UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-5017
Ivy Variable Insurance Portfolios
(Exact name of registrant as specified in charter)
6300 Lamar Avenue, Overland Park, Kansas 66202
(Address of principal executive offices) (Zip code)
Jennifer K. Dulski
6300 Lamar Avenue
Overland Park, Kansas 66202
(Name and address of agent for service)
Registrant’s telephone number, including area code: 913-236-2000
Date of fiscal year end: December 31
Date of reporting period: June 30, 2017
ITEM 1. | REPORTS TO STOCKHOLDERS. |
1
VARIABLE INSURANCE PORTFOLIOS |
Semiannual Report
JUNE 30, 2017 |
Ivy Variable Insurance Portfolios | ||||||||||
Pathfinder Aggressive | Class II | |||||||||
Pathfinder Conservative | Class II | |||||||||
Pathfinder Moderate | Class II | |||||||||
Pathfinder Moderately Aggressive | Class II | |||||||||
Pathfinder Moderately Conservative | Class II | |||||||||
Pathfinder Moderate — Managed Volatility | Class II | |||||||||
Pathfinder Moderately Aggressive — Managed Volatility | Class II | |||||||||
Pathfinder Moderately Conservative — Managed Volatility | Class II | |||||||||
Advantus Real Estate Securities | Class II | |||||||||
Asset Strategy | Class I | Class II | ||||||||
Balanced | Class II | |||||||||
Bond | Class II | |||||||||
Core Equity | Class II | |||||||||
Dividend Opportunities | Class II | |||||||||
Energy | Class I | Class II | ||||||||
Global Bond | Class II | |||||||||
Global Growth | Class II | |||||||||
Government Money Market | Class II | |||||||||
Growth | Class II | |||||||||
High Income | Class I | Class II | ||||||||
International Core Equity | Class II | |||||||||
Limited-Term Bond | Class II | |||||||||
Micro Cap Growth | Class I | Class II | ||||||||
Mid Cap Growth | Class I | Class II | ||||||||
Natural Resources | Class II | |||||||||
Science and Technology | Class I | Class II | ||||||||
Small Cap Core | Class II | |||||||||
Small Cap Growth | Class II | |||||||||
Value | Class II |
CONTENTS | IVY VIP |
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2 | SEMIANNUAL REPORT | 2017 |
PRESIDENT’S LETTER | IVY VIP |
JUNE 30, 2017 (UNAUDITED) | ||
Philip J. Sanders, CFA |
Dear Shareholder,
Across the six months since our last report, investors endured concerns about global economic growth, the level of interest rates, fluctuation in oil prices and political surprises in select countries across the globe. As we began 2017, domestic equity markets rose sharply, with the trend continuing through mid-2017. See the table for a comparison of some common market metrics over the last six months.
Many investors may be unsettled by the prospect that continued change — in leadership of key countries around the world, in government policy, in interest rate levels — will contribute to market volatility and general uncertainty. While that may be true at times, we believe it is important to stay focused on the fundamentals and merits of sectors, industries and companies when making investment decisions. Those fundamentals historically have tended to outweigh external factors such as government policies and regulations. While government policies can affect every business and investor, we think the innovation and management skill within individual companies ultimately drive long-term stock prices.
By the end of June 2017, the U.S. economy remained fundamentally sound, supported primarily by the U.S. consumer, who is benefitting from lower energy prices, lower inflation in general and an improved labor market. Overall, the global economy has improved over the past six months. In particular, economic growth in the eurozone has accelerated, benefitting from domestic policy stimulus and improving external demand.
The U.S. Federal Reserve (Fed) raised interest rates slightly in December 2016 and then again in March and June of this year. The Fed has indicated the potential for more rate increases as we move through 2017 and hinted towards decreasing the size of its balance sheet. We believe job growth and inflation will be the most important determinants in the direction of long-term central bank policy. Overseas, a better economic outlook has caused the European Central Bank to consider adjusting its policies.
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
6/30/2017 | 12/31/2016 | |||||||
S&P 500 Index | 2,423.41 | 2,238.83 | ||||||
MSCI EAFE Index | 1,883.19 | 1,684.00 | ||||||
10-Year Treasury Yield | 2.31 | % | 2.45 | % | ||||
U.S. unemployment rate | 4.4 | % | 4.7 | % | ||||
30-year fixed mortgage rate | 3.88 | % | 4.32 | % | ||||
Oil price per barrel | $46.04 | $53.72 |
Sources: Bloomberg, U.S. Department of Labor, MBA, CME
All government statistics shown are subject to periodic revision. The S&P 500 Index is an unmanaged index that tracks the stocks of 500 primarily large-cap U.S. companies. MSCI EAFE Index is an unmanaged index comprised of securities that represent the securities markets in Europe, Australasia and the Far East. It is not possible to invest directly in any of these indexes. Mortgage rates are from BankRate and reflect the overnight national average rate on a conventional 30-year fixed loan. Oil prices reflect the market price of West Texas intermediate grade crude.
Respectfully,
Philip J. Sanders, CFA
President
The opinions expressed in this letter are those of the President of the Ivy Variable Insurance Portfolios and are current only through the end of the period of the report, as stated on the cover. The President’s views are subject to change at any time, based on market and other conditions, and no forecasts can be guaranteed.
2017 | SEMIANNUAL REPORT | 3 |
ILLUSTRATION OF PORTFOLIO EXPENSES | IVY VIP |
(UNAUDITED)
Expense Example
As a shareholder of a Portfolio, you incur ongoing costs, including management fees, distribution and service fees, and other Portfolio expenses. The following table is intended to help you understand your ongoing costs (in dollars) of investing in a Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds. As a shareholder in the underlying Ivy VIP Portfolios, the Pathfinder Aggressive, Pathfinder Conservative, Pathfinder Moderate, Pathfinder Moderately Aggressive and Pathfinder Moderately Conservative Portfolios (collectively, the “Pathfinder Portfolios”) and the Pathfinder Moderate — Managed Volatility, Pathfinder Moderately Aggressive — Managed Volatility and Pathfinder Moderately Conservative — Managed Volatility Portfolios (collectively, the “Managed Volatility Portfolios”) will indirectly bear their pro rata share of the expenses incurred by the underlying funds. These expenses are not included in the Pathfinder Portfolios or Managed Volatility Portfolios annualized expense ratios or the expenses paid during the period. These expenses are, however, included in the effective expenses paid during the period. The example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ended June 30, 2017.
Actual Expenses
The first section in the following table provides information about actual investment values and actual expenses for each share class. You may use the information in this section, together with your initial investment in Portfolio shares, to estimate the expenses that you paid over the period. Simply divide the value of that investment by $1,000 (for example, a $7,500 initial investment divided by $1,000 = 7.5), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your investment during this period. In addition, there are fees and expenses imposed under the variable annuity or variable life insurance contract through which shares of the Portfolio are held. Additional fees have the effect of reducing investment returns.
Hypothetical Example for Comparison Purposes
The second section in the following table provides information about hypothetical investment values and hypothetical expenses for each share class based on the Portfolio’s actual expense ratio and an assumed rate of return of five percent per year before expenses, which is not the Portfolio’s actual return. The hypothetical investment values and expenses may not be used to estimate the actual investment value at the end of the period or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this five percent hypothetical example with the five percent hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs as a shareholder of the Portfolio and do not reflect any fees and expenses imposed under the variable annuity or variable life insurance contract through which shares of the Portfolio are held.
Expenses paid may be impacted by expense reduction arrangements. If those arrangements had not been in place, expenses paid would have been higher. See Note 7 to the Financial Statements for further information.
4 | SEMIANNUAL REPORT | 2017 |
ILLUSTRATION OF PORTFOLIO EXPENSES | IVY VIP |
(UNAUDITED)
Actual(1) | Hypothetical(2) | |||||||||||||||||||||||||||
Portfolio* | Beginning Account Value 12-31-16 | Ending Account Value 6-30-17 | Expenses Paid During Period** | Beginning Account Value 12-31-16 | Ending Account Value 6-30-17 | Expenses Paid During Period** | Annualized Expense Ratio Based on the Six-Month Period | |||||||||||||||||||||
Pathfinder Aggressive |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,102.10 | $ | 0.53 | $ | 1,000 | $ | 1,024.34 | $ | 0.51 | 0.09% | |||||||||||||||
Pathfinder Conservative |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,053.40 | $ | 0.41 | $ | 1,000 | $ | 1,024.43 | $ | 0.40 | 0.07% | |||||||||||||||
Pathfinder Moderate |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,075.20 | $ | 0.21 | $ | 1,000 | $ | 1,024.62 | $ | 0.20 | 0.03% | |||||||||||||||
Pathfinder Moderately Aggressive |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,085.80 | $ | 0.21 | $ | 1,000 | $ | 1,024.62 | $ | 0.20 | 0.04% | |||||||||||||||
Pathfinder Moderately Conservative |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,065.40 | $ | 0.21 | $ | 1,000 | $ | 1,024.56 | $ | 0.20 | 0.05% | |||||||||||||||
Pathfinder Moderate – Managed Volatility |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,070.20 | $ | 1.24 | $ | 1,000 | $ | 1,023.62 | $ | 1.21 | 0.24% | |||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,080.30 | $ | 1.56 | $ | 1,000 | $ | 1,023.28 | $ | 1.52 | 0.31% | |||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility |
| |||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,060.50 | $ | 1.55 | $ | 1,000 | $ | 1,023.32 | $ | 1.52 | 0.30% | |||||||||||||||
Advantus Real Estate Securities | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,030.50 | $ | 6.40 | $ | 1,000 | $ | 1,018.54 | $ | 6.36 | 1.26% | |||||||||||||||
Asset Strategy | ||||||||||||||||||||||||||||
Class I*** | $ | 1,000 | $ | 1,015.70 | $ | 1.41 | $ | 1,000 | $ | 1,020.94 | $ | 3.94 | 0.78% | |||||||||||||||
Class II | $ | 1,000 | $ | 1,082.00 | $ | 5.31 | $ | 1,000 | $ | 1,019.73 | $ | 5.15 | 1.02% | |||||||||||||||
Balanced | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,058.20 | $ | 5.15 | $ | 1,000 | $ | 1,019.77 | $ | 5.05 | 1.01% | |||||||||||||||
Bond | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,027.50 | $ | 3.95 | $ | 1,000 | $ | 1,020.90 | $ | 3.94 | 0.79% | |||||||||||||||
Core Equity | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,062.80 | $ | 4.85 | $ | 1,000 | $ | 1,020.06 | $ | 4.75 | 0.95% | |||||||||||||||
Dividend Opportunities | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,062.80 | $ | 5.16 | $ | 1,000 | $ | 1,019.84 | $ | 5.05 | 1.00% | |||||||||||||||
Energy | ||||||||||||||||||||||||||||
Class I*** | $ | 1,000 | $ | 884.80 | $ | 1.60 | $ | 1,000 | $ | 1,020.04 | $ | 4.85 | 0.96% | |||||||||||||||
Class II | $ | 1,000 | $ | 762.10 | $ | 5.20 | $ | 1,000 | $ | 1,018.85 | $ | 5.96 | 1.20% | |||||||||||||||
Global Bond | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,021.90 | $ | 3.13 | $ | 1,000 | $ | 1,021.72 | $ | 3.13 | 0.62% | |||||||||||||||
Global Growth | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,124.60 | $ | 5.95 | $ | 1,000 | $ | 1,019.19 | $ | 5.65 | 1.13% | |||||||||||||||
Government Money Market | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,002.00 | $ | 2.00 | $ | 1,000 | $ | 1,022.77 | $ | 2.02 | 0.41% |
2017 | SEMIANNUAL REPORT | 5 |
ILLUSTRATION OF PORTFOLIO EXPENSES | IVY VIP |
(UNAUDITED)
Actual(1) | Hypothetical(2) | |||||||||||||||||||||||||||
Portfolio | Beginning Account Value 12-31-16 | Ending Account Value 6-30-17 | Expenses Paid During Period** | Beginning Account Value 12-31-16 | Ending Account Value 6-30-17 | Expenses Paid During Period** | Annualized Expense Ratio Based on the Six-Month Period | |||||||||||||||||||||
Growth | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,130.70 | $ | 5.22 | $ | 1,000 | $ | 1,019.86 | $ | 4.95 | 1.00% | |||||||||||||||
High Income | ||||||||||||||||||||||||||||
Class I*** | $ | 1,000 | $ | 1,010.20 | $ | 1.21 | $ | 1,000 | $ | 1,021.53 | $ | 3.34 | 0.66% | |||||||||||||||
Class II | $ | 1,000 | $ | 1,043.60 | $ | 4.60 | $ | 1,000 | $ | 1,020.28 | $ | 4.55 | 0.91% | |||||||||||||||
International Core Equity | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,143.20 | $ | 6.22 | $ | 1,000 | $ | 1,019.02 | $ | 5.86 | 1.16% | |||||||||||||||
Limited-Term Bond | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,011.70 | $ | 4.02 | $ | 1,000 | $ | 1,020.79 | $ | 4.04 | 0.81% | |||||||||||||||
Micro Cap Growth | ||||||||||||||||||||||||||||
Class I | $ | 1,000 | $ | 1,045.00 | $ | 1.94 | $ | 1,000 | $ | 1,019.34 | $ | 5.45 | 1.10% | |||||||||||||||
Class II | $ | 1,000 | $ | 1,068.00 | $ | 6.93 | $ | 1,000 | $ | 1,018.13 | $ | 6.76 | 1.34% | |||||||||||||||
Mid Cap Growth | ||||||||||||||||||||||||||||
Class I*** | $ | 1,000 | $ | 1,033.80 | $ | 1.53 | $ | 1,000 | $ | 1,020.56 | $ | 4.24 | 0.85% | |||||||||||||||
Class II | $ | 1,000 | $ | 1,128.00 | $ | 5.85 | $ | 1,000 | $ | 1,019.34 | $ | 5.55 | 1.10% | |||||||||||||||
Natural Resources | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 901.50 | $ | 6.47 | $ | 1,000 | $ | 1,017.97 | $ | 6.86 | 1.38% | |||||||||||||||
Science and Technology | ||||||||||||||||||||||||||||
Class I*** | $ | 1,000 | $ | 1,029.00 | $ | 1.62 | $ | 1,000 | $ | 1,020.24 | $ | 4.65 | 0.92% | |||||||||||||||
Class II | $ | 1,000 | $ | 1,161.00 | $ | 6.16 | $ | 1,000 | $ | 1,019.05 | $ | 5.75 | 1.16% | |||||||||||||||
Small Cap Core | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,049.40 | $ | 5.94 | $ | 1,000 | $ | 1,019.04 | $ | 5.86 | 1.16% | |||||||||||||||
Small Cap Growth | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,125.30 | $ | 6.06 | $ | 1,000 | $ | 1,019.14 | $ | 5.75 | 1.14% | |||||||||||||||
Value | ||||||||||||||||||||||||||||
Class II | $ | 1,000 | $ | 1,063.50 | $ | 5.16 | $ | 1,000 | $ | 1,019.79 | $ | 5.05 | 1.01% |
* | Each Portfolio offers Class II shares. Asset Strategy, Energy, High Income, Micro Cap Growth, Mid Cap Growth and Science and Technology also offer Class I shares. All classes of shares have identical rights and voting privileges with respect to the Portfolio in general and exclusive voting rights on matters that affect that class alone. |
** | Portfolio expenses are equal to the Portfolio’s annualized expense ratio (provided in the table), multiplied by the average account value over the period, multiplied by 181 days in the six-month period ended June 30, 2017, and divided by 365. |
*** | Portfolio expenses for the share class are equal to the Portfolio’s annualized expense ratio for the share class (provided in table), multiplied by the average account value over the period, multiplied by 64 days in the six-month period ended June 30, 2017, and divided by 365. Actual inception date of the share class is 4-28-17 (the date on which shares were first acquired by shareholders). |
(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.
6 | SEMIANNUAL REPORT | 2017 |
PORTFOLIO HIGHLIGHTS | PATHFINDER PORTFOLIOS |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Pathfinder Aggressive – Asset Allocation
Ivy VIP Growth, Class II | 19.5% | |
Ivy VIP International Core Equity, Class II | 17.2% | |
Ivy VIP Global Growth, Class II | 12.0% | |
Ivy VIP Value, Class II | 9.6% | |
Ivy VIP Mid Cap Growth, Class I | 9.1% | |
Ivy VIP Small Cap Core, Class II | 8.7% | |
Ivy VIP Small Cap Growth, Class II | 8.6% | |
Ivy VIP Limited-Term Bond, Class II | 5.7% | |
Ivy VIP Bond, Class II | 4.9% | |
Ivy VIP High Income, Class I | 3.4% | |
Liabilities, Net of Cash and Other Assets, and Cash Equivalents+ | 1.3% |
Pathfinder Conservative – Asset Allocation
Ivy VIP Government Money Market, Class II | 27.4% | |
Ivy VIP Limited-Term Bond, Class II | 18.1% | |
Ivy VIP Growth, Class II | 12.7% | |
Ivy VIP Dividend Opportunities, Class II | 10.9% | |
Ivy VIP Bond, Class II | 5.9% | |
Ivy VIP International Core Equity, Class II | 5.6% | |
Ivy VIP Global Growth, Class II | 3.9% | |
Ivy VIP Small Cap Growth, Class II | 3.7% | |
Ivy VIP Mid Cap Growth, Class I | 3.0% | |
Ivy VIP Value, Class II | 3.0% | |
Ivy VIP Small Cap Core, Class II | 2.5% | |
Ivy VIP High Income, Class I | 2.4% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.9% |
Pathfinder Moderate – Asset Allocation
Ivy VIP Dividend Opportunities, Class II | 15.0% | |
Ivy VIP Government Money Market, Class II | 13.8% | |
Ivy VIP Growth, Class II | 12.8% | |
Ivy VIP Limited-Term Bond, Class II | 12.0% | |
Ivy VIP International Core Equity, Class II | 11.4% | |
Ivy VIP Global Growth, Class II | 8.2% | |
Ivy VIP Bond, Class II | 5.5% | |
Ivy VIP Small Cap Growth, Class II | 5.5% | |
Ivy VIP Small Cap Core, Class II | 4.3% | |
Ivy VIP Value, Class II | 4.3% | |
Ivy VIP Mid Cap Growth, Class I | 4.2% | |
Ivy VIP High Income, Class I | 2.9% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.1% |
Pathfinder Moderately Aggressive – Asset Allocation
Ivy VIP Dividend Opportunities, Class II | 15.1% | |
Ivy VIP International Core Equity, Class II | 14.1% | |
Ivy VIP Growth, Class II | 13.3% | |
Ivy VIP Limited-Term Bond, Class II | 10.8% | |
Ivy VIP Global Growth, Class II | 10.4% | |
Ivy VIP Small Cap Core, Class II | 6.3% | |
Ivy VIP Small Cap Growth, Class II | 6.2% | |
Ivy VIP Value, Class II | 5.6% | |
Ivy VIP Bond, Class II | 5.2% | |
Ivy VIP Government Money Market, Class II | 5.0% | |
Ivy VIP Mid Cap Growth, Class I | 4.8% | |
Ivy VIP High Income, Class I | 3.1% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.1% |
Pathfinder Moderately Conservative – Asset Allocation
Ivy VIP Government Money Market, Class II | 18.8% | |
Ivy VIP Limited-Term Bond, Class II | 17.0% | |
Ivy VIP Growth, Class II | 13.8% | |
Ivy VIP Dividend Opportunities, Class II | 11.0% | |
Ivy VIP International Core Equity, Class II | 8.6% | |
Ivy VIP Global Growth, Class II | 5.9% | |
Ivy VIP Bond, Class II | 5.7% | |
Ivy VIP Small Cap Growth, Class II | 4.7% | |
Ivy VIP Value, Class II | 4.1% | |
Ivy VIP Mid Cap Growth, Class I | 4.0% | |
Ivy VIP Small Cap Core, Class II | 3.5% | |
Ivy VIP High Income, Class I | 2.6% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.3% |
Pathfinder Moderate – Managed Volatility – Asset Allocation
Ivy VIP Dividend Opportunities, Class II | 14.6% | |
Ivy VIP Government Money Market, Class II | 13.4% | |
Ivy VIP Growth, Class II | 12.4% | |
Ivy VIP Limited-Term Bond, Class II | 11.7% | |
Ivy VIP International Core Equity, Class II | 11.1% | |
Ivy VIP Global Growth, Class II | 7.9% | |
Ivy VIP Bond, Class II | 5.3% | |
Ivy VIP Small Cap Growth, Class II | 5.3% | |
Ivy VIP Small Cap Core, Class II | 4.2% | |
Ivy VIP Value, Class II | 4.2% | |
Ivy VIP Mid Cap Growth, Class I | 4.1% | |
Ivy VIP High Income, Class I | 2.8% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.0% |
2017 | SEMIANNUAL REPORT | 7 |
PORTFOLIO HIGHLIGHTS | PATHFINDER PORTFOLIOS |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Pathfinder Moderately Aggressive – Managed Volatility – Asset Allocation
Ivy VIP Dividend Opportunities, Class II | 14.7% | |
Ivy VIP International Core Equity, Class II | 13.8% | |
Ivy VIP Growth, Class II | 13.0% | |
Ivy VIP Limited-Term Bond, Class II | 10.5% | |
Ivy VIP Global Growth, Class II | 10.2% | |
Ivy VIP Small Cap Core, Class II | 6.2% | |
Ivy VIP Small Cap Growth, Class II | 6.1% | |
Ivy VIP Value, Class II | 5.4% | |
Ivy VIP Bond, Class II | 5.1% | |
Ivy VIP Government Money Market, Class II | 4.9% | |
Ivy VIP Mid Cap Growth, Class I | 4.7% | |
Ivy VIP High Income, Class I | 3.1% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.3% |
Pathfinder Moderately Conservative – Managed Volatility – Asset Allocation
Ivy VIP Government Money Market, Class II | 18.3% | |
Ivy VIP Limited-Term Bond, Class II | 16.6% | |
Ivy VIP Growth, Class II | 13.4% | |
Ivy VIP Dividend Opportunities, Class II | 10.8% | |
Ivy VIP International Core Equity, Class II | 8.4% | |
Ivy VIP Global Growth, Class II | 5.8% | |
Ivy VIP Bond, Class II | 5.6% | |
Ivy VIP Small Cap Growth, Class II | 4.6% | |
Ivy VIP Mid Cap Growth, Class I | 3.9% | |
Ivy VIP Value, Class II | 3.9% | |
Ivy VIP Small Cap Core, Class II | 3.4% | |
Ivy VIP High Income, Class I | 2.6% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.7% |
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.
8 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2017 (UNAUDITED)
Pathfinder Aggressive
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Bond, Class II | 703 | $ | 3,717 | |||||
Ivy VIP Global Growth, Class II | 1,014 | 9,038 | ||||||
Ivy VIP Growth, Class II | 1,390 | 14,689 | ||||||
Ivy VIP High Income, Class I | 709 | 2,523 | ||||||
Ivy VIP International Core Equity, Class II | 751 | 12,957 | ||||||
Ivy VIP Limited-Term Bond, Class II | 881 | 4,291 | ||||||
Ivy VIP Mid Cap Growth, Class I | 660 | 6,810 | ||||||
Ivy VIP Small Cap Core, Class II | 389 | 6,577 | ||||||
Ivy VIP Small Cap Growth, Class II | 612 | 6,505 | ||||||
Ivy VIP Value, Class II | 1,189 | 7,239 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL |
| $ | 74,346 | |||||
(Cost: $78,218) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 1.3% |
| |||||||
Toyota Motor Credit Corp. | ||||||||
1.440%, 7-5-17 (A) | $ | 991 | 991 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.3% |
| $ | 991 | |||||
(Cost: $991) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 75,337 | |||||
(Cost: $79,209) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (6 | ) | |||||
NET ASSETS – 100.0% |
| $ | 75,331 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 74,346 | $ | — | $ | — | ||||||
Short-Term Securities | — | 991 | — | |||||||||
|
| |||||||||||
Total | $ | 74,346 | $ | 991 | $ | — | ||||||
|
|
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
LIBOR = London Interbank Offered Rate
Pathfinder Conservative
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Bond, Class II | 1,254 | $ | 6,634 | |||||
Ivy VIP Dividend Opportunities, Class II | 1,552 | 12,245 | ||||||
Ivy VIP Global Growth, Class II | 493 | 4,390 | ||||||
Ivy VIP Government Money Market, Class II | 30,600 | 30,600 | ||||||
Ivy VIP Growth, Class II | 1,343 | 14,202 | ||||||
Ivy VIP High Income, Class I | 742 | 2,641 | ||||||
Ivy VIP International Core Equity, Class II | 362 | 6,240 | ||||||
Ivy VIP Limited-Term Bond, Class II | 4,161 | 20,261 | ||||||
Ivy VIP Mid Cap Growth, Class I | 323 | 3,331 | ||||||
Ivy VIP Small Cap Core, Class II | 165 | 2,795 | ||||||
Ivy VIP Small Cap Growth, Class II | 390 | 4,147 | ||||||
Ivy VIP Value, Class II | 551 | 3,357 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 99.1% |
| $ | 110,843 | |||||
(Cost: $113,790) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.7% |
| |||||||
Toyota Motor Credit Corp. | ||||||||
1.440%, 7-5-17 (A) | $ | 765 | 765 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.7% |
| $ | 765 | |||||
(Cost: $765) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.8% |
| $ | 111,608 | |||||
(Cost: $114,555) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2% |
| 192 | ||||||
NET ASSETS – 100.0% | $ | 111,800 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 110,843 | $ | — | $ | — | ||||||
Short-Term Securities | — | 765 | — | |||||||||
|
| |||||||||||
Total | $ | 110,843 | $ | 765 | $ | — | ||||||
|
|
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
LIBOR = London Interbank Offered Rate
Pathfinder Moderate
|
| |||||||
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Bond, Class II | 9,135 | $ | 48,313 | |||||
Ivy VIP Dividend Opportunities, Class II | 16,808 | 132,652 | ||||||
Ivy VIP Global Growth, Class II | 8,072 | 71,933 | ||||||
Ivy VIP Government Money Market, Class II | 121,542 | 121,542 | ||||||
Ivy VIP Growth, Class II | 10,673 | 112,827 | ||||||
Ivy VIP High Income, Class I | 7,135 | 25,398 | ||||||
Ivy VIP International Core Equity, Class II | 5,811 | 100,243 | ||||||
Ivy VIP Limited-Term Bond, Class II | 21,737 | 105,832 | ||||||
Ivy VIP Mid Cap Growth, Class I | 3,631 | 37,485 | ||||||
Ivy VIP Small Cap Core, Class II | 2,234 | 37,750 | ||||||
Ivy VIP Small Cap Growth, Class II | 4,547 | 48,320 | ||||||
Ivy VIP Value, Class II | 6,206 | 37,776 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL |
| $ | 880,071 | |||||
(Cost: $887,933) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.1% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (A) | $ | 971 | 971 | |||||
|
| |||||||
TOTAL SHORT-TERM |
| $ | 971 | |||||
(Cost: $971) | ||||||||
TOTAL INVESTMENT |
| $ | 881,042 | |||||
(Cost: $888,904) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0% |
| 196 | ||||||
NET ASSETS – 100.0% |
| $ | 881,238 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 880,071 | $ | — | $ | — | ||||||
Short-Term Securities | — | 971 | — | |||||||||
|
| |||||||||||
Total | $ | 880,071 | $ | 971 | $ | — | ||||||
|
|
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
LIBOR = London Interbank Offered Rate
2017 | SEMIANNUAL REPORT | 9 |
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2017 (UNAUDITED)
Pathfinder Moderately Aggressive
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Bond, Class II | 10,413 | $ | 55,077 | |||||
Ivy VIP Dividend Opportunities, Class II | 20,073 | 158,423 | ||||||
Ivy VIP Global Growth, Class II | 12,269 | 109,337 | ||||||
Ivy VIP Government Money Market, Class II | 52,781 | 52,781 | ||||||
Ivy VIP Growth, Class II | 13,237 | 139,929 | ||||||
Ivy VIP High Income, Class I | 9,262 | 32,970 | ||||||
Ivy VIP International Core Equity, Class II | 8,618 | 148,660 | ||||||
Ivy VIP Limited-Term Bond, Class II | 23,256 | 113,226 | ||||||
Ivy VIP Mid Cap Growth, Class I | 4,846 | 50,034 | ||||||
Ivy VIP Small Cap Core, Class II | 3,923 | 66,299 | ||||||
Ivy VIP Small Cap Growth, Class II | 6,170 | 65,577 | ||||||
Ivy VIP Value, Class II | 9,591 | 58,384 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 99.9% |
| $ | 1,050,697 | |||||
(Cost: $1,058,544) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.1% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (A) | $ | 880 | 880 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.1% |
| $ | 880 | |||||
(Cost: $880) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 1,051,577 | |||||
(Cost: $1,059,424) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (159 | ) | |||||
NET ASSETS – 100.0% |
| $ | 1,051,418 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 1,050,697 | $ | — | $ | — | ||||||
Short-Term Securities | — | 880 | — | |||||||||
|
| |||||||||||
Total | $ | 1,050,697 | $ | 880 | $ | — | ||||||
|
|
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
LIBOR = London Interbank Offered Rate
Pathfinder Moderately Conservative
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Bond, Class II | 2,793 | $ | 14,772 | |||||
Ivy VIP Dividend Opportunities, Class II | 3,605 | 28,451 | ||||||
Ivy VIP Global Growth, Class II | 1,717 | 15,300 | ||||||
Ivy VIP Government Money Market, Class II | 48,473 | 48,473 | ||||||
Ivy VIP Growth, Class II | 3,362 | 35,535 | ||||||
Ivy VIP High Income, Class I | 1,905 | 6,782 | ||||||
Ivy VIP International Core Equity, Class II | 1,289 | 22,230 | ||||||
Ivy VIP Limited-Term Bond, Class II | 9,006 | 43,849 | ||||||
Ivy VIP Mid Cap Growth, Class I | 999 | 10,318 | ||||||
Ivy VIP Small Cap Core, Class II | 538 | 9,092 | ||||||
Ivy VIP Small Cap Growth, Class II | 1,148 | 12,205 | ||||||
Ivy VIP Value, Class II | 1,708 | 10,398 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL |
| $ | 257,405 | |||||
(Cost: $262,953) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.3% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (A) | $ | 863 | 863 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.3% |
| $ | 863 | |||||
(Cost: $863) | ||||||||
TOTAL INVESTMENT |
| $ | 258,268 | |||||
(Cost: $263,816) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (21 | ) | |||||
NET ASSETS – 100.0% |
| $ | 258,247 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 257,405 | $ | — | $ | — | ||||||
Short-Term Securities | — | 863 | — | |||||||||
|
| |||||||||||
Total | $ | 257,405 | $ | 863 | $ | — | ||||||
|
|
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
LIBOR = London Interbank Offered Rate
10 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2017 (UNAUDITED)
Pathfinder Moderate – Managed Volatility
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Bond, Class II | 5,567 | $ | 29,444 | |||||
Ivy VIP Dividend Opportunities, Class II | 10,244 | 80,845 | ||||||
Ivy VIP Global Growth, Class II | 4,919 | 43,840 | ||||||
Ivy VIP Government Money Market, Class II | 74,074 | 74,074 | ||||||
Ivy VIP Growth, Class II | 6,505 | 68,763 | ||||||
Ivy VIP High Income, Class I | 4,348 | 15,479 | ||||||
Ivy VIP International Core Equity, Class II | 3,542 | 61,093 | ||||||
Ivy VIP Limited-Term Bond, Class II | 13,248 | 64,499 | ||||||
Ivy VIP Mid Cap Growth, Class I | 2,213 | 22,845 | ||||||
Ivy VIP Small Cap Core, Class II | 1,361 | 23,007 | ||||||
Ivy VIP Small Cap Growth, Class II | 2,771 | 29,449 | ||||||
Ivy VIP Value, Class II | 3,782 | 23,023 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS – 97.0% |
| $ | 536,361 | |||||
(Cost: $550,783) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (A) – 1.9% |
| |||||||
Rockwell Automation, Inc.: | ||||||||
1.400%, 7-10-17 | $ | 5,000 | 4,998 | |||||
1.410%, 7-12-17 | 3,000 | 2,999 | ||||||
Sonoco Products Co., | ||||||||
1.330%, 7-3-17 | 2,584 | 2,584 | ||||||
|
| |||||||
10,581 | ||||||||
|
| |||||||
Master Note – 1.0% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (B) | 5,425 | 5,425 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.9% |
| $ | 16,006 | |||||
(Cost: $16,006) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.9% |
| $ | 552,367 | |||||
(Cost: $566,789) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES (C) – 0.1% | 444 | |||||||
NET ASSETS – 100.0% |
| $ | 552,811 |
Notes to Schedule of Investments
(A) | Rate shown is the yield to maturity at June 30, 2017. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(C) | Cash of $623 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2017 (contracts unrounded):
Description | Type | Expiration Date | Number of Contracts | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
E-mini Russell 2000 Index | Short | 9-15-17 | 35 | $ | (2,475 | ) | $ | (40 | ) | |||||||||||
S&P 500 Index | Short | 9-15-17 | 23 | (13,920 | ) | 64 | ||||||||||||||
|
| |||||||||||||||||||
$ | (16,395 | ) | $ | 24 | ||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 536,361 | $ | — | $ | — | ||||||
Short-Term Securities | — | 16,006 | — | |||||||||
|
| |||||||||||
Total | $ | 536,361 | $ | 16,006 | $ | — | ||||||
|
| |||||||||||
Futures Contracts | $ | 64 | $ | — | $ | — | ||||||
|
| |||||||||||
Liabilities | ||||||||||||
Futures Contracts | $ | 40 | $ | — | $ | — | ||||||
|
|
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
LIBOR = London Interbank Offered Rate
Pathfinder Moderately Aggressive – Managed Volatility
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Bond, Class II | 842 | $ | 4,455 | |||||
Ivy VIP Dividend Opportunities, Class II | 1,624 | 12,814 | ||||||
Ivy VIP Global Growth, Class II | 992 | 8,844 | ||||||
Ivy VIP Government Money Market, Class II | 4,269 | 4,269 | ||||||
Ivy VIP Growth, Class II | 1,071 | 11,318 | ||||||
Ivy VIP High Income, Class I | 749 | 2,667 | ||||||
Ivy VIP International Core Equity, Class II | 697 | 12,024 | ||||||
Ivy VIP Limited-Term Bond, Class II | 1,881 | 9,158 | ||||||
Ivy VIP Mid Cap Growth, Class I | 392 | 4,047 | ||||||
Ivy VIP Small Cap Core, Class II | 317 | 5,362 | ||||||
Ivy VIP Small Cap Growth, Class II | 499 | 5,304 | ||||||
Ivy VIP Value, Class II | 776 | 4,722 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL FUNDS –97.7% |
| $ | 84,984 | |||||
(Cost: $88,935) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 2.1% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (A) | $ | 1,796 | 1,796 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.1% |
| $ | 1,796 | |||||
(Cost: $1,796) | �� | |||||||
TOTAL INVESTMENT SECURITIES –99.8% |
| $ | 86,780 | |||||
(Cost: $90,731) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES (B) –0.2% |
| 197 | ||||||
NET ASSETS – 100.0% |
| $ | 86,977 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(B) | Cash of $86 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2017 (contracts unrounded):
Description | Type | Expiration Date | Number of Contracts | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
E-mini Russell 2000 Index | Short | 9-15-17 | 6 | $ | (424 | ) | $ | (7 | ) | |||||||||||
S&P 500 Index | Short | 9-15-17 | 3 | (1,816 | ) | 8 | ||||||||||||||
|
| |||||||||||||||||||
$ | (2,240 | ) | $ | 1 | ||||||||||||||||
|
|
2017 | SEMIANNUAL REPORT | 11 |
SCHEDULE OF INVESTMENTS | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2017 (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, 2017. 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 | $ | 84,984 | $ | — | $ | — | ||||||
Short-Term Securities | — | 1,796 | — | |||||||||
|
| |||||||||||
Total | $ | 84,984 | $ | 1,796 | $ | — | ||||||
|
| |||||||||||
Futures Contracts | $ | 8 | $ | — | $ | — | ||||||
|
| |||||||||||
Liabilities | ||||||||||||
Futures Contracts | $ | 7 | $ | — | $ | — | ||||||
|
|
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
LIBOR = London Interbank Offered Rate
Pathfinder Moderately Conservative – Managed Volatility
AFFILIATED MUTUAL FUNDS | Shares | Value | ||||||
Ivy VIP Bond, Class II | 745 | $ | 3,938 | |||||
Ivy VIP Dividend Opportunities, Class II | 961 | 7,584 | ||||||
Ivy VIP Global Growth, Class II | 458 | 4,079 | ||||||
Ivy VIP Government Money Market, Class II | 12,922 | 12,922 | ||||||
Ivy VIP Growth, Class II | 896 | 9,473 | ||||||
Ivy VIP High Income, Class I | 508 | 1,808 | ||||||
Ivy VIP International Core Equity, Class II | 344 | 5,926 | ||||||
Ivy VIP Limited-Term Bond, Class II | 2,401 | 11,689 | ||||||
Ivy VIP Mid Cap Growth, Class I | 266 | 2,750 | ||||||
Ivy VIP Small Cap Core, Class II | 143 | 2,424 | ||||||
Ivy VIP Small Cap Growth, Class II | 306 | 3,253 | ||||||
Ivy VIP Value, Class II | 455 | 2,772 | ||||||
|
| |||||||
TOTAL AFFILIATED MUTUAL |
| $ | 68,618 | |||||
(Cost: $70,773) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 2.6% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (A) | $ | 1,850 | 1,851 | |||||
|
| |||||||
TOTAL SHORT-TERM |
| $ | 1,851 | |||||
(Cost: $1,851) | ||||||||
TOTAL INVESTMENT |
| $ | 70,469 | |||||
(Cost: $72,624) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES (B) – 0.1% |
| 100 | ||||||
NET ASSETS – 100.0% |
| $ | 70,569 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(B) | Cash of $108 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2017 (contracts unrounded):
Description | Type | Expiration Date | Number of Contracts | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
E-mini Russell 2000 Index | Short | 9-15-17 | 6 | $ | (424 | ) | $ | (7 | ) | |||||||||||
S&P 500 Index | Short | 9-15-17 | 4 | (2,421 | ) | 11 | ||||||||||||||
|
| |||||||||||||||||||
$ | (2,845 | ) | $ | 4 | ||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 68,618 | $ | — | $ | — | ||||||
Short-Term Securities | — | 1,851 | — | |||||||||
|
| |||||||||||
Total | $ | 68,618 | $ | 1,851 | $ | — | ||||||
|
| |||||||||||
Futures Contracts | $ | 11 | $ | — | $ | — | ||||||
|
| |||||||||||
Liabilities | ||||||||||||
Futures Contracts | $ | 7 | $ | — | $ | — | ||||||
|
|
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
LIBOR = London Interbank Offered Rate
See Accompanying Notes to Financial Statements.
12 | SEMIANNUAL REPORT | 2017 |
PORTFOLIO HIGHLIGHTS | ADVANTUS REAL ESTATE SECURITIES(a) |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 99.0% | |||
Real Estate | 99.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.0% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Simon Property Group, Inc. | Real Estate | Retail REITs | ||
Equinix, Inc. | Real Estate | Specialized REITs | ||
ProLogis, Inc. | Real Estate | Industrial REITs | ||
Mid-America Apartment Communities, Inc. | Real Estate | Residential REITs | ||
Equity Residential | Real Estate | Residential REITs | ||
Alexandria Real Estate Equities, Inc. | Real Estate | Office REITs | ||
AvalonBay Communities, Inc. | Real Estate | Residential REITs | ||
Duke Realty Corp. | Real Estate | Industrial REITs | ||
Essex Property Trust, Inc. | Real Estate | Residential REITs | ||
Welltower, Inc. | Real Estate | Health Care 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.
(a)Effective April 28, 2017, the name of Real Estate Securities changed to Advantus Real Estate Securities.
2017 | SEMIANNUAL REPORT | 13 |
SCHEDULE OF INVESTMENTS | ADVANTUS REAL ESTATE SECURITIES (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Real Estate |
| |||||||
Diversified REITs – 1.9% |
| |||||||
Liberty Property Trust | 22 | $ | 875 | |||||
|
| |||||||
Health Care REITs – 9.5% |
| |||||||
HCP, Inc. | 22 | 694 | ||||||
Healthcare Trust of America, Inc., Class A | 18 | 572 | ||||||
Physicians Realty Trust | 33 | 665 | ||||||
Ventas, Inc. | 16 | 1,118 | ||||||
Welltower, Inc. | 17 | 1,302 | ||||||
|
| |||||||
4,351 | ||||||||
|
| |||||||
Hotel & Resort REITs – 4.9% |
| |||||||
Apple Hospitality REIT, Inc. | 23 | 426 | ||||||
Hilton Worldwide Holdings, Inc. | 10 | 606 | ||||||
Host Hotels & Resorts, Inc. | 38 | 700 | ||||||
Sunstone Hotel Investors, Inc. | 32 | 513 | ||||||
|
| |||||||
2,245 | ||||||||
|
| |||||||
Industrial REITs – 9.9% |
| |||||||
Duke Realty Corp. | 48 | 1,333 | ||||||
First Industrial Realty Trust, Inc. | 7 | 198 | ||||||
ProLogis, Inc. | 44 | 2,564 | ||||||
Rexford Industrial Realty, Inc. | 17 | 469 | ||||||
|
| |||||||
4,564 | ||||||||
|
| |||||||
Office REITs – 16.7% |
| |||||||
Alexandria Real Estate Equities, Inc. | 12 | 1,482 | ||||||
Boston Properties, Inc. | 7 | 886 | ||||||
Brandywine Realty Trust | 61 | 1,071 | ||||||
Corporate Office Properties Trust | 28 | 977 | ||||||
Highwoods Properties, Inc. | 12 | 614 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Office REITs (Continued) |
| |||||||
Hudson Pacific Properties, Inc. | 7 | $ | 239 | |||||
Kilroy Realty Corp. | 15 | 1,135 | ||||||
SL Green Realty Corp. | 6 | 645 | ||||||
Vornado Realty Trust | 6 | 600 | ||||||
|
| |||||||
7,649 | ||||||||
|
| |||||||
Residential REITs – 21.9% |
| |||||||
American Campus Communities, Inc. | 7 | 345 | ||||||
American Homes 4 Rent | 35 | 788 | ||||||
Apartment Investment and Management Co., Class A | 12 | 498 | ||||||
AvalonBay Communities, Inc. | 7 | 1,338 | ||||||
Equity Residential | 23 | 1,489 | ||||||
Essex Property Trust, Inc. | 5 | 1,326 | ||||||
Invitation Homes, Inc. | 26 | 567 | ||||||
Mid-America Apartment Communities, Inc. | 15 | 1,559 | ||||||
Sun Communities, Inc. | 11 | 999 | ||||||
UDR, Inc. | 29 | 1,146 | ||||||
|
| |||||||
10,055 | ||||||||
|
| |||||||
Retail REITs – 17.3% |
| |||||||
Agree Realty Corp. | 13 | 587 | ||||||
Brixmor Property Group, Inc. | 36 | 635 | ||||||
Federal Realty Investment Trust | 2 | 227 | ||||||
GGP, Inc. | 51 | 1,201 | ||||||
Kimco Realty Corp. | 38 | 705 | ||||||
National Retail Properties, Inc. | 11 | 414 | ||||||
Regency Centers Corp. | 18 | 1,126 | ||||||
Simon Property Group, Inc. | 19 | 3,047 | ||||||
|
| |||||||
7,942 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Specialized REITs – 16.9% |
| |||||||
CubeSmart | 15 | $ | 354 | |||||
CyrusOne, Inc. | 15 | 814 | ||||||
Digital Realty Trust, Inc. | 9 | 994 | ||||||
DuPont Fabros Technology, Inc. | 3 | 190 | ||||||
Entertainment Properties Trust | 8 | 582 | ||||||
Equinix, Inc. | 6 | 2,572 | ||||||
Extra Space Storage, Inc. | 14 | 1,092 | ||||||
Public Storage, Inc. | 6 | 1,168 | ||||||
|
| |||||||
7,766 | ||||||||
|
| |||||||
Total Real Estate – 99.0% | 45,447 | |||||||
TOTAL COMMON STOCKS – 99.0% |
| $ | 45,447 | |||||
(Cost: $44,843) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.7% |
| |||||||
Toyota Motor Credit Corp. | ||||||||
1.440%, 7-5-17 (A) | $ | 315 | 315 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.7% |
| $ | 315 | |||||
(Cost: $315) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.7% |
| $ | 45,762 | |||||
(Cost: $45,158) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.3% |
| 160 | ||||||
NET ASSETS – 100.0% |
| $ | 45,922 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 45,447 | $ | — | $ | — | ||||||
Short-Term Securities | — | 315 | — | |||||||||
Total | $ | 45,447 | $ | 315 | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
LIBOR = London Interbank Offered Rate
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
14 | SEMIANNUAL REPORT | 2017 |
PORTFOLIO HIGHLIGHTS | ASSET STRATEGY |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 71.7% | |||
Information Technology | 13.3% | |||
Financials | 12.3% | |||
Consumer Discretionary | 10.6% | |||
Industrials | 9.7% | |||
Consumer Staples | 8.2% | |||
Energy | 7.8% | |||
Health Care | 6.8% | |||
Materials | 2.0% | |||
Telecommunication Services | 1.0% | |||
Bullion (Gold) | 4.8% | |||
Bonds | 10.7% | |||
Other Government Securities | 6.3% | |||
United States Government and Government Agency Obligations | 3.2% | |||
Corporate Debt Securities | 1.2% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 12.8% |
Country Weightings
North America | 56.7% | |||
United States | 51.5% | |||
Mexico | 5.2% | |||
Europe | 14.1% | |||
France | 3.6% | |||
Other Europe | 10.5% | |||
Pacific Basin | 9.5% | |||
Bullion (Gold) | 4.8% | |||
South America | 2.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 12.8% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
JPMorgan Chase & Co. | United States | Financials | Other Diversified Financial Services | |||
Microsoft Corp. | United States | Information Technology | Systems Software | |||
Philip Morris International, Inc. | United States | Consumer Staples | Tobacco | |||
Adobe Systems, Inc. | United States | Information Technology | Application Software | |||
AIA Group Ltd. | Hong Kong | Financials | Life & Health Insurance | |||
Pfizer, Inc. | United States | Health Care | Pharmaceuticals | |||
Lockheed Martin Corp. | United States | Industrials | Aerospace & Defense | |||
Alibaba Group Holding Ltd. ADR | China | Information Technology | Internet Software & Services | |||
Coca-Cola Co. (The) | United States | Consumer Staples | Soft Drinks | |||
Alphabet, Inc., Class A | United States | Information Technology | Internet Software & Services |
See your advisor or www.waddell.com 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.
2017 | SEMIANNUAL REPORT | 15 |
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Auto Parts & Equipment – 1.3% |
| |||||||
Delphi Automotive plc | 140 | $ | 12,236 | |||||
|
| |||||||
Automobile Manufacturers – 2.1% |
| |||||||
Bayerische Motoren Werke AG (A) | 102 | 9,497 | ||||||
Suzuki Motor Corp. (A) | 198 | 9,405 | ||||||
|
| |||||||
18,902 | ||||||||
|
| |||||||
Cable & Satellite – 1.8% |
| |||||||
Altice USA, Inc., Class A (B) | 107 | 3,447 | ||||||
Comcast Corp., Class A | 336 | 13,069 | ||||||
|
| |||||||
16,516 | ||||||||
|
| |||||||
Home Improvement Retail – 2.0% |
| |||||||
Home Depot, Inc. (The) | 75 | 11,444 | ||||||
Lowe’s Co., Inc. | 95 | 7,373 | ||||||
|
| |||||||
18,817 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 1.3% |
| |||||||
Amazon.com, Inc. (B) | 13 | 12,148 | ||||||
|
| |||||||
Leisure Facilities – 0.0% |
| |||||||
COTA Racing & Entertainment LLC, Class B (B) | — | * | — | |||||
|
| |||||||
Leisure Products – 0.1% |
| |||||||
Media Group Holdings LLC, Series H (B)(C)(D)(E) | 32 | 150 | ||||||
Media Group Holdings LLC, Series T (B)(C)(D)(E) | 4 | 756 | ||||||
|
| |||||||
906 | ||||||||
|
| |||||||
Movies & Entertainment – 0.8% |
| |||||||
Liberty Media Corp., Class C (B)(C)(E) | 222 | 7,308 | ||||||
|
| |||||||
Restaurants – 0.5% |
| |||||||
Starbucks Corp. | 77 | 4,507 | ||||||
|
| |||||||
Tires & Rubber – 0.7% |
| |||||||
Bridgestone Corp. (A) | 157 | 6,739 | ||||||
|
| |||||||
Total Consumer Discretionary – 10.6% |
| 98,079 | ||||||
Consumer Staples |
| |||||||
Brewers – 0.9% |
| |||||||
InBev N.V. (A) | 73 | 8,030 | ||||||
|
| |||||||
Packaged Foods & Meats – 3.1% |
| |||||||
Kraft Foods Group, Inc. | 106 | 9,052 | ||||||
Mondelez International, Inc., Class A | 210 | 9,066 | ||||||
Nestle S.A., Registered Shares (A) | 120 | 10,469 | ||||||
|
| |||||||
28,587 | ||||||||
|
| |||||||
Soft Drinks – 1.6% |
| |||||||
Coca-Cola Co. (The) | 324 | 14,550 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Tobacco – 2.6% |
| |||||||
ITC Ltd. (A) | 842 | $ | 4,217 | |||||
Philip Morris International, Inc. | 168 | 19,767 | ||||||
|
| |||||||
23,984 | ||||||||
|
| |||||||
Total Consumer Staples – 8.2% |
| 75,151 | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 2.6% |
| |||||||
Halliburton Co. | 318 | 13,582 | ||||||
Schlumberger Ltd. | 164 | 10,778 | ||||||
|
| |||||||
24,360 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 4.1% |
| |||||||
Cabot Oil & Gas Corp. | 320 | 8,016 | ||||||
EOG Resources, Inc. | 156 | 14,157 | ||||||
Noble Energy, Inc. | 302 | 8,538 | ||||||
Pioneer Natural Resources Co. | 46 | 7,309 | ||||||
|
| |||||||
38,020 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 1.1% |
| |||||||
Phillips 66 | 119 | 9,877 | ||||||
|
| |||||||
Total Energy – 7.8% |
| 72,257 | ||||||
Financials |
| |||||||
Diversified Banks – 2.5% |
| |||||||
Axis Bank Ltd. (A) | 997 | 7,979 | ||||||
China Construction Bank Corp. (A) | 3,121 | 2,418 | ||||||
Industrial and Commercial Bank of China Ltd., H Shares (A)(B) | 3,756 | 2,536 | ||||||
Wells Fargo & Co. | 183 | 10,135 | ||||||
|
| |||||||
23,068 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 1.0% |
| |||||||
Goldman Sachs Group, Inc. (The) | 41 | 9,188 | ||||||
|
| |||||||
Life & Health Insurance – 3.0% |
| |||||||
AIA Group Ltd. (A) | 2,455 | 17,938 | ||||||
MetLife, Inc. | 179 | 9,812 | ||||||
|
| |||||||
27,750 | ||||||||
|
| |||||||
Multi-Line Insurance – 1.1% |
| |||||||
Axa S.A. (A) | 383 | 10,466 | ||||||
|
| |||||||
Multi-Sector Holdings – 0.8% |
| |||||||
Berkshire Hathaway, Inc., Class B (B) | 42 | 7,080 | ||||||
|
| |||||||
Other Diversified Financial Services – 2.7% |
| |||||||
JPMorgan Chase & Co. | 266 | 24,305 | ||||||
|
| |||||||
Regional Banks – 1.2% |
| |||||||
PNC Financial Services Group, Inc. (The) | 90 | 11,232 | ||||||
|
| |||||||
Total Financials – 12.3% |
| 113,089 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care |
| |||||||
Biotechnology – 2.4% |
| |||||||
Alexion Pharmaceuticals, Inc. (B) | 72 | $ | 8,703 | |||||
Shire Pharmaceuticals Group plc ADR | 79 | 13,058 | ||||||
|
| |||||||
21,761 | ||||||||
|
| |||||||
Health Care Equipment – 1.2% |
| |||||||
Medtronic plc | 126 | 11,155 | ||||||
|
| |||||||
Health Care Facilities – 1.0% |
| |||||||
HCA Holdings, Inc. (B) | 101 | 8,783 | ||||||
|
| |||||||
Pharmaceuticals – 2.2% |
| |||||||
Bayer AG (A) | 38 | 4,910 | ||||||
Pfizer, Inc. | 472 | 15,848 | ||||||
|
| |||||||
20,758 | ||||||||
|
| |||||||
Total Health Care – 6.8% |
| 62,457 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 2.7% |
| |||||||
Airbus SE (A) | 113 | 9,296 | ||||||
Lockheed Martin Corp. | 56 | 15,546 | ||||||
|
| |||||||
24,842 | ||||||||
|
| |||||||
Construction & Engineering – 1.7% |
| |||||||
Larsen & Toubro Ltd. (A) | 328 | 8,550 | ||||||
Vinci (A) | 81 | 6,907 | ||||||
|
| |||||||
15,457 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 1.1% |
| |||||||
PACCAR, Inc. | 164 | 10,805 | ||||||
|
| |||||||
Electrical Components & Equipment – 0.7% |
| |||||||
Schneider Electric S.A. (A) | 86 | 6,634 | ||||||
|
| |||||||
Industrial Conglomerates – 1.0% |
| |||||||
Siemens AG (A) | 67 | 9,166 | ||||||
|
| |||||||
Industrial Machinery – 1.1% |
| |||||||
Parker Hannifin Corp. | 62 | 9,957 | ||||||
|
| |||||||
Railroads – 0.9% |
| |||||||
Union Pacific Corp. | 74 | 8,093 | ||||||
|
| |||||||
Trading Companies & Distributors – 0.5% |
| |||||||
Wolseley plc (A) | 76 | 4,641 | ||||||
|
| |||||||
Total Industrials – 9.7% |
| 89,595 | ||||||
Information Technology |
| |||||||
Application Software – 3.2% |
| |||||||
Adobe Systems, Inc. (B) | 130 | 18,361 | ||||||
Intuit, Inc. | 88 | 11,634 | ||||||
|
| |||||||
29,995 | ||||||||
|
|
16 | SEMIANNUAL REPORT | 2017 |
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS (Continued) | Shares | Value | ||||||
Data Processing & Outsourced Services – 2.0% |
| |||||||
FleetCor Technologies, Inc. (B) | 39 | $ | 5,581 | |||||
Visa, Inc., Class A | 135 | 12,641 | ||||||
|
| |||||||
18,222 | ||||||||
|
| |||||||
Electronic Equipment & Instruments – 0.4% |
| |||||||
Keyence Corp. (A) | 8 | 3,685 | ||||||
|
| |||||||
Internet Software & Services – 4.5% |
| |||||||
Alibaba Group Holding Ltd. ADR (B) | 105 | 14,808 | ||||||
Alphabet, Inc., Class A (B) | 16 | 14,503 | ||||||
Facebook, Inc., Class A (B) | 20 | 2,981 | ||||||
MercadoLibre, Inc. | 35 | 8,874 | ||||||
|
| |||||||
41,166 | ||||||||
|
| |||||||
Semiconductor Equipment – 0.9% |
| |||||||
ASML Holding N.V., Ordinary Shares (A) | 61 | 8,004 | ||||||
|
| |||||||
Semiconductors – 0.1% |
| |||||||
Renesas Electronics Corp. (A)(B) | 126 | 1,094 | ||||||
|
| |||||||
Systems Software – 2.2% |
| |||||||
Microsoft Corp. | 300 | 20,673 | ||||||
|
| |||||||
Total Information Technology – 13.3% |
| 122,839 | ||||||
Materials |
| |||||||
Diversified Metals & Mining – 1.4% |
| |||||||
BHP Billiton plc (A) | 288 | 4,404 | ||||||
Rio Tinto plc (A) | 196 | 8,287 | ||||||
|
| |||||||
12,691 | ||||||||
|
| |||||||
Paper Packaging – 0.6% |
| |||||||
International Paper Co. | 108 | 6,114 | ||||||
|
| |||||||
Total Materials – 2.0% |
| 18,805 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 1.0% |
| |||||||
Nippon Telegraph and Telephone Corp. (A) | 194 | 9,174 | ||||||
|
| |||||||
Total Telecommunication Services – 1.0% |
| 9,174 | ||||||
TOTAL COMMON STOCKS – 71.7% |
| $ | 661,446 | |||||
(Cost: $614,061) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Consumer Discretionary |
| |||||||
Leisure Facilities – 0.1% |
| |||||||
Circuit of the Americas LLC, Series D, | ||||||||
0.000%, 12-31-20 (F) | $ | 3,642 | 1,350 | |||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Movies & Entertainment – 0.7% |
| |||||||
Delta Topco Ltd. | ||||||||
2.000%, 7-23-19 (C)(E)(G) | $ | 4,344 | $ | 6,414 | ||||
|
| |||||||
Total Consumer Discretionary – 0.8% |
| 7,764 | ||||||
Financials |
| |||||||
Diversified Banks – 0.4% |
| |||||||
Royal Bank of Scotland Group plc (The): | ||||||||
7.500%, 12-29-49 | 2,195 | 2,265 | ||||||
8.625%, 12-29-49 | 970 | 1,057 | ||||||
|
| |||||||
3,322 | ||||||||
|
| |||||||
Total Financials – 0.4% |
| 3,322 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 1.2% |
| $ | 11,086 | |||||
(Cost: $10,816) | ||||||||
OTHER GOVERNMENT SECURITIES (H) | ||||||||
Brazil – 1.1% |
| |||||||
Brazil Notas do Tesouro Nacional, | ||||||||
10.000%, 1-1-21 (I) | BRL35,225 | 10,648 | ||||||
|
| |||||||
Mexico – 5.2% |
| |||||||
Mexican Bonos: | ||||||||
8.000%, 6-11-20 (I) | MXN279,834 | 15,993 | ||||||
6.500%, 6-10-21 (I) | 194,676 | 10,685 | ||||||
10.000%, 12-5-24 (I) | 160,287 | 10,523 | ||||||
5.750%, 3-5-26 (I) | 205,686 | 10,580 | ||||||
|
| |||||||
47,781 | ||||||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 6.3% |
| $ | 58,429 | |||||
(Cost: $59,373) | ||||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
Treasury Inflation Protected Obligations – 3.2% |
| |||||||
U.S. Treasury Notes: | ||||||||
0.125%, 4-15-21 | $ | 4,350 | 4,343 | |||||
0.625%, 1-15-26 | 8,069 | 8,118 | ||||||
0.125%, 7-15-26 | 7,855 | 7,575 | ||||||
1.000%, 2-15-46 | 9,598 | 9,590 | ||||||
|
| |||||||
29,626 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 3.2% |
| $ | 29,626 | |||||
(Cost: $30,636) | ||||||||
BULLION – 4.8% | Troy Ounces | |||||||
Gold | 35 | 43,686 | ||||||
|
| |||||||
(Cost: $43,741) |
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper (J) – 1.5% |
| |||||||
Danaher Corp., | ||||||||
1.190%, 7-6-17 | $ | 5,000 | $ | 4,999 | ||||
J.M. Smucker Co. (The), | ||||||||
1.440%, 7-12-17 | 5,000 | 4,998 | ||||||
Sonoco Products Co., | ||||||||
1.330%, 7-3-17 | 3,573 | 3,572 | ||||||
|
| |||||||
13,569 | ||||||||
|
| |||||||
Master Note – 0.4% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (K) | 3,455 | 3,455 | ||||||
|
| |||||||
Municipal Obligations – 9.5% |
| |||||||
CA GO Bonds, Ser 2004B6 (GTD by U.S. Bank N.A.) (BVAL plus 7 bps), | ||||||||
0.840%, 7-7-17 (K) | 6,800 | 6,800 | ||||||
CA Statewide Cmnty Dev Auth, Multifam Hsng Rev Bonds (The Crossings Sr Apts/Phase I), Ser 2005 I (GTD by FNMA) (BVAL plus 10 bps), | ||||||||
0.970%, 7-7-17 (K) | 14,660 | 14,660 | ||||||
MI Strategic Fund, Var Rate Demand Ltd. Oblig Rev Bonds, Ser 2007 (GTD by Air Prods and Chemicals, Inc.) (BVAL plus 23 bps), | ||||||||
0.990%, 7-1-17 (K) | 4,227 | 4,227 | ||||||
NY State Hsng Fin Agy, Maestro West Chelsea Hsng Rev Bonds, Ser 2013A (GTD by Wells Fargo Bank N.A.) (BVAL plus 18 bps), | ||||||||
0.930%, 7-7-17 (K) | 16,000 | 16,000 | ||||||
NY State Hsng Fin Agy, Related 42nd and 10th Hsng Rev Bonds, Ser 2010A (GTD by FHLMC) (BVAL plus 14 bps), | ||||||||
0.880%, 7-7-17 (K) | 18,500 | 18,500 | ||||||
NYC GO Bonds, Fiscal 2006 Ser E (GTD by Bank of America N.A.) (BVAL plus 11 bps), | ||||||||
0.910%, 7-7-17 (K) | 5,435 | 5,435 | ||||||
The Regents of the Univ of CA, Gen Rev Bonds, Ser AL (BVAL plus 9 bps), | ||||||||
0.910%, 7-7-17 (K) | 22,275 | 22,275 | ||||||
|
| |||||||
87,897 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 11.4% |
| $ | 104,921 | |||||
(Cost: $104,922) | ||||||||
TOTAL INVESTMENT SECURITIES – 98.6% |
| $ | 909,194 | |||||
(Cost: $863,549) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.4% |
| 13,349 | ||||||
NET ASSETS – 100.0% |
| $ | 922,543 |
2017 | SEMIANNUAL REPORT | 17 |
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2017 (UNAUDITED)
Notes to Consolidated Schedule of Investments
* | Not shown due to rounding. |
(A) | Listed on an exchange outside the United States. |
(B) | No dividends were paid during the preceding 12 months. |
(C) | Restricted securities. At June 30, 2017, the Portfolio owned the following restricted securities: |
Security | Acquisition Date(s) | Shares | Cost | Market Value | ||||||||||||||||
Liberty Media Corp., Class C | 1-23-17 | 222 | $ | 5,765 | $ | 7,308 | ||||||||||||||
Media Group Holdings LLC, Series H | 8-29-13 to 10-31-13 | 32 | 22,374 | 150 | ||||||||||||||||
Media Group Holdings LLC, Series T | 7-2-13 to 1-23-15 | 4 | 8,413 | 756 | ||||||||||||||||
Principal | ||||||||||||||||||||
Delta Topco Ltd. (2.000% Cash or 2.000% PIK), 2.000%, 07-23-19 | 1-23-17 | $ | 4,344 | 4,947 | 6,414 | |||||||||||||||
|
| |||||||||||||||||||
$ | 41,499 | $ | 14,628 | |||||||||||||||||
|
|
The total value of these securities represented 1.6% of net assets at June 30, 2017. |
(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) | Securities whose value was determined using significant unobservable inputs. |
(F) | Zero coupon bond. |
(G) | Payment-in-kind bond which may pay interest in additional par and/or in cash. Rates shown are the current rate and possible payment rates. |
(H) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(I) | Principal amount and exercise prices are denominated in the indicated foreign currency, where applicable (BRL – Brazilian Real and MXN – Mexican Peso). |
(J) | Rate shown is the yield to maturity at June 30, 2017. |
(K) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following total return swap agreements were outstanding at June 30, 2017:
Counterparty | Number of Shares | Underlying Security | Termination Date | Notional Amount | Financing Fee(1)(2) | Unrealized Depreciation | ||||||||||||||||||||
Morgan Stanley International | 127,772 | Euro STOXX Bank Index | 12/08/2017 | $ | 19,141 | 3-Month Euribor plus 40 bps | $ | (116 | ) |
(1) | The Portfolio pays the financing fee multiplied by the notional amount each month. |
(2) | At the termination date, a net cash flow is exchanged where the market-linked total return is equivalent to the return of the underlying security less a financing rate, if any. As the payer, 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, 2017. 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 | $ | 89,865 | $ | — | $ | 8,214 | ||||||
Consumer Staples | 75,151 | — | — | |||||||||
Energy | 72,257 | — | — | |||||||||
Financials | 113,089 | — | — | |||||||||
Health Care | 62,457 | — | — | |||||||||
Industrials | 89,595 | — | — | |||||||||
Information Technology | 122,839 | — | — | |||||||||
Materials | 18,805 | — | — | |||||||||
Telecommunication Services | 9,174 | — | — | |||||||||
Total Common Stocks | $ | 653,232 | $ | — | $ | 8,214 |
18 | SEMIANNUAL REPORT | 2017 |
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2017 (UNAUDITED)
Level 1 | Level 2 | Level 3 | ||||||||||
Corporate Debt Securities | $ | — | $ | 4,672 | $ | 6,414 | ||||||
Other Government Securities | — | 58,429 | — | |||||||||
United States Government Obligations | — | 29,626 | — | |||||||||
Bullion | 43,686 | — | — | |||||||||
Short-Term Securities | — | 104,921 | — | |||||||||
Total | $ | 696,918 | $ | 197,648 | $ | 14,628 | ||||||
Liabilities | ||||||||||||
Total Return Swaps | $ | — | $ | 116 | $ | — |
During the period ended June 30, 2017, there were no transfers between any levels.
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 1-1-17 | $ | 5,728 | $ | 57,563 | ||||
Net realized gain (loss) | (18,087 | ) | (490 | ) | ||||
Net change in unrealized appreciation (depreciation) | 21,525 | 1,957 | ||||||
Purchases | 16,080 | 4,947 | ||||||
Sales | (17,032 | ) | (57,563 | ) | ||||
Amortization/Accretion of premium/discount | — | — | ||||||
Transfers into Level 3 during the period | — | — | ||||||
Transfers out of Level 3 during the period | — | — | ||||||
Ending Balance 6-30-17 | $ | 8,214 | $ | 6,414 | ||||
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 6-30-17 | $ | 17,247 | $ | 1,467 |
Information about Level 3 fair value measurements:
Fair Value at 6-30-17 | Valuation Technique(s) | Unobservable Input(s) | Input Value(s) | |||||||||
Assets | ||||||||||||
Common Stocks | $ | 756 | Discounted cash flows model | Long-term growth rate | 2.50% | |||||||
Weighted average cost of capital | 17.34% | |||||||||||
Illiquidity discount | 10% | |||||||||||
150 | Discounted book value | Discount Factor | 77% | |||||||||
Illiquidity Discount | 10% | |||||||||||
7,308 | Discounted closing exchange price | Illiquidity Discount | 10% | |||||||||
Corporate Debt Securities | 6,414 | Discounted closing exchange price | Illiquidity discount | 10% |
Significant increases (decreases) in long-term growth rate inputs 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 higher (lower) fair value measurement.
