | $ | — | $ | — |
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 111 |
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 6-30-16 (Unaudited) | Year 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year 12-31-15 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 657 | $ | 550 | $ | (1,456 | ) | $ | (3,618 | ) | $ | (1,617 | ) | $ | (3,414 | ) | ||||||||||||||
Net realized gain (loss) on investments | 2,214 | 4,304 | (4,917 | ) | 22,858 | (16,900 | ) | 45,756 | ||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 2,066 | (2,654 | ) | (46,654 | ) | (37,682 | ) | 4,903 | (34,254 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 4,937 | 2,200 | (53,027 | ) | (18,442 | ) | (13,614 | ) | 8,088 | |||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income | (516 | ) | (518 | ) | — | — | — | — | ||||||||||||||||||||||
Net realized gains | (4,360 | ) | (4,943 | ) | (20,982 | ) | (34,801 | ) | (45,145 | ) | (66,812 | ) | ||||||||||||||||||
Total Distributions to Shareholders | (4,876 | ) | (5,461 | ) | (20,982 | ) | (34,801 | ) | (45,145 | ) | (66,812 | ) | ||||||||||||||||||
Capital Share Transactions | 2,698 | (1,585 | ) | (10,578 | ) | 49,502 | 58,437 | 62,775 | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | 2,759 | (4,846 | ) | (84,587 | ) | (3,741 | ) | (322 | ) | 4,051 | ||||||||||||||||||||
Net Assets, Beginning of Period | 47,434 | 52,280 | 582,288 | 586,029 | 429,616 | 425,565 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 50,193 | $ | 47,434 | $ | 497,701 | $ | 582,288 | $ | 429,294 | $ | 429,616 | ||||||||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 767 | $ | 626 | $ | (1,346 | ) | $ | 110 | $ | (1,709 | ) | $ | (92 | ) | |||||||||||||||
Small Cap Value | Value | |||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-16 (Unaudited) | Year 12-31-15 | Six months ended 6-30-16 (Unaudited) | Year 12-31-15 | ||||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 188 | $ | 893 | $ | 2,369 | $ | 3,649 | ||||||||||||||||||||||
Net realized gain (loss) on investments | 13,409 | 27,471 | (7,898 | ) | 41,111 | |||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 19,904 | (47,149 | ) | (1,375 | ) | (60,576 | ) | |||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 33,501 | (18,785 | ) | (6,904 | ) | (15,816 | ) | |||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income | (1,333 | ) | (294 | ) | (4,581 | ) | (3,133 | ) | ||||||||||||||||||||||
Net realized gains | (28,403 | ) | (26,881 | ) | (44,339 | ) | (52,275 | ) | ||||||||||||||||||||||
Total Distributions to Shareholders | (29,736 | ) | (27,175 | ) | (48,920 | ) | (55,408 | ) | ||||||||||||||||||||||
Capital Share Transactions | 19,830 | 9,878 | 39,792 | 39,099 | ||||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | 23,595 | (36,082 | ) | (16,032 | ) | (32,125 | ) | |||||||||||||||||||||||
Net Assets, Beginning of Period | 317,656 | 353,738 | 384,068 | 416,193 | ||||||||||||||||||||||||||
Net Assets, End of Period | $ | 341,251 | $ | 317,656 | $ | 368,036 | $ | 384,068 | ||||||||||||||||||||||
Undistributed (distributions in excess of) net investment income | $ | (886 | ) | $ | 259 | $ | (2,261 | ) | $ | (49 | ) |
See Accompanying Notes to Financial Statements.
112 | SEMIANNUAL REPORT | 2016 |
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2016 | SEMIANNUAL REPORT | 113 |
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)(1) | Net Realized | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | |||||||||||||||||||||||||||||
Pathfinder Aggressive | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | $ | 5.05 | $ | 0.04 | $ | (0.14 | ) | $ | (0.10 | ) | $ | (0.07 | ) | $ | (0.49 | ) | $ | (0.56 | ) | ||||||||||||||||
Year ended 12-31-2015 | 5.73 | 0.07 | (0.01 | ) | 0.06 | (0.16 | ) | (0.58 | ) | (0.74 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.95 | 0.16 | 0.10 | 0.26 | (0.05 | ) | (0.43 | ) | (0.48 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 5.04 | 0.05 | 1.27 | 1.32 | (0.07 | ) | (0.34 | ) | (0.41 | ) | |||||||||||||||||||||||||
Year ended 12-31-2012 | 4.77 | 0.07 | 0.48 | 0.55 | (0.05 | ) | (0.23 | ) | (0.28 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 5.16 | 0.04 | (0.24 | ) | (0.20 | ) | (0.06 | ) | (0.13 | ) | (0.19 | ) | |||||||||||||||||||||||
Pathfinder Conservative | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 5.15 | 0.04 | (0.05 | ) | (0.01 | ) | (0.06 | ) | (0.32 | ) | (0.38 | ) | |||||||||||||||||||||||
Year ended 12-31-2015 | 5.54 | 0.06 | (0.03 | ) | 0.03 | (0.06 | ) | (0.36 | ) | (0.42 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.77 | 0.06 | 0.12 | 0.18 | (0.06 | ) | (0.35 | ) | (0.41 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 5.33 | 0.06 | 0.70 | 0.76 | (0.08 | ) | (0.24 | ) | (0.32 | ) | |||||||||||||||||||||||||
Year ended 12-31-2012 | 5.18 | 0.08 | 0.27 | 0.35 | (0.05 | ) | (0.15 | ) | (0.20 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 5.32 | 0.06 | (0.02 | ) | 0.04 | (0.07 | ) | (0.11 | ) | (0.18 | ) | ||||||||||||||||||||||||
Pathfinder Moderate | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 5.34 | 0.04 | (0.09 | ) | (0.05 | ) | (0.07 | ) | (0.42 | ) | (0.49 | ) | |||||||||||||||||||||||
Year ended 12-31-2015 | 5.87 | 0.07 | (0.02 | ) | 0.05 | (0.10 | ) | (0.48 | ) | (0.58 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 6.14 | 0.10 | 0.14 | 0.24 | (0.07 | ) | (0.44 | ) | (0.51 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 5.33 | 0.07 | 1.02 | 1.09 | (0.07 | ) | (0.21 | ) | (0.28 | ) | |||||||||||||||||||||||||
Year ended 12-31-2012 | 5.06 | 0.07 | 0.40 | 0.47 | (0.05 | ) | (0.15 | ) | (0.20 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 5.27 | 0.06 | (0.13 | ) | (0.07 | ) | (0.06 | ) | (0.08 | ) | (0.14 | ) | |||||||||||||||||||||||
Pathfinder Moderately Aggressive | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 5.50 | 0.05 | (0.10 | ) | (0.05 | ) | (0.09 | ) | (0.48 | ) | (0.57 | ) | |||||||||||||||||||||||
Year ended 12-31-2015 | 6.14 | 0.09 | (0.06 | ) | 0.03 | (0.14 | ) | (0.53 | ) | (0.67 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 6.38 | 0.14 | 0.14 | 0.28 | (0.07 | ) | (0.45 | ) | (0.52 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 5.45 | 0.07 | 1.19 | 1.26 | (0.07 | ) | (0.26 | ) | (0.33 | ) | |||||||||||||||||||||||||
Year ended 12-31-2012 | 5.09 | 0.08 | 0.46 | 0.54 | (0.04 | ) | (0.14 | ) | (0.18 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 5.37 | 0.05 | (0.21 | ) | (0.16 | ) | (0.04 | ) | (0.08 | ) | (0.12 | ) | |||||||||||||||||||||||
Pathfinder Moderately Conservative | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 5.30 | 0.04 | (0.08 | ) | (0.04 | ) | (0.07 | ) | (0.38 | ) | (0.45 | ) | |||||||||||||||||||||||
Year ended 12-31-2015 | 5.80 | 0.07 | (0.03 | ) | 0.04 | (0.09 | ) | (0.45 | ) | (0.54 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 6.03 | 0.08 | 0.14 | 0.22 | (0.06 | ) | (0.39 | ) | (0.45 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 5.41 | 0.06 | 0.87 | 0.93 | (0.08 | ) | (0.23 | ) | (0.31 | ) | |||||||||||||||||||||||||
Year ended 12-31-2012 | 5.19 | 0.08 | 0.34 | 0.42 | (0.05 | ) | (0.15 | ) | (0.20 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 5.34 | 0.06 | (0.06 | ) | 0.00 | (0.06 | ) | (0.09 | ) | (0.15 | ) | ||||||||||||||||||||||||
Pathfinder Moderate - Managed Volatility | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 5.37 | 0.04 | (0.12 | ) | (0.08 | ) | (0.03 | ) | (0.18 | ) | (0.21 | ) | |||||||||||||||||||||||
Year ended 12-31-2015 | 5.39 | 0.05 | (0.07 | ) | (0.02 | ) | — | — | — | ||||||||||||||||||||||||||
Year ended 12-31-2014 | 5.37 | 0.06 | 0.14 | 0.20 | (0.03 | ) | (0.15 | ) | (0.18 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013(4) | 5.00 | (0.01 | ) | 0.38 | 0.37 | — | — | * | — | * | |||||||||||||||||||||||||
Pathfinder Moderately Aggressive - Managed Volatility | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 5.25 | 0.04 | (0.12 | ) | (0.08 | ) | (0.05 | ) | (0.26 | ) | (0.31 | ) | |||||||||||||||||||||||
Year ended 12-31-2015 | 5.29 | 0.06 | (0.10 | ) | (0.04 | ) | — | — | — | ||||||||||||||||||||||||||
Year ended 12-31-2014 | 5.41 | 0.09 | 0.11 | 0.20 | (0.07 | ) | (0.25 | ) | (0.32 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013(4) | 5.00 | (0.02 | ) | 0.43 | 0.41 | — | — | * | — | * | |||||||||||||||||||||||||
Pathfinder Moderately Conservative - Managed Volatility | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 5.23 | 0.03 | (0.10 | ) | (0.07 | ) | (0.03 | ) | (0.16 | ) | (0.19 | ) | |||||||||||||||||||||||
Year ended 12-31-2015 | 5.27 | 0.04 | (0.07 | ) | (0.03 | ) | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.31 | 0.04 | 0.11 | 0.15 | (0.03 | ) | (0.16 | ) | (0.19 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013(4) | 5.00 | (0.02 | ) | 0.33 | 0.31 | — | — | * | — | * |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value. Total returns for periods less than one year are not annualized. |
(3) | Annualized. |
(4) | For the period from August 1, 2013 (commencement of operations of the Portfolio) through December 31, 2013. |
(5) | Ratios of expenses to average net assets excluding offering 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%. |
.
