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
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Ivy Variable Insurance Portfolios
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(Exact name of registrant as specified in charter)
100 Independence, 610 Market Street, Philadelphia, PA 19106-2354
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(Address of principal executive offices) (Zip code)
David F. Connor
100 Independence, 610 Market Street
Philadelphia, PA 19106-2354
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(Name and address of agent for service)
Registrant’s telephone number, including area code: (800) 523-1918
Date of fiscal year end: December 31
Date of reporting period: June 30, 2021
ITEM 1. REPORTS TO STOCKHOLDERS.
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VARIABLE INSURANCE PORTFOLIOS | | Semiannual Report JUNE 30, 2021 |
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| IVY VARIABLE INSURANCE PORTFOLIOS* | | | | | | | | |
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| Delaware Ivy VIP Asset Strategy (formerly, Ivy VIP Asset Strategy) | | | Class I | | | | Class II | |
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| Delaware Ivy VIP Balanced (formerly, Ivy VIP Balanced) | | | | | | | Class II | |
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| Delaware Ivy VIP Energy (formerly, Ivy VIP Energy) | | | Class I | | | | Class II | |
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| Delaware Ivy VIP Growth (formerly, Ivy VIP Growth) | | | | | | | Class II | |
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| Delaware Ivy VIP High Income (formerly, Ivy VIP High Income) | | | Class I | | | | Class II | |
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| Delaware Ivy VIP International Core Equity (formerly, Ivy VIP International Core Equity) | | | | | | | Class II | |
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| Delaware Ivy VIP Mid Cap Growth (formerly, Ivy VIP Mid Cap Growth) | | | Class I | | | | Class II | |
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| Delaware Ivy VIP Natural Resources (formerly, Ivy VIP Natural Resources) | | | | | | | Class II | |
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| Delaware Ivy VIP Science and Technology (formerly, Ivy VIP Science and Technology) | | | Class I | | | | Class II | |
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| Delaware Ivy VIP Small Cap Core (formerly, Ivy VIP Small Cap Core) | | | | | | | Class II | |
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| Delaware Ivy VIP Small Cap Growth (formerly, Ivy VIP Small Cap Growth) | | | Class I | | | | Class II | |
| * | Effective July 1, 2021, the name of each portfolio has been updated from Ivy VIP to Delaware Ivy VIP as indicated. |
IVY INVESTMENTS® refers to the investment management and investment advisory services offered by Macquarie Investment Management Business Trust (MIMBT) through its various series.
On December 2, 2020, Waddell & Reed Financial, Inc. (“WDR”), the parent company of Ivy Investment Management Company, the investment adviser of the Ivy Variable Insurance Portfolios (the “VIP Portfolios”), and Macquarie Management Holdings, Inc., the U.S. holding company for Macquarie Group Limited’s U.S. asset management business (“Macquarie”), announced that they had entered into an agreement whereby Macquarie would acquire the investment management business of WDR (the “Transaction”).
The Transaction closed on April 30, 2021. The VIP Portfolios, as part of Delaware Funds by Macquarie, are now managed by Delaware Management Company, a series of Macquarie Investment Management Business Trust, and distributed by Delaware Distributors, L.P.
| | | | |
Illustration of Portfolio Expenses | | | 3 | |
Portfolio Highlights and Schedule of Investments: | | | 5 | |
Delaware Ivy VIP Asset Strategy (formerly, Ivy VIP Asset Strategy) | | | 5 | |
Delaware Ivy VIP Balanced (formerly, Ivy VIP Balanced) | | | 12 | |
Delaware Ivy VIP Energy (formerly, Ivy VIP Energy) | | | 18 | |
Delaware Ivy VIP Growth (formerly, Ivy VIP Growth) | | | 21 | |
Delaware Ivy VIP High Income (formerly, Ivy VIP High Income) | | | 24 | |
Delaware Ivy VIP International Core Equity (formerly, Ivy VIP International Core Equity) | | | 32 | |
Delaware Ivy VIP Mid Cap Growth (formerly, Ivy VIP Mid Cap Growth) | | | 36 | |
Delaware Ivy VIP Natural Resources (formerly, Ivy VIP Natural Resources) | | | 39 | |
Delaware Ivy VIP Science and Technology (formerly, Ivy VIP Science and Technology) | | | 42 | |
Delaware Ivy VIP Small Cap Core (formerly, Ivy VIP Small Cap Core) | | | 45 | |
Delaware Ivy VIP Small Cap Growth (formerly, Ivy VIP Small Cap Growth) | | | 48 | |
Statements of Assets and Liabilities | | | 51 | |
Statements of Operations | | | 53 | |
Statements of Changes in Net Assets | | | 55 | |
Financial Highlights | | | 58 | |
Notes to Financial Statements | | | 66 | |
Proxy Voting Information | | | 84 | |
Quarterly Portfolio Schedule Information | | | 85 | |
Macquarie Investment Management (MIM) is a global asset manager with offices in the United States, Europe, Asia, and Australia. As active managers, we prioritize autonomy and accountability at the investment team level in pursuit of opportunities that matter for clients. Delaware Funds is one of the longest-standing mutual fund families, with more than 80 years in existence.
If you are interested in learning more about creating an investment plan, contact your financial advisor.
You can learn more about Delaware Funds or obtain a prospectus at www.ivyinvestments.com/reports/vip.
Macquarie Asset Management (MAM) offers a diverse range of products including securities investment management, infrastructure and real asset management, and fund and equity-based structured products. MIM is the marketing name for certain companies comprising the asset management division of Macquarie Group. This includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Funds Management Hong Kong Limited, Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
The Portfolios are distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
Other than Macquarie Bank Limited (MBL), none of the entities noted are authorized deposit-taking institutions for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these entities do not represent deposits or other liabilities of MBL. MBL does not guarantee or otherwise provide assurance in respect of the obligations of these entities, unless noted otherwise.