During the period ended June 30, 2017, securities totaling $293 changed valuation techniques from a blended methodology of discounted cash flows model and a discounted bookvalue approach to a discounted book value approach. The change in valuation techniques is primarily due to the discounted book value approach more closely reflecting current market participant assumptions.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
BVAL = Bloomberg Valuation Municipal AAA Benchmark
FHLMC = Federal Home Loan Mortgage Association
FNMA = Federal National Mortgage Association
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
PIK = Payment-in-Kind
2017 | SEMIANNUAL REPORT | 19 |
CONSOLIDATED SCHEDULE OF INVESTMENTS | ASSET STRATEGY (in thousands) |
JUNE 30, 2017 (UNAUDITED)
Country Diversification
(as a % of net assets) |
| |||
United States | 51.5% | |||
Mexico | 5.2% | |||
France | 3.6% | |||
Japan | 3.2% | |||
United Kingdom | 3.1% | |||
Germany | 2.6% | |||
India | 2.3% | |||
China | 2.1% | |||
Brazil | 2.1% | |||
Hong Kong | 1.9% | |||
Switzerland | 1.6% | |||
Ireland | 1.4% | |||
Other Countries | 1.8% | |||
Other+ | 17.6% |
+Includes gold bullion, options, cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
20 | SEMIANNUAL REPORT | 2017 |
PORTFOLIO HIGHLIGHTS | BALANCED |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 69.7% | |||
Health Care | 13.3% | |||
Financials | 11.8% | |||
Consumer Discretionary | 11.5% | |||
Information Technology | 11.0% | |||
Industrials | 7.6% | |||
Energy | 6.5% | |||
Consumer Staples | 3.5% | |||
Materials | 3.3% | |||
Real Estate | 1.0% | |||
Telecommunication Services | 0.2% | |||
Bonds | 25.9% | |||
Corporate Debt Securities | 21.1% | |||
United States Government and Government Agency Obligations | 4.5% | |||
Loans | 0.3% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 4.4% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Apple, Inc. | Information Technology | Technology Hardware, Storage & Peripherals | ||
JPMorgan Chase & Co. | Financials | Other Diversified Financial Services | ||
Carnival Corp. | Consumer Discretionary | Hotels, Resorts & Cruise Lines | ||
Comcast Corp., Class A | Consumer Discretionary | Cable & Satellite | ||
Autodesk, Inc. | Information Technology | Application Software | ||
Intercontinental Exchange, Inc. | Financials | Financial Exchanges & Data | ||
Shire Pharmaceuticals Group plc ADR | Health Care | Biotechnology | ||
Johnson Controls, Inc. | Industrials | Building Products | ||
PNC Financial Services Group, Inc. (The) | Financials | Regional Banks | ||
Microsoft Corp. | Information Technology | Systems Software |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2017 | SEMIANNUAL REPORT | 21 |
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Automotive Retail – 0.7% |
| |||||||
O’Reilly Automotive, Inc. (A) | 12 | $ | 2,725 | |||||
|
| |||||||
Cable & Satellite – 2.1% |
| |||||||
Comcast Corp., Class A | 193 | 7,496 | ||||||
|
| |||||||
Casinos & Gaming – 1.6% |
| |||||||
Las Vegas Sands, Inc. | 88 | 5,653 | ||||||
|
| |||||||
General Merchandise Stores – 1.1% |
| |||||||
Dollar General Corp. | 53 | 3,810 | ||||||
|
| |||||||
Home Improvement Retail – 1.4% |
| |||||||
Lowe’s Co., Inc. | 63 | 4,911 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 2.3% |
| |||||||
Carnival Corp. | 127 | 8,298 | ||||||
|
| |||||||
Movies & Entertainment – 1.3% |
| |||||||
Twenty-First Century Fox, Inc. | 175 | 4,882 | ||||||
|
| |||||||
Restaurants – 1.0% |
| |||||||
YUM! Brands, Inc. | 51 | 3,776 | ||||||
|
| |||||||
Total Consumer Discretionary – 11.5% |
| 41,551 | ||||||
Consumer Staples |
| |||||||
Brewers – 1.0% |
| |||||||
Anheuser-Busch InBev S.A. ADR | 33 | 3,671 | ||||||
|
| |||||||
Drug Retail – 1.5% |
| |||||||
CVS Caremark Corp. | 67 | 5,371 | ||||||
|
| |||||||
Packaged Foods & Meats – 1.0% |
| |||||||
Kraft Foods Group, Inc. | 41 | 3,484 | ||||||
|
| |||||||
Total Consumer Staples – 3.5% |
| 12,526 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 1.2% |
| |||||||
Chevron Corp. | 43 | 4,506 | ||||||
|
| |||||||
Oil & Gas Drilling – 0.8% |
| |||||||
Helmerich & Payne, Inc. | 56 | 3,048 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 1.1% |
| |||||||
Schlumberger Ltd. | 59 | 3,854 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 2.0% |
| |||||||
Newfield Exploration Co. (A) | 109 | 3,100 | ||||||
Noble Energy, Inc. | 142 | 4,016 | ||||||
|
| |||||||
7,116 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.5% |
| |||||||
Phillips 66 | 22 | 1,810 | ||||||
|
| |||||||
Total Energy – 5.6% |
| 20,334 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Financials |
| |||||||
Diversified Banks – 2.2% |
| |||||||
Northern Trust Corp. | 43 | $ | 4,138 | |||||
Wells Fargo & Co. | 69 | 3,812 | ||||||
|
| |||||||
7,950 | ||||||||
|
| |||||||
Financial Exchanges & Data – 1.9% |
| |||||||
Intercontinental Exchange, Inc. | 104 | 6,850 | ||||||
|
| |||||||
Investment Banking & Brokerage – 1.4% |
| |||||||
Goldman Sachs Group, Inc. (The) | 22 | 4,931 | ||||||
|
| |||||||
Life & Health Insurance – 1.4% |
| |||||||
MetLife, Inc. | 90 | 4,930 | ||||||
|
| |||||||
Other Diversified Financial Services – 2.3% |
| |||||||
JPMorgan Chase & Co. | 93 | 8,461 | ||||||
|
| |||||||
Regional Banks – 1.8% |
| |||||||
PNC Financial Services Group, Inc. (The) | 52 | 6,504 | ||||||
|
| |||||||
Total Financials – 11.0% |
| 39,626 | ||||||
Health Care |
| |||||||
Biotechnology – 3.0% |
| |||||||
Biogen, Inc. (A) | 15 | 4,038 | ||||||
Shire Pharmaceuticals Group plc ADR | 41 | 6,775 | ||||||
|
| |||||||
10,813 | ||||||||
|
| |||||||
Health Care Services – 1.4% |
| |||||||
Laboratory Corp. of America Holdings (A) | 33 | 5,036 | ||||||
|
| |||||||
Managed Health Care – 2.5% |
| |||||||
Anthem, Inc. | 23 | 4,329 | ||||||
UnitedHealth Group, Inc. | 25 | 4,718 | ||||||
|
| |||||||
9,047 | ||||||||
|
| |||||||
Pharmaceuticals – 3.1% |
| |||||||
Allergan plc | 20 | 4,909 | ||||||
Pfizer, Inc. | 110 | 3,701 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 80 | 2,671 | ||||||
|
| |||||||
11,281 | ||||||||
|
| |||||||
Total Health Care – 10.0% |
| 36,177 | ||||||
Industrials |
| |||||||
Building Products – 1.9% |
| |||||||
Johnson Controls, Inc. | 153 | 6,636 | ||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 1.6% |
| |||||||
Allison Transmission Holdings, Inc. | 81 | 3,056 | ||||||
PACCAR, Inc. | 42 | 2,794 | ||||||
|
| |||||||
5,850 | ||||||||
|
| |||||||
Industrial Machinery – 0.8% |
| |||||||
Parker Hannifin Corp. | 19 | 2,973 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Railroads – 1.5% |
| |||||||
Union Pacific Corp. | 50 | $ | 5,464 | |||||
|
| |||||||
Trucking – 1.1% |
| |||||||
Knight Transportation, Inc. | 107 | 3,965 | ||||||
|
| |||||||
Total Industrials – 6.9% |
| 24,888 | ||||||
Information Technology |
| |||||||
Application Software – 2.0% |
| |||||||
Autodesk, Inc. (A) | 71 | 7,124 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 1.1% |
| |||||||
MasterCard, Inc., Class A | 32 | 3,924 | ||||||
|
| |||||||
IT Consulting & Other Services – 1.3% |
| |||||||
Cognizant Technology Solutions Corp., Class A | 68 | 4,534 | ||||||
|
| |||||||
Semiconductor Equipment – 0.8% |
| |||||||
Applied Materials, Inc. | 68 | 2,821 | ||||||
|
| |||||||
Semiconductors – 1.7% |
| |||||||
Integrated Device Technology, Inc. (A) | 74 | 1,899 | ||||||
Intel Corp. | 131 | 4,414 | ||||||
|
| |||||||
6,313 | ||||||||
|
| |||||||
Systems Software – 1.7% |
| |||||||
Microsoft Corp. | 89 | 6,156 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 2.4% |
| |||||||
Apple, Inc. | 61 | 8,808 | ||||||
|
| |||||||
Total Information Technology – 11.0% |
| 39,680 | ||||||
Materials |
| |||||||
Commodity Chemicals – 1.0% |
| |||||||
Valvoline, Inc. | 152 | 3,605 | ||||||
|
| |||||||
Specialty Chemicals – 1.6% |
| |||||||
PPG Industries, Inc. | 52 | 5,760 | ||||||
|
| |||||||
Total Materials – 2.6% |
| 9,365 | ||||||
Real Estate |
| |||||||
Specialized REITs – 1.0% |
| |||||||
Crown Castle International Corp. | 35 | 3,516 | ||||||
|
| |||||||
Total Real Estate – 1.0% |
| 3,516 | ||||||
TOTAL COMMON STOCKS – 63.1% | $ | 227,663 | ||||||
(Cost: $203,912) | ||||||||
PREFERRED STOCKS | ||||||||
Energy |
| |||||||
Integrated Oil & Gas – 0.9% |
| |||||||
Hess Corp., Convertible, 8.000% | 55 | 3,059 | ||||||
|
| |||||||
Total Energy – 0.9% |
| 3,059 |
22 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2017 (UNAUDITED)
PREFERRED STOCKS (Continued) | Shares | Value | ||||||
Financials |
| |||||||
Investment Banking & Brokerage – 0.4% |
| |||||||
Morgan Stanley, 5.850% | 50 | $ | 1,366 | |||||
|
| |||||||
Other Diversified Financial Services – 0.3% |
| |||||||
Citigroup, Inc., 6.300% | 48 | 1,282 | ||||||
|
| |||||||
Regional Banks – 0.1% |
| |||||||
First Republic Bank, Series G, 5.500% | 15 | 393 | ||||||
|
| |||||||
Total Financials – 0.8% |
| 3,041 | ||||||
Health Care |
| |||||||
Managed Health Care – 0.7% |
| |||||||
Anthem, Inc., 5.250% | 49 | 2,588 | ||||||
|
| |||||||
Pharmaceuticals – 2.6% |
| |||||||
Allergan plc, Convertible Series A, 5.500% | 6 | 5,556 | ||||||
Teva Pharmaceutical Industries Ltd., Convertible, 7.000% | 7 | 3,864 | ||||||
|
| |||||||
9,420 | ||||||||
|
| |||||||
Total Health Care – 3.3% |
| 12,008 | ||||||
Industrials |
| |||||||
Environmental & Facilities Services – 0.7% |
| |||||||
Stericycle, Inc., 5.250% | 40 | 2,678 | ||||||
|
| |||||||
Total Industrials – 0.7% |
| 2,678 | ||||||
Materials |
| |||||||
Commodity Chemicals – 0.7% |
| |||||||
A. Schulman, Inc., Convertible, 6.000% | 3 | 2,391 | ||||||
|
| |||||||
Total Materials – 0.7% |
| 2,391 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 0.2% |
| |||||||
Frontier Communications Corp., Convertible | 20 | 589 | ||||||
|
| |||||||
Total Telecommunication Services – 0.2% |
| 589 | ||||||
TOTAL PREFERRED STOCKS – 6.6% |
| $ | 23,766 | |||||
(Cost: $28,150) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Consumer Discretionary |
| |||||||
Apparel, Accessories & Luxury Goods – 0.4% |
| |||||||
Under Armour, Inc., | ||||||||
3.250%, 6-15-26 | $ | 1,600 | 1,499 | |||||
|
| |||||||
Broadcasting – 0.1% |
| |||||||
Discovery Communications LLC, | ||||||||
3.300%, 5-15-22 | 200 | 201 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Cable & Satellite – 0.1% |
| |||||||
Pearson Funding Five plc, | ||||||||
3.250%, 5-8-23 (B) | $ | 300 | $ | 291 | ||||
Viacom, Inc., | ||||||||
2.750%, 12-15-19 | 214 | 217 | ||||||
|
| |||||||
508 | ||||||||
|
| |||||||
General Merchandise Stores – 0.1% |
| |||||||
Dollar General Corp., | ||||||||
1.875%, 4-15-18 | 250 | 250 | ||||||
|
| |||||||
Homebuilding – 0.1% |
| |||||||
Toll Brothers Finance Corp., | ||||||||
4.375%, 4-15-23 | 500 | 517 | ||||||
|
| |||||||
Publishing – 0.1% |
| |||||||
Thomson Reuters Corp., | ||||||||
3.350%, 5-15-26 | 240 | 240 | ||||||
|
| |||||||
Total Consumer Discretionary – 0.9% |
| 3,215 | ||||||
Consumer Staples |
| |||||||
Brewers – 0.2% |
| |||||||
Anheuser-Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB), | ||||||||
2.200%, 8-1-18 | 500 | 503 | ||||||
Molson Coors Brewing Co., | ||||||||
3.000%, 7-15-26 | 175 | 168 | ||||||
|
| |||||||
671 | ||||||||
|
| |||||||
Distillers & Vintners – 0.1% |
| |||||||
Beam, Inc., | ||||||||
1.750%, 6-15-18 | 250 | 250 | ||||||
|
| |||||||
Food Distributors – 0.1% |
| |||||||
Campbell Soup Co., | ||||||||
2.500%, 8-2-22 | 300 | 300 | ||||||
|
| |||||||
Tobacco – 0.1% |
| |||||||
BAT International Finance plc, | ||||||||
2.750%, 6-15-20 (B) | 600 | 608 | ||||||
|
| |||||||
Total Consumer Staples – 0.5% |
| 1,829 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 0.3% |
| |||||||
Hess Corp., | ||||||||
4.300%, 4-1-27 | 1,200 | 1,172 | ||||||
|
| |||||||
Oil & Gas Drilling – 0.7% |
| |||||||
Nabors Industries Ltd., Convertible, | ||||||||
0.750%, 1-15-24 (B) | 3,100 | 2,467 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.1% |
| |||||||
Schlumberger Holding Corp., | ||||||||
2.350%, 12-21-18 (B) | 500 | 503 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.7% |
| |||||||
BP Capital Markets plc (GTD by BP plc): | ||||||||
2.241%, 9-26-18 | 400 | 402 | ||||||
2.315%, 2-13-20 | 500 | 505 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Exploration & Production (Continued) |
| |||||||
Concho Resources, Inc., | ||||||||
4.375%, 1-15-25 | $ | 1,025 | $ | 1,045 | ||||
ONEOK Partners L.P., | ||||||||
3.200%, 9-15-18 | 500 | 506 | ||||||
|
| |||||||
2,458 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 1.4% |
| |||||||
Buckeye Partners L.P., | ||||||||
2.650%, 11-15-18 | 400 | 402 | ||||||
Colorado Interstate Gas Co., | ||||||||
4.150%, 8-15-26 (B) | 800 | 794 | ||||||
Hornbeck Offshore Services, Inc., Convertible, | ||||||||
1.500%, 9-1-19 | 2,348 | 1,702 | ||||||
Kinder Morgan Energy Partners L.P., | ||||||||
2.650%, 2-1-19 | 500 | 503 | ||||||
Plains All American Pipeline L.P. and PAA Finance Corp., | ||||||||
4.650%, 10-15-25 | 500 | 513 | ||||||
Williams Partners L.P., | ||||||||
3.600%, 3-15-22 | 1,000 | 1,022 | ||||||
|
| |||||||
4,936 | ||||||||
|
| |||||||
Total Energy – 3.2% |
| 11,536 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.4% |
| |||||||
Ares Capital Corp., | ||||||||
4.875%, 11-30-18 | 1,200 | 1,242 | ||||||
|
| |||||||
Consumer Finance – 0.7% |
| |||||||
American Express Co., | ||||||||
4.900%, 12-29-49 | 600 | 610 | ||||||
Capital One Bank USA N.A.: | ||||||||
2.150%, 11-21-18 | 500 | 501 | ||||||
2.250%, 2-13-19 | 500 | 501 | ||||||
Ford Motor Credit Co. LLC, | ||||||||
3.339%, 3-28-22 | 250 | 254 | ||||||
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.): | ||||||||
3.450%, 4-10-22 | 250 | 254 | ||||||
3.700%, 5-9-23 | 150 | 152 | ||||||
Hyundai Capital America, | ||||||||
2.875%, 8-9-18 (B) | 250 | 252 | ||||||
|
| |||||||
2,524 | ||||||||
|
| |||||||
Diversified Banks – 4.4% |
| |||||||
ABN AMRO Bank N.V., | ||||||||
2.500%, 10-30-18 (B) | 800 | 806 | ||||||
Australia and New Zealand Banking Group Ltd., | ||||||||
4.400%, 5-19-26 (B) | 1,050 | 1,083 | ||||||
Bank of America Corp.: | ||||||||
2.000%, 1-11-18 | 400 | 401 | ||||||
8.000%, 7-29-49 | 1,802 | 1,852 | ||||||
Barclays plc, | ||||||||
5.200%, 5-12-26 | 700 | 736 | ||||||
BNP Paribas S.A., | ||||||||
2.450%, 3-17-19 | 900 | 909 |
2017 | SEMIANNUAL REPORT | 23 |
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2017 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Banks (Continued) |
| |||||||
DBS Group Holdings Ltd., | ||||||||
2.246%, 7-16-19 (B) | $ | 1,000 | $ | 1,002 | ||||
HSBC Holdings plc, | ||||||||
3.400%, 3-8-21 | 625 | 642 | ||||||
ING Bank N.V., | ||||||||
2.500%, 10-1-19 (B) | 1,100 | 1,108 | ||||||
Mizuho Bank Ltd., | ||||||||
2.650%, 9-25-19 (B) | 1,300 | 1,310 | ||||||
Skandinaviska Enskilda Banken AB, | ||||||||
2.375%, 3-25-19 (B) | 500 | 503 | ||||||
Societe Generale S.A., | ||||||||
4.250%, 4-14-25 (B) | 500 | 507 | ||||||
Standard Chartered plc, | ||||||||
2.250%, 4-17-20 (B) | 1,400 | 1,391 | ||||||
Sumitomo Mitsui Banking Corp., | ||||||||
2.450%, 1-16-20 | 600 | 604 | ||||||
U.S. Bancorp, | ||||||||
3.100%, 4-27-26 | 400 | 395 | ||||||
Wells Fargo & Co., | ||||||||
7.980%, 3-29-49 | 1,600 | 1,668 | ||||||
Westpac Banking Corp., | ||||||||
2.250%, 7-30-18 | 1,000 | 1,005 | ||||||
|
| |||||||
15,922 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 1.0% |
| |||||||
BGC Partners, Inc., | ||||||||
5.375%, 12-9-19 | 500 | 526 | ||||||
Credit Suisse Group Funding (Guernsey) Ltd., | ||||||||
2.750%, 3-26-20 | 500 | 504 | ||||||
Goldman Sachs Group, Inc. (The): | ||||||||
2.900%, 7-19-18 | 450 | 455 | ||||||
2.625%, 1-31-19 | 500 | 505 | ||||||
2.600%, 4-23-20 | 400 | 404 | ||||||
5.700%, 12-29-49 | 245 | 255 | ||||||
Morgan Stanley, | ||||||||
2.650%, 1-27-20 | 850 | 859 | ||||||
|
| |||||||
3,508 | ||||||||
|
| |||||||
Life & Health Insurance – 0.3% |
| |||||||
AIA Group Ltd., | ||||||||
2.250%, 3-11-19 (B) | 800 | 800 | ||||||
Prudential Financial, Inc., | ||||||||
8.875%, 6-15-38 | 245 | 260 | ||||||
|
| |||||||
1,060 | ||||||||
|
| |||||||
Multi-Line Insurance – 0.2% |
| |||||||
American International Group, Inc., | ||||||||
2.300%, 7-16-19 | 300 | 302 | ||||||
Aon plc (GTD by Aon Corp.), | ||||||||
2.800%, 3-15-21 | 500 | 502 | ||||||
|
| |||||||
804 | ||||||||
|
| |||||||
Other Diversified Financial Services – 2.3% |
| |||||||
Citigroup, Inc.: | ||||||||
5.800%, 11-29-49 | 1,400 | 1,460 | ||||||
5.950%, 12-29-49 | 1,400 | 1,497 | ||||||
Fidelity National Information Services, Inc., | ||||||||
2.000%, 4-15-18 | 250 | 250 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Other Diversified Financial Services (Continued) |
| |||||||
Fifth Street Finance Corp., | ||||||||
4.875%, 3-1-19 | $ | 1,300 | $ | 1,301 | ||||
JPMorgan Chase & Co.: | ||||||||
7.900%, 4-29-49 | 1,500 | 1,559 | ||||||
5.000%, 12-29-49 | 750 | 769 | ||||||
5.300%, 11-1-65 | 250 | 260 | ||||||
PennantPark Investment Corp., | ||||||||
4.500%, 10-1-19 | 1,000 | 1,011 | ||||||
Total Capital (GTD by Total S.A.), | ||||||||
2.125%, 8-10-18 | 300 | 302 | ||||||
|
| |||||||
8,409 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.1% |
| |||||||
Berkshire Hathaway Finance Corp. (GTD by Berkshire Hathaway, Inc.), | ||||||||
2.200%, 3-15-21 | 200 | 202 | ||||||
|
| |||||||
Regional Banks – 0.8% |
| |||||||
Citizens Financial Group, Inc., | ||||||||
3.750%, 7-1-24 | 1,500 | 1,492 | ||||||
PNC Bank N.A., | ||||||||
3.250%, 6-1-25 | 600 | 609 | ||||||
SunTrust Banks, Inc.: | ||||||||
2.350%, 11-1-18 | 500 | 503 | ||||||
5.625%, 12-29-49 | 400 | 418 | ||||||
|
| |||||||
3,022 | ||||||||
|
| |||||||
Specialized Finance – 0.3% |
| |||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp., | ||||||||
5.450%, 6-15-23 (B) | 940 | 1,020 | ||||||
|
| |||||||
Total Financials – 10.5% |
| 37,713 | ||||||
Health Care |
| |||||||
Biotechnology – 0.3% |
| |||||||
Amgen, Inc., | ||||||||
2.125%, 5-1-20 | 1,000 | 1,001 | ||||||
|
| |||||||
Health Care Equipment – 0.1% |
| |||||||
Zimmer Holdings, Inc., | ||||||||
2.700%, 4-1-20 | 350 | 353 | ||||||
|
| |||||||
Health Care Facilities – 0.1% |
| |||||||
Surgery Center Holdings, Inc., | ||||||||
8.875%, 4-15-21 (B) | 400 | 434 | ||||||
|
| |||||||
Health Care Services – 0.4% |
| |||||||
Cardinal Health, Inc., | ||||||||
2.400%, 11-15-19 | 700 | 704 | ||||||
Quest Diagnostics, Inc., | ||||||||
3.450%, 6-1-26 | 780 | 782 | ||||||
|
| |||||||
1,486 | ||||||||
|
| |||||||
Health Care Supplies – 0.3% |
| |||||||
Shire Acquisitions Investments Ireland Designated Activity Co., | ||||||||
2.875%, 9-23-23 | 1,000 | 991 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Managed Health Care – 0.1% |
| |||||||
Aetna, Inc., | ||||||||
2.200%, 3-15-19 | $ | 400 | $ | 402 | ||||
|
| |||||||
Pharmaceuticals – 0.5% |
| |||||||
AbbVie, Inc., | ||||||||
3.200%, 5-14-26 | 490 | 484 | ||||||
Forest Laboratories, Inc., | ||||||||
5.000%, 12-15-21 (B) | 1,258 | 1,374 | ||||||
|
| |||||||
1,858 | ||||||||
|
| |||||||
Total Health Care – 1.8% |
| 6,525 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 0.8% |
| |||||||
Huntington Ingalls Industries, Inc., | ||||||||
5.000%, 11-15-25 (B) | 1,545 | 1,659 | ||||||
TransDigm, Inc. (GTD by TransDigm Group, Inc.): | ||||||||
6.000%, 7-15-22 | 470 | 484 | ||||||
6.375%, 6-15-26 | 850 | 863 | ||||||
|
| |||||||
3,006 | ||||||||
|
| |||||||
Airlines – 0.1% |
| |||||||
Southwest Airlines Co., | ||||||||
2.650%, 11-5-20 | 375 | 379 | ||||||
|
| |||||||
Diversified Support Services – 0.1% |
| |||||||
Ahern Rentals, Inc., | ||||||||
7.375%, 5-15-23 (B) | 300 | 246 | ||||||
|
| |||||||
Railroads – 0.1% |
| |||||||
Kansas City Southern de | ||||||||
2.350%, 5-15-20 | 291 | 291 | ||||||
|
| |||||||
Total Industrials – 1.1% |
| 3,922 | ||||||
Information Technology |
| |||||||
Data Processing & Outsourced Services – 0.1% |
| |||||||
Fiserv, Inc., | ||||||||
2.700%, 6-1-20 | 300 | 303 | ||||||
|
| |||||||
IT Consulting & Other Services – 0.1% |
| |||||||
Keysight Technologies, Inc., | ||||||||
4.600%, 4-6-27 | 500 | 525 | ||||||
|
| |||||||
Semiconductors – 0.1% |
| |||||||
Micron Technology, Inc., | ||||||||
5.500%, 2-1-25 | 375 | 396 | ||||||
|
| |||||||
Total Information Technology – 0.3% |
| 1,224 | ||||||
Materials |
| |||||||
Construction Materials – 0.3% |
| |||||||
Hillman Group, Inc. (The), | ||||||||
6.375%, 7-15-22 (B) | 1,000 | 960 | ||||||
|
| |||||||
Diversified Metals & Mining – 0.1% |
| |||||||
Anglo American plc, | ||||||||
4.125%, 4-15-21 (B) | 500 | 514 | ||||||
|
|
24 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2017 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Metal & Glass Containers – 0.3% |
| |||||||
BakerCorp International, Inc., | ||||||||
8.250%, 6-1-19 | $ | 1,227 | $ | 1,064 | ||||
|
| |||||||
Total Materials – 0.7% |
| 2,538 | ||||||
Real Estate |
| |||||||
Specialized REITs – 0.1% |
| |||||||
Crown Castle International Corp.: | ||||||||
5.250%, 1-15-23 | 200 | 222 | ||||||
3.700%, 6-15-26 | 300 | 303 | ||||||
|
| |||||||
525 | ||||||||
|
| |||||||
Total Real Estate – 0.1% |
| 525 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 0.6% |
| |||||||
AT&T, Inc.: | ||||||||
2.300%, 3-11-19 | 1,200 | 1,207 | ||||||
4.125%, 2-17-26 | 950 | 974 | ||||||
Verizon Communications, Inc., | ||||||||
2.946%, 3-15-22 (B) | 100 | 101 | ||||||
|
| |||||||
2,282 | ||||||||
|
| |||||||
Wireless Telecommunication Service – 0.6% |
| |||||||
American Tower Corp.: | ||||||||
2.250%, 1-15-22 | 1,200 | 1,170 | ||||||
4.700%, 3-15-22 | 195 | 211 | ||||||
3.375%, 10-15-26 | 455 | 445 | ||||||
Virgin Media Finance plc, | ||||||||
4.875%, 2-15-22 | 200 | 188 | ||||||
|
| |||||||
2,014 | ||||||||
|
| |||||||
Total Telecommunication Services – 1.2% |
| 4,296 | ||||||
Utilities |
| |||||||
Electric Utilities – 0.4% |
| |||||||
Electricite de France S.A., | ||||||||
2.150%, 1-22-19 (B) | 500 | 501 | ||||||
Entergy Texas, Inc., | ||||||||
2.550%, 6-1-21 | 300 | 298 | ||||||
Exelon Corp., | ||||||||
2.450%, 4-15-21 | 400 | 399 | ||||||
PPL Energy Supply LLC, | ||||||||
4.600%, 12-15-21 | 100 | 76 | ||||||
|
| |||||||
1,274 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders – 0.4% |
| |||||||
Canadian Solar, Inc., Convertible, | ||||||||
4.250%, 2-15-19 | 1,500 | 1,460 | ||||||
|
| |||||||
Total Utilities – 0.8% |
| 2,734 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 21.1% |
| $ | 76,057 | |||||
(Cost: $75,619) |
LOANS (C) | Principal | Value | ||||||
Industrials |
| |||||||
Industrial Machinery – 0.3% |
| |||||||
Dynacast International LLC | ||||||||
9.796%, 1-30-23 (D) | $ | 1,100 | $ | 1,100 | ||||
|
| |||||||
Total Industrials – 0.3% |
| 1,100 | ||||||
TOTAL LOANS – 0.3% |
| $ | 1,100 | |||||
(Cost: $1,083) | ||||||||
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | ||||||||
Mortgage-Backed Obligations – 1.5% |
| |||||||
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates: | ||||||||
4.500%, 6-1-44 | 866 | 931 | ||||||
3.000%, 6-15-45 | 1,008 | 1,040 | ||||||
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | ||||||||
6.000%, 9-1-17 | 2 | 2 | ||||||
5.000%, 1-1-18 | 2 | 2 | ||||||
5.000%, 5-1-18 | 3 | 3 | ||||||
4.500%, 7-1-18 | 69 | 71 | ||||||
6.500%, 10-1-28 | 93 | 105 | ||||||
6.500%, 2-1-29 | 41 | 47 | ||||||
3.500%, 6-25-29 | 560 | 589 | ||||||
7.500%, 4-1-31 | 40 | 45 | ||||||
7.000%, 7-1-31 | 53 | 62 | ||||||
7.000%, 9-1-31 | 105 | 121 | ||||||
6.500%, 2-1-32 | 226 | 260 | ||||||
7.000%, 2-1-32 | 137 | 157 | ||||||
7.000%, 3-1-32 | 53 | 62 | ||||||
7.000%, 7-1-32 | 80 | 90 | ||||||
5.500%, 5-1-33 | 48 | 53 | ||||||
5.500%, 6-1-33 | 52 | 59 | ||||||
4.500%, 11-1-43 | 764 | 835 | ||||||
3.000%, 10-25-46 | 976 | 1,000 | ||||||
U.S. Department of Veterans Affairs, Guaranteed REMIC Pass-Through Certificates, Vendee Mortgage Trust 1997-A, Class 3-A, 8.293%, 12-15-26 | 37 | 43 | ||||||
|
| |||||||
5,577 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 1.5% |
| $ | 5,577 | |||||
(Cost: $5,535) | ||||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
Treasury Inflation Protected Obligations – 3.0% |
| |||||||
U.S. Treasury Notes: | ||||||||
0.125%, 7-15-26 | 4,080 | 3,935 |
UNITED STATES GOVERNMENT OBLIGATIONS (Continued) | Principal | Value | ||||||
Treasury Inflation Protected Obligations (Continued) |
| |||||||
2.125%, 2-15-40 | $ | 3,620 | $ | 4,501 | ||||
1.000%, 2-15-46 | 2,477 | 2,475 | ||||||
|
| |||||||
10,911 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 3.0% |
| $ | 10,911 | |||||
(Cost: $11,382) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Commercial Paper (E) – 1.6% |
| |||||||
Mondelez International, Inc., | ||||||||
1.330%, 7-3-17 | 5,690 | 5,689 | ||||||
|
| |||||||
Master Note – 0.8% |
| |||||||
Toyota Motor Credit Corp. | ||||||||
1.440%, 7-5-17 (F) | 3,054 | 3,054 | ||||||
|
| |||||||
Municipal Obligations – 2.5% |
| |||||||
The Regents of the Univ of CA, Gen Rev Bonds, Ser AL (BVAL plus 9 bps), |
| |||||||
0.910%, 7-7-17 (F) | 9,000 | 9,000 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 4.9% |
| $ | 17,743 | |||||
(Cost: $17,744) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.5% |
| $ | 362,817 | |||||
(Cost: $343,425) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.5)% |
| (1,938 | ) | |||||
NET ASSETS – 100.0% |
| $ | 360,879 |
2017 | SEMIANNUAL REPORT | 25 |
SCHEDULE OF INVESTMENTS | BALANCED (in thousands) |
JUNE 30, 2017 (UNAUDITED)
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017 the total value of these securities amounted to $20,234 or 5.6% of net assets. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Description of the reference rate and spread, if applicable, are included in the security description. |
(D) | Securities whose value was determined using significant unobservable inputs. |
(E) | Rate shown is the yield to maturity at June 30, 2017. |
(F) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 227,663 | $ | — | $ | — | ||||||
Preferred Stocks | 21,375 | 2,391 | — | |||||||||
Corporate Debt Securities | — | 76,057 | — | |||||||||
Loans | — | — | 1,100 | |||||||||
United States Government Agency Obligations | — | 5,577 | — | |||||||||
United States Government Obligations | — | 10,911 | — | |||||||||
Short-Term Securities | — | 17,743 | — | |||||||||
Total | $ | 249,038 | $ | 112,679 | $ | 1,100 |
During the period ended June 30, 2017, there were no transfers between any levels.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
BVAL = Bloomberg Valuation Municipal AAA Benchmark
GTD = Guaranteed
ICE = IntercontinentalExchange
LIBOR = London Interbank Offered Rate
REMIC = Real Estate Mortgage Investment Conduit
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
26 | SEMIANNUAL REPORT | 2017 |
PORTFOLIO HIGHLIGHTS | BOND |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 0.6% | |||
Bonds | 95.9% | |||
Corporate Debt Securities | 82.9% | |||
United States Government and Government Agency Obligations | 7.0% | |||
Municipal Bonds – Taxable | 2.3% | |||
Asset-Backed Securities | 2.1% | |||
Other Government Securities | 1.5% | |||
Mortgage-Backed Securities | 0.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.5% |
Quality Weightings
Investment Grade | 90.6% | |||
AAA | 2.0% | |||
AA | 17.1% | |||
A | 26.1% | |||
BBB | 45.4% | |||
Non-Investment Grade | 5.3% | |||
BB | 1.7% | |||
Non-rated | 3.6% | |||
Cash and Other Assets (Net of Liabilities), Cash Equivalents+ and Equities | 4.1% |
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.
2017 | SEMIANNUAL REPORT | 27 |
SCHEDULE OF INVESTMENTS | BOND (in thousands) |
JUNE 30, 2017 (UNAUDITED)
PREFERRED STOCKS | Shares | Value | ||||||
Financials |
| |||||||
Investment Banking & Brokerage – 0.6% |
| |||||||
Morgan Stanley, | ||||||||
5.850% | 100 | $ | 2,732 | |||||
|
| |||||||
Total Financials – 0.6% |
| 2,732 | ||||||
TOTAL PREFERRED STOCKS – 0.6% |
| $ | 2,732 | |||||
(Cost: $2,500) | ||||||||
ASSET-BACKED SECURITIES | Principal | |||||||
AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust, | ||||||||
3.500%, 5-26-22 | $ | 2,320 | 2,381 | |||||
Air Canada Enhanced Equipment Trust, Series 2015-2, Class AA, | ||||||||
3.750%, 12-15-27 (A) | 952 | 990 | ||||||
American Airlines Class AA Pass Through Certificates, Series 2016-2, | ||||||||
3.200%, 6-15-28 | 974 | 965 | ||||||
American Airlines, Inc., Class AA Pass Through Certificates, Series 2016-1, | ||||||||
3.575%, 1-15-28 | 975 | 997 | ||||||
American Airlines, Inc., Class AA Pass Through Certificates, Series 2017-1, | ||||||||
3.650%, 2-15-29 | 1,500 | 1,545 | ||||||
Norwegian Air Shuttle 2016-1, Class A, | ||||||||
4.875%, 5-10-28 (A) | 976 | 989 | ||||||
United Airlines Pass-Through Certificates, Series 2016-AA, | ||||||||
3.100%, 7-7-28 | 1,000 | 995 | ||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES – 2.1% |
| $ | 8,862 | |||||
(Cost: $8,708) | ||||||||
CORPORATE DEBT SECURITIES | ||||||||
Consumer Discretionary |
| |||||||
Advertising – 0.2% |
| |||||||
Omnicom Group, Inc., | ||||||||
3.600%, 4-15-26 | 1,000 | 1,006 | ||||||
|
| |||||||
Automobile Manufacturers – 0.8% |
| |||||||
BMW U.S. Capital LLC, | ||||||||
2.700%, 4-6-22 (A) | 3,500 | 3,534 | ||||||
|
| |||||||
Cable & Satellite – 2.0% |
| |||||||
Charter Communications Operating LLC and Charter Communications Operating Capital Corp., | ||||||||
5.375%, 5-1-47 (A) | 2,500 | 2,648 | ||||||
Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal): | ||||||||
3.000%, 2-1-24 | 3,000 | 3,041 | ||||||
2.350%, 1-15-27 | 500 | 469 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Cable & Satellite (Continued) |
| |||||||
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc., | ||||||||
3.950%, 1-15-25 | $ | 815 | $ | 831 | ||||
Time Warner, Inc. (GTD by Historic TW, Inc.), | ||||||||
2.950%, 7-15-26 | 1,500 | 1,415 | ||||||
|
| |||||||
8,404 | ||||||||
|
| |||||||
Education Services – 0.2% |
| |||||||
President and Fellows of Harvard College, | ||||||||
3.150%, 7-15-46 | 500 | 479 | ||||||
University of Southern California, | ||||||||
3.028%, 10-1-39 | 500 | 469 | ||||||
|
| |||||||
948 | ||||||||
|
| |||||||
Footwear – 1.0% |
| |||||||
NIKE, Inc.: | ||||||||
2.375%, 11-1-26 | 1,000 | 949 | ||||||
3.875%, 11-1-45 | 3,500 | 3,528 | ||||||
|
| |||||||
4,477 | ||||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.7% |
| |||||||
Marriott International, Inc., Series R, | ||||||||
3.125%, 6-15-26 | 1,000 | 981 | ||||||
Wyndham Worldwide Corp., | ||||||||
4.150%, 4-1-24 | 2,000 | 2,054 | ||||||
|
| |||||||
3,035 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.1% |
| |||||||
Amazon.com, Inc., | ||||||||
4.800%, 12-5-34 | 370 | 427 | ||||||
|
| |||||||
Movies & Entertainment – 0.3% |
| |||||||
Walt Disney Co. (The), | ||||||||
4.125%, 6-1-44 | 1,000 | 1,051 | ||||||
|
| |||||||
Publishing – 0.1% |
| |||||||
Thomson Reuters Corp., | ||||||||
3.350%, 5-15-26 | 500 | 499 | ||||||
|
| |||||||
Total Consumer Discretionary – 5.4% |
| 23,381 | ||||||
Consumer Staples |
| |||||||
Brewers – 1.5% |
| |||||||
Anheuser-Busch Inbev Finance, Inc. (GTD by AB INBEV/BBR/COB), | ||||||||
3.650%, 2-1-26 | 665 | 685 | ||||||
Heineken N.V., | ||||||||
3.500%, 1-29-28 (A) | 2,000 | 2,030 | ||||||
Molson Coors Brewing Co.: | ||||||||
2.250%, 3-15-20 (A) | 1,000 | 1,000 | ||||||
3.000%, 7-15-26 | 2,500 | 2,405 | ||||||
4.200%, 7-15-46 | 500 | 490 | ||||||
|
| |||||||
6,610 | ||||||||
|
| |||||||
Distillers & Vintners – 0.2% |
| |||||||
Constellation Brands, Inc., | ||||||||
4.500%, 5-9-47 | 1,000 | 1,031 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Drug Retail – 0.1% |
| |||||||
CVS Health Corp.: | ||||||||
2.800%, 7-20-20 | $ | 75 | $ | 76 | ||||
2.125%, 6-1-21 | 450 | 445 | ||||||
|
| |||||||
521 | ||||||||
|
| |||||||
Food Distributors – 0.8% |
| |||||||
Sysco Corp.: | ||||||||
3.300%, 7-15-26 | 1,000 | 992 | ||||||
3.250%, 7-15-27 | 2,500 | 2,460 | ||||||
|
| |||||||
3,452 | ||||||||
|
| |||||||
Food Retail – 0.6% |
| |||||||
Kroger Co. (The), | ||||||||
6.800%, 12-15-18 | 2,245 | 2,395 | ||||||
|
| |||||||
Household Products – 0.5% |
| |||||||
Procter & Gamble Co. (The), | ||||||||
2.700%, 2-2-26 | 2,000 | 1,993 | ||||||
|
| |||||||
Packaged Foods & Meats – 2.5% |
| |||||||
General Mills, Inc., | ||||||||
1.400%, 10-20-17 | 700 | 700 | ||||||
Kraft Heinz Foods Co.: | ||||||||
3.000%, 6-1-26 | 3,000 | 2,870 | ||||||
4.375%, 6-1-46 | 1,000 | 975 | ||||||
Mead Johnson Nutrition Co., | ||||||||
4.125%, 11-15-25 | 1,000 | 1,078 | ||||||
Smithfield Foods, Inc.: | ||||||||
3.350%, 2-1-22 (A) | 3,000 | 3,015 | ||||||
4.250%, 2-1-27 (A) | 2,000 | 2,051 | ||||||
|
| |||||||
10,689 | ||||||||
|
| |||||||
Personal Products – 1.0% |
| |||||||
Kimberly-Clark Corp.: | ||||||||
2.750%, 2-15-26 | 1,000 | 994 | ||||||
3.200%, 7-30-46 | 3,500 | 3,185 | ||||||
|
| |||||||
4,179 | ||||||||
|
| |||||||
Soft Drinks – 1.1% |
| |||||||
Coca-Cola Co. (The): | ||||||||
1.550%, 9-1-21 | 1,500 | 1,470 | ||||||
2.875%, 10-27-25 | 500 | 503 | ||||||
2.250%, 9-1-26 | 1,000 | 950 | ||||||
PepsiCo, Inc.: | ||||||||
1.700%, 10-6-21 | 1,000 | 979 | ||||||
2.850%, 2-24-26 | 1,000 | 997 | ||||||
|
| |||||||
4,899 | ||||||||
|
| |||||||
Total Consumer Staples – 8.3% |
| 35,769 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 0.2% |
| |||||||
Cenovus Energy, Inc., | ||||||||
4.250%, 4-15-27 (A) | 1,000 | 953 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.5% |
| |||||||
Enterprise Products Operating LLC (GTD by Enterprise Products Partners L.P.), | ||||||||
6.500%, 1-31-19 | 2,000 | 2,133 | ||||||
|
|
28 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | BOND (in thousands) |
JUNE 30, 2017 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Exploration & Production – 1.2% |
| |||||||
BP Capital Markets plc (GTD by BP plc), | ||||||||
1.674%, 2-13-18 | $ | 500 | $ | 500 | ||||
ConocoPhillips Co. (GTD by ConocoPhillips), | ||||||||
4.150%, 11-15-34 | 850 | 855 | ||||||
EQT Corp., | ||||||||
8.125%, 6-1-19 | 3,494 | 3,856 | ||||||
|
| |||||||
5,211 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 3.7% |
| |||||||
Boardwalk Pipelines L.P. (GTD by Boardwalk Pipeline Partners L.P.), | ||||||||
4.450%, 7-15-27 | 2,000 | 2,048 | ||||||
Buckeye Partners L.P., | ||||||||
3.950%, 12-1-26 | 950 | 941 | ||||||
Colorado Interstate Gas Co., | ||||||||
4.150%, 8-15-26 (A) | 1,000 | 992 | ||||||
Enbridge, Inc., | ||||||||
2.900%, 7-15-22 | 2,000 | 1,996 | ||||||
Energy Transfer Partners L.P., | ||||||||
4.200%, 4-15-27 | 2,000 | 1,992 | ||||||
EnLink Midstream Partners L.P., | ||||||||
5.450%, 6-1-47 | 500 | 499 | ||||||
Plains All American Pipeline L.P. and PAA Finance Corp.: | ||||||||
3.600%, 11-1-24 | 1,031 | 1,002 | ||||||
4.500%, 12-15-26 | 1,500 | 1,517 | ||||||
Sabine Pass Liquefaction LLC, | ||||||||
4.200%, 3-15-28 (A) | 1,500 | 1,516 | ||||||
Sunoco Logistics Partners Operations L.P. (GTD by Sunoco Logistics Partners L.P.), | ||||||||
4.400%, 4-1-21 | 500 | 525 | ||||||
Tennessee Gas Pipeline Co., | ||||||||
7.000%, 3-15-27 | 2,000 | 2,381 | ||||||
Williams Partners L.P., | ||||||||
3.750%, 6-15-27 | 500 | 495 | ||||||
|
| |||||||
15,904 | ||||||||
|
| |||||||
Total Energy – 5.6% |
| 24,201 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 1.1% |
| |||||||
Ares Capital Corp., | ||||||||
3.875%, 1-15-20 | 2,280 | 2,325 | ||||||
Legg Mason, Inc., | ||||||||
4.750%, 3-15-26 | 1,500 | 1,587 | ||||||
State Street Corp., | ||||||||
2.650%, 5-19-26 | 1,000 | 969 | ||||||
|
| |||||||
4,881 | ||||||||
|
| |||||||
Consumer Finance – 3.7% |
| |||||||
American Express Credit Corp.: | ||||||||
1.875%, 11-5-18 | 1,000 | 1,002 | ||||||
2.200%, 3-3-20 | 2,000 | 2,009 | ||||||
Capital One Financial Corp.: | ||||||||
4.200%, 10-29-25 | 1,500 | 1,513 | ||||||
3.750%, 7-28-26 | 1,000 | 976 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Finance (Continued) |
| |||||||
Discover Financial Services, | ||||||||
3.950%, 11-6-24 | $ | 1,500 | $ | 1,523 | ||||
Ford Motor Credit Co. LLC: | ||||||||
3.339%, 3-28-22 | 1,000 | 1,015 | ||||||
3.810%, 1-9-24 | 4,000 | 4,049 | ||||||
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.): | ||||||||
3.500%, 7-10-19 | 800 | 819 | ||||||
3.200%, 7-6-21 | 500 | 505 | ||||||
3.700%, 5-9-23 | 2,500 | 2,538 | ||||||
|
| |||||||
15,949 | ||||||||
|
| |||||||
Diversified Banks – 13.4% |
| |||||||
ABN AMRO Bank N.V., | ||||||||
2.100%, 1-18-19 (A) | 3,000 | 3,005 | ||||||
Australia and New Zealand Banking Group Ltd., | ||||||||
2.125%, 8-19-20 | 1,000 | 1,000 | ||||||
Banco Santander S.A., | ||||||||
3.500%, 4-11-22 | 1,250 | 1,279 | ||||||
Bank of America Corp.: | ||||||||
6.000%, 9-1-17 | 1,000 | 1,007 | ||||||
2.503%, 10-21-22 | 4,000 | 3,948 | ||||||
3.124%, 1-20-23 | 2,000 | 2,022 | ||||||
4.200%, 8-26-24 | 500 | 519 | ||||||
3.875%, 8-1-25 | 2,500 | 2,587 | ||||||
Bank of Montreal, | ||||||||
2.100%, 12-12-19 | 500 | 501 | ||||||
Bank of New York Mellon Corp. (The), | ||||||||
2.200%, 8-16-23 | 3,000 | 2,908 | ||||||
Barclays plc: | ||||||||
3.684%, 1-10-23 | 3,000 | 3,078 | ||||||
4.836%, 5-9-28 | 1,000 | 1,022 | ||||||
BB&T Corp.: | ||||||||
2.050%, 5-10-21 | 1,000 | 992 | ||||||
2.750%, 4-1-22 | 2,000 | 2,029 | ||||||
Commonwealth Bank of Australia, | ||||||||
2.000%, 9-6-21 (A) | 1,500 | 1,472 | ||||||
Danske Bank A.S., | ||||||||
2.700%, 3-2-22 (A) | 3,000 | 3,019 | ||||||
Fifth Third Bank N.A., | ||||||||
2.250%, 6-14-21 | 500 | 498 | ||||||
Huntington Bancshares, Inc., | ||||||||
2.300%, 1-14-22 | 500 | 492 | ||||||
Lloyds Banking Group plc, | ||||||||
3.000%, 1-11-22 | 2,000 | 2,020 | ||||||
Mitsubishi UFJ Financial Group, Inc., | ||||||||
2.998%, 2-22-22 | 500 | 507 | ||||||
Mizuho Financial Group, Inc., | ||||||||
2.953%, 2-28-22 | 3,000 | 3,025 | ||||||
Sumitomo Mitsui Financial Group, Inc., | ||||||||
2.058%, 7-14-21 | 1,000 | 984 | ||||||
Swedbank AB, | ||||||||
2.800%, 3-14-22 (A) | 3,000 | 3,039 | ||||||
U.S. Bancorp: | ||||||||
3.100%, 4-27-26 | 2,500 | 2,471 | ||||||
3.150%, 4-27-27 | 1,500 | 1,503 | ||||||
U.S. Bank N.A., | ||||||||
1.350%, 1-26-18 | 2,000 | 1,999 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Banks (Continued) |
| |||||||
Wells Fargo & Co.: | ||||||||
2.100%, 7-26-21 | $ | 1,000 | $ | 987 | ||||
3.069%, 1-24-23 | 1,500 | 1,520 | ||||||
3.000%, 10-23-26 | 1,000 | 974 | ||||||
3.584%, 5-22-28 | 750 | 758 | ||||||
4.400%, 6-14-46 | 1,500 | 1,521 | ||||||
4.750%, 12-7-46 | 500 | 535 | ||||||
Westpac Banking Corp.: | ||||||||
2.150%, 3-6-20 | 2,500 | 2,505 | ||||||
2.000%, 8-19-21 | 1,000 | 986 | ||||||
4.322%, 11-23-31 | 1,000 | 1,025 | ||||||
|
| |||||||
57,737 | ||||||||
|
| |||||||
Insurance Brokers – 0.5% |
| |||||||
Marsh & McLennan Cos., Inc., | ||||||||
2.750%, 1-30-22 | 2,000 | 2,019 | ||||||
|
| |||||||
Investment Banking & Brokerage – 4.8% |
| |||||||
Credit Suisse Group AG, | ||||||||
3.574%, 1-9-23 (A) | 2,000 | 2,051 | ||||||
Credit Suisse Group Funding (Guernsey) Ltd., | ||||||||
3.125%, 12-10-20 | 1,500 | 1,528 | ||||||
Daiwa Securities Group, Inc., | ||||||||
3.129%, 4-19-22 (A) | 1,000 | 1,007 | ||||||
Goldman Sachs Group, Inc. (The): | ||||||||
3.000%, 4-26-22 | 2,000 | 2,018 | ||||||
4.250%, 10-21-25 | 500 | 517 | ||||||
3.750%, 2-25-26 | 1,000 | 1,018 | ||||||
3.500%, 11-16-26 | 2,000 | 1,990 | ||||||
Goldman Sachs Group, Inc. (The) (3-Month U.S. LIBOR plus 175 bps), | ||||||||
2.922%, 10-28-27 (B) | 2,000 | 2,079 | ||||||
Morgan Stanley: | ||||||||
2.625%, 11-17-21 | 4,000 | 3,994 | ||||||
3.875%, 1-27-26 | 1,000 | 1,029 | ||||||
3.125%, 7-27-26 | 2,000 | 1,945 | ||||||
Morgan Stanley (3-Month U.S. LIBOR plus 140 bps), | ||||||||
2.553%, 10-24-23 (B) | 1,500 | 1,526 | ||||||
|
| |||||||
20,702 | ||||||||
|
| |||||||
Life & Health Insurance – 3.7% |
| |||||||
Athene Global Funding, | ||||||||
2.750%, 4-20-20 (A) | 1,500 | 1,503 | ||||||
Brighthouse Financial, Inc., | ||||||||
3.700%, 6-22-27 (A) | 3,750 | 3,693 | ||||||
MetLife Global Funding I, | ||||||||
1.950%, 9-15-21 (A) | 2,000 | 1,959 | ||||||
New York Life Global Funding, | ||||||||
2.900%, 1-17-24 (A) | 5,500 | 5,551 | ||||||
Principal Life Global Funding II, | ||||||||
3.000%, 4-18-26 (A) | 1,000 | 986 | ||||||
Protective Life Global Funding, | ||||||||
2.262%, 4-8-20 (A) | 2,500 | 2,498 | ||||||
|
| |||||||
16,190 | ||||||||
|
|
2017 | SEMIANNUAL REPORT | 29 |
SCHEDULE OF INVESTMENTS | BOND (in thousands) |
JUNE 30, 2017 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Other Diversified Financial Services – 4.7% |
| |||||||
Citigroup, Inc.: | ||||||||
2.700%, 3-30-21 | $ | 3,000 | $ | 3,020 | ||||
4.450%, 9-29-27 | 3,000 | 3,120 | ||||||
JPMorgan Chase & Co.: | ||||||||
2.000%, 8-15-17 | 1,000 | 1,001 | ||||||
2.295%, 8-15-21 | 3,000 | 2,982 | ||||||
2.700%, 5-18-23 | 3,000 | 2,967 | ||||||
3.625%, 12-1-27 | 1,500 | 1,485 | ||||||
4.950%, 6-1-45 | 1,000 | 1,117 | ||||||
TIAA Asset Management Finance Co. LLC, | ||||||||
4.125%, 11-1-24 (A) | 2,000 | 2,069 | ||||||
USAA Capital Corp., | ||||||||
2.450%, 8-1-20 (A) | 2,360 | 2,381 | ||||||
|
| |||||||
20,142 | ||||||||
|
| |||||||
Property & Casualty Insurance – 1.2% |
| |||||||
Berkshire Hathaway Finance Corp. (GTD by Berkshire Hathaway, Inc.) (3-Month ICE LIBOR plus 32 bps), | ||||||||
1.475%, 1-10-20 (B) | 3,500 | 3,518 | ||||||
Berkshire Hathaway, Inc., | ||||||||
3.125%, 3-15-26 | 1,500 | 1,517 | ||||||
|
| |||||||
5,035 | ||||||||
|
| |||||||
Regional Banks – 0.9% |
| |||||||
PNC Bank N.A.: | ||||||||
1.700%, 12-7-18 | 500 | 500 | ||||||
2.450%, 11-5-20 | 264 | 266 | ||||||
3.300%, 10-30-24 | 1,000 | 1,024 | ||||||
Sumitomo Mitsui Trust Bank Ltd., | ||||||||
2.050%, 3-6-19 (A) | 2,000 | 2,000 | ||||||
|
| |||||||
3,790 | ||||||||
|
| |||||||
Specialized Finance – 0.8% |
| |||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp.: | ||||||||
4.420%, 6-15-21 (A) | 500 | 527 | ||||||
5.450%, 6-15-23 (A) | 500 | 542 | ||||||
8.100%, 7-15-36 (A) | 500 | 629 | ||||||
Siemens Financieringsmaatschappij N.V. (3-Month U.S. LIBOR plus 61 bps), | ||||||||
1.860%, 3-16-22 (A)(B) | 2,000 | 2,019 | ||||||
|
| |||||||
3,717 | ||||||||
|
| |||||||
Total Financials – 34.8% |
| 150,162 | ||||||
Health Care |
| |||||||
Biotechnology – 0.3% |
| |||||||
Amgen, Inc., | ||||||||
2.200%, 5-11-20 | 1,500 | 1,507 | ||||||
|
| |||||||
Health Care Services – 1.3% |
| |||||||
Cardinal Health, Inc.: | ||||||||
3.079%, 6-15-24 | 2,500 | 2,505 | ||||||
4.368%, 6-15-47 | 1,500 | 1,544 | ||||||
Quest Diagnostics, Inc., | ||||||||
3.450%, 6-1-26 | 1,500 | 1,503 | ||||||
|
| |||||||
5,552 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Health Care Supplies – 1.4% |
| |||||||
Abbott Laboratories, | ||||||||
3.400%, 11-30-23 | $ | 1,000 | $ | 1,024 | ||||
Medtronic Global Holdings SCA, | ||||||||
3.350%, 4-1-27 | 2,000 | 2,039 | ||||||
Medtronic, Inc., | ||||||||
4.375%, 3-15-35 | 1,752 | 1,928 | ||||||
Shire Acquisitions Investments Ireland Designated Activity Co., | ||||||||
2.400%, 9-23-21 | 1,000 | 988 | ||||||
|
| |||||||
5,979 | ||||||||
|
| |||||||
Pharmaceuticals – 0.6% |
| |||||||
AbbVie, Inc., | ||||||||
4.500%, 5-14-35 | 1,400 | 1,478 | ||||||
Perrigo Finance Unlimited Co. (GTD by Perrigo Co. plc), | ||||||||
3.500%, 3-15-21 | 1,000 | 1,033 | ||||||
|
| |||||||
2,511 | ||||||||
|
| |||||||
Total Health Care – 3.6% |
| 15,549 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 2.2% |
| |||||||
BAE Systems Finance, Inc., | ||||||||
7.500%, 7-1-27 (A) | 1,522 | 1,995 | ||||||
BAE Systems Holdings, Inc.: | ||||||||
3.850%, 12-15-25 (A) | 1,500 | 1,561 | ||||||
4.750%, 10-7-44 (A) | 1,000 | 1,085 | ||||||
Boeing Co. (The), | ||||||||
1.650%, 10-30-20 | 500 | 495 | ||||||
General Dynamics Corp., | ||||||||
1.875%, 8-15-23 | 3,000 | 2,890 | ||||||
Rockwell Collins, Inc., | ||||||||
2.800%, 3-15-22 | 1,500 | 1,514 | ||||||
|
| |||||||
9,540 | ||||||||
|
| |||||||
Air Freight & Logistics – 1.6% |
| |||||||
FedEx Corp.: | ||||||||
3.250%, 4-1-26 | 1,000 | 1,009 | ||||||
3.300%, 3-15-27 | 4,000 | 4,009 | ||||||
4.400%, 1-15-47 | 2,000 | 2,060 | ||||||
|
| |||||||
7,078 | ||||||||
|
| |||||||
Airlines – 1.4% |
| |||||||
Air Lease Corp., | ||||||||
3.625%, 4-1-27 | 2,000 | 2,000 | ||||||
Aviation Capital Group Corp., | ||||||||
2.875%, 1-20-22 (A) | 3,000 | 2,989 | ||||||
Sydney Airport Finance, | ||||||||
3.625%, 4-28-26 (A) | 1,000 | 1,008 | ||||||
|
| |||||||
5,997 | ||||||||
|
| |||||||
Building Products – 0.5% |
| |||||||
WESCO Distribution, Inc. (GTD by WESCO International, Inc.), | ||||||||
5.375%, 12-15-21 | 1,875 | 1,948 | ||||||
|
| |||||||
Environmental & Facilities Services – 0.5% |
| |||||||
Republic Services, Inc., | ||||||||
3.800%, 5-15-18 | 1,000 | 1,018 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Environmental & Facilities Services (Continued) |
| |||||||
Waste Management, Inc. (GTD by Waste Management Holdings, Inc.), | ||||||||
2.400%, 5-15-23 | $ | 1,000 | $ | 986 | ||||
|
| |||||||
2,004 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.2% |
| |||||||
Honeywell International, Inc., | ||||||||
1.850%, 11-1-21 | 1,000 | 984 | ||||||
|
| |||||||
Industrial Machinery – 0.7% |
| |||||||
Parker Hannifin Corp., | ||||||||
3.250%, 3-1-27 (A) | 3,000 | 3,031 | ||||||
|
| |||||||
Railroads – 0.2% |
| |||||||
Burlington Northern Santa Fe LLC, | ||||||||
3.400%, 9-1-24 | 1,000 | 1,041 | ||||||
|
| |||||||
Total Industrials – 7.3% |
| 31,623 | ||||||
Information Technology |
| |||||||
Communications Equipment – 0.1% |
| |||||||
L-3 Communications Corp., | ||||||||
3.850%, 12-15-26 | 500 | 515 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 2.0% |
| |||||||
Alliance Data Systems Corp., | ||||||||
5.250%, 12-1-17 (A) | 4,500 | 4,534 | ||||||
Visa, Inc.: | ||||||||
2.800%, 12-14-22 | 3,000 | 3,054 | ||||||
3.150%, 12-14-25 | 1,000 | 1,015 | ||||||
|
| |||||||
8,603 | ||||||||
|
| |||||||
Electronic Components – 1.1% |
| |||||||
Amphenol Corp., | ||||||||
3.200%, 4-1-24 | 2,500 | 2,525 | ||||||
Maxim Integrated Products, Inc., | ||||||||
3.450%, 6-15-27 | 2,250 | 2,226 | ||||||
|
| |||||||
4,751 | ||||||||
|
| |||||||
Home Entertainment Software – 0.2% |
| |||||||
Activision Blizzard, Inc., | ||||||||
2.300%, 9-15-21 | 1,000 | 993 | ||||||
|
| |||||||
Internet Software & Services – 0.7% |
| |||||||
Alphabet, Inc., | ||||||||
3.375%, 2-25-24 | 2,950 | 3,102 | ||||||
|
| |||||||
IT Consulting & Other Services – 0.4% |
| |||||||
Keysight Technologies, Inc., | ||||||||
4.600%, 4-6-27 | 1,500 | 1,576 | ||||||
|
| |||||||
Semiconductors – 1.4% |
| |||||||
Broadcom Corp. and Broadcom Cayman Finance Ltd. (GTD by Broadcom Ltd.), | ||||||||
3.625%, 1-15-24 (A) | 2,000 | 2,045 | ||||||
Intel Corp.: | ||||||||
3.100%, 7-29-22 | 1,000 | 1,036 | ||||||
2.875%, 5-11-24 | 2,000 | 2,007 |
30 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | BOND (in thousands) |
JUNE 30, 2017 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Semiconductors (Continued) |
| |||||||
Micron Technology, Inc., | ||||||||
7.500%, 9-15-23 | $ | 713 | $ | 798 | ||||
|
| |||||||
5,886 | ||||||||
|
| |||||||
Systems Software – 1.6% |
| |||||||
CA, Inc., | ||||||||
5.375%, 12-1-19 | 1,080 | 1,134 | ||||||
Microsoft Corp.: | ||||||||
2.650%, 11-3-22 | 2,000 | 2,028 | ||||||
2.000%, 8-8-23 | 500 | 487 | ||||||
2.875%, 2-6-24 | 3,000 | 3,048 | ||||||
|
| |||||||
6,697 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.3% |
| |||||||
Seagate HDD Cayman (GTD by Seagate Technology plc), | ||||||||
4.250%, 3-1-22 (A) | 1,250 | 1,271 | ||||||
|
| |||||||
Total Information Technology – 7.8% |
| 33,394 | ||||||
Materials |
| |||||||
Diversified Metals & Mining – 0.2% |
| |||||||
Anglo American Capital plc, | ||||||||
3.750%, 4-10-22 (A) | 1,000 | 1,005 | ||||||
|
| |||||||
Specialty Chemicals – 0.4% |
| |||||||
Methanex Corp., | ||||||||
5.250%, 3-1-22 | 1,404 | 1,480 | ||||||
|
| |||||||
Total Materials – 0.6% |
| 2,485 | ||||||
Real Estate |
| |||||||
Health Care REITs – 0.3% |
| |||||||
Health Care REIT, Inc., | ||||||||
4.000%, 6-1-25 | 1,300 | 1,344 | ||||||
|
| |||||||
Industrial REITs – 0.1% |
| |||||||
Aircastle Ltd., | ||||||||
5.500%, 2-15-22 | 598 | 652 | ||||||
|
| |||||||
Retail REITs – 0.2% |
| |||||||
Brixmor Operating Partnership L.P., | ||||||||
3.650%, 6-15-24 | 750 | 738 | ||||||
|
| |||||||
Specialized REITs – 0.9% |
| |||||||
Crown Castle International Corp.: | ||||||||
2.250%, 9-1-21 | 500 | 492 | ||||||
5.250%, 1-15-23 | 1,027 | 1,140 | ||||||
4.000%, 3-1-27 | 2,000 | 2,059 | ||||||
|
| |||||||
3,691 | ||||||||
|
| |||||||
Total Real Estate – 1.5% |
| 6,425 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 2.2% |
| |||||||
AT&T, Inc.: | ||||||||
3.800%, 3-1-24 | 2,500 | 2,561 | ||||||
3.400%, 5-15-25 | 3,500 | 3,441 | ||||||
5.650%, 2-15-47 | 1,000 | 1,103 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Integrated Telecommunication Services (Continued) |
| |||||||
Telefonos de Mexico S.A.B de C.V. (GTD by America Movil S.A.B. de C.V.), | ||||||||
5.500%, 11-15-19 | $ | 1,500 | $ | 1,617 | ||||
Verizon Communications, Inc.: | ||||||||
2.625%, 8-15-26 | 500 | 461 | ||||||
4.812%, 3-15-39 (A) | 559 | 566 | ||||||
|
| |||||||
9,749 | ||||||||
|
| |||||||
Wireless Telecommunication Service – 1.3% |
| |||||||
American Tower Corp.: | ||||||||
4.400%, 2-15-26 | 1,000 | 1,048 | ||||||
3.125%, 1-15-27 | 2,500 | 2,400 | ||||||
Crown Castle Towers LLC, | ||||||||
3.663%, 5-15-25 (A) | 1,000 | 1,022 | ||||||
Sprint Spectrum L.P., | ||||||||
3.360%, 9-20-21 (A) | 1,000 | 1,009 | ||||||
|
| |||||||
5,479 | ||||||||
|
| |||||||
Total Telecommunication Services – 3.5% |
| 15,228 | ||||||
Utilities |
| |||||||
Electric Utilities – 1.7% |
| |||||||
Commonwealth Edison Co., | ||||||||
3.650%, 6-15-46 | 500 | 488 | ||||||
Edison International: | ||||||||
2.125%, 4-15-20 | 1,000 | 1,001 | ||||||
2.950%, 3-15-23 | 2,000 | 2,020 | ||||||
Kansas City Power & Light Co., | ||||||||
6.375%, 3-1-18 | 1,500 | 1,543 | ||||||
MidAmerican Energy Co., | ||||||||
3.950%, 8-1-47 | 1,000 | 1,035 | ||||||
Sierra Pacific Power Co., | ||||||||
2.600%, 5-1-26 | 1,000 | 965 | ||||||
|
| |||||||
7,052 | ||||||||
|
| |||||||
Multi-Utilities – 2.3% |
| |||||||
Dominion Resources, Inc., | ||||||||
2.750%, 1-15-22 | 3,000 | 3,016 | ||||||
Duke Energy Carolinas LLC, | ||||||||
3.750%, 6-1-45 | 2,000 | 1,993 | ||||||
Duke Energy Indiana LLC, | ||||||||
3.750%, 5-15-46 | 1,000 | 989 | ||||||
EDP Finance B.V., | ||||||||
3.625%, 7-15-24 (A) | 1,500 | 1,489 | ||||||
NorthWestern Corp., | ||||||||
6.340%, 4-1-19 | �� | 2,400 | 2,571 | |||||
|
| |||||||
10,058 | ||||||||
|
| |||||||
Water Utilities – 0.5% |
| |||||||
California Water Service Co., | ||||||||
5.875%, 5-1-19 | 2,000 | 2,115 | ||||||
|
| |||||||
Total Utilities – 4.5% |
| 19,225 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 82.9% |
| $ | 357,442 | |||||
(Cost: $352,768) |
MORTGAGE-BACKED SECURITIES | Principal | Value | ||||||
Non-Agency REMIC/CMO – 0.1% |
| |||||||
MASTR Adjustable Rate Mortgage Trust 2005-1 (Mortgage spread to 10-year U.S. Treasury index), | ||||||||
3.201%, 3-25-35 (B) | $ | 1,175 | $ | 380 | ||||
Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, | ||||||||
3.370%, 2-25-34 (B) | 126 | 10 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, | ||||||||
3.302%, 3-25-34 (B) | 206 | 8 | ||||||
|
| |||||||
398 | ||||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES – 0.1% |
| $ | 398 | |||||
(Cost: $1,502) | ||||||||
MUNICIPAL BONDS – TAXABLE | ||||||||
Massachusetts – 0.6% |
| |||||||
Cmnwlth of MA, Fed Hwy Grant Anticipation Notes (Accelerated Bridge Prog), Ser 2010A, | ||||||||
4.285%, 12-15-18 | 2,500 | 2,599 | ||||||
|
| |||||||
New York – 1.1% |
| |||||||
NYC Indl Dev Agy, Rental Rev Bonds (Yankee Stadium Proj), Ser 2009, | ||||||||
11.000%, 3-1-29 (A) | 3,405 | 4,686 | ||||||
|
| |||||||
Ohio – 0.4% |
| |||||||
OH State Univ, Gen Receipts Bonds (Multiyear Debt Issuance Prog), Ser 2016A, | ||||||||
3.798%, 12-1-46 | 2,000 | 2,038 | ||||||
|
| |||||||
Pennsylvania – 0.2% |
| |||||||
Cmnwlth of PA, GO Bonds, Third Ser B of 2010 (Federally Taxable – Build America Bonds), | ||||||||
4.750%, 7-15-22 | 750 | 807 | ||||||
|
| |||||||
TOTAL MUNICIPAL BONDS – TAXABLE – 2.3% |
| $ | 10,130 | |||||
(Cost: $8,725) | ||||||||
OTHER GOVERNMENT SECURITIES (D) | ||||||||
Canada – 0.8% |
| |||||||
Province de Quebec, | ||||||||
7.140%, 2-27-26 | 2,500 | 3,200 | ||||||
|
|
2017 | SEMIANNUAL REPORT | 31 |
SCHEDULE OF INVESTMENTS | BOND (in thousands) |
JUNE 30, 2017 (UNAUDITED)
OTHER GOVERNMENT SECURITIES (D) (Continued) | Principal | Value | ||||||
Spain – 0.7% |
| |||||||
Telefonica Emisiones S.A.U., | ||||||||
4.103%, 3-8-27 | $ | 3,000 | $ | 3,100 | ||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 1.5% |
| $ | 6,300 | |||||
(Cost: $5,762) | ||||||||
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | ||||||||
Agency Obligations – 0.2% |
| |||||||
Tennessee Valley Authority, | ||||||||
2.875%, 2-1-27 | 1,000 | 1,024 | ||||||
|
| |||||||
Mortgage-Backed Obligations – 6.3% |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Year U.S. Treasury index plus 400 bps), | ||||||||
5.045%, 7-25-44 (A)(B) | 2,200 | 2,250 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 3-year U.S. Treasury index), | ||||||||
4.573%, 12-25-48 (A)(B) | 1,000 | 1,060 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index): | ||||||||
4.490%, 12-25-44 (A)(B) | 5,000 | 5,320 | ||||||
4.400%, 1-25-45 (A)(B) | 3,000 | 3,179 | ||||||
4.752%, 11-25-46 (A)(B) | 2,055 | 2,210 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 6-month U.S. Treasury index), | ||||||||
4.395%, 7-25-48 (A)(B) | 2,350 | 2,363 |
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 | $ | 798 | ||||
2.640%, 6-1-22 | 1,447 | 1,478 | ||||||
2.390%, 6-1-25 | 1,238 | 1,250 | ||||||
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | ||||||||
4.503%, 12-1-19 | 4,725 | 4,968 | ||||||
2.759%, 4-1-22 | 1,579 | 1,620 | ||||||
2.705%, 4-1-23 | 653 | 664 | ||||||
Government National Mortgage Association Agency REMIC/CMO, | ||||||||
0.011%, 6-17-45 (E) | 21 | — | * | |||||
|
| |||||||
27,160 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 6.5% |
| $ | 28,184 | |||||
(Cost: $28,315) | ||||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
Treasury Obligations – 0.5% |
| |||||||
U.S. Treasury Notes, | ||||||||
1.375%, 12-15-19 | 2,000 | 1,996 | ||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 0.5% |
| $ | 1,996 | |||||
(Cost: $1,996) |
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper (F) – 2.2% |
| |||||||
Ecolab, Inc., | ||||||||
1.341%, 7-6-17 | $ | 5,000 | $ | 4,999 | ||||
Mondelez International, Inc., | ||||||||
1.330%, 7-3-17 | 3,115 | 3,114 | ||||||
Sonoco Products Co., | ||||||||
1.330%, 7-3-17 | 1,525 | 1,525 | ||||||
|
| |||||||
9,638 | ||||||||
|
| |||||||
Master Note – 1.0% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (C) | 4,237 | 4,237 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 3.2% |
| $ | 13,875 | |||||
(Cost: $13,876) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.7% |
| $ | 429,919 | |||||
(Cost: $424,152) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.3% |
| 1,359 | ||||||
NET ASSETS – 100.0% | $ | 431,278 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017 the total value of these securities amounted to $105,346 or 24.4% of net assets. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Description of the reference rate and spread, if applicable, are included in the security description. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(D) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(E) | Interest-only security. Amount shown as principal represents notional amount for computation of interest. |
(F) | Rate shown is the yield to maturity at June 30, 2017. |
32 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | BOND (in thousands) |
JUNE 30, 2017 (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, 2017. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Preferred Stocks | $ | 2,732 | $ | — | $ | — | ||||||
Asset-Backed Securities | — | 8,862 | — | |||||||||
Corporate Debt Securities | — | 357,442 | — | |||||||||
Mortgage-Backed Securities | — | 398 | — | |||||||||
Municipal Bonds | — | 10,130 | — | |||||||||
Other Government Securities | — | 6,300 | — | |||||||||
United States Government Agency Obligations | — | 28,184 | — | |||||||||
United States Government Obligations | — | 1,996 | — | |||||||||
Short-Term Securities | — | 13,875 | — | |||||||||
Total | $ | 2,732 | $ | 427,187 | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
CMO = Collateralized Mortgage Obligation
GTD = Guaranteed
ICE = Intercontinental Exchange
LIBOR = London Interbank Offered Rate
REITS = Real Estate Investment Trusts
REMIC = Real Estate Mortgage Investment Conduit
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 33 |
PORTFOLIO HIGHLIGHTS | CORE EQUITY |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 98.9% | |||
Information Technology | 34.2% | |||
Financials | 16.0% | |||
Health Care | 12.6% | |||
Consumer Staples | 10.5% | |||
Industrials | 10.1% | |||
Consumer Discretionary | 9.0% | |||
Energy | 5.6% | |||
Materials | 0.9% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.1% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Apple, Inc. | Information Technology | Technology Hardware, Storage & Peripherals | ||
Microsoft Corp. | Information Technology | Systems Software | ||
Alphabet, Inc., Class A | Information Technology | Internet Software & Services | ||
Morgan Stanley | Financials | Investment Banking & Brokerage | ||
JPMorgan Chase & Co. | Financials | Other Diversified Financial Services | ||
UnitedHealth Group, Inc. | Health Care | Managed Health Care | ||
Philip Morris International, Inc. | Consumer Staples | Tobacco | ||
Kraft Foods Group, Inc. | Consumer Staples | Packaged Foods & Meats | ||
Home Depot, Inc. (The) | Consumer Discretionary | Home Improvement Retail | ||
Adobe Systems, Inc. | Information Technology | Application Software |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
34 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | CORE EQUITY (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Auto Parts & Equipment – 2.0% |
| |||||||
Magna International, Inc. | 180 | $ | 8,335 | |||||
|
| |||||||
Cable & Satellite – 2.1% |
| |||||||
Comcast Corp., Class A | 229 | 8,901 | ||||||
|
| |||||||
Home Improvement Retail – 2.6% |
| |||||||
Home Depot, Inc. (The) | 72 | 11,090 | ||||||
|
| |||||||
Housewares & Specialties – 2.3% |
| |||||||
Newell Rubbermaid, Inc. | 179 | 9,619 | ||||||
|
| |||||||
Total Consumer Discretionary – 9.0% |
| 37,945 | ||||||
Consumer Staples |
| |||||||
Brewers – 1.3% |
| |||||||
Molson Coors Brewing Co., Class B | 66 | 5,707 | ||||||
|
| |||||||
Hypermarkets & Super Centers – 1.6% |
| |||||||
Costco Wholesale Corp. | 42 | 6,736 | ||||||
|
| |||||||
Packaged Foods & Meats – 2.7% |
| |||||||
Kraft Foods Group, Inc. | 132 | 11,339 | ||||||
|
| |||||||
Soft Drinks – 2.0% |
| |||||||
Monster Beverage Corp. (A) | 168 | 8,327 | ||||||
|
| |||||||
Tobacco – 2.9% |
| |||||||
Philip Morris International, Inc. | 103 | 12,093 | ||||||
|
| |||||||
Total Consumer Staples – 10.5% |
| 44,202 | ||||||
Energy |
| |||||||
Oil & Gas Drilling – 0.6% |
| |||||||
Helmerich & Payne, Inc. | 47 | 2,532 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.9% |
| |||||||
Halliburton Co. | 94 | 4,002 | ||||||
|
| |||||||
Oil & Gas Exploration & Production – 4.1% |
| |||||||
Cimarex Energy Co. | 56 | 5,239 | ||||||
EOG Resources, Inc. | 84 | 7,604 | ||||||
Pioneer Natural Resources Co. | 28 | 4,468 | ||||||
|
| |||||||
17,311 | ||||||||
|
| |||||||
Total Energy – 5.6% |
| 23,845 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 2.4% |
| |||||||
Blackstone Group L.P. (The) | 305 | 10,175 | ||||||
|
| |||||||
Diversified Banks – 3.5% |
| |||||||
Bank of America Corp. | 284 | 6,878 | ||||||
Wells Fargo & Co. | 141 | 7,840 | ||||||
|
| |||||||
14,718 | ||||||||
|
| |||||||
Financial Exchanges & Data – 2.2% |
| |||||||
CME Group, Inc. | 75 | 9,330 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Investment Banking & Brokerage – 4.9% |
| |||||||
Charles Schwab Corp. (The) | 169 | $ | 7,269 | |||||
Morgan Stanley | 300 | 13,355 | ||||||
|
| |||||||
20,624 | ||||||||
|
| |||||||
Other Diversified Financial Services – 3.0% |
| |||||||
JPMorgan Chase & Co. | 138 | 12,604 | ||||||
|
| |||||||
Total Financials – 16.0% |
| 67,451 | ||||||
Health Care |
| |||||||
Biotechnology – 3.1% |
| |||||||
Alexion Pharmaceuticals, Inc. (A) | 52 | 6,313 | ||||||
Shire Pharmaceuticals Group plc ADR | 42 | 6,969 | ||||||
|
| |||||||
13,282 | ||||||||
|
| |||||||
Health Care Equipment – 2.0% |
| |||||||
Intuitive Surgical, Inc. (A) | 9 | 8,418 | ||||||
|
| |||||||
Managed Health Care – 4.7% |
| |||||||
Cigna Corp. | 45 | 7,600 | ||||||
UnitedHealth Group, Inc. | 66 | 12,293 | ||||||
|
| |||||||
19,893 | ||||||||
|
| |||||||
Pharmaceuticals – 2.8% |
| |||||||
Eli Lilly and Co. | 40 | 3,292 | ||||||
Zoetis, Inc. | 135 | 8,415 | ||||||
|
| |||||||
11,707 | ||||||||
|
| |||||||
Total Health Care – 12.6% |
| 53,300 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 3.8% |
| |||||||
Lockheed Martin Corp. | 26 | 7,107 | ||||||
United Technologies Corp. | 74 | 9,085 | ||||||
|
| |||||||
16,192 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 2.9% |
| |||||||
PACCAR, Inc. | 101 | 6,683 | ||||||
WABCO Holdings, Inc. (A) | 44 | 5,611 | ||||||
|
| |||||||
12,294 | ||||||||
|
| |||||||
Railroads – 3.4% |
| |||||||
Norfolk Southern Corp. | 55 | 6,718 | ||||||
Union Pacific Corp. | 69 | 7,473 | ||||||
|
| |||||||
14,191 | ||||||||
|
| |||||||
Total Industrials – 10.1% |
| 42,677 | ||||||
Information Technology |
| |||||||
Application Software – 2.5% |
| |||||||
Adobe Systems, Inc. (A) | 74 | 10,452 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 6.3% |
| |||||||
MasterCard, Inc., Class A | 77 | 9,405 | ||||||
PayPal, Inc. (A) | 149 | 8,007 | ||||||
Visa, Inc., Class A | 97 | 9,097 | ||||||
|
| |||||||
26,509 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Home Entertainment Software – 1.8% |
| |||||||
Electronic Arts, Inc. (A) | 74 | $ | 7,781 | |||||
|
| |||||||
Internet Software & Services – 7.7% |
| |||||||
Alibaba Group Holding Ltd. ADR (A) | 65 | 9,144 | ||||||
Alphabet, Inc., Class A (A) | 16 | 14,410 | ||||||
Facebook, Inc., Class A (A) | 60 | 9,091 | ||||||
|
| |||||||
32,645 | ||||||||
|
| |||||||
Semiconductor Equipment – 3.8% |
| |||||||
Applied Materials, Inc. | 225 | 9,282 | ||||||
ASML Holding N.V., NY Registry Shares | 51 | 6,659 | ||||||
|
| |||||||
15,941 | ||||||||
|
| |||||||
Semiconductors – 4.8% |
| |||||||
Analog Devices, Inc. | 91 | 7,111 | ||||||
Broadcom Corp., Class A | 39 | 9,159 | ||||||
Texas Instruments, Inc. | 55 | 4,208 | ||||||
|
| |||||||
20,478 | ||||||||
|
| |||||||
Systems Software – 3.5% |
| |||||||
Microsoft Corp. | 216 | 14,882 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 3.8% |
| |||||||
Apple, Inc. | 110 | 15,842 | ||||||
|
| |||||||
Total Information Technology – 34.2% |
| 144,530 | ||||||
Materials |
| |||||||
Commodity Chemicals – 0.9% |
| |||||||
LyondellBasell Industries N.V., Class A | 45 | 3,823 | ||||||
|
| |||||||
Total Materials – 0.9% |
| 3,823 | ||||||
TOTAL COMMON STOCKS – 98.9% |
| $ | 417,773 | |||||
(Cost: $376,775) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.6% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (B) | $ | 2,632 | 2,632 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.6% |
| $ | 2,632 | |||||
(Cost: $2,632) | ||||||||
TOTAL INVESTMENT |
| $ | 420,405 | |||||
(Cost: $379,405) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.5% |
| 2,170 | ||||||
NET ASSETS – 100.0% |
| $ | 422,575 |
2017 | SEMIANNUAL REPORT | 35 |
SCHEDULE OF INVESTMENTS | CORE EQUITY (in thousands) |
JUNE 30, 2017 (UNAUDITED)
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 417,773 | $ | — | $ | — | ||||||
Short-Term Securities | — | 2,632 | — | |||||||||
Total | $ | 417,773 | $ | 2,632 | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
LIBOR = London Interbank Offered Rate
See Accompanying Notes to Financial Statements.