114 | SEMIANNUAL REPORT | 2016 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets | Ratio of Net Investment Income (Loss) to Average Net Assets | Portfolio Turnover Rate | |||||||||||||||||||||||||
Pathfinder Aggressive | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | $ | 4.39 | -1.56 | % | $ | 77 | 0.09 | %(3) | 1.82 | %(3) | 9 | % | ||||||||||||||||||
Year ended 12-31-2015 | 5.05 | 0.34 | 85 | 0.07 | 1.36 | 13 | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.73 | 4.86 | 85 | 0.07 | 2.73 | 28 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 5.95 | 27.13 | 86 | 0.07 | 0.96 | 38 | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||
Pathfinder Conservative | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 4.76 | -0.15 | 113 | 0.08 | (3) | 1.44 | (3) | 10 | ||||||||||||||||||||||
Year ended 12-31-2015 | 5.15 | 0.45 | 117 | 0.06 | 1.09 | 17 | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.54 | 3.39 | 122 | 0.06 | 1.13 | 30 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 5.77 | 14.75 | 121 | 0.07 | 1.15 | 66 | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||
Pathfinder Moderate | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 4.80 | -0.78 | 862 | 0.04 | (3) | 1.58 | (3) | 4 | ||||||||||||||||||||||
Year ended 12-31-2015 | 5.34 | 0.32 | 893 | 0.03 | 1.22 | 13 | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.87 | 4.24 | 928 | 0.03 | 1.69 | 24 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 6.14 | 20.83 | 922 | 0.03 | 1.15 | 39 | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||
Pathfinder Moderately Aggressive | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 4.88 | -0.76 | 1,015 | 0.04 | (3) | 1.75 | (3) | 5 | ||||||||||||||||||||||
Year ended 12-31-2015 | 5.50 | 0.06 | 1,054 | 0.03 | 1.50 | 12 | ||||||||||||||||||||||||
Year ended 12-31-2014 | 6.14 | 4.61 | 1,098 | 0.03 | 2.30 | 23 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 6.38 | 23.81 | 1,089 | 0.03 | 1.15 | 33 | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||
Pathfinder Moderately Conservative | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 4.81 | -0.58 | 263 | 0.06 | (3) | 1.61 | (3) | 4 | ||||||||||||||||||||||
Year ended 12-31-2015 | 5.30 | 0.33 | 272 | 0.04 | 1.20 | 16 | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.80 | 3.88 | 291 | 0.04 | 1.43 | 27 | ||||||||||||||||||||||||
Year ended 12-31-2013 | 6.03 | 17.71 | 300 | 0.05 | 1.09 | 46 | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||
Pathfinder Moderate - Managed Volatility | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 5.08 | -1.48 | 460 | 0.25 | (3) | 1.41 | (3) | 1 | ||||||||||||||||||||||
Year ended 12-31-2015 | 5.37 | -0.43 | 396 | 0.24 | 0.88 | 7 | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.39 | 3.75 | 203 | 0.28 | (5) | 1.06 | 23 | |||||||||||||||||||||||
Year ended 12-31-2013(4) | 5.37 | 7.50 | 34 | 0.58 | (3)(6) | -0.57 | (3) | 18 | ||||||||||||||||||||||
Pathfinder Moderately Aggressive - Managed Volatility | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 4.86 | -1.64 | 69 | 0.32 | (3) | 1.47 | (3) | 1 | ||||||||||||||||||||||
Year ended 12-31-2015 | 5.25 | -0.71 | 67 | 0.30 | 1.13 | 7 | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.29 | 3.91 | 43 | 0.41 | (7) | 1.74 | 32 | |||||||||||||||||||||||
Year ended 12-31-2013(4) | 5.41 | 8.27 | 10 | 1.04 | (3)(8) | -1.03 | (3) | 15 | ||||||||||||||||||||||
Pathfinder Moderately Conservative - Managed Volatility | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 4.97 | -1.31 | 61 | 0.33 | (3) | 1.34 | (3) | 1 | ||||||||||||||||||||||
Year ended 12-31-2015 | 5.23 | -0.52 | 54 | 0.30 | 0.78 | 9 | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.27 | 3.06 | 31 | 0.47 | (8) | 0.76 | 36 | |||||||||||||||||||||||
Year ended 12-31-2013(4) | 5.31 | 6.29 | 10 | 0.98 | (3)(9) | -0.97 | (3) | 21 |
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 115 |
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)(1) | and Unrealized Gain (Loss) on | Total from Investment Operations | Distributions From Net Investment Income | Distributions Realized Gains | Total Distributions | |||||||||||||||||||||||||||||
Asset Strategy | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | $ | 8.30 | $ | 0.03 | $ | (0.25 | ) | $ | (0.22 | ) | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | |||||||||||||||||
Year ended 12-31-2015 | 10.87 | 0.08 | (0.77 | ) | (0.69 | ) | (0.04 | ) | (1.84 | ) | (1.88 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 13.25 | 0.11 | (0.78 | ) | (0.67 | ) | (0.06 | ) | (1.65 | ) | (1.71 | ) | |||||||||||||||||||||||
Year ended 12-31-2013 | 10.73 | 0.10 | 2.57 | 2.67 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2012 | 9.11 | 0.18 | 1.55 | 1.73 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2011 | 9.91 | 0.06 | (0.76 | ) | (0.70 | ) | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||||||||
Balanced | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 8.76 | 0.06 | (0.11 | ) | (0.05 | ) | (0.12 | ) | (1.28 | ) | (1.40 | ) | |||||||||||||||||||||||
Year ended 12-31-2015 | 10.19 | 0.12 | (0.09 | ) | 0.03 | (0.09 | ) | (1.37 | ) | (1.46 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 10.46 | 0.09 | 0.64 | 0.73 | (0.10 | ) | (0.90 | ) | (1.00 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 9.37 | 0.10 | 2.01 | 2.11 | (0.15 | ) | (0.87 | ) | (1.02 | ) | |||||||||||||||||||||||||
Year ended 12-31-2012 | 9.01 | 0.14 | 0.88 | 1.02 | (0.14 | ) | (0.52 | ) | (0.66 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 9.59 | 0.14 | 0.20 | 0.34 | (0.15 | ) | (0.77 | ) | (0.92 | ) | |||||||||||||||||||||||||
Bond | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 5.20 | 0.05 | 0.26 | 0.31 | (0.13 | ) | (0.01 | ) | (0.14 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 5.34 | 0.10 | (0.09 | ) | 0.01 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||||||||
Year ended 12-31-2014 | 5.49 | 0.13 | 0.10 | 0.23 | (0.21 | ) | (0.17 | ) | (0.38 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 5.90 | 0.14 | (0.26 | ) | (0.12 | ) | (0.20 | ) | (0.09 | ) | (0.29 | ) | |||||||||||||||||||||||
Year ended 12-31-2012 | 5.80 | 0.15 | 0.18 | 0.33 | (0.18 | ) | (0.05 | ) | (0.23 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 5.60 | 0.17 | 0.22 | 0.39 | (0.15 | ) | (0.04 | ) | (0.19 | ) | |||||||||||||||||||||||||
Core Equity | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 11.75 | 0.02 | (0.09 | ) | (0.07 | ) | (0.05 | ) | (1.40 | ) | (1.45 | ) | |||||||||||||||||||||||
Year ended 12-31-2015 | 14.18 | 0.05 | (0.06 | ) | (0.01 | ) | (0.05 | ) | (2.37 | ) | (2.42 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 15.13 | 0.05 | 1.24 | 1.29 | (0.08 | ) | (2.16 | ) | (2.24 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 12.38 | 0.07 | 3.88 | 3.95 | (0.07 | ) | (1.13 | ) | (1.20 | ) | |||||||||||||||||||||||||
Year ended 12-31-2012 | 11.70 | 0.07 | 1.96 | 2.03 | (0.08 | ) | (1.27 | ) | (1.35 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 11.91 | 0.07 | 0.15 | 0.22 | (0.04 | ) | (0.39 | ) | (0.43 | ) | |||||||||||||||||||||||||
Dividend Opportunities | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 7.82 | 0.06 | 0.12 | 0.18 | (0.10 | ) | (0.44 | ) | (0.54 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 9.05 | 0.09 | (0.23 | ) | (0.14 | ) | (0.11 | ) | (0.98 | ) | (1.09 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 9.04 | 0.12 | 0.71 | 0.83 | (0.10 | ) | (0.72 | ) | (0.82 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 7.24 | 0.10 | 2.01 | 2.11 | (0.13 | ) | (0.18 | ) | (0.31 | ) | |||||||||||||||||||||||||
Year ended 12-31-2012 | 6.47 | 0.14 | 0.71 | 0.85 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2011 | 6.86 | 0.09 | (0.41 | ) | (0.32 | ) | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||||||
Energy | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 5.04 | 0.00 | * | 0.81 | 0.81 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 6.51 | 0.00 | * | (1.44 | ) | (1.44 | ) | — | * | (0.03 | ) | (0.03 | ) | ||||||||||||||||||||||
Year ended 12-31-2014 | 7.50 | (0.01 | ) | (0.73 | ) | (0.74 | ) | — | (0.25 | ) | (0.25 | ) | |||||||||||||||||||||||
Year ended 12-31-2013 | 5.89 | (0.02 | ) | 1.65 | 1.63 | — | (0.02 | ) | (0.02 | ) | |||||||||||||||||||||||||
Year ended 12-31-2012 | 5.81 | (0.01 | ) | 0.09 | 0.08 | — | — | — | |||||||||||||||||||||||||||
Year ended 12-31-2011 | 6.39 | (0.02 | ) | (0.56 | ) | (0.58 | ) | — | — | — | |||||||||||||||||||||||||
Global Bond | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 4.74 | 0.08 | 0.15 | 0.23 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2015 | 5.05 | 0.19 | (0.31 | ) | (0.12 | ) | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.16 | 0.19 | (0.18 | ) | 0.01 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 5.07 | 0.15 | (0.06 | ) | 0.09 | — | — | — | |||||||||||||||||||||||||||
Year ended 12-31-2012 | 4.90 | 0.15 | 0.16 | 0.31 | (0.14 | ) | — | * | (0.14 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 5.00 | 0.12 | (0.12 | ) | 0.00 | (0.10 | ) | — | (0.10 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the Portfolio had waived or reimbursed expenses. |
(4) | Annualized. |
.
116 | SEMIANNUAL REPORT | 2016 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income (Loss) to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||
Asset Strategy | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | $ | 8.03 | -2.69 | % | $ | 1,090 | 0.99 | %(4) | 0.70 | %(4) | 1.01 | %(4) | 0.68 | %(4) | 29 | % | ||||||||||||||||||||||||
Year ended 12-31-2015 | 8.30 | -8.35 | 1,268 | 0.98 | 0.81 | 0.99 | 0.80 | 70 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 10.87 | -5.26 | 1,600 | 0.97 | 0.94 | 0.98 | 0.93 | 130 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 13.25 | 25.13 | 1,704 | 0.97 | 0.82 | 0.98 | 0.81 | 64 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Balanced | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 7.31 | -0.27 | 370 | 1.02 | (4) | 1.46 | (4) | — | — | 24 | ||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 8.76 | -0.32 | 383 | 1.00 | 1.28 | — | — | 44 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 10.19 | 7.57 | 415 | 1.01 | 0.90 | — | — | 43 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 10.46 | 23.70 | 418 | 1.01 | 0.99 | — | — | 38 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Bond | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 5.37 | 6.15 | 282 | 0.80 | (4) | 1.80 | (4) | — | — | 52 | ||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 5.20 | 0.20 | 280 | 0.78 | 1.87 | — | — | 59 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 5.34 | 4.34 | 310 | 0.78 | 2.43 | — | — | 28 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 5.49 | -2.09 | 314 | 0.78 | 2.50 | — | — | 48 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Core Equity | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 10.23 | -0.51 | 429 | 0.96 | (4) | 0.38 | (4) | 1.01 | (4) | 0.33 | (4) | 23 | ||||||||||||||||||||||||||||
Year ended 12-31-2015 | 11.75 | -0.69 | 454 | 0.95 | 0.38 | 1.00 | 0.33 | 60 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 14.18 | 9.68 | 505 | 0.95 | 0.34 | 1.00 | 0.29 | 57 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 15.13 | 33.51 | 500 | 0.96 | 0.55 | 1.01 | 0.50 | 70 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Dividend Opportunities | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 7.46 | 2.43 | 514 | 1.01 | (4) | 1.56 | (4) | — | — | 18 | ||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 7.82 | -2.06 | 515 | 1.00 | 1.14 | — | — | 50 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 9.05 | 9.84 | 511 | 1.00 | 1.33 | — | — | 42 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 9.04 | 29.61 | 484 | 1.00 | 1.23 | — | — | 53 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Energy | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 5.84 | 16.01 | 155 | 1.21 | (4) | -0.12 | (4) | — | — | 20 | ||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 5.04 | -22.14 | 117 | 1.20 | 0.08 | — | — | 34 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 6.51 | -10.56 | 118 | 1.18 | -0.10 | — | — | 21 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 7.50 | 27.76 | 99 | 1.23 | -0.24 | — | — | 33 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Global Bond | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 4.79 | 4.90 | 21 | 0.59 | (4) | 3.40 | (4) | 1.22 | (4) | 2.77 | (4) | 10 | ||||||||||||||||||||||||||||
Year ended 12-31-2015 | 4.74 | -2.65 | 20 | 0.51 | 3.80 | 1.14 | 3.17 | 26 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 5.05 | 0.18 | 19 | 0.48 | 3.69 | 1.11 | 3.06 | 37 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 5.16 | 1.74 | 16 | 0.63 | 3.00 | 1.26 | 2.37 | 26 | ||||||||||||||||||||||||||||||||
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 |
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 117 |
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 (Loss)(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | |||||||||||||||||||||||||||||
Global Growth | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | $ | 8.68 | $ | 0.02 | $ | (0.53 | ) | $ | (0.51 | ) | $ | (0.02 | ) | $ | (0.25 | ) | $ | (0.27 | ) | ||||||||||||||||
Year ended 12-31-2015 | 8.84 | 0.02 | 0.31 | 0.33 | (0.04 | ) | (0.45 | ) | (0.49 | ) | |||||||||||||||||||||||||
Year ended 12-31-2014 | 9.81 | 0.09 | 0.01 | 0.10 | (0.21 | ) | (0.86 | ) | (1.07 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 8.46 | 0.09 | 1.51 | 1.60 | (0.08 | ) | (0.17 | ) | (0.25 | ) | |||||||||||||||||||||||||
Year ended 12-31-2012 | 7.86 | 0.09 | 1.22 | 1.31 | (0.17 | ) | (0.54 | ) | (0.71 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 8.51 | 0.14 | (0.76 | ) | (0.62 | ) | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||||
Global Natural Resources | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 3.66 | 0.01 | 0.41 | 0.42 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2015 | 4.72 | 0.02 | (1.08 | ) | (1.06 | ) | — | * | — | ��� | * | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.43 | 0.01 | (0.72 | ) | (0.71 | ) | — | — | — | ||||||||||||||||||||||||||
Year ended 12-31-2013 | 5.04 | 0.00 | * | 0.39 | 0.39 | — | — | — | |||||||||||||||||||||||||||
Year ended 12-31-2012 | 5.29 | (0.01 | ) | 0.07 | 0.06 | — | (0.31 | ) | (0.31 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 6.73 | (0.01 | ) | (1.43 | ) | (1.44 | ) | — | — | — | |||||||||||||||||||||||||
Growth | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 11.42 | 0.01 | (0.50 | ) | (0.49 | ) | — | * | (1.18 | ) | (1.18 | ) | |||||||||||||||||||||||
Year ended 12-31-2015 | 12.08 | 0.00 | * | 0.85 | 0.85 | (0.01 | ) | (1.50 | ) | (1.51 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 13.33 | 0.01 | 1.28 | 1.29 | (0.06 | ) | (2.48 | ) | (2.54 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 10.63 | 0.03 | 3.65 | 3.68 | (0.05 | ) | (0.93 | ) | (0.98 | ) | |||||||||||||||||||||||||
Year ended 12-31-2012 | 10.19 | 0.05 | 1.20 | 1.25 | (0.01 | ) | (0.80 | ) | (0.81 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 10.38 | 0.01 | 0.22 | 0.23 | (0.04 | ) | (0.38 | ) | (0.42 | ) | |||||||||||||||||||||||||
High Income | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 3.35 | 0.12 | 0.13 | 0.25 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2015 | 3.85 | 0.26 | (0.48 | ) | (0.22 | ) | (0.24 | ) | (0.04 | ) | (0.28 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 4.00 | 0.25 | (0.17 | ) | 0.08 | (0.20 | ) | (0.03 | ) | (0.23 | ) | ||||||||||||||||||||||||
Year ended 12-31-2013 | 3.80 | 0.27 | 0.12 | 0.39 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2012 | 3.42 | 0.29 | 0.33 | 0.62 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2011 | 3.49 | 0.28 | (0.09 | ) | 0.19 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||||||||
International Core Equity | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 15.53 | 0.20 | (1.06 | ) | (0.86 | ) | (0.20 | ) | (0.16 | ) | (0.36 | ) | |||||||||||||||||||||||
Year ended 12-31-2015 | 18.00 | 0.20 | (0.06 | ) | 0.14 | (0.24 | ) | (2.37 | ) | (2.61 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 19.75 | 0.24 | 0.10 | 0.34 | (0.51 | ) | (1.58 | ) | (2.09 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 16.07 | 0.27 | 3.70 | 3.97 | (0.29 | ) | — | (0.29 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2012 | 14.67 | 0.25 | 1.64 | 1.89 | (0.36 | ) | (0.13 | ) | (0.49 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 17.29 | 0.32 | (2.68 | ) | (2.36 | ) | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||||||||
Limited-Term Bond | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 4.87 | 0.04 | 0.09 | 0.13 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2015 | 4.90 | 0.06 | (0.02 | ) | 0.04 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||||
Year ended 12-31-2014 | 4.89 | 0.07 | (0.02 | ) | 0.05 | (0.03 | ) | (0.01 | ) | (0.04 | ) | ||||||||||||||||||||||||
Year ended 12-31-2013 | 4.92 | 0.05 | (0.08 | ) | (0.03 | ) | — | — | * | — | * | ||||||||||||||||||||||||
Year ended 12-31-2012 | 5.03 | 0.07 | 0.10 | 0.17 | (0.15 | ) | (0.13 | ) | (0.28 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 4.96 | 0.06 | 0.09 | 0.15 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||||||
Micro Cap Growth | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 20.62 | (0.09 | ) | (0.77 | ) | (0.86 | ) | — | (2.14 | ) | (2.14 | ) | |||||||||||||||||||||||
Year ended 12-31-2015 | 26.73 | (0.26 | ) | (1.69 | ) | (1.95 | ) | — | (4.16 | ) | (4.16 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 31.78 | (0.32 | ) | (0.66 | ) | (0.98 | ) | — | (4.07 | ) | (4.07 | ) | |||||||||||||||||||||||
Year ended 12-31-2013 | 21.13 | (0.31 | ) | 12.05 | 11.74 | — | (1.09 | ) | (1.09 | ) | |||||||||||||||||||||||||
Year ended 12-31-2012 | 20.56 | (0.20 | ) | 2.57 | 2.37 | — | (1.80 | ) | (1.80 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 22.11 | (0.26 | ) | (1.29 | ) | (1.55 | ) | — | — | — |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the Portfolio had waived or reimbursed expenses. |
(4) | Annualized. |
.