The Portfolios are governed by US laws and regulations. Unless otherwise noted, views expressed herein are current as of June 30, 2021, and subject to change for events occurring after such date. The Portfolios are not FDIC insured and are not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor. All third-party marks cited are the property of their respective owners.
© 2021 Macquarie Management Holdings, Inc.
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| 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. 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, 2021.
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 6 in Notes to Financial Statements for further information.
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| ILLUSTRATION OF PORTFOLIO EXPENSES | | IVY VIP |
(UNAUDITED)
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| | | Actual(1) | | | Hypothetical(2) | | | | |
| | | | | | | |
| Portfolio | | Beginning
Account
Value
12-31-20 | | | Ending
Account
Value
6-30-21 | | | Expenses
Paid During
Period* | | | Beginning
Account
Value
12-31-20 | | | Ending
Account
Value
6-30-21 | | | Expenses
Paid During
Period* | | | Annualized
Expense Ratio
Based on the
Six-Month
Period | |
Asset Strategy | |
Class I | | $ | 1,000 | | | $ | 1,066.40 | | | $ | 3.72 | | | $ | 1,000 | | | $ | 1,021.17 | | | $ | 3.64 | | | | 0.72% | |
Class II | | $ | 1,000 | | | $ | 1,065.00 | | | $ | 4.96 | | | $ | 1,000 | | | $ | 1,020.04 | | | $ | 4.85 | | | | 0.97% | |
Balanced | |
Class II | | $ | 1,000 | | | $ | 1,106.40 | | | $ | 5.27 | | | $ | 1,000 | | | $ | 1,019.79 | | | $ | 5.05 | | | | 1.01% | |
Energy | |
Class I | | $ | 1,000 | | | $ | 1,367.00 | | | $ | 7.93 | | | $ | 1,000 | | | $ | 1,018.07 | | | $ | 6.76 | | | | 1.37% | |
Class II | | $ | 1,000 | | | $ | 1,365.50 | | | $ | 7.33 | | | $ | 1,000 | | | $ | 1,018.63 | | | $ | 6.26 | | | | 1.22% | |
Growth | |
Class II | | $ | 1,000 | | | $ | 1,150.00 | | | $ | 5.27 | | | $ | 1,000 | | | $ | 1,019.88 | | | $ | 4.95 | | | | 0.99% | |
High Income | |
Class I | | $ | 1,000 | | | $ | 1,049.60 | | | $ | 3.38 | | | $ | 1,000 | | | $ | 1,021.45 | | | $ | 3.34 | | | | 0.67% | |
Class II | | $ | 1,000 | | | $ | 1,048.30 | | | $ | 4.71 | | | $ | 1,000 | | | $ | 1,020.20 | | | $ | 4.65 | | | | 0.92% | |
International Core Equity | |
Class II | | $ | 1,000 | | | $ | 1,135.70 | | | $ | 6.09 | | | $ | 1,000 | | | $ | 1,019.05 | | | $ | 5.75 | | | | 1.16% | |
Mid Cap Growth | |
Class I | | $ | 1,000 | | | $ | 1,113.70 | | | $ | 4.44 | | | $ | 1,000 | | | $ | 1,020.58 | | | $ | 4.24 | | | | 0.85% | |
Class II | | $ | 1,000 | | | $ | 1,112.30 | | | $ | 5.70 | | | $ | 1,000 | | | $ | 1,019.35 | | | $ | 5.45 | | | | 1.10% | |
Natural Resources | |
Class II | | $ | 1,000 | | | $ | 1,185.50 | | | $ | 6.67 | | | $ | 1,000 | | | $ | 1,018.67 | | | $ | 6.16 | | | | 1.23% | |
Science and Technology | |
Class I | | $ | 1,000 | | | $ | 1,115.40 | | | $ | 4.65 | | | $ | 1,000 | | | $ | 1,020.35 | | | $ | 4.44 | | | | 0.89% | |
Class II | | $ | 1,000 | | | $ | 1,114.00 | | | $ | 6.02 | | | $ | 1,000 | | | $ | 1,019.12 | | | $ | 5.75 | | | | 1.14% | |
Small Cap Core | |
Class II | | $ | 1,000 | | | $ | 1,191.00 | | | $ | 6.35 | | | $ | 1,000 | | | $ | 1,018.97 | | | $ | 5.86 | | | | 1.18% | |
Small Cap Growth | |
Class I | | $ | 1,000 | | | $ | 1,103.70 | | | $ | 4.63 | | | $ | 1,000 | | | $ | 1,020.37 | | | $ | 4.44 | | | | 0.89% | |
Class II | | $ | 1,000 | | | $ | 1,102.30 | | | $ | 5.99 | | | $ | 1,000 | | | $ | 1,019.13 | | | $ | 5.75 | | | | 1.14% | |
| * | 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, 2021, and divided by 365. |
| (1) | This section uses the Portfolio’s actual total return and actual Portfolio expenses. It is a guide to the actual expenses paid by the Portfolio in the period. The “Ending Account Value” shown is computed using the Portfolio’s actual return and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. A shareholder may use the information here, together with the dollar amount invested, to estimate the expenses that were paid over the period. For every thousand dollars a shareholder has invested, the expenses are listed in the last column of this section. |
| (2) | This section uses a hypothetical five percent annual return and actual Portfolio expenses. It helps to compare the Portfolio’s ongoing costs with other mutual funds. A shareholder can compare the Portfolio’s ongoing costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other Portfolios. |
The above illustrations are based on ongoing costs only.