36 | SEMIANNUAL REPORT | 2017 |
PORTFOLIO HIGHLIGHTS | DIVIDEND OPPORTUNITIES |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 96.5% | |||
Financials | 15.9% | |||
Industrials | 15.8% | |||
Information Technology | 14.3% | |||
Energy | 9.8% | |||
Consumer Discretionary | 8.3% | |||
Consumer Staples | 8.0% | |||
Real Estate | 7.4% | |||
Materials | 7.1% | |||
Health Care | 6.4% | |||
Utilities | 3.5% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.5% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Microsoft Corp. | Information Technology | Systems Software | ||
Pfizer, Inc. | Health Care | Pharmaceuticals | ||
Wells Fargo & Co. | Financials | Diversified Banks | ||
Chevron Corp. | Energy | Integrated Oil & Gas | ||
JPMorgan Chase & Co. | Financials | Other Diversified Financial Services | ||
Philip Morris International, Inc. | Consumer Staples | Tobacco | ||
Lockheed Martin Corp. | Industrials | Aerospace & Defense | ||
Exelon Corp. | Utilities | Electric Utilities | ||
MetLife, Inc. | Financials | Life & Health Insurance | ||
Dow Chemical Co. (The) | Materials | Diversified Chemicals |
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.
2017 | SEMIANNUAL REPORT | 37 |
SCHEDULE OF INVESTMENTS | DIVIDEND OPPORTUNITIES (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Advertising – 1.7% |
| |||||||
Omnicom Group, Inc. | 106 | $ | 8,792 | |||||
|
| |||||||
Cable & Satellite – 2.5% |
| |||||||
Comcast Corp., Class A | 335 | 13,040 | ||||||
|
| |||||||
Home Improvement Retail – 2.8% |
| |||||||
Home Depot, Inc. (The) | 95 | 14,619 | ||||||
|
| |||||||
Restaurants – 1.3% |
| |||||||
McDonalds Corp. | 45 | 6,884 | ||||||
|
| |||||||
Total Consumer Discretionary – 8.3% |
| 43,335 | ||||||
Consumer Staples |
| |||||||
Brewers – 1.4% |
| |||||||
Anheuser-Busch InBev S.A. ADR | 64 | 7,019 | ||||||
|
| |||||||
Drug Retail – 1.3% |
| |||||||
CVS Caremark Corp. | 83 | 6,678 | ||||||
|
| |||||||
Personal Products – 1.5% |
| |||||||
Unilever plc (A) | 146 | 7,882 | ||||||
|
| |||||||
Tobacco – 3.8% |
| |||||||
Philip Morris International, Inc. | 170 | 19,944 | ||||||
|
| |||||||
Total Consumer Staples – 8.0% |
| 41,523 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 7.5% |
| |||||||
Chevron Corp. | 224 | 23,328 | ||||||
Suncor Energy, Inc. | 522 | 15,243 | ||||||
|
| |||||||
38,571 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 2.3% |
| |||||||
Enterprise Products Partners L.P. | 447 | 12,110 | ||||||
|
| |||||||
Total Energy – 9.8% |
| 50,681 | ||||||
Financials |
| |||||||
Diversified Banks – 4.5% |
| |||||||
Wells Fargo & Co. | 423 | 23,411 | ||||||
|
| |||||||
Life & Health Insurance – 3.5% |
| |||||||
MetLife, Inc. | 325 | 17,842 | ||||||
|
| |||||||
Multi-Line Insurance – 1.5% |
| |||||||
American International Group, Inc. | 128 | 7,981 | ||||||
|
| |||||||
Other Diversified Financial Services – 4.4% |
| |||||||
JPMorgan Chase & Co. | 250 | 22,879 | ||||||
|
| |||||||
Regional Banks – 2.0% |
| |||||||
KeyCorp | 545 | 10,220 | ||||||
|
| |||||||
Total Financials – 15.9% |
| 82,333 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care |
| |||||||
Health Care Equipment – 1.5% |
| |||||||
Medtronic plc | 89 | $ | 7,870 | |||||
|
| |||||||
Pharmaceuticals – 4.9% |
| |||||||
Pfizer, Inc. | 751 | 25,218 | ||||||
|
| |||||||
Total Health Care – 6.4% |
| 33,088 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 7.5% |
| |||||||
BAE Systems plc (A) | 692 | 5,710 | ||||||
Lockheed Martin Corp. | 70 | 19,349 | ||||||
United Technologies Corp. | 110 | 13,481 | ||||||
|
| |||||||
38,540 | ||||||||
|
| |||||||
Building Products – 2.9% |
| |||||||
Johnson Controls, Inc. | 349 | 15,141 | ||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 2.5% |
| |||||||
PACCAR, Inc. | 197 | 13,020 | ||||||
|
| |||||||
Electrical Components & Equipment – 1.9% |
| |||||||
Eaton Corp. | 126 | 9,803 | ||||||
|
| |||||||
Railroads – 1.0% |
| |||||||
Union Pacific Corp. | 48 | 5,227 | ||||||
|
| |||||||
Total Industrials – 15.8% |
| 81,731 | ||||||
Information Technology |
| |||||||
Communications Equipment – 3.7% |
| |||||||
Harris Corp. | 93 | 10,155 | ||||||
Nokia Corp., Series A ADR | 1,426 | 8,786 | ||||||
|
| |||||||
18,941 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 1.4% |
| |||||||
Paychex, Inc. | 131 | 7,479 | ||||||
|
| |||||||
Semiconductors – 4.1% |
| |||||||
Analog Devices, Inc. | 181 | 14,078 | ||||||
Cypress Semiconductor Corp. | 542 | 7,399 | ||||||
|
| |||||||
21,477 | ||||||||
|
| |||||||
Systems Software – 5.1% |
| |||||||
Microsoft Corp. | 383 | 26,379 | ||||||
|
| |||||||
Total Information Technology – 14.3% |
| 74,276 | ||||||
Materials |
| |||||||
Diversified Chemicals – 3.1% |
| |||||||
Dow Chemical Co. (The) | 252 | 15,922 | ||||||
|
| |||||||
Industrial Gases – 1.0% |
| |||||||
Air Products and Chemicals, Inc. | 37 | 5,304 | ||||||
|
| |||||||
Paper Packaging – 3.0% |
| |||||||
International Paper Co. | 277 | 15,670 | ||||||
|
| |||||||
Total Materials – 7.1% |
| 36,896 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Real Estate |
| |||||||
Industrial REITs – 2.3% |
| |||||||
ProLogis, Inc. | 200 | $ | 11,704 | |||||
|
| |||||||
Specialized REITs – 5.1% |
| |||||||
Crown Castle International Corp. | 110 | 10,980 | ||||||
Life Storage, Inc. | 138 | 10,244 | ||||||
Uniti Group, Inc. | 215 | 5,416 | ||||||
|
| |||||||
26,640 | ||||||||
|
| |||||||
Total Real Estate – 7.4% |
| 38,344 | ||||||
Utilities |
| |||||||
Electric Utilities – 3.5% |
| |||||||
Exelon Corp. | 499 | 18,004 | ||||||
|
| |||||||
Total Utilities – 3.5% |
| 18,004 | ||||||
TOTAL COMMON STOCKS – 96.5% |
| $ | 500,211 | |||||
(Cost: $423,608) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 0.6% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (B) | $ | 2,945 | 2,945 | |||||
|
| |||||||
Municipal Obligations – 2.5% |
| |||||||
NYC GO Bonds, Fiscal 2006 Ser E (GTD by Bank of America N.A.) (BVAL plus 11 bps), | ||||||||
0.910%, 7-7-17 (B) | 2,000 | 2,000 | ||||||
Santa Clara Cnty Fin Auth, Var Rate Rev Bonds, El Camino Hosp, Ser 2009A (GTD by Wells Fargo Bank N.A.) (BVAL plus 18 bps), | ||||||||
0.870%, 7-7-17 (B) | 11,251 | 11,251 | ||||||
|
| |||||||
13,251 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 3.1% |
| $ | 16,196 | |||||
(Cost: $16,196) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.6% |
| $ | 516,407 | |||||
(Cost: $439,804) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.4% |
| 1,996 | ||||||
NET ASSETS – 100.0% | $ | 518,403 |
38 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | DIVIDEND OPPORTUNITIES (in thousands) |
JUNE 30, 2017 (UNAUDITED)
Notes to Schedule of Investments
(A) | Listed on an exchange outside the United States. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 500,211 | $ | — | $ | — | ||||||
Short-Term Securities | — | 16,196 | — | |||||||||
Total | $ | 500,211 | $ | 16,196 | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
BVAL = Bloomberg Valuation Municipal AAA Benchmark
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 39 |
PORTFOLIO HIGHLIGHTS | ENERGY |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 98.0% | |||
Energy | 95.9% | |||
Information Technology | 1.8% | |||
Materials | 0.3% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.0% |
Country Weightings
North America | 91.2% | |||
United States | 89.1% | |||
Other North America | 2.1% | |||
Europe | 5.4% | |||
Bahamas/Caribbean | 1.4% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.0% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Halliburton Co. | United States | Energy | Oil & Gas Equipment & Services | |||
Schlumberger Ltd. | United States | Energy | Oil & Gas Equipment & Services | |||
U.S. Silica Holdings, Inc. | United States | Energy | Oil & Gas Equipment & Services | |||
EOG Resources, Inc. | United States | Energy | Oil & Gas Exploration & Production | |||
Parsley Energy, Inc., Class A | United States | Energy | Oil & Gas Exploration & Production | |||
RPC, Inc. | United States | Energy | Oil & Gas Equipment & Services | |||
Pioneer Natural Resources Co. | United States | Energy | Oil & Gas Exploration & Production | |||
Continental Resources, Inc. | United States | Energy | Oil & Gas Exploration & Production | |||
Baker Hughes, Inc. | United States | Energy | Oil & Gas Equipment & Services | |||
Concho Resources, Inc. | United States | Energy | Oil & Gas Exploration & Production |
See your advisor or www.waddell.com 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.
40 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | ENERGY (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 4.0% |
| |||||||
Chevron Corp. | 24 | $ | 2,457 | |||||
Royal Dutch Shell plc, Class A (A) | 69 | 1,830 | ||||||
Suncor Energy, Inc. | 55 | 1,607 | ||||||
|
| |||||||
5,894 | ||||||||
|
| |||||||
Oil & Gas Drilling – 4.0% |
| |||||||
Nabors Industries Ltd. | 253 | 2,062 | ||||||
Patterson-UTI Energy, Inc. | 196 | 3,949 | ||||||
|
| |||||||
6,011 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services – 34.4% |
| |||||||
Baker Hughes, Inc. | 102 | 5,579 | ||||||
C&J Energy Services, Inc. (B) | 23 | 790 | ||||||
Core Laboratories N.V. | 35 | 3,540 | ||||||
Forum Energy Technologies, Inc. (B) | 279 | 4,350 | ||||||
Halliburton Co. | 167 | 7,128 | ||||||
Hi-Crush Partners L.P. (B) | 145 | 1,574 | ||||||
Keane Group, Inc. (B) | 145 | 2,325 | ||||||
RPC, Inc. | 299 | 6,042 | ||||||
Schlumberger Ltd. | 103 | 6,765 | ||||||
Superior Energy Services, Inc. (B) | 378 | 3,942 | ||||||
U.S. Silica Holdings, Inc. | 189 | 6,713 | ||||||
Weatherford International Ltd. (B) | 688 | 2,664 | ||||||
|
| |||||||
51,412 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 43.9% |
| |||||||
Anadarko Petroleum Corp. | 94 | 4,271 | ||||||
Cimarex Energy Co. | 43 | 4,071 | ||||||
Concho Resources, Inc. (B) | 40 | 4,910 | ||||||
Continental Resources, Inc. (B) | 176 | 5,687 | ||||||
Devon Energy Corp. | 100 | 3,203 | ||||||
Diamondback Energy, Inc. (B) | 45 | 4,001 | ||||||
EOG Resources, Inc. | 73 | 6,608 | ||||||
Laredo Petroleum Holdings, Inc. (B) | 202 | 2,123 | ||||||
Marathon Oil Corp. | 223 | 2,647 | ||||||
Newfield Exploration Co. (B) | 109 | 3,092 | ||||||
Oasis Petroleum LLC (B) | 390 | 3,139 | ||||||
Parsley Energy, Inc., Class A (B) | 219 | 6,090 | ||||||
Pioneer Natural Resources Co. | 37 | 5,825 | ||||||
RSP Permian, Inc. (B) | 137 | 4,427 | ||||||
Whiting Petroleum Corp. (B) | 388 | 2,137 | ||||||
WPX Energy, Inc. (B) | 354 | 3,416 | ||||||
|
| |||||||
65,647 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 2.0% |
| |||||||
Marathon Petroleum Corp. | 23 | 1,180 | ||||||
Phillips 66 | 22 | 1,806 | ||||||
|
| |||||||
2,986 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 7.6% |
| |||||||
Enbridge, Inc. | 37 | 1,469 | ||||||
Energy Transfer Partners L.P. | 50 | 1,012 | ||||||
Enterprise Products Partners L.P. | 114 | 3,099 | ||||||
MPLX L.P. | 25 | 834 | ||||||
Phillips 66 Partners L.P. | 17 | 828 | ||||||
Plains GP Holdings L.P., Class A | 69 | 1,796 | ||||||
Tallgrass Energy GP L.P., Class A | 93 | 2,358 | ||||||
|
| |||||||
11,396 | ||||||||
|
| |||||||
Total Energy – 95.9% |
| 143,346 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Information Technology |
| |||||||
Data Processing & Outsourced Services – 1.8% |
| |||||||
Wright Express Corp. (B) | 27 | $ | 2,769 | |||||
|
| |||||||
Total Information Technology – 1.8% |
| 2,769 | ||||||
Materials |
| |||||||
Specialty Chemicals – 0.3% |
| |||||||
Flotek Industries, Inc. (B)(C) | 44 | 393 | ||||||
|
| |||||||
Total Materials – 0.3% |
| 393 | ||||||
TOTAL COMMON STOCKS – 98.0% |
| $ | 146,508 | |||||
(Cost: $162,160) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 1.9% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (D) | $ | 2,872 | 2,872 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.9% |
| $ | 2,872 | |||||
(Cost: $2,872) | ||||||||
TOTAL INVESTMENT |
| $ | 149,380 | |||||
(Cost: $165,032) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1% |
| 143 | ||||||
NET ASSETS – 100.0% |
| $ | 149,523 |
2017 | SEMIANNUAL REPORT | 41 |
SCHEDULE OF INVESTMENTS | ENERGY (in thousands) |
JUNE 30, 2017 (UNAUDITED)
Notes to Schedule of Investments
(A) | Listed on an exchange outside the United States. |
(B) | No dividends were paid during the preceding 12 months. |
(C) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017 the total value of these securities amounted to $393 or 0.3% of net assets. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 146,508 | $ | — | $ | — | ||||||
Short-Term Securities | — | 2,872 | — | |||||||||
Total | $ | 146,508 | $ | 2,872 | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronym is used throughout this schedule:
LIBOR = London Interbank Offered Rate
Country Diversification
(as a % of net assets) | ||||
United States | 89.1% | |||
Netherlands | 2.4% | |||
Canada | 2.1% | |||
Switzerland | 1.8% | |||
Bermuda | 1.4% | |||
United Kingdom | 1.2% | |||
Other+ | 2.0% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
42 | SEMIANNUAL REPORT | 2017 |
PORTFOLIO HIGHLIGHTS | GLOBAL BOND |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 3.4% | |||
Utilities | 1.3% | |||
Financials | 0.9% | |||
Energy | 0.6% | |||
Information Technology | 0.6% | |||
Bonds | 94.5% | |||
Corporate Debt Securities | 64.5% | |||
United States Government Obligations | 15.5% | |||
Other Government Securities | 13.2% | |||
Loans | 1.3% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.1% |
Quality Weightings
Investment Grade | 56.2% | |||
AA | 18.3% | |||
A | 11.7% | |||
BBB | 26.2% | |||
Non-Investment Grade | 38.3% | |||
BB | 23.2% | |||
B | 11.1% | |||
CCC | 1.5% | |||
Non-rated | 2.5% | |||
Cash and Other Assets (Net of Liabilities), Cash Equivalents+ and Equities | 5.5% |
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 | 43.3% | |||
United States | 35.3% | |||
Mexico | 6.7% | |||
Other North America | 1.3% | |||
Europe | 22.9% | |||
United Kingdom | 7.6% | |||
Netherlands | 5.5% | |||
Other Europe | 9.8% | |||
South America | 14.6% | |||
Brazil | 4.2% | |||
Chile | 3.5% | |||
Other South America | 6.9% | |||
Pacific Basin | 9.3% | |||
Other | 4.7% | |||
Bahamas/Caribbean | 2.0% | |||
Middle East | 1.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.1% |
+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.
2017 | SEMIANNUAL REPORT | 43 |
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Brazil |
| |||||||
Utilities – 0.6% |
| |||||||
Alupar Investimento S.A. | 12 | $ | 64 | |||||
Transmissora Alianca de Energia Eletrica S.A. | 10 | 68 | ||||||
|
| |||||||
132 | ||||||||
|
| |||||||
Total Brazil – 0.6% |
| $ | 132 | |||||
Chile |
| |||||||
Utilities – 0.1% |
| |||||||
Aguas Andinas S.A. | 34 | 20 | ||||||
|
| |||||||
Total Chile – 0.1% |
| $ | 20 | |||||
Panama |
| |||||||
Financials – 0.9% |
| |||||||
Banco Latinoamericano de Comercio Exterior S.A. | 8 | 218 | ||||||
|
| |||||||
Total Panama – 0.9% |
| $ | 218 | |||||
United Kingdom |
| |||||||
Energy – 0.6% |
| |||||||
Royal Dutch Shell plc, Class A | 5 | 124 | ||||||
Seadrill Partners LLC | 4 | 13 | ||||||
|
| |||||||
137 | ||||||||
|
| |||||||
Total United Kingdom – 0.6% |
| $ | 137 | |||||
United States |
| |||||||
Information Technology – 0.6% |
| |||||||
Intel Corp. | 4 | 139 | ||||||
|
| |||||||
Utilities – 0.6% |
| |||||||
PPL Corp. | 4 | 139 | ||||||
|
| |||||||
Total United States – 1.2% |
| $ | 278 | |||||
TOTAL COMMON STOCKS – 3.4% |
| $ | 785 | |||||
(Cost: $851) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Argentina |
| |||||||
Energy – 0.8% |
| |||||||
Pan American Energy LLC | ||||||||
7.875%, 5-7-21 | $ | 100 | 109 | |||||
YPF Sociedad Anonima | ||||||||
8.875%, 12-19-18 (A) | 80 | 86 | ||||||
|
| |||||||
195 | ||||||||
|
| |||||||
Total Argentina – 0.8% |
| $ | 195 | |||||
Austria |
| |||||||
Consumer Staples – 0.8% |
| |||||||
ESAL GmbH (GTD by JBS S.A. and JBS Hungary Holdings Kft.) | ||||||||
6.250%, 2-5-23 (A) | 200 | 175 | ||||||
|
| |||||||
Total Austria – 0.8% |
| $ | 175 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Bahrain |
| |||||||
Financials – 1.1% |
| |||||||
HDFC Bank Ltd. | ||||||||
3.000%, 3-6-18 | $ | 250 | $ | 251 | ||||
|
| |||||||
Total Bahrain – 1.1% |
| $ | 251 | |||||
Brazil |
| |||||||
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 | 5 | ||||||
|
| |||||||
Materials – 1.4% |
| |||||||
Suzano Trading Ltd. | ||||||||
5.875%, 1-23-21 (A) | 200 | 212 | ||||||
Vale Overseas Ltd.: | ||||||||
4.625%, 9-15-20 | 50 | 51 | ||||||
6.250%, 8-10-26 | 50 | 54 | ||||||
|
| |||||||
317 | ||||||||
|
| |||||||
Total Brazil – 1.4% |
| $ | 322 | |||||
British Virgin Islands |
| |||||||
Energy – 0.3% |
| |||||||
QGOG Atlantic/Alaskan Rigs Ltd. | ||||||||
5.250%, 7-30-18 (A) | 66 | 64 | ||||||
|
| |||||||
Total British Virgin Islands – 0.3% |
| $ | 64 | |||||
Canada |
| |||||||
Financials – 0.4% |
| |||||||
Bank of Montreal | ||||||||
1.800%, 7-31-18 | 100 | 100 | ||||||
|
| |||||||
Total Canada – 0.4% |
| $ | 100 | |||||
Cayman Islands |
| |||||||
Telecommunication Services – 0.9% |
| |||||||
Sable International Finance Ltd. | ||||||||
6.875%, 8-1-22 (A) | 200 | 216 | ||||||
|
| |||||||
Total Cayman Islands – 0.9% |
| $ | 216 | |||||
Chile |
| |||||||
Industrials – 1.7% |
| |||||||
Guanay Finance Ltd. | ||||||||
6.000%, 12-15-20 (A) | 183 | 187 | ||||||
LATAM Airlines Group S.A. | ||||||||
7.250%, 6-9-20 (A) | 200 | 211 | ||||||
|
| |||||||
398 | ||||||||
|
| |||||||
Materials – 1.7% |
| |||||||
Inversiones CMPC S.A. (GTD by Empresas CMPC S.A.): | ||||||||
4.750%, 1-19-18 (A) | 175 | 177 | ||||||
4.375%, 5-15-23 (A) | 200 | 207 | ||||||
|
| |||||||
384 | ||||||||
|
| |||||||
Total Chile – 3.4% |
| $ | 782 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
China |
| |||||||
Information Technology – 2.2% |
| |||||||
Alibaba Group Holding Ltd. | ||||||||
1.625%, 11-28-17 | $ | 500 | $ | 500 | ||||
|
| |||||||
Total China – 2.2% |
| $ | 500 | |||||
Columbia |
| |||||||
Financials – 0.9% |
| |||||||
Banco de Bogota S.A. | ||||||||
5.375%, 2-19-23 (A) | 200 | 210 | ||||||
|
| |||||||
Utilities – 0.9% |
| |||||||
Emgesa S.A. E.S.P. | ||||||||
8.750%, 1-25-21 (C) | COP302,000 | 103 | ||||||
Empresas Publicas de Medellin E.S.P. | ||||||||
8.375%, 2-1-21 (C) | 274,000 | 93 | ||||||
|
| |||||||
196 | ||||||||
|
| |||||||
Total Columbia – 1.8% |
| $ | 406 | |||||
France |
| |||||||
Financials – 1.0% |
| |||||||
BNP Paribas S.A. | ||||||||
7.625%, 12-29-49 (A) | $ | 200 | 220 | |||||
|
| |||||||
Total France – 1.0% |
| $ | 220 | |||||
Hong Kong |
| |||||||
Telecommunication Services – 0.9% |
| |||||||
Hutchison Whampoa Ltd. | ||||||||
1.625%, 10-31-17 (A) | 200 | 200 | ||||||
|
| |||||||
Total Hong Kong – 0.9% |
| $ | 200 | |||||
India |
| |||||||
Industrials – 0.9% |
| |||||||
Adani Ports and Special Economic Zone Ltd. | ||||||||
3.500%, 7-29-20 (A) | 200 | 202 | ||||||
|
| |||||||
Materials – 0.8% |
| |||||||
Vedanta Resources plc | ||||||||
6.375%, 7-30-22 (A) | 200 | 201 | ||||||
|
| |||||||
Total India – 1.7% |
| $ | 403 | |||||
Indonesia |
| |||||||
Financials – 0.9% |
| |||||||
Bank Rakyat Indonesia | ||||||||
2.950%, 3-28-18 | 200 | 201 | ||||||
|
| |||||||
Total Indonesia – 0.9% |
| $ | 201 | |||||
Ireland |
| |||||||
Financials – 1.5% |
| |||||||
MTS International Funding Ltd. | ||||||||
5.000%, 5-30-23 (A) | 350 | 358 | ||||||
|
| |||||||
Total Ireland – 1.5% |
| $ | 358 |
44 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2017 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Jamaica |
| |||||||
Telecommunication Services – 0.8% |
| |||||||
Digicel Group Ltd. | ||||||||
6.000%, 4-15-21 (A) | $ | 200 | $ | 192 | ||||
|
| |||||||
Total Jamaica – 0.8% |
| $ | 192 | |||||
Luxembourg |
| |||||||
Financials – 0.9% |
| |||||||
OJSC Russian Agricultural Bank | ||||||||
5.100%, 7-25-18 (A) | 200 | 205 | ||||||
|
| |||||||
Information Technology – 0.9% |
| |||||||
BC Luxco 1 S.A. | ||||||||
7.375%, 1-29-20 (A) | 200 | 205 | ||||||
|
| |||||||
Materials – 0.4% |
| |||||||
Steel Capital S.A. | ||||||||
6.700%, 10-25-17 | 100 | 101 | ||||||
|
| |||||||
Total Luxembourg – 2.2% |
| $ | 511 | |||||
Mexico |
| |||||||
Consumer Staples – 0.9% |
| |||||||
Grupo Bimbo S.A.B. de C.V. | ||||||||
4.875%, 6-30-20 (A) | 200 | 214 | ||||||
|
| |||||||
Financials – 1.6% |
| |||||||
Banco Santander S.A. | ||||||||
4.125%, 11-9-22 (A) | 150 | 156 | ||||||
Unifin Financiera S.A.B. de C.V. SOFOM E.N.R. | ||||||||
7.250%, 9-27-23 (A) | 200 | 205 | ||||||
|
| |||||||
361 | ||||||||
|
| |||||||
Materials – 3.1% |
| |||||||
C5 Capital (SPV) Ltd. (3-Month U.S. LIBOR plus 428 bps) | ||||||||
5.573%, 12-29-49 (A)(D) | 150 | 138 | ||||||
CEMEX S.A.B. de C.V. | ||||||||
6.500%, 12-10-19 (A) | 550 | 579 | ||||||
|
| |||||||
717 | ||||||||
|
| |||||||
Total Mexico – 5.6% |
| $ | 1,292 | |||||
Netherlands |
| |||||||
Consumer Discretionary – 3.1% |
| |||||||
Myriad International Holdings B.V. | ||||||||
6.375%, 7-28-17 (A) | 500 | 500 | ||||||
VTR Finance B.V. | ||||||||
6.875%, 1-15-24 (A) | 200 | 212 | ||||||
|
| |||||||
712 | ||||||||
|
| |||||||
Energy – 0.8% |
| |||||||
Petrobras Global Finance B.V. (GTD by Petroleo Brasileiro S.A.): | ||||||||
4.875%, 3-17-20 | 125 | 128 | ||||||
8.375%, 5-23-21 | 60 | 67 | ||||||
|
| |||||||
195 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
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 | $ | 169 | ||||
|
| |||||||
Telecommunication Services – 0.4% |
| |||||||
VimpleCom Holdings B.V. | ||||||||
9.000%, 2-13-18 (A)(C) | RUB5,000 | 85 | ||||||
|
| |||||||
Utilities – 0.5% |
| |||||||
Majapahit Holding B.V. | ||||||||
7.750%, 1-20-20 (A) | $ | 100 | 112 | |||||
|
| |||||||
Total Netherlands – 5.5% |
| $ | 1,273 | |||||
Norway |
| |||||||
Energy – 0.7% |
| |||||||
Aker BP ASA | ||||||||
6.000%, 7-1-22 (A) | 150 | 154 | ||||||
|
| |||||||
Total Norway – 0.7% |
| $ | 154 | |||||
Peru |
| |||||||
Real Estate – 0.4% |
| |||||||
InRetail Shopping Malls | ||||||||
5.250%, 10-10-21 (A) | 100 | 103 | ||||||
|
| |||||||
Total Peru – 0.4% |
| $ | 103 | |||||
Qatar |
| |||||||
Energy – 0.4% |
| |||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. II | ||||||||
5.298%, 9-30-20 (A) | 94 | 97 | ||||||
|
| |||||||
Total Qatar – 0.4% |
| $ | 97 | |||||
Russia |
| |||||||
Materials – 0.9% |
| |||||||
Uralkali Finance Ltd. | ||||||||
3.723%, 4-30-18 (A) | 200 | 201 | ||||||
|
| |||||||
Total Russia – 0.9% |
| $ | 201 | |||||
Singapore |
| |||||||
Consumer Staples – 0.5% |
| |||||||
Olam International Ltd. | ||||||||
7.500%, 8-12-20 | 100 | 109 | ||||||
|
| |||||||
Total Singapore – 0.5% |
| $ | 109 | |||||
South Korea |
| |||||||
Financials – 1.1% |
| |||||||
Woori Bank | ||||||||
2.625%, 7-20-21 (A) | 250 | 249 | ||||||
|
| |||||||
Total South Korea – 1.1% |
| $ | 249 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Spain |
| |||||||
Financials – 0.9% |
| |||||||
Banco Bilbao Vizcaya Argentaria S.A. | ||||||||
9.000%, 5-29-49 | $ | 200 | $ | 209 | ||||
|
| |||||||
Total Spain – 0.9% |
| $ | 209 | |||||
United Arab Emirates |
| |||||||
Financials – 1.4% |
| |||||||
ICICI Bank Ltd. | ||||||||
3.500%, 3-18-20 (A) | 325 | 330 | ||||||
|
| |||||||
Total United Arab Emirates – 1.4% |
| $ | 330 | |||||
United Kingdom |
| |||||||
Consumer Staples – 2.5% |
| |||||||
BAT International Finance plc | ||||||||
1.850%, 6-15-18 (A) | 375 | 375 | ||||||
Imperial Tobacco Finance plc | ||||||||
3.750%, 7-21-22 (A) | 200 | 208 | ||||||
|
| |||||||
583 | ||||||||
|
| |||||||
Financials – 4.5% |
| |||||||
Barclays plc | ||||||||
8.250%, 12-29-49 | 200 | 212 | ||||||
HSBC Holdings plc | ||||||||
5.625%, 12-29-49 | 200 | 204 | ||||||
Industrial and Commercial Bank of China Ltd. | ||||||||
2.250%, 12-21-18 | 200 | 200 | ||||||
State Bank of India: | ||||||||
3.250%, 4-18-18 (A) | 200 | 202 | ||||||
3.622%, 4-17-19 (A) | 200 | 204 | ||||||
|
| |||||||
1,022 | ||||||||
|
| |||||||
Total United Kingdom – 7.0% |
| $ | 1,605 | |||||
United States |
| |||||||
Consumer Staples – 4.2% |
| |||||||
Anheuser-Busch InBev S.A./N.V. | ||||||||
2.650%, 2-1-21 | 500 | 507 | ||||||
Anheuser-Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB) | ||||||||
2.200%, 8-1-18 | 200 | 201 | ||||||
Bunge Ltd. Finance Corp. | ||||||||
3.500%, 11-24-20 | 250 | 256 | ||||||
|
| |||||||
964 | ||||||||
|
| |||||||
Energy – 0.6% |
| |||||||
Brand Energy & Infrastructure Services, Inc. | ||||||||
8.500%, 7-15-25 (A) | 125 | 129 | ||||||
|
| |||||||
Financials – 3.1% |
| |||||||
BBVA Bancomer S.A. | ||||||||
6.500%, 3-10-21 (A) | 150 | 165 | ||||||
Citigroup, Inc. | ||||||||
8.400%, 4-29-49 | 75 | 79 | ||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp. | ||||||||
3.480%, 6-1-19 (A) | 50 | 51 |
2017 | SEMIANNUAL REPORT | 45 |
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2017 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Financials (Continued) |
| |||||||
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.) | ||||||||
3.000%, 9-25-17 | $ | 100 | $ | 100 | ||||
Hyundai Capital America | ||||||||
2.000%, 3-19-18 (A) | 200 | 200 | ||||||
Wells Fargo & Co. | ||||||||
7.980%, 3-29-49 | 125 | 131 | ||||||
|
| |||||||
726 | ||||||||
|
| |||||||
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 | 79 | ||||||
|
| |||||||
183 | ||||||||
|
| |||||||
Industrials – 0.7% |
| |||||||
BAE Systems Holdings, Inc. | ||||||||
2.850%, 12-15-20 (A) | 75 | 76 | ||||||
TransDigm, Inc. (GTD by TransDigm Group, Inc.) | ||||||||
6.000%, 7-15-22 | 82 | 85 | ||||||
|
| |||||||
161 | ||||||||
|
| |||||||
Information Technology – 2.0% |
| |||||||
Alliance Data Systems Corp. | ||||||||
5.250%, 12-1-17 (A) | 250 | 252 | ||||||
L-3 Communications Corp. | ||||||||
5.200%, 10-15-19 | 100 | 107 | ||||||
Micron Technology, Inc. | ||||||||
5.875%, 2-15-22 | 100 | 104 | ||||||
|
| |||||||
463 | ||||||||
|
| |||||||
Materials – 0.6% |
| |||||||
BakerCorp International, Inc. | ||||||||
8.250%, 6-1-19 | 50 | 43 | ||||||
Hillman Group, Inc. (The) | ||||||||
6.375%, 7-15-22 (A) | 110 | 106 | ||||||
|
| |||||||
149 | ||||||||
|
| |||||||
Real Estate – 1.1% |
| |||||||
Aircastle Ltd. | ||||||||
4.625%, 12-15-18 | 235 | 243 | ||||||
|
| |||||||
Telecommunication Services – 2.7% |
| |||||||
American Tower Corp. | ||||||||
3.400%, 2-15-19 | 170 | 174 | ||||||
T-Mobile USA, Inc. | ||||||||
6.000%, 3-1-23 | 230 | 243 | ||||||
Verizon Communications, Inc. | ||||||||
2.625%, 2-21-20 | 214 | 217 | ||||||
|
| |||||||
634 | ||||||||
|
| |||||||
Utilities – 1.1% |
| |||||||
Sempra Energy | ||||||||
2.850%, 11-15-20 | 250 | 254 | ||||||
|
| |||||||
Total United States – 16.9% |
| $ | 3,906 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Venezuela |
| |||||||
Financials – 1.1% |
| |||||||
Corporacion Andina de Fomento | ||||||||
1.500%, 8-8-17 | $ | 250 | $ | 250 | ||||
|
| |||||||
Total Venezuela – 1.1% |
| $ | 250 | |||||
TOTAL CORPORATE DEBT SECURITIES – 64.5% |
| $ | 14,874 | |||||
(Cost: $14,977) | ||||||||
OTHER GOVERNMENT SECURITIES (E) | ||||||||
Argentina – 1.6% |
| |||||||
Republic of Argentina | ||||||||
6.875%, 4-22-21 | 350 | 375 | ||||||
|
| |||||||
Brazil – 2.2% |
| |||||||
Banco Nacional de Desenvolvimento Economico e Social | ||||||||
4.750%, 5-9-24 (A) | 200 | 196 | ||||||
Federative Republic of Brazil | ||||||||
4.875%, 1-22-21 | 300 | 314 | ||||||
|
| |||||||
510 | ||||||||
|
| |||||||
Columbia – 1.2% |
| |||||||
Republic of Colombia | ||||||||
4.375%, 7-12-21 | 250 | 266 | ||||||
|
| |||||||
Indonesia – 1.1% |
| |||||||
Republic of Indonesia | ||||||||
3.750%, 4-25-22 (A) | 250 | 257 | ||||||
|
| |||||||
Luxembourg – 0.9% |
| |||||||
Rumo Luxembourg S.a.r.l. | ||||||||
7.375%, 2-9-24 (A) | 200 | 205 | ||||||
|
| |||||||
Mexico – 1.1% |
| |||||||
United Mexican States | ||||||||
3.625%, 3-15-22 | 250 | 259 | ||||||
|
| |||||||
Qatar – 0.9% |
| |||||||
Qatar Government Bond | ||||||||
2.375%, 6-2-21 (A) | 200 | 195 | ||||||
|
| |||||||
Russia – 0.9% |
| |||||||
Russian Federation | ||||||||
3.500%, 1-16-19 (A) | 200 | 204 | ||||||
|
| |||||||
Saudi Arabia – 1.1% |
| |||||||
Saudi Arabia Government Bond | ||||||||
2.375%, 10-26-21 (A) | 250 | 246 | ||||||
|
| |||||||
South Africa – 0.9% |
| |||||||
Republic of South Africa | ||||||||
5.500%, 3-9-20 | 200 | 212 | ||||||
|
|
OTHER GOVERNMENT SECURITIES (E) (Continued) | Principal | Value | ||||||
Turkey – 0.9% |
| |||||||
Turkey Government Bond | ||||||||
5.125%, 3-25-22 | $ | 200 | $ | 208 | ||||
|
| |||||||
United States – 0.4% |
| |||||||
Republic of Argentina | ||||||||
5.625%, 1-26-22 | 100 | 102 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 13.2% |
| $ | 3,039 | |||||
(Cost: $3,050) | ||||||||
LOANS (D) | ||||||||
United States |
| |||||||
Industrials – 1.0% |
| |||||||
TransDigm, Inc. (ICE LIBOR plus 300 bps): | ||||||||
4.226%, 2-28-20 | 43 | 42 | ||||||
4.296%, 2-28-20 | 195 | 195 | ||||||
|
| |||||||
237 | ||||||||
|
| |||||||
Materials – 0.3% |
| |||||||
BakerCorp International, Inc. (ICE LIBOR plus 300 bps) | ||||||||
4.250%, 2-7-20 | 73 | 70 | ||||||
|
| |||||||
Total United States – 1.3% |
| $ | 307 | |||||
TOTAL LOANS – 1.3% |
| $ | 307 | |||||
(Cost: $309) |
| |||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
United States – 15.5% |
| |||||||
U.S. Treasury Bonds | ||||||||
2.250%, 11-15-25 | 450 | 450 | ||||||
U.S. Treasury Notes: | ||||||||
0.750%, 12-31-17 | 800 | 798 | ||||||
1.125%, 1-15-19 | 1,000 | 997 | ||||||
1.500%, 4-15-20 | 500 | 500 | ||||||
1.250%, 10-31-21 | 200 | 195 | ||||||
1.750%, 11-30-21 | 300 | 299 | ||||||
1.750%, 5-15-22 | 145 | 144 | ||||||
1.500%, 8-15-26 | 200 | 187 | ||||||
|
| |||||||
3,570 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 15.5% |
| $ | 3,570 | |||||
(Cost: $3,596) |
46 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2017 (UNAUDITED)
SHORT-TERM SECURITIES | Principal | Value | ||||||
Master Note – 1.8% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps) | ||||||||
1.440%, 7-5-17 (F) | $ | 411 | $ | 411 | ||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.8% |
| $ | 411 | |||||
(Cost: $411) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.7% |
| $ | 22,986 | |||||
(Cost: $23,194) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.3% |
| 64 | ||||||
NET ASSETS – 100.0% |
| $ | 23,050 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017 the total value of these securities amounted to $10,486 or 45.5% 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, 2017. Description of the reference rate and spread, if applicable, are included in the security description. |
(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, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following forward foreign currency contracts were outstanding at June 30, 2017:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
British Pound | 101 | U.S. Dollar | 128 | 7-24-17 | Barclays Capital, Inc. | $ | — | $ | 4 |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 785 | $ | — | $ | — | ||||||
Corporate Debt Securities | — | 14,874 | — | |||||||||
Other Government Securities | — | 3,039 | — | |||||||||
Loans | — | 307 | — | |||||||||
United States Government Obligations | — | 3,570 | — | |||||||||
Short-Term Securities | — | 411 | — | |||||||||
Total | $ | 785 | $ | 22,201 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 4 | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
GTD = Guaranteed
ICE = Intercontinental Exchange
LIBOR = London Interbank Offered Rate
2017 | SEMIANNUAL REPORT | 47 |
SCHEDULE OF INVESTMENTS | GLOBAL BOND (in thousands) |
JUNE 30, 2017 (UNAUDITED)
Country Diversification
(as a % of net assets) | ||||
United States | 35.3% | |||
United Kingdom | 7.6% | |||
Mexico | 6.7% | |||
Netherlands | 5.5% | |||
Brazil | 4.2% | |||
Chile | 3.5% | |||
Luxembourg | 3.1% | |||
Columbia | 3.0% | |||
Argentina | 2.4% | |||
China | 2.2% | |||
Indonesia | 2.0% |
Country Diversification (Continued)
Russia | 1.8% | |||
India | 1.7% | |||
Ireland | 1.5% | |||
United Arab Emirates | 1.4% | |||
Qatar | 1.3% | |||
Bahrain | 1.1% | |||
Venezuela | 1.1% | |||
South Korea | 1.1% | |||
Saudi Arabia | 1.1% | |||
France | 1.0% | |||
Other Countries | 9.3% | |||
Other+ | 2.1% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
48 | SEMIANNUAL REPORT | 2017 |
PORTFOLIO HIGHLIGHTS | GLOBAL GROWTH |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 96.1% | |||
Information Technology | 28.7% | |||
Consumer Discretionary | 17.4% | |||
Industrials | 14.0% | |||
Health Care | 9.9% | |||
Energy | 9.1% | |||
Financials | 8.5% | |||
Consumer Staples | 8.5% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.9% |
Country Weightings
North America | 53.1% | |||
United States | 51.3% | |||
Other North America | 1.8% | |||
Europe | 28.6% | |||
France | 7.5% | |||
Germany | 7.3% | |||
United Kingdom | 5.5% | |||
Netherlands | 5.4% | |||
Other Europe | 2.9% | |||
Pacific Basin | 14.4% | |||
China | 6.8% | |||
Japan | 5.6% | |||
Other Pacific Basin | 2.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 3.9% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
MasterCard, Inc., Class A | United States | Information Technology | Data Processing & Outsourced Services | |||
Airbus SE | France | Industrials | Aerospace & Defense | |||
Facebook, Inc., Class A | United States | Information Technology | Internet Software & Services | |||
Koninklijke Philips Electronics N.V., Ordinary Shares | Netherlands | Industrials | Industrial Conglomerates | |||
Alibaba Group Holding Ltd. ADR | China | Information Technology | Internet Software & Services | |||
Halliburton Co. | United States | Energy | Oil & Gas Equipment & Services | |||
Amazon.com, Inc. | United States | Consumer Discretionary | Internet & Direct Marketing Retail | |||
Philip Morris International, Inc. | United States | Consumer Staples | Tobacco | |||
Visa, Inc., Class A | United States | Information Technology | Data Processing & Outsourced Services | |||
Home Depot, Inc. (The) | United States | Consumer Discretionary | Home Improvement Retail |
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.
2017 | SEMIANNUAL REPORT | 49 |
SCHEDULE OF INVESTMENTS | GLOBAL GROWTH (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Canada |
| |||||||
Energy – 0.9% |
| |||||||
Seven Generations Energy Ltd., Class A (A) | 214 | $ | 3,669 | |||||
|
| |||||||
Total Canada – 0.9% |
| $ | 3,669 | |||||
China |
| |||||||
Financials – 1.2% |
| |||||||
Ping An Insurance (Group) Co. of China Ltd., H Shares | 784 | 5,166 | ||||||
|
| |||||||
Information Technology – 5.6% |
| |||||||
Alibaba Group Holding Ltd. ADR (A) | 99 | 14,003 | ||||||
Tencent Holdings Ltd. | 271 | 9,673 | ||||||
|
| |||||||
23,676 | ||||||||
|
| |||||||
Total China – 6.8% |
| $ | 28,842 | |||||
France |
| |||||||
Consumer Staples – 1.2% |
| |||||||
Pernod Ricard S.A. | 38 | 5,127 | ||||||
|
| |||||||
Energy – 1.5% |
| |||||||
Total S.A. ADR | 126 | 6,243 | ||||||
|
| |||||||
Financials – 1.1% |
| |||||||
Axa S.A. | 177 | 4,850 | ||||||
|
| |||||||
Industrials – 3.7% |
| |||||||
Airbus SE | 188 | 15,457 | ||||||
|
| |||||||
Total France – 7.5% |
| $ | 31,677 | |||||
Germany |
| |||||||
Consumer Discretionary – 3.1% |
| |||||||
Bayerische Motoren Werke AG | 69 | 6,372 | ||||||
ProSiebenSat. 1 Media SE | 166 | 6,958 | ||||||
|
| |||||||
13,330 | ||||||||
|
| |||||||
Health Care – 1.8% |
| |||||||
Fresenius SE & Co. KGaA | 90 | 7,689 | ||||||
|
| |||||||
Industrials – 2.4% |
| |||||||
Siemens AG | 74 | 10,123 | ||||||
|
| |||||||
Total Germany – 7.3% |
| $ | 31,142 | |||||
Japan |
| |||||||
Consumer Discretionary – 3.2% |
| |||||||
Fuji Heavy Industries Ltd. | 189 | 6,349 | ||||||
Isuzu Motors Ltd. | 563 | 6,934 | ||||||
|
| |||||||
13,283 | ||||||||
|
| |||||||
Industrials – 2.4% |
| |||||||
Dakin Industries Ltd. | 61 | 6,261 | ||||||
Recruit Holdings Co. Ltd. | 235 | 4,033 | ||||||
|
| |||||||
10,294 | ||||||||
|
| |||||||
Total Japan – 5.6% |
| $ | 23,577 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Macau |
| |||||||
Consumer Discretionary – 1.1% |
| |||||||
Galaxy Entertainment Group | 762 | $ | 4,626 | |||||
|
| |||||||
Total Macau – 1.1% |
| $ | 4,626 | |||||
Mexico |
| |||||||
Consumer Staples – 0.9% |
| |||||||
Wal-Mart de Mexico S.A.B. de C.V. | 1,732 | 4,015 | ||||||
|
| |||||||
Total Mexico – 0.9% |
| $ | 4,015 | |||||
Netherlands |
| |||||||
Industrials – 3.5% |
| |||||||
Koninklijke Philips Electronics N.V., Ordinary Shares | 418 | 14,860 | ||||||
|
| |||||||
Information Technology – 1.9% |
| |||||||
ASML Holding N.V., NY Registry Shares | 62 | 8,052 | ||||||
|
| |||||||
Total Netherlands – 5.4% |
| $ | 22,912 | |||||
South Korea |
| |||||||
Information Technology – 0.9% |
| |||||||
Samsung Electronics Co. Ltd. | 2 | 3,864 | ||||||
|
| |||||||
Total South Korea – 0.9% |
| $ | 3,864 | |||||
Spain |
| |||||||
Consumer Discretionary – 0.9% |
| |||||||
Mediaset Espana Comunicacion S.A. | 323 | 4,025 | ||||||
|
| |||||||
Total Spain – 0.9% |
| $ | 4,025 | |||||
Switzerland |
| |||||||
Industrials – 2.0% |
| |||||||
Adecco S.A. | 110 | 8,335 | ||||||
|
| |||||||
Total Switzerland – 2.0% |
| $ | 8,335 | |||||
United Kingdom |
| |||||||
Consumer Discretionary – 1.2% |
| |||||||
Compass Group plc | 240 | 5,073 | ||||||
|
| |||||||
Consumer Staples – 1.7% |
| |||||||
British American Tobacco plc | 75 | 5,145 | ||||||
Coca-Cola European Partners plc | 52 | 2,133 | ||||||
|
| |||||||
7,278 | ||||||||
|
| |||||||
Financials – 2.6% |
| |||||||
Prudential plc | 475 | 10,904 | ||||||
|
| |||||||
Total United Kingdom – 5.5% |
| $ | 23,255 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
United States |
| |||||||
Consumer Discretionary – 7.9% |
| |||||||
Amazon.com, Inc. (A) | 14 | $ | 13,644 | |||||
Home Depot, Inc. (The) | 77 | 11,772 | ||||||
Marriott International, Inc., Class A | 81 | 8,093 | ||||||
|
| |||||||
33,509 | ||||||||
|
| |||||||
Consumer Staples – 4.7% |
| |||||||
Kraft Foods Group, Inc. | 77 | 6,592 | ||||||
Philip Morris International, Inc. | 114 | 13,371 | ||||||
|
| |||||||
19,963 | ||||||||
|
| |||||||
Energy – 6.7% |
| |||||||
EOG Resources, Inc. | 89 | 8,085 | ||||||
Halliburton Co. | 325 | 13,890 | ||||||
Schlumberger Ltd. | 98 | 6,462 | ||||||
|
| |||||||
28,437 | ||||||||
|
| |||||||
Financials – 3.6% |
| |||||||
CME Group, Inc. | 26 | 3,313 | ||||||
Goldman Sachs Group, Inc. (The) | 20 | 4,546 | ||||||
MetLife, Inc. | 93 | 5,129 | ||||||
Wells Fargo & Co. | 41 | 2,281 | ||||||
|
| |||||||
15,269 | ||||||||
|
| |||||||
Health Care – 8.1% |
| |||||||
Allergan plc | 27 | 6,607 | ||||||
Celgene Corp. (A) | 63 | 8,126 | ||||||
HCA Holdings, Inc. (A) | 108 | 9,386 | ||||||
Incyte Corp. (A) | 23 | 2,892 | ||||||
Thermo Fisher Scientific, Inc. | 41 | 7,190 | ||||||
|
| |||||||
34,201 | ||||||||
|
| |||||||
Information Technology – 20.3% |
| |||||||
Adobe Systems, Inc. (A) | 69 | 9,689 | ||||||
Alphabet, Inc., Class C (A) | 7 | 6,308 | ||||||
Applied Materials, Inc. | 99 | 4,074 | ||||||
Broadcom Corp., Class A | 36 | 8,448 | ||||||
Facebook, Inc., Class A (A) | 100 | 15,136 | ||||||
MasterCard, Inc., Class A | 138 | 16,747 | ||||||
Microsoft Corp. | 128 | 8,813 | ||||||
Texas Instruments, Inc. | 54 | 4,190 | ||||||
Visa, Inc., Class A | 132 | 12,401 | ||||||
|
| |||||||
85,806 | ||||||||
|
| |||||||
Total United States – 51.3% |
| $ | 217,185 | |||||
TOTAL COMMON STOCKS – 96.1% |
| $ | 407,124 | |||||
(Cost: $354,318) |
| |||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (B) – 1.3% |
| |||||||
Exxon Mobil Corp. | ||||||||
1.070%, 7-5-17 | $ | 1,728 | 1,728 | |||||
Mondelez International, Inc. | ||||||||
1.330%, 7-3-17 | 3,970 | 3,969 | ||||||
|
| |||||||
5,697 | ||||||||
|
|
50 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | GLOBAL GROWTH (in thousands) |
JUNE 30, 2017 (UNAUDITED)
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Master Note – 0.6% |
| |||||||
Toyota Motor Credit Corp. | ||||||||
1.440%, 7-5-17 (C) | $ | 2,554 | $ | 2,554 | ||||
|
| |||||||
Municipal Obligations – 0.7% |
| |||||||
MI Strategic Fund, Var Rate Demand Ltd. Oblig Rev Bonds, Ser 2007 (GTD by Air Prods and Chemicals, Inc.) (BVAL plus 23 bps) | ||||||||
0.990%, 7-1-17 (C) | 2,850 | 2,850 | ||||||
|
|
SHORT-TERM SECURITIES (Continued) | Value | |||||
TOTAL SHORT-TERM SECURITIES – 2.6% | $ | 11,101 | ||||
(Cost: $11,102) |
| |||||
TOTAL INVESTMENT SECURITIES – 98.7% | $ | 418,225 | ||||
(Cost: $365,420) |
| |||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 1.3% | 5,311 | |||||
NET ASSETS – 100.0% | $ | 423,536 |
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, 2017. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 407,124 | $ | — | $ | — | ||||||
Short-Term Securities | — | 11,101 | — | |||||||||
Total | $ | 407,124 | $ | 11,101 | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
BVAL = Bloomberg Valuation Municipal AAA Benchmark
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
Market Sector Diversification
(as a % of net assets) | ||||
Information Technology | 28.7% | |||
Consumer Discretionary | 17.4% | |||
Industrials | 14.0% | |||
Health Care | 9.9% | |||
Energy | 9.1% | |||
Financials | 8.5% | |||
Consumer Staples | 8.5% | |||
Other+ | 3.9% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 51 |
PORTFOLIO HIGHLIGHTS | GOVERNMENT MONEY MARKET |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Corporate Obligations | 0.5% | |||
Master Note | 0.5% | |||
United States Government and Government Agency Obligations | 89.4% | |||
United States Government and Government Agency Obligations Backed Municipal Obligations | 10.0% | |||
Cash and Other Assets (Net of Liabilities) | 0.1% |
52 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | GOVERNMENT MONEY MARKET (in thousands) |
JUNE 30, 2017 (UNAUDITED)
CORPORATE OBLIGATIONS | Principal | Value | ||||||
Master Note |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (A) | $ | 1,840 | $ | 1,840 | ||||
|
| |||||||
Total Master Note – 0.5% |
| 1,840 | ||||||
TOTAL CORPORATE OBLIGATIONS – 0.5% |
| $ | 1,840 | |||||
(Cost: $1,840) | ||||||||
UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS | ||||||||
Treasury Bills – 12.3% |
| |||||||
U.S. Treasury Bills: | ||||||||
0.800%, 9-7-17 | 7,500 | 7,489 | ||||||
0.970%, 9-14-17 | 10,000 | 9,980 | ||||||
1.000%, 9-21-17 | 6,000 | 5,986 | ||||||
0.950%, 10-26-17 | 6,000 | 5,981 | ||||||
1.010%, 11-9-17 | 9,100 | 9,066 | ||||||
1.100%, 12-14-17 | 10,000 | 9,949 | ||||||
|
| |||||||
48,451 | ||||||||
|
| |||||||
Treasury Notes – 9.2% |
| |||||||
U.S. Treasury Notes (3-Month USTMMR plus 16.8 bps), | ||||||||
1.170%, 7-3-17 (A) | 8,000 | 7,996 | ||||||
U.S. Treasury Notes (3-Month USTMMR plus 17 bps), | ||||||||
1.170%, 7-3-17 (A) | 8,000 | 8,000 | ||||||
U.S. Treasury Notes (3-Month USTMMR plus 17.4 bps), | ||||||||
1.180%, 7-3-17 (A) | 16,700 | 16,699 | ||||||
U.S. Treasury Notes (3-Month USTMMR plus 7 bps), | ||||||||
1.070%, 7-2-17 (A) | 3,500 | 3,499 | ||||||
|
| |||||||
36,194 | ||||||||
|
| |||||||
United States Government Agency Obligations – 67.9% |
| |||||||
Federal Home Loan Bank: | ||||||||
0.690%, 7-26-17 | 14,500 | 14,500 | ||||||
1.000%, 8-10-17 | 5,000 | 4,994 | ||||||
0.750%, 8-23-17 | 5,500 | 5,500 | ||||||
Federal National Mortgage Association, | ||||||||
0.964%, 7-3-17 | 17,535 | 17,534 |
UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS (Continued) | Principal | Value | ||||||
United States Government Agency Obligations (Continued) |
| |||||||
Overseas Private Investment Corp. (GTD by U.S. Government) (3-Month U.S. TB Rate): | ||||||||
1.070%, 7-7-17 (A) | $ | 59,336 | $ | 59,336 | ||||
1.080%, 7-7-17 (A) | 55,471 | 55,471 | ||||||
1.090%, 7-7-17 (A) | 29,484 | 29,484 | ||||||
1.100%, 7-7-17 (A) | 22,461 | 22,461 | ||||||
1.150%, 7-7-17 (A) | 58,271 | 58,271 | ||||||
|
| |||||||
267,551 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS – 89.4% |
| $ | 352,196 | |||||
(Cost: $352,196) | ||||||||
UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS BACKED MUNICIPAL OBLIGATIONS | ||||||||
California – 1.4% |
| |||||||
CA Statewide Cmnty Dev Auth, Multifam Hsng Rev Bonds (Wyndover Apts), Ser 2004 LL (GTD by FNMA) (BVAL plus 10 bps), | ||||||||
0.970%, 7-7-17 (A) | 3,000 | 3,000 | ||||||
San Diego, CA, Hsng Auth, Var Rate Demand Multi-Fam Hsng Rev Rfdg Bonds (Hillside Garden Apt), Ser 2004C (GTD by FNMA) (BVAL plus 13 bps), | ||||||||
0.950%, 7-7-17 (A) | 2,480 | 2,480 | ||||||
|
| |||||||
5,480 | ||||||||
|
| |||||||
Florida – 0.8% |
| |||||||
Volusia Cnty, FL, Hsng Fin Auth, Multi-Fam Hsng Rev Rfdg Bonds (Fisherman’s Landing Apt), Ser 2002 (GTD by FNMA) (BVAL plus 20 bps), | ||||||||
0.930%, 7-7-17 (A) | 3,115 | 3,115 | ||||||
|
|
UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS BACKED MUNICIPAL OBLIGATIONS (Continued) | Principal | Value | ||||||
New York – 7.4% |
| |||||||
NY State Hsng Fin Agy, Related 42nd and 10th Hsng Rev Bonds, Ser 2008A (GTD by FHLMC) (BVAL plus 14bps), | ||||||||
0.880%, 7-7-17 (A) | $ | 9,150 | $ | 9,150 | ||||
NY State Hsng Fin Agy, Related 42nd and 10th Hsng Rev Bonds, Ser 2010A (GTD by FHLMC) (BVAL plus 14bps), | ||||||||
0.880%, 7-7-17 (A) | 7,500 | 7,500 | ||||||
NYC Hsng Dev Corp., Multi-Fam Mtg Rev Bonds (Markham Gardens Apt), Ser 2006A (GTD by FHLMC) (BVAL plus 14 bps), | ||||||||
1.000%, 7-7-17 (A) | 2,800 | 2,800 | ||||||
NYC Hsng Dev Corp., Multi-Fam Mtg Rev Bonds (Spring Creek Apt I and II), Ser 2006A (GTD by FHLMC) (BVAL plus 14 bps), | ||||||||
1.000%, 7-7-17 (A) | 9,600 | 9,600 | ||||||
|
| |||||||
29,050 | ||||||||
|
| |||||||
Rhode Island – 0.4% |
| |||||||
RI Hsng and Mtg Fin Corp., Multi-Fam Mtg Rev Bonds (The Groves at Johnson Proj), Ser 2006 (GTD by FHLMC) (BVAL plus 14 bps), | ||||||||
1.000%, 7-7-17 (A) | 1,700 | 1,700 | ||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS BACKED MUNICIPAL OBLIGATIONS – 10.0% |
| $ | 39,345 | |||||
(Cost: $39,345) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.9% |
| $ | 393,381 | |||||
(Cost: $393,381) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1% |
| 473 | ||||||
NET ASSETS – 100.0% |
| $ | 393,854 |
Notes to Schedule of Investments
(A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
2017 | SEMIANNUAL REPORT | 53 |
SCHEDULE OF INVESTMENTS | GOVERNMENT MONEY MARKET (in thousands) |
JUNE 30, 2017 (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, 2017. 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 | $ | — | $ | 1,840 | $ | — | ||||||
United States Government and Government Agency Obligations | — | 352,196 | — | |||||||||
United States Government and Government Agency Obligations Backed Municipal Obligations | — | 39,345 | — | |||||||||
Total | $ | — | $ | 393,381 | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
BVAL = Bloomberg Valuation Municipal AAA Benchmark
FHLMC = Federal Home Loan Mortgage Corp.
FNMA = Federal National Mortgage Association
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
TB = Treasury Bill
USTMMR = U.S. Treasury Money Market Rate
See Accompanying Notes to Financial Statements.
54 | SEMIANNUAL REPORT | 2017 |
PORTFOLIO HIGHLIGHTS | GROWTH |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 99.5% | |||
Information Technology | 45.6% | |||
Consumer Discretionary | 16.2% | |||
Health Care | 15.2% | |||
Industrials | 9.1% | |||
Financials | 6.9% | |||
Consumer Staples | 5.1% | |||
Energy | 1.4% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.5% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
MasterCard, Inc., Class A | Information Technology | Data Processing & Outsourced Services | ||
Microsoft Corp. | Information Technology | Systems Software | ||
Amazon.com, Inc. | Consumer Discretionary | Internet & Direct Marketing Retail | ||
Home Depot, Inc. (The) | Consumer Discretionary | Home Improvement Retail | ||
Philip Morris International, Inc. | Consumer Staples | Tobacco | ||
Facebook, Inc., Class A | Information Technology | Internet Software & Services | ||
Celgene Corp. | Health Care | Biotechnology | ||
Visa, Inc., Class A | Information Technology | Data Processing & Outsourced Services | ||
Lam Research Corp. | Information Technology | Semiconductor Equipment | ||
Apple, Inc. | Information Technology | Technology Hardware, Storage & Peripherals |
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.