118 | SEMIANNUAL REPORT | 2016 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income (Loss) to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||
Global Growth | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | $ | 7.90 | -6.00 | % | $ | 468 | 1.13 | %(4) | 0.40 | %(4) | 1.16 | %(4) | 0.37 | %(4) | 16 | % | ||||||||||||||||||||||||
Year ended 12-31-2015 | 8.68 | 3.39 | 507 | 1.14 | 0.23 | 1.17 | 0.20 | 54 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 8.84 | 0.96 | 431 | 1.13 | 0.93 | 1.16 | 0.90 | 65 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 9.81 | 19.23 | 419 | 1.14 | 1.06 | 1.17 | 1.03 | 49 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Global Natural Resources | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 4.05 | 11.24 | 130 | 1.38 | (4) | 0.44 | (4) | — | — | 17 | ||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 3.66 | -22.39 | 114 | 1.35 | 0.54 | — | — | 34 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 4.72 | -13.04 | 146 | 1.33 | 0.12 | — | — | 31 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 5.43 | 7.80 | 173 | 1.35 | -0.02 | — | — | 134 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Growth | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 9.75 | -4.22 | 825 | 0.97 | (4) | 0.27 | (4) | 1.00 | (4) | 0.24 | (4) | 27 | ||||||||||||||||||||||||||||
Year ended 12-31-2015 | 11.42 | 7.17 | 897 | 0.96 | 0.03 | 0.99 | 0.00 | 30 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 12.08 | 11.81 | 871 | 0.96 | 0.10 | 0.99 | 0.07 | 26 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 13.33 | 36.46 | 1,201 | 0.96 | 0.30 | 0.99 | 0.27 | 43 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
High Income | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 3.34 | 7.51 | 766 | 0.89 | (4) | 7.31 | (4) | 0.92 | (4) | 7.28 | (4) | 19 | ||||||||||||||||||||||||||||
Year ended 12-31-2015 | 3.35 | -6.50 | 725 | 0.89 | 7.01 | 0.92 | 6.98 | 44 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 3.85 | 1.90 | 818 | 0.88 | 6.31 | 0.91 | 6.28 | 55 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 4.00 | 10.50 | 689 | 0.88 | 6.99 | 0.93 | 6.94 | 84 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
International Core Equity | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 14.31 | -5.45 | 636 | 1.17 | (4) | 2.75 | (4) | — | — | 30 | ||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 15.53 | -0.94 | 675 | 1.16 | 1.18 | — | — | 87 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 18.00 | 1.44 | 656 | 1.16 | 1.28 | — | — | 102 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 19.75 | 24.91 | 672 | 1.16 | 1.51 | — | — | 92 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Limited-Term Bond | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 4.93 | 2.79 | 386 | 0.81 | (4) | 1.50 | (4) | — | — | 33 | ||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 4.87 | 0.87 | 385 | 0.80 | 1.31 | — | — | 44 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 4.90 | 0.97 | 474 | 0.80 | 1.38 | — | — | 34 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 4.89 | -0.54 | 437 | 0.82 | 1.14 | — | — | 25 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Micro Cap Growth | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 17.62 | -3.38 | 56 | 1.37 | (4) | -1.01 | (4) | — | — | 23 | ||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 20.62 | -9.16 | 59 | 1.33 | -1.11 | — | — | 79 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 26.73 | -1.74 | 72 | 1.32 | -1.16 | — | — | 51 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 31.78 | 57.28 | 79 | 1.34 | -1.19 | — | — | 61 | ||||||||||||||||||||||||||||||||
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 |
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 119 |
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 (Loss)(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | |||||||||||||||||||||||||||||
Mid Cap Growth | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | $ | 9.42 | $ | (0.01 | ) | $ | 0.18 | $ | 0.17 | $ | — | $ | (0.52 | ) | $ | (0.52 | ) | ||||||||||||||||||
Year ended 12-31-2015 | 10.84 | (0.01 | ) | (0.52 | ) | (0.53 | ) | — | (0.89 | ) | (0.89 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 10.72 | (0.04 | ) | 0.82 | 0.78 | — | (0.66 | ) | (0.66 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 8.54 | (0.04 | ) | 2.54 | 2.50 | — | (0.32 | ) | (0.32 | ) | |||||||||||||||||||||||||
Year ended 12-31-2012 | 8.37 | (0.02 | ) | 1.07 | 1.05 | — | (0.88 | ) | (0.88 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 8.69 | (0.03 | ) | 0.01 | (0.02 | ) | — | * | (0.30 | ) | (0.30 | ) | |||||||||||||||||||||||
Money Market | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | * | — | * | ||||||||||||||||||||||
Year ended 12-31-2015 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | |||||||||||||||||||||||
Year ended 12-31-2014 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | |||||||||||||||||||||||
Year ended 12-31-2013 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | |||||||||||||||||||||||
Year ended 12-31-2012 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | |||||||||||||||||||||||
Year ended 12-31-2011 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | |||||||||||||||||||||||
Real Estate Securities | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 8.98 | 0.12 | 0.76 | 0.88 | (0.10 | ) | (0.84 | ) | (0.94 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 9.59 | 0.10 | 0.31 | 0.41 | (0.10 | ) | (0.92 | ) | (1.02 | ) | |||||||||||||||||||||||||
Year ended 12-31-2014 | 7.90 | 0.10 | 2.20 | 2.30 | (0.09 | ) | (0.52 | ) | (0.61 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 7.89 | 0.08 | 0.02 | 0.10 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2012 | 6.75 | 0.08 | 1.11 | 1.19 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2011 | 6.48 | 0.06 | 0.26 | 0.32 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||||||||||
Science and Technology | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 22.96 | (0.06 | ) | (2.05 | ) | (2.11 | ) | — | (0.85 | ) | (0.85 | ) | |||||||||||||||||||||||
Year ended 12-31-2015 | 25.02 | (0.15 | ) | (0.41 | ) | (0.56 | ) | — | (1.50 | ) | (1.50 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 26.58 | (0.13 | ) | 0.74 | 0.61 | — | (2.17 | ) | (2.17 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 18.10 | (0.11 | ) | 9.89 | 9.78 | — | (1.30 | ) | (1.30 | ) | |||||||||||||||||||||||||
Year ended 12-31-2012 | 15.25 | (0.12 | ) | 4.22 | 4.10 | — | (1.25 | ) | (1.25 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 16.73 | (0.13 | ) | (0.75 | ) | (0.88 | ) | — | (0.60 | ) | (0.60 | ) | |||||||||||||||||||||||
Small Cap Growth | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 10.60 | (0.04 | ) | (0.39 | ) | (0.43 | ) | — | (1.07 | ) | (1.07 | ) | |||||||||||||||||||||||
Year ended 12-31-2015 | 12.15 | (0.09 | ) | 0.51 | 0.42 | — | (1.97 | ) | (1.97 | ) | |||||||||||||||||||||||||
Year ended 12-31-2014 | 13.76 | (0.10 | ) | 0.11 | 0.01 | — | (1.62 | ) | (1.62 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 9.60 | (0.10 | ) | 4.26 | 4.16 | — | — | — | |||||||||||||||||||||||||||
Year ended 12-31-2012 | 9.34 | (0.08 | ) | 0.57 | 0.49 | — | (0.23 | ) | (0.23 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 10.53 | (0.10 | ) | (1.00 | ) | (1.10 | ) | — | (0.09 | ) | (0.09 | ) | |||||||||||||||||||||||
Small Cap Value | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 15.66 | 0.01 | 1.60 | 1.61 | (0.07 | ) | (1.43 | ) | (1.50 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 17.98 | 0.05 | (0.95 | ) | (0.90 | ) | (0.02 | ) | (1.40 | ) | (1.42 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 19.90 | (0.01 | ) | 1.19 | 1.18 | (0.02 | ) | (3.08 | ) | (3.10 | ) | ||||||||||||||||||||||||
Year ended 12-31-2013 | 16.04 | (0.01 | ) | 5.20 | 5.19 | (0.16 | ) | (1.17 | ) | (1.33 | ) | ||||||||||||||||||||||||
Year ended 12-31-2012 | 14.57 | 0.12 | 2.44 | 2.56 | (0.07 | ) | (1.02 | ) | (1.09 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 16.78 | 0.08 | (2.21 | ) | (2.13 | ) | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||||
Value | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 6.15 | 0.04 | (0.16 | ) | (0.12 | ) | (0.07 | ) | (0.72 | ) | (0.79 | ) | |||||||||||||||||||||||
Year ended 12-31-2015 | 7.39 | 0.06 | (0.30 | ) | (0.24 | ) | (0.06 | ) | (0.94 | ) | (1.00 | ) | |||||||||||||||||||||||
Year ended 12-31-2014 | 7.82 | 0.05 | 0.71 | 0.76 | (0.09 | ) | (1.10 | ) | (1.19 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013 | 5.97 | 0.05 | 2.03 | 2.08 | (0.05 | ) | (0.18 | ) | (0.23 | ) | |||||||||||||||||||||||||
Year ended 12-31-2012 | 5.57 | 0.07 | 0.91 | 0.98 | (0.08 | ) | (0.50 | ) | (0.58 | ) | |||||||||||||||||||||||||
Year ended 12-31-2011 | 6.05 | 0.06 | (0.50 | ) | (0.44 | ) | (0.04 | ) | — | (0.04 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the Portfolio had waived or reimbursed expenses. |
(4) | Annualized. |
.