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| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP ASSET STRATEGY(a) |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
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Stocks | | | 60.3% | |
Information Technology | | | 16.2% | |
Industrials | | | 10.4% | |
Financials | | | 9.2% | |
Health Care | | | 7.2% | |
Consumer Discretionary | | | 5.4% | |
Consumer Staples | | | 4.7% | |
Communication Services | | | 2.9% | |
Energy | | | 2.7% | |
Utilities | | | 0.9% | |
Materials | | | 0.7% | |
Bullion (Gold) | | | 4.8% | |
Purchased Options | | | 0.2% | |
Bonds | | | 33.4% | |
Corporate Debt Securities | | | 23.9% | |
United States Government and Government Agency Obligations | | | 8.5% | |
Other Government Securities | | | 0.7% | |
Asset-Backed Securities | | | 0.3% | |
Mortgage-Backed Securities | | | 0.0% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 1.3% | |
Country Weightings
| | | | |
North America | | | 57.8% | |
United States | | | 49.1% | |
Other North America | | | 3.9% | |
Bullion (Gold) | | | 4.8% | |
Europe | | | 25.2% | |
France | | | 6.4% | |
Germany | | | 5.2% | |
United Kingdom | | | 3.9% | |
Other Europe | | | 9.7% | |
Pacific Basin | | | 12.2% | |
South America | | | 1.9% | |
Bahamas/Caribbean | | | 0.7% | |
Other | | | 0.5% | |
Middle East | | | 0.3% | |
Africa | | | 0.1% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ and Purchased Options | | | 1.5% | |
Top 10 Equity Holdings
| | | | | | |
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| Company | | Country | | Sector | | Industry |
Microsoft Corp. | | United States | | Information Technology | | Systems Software |
Alphabet, Inc., Class A | | United States | | Communication Services | | Interactive Media & Services |
Visa, Inc., Class A | | United States | | Information Technology | | Data Processing & Outsourced Services |
Intuit, Inc. | | United States | | Information Technology | | Application Software |
Amazon.com, Inc. | | United States | | Consumer Discretionary | | Internet & Direct Marketing Retail |
Ingersoll-Rand, Inc. | | United States | | Industrials | | Industrial Machinery |
Apple, Inc. | | United States | | Information Technology | | Technology Hardware, Storage & Peripherals |
Adobe, Inc. | | United States | | Information Technology | | Application Software |
Merck KGaA | | Germany | | Health Care | | Pharmaceuticals |
Reliance Industries Ltd. | | India | | Energy | | Oil & Gas Refining & Marketing |
See your advisor or www.ivyinvestments.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.
(a) Effective July 1, 2021, the name of Ivy VIP Asset Strategy changed to Delaware Ivy VIP Asset Strategy.
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| CONSOLIDATED SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP ASSET STRATEGY (in thousands) |
JUNE 30, 2021 (UNAUDITED)
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| COMMON STOCKS | | Shares | | | Value | |
Communication Services | |
| |
Integrated Telecommunication Services – 1.0% | |
Deutsche Telekom AG, Registered Shares (A) | | | 376 | | | $ | 7,947 | |
| | | | | | | | |
| |
Interactive Media & Services – 1.9% | |
Alphabet, Inc., Class A (B) | | | 6 | | | | 14,153 | |
| | | | | | | | |
| |
Total Communication Services – 2.9% | | | | 22,100 | |
| |
Consumer Discretionary | |
| |
Apparel, Accessories & Luxury Goods – 1.1% | |
adidas AG (A) | | | 23 | | | | 8,478 | |
| | | | | | | | |
| |
Auto Parts & Equipment – 0.9% | |
Aptiv plc (B) | | | 46 | | | | 7,186 | |
| | | | | | | | |
| |
Automobile Manufacturers – 0.4% | |
Subaru Corp. (A) | | | 149 | | | | 2,934 | |
| | | | | | | | |
| |
General Merchandise Stores – 0.7% | |
Dollar Tree, Inc. (B) | | | 58 | | | | 5,773 | |
| | | | | | | | |
| |
Internet & Direct Marketing Retail – 1.5% | |
Amazon.com, Inc. (B) | | | 3 | | | | 11,315 | |
| | | | | | | | |
| |
Leisure Facilities – 0.0% | |
COTA Racing & Entertainment LLC, Class B (B)(C)(E) | | | — | * | | | — | |
| | | | | | | | |
| |
Leisure Products – 0.0% | |
Media Group Holdings LLC, Series H (B)(C)(D)(E) | | | 32 | | | | — | * |
Media Group Holdings LLC, Series T (B)(C)(D)(E) | | | 4 | | | | — | |
| | | | | | | | |
| | | | | | | — | * |
| | | | | | | | |
| |
Total Consumer Discretionary – 4.6% | | | | 35,686 | |
| |
Consumer Staples | |
| |