2017 | SEMIANNUAL REPORT | 55 |
SCHEDULE OF INVESTMENTS | GROWTH (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Automobile Manufacturers – 1.4% |
| |||||||
Ferrari N.V. | 137 | $ | 11,799 | |||||
|
| |||||||
Automotive Retail – 0.7% |
| |||||||
O’Reilly Automotive, Inc. (A) | 29 | 6,300 | ||||||
|
| |||||||
Cable & Satellite – 2.1% |
| |||||||
Comcast Corp., Class A | 463 | 18,028 | ||||||
|
| |||||||
Home Improvement Retail – 4.1% |
| |||||||
Home Depot, Inc. (The) | 230 | 35,297 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 7.0% |
| |||||||
Amazon.com, Inc. (A) | 38 | 36,535 | ||||||
priceline.com, Inc. (A) | 12 | 23,195 | ||||||
|
| |||||||
59,730 | ||||||||
|
| |||||||
Restaurants – 0.4% |
| |||||||
Starbucks Corp. | 57 | 3,341 | ||||||
|
| |||||||
Specialty Stores – 0.5% |
| |||||||
Ulta Beauty, Inc. (A) | 14 | 4,051 | ||||||
|
| |||||||
Total Consumer Discretionary – 16.2% |
| 138,546 | ||||||
Consumer Staples |
| |||||||
Hypermarkets & Super Centers – 1.0% |
| |||||||
Costco Wholesale Corp. | 55 | 8,812 | ||||||
|
| |||||||
Tobacco – 4.1% |
| |||||||
Philip Morris International, Inc. | 298 | 34,953 | ||||||
|
| |||||||
Total Consumer Staples – 5.1% |
| 43,765 | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 1.4% |
| |||||||
Halliburton Co. | 272 | 11,599 | ||||||
|
| |||||||
Total Energy – 1.4% |
| 11,599 | ||||||
Financials |
| |||||||
Financial Exchanges & Data – 4.8% |
| |||||||
CME Group, Inc. | 205 | 25,724 | ||||||
S&P Global, Inc. | 103 | 15,089 | ||||||
|
| |||||||
40,813 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 2.1% |
| |||||||
Charles Schwab Corp. (The) | 417 | 17,910 | ||||||
|
| |||||||
Total Financials – 6.9% |
| 58,723 | ||||||
Health Care |
| |||||||
Biotechnology – 7.4% |
| |||||||
Alexion Pharmaceuticals, Inc. (A) | 32 | 3,918 | ||||||
Celgene Corp. (A) | 254 | 33,033 | ||||||
Shire Pharmaceuticals Group plc ADR | 75 | 12,395 | ||||||
Vertex Pharmaceuticals, Inc. (A) | 107 | 13,751 | ||||||
|
| |||||||
63,097 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care Equipment – 5.7% |
| |||||||
Danaher Corp. | 154 | $ | 12,954 | |||||
DexCom, Inc. (A) | 128 | 9,341 | ||||||
Edwards Lifesciences Corp. (A) | 109 | 12,933 | ||||||
Intuitive Surgical, Inc. (A) | 14 | 13,189 | ||||||
|
| |||||||
48,417 | ||||||||
|
| |||||||
Pharmaceuticals – 2.1% |
| |||||||
Allergan plc | 54 | 13,179 | ||||||
Bristol-Myers Squibb Co. | 87 | 4,848 | ||||||
|
| |||||||
18,027 | ||||||||
|
| |||||||
Total Health Care – 15.2% |
| 129,541 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 4.4% |
| |||||||
Lockheed Martin Corp. | 88 | 24,541 | ||||||
Northrop Grumman Corp. | 50 | 12,784 | ||||||
|
| |||||||
37,325 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 0.8% |
| |||||||
Caterpillar, Inc. | 62 | 6,641 | ||||||
|
| |||||||
Electrical Components & Equipment – 0.5% |
| |||||||
Rockwell Automation, Inc. | 27 | 4,357 | ||||||
|
| |||||||
Industrial Machinery – 1.8% |
| |||||||
Nordson Corp. | 34 | 4,113 | ||||||
Parker Hannifin Corp. | 31 | 4,906 | ||||||
Stanley Black & Decker, Inc. | 45 | 6,263 | ||||||
|
| |||||||
15,282 | ||||||||
|
| |||||||
Railroads – 1.6% |
| |||||||
Union Pacific Corp. | 130 | 14,125 | ||||||
|
| |||||||
Total Industrials – 9.1% |
| 77,730 | ||||||
Information Technology |
| |||||||
Application Software – 6.4% |
| |||||||
Adobe Systems, Inc. (A) | 191 | 27,001 | ||||||
salesforce.com, Inc. (A) | 316 | 27,340 | ||||||
|
| |||||||
54,341 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 11.3% |
| |||||||
FleetCor Technologies, Inc. (A) | 40 | 5,740 | ||||||
MasterCard, Inc., Class A | 320 | 38,900 | ||||||
PayPal, Inc. (A) | 362 | 19,407 | ||||||
Visa, Inc., Class A | 346 | 32,476 | ||||||
|
| |||||||
96,523 | ||||||||
|
| |||||||
Home Entertainment Software – 2.5% |
| |||||||
Electronic Arts, Inc. (A) | 206 | 21,799 | ||||||
|
| |||||||
Internet Software & Services – 9.7% |
| |||||||
Alphabet, Inc., Class A (A) | 32 | 29,619 | ||||||
Alphabet, Inc., Class C (A) | 22 | 19,854 | ||||||
Facebook, Inc., Class A (A) | 224 | 33,880 | ||||||
|
| |||||||
83,353 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Semiconductor Equipment – 4.7% |
| |||||||
Applied Materials, Inc. | 214 | $ | 8,820 | |||||
Lam Research Corp. | 220 | 31,167 | ||||||
|
| |||||||
39,987 | ||||||||
|
| |||||||
Semiconductors – 3.0% |
| |||||||
Microchip Technology, Inc. | 332 | 25,662 | ||||||
|
| |||||||
Systems Software – 4.4% |
| |||||||
Microsoft Corp. | 543 | 37,415 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 3.6% |
| |||||||
Apple, Inc. | 212 | 30,488 | ||||||
|
| |||||||
Total Information Technology – 45.6% |
| 389,568 | ||||||
TOTAL COMMON STOCKS – 99.5% |
| $ | 849,472 | |||||
(Cost: $647,953) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (B) – 0.2% |
| |||||||
Mondelez International, Inc., | ||||||||
1.330%, 7-3-17 | $ | 1,200 | 1,200 | |||||
|
| |||||||
Master Note – 0.3% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (C) | 2,886 | 2,886 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.5% |
| $ | 4,086 | |||||
(Cost: $4,086) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 853,558 | |||||
(Cost: $652,039) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% |
| (135 | ) | |||||
NET ASSETS – 100.0% | $ | 853,423 |
56 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | GROWTH (in thousands) |
JUNE 30, 2017 (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, 2017. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 849,472 | $ | — | $ | — | ||||||
Short-Term Securities | — | 4,086 | — | |||||||||
Total | $ | 849,472 | $ | 4,086 | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
LIBOR = London Interbank Offered Rate
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 57 |
PORTFOLIO HIGHLIGHTS | HIGH INCOME |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 0.7% | |||
Warrants | 0.0% | |||
Bonds | 85.4% | |||
Corporate Debt Securities | 69.5% | |||
Loans | 15.9% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 13.9% |
Quality Weightings
Investment Grade | 0.7% | |||
BBB | 0.7% | |||
Non-Investment Grade | 84.7% | |||
BB | 12.1% | |||
B | 43.7% | |||
CCC | 24.6% | |||
Below CCC | 0.4% | |||
Non-rated | 3.9% | |||
Cash and Other Assets (Net of Liabilities), Cash Equivalents+ and Equities | 14.6% |
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.
58 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Cable & Satellite – 0.2% |
| |||||||
Altice N.V., Class A (A)(B) | 78 | $ | 1,790 | |||||
|
| |||||||
Casinos & Gaming – 0.0% |
| |||||||
New Cotai Participation Corp., Class B (A)(D)(E) | — | * | 53 | |||||
|
| |||||||
Total Consumer Discretionary – 0.2% |
| 1,843 | ||||||
Energy |
| |||||||
Coal & Consumable Fuels – 0.0% |
| |||||||
Foresight Energy L.P. (A) | 46 | 223 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.0% |
| |||||||
Key Energy Services, Inc. (A) | 10 | 196 | ||||||
Larchmont Resources | 1 | 360 | ||||||
|
| |||||||
556 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.1% |
| |||||||
Midstates Petroleum Co., Inc. (A) | 64 | 808 | ||||||
Sabine Oil & Gas | — | * | 11 | |||||
|
| |||||||
819 | ||||||||
|
| |||||||
Total Energy – 0.1% |
| 1,598 | ||||||
TOTAL COMMON STOCKS – 0.3% | $ | 3,441 | ||||||
(Cost: $3,118) | ||||||||
PREFERRED STOCKS | ||||||||
Consumer Staples |
| |||||||
Agricultural Products – 0.3% |
| |||||||
Pinnacle Agriculture Enterprises LLC (A)(E) | 4,583 | 3,547 | ||||||
|
| |||||||
Total Consumer Staples – 0.3% |
| 3,547 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 0.1% |
| |||||||
Frontier Communications | 22 | 637 | ||||||
|
| |||||||
Total Telecommunication Services – 0.1% |
| 637 | ||||||
TOTAL PREFERRED STOCKS – 0.4% |
| $ | 4,184 | |||||
(Cost: $3,945) | ||||||||
WARRANTS | ||||||||
Agricultural Products – 0.0% |
| |||||||
ASG Consolidated LLC, | 1 | — |
WARRANTS (Continued) | Shares | Value | ||||||
Oil & Gas Exploration & Production – 0.0% |
| |||||||
Sabine Oil & Gas Corp., expires 12-29-29 (E)(G) | 1 | $ | 6 | |||||
|
| |||||||
TOTAL WARRANTS – 0.0% |
| $ | 6 | |||||
(Cost: $79) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Consumer Discretionary |
| |||||||
Advertising – 0.5% |
| |||||||
Acosta, Inc., | ||||||||
7.750%, 10-1-22 (C) | $ | 4,493 | 3,404 | |||||
Lamar Media Corp., | ||||||||
5.375%, 1-15 -24 | 959 | 1,002 | ||||||
Outfront Media Capital LLC and Outfront Media Capital Corp., | ||||||||
5.625%, 2-15-24 | 573 | 598 | ||||||
|
| |||||||
5,004 | ||||||||
|
| |||||||
Apparel Retail – 0.7% |
| |||||||
Hot Topic, Inc., | ||||||||
9.250%, 6-15-21 (C) | 7,792 | 7,480 | ||||||
|
| |||||||
Automotive Retail – 0.5% |
| |||||||
Allison Transmission, Inc., | ||||||||
5.000%, 10-1-24 (C) | 781 | 800 | ||||||
Group 1 Automotive, Inc., | ||||||||
5.000%, 6-1 -22 | 855 | 868 | ||||||
Penske Automotive Group, Inc., | ||||||||
5.500%, 5-15-26 | 474 | 472 | ||||||
Sonic Automotive, Inc., | ||||||||
5.000%, 5-15 -23 | 3,603 | 3,427 | ||||||
|
| |||||||
5,567 | ||||||||
|
| |||||||
Broadcasting – 1.8% |
| |||||||
Clear Channel Outdoor Holdings, Inc., | ||||||||
6.500%, 11-15-22 | 9,435 | 9,674 | ||||||
Clear Channel Worldwide Holdings, Inc., Series A, | ||||||||
7.625%, 3-15-20 | 101 | 99 | ||||||
Clear Channel Worldwide Holdings, Inc., Series B, | ||||||||
7.625%, 3-15-20 | 6,130 | 6,099 | ||||||
Cumulus Media, Inc., | ||||||||
7.750%, 5-1 -19 | 4,115 | 1,132 | ||||||
iHeartCommunications, Inc. (GTD by iHeartMedia Capital I LLC), | ||||||||
10.625%, 3-15-23 | 1,094 | 829 | ||||||
|
| |||||||
17,833 | ||||||||
|
| |||||||
Cable & Satellite – 9.7% |
| |||||||
Altice Financing S.A.: | ||||||||
6.625%, 2-15-23 (C) | 1,725 | 1,830 | ||||||
7.500%, 5-15-26 (C) | 4,462 | 4,953 | ||||||
Altice S.A.: | ||||||||
7.250%, 5-15-22 (C)(H) | EUR | 256 | 310 | |||||
7.750%, 5-15-22 (C) | $ | 14,865 | 15,776 | |||||
6.250%, 2-15-25 (C)(H) | EUR | 354 | 441 | |||||
7.625%, 2-15-25 (C) | $ | 3,119 | 3,431 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Cable & Satellite (Continued) |
| |||||||
Altice U.S. Finance I Corp., | ||||||||
5.500%, 5-15-26 (C) | $ | 1,927 | $ | 2,023 | ||||
Block Communications, Inc., | ||||||||
6.875%, 2-15-25 (C) | 609 | 653 | ||||||
Cablevision Systems Corp., | ||||||||
5.875%, 9-15 -22 | 2,098 | 2,206 | ||||||
CCO Holdings LLC and CCO Holdings Capital Corp., | ||||||||
5.500%, 5-1-26 (C) | 1,187 | 1,260 | ||||||
Columbus International, Inc., | ||||||||
7.375%, 3-30-21 (C) | 517 | 549 | ||||||
DISH DBS Corp.: | ||||||||
6.750%, 6-1-21 | 1,936 | 2,149 | ||||||
5.875%, 7-15-22 | 2,310 | 2,483 | ||||||
5.875%, 11-15-24 | 454 | 484 | ||||||
7.750%, 7-1-26 | 1,932 | 2,289 | ||||||
Neptune Finco Corp.: | ||||||||
10.125%, 1-15-23 (C) | 4,123 | 4,783 | ||||||
6.625%, 10-15-25 (C) | 788 | 867 | ||||||
10.875%, 10-15-25 (C) | 3,146 | 3,787 | ||||||
Numericable – SFR S.A., | ||||||||
7.375%, 5-1-26 (C) | 11,097 | 12,040 | ||||||
Sirius XM Radio, Inc.: | ||||||||
4.625%, 5-15-23 (C) | 7,286 | 7,496 | ||||||
6.000%, 7-15-24 (C) | 8,000 | 8,500 | ||||||
VTR Finance B.V., | ||||||||
6.875%, 1-15-24 (C) | 10,335 | 10,955 | ||||||
WaveDivision Escrow LLC and WaveDivision Escrow Corp., | ||||||||
8.125%, 9-1-20 (C) | 8,549 | 8,855 | ||||||
|
| |||||||
98,120 | ||||||||
|
| |||||||
Casinos & Gaming – 1.6% |
| |||||||
Gateway Casinos & Entertainment Ltd., | ||||||||
8.250%, 3-1-24 (C) | 2,588 | 2,691 | ||||||
Studio City Finance Ltd., | ||||||||
8.500%, 12-1-20 (C) | 4,598 | 4,782 | ||||||
Wynn Macau Ltd., | ||||||||
5.250%, 10-15-21 (C) | 8,303 | 8,511 | ||||||
|
| |||||||
15,984 | ||||||||
|
| |||||||
Department Stores – 0.2% |
| |||||||
Bon-Ton Stores, Inc. (The), | ||||||||
8.000%, 6-15 -21 | 4,420 | 1,779 | ||||||
|
| |||||||
Education Services – 2.6% |
| |||||||
Laureate Education, Inc.: | ||||||||
10.000%, 9-1-19 | 5,923 | 7,700 | ||||||
8.250%, 5-1-25 (C) | 16,978 | 18,209 | ||||||
|
| |||||||
25,909 | ||||||||
|
| |||||||
Homefurnishing Retail – 0.6% |
| |||||||
Restoration Hardware Holdings, Inc., Convertible: | ||||||||
0.000%, 6-15-19 (C)(I) | 3,544 | 3,225 | ||||||
0.000%, 7-15-20 (C)(I) | 2,968 | 2,523 | ||||||
|
| |||||||
5,748 | ||||||||
|
|
2017 | SEMIANNUAL REPORT | 59 |
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2017 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Hotels, Resorts & Cruise Lines – 0.2% |
| |||||||
Carlson Travel, Inc., | ||||||||
6.750%, 12-15-23 (C) | $ | 1,980 | $ | 2,015 | ||||
|
| |||||||
Leisure Facilities – 0.3% |
| |||||||
AMC Entertainment Holdings, Inc.: | ||||||||
5.875%, 11-15-26 (C) | 629 | 656 | ||||||
6.125%, 5-15-27 (C) | 754 | 796 | ||||||
Cedar Fair L.P., Magnum Management Corp., Canada’s Wonderland Co. and Millennium Operations LLC, | ||||||||
5.375%, 4-15-27 (C) | 1,163 | 1,230 | ||||||
|
| |||||||
2,682 | ||||||||
|
| |||||||
Movies & Entertainment – 1.5% |
| |||||||
AMC Entertainment, Inc., | ||||||||
5.750%, 6-15 -25 | 3,671 | 3,818 | ||||||
Cinemark USA, Inc.: | ||||||||
5.125%, 12-15-22 | 208 | 214 | ||||||
4.875%, 6-1-23 | 4,600 | 4,699 | ||||||
EMI Music Publishing Group North America Holdings, | ||||||||
7.625%, 6-15-24 (C) | 1,145 | 1,274 | ||||||
WMG Acquisition Corp., | ||||||||
6.750%, 4-15-22 (C) | 5,314 | 5,586 | ||||||
|
| |||||||
15,591 | ||||||||
|
| |||||||
Publishing – 0.3% |
| |||||||
E.W. Scripps Co., | ||||||||
5.125%, 5-15-25 (C) | 351 | 362 | ||||||
MDC Partners, Inc., | ||||||||
6.500%, 5-1-24 (C) | 3,027 | 3,019 | ||||||
|
| |||||||
3,381 | ||||||||
|
| |||||||
Specialized Consumer Services – 0.7% |
| |||||||
Nielsen Co. | ||||||||
5.500%, 10-1-21 (C) | 2,371 | 2,454 | ||||||
5.000%, 2-1-25 (C) | 1,044 | 1,070 | ||||||
Nielsen Finance LLC and Nielsen Finance Co., | ||||||||
5.000%, 4-15-22 (C) | 3,885 | 4,031 | ||||||
|
| |||||||
7,555 | ||||||||
|
| |||||||
Specialty Stores – 1.6% |
| |||||||
Cumberland Farms, Inc., | ||||||||
6.750%, 5-1-25 (C) | 1,904 | 2,004 | ||||||
Jo-Ann Stores Holdings, Inc. (9.750% Cash or 10.500% PIK), | ||||||||
9.750%, 10-15-19 (C)(J) | 13,782 | 13,575 | ||||||
Jo-Ann Stores, Inc., | ||||||||
8.125%, 3-15-19 (C) | 445 | 445 | ||||||
|
| |||||||
16,024 | ||||||||
|
| |||||||
Total Consumer Discretionary – 22.8% |
| 230,672 | ||||||
Consumer Staples |
| |||||||
Food Distributors – 1.4% |
| |||||||
Performance Food Group, Inc., | ||||||||
5.500%, 6-1-24 (C) | 2,544 | 2,627 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Food Distributors (Continued) |
| |||||||
Simmons Foods, Inc., | ||||||||
7.875%, 10-1-21 (C) | $ | 7,562 | $ | 8,035 | ||||
U.S. Foods, Inc., | ||||||||
5.875%, 6-15-24 (C) | 2,864 | 2,971 | ||||||
|
| |||||||
13,633 | ||||||||
|
| |||||||
Packaged Foods & Meats – 1.5% |
| |||||||
Bumble Bee Foods LLC | ||||||||
9.625%, 3-15-18 (C)(J) | 1,900 | 1,872 | ||||||
JBS Investments GmbH (GTD by JBS S.A. and JBS Hungary Holdings Kft.), | ||||||||
7.750%, 10-28-20 (C) | 400 | 379 | ||||||
JBS USA LLC and JBS USA Finance, Inc.: | ||||||||
5.875%, 7-15-24 (C) | 5,436 | 5,096 | ||||||
5.750%, 6-15-25 (C) | 4,378 | 4,115 | ||||||
Post Holdings, Inc.: | ||||||||
5.500%, 3-1-25 (C) | 781 | 805 | ||||||
8.000%, 7-15-25 (C) | 1,079 | 1,225 | ||||||
5.000%, 8-15-26 (C) | 1,267 | 1,264 | ||||||
5.750%, 3-1-27 (C) | 781 | 802 | ||||||
|
| |||||||
15,558 | ||||||||
|
| |||||||
Personal Products – 0.1% |
| |||||||
Revlon Consumer Products Corp., | ||||||||
5.750%, 2-15-21 | 930 | 856 | ||||||
Revlon Escrow Corp., | ||||||||
6.250%, 8-1-24 | 596 | 518 | ||||||
|
| |||||||
1,374 | ||||||||
|
| |||||||
Tobacco – 0.4% |
| |||||||
Prestige Brands, Inc., | ||||||||
5.375%, 12-15-21 (C) | 3,658 | 3,772 | ||||||
|
| |||||||
Total Consumer Staples – 3.4% |
| 34,337 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 0.1% |
| |||||||
Petrobras Global Finance B.V. (GTD by Petroleo Brasileiro S.A.): | ||||||||
6.125%, 1-17-22 | 208 | 215 | ||||||
7.375%, 1-17-27 | 1,106 | 1,170 | ||||||
|
| |||||||
1,385 | ||||||||
|
| |||||||
Oil & Gas Drilling – 1.0% |
| |||||||
KCA Deutag UK Finance plc: | ||||||||
7.250%, 5-15-21 (C) | 4,031 | 3,568 | ||||||
9.875%, 4-1-22 (C) | 2,267 | 2,199 | ||||||
Noble Holding International Ltd., | ||||||||
7.750%, 1-15-24 | 1,028 | 812 | ||||||
Offshore Drilling Holding S.A., | ||||||||
8.375%, 9-20-20 (C)(K) | 8,682 | 2,995 | ||||||
Offshore Group Investment Ltd., | ||||||||
7.500%, 11-1-19 (D) | 1,693 | — | ||||||
Rowan Cos., Inc. (GTD by Rowan plc), | ||||||||
7.375%, 6-15-25 | 618 | 576 | ||||||
Trinidad Drilling Ltd., | ||||||||
6.625%, 2-15-25 (C) | 52 | 49 | ||||||
|
| |||||||
10,199 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Equipment & Services – 0.6% |
| |||||||
Brand Energy & Infrastructure Services, Inc., | ||||||||
8.500%, 7-15-25 (C) | $ | 4,691 | $ | 4,855 | ||||
SESI LLC, | ||||||||
7.125%, 12-15 -21 | 1,114 | 1,061 | ||||||
|
| |||||||
5,916 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 2.2% |
| |||||||
Bellatrix Exploration Ltd., | ||||||||
8.500%, 5-15-20 (C) | 3,023 | 2,717 | ||||||
California Resources Corp., | ||||||||
8.000%, 12-15-22 (C) | 743 | 470 | ||||||
Continental Resources, Inc. (GTD by Banner Pipeline Co. LLC), | ||||||||
5.000%, 9-15-22 | 3,122 | 3,064 | ||||||
Crownrock L.P., | ||||||||
7.750%, 2-15-23 (C) | 715 | 754 | ||||||
EnCana Corp., | ||||||||
6.500%, 8-15 -34 | 1,094 | 1,249 | ||||||
Endeavor Energy Resources L.P.: | ||||||||
7.000%, 8-15-21 (C) | 4,385 | 4,539 | ||||||
8.125%, 9-15-23 (C) | 682 | 720 | ||||||
Gulfport Energy Corp., | ||||||||
6.625%, 5-1-23 | 221 | 222 | ||||||
Laredo Petroleum, Inc.: | ||||||||
7.375%, 5-1-22 | 3,284 | 3,317 | ||||||
6.250%, 3-15-23 | 821 | 815 | ||||||
Murphy Oil USA, Inc. | ||||||||
5.625%, 5-1-27 | 351 | 365 | ||||||
Ultra Resources, Inc.: | ||||||||
6.875%, 4-15-22 (C) | 1,977 | 1,962 | ||||||
7.125%, 4-15-25 (C) | 582 | 574 | ||||||
Whiting Petroleum Corp., | ||||||||
5.750%, 3-15-21 | 1,363 | 1,281 | ||||||
|
| |||||||
22,049 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 1.1% |
| |||||||
Callon Petroleum Co. (GTD by Callon Petroleum Operating Co.): | ||||||||
6.125%, 10-1-24 (C) | 588 | 598 | ||||||
6.125%, 10-1-24 | 493 | 502 | ||||||
PDC Energy, Inc., | ||||||||
6.125%, 9-15-24 (C) | 394 | 400 | ||||||
Seven Generations Energy Ltd.: | ||||||||
8.250%, 5-15-20 (C) | 3,177 | 3,312 | ||||||
6.750%, 5-1-23 (C) | 5,905 | 6,126 | ||||||
|
| |||||||
10,938 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation – 0.1% |
| |||||||
Access Midstream Partners L.P., | ||||||||
4.875%, 5-15-23 | 1,191 | 1,236 | ||||||
|
| |||||||
Total Energy – 5.1% |
| 51,723 | ||||||
Financials |
| |||||||
Consumer Finance – 1.0% |
| |||||||
Creditcorp, | ||||||||
12.000%, 7-15-18 (C) | 4,228 | 3,636 | ||||||
CURO Financial Technologies Corp., | ||||||||
12.000%, 3-1-22 (C) | 1,092 | 1,147 |
60 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2017 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Finance (Continued) |
| |||||||
Quicken Loans, Inc., | ||||||||
5.750%, 5-1-25 (C) | $ | 5,176 | $ | 5,344 | ||||
|
| |||||||
10,127 | ||||||||
|
| |||||||
Diversified Capital Markets – 1.2% |
| |||||||
Patriot Merger Corp., | ||||||||
9.000%, 7-15-21 (C) | 11,156 | 11,708 | ||||||
|
| |||||||
Insurance Brokers – 0.7% |
| |||||||
NFP Corp., | ||||||||
6.875%, 7-15-25 (C) | 7,320 | 7,393 | ||||||
|
| |||||||
Investment Banking & Brokerage – 0.1% |
| |||||||
E*TRADE Financial Corp., | ||||||||
5.875%, 12-29-49 | 686 | 727 | ||||||
|
| |||||||
Other Diversified Financial Services – 3.1% |
| |||||||
AAF Holdings LLC and AAF Finance Co. (12.000% Cash or 12.750% PIK), | ||||||||
12.000%, 7-1-19 (C)(J) | 1,765 | 1,845 | ||||||
Balboa Merger Sub, Inc., | ||||||||
11.375%, 12-1-21 (C) | 9,982 | 11,005 | ||||||
New Cotai LLC and New Cotai Capital Corp. (10.625% Cash or 10.625% PIK), | ||||||||
10.625%, 5-1-19 (C)(J) | 21,215 | 18,669 | ||||||
|
| |||||||
31,519 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.4% |
| |||||||
Hub International Ltd., | ||||||||
7.875%, 10-1-21 (C) | 3,563 | 3,714 | ||||||
|
| |||||||
Specialized Finance – 1.8% |
| |||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp.: | ||||||||
5.875%, 6-15-21 (C) | 667 | 699 | ||||||
5.450%, 6-15-23 (C) | 475 | 515 | ||||||
7.125%, 6-15-24 (C) | 667 | 733 | ||||||
6.020%, 6-15-26 (C) | 950 | 1,047 | ||||||
Flexi-Van Leasing, Inc., | ||||||||
7.875%, 8-15-18 (C) | 2,774 | 2,746 | ||||||
Orchestra Borrower LLC and Orchestra Co-Issuer, Inc., | ||||||||
6.750%, 6-15-22 (C) | 824 | 849 | ||||||
TMX Finance LLC and TitleMax Finance Corp., | ||||||||
8.500%, 9-15-18 (C) | 12,463 | 11,840 | ||||||
|
| |||||||
18,429 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.3% |
| |||||||
Provident Funding Associates L.P. and PFG Finance Corp., | ||||||||
6.375%, 6-15-25 (C) | 2,943 | 3,017 | ||||||
|
| |||||||
Total Financials – 8.6% |
| 86,634 | ||||||
Health Care |
| |||||||
Health Care Facilities – 2.1% |
| |||||||
DaVita HealthCare Partners, Inc., | ||||||||
5.125%, 7-15-24 | 548 | 556 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Health Care Facilities (Continued) |
| |||||||
Greatbatch Ltd., | ||||||||
9.125%, 11-1-23 (C) | $ | 4,528 | $ | 4,823 | ||||
HCA, Inc. (GTD by HCA Holdings, Inc.), | ||||||||
5.250%, 6-15-26 | 386 | 416 | ||||||
MPH Acquisition Holdings LLC, | ||||||||
7.125%, 6-1-24 (C) | 1,906 | 2,032 | ||||||
Surgery Center Holdings, Inc., | ||||||||
8.875%, 4-15-21 (C) | 6,147 | 6,662 | ||||||
Tenet Healthcare Corp.: | ||||||||
6.750%, 2-1-20 | 1,408 | 1,464 | ||||||
7.500%, 1-1-22 (C) | 356 | 386 | ||||||
8.125%, 4-1-22 | 4,662 | 4,954 | ||||||
|
| |||||||
21,293 | ||||||||
|
| |||||||
Health Care Supplies – 0.7% |
| |||||||
Kinetic Concepts, Inc. and KCI USA, Inc., | ||||||||
12.500%, 11-1-21 (C) | 465 | 523 | ||||||
Universal Hospital Services, Inc., | ||||||||
7.625%, 8-15-20 | 6,382 | 6,486 | ||||||
|
| |||||||
7,009 | ||||||||
|
| |||||||
Pharmaceuticals – 1.6% |
| |||||||
Concordia Healthcare Corp.: | ||||||||
9.500%, 10-21-22 (C) | 10,096 | 1,716 | ||||||
7.000%, 4-15-23 (C) | 1,144 | 166 | ||||||
IMS Health, Inc., | ||||||||
5.000%, 10-15-26 (C) | 1,155 | 1,191 | ||||||
Jaguar Holding Co. II and Pharmaceutical Product Development LLC, | ||||||||
6.375%, 8-1-23 (C) | 2,117 | 2,231 | ||||||
Valeant Pharmaceuticals International, Inc.: | ||||||||
7.000%, 10-1-20 | 1,770 | 1,741 | ||||||
5.500%, 3-1-23 (C) | 117 | 99 | ||||||
VPII Escrow Corp., | ||||||||
7.500%, 7-15-21 (C) | 1,750 | 1,695 | ||||||
VRX Escrow Corp.: | ||||||||
5.375%, 3-15-20 (C) | 2,664 | 2,568 | ||||||
5.875%, 5-15-23 (C) | 1,882 | 1,614 | ||||||
6.125%, 4-15-25 (C) | 3,553 | 3,007 | ||||||
|
| |||||||
16,028 | ||||||||
|
| |||||||
Total Health Care – 4.4% | 44,330 | |||||||
Industrials |
| |||||||
Aerospace & Defense – 2.1% |
| |||||||
KLX, Inc., | ||||||||
5.875%, 12-1-22 (C) | 5,404 | 5,674 | ||||||
Park Aerospace Holdings Ltd., | ||||||||
5.250%, 8-15-22 (C) | 210 | 220 | ||||||
TransDigm, Inc., | ||||||||
6.500%, 5-15-25 | 1,162 | 1,182 | ||||||
TransDigm, Inc. (GTD by TransDigm Group, Inc.): | ||||||||
6.000%, 7-15-22 | 5,075 | 5,227 | ||||||
6.500%, 7-15-24 | 6,077 | 6,275 | ||||||
6.375%, 6-15-26 | 2,490 | 2,527 | ||||||
|
| |||||||
21,105 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Air Freight & Logistics – 0.2% |
| |||||||
XPO Logistics, Inc.: | ||||||||
6.500%, 6-15-22 (C) | $ | 1,255 | $ | 1,320 | ||||
6.125%, 9-1-23 (C) | 686 | 714 | ||||||
|
| |||||||
2,034 | ||||||||
|
| |||||||
Building Products – 0.9% |
| |||||||
Alcoa Nederland Holding B.V.: | ||||||||
6.750%, 9-30-24 (C) | 511 | 554 | ||||||
7.000%, 9-30-26 (C) | 511 | 561 | ||||||
Ply Gem Industries, Inc., | ||||||||
6.500%, 2-1-22 | 5,467 | 5,720 | ||||||
Summit Materials LLC and Summit Materials Finance Corp.: | ||||||||
8.500%, 4-15-22 | 373 | 421 | ||||||
6.125%, 7-15-23 | 777 | 814 | ||||||
WESCO Distribution, Inc. (GTD by WESCO International, Inc.), | ||||||||
5.375%, 6-15-24 | 953 | 995 | ||||||
|
| |||||||
9,065 | ||||||||
|
| |||||||
Diversified Support Services – 0.4% |
| |||||||
Ahern Rentals, Inc., | ||||||||
7.375%, 5-15-23 (C) | 2,907 | 2,384 | ||||||
Ritchie Bros. Auctioneers, Inc., | ||||||||
5.375%, 1-15-25 (C) | 1,025 | 1,068 | ||||||
United Rentals (North America), Inc. (GTD by United Rentals, Inc.), | ||||||||
5.875%, 9-15-26 | 472 | 503 | ||||||
|
| |||||||
3,955 | ||||||||
|
| |||||||
Environmental & Facilities Services – 0.2% |
| |||||||
GFL Environmental, Inc.: | ||||||||
9.875%, 2-1-21 (C) | 851 | 926 | ||||||
5.625%, 5-1-22 (C) | 820 | 838 | ||||||
|
| |||||||
1,764 | ||||||||
|
| |||||||
Railroads – 0.5% |
| |||||||
Florida East Coast Holdings Corp. and Florida East Coast Industries LLC, | ||||||||
6.750%, 5-1-19 (C) | 4,949 | 5,075 | ||||||
|
| |||||||
Research & Consulting Services – 0.2% |
| |||||||
Eagle Holding Co. II LLC | ||||||||
7.625%, 5-15-22 (C)(J) | 1,904 | 1,959 | ||||||
|
| |||||||
Security & Alarm Services – 1.0% |
| |||||||
Prime Security Services Borrower LLC, | ||||||||
9.250%, 5-15-23 (C) | 9,256 | 10,058 | ||||||
|
| |||||||
Trading Companies & Distributors – 0.1% |
| |||||||
HD Supply, Inc., | ||||||||
5.750%, 4-15-24 (C) | 1,640 | 1,742 | ||||||
|
| |||||||
Total Industrials – 5.6% |
| 56,757 | ||||||
Information Technology |
| |||||||
Application Software – 1.5% |
| |||||||
Ensemble S Merger Sub, Inc., | ||||||||
9.000%, 9-30-23 (C) | 1,261 | 1,311 |
2017 | SEMIANNUAL REPORT | 61 |
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2017 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Application Software (Continued) |
| |||||||
Kronos Acquisition Holdings, Inc., | ||||||||
9.000%, 8-15-23 (C) | $ | 14,057 | $ | 14,022 | ||||
|
| |||||||
15,333 | ||||||||
|
| |||||||
Communications Equipment – 0.5% |
| |||||||
West Corp., | ||||||||
5.375%, 7-15-22 (C) | 5,189 | 5,241 | ||||||
|
| |||||||
Data Processing & Outsourced Services – 2.5% |
| |||||||
Alliance Data Systems Corp.: | ||||||||
6.375%, 4-1-20 (C) | 3,362 | 3,404 | ||||||
5.875%, 11-1-21 (C) | 1,346 | 1,393 | ||||||
5.375%, 8-1-22 (C) | 6,395 | 6,459 | ||||||
Italics Merger Sub, Inc., | ||||||||
7.125%, 7-15-23 (C) | 12,951 | 13,182 | ||||||
j2 Cloud Services LLC and j2 Global, Inc., | ||||||||
6.000%, 7-15-25 (C) | 1,192 | 1,228 | ||||||
|
| |||||||
25,666 | ||||||||
|
| |||||||
IT Consulting & Other Services – 1.2% |
| |||||||
Cardtronics, Inc. and Cardtronics USA, Inc., | ||||||||
5.500%, 5-1-25 (C) | 2,145 | 2,209 | ||||||
NCR Escrow Corp.: | ||||||||
5.875%, 12-15-21 | 4,719 | 4,908 | ||||||
6.375%, 12-15-23 | 4,266 | 4,575 | ||||||
|
| |||||||
11,692 | ||||||||
|
| |||||||
Semiconductors – 0.7% |
| |||||||
Micron Technology, Inc.: | ||||||||
5.875%, 2-15-22 | 4,282 | 4,480 | ||||||
7.500%, 9-15-23 | 1,931 | 2,160 | ||||||
5.500%, 2-1-25 | 805 | 850 | ||||||
|
| |||||||
7,490 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.4% |
| |||||||
Western Digital Corp.: | ||||||||
7.375%, 4-1-23 (C) | 468 | 514 | ||||||
10.500%, 4-1-24 | 2,903 | 3,425 | ||||||
|
| |||||||
3,939 | ||||||||
|
| |||||||
Total Information Technology – 6.8% |
| 69,361 | ||||||
Materials |
| |||||||
Aluminum – 1.7% |
| |||||||
Constellium N.V.: | ||||||||
8.000%, 1-15-23 (C) | 6,774 | 6,977 | ||||||
5.750%, 5-15-24 (C) | 3,551 | 3,285 | ||||||
6.625%, 3-1-25 (C) | 4,140 | 3,964 | ||||||
Kaiser Aluminum Corp., | ||||||||
5.875%, 5-15-24 | 379 | 399 | ||||||
Novelis Corp. (GTD by Novelis, Inc.): | ||||||||
6.250%, 8-15-24 (C) | 1,471 | 1,544 | ||||||
5.875%, 9-30-26 (C) | 985 | 1,015 | ||||||
|
| |||||||
17,184 | ||||||||
|
| |||||||
Commodity Chemicals – 0.4% |
| |||||||
NOVA Chemicals Corp.: | ||||||||
4.875%, 6-1-24 (C) | 2,943 | 2,932 | ||||||
5.250%, 6-1-27 (C) | 1,177 | 1,171 | ||||||
|
| |||||||
4,103 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Construction Materials – 0.6% |
| |||||||
Eagle Materials, Inc., | ||||||||
4.500%, 8-1-26 | $ | 391 | $ | 400 | ||||
Hillman Group, Inc. (The), | ||||||||
6.375%, 7-15-22 (C) | 6,615 | 6,350 | ||||||
|
| |||||||
6,750 | ||||||||
|
| |||||||
Diversified Chemicals – 0.3% |
| |||||||
PSPC Escrow Corp., | ||||||||
6.500%, 2-1-22 (C) | 1,923 | 1,986 | ||||||
PSPC Escrow II Corp., | ||||||||
10.375%, 5-1-21 (C) | 981 | 1,085 | ||||||
|
| |||||||
3,071 | ||||||||
|
| |||||||
Diversified Metals & Mining – 0.8% |
| |||||||
Artsonig Pty Ltd. (11.500% Cash or 12.000% PIK), | ||||||||
11.500%, 4-1-19 (C)(J) | 5,462 | 55 | ||||||
Crystal Merger Sub, Inc., | ||||||||
7.625%, 10-15-21 (C) | 636 | 644 | ||||||
FMG Resources August 2006 Partners Ltd.: | ||||||||
4.750%, 5-15-22 (C) | 2,204 | 2,212 | ||||||
5.125%, 5-15-24 (C) | 2,351 | 2,351 | ||||||
Lundin Mining Corp.: | ||||||||
7.500%, 11-1-20 (C) | 1,326 | 1,394 | ||||||
7.875%, 11-1-22 (C) | 1,091 | 1,189 | ||||||
|
| |||||||
7,845 | ||||||||
�� |
| |||||||
Fertilizers & Agricultural Chemicals – 0.6% |
| |||||||
Pinnacle Operating Corp., | ||||||||
9.000%, 5-15-23 (C) | 6,601 | 6,271 | ||||||
|
| |||||||
Metal & Glass Containers – 1.6% |
| |||||||
ARD Finance S.A., | ||||||||
7.125%, 9-15-23 | 548 | 585 | ||||||
BakerCorp International, Inc., | ||||||||
8.250%, 6-1-19 | 13,253 | 11,497 | ||||||
HudBay Minerals, Inc.: | ||||||||
7.250%, 1-15-23 (C) | 408 | 421 | ||||||
7.625%, 1-15-25 (C) | 611 | 640 | ||||||
Signode Industrial Group, | ||||||||
6.375%, 5-1-22 (C) | 2,865 | 2,994 | ||||||
|
| |||||||
16,137 | ||||||||
|
| |||||||
Paper Packaging – 0.5% |
| |||||||
Coveris Holdings S.A., | ||||||||
7.875%, 11-1-19 (C) | 1,810 | 1,783 | ||||||
Flex Acquisition Co., Inc., | ||||||||
6.875%, 1-15-25 (C) | 727 | 756 | ||||||
Reynolds Group Issuer, Inc., Reynolds Group Issuer LLC and Reynolds Group Issuer (Luxembourg) S.A., | ||||||||
5.125%, 7-15-23 (C) | 2,209 | 2,294 | ||||||
|
| |||||||
4,833 | ||||||||
|
| |||||||
Specialty Chemicals – 0.1% |
| |||||||
Kraton Polymers LLC and Kraton Polymers Capital Corp., | ||||||||
7.000%, 4-15-25 (C) | 1,082 | 1,136 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Steel – 0.1% |
| |||||||
U.S. Steel Corp., | ||||||||
8.375%, 7-1-21 (C) | $ | 661 | $ | 727 | ||||
|
| |||||||
Total Materials – 6.7% |
| 68,057 | ||||||
Real Estate |
| |||||||
Health Care REITs – 0.1% |
| |||||||
MPT Operating Partnership L.P. and MPT Finance Corp. (GTD by Medical Properties Trust, Inc.), | ||||||||
5.250%, 8-1-26 | 486 | 504 | ||||||
|
| |||||||
Real Estate Development – 0.2% |
| |||||||
Hub Holdings LLC and Hub Holdings Finance, Inc. (8.125% Cash or 8.875% PIK), | ||||||||
8.125%, 7-15-19 (C)(J) | 2,440 | 2,446 | ||||||
|
| |||||||
Total Real Estate – 0.3% |
| 2,950 | ||||||
Telecommunication Services |
| |||||||
Alternative Carriers – 0.8% |
| |||||||
Consolidated Communications Finance II Co., | ||||||||
6.500%, 10-1-22 | 1,880 | 1,871 | ||||||
Level 3 Communications, Inc., | ||||||||
5.750%, 12-1-22 | 1,317 | 1,366 | ||||||
Level 3 Escrow II, Inc., | ||||||||
5.375%, 8-15-22 | 3,015 | 3,105 | ||||||
Zayo Group LLC and Zayo Capital, Inc.: | ||||||||
6.000%, 4-1-23 | 679 | 715 | ||||||
5.750%, 1-15-27 (C) | 833 | 872 | ||||||
|
| |||||||
7,929 | ||||||||
|
| |||||||
Integrated Telecommunication Services – 3.8% |
| |||||||
Frontier Communications Corp.: | ||||||||
6.250%, 9-15-21 | 3,451 | 3,080 | ||||||
10.500%, 9-15-22 | 4,339 | 4,138 | ||||||
7.125%, 1-15-23 | 367 | 306 | ||||||
6.875%, 1-15-25 | 1,841 | 1,450 | ||||||
11.000%, 9-15-25 | 5,046 | 4,680 | ||||||
GCI, Inc., | ||||||||
6.875%, 4-15-25 | 4,808 | 5,199 | ||||||
Sprint Corp.: | ||||||||
7.250%, 9-15-21 | 9,523 | 10,582 | ||||||
7.875%, 9-15-23 | 5,563 | 6,397 | ||||||
7.125%, 6-15-24 | 2,049 | 2,280 | ||||||
|
| |||||||
38,112 | ||||||||
|
| |||||||
Wireless Telecommunication Service – 1.2% |
| |||||||
Sable International Finance Ltd., | ||||||||
6.875%, 8-1-22 (C) | 5,794 | 6,257 | ||||||
Sprint Nextel Corp.: | ||||||||
9.000%, 11-15-18 (C) | 211 | 229 | ||||||
7.000%, 8-15-20 | 466 | 513 | ||||||
11.500%, 11-15-21 | 389 | 498 |
62 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2017 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Wireless Telecommunication Service (Continued) |
| |||||||
T-Mobile USA, Inc.: | ||||||||
6.000%, 4-15-24 | $ | 1,683 | $ | 1,801 | ||||
6.500%, 1-15-26 | 2,713 | 2,994 | ||||||
|
| |||||||
12,292 | ||||||||
|
| |||||||
Total Telecommunication Services – 5.8% |
| 58,333 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 69.5% |
| $ | 703,154 | |||||
(Cost: $709,066) | ||||||||
LOANS (M) | ||||||||
Consumer Discretionary |
| |||||||
Advertising – 0.3% |
| |||||||
Advantage Sales & Marketing, Inc. (ICE LIBOR plus 650 bps), | ||||||||
7.796%, 7-25-22 (D) | 3,593 | 3,431 | ||||||
|
| |||||||
Apparel Retail – 1.3% |
| |||||||
Talbots, Inc. (The) (ICE LIBOR plus 450 bps), | ||||||||
5.726%, 3-19-20 | 3,875 | 3,615 | ||||||
Talbots, Inc. (The) (ICE LIBOR plus 850 bps), | ||||||||
9.726%, 3-19-21 | 9,989 | �� | 8,541 | |||||
True Religion Apparel, Inc. (ICE LIBOR plus 487.5 bps): | ||||||||
6.101%, 7-30-19 | 14 | 3 | ||||||
6.171%, 7-30-19 | 5,433 | 1,166 | ||||||
|
| |||||||
13,325 | ||||||||
|
| |||||||
Casinos & Gaming – 0.1% |
| |||||||
Gateway Casinos & Entertainment Ltd. (ICE LIBOR plus 375 bps), | ||||||||
5.046%, 2-22-23 | 732 | 737 | ||||||
|
| |||||||
Department Stores – 0.8% |
| |||||||
Belk, Inc. (ICE LIBOR plus 475 bps), | ||||||||
5.905%, 12-10-22 | 9,760 | 8,281 | ||||||
|
| |||||||
Education Services – 1.3% |
| |||||||
Laureate Education, Inc. (ICE LIBOR plus 450 bps), | ||||||||
5.726%, 4-26-24 | 13,472 | 13,527 | ||||||
|
| |||||||
General Merchandise Stores – 1.7% |
| |||||||
BJ’s Wholesale Club, Inc., | ||||||||
0.000%, 2-3-24 (N) | 1,090 | 1,055 | ||||||
BJ’s Wholesale Club, Inc. (ICE LIBOR plus 375 bps), | ||||||||
4.968%, 2-3-24 | 6,797 | 6,578 | ||||||
BJ’s Wholesale Club, Inc. (ICE LIBOR plus 750 bps), | ||||||||
8.710%, 1-26-25 | 6,180 | 5,969 | ||||||
Orchard Acquisition Co. LLC (ICE LIBOR plus 600 bps), | ||||||||
7.313%, 2-8-19 | 6,634 | 3,085 | ||||||
|
| |||||||
16,687 | ||||||||
|
|
LOANS (M) (Continued) | Principal | Value | ||||||
Home Furnishings – 0.6% |
| |||||||
Serta Simmons Bedding LLC (ICE LIBOR plus 800 bps), | ||||||||
9.179%, 11-8-24 | $ | 6,153 | $ | 6,125 | ||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.0% |
| |||||||
Travel Leaders Group LLC (ICE LIBOR plus 525 bps), | ||||||||
6.476%, 1-19-24 | 312 | 313 | ||||||
|
| |||||||
Housewares & Specialties – 0.3% |
| |||||||
KIK Custom Products, Inc. (ICE LIBOR plus 450 bps), | ||||||||
5.793%, 8-26-22 | 2,573 | 2,595 | ||||||
|
| |||||||
Restaurants – 0.4% |
| |||||||
NPC International, Inc., | ||||||||
0.000%, 4-18-25 (N) | 777 | 785 | ||||||
NPC International, Inc. (ICE LIBOR plus 350 bps), | ||||||||
4.716%, 4-20-24 | 811 | 817 | ||||||
NPC International, Inc. (ICE LIBOR plus 750 bps), | ||||||||
8.716%, 4-18-25 | 2,549 | 2,574 | ||||||
|
| |||||||
4,176 | ||||||||
|
| |||||||
Specialty Stores – 0.6% |
| |||||||
Academy Sports + Outdoors, | ||||||||
0.000%, 7-2-22 (N) | 705 | 545 | ||||||
Academy Sports + Outdoors (ICE LIBOR plus 400 bps): | ||||||||
5.172%, 7-2-22 | 1,421 | 1,099 | ||||||
5.220%, 7-2-22 | 1,017 | 786 | ||||||
Academy Sports + Outdoors (ICE LIBOR plus 500 bps), | ||||||||
5.226%, 7-2-22 | 424 | 328 | ||||||
Jo-Ann Stores, Inc., | ||||||||
0.000%, 10-21-23 (N) | 710 | 706 | ||||||
Jo-Ann Stores, Inc. (ICE LIBOR plus 500 bps), | ||||||||
6.391%, 10-21-23 | 2,656 | 2,641 | ||||||
|
| |||||||
6,105 | ||||||||
|
| |||||||
Total Consumer Discretionary – 7.4% |
| 75,302 | ||||||
Consumer Staples |
| |||||||
Food Distributors – 0.2% |
| |||||||
Chefs’ Warehouse, Inc. (The) (ICE LIBOR plus 575 bps), | ||||||||
6.980%, 6-22-22 | 1,941 | 1,963 | ||||||
|
| |||||||
Hypermarkets & Super Centers – 0.2% |
| |||||||
GOBP Holdings, Inc. (ICE LIBOR plus 825 bps), | ||||||||
9.546%, 10-21-22 | 1,807 | 1,815 | ||||||
|
| |||||||
Packaged Foods & Meats – 0.1% |
| |||||||
Shearer’s Foods LLC (ICE LIBOR plus 675 bps), | ||||||||
8.046%, 6-30-22 (D) | 1,386 | 1,337 | ||||||
|
| |||||||
Total Consumer Staples – 0.5% |
| 5,115 |
LOANS (M) (Continued) | Principal | Value | ||||||
Energy |
| |||||||
Coal & Consumable Fuels – 1.1% |
| |||||||
Foresight Energy LLC (ICE LIBOR plus 725 bps), | ||||||||
6.795%, 3-28-22 | $ | 7,733 | $ | 7,351 | ||||
Westmoreland Coal Co. (ICE LIBOR plus 650 bps), | ||||||||
7.796%, 12-16-20 | 3,905 | 3,446 | ||||||
|
| |||||||
10,797 | ||||||||
|
| |||||||
Oil & Gas Drilling – 0.4% |
| |||||||
KCA Deutag Alpha Ltd. (ICE LIBOR plus 525 bps), | ||||||||
6.922%, 5-16-20 | 4,218 | 3,780 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.5% |
| |||||||
Brand Energy & Infrastructure Services, Inc. (ICE LIBOR plus 425 bps): | ||||||||
5.464%, 6-21-24 | 759 | 758 | ||||||
5.496%, 6-21-24 | 4,007 | 3,998 | ||||||
Larchmont Resources LLC (10.000% Cash or 10.000% PIK), | ||||||||
10.000%, 8-7-20 (D)(F)(J) | 841 | 832 | ||||||
|
| |||||||
5,588 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 0.9% |
| |||||||
Chesapeake Energy Corp. (ICE LIBOR plus 750 bps), | ||||||||
8.686%, 8-23-21 | 8,491 | 8,971 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 0.6% |
| |||||||
Bowie Resources Holdings LLC: | ||||||||
0.000%, 8-12-20 (N) | 3,515 | 3,373 | ||||||
0.000%, 2-16-21 (N) | 1,444 | 1,328 | ||||||
Bowie Resources Holdings LLC (ICE LIBOR plus 1,075 bps), | ||||||||
11.976%, 2-16-21 | 857 | 788 | ||||||
Bowie Resources Holdings LLC (ICE LIBOR plus 575 bps), | ||||||||
6.976%, 8-12-20 | 797 | 764 | ||||||
|
| |||||||
6,253 | ||||||||
|
| |||||||
Total Energy – 3.5% |
| 35,389 | ||||||
Financials |
| |||||||
Insurance Brokers – 0.1% |
| |||||||
NFP Corp., | ||||||||
0.000%, 1-8-24 (N) | 570 | 571 | ||||||
NFP Corp. (ICE LIBOR plus 350 bps), | ||||||||
4.796%, 1-8-24 | 1,018 | 1,019 | ||||||
|
| |||||||
1,590 | ||||||||
|
| |||||||
Specialized Finance – 0.1% |
| |||||||
Orchestra Borrower LLC and Orchestra Co-Issuer, Inc., | ||||||||
0.000%, 12-2-21 (N) | 883 | 888 | ||||||
|
| |||||||
Total Financials – 0.2% |
| 2,478 |
2017 | SEMIANNUAL REPORT | 63 |
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2017 (UNAUDITED)
LOANS (M) (Continued) | Principal | Value | ||||||
Industrials |
| |||||||
Building Products – 0.2% |
| |||||||
Hampton Rubber Co. & SEI Holding Corp. (ICE LIBOR plus 800 bps), | ||||||||
9.226%, 3-27-22 | $ | 1,785 | $ | 1,571 | ||||
|
| |||||||
Construction & Engineering – 0.1% |
| |||||||
Tensar International Corp. (ICE LIBOR plus 850 bps), | ||||||||
9.796%, 7-10-22 (D) | 1,122 | 898 | ||||||
|
| |||||||
Industrial Conglomerates – 0.9% |
| |||||||
Crosby Worldwide Ltd. (ICE LIBOR plus 300 bps), | ||||||||
4.172%, 11-22-20 | 1,233 | 1,116 | ||||||
Crosby Worldwide Ltd. (ICE LIBOR plus 600 bps), | ||||||||
7.172%, 11-22-21 | 2,072 | 1,709 | ||||||
PAE Holding Corp., | ||||||||
0.000%, 10-20-22 (N) | 1,000 | 1,005 | ||||||
PAE Holding Corp. (ICE LIBOR plus 550 bps), | ||||||||
6.726%, 10-20-22 | 4,800 | 4,824 | ||||||
PAE Holding Corp. (ICE LIBOR plus 950 bps), | ||||||||
10.726%, 10-20-23 | 847 | 847 | ||||||
|
| |||||||
9,501 | ||||||||
|
| |||||||
Industrial Machinery – 0.8% |
| |||||||
Dynacast International LLC (ICE LIBOR plus 850 bps), | ||||||||
9.796%, 1-30-23 (D) | 7,863 | 7,863 | ||||||
|
| |||||||
Total Industrials – 2.0% |
| 19,833 | ||||||
Information Technology |
| |||||||
Application Software – 0.8% |
| |||||||
Applied Systems, Inc. (ICE LIBOR plus 650 bps), | ||||||||
7.796%, 1-23-22 | 3,631 | 3,663 | ||||||
TIBCO Software, Inc. (ICE LIBOR plus 450 bps), | ||||||||
5.730%, 12-4-20 | 4,577 | 4,594 | ||||||
|
| |||||||
8,257 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 0.1% |
| |||||||
Colorado Buyer, Inc. (ICE LIBOR plus 300 bps), | ||||||||
8.420%, 5-1-25 | 865 | 870 | ||||||
|
| |||||||
Internet Software & Services – 0.5% |
| |||||||
Ancestry.com LLC (ICE LIBOR plus 825 bps), | ||||||||
9.460%, 10-19-24 | 1,340 | 1,368 | ||||||
TravelCLICK, Inc. & TCH-2 Holdings LLC (ICE LIBOR plus 400 bps), | ||||||||
5.226%, 5-12-21 (D) | 2,174 | 2,182 | ||||||
TravelCLICK, Inc. & TCH-2 Holdings LLC (ICE LIBOR plus 775 bps), | ||||||||
8.976%, 11-12-21 (D) | 1,713 | 1,713 | ||||||
|
| |||||||
5,263 | ||||||||
|
|
LOANS (M) (Continued) | Principal | Value | ||||||
IT Consulting & Other Services – 0.1% |
| |||||||
Triple Point Group Holdings, Inc. (ICE LIBOR plus 425 bps), | ||||||||
5.546%, 7-13-20 | $ | 776 | $ | 726 | ||||
|
| |||||||
Total Information Technology – 1.5% |
| 15,116 | ||||||
Materials |
| |||||||
Diversified Metals & Mining – 0.1% |
| |||||||
EP Minerals LLC (ICE LIBOR plus 750 bps), | ||||||||
8.702%, 8-20-21 (D) | 996 | 966 | ||||||
|
| |||||||
Paper Packaging – 0.7% |
| |||||||
FPC Holdings, Inc. (ICE LIBOR plus 800 bps), | ||||||||
9.296%, 5-27-20 | 6,239 | 5,740 | ||||||
Ranpak (Rack Merger) (ICE LIBOR plus 725 bps), | ||||||||
8.422%, 10-1-22 (D) | 1,233 | 1,227 | ||||||
|
| |||||||
6,967 | ||||||||
|
| |||||||
Total Materials – 0.8% |
| 7,933 | ||||||
TOTAL LOANS – 15.9% |
| $ | 161,166 | |||||
(Cost: $170,813) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Commercial Paper (O) – 12.2% |
| |||||||
Bemis Co., Inc.: | ||||||||
1.330%, 7-5-17 | 15,000 | 14,997 | ||||||
1.351%, 7-7-17 | 10,000 | 9,997 | ||||||
Clorox Co. (The), | ||||||||
1.480%, 7-26-17 | 6,000 | 5,994 | ||||||
Comcast Corp., | ||||||||
1.440%, 7-12-17 | 10,000 | 9,995 | ||||||
CVS Health Corp., | ||||||||
1.450%, 7-14-17 | 7,000 | 6,996 | ||||||
Hewlett Packard Enterprise Corp., | ||||||||
1.120%, 7-27-17 | 40,000 | 39,966 | ||||||
Kroger Co. (The), | ||||||||
1.340%, 7-5-17 | 4,000 | 3,999 | ||||||
Mattel, Inc.: | ||||||||
1.300%, 7-5-17 | 5,000 | 4,999 | ||||||
1.341%, 7-6-17 | 5,000 | 4,999 | ||||||
1.430%, 7-10-17 | 6,000 | 5,998 | ||||||
McDonalds Corp., | ||||||||
1.460%, 7-27-17 | 5,000 | 4,995 | ||||||
Virginia Electric and Power Co.: | ||||||||
1.310%, 7-6-17 | 5,000 | 4,999 | ||||||
1.410%, 7-14-17 | 5,000 | 4,997 | ||||||
|
| |||||||
122,931 | ||||||||
|
| |||||||
Master Note – 0.8% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (L) | 8,447 | 8,447 | ||||||
|
|
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Municipal Obligations – 0.2% |
| |||||||
MI Strategic Fund, Var Rate Demand Ltd. Oblig Rev Bonds, Ser 2007 (GTD by Air Prods and Chemicals, Inc.) (BVAL plus 23 bps), | ||||||||
0.990%, 7-1-17 (L) | $ | 2,293 | $ | 2,293 | ||||
|
| |||||||
United States Government Agency Obligations – 0.8% |
| |||||||
Overseas Private Investment Corp. (GTD by U.S. Government) (3-Month U.S. TB Rate), | ||||||||
1.070%, 7-7-17 (L) | 8,000 | 8,000 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 14.0% |
| $ | 141,671 | |||||
(Cost: $141,667) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.1% |
| $ | 1,013,622 | |||||
(Cost: $1,028,688) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.1)% |
| (1,234 | ) | |||||
NET ASSETS – 100.0% |
| $ | 1,012,388 |
64 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2017 (UNAUDITED)
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | No dividends were paid during the preceding 12 months. |
(B) | Listed on an exchange outside the United States. |
(C) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017 the total value of these securities amounted to $509,108 or 50.3% of net assets. |
(D) | Securities whose value was determined using significant unobservable inputs. |
(E) | Restricted securities. At June 30, 2017, the Portfolio owned the following restricted securities: |
Security | Acquisition Date(s) | Shares | Cost | Market Value | ||||||||||||||||
Larchmont Resources LLC | 12-8-16 | 1 | $ | 340 | $ | 360 | ||||||||||||||
New Cotai Participation Corp., Class B | 4-12-13 | — | * | 62 | 53 | |||||||||||||||
Pinnacle Agriculture Enterprises LLC | 3-10-17 | 4,583 | 2,083 | 3,547 | ||||||||||||||||
Sabine Oil & Gas Corp. | 12-7-16 | — | * | 12 | 11 | |||||||||||||||
Sabine Oil & Gas Corp., expires 12-29-29 | 12-7-16 | 1 | 7 | 6 | ||||||||||||||||
|
| |||||||||||||||||||
$ | 2,504 | $ | 3,977 | |||||||||||||||||
|
|
The total value of these securities represented 0.4% of net assets at June 30, 2017. |
(F) | Deemed to be an affiliate due to the Portfolio owning at least 5% of the voting securities. |
(G) | Warrants entitle the Portfolio to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
(H) | Principal amounts are denominated in the indicated foreign currency, where applicable (EUR—Euro). |
(I) | Zero coupon bond. |
(J) | Payment-in-kind bond which may pay interest in additional par and/or in cash. Rates shown are the current rate and possible payment rates. |
(K) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at June 30, 2017. |
(L) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(M) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Description of the reference rate and spread, if applicable, are included in the security description. |
(N) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(O) | Rate shown is the yield to maturity at June 30, 2017. |
The following forward foreign currency contracts were outstanding at June 30, 2017:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
Canadian Dollar | 3,694 | U.S. Dollar | 2,779 | 7-24-17 | Morgan Stanley International | $ | — | $ | 71 | |||||||||||||||||||
Euro | 2,215 | U.S. Dollar | 2,473 | 7-24-17 | Morgan Stanley International | — | 60 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | — | $ | 131 | |||||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 1,790 | $ | — | $ | 53 | ||||||
Energy | 1,227 | 371 | — | |||||||||
Total Common Stocks | $ | 3,017 | $ | 371 | $ | 53 | ||||||
Preferred Stocks | 637 | 3,547 | — | |||||||||
Warrants | — | 6 | — | |||||||||
Corporate Debt Securities | — | 703,154 | — | |||||||||
Loans | — | 140,717 | 20,449 |
2017 | SEMIANNUAL REPORT | 65 |
SCHEDULE OF INVESTMENTS | HIGH INCOME (in thousands) |
JUNE 30, 2017 (UNAUDITED)
Level 1 | Level 2 | Level 3 | ||||||||||
Short-Term Securities | $ | — | $ | 141,671 | $ | — | ||||||
Total | $ | 3,654 | $ | 989,466 | $ | 20,502 | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 131 | $ | — |
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
Common Stocks | Loans | |||||||
Beginning Balance 1-1-17 | $ | 393 | $ | 26,340 | ||||
Net realized gain (loss) | — | (216 | ) | |||||
Net change in unrealized appreciation (depreciation) | — | 661 | ||||||
Purchases | — | 4,053 | ||||||
Sales | — | (6,218 | ) | |||||
Amortization/Accretion of premium/discount | — | 19 | ||||||
Transfers into Level 3 during the period | — | 5,794 | ||||||
Transfers out of Level 3 during the period | (340 | ) | (9,984 | ) | ||||
Ending Balance 6-30-17 | $ | 53 | $ | 20,449 | ||||
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 6-30-17 | $ | — | $ | 328 |
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, 2017, there were no transfers between Levels 1 and 2.
Information about Level 3 fair value measurements:
Fair Value at 6-30-17 | Valuation Technique(s) | Unobservable Input(s) | ||||||
Assets | ||||||||
Common Stocks | $ | 53 | Broker | Broker quotes | ||||
Loans | 20,449 | Third-party valuation service | Broker quotes |
The following acronyms are used throughout this schedule:
BVAL = Bloomberg Valuation Municipal AAA Benchmark
GTD = Guaranteed
ICE = Intercontinental Exchange
LIBOR = London Interbank Offered Rate
REITS = Real Estate Investment Trusts
TB = Treasury Bill
See Accompanying Notes to Financial Statements.
66 | SEMIANNUAL REPORT | 2017 |
PORTFOLIO HIGHLIGHTS | INTERNATIONAL CORE EQUITY |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 97.3% | |||
Industrials | 17.5% | |||
Financials | 16.0% | |||
Consumer Discretionary | 14.4% | |||
Consumer Staples | 11.9% | |||
Health Care | 10.0% | |||
Energy | 9.8% | |||
Materials | 6.2% | |||
Information Technology | 6.1% | |||
Telecommunication Services | 5.4% | |||
Rights | 0.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.7% |
Country Weightings
Europe | 59.9% | |||
United Kingdom | 16.5% | |||
France | 13.2% | |||
Germany | 12.1% | |||
Switzerland | 7.5% | |||
Netherlands | 3.7% | |||
Other Europe | 6.9% | |||
Pacific Basin | 29.7% | |||
Japan | 17.0% | |||
China | 5.0% | |||
Other Pacific Basin | 7.7% | |||
North America | 3.8% | |||
Canada | 3.8% | |||
Other | 2.8% | |||
South America | 1.1% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.7% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Total S.A. | France | Energy | Integrated Oil & Gas | |||
Bayer AG | Germany | Health Care | Pharmaceuticals | |||
Nestle S.A., Registered Shares | Switzerland | Consumer Staples | Packaged Foods & Meats | |||
Danone S.A. | France | Consumer Staples | Packaged Foods & Meats | |||
Isuzu Motors Ltd. | Japan | Consumer Discretionary | Automobile Manufacturers | |||
Orange S.A. | France | Telecommunication Services | Integrated Telecommunication Services | |||
AIA Group Ltd. | Hong Kong | Financials | Life & Health Insurance | |||
Nippon Telegraph and Telephone Corp. | Japan | Telecommunication Services | Integrated Telecommunication Services | |||
SoftBank Group Corp. | Japan | Telecommunication Services | Wireless Telecommunication Service | |||
Teva Pharmaceutical Industries Ltd. ADR | Israel | 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.
2017 | SEMIANNUAL REPORT | 67 |
SCHEDULE OF INVESTMENTS | INTERNATIONAL CORE EQUITY (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Australia |
| |||||||
Energy – 1.1% |
| |||||||
Oil Search Ltd. | 1,654 | $ | 8,668 | |||||
|
| |||||||
Financials – 1.3% |
| |||||||
Westpac Banking Corp. | 417 | 9,790 | ||||||
|
| |||||||
Total Australia – 2.4% |
| $ | 18,458 | |||||
Brazil |
| |||||||
Information Technology – 1.1% |
| |||||||
MercadoLibre, Inc. | 33 | 8,329 | ||||||
|
| |||||||
Total Brazil – 1.1% |
| $ | 8,329 | |||||
Canada |
| |||||||
Consumer Discretionary – 1.5% |
| |||||||
Magna International, Inc. | 246 | 11,388 | ||||||
|
| |||||||
Energy – 2.3% |
| |||||||
Seven Generations Energy Ltd., Class A (A) | 488 | 8,363 | ||||||
Suncor Energy, Inc. | 341 | 9,956 | ||||||
|
| |||||||
18,319 | ||||||||
|
| |||||||
Total Canada – 3.8% |
| $ | 29,707 | |||||
China |
| |||||||
Consumer Discretionary – 1.2% |
| |||||||
JD.com, Inc. ADR (A) | 251 | 9,832 | ||||||
|
| |||||||
Consumer Staples – 1.1% |
| |||||||
Wuliangye Yibin Co. Ltd., A Shares | 1,033 | 8,479 | ||||||
|
| |||||||
Industrials – 1.0% |
| |||||||
China Communications Construction Co. Ltd., H Shares | 3,580 | 4,613 | ||||||
China Railway Construction Corp. Ltd., A Shares | 1,049 | 1,861 | ||||||
China Railway Construction Corp. Ltd., H Shares | 1,129 | 1,471 | ||||||
|
| |||||||
7,945 | ||||||||
|
| |||||||
Information Technology – 1.7% |
| |||||||
Alibaba Group Holding Ltd. ADR (A) | 92 | 12,991 | ||||||
|
| |||||||
Total China – 5.0% |
| $ | 39,247 | |||||
France |
| |||||||
Consumer Discretionary – 1.1% |
| |||||||
Publicis Groupe S.A. | 121 | 9,011 | ||||||
|
| |||||||
Consumer Staples – 2.0% |
| |||||||
Danone S.A. | 209 | 15,682 | ||||||
|
| |||||||
Energy – 2.2% |
| |||||||
Total S.A. | 350 | 17,305 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Financials – 1.5% |
| |||||||
Axa S.A. | 427 | $ | 11,686 | |||||
|
| |||||||
Industrials – 3.0% |
| |||||||
Airbus SE | 130 | 10,707 | ||||||
Vinci | 151 | 12,914 | ||||||
|
| |||||||
23,621 | ||||||||
|
| |||||||
Materials – 1.5% |
| |||||||
L Air Liquide S.A. | 98 | 12,094 | ||||||
|
| |||||||
Telecommunication Services – 1.9% |
| |||||||
Orange S.A. | 927 | 14,700 | ||||||
|
| |||||||
Total France – 13.2% |
| $ | 104,099 | |||||
Germany |
| |||||||
Consumer Discretionary – 3.7% |
| |||||||
Bayerische Motoren Werke AG | 118 | 10,918 | ||||||
Continental AG | 45 | 9,625 | ||||||
ProSiebenSat. 1 Media SE | 212 | 8,882 | ||||||
|
| |||||||
29,425 | ||||||||
|
| |||||||
Financials – 1.5% |
| |||||||
Deutsche Boerse AG | 111 | 11,724 | ||||||
|
| |||||||
Health Care – 3.8% |
| |||||||
Bayer AG | 132 | 17,033 | ||||||
Fresenius Medical Care AG & Co. KGaA | 135 | 12,940 | ||||||
|
| |||||||
29,973 | ||||||||
|
| |||||||
Industrials – 1.0% |
| |||||||
Siemens AG | 57 | 7,780 | ||||||
|
| |||||||
Information Technology – 1.0% |
| |||||||
SAP AG | 76 | 7,958 | ||||||
|
| |||||||
Materials – 1.1% |
| |||||||
HeidelbergCement AG | 91 | 8,750 | ||||||
|
| |||||||
Total Germany – 12.1% |
| $ | 95,610 | |||||
Hong Kong |
| |||||||
Financials – 1.8% |
| |||||||
AIA Group Ltd. | 1,994 | 14,569 | ||||||
|
| |||||||
Industrials – 1.3% |
| |||||||
Cheung Kong (Holdings) Ltd. | 799 | 10,026 | ||||||
|
| |||||||
Total Hong Kong – 3.1% |
| $ | 24,595 | |||||
India |
| |||||||
Financials – 1.1% |
| |||||||
Axis Bank Ltd. | 1,118 | 8,948 | ||||||
|
| |||||||
Total India – 1.1% |
| $ | 8,948 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Ireland |
| |||||||
Health Care – 1.5% |
| |||||||
Shire Pharmaceuticals Group plc ADR | 74 | $ | 12,161 | |||||
|
| |||||||
Materials – 1.7% |
| |||||||
CRH plc | 312 | 11,116 | ||||||
James Hardie Industries plc, Class C | 133 | 2,095 | ||||||
|
| |||||||
13,211 | ||||||||
|
| |||||||
Total Ireland – 3.2% |
| $ | 25,372 | |||||
Israel |
| |||||||
Health Care – 1.7% |
| |||||||
Teva Pharmaceutical Industries Ltd. ADR | 397 | 13,193 | ||||||
|
| |||||||
Total Israel – 1.7% |
| $ | 13,193 | |||||
Japan |
| |||||||
Consumer Discretionary – 5.2% |
| |||||||
Bridgestone Corp. | 281 | 12,088 | ||||||
Fuji Heavy Industries Ltd. | 301 | 10,118 | ||||||
Isuzu Motors Ltd. | 1,247 | 15,368 | ||||||
Nissin Kogyo Co. Ltd. | 238 | 3,773 | ||||||
|
| |||||||
41,347 | ||||||||
|
| |||||||
Energy – 1.3% |
| |||||||
Inpex Corp. | 1,070 | 10,287 | ||||||
|
| |||||||
Financials – 1.4% |
| |||||||
Kabushiki Kaisha Mitsubishi Tokyo Financial Group | 1,392 | 9,343 | ||||||
Tokio Marine Holdings, Inc. | 46 | 1,894 | ||||||
|
| |||||||
11,237 | ||||||||
|
| |||||||
Industrials – 4.4% |
| |||||||
Komatsu Ltd. | 348 | 8,832 | ||||||
Mitsubishi Electric Corp. | 580 | 8,328 | ||||||
Seibu Holdings, Inc. | 458 | 8,459 | ||||||
SMC Corp. | 29 | 8,684 | ||||||
|
| |||||||
34,303 | ||||||||
|
| |||||||
Information Technology – 1.2% |
| |||||||
Yahoo Japan Corp. | 2,207 | 9,595 | ||||||
|
| |||||||
Telecommunication Services – 3.5% |
| |||||||
Nippon Telegraph and Telephone Corp. | 303 | 14,281 | ||||||
SoftBank Group Corp. | 166 | 13,426 | ||||||
|
| |||||||
27,707 | ||||||||
|
| |||||||
Total Japan – 17.0% |
| $ | 134,476 |
68 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | INTERNATIONAL CORE EQUITY (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS (Continued) | Shares | Value | ||||||
Luxembourg |
| |||||||
Energy – 0.9% |
| |||||||
Tenaris S.A. | 237 | $ | 3,697 | |||||
Tenaris S.A. ADR | 114 | 3,534 | ||||||
|
| |||||||
7,231 | ||||||||
|
| |||||||
Total Luxembourg – 0.9% |
| $ | 7,231 | |||||
Netherlands |
| |||||||
Consumer Staples – 1.6% |
| |||||||
Koninklijke Ahold Delhaize N.V. | 657 | 12,554 | ||||||
|
| |||||||
Energy – 0.6% |
| |||||||
Royal Dutch Petroleum Co., New York Shares | 94 | 4,999 | ||||||
|
| |||||||
Financials – 1.5% |
| |||||||
ING Groep N.V., Certicaaten Van Aandelen | 692 | 11,926 | ||||||
|
| |||||||
Total Netherlands – 3.7% |
| $ | 29,479 | |||||
Norway |
| |||||||
Financials – 1.3% |
| |||||||
DNB ASA | 616 | 10,482 | ||||||
|
| |||||||
Total Norway – 1.3% |
| $ | 10,482 | |||||
South Africa |
| |||||||
Consumer Discretionary – 1.1% |
| |||||||
Naspers Ltd., Class N | 42 | 8,248 | ||||||
|
| |||||||
Total South Africa – 1.1% |
| $ | 8,248 | |||||
South Korea |
| |||||||
Information Technology – 1.1% |
| |||||||
Samsung Electronics Co. Ltd. | 4 | 8,871 | ||||||
|
| |||||||
Total South Korea – 1.1% |
| $ | 8,871 | |||||
Spain |
| |||||||
Industrials – 1.5% |
| |||||||
ACS Actividades de Construccion y Servicios S.A. | 302 | 11,648 | ||||||
|
| |||||||
Total Spain – 1.5% |
| $ | 11,648 | |||||
Switzerland |
| |||||||
Consumer Staples – 2.1% |
| |||||||
Nestle S.A., Registered Shares | 191 | 16,579 | ||||||
|
| |||||||
Financials – 1.5% |
| |||||||
UBS Group AG | 705 | 11,945 | ||||||
|
| |||||||
Health Care – 1.1% |
| |||||||
Roche Holdings AG, Genusscheine | 34 | 8,760 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrials – 2.8% |
| |||||||
Adecco S.A. | 154 | $ | 11,723 | |||||
Wolseley plc | 169 | 10,362 | ||||||
|
| |||||||
22,085 | ||||||||
|
| |||||||
Total Switzerland – 7.5% |
| $ | 59,369 | |||||
United Kingdom |
| |||||||
Consumer Discretionary – 0.6% |
| |||||||
Whitbread plc | 87 | 4,516 | ||||||
|
| |||||||
Consumer Staples – 5.1% |
| |||||||
British American Tobacco plc | 156 | 10,660 | ||||||
Imperial Tobacco Group plc | 236 | 10,588 | ||||||
Reckitt Benckiser Group plc | 102 | 10,382 | ||||||
Unilever plc | 159 | 8,623 | ||||||
|
| |||||||
40,253 | ||||||||
|
| |||||||
Energy – 1.4% |
| |||||||
Royal Dutch Shell plc, Class A | 416 | 11,043 | ||||||
|
| |||||||
Financials – 3.1% |
| |||||||
Prudential plc | 559 | 12,826 | ||||||
Standard Chartered plc | 1,147 | 11,590 | ||||||
|
| |||||||
24,416 | ||||||||
|
| |||||||
Health Care – 1.9% |
| |||||||
Shire plc | 105 | 5,812 | ||||||
Smith & Nephew plc | 526 | 9,083 | ||||||
|
| |||||||
14,895 | ||||||||
|
| |||||||
Industrials – 2.5% |
| |||||||
Babcock International Group plc | 785 | 9,004 | ||||||
BAE Systems plc | 1,340 | 11,058 | ||||||
|
| |||||||
20,062 | ||||||||
|
| |||||||
Materials – 1.9% |
| |||||||
Rio Tinto plc | 283 | 11,929 | ||||||
Rio Tinto plc ADR | 79 | 3,342 | ||||||
|
| |||||||
15,271 | ||||||||
|
| |||||||
Total United Kingdom – 16.5% |
| $ | 130,456 | |||||
TOTAL COMMON STOCKS – 97.3% |
| $ | 767,818 | |||||
(Cost: $709,786) | ||||||||
RIGHTS | ||||||||
Spain – 0.0% |
| |||||||
ACS Actividades de Construccion y Servicios S.A. | 302 | 241 | ||||||
|
| |||||||
TOTAL RIGHTS – 0.0% |
| $ | 241 | |||||
(Cost: $257) |
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper (B) – 1.5% |
| |||||||
McDonalds Corp. | ||||||||
1.460%, 7-27-17 | $ | 5,000 | $ | 4,995 | ||||
Mondelez International, Inc. | ||||||||
1.330%, 7-3-17 | 4,722 | 4,721 | ||||||
Wisconsin Gas LLC | ||||||||
1.190%, 7-6-17 | 2,500 | 2,499 | ||||||
|
| |||||||
12,215 | ||||||||
|
| |||||||
Master Note – 0.4% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps) | ||||||||
1.440%, 7-5-17 (C) | 2,793 | 2,793 | ||||||
|
| |||||||
Municipal Obligations – 0.3% |
| |||||||
NY Metro Trans Auth, Trans Rev Var Rate Bonds, Ser 2005E-3 (GTD by Bank of Montreal) (BVAL plus 21 bps) | ||||||||
0.930%, 7-7-17 (C) | 2,000 | 2,000 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.2% |
| $ | 17,008 | |||||
(Cost: $17,009) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.5% |
| $ | 785,067 | |||||
(Cost: $727,052) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.5% |
| 4,333 | ||||||
NET ASSETS – 100.0% |
| $ | 789,400 |
2017 | SEMIANNUAL REPORT | 69 |
SCHEDULE OF INVESTMENTS | INTERNATIONAL CORE EQUITY (in thousands) |
JUNE 30, 2017 (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, 2017. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following forward foreign currency contracts were outstanding at June 30, 2017:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
U.S. Dollar | 37,721 | Australian Dollar | 49,980 | 7-24-17 | Deutsche Bank AG | $ | 683 | $ | — |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 767,818 | $ | — | $ | — | ||||||
Rights | 241 | — | — | |||||||||
Short-Term Securities | — | 17,008 | — | |||||||||
Total | $ | 768,059 | $ | 17,008 | $ | — | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 683 | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
BVAL = Bloomberg Valuation Municipal AAA Benchmark
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
Market Sector Diversification
(as a % of net assets) | ||||
Industrials | 17.5% | |||
Financials | 16.0% | |||
Consumer Discretionary | 14.4% | |||
Consumer Staples | 11.9% | |||
Health Care | 10.0% | |||
Energy | 9.8% | |||
Materials | 6.2% | |||
Information Technology | 6.1% | |||
Telecommunication Services | 5.4% | |||
Other+ | 2.7% |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
70 | SEMIANNUAL REPORT | 2017 |
PORTFOLIO HIGHLIGHTS | LIMITED-TERM BOND |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Bonds | 94.8% | |||
Corporate Debt Securities | 67.9% | |||
United States Government and Government Agency Obligations | 23.0% | |||
Municipal Bonds – Taxable | 1.8% | |||
Mortgage-Backed Securities | 1.2% | |||
Asset-Backed Securities | 0.9% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 5.2% |
Quality Weightings
Investment Grade | 88.5% | |||
AAA | 1.3% | |||
AA | 27.6% | |||
A | 26.4% | |||
BBB | 33.2% | |||
Non-Investment Grade | 6.3% | |||
BB | 2.2% | |||
B | 0.9% | |||
Non-rated | 3.2% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 5.2% |
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.