120 | SEMIANNUAL REPORT | 2016 |
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Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income (Loss) to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income (Loss) to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||
Mid Cap Growth | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | $ | 9.07 | 1.99 | % | $ | 599 | 1.10 | %(4) | -0.25 | %(4) | 1.16 | %(4) | -0.31 | %(4) | 17 | % | ||||||||||||||||||||||||
Year ended 12-31-2015 | 9.42 | -5.78 | 586 | 1.10 | -0.07 | 1.15 | -0.12 | 42 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 10.84 | 7.87 | 557 | 1.10 | -0.34 | 1.15 | -0.39 | 43 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 10.72 | 29.94 | 426 | 1.10 | -0.36 | 1.16 | -0.42 | 35 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Money Market | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 1.00 | 0.04 | 540 | 0.44 | (4) | 0.08 | (4) | 0.45 | (4) | 0.07 | (4) | — | ||||||||||||||||||||||||||||
Year ended 12-31-2015 | 1.00 | 0.02 | 539 | 0.20 | 0.02 | 0.45 | -0.23 | — | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 1.00 | 0.02 | 512 | 0.15 | 0.02 | 0.45 | -0.28 | — | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 1.00 | 0.02 | 605 | 0.19 | 0.02 | 0.45 | -0.24 | — | ||||||||||||||||||||||||||||||||
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 | — | ||||||||||||||||||||||||||||||||
Real Estate Securities | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 8.92 | 10.83 | 50 | 1.22 | (4) | 2.82 | (4) | 1.31 | (4) | 2.73 | (4) | 32 | ||||||||||||||||||||||||||||
Year ended 12-31-2015 | 8.98 | 4.78 | 47 | 1.19 | 1.10 | 1.28 | 1.01 | 57 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 9.59 | 30.17 | 52 | 1.21 | 1.16 | 1.30 | 1.07 | 81 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 7.90 | 1.13 | 40 | 1.24 | 1.01 | 1.33 | 0.92 | 43 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Science and Technology | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 20.00 | -9.09 | 498 | 1.15 | (4) | -0.56 | (4) | 1.18 | (4) | -0.59 | (4) | 4 | ||||||||||||||||||||||||||||
Year ended 12-31-2015 | 22.96 | -2.88 | 582 | 1.13 | -0.60 | 1.15 | -0.62 | 25 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 25.02 | 2.91 | 586 | 1.13 | -0.51 | 1.15 | -0.53 | 29 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 26.58 | 56.39 | 570 | 1.14 | -0.49 | 1.16 | -0.51 | 51 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Small Cap Growth | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 9.10 | -3.37 | 429 | 1.15 | (4) | -0.82 | (4) | 1.17 | (4) | -0.84 | (4) | 42 | ||||||||||||||||||||||||||||
Year ended 12-31-2015 | 10.60 | 1.88 | 430 | 1.13 | -0.76 | 1.15 | -0.78 | 102 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 12.15 | 1.59 | 426 | 1.14 | -0.80 | 1.16 | -0.82 | 85 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 13.76 | 43.36 | 560 | 1.14 | -0.84 | 1.16 | -0.86 | 74 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Small Cap Value | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 15.77 | 10.76 | 341 | 1.16 | (4) | 0.12 | (4) | — | — | 106 | ||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 15.66 | -5.58 | 318 | 1.15 | 0.26 | — | — | 142 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 17.98 | 7.05 | 354 | 1.15 | -0.10 | — | — | 81 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 19.90 | 33.53 | 289 | 1.16 | -0.09 | — | — | 54 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Value | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2016 (unaudited) | 5.24 | -1.76 | 368 | 1.05 | (4) | 1.31 | (4) | 1.06 | (4) | 1.30 | (4) | 30 | ||||||||||||||||||||||||||||
Year ended 12-31-2015 | 6.15 | -3.91 | 384 | 0.99 | 0.91 | 1.00 | 0.90 | 74 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2014 | 7.39 | 10.94 | 416 | 1.00 | 0.72 | 1.01 | 0.71 | 76 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2013 | 7.82 | 35.34 | 372 | 1.00 | 0.76 | 1.01 | 0.75 | 63 | ||||||||||||||||||||||||||||||||
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 |
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 121 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS | IVY FUNDS VIP |
JUNE 30, 2016 (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”), the Dodd Frank Wall Street Reform and Consumer Protection Act, or the interpretive rules and regulations of the U.S. Commodities Futures Trading Commission require that a Portfolio either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, financial futures contracts, foreign currency exchange contracts, options written, securities with extended settlement periods and swaps), the Portfolio will segregate collateral or designate on its books and records cash or other liquid securities having a value at least equal to the amount that is required to be physically segregated for the benefit of the counterparty. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party has requirements to deliver/deposit cash or securities as collateral for certain investments. Certain countries require that cash reserves be held while investing in companies incorporated in that country. These cash reserves and cash collateral that has been pledged to cover obligations of the Portfolios under derivative contracts, if any, will be reported separately on the Statement of Assets and Liabilities as “Restricted cash.” Securities collateral pledged for the same purpose, if any, is noted on the Schedule of Investments.
122 | SEMIANNUAL REPORT | 2016 |
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Concentration of Market and Credit Risk. In the normal course of business, the Portfolios invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Portfolios may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Portfolios; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Portfolios may be exposed to counterparty credit risk, or the risk that an entity with which the Portfolios have unsettled or open transactions may fail to or be unable to perform on its commitments. The Portfolios manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Portfolios to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Portfolios’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded on the Portfolios’ Statement of Assets and Liabilities, less any collateral held by the Portfolios.
Certain Portfolios may hold high-yield 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
2016 | SEMIANNUAL REPORT | 123 |
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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 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 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.
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3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS
Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Each Portfolio calculates the NAV of its shares as of the close of the NYSE, normally 4:00 P.M. Eastern time, on each day the NYSE is open for trading.
For purposes of calculating the NAV, the portfolio securities and financial instruments are valued on each business day using pricing and valuation methods as adopted by the Board. Where market quotes are readily available, fair value is generally determined on the basis of 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 are valued on the basis of amortized cost (which approximates value), whereby a portfolio security is valued at its cost initially, and thereafter valued to reflect a constant amortization to maturity of any discount or premium. Short-term securities with maturities of 60 days or less held in all Portfolios (with the exception of 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 financial instruments are valued at fair value, as determined in good faith by the Board or Valuation Committee pursuant to procedures approved by the Board.
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE close, that materially affect the values of a Portfolio’s securities or 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 financial instruments 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 financial instruments in circumstances where market quotes are not readily available. For instances in which daily market quotes are not readily available, investments may be valued, pursuant to procedures established by the Board, with reference to other securities or indices. In the event that the security or asset cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or financial instrument will be determined in good faith by the Valuation Committee in accordance with the procedures adopted by the Board.
When a Portfolio uses these fair valuation methods applied by WRSCO that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Board or persons acting at 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 are sold.
WRSCO is responsible for monitoring the implementation of the pricing and valuation policies through a series of activities to provide reasonable comfort of the accuracy of prices including: 1) periodic vendor due diligence meetings to review methodologies, new developments, and process at vendors, 2) daily and monthly multi-source pricing comparisons reviewed and submitted to the Valuation Committee, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by management and the Valuation Committee.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability.
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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 derive their value from underlying asset prices, indices, reference rates and other inputs or a combination of these factors. Swaps are valued by an independent pricing service unless the price is unavailable, in which case they are valued at the price provided by a dealer in that security. Futures contracts traded on an exchange are generally valued at the settlement price. Listed options are ordinarily valued at the mean of the last bid and ask price provided by an independent pricing service unless the price is unavailable, in which case they are valued at a quotation obtained from a broker-dealer. Over the counter (“OTC”) options are ordinarily valued at the mean of the last bid and ask price provided by an independent pricing service for a comparable listed option unless such a price is unavailable, in which case they are valued at a quotation obtained from a broker-dealer. If no comparable listed option exists from which to obtain a price from an independent pricing service and a quotation cannot be obtained from a broker-dealer, the OTC option will be valued using a model reasonably designed to provide a current market price.
Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. OTC derivative contracts include forward foreign currency contracts, swap agreements, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices. Depending on the product and the terms of the transaction, the fair value of the OTC derivative products are modeled taking into account the counterparties’ creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets, as is the case with interest rate swap and option contracts. OTC derivative products valued using pricing models with significant observable inputs are categorized within Level 2 of the fair value hierarchy.
Equity Securities. Equity securities traded on U.S. or foreign securities exchanges or included in a national market system are valued at the official closing price at the close of each business day unless otherwise stated below. OTC equity securities and listed securities for which no price is readily available are valued at the average of the last bid and ask prices.
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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 2 of the fair value hierarchy depending on the liquidity and transparency of the market.
Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information. Transfers between levels represent the values as of the beginning of the reporting period.
For fair valuations using unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the Notes to the Schedule of Investments for each respective Portfolio.
Net realized gain (loss) and net unrealized appreciation (depreciation), shown on the reconciliation of Level 3 investments if applicable, are included on the Statement of Operations in net realized gain (loss) on investments in unaffiliated and/or affiliated securities and in net change in unrealized appreciation (depreciation) on investments in unaffiliated and/or affiliated securities, respectively. Additionally, the net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of June 30, 2016, if applicable, is included on the Statement of Operations in net change in unrealized appreciation (depreciation) on investments in unaffiliated and/or affiliated securities.
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.
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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.
Asset Strategy, Global Bond, Global Growth, Global Natural Resources, High Income and International Core Equity enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from foreign currencies (foreign currency exchange rate risk).
Futures Contracts. 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.
Pathfinder Moderate – Managed Volatility, Pathfinder Moderately Aggressive – Managed Volatility, Pathfinder Moderately Conservative – Managed Volatility and Asset Strategy invest in long and/or short positions in futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Option Contracts. Options purchased by a Portfolio are accounted for in the same manner as portfolio securities. The cost of instruments acquired through the exercise of call options is increased by the premium paid to purchase the call. The proceeds from instruments sold through the exercise of put options are decreased by the premium paid to purchase the put.
When a Portfolio writes (sells) an option, an amount equal to the premium received by the Portfolio is recorded as a liability. The amount of the liability is subsequently adjusted to reflect the current value of the option written. When an option expires on its stipulated expiration date or a Portfolio enters into a closing purchase transaction, the Portfolio realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the call option was sold), and the liability related to such option is extinguished. When a written call option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining whether a Portfolio has realized a gain or loss. When a written put is exercised, the cost basis of the instruments purchased by a Portfolio is reduced by the amount of the premium received.
Investments in options, whether purchased or written, involve certain risks. Writing put options and purchasing call options may increase a Portfolio’s exposure to the underlying instrument. With written options, there may be times when a Portfolio will be required to purchase or sell instruments to meet its obligation under the option contract where the required action is not beneficial to the Portfolio, due to unfavorable movement of the market price of the underlying instrument. Additionally, to the extent a Portfolio enters into OTC option transactions with counterparties, the Portfolio will be exposed to the risk that counterparties to these OTC transactions will be unable to meet their obligations under the terms of the transaction.
Asset Strategy, Balanced, International Core Equity, Mid Cap Growth, Science and Technology and Value may purchase and write call and put options to increase or decrease hedging exposure to underlying instruments (which may include credit
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risk, equity risk, foreign currency exchange rate risk, event risk and/or interest rate risk), increase exposure to various equity markets or certain sectors, gain exposure to or facilitate trading in certain securities and/or, in the case of options written, to generate returns from options premiums.
Swap Agreements. 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. Payments received or made by the Portfolio are recorded as realized gain or loss on the Statement of Operations. Any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as swap premiums paid and swap premiums received, respectively, if any, on the Statement of Assets and Liabilities and amortized over the term of the swap. A liquidation payment received or made at the termination or maturity of the swap is recorded as realized gain or loss on the Statement of Operations.
Total return swaps involve a commitment to pay or receive periodic interest payments in exchange for a market-linked return based on a security or a basket of securities 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.
High Income enters into total return swaps to hedge exposure to a security or market.
The creditworthiness of the counterparty with which a Portfolio enters into a swap agreement is monitored by 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 with collateral, which is generally held by the Portfolio’s custodian or broker. The amount of collateral moved to/from applicable counterparties is based upon minimum transfer amounts specified in the CSA. To the extent amounts due to the Portfolio from its counterparties are not fully collateralized contractually or otherwise, the Portfolio bears the risk of loss from counterparty non-performance. See Note 2 “Segregation and Collateralization” for additional information with respect to collateral practices.
Offsetting of Assets and Liabilities. The following tables present financial instruments that are either (1) offset or (2) subject to an enforceable master netting arrangement or similar agreement as of June 30, 2016:
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* | $ | 134 | $ | — | $ | 134 | $ | (134 | ) | $ | — | $ | — | $ | — | |||||||||||||
Unrealized appreciation on forward foreign currency contracts | 53 | — | 53 | — | — | — | 53 | |||||||||||||||||||||
Total | $ | 187 | $ | — | $ | 187 | $ | (134 | ) | $ | — | $ | — | $ | 53 | |||||||||||||
Global Bond | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | $ | 11 | $ | — | $ | 11 | $ | — | $ | — | $ | — | $ | 11 | ||||||||||||||
Global Growth | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | $ | 41 | $ | — | $ | 41 | $ | — | $ | — | $ | — | $ | 41 |
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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 | |||||||||||||||||||||
Global Natural Resources | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | $ | 822 | $ | — | $ | 822 | $ | — | $ | (822 | ) | $ | — | $ | — | |||||||||||||
High Income | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts(1) | $ | 448 | $ | — | $ | 448 | $ | — | $ | — | $ | (350 | ) | $ | 98 | |||||||||||||
Unrealized appreciation on swap agreements | 2 | — | 2 | — | — | — | 2 | |||||||||||||||||||||
Total | $ | 450 | $ | — | $ | 450 | $ | — | $ | — | $ | (350 | ) | $ | 100 | |||||||||||||
International Core Equity | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | $ | 3,323 | $ | — | $ | 3,323 | $ | — | $ | (3,182 | ) | $ | (35 | ) | $ | 106 | ||||||||||||
Mid Cap Growth | ||||||||||||||||||||||||||||
Investments in unaffiliated securities at value* | $ | 72 | $ | — | $ | 72 | $ | (72 | ) | $ | — | $ | — | $ | — |
* Purchased options are reported as investments in unaffiliated securities on the Statement of Assets and Liabilities.