Distillers & Vintners – 0.8% | |
Pernod Ricard S.A.(A) | | | 27 | | | | 6,033 | |
| | | | | | | | |
| |
Household Products – 0.8% | |
Procter & Gamble Co. (The) | | | 47 | | | | 6,387 | |
| | | | | | | | |
| |
Hypermarkets & Super Centers – 0.8% | |
Wal-Mart Stores, Inc. | | | 44 | | | | 6,217 | |
| | | | | | | | |
| |
Packaged Foods & Meats – 1.5% | |
China Mengniu Dairy Co. Ltd. (A) | | | 863 | | | | 5,220 | |
Nestle S.A., Registered Shares (A) | | | 47 | | | | 5,858 | |
| | | | | | | | |
| | | | | | | 11,078 | |
| | | | | | | | |
| |
Personal Products – 0.8% | |
Unilever plc (A) | | | 104 | | | | 6,096 | |
| | | | | | | | |
| |
Total Consumer Staples – 4.7% | | | | 35,811 | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Energy | |
| |
Oil & Gas Exploration & Production – 1.0% | |
Canadian Natural Resources Ltd. | | | 206 | | | $ | 7,473 | |
| | | | | | | | |
| |
Oil & Gas Refining & Marketing – 1.7% | |
Phillips 66 | | | 40 | | | | 3,406 | |
Reliance Industries Ltd. (A) | | | 338 | | | | 9,594 | |
Reliance Industries Ltd. (A) | | | 23 | | | | 462 | |
| | | | | | | | |
| | | | | | | 13,462 | |
| | | | | | | | |
| |
Total Energy – 2.7% | | | | 20,935 | |
Financials | |
| |
Diversified Banks – 1.5% | |
BNP Paribas S.A. (A) | | | 122 | | | | 7,660 | |
UniCredit S.p.A. (A) | | | 347 | | | | 4,090 | |
| | | | | | | | |
| | | | | | | 11,750 | |
| | | | | | | | |
| |
Financial Exchanges & Data – 0.6% | | | | | |
Intercontinental Exchange, Inc. | | | 38 | | | | 4,517 | |
| | | | | | | | |
| |
Investment Banking & Brokerage – 1.1% | |
Morgan Stanley | | | 87 | | | | 7,959 | |
| | | | | | | | |
| |
Life & Health Insurance – 1.7% | |
AIA Group Ltd. (A) | | | 580 | | | | 7,215 | |
| | | | | | | | |
Ping An Insurance (Group) Co. of China Ltd., H Shares (A) | | | 680 | | | | 6,659 | |
| | | | | | | | |
| | | | | | | 13,874 | |
| | | | | | | | |
| |
Mortgage REITs – 1.1% | |
AGNC Investment Corp. | | | 480 | | | | 8,102 | |
| | | | | | | | |
| |
Other Diversified Financial Services – 1.2% | |
ORIX Corp. (A) | | | 540 | | | | 9,109 | |
| | | | | | | | |
| |
Regional Banks – 1.1% | |
First Republic Bank | | | 44 | | | | 8,148 | |
| | | | | | | | |
| |
Thrifts & Mortgage Finance – 0.9% | |
Housing Development Finance Corp. Ltd. (A) | | | 198 | | | | 6,601 | |
| | | | | | | | |
| | |
Total Financials – 9.2% | | | | | | | 70,060 | |
Health Care | |
| |
Biotechnology – 1.1% | |
Genmab A.S. (A)(B) | | | 15 | | | | 6,268 | |
Sarepta Therapeutics, Inc. (B) | | | 33 | | | | 2,548 | |
| | | | | | | | |
| | | | | | | 8,816 | |
| | | | | | | | |
| |
Health Care Equipment – 2.4% | |
Koninklijke Philips Electronics N.V., Ordinary Shares (A)(F) | | | 121 | | | | 6,018 | |
Masimo Corp. (B) | | | 19 | | | | 4,668 | |
Zimmer Holdings, Inc. | | | 46 | | | | 7,375 | |
| | | | | | | | |
| | | | | | | 18,061 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Managed Health Care – 0.9% | |
Anthem, Inc. | | | 18 | | | $ | 6,796 | |
| | | | | | | | |
| |
Pharmaceuticals – 2.8% | |
Eli Lilly and Co. | | | 27 | | | | 6,301 | |
GlaxoSmithKline plc (A) | | | 283 | | | | 5,559 | |
Merck KGaA (A) | | | 50 | | | | 9,627 | |
| | | | | | | | |
| | | | | | | 21,487 | |
| | | | | | | | |
| |
Total Health Care – 7.2% | | | | 55,160 | |
Industrials | |
| |
Aerospace & Defense – 1.9% | |
Airbus SE (A) | | | 66 | | | | 8,527 | |
Raytheon Technologies Corp. | | | 69 | | | | 5,891 | |
| | | | | | | | |
| | | | | | | 14,418 | |
| | | | | | | | |
| |
Construction & Engineering – 1.6% | |
Larsen & Toubro Ltd. (A) | | | 291 | | | | 5,873 | |
Vinci (A) | | | 60 | | | | 6,378 | |
| | | | | | | | |
| | | | | | | 12,251 | |
| | | | | | | | |
| |
Construction Machinery & Heavy Trucks – 0.4% | |
Caterpillar, Inc. | | | 15 | | | | 3,173 | |
| | | | | | | | |
| |
Electrical Components & Equipment – 1.0% | |
Schneider Electric S.A. (A) | | | 49 | | | | 7,727 | |
| | | | | | | | |
| |
Environmental & Facilities Services – 0.7% | |
Waste Management, Inc. | | | 38 | | | | 5,351 | |
| | | | | | | | |
| |
Industrial Machinery – 1.4% | |
Ingersoll-Rand, Inc. (B) | | | 216 | | | | 10,554 | |
| | | | | | | | |
| |
Railroads – 2.4% | |
Canadian Pacific Railway Ltd. | | | 113 | | | | 8,675 | |
Union Pacific Corp. | | | 44 | | | | 9,569 | |
| | | | | | | | |
| | | | | | | 18,244 | |
| | | | | | | | |
| |
Trading Companies & Distributors – 1.0% | |