2017 | SEMIANNUAL REPORT | 71 |
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2017 (UNAUDITED)
ASSET-BACKED SECURITIES | Principal | Value | ||||||
American Airlines Class AA Pass Through Certificates, | ||||||||
3.200%, 6-15-28 | $ | 974 | $ | 966 | ||||
SBA Tower Trust, Series 2013-1C (GTD by SBA Guarantor LLC and SBA Holdings LLC), | ||||||||
2.240%, 4-16-18 (A) | 1,900 | 1,899 | ||||||
SBA Tower Trust, Series 2016-1 (GTD by SBA Guarantor LLC and SBA Holdings LLC), | ||||||||
2.877%, 7-15-21 (A) | 1,000 | 998 | ||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES – 0.9% |
| $ | 3,863 | |||||
(Cost: $3,882) | ||||||||
CORPORATE DEBT SECURITIES | ||||||||
Consumer Discretionary |
| |||||||
Auto Parts & Equipment – 0.5% |
| |||||||
BorgWarner Automotive, Inc., | ||||||||
8.000%, 10-1-19 | 2,000 | 2,244 | ||||||
|
| |||||||
Automobile Manufacturers – 1.4% |
| |||||||
BMW U.S. Capital LLC, | ||||||||
2.150%, 4-6-20 (A) | 2,000 | 2,010 | ||||||
Toyota Motor Credit Corp., | ||||||||
2.000%, 10-24-18 | 4,000 | 4,022 | ||||||
|
| |||||||
6,032 | ||||||||
|
| |||||||
Cable & Satellite – 1.3% |
| |||||||
Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal), | ||||||||
1.625%, 1-15-22 | 750 | 729 | ||||||
DIRECTV Holdings LLC and DIRECTV Financing Co., Inc., | ||||||||
4.450%, 4-1-24 | 1,190 | 1,253 | ||||||
Time Warner Co., Inc. (GTD by Time Warner, Inc.), | ||||||||
7.250%, 10-15-17 | 3,337 | 3,388 | ||||||
|
| |||||||
5,370 | ||||||||
|
| |||||||
General Merchandise Stores – 1.0% |
| |||||||
Family Dollar Stores, Inc., | ||||||||
5.000%, 2-1-21 | 4,000 | 4,280 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.5% |
| |||||||
Amazon.com, Inc., | ||||||||
1.200%, 11-29-17 | 2,000 | 1,999 | ||||||
|
| |||||||
Total Consumer Discretionary – 4.7% |
| 19,925 | ||||||
Consumer Staples |
| |||||||
Brewers – 0.2% |
| |||||||
Molson Coors Brewing Co., | ||||||||
2.250%, 3-15-20 (A) | 750 | 750 | ||||||
|
| |||||||
Distillers & Vintners – 0.1% |
| |||||||
Constellation Brands, Inc., | ||||||||
2.700%, 5-9-22 | 600 | 599 | ||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Drug Retail – 0.5% |
| |||||||
CVS Health Corp., | ||||||||
2.250%, 12-5-18 | $ | 2,000 | $ | 2,012 | ||||
|
| |||||||
Food Distributors – 0.6% |
| |||||||
Bestfoods, | ||||||||
7.000%, 10-15-17 | 2,500 | 2,539 | ||||||
|
| |||||||
Food Retail – 0.5% |
| |||||||
Kroger Co. (The): | ||||||||
6.800%, 12-15-18 | 1,245 | 1,328 | ||||||
1.500%, 9-30-19 | 750 | 739 | ||||||
|
| |||||||
2,067 | ||||||||
|
| |||||||
Packaged Foods & Meats – 0.4% |
| |||||||
Smithfield Foods, Inc., | ||||||||
2.700%, 1-31-20 (A) | 2,000 | 2,010 | ||||||
|
| |||||||
Total Consumer Staples – 2.3% |
| 9,977 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 0.4% |
| |||||||
Statoil ASA (GTD by | ||||||||
1.950%, 11-8-18 | 1,500 | 1,505 | ||||||
|
| |||||||
Oil & Gas Equipment & Services – 0.8% |
| |||||||
Enterprise Products Operating LLC (GTD by Enterprise Products Partners L.P.), | ||||||||
6.500%, 1-31-19 | 1,850 | 1,973 | ||||||
Schlumberger Norge A.S. (GTD by Schlumberger Ltd.), | ||||||||
1.250%, 8-1-17 (A) | 1,500 | 1,500 | ||||||
|
| |||||||
3,473 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 2.0% |
| |||||||
Aker BP ASA, | ||||||||
6.000%, 7-1-22 (A) | 1,000 | 1,030 | ||||||
BP Capital Markets plc (GTD by BP plc), | ||||||||
1.674%, 2-13-18 | 3,750 | 3,752 | ||||||
EQT Corp., | ||||||||
8.125%, 6-1-19 | 2,650 | 2,925 | ||||||
Exxon Mobil Corp., | ||||||||
2.397%, 3-6-22 | 1,000 | 1,005 | ||||||
|
| |||||||
8,712 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.6% |
| |||||||
Shell International Finance B.V. (GTD by Royal Dutch Shell plc), | ||||||||
2.000%, 11-15-18 | 2,625 | 2,642 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 3.3% |
| |||||||
Enbridge, Inc., | ||||||||
2.900%, 7-15-22 | 2,000 | 1,996 | ||||||
EnLink Midstream Partners L.P., | ||||||||
4.850%, 7-15-26 | 1,000 | 1,040 | ||||||
Kinder Morgan Energy Partners L.P.: | ||||||||
3.500%, 3-1-21 | 1,000 | 1,024 | ||||||
3.450%, 2-15-23 | 1,646 | 1,656 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Oil & Gas Storage & Transportation (Continued) |
| |||||||
NGPL PipeCo LLC, | ||||||||
7.119%, 12-15-17 (A) | $ | 4,000 | $ | 4,075 | ||||
Plains All American Pipeline L.P. and PAA Finance Corp., | ||||||||
3.850%, 10-15-23 | 1,800 | 1,812 | ||||||
Spectra Energy Partners L.P., | ||||||||
2.950%, 9-25-18 | 1,475 | 1,492 | ||||||
Sunoco Logistics Partners Operations L.P. (GTD by Sunoco Logistics Partners L.P.), | ||||||||
4.400%, 4-1-21 | 800 | 840 | ||||||
|
| |||||||
13,935 | ||||||||
|
| |||||||
Total Energy – 7.1% |
| 30,267 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.7% |
| |||||||
Ares Capital Corp., | ||||||||
3.875%, 1-15-20 | 2,820 | 2,875 | ||||||
|
| |||||||
Consumer Finance – 5.4% |
| |||||||
Ally Financial, Inc., | ||||||||
4.125%, 3-30-20 | 2,950 | 3,031 | ||||||
American Honda Finance Corp.: | ||||||||
7.625%, 10-1-18 (A) | 1,000 | 1,073 | ||||||
2.125%, 10-10-18 | 3,000 | 3,020 | ||||||
Capital One Financial Corp., | ||||||||
6.750%, 9-15-17 | 1,000 | 1,010 | ||||||
Discover Financial Services, | ||||||||
3.950%, 11-6-24 | 2,000 | 2,031 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
5.000%, 5-15-18 | 1,126 | 1,155 | ||||||
2.681%, 1-9-20 | 1,000 | 1,007 | ||||||
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.): | ||||||||
2.400%, 5-9-19 | 3,000 | 3,008 | ||||||
3.200%, 7-6-21 | 1,000 | 1,011 | ||||||
Hyundai Capital America, | ||||||||
2.875%, 8-9-18 (A) | 1,000 | 1,008 | ||||||
Synchrony Financial: | ||||||||
1.875%, 8-15-17 | 1,475 | 1,475 | ||||||
2.600%, 1-15-19 | 1,995 | 2,006 | ||||||
Synchrony Financial (3-Month U.S. LIBOR plus 140 bps), | ||||||||
2.580%, 11-9-17 (B) | 2,114 | 2,121 | ||||||
|
| |||||||
22,956 | ||||||||
|
| |||||||
Diversified Banks – 6.3% |
| |||||||
ABN AMRO Bank N.V., | ||||||||
2.100%, 1-18-19 (A) | 2,000 | 2,003 | ||||||
Bank of America Corp.: | ||||||||
2.625%, 4-19-21 | 1,000 | 1,004 | ||||||
3.124%, 1-20-23 | 3,000 | 3,033 | ||||||
4.100%, 7-24-23 | 1,666 | 1,764 | ||||||
Bank of New York Mellon Corp. (The), | ||||||||
2.300%, 9-11-19 | 2,550 | 2,575 | ||||||
BB&T Corp., | ||||||||
2.050%, 5-10-21 | 1,150 | 1,141 |
72 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2017 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Banks (Continued) |
| |||||||
Bear Stearns Co., Inc. (The), | ||||||||
6.400%, 10-2-17 | $ | 2,000 | $ | 2,023 | ||||
Branch Banking and Trust Co., | ||||||||
1.450%, 5-10-19 | 2,000 | 1,985 | ||||||
Mitsubishi UFJ Financial Group, Inc., | ||||||||
2.998%, 2-22-22 | 500 | 507 | ||||||
Mizuho Financial Group, Inc., | ||||||||
2.273%, 9-13-21 | 2,100 | 2,066 | ||||||
Northern Trust Corp., | ||||||||
2.375%, 8-2-22 | 4,719 | 4,711 | ||||||
Wachovia Corp., | ||||||||
5.750%, 2-1-18 | 1,500 | 1,535 | ||||||
Wells Fargo & Co.: | ||||||||
3.069%, 1-24-23 | 1,500 | 1,520 | ||||||
3.000%, 2-19-25 | 995 | 980 | ||||||
|
| |||||||
26,847 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 3.7% |
| |||||||
Daiwa Securities Group, Inc., | ||||||||
3.129%, 4-19-22 (A) | 3,000 | 3,021 | ||||||
Goldman Sachs Group, Inc. (The): | ||||||||
2.600%, 12-27-20 | 4,000 | 4,021 | ||||||
2.350%, 11-15-21 | 1,000 | 988 | ||||||
3.000%, 4-26-22 | 1,000 | 1,009 | ||||||
4.000%, 3-3-24 | 800 | 838 | ||||||
Morgan Stanley: | ||||||||
2.800%, 6-16-20 | 1,000 | 1,015 | ||||||
2.500%, 4-21-21 | 1,000 | 999 | ||||||
Morgan Stanley (3-Month U.S. LIBOR plus 110 bps), | ||||||||
3.000%, 5-31-23 (B) | 300 | 307 | ||||||
Morgan Stanley (3-Month U.S. LIBOR plus 140 bps), | ||||||||
2.553%, 10-24-23 (B) | 1,000 | 1,017 | ||||||
Raymond James Financial, Inc., | ||||||||
8.600%, 8-15-19 | 2,255 | 2,548 | ||||||
|
| |||||||
15,763 | ||||||||
|
| |||||||
Life & Health Insurance – 1.7% |
| |||||||
Athene Global Funding: | ||||||||
2.875%, 10-23-18 (A) | 2,550 | 2,563 | ||||||
2.750%, 4-20-20 (A) | 1,000 | 1,002 | ||||||
New York Life Global Funding, | ||||||||
1.550%, 11-2-18 (A) | 1,500 | 1,498 | ||||||
Principal Life Global Funding II, | ||||||||
2.625%, 11-19-20 (A) | 2,000 | 2,014 | ||||||
|
| |||||||
7,077 | ||||||||
|
| |||||||
Other Diversified Financial Services – 3.1% |
| |||||||
Citigroup, Inc.: | ||||||||
2.650%, 10-26-20 | 1,000 | 1,009 | ||||||
2.700%, 3-30-21 | 1,000 | 1,006 | ||||||
Citigroup, Inc. (3-Month U.S. LIBOR plus 107 bps), | ||||||||
2.289%, 12-8-21 (B) | 2,500 | 2,524 | ||||||
Fidelity National Information Services, Inc., | ||||||||
2.850%, 10-15-18 | 1,100 | 1,113 | ||||||
JPMorgan Chase & Co.: | ||||||||
2.972%, 1-15-23 | 3,500 | 3,541 | ||||||
3.000%, 2-27-30 (C) | 850 | 821 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Other Diversified Financial Services (Continued) |
| |||||||
USAA Capital Corp., | ||||||||
2.450%, 8-1-20 (A) | $ | 3,245 | $ | 3,274 | ||||
|
| |||||||
13,288 | ||||||||
|
| |||||||
Property & Casualty Insurance – 1.5% |
| |||||||
ACE INA Holdings, Inc. (GTD by ACE Ltd.), | ||||||||
2.300%, 11-3-20 | 2,543 | 2,557 | ||||||
Berkshire Hathaway, Inc.: | ||||||||
2.100%, 8-14-19 | 3,000 | 3,023 | ||||||
2.750%, 3-15-23 | 1,000 | 1,013 | ||||||
|
| |||||||
6,593 | ||||||||
|
| |||||||
Regional Banks – 0.9% |
| |||||||
PNC Bank N.A., | ||||||||
2.400%, 10-18-19 | 870 | 878 | ||||||
PNC Funding Corp. (GTD by PNC Financial Services Group, Inc.), | ||||||||
6.700%, 6-10-19 | 1,447 | 1,574 | ||||||
Sumitomo Mitsui Trust Bank Ltd., | ||||||||
2.050%, 3-6-19 (A) | 1,500 | 1,500 | ||||||
|
| |||||||
3,952 | ||||||||
|
| |||||||
Specialized Finance – 1.6% |
| |||||||
ADOP Co., | ||||||||
6.625%, 10-1-17 (A) | 1,000 | 1,012 | ||||||
Diamond 1 Finance Corp. and Diamond 2 Finance Corp., | ||||||||
3.480%, 6-1-19 (A) | 1,875 | 1,919 | ||||||
Siemens Financieringsmaatschappij N.V. (3-Month U.S. LIBOR plus | ||||||||
1.860%, 3-16-22 (A)(B) | 3,750 | 3,786 | ||||||
|
| |||||||
6,717 | ||||||||
|
| |||||||
Total Financials – 24.9% |
| 106,068 | ||||||
Health Care |
| |||||||
Biotechnology – 0.6% |
| |||||||
Amgen, Inc., | ||||||||
2.200%, 5-11-20 | 2,475 | 2,487 | ||||||
|
| |||||||
Health Care Services – 0.2% |
| |||||||
Cardinal Health, Inc., | ||||||||
1.948%, 6-14-19 | 1,000 | 1,001 | ||||||
|
| |||||||
Health Care Supplies – 1.3% |
| |||||||
Abbott Laboratories, | ||||||||
2.350%, 11-22-19 | 1,150 | 1,159 | ||||||
Catholic Health Initiatives, | ||||||||
2.600%, 8-1-18 | 3,575 | 3,594 | ||||||
Stryker Corp., | ||||||||
2.625%, 3-15-21 | 1,000 | 1,010 | ||||||
|
| |||||||
5,763 | ||||||||
|
| |||||||
Managed Health Care – 0.6% |
| |||||||
Aetna, Inc., | ||||||||
1.500%, 11-15-17 | 2,475 | 2,475 | ||||||
|
| |||||||
Total Health Care – 2.7% |
| 11,726 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Industrials |
| |||||||
Aerospace & Defense – 1.4% |
| |||||||
BAE Systems Holdings, Inc.: | ||||||||
6.375%, 6-1-19 (A) | $ | 2,131 | $ | 2,295 | ||||
3.850%, 12-15-25 (A) | 1,500 | 1,561 | ||||||
BAE Systems plc, | ||||||||
4.750%, 10-11-21 (A) | 748 | 807 | ||||||
Exelis, Inc., | ||||||||
5.550%, 10-1-21 | 460 | 510 | ||||||
Northrop Grumman Corp., | ||||||||
3.250%, 8-1-23 | 680 | 703 | ||||||
|
| |||||||
5,876 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.6% |
| |||||||
FedEx Corp., | ||||||||
8.000%, 1-15-19 | 2,252 | 2,455 | ||||||
|
| |||||||
Airlines – 0.6% |
| |||||||
Aviation Capital Group Corp., | ||||||||
2.875%, 1-20-22 (A) | 1,000 | 996 | ||||||
Southwest Airlines Co., | ||||||||
2.650%, 11-5 -20 | 1,500 | 1,518 | ||||||
|
| |||||||
2,514 | ||||||||
|
| |||||||
Environmental & Facilities Services – 1.7% |
| |||||||
Republic Services, Inc., | ||||||||
3.800%, 5-15 -18 | 4,000 | 4,071 | ||||||
Waste Management, Inc. (GTD by Waste Management Holdings, Inc.): | ||||||||
6.100%, 3-15-18 | 2,540 | 2,617 | ||||||
7.100%, 8-1-26 | 550 | 713 | ||||||
|
| |||||||
7,401 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.5% |
| |||||||
General Electric Capital Corp., | ||||||||
5.012%, 1-1-24 | 2,128 | 2,241 | ||||||
|
| |||||||
Railroads – 0.7% |
| |||||||
Burlington Northern Santa Fe Corp., | ||||||||
5.750%, 3-15-18 | 2,750 | 2,833 | ||||||
|
| |||||||
Total Industrials – 5.5% |
| 23,320 | ||||||
Information Technology |
| |||||||
Application Software – 0.9% |
| |||||||
NVIDIA Corp., | ||||||||
2.200%, 9-16 -21 | 4,000 | 3,955 | ||||||
|
| |||||||
Communications Equipment – 1.5% |
| |||||||
Cisco Systems, Inc., | ||||||||
2.200%, 2-28 -21 | 2,000 | 2,011 | ||||||
Harris Corp., | ||||||||
1.999%, 4-27 -18 | 3,777 | 3,782 | ||||||
L-3 Communications Corp., | ||||||||
3.850%, 12-15 -26 | 750 | 773 | ||||||
|
| |||||||
6,566 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 2.4% |
| |||||||
Alliance Data Systems Corp., | ||||||||
6.375%, 4-1-20 (A) | 1,000 | 1,012 |
2017 | SEMIANNUAL REPORT | 73 |
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2017 (UNAUDITED)
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Data Processing & Outsourced Services (Continued) |
| |||||||
Total System Services, Inc., | ||||||||
2.375%, 6-1 -18 | $ | 4,000 | $ | 4,017 | ||||
Visa, Inc., | ||||||||
2.800%, 12-14 -22 | 5,000 | 5,090 | ||||||
|
| |||||||
10,119 | ||||||||
|
| |||||||
Electronic Manufacturing Services – 0.3% |
| |||||||
Jabil Circuit, Inc., | ||||||||
8.250%, 3-15 -18 | 1,420 | 1,477 | ||||||
|
| |||||||
Home Entertainment Software – 0.7% |
| |||||||
Activision Blizzard, Inc., | ||||||||
2.300%, 9-15 -21 | 3,000 | 2,980 | ||||||
|
| |||||||
Semiconductors – 3.0% |
| |||||||
Broadcom Corp. and Broadcom Cayman Finance Ltd. (GTD by Broadcom Ltd.), | ||||||||
2.375%, 1-15-20 (A) | 1,500 | 1,502 | ||||||
Intel Corp.: | ||||||||
1.850%, 5-11-20 | 3,000 | 3,001 | ||||||
2.450%, 7-29-20 | 1,000 | 1,017 | ||||||
2.875%, 5-11-24 | 2,750 | 2,760 | ||||||
QUALCOMM, Inc.: | ||||||||
2.100%, 5-20-20 | 575 | 578 | ||||||
2.900%, 5-20-24 | 2,000 | 1,995 | ||||||
3.250%, 5-20-27 | 1,770 | 1,774 | ||||||
|
| |||||||
12,627 | ||||||||
|
| |||||||
Systems Software – 1.4% |
| |||||||
CA, Inc., | ||||||||
5.375%, 12-1 -19 | 1,500 | 1,575 | ||||||
Microsoft Corp.: | ||||||||
2.000%, 11-3-20 | 2,000 | 2,007 | ||||||
2.875%, 2-6-24 | 2,250 | 2,286 | ||||||
|
| |||||||
5,868 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.8% |
| |||||||
Apple, Inc.: | ||||||||
1.550%, 2-7-20 | 2,500 | 2,487 | ||||||
2.500%, 2-9-22 | 1,500 | 1,513 | ||||||
Seagate HDD Cayman (GTD by Seagate Technology plc): | ||||||||
3.750%, 11-15-18 (C) | 3,000 | 3,072 | ||||||
4.250%, 3-1-22 (A) | 400 | 407 | ||||||
|
| |||||||
7,479 | ||||||||
|
| |||||||
Total Information Technology – 12.0% |
| 51,071 | ||||||
Materials |
| |||||||
Diversified Chemicals – 0.2% |
| |||||||
Dow Chemical Co. (The), | ||||||||
4.250%, 11-15 -20 | 724 | 769 | ||||||
|
| |||||||
Diversified Metals & Mining – 0.5% |
| |||||||
Glencore Finance Canada Ltd.: | ||||||||
2.700%, 10-25-17 (C) | 1,121 | 1,123 | ||||||
2.700%, 10-25-17 (A)(C) | 905 | 906 | ||||||
|
| |||||||
2,029 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Specialty Chemicals – 0.3% |
| |||||||
Methanex Corp., | ||||||||
3.250%, 12-15 -19 | $ | 1,500 | $ | 1,508 | ||||
|
| |||||||
Total Materials – 1.0% |
| 4,306 | ||||||
Real Estate |
| |||||||
Specialized REITs – 0.4% |
| |||||||
Crown Castle International Corp.: | ||||||||
2.250%, 9-1-21 | 500 | 492 | ||||||
4.875%, 4-15-22 | 1,000 | 1,092 | ||||||
|
| |||||||
1,584 | ||||||||
|
| |||||||
Total Real Estate – 0.4% |
| 1,584 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication Services – 0.7% |
| |||||||
AT&T, Inc., | ||||||||
5.875%, 10-1 -19 | 2,592 | 2,805 | ||||||
|
| |||||||
Wireless Telecommunication Service – 2.6% |
| |||||||
American Tower Corp.: | ||||||||
3.300%, 2-15-21 | 2,500 | 2,565 | ||||||
5.900%, 11-1-21 | 800 | 901 | ||||||
2.250%, 1-15-22 | 2,165 | 2,111 | ||||||
3.375%, 10-15-26 | 1,000 | 979 | ||||||
Crown Castle Towers LLC, | ||||||||
3.222%, 5-15-22 (A) | 1,000 | 1,024 | ||||||
Sprint Nextel Corp., | ||||||||
8.375%, 8-15 -17 | 3,705 | 3,733 | ||||||
|
| |||||||
11,313 | ||||||||
|
| |||||||
Total Telecommunication Services – 3.3% |
| 14,118 | ||||||
Utilities |
| |||||||
Electric Utilities – 3.0% |
| |||||||
Edison International, | ||||||||
2.125%, 4-15 -20 | 1,000 | 1,001 | ||||||
Emera U.S. Finance L.P. (GTD by Emera U.S. Holdings, Inc.), | ||||||||
2.150%, 6-15-19 | 1,000 | 999 | ||||||
Entergy Mississippi, Inc., | ||||||||
2.850%, 6-1 -28 | 1,050 | 1,015 | ||||||
Entergy Texas, Inc., | ||||||||
2.550%, 6-1 -21 | 1,275 | 1,267 | ||||||
MidAmerican Energy Co.: | ||||||||
2.400%, 3-15-19 | 3,000 | 3,031 | ||||||
3.700%, 9-15-23 | 1,545 | 1,630 | ||||||
National Rural Utilities Cooperative Finance Corp.: | ||||||||
1.650%, 2-8-19 | 1,000 | 998 | ||||||
2.400%, 4-25-22 | 2,000 | 2,009 | ||||||
Virginia Electric and Power Co., | 1,000 | 1,003 | ||||||
|
| |||||||
12,953 | ||||||||
|
| |||||||
Multi-Utilities – 1.0% |
| |||||||
Dominion Resources, Inc., | ||||||||
6.400%, 6-15 -18 | 3,000 | 3,130 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Multi-Utilities (Continued) |
| |||||||
Dominion Resources, Inc., Series A, | ||||||||
1.400%, 9-15-17 | $ | 1,000 | $ | 1,000 | ||||
|
| |||||||
4,130 | ||||||||
|
| |||||||
Total Utilities – 4.0% |
| 17,083 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 67.9% |
| $ | 289,445 | |||||
(Cost: $288,152) | ||||||||
MORTGAGE-BACKED SECURITIES | ||||||||
Non-Agency REMIC/CMO – 1.2% |
| |||||||
Bear Stearns Deutsche Bank Trust, Commercial Mortgage Pass-Through Certificates, | ||||||||
5.097%, 9-15-27 (A) | 640 | 680 | ||||||
CFCRE Commercial Mortgage Trust, Series 2015-RUM, Class B (1-Month U.S. LIBOR plus 215 bps), | ||||||||
3.139%, 7-15-30 (A)(B) | 870 | 857 | ||||||
Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, | ||||||||
6.411%, 10-15-41 (A)(B) | 3,500 | 3,741 | ||||||
|
| |||||||
5,278 | ||||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES – 1.2% |
| $ | 5,278 | |||||
(Cost: $5,331) | ||||||||
MUNICIPAL BONDS – TAXABLE | ||||||||
California – 1.1% |
| |||||||
Alameda Corridor Trans Auth, Taxable Sr Lien Rev Bonds, | ||||||||
6.500%, 10-1-19 | 980 | 1,033 | ||||||
CA Various Purp GO Bonds, | ||||||||
7.700%, 11-1-30 | 1,750 | 2,045 | ||||||
The Regents of the Univ of CA, Gen Rev Bonds, Ser 2013AH, | ||||||||
1.796%, 7-1-19 | 1,500 | 1,506 | ||||||
|
| |||||||
4,584 | ||||||||
|
| |||||||
New York – 0.4% |
| |||||||
NYC GO Bonds, Fiscal 2017 Ser A-2, | ||||||||
2.460%, 8-1-26 | 1,750 | 1,678 | ||||||
|
|
74 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2017 (UNAUDITED)
MUNICIPAL BONDS – TAXABLE (Continued) | Principal | Value | ||||||
Texas – 0.3% |
| |||||||
Katy Independent Sch Dist (Fort Bend, Harris and Waller Cntys, TX), Unlimited Tax Sch Bldg Bonds, Ser 2010D, | ||||||||
6.349%, 2-15-41 | $ | 1,150 | $ | 1,264 | ||||
|
| |||||||
TOTAL MUNICIPAL BONDS – TAXABLE – 1.8% |
| $ | 7,526 | |||||
(Cost: $7,662) | ||||||||
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | ||||||||
Agency Obligations – 1.5% |
| |||||||
Federal Home Loan Bank: | ||||||||
2.500%, 4-27-26 | 2,000 | 1,950 | ||||||
1.750%, 7-21-31 | 1,640 | 1,620 | ||||||
1.700%, 7-25-31 | 1,500 | 1,457 | ||||||
2.000%, 11-25-31 | 200 | 194 | ||||||
U.S. Department of Transportation, | ||||||||
6.001%, 12-7-21 (A) | 1,000 | 1,166 | ||||||
|
| |||||||
6,387 | ||||||||
|
| |||||||
Mortgage-Backed Obligations – 10.9% |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO, | ||||||||
2.699%, 5-25-18 | 1,027 | 1,035 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Year U.S. Treasury index plus 400 bps), | ||||||||
5.045%, 7-25-44 (A)(B) | 1,100 | 1,125 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (3-Year U.S. Treasury index plus 315 bps), | ||||||||
4.793%, 11-25-49 (A)(B) | 1,620 | 1,716 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 1-Month U.S. LIBOR): | ||||||||
4.245%, 6-25-21 (A)(B) | 484 | 489 | ||||||
5.024%, 9-25-22 (A)(B) | 884 | 861 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 1-year U.S. Treasury index), | ||||||||
4.301%, 9-25-44 (A)(B) | 2,000 | 2,045 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 2-year U.S. Treasury index), | ||||||||
3.883%, 2-25-45 (A)(B) | 1,906 | 1,949 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 3-year U.S. Treasury index): | ||||||||
5.685%, 4-25-20 (A)(B) | 880 | 950 | ||||||
4.492%, 1-25-46 (A)(B) | 1,000 | 1,060 | ||||||
4.121%, 2-25-46 (A)(B) | 70 | 73 | ||||||
4.573%, 12-25-48 (A)(B) | 3,625 | 3,841 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index): | ||||||||
3.668%, 2-25-22 (A)(B) | 1,000 | 1,001 |
UNITED STATES GOVERNMENT (Continued) | Principal | Value | ||||||
Mortgage-Backed Obligations (Continued) |
| |||||||
5.116%, 8-25-44 (A)(B) | $ | 1,000 | $ | 1,088 | ||||
4.490%, 12-25-44 (A)(B) | 3,047 | 3,242 | ||||||
4.005%, 5-25-45 (A)(B) | 600 | 630 | ||||||
4.752%, 11-25-46 (A)(B) | 1,557 | 1,675 | ||||||
3.681%, 11-25-47 (A)(B) | 365 | 367 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 6-month U.S. Treasury index), | ||||||||
4.395%, 7-25-48 (A)(B) | 1,275 | 1,281 | ||||||
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates: | ||||||||
1.750%, 4-27-20 | 2,000 | 2,002 | ||||||
3.000%, 9-1-28 | 3,112 | 3,190 | ||||||
4.500%, 8-1-30 | 889 | 953 | ||||||
2.500%, 5-15-44 | 823 | 828 | ||||||
Federal National Mortgage Association Agency REMIC/CMO: | ||||||||
2.990%, 11-1-18 | 1,683 | 1,707 | ||||||
2.000%, 6-25-39 | 2,852 | 2,852 | ||||||
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | ||||||||
2.210%, 10-1-19 | 2,282 | 2,281 | ||||||
4.646%, 7-1-20 | 1,683 | 1,775 | ||||||
3.680%, 2-1-21 | 1,025 | 1,048 | ||||||
4.381%, 6-1-21 | 1,763 | 1,897 | ||||||
2.000%, 10-25-41 | 2,071 | 2,038 | ||||||
Government National Mortgage Association Agency REMIC/CMO, | ||||||||
2.000%, 3-16-42 | 1,245 | 1,234 | ||||||
|
| |||||||
46,233 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 12.4% | $ | 52,620 | ||||||
(Cost: $52,955) | ||||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
Treasury Obligations – 10.6% |
| |||||||
U.S. Treasury Notes: | ||||||||
0.750%, 10-31-17 | 5,000 | 4,994 | ||||||
2.750%, 2-28-18 | 9,000 | 9,088 | ||||||
1.750%, 10-31-20 | 8,000 | 8,033 | ||||||
2.000%, 12-31-21 | 8,000 | 8,058 | ||||||
1.875%, 2-28-22 | 15,000 | 15,016 | ||||||
|
| |||||||
45,189 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 10.6% |
| $ | 45,189 | |||||
(Cost: $45,075) |
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper (E) – 8.6% |
| |||||||
Comcast Corp.: | ||||||||
1.440%, 7-12-17 | $ | 10,000 | $ | 9,995 | ||||
1.480%, 7-26-17 | 4,000 | 3,996 | ||||||
General Mills, Inc., | ||||||||
1.320%, 7-5-17 | 8,000 | 7,998 | ||||||
Mattel, Inc., | ||||||||
1.300%, 7-5-17 | 5,000 | 4,999 | ||||||
Virginia Electric and Power Co., | ||||||||
1.310%, 7-6-17 | 10,000 | 9,998 | ||||||
|
| |||||||
36,986 | ||||||||
|
| |||||||
Master Note – 0.3% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (D) | 1,269 | 1,269 | ||||||
|
| |||||||
Municipal Obligations – 0.6% |
| |||||||
NYC GO Bonds, Fiscal 2008 Ser L-4 (GTD by U.S. Bank N.A.) (BVAL plus 16 bps), | ||||||||
0.940%, 7-1-17 (D) | 2,400 | 2,400 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 9.5% |
| $ | 40,655 | |||||
(Cost: $40,658) | ||||||||
TOTAL INVESTMENT |
| $ | 444,576 | |||||
(Cost: $443,715) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (4.3)% |
| (18,198 | ) | |||||
NET ASSETS – 100.0% |
| $ | 426,378 |
2017 | SEMIANNUAL REPORT | 75 |
SCHEDULE OF INVESTMENTS | LIMITED-TERM BOND (in thousands) |
JUNE 30, 2017 (UNAUDITED)
Notes to Schedule of Investments
(A) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017 the total value of these securities amounted to $80,292 or 18.8% of net assets. |
(B) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Description of the reference rate and spread, if applicable, are included in the security description. |
(C) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at June 30, 2017. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
(E) | Rate shown is the yield to maturity at June 30, 2017. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | — | $ | 3,863 | $ | — | ||||||
Corporate Debt Securities | — | 289,445 | — | |||||||||
Mortgage-Backed Securities | — | 5,278 | — | |||||||||
Municipal Bonds | — | 7,526 | — | |||||||||
United States Government Agency Obligations | — | 52,620 | — | |||||||||
United States Government Obligations | — | 45,189 | — | |||||||||
Short-Term Securities | — | 40,655 | — | |||||||||
Total | $ | — | $ | 444,576 | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
BVAL = Bloomberg Valuation Municipal AAA Benchmark
CMO = Collateralized Mortgage Obligation
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
REIT = Real Estate Investment Trust
REMIC = Real Estate Mortgage Investment Conduit
See Accompanying Notes to Financial Statements.
76 | SEMIANNUAL REPORT | 2017 |
PORTFOLIO HIGHLIGHTS | MICRO CAP GROWTH |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 88.6% | |||
Information Technology | 28.4% | |||
Health Care | 25.4% | |||
Industrials | 11.5% | |||
Consumer Discretionary | 11.0% | |||
Energy | 5.2% | |||
Materials | 2.5% | |||
Consumer Staples | 1.9% | |||
Real Estate | 1.7% | |||
Financials | 1.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 11.4% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Aerie Pharmaceuticals, Inc. | Health Care | Pharmaceuticals | ||
Tile Shop Holdings, Inc. | Consumer Discretionary | Home Improvement Retail | ||
8x8, Inc. | Information Technology | Application Software | ||
GTT Communications, Inc. | Information Technology | Internet Software & Services | ||
K2M Group Holdings, Inc. | Health Care | Health Care Equipment | ||
Nautilus Group, Inc. (The) | Consumer Discretionary | Leisure Products | ||
Mimecast Ltd. | Information Technology | Internet Software & Services | ||
Kornit Digital Ltd. | Industrials | Industrial Machinery | ||
Q2 Holdings, Inc. | Information Technology | Internet Software & Services | ||
MYR Group, Inc. | Industrials | Construction & Engineering |
See your advisor or www.waddell.com for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2017 | SEMIANNUAL REPORT | 77 |
SCHEDULE OF INVESTMENTS | MICRO CAP GROWTH (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Auto Parts & Equipment – 2.5% |
| |||||||
Motorcar Parts of America, Inc. (A) | 63 | $ | 1,782 | |||||
|
| |||||||
Home Improvement Retail – 3.7% |
| |||||||
Tile Shop Holdings, Inc. | 129 | 2,654 | ||||||
|
| |||||||
Leisure Products – 3.0% |
| |||||||
Nautilus Group, Inc. (The) (A) | 114 | 2,175 | ||||||
|
| |||||||
Restaurants – 0.2% |
| |||||||
Carrols Restaurant Group, Inc. (A) | 10 | 125 | ||||||
|
| |||||||
Specialty Stores – 1.6% |
| |||||||
Sportsman’s Warehouse Holdings, Inc. (A) | 222 | 1,199 | ||||||
|
| |||||||
Total Consumer Discretionary – 11.0% |
| 7,935 | ||||||
Consumer Staples |
| |||||||
Distillers & Vintners – 1.5% |
| |||||||
MGP Ingredients, Inc. | 21 | 1,059 | ||||||
|
| |||||||
Packaged Foods & Meats – 0.4% |
| |||||||
Inventure Foods, Inc. (A) | 65 | 279 | ||||||
|
| |||||||
Total Consumer Staples – 1.9% |
| 1,338 | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 2.4% |
| |||||||
Natural Gas Services Group, Inc. (A) | 41 | 1,021 | ||||||
NCS Multistage Holdings, Inc. (A) | 27 | 688 | ||||||
|
| |||||||
1,709 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 2.8% |
| |||||||
Earthstone Energy, Inc. (A) | 41 | 409 | ||||||
Resolute Energy Corp. (A) | 11 | 316 | ||||||
Ring Energy, Inc. (A) | 101 | 1,307 | ||||||
|
| |||||||
2,032 | ||||||||
|
| |||||||
Total Energy – 5.2% |
| 3,741 | ||||||
Financials |
| |||||||
Regional Banks – 1.0% |
| |||||||
State Bank Financial Corp. | 28 | 746 | ||||||
|
| |||||||
Total Financials – 1.0% |
| 746 | ||||||
Health Care |
| |||||||
Biotechnology – 1.0% |
| |||||||
Natera, Inc. (A) | 65 | 709 | ||||||
|
| |||||||
Health Care Equipment – 12.4% |
| |||||||
AxoGen, Inc. (A) | 90 | 1,507 | ||||||
Entellus Medical, Inc. (A) | 89 | 1,474 | ||||||
K2M Group Holdings, Inc. (A) | 94 | 2,290 | ||||||
Obalon Therapeutics, Inc. (A) | 69 | 685 | ||||||
Oxford Immunotec Global plc (A) | 67 | 1,134 | ||||||
Tactile Systems Technology, Inc. (A) | 65 | 1,866 | ||||||
|
| |||||||
8,956 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care Services – 1.2% |
| |||||||
Teladoc, Inc. (A) | 26 | $ | 888 | |||||
|
| |||||||
Health Care Technology – 4.7% |
| |||||||
Evolent Health, Inc., Class A (A) | 69 | 1,744 | ||||||
Omnicell, Inc. (A) | 35 | 1,509 | ||||||
Tabula Rasa HealthCare, Inc. (A) | 12 | 182 | ||||||
|
| |||||||
3,435 | ||||||||
|
| |||||||
Pharmaceuticals – 6.1% |
| |||||||
Aerie Pharmaceuticals, Inc. (A) | 52 | 2,722 | ||||||
Intersect ENT, Inc. (A) | 42 | 1,182 | ||||||
Revance Therapeutics, Inc. (A) | 20 | 520 | ||||||
|
| |||||||
4,424 | ||||||||
|
| |||||||
Total Health Care – 25.4% |
| 18,412 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 2.6% |
| |||||||
Mercury Computer Systems, Inc. (A) | 45 | 1,890 | ||||||
|
| |||||||
Building Products – 3.2% |
| |||||||
American Woodmark Corp. (A) | 10 | 975 | ||||||
PGT Innovations, Inc. (A) | 106 | 1,355 | ||||||
|
| |||||||
2,330 | ||||||||
|
| |||||||
Construction & Engineering – 2.8% |
| |||||||
MYR Group, Inc. (A) | 65 | 2,007 | ||||||
|
| |||||||
Industrial Machinery – 2.9% |
| |||||||
Kornit Digital Ltd. (A) | 110 | 2,128 | ||||||
|
| |||||||
Total Industrials – 11.5% |
| 8,355 | ||||||
Information Technology |
| |||||||
Application Software – 4.5% |
| |||||||
8x8, Inc. (A) | 165 | 2,401 | ||||||
BlackLine, Inc. (A) | 24 | 872 | ||||||
|
| |||||||
3,273 | ||||||||
|
| |||||||
Communications Equipment – 1.8% |
| |||||||
Oclaro, Inc. (A) | 142 | 1,322 | ||||||
|
| |||||||
Internet Software & Services – 15.0% |
| |||||||
Cornerstone OnDemand, Inc. (A) | 41 | 1,469 | ||||||
Five9, Inc. (A) | 38 | 818 | ||||||
GTT Communications, Inc. (A) | 74 | 2,339 | ||||||
Mimecast Ltd. (A) | 81 | 2,168 | ||||||
Q2 Holdings, Inc. (A) | 56 | 2,084 | ||||||
SPS Commerce, Inc. (A) | 31 | 1,996 | ||||||
|
| |||||||
10,874 | ||||||||
|
| |||||||
Semiconductor Equipment – 3.8% |
| |||||||
Aehr Test Systems (A) | 122 | 459 | ||||||
Ichor Holdings Ltd. (A) | 34 | 681 | ||||||
PDF Solutions, Inc. (A) | 99 | 1,622 | ||||||
|
| |||||||
2,762 | ||||||||
|
| |||||||
Semiconductors – 2.7% |
| |||||||
NVE Corp. | 25 | 1,910 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Systems Software – 0.6% |
| |||||||
Appian Corp. (A) | 23 | $ | 417 | |||||
|
| |||||||
Total Information Technology – 28.4% |
| 20,558 | ||||||
Materials |
| |||||||
Aluminum – 0.8% |
| |||||||
Century Aluminum Co. (A) | 38 | 589 | ||||||
|
| |||||||
Specialty Chemicals – 1.7% |
| |||||||
Flotek Industries, Inc. (A)(B) | 13 | 116 | ||||||
Flotek Industries, Inc. (A) | 126 | 1,125 | ||||||
|
| |||||||
1,241 | ||||||||
|
| |||||||
Total Materials – 2.5% |
| 1,830 | ||||||
Real Estate |
| |||||||
Health Care REITs – 1.7% |
| |||||||
Community Healthcare Trust, Inc. | 47 | 1,196 | ||||||
|
| |||||||
Total Real Estate – 1.7% |
| 1,196 | ||||||
TOTAL COMMON STOCKS – 88.6% |
| $ | 64,111 | |||||
(Cost: $46,876) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (C) – 7.9% |
| |||||||
Sonoco Products Co., | ||||||||
1.330%, 7-3-17 | $ | 3,708 | 3,708 | |||||
Wisconsin Gas LLC, | ||||||||
1.190%, 7-6-17 | 2,000 | 1,999 | ||||||
|
| |||||||
5,707 | ||||||||
|
| |||||||
Master Note – 3.8% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (D) | 2,776 | 2,776 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 11.7% |
| $ | 8,483 | |||||
(Cost: $8,484) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.3% |
| $ | 72,594 | |||||
(Cost: $55,360) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.3)% |
| (202 | ) | |||||
NET ASSETS – 100.0% | $ | 72,392 |
78 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | MICRO CAP GROWTH (in thousands) |
JUNE 30, 2017 (UNAUDITED)
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017 the total value of these securities amounted to $116 or 0.2% of net assets. |
(C) | Rate shown is the yield to maturity at June 30, 2017. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 64,111 | $ | — | $ | — | ||||||
Short-Term Securities | — | 8,483 | — | |||||||||
Total | $ | 64,111 | $ | 8,483 | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
LIBOR = London Interbank Offered Rate
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 79 |
PORTFOLIO HIGHLIGHTS | MID CAP GROWTH |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 98.4% | |||
Information Technology | 27.8% | |||
Health Care | 18.9% | |||
Consumer Discretionary | 17.2% | |||
Industrials | 14.5% | |||
Financials | 9.8% | |||
Consumer Staples | 5.4% | |||
Energy | 2.8% | |||
Materials | 2.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 1.6% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Intuitive Surgical, Inc. | Health Care | Health Care Equipment | ||
Zoetis, Inc. | Health Care | Pharmaceuticals | ||
Fastenal Co. | Industrials | Trading Companies & Distributors | ||
CoStar Group, Inc. | Information Technology | Internet Software & Services | ||
CME Group, Inc. | Financials | Financial Exchanges & Data | ||
Electronic Arts, Inc. | Information Technology | Home Entertainment Software | ||
Edwards Lifesciences Corp. | Health Care | Health Care Equipment | ||
Tiffany & Co. | Consumer Discretionary | Specialty Stores | ||
ServiceNow, Inc. | Information Technology | Systems Software | ||
Microchip Technology, Inc. | Information Technology | Semiconductors |
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.
80 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | MID CAP GROWTH (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel, Accessories & Luxury Goods – 3.2% |
| |||||||
Burberry Group plc (A) | 390 | $ | 8,445 | |||||
lululemon athletica, Inc. (B) | 190 | 11,313 | ||||||
Under Armour, Inc., Class C (B) | 89 | 1,793 | ||||||
|
| |||||||
21,551 | ||||||||
|
| |||||||
Auto Parts & Equipment – 2.1% |
| |||||||
BorgWarner, Inc. | 327 | 13,855 | ||||||
|
| |||||||
Homefurnishing Retail – 1.4% |
| |||||||
Williams-Sonoma, Inc. | 186 | 9,015 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.7% |
| |||||||
Norwegian Cruise Line Holdings Ltd. (B) | 86 | 4,666 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.3% |
| |||||||
Duluth Holdings, Inc., Class B (B) | 127 | 2,312 | ||||||
|
| |||||||
Leisure Products – 2.1% |
| |||||||
Polaris Industries, Inc. | 155 | 14,338 | ||||||
|
| |||||||
Restaurants – 3.0% |
| |||||||
Chipotle Mexican Grill, Inc., Class A (B) | 17 | 7,004 | ||||||
Dunkin’ Brands Group, Inc. | 235 | 12,936 | ||||||
|
| |||||||
19,940 | ||||||||
|
| |||||||
Specialty Stores – 4.4% |
| |||||||
Tiffany & Co. | 170 | 15,982 | ||||||
Tractor Supply Co. | 251 | 13,610 | ||||||
|
| |||||||
29,592 | ||||||||
|
| |||||||
Total Consumer Discretionary – 17.2% |
| 115,269 | ||||||
Consumer Staples |
| |||||||
Food Retail – 2.0% |
| |||||||
Whole Foods Market, Inc. | 316 | 13,301 | ||||||
|
| |||||||
Packaged Foods & Meats – 3.4% |
| |||||||
Blue Buffalo Pet Products, Inc. (B) | 332 | 7,573 | ||||||
Hain Celestial Group, Inc. (The) (B) | 216 | 8,399 | ||||||
Lance, Inc. | 206 | 7,115 | ||||||
|
| |||||||
23,087 | ||||||||
|
| |||||||
Total Consumer Staples – 5.4% |
| 36,388 | ||||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 2.8% |
| |||||||
Cabot Oil & Gas Corp. | 282 | 7,061 | ||||||
Cimarex Energy Co. | 54 | 5,061 | ||||||
Noble Energy, Inc. | 232 | 6,571 | ||||||
|
| |||||||
18,693 | ||||||||
|
| |||||||
Total Energy – 2.8% |
| 18,693 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.8% |
| |||||||
Oaktree Capital Group LLC | 122 | 5,668 | ||||||
|
| |||||||
Diversified Banks – 1.8% |
| |||||||
Northern Trust Corp. | 125 | 12,200 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Financial Exchanges & Data – 3.6% |
| |||||||
CME Group, Inc. | 146 | $ | 18,248 | |||||
MarketAxess Holdings, Inc. | 28 | 5,667 | ||||||
|
| |||||||
23,915 | ||||||||
|
| |||||||
Regional Banks – 3.6% |
| |||||||
First Republic Bank | 134 | 13,389 | ||||||
Signature Bank (B) | 72 | 10,377 | ||||||
|
| |||||||
23,766 | ||||||||
|
| |||||||
Total Financials – 9.8% |
| 65,549 | ||||||
Health Care |
| |||||||
Biotechnology – 4.4% |
| |||||||
ACADIA Pharmaceuticals, Inc. (B) | 298 | 8,320 | ||||||
Alkermes plc (B) | 187 | 10,840 | ||||||
BioMarin Pharmaceutical, Inc. (B) | 110 | 9,983 | ||||||
|
| |||||||
29,143 | ||||||||
|
| |||||||
Health Care Equipment – 6.0% |
| |||||||
Edwards Lifesciences Corp. (B) | 136 | 16,137 | ||||||
Intuitive Surgical, Inc. (B) | 26 | 23,952 | ||||||
|
| |||||||
40,089 | ||||||||
|
| |||||||
Health Care Services – 1.7% |
| |||||||
Laboratory Corp. of America Holdings (B) | 74 | 11,399 | ||||||
|
| |||||||
Health Care Supplies – 1.7% |
| |||||||
Align Technology, Inc. (B) | 76 | 11,455 | ||||||
|
| |||||||
Pharmaceuticals – 5.1% |
| |||||||
Jazz Pharmaceuticals plc (B) | 45 | 6,950 | ||||||
Pacira Pharmaceuticals, Inc. (B) | 98 | 4,696 | ||||||
Zoetis, Inc. | 366 | 22,802 | ||||||
|
| |||||||
34,448 | ||||||||
|
| |||||||
Total Health Care – 18.9% |
| 126,534 | ||||||
Industrials |
| |||||||
Air Freight & Logistics – 2.0% |
| |||||||
Expeditors International of Washington, Inc. | 239 | 13,500 | ||||||
|
| |||||||
Building Products – 4.0% |
| |||||||
A. O. Smith Corp. | 151 | 8,522 | ||||||
Allegion plc | 96 | 7,794 | ||||||
Fortune Brands Home & Security, Inc. | 161 | 10,505 | ||||||
|
| |||||||
26,821 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 2.5% |
| |||||||
WABCO Holdings, Inc. (B) | 56 | 7,123 | ||||||
Westinghouse Air Brake Technologies Corp. | 102 | 9,322 | ||||||
|
| |||||||
16,445 | ||||||||
|
| |||||||
Electrical Components & Equipment – 0.3% |
| |||||||
Generac Holdings, Inc. (B) | 49 | 1,786 | ||||||
|
| |||||||
Industrial Machinery – 1.8% |
| |||||||
IDEX Corp. | 105 | 11,892 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Research & Consulting Services – 0.7% |
| |||||||
TransUnion (B) | 115 | $ | 4,972 | |||||
|
| |||||||
Trading Companies & Distributors – 3.2% |
| |||||||
Fastenal Co. | 495 | 21,540 | ||||||
|
| |||||||
Total Industrials – 14.5% |
| 96,956 | ||||||
Information Technology |
| |||||||
Application Software – 3.0% |
| |||||||
Ellie Mae, Inc. (B) | 64 | 6,997 | ||||||
Guidewire Software, Inc. (B) | 117 | 8,016 | ||||||
Tyler Technologies, Inc. (B) | 28 | 4,993 | ||||||
|
| |||||||
20,006 | ||||||||
|
| |||||||
Communications Equipment – 2.3% |
| |||||||
Arista Networks, Inc. (B) | 39 | 5,873 | ||||||
Harris Corp. | 90 | 9,815 | ||||||
|
| |||||||
15,688 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 1.0% |
| |||||||
Square, Inc., Class A (B) | 273 | 6,413 | ||||||
|
| |||||||
Electronic Components – 1.4% |
| |||||||
Maxim Integrated Products, Inc. | 203 | 9,102 | ||||||
|
| |||||||
Electronic Manufacturing Services – 2.2% |
| |||||||
Trimble Navigation Ltd. (B) | 411 | 14,664 | ||||||
|
| |||||||
Home Entertainment Software – 2.7% |
| |||||||
Electronic Arts, Inc. (B) | 172 | 18,191 | ||||||
|
| |||||||
Internet Software & Services – 8.6% |
| |||||||
CoStar Group, Inc. (B) | 76 | 19,921 | ||||||
GrubHub, Inc. (B) | 318 | 13,856 | ||||||
MercadoLibre, Inc. | 60 | 14,947 | ||||||
Pandora Media, Inc. (B) | 986 | 8,793 | ||||||
|
| |||||||
57,517 | ||||||||
|
| |||||||
Semiconductors – 2.3% |
| |||||||
Microchip Technology, Inc. | 197 | 15,183 | ||||||
|
| |||||||
Systems Software – 4.3% |
| |||||||
Red Hat, Inc. (B) | 140 | 13,445 | ||||||
ServiceNow, Inc. (B) | 147 | 15,599 | ||||||
|
| |||||||
29,044 | ||||||||
|
| |||||||
Total Information Technology – 27.8% |
| 185,808 | ||||||
Materials |
| |||||||
Fertilizers & Agricultural Chemicals – 1.0% |
| |||||||
Scotts Miracle-Gro Co. (The) | 71 | 6,376 | ||||||
|
| |||||||
Specialty Chemicals – 1.0% |
| |||||||
Axalta Coating Systems Ltd. (B) | 209 | 6,692 | ||||||
|
| |||||||
Total Materials – 2.0% |
| 13,068 | ||||||
TOTAL COMMON STOCKS – 98.4% |
| $ | 658,265 | |||||
(Cost: $547,327) |
2017 | SEMIANNUAL REPORT | 81 |
SCHEDULE OF INVESTMENTS | MID CAP GROWTH (in thousands) |
JUNE 30, 2017 (UNAUDITED)
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper (C) – 0.3% |
| |||||||
Wisconsin Electric Power Co., | ||||||||
1.230%, 7-6-17 | $ | 2,279 | $ | 2,279 | ||||
|
| |||||||
Master Note – 0.4% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (D) | 2,371 | 2,371 | ||||||
|
| |||||||
Municipal Obligations – 0.8% |
| |||||||
City of Whittier, Hlth Fac Rev Bonds (Presbyterian Intercmnty Hosp), Ser 2009 (GTD by U.S. Bank N.A.) (BVAL plus 14 bps), | ||||||||
0.860%, 7-7-17 (D) | 3,000 | 3,000 | ||||||
Columbus Rgnl Arpt Auth, Cap Funding Rev Bonds (OASBO Expanded Asset Pooled Fin Prog), Sr Ser 2006 (GTD by U.S. Bank N.A.) (BVAL plus 13 bps), | ||||||||
0.920%, 7-7-17 (D) | 1,000 | 1,000 |
SHORT-TERM SECURITIES | Principal | Value | ||||||
NY State Hsng Fin Agy, Related 42nd and 10th Hsng Rev Bonds, Ser 2010A (GTD by FHLMC) (BVAL plus 14 bps), | ||||||||
0.880%, 7-7-17 (D) | $ | 1,500 | $ | 1,500 | ||||
|
| |||||||
5,500 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.5% |
| $ | 10,150 | |||||
(Cost: $10,150) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.9% |
| $ | 668,415 | |||||
(Cost: $557,477) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1% |
| 380 | ||||||
NET ASSETS – 100.0% |
| $ | 668,795 |
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) | Rate shown is the yield to maturity at June 30, 2017. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 658,265 | $ | — | $ | — | ||||||
Short-Term Securities | — | 10,150 | — | |||||||||
Total | $ | 658,265 | $ | 10,150 | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
BVAL = Bloomberg Valuation Municipal AAA Benchmark
FHLMC = Federal Home Loan Mortgage Corp.
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
See Accompanying Notes to Financial Statements.
82 | SEMIANNUAL REPORT | 2017 |
PORTFOLIO HIGHLIGHTS | NATURAL RESOURCES(a) |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 97.5% | |||
Energy | 72.0% | |||
Materials | 19.2% | |||
Industrials | 6.3% | |||
Utilities | 0.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.5% |
Country Weightings
North America | 86.5 | % | ||
United States | 78.0 | % | ||
Canada | 8.5 | % | ||
Europe | 11.0 | % | ||
United Kingdom | 9.0 | % | ||
Other Europe | 2.0 | % | ||
Pacific Basin | 0.0 | % | ||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 2.5 | % |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Halliburton Co. | United States | Energy | Oil & Gas Equipment & Services | |||
EOG Resources, Inc. | United States | Energy | Oil & Gas Exploration & Production | |||
RPC, Inc. | United States | Energy | Oil & Gas Equipment & Services | |||
Magellan Midstream Partners L.P. | United States | Energy | Oil & Gas Storage & Transportation | |||
Rio Tinto plc | United Kingdom | Materials | Diversified Metals & Mining | |||
Union Pacific Corp. | United States | Industrials | Railroads | |||
Phillips 66 | United States | Energy | Oil & Gas Refining & Marketing | |||
BHP Billiton plc | United Kingdom | Materials | Diversified Metals & Mining | |||
Flowserve Corp. | United States | Industrials | Industrial Machinery | |||
Cabot Oil & Gas Corp. | 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.
(a)Effective April 28, 2017, the name of Global Natural Resources changed to Natural Resources.
2017 | SEMIANNUAL REPORT | 83 |
SCHEDULE OF INVESTMENTS | NATURAL RESOURCES (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Canada |
| |||||||
Energy – 4.2% |
| |||||||
Seven Generations Energy Ltd., Class A (A) | 161 | $ | 2,757 | |||||
Suncor Energy, Inc. | 81 | 2,363 | ||||||
|
| |||||||
5,120 | ||||||||
|
| |||||||
Materials – 4.3% |
| |||||||
Potash Corp. of Saskatchewan, Inc. | 198 | 3,231 | ||||||
West Fraser Timber Co. Ltd. | 43 | 2,040 | ||||||
|
| |||||||
5,271 | ||||||||
|
| |||||||
Total Canada – 8.5% |
| $ | 10,391 | |||||
China |
| |||||||
Materials – 0.0% |
| |||||||
China Metal Recycling (Holdings) Ltd. (A)(B) | 1,900 | — | ||||||
|
| |||||||
Total China – 0.0% |
| $ | — | |||||
Netherlands |
| |||||||
Energy – 2.0% |
| |||||||
Core Laboratories N.V. | 24 | 2,415 | ||||||
|
| |||||||
Total Netherlands – 2.0% |
| $ | 2,415 | |||||
United Kingdom |
| |||||||
Materials – 9.0% |
| |||||||
BHP Billiton plc | 249 | 3,809 | ||||||
Randgold Resources Ltd. ADR | 37 | 3,260 | ||||||
Rio Tinto plc | 92 | 3,887 | ||||||
|
| |||||||
10,956 | ||||||||
|
| |||||||
Total United Kingdom – 9.0% |
| $ | 10,956 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
United States |
| |||||||
Energy – 65.8% |
| |||||||
Cabot Oil & Gas Corp. | 149 | $ | 3,728 | |||||
Chevron Corp. | 31 | 3,239 | ||||||
Cimarex Energy Co. | 26 | 2,397 | ||||||
Concho Resources, Inc. (A) | 26 | 3,184 | ||||||
Continental Resources, Inc. (A) | 63 | 2,029 | ||||||
Diamondback Energy, Inc. (A) | 32 | 2,851 | ||||||
Enterprise Products Partners L.P. | 129 | 3,485 | ||||||
EOG Resources, Inc. | 47 | 4,286 | ||||||
EQT Midstream Partners L.P. | 21 | 1,567 | ||||||
Halliburton Co. (C) | 182 | 7,782 | ||||||
Helmerich & Payne, Inc. | 33 | 1,818 | ||||||
Keane Group, Inc. (A) | 85 | 1,360 | ||||||
Magellan Midstream Partners L.P. | 55 | 3,931 | ||||||
Marathon Petroleum Corp. | 68 | 3,532 | ||||||
MPLX L.P. | 90 | 3,003 | ||||||
Noble Energy, Inc. | 69 | 1,960 | ||||||
Parsley Energy, Inc., Class A (A) | 111 | 3,086 | ||||||
Patterson-UTI Energy, Inc. | 161 | 3,246 | ||||||
Phillips 66 | 46 | 3,812 | ||||||
Pioneer Natural Resources Co. | 20 | 3,239 | ||||||
Plains All American Pipeline L.P. | 120 | 3,163 | ||||||
RPC, Inc. | 205 | 4,140 | ||||||
RSP Permian, Inc. (A) | 74 | 2,390 | ||||||
Schlumberger Ltd. | 49 | 3,196 | ||||||
U.S. Silica Holdings, Inc. | 30 | 1,054 | ||||||
WPX Energy, Inc. (A) | 268 | 2,593 | ||||||
|
| |||||||
80,071 | ||||||||
|
| |||||||
Industrials – 6.3% |
| |||||||
Flowserve Corp. | 82 | 3,791 | ||||||
Union Pacific Corp. | 35 | 3,818 | ||||||
|
| |||||||
7,609 | ||||||||
|
| |||||||
Materials – 5.9% |
| |||||||
Air Products and Chemicals, Inc. | 25 | 3,512 | ||||||
Dow Chemical Co. (The) | 59 | 3,696 | ||||||
|
| |||||||
7,208 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Total United States – 78.0% |
| $ | 94,888 | |||||
TOTAL COMMON STOCKS – 97.5% |
| $ | 118,650 | |||||
(Cost: $130,721) | ||||||||
PREFERRED STOCKS | ||||||||
United States |
| |||||||
Utilities – 0.0% |
| |||||||
Konarka Technologies, Inc., | ||||||||
8.000%, Convertible (A)(B)(D) | 68 | — | ||||||
|
| |||||||
Total United States – 0.0% |
| $ | — | |||||
TOTAL PREFERRED STOCKS – 0.0% |
| $ | — | |||||
(Cost: $211) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Master Note – 2.7% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps) | ||||||||
1.440%, 7-5-17 (E) | $ | 3,281 | 3,281 | |||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.7% |
| $ | 3,281 | |||||
(Cost: $3,281) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.2% |
| $ | 121,931 | |||||
(Cost: $134,213) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.2)% |
| (187 | ) | |||||
NET ASSETS – 100.0% |
| $ | 121,744 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Securities whose value was determined using significant unobservable inputs. |
(C) | All or a portion of securities with an aggregate value of $337 are held in collateralized accounts for OTC foreign forward currency contracts collateral. |
(D) | Restricted security. At June 30, 2017, the Portfolio owned the following restricted security: |
Security | Acquisition Date(s) | Shares | Cost | Market Value | ||||||||||||||||
Konarka Technologies, Inc., 8.000%, Convertible | 8-31-07 | 68 | $ | 211 | $ | — | ||||||||||||||
|
|
The total value of this security represented 0.0% of net assets at June 30, 2017. |
(E) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following forward foreign currency contracts were outstanding at June 30, 2017:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||||
British Pound | 5,654 | U.S. Dollar | 7,167 | 7-24-17 | UBS AG | $ | — | $ | 201 | |||||||||||||||||||
Canadian Dollar | 9,723 | U.S. Dollar | 7,314 | 7-24-17 | UBS AG | — | 186 | |||||||||||||||||||||
|
| |||||||||||||||||||||||||||
$ | — | $ | 387 | |||||||||||||||||||||||||
|
|
84 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | NATURAL RESOURCES (in thousands) |
JUNE 30, 2017 (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, 2017. 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 | $ | 118,650 | $ | — | $ | — | ||||||
Preferred Stocks | — | — | — | |||||||||
Short-Term Securities | — | 3,281 | — | |||||||||
Total | $ | 118,650 | $ | 3,281 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 387 | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
LIBOR = London Interbank Offered Rate
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 85 |
PORTFOLIO HIGHLIGHTS | SCIENCE AND TECHNOLOGY |
ALL DATA AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 94.4% | |||
Information Technology | 70.4% | |||
Health Care | 15.6% | |||
Consumer Discretionary | 3.8% | |||
Telecommunication Services | 1.7% | |||
Real Estate | 1.6% | |||
Utilities | 1.0% | |||
Materials | 0.3% | |||
Consumer Staples | 0.0% | |||
Warrants | 0.0% | |||
Purchased Options | 0.0% | |||
Bonds | 0.4% | |||
Corporate Debt Securities | 0.4% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 5.2% |
Country Weightings
North America | 82.8% | |||
United States | 82.8% | |||
Pacific Basin | 7.4% | |||
India | 3.8% | |||
China | 3.6% | |||
Europe | 3.0% | |||
Bahamas/Caribbean | 1.5% | |||
Other | 0.1% | |||
Cash and Other Assets (Net of Liabilities), Cash Equivalents+ and Purchased Options | 5.2% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Micron Technology, Inc. | United States | Information Technology | Semiconductors | |||
Microsoft Corp. | United States | Information Technology | Systems Software | |||
Vertex Pharmaceuticals, Inc. | United States | Health Care | Biotechnology | |||
Alliance Data Systems Corp. | United States | Information Technology | Data Processing & Outsourced Services | |||
Microsemi Corp. | United States | Information Technology | Semiconductors | |||
Euronet Worldwide, Inc. | United States | Information Technology | Data Processing & Outsourced Services | |||
Facebook, Inc., Class A | United States | Information Technology | Internet Software & Services | |||
WNS (Holdings) Ltd. ADR | India | Information Technology | Data Processing & Outsourced Services | |||
Cerner Corp. | United States | Health Care | Health Care Technology | |||
Alibaba Group Holding Ltd. ADR | China | Information Technology | Internet Software & Services |
See your advisor or www.waddell.com 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.