(1) | Amounts include forward contracts that have an offset to an open and close contract, but have not settled. These amounts are included on the Statement of Assets and Liabilities line item for Investment securities sold receivable. |
Liabilities
Gross Amounts Not Offset on the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||
Portfolio | Gross Amounts of Recognized Liabilities | Gross Amounts Offset on the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented on the Statement of Assets and Liabilities | Financial Instruments and Derivatives Available for Offset | Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount Payable | |||||||||||||||||||||
Asset Strategy | ||||||||||||||||||||||||||||
Written options at value | $ | 837 | $ | — | $ | 837 | $ | (134 | ) | $ | (616 | ) | $ | — | $ | 87 | ||||||||||||
Mid Cap Growth | ||||||||||||||||||||||||||||
Written options at value | $ | 1,780 | $ | — | $ | 1,780 | $ | (72 | ) | $ | — | $ | (1,509 | ) | $ | 199 | ||||||||||||
Science and Technology | ||||||||||||||||||||||||||||
Written options at value | $ | 610 | $ | — | $ | 610 | $ | — | $ | (610 | ) | $ | — | $ | — |
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Additional Disclosure Related to Derivative Instruments
Fair values of derivative instruments as of June 30, 2016:
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 depreciation on futures contracts** | $ | 1,398 | ||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | Equity | — | Unrealized depreciation on futures contracts** | 211 | ||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | Equity | — | Unrealized depreciation on futures contracts** | 179 | ||||||||||||||
Asset Strategy | Equity | Investments in unaffiliated securities at value* | 134 | Written options at value | 837 | |||||||||||||
Foreign currency | Unrealized appreciation on forward foreign currency contracts | 53 | — | |||||||||||||||
Balanced | Equity | Investments in unaffiliated securities at value* | 3 | Written options at value | 1 | |||||||||||||
Global Bond | Foreign currency | Unrealized appreciation on forward foreign currency contracts | 11 | — | ||||||||||||||
Global Growth | Foreign currency | Unrealized appreciation on forward foreign currency contracts | 41 | — | ||||||||||||||
Global Natural Resources | Foreign currency | Unrealized appreciation on forward foreign currency contracts | 822 | — | ||||||||||||||
High Income | Foreign currency | Unrealized appreciation on forward foreign currency contracts | 65 | — | ||||||||||||||
Interest rate | Unrealized appreciation on swap agreements | 2 | — | |||||||||||||||
International Core Equity | Foreign currency | Unrealized appreciation on forward foreign currency contracts | 3,323 | — | ||||||||||||||
Mid Cap Growth | Equity | Investments in unaffiliated securities at value* | 72 | Written options at value | 1,780 | |||||||||||||
Science and Technology | Equity | — | Written options at value | 610 | ||||||||||||||
Value | Equity | — | Written options at value | 436 |
* 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, 2016.
Amount of realized gain (loss) on derivatives recognized on the Statement of Operations for the period ended June 30, 2016:
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 | $ | — | $ | — | $ | (1,565 | ) | $ | — | $ | — | $ | (1,565 | ) | |||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | Equity | — | — | (327 | ) | — | — | (327 | ) | |||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | Equity | — | — | (211 | ) | — | — | (211 | ) | |||||||||||||||||
Asset Strategy | Equity | 3,735 | — | 1,580 | 1,384 | — | 6,699 | |||||||||||||||||||
Foreign currency | — | — | — | — | (891 | ) | (891 | ) |
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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 | |||||||||||||||||||
Balanced | Equity | $ | (4,974 | ) | $ | — | $ | — | $ | 681 | $ | — | $ | (4,293 | ) | |||||||||||
Global Bond | Foreign currency | — | — | — | — | 3 | 3 | |||||||||||||||||||
Global Natural Resources | Foreign currency | — | — | — | — | (113 | ) | (113 | ) | |||||||||||||||||
High Income | Foreign currency | — | — | — | — | (289 | ) | (289 | ) | |||||||||||||||||
Interest rate | — | 222 | — | — | — | 222 | ||||||||||||||||||||
International Core Equity | Equity | — | — | — | (25 | ) | — | (25 | ) | |||||||||||||||||
Foreign currency | — | — | — | — | (759 | ) | (759 | ) | ||||||||||||||||||
Mid Cap Growth | Equity | (526 | ) | — | — | 1,056 | — | 530 | ||||||||||||||||||
Science and Technology | Equity | (506 | ) | — | — | (916 | ) | — | (1,422 | ) | ||||||||||||||||
Value | Equity | — | — | — | 197 | — | 197 |
* 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, 2016:
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||
Portfolio | Type of Risk Exposure | Investments in unaffiliated securities* | Swap agreements | Futures contracts | Written options | Forward foreign currency contracts | Total | |||||||||||||||||||
Pathfinder Moderate – Managed Volatility | Equity | $ | — | $ | — | $ | (1,592 | ) | $ | — | $ | — | $ | (1,592 | ) | |||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | Equity | — | — | (248 | ) | — | — | (248 | ) | |||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | Equity | — | — | (212 | ) | — | — | (212 | ) | |||||||||||||||||
Asset Strategy | Equity | 2,484 | — | — | (1,112 | ) | — | 1,372 | ||||||||||||||||||
Foreign currency | — | — | — | — | (155 | ) | (155 | ) | ||||||||||||||||||
Balanced | Equity | (705 | ) | — | — | 104 | — | (601 | ) | |||||||||||||||||
Global Bond | Foreign currency | — | — | — | — | 8 | 8 | |||||||||||||||||||
Global Growth | Foreign currency | — | — | — | — | 41 | 41 | |||||||||||||||||||
Global Natural Resources | Foreign currency | — | — | — | — | 611 | 611 | |||||||||||||||||||
High Income | Foreign currency | — | — | — | — | 10 | 10 | |||||||||||||||||||
Interest rate | — | 29 | — | — | — | 29 | ||||||||||||||||||||
International Core Equity | Foreign currency | — | — | — | — | 2,301 | 2,301 | |||||||||||||||||||
Mid Cap Growth | Equity | (114 | ) | — | — | (1,649 | ) | — | (1,763 | ) | ||||||||||||||||
Science and Technology | Equity | 33 | — | — | (56 | ) | — | (23 | ) | |||||||||||||||||
Value | Equity | — | — | — | (518 | ) | — | (518 | ) |
* 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, 2016, 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 | $ | — | $ | — | $ | 30,500 | $ | — | $ | — | $ | — | ||||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | — | — | 5,352 | — | — | — | ||||||||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | — | — | 4,521 | — | — | — | ||||||||||||||||||||||||
Asset Strategy | 102 | — | 5,170 | — | 1,700 | 1,020 | ||||||||||||||||||||||||
Balanced | — | — | — | — | 618 | 67 | ||||||||||||||||||||||||
Global Bond | 3 | — | — | — | — | — | ||||||||||||||||||||||||
Global Growth | 6 | — | — | — | — | — | ||||||||||||||||||||||||
Global Natural Resources | 154 | — | — | — | — | — | ||||||||||||||||||||||||
High Income | 8 | — | — | 1,714 | — | — | ||||||||||||||||||||||||
International Core Equity | 698 | — | — | — | — | 6 | ||||||||||||||||||||||||
Mid Cap Growth | — | — | — | — | 85 | 1,148 | ||||||||||||||||||||||||
Science and Technology | — | — | — | — | 74 | 300 | ||||||||||||||||||||||||
Value | — | — | — | — | — | 877 |
(1) | Average value outstanding during the period. |
(2) | Average notional amount outstanding during the period. |
5. WRITTEN OPTION ACTIVITY ($ amounts in thousands)
Transactions in written options were as follows:
Portfolio | Outstanding at 12-31-15 | Options written | Options closed | Options exercised | Options expired | Outstanding at 6-30-16 | ||||||||||||||||||||||||
Asset Strategy |
| |||||||||||||||||||||||||||||
Number of Contracts | 9,397 | 17,795 | (8,184 | ) | (2,028 | ) | (13,424 | ) | 3,556 | |||||||||||||||||||||
Premium Received | $ | 2,599 | $ | 5,835 | $ | (4,159 | ) | $ | (401 | ) | $ | (3,032 | ) | $ | 842 | |||||||||||||||
Balanced | ||||||||||||||||||||||||||||||
Number of Contracts | N/A | 1,393 | (129 | ) | — | (999 | ) | 265 | ||||||||||||||||||||||
Premium Received | N/A | $ | 788 | $ | (76 | ) | $ | — | $ | (607 | ) | $ | 105 | |||||||||||||||||
International Core Equity | ||||||||||||||||||||||||||||||
Number of Contracts | N/A | 124,000 | (124,000 | ) | — | — | N/A | |||||||||||||||||||||||
Premium Received | N/A | $ | 22 | $ | (22 | ) | $ | — | $ | — | N/A | |||||||||||||||||||
Mid Cap Growth | ||||||||||||||||||||||||||||||
Number of Contracts | 329 | 7,416 | (4,912 | ) | — | (800 | ) | 2,033 | ||||||||||||||||||||||
Premium Received | $ | 1,376 | $ | 4,157 | $ | (4,052 | ) | $ | — | $ | (264 | ) | $ | 1,217 | ||||||||||||||||
Science and Technology | ||||||||||||||||||||||||||||||
Number of Contracts | 3,889 | 8,318 | (6,146 | ) | (122 | ) | (3,890 | ) | 2,049 | |||||||||||||||||||||
Premium Received | $ | 358 | $ | 1,562 | $ | (1,065 | ) | $ | (7 | ) | $ | (121 | ) | $ | 727 | |||||||||||||||
Value | ||||||||||||||||||||||||||||||
Number of Contracts | 7,610 | 9,591 | (3,209 | ) | (4,456 | ) | (5,895 | ) | 3,641 | |||||||||||||||||||||
Premium Received | $ | 522 | $ | 2,462 | $ | (1,126 | ) | $ | (926 | ) | $ | (755 | ) | $ | 177 |
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. The Subsidiary and each 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
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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, 2016 of the Subsidiary and each 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 | $ | 1,089,914 | $ | 75,141 | 6.89 | % | |||||||||||||||||
VIP ASF III (SBP), LLC | 4-9-13 | 4-23-13 | 1,089,914 | 13,589 | 1.25 | ||||||||||||||||||||
VIP ASF, LLC | 12-10-12 | 12-18-12 | 1,089,914 | 1,840 | 0.17 |
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.
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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.
WRIMCO has entered into Subadvisory Agreements with the following entities on behalf of certain Portfolios:
Advantus Capital serves as subadvisor to Real Estate Securities and the Managed Volatility Portfolios. The 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 subadvisor.
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.
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Expense Reimbursements and/or Waivers. During the period ended June 30, 2016, the following amounts were waived as a result of the reduced management fees related to the settlement agreement:
Asset Strategy | $ | 50 | ||
Core Equity | 107 | |||
Global Growth | 71 | |||
Growth | 125 | |||
High Income | 125 | |||
Mid Cap Growth | 58 | |||
Science and Technology | 52 | |||
Small Cap Growth | 40 | |||
Value | 18 |
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, 2016, expenses in the amount of $31 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, 2016, expenses in the amount of $95 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, 2016, expenses in the amount of $21 were reimbursed.
During the period ended June 30, 2016, 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 | $ | 63 |
Any amounts due to the Portfolios as a reimbursement but not paid as of June 30, 2016 are shown as a receivable from affiliates on the Statement of Assets and Liabilities.
8. RELATED PARTY TRANSACTIONS
Certain Portfolios are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Portfolios from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the Act. Further, as defined under the procedures, each transaction is effected at the current market price. During the period ended June 30, 2016, the Portfolios below engaged in purchases and sales of securities pursuant to Rule 17a-7 of the Act (amounts in thousands):
Fund | Purchases | Sales | ||||||
Asset Strategy | $ | 116 | $ | — | ||||
Balanced | — | 1,919 | ||||||
High Income | 15,978 | — | ||||||
International Core Equity | — | 989 | ||||||
Limited-Term Bond | 1,532 | — |
9. 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, 2016.