Ferguson plc (A) | | | 58 | | | | 8,035 | |
| | | | | | | | |
| | |
Total Industrials – 10.4% | | | | | | | 79,753 | |
Information Technology | |
| |
Application Software – 2.8% | |
Adobe, Inc. (B) | | | 17 | | | | 10,022 | |
Intuit, Inc. | | | 23 | | | | 11,437 | |
| | | | | | | | |
| | | | | | | 21,459 | |
| | | | | | | | |
| |
Data Processing & Outsourced Services – 2.6% | |
Fiserv, Inc. (B) | | | 79 | | | | 8,425 | |
Visa, Inc., Class A | | | 49 | | | | 11,466 | |
| | | | | | | | |
| | | | | | | 19,891 | |
| | | | | | | | |
| |
Electronic Components – 0.9% | |
Largan Precision Co. Ltd. (A) | | | 61 | | | | 6,762 | |
| | | | | | | | |
| |
Internet Services & Infrastructure – 0.5% | |
VeriSign, Inc. (B) | | | 18 | | | | 4,207 | |
| | | | | | | | |
| | |
| CONSOLIDATED SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP ASSET STRATEGY (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
IT Consulting & Other Services – 0.8% | |
Gartner, Inc., Class A (B) | | | 26 | | | $ | 6,337 | |
| | | | | | | | |
| |
Semiconductor Equipment – 1.1% | |
ASML Holding N.V., Ordinary Shares (A) | | | 12 | | | | 8,268 | |
| | | | | | | | |
| |
Semiconductors – 1.2% | |
Marvell Technology Group Ltd. (B) | | | 37 | | | | 2,156 | |
Taiwan Semiconductor Manufacturing Co. Ltd. (A) | | | 315 | | | | 6,736 | |
| | | | | | | | |
| | | | | | | 8,892 | |
| | | | | | | | |
| |
Systems Software – 2.7% | |
Microsoft Corp. | | | 76 | | | | 20,605 | |
| | | | | | | | |
| |
Technology Hardware, Storage & Peripherals – 3.6% | |
Apple, Inc. | | | 76 | | | | 10,420 | |
Samsung Electronics Co. Ltd. (A) | | | 134 | | | | 9,585 | |
Seagate Technology | | | 79 | | | | 6,916 | |
| | | | | | | | |
| | | | | | | 26,921 | |
| | | | | | | | |
| |
Total Information Technology – 16.2% | | | | 123,342 | |
Materials | |
| |
Diversified Metals & Mining – 0.3% | |
Teck Resources Ltd., Class B | | | 107 | | | | 2,465 | |
| | | | | | | | |
| |
Gold – 0.4% | |
Barrick Gold Corp. | | | 156 | | | | 3,218 | |
| | | | | | | | |
| |
Total Materials – 0.7% | | | | 5,683 | |
Utilities | |
| |
Multi-Utilities – 0.9% | |
E.ON AG (A) | | | 622 | | | | 7,199 | |
| | | | | | | | |
| |
Total Utilities – 0.9% | | | | 7,199 | |
| |
TOTAL COMMON STOCKS – 59.5% | | | $ | 455,729 | |
(Cost: $357,235) | | | | | | | | |
| | |
| PREFERRED STOCKS | | | | | | |
Consumer Discretionary | |
| |
Automobile Manufacturers – 0.8% | |
Volkswagen AG, 2.260% (A) | | | 26 | | | | 6,471 | |
| | | | | | | | |
| |
Total Consumer Discretionary – 0.8% | | | | 6,471 | |
| |
TOTAL PREFERRED STOCKS – 0.8% | | | $ | 6,471 | |
(Cost: $5,095) | | | | | | | | |
| | | | | | | | | | | | |
| | | |
| PURCHASED OPTIONS | | Number of
Contracts
(Unrounded) | | | Notional
Amount | | | | |
Micron Technology, Inc., | |
Call $87.50, Expires 8-20-21 | | | 790 | | | | 79 | | | | 314 | |
Pinterest, Inc., Class A, | |
Call $75.00, Expires 8-20-21 | | | 1,318 | | | | 132 | | | | 1,127 | |
| | | | | | | | | | | | |
PURCHASED OPTIONS (Continued) | | Number of
Contracts
(Unrounded) | | | Notional
Amount | | | Value | |
Teck Resources Ltd., Class B, | | | | | |
Call $25.00, Expires 8-20-21, OTC (Ctrpty: Citibank N.A.) | | | 1,655 | | | | 165 | | | $ | 136 | |
Thermo Fisher Scientific, Inc., | | | | | |
Call $510.00, Expires 7-16-21 | | | 137 | | | | 14 | | | | 91 | |
Volkswagen AG, | | | | | |
Call EUR240.00, Expires 9-17-21, OTC (Ctrpty: Morgan Stanley & Co., Inc.) (G) | | | 260 | | | | 26 | | | | 87 | |
| | | | | | | | | | | | |
| |
TOTAL PURCHASED OPTIONS – 0.2% | | | $ | 1,755 | |
(Cost: $1,328) | | | | | | | | | | | | |
| | | | | | | | |
| | |
| ASSET-BACKED SECURITIES | | Principal | | | | |
British Airways Pass-Through Trust, Series 2020-1A, | | | | | | | | |
4.250%, 11-15-32 (H) | | $ | 237 | | | | 255 | |
United Airlines Pass-Through Certificates, Series 2020-1B, | | | | | | | | |
4.875%, 1-15-26 | | | 1,941 | | | | 2,058 | |
| | | | | | | | |
| |
TOTAL ASSET-BACKED SECURITIES – 0.3% | | | $ | 2,313 | |
(Cost: $2,178) | | | | | | | | |
| | |
| CORPORATE DEBT SECURITIES | | | | | | |
Communication Services | |
| |
Cable & Satellite – 0.2% | |
Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal), | | | | | | | | |
1.500%, 2-15-31 | | | 2,000 | | | | 1,897 | |
| | | | | | | | |
| |
Integrated Telecommunication Services – 1.1% | |
AT&T, Inc.: | | | | | | | | |
2.250%, 2-1-32 | | | 1,500 | | | | 1,474 | |