86 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | SCIENCE AND TECHNOLOGY (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Automobile Manufacturers – 0.6% |
| |||||||
Tesla Motors, Inc. (A) | 10 | $ | 3,580 | |||||
|
| |||||||
Cable & Satellite – 0.6% |
| |||||||
Altice USA, Inc., Class A (A) | 102 | 3,304 | ||||||
|
| |||||||
Consumer Electronics – 1.0% |
| |||||||
Garmin Ltd. | 113 | 5,774 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 1.6% |
| |||||||
Amazon.com, Inc. (A) | 3 | 2,904 | ||||||
Netflix, Inc. (A) | 45 | 6,693 | ||||||
|
| |||||||
9,597 | ||||||||
|
| |||||||
Total Consumer Discretionary – 3.8% |
| 22,255 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 0.0% |
| |||||||
Arcadia Biosciences, Inc. (A) | 268 | 121 | ||||||
|
| |||||||
Total Consumer Staples – 0.0% |
| 121 | ||||||
Health Care |
| |||||||
Biotechnology – 9.6% |
| |||||||
Evogene Ltd. (A) | 175 | 886 | ||||||
Ionis Pharmaceuticals, Inc. (A) | 361 | 18,359 | ||||||
Kite Pharma, Inc. (A) | 71 | 7,309 | ||||||
Vertex Pharmaceuticals, Inc. (A) | 224 | 28,841 | ||||||
|
| |||||||
55,395 | ||||||||
|
| |||||||
Health Care Facilities – 1.1% |
| |||||||
Tenet Healthcare Corp. (A) | 326 | 6,303 | ||||||
|
| |||||||
Health Care Technology – 3.6% |
| |||||||
Cerner Corp. (A) | 313 | 20,812 | ||||||
|
| |||||||
Managed Health Care – 1.3% |
| |||||||
Cigna Corp. | 46 | 7,733 | ||||||
|
| |||||||
Total Health Care – 15.6% |
| 90,243 | ||||||
Information Technology |
| |||||||
Application Software – 9.1% |
| |||||||
ACI Worldwide, Inc. (A) | 895 | 20,017 | ||||||
Aspen Technology, Inc. (A) | 346 | 19,114 | ||||||
Globant S.A. (A) | 68 | 2,961 | ||||||
Silver Spring Networks, Inc. (A) | 552 | 6,230 | ||||||
Snap, Inc., Class A (A) | 238 | 4,230 | ||||||
|
| |||||||
52,552 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 13.6% |
| |||||||
Alliance Data Systems Corp. | 106 | 27,132 | ||||||
Euronet Worldwide, Inc. (A) | 268 | 23,435 | ||||||
Square, Inc., Class A (A) | 256 | 6,013 | ||||||
WNS (Holdings) Ltd. ADR (A) | 648 | 22,262 | ||||||
|
| |||||||
78,842 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Electronic Components – 3.3% |
| |||||||
Universal Display Corp. | 177 | $ | 19,381 | |||||
|
| |||||||
Internet Software & Services – 13.4% |
| |||||||
Alibaba Group Holding Ltd. ADR (A) | 146 | 20,628 | ||||||
Alphabet, Inc., Class A (A) | 14 | 13,201 | ||||||
Alphabet, Inc., Class C (A) | 18 | 16,752 | ||||||
Facebook, Inc., | 154 | 23,206 | ||||||
Pandora Media, Inc. (A) | 415 | 3,699 | ||||||
|
| |||||||
77,486 | ||||||||
|
| |||||||
IT Consulting & Other Services – 2.5% |
| |||||||
Acxiom Corp. (A) | 264 | 6,864 | ||||||
CSRA, Inc. | 233 | 7,410 | ||||||
|
| |||||||
14,274 | ||||||||
|
| |||||||
Semiconductor Equipment – 1.6% |
| |||||||
ASML Holding N.V., NY Registry Shares | 56 | 7,271 | ||||||
Photronics, Inc. (A) | 208 | 1,958 | ||||||
|
| |||||||
9,229 | ||||||||
|
| |||||||
Semiconductors – 19.6% |
| |||||||
Cypress Semiconductor Corp. | 1,107 | 15,105 | ||||||
Dialog Semiconductor | 89 | 3,813 | ||||||
Marvell Technology Group Ltd. | 540 | 8,927 | ||||||
Microchip Technology, Inc. | 75 | 5,781 | ||||||
Micron Technology, Inc. (A) | 1,275 | 38,060 | ||||||
Microsemi Corp. (A) | 538 | 25,197 | ||||||
Rambus, Inc. (A) | 765 | 8,738 | ||||||
Semtech Corp. (A) | 217 | 7,740 | ||||||
|
| |||||||
113,361 | ||||||||
|
| |||||||
Systems Software – 5.1% |
| |||||||
Microsoft Corp. | 431 | 29,709 | ||||||
|
| |||||||
Technology Hardware, Storage & |
| |||||||
Hewlett-Packard Co. | 745 | 13,026 | ||||||
|
| |||||||
Total Information |
| 407,860 | ||||||
Materials |
| |||||||
Commodity Chemicals – 0.2% |
| |||||||
BioAmber, Inc. (A) | 480 | 1,234 | ||||||
|
| |||||||
Fertilizers & Agricultural Chemicals – 0.1% |
| |||||||
Marrone Bio Innovations, Inc. (A) | 280 | 361 | ||||||
|
| |||||||
Total Materials – 0.3% |
| 1,595 | ||||||
Real Estate |
| |||||||
Specialized REITs – 1.6% |
| |||||||
QTS Realty Trust, Inc., Class A | 175 | 9,152 | ||||||
|
| |||||||
Total Real Estate – 1.6% |
| 9,152 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Telecommunication Services |
| |||||||
Alternative Carriers – 1.7% |
| |||||||
Zayo Group Holdings, Inc. (A) | 324 | $ | 9,996 | |||||
|
| |||||||
Total Telecommunication Services – 1.7% |
| 9,996 | ||||||
Utilities |
| |||||||
Renewable Electricity – 1.0% |
| |||||||
Atlantica Yield plc | 283 | 6,047 | ||||||
|
| |||||||
Total Utilities – 1.0% |
| 6,047 | ||||||
TOTAL COMMON STOCKS – 94.4% |
| $ | 547,269 | |||||
(Cost: $330,715) | ||||||||
WARRANTS | ||||||||
Fertilizers & Agricultural Chemicals – 0.0% |
| |||||||
Marrone Bio Innovations, Inc., expires | 230 | — | * | |||||
|
| |||||||
TOTAL WARRANTS – 0.0% |
| $ | — | * | ||||
(Cost: $—) | ||||||||
PURCHASED OPTIONS | Number of Contracts (Unrounded) | |||||||
Garmin Ltd.: | ||||||||
Call $52.50, Expires 7-21-17 | 211 | 7 | ||||||
Call $55.00, Expires 7-21-17 | 211 | — | * | |||||
TOTAL PURCHASED OPTIONS – 0.0% |
| $ | 7 | |||||
(Cost: $46) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Materials |
| |||||||
Fertilizers & Agricultural Chemicals – 0.4% |
| |||||||
Marrone Bio Innovations, Inc., | ||||||||
8.000%, | $ | 2,300 | 2,311 | |||||
|
| |||||||
Total Materials – 0.4% |
| 2,311 | ||||||
TOTAL CORPORATE DEBT SECURITIES – 0.4% |
| $ | 2,311 | |||||
(Cost: $2,300) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Commercial Paper (F) – 2.9% |
| |||||||
Comcast Corp., | ||||||||
1.330%, 7-6-17 | 10,000 | 9,997 | ||||||
Danaher Corp., | ||||||||
1.190%, 7-6-17 | 5,000 | 4,999 |
2017 | SEMIANNUAL REPORT | 87 |
SCHEDULE OF INVESTMENTS | SCIENCE AND TECHNOLOGY (in thousands) |
JUNE 30, 2017 (UNAUDITED)
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Commercial Paper (F) (Continued) |
| |||||||
Sonoco Products Co., | ||||||||
1.330%, 7-3-17 | $ | 2,206 | $ | 2,206 | ||||
|
| |||||||
17,202 | ||||||||
|
| |||||||
Master Note – 0.4% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (G) | 2,311 | 2,311 | ||||||
|
| |||||||
Municipal Obligations – 1.6% |
| |||||||
Santa Clara Cnty Fin Auth, Var Rate Rev Bonds, El Camino Hosp, Ser 2009A (GTD by Wells Fargo Bank N.A.) (BVAL plus 18 bps), | ||||||||
0.870%, 7-7-17 (G) | 7,049 | 7,049 |
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Municipal Obligations (Continued) |
| |||||||
Univ of KS Hosp Auth, Var Rate Demand Hlth Fac Rev Bonds (KU Hlth Sys), Ser 2004 (GTD by U.S. Bank N.A.) (BVAL plus 17 bps), | ||||||||
0.950%, 7-1-17 (G) | $ | 2,000 | $ | 2,000 | ||||
|
| |||||||
9,049 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 4.9% |
| $ | 28,562 | |||||
(Cost: $28,563) | ||||||||
TOTAL INVESTMENT SECURITIES – 99.7% |
| $ | 578,149 | |||||
(Cost: $361,624) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.3% |
| 1,586 | ||||||
NET ASSETS – 100.0% |
| $ | 579,735 |
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 $264 are held in collateralized accounts for OTC written options contracts collateral. |
(C) | Listed on an exchange outside the United States. |
(D) | Restricted securities. At June 30, 2017, the Portfolio 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 | $ | 2,311 | |||||||||||||
Marrone Bio Innovations, Inc., expires 8-20-23 | 8-20-15 | 230 | $ | — | $ | — | * | |||||||||||||
|
| |||||||||||||||||||
$ | 2,300 | $ | 2,311 | |||||||||||||||||
|
|
The total value of these securities represented 0.4% of net assets at June 30, 2017. |
(E) | Warrants entitle the Portfolio to purchase a predetermined number of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under certain conditions until the expiration date, if any. |
(F) | Rate shown is the yield to maturity at June 30, 2017. |
(G) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following written options were outstanding at June 30, 2017 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Expiration Month | Exercise Price | Premium Received | Value | |||||||||||||||||||
Pandora Media, Inc. | Bank of America N.A. | Put | 1,686 | July 2017 | $ | 8.50 | $ | 133 | $ | (29 | ) |
88 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | SCIENCE AND TECHNOLOGY (in thousands) |
JUNE 30, 2017 (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, 2017. 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 | $ | 547,269 | $ | — | $ | — | ||||||
Warrants | — | — | * | — | ||||||||
Purchased Options | 7 | — | — | |||||||||
Corporate Debt Securities | — | 2,311 | — | |||||||||
Short-Term Securities | — | 28,562 | — | |||||||||
Total | $ | 547,276 | $ | 30,873 | $ | — | ||||||
Liabilities | ||||||||||||
Written Options | $ | — | $ | 29 | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
BVAL = Bloomberg Valuation Municipal AAA Benchmark
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
OTC = Over the Counter
REIT = Real Estate Investment Trust
Country Diversification
(as a % of net assets) |
| |||
United States | 82.8% | |||
India | 3.8% | |||
China | 3.6% | |||
Bermuda | 1.5% | |||
Netherlands | 1.3% | |||
Spain | 1.0% | |||
Other Countries | 0.8% | |||
Other+ | 5.2% |
+Includes options, cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 89 |
PORTFOLIO HIGHLIGHTS | SMALL CAP CORE(a) |
ALL DATA AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 100.0% | |||
Information Technology | 20.2% | |||
Health Care | 13.7% | |||
Financials | 13.1% | |||
Industrials | 12.2% | |||
Consumer Discretionary | 12.2% | |||
Materials | 7.9% | |||
Consumer Staples | 7.5% | |||
Real Estate | 5.7% | |||
Energy | 3.7% | |||
Telecommunication Services | 1.9% | |||
Utilities | 1.9% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 0.0% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
Webster Financial Corp. | Financials | Regional Banks | ||
Tivity Health, Inc. | Health Care | Health Care Services | ||
Visteon Corp. | Consumer Discretionary | Auto Parts & Equipment | ||
Pinnacle Foods, Inc. | Consumer Staples | Packaged Foods & Meats | ||
Take-Two Interactive Software, Inc. | Information Technology | Home Entertainment Software | ||
Sensient Technologies Corp. | Materials | Specialty Chemicals | ||
Bob Evans Farms, Inc. | Consumer Discretionary | Restaurants | ||
Laredo Petroleum Holdings, Inc. | Energy | Oil & Gas Exploration & Production | ||
Uniti Group, Inc. | Real Estate | Specialized REITs | ||
Beacon Roofing Supply, Inc. | Industrials | Trading Companies & Distributors |
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.
(a)Effective April 28, 2017, the name of Small Cap Value changed to Small Cap Core.
90 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | SMALL CAP CORE (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Auto Parts & Equipment – 4.8% |
| |||||||
Visteon Corp. (A) | 156 | $ | 15,911 | |||||
|
| |||||||
Homebuilding – 0.7% |
| |||||||
TRI Pointe Group, Inc. (A) | 190 | 2,499 | ||||||
|
| |||||||
Homefurnishing Retail – 1.1% |
| |||||||
Restoration Hardware Holdings, Inc. (A) | 58 | 3,736 | ||||||
|
| |||||||
Movies & Entertainment – 1.5% |
| |||||||
AMC Entertainment Holdings, Inc., Class A | 223 | 5,065 | ||||||
|
| |||||||
Restaurants – 4.1% |
| |||||||
Bob Evans Farms, Inc. | 189 | 13,576 | ||||||
|
| |||||||
Total Consumer Discretionary – 12.2% |
| 40,787 | ||||||
Consumer Staples |
| |||||||
Packaged Foods & Meats – 6.3% |
| |||||||
Pinnacle Foods, Inc. | 257 | 15,248 | ||||||
Post Holdings, Inc. (A) | 74 | 5,738 | ||||||
|
| |||||||
20,986 | ||||||||
|
| |||||||
Soft Drinks – 1.2% |
| |||||||
Coca-Cola Bottling Co. Consolidated | 17 | 3,889 | ||||||
|
| |||||||
Total Consumer Staples – 7.5% |
| 24,875 | ||||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 3.7% |
| |||||||
Laredo Petroleum Holdings, Inc. (A) | 1,187 | 12,488 | ||||||
|
| |||||||
Total Energy – 3.7% |
| 12,488 | ||||||
Financials |
| |||||||
Life & Health Insurance – 1.3% |
| |||||||
American Equity Investment Life Holding Co. | 170 | 4,478 | ||||||
|
| |||||||
Regional Banks – 11.8% |
| |||||||
Chemical Financial Corp. | 65 | 3,152 | ||||||
FCB Financial Holdings, Inc., Class A (A) | 117 | 5,602 | ||||||
Pinnacle Financial Partners, Inc. | 89 | 5,566 | ||||||
Tompkins Financial Corp. | 4 | 291 | ||||||
Webster Financial Corp. | 337 | 17,592 | ||||||
Western Alliance Bancorp. (A) | 146 | 7,191 | ||||||
|
| |||||||
39,394 | ||||||||
|
| |||||||
Total Financials – 13.1% |
| 43,872 | ||||||
Health Care |
| |||||||
Health Care Equipment – 1.7% |
| |||||||
Globus Medical, Inc., Class A (A) | 50 | 1,644 | ||||||
Insulet Corp. (A) | 79 | 4,033 | ||||||
|
| |||||||
5,677 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care Facilities – 0.9% |
| |||||||
HealthSouth Corp. | 64 | $ | 3,102 | |||||
|
| |||||||
Health Care Services – 5.5% |
| |||||||
Amedisys, Inc. (A) | 26 | 1,652 | ||||||
Tivity Health, Inc. (A) | 419 | 16,698 | ||||||
|
| |||||||
18,350 | ||||||||
|
| |||||||
Health Care Supplies – 1.3% |
| |||||||
ICU Medical, Inc. (A) | 25 | 4,313 | ||||||
|
| |||||||
Health Care Technology – 4.3% |
| |||||||
Evolent Health, Inc., Class A (A) | 315 | 7,978 | ||||||
Medidata Solutions, Inc. (A) | 28 | 2,205 | ||||||
Omnicell, Inc. (A) | 95 | 4,083 | ||||||
|
| |||||||
14,266 | ||||||||
|
| |||||||
Total Health Care – 13.7% |
| 45,708 | ||||||
Industrials |
| |||||||
Building Products – 1.1% |
| |||||||
Advanced Drainage Systems, Inc. | 186 | 3,728 | ||||||
|
| |||||||
Industrial Machinery – 3.2% |
| |||||||
Woodward, Inc. | 157 | 10,614 | ||||||
|
| |||||||
Trading Companies & Distributors – 3.6% |
| |||||||
Beacon Roofing Supply, Inc. (A) | 219 | 10,714 | ||||||
Univar, Inc. (A) | 45 | 1,326 | ||||||
|
| |||||||
12,040 | ||||||||
|
| |||||||
Trucking – 4.3% |
| |||||||
Saia, Inc. (A) | 166 | 8,496 | ||||||
YRC Worldwide, Inc. (A) | 526 | 5,855 | ||||||
|
| |||||||
14,351 | ||||||||
|
| |||||||
Total Industrials – 12.2% |
| 40,733 | ||||||
Information Technology |
| |||||||
Application Software – 3.4% |
| |||||||
8x8, Inc. (A) | 502 | 7,302 | ||||||
Everbridge, Inc. (A) | 167 | 4,063 | ||||||
|
| |||||||
11,365 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 1.4% |
| |||||||
Conduent, Inc. (A) | 297 | 4,728 | ||||||
|
| |||||||
Home Entertainment Software – 4.5% |
| |||||||
Take-Two Interactive Software, Inc. (A) | 206 | 15,094 | ||||||
|
| |||||||
Internet Software & Services – 1.5% |
| |||||||
Q2 Holdings, Inc. (A) | 138 | 5,110 | ||||||
|
| |||||||
IT Consulting & Other Services – 1.6% |
| |||||||
Unisys Corp. (A) | 415 | 5,307 | ||||||
|
| |||||||
Semiconductors – 2.8% |
| |||||||
Integrated Device Technology, Inc. (A) | 238 | 6,135 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Semiconductors (Continued) |
| |||||||
MACOM Technology Solutions Holdings, Inc. (A) | 55 | $ | 3,073 | |||||
|
| |||||||
9,208 | ||||||||
|
| |||||||
Systems Software – 2.0% |
| |||||||
Tableau Software, Inc., Class A (A) | 106 | 6,476 | ||||||
|
| |||||||
Technology Distributors – 1.6% |
| |||||||
Synnex Corp. | 46 | 5,470 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.4% |
| |||||||
Electronics for Imaging, Inc. (A) | 100 | 4,738 | ||||||
|
| |||||||
Total Information Technology – 20.2% |
| 67,496 | ||||||
Materials |
| |||||||
Specialty Chemicals – 7.0% |
| |||||||
Flotek Industries, Inc. (A)(B) | 127 | 1,132 | ||||||
Flotek Industries, Inc. (A) | 348 | 3,113 | ||||||
Innospec, Inc. | 75 | 4,910 | ||||||
Sensient Technologies Corp. | 178 | 14,325 | ||||||
|
| |||||||
23,480 | ||||||||
|
| |||||||
Steel – 0.9% |
| |||||||
TimkenSteel Corp. (A) | 191 | 2,937 | ||||||
|
| |||||||
Total Materials – 7.9% |
| 26,417 | ||||||
Real Estate |
| |||||||
Industrial REITs – 0.8% |
| |||||||
STAG Industrial, Inc. | 91 | 2,506 | ||||||
|
| |||||||
Real Estate Services – 1.2% |
| |||||||
Realogy Holdings Corp. | 126 | 4,102 | ||||||
|
| |||||||
Specialized REITs – 3.7% |
| |||||||
Uniti Group, Inc. | 487 | 12,247 | ||||||
|
| |||||||
Total Real Estate – 5.7% |
| 18,855 | ||||||
Telecommunication Services |
| |||||||
Alternative Carriers – 1.9% |
| |||||||
Vonage Holdings Corp. (A) | 960 | 6,276 | ||||||
|
| |||||||
Total Telecommunication Services – 1.9% |
| 6,276 | ||||||
Utilities |
| |||||||
Electric Utilities – 1.1% |
| |||||||
ALLETE, Inc. | 49 | 3,505 | ||||||
|
| |||||||
Gas Utilities – 0.8% |
| |||||||
South Jersey Industries, Inc. | 82 | 2,802 | ||||||
|
| |||||||
Total Utilities – 1.9% |
| 6,307 | ||||||
TOTAL COMMON STOCKS – 100.0% |
| $ | 333,814 | |||||
(Cost: $301,426) |
|
2017 | SEMIANNUAL REPORT | 91 |
SCHEDULE OF INVESTMENTS | SMALL CAP CORE (in thousands) |
JUNE 30, 2017 (UNAUDITED)
SHORT-TERM SECURITIES | Principal | Value | ||||||
Master Note – 0.3% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (C) | $ | 875 | $ | 875 | ||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 0.3% |
| $ | 875 | |||||
(Cost: $875) |
| |||||||
TOTAL INVESTMENT SECURITIES – 100.3% |
| $ | 334,689 | |||||
(Cost: $302,301) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.3)% |
| (858 | ) | |||||
NET ASSETS – 100.0% |
| $ | 333,831 |
Notes to Schedule of Investments
(A) | No dividends were paid during the preceding 12 months. |
(B) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2017 the total value of these securities amounted to $1,132 or 0.3% of net assets. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 333,814 | $ | — | $ | — | ||||||
Short-Term Securities | — | 875 | — | |||||||||
Total | $ | 333,814 | $ | 875 | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
LIBOR = London Interbank Offered Rate
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
92 | SEMIANNUAL REPORT | 2017 |
PORTFOLIO HIGHLIGHTS | SMALL CAP GROWTH |
ALL DATA AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 94.2% | |||
Information Technology | 27.4% | |||
Health Care | 17.9% | |||
Industrials | 17.8% | |||
Consumer Discretionary | 16.2% | |||
Financials | 6.8% | |||
Energy | 2.8% | |||
Materials | 2.4% | |||
Real Estate | 2.0% | |||
Consumer Staples | 0.9% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 5.8% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
AMN Healthcare Services, Inc. | Health Care | Health Care Services | ||
Ultimate Software Group, Inc. (The) | Information Technology | Application Software | ||
Mercury Computer Systems, Inc. | Industrials | Aerospace & Defense | ||
XPO Logistics, Inc. | Industrials | Air Freight & Logistics | ||
Acadia Healthcare Co., Inc. | Health Care | Health Care Facilities | ||
Pool Corp. | Consumer Discretionary | Distributors | ||
Watsco, Inc. | Industrials | Trading Companies & Distributors | ||
RE/MAX Holdings, Inc., Class A | Real Estate | Real Estate Services | ||
Booz Allen Hamilton Holding Corp. | Information Technology | IT Consulting & Other Services | ||
Paycom Software, Inc. | Information Technology | Application Software |
See your advisor for more information on the Portfolio’s most recently published Top 10 Equity Holdings.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
2017 | SEMIANNUAL REPORT | 93 |
SCHEDULE OF INVESTMENTS | SMALL CAP GROWTH (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Apparel Retail – 1.5% |
| |||||||
Burlington Stores, Inc. (A) | 65 | $ | 5,962 | |||||
|
| |||||||
Automotive Retail – 0.5% |
| |||||||
Monro Muffler Brake, Inc. | 45 | 1,870 | ||||||
|
| |||||||
Distributors – 2.1% |
| |||||||
Pool Corp. | 74 | 8,657 | ||||||
|
| |||||||
General Merchandise Stores – 0.9% |
| |||||||
Ollie’s Bargain Outlet Holdings, Inc. (A) | 88 | 3,741 | ||||||
|
| |||||||
Homebuilding – 1.3% |
| |||||||
Installed Building Products, Inc. (A) | 101 | 5,353 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 1.2% |
| |||||||
Hilton Grand Vacations, Inc. (A) | 139 | 5,028 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 0.2% |
| |||||||
Blue Apron Holdings, Inc., Class A (A) | 105 | 981 | ||||||
|
| |||||||
Leisure Facilities – 1.5% |
| |||||||
Vail Resorts, Inc. | 30 | 6,083 | ||||||
|
| |||||||
Leisure Products – 0.5% |
| |||||||
Nautilus Group, Inc. (The) (A) | 111 | 2,135 | ||||||
|
| |||||||
Restaurants – 4.6% |
| |||||||
Dave & Buster’s Entertainment, Inc. (A) | 109 | 7,230 | ||||||
Texas Roadhouse, Inc., Class A | 117 | 5,974 | ||||||
Wingstop, Inc. | 172 | 5,301 | ||||||
|
| |||||||
18,505 | ||||||||
|
| |||||||
Specialty Stores – 1.9% |
| |||||||
Five Below, Inc. (A) | 88 | 4,321 | ||||||
Party City Holdco, Inc. (A) | 218 | 3,409 | ||||||
|
| |||||||
7,730 | ||||||||
|
| |||||||
Total Consumer Discretionary – 16.2% |
| 66,045 | ||||||
Consumer Staples |
| |||||||
Packaged Foods & Meats – 0.9% |
| |||||||
Lance, Inc. | 109 | 3,776 | ||||||
|
| |||||||
Total Consumer Staples – 0.9% |
| 3,776 | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 2.4% |
| |||||||
Forum Energy Technologies, Inc. (A) | 80 | 1,249 | ||||||
Keane Group, Inc. (A) | 150 | 2,400 | ||||||
RPC, Inc. | 225 | 4,548 | ||||||
U.S. Silica Holdings, Inc. | 49 | 1,749 | ||||||
|
| |||||||
9,946 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Oil & Gas Exploration & Production – 0.4% |
| |||||||
Petroleum Development Corp. (A) | 33 | $ | 1,418 | |||||
|
| |||||||
Total Energy – 2.8% |
| 11,364 | ||||||
Financials |
| |||||||
Regional Banks – 5.5% |
| |||||||
Ameris Bancorp | 70 | 3,385 | ||||||
Cathay General Bancorp | 57 | 2,175 | ||||||
Home BancShares, Inc. | 254 | 6,332 | ||||||
SVB Financial Group (A) | 32 | 5,653 | ||||||
Western Alliance Bancorp. (A) | 100 | 4,904 | ||||||
|
| |||||||
22,449 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 1.3% |
| |||||||
LendingTree, Inc. (A) | 29 | 5,023 | ||||||
|
| |||||||
Total Financials – 6.8% |
| 27,472 | ||||||
Health Care |
| |||||||
Health Care Equipment – 7.9% |
| |||||||
Inogen, Inc. (A) | 52 | 4,970 | ||||||
iRhythm Technologies, Inc. (A) | 58 | 2,463 | ||||||
K2M Group Holdings, Inc. (A) | 230 | 5,613 | ||||||
Nevro Corp. (A) | 67 | 4,976 | ||||||
NuVasive, Inc. (A) | 58 | 4,450 | ||||||
NxStage Medical, Inc. (A) | 175 | 4,395 | ||||||
Penumbra, Inc. (A) | 59 | 5,207 | ||||||
|
| |||||||
32,074 | ||||||||
|
| |||||||
Health Care Facilities – 2.2% |
| |||||||
Acadia Healthcare Co., Inc. (A) | 183 | 9,013 | ||||||
|
| |||||||
Health Care Services – 5.0% |
| |||||||
AMN Healthcare Services, Inc. (A) | 271 | 10,573 | ||||||
Envision Healthcare Holdings, Inc. (A) | 82 | 5,167 | ||||||
Teladoc, Inc. (A) | 127 | 4,418 | ||||||
|
| |||||||
20,158 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 1.2% |
| |||||||
Cambrex Corp. (A) | 82 | 4,876 | ||||||
|
| |||||||
Managed Health Care – 1.6% |
| |||||||
HealthEquity, Inc. (A) | 132 | 6,601 | ||||||
|
| |||||||
Total Health Care – 17.9% |
| 72,722 | ||||||
Industrials |
| |||||||
Aerospace & Defense – 2.3% |
| |||||||
Mercury Computer Systems, Inc. (A) | 224 | 9,425 | ||||||
|
| |||||||
Agricultural & Farm Machinery – 1.2% |
| |||||||
Toro Co. (The) | 69 | 4,785 | ||||||
|
| |||||||
Air Freight & Logistics – 2.3% |
| |||||||
XPO Logistics, Inc. (A) | 145 | 9,343 | ||||||
|
| |||||||
Building Products – 0.7% |
| |||||||
JELD-WEN Holding, Inc. (A) | 83 | 2,703 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Construction & Engineering – 1.7% |
| |||||||
Dycom Industries, Inc. (A) | 78 | $ | 7,018 | |||||
|
| |||||||
Diversified Support Services – 0.6% |
| |||||||
Healthcare Services Group, Inc. | 49 | 2,317 | ||||||
|
| |||||||
Industrial Machinery – 4.3% |
| |||||||
John Bean Technologies Corp. | 68 | 6,624 | ||||||
RBC Bearings, Inc. (A) | 28 | 2,854 | ||||||
Timken Co. (The) | 55 | 2,535 | ||||||
Woodward, Inc. | 82 | 5,525 | ||||||
|
| |||||||
17,538 | ||||||||
|
| |||||||
Security & Alarm Services – 0.4% |
| |||||||
Brink’s Co. (The) | 24 | 1,624 | ||||||
|
| |||||||
Trading Companies & Distributors – 3.1% |
| |||||||
Beacon Roofing Supply, Inc. (A) | 93 | 4,569 | ||||||
Watsco, Inc. | 53 | 8,236 | ||||||
|
| |||||||
12,805 | ||||||||
|
| |||||||
Trucking – 1.2% |
| |||||||
Knight Transportation, Inc. | 130 | 4,801 | ||||||
|
| |||||||
Total Industrials – 17.8% |
| 72,359 | ||||||
Information Technology |
| |||||||
Application Software – 12.0% |
| |||||||
BroadSoft, Inc. (A) | 140 | 6,044 | ||||||
Ellie Mae, Inc. (A) | 35 | 3,893 | ||||||
Globant S.A. (A) | 94 | 4,074 | ||||||
HubSpot, Inc. (A) | 89 | 5,826 | ||||||
Manhattan Associates, Inc. (A) | 32 | 1,549 | ||||||
Paycom Software, Inc. (A) | 108 | 7,413 | ||||||
Tyler Technologies, Inc. (A) | 33 | 5,844 | ||||||
Ultimate Software Group, Inc. (The) (A) | 47 | 9,890 | ||||||
Zendesk, Inc. (A) | 154 | 4,265 | ||||||
|
| |||||||
48,798 | ||||||||
|
| |||||||
Communications Equipment – 1.2% |
| |||||||
Lumentum Holdings, Inc. (A) | 89 | 5,055 | ||||||
|
| |||||||
Electronic Manufacturing Services – 1.3% |
| |||||||
Fabrinet (A) | 124 | 5,276 | ||||||
|
| |||||||
Internet Software & Services – 2.6% |
| |||||||
Five9, Inc. (A) | 164 | 3,536 | ||||||
Q2 Holdings, Inc. (A) | 94 | 3,464 | ||||||
Shopify, Inc., Class A (A) | 43 | 3,755 | ||||||
|
| |||||||
10,755 | ||||||||
|
| |||||||
IT Consulting & Other Services – 3.1% |
| |||||||
Booz Allen Hamilton Holding Corp. | 243 | 7,922 | ||||||
InterXion Holding N.V. (A) | 99 | 4,544 | ||||||
|
| |||||||
12,466 | ||||||||
|
| |||||||
Semiconductors – 4.6% |
| |||||||
MACOM Technology Solutions Holdings, Inc. (A) | 50 | 2,792 | ||||||
Maxlinear, Inc. (A) | 110 | 3,055 |
94 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | SMALL CAP GROWTH (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS (Continued) | Shares | Value | ||||||
Semiconductors (Continued) |
| |||||||
Monolithic Power Systems, Inc. | 58 | $ | 5,550 | |||||
Power Integrations, Inc. | 99 | 7,245 | ||||||
|
| |||||||
18,642 | ||||||||
|
| |||||||
Systems Software – 1.7% |
| |||||||
Proofpoint, Inc. (A) | 79 | 6,880 | ||||||
Varonis Systems, Inc. (A) | 3 | 105 | ||||||
|
| |||||||
6,985 | ||||||||
|
| |||||||
Technology Distributors – 0.9% |
| |||||||
Tech Data Corp. (A) | 35 | 3,561 | ||||||
|
| |||||||
Total Information Technology – 27.4% |
| 111,538 | ||||||
Materials |
| |||||||
Construction Materials – 2.4% |
| |||||||
Eagle Materials, Inc. | 26 | 2,402 | ||||||
Summit Materials, Inc., Class A (A) | 160 | 4,615 | ||||||
U.S. Concrete, Inc. (A) | 37 | 2,886 | ||||||
|
| |||||||
9,903 | ||||||||
|
| |||||||
Total Materials – 2.4% |
| 9,903 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Real Estate |
| |||||||
Real Estate Services – 2.0% |
| |||||||
RE/MAX Holdings, Inc., Class A | 144 | $ | 8,059 | |||||
|
| |||||||
Total Real Estate – 2.0% |
| 8,059 | ||||||
TOTAL COMMON STOCKS – 94.2% |
| $ | 383,238 | |||||
(Cost: $317,411) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (B) – 3.2% | ||||||||
Ecolab, Inc., | ||||||||
1.341%, 7-6-17 | $ | 5,000 | 4,999 | |||||
J.M. Smucker Co. (The), | ||||||||
1.310%, 7-5-17 | 4,000 | 3,999 | ||||||
Mondelez International, Inc., | ||||||||
1.330%, 7-3-17 | 4,046 | 4,046 | ||||||
|
| |||||||
13,044 | ||||||||
|
| |||||||
Master Note – 0.9% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (C) | 3,551 | 3,551 | ||||||
|
|
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Municipal Obligations – 1.7% |
| |||||||
MN Office of Higher Edu, Adj Rate Supplemental Student Loan Prog Rev Bonds, Ser 2011A (GTD by U.S. Bank N.A.) (BVAL plus 12 bps), | ||||||||
0.940%, 7-7-17 (C) | $ | 5,000 | $ | 5,000 | ||||
Univ of KS Hosp Auth, Var Rate Demand Hlth Fac Rev Bonds (KU Hlth Sys), Ser 2004 (GTD by U.S. Bank N.A.) (BVAL plus 17 bps), | ||||||||
0.950%, 7-1-17 (C) | 2,000 | 2,000 | ||||||
|
| |||||||
7,000 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 5.8% |
| $ | 23,595 | |||||
(Cost: $23,595) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 406,833 | |||||
(Cost: $341,006) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0% |
| 7 | ||||||
NET ASSETS – 100.0% |
| $ | 406,840 |
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, 2017. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following total return swap agreements were outstanding at June 30, 2017:
Counterparty | Number of Shares | Underlying Security | Termination Date | Notional Amount | Financing Fee(1)(2) | Unrealized Appreciation | ||||||||||||||||||||
JPMorgan Chase Bank N.A. | 115,425 | Biotech Custom Index | 01/09/2018 | $ | 14,643 | 1-Month LIBOR less 50 bps | $ | 1,168 |
(1) | The Portfolio pays the financing fee multiplied by the notional amount each month. |
(2) | At the termination date, a net cash flow is exchanged where the market-linked total return is equivalent to the return of the underlying security less a financing rate, if any. As the payer, a Portfolio would receive payments on any net positive total return, and would make 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, 2017. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 383,238 | $ | — | $ | — | ||||||
Short-Term Securities | — | 23,595 | — | |||||||||
Total | $ | 383,238 | $ | 23,595 | $ | — | ||||||
Total Return Swaps | $ | — | $ | 1,168 | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
BVAL = Bloomberg Valuation Municipal AAA Benchmark
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 95 |
PORTFOLIO HIGHLIGHTS | VALUE |
ALL DATA IS AS OF JUNE 30, 2017 (UNAUDITED)
Asset Allocation
Stocks | 93.1% | |||
Financials | 32.2% | |||
Health Care | 13.0% | |||
Energy | 12.4% | |||
Consumer Discretionary | 8.2% | |||
Information Technology | 8.1% | |||
Industrials | 6.0% | |||
Consumer Staples | 4.6% | |||
Utilities | 3.0% | |||
Materials | 2.9% | |||
Real Estate | 2.7% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 6.9% |
Top 10 Equity Holdings
Company | Sector | Industry | ||
JPMorgan Chase & Co. | Financials | Other Diversified Financial Services | ||
Citigroup, Inc. | Financials | Other Diversified Financial Services | ||
Synchrony Financial | Financials | Consumer Finance | ||
Capital One Financial Corp. | Financials | Consumer Finance | ||
State Street Corp. | Financials | Asset Management & Custody Banks | ||
Energy Transfer Partners L.P. | Energy | Oil & Gas Storage & Transportation | ||
Dow Chemical Co. (The) | Materials | Diversified Chemicals | ||
American International Group, Inc. | Financials | Multi-Line Insurance | ||
Marathon Petroleum Corp. | Energy | Oil & Gas Refining & Marketing | ||
Cigna Corp. | Health Care | Managed Health Care |
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.
96 | SEMIANNUAL REPORT | 2017 |
SCHEDULE OF INVESTMENTS | VALUE (in thousands) |
JUNE 30, 2017 (UNAUDITED)
COMMON STOCKS | Shares | Value | ||||||
Consumer Discretionary |
| |||||||
Cable & Satellite – 2.5% |
| |||||||
Comcast Corp., Class A | 246 | $ | 9,555 | |||||
|
| |||||||
General Merchandise Stores – 2.3% |
| |||||||
Target Corp. | 162 | 8,455 | ||||||
|
| |||||||
Home Improvement Retail – 1.5% |
| |||||||
Lowe’s Co., Inc. | 70 | 5,435 | ||||||
|
| |||||||
Housewares & Specialties – 1.9% |
| |||||||
Newell Rubbermaid, Inc. | 135 | 7,249 | ||||||
|
| |||||||
Total Consumer Discretionary – 8.2% |
| 30,694 | ||||||
Consumer Staples |
| |||||||
Agricultural Products – 2.2% |
| |||||||
Ingredion, Inc. | 71 | 8,512 | ||||||
|
| |||||||
Drug Retail – 2.4% |
| |||||||
CVS Caremark Corp. | 111 | 8,947 | ||||||
|
| |||||||
Total Consumer Staples – 4.6% |
| 17,459 | ||||||
Energy |
| |||||||
Oil & Gas Equipment & Services – 2.5% |
| |||||||
Baker Hughes, Inc. | 174 | 9,501 | ||||||
|
| |||||||
Oil & Gas Refining & Marketing – 2.8% |
| |||||||
Marathon Petroleum Corp. | 203 | 10,634 | ||||||
|
| |||||||
Oil & Gas Storage & Transportation – 7.1% |
| |||||||
Energy Transfer Partners L.P. | 576 | 11,747 | ||||||
Plains All American Pipeline L.P. | 310 | 8,149 | ||||||
VTTI Energy Partners L.P. | 342 | 6,710 | ||||||
|
| |||||||
26,606 | ||||||||
|
| |||||||
Total Energy – 12.4% |
| 46,741 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 3.3% |
| |||||||
State Street Corp. | 140 | 12,580 | ||||||
|
| |||||||
Consumer Finance – 7.3% |
| |||||||
Capital One Financial Corp. | 165 | 13,624 | ||||||
Synchrony Financial | 466 | 13,905 | ||||||
|
| |||||||
27,529 | ||||||||
|
| |||||||
Life & Health Insurance – 2.8% |
| |||||||
MetLife, Inc. | 191 | 10,516 | ||||||
|
| |||||||
Mortgage REITs – 2.6% |
| |||||||
American Capital Agency Corp. | 452 | 9,623 | ||||||
|
| |||||||
Multi-Line Insurance – 2.9% |
| |||||||
American International Group, Inc. | 172 | 10,735 | ||||||
|
| |||||||
Other Diversified Financial Services – 8.8% |
| |||||||
Citigroup, Inc. | 224 | 14,975 | ||||||
JPMorgan Chase & Co. | 199 | 18,161 | ||||||
|
| |||||||
33,136 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Property & Casualty Insurance – 1.9% |
| |||||||
Allstate Corp. (The) | 83 | $ | 7,314 | |||||
|
| |||||||
Regional Banks – 2.6% |
| |||||||
Fifth Third Bancorp | 375 | 9,732 | ||||||
|
| |||||||
Total Financials – 32.2% |
| 121,165 | ||||||
Health Care |
| |||||||
Biotechnology – 2.3% |
| |||||||
Amgen, Inc. | 50 | 8,577 | ||||||
|
| |||||||
Health Care Facilities – 2.6% |
| |||||||
HCA Holdings, Inc. (A) | 114 | 9,950 | ||||||
|
| |||||||
Managed Health Care – 5.1% |
| |||||||
Aetna, Inc. | 56 | 8,563 | ||||||
Cigna Corp. | 63 | 10,596 | ||||||
|
| |||||||
19,159 | ||||||||
|
| |||||||
Pharmaceuticals – 3.0% |
| |||||||
Jazz Pharmaceuticals plc (A) | 28 | 4,292 | ||||||
Teva Pharmaceutical Industries Ltd. ADR | 215 | 7,155 | ||||||
|
| |||||||
11,447 | ||||||||
|
| |||||||
Total Health Care – 13.0% |
| 49,133 | ||||||
Industrials |
| |||||||
Airlines – 1.7% |
| |||||||
Delta Air Lines, Inc. | 117 | 6,309 | ||||||
|
| |||||||
Electrical Components & Equipment – 2.5% |
| |||||||
Eaton Corp. | 120 | 9,371 | ||||||
|
| |||||||
Industrial Machinery – 1.8% |
| |||||||
Timken Co. (The) | 151 | 6,960 | ||||||
|
| |||||||
Total Industrials – 6.0% |
| 22,640 | ||||||
Information Technology |
| |||||||
Semiconductors – 3.6% |
| |||||||
Micron Technology, Inc. (A) | 339 | 10,116 | ||||||
QUALCOMM, Inc. | 58 | 3,214 | ||||||
|
| |||||||
13,330 | ||||||||
|
| |||||||
Systems Software – 2.0% |
| |||||||
Microsoft Corp. | 110 | 7,596 | ||||||
|
| |||||||
Technology Hardware, Storage & |
| |||||||
Western Digital Corp. | 107 | 9,463 | ||||||
|
| |||||||
Total Information Technology – 8.1% |
| 30,389 | ||||||
Materials |
| |||||||
Diversified Chemicals – 2.9% |
| |||||||
Dow Chemical Co. (The) | 175 | 11,044 | ||||||
|
| |||||||
Total Materials – 2.9% |
| 11,044 |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Real Estate |
| |||||||
Specialized REITs – 2.7% |
| |||||||
Uniti Group, Inc. | 404 | $ | 10,149 | |||||
|
| |||||||
Total Real Estate – 2.7% |
| 10,149 | ||||||
Utilities |
| |||||||
Electric Utilities – 2.7% |
| |||||||
Duke Energy Corp. | 121 | 10,139 | ||||||
|
| |||||||
Renewable Electricity – 0.3% |
| |||||||
NextEra Energy Partners L.P. | 32 | 1,184 | ||||||
|
| |||||||
Total Utilities – 3.0% |
| 11,323 | ||||||
TOTAL COMMON STOCKS – 93.1% |
| $ | 350,737 | |||||
(Cost: $320,915) | ||||||||
SHORT-TERM SECURITIES | Principal | |||||||
Commercial Paper (B) – 7.6% |
| |||||||
General Mills, Inc., | ||||||||
1.320%, 7-5-17 | $ | 7,000 | 6,998 | |||||
Mattel, Inc., | ||||||||
1.300%, 7-5-17 | 5,000 | 4,999 | ||||||
McCormick & Co., Inc., | ||||||||
1.410%, 7-11-17 | 5,000 | 4,998 | ||||||
Sonoco Products Co., | ||||||||
1.330%, 7-3-17 | 2,598 | 2,598 | ||||||
Virginia Electric and Power Co., | ||||||||
1.310%, 7-6-17 | 5,000 | 4,999 | ||||||
Wisconsin Gas LLC, | ||||||||
1.190%, 7-6-17 | 4,000 | 3,999 | ||||||
|
| |||||||
28,591 | ||||||||
|
| |||||||
Master Note – 0.6% |
| |||||||
Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps), | ||||||||
1.440%, 7-5-17 (C) | 2,404 | 2,404 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 8.2% |
| $ | 30,995 | |||||
(Cost: $30,997) |
| |||||||
TOTAL INVESTMENT |
| $ | 381,732 | |||||
(Cost: $351,912) |
| |||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.3)% |
| (5,059 | ) | |||||
NET ASSETS – 100.0% |
| $ | 376,673 |
2017 | SEMIANNUAL REPORT | 97 |
SCHEDULE OF INVESTMENTS | VALUE (in thousands) |
JUNE 30, 2017 (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, 2017. |
(C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2017. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
The following written options were outstanding at June 30, 2017 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Expiration Month | Exercise Price | Premium Received | Value | |||||||||||||||||||
Delta Air Lines, Inc. | N/A | Call | 1,174 | July 2017 | $ | 55.00 | $ | 62 | $ | (65 | ) | |||||||||||||||
Micron Technology, Inc. | N/A | Call | 648 | July 2017 | 30.00 | 165 | (78 | ) | ||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 227 | $ | (143 | ) | ||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2017. 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 | $ | 350,737 | $ | — | $ | — | ||||||
Short-Term Securities | — | 30,995 | — | |||||||||
Total | $ | 350,737 | $ | 30,995 | $ | — | ||||||
Liabilities | ||||||||||||
Written Options | $ | 143 | $ | — | $ | — |
During the period ended June 30, 2017, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
LIBOR = London Interbank Offered Rate
OTC = Over the Counter
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
98 | SEMIANNUAL REPORT | 2017 |
STATEMENTS OF ASSETS AND LIABILITIES | IVY VIP |
AS OF JUNE 30, 2017 (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+ | $ | 991 | $ | 765 | $ | 971 | $ | 880 | $ | 863 | $ | 16,006 | $ | 1,796 | |||||||||||||||||||||
Investments in affiliated securities at value+ | 74,346 | 110,843 | 880,071 | 1,050,697 | 257,405 | 536,361 | 84,984 | ||||||||||||||||||||||||||||
Investments at Value | 75,337 | 111,608 | 881,042 | 1,051,577 | 258,268 | 552,367 | 86,780 | ||||||||||||||||||||||||||||
Cash | 2 | 1 | 1 | 1 | 1 | — | 2 | ||||||||||||||||||||||||||||
Restricted cash | — | — | — | — | — | 623 | 86 | ||||||||||||||||||||||||||||
Investment securities sold receivable | — | 234 | 28 | 119 | 136 | 121 | — | ||||||||||||||||||||||||||||
Dividends and interest receivable | 1 | 4 | 11 | 5 | 5 | 14 | 2 | ||||||||||||||||||||||||||||
Capital shares sold receivable | 4 | — | * | 246 | — | * | — | * | 3 | 118 | |||||||||||||||||||||||||
Variation margin receivable | — | — | — | — | — | 6 | 1 | ||||||||||||||||||||||||||||
Prepaid and other assets | — | * | — | * | 1 | 2 | — | * | 1 | 2 | |||||||||||||||||||||||||
Total Assets | 75,344 | 111,847 | 881,329 | 1,051,704 | 258,410 | 553,135 | 86,991 | ||||||||||||||||||||||||||||
LIABILITIES | |||||||||||||||||||||||||||||||||||
Capital shares redeemed payable | 1 | 33 | 13 | 190 | 136 | 169 | 4 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 6 | 7 | 48 | 57 | 16 | 7 | 1 | ||||||||||||||||||||||||||||
Overdraft due to custodian | — | — | — | — | — | 120 | — | ||||||||||||||||||||||||||||
Shareholder servicing payable | — | * | 1 | 7 | 7 | 1 | 3 | 1 | |||||||||||||||||||||||||||
Investment management fee payable | — | — | — | — | — | 3 | — | * | |||||||||||||||||||||||||||
Accounting services fee payable | 2 | 3 | 12 | 15 | 5 | 8 | 2 | ||||||||||||||||||||||||||||
Variation margin payable | — | — | — | — | — | 5 | 1 | ||||||||||||||||||||||||||||
Other liabilities | 4 | 3 | 11 | 17 | 5 | 9 | 5 | ||||||||||||||||||||||||||||
Total Liabilities | 13 | 47 | 91 | 286 | 163 | 324 | 14 | ||||||||||||||||||||||||||||
Total Net Assets | $ | 75,331 | $ | 111,800 | $ | 881,238 | $ | 1,051,418 | $ | 258,247 | $ | 552,811 | $ | 86,977 | |||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 75,069 | $ | 110,753 | $ | 850,299 | $ | 1,005,938 | $ | 253,069 | $ | 545,497 | $ | 87,134 | |||||||||||||||||||||
Undistributed net investment income | 1,285 | 1,113 | 11,159 | 17,340 | 3,006 | 6,219 | 1,252 | ||||||||||||||||||||||||||||
Accumulated net realized gain | 2,849 | 2,881 | 27,642 | 35,987 | 7,720 | 15,493 | 2,541 | ||||||||||||||||||||||||||||
Net unrealized depreciation | (3,872 | ) | (2,947 | ) | (7,862 | ) | (7,847 | ) | (5,548 | ) | (14,398 | ) | (3,950 | ) | |||||||||||||||||||||
Total Net Assets | $ | 75,331 | $ | 111,800 | $ | 881,238 | $ | 1,051,418 | $ | 258,247 | $ | 552,811 | $ | 86,977 | |||||||||||||||||||||
CAPITAL SHARES OUTSTANDING: | |||||||||||||||||||||||||||||||||||
Class II | 15,866 | 22,738 | 174,226 | 202,304 | 51,392 | 101,677 | 16,471 | ||||||||||||||||||||||||||||
NET ASSET VALUE PER SHARE: | |||||||||||||||||||||||||||||||||||
Class II | $ | 4.75 | $ | 4.92 | $ | 5.06 | $ | 5.20 | $ | 5.03 | $ | 5.44 | $ | 5.28 | |||||||||||||||||||||
+COST | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 991 | $ | 765 | $ | 971 | $ | 880 | $ | 863 | $ | 16,006 | $ | 1,796 | |||||||||||||||||||||
Investments in affiliated securities at cost | 78,218 | 113,790 | 887,933 | 1,058,544 | 262,953 | 550,783 | 88,935 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 99 |
STATEMENTS OF ASSETS AND LIABILITIES | IVY VIP |
AS OF JUNE 30, 2017 (UNAUDITED)
(In thousands, except per share amounts) | Pathfinder Moderately Conservative - Managed Volatility | Advantus Real Estate Securities(1) | Asset Strategy(2) | Balanced | Bond | Core Equity | Dividend Opportunities | ||||||||||||||||||||||||||||
ASSETS |
| ||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at value+ | $ | 1,851 | $ | 45,762 | $ | 865,508 | $ | 362,817 | $ | 429,919 | $ | 420,405 | $ | 516,407 | |||||||||||||||||||||
Investments in affiliated securities at value+ | 68,618 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Bullion at value+ | — | — | 43,686 | — | — | — | — | ||||||||||||||||||||||||||||
Investments at Value | 70,469 | 45,762 | 909,194 | 362,817 | 429,919 | 420,405 | 516,407 | ||||||||||||||||||||||||||||
Cash | 1 | 1 | 459 | 1 | 1 | 1 | 1 | ||||||||||||||||||||||||||||
Cash denominated in foreign currencies at value+ | — | — | 829 | — | — | — | — | ||||||||||||||||||||||||||||
Restricted cash | 108 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Investment securities sold receivable | — | 63 | 11,464 | 406 | 1,000 | 10,439 | 1,449 | ||||||||||||||||||||||||||||
Dividends and interest receivable | 3 | 133 | 1,359 | 948 | 3,655 | 183 | 724 | ||||||||||||||||||||||||||||
Capital shares sold receivable | — | 1 | 67 | 1 | 4 | — | * | — | * | ||||||||||||||||||||||||||
Receivable from affiliates | — | — | — | — | — | 173 | — | ||||||||||||||||||||||||||||
Variation margin receivable | 1 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Prepaid and other assets | — | * | — | * | 2 | 1 | 1 | 1 | — | * | |||||||||||||||||||||||||
Total Assets | 70,582 | 45,960 | 923,374 | 364,174 | 434,580 | 431,202 | 518,581 | ||||||||||||||||||||||||||||
LIABILITIES | |||||||||||||||||||||||||||||||||||
Investment securities purchased payable | — | — | — | 2,973 | 3,016 | 8,274 | — | ||||||||||||||||||||||||||||
Capital shares redeemed payable | 6 | 25 | 478 | 205 | 170 | 150 | 107 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 1 | 5 | 146 | 82 | 78 | 167 | 32 | ||||||||||||||||||||||||||||
Distribution and service fees payable | — | — | * | 6 | 3 | 3 | 3 | 4 | |||||||||||||||||||||||||||
Shareholder servicing payable | — | * | — | * | 5 | 1 | 1 | 2 | 3 | ||||||||||||||||||||||||||
Investment management fee payable | 1 | 1 | 18 | 7 | 6 | 8 | 10 | ||||||||||||||||||||||||||||
Accounting services fee payable | 2 | 3 | 19 | 10 | 11 | 10 | 11 | ||||||||||||||||||||||||||||
Unrealized depreciation on swap agreements | — | — | 116 | — | — | — | — | ||||||||||||||||||||||||||||
Variation margin payable | 1 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Other liabilities | 2 | 4 | 43 | 14 | 17 | 13 | 11 | ||||||||||||||||||||||||||||
Total Liabilities | 13 | 38 | 831 | 3,295 | 3,302 | 8,627 | 178 | ||||||||||||||||||||||||||||
Total Net Assets | $ | 70,569 | $ | 45,922 | $ | 922,543 | $ | 360,879 | $ | 431,278 | $ | 422,575 | $ | 518,403 | |||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 70,116 | $ | 43,187 | $ | 940,182 | $ | 326,091 | $ | 420,215 | $ | 365,547 | $ | 422,323 | |||||||||||||||||||||
Undistributed net investment income | 689 | 583 | 21,688 | 1,002 | 4,564 | 894 | 3,787 | ||||||||||||||||||||||||||||
Accumulated net realized gain (loss) | 1,915 | 1,548 | (84,877 | ) | 14,394 | 732 | 15,134 | 15,690 | |||||||||||||||||||||||||||
Net unrealized appreciation (depreciation) | (2,151 | ) | 604 | 45,550 | 19,392 | 5,767 | 41,000 | 76,603 | |||||||||||||||||||||||||||
Total Net Assets | $ | 70,569 | $ | 45,922 | $ | 922,543 | $ | 360,879 | $ | 431,278 | $ | 422,575 | $ | 518,403 | |||||||||||||||||||||
CAPITAL SHARES OUTSTANDING: | |||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | 29 | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Class II | 13,400 | 6,146 | 106,390 | 47,762 | 81,542 | 39,045 | 65,685 | ||||||||||||||||||||||||||||
NET ASSET VALUE PER SHARE: | |||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | $ | 8.67 | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
Class II | $ | 5.27 | $ | 7.47 | $ | 8.67 | $ | 7.56 | $ | 5.29 | $ | 10.82 | $ | 7.89 | |||||||||||||||||||||
+COST | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 1,851 | $ | 45,158 | $ | 819,808 | $ | 343,425 | $ | 424,152 | $ | 379,405 | $ | 439,804 | |||||||||||||||||||||
Investments in affiliated securities at cost | 70,773 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Bullion at cost | — | — | 43,741 | — | — | — | — | ||||||||||||||||||||||||||||
Cash denominated in foreign currencies at cost | — | — | 819 | — | — | — | — |
* | Not shown due to rounding. |
(1) | Effective April 28, 2017, the Portfolio’s name changed from Real Estate Securities to Advantus Real Estate Securities. |
(2) | Consolidated Statement of Assets and Liabilities (See Note 6 in Notes to Financial Statements). |
See Accompanying Notes to Financial Statements.
100 | SEMIANNUAL REPORT | 2017 |
STATEMENTS OF ASSETS AND LIABILITIES | IVY VIP |
AS OF JUNE 30, 2017 (UNAUDITED)
(In thousands, except per share amounts) | Energy | Global Bond | Global Growth | Government Money Market | Growth | High Income | International Core Equity | ||||||||||||||||||||||||||||
ASSETS | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at value+ | $ | 149,380 | $ | 22,986 | $ | 418,225 | $ | 393,381 | $ | 853,558 | $ | 1,012,430 | $ | 785,067 | |||||||||||||||||||||
Investments in affiliated securities at value+ | — | — | — | — | — | 1,192 | — | ||||||||||||||||||||||||||||
Investments at Value | 149,380 | 22,986 | 418,225 | 393,381 | 853,558 | 1,013,622 | 785,067 | ||||||||||||||||||||||||||||
Cash | 1 | 1 | 1 | 1 | 1 | 68 | 1 | ||||||||||||||||||||||||||||
Cash denominated in foreign currencies at value+ | — | — | 1,226 | — | — | — | 2,884 | ||||||||||||||||||||||||||||
Restricted cash | — | — | — | — | — | — | 19 | ||||||||||||||||||||||||||||
Investment securities sold receivable | — | 1 | 8,683 | — | — | 4,911 | 629 | ||||||||||||||||||||||||||||
Dividends and interest receivable | 81 | 238 | 670 | 589 | 420 | 15,191 | 2,213 | ||||||||||||||||||||||||||||
Capital shares sold receivable | 124 | 1 | — | * | 156 | 17 | 213 | 72 | |||||||||||||||||||||||||||
Receivable from affiliates | — | — | 105 | — | — | — | — | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | — | — | — | 683 | ||||||||||||||||||||||||||||
Prepaid and other assets | — | * | — | * | 1 | 7 | 1 | 2 | 1 | ||||||||||||||||||||||||||
Total Assets | 149,586 | 23,227 | 428,911 | 394,134 | 853,997 | 1,034,007 | 791,569 | ||||||||||||||||||||||||||||
LIABILITIES | |||||||||||||||||||||||||||||||||||
Investment securities purchased payable | — | 151 | 5,212 | — | — | 18,034 | 1,554 | ||||||||||||||||||||||||||||
Capital shares redeemed payable | 38 | 17 | 66 | 205 | 270 | 3,331 | 419 | ||||||||||||||||||||||||||||
Distributions payable | — | — | — | 18 | — | — | — | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 7 | 1 | 60 | 40 | 242 | 62 | 74 | ||||||||||||||||||||||||||||
Distribution and service fees payable | 1 | — | * | 3 | — | 6 | 6 | 5 | |||||||||||||||||||||||||||
Shareholder servicing payable | 1 | — | * | 2 | 3 | 5 | 4 | 3 | |||||||||||||||||||||||||||
Investment management fee payable | 3 | — | 10 | 4 | 16 | 17 | 18 | ||||||||||||||||||||||||||||
Accounting services fee payable | 5 | 1 | 10 | 10 | 18 | 19 | 17 | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | 4 | — | — | — | 131 | — | ||||||||||||||||||||||||||||
Other liabilities | 8 | 3 | 12 | — | 17 | 15 | 79 | ||||||||||||||||||||||||||||
Total Liabilities | 63 | 177 | 5,375 | 280 | 574 | 21,619 | 2,169 | ||||||||||||||||||||||||||||
Total Net Assets | $ | 149,523 | $ | 23,050 | $ | 423,536 | $ | 393,854 | $ | 853,423 | $ | 1,012,388 | $ | 789,400 | |||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 184,304 | $ | 23,998 | $ | 354,234 | $ | 393,853 | $ | 596,467 | $ | 1,048,862 | $ | 713,141 | |||||||||||||||||||||
Undistributed (distributions in excess of) net investment income | (321 | ) | 320 | 1,994 | — | (33 | ) | 28,577 | 8,531 | ||||||||||||||||||||||||||
Accumulated net realized gain (loss) | (18,808 | ) | (1,056 | ) | 14,493 | 1 | 55,470 | (49,855 | ) | 8,963 | |||||||||||||||||||||||||
Net unrealized appreciation (depreciation) | (15,652 | ) | (212 | ) | 52,815 | — | 201,519 | (15,196 | ) | 58,765 | |||||||||||||||||||||||||
Total Net Assets | $ | 149,523 | $ | 23,050 | $ | 423,536 | $ | 393,854 | $ | 853,423 | $ | 1,012,388 | $ | 789,400 | |||||||||||||||||||||
CAPITAL SHARES OUTSTANDING: | |||||||||||||||||||||||||||||||||||
Class I | 43 | N/A | N/A | N/A | N/A | 25,358 | N/A | ||||||||||||||||||||||||||||
Class II | 28,938 | 4,744 | 47,526 | 393,856 | 80,733 | 259,137 | 45,762 | ||||||||||||||||||||||||||||
NET ASSET VALUE PER SHARE: | |||||||||||||||||||||||||||||||||||
Class I | $ | 5.16 | N/A | N/A | N/A | N/A | $ | 3.56 | N/A | ||||||||||||||||||||||||||
Class II | $ | 5.16 | $ | 4.86 | $ | 8.91 | $ | 1.00 | $ | 10.57 | $ | 3.56 | $ | 17.25 | |||||||||||||||||||||
+COST | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 165,032 | $ | 23,194 | $ | 365,420 | $ | 393,381 | $ | 652,039 | $ | 1,027,546 | $ | 727,052 | |||||||||||||||||||||
Investments in affiliated securities at cost | — | — | — | — | — | 1,142 | — | ||||||||||||||||||||||||||||
Cash denominated in foreign currencies at cost | — | — | 1,219 | — | — | — | 2,858 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 101 |
STATEMENTS OF ASSETS AND LIABILITIES | IVY VIP |
AS OF JUNE 30, 2017 (UNAUDITED)
(In thousands, except per share amounts) | Limited- Term Bond | Micro Cap Growth | Mid Cap Growth | Natural Resources(1) | Science and Technology | Small Cap Core(2) | Small Cap Growth | ||||||||||||||||||||||||||||
ASSETS |
| ||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at value+ | $ | 444,576 | $ | 72,594 | $ | 668,415 | $ | 121,931 | $ | 578,149 | $ | 334,689 | $ | 406,833 | |||||||||||||||||||||
Investments at Value | 444,576 | 72,594 | 668,415 | 121,931 | 578,149 | 334,689 | 406,833 | ||||||||||||||||||||||||||||
Cash | 1 | 2 | 1 | 1 | 1 | 1 | 2 | ||||||||||||||||||||||||||||
Investment securities sold receivable | — | — | 5,895 | — | 1,384 | 4,014 | 1,451 | ||||||||||||||||||||||||||||
Dividends and interest receivable | 2,907 | 4 | 264 | 124 | 338 | 410 | 86 | ||||||||||||||||||||||||||||
Capital shares sold receivable | — | * | 1 | 123 | 259 | 345 | 7 | 81 | |||||||||||||||||||||||||||
Receivable from affiliates | — | — | 274 | — | — | — | 60 | ||||||||||||||||||||||||||||
Unrealized appreciation on swap agreements | — | — | — | — | — | — | 1,168 | ||||||||||||||||||||||||||||
Prepaid and other assets | — | * | — | * | 1 | — | * | 1 | — | * | — | * | |||||||||||||||||||||||
Total Assets | 447,484 | 72,601 | 674,973 | 122,315 | 580,218 | 339,121 | 409,681 | ||||||||||||||||||||||||||||
LIABILITIES | |||||||||||||||||||||||||||||||||||
Investment securities purchased payable | 20,906 | 181 | 5,811 | 27 | — | 5,121 | 2,624 | ||||||||||||||||||||||||||||
Capital shares redeemed payable | 92 | 13 | 292 | 124 | 329 | 108 | 81 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 17 | 7 | 25 | 17 | 77 | 30 | 100 | ||||||||||||||||||||||||||||
Distribution and service fees payable | 3 | — | * | 4 | 1 | 4 | 2 | 3 | |||||||||||||||||||||||||||
Shareholder servicing payable | 2 | — | * | 3 | 1 | 3 | 2 | 2 | |||||||||||||||||||||||||||
Investment management fee payable | 6 | 2 | 15 | 3 | 13 | 8 | 10 | ||||||||||||||||||||||||||||
Accounting services fee payable | 11 | 4 | 14 | 5 | 13 | 8 | 10 | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | 387 | — | — | — | ||||||||||||||||||||||||||||
Written options at value+ | — | — | — | — | 29 | — | — | ||||||||||||||||||||||||||||
Other liabilities | 69 | 2 | 14 | 6 | 15 | 11 | 11 | ||||||||||||||||||||||||||||
Total Liabilities | 21,106 | 209 | 6,178 | 571 | 483 | 5,290 | 2,841 | ||||||||||||||||||||||||||||
Total Net Assets | $ | 426,378 | $ | 72,392 | $ | 668,795 | $ | 121,744 | $ | 579,735 | $ | 333,831 | $ | 406,840 | |||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 425,968 | $ | 57,124 | $ | 556,374 | $ | 178,684 | $ | 355,447 | $ | 270,648 | $ | 303,601 | |||||||||||||||||||||
Undistributed (distributions in excess of) net investment income | 3,015 | (329 | ) | (1,605 | ) | 15 | (1,228 | ) | 1,517 | (1,071 | ) | ||||||||||||||||||||||||
Accumulated net realized gain (loss) | (3,466 | ) | (1,637 | ) | 3,088 | (44,286 | ) | 8,887 | 29,278 | 37,309 | |||||||||||||||||||||||||
Net unrealized appreciation (depreciation) | 861 | 17,234 | 110,938 | (12,669 | ) | 216,629 | 32,388 | 67,001 | |||||||||||||||||||||||||||
Total Net Assets | $ | 426,378 | $ | 72,392 | $ | 668,795 | $ | 121,744 | $ | 579,735 | $ | 333,831 | $ | 406,840 | |||||||||||||||||||||
CAPITAL SHARES OUTSTANDING: | |||||||||||||||||||||||||||||||||||
Class I | N/A | 12 | 13,329 | N/A | 10 | N/A | N/A | ||||||||||||||||||||||||||||
Class II | 87,576 | 3,268 | 51,473 | 30,025 | 23,551 | 19,752 | 38,281 | ||||||||||||||||||||||||||||
NET ASSET VALUE PER SHARE: | |||||||||||||||||||||||||||||||||||
Class I | N/A | $ | 22.08 | $ | 10.32 | N/A | $ | 24.62 | N/A | N/A | |||||||||||||||||||||||||
Class II | $ | 4.87 | $ | 22.07 | $ | 10.32 | $ | 4.05 | $ | 24.61 | $ | 16.90 | $ | 10.63 | |||||||||||||||||||||
+COST | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities at cost | $ | 443,715 | $ | 55,360 | $ | 557,477 | $ | 134,213 | $ | 361,624 | $ | 302,301 | $ | 341,006 | |||||||||||||||||||||
Written options premiums received at cost | — | — | — | — | 133 | — | — |
* | Not shown due to rounding. |
(1) | Effective April 28, 2017, the Portfolio’s name changed from Global Natural Resources to Natural Resources. |
(2) | Effective April 28, 2017, the Portfolio’s name changed from Small Cap Value to Small Cap Core. |
See Accompanying Notes to Financial Statements.