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10. AFFILIATED COMPANY TRANSACTIONS (All amounts in thousands)
A summary of the transactions in affiliated companies during the period ended June 30, 2016 follows:
Portfolio | 12-31-15 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss)(1) | Distributions Received | 6-30-16 Share Balance | 6-30-16 Value | ||||||||||||||||||||||||||||
Pathfinder Aggressive | |||||||||||||||||||||||||||||||||||
Ivy Funds VIP Global Growth | 1,720 | $ | 579 | $ | 1,577 | $ | 335 | $ | 45 | 1,603 | $ | 12,654 | |||||||||||||||||||||||
Ivy Funds VIP Growth | 1,533 | 1,840 | 2,025 | 1,567 | 95 | 1,528 | 14,900 | ||||||||||||||||||||||||||||
Ivy Funds VIP International Core Equity | 651 | 690 | 952 | 74 | 129 | 635 | 9,082 | ||||||||||||||||||||||||||||
Ivy Funds VIP Limited-Term Bond | 1,843 | 222 | 1,087 | 10 | 125 | 1,666 | 8,214 | ||||||||||||||||||||||||||||
Ivy Funds VIP Mid Cap Growth | 886 | 527 | 724 | 433 | 62 | 858 | 7,784 | ||||||||||||||||||||||||||||
Ivy Funds VIP Small Cap Growth | 767 | 1,677 | 787 | 826 | — | 869 | 7,909 | ||||||||||||||||||||||||||||
Ivy Funds VIP Small Cap Value | 522 | 818 | 793 | 794 | 33 | 519 | 8,189 | ||||||||||||||||||||||||||||
Ivy Funds VIP Value | 1,363 | 1,146 | 780 | 755 | 257 | 1,446 | 7,575 | ||||||||||||||||||||||||||||
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$ | 4,794 | $ | 746 | $ | 76,307 | ||||||||||||||||||||||||||||||
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Portfolio | 12-31-15 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss)(1) | Distributions Received | 6-30-16 Share Balance | 6-30-16 Value | ||||||||||||||||||||||||||||
Pathfinder Conservative | |||||||||||||||||||||||||||||||||||
Ivy Funds VIP Dividend Opportunities | 1,986 | $ | 1,473 | $ | 1,248 | $ | 926 | $ | 183 | 2,009 | $ | 14,980 | |||||||||||||||||||||||
Ivy Funds VIP Global Growth | 311 | 160 | 190 | 67 | 9 | 308 | 2,429 | ||||||||||||||||||||||||||||
Ivy Funds VIP Growth | 1,379 | 2,017 | 1,280 | 1,485 | 89 | 1,461 | 14,245 | ||||||||||||||||||||||||||||
Ivy Funds VIP International Core Equity | 375 | 3,033 | 567 | 81 | 108 | 545 | 7,793 | ||||||||||||||||||||||||||||
Ivy Funds VIP Limited-Term Bond | 4,212 | 835 | 3,867 | 48 | 263 | 3,589 | 17,696 | ||||||||||||||||||||||||||||
Ivy Funds VIP Mid Cap Growth | 368 | 337 | 247 | 160 | 27 | 378 | 3,432 | ||||||||||||||||||||||||||||
Ivy Funds VIP Money Market | 40,626 | 1,275 | 3,012 | — | 16 | 38,889 | 38,889 | ||||||||||||||||||||||||||||
Ivy Funds VIP Small Cap Growth | 531 | 1,373 | 411 | 606 | — | 639 | 5,810 | ||||||||||||||||||||||||||||
Ivy Funds VIP Small Cap Value | 145 | 281 | 167 | 198 | 9 | 153 | 2,405 | ||||||||||||||||||||||||||||
Ivy Funds VIP Value | 754 | 816 | 321 | 447 | 148 | 851 | 4,457 | ||||||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||||||||
$ | 4,018 | $ | 852 | $ | 112,136 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
Portfolio | 12-31-15 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss)(1) | Distributions Received | 6-30-16 Share Balance | 6-30-16 Value | ||||||||||||||||||||||||||||
Pathfinder Moderate | |||||||||||||||||||||||||||||||||||
Ivy Funds VIP Dividend Opportunities | 17,413 | $ | 9,814 | $ | 5,710 | $ | 8,941 | $ | 1,630 | 17,794 | $ | 132,703 | |||||||||||||||||||||||
Ivy Funds VIP Global Growth | 12,850 | 4,030 | 4,020 | 2,992 | 358 | 12,855 | 101,503 | ||||||||||||||||||||||||||||
Ivy Funds VIP Growth | 11,287 | 13,677 | 6,284 | 12,305 | 738 | 12,082 | 117,792 | ||||||||||||||||||||||||||||
Ivy Funds VIP International Core Equity | 3,994 | 4,678 | 2,018 | 639 | 837 | 4,179 | 59,810 | ||||||||||||||||||||||||||||
Ivy Funds VIP Limited-Term Bond | 19,388 | 2,007 | 4,815 | 49 | 1,384 | 18,811 | 92,742 | ||||||||||||||||||||||||||||
Ivy Funds VIP Mid Cap Growth | 3,727 | 2,422 | 1,046 | 1,746 | 273 | 3,873 | 35,132 | ||||||||||||||||||||||||||||
Ivy Funds VIP Money Market | 176,442 | 1,221 | 7,036 | — | 72 | 170,628 | 170,628 | ||||||||||||||||||||||||||||
Ivy Funds VIP Small Cap Growth | 5,648 | 12,945 | 1,992 | 6,554 | — | 6,867 | 62,463 | ||||||||||||||||||||||||||||
Ivy Funds VIP Small Cap Value | 2,746 | 4,316 | 1,506 | 3,985 | 180 | 2,928 | 46,161 | ||||||||||||||||||||||||||||
Ivy Funds VIP Value | 7,167 | 6,566 | 1,369 | 4,301 | 1,423 | 8,165 | 42,770 | ||||||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||||||||
$ | 41,512 | $ | 6,895 | $ | 861,704 | ||||||||||||||||||||||||||||||
|
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|
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|
|
2016 | SEMIANNUAL REPORT | 137 |
Table of Contents
Portfolio | 12-31-15 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss)(1) | Distributions Received | 6-30-16 Share Balance | 6-30-16 Value | ||||||||||||||||||||||||||||
Pathfinder Moderately Aggressive | |||||||||||||||||||||||||||||||||||
Ivy Funds VIP Dividend Opportunities | 20,606 | $ | 10,854 | $ | 7,171 | $ | 10,622 | $ | 1,912 | 20,893 | $ | 155,811 | |||||||||||||||||||||||
Ivy Funds VIP Global Growth | 15,206 | 4,189 | 5,287 | 3,421 | 420 | 15,093 | 119,173 | ||||||||||||||||||||||||||||
Ivy Funds VIP Growth | 13,356 | 15,429 | 7,902 | 14,473 | 866 | 14,184 | 138,294 | ||||||||||||||||||||||||||||
Ivy Funds VIP International Core Equity | 8,102 | 8,432 | 3,978 | 1,344 | 1,684 | 8,412 | 120,387 | ||||||||||||||||||||||||||||
Ivy Funds VIP Limited-Term Bond | 22,944 | 1,881 | 6,066 | 66 | 1,624 | 22,087 | 108,889 | ||||||||||||||||||||||||||||
Ivy Funds VIP Mid Cap Growth | 5,513 | 3,127 | 1,450 | 2,636 | 401 | 5,685 | 51,564 | ||||||||||||||||||||||||||||
Ivy Funds VIP Money Market | 104,404 | 276 | 4,512 | — | 42 | 100,168 | 100,168 | ||||||||||||||||||||||||||||
Ivy Funds VIP Small Cap Growth | 7,639 | 16,736 | 2,646 | 8,798 | — | 9,214 | 83,812 | ||||||||||||||||||||||||||||
Ivy Funds VIP Small Cap Value | 5,200 | 7,751 | 3,022 | 7,604 | 339 | 5,501 | 86,727 | ||||||||||||||||||||||||||||
Ivy Funds VIP Value | 8,482 | 7,286 | 1,608 | 5,034 | 1,669 | 9,586 | 50,218 | ||||||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||||||||
$ | 53,998 | $ | 8,957 | $ | 1,015,043 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
Portfolio | 12-31-15 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss)(1) | Distributions Received | 6-30-16 Share Balance | 6-30-16 Value | ||||||||||||||||||||||||||||
Pathfinder Moderately Conservative | |||||||||||||||||||||||||||||||||||
Ivy Funds VIP Dividend Opportunities | 4,597 | $ | 2,653 | $ | 1,539 | $ | 2,227 | $ | 429 | 4,719 | $ | 35,191 | |||||||||||||||||||||||
Ivy Funds VIP Global Growth | 2,317 | 764 | 691 | 517 | 65 | 2,329 | 18,387 | ||||||||||||||||||||||||||||
Ivy Funds VIP Growth | 3,438 | 4,229 | 1,839 | 3,711 | 224 | 3,698 | 36,051 | ||||||||||||||||||||||||||||
Ivy Funds VIP International Core Equity | 1,216 | 1,488 | 597 | 187 | 254 | 1,279 | 18,303 | ||||||||||||||||||||||||||||
Ivy Funds VIP Limited-Term Bond | 8,650 | 979 | 2,028 | 21 | 616 | 8,435 | 41,585 | ||||||||||||||||||||||||||||
Ivy Funds VIP Mid Cap Growth | 1,135 | 775 | 327 | 508 | 83 | 1,185 | 10,750 | ||||||||||||||||||||||||||||
Ivy Funds VIP Money Market | 67,168 | 600 | 2,489 | — | 27 | 65,279 | 65,279 | ||||||||||||||||||||||||||||
Ivy Funds VIP Small Cap Growth | 1,474 | 3,433 | 508 | 1,697 | — | 1,801 | 16,381 | ||||||||||||||||||||||||||||
Ivy Funds VIP Small Cap Value | 502 | 802 | 279 | 697 | 33 | 537 | 8,472 | ||||||||||||||||||||||||||||
Ivy Funds VIP Value | 2,183 | 2,042 | 413 | 1,292 | 432 | 2,499 | 13,089 | ||||||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||||||||
$ | 10,857 | $ | 2,163 | $ | 263,488 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
Portfolio | 12-31-15 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss)(1) | Distributions Received | 6-30-16 Share Balance | 6-30-16 Value | ||||||||||||||||||||||||||||
Pathfinder Moderate – Managed Volatility | |||||||||||||||||||||||||||||||||||
Ivy Funds VIP Dividend Opportunities | 7,460 | $ | 14,259 | $ | 1,173 | $ | 3,764 | $ | 816 | 9,219 | $ | 68,753 | |||||||||||||||||||||||
Ivy Funds VIP Global Growth | 5,503 | 9,650 | 213 | 1,513 | 179 | 6,673 | 52,690 | ||||||||||||||||||||||||||||
Ivy Funds VIP Growth | 4,824 | 15,573 | 854 | 6,167 | 370 | 6,270 | 61,129 | ||||||||||||||||||||||||||||
Ivy Funds VIP International Core Equity | 1,715 | 6,512 | — | 338 | 419 | 2,166 | 31,006 | ||||||||||||||||||||||||||||
Ivy Funds VIP Limited-Term Bond | 8,341 | 7,702 | 747 | 13 | 693 | 9,755 | 48,093 | ||||||||||||||||||||||||||||
Ivy Funds VIP Mid Cap Growth | 1,602 | 3,601 | — | 831 | 137 | 2,007 | 18,202 | ||||||||||||||||||||||||||||
Ivy Funds VIP Money Market | 75,886 | 13,071 | 449 | — | 36 | 88,508 | 88,508 | ||||||||||||||||||||||||||||
Ivy Funds VIP Small Cap Growth | 2,430 | 10,304 | — | 3,289 | — | 3,559 | 32,376 | ||||||||||||||||||||||||||||
Ivy Funds VIP Small Cap Value | 1,182 | 5,275 | 189 | 1,949 | 90 | 1,514 | 23,872 | ||||||||||||||||||||||||||||
Ivy Funds VIP Value | 3,078 | 6,319 | — | 2,131 | 713 | 4,236 | 22,191 | ||||||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||||||||
$ | 19,995 | $ | 3,453 | $ | 446,820 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
138 | SEMIANNUAL REPORT | 2016 |
Table of Contents
Portfolio | 12-31-15 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss)(1) | Distributions Received | 6-30-16 Share Balance | 6-30-16 Value | ||||||||||||||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | |||||||||||||||||||||||||||||||||||
Ivy Funds VIP Dividend Opportunities | 1,263 | $ | 1,136 | $ | 232 | $ | 580 | $ | 125 | 1,386 | $ | 10,336 | |||||||||||||||||||||||
Ivy Funds VIP Global Growth | 932 | 622 | 57 | 235 | 28 | 1,002 | 7,912 | ||||||||||||||||||||||||||||
Ivy Funds VIP Growth | 817 | 1,408 | 177 | 949 | 57 | 942 | 9,181 | ||||||||||||||||||||||||||||
Ivy Funds VIP International Core Equity | 497 | 873 | — | 89 | 110 | 558 | 7,987 | ||||||||||||||||||||||||||||
Ivy Funds VIP Limited-Term Bond | 1,411 | 428 | 158 | 3 | 107 | 1,466 | 7,225 | ||||||||||||||||||||||||||||
Ivy Funds VIP Mid Cap Growth | 339 | 336 | — | 160 | 26 | 377 | 3,421 | ||||||||||||||||||||||||||||
Ivy Funds VIP Money Market | 6,419 | 301 | 72 | — | 3 | 6,648 | 6,648 | ||||||||||||||||||||||||||||
Ivy Funds VIP Small Cap Growth | 470 | 1,278 | — | 577 | — | 611 | 5,561 | ||||||||||||||||||||||||||||
Ivy Funds VIP Small Cap Value | 320 | 735 | 59 | 480 | 22 | 365 | 5,748 | ||||||||||||||||||||||||||||
Ivy Funds VIP Value | 521 | 614 | — | 327 | 109 | 636 | 3,333 | ||||||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||||||||
$ | 3,400 | $ | 587 | $ | 67,352 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
Portfolio | 12-31-15 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss)(1) | Distributions Received | 6-30-16 Share Balance | 6-30-16 Value | ||||||||||||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | |||||||||||||||||||||||||||||||||||
Ivy Funds VIP Dividend Opportunities | 876 | $ | 1,553 | $ | 129 | $ | 419 | $ | 91 | 1,069 | $ | 7,969 | |||||||||||||||||||||||
Ivy Funds VIP Global Growth | 441 | 714 | 10 | 114 | 14 | 529 | 4,175 | ||||||||||||||||||||||||||||
Ivy Funds VIP Growth | 654 | 1,964 | 105 | 793 | 47 | 839 | 8,182 | ||||||||||||||||||||||||||||
Ivy Funds VIP International Core Equity | 232 | 832 | — | 44 | 54 | 290 | 4,149 | ||||||||||||||||||||||||||||
Ivy Funds VIP Limited-Term Bond | 1,655 | 1,408 | 145 | 3 | 131 | 1,912 | 9,428 | ||||||||||||||||||||||||||||
Ivy Funds VIP Mid Cap Growth | 217 | 459 | — | 107 | 17 | 268 | 2,434 | ||||||||||||||||||||||||||||
Ivy Funds VIP Money Market | 12,849 | 2,033 | 77 | — | 6 | 14,805 | 14,805 | ||||||||||||||||||||||||||||
Ivy Funds VIP Small Cap Growth | 282 | 1,143 | — | 362 | — | 408 | 3,712 | ||||||||||||||||||||||||||||
Ivy Funds VIP Small Cap Value | 96 | 399 | 10 | 150 | 7 | 121 | 1,914 | ||||||||||||||||||||||||||||
Ivy Funds VIP Value | 417 | 806 | — | 274 | 92 | 567 | 2,970 | ||||||||||||||||||||||||||||
|
|
|
|
|
| ||||||||||||||||||||||||||||||
$ | 2,266 | $ | 459 | $ | 59,738 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
(1) | Included in Realized Gain/Loss, if applicable, are distributions from capital gains from the underlying securities. |
2016 | SEMIANNUAL REPORT | 139 |
Table of Contents
11. 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, 2016, were as follows:
Purchases | Sales | |||||||||||||||
U.S. Government | Other Issuers | U.S. Government | Other Issuers | |||||||||||||
Pathfinder Aggressive | $ | — | $ | 7,499 | $ | — | $ | 8,793 | ||||||||
Pathfinder Conservative | — | 11,600 | — | 11,479 | ||||||||||||
Pathfinder Moderate | — | 61,676 | — | 37,901 | ||||||||||||
Pathfinder Moderately Aggressive | — | 75,961 | — | 46,545 | ||||||||||||
Pathfinder Moderately Conservative | — | 17,765 | — | 11,017 | ||||||||||||
Pathfinder Moderate – Managed Volatility | — | 92,266 | — | 3,883 | ||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | — | 7,731 | — | 806 | ||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | — | 11,311 | — | 506 | ||||||||||||