3.650%, 6-1-51 | | | 2,653 | | | | 2,761 | |
Verizon Communications, Inc.: | | | | | | | | |
2.100%, 3-22-28 | | | 650 | | | | 664 | |
1.500%, 9-18-30 | | | 3,000 | | | | 2,870 | |
| | | | | | | | |
| | | | | | | 7,769 | |
| | | | | | | | |
| |
Total Communication Services – 1.3% | | | | 9,666 | |
Consumer Discretionary | |
| |
Apparel Retail – 0.2% | |
Ross Stores, Inc., | | | | | | | | |
1.875%, 4-15-31 | | | 1,500 | | | | 1,454 | |
| | | | | | | | |
| |
Apparel, Accessories & Luxury Goods – 0.4% | |
PVH Corp., | | | | | | | | |
4.625%, 7-10-25 | | | 2,000 | | | | 2,234 | |
VF Corp., | | | | | | | | |
2.800%, 4-23-27 | | | 500 | | | | 534 | |
| | | | | | | | |
| | | | | | | 2,768 | |
| | | | | | | | |
| | | | | | | | |
CORPORATE DEBT SECURITIES (Continued) | | Principal | | | Value | |
Automobile Manufacturers – 0.4% | |
Nissan Motor Co. Ltd.: | | | | | | | | |
4.345%, 9-17-27 (H) | | $ | 1,537 | | | $ | 1,691 | |
4.810%, 9-17-30 (H) | | | 1,098 | | | | 1,241 | |
| | | | | | | | |
| | | | | | | 2,932 | |
| | | | | | | | |
| |
Automotive Retail – 0.2% | |
7-Eleven, Inc., | | | | | | | | |
1.300%, 2-10-28 (H) | | | 2,000 | | | | 1,933 | |
| | | | | | | | |
| |
Casinos & Gaming – 0.2% | |
Genting New York LLC and Genny Capital, Inc., | | | | | | | | |
3.300%, 2-15-26 (H) | | | 1,250 | | | | 1,264 | |
| | | | | | | | |
| |
General Merchandise Stores – 0.3% | |
Dollar General Corp., | | | | | | | | |
3.500%, 4-3-30 | | | 2,000 | | | | 2,199 | |
| | | | | | | | |
| |
Hotels, Resorts & Cruise Lines – 0.3% | |
GENM Capital Labuan Ltd., | | | | | | | | |
3.882%, 4-19-31 (H) | | | 2,000 | | | | 1,997 | |
| | | | | | | | |
| |
Internet & Direct Marketing Retail – 1.2% | |
Alibaba Group Holding Ltd., | | | | | | | | |
2.125%, 2-9-31 | | | 2,000 | | | | 1,968 | |
Amazon.com, Inc.: | | | | | | | | |
1.500%, 6-3-30 | | | 654 | | | | 640 | |
2.500%, 6-3-50 | | | 218 | | | | 206 | |
Expedia Group, Inc., | | | | | | | | |
3.800%, 2-15-28 | | | 1,000 | | | | 1,088 | |
Meituan: | | | | | | | | |
2.125%, 10-28-25 (F)(H) | | | 2,439 | | | | 2,422 | |
3.050%, 10-28-30 (F)(H) | | | 732 | | | | 725 | |
Prosus N.V., | | | | | | | | |
3.832%, 2-8-51 (H) | | | 2,500 | | | | 2,336 | |
| | | | | | | | |
| | | | | | | 9,385 | |
| | | | | | | | |
| |
Leisure Facilities – 0.1% | |
Circuit of the Americas LLC,
Series D,
0.000%, 10-2-23 (C)(E)(I) | | | 3,642 | | | | 637 | |
| | | | | | | | |
| |
Total Consumer Discretionary – 3.3% | | | | 24,569 | |
Consumer Staples | |
| |
Brewers – 0.2% | |
Anheuser-Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB): | | | | | | | | |
3.500%, 6-1-30 | | | 860 | | | | 957 | |
4.500%, 6-1-50 | | | 432 | | | | 527 | |
| | | | | | | | |
| | | | | | | 1,484 | |
| | | | | | | | |
| |
Drug Retail – 0.3% | |
CVS Health Corp., | | | | | | | | |
1.300%, 8-21-27 (F) | | | 2,000 | | | | 1,963 | |
| | | | | | | | |
| |
Food Retail – 0.4% | |
Alimentation Couche-Tard, Inc., | | | | | | | | |
2.950%, 1-25-30 (H) | | | 3,000 | | | | 3,118 | |
| | | | | | | | |
| | |
| CONSOLIDATED SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP ASSET STRATEGY (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
CORPORATE DEBT SECURITIES (Continued) | | Principal | | | Value | |
Packaged Foods & Meats – 0.2% | |
BRF GmbH, | | | | | | | | |
2.277%, 1-20-32 (H) | | $ | 2,000 | | | $ | 1,965 | |
| | | | | | | | |
| |
Tobacco – 0.4% | |
Altria Group, Inc. (GTD by Philip Morris USA, Inc.), | | | | | | | | |
3.700%, 2-4-51 | | | 3,000 | | | | 2,851 | |
| | | | | | | | |
| |
Total Consumer Staples – 1.5% | | | | 11,381 | |
Energy | |
| |
Integrated Oil & Gas – 0.1% | |
Petronas Capital Ltd., | | | | | | | | |
3.500%, 4-21-30 (H) | | | 432 | | | | 474 | |
| | | | | | | | |
| |
Oil & Gas Exploration & Production – 0.5% | |
Harvest Operations Corp., | | | | | | | | |
1.000%, 4-26-24 (H) | | | 1,000 | | | | 1,001 | |
Santos Finance Ltd., | | | | | | | | |
3.649%, 4-29-31 (H) | | | 1,000 | | | | 1,025 | |
Saudi Arabian Oil Co.: | | | | | | | | |
1.625%, 11-24-25 (H) | | | 940 | | | | 950 | |
2.250%, 11-24-30 (H) | | | 1,210 | | | | 1,190 | |
| | | | | | | | |
| | | | | | | 4,166 | |
| | | | | | | | |
| |
Oil & Gas Refining & Marketing – 0.6% | |
Petroleos del Peru S.A., | | | | | | | | |
5.625%, 6-19-47 | | | 2,000 | | | | 2,134 | |
Valero Energy Corp., | | | | | | | | |
2.150%, 9-15-27 | | | 2,102 | | | | 2,138 | |