102 | SEMIANNUAL REPORT | 2017 |
STATEMENTS OF ASSETS AND LIABILITIES | IVY VIP |
AS OF JUNE 30, 2017 (UNAUDITED)
(In thousands, except per share amounts) | Value | ||||
ASSETS |
| ||||
Investments in unaffiliated securities at value+ | $ | 381,732 | |||
Investments at Value | 381,732 | ||||
Cash | 1 | ||||
Investment securities sold receivable | 157 | ||||
Dividends and interest receivable | 671 | ||||
Capital shares sold receivable | 4 | ||||
Prepaid and other assets | — | * | |||
Total Assets | 382,565 | ||||
LIABILITIES | |||||
Investment securities purchased payable | 5,505 | ||||
Capital shares redeemed payable | 163 | ||||
Independent Trustees and Chief Compliance Officer fees payable | 52 | ||||
Distribution and service fees payable | 3 | ||||
Shareholder servicing payable | 2 | ||||
Investment management fee payable | 7 | ||||
Accounting services fee payable | 10 | ||||
Written options at value+ | 143 | ||||
Other liabilities | 7 | ||||
Total Liabilities | 5,892 | ||||
Total Net Assets | $ | 376,673 | |||
NET ASSETS | |||||
Capital paid in (shares authorized – unlimited) | $ | 327,691 | |||
Undistributed net investment income | 2,373 | ||||
Accumulated net realized gain | 16,705 | ||||
Net unrealized appreciation | 29,904 | ||||
Total Net Assets | $ | 376,673 | |||
CAPITAL SHARES OUTSTANDING: | |||||
Class II | 61,878 | ||||
NET ASSET VALUE PER SHARE: | |||||
Class II | $ | 6.09 | |||
+COST | |||||
Investments in unaffiliated securities at cost | $ | 351,912 | |||
Written options premiums received at cost | 227 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 103 |
STATEMENTS OF OPERATIONS | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 (UNAUDITED)
(In thousands) | Pathfinder Aggressive | Pathfinder Conservative | Pathfinder Moderate | Pathfinder Moderately Aggressive | Pathfinder Moderately Conservative | Pathfinder Moderate - Managed Volatility | Pathfinder Moderately Aggressive - Managed Volatility | ||||||||||||||||||||||||||||
INVESTMENT INCOME | |||||||||||||||||||||||||||||||||||
Dividends from affiliated securities | $ | 1,322 | $ | 1,158 | $ | 11,354 | $ | 17,592 | $ | 3,083 | $ | 6,799 | $ | 1,388 | |||||||||||||||||||||
Interest and amortization from unaffiliated securities | 5 | 4 | 3 | 2 | 4 | 84 | 13 | ||||||||||||||||||||||||||||
Total Investment Income | 1,327 | 1,162 | 11,357 | 17,594 | 3,087 | 6,883 | 1,401 | ||||||||||||||||||||||||||||
EXPENSES | |||||||||||||||||||||||||||||||||||
Investment management fee | — | — | — | — | — | 527 | 83 | ||||||||||||||||||||||||||||
Shareholder servicing: | |||||||||||||||||||||||||||||||||||
Class II | 1 | 1 | 7 | 8 | 2 | 3 | 1 | ||||||||||||||||||||||||||||
Custodian fees | 1 | 1 | 1 | 2 | 1 | 2 | 1 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 3 | 4 | 29 | 35 | 9 | 15 | 2 | ||||||||||||||||||||||||||||
Accounting services fee | 13 | 18 | 74 | 87 | 29 | 47 | 13 | ||||||||||||||||||||||||||||
Professional fees | 13 | 13 | 22 | 26 | 16 | 20 | 14 | ||||||||||||||||||||||||||||
Other | 4 | 5 | 19 | 29 | 6 | 15 | 12 | ||||||||||||||||||||||||||||
Total Expenses | 35 | 42 | 152 | 187 | 63 | 629 | 126 | ||||||||||||||||||||||||||||
Net Investment Income | 1,292 | 1,120 | 11,205 | 17,407 | 3,024 | 6,254 | 1,275 | ||||||||||||||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||||||||||||||
Investments in affiliated securities | 639 | 669 | 6,481 | 9,286 | 1,998 | 3,767 | 557 | ||||||||||||||||||||||||||||
Distributions of realized capital gains from affiliated securities | 2,218 | 2,223 | 21,208 | 26,743 | 5,744 | 12,700 | 2,110 | ||||||||||||||||||||||||||||
Futures contracts | — | — | — | — | — | (1,156 | ) | (145 | ) | ||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||||||||||
Investments in affiliated securities | 3,244 | 1,932 | 24,785 | 32,494 | 5,856 | 14,245 | 2,515 | ||||||||||||||||||||||||||||
Futures contracts | — | — | — | — | — | 208 | 23 | ||||||||||||||||||||||||||||
Net Realized and Unrealized Gain | 6,101 | 4,824 | 52,474 | 68,523 | 13,598 | 29,764 | 5,060 | ||||||||||||||||||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 7,393 | $ | 5,944 | $ | 63,679 | $ | 85,930 | $ | 16,622 | $ | 36,018 | $ | 6,335 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
104 | SEMIANNUAL REPORT | 2017 |
STATEMENTS OF OPERATIONS | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 (UNAUDITED)
(In thousands) | Pathfinder Moderately Conservative - Managed Volatility | Advantus Real Estate Securities(1) | Asset Strategy(2) | Balanced | Bond | Core Equity | Dividend Opportunities | ||||||||||||||||||||||||||||
INVESTMENT INCOME |
| ||||||||||||||||||||||||||||||||||
Dividends from unaffiliated securities | $ | — | $ | 757 | $ | 5,161 | $ | 2,435 | $ | 67 | $ | 3,078 | $ | 6,868 | |||||||||||||||||||||
Dividends from affiliated securities | 805 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Foreign dividend withholding tax | — | — | (245 | ) | (53 | ) | — | (28 | ) | (102 | ) | ||||||||||||||||||||||||
Interest and amortization from unaffiliated securities | 8 | 3 | — | 2,113 | 6,226 | 29 | 94 | ||||||||||||||||||||||||||||
Foreign interest withholding tax | — | — | — | — | (4 | ) | — | — | |||||||||||||||||||||||||||
Total Investment Income | 813 | 760 | 4,916 | 4,495 | 6,289 | 3,079 | 6,860 | ||||||||||||||||||||||||||||
EXPENSES | |||||||||||||||||||||||||||||||||||
Investment management fee | 68 | 209 | 3,284 | 1,265 | 999 | 1,486 | 1,794 | ||||||||||||||||||||||||||||
Distribution and service fees: | |||||||||||||||||||||||||||||||||||
Class II | — | 58 | 1,173 | 452 | 526 | 531 | 640 | ||||||||||||||||||||||||||||
Shareholder servicing: | |||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | — | * | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
Class II | 1 | — | * | 5 | 1 | 2 | 2 | 3 | |||||||||||||||||||||||||||
Custodian fees | 1 | 4 | 55 | 4 | 5 | 6 | 6 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 2 | 2 | 41 | 18 | 18 | 28 | 18 | ||||||||||||||||||||||||||||
Accounting services fee | 12 | 14 | 109 | 59 | 61 | 63 | 67 | ||||||||||||||||||||||||||||
Professional fees | 15 | 22 | 86 | 24 | 27 | 21 | 22 | ||||||||||||||||||||||||||||
Other | 3 | 5 | 68 | 7 | 14 | 8 | 13 | ||||||||||||||||||||||||||||
Total Expenses | 102 | 314 | 4,821 | 1,830 | 1,652 | 2,145 | 2,563 | ||||||||||||||||||||||||||||
Less: | |||||||||||||||||||||||||||||||||||
Expenses in excess of limit | — | (21 | ) | — | — | — | (118 | ) | — | ||||||||||||||||||||||||||
Total Net Expenses | 102 | 293 | 4,821 | 1,830 | 1,652 | 2,027 | 2,563 | ||||||||||||||||||||||||||||
Net Investment Income | 711 | 467 | 95 | 2,665 | 4,637 | 1,052 | 4,297 | ||||||||||||||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | — | 1,702 | (29,516 | ) | 12,890 | 756 | 15,461 | 14,911 | |||||||||||||||||||||||||||
Investments in affiliated securities | 592 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Distributions of realized capital gains from affiliated securities | 1,499 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Futures contracts | (208 | ) | — | — | — | — | — | — | |||||||||||||||||||||||||||
Swap agreements | — | — | 3,177 | — | — | — | — | ||||||||||||||||||||||||||||
Forward foreign currency contracts | — | — | (282 | ) | — | — | — | — | |||||||||||||||||||||||||||
Foreign currency exchange transactions | — | — | 29 | — | — | — | 2 | ||||||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | — | (738 | ) | 102,146 | 5,048 | 6,183 | 9,545 | 12,251 | |||||||||||||||||||||||||||
Investments in affiliated securities | 1,401 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Futures contracts | 37 | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Swap agreements | — | — | (197 | ) | — | — | — | — | |||||||||||||||||||||||||||
Forward foreign currency contracts | — | — | (168 | ) | — | — | — | — | |||||||||||||||||||||||||||
Foreign currency exchange transactions | — | — | 105 | — | — | — | — | ||||||||||||||||||||||||||||
Net Realized and Unrealized Gain | 3,321 | 964 | 75,294 | 17,938 | 6,939 | 25,006 | 27,164 | ||||||||||||||||||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 4,032 | $ | 1,431 | $ | 75,389 | $ | 20,603 | $ | 11,576 | $ | 26,058 | $ | 31,461 |
* | Not shown due to rounding. |
(1) | Effective April 28, 2017, the Portfolio’s name changed from Real Estate Securities to Advantus Real Estate Securities. |
(2) | Consolidated Statement of Operations (See Note 6 in Notes to Financial Statements). |
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 105 |
STATEMENTS OF OPERATIONS | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 (UNAUDITED)
(In thousands) | Energy | Global Bond | Global Growth | Government Money Market | Growth | High Income | International Core Equity | ||||||||||||||||||||||||||||
INVESTMENT INCOME |
| ||||||||||||||||||||||||||||||||||
Dividends from unaffiliated securities | $ | 646 | $ | 22 | $ | 4,778 | $ | — | $ | 4,530 | $ | — | $ | 14,878 | |||||||||||||||||||||
Foreign dividend withholding tax | (15 | ) | — | * | (387 | ) | — | (5 | ) | — | (1,524 | ) | |||||||||||||||||||||||
Interest and amortization from unaffiliated securities | 11 | 371 | 62 | 1,635 | 26 | 33,449 | 89 | ||||||||||||||||||||||||||||
Foreign interest withholding tax | — | — | — | — | — | — | — | * | |||||||||||||||||||||||||||
Total Investment Income | 642 | 393 | 4,453 | 1,635 | 4,551 | 33,449 | 13,443 | ||||||||||||||||||||||||||||
EXPENSES | |||||||||||||||||||||||||||||||||||
Investment management fee | 750 | — | 1,803 | 776 | 3,058 | 2,834 | 3,261 | ||||||||||||||||||||||||||||
Distribution and service fees: | |||||||||||||||||||||||||||||||||||
Class II | 221 | 28 | 530 | — | 1,092 | 1,128 | 959 | ||||||||||||||||||||||||||||
Shareholder servicing: | |||||||||||||||||||||||||||||||||||
Class I | — | * | N/A | N/A | N/A | N/A | — | * | N/A | ||||||||||||||||||||||||||
Class II | 1 | — | * | 3 | 2 | 5 | 5 | 4 | |||||||||||||||||||||||||||
Custodian fees | 8 | 6 | 19 | 3 | 7 | 5 | 47 | ||||||||||||||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 6 | 1 | 17 | 16 | 46 | 31 | 27 | ||||||||||||||||||||||||||||
Accounting services fee | 35 | 7 | 63 | 61 | 105 | 108 | 99 | ||||||||||||||||||||||||||||
Professional fees | 19 | 22 | 25 | 19 | 25 | 43 | 30 | ||||||||||||||||||||||||||||
Other | 18 | 5 | 22 | 4 | 13 | 24 | 42 | ||||||||||||||||||||||||||||
Total Expenses | 1,058 | 69 | 2,482 | 881 | 4,351 | 4,178 | 4,469 | ||||||||||||||||||||||||||||
Less: | |||||||||||||||||||||||||||||||||||
Expenses in excess of limit | — | — | (83 | ) | — | — | — | — | |||||||||||||||||||||||||||
Reimbursement | — | — | — | (51 | ) | — | — | — | |||||||||||||||||||||||||||
Total Net Expenses | 1,058 | 69 | 2,399 | 830 | 4,351 | 4,178 | 4,469 | ||||||||||||||||||||||||||||
Net Investment Income (Loss) | (416 | ) | 324 | 2,054 | 805 | 200 | 29,271 | 8,974 | |||||||||||||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | 2,906 | (54 | ) | 14,959 | 1 | 55,603 | 364 | 19,761 | |||||||||||||||||||||||||||
Forward foreign currency contracts | — | (2 | ) | — | — | — | (167 | ) | (227 | ) | |||||||||||||||||||||||||
Foreign currency exchange transactions | — | * | 1 | — | * | — | — | — | * | 53 | |||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | |||||||||||||||||||||||||||||||||||
Investments in unaffiliated securities | (49,085 | ) | 215 | 32,838 | — | 51,681 | 9,697 | 74,217 | |||||||||||||||||||||||||||
Investments in affiliated securities | — | — | — | — | — | 50 | — | ||||||||||||||||||||||||||||
Forward foreign currency contracts | — | (5 | ) | — | — | — | (121 | ) | (5 | ) | |||||||||||||||||||||||||
Foreign currency exchange transactions | — | (1 | ) | 50 | — | — | 2 | 89 | |||||||||||||||||||||||||||
Net Realized and Unrealized Gain (Loss) | (46,179 | ) | 154 | 47,847 | 1 | 107,284 | 9,825 | 93,888 | |||||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (46,595 | ) | $ | 478 | $ | 49,901 | $ | 806 | $ | 107,484 | $ | 39,096 | $ | 102,862 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
106 | SEMIANNUAL REPORT | 2017 |
STATEMENTS OF OPERATIONS | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 (UNAUDITED)
(In thousands) | Limited-Term Bond | Micro Cap Growth | Mid Cap Growth | Natural Resources(1) | ||||||||||||||||
INVESTMENT INCOME |
| |||||||||||||||||||
Dividends from unaffiliated securities | $ | — | $ | 78 | $ | 1,827 | $ | 991 | ||||||||||||
Foreign dividend withholding tax | — | — | — | (20 | ) | |||||||||||||||
Interest and amortization from unaffiliated securities | 4,619 | 26 | 51 | 14 | ||||||||||||||||
Total Investment Income | 4,619 | 104 | 1,878 | 985 | ||||||||||||||||
EXPENSES | ||||||||||||||||||||
Investment management fee | 980 | 302 | 2,719 | 665 | ||||||||||||||||
Distribution and service fees: | ||||||||||||||||||||
Class II | 490 | 79 | 744 | 166 | ||||||||||||||||
Shareholder servicing: | ||||||||||||||||||||
Class I | N/A | — | * | — | * | N/A | ||||||||||||||
Class II | 2 | 1 | 4 | 2 | ||||||||||||||||
Custodian fees | 5 | 2 | 7 | 8 | ||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 13 | 2 | 20 | 5 | ||||||||||||||||
Accounting services fee | 61 | 21 | 81 | 31 | ||||||||||||||||
Professional fees | 26 | 15 | 22 | 24 | ||||||||||||||||
Other | 6 | 4 | 25 | 15 | ||||||||||||||||
Total Expenses | 1,583 | 426 | 3,622 | 916 | ||||||||||||||||
Less: | ||||||||||||||||||||
Expenses in excess of limit | — | — | (159 | ) | — | |||||||||||||||
Total Net Expenses | 1,583 | 426 | 3,463 | 916 | ||||||||||||||||
Net Investment Income (Loss) | 3,036 | (322 | ) | (1,585 | ) | 69 | ||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments in unaffiliated securities | (219 | ) | (1,530 | ) | 3,295 | 3,644 | ||||||||||||||
Written options | — | — | 113 | — | ||||||||||||||||
Forward foreign currency contracts | — | — | — | (199 | ) | |||||||||||||||
Foreign currency exchange transactions | — | — | 1 | 4 | ||||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments in unaffiliated securities | 1,714 | 6,224 | 75,540 | (16,454 | ) | |||||||||||||||
Forward foreign currency contracts | — | — | — | (436 | ) | |||||||||||||||
Foreign currency exchange transactions | — | — | — | — | * | |||||||||||||||
Net Realized and Unrealized Gain (Loss) | 1,495 | 4,694 | 78,949 | (13,441 | ) | |||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 4,531 | $ | 4,372 | $ | 77,364 | $ | (13,372 | ) |
* | Not shown due to rounding. |
(1) | Effective April 28, 2017, the Portfolio’s name changed from Global Natural Resources to Natural Resources. |
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 107 |
STATEMENTS OF OPERATIONS | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2017 (UNAUDITED)
(In thousands) | Science and Technology | Small Cap Core(1) | Small Cap Growth | Value | ||||||||||||||||
INVESTMENT INCOME |
| |||||||||||||||||||
Dividends from unaffiliated securities | $ | 1,768 | $ | 3,115 | $ | 855 | $ | 4,412 | ||||||||||||
Foreign dividend withholding tax | (26 | ) | (3 | ) | (3 | ) | (93 | ) | ||||||||||||
Interest and amortization from unaffiliated securities | 214 | 23 | 177 | 45 | ||||||||||||||||
Total Investment Income | 1,956 | 3,135 | 1,029 | 4,364 | ||||||||||||||||
EXPENSES | ||||||||||||||||||||
Investment management fee | 2,325 | 1,440 | 1,841 | 1,272 | ||||||||||||||||
Distribution and service fees: | ||||||||||||||||||||
Class II | 684 | 423 | 541 | 454 | ||||||||||||||||
Shareholder servicing: | ||||||||||||||||||||
Class I | — | * | N/A | N/A | N/A | |||||||||||||||
Class II | 4 | 2 | 3 | 2 | ||||||||||||||||
Custodian fees | 10 | 11 | 8 | 5 | ||||||||||||||||
Independent Trustees and Chief Compliance Officer fees | 22 | 12 | 21 | 15 | ||||||||||||||||
Accounting services fee | 71 | 52 | 63 | 55 | ||||||||||||||||
Professional fees | 25 | 21 | 21 | 25 | ||||||||||||||||
Other | 27 | 4 | 17 | 2 | ||||||||||||||||
Total Expenses | 3,168 | 1,965 | 2,515 | 1,830 | ||||||||||||||||
Less: | ||||||||||||||||||||
Expenses in excess of limit | — | — | (43 | ) | — | |||||||||||||||
Total Net Expenses | 3,169 | 1,965 | 2,472 | 1,830 | ||||||||||||||||
Net Investment Income (Loss) | (1,212 | ) | 1,170 | (1,443 | ) | 2,534 | ||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments in unaffiliated securities | 9,226 | 30,616 | 36,966 | 16,287 | ||||||||||||||||
Written options | 159 | — | (105 | ) | 14 | |||||||||||||||
Swap agreements | — | — | 901 | — | ||||||||||||||||
Foreign currency exchange transactions | (2 | ) | — | — | — | |||||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments in unaffiliated securities | 72,891 | (15,419 | ) | 13,264 | 3,851 | |||||||||||||||
Written options | 104 | — | — | 16 | ||||||||||||||||
Swap agreements | — | — | 2,114 | — | ||||||||||||||||
Foreign currency exchange transactions | — | * | — | — | — | |||||||||||||||
Net Realized and Unrealized Gain | 82,378 | 15,197 | 53,140 | 20,168 | ||||||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 81,166 | $ | 16,367 | $ | 51,697 | $ | 22,702 |
* | Not shown due to rounding. |
(1) | Effective April 28, 2017, the Portfolio’s name changed from Small Cap Value to Small Cap Core. |
See Accompanying Notes to Financial Statements.
108 | SEMIANNUAL REPORT | 2017 |
STATEMENTS OF CHANGES IN NET ASSETS | IVY VIP |
Pathfinder Aggressive | Pathfinder Conservative | Pathfinder Moderate | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 1,292 | $ | 684 | $ | 1,120 | $ | 813 | $ | 11,205 | $ | 6,747 | ||||||||||||||||||
Net realized gain on investments | 2,857 | 5,307 | 2,892 | 4,584 | 27,689 | 47,731 | ||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 3,244 | (2,662 | ) | 1,932 | (2,240 | ) | 24,785 | (23,999 | ) | |||||||||||||||||||||
Net Increase in Net Assets Resulting from Operations | 7,393 | 3,329 | 5,944 | 3,157 | 63,679 | 30,479 | ||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class II | (687 | ) | (1,183 | ) | (813 | ) | (1,313 | ) | (6,745 | ) | (11,308 | ) | ||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class II | (5,307 | ) | (7,759 | ) | (4,589 | ) | (7,061 | ) | (47,759 | ) | (68,309 | ) | ||||||||||||||||||
Total Distributions to Shareholders | (5,994 | ) | (8,942 | ) | (5,402 | ) | (8,374 | ) | (54,504 | ) | (79,617 | ) | ||||||||||||||||||
Capital Share Transactions | (724 | ) | (4,867 | ) | (3,001 | ) | 2,049 | 11,592 | 17,015 | |||||||||||||||||||||
Net Increase (Decrease) in Net Assets | 675 | (10,480 | ) | (2,459 | ) | (3,168 | ) | 20,767 | (32,123 | ) | ||||||||||||||||||||
Net Assets, Beginning of Period | 74,656 | 85,136 | 114,259 | 117,427 | 860,471 | 892,594 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 75,331 | $ | 74,656 | $ | 111,800 | $ | 114,259 | $ | 881,238 | $ | 860,471 | ||||||||||||||||||
Undistributed net investment income | $ | 1,285 | $ | 680 | $ | 1,113 | $ | 806 | $ | 11,159 | $ | 6,699 | ||||||||||||||||||
Pathfinder Moderately Aggressive | Pathfinder Moderately Conservative | Pathfinder Moderate - Managed Volatility | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 17,407 | $ | 8,678 | $ | 3,024 | $ | 2,098 | $ | 6,254 | $ | 2,502 | ||||||||||||||||||
Net realized gain on investments | 36,029 | 62,724 | 7,742 | 12,174 | 15,311 | 15,131 | ||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 32,494 | (26,765 | ) | 5,856 | (6,375 | ) | 14,453 | (6,456 | ) | |||||||||||||||||||||
Net Increase in Net Assets Resulting from Operations | 85,930 | 44,637 | 16,622 | 7,897 | 36,018 | 11,177 | ||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class II | (8,700 | ) | (16,506 | ) | (2,102 | ) | (3,418 | ) | (2,508 | ) | (2,612 | ) | ||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class II | (62,750 | ) | (90,370 | ) | (12,185 | ) | (19,162 | ) | (14,751 | ) | (15,290 | ) | ||||||||||||||||||
Total Distributions to Shareholders | (71,450 | ) | (106,876 | ) | (14,287 | ) | (22,580 | ) | (17,259 | ) | (17,902 | ) | ||||||||||||||||||
Capital Share Transactions | 17,069 | 27,683 | (5,138 | ) | 4,041 | 22,695 | 122,582 | |||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | 31,549 | (34,556 | ) | (2,803 | ) | (10,642 | ) | 41,454 | 115,857 | |||||||||||||||||||||
Net Assets, Beginning of Period | 1,019,869 | 1,054,425 | 261,050 | 271,692 | 511,357 | 395,500 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 1,051,418 | $ | 1,019,869 | $ | 258,247 | $ | 261,050 | $ | 552,811 | $ | 511,357 | ||||||||||||||||||
Undistributed net investment income | $ | 17,340 | $ | 8,633 | $ | 3,006 | $ | 2,084 | $ | 6,219 | $ | 2,473 |
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 109 |
STATEMENTS OF CHANGES IN NET ASSETS | IVY VIP |
Pathfinder Moderately Aggressive - Managed Volatility | Pathfinder Moderately Conservative - Managed Volatility | Advantus Real Estate Securities(1) | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 1,275 | $ | 389 | $ | 711 | $ | 300 | $ | 467 | $ | 607 | ||||||||||||||||||
Net realized gain on investments | 2,522 | 2,521 | 1,883 | 1,538 | 1,702 | 5,605 | ||||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 2,538 | (1,038 | ) | 1,438 | (876 | ) | (738 | ) | (4,351 | ) | ||||||||||||||||||||
Net Increase in Net Assets Resulting from Operations | 6,335 | 1,872 | 4,032 | 962 | 1,431 | 1,861 | ||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class II | (388 | ) | (624 | ) | (298 | ) | (322 | ) | (601 | ) | (516 | ) | ||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class II | (2,464 | ) | (3,420 | ) | (1,471 | ) | (1,837 | ) | (5,614 | ) | (4,360 | ) | ||||||||||||||||||
Total Distributions to Shareholders | (2,852 | ) | (4,044 | ) | (1,769 | ) | (2,159 | ) | (6,215 | ) | (4,876 | ) | ||||||||||||||||||
Capital Share Transactions | 5,944 | 12,862 | 1,188 | 14,530 | 1,888 | 4,399 | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | 9,427 | 10,690 | 3,451 | 13,333 | (2,896 | ) | 1,384 | |||||||||||||||||||||||
Net Assets, Beginning of Period | 77,550 | 66,860 | 67,118 | 53,785 | 48,818 | 47,434 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 86,977 | $ | 77,550 | $ | 70,569 | $ | 67,118 | $ | 45,922 | $ | 48,818 | ||||||||||||||||||
Undistributed net investment income | $ | 1,252 | $ | 365 | $ | 689 | $ | 276 | $ | 583 | $ | 717 | ||||||||||||||||||
Asset Strategy(2) | Balanced | Bond | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 95 | $ | 7,634 | $ | 2,665 | $ | 5,620 | $ | 4,637 | $ | 6,067 | ||||||||||||||||||
Net realized gain (loss) on investments | (26,592 | ) | (7,078 | ) | 12,890 | 10,202 | 756 | 3,730 | ||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 101,886 | (34,070 | ) | 5,048 | (8,778 | ) | 6,183 | 2,129 | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 75,389 | (33,514 | ) | 20,603 | 7,044 | 11,576 | 11,926 | |||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class I | (1 | ) | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||
Class II | (3,722 | ) | (6,389 | ) | (5,768 | ) | (5,061 | ) | (6,801 | ) | (6,593 | ) | ||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class I | — | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||
Class II | — | — | (10,204 | ) | (54,663 | ) | (2,999 | ) | (742 | ) | ||||||||||||||||||||
Total Distributions to Shareholders | (3,723 | ) | (6,389 | ) | (15,972 | ) | (59,724 | ) | (9,800 | ) | (7,335 | ) | ||||||||||||||||||
Capital Share Transactions | (102,623 | ) | (274,863 | ) | (4,777 | ) | 30,463 | 13,692 | 131,419 | |||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (30,957 | ) | (314,766 | ) | (146 | ) | (22,217 | ) | 15,468 | 136,010 | ||||||||||||||||||||
Net Assets, Beginning of Period | 953,500 | 1,268,266 | 361,025 | 383,242 | 415,810 | 279,800 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 922,543 | $ | 953,500 | $ | 360,879 | $ | 361,025 | $ | 431,278 | $ | 415,810 | ||||||||||||||||||
Undistributed net investment income | $ | 21,688 | $ | 25,287 | $ | 1,002 | $ | 4,105 | $ | 4,564 | $ | 6,728 |
(1) | Effective April 28, 2017, the Portfolio’s name changed from Real Estate Securities to Advantus Real Estate Securities. |
(2) | Consolidated Statements of Changes in Net Assets (See Note 6 in Notes to Financial Statements). |
See Accompanying Notes to Financial Statements.
110 | SEMIANNUAL REPORT | 2017 |
STATEMENTS OF CHANGES IN NET ASSETS | IVY VIP |
Core Equity | Dividend Opportunities | Energy | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,052 | $ | 1,906 | $ | 4,297 | $ | 7,172 | $ | (416 | ) | $ | (400 | ) | ||||||||||||||||
Net realized gain (loss) on investments | 15,461 | 17,184 | 14,913 | 14,577 | 2,906 | (6,613 | ) | |||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 9,545 | (3,912 | ) | 12,251 | 12,700 | (49,085 | ) | 54,012 | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 26,058 | 15,178 | 31,461 | 34,449 | (46,595 | ) | 46,999 | |||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | — | * | N/A | |||||||||||||||||||||||
Class II | (1,910 | ) | (1,938 | ) | (6,575 | ) | (6,264 | ) | (70 | ) | (203 | ) | ||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | — | N/A | ||||||||||||||||||||||||
Class II | (17,268 | ) | (51,884 | ) | (16,978 | ) | (28,123 | ) | — | — | ||||||||||||||||||||
Total Distributions to Shareholders | (19,178 | ) | (53,822 | ) | (23,553 | ) | (34,387 | ) | (70 | ) | (203 | ) | ||||||||||||||||||
Capital Share Transactions | (3,987 | ) | 4,387 | 1,171 | (5,250 | ) | 91 | 32,142 | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | 2,893 | (34,257 | ) | 9,079 | (5,188 | ) | (46,574 | ) | 78,938 | |||||||||||||||||||||
Net Assets, Beginning of Period | 419,682 | 453,939 | 509,324 | 514,512 | 196,097 | 117,159 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 422,575 | $ | 419,682 | $ | 518,403 | $ | 509,324 | $ | 149,523 | $ | 196,097 | ||||||||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 894 | $ | 1,752 | $ | 3,787 | $ | 6,063 | $ | (321 | ) | $ | 165 | |||||||||||||||||
Global Bond | Global Growth | Government Money Market | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 324 | $ | 687 | $ | 2,054 | $ | 402 | $ | 805 | $ | 682 | ||||||||||||||||||
Net realized gain (loss) on investments | (55 | ) | (228 | ) | 14,959 | 10,709 | 1 | 24 | ||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 209 | 951 | 32,888 | (24,761 | ) | — | — | |||||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 478 | 1,410 | 49,901 | (13,650 | ) | 806 | 706 | |||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class II | (630 | ) | (731 | ) | (213 | ) | (1,039 | ) | (805 | ) | (682 | ) | ||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class II | N/A | — | (11,360 | ) | (14,220 | ) | (24 | ) | (17 | ) | ||||||||||||||||||||
Total Distributions to Shareholders | (630 | ) | (731 | ) | (11,573 | ) | (15,259 | ) | (829 | ) | (699 | ) | ||||||||||||||||||
Capital Share Transactions | 1,246 | 1,405 | (23,063 | ) | (69,429 | ) | (19,993 | ) | (125,479 | ) | ||||||||||||||||||||
Net Increase (Decrease) in Net Assets | 1,094 | 2,084 | 15,265 | (98,338 | ) | (20,016 | ) | (125,472 | ) | |||||||||||||||||||||
Net Assets, Beginning of Period | 21,956 | 19,872 | 408,271 | 506,609 | 413,870 | 539,342 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 23,050 | $ | 21,956 | $ | 423,536 | $ | 408,271 | $ | 393,854 | $ | 413,870 | ||||||||||||||||||
Undistributed net investment income | $ | 320 | $ | 625 | $ | 1,994 | $ | 153 | $ | — | $ | — |
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 111 |
STATEMENTS OF CHANGES IN NET ASSETS | IVY VIP |
Growth | High Income | International Core Equity | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 200 | $ | 2,224 | $ | 29,271 | $ | 54,036 | $ | 8,974 | $ | 10,454 | ||||||||||||||||||
Net realized gain (loss) on investments | 55,603 | 79,242 | 197 | (28,876 | ) | 19,587 | (9,231 | ) | ||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 51,681 | (72,102 | ) | 9,628 | 91,565 | 74,301 | 6,040 | |||||||||||||||||||||||
Net Increase in Net Assets Resulting from Operations | 107,484 | 9,364 | 39,096 | 116,725 | 102,862 | 7,263 | ||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class I | N/A | N/A | (3,461 | ) | N/A | N/A | N/A | |||||||||||||||||||||||
Class II | (2,229 | ) | (205 | ) | (50,714 | ) | (56,542 | ) | (10,927 | ) | (8,905 | ) | ||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class I | N/A | N/A | — | N/A | N/A | N/A | ||||||||||||||||||||||||
Class II | (79,351 | ) | (89,838 | ) | — | — | — | (7,190 | ) | |||||||||||||||||||||
Total Distributions to Shareholders | (81,580 | ) | (90,043 | ) | (54,175 | ) | (56,542 | ) | (10,927 | ) | (16,095 | ) | ||||||||||||||||||
Capital Share Transactions | (7,893 | ) | 19,184 | 182,248 | 59,537 | (38,578 | ) | 70,237 | ||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | 18,011 | (61,495 | ) | 167,169 | 119,720 | 53,357 | 61,405 | |||||||||||||||||||||||
Net Assets, Beginning of Period | 835,412 | 896,907 | 845,219 | 725,499 | 736,043 | 674,638 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 853,423 | $ | 835,412 | $ | 1,012,388 | $ | 845,219 | $ | 789,400 | $ | 736,043 | ||||||||||||||||||
Undistributed (distributions in excess of) net investment income | $ | (33 | ) | $ | 1,996 | $ | 28,577 | $ | 53,976 | $ | 8,531 | $ | 10,431 | |||||||||||||||||
Limited-Term Bond | Micro Cap Growth | Mid Cap Growth | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 3,036 | $ | 5,948 | $ | (322 | ) | $ | (574 | ) | $ | (1,585 | ) | $ | (538 | ) | ||||||||||||||
Net realized gain (loss) on investments | (219 | ) | 1,731 | (1,530 | ) | (102 | ) | 3,409 | 19,722 | |||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | 1,714 | (285 | ) | 6,224 | 8,208 | 75,540 | 18,184 | |||||||||||||||||||||||
Net Increase in Net Assets Resulting from Operations | 4,531 | 7,394 | 4,372 | 7,532 | 77,364 | 37,368 | ||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class I | N/A | N/A | — | N/A | — | N/A | ||||||||||||||||||||||||
Class II | (6,273 | ) | (5,755 | ) | — | — | — | — | ||||||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class I | N/A | N/A | — | N/A | (3,997 | ) | N/A | |||||||||||||||||||||||
Class II | — | — | — | (6,098 | ) | (15,653 | ) | (32,997 | ) | |||||||||||||||||||||
Total Distributions to Shareholders | (6,273 | ) | (5,755 | ) | — | (6,098 | ) | (19,650 | ) | (32,997 | ) | |||||||||||||||||||
Capital Share Transactions | 33,353 | 8,372 | 5,044 | 2,645 | (4,362 | ) | 24,626 | |||||||||||||||||||||||
Net Increase in Net Assets | 31,611 | 10,011 | 9,416 | 4,079 | 53,352 | 28,997 | ||||||||||||||||||||||||
Net Assets, Beginning of Period | 394,767 | 384,756 | 62,976 | 58,897 | 615,443 | 586,446 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 426,378 | $ | 394,767 | $ | 72,392 | $ | 62,976 | $ | 668,795 | $ | 615,443 | ||||||||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 3,015 | $ | 6,252 | $ | (329 | ) | $ | (7 | ) | $ | (1,605 | ) | $ | (21 | ) |
See Accompanying Notes to Financial Statements.
112 | SEMIANNUAL REPORT | 2017 |
STATEMENTS OF CHANGES IN NET ASSETS | IVY VIP |
Natural Resources(1) | Science and Technology | Small Cap Core(2) | ||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | ||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 69 | $ | 255 | $ | (1,212 | ) | $ | (2,736 | ) | $ | 1,170 | $ | 261 | ||||||||||||||||
Net realized gain (loss) on investments | 3,449 | (9,426 | ) | 9,383 | 27,854 | 30,616 | 38,909 | |||||||||||||||||||||||
Net change in unrealized appreciation (depreciation) | (16,890 | ) | 36,762 | 72,995 | (21,271 | ) | (15,419 | ) | 46,578 | |||||||||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | (13,372 | ) | 27,591 | 81,166 | 3,847 | 16,367 | 85,748 | |||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class I | N/A | N/A | — | N/A | N/A | N/A | ||||||||||||||||||||||||
Class II | (179 | ) | (875 | ) | — | — | N/A | (1,333 | ) | |||||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class I | N/A | N/A | (13 | ) | N/A | N/A | N/A | |||||||||||||||||||||||
Class II | N/A | — | (28,274 | ) | (20,982 | ) | (39,265 | ) | (28,403 | ) | ||||||||||||||||||||
Total Distributions to Shareholders | (179 | ) | (875 | ) | 28,287 | (20,982 | ) | (39,265 | ) | (29,736 | ) | |||||||||||||||||||
Capital Share Transactions | (8,894 | ) | 3,534 | 12,396 | (50,693 | ) | 8,397 | (25,336 | ) | |||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (22,445 | ) | 30,250 | 65,275 | (67,828 | ) | (14,501 | ) | 30,675 | |||||||||||||||||||||
Net Assets, Beginning of Period | 144,189 | 113,939 | 514,460 | 582,288 | 348,332 | 317,656 | ||||||||||||||||||||||||
Net Assets, End of Period | $ | 121,744 | $ | 144,189 | $ | 579,735 | $ | 514,460 | $ | 333,831 | $ | 348,332 | ||||||||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 15 | $ | 121 | $ | (1,228 | ) | $ | (14 | ) | $ | 1,517 | $ | 347 | ||||||||||||||||
Small Cap Growth | Value | |||||||||||||||||||||||||||||
(In thousands) | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | ||||||||||||||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (1,443 | ) | $ | (3,274 | ) | $ | 2,534 | $ | 5,135 | ||||||||||||||||||||
Net realized gain on investments | 37,762 | 10,188 | 16,301 | 6,886 | ||||||||||||||||||||||||||
Net change in unrealized appreciation | 15,378 | 6,843 | 3,867 | 28,308 | ||||||||||||||||||||||||||
Net Increase in Net Assets Resulting from Operations | 51,697 | 13,757 | 22,702 | 40,329 | ||||||||||||||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||||||||
Net investment income: | ||||||||||||||||||||||||||||||
Class II | N/A | — | (4,974 | ) | (4,581 | ) | ||||||||||||||||||||||||
Net realized gains: | ||||||||||||||||||||||||||||||
Class II | (10,680 | ) | (45,145 | ) | (6,746 | ) | (44,339 | ) | ||||||||||||||||||||||
Total Distributions to Shareholders | (10,680 | ) | (45,145 | ) | (11,720 | ) | (48,920 | ) | ||||||||||||||||||||||
Capital Share Transactions | (60,025 | ) | 27,620 | (13,541 | ) | 3,755 | ||||||||||||||||||||||||
Net Increase (Decrease) in Net Assets | (19,008 | ) | (3,768 | ) | (2,559 | ) | (4,836 | ) | ||||||||||||||||||||||
Net Assets, Beginning of Period | 425,848 | 429,616 | 379,232 | 384,068 | ||||||||||||||||||||||||||
Net Assets, End of Period | $ | 406,840 | $ | 425,848 | $ | 376,673 | $ | 379,232 | ||||||||||||||||||||||
Undistributed (distributions in excess of) net investment income | $ | (1,071 | ) | $ | 372 | $ | 2,373 | $ | 4,813 |
(1) | Effective April 28, 2017, the Portfolio’s name changed from Global Natural Resources to Natural Resources. |
(2) | Effective April 28, 2017, the Portfolio’s name changed from Small Cap Value to Small Cap Core. |
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 113 |
FINANCIAL HIGHLIGHTS | IVY VIP |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | |||||||||||||||||||||||||||||
Pathfinder Aggressive | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | $ | 4.68 | $ | 0.08 | $ | 0.39 | $ | 0.47 | $ | (0.05 | ) | $ | (0.35 | ) | $ | (0.40 | ) | ||||||||||||||||||
Year ended 12-31-2016 | 5.05 | 0.04 | 0.15 | 0.19 | (0.07 | ) | (0.49 | ) | (0.56 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 5.73 | 0.07 | (0.01 | ) | 0.06 | (0.16 | ) | (0.58 | ) | (0.74 | ) | ||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Pathfinder Conservative | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 4.90 | 0.05 | 0.22 | 0.27 | (0.04 | ) | (0.21 | ) | (0.25 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 5.15 | 0.04 | 0.09 | 0.13 | (0.06 | ) | (0.32 | ) | (0.38 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 5.54 | 0.06 | (0.03 | ) | 0.03 | (0.06 | ) | (0.36 | ) | (0.42 | ) | ||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Pathfinder Moderate | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 5.02 | 0.07 | 0.30 | 0.37 | (0.04 | ) | (0.29 | ) | (0.33 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 5.34 | 0.04 | 0.13 | 0.17 | (0.07 | ) | (0.42 | ) | (0.49 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 5.87 | 0.07 | (0.02 | ) | 0.05 | (0.10 | ) | (0.48 | ) | (0.58 | ) | ||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Pathfinder Moderately Aggressive | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 5.14 | 0.09 | 0.35 | 0.44 | (0.05 | ) | (0.33 | ) | (0.38 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 5.50 | 0.04 | 0.17 | 0.21 | (0.09 | ) | (0.48 | ) | (0.57 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 6.14 | 0.09 | (0.06 | ) | 0.03 | (0.14 | ) | (0.53 | ) | (0.67 | ) | ||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Pathfinder Moderately Conservative | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 4.99 | 0.06 | 0.27 | 0.33 | (0.04 | ) | (0.25 | ) | (0.29 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 5.30 | 0.04 | 0.10 | 0.14 | (0.07 | ) | (0.38 | ) | (0.45 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 5.80 | 0.07 | (0.03 | ) | 0.04 | (0.09 | ) | (0.45 | ) | (0.54 | ) | ||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Pathfinder Moderate – Managed Volatility | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 5.25 | 0.06 | 0.31 | 0.37 | (0.03 | ) | (0.15 | ) | (0.18 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 5.37 | 0.03 | 0.06 | 0.09 | (0.03 | ) | (0.18 | ) | (0.21 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 5.39 | 0.05 | (0.07 | ) | (0.02 | ) | — | — | — | ||||||||||||||||||||||||||
Year ended 12-31-2014 | 5.37 | 0.06 | 0.14 | 0.20 | (0.03 | ) | (0.15 | ) | (0.18 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013(3) | 5.00 | (0.01 | ) | 0.38 | 0.37 | — | — | * | — | * | |||||||||||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 5.06 | 0.08 | 0.32 | 0.40 | (0.02 | ) | (0.16 | ) | (0.18 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 5.25 | 0.03 | 0.09 | 0.12 | (0.05 | ) | (0.26 | ) | (0.31 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 5.29 | 0.06 | (0.10 | ) | (0.04 | ) | — | — | — | ||||||||||||||||||||||||||
Year ended 12-31-2014 | 5.41 | 0.09 | 0.11 | 0.20 | (0.07 | ) | (0.25 | ) | (0.32 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013(3) | 5.00 | (0.02 | ) | 0.43 | 0.41 | — | — | * | — | * | |||||||||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 5.10 | 0.05 | 0.25 | 0.30 | (0.02 | ) | (0.11 | ) | (0.13 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 5.23 | 0.02 | 0.04 | 0.06 | (0.03 | ) | (0.16 | ) | (0.19 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 5.27 | 0.04 | (0.07 | ) | (0.03 | ) | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||||||||
Year ended 12-31-2014 | 5.31 | 0.04 | 0.11 | 0.15 | (0.03 | ) | (0.16 | ) | (0.19 | ) | |||||||||||||||||||||||||
Year ended 12-31-2013(3) | 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 do not reflect a sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | For the period from August 1, 2013 (commencement of operations of the Portfolio) through December 31, 2013. |
(4) | Annualized. |
(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%. |
(10) | Portfolio turnover is calculated at the portfolio level. Percentage indicated was calculated for the period ended December 31, 2013. |
114 | SEMIANNUAL REPORT | 2017 |
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 | ||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | $ | 4.75 | 10.21 | % | $ | 75 | 0.09 | %(4) | 3.42 | %(4) | 11 | % | ||||||||||||||||||
Year ended 12-31-2016 | 4.68 | 4.80 | 75 | 0.08 | 0.88 | 23 | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||
Pathfinder Conservative | ||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 4.92 | 5.34 | 112 | 0.07 | (4) | 1.98 | (4) | 13 | ||||||||||||||||||||||
Year ended 12-31-2016 | 4.90 | 2.84 | 114 | 0.07 | 0.71 | 26 | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||
Pathfinder Moderate | ||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 5.06 | 7.52 | 881 | 0.03 | (4) | 2.57 | (4) | 11 | ||||||||||||||||||||||
Year ended 12-31-2016 | 5.02 | 3.65 | 860 | 0.03 | 0.78 | 19 | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||
Pathfinder Moderately Aggressive | ||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 5.20 | 8.58 | 1,051 | 0.04 | (4) | 3.35 | (4) | 11 | ||||||||||||||||||||||
Year ended 12-31-2016 | 5.14 | 4.52 | 1,020 | 0.04 | 0.85 | 17 | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||
Pathfinder Moderately Conservative | ||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 5.03 | 6.54 | 258 | 0.05 | (4) | 2.33 | (4) | 11 | ||||||||||||||||||||||
Year ended 12-31-2016 | 4.99 | 3.10 | 261 | 0.05 | 0.80 | 16 | ||||||||||||||||||||||||
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 | ||||||||||||||||||||||||
Pathfinder Moderate – Managed Volatility | ||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 5.44 | 7.02 | 553 | 0.24 | (4) | 2.35 | (4) | 9 | ||||||||||||||||||||||
Year ended 12-31-2016 | 5.25 | 1.81 | 511 | 0.24 | 0.55 | 14 | ||||||||||||||||||||||||
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(3) | 5.37 | 7.50 | 34 | 0.58 | (4)(6) | -0.57 | (4) | 18 | (10) | |||||||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | ||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 5.28 | 8.03 | 87 | 0.31 | (4) | 3.09 | (4) | 9 | ||||||||||||||||||||||
Year ended 12-31-2016 | 5.06 | 2.36 | 78 | 0.31 | 0.56 | 12 | ||||||||||||||||||||||||
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(3) | 5.41 | 8.27 | 10 | 1.04 | (4)(8) | -1.03 | (4) | 15 | (10) | |||||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | ||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 5.27 | 6.05 | 71 | 0.30 | (4) | 2.08 | (4) | 12 | ||||||||||||||||||||||
Year ended 12-31-2016 | 5.10 | 1.21 | 67 | 0.30 | 0.49 | 11 | ||||||||||||||||||||||||
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(3) | 5.31 | 6.29 | 10 | 0.98 | (4)(9) | -0.97 | (4) | 21 | (10) |
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 115 |
FINANCIAL HIGHLIGHTS | IVY VIP |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | |||||||||||||||||||||||||||||
Advantus Real Estate Securities | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | $ | 8.40 | $ | 0.08 | $ | 0.13 | $ | 0.21 | $ | (0.11 | ) | $ | (1.03 | ) | $ | (1.14 | ) | ||||||||||||||||||
Year ended 12-31-2016 | 8.98 | 0.10 | 0.25 | 0.35 | (0.10 | ) | (0.84 | ) | (0.94 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 9.59 | 0.10 | 0.31 | 0.41 | (0.10 | ) | (0.92 | ) | (1.02 | ) | |||||||||||||||||||||||||
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 | ) | ||||||||||||||||||||||||||
Asset Strategy | |||||||||||||||||||||||||||||||||||
Class I Shares | |||||||||||||||||||||||||||||||||||
Period ended 6-30-2017(5) | 8.57 | 0.03 | 0.10 | 0.13 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 8.04 | 0.00 | * | 0.66 | 0.66 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 8.30 | 0.06 | (0.27 | ) | (0.21 | ) | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||||||||
Year ended 12-31-2015 | 10.87 | 0.08 | (0.77 | ) | (0.69 | ) | (0.04 | ) | (1.84 | ) | (1.88 | ) | |||||||||||||||||||||||
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 | ) | ||||||||||||||||||||||||||
Balanced | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 7.47 | 0.06 | 0.37 | 0.43 | (0.12 | ) | (0.22 | ) | (0.34 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 8.76 | 0.11 | 0.00 | * | 0.11 | (0.12 | ) | (1.28 | ) | (1.40 | ) | ||||||||||||||||||||||||
Year ended 12-31-2015 | 10.19 | 0.12 | (0.09 | ) | 0.03 | (0.09 | ) | (1.37 | ) | (1.46 | ) | ||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Bond | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 5.27 | 0.06 | 0.08 | 0.14 | (0.08 | ) | (0.04 | ) | (0.12 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 5.20 | 0.12 | 0.09 | 0.21 | (0.13 | ) | (0.01 | ) | (0.14 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 5.34 | 0.10 | (0.09 | ) | 0.01 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Core Equity | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 10.67 | 0.03 | 0.63 | 0.66 | (0.05 | ) | (0.46 | ) | (0.51 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 11.75 | 0.05 | 0.32 | 0.37 | (0.05 | ) | (1.40 | ) | (1.45 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 14.18 | 0.05 | (0.06 | ) | (0.01 | ) | (0.05 | ) | (2.37 | ) | (2.42 | ) | |||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Dividend Opportunities | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 7.79 | 0.07 | 0.40 | 0.47 | (0.10 | ) | (0.27 | ) | (0.37 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 7.82 | 0.11 | 0.40 | 0.51 | (0.10 | ) | (0.44 | ) | (0.54 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 9.05 | 0.09 | (0.23 | ) | (0.14 | ) | (0.11 | ) | (0.98 | ) | (1.09 | ) | |||||||||||||||||||||||
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 | ) | ||||||||||||||||||||||||||
Energy | |||||||||||||||||||||||||||||||||||
Class I Shares | |||||||||||||||||||||||||||||||||||
Period ended 6-30-2017(5) | 5.84 | 0.00 | * | (0.68 | ) | (0.68 | ) | — | * | — | — | * | |||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 6.77 | (0.01 | ) | (1.60 | ) | (1.61 | ) | — | * | — | — | * | |||||||||||||||||||||||
Year ended 12-31-2016 | 5.04 | (0.02 | ) | 1.76 | 1.74 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 6.51 | 0.00 | * | (1.44 | ) | (1.44 | ) | — | * | (0.03 | ) | (0.03 | ) | ||||||||||||||||||||||
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 | — | — | — |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value. Total returns do not reflect a sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | Annualized. |
(5) | For the period from April 28, 2017 (commencement of operations of the class) through June 30, 2017. |
(6) | Portfolio turnover is calculated at the Portfolio level. Percentage indicated was calculated for the period ended June 30, 2017. |
116 | SEMIANNUAL REPORT | 2017 |
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 | |||||||||||||||||||||||||||||||||
Advantus Real Estate Securities | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | $ | 7.47 | 3.05 | % | $ | 46 | 1.26 | %(4) | 2.01 | %(4) | 1.35 | %(4) | 1.92 | %(4) | 37 | % | ||||||||||||||||||||||||
Year ended 12-31-2016 | 8.39 | 4.26 | 49 | 1.20 | 1.26 | 1.29 | 1.17 | 79 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 8.98 | 4.78 | 47 | 1.19 | 1.10 | 1.28 | 1.01 | 57 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Asset Strategy | ||||||||||||||||||||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||||||||||
Period ended 6-30-2017(5) | 8.67 | 1.57 | — | * | 0.78 | (4) | 2.20 | (4) | — | — | 17 | (6) | ||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 8.67 | 8.20 | 923 | 1.02 | 0.02 | (4) | — | — | 17 | |||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 8.04 | -2.57 | 954 | 1.01 | 0.70 | 1.02 | 0.69 | 68 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 8.30 | -8.35 | 1,268 | 0.98 | 0.81 | 0.99 | 0.80 | 70 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Balanced | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 7.56 | 5.82 | 361 | 1.01 | (4) | 1.48 | (4) | — | — | 23 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 7.47 | 2.03 | 361 | 1.01 | 1.53 | — | — | 54 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 8.76 | -0.32 | 383 | 1.00 | 1.28 | — | — | 44 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Bond | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 5.29 | 2.75 | 431 | 0.79 | (4) | 2.21 | (4) | — | — | 41 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 5.27 | 4.03 | 416 | 0.79 | 2.17 | — | — | 84 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 5.20 | 0.20 | 280 | 0.78 | 1.87 | — | — | 59 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Core Equity | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 10.82 | 6.28 | 423 | 0.95 | (4) | 0.50 | (4) | 1.01 | (4) | 0.44 | (4) | 50 | ||||||||||||||||||||||||||||
Year ended 12-31-2016 | 10.67 | 3.74 | 420 | 0.95 | 0.45 | 1.01 | 0.39 | 75 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 11.75 | -0.69 | 454 | 0.95 | 0.38 | 1.00 | 0.33 | 60 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Dividend Opportunities | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 7.89 | 6.28 | 518 | 1.00 | (4) | 1.68 | (4) | — | — | 19 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 7.79 | 6.95 | 509 | 1.01 | 1.43 | — | — | 59 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 7.82 | -2.06 | 515 | 1.00 | 1.14 | — | — | 50 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Energy | ||||||||||||||||||||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||||||||||
Period ended 6-30-2017(5) | 5.16 | -11.52 | — | * | 0.96 | (4) | -0.15 | (4) | — | — | 12 | (6) | ||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 5.16 | -23.79 | 150 | 1.20 | (4) | -0.47 | (4) | — | — | 12 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 6.77 | 34.55 | 196 | 1.19 | -0.27 | — | — | 31 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 5.04 | -22.14 | 117 | 1.20 | 0.08 | — | — | 34 | ||||||||||||||||||||||||||||||||
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 |
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 117 |
FINANCIAL HIGHLIGHTS | IVY VIP |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | |||||||||||||||||||||||||||||
Global Bond | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | $ | 4.89 | $ | 0.07 | $ | 0.04 | $ | 0.11 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | |||||||||||||||||||
Year ended 12-31-2016 | 4.74 | 0.16 | 0.17 | 0.33 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2015 | 5.05 | 0.19 | (0.31 | ) | (0.12 | ) | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Global Growth | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 8.14 | 0.04 | 0.97 | 1.01 | — | * | (0.24 | ) | (0.24 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 8.68 | 0.01 | (0.28 | ) | (0.27 | ) | (0.02 | ) | (0.25 | ) | (0.27 | ) | |||||||||||||||||||||||
Year ended 12-31-2015 | 8.84 | 0.02 | 0.31 | 0.33 | (0.04 | ) | (0.45 | ) | (0.49 | ) | |||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Government Money Market | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | * | — | * | ||||||||||||||||||||||
Year ended 12-31-2016 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | * | — | * | ||||||||||||||||||||||
Year ended 12-31-2015 | 1.00 | 0.00 | * | 0.00 | * | 0.00 | * | — | * | — | — | * | |||||||||||||||||||||||
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 | * | — | * | — | — | * | |||||||||||||||||||||||
Growth | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 10.30 | 0.00 | * | 1.33 | 1.33 | (0.03 | ) | (1.03 | ) | (1.06 | ) | ||||||||||||||||||||||||
Year ended 12-31-2016 | 11.42 | 0.03 | 0.03 | 0.06 | — | * | (1.18 | ) | (1.18 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 12.08 | 0.00 | * | 0.85 | 0.85 | (0.01 | ) | (1.50 | ) | (1.51 | ) | ||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
High Income | |||||||||||||||||||||||||||||||||||
Class I Shares | |||||||||||||||||||||||||||||||||||
Period ended 6-30-2017(5) | 3.73 | 0.04 | 0.00 | * | 0.04 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 3.61 | 0.11 | 0.05 | 0.16 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2016 | 3.35 | 0.24 | 0.28 | 0.52 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2015 | 3.85 | 0.26 | (0.48 | ) | (0.22 | ) | (0.24 | ) | (0.04 | ) | (0.28 | ) | |||||||||||||||||||||||
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 | ) | ||||||||||||||||||||||||||
International Core Equity | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 15.30 | 0.19 | 2.00 | 2.19 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2016 | 15.53 | 0.24 | (0.11 | ) | 0.13 | (0.20 | ) | (0.16 | ) | (0.36 | ) | ||||||||||||||||||||||||
Year ended 12-31-2015 | 18.00 | 0.20 | (0.06 | ) | 0.14 | (0.24 | ) | (2.37 | ) | (2.61 | ) | ||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Limited-Term Bond | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 4.89 | 0.04 | 0.02 | 0.06 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2016 | 4.87 | 0.08 | 0.01 | 0.09 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2015 | 4.90 | 0.06 | (0.02 | ) | 0.04 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||||||
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 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value. Total returns do not reflect a sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | Annualized. |
(5) | For the period from April 28, 2017 (commencement of operations of the class) through June 30, 2017. |
(6) | Portfolio turnover is calculated at the Portfolio level. Percentage indicated was calculated for the period ended June 30, 2017. |
118 | SEMIANNUAL REPORT | 2017 |
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income (Loss) to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||||||||||
Global Bond | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | $ | 4.86 | 2.19 | % | $ | 23 | 0.62 | %(4) | 2.91 | %(4) | — | % | — | % | 19 | % | ||||||||||||||||||||||||
Year ended 12-31-2016 | 4.89 | 7.04 | 22 | 0.50 | 3.28 | 1.13 | 2.65 | 18 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 4.74 | -2.65 | 20 | 0.51 | 3.80 | 1.14 | 3.17 | 26 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Global Growth | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 8.91 | 12.46 | 424 | 1.13 | (4) | 0.97 | (4) | 1.17 | (4) | 0.93 | (4) | 26 | ||||||||||||||||||||||||||||
Year ended 12-31-2016 | 8.14 | -3.04 | 408 | 1.13 | 0.09 | 1.16 | 0.06 | 71 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 8.68 | 3.39 | 507 | 1.14 | 0.23 | 1.17 | 0.20 | 54 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Government Money Market | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 1.00 | 0.20 | 394 | 0.41 | (4) | 0.40 | (4) | — | — | — | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 1.00 | 0.13 | 414 | 0.45 | 0.13 | 0.46 | 0.12 | — | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 1.00 | 0.02 | 539 | 0.20 | 0.02 | 0.45 | -0.23 | — | ||||||||||||||||||||||||||||||||
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 | — | ||||||||||||||||||||||||||||||||
Growth | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 10.57 | 13.07 | 853 | 1.00 | (4) | 0.05 | (4) | — | — | 23 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 10.30 | 1.22 | 835 | 0.98 | 0.26 | 1.00 | 0.24 | 53 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 11.42 | 7.17 | 897 | 0.96 | 0.03 | 0.99 | 0.00 | 30 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
High Income | ||||||||||||||||||||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||||||||||
Period ended 6-30-2017 (5) | 3.56 | 1.02 | 90 | 0.66 | (4) | 6.82 | (4) | — | — | 27 | (6) | |||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 3.56 | 4.36 | 922 | 0.91 | (4) | 6.32 | (4) | — | — | 27 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 3.61 | 16.19 | 845 | 0.89 | 6.97 | 0.92 | 6.94 | 36 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 3.35 | -6.50 | 725 | 0.89 | 7.01 | 0.92 | 6.98 | 44 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
International Core Equity | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 17.25 | 14.32 | 789 | 1.16 | (4) | 2.34 | (4) | — | — | 32 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 15.30 | 1.08 | 736 | 1.17 | 1.60 | — | — | 77 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 15.53 | -0.94 | 675 | 1.16 | 1.18 | — | — | 87 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Limited-Term Bond | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 4.87 | 1.17 | 426 | 0.81 | (4) | 1.55 | (4) | — | — | 32 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 4.89 | 1.94 | 395 | 0.81 | 1.53 | — | — | 60 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 4.87 | 0.87 | 385 | 0.80 | 1.31 | — | — | 44 | ||||||||||||||||||||||||||||||||
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 |
See Accompanying Notes to Financial Statements.
2017 | SEMIANNUAL REPORT | 119 |
FINANCIAL HIGHLIGHTS | IVY VIP |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
Net Asset Value, Beginning of Period | Net Investment Income (Loss)(1) | Net Realized and Unrealized Gain (Loss) on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | |||||||||||||||||||||||||||||
Micro Cap Growth | |||||||||||||||||||||||||||||||||||
Class I Shares | |||||||||||||||||||||||||||||||||||
Period ended 6-30-2017(5) | $ | 21.13 | $ | (0.02 | ) | $ | 0.97 | $ | 0.95 | $ | — | $ | — | $ | — | ||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 20.66 | (0.11 | ) | 1.52 | 1.41 | — | — | — | |||||||||||||||||||||||||||
Year ended 12-31-2016 | 20.62 | (0.19 | ) | 2.37 | 2.18 | — | (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 | ) | |||||||||||||||||||||||||
Mid Cap Growth | |||||||||||||||||||||||||||||||||||
Class I Shares | |||||||||||||||||||||||||||||||||||
Period ended 6-30-2017(5) | 10.30 | 0.00 | * | 0.33 | 0.33 | — | (0.31 | ) | (0.31 | ) | |||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 9.44 | (0.03 | ) | 1.22 | 1.19 | — | (0.31 | ) | (0.31 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 9.42 | (0.01 | ) | 0.55 | 0.54 | — | (0.52 | ) | (0.52 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 10.84 | (0.01 | ) | (0.52 | ) | (0.53 | ) | — | (0.89 | ) | (0.89 | ) | |||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Natural Resources | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 4.50 | 0.00 | * | (0.44 | ) | (0.44 | ) | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||||||
Year ended 12-31-2016 | 3.66 | 0.01 | 0.86 | 0.87 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2015 | 4.72 | 0.02 | (1.08 | ) | (1.06 | ) | — | * | — | — | * | ||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Science and Technology | |||||||||||||||||||||||||||||||||||
Class I Shares | |||||||||||||||||||||||||||||||||||
Period ended 6-30-2017(5) | 25.22 | 0.00 | * | 0.68 | 0.68 | — | (1.28 | ) | (1.28 | ) | |||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 22.34 | (0.05 | ) | 3.60 | 3.55 | — | (1.28 | ) | (1.28 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 22.96 | (0.11 | ) | 0.34 | 0.23 | — | (0.85 | ) | (0.85 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 25.02 | (0.15 | ) | (0.41 | ) | (0.56 | ) | — | (1.50 | ) | (1.50 | ) | |||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Small Cap Core | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 18.34 | 0.06 | 0.73 | 0.79 | — | (2.23 | ) | (2.23 | ) | ||||||||||||||||||||||||||
Year ended 12-31-2016 | 15.66 | 0.01 | 4.17 | 4.18 | (0.07 | ) | (1.43 | ) | (1.50 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 17.98 | 0.05 | (0.95 | ) | (0.90 | ) | (0.02 | ) | (1.40 | ) | (1.42 | ) | |||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Small Cap Growth | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 9.69 | (0.03 | ) | 1.23 | 1.20 | — | (0.26 | ) | (0.26 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 10.60 | (0.07 | ) | 0.23 | 0.16 | — | (1.07 | ) | (1.07 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 12.15 | (0.09 | ) | 0.51 | 0.42 | — | (1.97 | ) | (1.97 | ) | |||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||||||
Value | |||||||||||||||||||||||||||||||||||
Class II Shares | |||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 5.93 | 0.04 | 0.33 | 0.37 | (0.09 | ) | (0.12 | ) | (0.21 | ) | |||||||||||||||||||||||||
Year ended 12-31-2016 | 6.15 | 0.08 | 0.49 | 0.57 | (0.07 | ) | (0.72 | ) | (0.79 | ) | |||||||||||||||||||||||||
Year ended 12-31-2015 | 7.39 | 0.06 | (0.30 | ) | (0.24 | ) | (0.06 | ) | (0.94 | ) | (1.00 | ) | |||||||||||||||||||||||
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 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value. Total returns do not reflect a sales charge or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | Annualized. |
(5) | For the period from April 28, 2017 (commencement of operations of the class) through June 30, 2017. |
(6) | Portfolio turnover is calculated at the Portfolio level. Percentage indicated was calculated for the period ended June 30, 2017. |
120 | SEMIANNUAL REPORT | 2017 |
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 | |||||||||||||||||||||||||||||||||
Micro Cap Growth | ||||||||||||||||||||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||||||||||
Period ended 6-30-2017(5) | $ | 22.08 | 4.50 | % | $ | — | * | 1.10 | %(4) | -0.53 | %(4) | — | % | — | % | 13 | %(6) | |||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 22.07 | 6.80 | 72 | 1.34 | (4) | -1.02 | (4) | — | — | 13 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 20.66 | 13.29 | 63 | 1.34 | -1.01 | — | — | 45 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Mid Cap Growth | ||||||||||||||||||||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||||||||||
Period ended 6-30-2017(5) | 10.32 | 3.38 | 138 | 0.85 | (4) | 0.19 | (4) | 0.90 | (4) | 0.14 | (4) | 15 | (6) | |||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 10.32 | 12.80 | 531 | 1.10 | (4) | -0.55 | (4) | 1.15 | (4) | -0.60 | (4) | 15 | ||||||||||||||||||||||||||||
Year ended 12-31-2016 | 9.44 | 6.12 | 615 | 1.10 | -0.09 | 1.15 | -0.14 | 33 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 9.42 | -5.78 | 586 | 1.10 | -0.07 | 1.15 | -0.12 | 42 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Natural Resources | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 4.05 | -9.85 | 122 | 1.38 | (4) | 0.10 | (4) | — | — | 18 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 4.50 | 23.81 | 144 | 1.36 | 0.20 | — | — | 67 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 3.66 | -22.39 | 114 | 1.35 | 0.54 | — | — | 34 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Science and Technology | ||||||||||||||||||||||||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||||||||||
Period ended 6-30-2017(5) | 24.62 | 2.90 | — | * | 0.92 | (4) | 0.03 | (4) | — | — | 12 | (6) | ||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 24.61 | 16.10 | 580 | 1.16 | (4) | -0.44 | (4) | — | — | 12 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 22.34 | 1.54 | 514 | 1.15 | -0.52 | 1.17 | -0.54 | 16 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 22.96 | -2.88 | 582 | 1.13 | -0.60 | 1.15 | -0.62 | 25 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Small Cap Core | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 16.90 | 4.94 | 334 | 1.16 | (4) | 0.69 | (4) | — | — | 54 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 18.34 | 28.88 | 348 | 1.16 | 0.08 | — | — | 182 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 15.66 | -5.58 | 318 | 1.15 | 0.26 | — | — | 142 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Small Cap Growth | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 10.63 | 12.53 | 407 | 1.14 | (4) | -0.67 | (4) | 1.16 | (4) | -0.69 | (4) | 32 | ||||||||||||||||||||||||||||
Year ended 12-31-2016 | 9.69 | 2.92 | 426 | 1.14 | -0.79 | 1.16 | -0.81 | 107 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 10.60 | 1.88 | 430 | 1.13 | -0.76 | 1.15 | -0.78 | 102 | ||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||
Value | ||||||||||||||||||||||||||||||||||||||||
Class II Shares | ||||||||||||||||||||||||||||||||||||||||
Six-month period ended 6-30-2017 (unaudited) | 6.09 | 6.35 | 377 | 1.01 | (4) | 1.39 | (4) | — | — | 24 | ||||||||||||||||||||||||||||||
Year ended 12-31-2016 | 5.93 | 11.14 | 379 | 1.02 | 1.38 | 1.03 | 1.37 | 54 | ||||||||||||||||||||||||||||||||
Year ended 12-31-2015 | 6.15 | -3.91 | 384 | 0.99 | 0.91 | 1.00 | 0.90 | 74 | ||||||||||||||||||||||||||||||||
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 |
See Accompanying Notes to Financial Statements.
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NOTES TO FINANCIAL STATEMENTS | IVY VIP |
JUNE 30, 2017 (UNAUDITED)
1. | ORGANIZATION |
Ivy Variable Insurance Portfolios, a Delaware statutory trust (the “Trust”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust is divided into 29 series (each a “Portfolio”). Effective April 28, 2017, Global Natural Resources, Real Estate Securities and Small Cap Value changed names to Natural Resources, Advantus Real Estate Securities and Small Cap Core, respectively. 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 assets belonging to each Pathfinder Portfolio and Managed Volatility Portfolio are held separately by the transfer agent for the underlying funds and the custodian. The investment objective, policies and risk factors of each Portfolio are described more fully in the Prospectus and Statement of Additional Information (“SAI”). Each Portfolio’s investment adviser is Ivy Investment Management Company (“IICO”).
Each Portfolio offers Class II shares. Asset Strategy, Energy, High Income, Micro Cap Growth, Mid Cap Growth and Science and Technology also offer Class I shares. All classes of shares have identical rights and voting privileges with respect to the Portfolio in general and exclusive voting rights on matters that affect that class alone. Net investment income, net assets and net asset value per share (“NAV”) may differ due to each class having its own expenses, such as transfer agent and shareholder servicing fees, directly attributable to that class. Class II shares have a distribution and service plan. Class I shares are not included in the plan.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by each Portfolio.
Security Transactions and Related Investment Income. Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Realized gains and losses are calculated on the identified cost basis. Interest income is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Portfolio is informed of the ex-dividend date. All or a portion of the distributions received from a real estate investment trust or publicly traded partnership may be designated as a reduction of cost of the related investment or realized gain.
Foreign Currency Translation. Each Portfolio’s accounting records are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies are translated into U.S. dollars daily, using foreign exchange rates obtained from an independent pricing service approved by the Board of Trustees of the Trust (the “Board”). Purchases and sales of investment securities and accruals of income and expenses are translated at the rate of exchange prevailing on the date of the transaction. For assets and liabilities other than investments in securities, net realized and unrealized gains and losses from foreign currency translation arise from changes in currency exchange rates. Each Portfolio combines fluctuations from currency exchange rates and fluctuations in value when computing net realized gain (loss) and net change in unrealized appreciation (depreciation) on investments. Foreign exchange rates are typically valued as of the close of the New York Stock Exchange (“NYSE”), normally 4:00 P.M. Eastern time, on each day the NYSE is open for trading.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders are recorded by each Portfolio on the business day following record date. Net investment income dividends and capital gains distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America (“U.S. GAAP”). If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a tax return of capital.
Income Taxes. It is the policy of each Portfolio to distribute all of its taxable income and capital gains to its shareholders and to otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. In addition, each Portfolio intends to pay distributions as required to avoid imposition of excise tax. Accordingly, no provision has been made for Federal income taxes. The Portfolios file income tax returns in U.S. federal and applicable state jurisdictions. The Portfolios’ tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax returns. Management of the Trust periodically reviews all tax positions to assess whether it is more likely than not that the position would be sustained upon examination by the
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relevant tax authority based on the technical merits of each position. As of the date of these financial statements, management believes that no liability for unrecognized tax positions is required.
Segregation and Collateralization. In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”), the Dodd Frank Wall Street Reform and Consumer Protection Act, or the interpretive rules and regulations of the U.S. Commodities Futures Trading Commission require that a Portfolio either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, financial futures contracts, foreign currency exchange contracts, options written, securities with extended settlement periods, and swaps), the Portfolio will segregate collateral or designate on its books and records, cash or other liquid securities having a value at least equal to the amount that is required to be physically segregated for the benefit of the counterparty. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party has requirements to deliver/deposit cash or securities as collateral for certain investments. Certain countries require that cash reserves be held while investing in companies incorporated in that country. These cash reserves and cash collateral that has been pledged to cover obligations of the Portfolios under derivative contracts, if any, will be reported separately on the Statement of Assets and Liabilities as “Restricted cash”. Securities collateral pledged for the same purpose, if any, is noted on the Schedule of Investments.
Concentration of Market and Credit Risk. In the normal course of business, the Portfolios invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the issuer of a security to meet all its obligations (issuer credit risk). The value of securities held by the Portfolios may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Portfolios; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, the Portfolios may be exposed to counterparty credit risk, or the risk that an entity with which the Portfolios have unsettled or open transactions may fail to or be unable to perform on its commitments. The Portfolios manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Portfolios to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Portfolios’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded on the Portfolios’ Statement of Assets and Liabilities, less any collateral held by the Portfolios.
Certain Portfolios may hold high-yield or non-investment-grade bonds, that may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Portfolios may acquire securities in default and are not obligated to dispose of securities whose issuers subsequently default.
Certain Portfolios may enter into financial instrument transactions (such as swaps, futures, options and other derivatives) that may have off-balance sheet market risk. Off-balance sheet market risk exists when the maximum potential loss on a particular financial instrument is greater than the value of such financial instrument, as reflected on the Statement of Assets and Liabilities.
If a Portfolio invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in financial derivatives that provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Portfolio, or, in the case of hedging positions, that the Portfolio’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad.
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
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one or more major U.S. banks, the London Interbank Offered Rate (“LIBOR”) or certificates of deposit rates. Loans often require prepayments from excess cash flow or permit the Borrower to repay at its election. The degree to which Borrowers repay cannot be predicted with accuracy. As a result, the actual maturity may be substantially less than the stated maturities. Loans are exempt from registration under the Securities Act of 1933, as amended, may contain certain restrictions on resale, and cannot be sold publicly. A Portfolio’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties.
When a Portfolio purchases assignments, it acquires all the rights and obligations under the loan agreement of the assigning lender. Assignments may, however, be arranged through private negotiations between potential assignees and potential assignors, and the rights and obligations acquired by the purchaser of an assignment may differ from, and be more limited than those held by the assigning lender. When a Portfolio purchases a participation of a loan interest, the Portfolio typically enters into a contractual agreement with the lender or other third party selling the participation. A participation interest in loans includes the right to receive payments of principal, interest and any fees to which it is entitled from the lender and only upon receipt by the lender of payments from the Borrower, but not from the Borrower directly. When investing in a participation interest, if a Borrower is unable to meet its obligations under a loan agreement, a Portfolio generally has no direct right to enforce compliance with the terms of the loan agreement. As a result, the Portfolio assumes the credit risk of the Borrower, the selling participant, and any other persons that are interpositioned between the Portfolio and the Borrower. If the lead lender in a typical lending syndicate becomes insolvent, enters Federal Deposit Insurance Corporation (“FDIC”) receivership or, if not FDIC insured, enters into bankruptcy, the Portfolio may incur certain costs and delays in receiving payment or may suffer a loss of principal and interest.
Payment In-Kind Securities. Certain Portfolios may invest in payment in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in cash or in additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statement of Assets and Liabilities.
Securities on a When-Issued or Delayed Delivery Basis. Certain Portfolios may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by a Portfolio on a when-issued basis normally take place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of a Portfolio’s NAV to the extent the Portfolio executes such transactions while remaining substantially fully invested. When a Portfolio engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Portfolio to lose the opportunity to obtain or dispose of the security at a price and yield IICO, or the Portfolio’s investment subadviser, as applicable, consider advantageous. The Portfolio maintains internally designated assets with a value equal to or greater than the amount of its purchase commitments. The Portfolio may also sell securities that it purchased on a when-issued or delayed delivery basis prior to settlement of the original purchase.
Custodian Fees. “Custodian fees” on the Statement of Operations may include interest expense incurred by a Portfolio on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. A Portfolio pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by that Portfolio. The “Earnings credit” line item, if shown, represents earnings on cash balances maintained by that Portfolio during the period. Such interest expense and other custodian fees may be paid with these earnings.
Indemnification. The Trust’s organizational documents provide current and former Trustees and Officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Trust. In the normal course of business, the Trust may also enter into contracts that provide general indemnification. The Trust’s maximum exposure under these arrangements is unknown and is dependent on future claims that may be made against the Trust. The risk of material loss from such claims is considered remote.
Basis of Preparation. Each Portfolio is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 (“ASC 946”). The accompanying financial statements were prepared in accordance with U.S. GAAP, including but not limited to ASC 946. U.S. GAAP requires the use of estimates made by management. Management believes that estimates and valuations are appropriate; however, actual results may differ from those estimates, and the valuations reflected in the accompanying financial statements may differ from the value ultimately realized upon sale or maturity.
Subsequent Events. Management has performed a review for subsequent events through the date this report was issued.
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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 the last reported sales price, or if no sales are reported, based on quotes obtained from a quotation reporting system, established market makers, or pricing services.
Prices for fixed-income securities are typically based on quotes that are obtained from an independent pricing service approved by the Board. To determine values of fixed-income securities, the independent pricing service utilizes such factors as current quotations by broker/dealers, coupon, maturity, quality, type of issue, trading characteristics, and other yield and risk factors it deems relevant in determining valuations. Securities that cannot be valued by the independent pricing service may be valued using quotes obtained from dealers that make markets in the securities.