Asset Strategy | 100,643 | 129,579 | 12,819 | 370,274 | ||||||||||||
Balanced | — | 76,327 | 177 | 110,794 | ||||||||||||
Bond | 15,085 | 124,187 | 28,439 | 121,161 | ||||||||||||
Core Equity | — | 99,327 | — | 122,257 | ||||||||||||
Dividend Opportunities | — | 83,124 | — | 104,469 | ||||||||||||
Energy | — | 46,865 | — | 25,487 | ||||||||||||
Global Bond | 206 | 1,729 | — | 2,105 | ||||||||||||
Global Growth | — | 73,040 | — | 81,898 | ||||||||||||
Global Natural Resources | — | 22,240 | — | 18,741 | ||||||||||||
Growth | — | 223,632 | — | 252,709 | ||||||||||||
High Income | — | 139,448 | — | 127,234 | ||||||||||||
International Core Equity | — | 189,088 | — | 191,555 | ||||||||||||
Limited-Term Bond | 35,352 | 86,662 | 21,278 | 100,589 | ||||||||||||
Micro Cap Growth | — | 11,549 | — | 12,429 | ||||||||||||
Mid Cap Growth | — | 104,368 | — | 97,511 | ||||||||||||
Money Market | — | — | — | — | ||||||||||||
Real Estate Securities | — | 15,164 | — | 16,753 | ||||||||||||
Science and Technology | — | 21,793 | — | 50,132 | ||||||||||||
Small Cap Growth | — | 176,785 | — | 161,191 | ||||||||||||
Small Cap Value | — | 331,562 | — | 342,317 | ||||||||||||
Value | — | 104,403 | — | 112,987 |
12. 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 6-30-16 | Year ended 12-31-15 | Six months ended 6-30-16 | Year ended 12-31-15 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares | 415 | $ | 1,933 | 1,273 | $ | 6,939 | 808 | $ | 4,040 | 1,600 | $ | 8,521 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 2,081 | 8,942 | 2,058 | 10,990 | 1,785 | 8,374 | 1,720 | 9,092 | ||||||||||||||||||||||||||||
Shares redeemed | (1,788 | ) | (8,337 | ) | (1,276 | ) | (6,928 | ) | (1,704 | ) | (8,529 | ) | (2,610 | ) | (13,964 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase | 708 | $ | 2,538 | 2,055 | $ | 11,001 | 889 | $ | 3,885 | 710 | $ | 3,649 | ||||||||||||||||||||||||
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|
140 | SEMIANNUAL REPORT | 2016 |
Table of Contents
Pathfinder Moderate | Pathfinder Moderately Aggressive | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-16 | Year ended 12-31-15 | Six months ended 6-30-16 | Year ended 12-31-15 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares | 1,363 | $ | 6,934 | 3,072 | $ | 17,232 | 959 | $ | 4,982 | 2,132 | $ | 12,563 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 16,894 | 79,616 | 16,149 | 89,583 | 22,396 | 106,875 | 20,436 | 118,128 | ||||||||||||||||||||||||||||
Shares redeemed | (5,932 | ) | (29,883 | ) | (10,104 | ) | (56,743 | ) | (6,822 | ) | (35,411 | ) | (9,864 | ) | (57,451 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase | 12,325 | $ | 56,667 | 9,117 | $ | 50,072 | 16,533 | $ | 76,446 | 12,704 | $ | 73,240 | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Pathfinder Moderately Conservative | Pathfinder Moderate – Managed Volatility | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-16 | Year ended 12-31-15 | Six months ended 6-30-16 | Year ended 12-31-15 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares | 596 | $ | 2,957 | 652 | $ | 3,641 | 14,456 | $ | 74,571 | 37,109 | $ | 202,767 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 4,770 | 22,580 | 4,818 | 26,405 | 3,573 | 17,903 | — | — | ||||||||||||||||||||||||||||
Shares redeemed | (1,872 | ) | (9,474 | ) | (4,416 | ) | (24,507 | ) | (977 | ) | (5,034 | ) | (1,125 | ) | (6,131 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase | 3,494 | $ | 16,063 | 1,054 | $ | 5,539 | 17,052 | $ | 87,440 | 35,984 | $ | 196,636 | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | Pathfinder Moderately Conservative – Managed Volatility | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-16 | Year ended 12-31-15 | Six months ended 6-30-16 | Year ended 12-31-15 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares | 1,257 | $ | 6,276 | 5,175 | $ | 27,839 | 2,181 | $ | 11,020 | 5,000 | $ | 26,624 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 846 | 4,044 | — | — | 439 | 2,159 | 19 | 102 | ||||||||||||||||||||||||||||
Shares redeemed | (563 | ) | (2,813 | ) | (556 | ) | (2,992 | ) | (593 | ) | (3,013 | ) | (638 | ) | (3,411 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase | 1,540 | $ | 7,507 | 4,619 | $ | 24,847 | 2,027 | $ | 10,166 | 4,381 | $ | 23,315 | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Asset Strategy | Balanced | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-16 | Year ended 12-31-15 | Six months ended 6-30-16 | Year ended 12-31-15 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares | 3,467 | $ | 27,679 | 13,800 | $ | 130,966 | 1,654 | $ | 13,405 | 3,009 | $ | 28,391 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 806 | 6,389 | 27,988 | 263,937 | 8,348 | 59,724 | 6,352 | 57,909 | ||||||||||||||||||||||||||||
Shares redeemed | (21,346 | ) | (170,454 | ) | (36,228 | ) | (341,043 | ) | (3,124 | ) | (25,306 | ) | (6,287 | ) | (58,831 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | (17,073 | ) | $ | (136,386 | ) | 5,560 | $ | 53,860 | 6,878 | $ | 47,823 | 3,074 | $ | 27,469 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Bond | Core Equity | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-16 | Year ended 12-31-15 | Six months ended 6-30-16 | Year ended 12-31-15 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares | 2,472 | $ | 13,226 | 2,695 | $ | 14,334 | 613 | $ | 6,706 | 1,417 | $ | 18,006 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 1,396 | 7,334 | 1,671 | 8,715 | 5,295 | 53,823 | 6,758 | 82,546 | ||||||||||||||||||||||||||||
Shares redeemed | (5,219 | ) | (27,691 | ) | (8,499 | ) | (44,857 | ) | (2,651 | ) | (29,166 | ) | (5,192 | ) | (66,655 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | (1,351 | ) | $ | (7,131 | ) | (4,133 | ) | $ | (21,808 | ) | 3,257 | $ | 31,363 | 2,983 | $ | 33,897 | ||||||||||||||||||||
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|
|
2016 | SEMIANNUAL REPORT | 141 |
Table of Contents
Dividend Opportunities | Energy | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-16 | Year ended 12-31-15 | Six months ended 6-30-16 | Year ended 12-31-15 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares | 2,254 | $ | 16,882 | 6,749 | $ | 55,031 | 5,869 | $ | 29,862 | 8,439 | $ | 51,692 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 4,735 | 34,387 | 7,592 | 62,165 | 36 | 203 | 106 | 726 | ||||||||||||||||||||||||||||
Shares redeemed | (3,956 | ) | (30,018 | ) | (5,028 | ) | (41,473 | ) | (2,553 | ) | (13,265 | ) | (3,427 | ) | (20,788 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase | 3,033 | $ | 21,251 | 9,313 | $ | 75,723 | 3,352 | $ | 16,800 | 5,118 | $ | 31,630 | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Global Bond | Global Growth | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-16 | Year ended 12-31-15 | Six months ended 6-30-16 | Year ended 12-31-15 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares | 453 | $ | 2,162 | 1,122 | $ | 5,516 | 1,817 | $ | 14,648 | 12,256 | $ | 111,878 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 154 | 731 | 140 | 701 | 1,910 | 15,259 | 2,920 | 26,499 | ||||||||||||||||||||||||||||
Shares redeemed | (399 | ) | (1,909 | ) | (885 | ) | (4,374 | ) | (2,773 | ) | (22,584 | ) | (5,578 | ) | (50,502 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase | 208 | $ | 984 | 377 | $ | 1,843 | 954 | $ | 7,323 | 9,598 | $ | 87,875 | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Global Natural Resources | Growth | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-16 | Year ended 12-31-15 | Six months ended 6-30-16 | Year ended 12-31-15 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares | 4,121 | $ | 14,984 | 7,712 | $ | 34,497 | 1,706 | $ | 17,913 | 5,911 | $ | 69,171 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 225 | 874 | 28 | 137 | 9,263 | 90,043 | 9,363 | 105,927 | ||||||||||||||||||||||||||||
Shares redeemed | (3,442 | ) | (12,893 | ) | (7,472 | ) | (33,828 | ) | (4,942 | ) | (52,298 | ) | (8,835 | ) | (104,736 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase | 904 | $ | 2,965 | 268 | $ | 806 | 6,027 | $ | 55,658 | 6,439 | $ | 70,362 | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
High Income | International Core Equity | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-16 | Year ended 12-31-15 | Six months ended 6-30-16 | Year ended 12-31-15 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares | 14,323 | $ | 48,138 | 47,114 | $ | 175,293 | 2,082 | $ | 30,190 | 6,726 | $ | 114,451 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 17,143 | 56,542 | 16,178 | 59,896 | 1,129 | 16,095 | 5,314 | 93,448 | ||||||||||||||||||||||||||||
Shares redeemed | (18,446 | ) | (61,559 | ) | (59,362 | ) | (216,743 | ) | (2,250 | ) | (32,609 | ) | (5,061 | ) | (85,855 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase | 13,020 | $ | 43,121 | 3,930 | $ | 18,446 | 961 | $ | 13,676 | 6,979 | $ | 122,044 | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Limited-Term Bond | Micro Cap Growth | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-16 | Year ended 12-31-15 | Six months ended 6-30-16 | Year ended 12-31-15 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares | 3,503 | $ | 17,239 | 13,679 | $ | 67,397 | 162 | $ | 2,868 | 313 | $ | 7,336 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 1,180 | 5,754 | 1,372 | 6,695 | 372 | 6,098 | 452 | 10,594 | ||||||||||||||||||||||||||||
Shares redeemed | (5,353 | ) | (26,371 | ) | (32,834 | ) | (161,222 | ) | (217 | ) | (3,883 | ) | (590 | ) | (14,154 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | (670 | ) | $ | (3,378 | ) | (17,783 | ) | $ | (87,130 | ) | 317 | $ | 5,083 | 175 | $ | 3,776 | ||||||||||||||||||||
|
|
|
|
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Mid Cap Growth | Money Market | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-16 | Year ended 12-31-15 | Six months ended 6-30-16 | Year ended 12-31-15 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares | 4,106 | $ | 36,140 | 11,113 | $ | 113,296 | 39,974 | $ | 39,974 | 116,187 | $ | 116,187 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 3,739 | 32,997 | 4,426 | 46,460 | 209 | 209 | 107 | 107 | ||||||||||||||||||||||||||||
Shares redeemed | (4,007 | ) | (36,139 | ) | (4,656 | ) | (48,499 | ) | (39,617 | ) | (39,617 | ) | (88,490 | ) | (88,490 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase | 3,838 | $ | 32,998 | 10,883 | $ | 111,257 | 566 | $ | 566 | 27,804 | $ | 27,804 | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Real Estate Securities | Science and Technology | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-16 | Year ended 12-31-15 | Six months ended 6-30-16 | Year ended 12-31-15 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares | 458 | $ | 4,026 | 1,189 | $ | 10,940 | 1,505 | $ | 30,759 | 5,144 | $ | 126,625 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 594 | 4,876 | 634 | 5,461 | 1,068 | 20,982 | 1,358 | 34,801 | ||||||||||||||||||||||||||||
Shares redeemed | (710 | ) | (6,204 | ) | (1,994 | ) | (17,986 | ) | (3,055 | ) | (62,319 | ) | (4,555 | ) | (111,924 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | 342 | $ | 2,698 | (171 | ) | $ | (1,585 | ) | (482 | ) | $ | (10,578 | ) | 1,947 | $ | 49,502 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Small Cap Growth | Small Cap Value | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-16 | Year ended 12-31-15 | Six months ended 6-30-16 | Year ended 12-31-15 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares | 3,578 | $ | 34,306 | 4,808 | $ | 56,961 | 607 | $ | 9,441 | 1,421 | $ | 23,905 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders | 5,356 | 45,145 | 5,677 | 66,812 | 1,981 | 29,736 | 1,621 | 27,175 | ||||||||||||||||||||||||||||
Shares redeemed | (2,250 | ) | (21,014 | ) | (4,993 | ) | (60,998 | ) | (1,234 | ) | (19,347 | ) | (2,425 | ) | (41,202 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase | 6,684 | $ | 58,437 | 5,492 | $ | 62,775 | 1,354 | $ | 19,830 | 617 | $ | 9,878 | ||||||||||||||||||||||||
|
|
|
|
Value | ||||||||||||||||
Six months ended 6-30-16 | Year ended 12-31-15 | |||||||||||||||
Shares | Value | Shares | Value | |||||||||||||
Shares issued from sale of shares | 2,128 | $ | 12,233 | 5,375 | $ | 36,040 | ||||||||||
Shares issued in reinvestment of distributions to shareholders | 9,469 | 48,920 | 8,521 | 55,408 | ||||||||||||
Shares redeemed | (3,769 | ) | (21,361 | ) | (7,811 | ) | (52,349 | ) | ||||||||
|
| |||||||||||||||
Net increase | 7,828 | $ | 39,792 | 6,085 | $ | 39,099 | ||||||||||
|
|
13. COMMITMENTS ($ amounts in thousands)
Bridge loan commitments may obligate a Portfolio to furnish temporary financing to a borrower until permanent financing can be arranged. At period ended June 30, 2016, High Income had outstanding bridge loan commitments of $241. In connection with these commitments, the Portfolio earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income is included in interest income on the Statements of Operations.