| | | | | | | | |
| | | | | | | 4,272 | |
| | | | | | | | |
| |
Oil & Gas Storage & Transportation – 0.7% | |
Galaxy Pipeline Assets BidCo Ltd.: | | | | | | | | |
2.160%, 3-31-34 (H) | | | 2,000 | | | | 1,969 | |
2.625%, 3-31-36 (H) | | | 1,500 | | | | 1,475 | |
Williams Partners L.P., | | | | | | | | |
5.100%, 9-15-45 | | | 1,500 | | | | 1,873 | |
| | | | | | | | |
| | | | | | | 5,317 | |
| | | | | | | | |
| |
Total Energy – 1.9% | | | | 14,229 | |
Financials | |
| |
Asset Management & Custody Banks – 0.6% | |
Ares Capital Corp., | | | | | | | | |
2.150%, 7-15-26 | | | 2,000 | | | | 1,991 | |
Citadel Finance LLC, | | | | | | | | |
3.375%, 3-9-26 (H) | | | 2,500 | | | | 2,509 | |
| | | | | | | | |
| | | | | | | 4,500 | |
| | | | | | | | |
| |
Diversified Banks – 6.9% | |
Australia and New Zealand Banking Group Ltd., | | | | | | | | |
2.570%, 11-25-35 (H) | | | 1,881 | | | | 1,830 | |
Banco de Credito del Peru: | | | | | | | | |
3.125%, 7-1-30(H) | | | 1,938 | | | | 1,930 | |
3.250%, 9-30-31 (H) | | | 2,000 | | | | 1,985 | |
Banco Santander S.A.: | | | | | | | | |
5.375%, 4-17-25 (H) | | | 702 | | | | 798 | |
1.849%, 3-25-26 | | | 2,000 | | | | 2,022 | |
| | | | | | | | |
CORPORATE DEBT SECURITIES (Continued) | | Principal | | | Value | |
Diversified Banks (Continued) | |
BNP Paribas S.A., | | | | | | | | |
4.625%, 3-13-27 (H) | | $ | 3,610 | | | $ | 4,076 | |
Credit Agricole S.A.: | | | | | | | | |
1.907%, 6-16-26 (H) | | | 2,657 | | | | 2,710 | |
8.125%, 3-23-69 (H) | | | 2,000 | | | | 2,437 | |
DNB Bank ASA, | | | | | | | | |
1.535%, 5-25-27 (H) | | | 1,500 | | | | 1,503 | |
HSBC Holdings plc: | | | | | | | | |
6.375%, 3-17-69 | | | 2,000 | | | | 2,215 | |
4.600%, 6-17-69 | | | 1,101 | | | | 1,145 | |
ING Groep N.V., | | | | | | | | |
6.875%, 12-29-49 | | | 2,681 | | | | 2,792 | |
Intesa Sanpaolo S.p.A.: | | | | | | | | |
3.250%, 9-23-24 | | | 700 | | | | 745 | |
3.875%, 7-14-27 (F) | | | 2,351 | | | | 2,558 | |
Societe Generale S.A.: | | | | | | | | |
1.488%, 12-14-26 (H) | | | 2,000 | | | | 1,983 | |
1.792%, 6-9-27 (H) | | | 1,000 | | | | 999 | |
3.653%, 7-8-35 (H) | | | 1,532 | | | | 1,592 | |
Standard Chartered plc, | | | | | | | | |
4.300%, 2-19-27 (H) | | | 3,000 | | | | 3,289 | |
Svenska Handelsbanken AB, | | | | | | | | |
4.750%, 3-1-69 | | | 3,000 | | | | 3,178 | |
Swedbank AB, | | | | | | | | |
5.625%, 3-17-69 | | | 2,000 | | | | 2,169 | |
UniCredit S.p.A.: | | | | | | | | |
2.569%, 9-22-26 (H) | | | 2,200 | | | | 2,232 | |
5.861%, 6-19-32 (H) | | | 3,047 | | | | 3,368 | |
5.459%, 6-30-35 (H) | | | 2,672 | | | | 2,916 | |
Wells Fargo & Co., | | | | | | | | |
3.900%, 3-15-69 | | | 1,500 | | | | 1,554 | |
| | | | | | | | |
| | | | | | | 52,026 | |
| | | | | | | | |
| |
Diversified Capital Markets – 0.8% | |
Africa Finance Corp., | | | | | | | | |
2.875%, 4-28-28 (H) | | | 1,000 | | | | 1,006 | |
Credit Suisse Group AG, | | | | | | | | |
2.193%, 6-5-26 (H) | | | 1,654 | | | | 1,694 | |
Deutsche Bank AG, | | | | | | | | |
2.129%, 11-24-26 | | | 2,000 | | | | 2,031 | |
UBS Group AG, | | | | | | | | |
2.095%, 2-11-32 (H) | | | 1,500 | | | | 1,471 | |
| | | | | | | | |
| | | | | | | 6,202 | |
| | | | | | | | |
| |
Investment Banking & Brokerage – 0.6% | |
Charles Schwab Corp. (The), | | | | | | | | |
4.000%, 6-1-69 | | | 2,000 | | | | 2,090 | |
Macquarie Bank Ltd., | | | | | | | | |
3.624%, 6-3-30 (H) | | | 436 | | | | 462 | |
Morgan Stanley, | | | | | | | | |
1.928%, 4-28-32 | | | 2,500 | | | | 2,432 | |
| | | | | | | | |
| | | | | | | 4,984 | |
| | | | | | | | |
| |
Life & Health Insurance – 0.3% | |
AIA Group Ltd.: | | | | | | | | |
3.375%, 4-7-30 (H) | | | 540 | | | | 597 | |
3.200%, 9-16-40 (H) | | | 1,098 | | | | 1,138 | |
| | | | | | | | |
| | | | | | | 1,735 | |
| | | | | | | | |
| |
Multi-Line Insurance – 0.2% | |
Athene Holding Ltd., | | | | | | | | |
6.150%, 4-3-30 | | | 1,287 | | | | 1,629 | |
| | | | | | | | |
| | | | | | | | |
CORPORATE DEBT SECURITIES (Continued) | | Principal | | | Value | |
Other Diversified Financial Services – 0.3% | |
Citigroup, Inc., | | | | | | | | |
1.122%, 1-28-27 | | $ | 2,500 | | | $ | 2,466 | |
| | | | | | | | |
| |
Specialized Finance – 0.6% | |
AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust, | | | | | | | | |
4.500%, 9-15-23 | | | 2,657 | | | | 2,850 | |
LSEGA Financing plc, | | | | | | | | |