Investments in Government Money Market are valued on the basis of amortized cost (which approximates value), whereby a portfolio security is valued at its cost initially, and thereafter valued to reflect a constant amortization to maturity of any discount or premium. Short-term securities with maturities of 60 days or less held in all Portfolios (with the exception of Government Money Market) are valued based on quotes that are obtained from an independent pricing service approved by the Board as described in the preceding paragraph above.
Because many foreign markets close before the NYSE, events may occur between the close of the foreign market and the close of the NYSE that could have a material impact on the valuation of foreign securities. Waddell & Reed Services Company (“WRSCO”), pursuant to procedures adopted by the Board, evaluates the impact of these events and may adjust the valuation of foreign securities to reflect the fair value as of the close of the NYSE. In addition, all securities for which values are not readily available or are deemed unreliable are appraised at fair value as determined in good faith under the supervision of the Board.
Where market quotes are not readily available, portfolio securities or financial instruments are valued at fair value, as determined in good faith by the Board or Valuation Committee pursuant to procedures approved by the Board.
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE close, that materially affect the values of a Portfolio’s securities or financial instruments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available.
The Board has delegated to WRSCO the responsibility for monitoring significant events that may materially affect the values of a Portfolio’s securities or financial instruments and for determining whether the value of the applicable securities or financial instruments should be re-evaluated in light of such significant events. The Board has established a Valuation Committee to administer and oversee the valuation process, including the use of third party pricing vendors.
The Board has adopted methods for valuing securities and financial instruments in circumstances where market quotes are not readily available. For instances in which daily market quotes are not readily available, investments may be valued, pursuant to procedures established by the Board, with reference to other securities or indices. In the event that the security or financial instrument cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or financial instrument will be determined in good faith by the Valuation Committee in accordance with the procedures adopted by the Board.
When a Portfolio uses these fair valuation methods applied by WRSCO that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Board or persons acting at its direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. The prices used by a Portfolio may differ from the value that will ultimately be realized at the time the securities are sold.
WRSCO is responsible for monitoring the implementation of the pricing and valuation policies through a series of activities to provide reasonable comfort of the accuracy of prices including: 1) periodic vendor due diligence meetings to review methodologies, new developments, and process at vendors, 2) daily and monthly multi-source pricing comparisons reviewed and submitted to the Valuation Committee, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by management and the Valuation Committee.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or
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unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputs is summarized as follows:
• | Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities. |
• | Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
• | Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at its direction that are used in determining the fair value of investments. |
A description of the valuation techniques applied to the Portfolios’ major classes of assets and liabilities measured at fair value on a recurring basis follows:
Asset-Backed Securities and Mortgage-Backed Securities. The fair value of asset-backed securities and mortgage-backed securities are estimated using recently executed transactions and based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, and otherwise they would be categorized as Level 3.
Bullion. The fair value of bullion is at the last settlement price at the end of each day on the board of trade or exchange upon which they are traded and are categorized in Level 1 of the fair value hierarchy.
Corporate Bonds. The fair value of corporate bonds, as obtained from an independent pricing service, is estimated using various techniques, which consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (where observable), bond spreads, fundamental data relating to the issuer, and credit default swap spreads adjusted for any basis difference between cash and derivative instruments. While most corporate bonds are categorized in Level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they are categorized in Level 3 of the fair value hierarchy.
Derivative Instruments. Forward foreign currency contracts are valued based upon the closing prices of the forward currency rates determined at the close of the NYSE, are provided by an independent pricing service. Swaps derive their value from underlying asset prices, indices, reference rates and other inputs or a combination of these factors. Swaps are valued by an independent pricing service unless the price is unavailable, in which case they are valued at the price provided by a dealer in that security. 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.
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Equity Securities. Equity securities traded on U.S. or foreign securities exchanges or included in a national market system are valued at the official closing price at the close of each business day unless otherwise stated below. OTC equity securities and listed securities for which no price is readily available are valued at the average of the last bid and ask prices.
Mutual funds, including investment funds, typically are valued at the NAV reported as of the valuation date.
Securities that are stated at the last reported sales price or closing price on the day of valuation taken from the primary exchange where the security is principally traded and to the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy.
Foreign securities, for which the primary trading market closes at the same time or after the NYSE, are valued based on quotations from the primary market in which they are traded and categorized in Level 1. Because many foreign securities markets and exchanges close prior to the close of the NYSE, closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intra-day trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange-traded funds, and the movement of certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Loans. Loans are valued using a price or composite price from one or more brokers or dealers as obtained from an independent pricing service. The fair value of loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources. Loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable in which case they would be categorized as Level 3.
Municipal Bonds. Municipal bonds are fair valued based on pricing models used by and obtained from an independent pricing service that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-wants lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Overdraft due to custodian. Due to the short-term nature of overdraft due to custodian, the carrying value approximates fair value and the liability is categorized as Level 2 in the fair value hierarchy.
Restricted Securities. Restricted securities that are deemed to be Rule 144A securities and illiquid, as well as restricted securities held in non-public entities, are included in Level 3 of the fair value hierarchy to the extent that significant inputs to valuation are unobservable, because they trade infrequently, if at all and, therefore, the inputs are unobservable. Restricted securities that are valued at a discount to similar publicly traded securities may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety; otherwise they may be categorized as Level 3.
U.S. Government and Agency Securities. U.S. government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, U.S. government and agency securities are normally categorized in Level 2 of the fair value hierarchy depending on the liquidity and transparency of the market.
Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information. 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, 2017, if applicable, is included on the Statement of Operations in net change in unrealized appreciation (depreciation) on investments in unaffiliated and/or affiliated securities.
2017 | SEMIANNUAL REPORT | 127 |
4. | DERIVATIVE INSTRUMENTS ($ amounts in thousands unless indicated otherwise) |
The following disclosures contain information on why and how the Portfolios use derivative instruments, the associated risks of investing in derivative instruments, and how derivative instruments affect the Portfolios’ financial positions and results of operations when presented by primary underlying risk exposure.
Forward Foreign Currency Contracts. Each Portfolio, other than Government 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, High Income, International Core Equity and Natural Resources enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from foreign currencies (foreign currency exchange rate risk).
Futures Contracts. Each Portfolio, other than Government 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 and Pathfinder Moderately Conservative — Managed Volatility invest in long and/or short positions in futures contracts to gain exposure to, or economically hedge against, changes in 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.
128 | SEMIANNUAL REPORT | 2017 |
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.
Mid Cap Growth, Science and Technology, Small Cap Growth and Value purchase and write call and put options to increase or decrease hedging exposure to underlying instruments (which include credit risk, equity risk, foreign currency exchange rate risk, event risk and/or interest rate risk), increase exposure to various equity markets or certain sectors, gain exposure to or facilitate trading in certain securities and/or, in the case of options written, to generate returns from options premiums.
Swap Agreements. Each Portfolio, other than Government 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 including a variety of securities or representing 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.
Asset Strategy and Small Cap Growth enter into total return swaps to hedge exposure to a security or market.
The creditworthiness of the counterparty with which a Portfolio enters into a swap agreement is monitored by IICO. If a 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, 2017:
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 | |||||||||||||||||||||
High Income | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts(1) | $ | 326 | $ | — | $ | 326 | $ | — | $ | — | $ | (326 | ) | $ | — | |||||||||||||
International Core Equity | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | $ | 683 | $ | — | $ | 683 | $ | — | $ | — | $ | (660 | ) | $ | 23 |
2017 | SEMIANNUAL REPORT | 129 |
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 | |||||||||||||||||||||
Small Cap Growth | ||||||||||||||||||||||||||||
Unrealized appreciation on swap agreements | $ | 1,168 | $ | — | $ | 1,168 | $ | — | $ | (1,168 | ) | $ | — | $ | — |
(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 | ||||||||||||||||||||||||||||
Unrealized depreciation on swap agreements | $ | 116 | $ | — | $ | 116 | $ | — | $ | — | $ | — | $ | 116 | ||||||||||||||
Global Bond | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | $ | 4 | $ | — | $ | 4 | $ | — | $ | — | $ | — | $ | 4 | ||||||||||||||
High Income | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | $ | 131 | $ | — | $ | 131 | $ | — | $ | — | $ | — | $ | 131 | ||||||||||||||
Natural Resources | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts(1) | $ | 414 | $ | — | $ | 414 | $ | — | $ | (337 | ) | $ | — | $ | 77 | |||||||||||||
Science and Technology | ||||||||||||||||||||||||||||
Written options at value | $ | 29 | $ | — | $ | 29 | $ | — | $ | (29 | ) | $ | — | $ | — |
(1) | Amounts include forward contracts that have an offset to an open and close contract, but have not settled. These amounts are included on the Statement of Assets and Liabilities line item for Investment securities purchased payable. |
Additional Disclosure Related to Derivative Instruments
Fair values of derivative instruments as of June 30, 2017:
Assets | Liabilities | |||||||||||||||||
Portfolio | Type of Risk Exposure | Statement of Assets & Liabilities Location | Value | Statement of Assets & Liabilities Location | Value | |||||||||||||
Pathfinder Moderate — Managed Volatility | Equity | Unrealized appreciation on futures contracts* | $ | 64 | Unrealized depreciation on futures contracts* | $ | 40 | |||||||||||
Pathfinder Moderately Aggressive — Managed Volatility | Equity | Unrealized appreciation on futures contracts* | 8 | Unrealized depreciation on futures contracts* | 7 | |||||||||||||
Pathfinder Moderately Conservative — Managed Volatility | Equity | Unrealized appreciation on futures contracts* | 11 | Unrealized depreciation on futures contracts* | 7 | |||||||||||||
Asset Strategy | Equity | — | Unrealized depreciation on swap agreements | 116 |
130 | SEMIANNUAL REPORT | 2017 |
Assets | Liabilities | |||||||||||||||||
Portfolio | Type of Risk Exposure | Statement of Assets & Liabilities Location | Value | Statement of Assets & Liabilities Location | Value | |||||||||||||
Global Bond | Foreign currency | $ | — | Unrealized depreciation on forward foreign currency contracts | $ | 4 | ||||||||||||
High Income | Foreign currency | — | Unrealized depreciation on forward foreign currency contracts | 131 | ||||||||||||||
International Core Equity | Foreign currency | Unrealized appreciation on forward foreign currency contracts | 683 | — | ||||||||||||||
Natural Resources | — | Unrealized depreciation on forward foreign currency contracts | 387 | |||||||||||||||
Science and Technology | Equity | Investments in unaffiliated securities at value** | 7 | Written options at value | 29 | |||||||||||||
Small Cap Growth | Equity | Unrealized appreciation on swap agreements | 1,168 | — | ||||||||||||||
Value | Equity | — | Written options at value | 143 |
* 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, 2017.
** Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
Amount of realized gain (loss) on derivatives recognized on the Statement of Operations for the period ended June 30, 2017:
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 | $ | — | $ | — | $ | (1,156 | ) | $ | — | $ | — | $ | (1,156 | ) | |||||||||||
Pathfinder Moderately Aggressive — Managed Volatility | Equity | — | — | (145 | ) | — | — | (145 | ) | |||||||||||||||||
Pathfinder Moderately Conservative — Managed Volatility | Equity | — | — | (208 | ) | — | — | (208 | ) | |||||||||||||||||
Asset Strategy | Equity | — | 3,177 | — | — | — | 3,177 | |||||||||||||||||||
Foreign currency | — | — | — | — | (282 | ) | (282 | ) | ||||||||||||||||||
Global Bond | Foreign currency | — | — | — | — | (2 | ) | (2 | ) | |||||||||||||||||
High Income | Foreign currency | — | — | — | — | (167 | ) | (167 | ) | |||||||||||||||||
International Core Equity | Foreign currency | — | — | — | — | (227 | ) | (227 | ) | |||||||||||||||||
Mid Cap Growth | Equity | 159 | — | — | 113 | — | 272 | |||||||||||||||||||
Natural Resources | Foreign currency | — | — | — | — | (199 | ) | (199 | ) | |||||||||||||||||
Science and Technology | Equity | (38 | ) | — | — | 159 | — | 121 | ||||||||||||||||||
Small Cap Growth | Equity | (198 | ) | 901 | — | (105 | ) | — | 598 | |||||||||||||||||
Value | Equity | — | — | — | 14 | — | 14 |
* Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
2017 | SEMIANNUAL REPORT | 131 |
Change in unrealized appreciation (depreciation) on derivatives recognized on the Statement of Operations for the period ended June 30, 2017:
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 | $ | — | $ | — | $ | 208 | $ | — | $ | — | $ | 208 | |||||||||||||
Pathfinder Moderately Aggressive — Managed Volatility | Equity | — | — | 23 | — | — | 23 | |||||||||||||||||||
Pathfinder Moderately Conservative — Managed Volatility | Equity | — | — | 37 | — | — | 37 | |||||||||||||||||||
Asset Strategy | Equity | — | (197 | ) | — | — | — | (197 | ) | |||||||||||||||||
Foreign currency | — | — | — | — | (168 | ) | (168 | ) | ||||||||||||||||||
Global Bond | Foreign currency | — | — | — | — | (5 | ) | (5 | ) | |||||||||||||||||
High Income | Foreign currency | — | — | — | — | (121 | ) | (121 | ) | |||||||||||||||||
International Core Equity | Foreign currency | — | — | — | — | (5 | ) | (5 | ) | |||||||||||||||||
Natural Resources | Foreign currency | — | — | — | — | (436 | ) | (436 | ) | |||||||||||||||||
Science and Technology | Equity | (39 | ) | — | — | 104 | — | 65 | ||||||||||||||||||
Small Cap Growth | Equity | — | 2,114 | — | — | — | 2,114 | |||||||||||||||||||
Value | Equity | — | — | — | 16 | — | 16 |
* Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
During the period ended June 30, 2017, the average derivative volume was as follows:
Portfolio | Forward foreign currency contracts(3) | Long futures contracts(1) | Short futures contracts(1) | Swap agreements(2) | Purchased options(1) | Written options(1) | ||||||||||||||||||||||||
Pathfinder Moderate — Managed Volatility | $ | $ | — | $ | 14,178 | $ | — | $ | — | $ | — | |||||||||||||||||||
Pathfinder Moderately Aggressive — Managed Volatility | — | — | 1,843 | — | — | — | ||||||||||||||||||||||||
Pathfinder Moderately Conservative — Managed Volatility | — | — | 2,489 | — | — | — | ||||||||||||||||||||||||
Asset Strategy | 12 | — | — | 17,458 | — | — | ||||||||||||||||||||||||
Global Bond | 1 | — | — | — | — | — | ||||||||||||||||||||||||
High Income | 23 | — | — | — | — | — | ||||||||||||||||||||||||
International Core Equity | 99 | — | — | — | — | — | ||||||||||||||||||||||||
Mid Cap Growth | — | — | — | — | — | * | 6 | |||||||||||||||||||||||
Natural Resources | 75 | — | — | — | — | — | ||||||||||||||||||||||||
Science and Technology | — | — | — | — | 100 | 58 | ||||||||||||||||||||||||
Small Cap Growth | — | — | — | 11,874 | — | — | ||||||||||||||||||||||||
Value | — | — | — | — | — | 105 |
* | Not shown due to rounding. |
(1) | Average value outstanding during the period. |
(2) | Average notional amount outstanding during the period. |
(3) | Average absolute value of unrealized appreciation/depreciation during the period. |
5. | WRITTEN OPTION ACTIVITY ($ amounts in thousands) |
Transactions in written options were as follows:
Portfolio | Outstanding at 12-31-16 | Options written | Options closed | Options exercised | Options expired | Outstanding at 6-30-17 | ||||||||||||||||||||||||
Mid Cap Growth | ||||||||||||||||||||||||||||||
Number of Contracts | N/A | 4,721 | (2,162 | ) | (900 | ) | (1,659 | ) | N/A | |||||||||||||||||||||
Premium Received | N/A | $ | 207 | $ | (78 | ) | $ | (36 | ) | $ | (93 | ) | N/A | |||||||||||||||||
Science and Technology | ||||||||||||||||||||||||||||||
Number of Contracts | N/A | 14,673 | (7,869 | ) | — | (5,118 | ) | 1,686 | ||||||||||||||||||||||
Premium Received | N/A | $ | 663 | $ | (413 | ) | $ | — | $ | (117 | ) | $ | 133 |
132 | SEMIANNUAL REPORT | 2017 |
Portfolio | Outstanding at 12-31-16 | Options written | Options closed | Options exercised | Options expired | Outstanding at 6-30-17 | ||||||||||||||||||||||||
Small Cap Growth | ||||||||||||||||||||||||||||||
Number of Contracts | N/A | 1,982 | (1,982 | ) | — | — | N/A | |||||||||||||||||||||||
Premium Received | N/A | $ | 159 | $ | (159 | ) | $ | — | $ | — | N/A | |||||||||||||||||||
Value | ||||||||||||||||||||||||||||||
Number of Contracts | 2,999 | 7,031 | (3,480 | ) | (519 | ) | (4,209 | ) | 1,822 | |||||||||||||||||||||
Premium Received | $ | 133 | $ | 561 | $ | (226 | ) | $ | (44 | ) | $ | (197 | ) | $ | 227 |
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 VIP Asset Strategy Portfolio (referred to as “the Portfolio” in this subsection). VIP ASF III (SBP), LLC (the “Company”), a Delaware limited liability company, was incorporated as a wholly owned company acting as an investment vehicle for the Portfolio. The Subsidiary and the Company act as 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 Company. The consolidated financial statements include the accounts of the Portfolio, its Subsidiary and the Company. All inter-company transactions and balances have been eliminated. A subscription agreement was entered into between the Portfolio and its Subsidiary and the Company comprising the entire issued share capital of the Subsidiary and the Company with the intent that the Portfolio will remain the sole shareholder and retain all rights. Under the Articles of Association, shares issued by the Subsidiary and the Company confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and the Company and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary and the Company.
See the table below for details regarding the structure, incorporation and relationship as of June 30, 2017 of the Subsidiary and the Company to the Portfolio (amounts in thousands).
Subsidiary/Company | Date of Incorporation | Subscription Agreement | Portfolio Net Assets | Subsidiary/ Company Net Assets | Percentage of Portfolio Net Assets | |||||||||||||||
Ivy VIP ASF II, Ltd. | 1-31-13 | 4-10-13 | $ | 922,543 | $ | 44,051 | 4.77 | % | ||||||||||||
VIP ASF III (SBP), LLC | 4-9-13 | 4-23-13 | 922,543 | 999 | 0.11 |
7. | INVESTMENT MANAGEMENT AND PAYMENTS TO AFFILIATED PERSONS ($ amounts in thousands unless indicated otherwise) |
Management Fees. IICO, 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 | ||||||||||||||||||
Advantus Real Estate Securities | 0.900 | % | 0.900 | % | 0.870 | % | 0.870 | % | 0.840 | % | 0.800 | % | ||||||||||||
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 | ||||||||||||||||||
Government Money Market(1) | 0.350 | 0.350 | 0.300 | 0.300 | 0.300 | 0.300 | ||||||||||||||||||
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 | ||||||||||||||||||
Natural Resources | 1.000 | 0.850 | 0.830 | 0.830 | 0.800 | 0.760 |
2017 | SEMIANNUAL REPORT | 133 |
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 | ||||||||||||||||||
Science and Technology | 0.850 | % | 0.850 | % | 0.830 | % | 0.830 | % | 0.800 | % | 0.760 | % | ||||||||||||
Small Cap Core | 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 | ||||||||||||||||||
Value | 0.700 | 0.700 | 0.650 | 0.650 | 0.600 | 0.550 |
(1) | Management fee annual rates effective April 28, 2017. Prior to April 28, 2017, Government Money Market paid a management fee at the annual rate of 0.400% on all net assets. |
Each Managed Volatility Portfolio pays a management fee to IICO for providing investment advice and supervising its investments at the following annual rates as a percentage of average daily net assets:
Portfolio (M – Millions) | $0 to $500M | $500 to $1,000M | Over $1,000M | |||||||||
Pathfinder Moderate — Managed Volatility | 0.200 | % | 0.170 | % | 0.150 | % | ||||||
Pathfinder Moderately Aggressive — Managed Volatility | 0.200 | 0.170 | 0.150 | |||||||||
Pathfinder Moderately Conservative — Managed Volatility | 0.200 | 0.170 | 0.150 |
IICO uses all of the management fee it receives from the Managed Volatility Portfolios to pay Advantus Capital Management Inc. (“Advantus Capital”). Accordingly, Advantus Capital receives a fee based on the average daily net assets of the Managed Volatility Portfolios.
The Pathfinder Portfolios pay no management fees; however, IICO receives management fees from the underlying funds.
IICO has 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 IICO’s right to change or modify this waiver. See Expense Reimbursements and/or Waivers for more information.
IICO has entered into Subadvisory Agreements with the following entities on behalf of certain Portfolios:
Advantus Capital serves as subadvisor to Advantus 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 IICO and the Board of Trustees. IICO pays all applicable costs of the subadvisor.
Independent Trustees and Chief Compliance Officer Fees. Fees paid to the Independent Trustees can be paid in cash or deferred to a later date, at the election of the Trustees according to the Deferred Fee Agreement entered into between the Trust and the Trustee(s). Each Portfolio records its portion of the deferred fees as a liability on the Statement of Assets and Liabilities. All fees paid in cash plus any appreciation (depreciation) in the underlying deferred plan are shown on the Statement of Operations. Additionally, fees paid to the Chief Compliance Officer of the Portfolios are shown on the Statement of Operations.
Accounting Services Fees. The Trust has an Accounting and Administrative Services Agreement with Waddell & Reed Services Company (“WRSCO”), doing business as WI Services Company (“WISC”), 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.
134 | SEMIANNUAL REPORT | 2017 |
Service Plan. Class II. Under a Service Plan adopted by the Trust pursuant to Rule 12b–1 under the 1940 Act, each Portfolio, except Government Money Market, the Pathfinder Portfolios and the Managed Volatility Portfolios, may pay a service fee to W&R for Class II shares in an amount not to exceed 0.25% of the Portfolio’s average annual net assets. The fee is to be paid to compensate W&R for amounts it expends in connection with the provision of personal services to Policyowners and/or maintenance of Policyowner accounts.
Expense Reimbursements and/or Waivers. Effective October 14, 2016, IICO has voluntarily agreed to reimburse sufficient expenses of Government Money Market to maintain a minimum annualized yield of 0.01%. For the period from January 28, 2010 through October 14, 2016, IICO voluntarily agreed to reimburse sufficient expenses of Government Money Market to maintain a minimum annualized yield of 0.02%. For the period ended June 30, 2017, expenses in the amount of $51 were reimbursed.
Effective May 1, 2012, IICO and/or Ivy Distributors, Inc. (“IDI”) have voluntarily agreed to reimburse sufficient expenses of Mid Cap Growth to cap the expenses for Class II shares at 1.10%. For the period ended June 30, 2017, expenses in the amount of $141 were reimbursed. This reimbursement serves to reduce 12b-1 fees and/or shareholder servicing fees. Effective April 28, 2017, IICO and/or IDI have voluntarily agreed to reimburse sufficient expenses of Mid Cap Growth to cap the expenses for Class I shares at 0.85%. For the period ended June 30, 2017, expenses in the amount of $18 were reimbursed. This reimbursement serves to reduce shareholder servicing fees.
Effective December 3, 2012, IICO has contractually agreed to reduce the management fee computed and paid by Advantus Real Estate Securities Portfolio each day on NAV by 0.09% on an annualized basis. For the period ended June 30, 2017, expenses in the amount of $21 were reimbursed.
Effective October 1, 2016, IICO and/or IDI have contractually agreed to reimburse sufficient expenses of Core Equity to cap the expenses for the Portfolio at 0.95%. For the period ended June 30, 2017, expenses in the amount of $118 were reimbursed. This reimbursement serves to reduce 12b-1 fees and/or shareholder servicing fees.
Effective October 1, 2016, IICO and/or IDI have contractually agreed to reimburse sufficient expenses of Global Growth to cap the expenses for the Portfolio at 1.13%. For the period ended June 30, 2017, expenses in the amount of $83 were reimbursed. This reimbursement serves to reduce 12b-1 fees and/or shareholder servicing fees.
Effective October 1, 2016, IICO and/or IDI have contractually agreed to reimburse sufficient expenses of Small Cap Growth to cap the expenses for the Portfolio at 1.14%. For the period ended June 30, 2017, expenses in the amount of $43 were reimbursed. This reimbursement serves to reduce 12b-1 fees and/or shareholder servicing fees.
Any amounts due to the Portfolios as a reimbursement but not paid as of June 30, 2017 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 or common officers, complies with Rule 17a-7 under the Act. Further, as defined under such procedures, each transaction is effected at the current market price. During the period ended June 30, 2017, the Portfolios below engaged in purchases and sales of securities pursuant to Rule 17a-7 under the Act (amounts in thousands):
Portfolio | Purchases | Sales | ||||||
Bond | $ | — | $ | 4,088 | ||||
High Income | 30,367 | 1,108 | ||||||
International Core Equity | — | 3,008 | ||||||
Limited-Term Bond | 2,796 | — | ||||||
Small Cap Growth | — | 5,356 |
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, 2017.
2017 | SEMIANNUAL REPORT | 135 |
10. | AFFILIATED COMPANY TRANSACTIONS (All amounts in thousands) |
A summary of the transactions in affiliated companies during the period ended June 30, 2017 follows:
Portfolio | 12-31-16 Share Balance | Gross | Gross | Realized Gain/(Loss)(1) | Distributions Received | 6-30-17 Share Balance | 6-30-17 Value | Net Change in Unrealized Appreciation/ Depreciation | ||||||||||||||||||||||||||||||||
Pathfinder Aggressive | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Bond, Class II | 713 | $ | 342 | $ | 389 | $ | 13 | $ | 75 | 703 | $ | 3,717 | $ | 12 | ||||||||||||||||||||||||||
Ivy VIP Global Growth, Class II | 1,118 | 339 | 1,266 | 235 | 5 | 1,014 | 9,038 | 856 | ||||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 1,428 | 1,543 | 1,977 | 1,418 | 38 | 1,390 | 14,689 | 413 | ||||||||||||||||||||||||||||||||
Ivy VIP High Income, Class II | N/A | 1,882 | 33 | — | * | — | N/A | N/A | — | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | N/A | 813 | 81 | — | * | 103 | 709 | 2,523 | (59 | ) | ||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 833 | 455 | 1,657 | 146 | 181 | 751 | 12,957 | 1,410 | ||||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 881 | 457 | 454 | (1 | ) | 67 | 881 | 4,291 | (17 | ) | ||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class II | 784 | 32 | 880 | 184 | — | N/A | N/A | 60 | ||||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | N/A | 249 | 380 | 303 | — | 660 | 6,810 | 332 | ||||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 400 | 944 | 1,110 | 207 | 739 | 389 | 6,577 | (600 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class II | 759 | 246 | 1,704 | 251 | — | 612 | 6,505 | 613 | ||||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 1,241 | 736 | 1,072 | 101 | 114 | 1,189 | 7,239 | 224 | ||||||||||||||||||||||||||||||||
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$ | 2,857 | $ | 1,322 | $ | 74,346 | $ | 3,244 | |||||||||||||||||||||||||||||||||
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Portfolio | 12-31-16 Share Balance | Gross | Gross | Realized Gain/(Loss)(1) | Distributions Received | 6-30-17 Share Balance | 6-30-17 Value | Net Change in Unrealized Appreciation/ Depreciation | ||||||||||||||||||||||||||||||||
Pathfinder Conservative | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Bond, Class II | 1,090 | $ | 1,500 | $ | 619 | $ | 24 | $ | 136 | 1,254 | $ | 6,634 | $ | 14 | ||||||||||||||||||||||||||
Ivy VIP Dividend Opportunities, Class II | 1,888 | 910 | 3,291 | 768 | 171 | 1,552 | 12,245 | (71 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Growth, Class II | 558 | 221 | 760 | 163 | 2 | 493 | 4,390 | 381 | ||||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 34,266 | 1,658 | 5,325 | — | 68 | 30,600 | 30,600 | — | ||||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 1,419 | 1,686 | 2,435 | 1,488 | 37 | 1,343 | 14,202 | 329 | ||||||||||||||||||||||||||||||||
Ivy VIP High Income, Class II | N/A | 1,701 | 31 | — | * | — | N/A | N/A | — | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | N/A | 1,091 | 67 | — | * | 93 | 742 | 2,641 | (53 | ) | ||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 393 | 437 | 876 | 72 | 84 | 362 | 6,240 | 659 | ||||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 3,688 | 4,088 | 1,776 | 8 | 277 | 4,161 | 20,261 | (84 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class II | 360 | 36 | 294 | 15 | — | N/A | N/A | 304 | ||||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | N/A | 141 | 232 | 116 | — | 323 | 3,331 | (18 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 122 | 930 | 208 | 52 | 234 | 165 | 2,795 | (173 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class II | 580 | 238 | 2,198 | 157 | — | 390 | 4,147 | 488 | ||||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 759 | 190 | 1,486 | 29 | 56 | 551 | 3,357 | 156 | ||||||||||||||||||||||||||||||||
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$ | 2,892 | $ | 1,158 | $ | 110,843 | $ | 1,932 | |||||||||||||||||||||||||||||||||
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136 | SEMIANNUAL REPORT | 2017 |
Portfolio | 12-31-16 Share Balance | Gross | Gross | Realized Gain/(Loss)(1) | Distributions Received | 6-30-17 Share Balance | 6-30-17 Value | Net Change in Unrealized Appreciation/ Depreciation | ||||||||||||||||||||||||||||||||
Pathfinder Moderate | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Bond, Class II | 8,256 | $ | 7,083 | $ | 2,392 | $ | 146 | $ | 979 | 9,135 | $ | 48,313 | $ | 146 | ||||||||||||||||||||||||||
Ivy VIP Dividend Opportunities, Class II | 16,500 | 9,091 | 5,320 | 5,877 | 1,672 | 16,808 | 132,652 | 402 | ||||||||||||||||||||||||||||||||
Ivy VIP Global Growth, Class II | 8,726 | 2,164 | 7,680 | 2,233 | 37 | 8,072 | 71,933 | 6,376 | ||||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 129,802 | 5,166 | 13,426 | — | 265 | 121,542 | 121,542 | — | ||||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 11,578 | 11,846 | 20,936 | 12,527 | 315 | 10,673 | 112,827 | 2,621 | ||||||||||||||||||||||||||||||||
Ivy VIP High Income, Class II | N/A | 17,568 | 140 | 1 | — | N/A | N/A | — | ||||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | N/A | 8,913 | 389 | 2 | 970 | 7,135 | 25,398 | (554 | ) | |||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 6,246 | 2,627 | 8,953 | 805 | 1,378 | 5,811 | 100,243 | 11,003 | ||||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 19,071 | 17,945 | 4,924 | 24 | 1,485 | 21,737 | 105,832 | (438 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class II | 3,633 | 76 | 1,524 | 198 | — | N/A | N/A | 1,897 | ||||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | N/A | 2,407 | 657 | 1,182 | — | 3,631 | 37,485 | 1,004 | ||||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 2,319 | 6,564 | 8,021 | 1,457 | 3,671 | 2,234 | 37,750 | (3,331 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class II | 6,152 | 1,571 | 17,506 | 2,420 | — | 4,547 | 48,320 | 4,653 | ||||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 7,186 | 3,796 | 9,614 | 817 | 582 | 6,206 | 37,776 | 1,006 | ||||||||||||||||||||||||||||||||
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$ | 27,689 | $ | 11,354 | $ | 880,071 | $24,785 | ||||||||||||||||||||||||||||||||||
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Portfolio | 12-31-16 Share Balance | Gross | Gross Reductions | Realized Gain/(Loss)(1) | Distributions Received | 6-30-17 Share Balance | 6-30-17 Value | Net Change in Unrealized Appreciation/ Depreciation | ||||||||||||||||||||||||||||||||
Pathfinder Moderately Aggressive | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Bond, Class II | 9,796 | $ | 6,133 | $ | 2,823 | $ | 167 | $ | 1,109 | 10,413 | $ | 55,077 | $ | 181 | ||||||||||||||||||||||||||
Ivy VIP Dividend Opportunities, Class II | 19,578 | 11,990 | 6,608 | 6,863 | 1,985 | 20,073 | 158,423 | 598 | ||||||||||||||||||||||||||||||||
Ivy VIP Global Growth, Class II | 13,178 | 3,067 | 10,667 | 3,385 | 55 | 12,269 | 109,337 | 9,607 | ||||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 51,342 | 4,222 | 2,782 | — | 105 | 52,781 | 52,781 | — | ||||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 13,738 | 13,792 | 18,468 | 14,811 | 375 | 13,237 | 139,929 | 3,059 | ||||||||||||||||||||||||||||||||
Ivy VIP High Income, Class II | N/A | 23,494 | 225 | 2 | — | N/A | N/A | — | ||||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | N/A | 10,915 | 474 | 3 | 1,296 | 9,262 | 32,970 | (740 | ) | |||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 9,264 | 3,374 | 12,737 | 1,221 | 2,045 | 8,618 | 148,660 | 16,287 | ||||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 22,628 | 9,036 | 5,952 | 30 | 1,762 | 23,256 | 113,226 | (500 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class II | 5,388 | 33 | 6,610 | 1,022 | — | N/A | N/A | 1,761 | ||||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | N/A | 3,114 | 802 | 1,569 | — | 4,846 | 50,034 | 1,692 | ||||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 4,402 | 9,353 | 16,706 | 2,712 | 8,169 | 3,923 | 66,299 | (7,103 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class II | 8,343 | 1,999 | 23,555 | 3,337 | — | 6,170 | 65,577 | 6,311 | ||||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 8,527 | 17,840 | 11,329 | 907 | 691 | 9,591 | 58,384 | 1,341 | ||||||||||||||||||||||||||||||||
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$ | 36,029 | $ | 17,592 | $ | 1,050,697 | $ | 32,494 | |||||||||||||||||||||||||||||||||
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2017 | SEMIANNUAL REPORT | 137 |
Portfolio | 12-31-16 Share Balance | Gross | Gross Reductions | Realized Gain/(Loss)(1) | Distributions Received | 6-30-17 Share Balance | 6-30-17 Value | Net Change in Unrealized Appreciation/ Depreciation | ||||||||||||||||||||||||||||||||
Pathfinder Moderately Conservative | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Bond, Class II | 2,495 | $ | 2,690 | $ | 1,094 | $ | 50 | $ | 302 | 2,793 | $ | 14,772 | $ | 38 | ||||||||||||||||||||||||||
Ivy VIP Dividend Opportunities, Class II | 4,321 | 1,573 | 6,408 | 1,963 | 394 | 3,605 | 28,451 | (358 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Global Growth, Class II | 1,918 | 499 | 2,235 | 459 | 8 | 1,717 | 15,300 | 1,417 | ||||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 52,294 | 1,951 | 5,773 | — | 105 | 48,473 | 48,473 | — | ||||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 3,498 | 3,577 | 4,925 | 3,662 | 93 | 3,362 | 35,535 | 838 | ||||||||||||||||||||||||||||||||
Ivy VIP High Income, Class II | N/A | 4,568 | 50 | — | * | — | N/A | N/A | — | |||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | N/A | 2,551 | 144 | 1 | 250 | 1,905 | 6,782 | (143 | ) | |||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 1,415 | 781 | 2,619 | 237 | 305 | 1,289 | 22,230 | 2,411 | ||||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 8,443 | 5,987 | 3,232 | 15 | 642 | 9,006 | 43,849 | (187 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class II | 1,098 | 49 | 689 | 61 | — | N/A | N/A | 689 | ||||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | N/A | 318 | 557 | 381 | — | 999 | 10,318 | 149 | ||||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 420 | 2,539 | 565 | 168 | 812 | 538 | 9,092 | (593 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class II | 1,593 | 428 | 4,848 | 609 | — | 1,148 | 12,205 | 1,188 | ||||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 2,171 | 457 | 3,334 | 136 | 172 | 1,708 | 10,398 | 407 | ||||||||||||||||||||||||||||||||
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$ | 7,742 | $ | 3,083 | $ | 257,405 | $ | 5,856 | |||||||||||||||||||||||||||||||||
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Portfolio | 12-31-16 Share Balance | Gross Additions | Gross | Realized Gain/(Loss)(1) | Distributions Received | 6-30-17 Share Balance | 6-30-17 Value | Net Change in Unrealized Appreciation/ Depreciation | ||||||||||||||||||||||||||||||||
Pathfinder Moderate – Managed Volatility |
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Ivy VIP Bond, Class II | 4,759 | $ | 4,287 | $ | — | $ | 69 | $ | 586 | 5,567 | $ | 29,444 | $ | 96 | ||||||||||||||||||||||||||
Ivy VIP Dividend Opportunities, Class II | 9,511 | 5,689 | — | 2,586 | 1,001 | 10,244 | 80,845 | 1,095 | ||||||||||||||||||||||||||||||||
Ivy VIP Global Growth, Class II | 5,030 | 1,449 | 2,348 | 1,268 | 22 | 4,919 | 43,840 | 3,770 | ||||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 74,822 | 3,288 | 4,036 | — | 158 | 74,074 | 74,074 | — | ||||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 6,674 | 7,353 | 8,564 | 7,643 | 189 | 6,505 | 68,763 | 1,207 | ||||||||||||||||||||||||||||||||
Ivy VIP High Income, Class II | N/A | 20,757 | 10,370 | — | — | N/A | N/A | — | ||||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | N/A | 5,424 | — | — | 581 | 4,348 | 15,479 | (331 | ) | |||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 3,600 | 1,817 | 2,308 | 428 | 826 | 3,542 | 61,093 | 6,497 | ||||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 10,993 | 11,007 | — | — | 889 | 13,248 | 64,499 | (259 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class II | 2,094 | 98 | 314 | 59 | — | N/A | N/A | 1,253 | ||||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | N/A | 1,480 | — | 647 | — | 2,213 | 22,845 | 566 | ||||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 1,337 | 4,033 | 3,512 | 900 | 2,198 | 1,361 | 23,007 | (2,035 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class II | 3,547 | 1,064 | 8,169 | 1,982 | — | 2,771 | 29,449 | 2,197 | ||||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 4,143 | 2,369 | 4,085 | 885 | 349 | 3,782 | 23,023 | 189 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 16,467 | $ | 6,799 | $ | 536,361 | $ | 14,245 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
138 | SEMIANNUAL REPORT | 2017 |
Portfolio | 12-31-16 Share Balance | Gross Additions | Gross | Realized Gain/(Loss)(1) | Distributions Received | 6-30-17 Share Balance | 6-30-17 Value | Net Change in Unrealized Appreciation/ Depreciation | ||||||||||||||||||||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Bond, Class II | 726 | $ | 619 | $ | — | $ | 10 | $ | 88 | 842 | $ | 4,455 | $ | 14 | ||||||||||||||||||||||||||
Ivy VIP Dividend Opportunities, Class II | 1,450 | 1,360 | — | 405 | 157 | 1,624 | 12,814 | 162 | ||||||||||||||||||||||||||||||||
Ivy VIP Global Growth, Class II | 976 | 540 | 368 | 263 | 4 | 992 | 8,844 | 721 | ||||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 3,803 | 466 | — | — | 8 | 4,269 | 4,269 | — | ||||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 1,018 | 1,486 | 850 | 1,152 | 30 | 1,071 | 11,318 | 198 | ||||||||||||||||||||||||||||||||
Ivy VIP High Income, Class II | N/A | 3,601 | 1,795 | — | — | N/A | N/A | — | ||||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | N/A | 919 | — | — | 102 | 749 | 2,667 | (59 | ) | |||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 686 | 668 | 402 | 71 | 161 | 697 | 12,024 | 1,259 | ||||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 1,676 | 1,003 | — | — | 139 | 1,881 | 9,158 | (40 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class II | 399 | 52 | 402 | 50 | — | N/A | N/A | 306 | ||||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | N/A | 331 | — | 114 | — | 392 | 4,047 | (6 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 326 | 954 | 1,069 | 150 | 645 | 317 | 5,362 | (504 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class II | 618 | 374 | 1,464 | 335 | — | 499 | 5,304 | 408 | ||||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 632 | 1,554 | 631 | 117 | 54 | 776 | 4,722 | 56 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 2,667 | $ | 1,388 | $ | 84,984 | $ | 2,515 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Portfolio | 12-31-16 Share Balance | Gross | Gross | Realized Gain/(Loss)(1) | Distributions Received | 6-30-17 Share Balance | 6-30-17 Value | Net Change in Unrealized Appreciation/ Depreciation | ||||||||||||||||||||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | ||||||||||||||||||||||||||||||||||||||||
Ivy VIP Bond, Class II | 634 | $ | 698 | $ | 112 | $ | 10 | $ | 79 | 745 | $ | 3,938 | $ | 11 | ||||||||||||||||||||||||||
Ivy VIP Dividend Opportunities, Class II | 1,099 | 424 | 1,423 | 387 | 103 | 961 | 7,584 | 27 | ||||||||||||||||||||||||||||||||
Ivy VIP Global Growth, Class II | 488 | 137 | 376 | 136 | 2 | 458 | 4,079 | 346 | ||||||||||||||||||||||||||||||||
Ivy VIP Government Money Market, Class II | 13,298 | 525 | 902 | — | 27 | 12,922 | 12,922 | — | ||||||||||||||||||||||||||||||||
Ivy VIP Growth, Class II | 890 | 950 | 821 | 976 | 24 | 896 | 9,473 | 178 | ||||||||||||||||||||||||||||||||
Ivy VIP High Income, Class II | N/A | 2,334 | 1,166 | — | — | N/A | N/A | — | ||||||||||||||||||||||||||||||||
Ivy VIP High Income, Class I | N/A | 677 | — | — | 65 | 508 | 1,808 | (37 | ) | |||||||||||||||||||||||||||||||
Ivy VIP International Core Equity, Class II | 360 | 219 | 412 | 69 | 80 | 344 | 5,926 | 611 | ||||||||||||||||||||||||||||||||
Ivy VIP Limited-Term Bond, Class II | 2,147 | 1,592 | 352 | 2 | 168 | 2,401 | 11,689 | (49 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class II | 279 | 17 | 133 | 18 | — | N/A | N/A | 173 | ||||||||||||||||||||||||||||||||
Ivy VIP Mid Cap Growth, Class I | N/A | 83 | 68 | 95 | — | 266 | 2,750 | 44 | ||||||||||||||||||||||||||||||||
Ivy VIP Small Cap Core, Class II | 107 | 671 | 56 | 41 | 212 | 143 | 2,424 | (152 | ) | |||||||||||||||||||||||||||||||
Ivy VIP Small Cap Growth, Class II | 405 | 118 | 1,027 | 228 | — | 306 | 3,253 | 237 | ||||||||||||||||||||||||||||||||
Ivy VIP Value, Class II | 552 | 123 | 635 | 129 | 45 | 455 | 2,772 | 12 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||
$ | 2,091 | $ | 805 | $ | 68,618 | $ | 1,401 | |||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
2017 | SEMIANNUAL REPORT | 139 |
Portfolio | 12-31-16 Share Balance | Purchases at cost | Sales at Cost | Realized Gain/(Loss) | Distributions Received | 6-30-17 Share Balance | 6-30-17 Value | Net Change in Unrealized Appreciation/ Depreciation | ||||||||||||||||||||||||||||||||
Ivy VIP High Income Fund | ||||||||||||||||||||||||||||||||||||||||
Larchmont Resources LLC(2) | 1 | $ | — | $ | — | $ | — | $ | — | 1 | $ | 360 | $ | 20 | ||||||||||||||||||||||||||
12-31-16 Principal Balance | Interest Received | 6-30-17 Principal Balance | ||||||||||||||||||||||||||||||||||||||
Larchmont Resources LLC (10.000% Cash or 10.000% PIK), 10.000%, 8-7-20 | $ | 800 | $ | 41 | $ | — | $ | — | $ | — | $ | 841 | $ | 832 | $ | 30 |
* | Not shown due to rounding. |
(1) | Included in Realized Gain/Loss, if applicable, are distributions from capital gains from the underlying securities. |
(2) | No dividends were paid during the preceding 12 months. |
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, 2017, were as follows:
Purchases | Sales | |||||||||||||||
U.S. Government | Other Issuers | U.S. Government | Other Issuers | |||||||||||||
Pathfinder Aggressive | $ | — | $ | 8,038 | $ | — | $ | 11,642 | ||||||||
Pathfinder Conservative | — | 14,827 | — | 20,266 | ||||||||||||
Pathfinder Moderate | — | 96,817 | — | 107,963 | ||||||||||||
Pathfinder Moderately Aggressive | — | 118,362 | — | 129,024 | ||||||||||||
Pathfinder Moderately Conservative | — | 27,968 | — | 38,471 | ||||||||||||
Pathfinder Moderate – Managed Volatility | — | 70,115 | — | 47,473 | ||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | — | 13,927 | — | 7,537 | ||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | — | 8,568 | — | 8,075 | ||||||||||||
Advantus Real Estate Securities | — | 17,059 | — | 19,926 | ||||||||||||
Asset Strategy | — | 131,230 | 151 | 189,856 | ||||||||||||
Balanced | — | 79,425 | 4,185 | 86,592 | ||||||||||||
Bond | 1,002 | 192,897 | 106,658 | 56,613 | ||||||||||||
Core Equity | — | 211,127 | — | 228,558 | ||||||||||||
Dividend Opportunities | — | 82,250 | — | 92,328 | ||||||||||||
Energy | — | 24,124 | — | 20,995 | ||||||||||||
Global Bond | 701 | 4,326 | 1,048 | 2,967 | ||||||||||||
Global Growth | — | 107,707 | — | 151,771 | ||||||||||||
Government Money Market | — | — | — | — | ||||||||||||
Growth | — | 201,005 | — | 284,508 | ||||||||||||
High Income | — | 335,990 | — | 212,216 | ||||||||||||
International Core Equity | — | 238,908 | — | 276,182 | ||||||||||||
Limited-Term Bond | 19,235 | 116,217 | 49,068 | 67,571 | ||||||||||||
Micro Cap Growth | — | 8,500 | — | 7,955 | ||||||||||||
Mid Cap Growth | — | 91,936 | — | 111,026 | ||||||||||||
Natural Resources | — | 22,994 | — | 30,113 | ||||||||||||
Science and Technology | — | 61,869 | — | 69,178 | ||||||||||||
Small Cap Core | — | 183,371 | — | 210,953 | ||||||||||||
Small Cap Growth | — | 131,787 | — | 211,008 | ||||||||||||
Value | — | 84,485 | — | 128,856 |
140 | SEMIANNUAL REPORT | 2017 |
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 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 309 | $ | 1,502 | 759 | $ | 3,513 | 562 | $ | 2,796 | 2,147 | $ | 10,506 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 1,290 | 5,994 | 2,081 | 8,942 | 1,111 | 5,402 | 1,785 | 8,374 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (1,690 | ) | (8,220 | ) | (3,745 | ) | (17,322 | ) | (2,238 | ) | (11,199 | ) | (3,412 | ) | (16,831 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | (91 | ) | $ | (724 | ) | (905 | ) | $ | (4,867 | ) | (565 | ) | $ | (3,001 | ) | 520 | $ | 2,049 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Pathfinder Moderate | Pathfinder Moderately Aggressive | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 664 | $ | 3,435 | 1,862 | $ | 9,418 | 705 | $ | 3,710 | 1,473 | $ | 7,586 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 10,958 | 54,504 | 16,894 | 79,617 | 14,017 | 71,450 | 22,396 | 106,876 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (8,968 | ) | (46,347 | ) | (14,455 | ) | (72,020 | ) | (10,940 | ) | (58,091 | ) | (16,989 | ) | (86,779 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase | 2,654 | $ | 11,592 | 4,301 | $ | 17,015 | 3,782 | $ | 17,069 | 6,880 | $ | 27,683 | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Pathfinder Moderately Conservative | Pathfinder Moderate – Managed Volatility | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 228 | $ | 1,178 | 1,086 | $ | 5,387 | 3,624 | $ | 19,697 | 23,992 | $ | 124,080 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 2,884 | 14,287 | 4,770 | 22,580 | 3,223 | 17,259 | 3,573 | 17,902 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (4,025 | ) | (20,603 | ) | (4,799 | ) | (23,926 | ) | (2,629 | ) | (14,261 | ) | (3,748 | ) | (19,400 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | (913 | ) | $ | (5,138 | ) | 1,057 | $ | 4,041 | 4,218 | $ | 22,695 | 23,817 | $ | 122,582 | ||||||||||||||||||||||
|
|
|
|
2017 | SEMIANNUAL REPORT | 141 |
Pathfinder Moderately Aggressive – Managed Volatility | Pathfinder Moderately Conservative – Managed Volatility | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 1,412 | $ | 7,446 | 3,206 | $ | 16,035 | 545 | $ | 2,862 | 3,824 | $ | 19,320 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 550 | 2,852 | 846 | 4,044 | 340 | 1,769 | 439 | 2,159 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (826 | ) | (4,354 | ) | (1,442 | ) | (7,217 | ) | (657 | ) | (3,443 | ) | (1,371 | ) | (6,949 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase | 1,136 | $ | 5,944 | 2,610 | $ | 12,862 | 228 | $ | 1,188 | 2,892 | $ | 14,530 | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Advantus Real Estate Securities | Asset Strategy | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | 29 | $ | 250 | N/A | N/A | |||||||||||||||||||||||||||
Class II | 359 | $ | 2,975 | 1,205 | $ | 10,470 | 1,777 | 14,905 | 5,629 | $ | 45,205 | |||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | — | — | N/A | N/A | ||||||||||||||||||||||||||||
Class II | 857 | 6,215 | 594 | 4,876 | 436 | 3,722 | 806 | 6,389 | ||||||||||||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | — | — | N/A | N/A | ||||||||||||||||||||||||||||
Class II | (885 | ) | (7,302 | ) | (1,267 | ) | (10,947 | ) | (14,413 | ) | (121,500 | ) | (40,578 | ) | (326,457 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | 331 | $ | 1,888 | 532 | $ | 4,399 | (12,171 | ) | $ | (102,623 | ) | (34,143 | ) | $ | (274,863 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Balanced | Bond | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 849 | $ | 6,520 | 2,781 | $ | 21,795 | 4,939 | $ | 26,215 | 32,481 | $ | 170,660 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 2,160 | 15,972 | 8,348 | 59,724 | 1,856 | 9,800 | 1,396 | 7,335 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (3,552 | ) | (27,269 | ) | (6,576 | ) | (51,056 | ) | (4,209 | ) | (22,323 | ) | (8,739 | ) | (46,576 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | (543 | ) | $ | (4,777 | ) | 4,553 | $ | 30,463 | 2,586 | $ | 13,692 | 25,138 | $ | 131,419 | ||||||||||||||||||||||
|
|
|
|
142 | SEMIANNUAL REPORT | 2017 |
Core Equity | Dividend Opportunities | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 369 | $ | 4,095 | 1,042 | $ | 11,235 | 1,626 | $ | 12,962 | 5,081 | $ | 38,180 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 1,802 | 19,178 | 5,295 | 53,822 | 3,076 | 23,553 | 4,735 | 34,387 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (2,463 | ) | (27,260 | ) | (5,630 | ) | (60,670 | ) | (4,429 | ) | (35,344 | ) | (10,229 | ) | (77,817 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | (292 | ) | $ | (3,987 | ) | 707 | $ | 4,387 | 273 | $ | 1,171 | (413 | ) | $ | (5,250 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Energy | Global Bond | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class I | 43 | $ | 250 | N/A | N/A | N/A | N/A | N/A | N/A | |||||||||||||||||||||||||||
Class II | 3,655 | 22,595 | 11,367 | $ | 64,632 | 613 | $ | 3,020 | 905 | $ | 4,350 | |||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class I | — | — | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Class II | 12 | 70 | 36 | 203 | 129 | 630 | 154 | 731 | ||||||||||||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||||||
Class I | — | — | N/A | N/A | N/A | N/A | N/A | N/A | ||||||||||||||||||||||||||||
Class II | (3,685 | ) | (22,824 | ) | (5,692 | ) | (32,693 | ) | (489 | ) | (2,404 | ) | (764 | ) | (3,676 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase | 25 | $ | 91 | 5,711 | $ | 32,142 | 253 | $ | 1,246 | 295 | $ | 1,405 | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Global Growth | Government Money Market | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 439 | $ | 3,827 | 4,632 | $ | 37,345 | 29,378 | $ | 29,378 | 93,521 | $ | 93,521 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 1,319 | 11,573 | 1,910 | 15,259 | 805 | 805 | 699 | 699 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (4,360 | ) | (38,463 | ) | (14,793 | ) | (122,033 | ) | (50,176 | ) | (50,176 | ) | (219,699 | ) | (219,699 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net decrease | (2,602 | ) | $ | (23,063 | ) | (8,251 | ) | $ | (69,429 | ) | (19,993 | ) | $ | (19,993 | ) | (125,479 | ) | $ | (125,479 | ) | ||||||||||||||||
|
|
|
|
2017 | SEMIANNUAL REPORT | 143 |
Growth | High Income | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | 24,703 | $ | 90,813 | N/A | N/A | |||||||||||||||||||||||||||
Class II | 652 | $ | 7,195 | 3,987 | $ | 40,969 | 48,930 | 179,524 | 38,641 | $ | 132,978 | |||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | 978 | 3,461 | N/A | N/A | ||||||||||||||||||||||||||||
Class II | 7,846 | 81,580 | 9,263 | 90,043 | 14,325 | 50,714 | 17,143 | 56,542 | ||||||||||||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | (323 | ) | (1,161 | ) | N/A | N/A | ||||||||||||||||||||||||||
Class II | (8,847 | ) | (96,668 | ) | (10,722 | ) | (111,828 | ) | (38,351 | ) | (141,103 | ) | (38,034 | ) | (129,983 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | (349 | ) | $ | (7,893 | ) | 2,528 | $ | 19,184 | 50,262 | $ | 182,248 | 17,750 | $ | 59,537 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
International Core Equity | Limited-Term Bond | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 736 | $ | 12,378 | 8,381 | $ | 125,962 | 9,870 | $ | 48,225 | 10,035 | $ | 49,390 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 640 | 10,927 | 1,129 | 16,095 | 1,288 | 6,273 | 1,180 | 5,755 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (3,722 | ) | (61,883 | ) | (4,852 | ) | (71,820 | ) | (4,314 | ) | (21,145 | ) | (9,502 | ) | (46,773 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | (2,346 | ) | $ | (38,578 | ) | 4,658 | $ | 70,237 | 6,844 | $ | 33,353 | 1,713 | $ | 8,372 | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Micro Cap Growth | Mid Cap Growth | |||||||||||||||||||||||||||||||||||
Six months ended (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class I | 12 | $ | 250 | N/A | N/A | 13,229 | $ | 136,301 | N/A | N/A | ||||||||||||||||||||||||||
Class II | 488 | 10,384 | 331 | $ | 6,257 | 1,490 | 14,927 | 7,009 | $ | 63,137 | ||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class I | — | — | N/A | N/A | 404 | 3,997 | N/A | N/A | ||||||||||||||||||||||||||||
Class II | — | — | 372 | 6,098 | 1,582 | 15,653 | 3,739 | 32,997 | ||||||||||||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||||||
Class I | — | — | N/A | N/A | (303 | ) | (3,106 | ) | N/A | N/A | ||||||||||||||||||||||||||
Class II | (268 | ) | (5,590 | ) | (511 | ) | (9,710 | ) | (16,813 | ) | (172,134 | ) | (7,778 | ) | (71,508 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | 232 | $ | 5,044 | 192 | $ | 2,645 | (411 | ) | $ | (4,362 | ) | 2,970 | $ | 24,626 | ||||||||||||||||||||||
|
|
|
|
144 | SEMIANNUAL REPORT | 2017 |
Natural Resources | Science and Technology | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | 10 | $ | 250 | N/A | N/A | |||||||||||||||||||||||||||
Class II | 2,856 | $ | 12,294 | 8,519 | $ | 34,004 | 1,795 | 43,734 | 2,503 | $ | 52,402 | |||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | — | — | N/A | N/A | ||||||||||||||||||||||||||||
Class II | 42 | 179 | 225 | 875 | 1,199 | 28,274 | 1,068 | 20,982 | ||||||||||||||||||||||||||||
Shares redeemed: |
| |||||||||||||||||||||||||||||||||||
Class I | N/A | N/A | N/A | N/A | — | — | N/A | N/A | ||||||||||||||||||||||||||||
Class II | (4,888 | ) | (21,367 | ) | (7,831 | ) | (31,345 | ) | (2,473 | ) | (59,862 | ) | (5,907 | ) | (124,077 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | (1,990 | ) | $ | (8,894 | ) | 913 | $ | 3,534 | 531 | $ | 12,396 | (2,336 | ) | $ | (50,693 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Small Cap Core | Small Cap Growth | |||||||||||||||||||||||||||||||||||
Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | |||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 1,182 | $ | 20,463 | 1,412 | $ | 23,322 | 744 | $ | 7,613 | 4,709 | $ | 45,243 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 2,444 | 39,265 | 1,981 | 29,736 | 1,060 | 10,680 | 5,356 | 45,145 | ||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (2,863 | ) | (51,331 | ) | (4,695 | ) | (78,394 | ) | (7,483 | ) | (78,318 | ) | (6,616 | ) | (62,768 | ) | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Net increase (decrease) | 763 | $ | 8,397 | (1,302 | ) | $ | (25,336 | ) | (5,679 | ) | $ | (60,025 | ) | 3,449 | $ | 27,620 | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||||||||
Value | ||||||||||||||||||||||||||||||||||||
Six months ended 6-30-17 (Unaudited) | Year ended 12-31-16 | |||||||||||||||||||||||||||||||||||
Shares | Value | Shares | Value | |||||||||||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||||||
Class II | 4,185 | $ | 25,323 | 3,630 | $ | 20,436 | ||||||||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: | ||||||||||||||||||||||||||||||||||||
Class II | 2,016 | 11,720 | 9,469 | 48,920 | ||||||||||||||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||||||
Class II | (8,317 | ) | (50,584 | ) | (11,533 | ) | (65,601 | ) | ||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||||||
Net increase (decrease) | (2,116 | ) | $ | (13,541 | ) | 1,566 | $ | 3,755 | ||||||||||||||||||||||||||||
|
|
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, 2017, High Income had outstanding bridge loan commitments of $8,813. In connection with these commitments, the Portfolio earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income is included in interest income on the Statements of Operations.
14. | NEW AND AMENDED FINANCIAL REPORTING RULES AND FORMS |
On October 13, 2016, the SEC adopted new rules and forms, and amended existing rules and forms. The new and amended rules and forms are intended to modernize the reporting of information provided by portfolios and to improve the quality and type of information that portfolios provide to the SEC and investors. In part, the new and amended rules and forms
2017 | SEMIANNUAL REPORT | 145 |
amend Regulation S-X and require standardized, enhanced disclosure about derivatives in a Portfolio’s financial statements, as well as other amendments. The compliance date for the amendments of Regulation S-X is for reporting periods ending after August 1, 2017 while the compliance date for the new form types and other rule amendments is on or after June 1, 2018. Management is evaluating the new and amended rules and forms to determine the impact to the Portfolios.
15. | FEDERAL INCOME TAX MATTERS ($ amounts in thousands) |
For Federal income tax purposes, cost of investments owned at June 30, 2017 and the related unrealized appreciation (depreciation) were as follows:
Portfolio | Cost of Investments | Gross Appreciation | Gross Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Pathfinder Aggressive | $ | 79,216 | $ | 362 | $ | 4,241 | $ | (3,879 | ) | |||||||
Pathfinder Conservative | 114,559 | 39 | 2,990 | (2,951 | ) | |||||||||||
Pathfinder Moderate | 888,923 | 10,417 | 18,298 | (7,881 | ) | |||||||||||
Pathfinder Moderately Aggressive | 1,059,434 | 11,287 | 19,144 | (7,857 | ) | |||||||||||
Pathfinder Moderately Conservative | 263,828 | 470 | 6,030 | (5,560 | ) | |||||||||||
Pathfinder Moderate – Managed Volatility | 566,790 | 3,987 | 18,410 | (14,423 | ) | |||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | 90,730 | 59 | 4,009 | (3,950 | ) | |||||||||||
Pathfinder Moderately Conservative – Managed Volatility | 72,624 | 218 | 2,373 | (2,155 | ) | |||||||||||
Advantus Real Estate Securities | 45,248 | 2,712 | 2,198 | 514 | ||||||||||||
Asset Strategy | 863,973 | 97,429 | 52,208 | 45,221 | ||||||||||||
Balanced | 343,502 | 36,794 | 17,479 | 19,315 | ||||||||||||
Bond | 424,161 | 8,419 | 2,661 | 5,758 | ||||||||||||
Core Equity | 380,144 | 49,595 | 9,334 | 40,261 | ||||||||||||
Dividend Opportunities | 439,818 | 79,760 | 3,171 | 76,589 | ||||||||||||
Energy | 164,858 | 8,456 | 23,934 | (15,478 | ) | |||||||||||
Global Bond | 23,195 | 433 | 642 | (209 | ) | |||||||||||
Global Growth | 365,430 | 60,090 | 7,295 | 52,795 | ||||||||||||
Government Money Market | 393,381 | — | — | — | ||||||||||||
Growth | 652,262 | 218,969 | 17,673 | 201,296 | ||||||||||||
High Income | 1,028,719 | 30,626 | 45,723 | (15,097 | ) | |||||||||||
International Core Equity | 727,585 | 75,422 | 17,940 | 57,482 | ||||||||||||
Limited-Term Bond | 443,830 | 1,931 | 1,185 | 746 | ||||||||||||
Micro Cap Growth | 55,360 | 19,475 | 2,241 | 17,234 | ||||||||||||
Mid Cap Growth | 558,208 | 147,165 | 36,958 | 110,207 | ||||||||||||
Natural Resources | 134,683 | 5,057 | 17,809 | (12,752 | ) | |||||||||||
Science and Technology | 362,121 | 242,266 | 26,238 | 216,028 | ||||||||||||
Small Cap Core | 302,555 | 43,222 | 11,088 | 32,134 | ||||||||||||
Small Cap Growth | 341,472 | 70,280 | 4,919 | 65,361 | ||||||||||||
Value | 351,948 | 42,344 | 12,560 | 29,784 |
For Federal income tax purposes, the Portfolios’ distributed and undistributed earnings and profit for the year ended December 31, 2016 and the post-October and late-year ordinary activity updated with information available through the date of this report were as follows:
Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Tax Return of Capital | Post- October Capital Losses Deferred | Late-Year Ordinary Losses Deferred | |||||||||||||||
Pathfinder Aggressive | $ | 1,056 | $ | 4,935 | $ | — | $ | — | $ | — | ||||||||||
Pathfinder Conservative | 1,227 | 4,170 | — | — | — | |||||||||||||||
Pathfinder Moderate | 9,614 | 44,870 | — | — | — | |||||||||||||||
Pathfinder Moderately Aggressive | 12,968 | 58,436 | — | — | — | |||||||||||||||
Pathfinder Moderately Conservative | 2,861 | 11,415 | — | — | — | |||||||||||||||
Pathfinder Moderate – Managed Volatility | 2,500 | 14,749 | — | — | — | |||||||||||||||
Pathfinder Moderately Aggressive – Managed Volatility | 386 | 2,462 | — | — | — | |||||||||||||||
Pathfinder Moderately Conservative – Managed Volatility | 298 | 1,469 | — | — | — |
146 | SEMIANNUAL REPORT | 2017 |
Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains | Tax Return of Capital | Post- October Capital Losses Deferred | Late-Year Ordinary Losses Deferred | |||||||||||||||
Advantus Real Estate Securities | $ | 689 | $ | 5,525 | $ | — | $ | — | $ | — | ||||||||||
Asset Strategy | 3,718 | — | — | — | — | |||||||||||||||
Balanced | 4,124 | 11,843 | — | — | — | |||||||||||||||
Bond | 8,755 | 1,029 | — | — | — | |||||||||||||||
Core Equity | 1,907 | 17,260 | — | — | — | |||||||||||||||
Dividend Opportunities | 5,771 | 17,759 | — | — | — | |||||||||||||||
Energy | — | — | — | — | — | |||||||||||||||
Global Bond | 630 | — | — | — | — | |||||||||||||||
Global Growth | 209 | 11,357 | — | — | — | |||||||||||||||
Government Money Market | 61 | — | — | — | — | |||||||||||||||
Growth | 2,224 | 79,345 | — | — | — | |||||||||||||||
High Income | 54,031 | — | — | — | — | |||||||||||||||
International Core Equity | 10,925 | — | — | — | — | |||||||||||||||
Limited-Term Bond | 6,271 | — | — | — | — | |||||||||||||||
Micro Cap Growth | — | — | — | — | — | |||||||||||||||
Mid Cap Growth | — | 19,649 | — | — | — | |||||||||||||||
Natural Resources | 56 | — | — | — | — | |||||||||||||||
Science and Technology | — | 28,285 | — | — | — | |||||||||||||||
Small Cap Core | 34,481 | 4,777 | — | — | — | |||||||||||||||
Small Cap Growth | — | 10,748 | — | — | 478 | |||||||||||||||
Value | 5,818 | 5,871 | — | — | — |
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, 2016 and 2015 were as follows:
December 31, 2016 | December 31, 2015 | |||||||||||||||||||
Portfolio | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | ||||||||||||||||
Pathfinder Aggressive | $ | 1,209 | $ | 7,733 | $ | 2,388 | $ | 8,602 | ||||||||||||
Pathfinder Conservative | 1,341 | 7,033 | 1,393 | 7,699 | ||||||||||||||||
Pathfinder Moderate | 11,309 | 68,308 | 15,573 | 74,010 | ||||||||||||||||
Pathfinder Moderately Aggressive | 16,506 | 90,370 | 25,250 | 92,878 | ||||||||||||||||
Pathfinder Moderately Conservative | 3,428 | 19,152 | 4,252 | 22,153 | ||||||||||||||||
Pathfinder Moderate—Managed Volatility | 2,612 | 15,290 | — | — | ||||||||||||||||
Pathfinder Moderately Aggressive—Managed Volatility | 624 | 3,420 | — | — | ||||||||||||||||
Pathfinder Moderately Conservative—Managed Volatility | 327 | 1,832 | 80 | 22 | ||||||||||||||||
Advantus Real Estate Securities | 516 | 4,360 | 1,690 | 3,771 | ||||||||||||||||
Asset Strategy | 6,389 | — | 14,374 | 249,563 | ||||||||||||||||
Balanced | 10,433 | 49,291 | 4,735 | 53,174 | ||||||||||||||||
Bond | 6,593 | 742 | 8,715 | — | ||||||||||||||||
Core Equity | 8,956 | 44,866 | 12,264 | 70,282 | ||||||||||||||||
Dividend Opportunities | 6,264 | 28,123 | 13,525 | 48,640 | ||||||||||||||||
Energy | 203 | — | 74 | 652 | ||||||||||||||||
Global Bond | 731 | — | 701 | — | ||||||||||||||||
Global Growth | 1,644 | 13,615 | 2,105 | 24,394 | ||||||||||||||||
Government Money Market | 699 | — | 107 | — | ||||||||||||||||
Growth | 5,166 | 84,877 | 6,353 | 99,574 | ||||||||||||||||
High Income | 56,542 | — | 53,397 | 6,499 | ||||||||||||||||
International Core Equity | 8,908 | 7,187 | 33,624 | 59,824 | ||||||||||||||||
Limited-Term Bond | 5,755 | — | 6,695 | — | ||||||||||||||||
Micro Cap Growth | — | 6,098 | — | 10,594 |
2017 | SEMIANNUAL REPORT | 147 |
December 31, 2016 | December 31, 2015 | |||||||||||||||||||
Portfolio | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | Distributed Ordinary Income(1) | Distributed Long-Term Capital Gains | ||||||||||||||||
Mid Cap Growth | $ | 4,666 | $ | 28,331 | $ | 4,693 | $ | 41,767 | ||||||||||||
Natural Resources | 875 | — | 137 | — | ||||||||||||||||
Science and Technology | — | 20,982 | — | 34,801 | ||||||||||||||||
Small Cap Core | 1,333 | 28,403 | 2,833 | 24,342 | ||||||||||||||||
Small Cap Growth | — | 45,145 | — | 66,812 | ||||||||||||||||
Value | 12,259 | 36,661 | 14,536 | 40,872 |
(1)Includes | short-term capital gains distributed, if any. |
Dividends from net investment income and short-term capital gains are treated as ordinary income dividends for federal income tax purposes.
Accumulated capital losses represent net capital loss carryovers as of December 31, 2016 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, 2016:
Pre-Enactment | Post-Enactment | |||||||||||||||
Portfolio | 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 | — | — | — | — | ||||||||||||
Advantus Real Estate Securities | — | — | — | — | ||||||||||||
Asset Strategy | — | — | 56,168 | 1,328 | ||||||||||||
Balanced | — | — | — | — | ||||||||||||
Bond | — | — | — | — | ||||||||||||
Core Equity | — | — | — | — | ||||||||||||
Dividend Opportunities | — | — | — | — | ||||||||||||
Energy | 1,950 | 432 | 6,826 | 12,475 | ||||||||||||
Global Bond | — | — | 296 | 704 | ||||||||||||
Global Growth | — | — | — | — | ||||||||||||
Government Money Market | — | — | — | — | ||||||||||||
Growth | — | — | — | — | ||||||||||||
High Income | — | — | 3,435 | 47,048 | ||||||||||||
International Core Equity | — | — | 9,697 | — | ||||||||||||
Limited-Term Bond | — | — | 333 | 2,796 | ||||||||||||
Micro Cap Growth | — | — | 109 | — | ||||||||||||
Mid Cap Growth | — | — | — | — | ||||||||||||
Natural Resources | — | — | 4,944 | 42,180 | ||||||||||||
Science and Technology | — | — | — | — | ||||||||||||
Small Cap Core | — | — | — | — | ||||||||||||
Small Cap Growth | — | — | — | — | ||||||||||||
Value | — | — | — | — |
148 | SEMIANNUAL REPORT | 2017 |
16. | 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’ 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.
2017 | SEMIANNUAL REPORT | 149 |
PROXY VOTING INFORMATION | IVY VIP |
Proxy Voting Guidelines
A description of the policies and procedures Ivy Variable Insurance Portfolios uses to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1.888.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.
150 | SEMIANNUAL REPORT | 2017 |
QUARTERLY PORTFOLIO SCHEDULE INFORMATION | IVY 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. |
2017 | SEMIANNUAL REPORT | 151 |
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152 | SEMIANNUAL REPORT | 2017 |
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2017 | SEMIANNUAL REPORT | 153 |
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154 | SEMIANNUAL REPORT | 2017 |
THE IVY 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 Core1
1(formerly known as Small Cap Value)
Small Cap Growth
Value
Fixed Income Portfolios
Bond
Global Bond
High Income
Limited-Term Bond
Money Market Portfolio
Government Money Market
Specialty Portfolios
Advantus Real Estate Securities1
1(formerly known as Real Estate Securities)
Asset Strategy
Balanced
Energy
Natural Resources1
1(formerly known as 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
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 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.
2017 | SEMIANNUAL REPORT | 155 |
SEMIANN-IVYVIP (06-17)
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 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. |
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(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 VARIABLE INSURANCE PORTFOLIOS
(Registrant)
By | /s/ Jennifer K. Dulski | |
Jennifer K. Dulski, Secretary | ||
Date: | September 7, 2017 |
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, 2017 | |
By | /s/ Joseph W. Kauten | |
Joseph W. Kauten, Principal Financial Officer | ||
Date: | September 7, 2017 |