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14. FEDERAL INCOME TAX MATTERS ($ amounts in thousands)
For Federal income tax purposes, cost of investments owned at June 30, 2016 and the related unrealized appreciation (depreciation) were as follows:
Portfolio | Cost of Investments | Gross Appreciation | Gross Depreciation | Net Unrealized | ||||||||||||
Pathfinder Aggressive | $ | 88,389 | $ | 21 | $ | 11,506 | $ | (11,485 | ) | |||||||
Pathfinder Conservative | 120,452 | — | 7,721 | (7,721 | ) | |||||||||||
Pathfinder Moderate | 926,233 | 2,616 | 66,926 | (64,310 | ) | |||||||||||
Pathfinder Moderately Aggressive | 1,100,350 | 3,409 | 88,275 | (84,866 | ) | |||||||||||
Pathfinder Moderately Conservative | 283,499 | — | 19,704 | (19,704 | ) | |||||||||||
Pathfinder Moderate – Managed Volatility | 504,251 | 137 | 47,104 | (46,967 | ) | |||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | 78,771 | 15 | 9,814 | (9,799 | ) | |||||||||||
Pathfinder Moderately Conservative – Managed Volatility | 66,508 | 37 | 5,640 | (5,603 | ) | |||||||||||
Asset Strategy | 1,116,232 | 46,564 | 77,479 | (30,915 | ) | |||||||||||
Balanced | 349,165 | 32,550 | 15,038 | 17,512 | ||||||||||||
Bond | 271,286 | 11,195 | 2,719 | 8,476 | ||||||||||||
Core Equity | 408,992 | 49,901 | 25,301 | 24,600 | ||||||||||||
Dividend Opportunities | 451,400 | 69,243 | 7,852 | 61,391 | ||||||||||||
Energy | 147,509 | 16,254 | 8,504 | 7,750 | ||||||||||||
Global Bond | 21,318 | 452 | 877 | (425 | ) | |||||||||||
Global Growth | 452,005 | 44,721 | 25,120 | 19,601 | ||||||||||||
Global Natural Resources | 138,809 | 8,190 | 18,349 | (10,159 | ) | |||||||||||
Growth | 687,985 | 170,447 | 23,177 | 147,270 | ||||||||||||
High Income | 819,407 | 8,389 | 71,311 | (62,922 | ) | |||||||||||
International Core Equity | 673,713 | 31,778 | 77,470 | (45,692 | ) | |||||||||||
Limited-Term Bond | 372,196 | 6,140 | 314 | 5,826 | ||||||||||||
Micro Cap Growth | 51,431 | 7,819 | 3,457 | 4,362 | ||||||||||||
Mid Cap Growth | 570,045 | 79,914 | 50,128 | 29,786 | ||||||||||||
Money Market | 539,688 | — | — | — | ||||||||||||
Real Estate Securities | 42,435 | 8,717 | 1,111 | 7,606 | ||||||||||||
Science and Technology | 386,915 | 157,082 | 38,978 | 118,104 | ||||||||||||
Small Cap Growth | 380,501 | 71,700 | 22,814 | 48,886 | ||||||||||||
Small Cap Value | 320,165 | 26,728 | 7,287 | 19,441 | ||||||||||||
Value | 371,174 | 26,926 | 30,317 | (3,391 | ) |
For Federal income tax purposes, the Portfolios’ distributed and undistributed earnings and profit for the year ended December 31, 2015 and the post-October and late-year ordinary activity updated with information available through the date of this report were as follows:
Portfolio | Undistributed | Undistributed | Post- | Late-Year | ||||||||||||
Pathfinder Aggressive | $ | 1,208 | $ | 7,733 | $ | — | $ | — | ||||||||
Pathfinder Conservative | 1,338 | 7,031 | — | — | ||||||||||||
Pathfinder Moderate | 11,297 | 68,295 | — | — | ||||||||||||
Pathfinder Moderately Aggressive | 16,504 | 90,365 | — | — | ||||||||||||
Pathfinder Moderately Conservative | 3,422 | 19,151 | — | — | ||||||||||||
Pathfinder Moderate – Managed Volatility | 2,608 | 15,286 | — | — | ||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | 624 | 3,419 | — | — | ||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | 327 | 1,830 | — | — | ||||||||||||
Asset Strategy | 6,381 | — | — | — | ||||||||||||
Balanced | 10,430 | 49,283 | — | — | ||||||||||||
Bond | 6,588 | 739 | — | — | ||||||||||||
Core Equity | 8,952 | 44,866 | — | — | ||||||||||||
Dividend Opportunities | 6,260 | 28,121 | — | — |
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Portfolio | Undistributed | Undistributed | Post- | Late-Year | ||||||||||||
Energy | $ | 201 | $ | — | $ | — | $ | — | ||||||||
Global Bond | 730 | — | — | — | ||||||||||||
Global Growth | 1,642 | 13,612 | — | — | ||||||||||||
Global Natural Resources | 873 | — | — | — | ||||||||||||
Growth | 5,160 | 84,871 | — | — | ||||||||||||
High Income | 56,533 | — | — | — | ||||||||||||
International Core Equity | 8,904 | 7,187 | — | — | ||||||||||||
Limited-Term Bond | 5,751 | — | — | — | ||||||||||||
Micro Cap Growth | — | 6,098 | — | — | ||||||||||||
Mid Cap Growth | 4,666 | 28,326 | — | — | ||||||||||||
Money Market | 50 | — | — | — | ||||||||||||
Real Estate Securities | 516 | 4,359 | — | — | ||||||||||||
Science and Technology | — | 20,978 | — | — | ||||||||||||
Small Cap Growth | — | 45,143 | — | — | ||||||||||||
Small Cap Value | 1,332 | 28,401 | — | — | ||||||||||||
Value | 12,254 | 36,660 | — | — |
Internal Revenue Code regulations permit each Portfolio to elect to defer into its next fiscal year capital losses and certain specified ordinary items incurred between each November 1 and the end of its fiscal year. Each Portfolio is also permitted to defer into its next fiscal certain ordinary losses that generated between each January 1 and the end of its fiscal year.
The tax character of dividends and distributions paid during the two fiscal years ended December 31, 2015 and 2014 were as follows:
December 31, 2015 | December 31, 2014 | |||||||||||||||||||
Portfolio | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | ||||||||||||||||
Pathfinder Aggressive | $ | 2,388 | $ | 8,603 | $ | 949 | $ | 6,036 | ||||||||||||
Pathfinder Conservative | 1,393 | 7,698 | 1,952 | 6,653 | ||||||||||||||||
Pathfinder Moderate | 15,574 | 74,010 | 11,327 | 63,926 | ||||||||||||||||
Pathfinder Moderately Aggressive | 25,249 | 92,878 | 12,275 | 75,016 | ||||||||||||||||
Pathfinder Moderately Conservative | 4,252 | 22,152 | 3,503 | 18,401 | ||||||||||||||||
Pathfinder Moderate—Managed Volatility | — | — | 1,691 | 4,283 | ||||||||||||||||
Pathfinder Moderately Aggressive—Managed Volatility | — | — | 814 | 1,497 | ||||||||||||||||
Pathfinder Moderately Conservative—Managed Volatility | 80 | 21 | 302 | 734 | ||||||||||||||||
Asset Strategy | 14,375 | 249,563 | 8,178 | 216,767 | ||||||||||||||||
Balanced | 4,736 | 53,174 | 7,921 | 30,504 | ||||||||||||||||
Bond | 8,716 | — | 11,941 | 9,436 | ||||||||||||||||
Core Equity | 12,264 | 70,282 | 15,331 | 56,753 | ||||||||||||||||
Dividend Opportunities | 13,525 | 48,640 | 8,905 | 34,234 | ||||||||||||||||
Energy | 74 | 652 | 232 | 3,469 | ||||||||||||||||
Global Bond | 701 | — | 415 | — | ||||||||||||||||
Global Growth | 2,105 | 24,394 | 8,928 | 36,409 | ||||||||||||||||
Global Natural Resources | 137 | — | — | — | ||||||||||||||||
Growth | 6,353 | 99,574 | 15,505 | 133,086 | ||||||||||||||||
High Income | 53,398 | 6,499 | 39,918 | 6,022 | ||||||||||||||||
International Core Equity | 33,624 | 59,824 | 55,559 | 13,714 | ||||||||||||||||
Limited-Term Bond | 6,694 | — | 2,601 | 602 | ||||||||||||||||
Micro Cap Growth | — | 10,594 | 172 | 9,582 | ||||||||||||||||
Mid Cap Growth | 4,693 | 41,767 | 8,594 | 17,838 | ||||||||||||||||
Money Market | 107 | — | 133 | — | ||||||||||||||||
Real Estate Securities | 1,690 | 3,771 | 469 | 2,680 | ||||||||||||||||
Science and Technology | — | 34,801 | — | 46,854 | ||||||||||||||||
Small Cap Growth | — | 66,812 | 11,898 | 31,860 | ||||||||||||||||
Small Cap Value | 2,834 | 24,342 | 14,775 | 29,004 | ||||||||||||||||
Value | 14,536 | 40,872 | 14,922 | 36,654 |
(1) | Includes short-term capital gains distributed, if any. |
2016 | SEMIANNUAL REPORT | 145 |
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Accumulated capital losses represent net capital loss carryovers as of December 31, 2015 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, 2015:
Pre-Enactment | Post-Enactment | |||||||||||||||||||
Year of Expiration | ||||||||||||||||||||
Portfolio | 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 | — | — | — | 53,287 | — | |||||||||||||||
Balanced | — | — | — | — | — | |||||||||||||||
Bond | — | — | — | — | — | |||||||||||||||
Core Equity | — | — | — | — | — | |||||||||||||||
Dividend Opportunities | — | — | — | — | — | |||||||||||||||
Energy | 432 | 1,950 | 432 | 6,394 | 6,192 | |||||||||||||||
Global Bond | — | — | — | 213 | 610 | |||||||||||||||
Global Growth | — | — | — | — | — | |||||||||||||||
Global Natural Resources | — | — | — | 7,386 | 30,312 | |||||||||||||||
Growth | — | — | — | — | — | |||||||||||||||
High Income | — | — | — | 1,926 | 19,615 | |||||||||||||||
International Core Equity | — | — | — | — | — | |||||||||||||||
Limited-Term Bond | — | — | — | 817 | 3,610 | |||||||||||||||
Micro Cap Growth | — | — | — | — | — | |||||||||||||||
Mid Cap Growth | — | — | — | — | — | |||||||||||||||
Money Market | — | — | — | — | — | |||||||||||||||
Real Estate Securities | — | — | — | — | — | |||||||||||||||
Science and Technology | — | — | — | — | — | |||||||||||||||
Small Cap Growth | — | — | — | — | — | |||||||||||||||
Small Cap Value | — | — | — | — | — | |||||||||||||||
Value | — | — | — | — | — |
15. 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 (the “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 (the “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’
146 | SEMIANNUAL REPORT | 2016 |
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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.
2016 | SEMIANNUAL REPORT | 147 |
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PROXY VOTING INFORMATION | 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.
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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. |
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150 | SEMIANNUAL REPORT | 2016 |
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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 Portfolio
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.
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SEMIANN-IVYVIP (06-16)
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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 |
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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.
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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/ Wendy J. Hills | |
Wendy J. Hills, Vice President and Secretary | ||
Date: | September 7, 2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/ Philip J. Sanders | |
Philip J. Sanders, Principal Executive Officer | ||
Date: | September 7, 2016 | |
By | /s/ Joseph W. Kauten | |
Joseph W. Kauten, Principal Financial Officer | ||
Date: | September 7, 2016 |