1.375%, 4-6-26 (H) | | | 2,000 | | | | 2,005 | |
| | | | | | | | |
| | | | | | | 4,855 | |
| | | | | | | | |
| |
Total Financials – 10.3% | | | | 78,397 | |
Health Care | |
| |
Pharmaceuticals – 0.5% | |
AbbVie, Inc., | | | | | | | | |
3.200%, 11-21-29 | | | 2,000 | | | | 2,174 | |
Fresenius Medical Care U.S. Finance III, Inc., | | | | | | | | |
1.875%, 12-1-26 (H) | | | 1,500 | | | | 1,501 | |
| | | | | | | | |
| | | | | | | 3,675 | |
| | | | | | | | |
| |
Total Health Care – 0.5% | | | | 3,675 | |
Industrials | |
| |
Aerospace & Defense – 0.5% | |
Boeing Co. (The): | | | | | | | | |
4.875%, 5-1-25 | | | 1,083 | | | | 1,214 | |
5.150%, 5-1-30 | | | 1,083 | | | | 1,283 | |
5.805%, 5-1-50 | | | 644 | | | | 869 | |
Leidos, Inc. (GTD by Leidos Holdings, Inc.), | | | | | | | | |
3.625%, 5-15-25 | | | 326 | | | | 356 | |
| | | | | | | | |
| | | | | | | 3,722 | |
| | | | | | | | |
| |
Airlines – 0.3% | |
Southwest Airlines Co., | | | | | | | | |
5.250%, 5-4-25 | | | 2,042 | | | | 2,331 | |
| | | | | | | | |
| |
Airport Services – 0.3% | |
Airport Authority Hong Kong, | | | | | | | | |
1.625%, 2-4-31 (H) | | | 2,000 | | | | 1,945 | |
| | | | | | | | |
| |
Highways & Railtracks – 0.1% | |
Transurban Finance Co. Pty Ltd., | | | | | | | | |
2.450%, 3-16-31 (H) | | | 611 | | | | 616 | |
| | | | | | | | |
| |
Total Industrials – 1.2% | | | | 8,614 | |
Information Technology | |
| |
Data Processing & Outsourced Services – 0.3% | |
PayPal Holdings, Inc., | | | | | | | | |
2.300%, 6-1-30 | | | 2,000 | | | | 2,072 | |
| | | | | | | | |
| |
Internet Services & Infrastructure – 0.3% | |
Baidu, Inc., | | | | | | | | |
1.720%, 4-9-26 | | | 1,970 | | | | 1,990 | |
| | | | | | | | |
| | |
| CONSOLIDATED SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP ASSET STRATEGY (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
CORPORATE DEBT SECURITIES (Continued) | | Principal | | | Value | |
Semiconductors – 0.3% | |
Broadcom, Inc., | | | | | | | | |
1.950%, 2-15-28 (H) | | $ | 1,500 | | | $ | 1,501 | |
Taiwan Semiconductor Manufacturing Co. Ltd., | | | | | | | | |
1.375%, 9-28-30 (H) | | | 1,318 | | | | 1,246 | |
| | | | | | | | |
| | | | | | | 2,747 | |
| | | | | | | | |
| |
Systems Software – 0.1% | |
VMware, Inc., | | | | | | | | |
3.900%, 8-21-27 | | | 500 | | | | 556 | |
| | | | | | | | |
| |
Technology Hardware, Storage & Peripherals – 0.3% | |
Apple, Inc.: | | | | | | | | |
2.400%, 8-20-50 | | | 878 | | | | 825 | |
2.650%, 2-8-51 | | | 2,000 | | | | 1,959 | |
| | | | | | | | |
| | | | | | | 2,784 | |
| | | | | | | | |
| |
Total Information Technology – 1.3% | | | | 10,149 | |
Materials | |
| |
Commodity Chemicals – 0.2% | |
Orbia Advance Corp. S.A.B. de C.V., | | | | | | | | |
1.875%, 5-11-26 (H) | | | 1,600 | | | | 1,623 | |
| | | | | | | | |
| |
Diversified Metals & Mining – 0.5% | |
Glencore Funding LLC: | | | | | | | | |
1.625%, 9-1-25 (H) | | | 659 | | | | 667 | |
2.500%, 9-1-30 (H) | | | 1,537 | | | | 1,535 | |
Teck Resources Ltd., | | | | | | | | |
3.900%, 7-15-30 (F) | | | 1,000 | | | | 1,079 | |
| | | | | | | | |
| | | | | | | 3,281 | |
| | | | | | | | |
| |
Steel – 0.4% | |
CSN Resources S.A., | | | | | | | | |
7.625%, 2-13-23 (H) | | | 2,960 | | | | 3,080 | |
| | | | | | | | |
| |
Total Materials – 1.1% | | | | 7,984 | |
Real Estate | |
| |
Industrial REITs – 0.5% | |
Aircastle Ltd., | | | | | | | | |
5.250%, 8-11-25 (H) | | | 1,466 | | | | 1,648 | |
Avolon Holdings Funding Ltd., | | | | | | | | |
2.750%, 2-21-28 (H) | | | 2,500 | | | | 2,475 | |
| | | | | | | | |
| | | | | | | 4,123 | |
| | | | | | | | |
| |
Total Real Estate – 0.5% | | | | 4,123 | |
Utilities | |
| |
Electric Utilities – 1.0% | |
Chile Electricity PEC S.p.A., | | | | | | | | |
0.000%, 1-25-28 (H)(I) | | | 1,000 | | | | 817 | |
FEL Energy VI S.a.r.l., | | | | | | | | |
5.750%, 12-1-40 (H) | | | 1,989 | | | | 2,116 | |
NRG Energy, Inc.: | | | | | | | | |
2.000%, 12-2-25 (H) | | | 1,100 | | | | 1,116 | |
2.450%, 12-2-27 (H) | | | 110 | | | | 111 | |
Pacific Gas and Electric Co., | | | | | | | | |
3.000%, 6-15-28 | | | 1,154 | | | | 1,161 | |
| | | | | | | | |
CORPORATE DEBT SECURITIES (Continued) | | Principal | | | Value | |
Electric Utilities (Continued) | |
Virginia Electric and Power Co., Series A, | | | | | | | | |
2.450%, 12-15-50 | | $ | 2,500 | | | $ | 2,309 | |
| | | | | | | | |
| | | | | | | 7,630 | |
| | | | | | | | |
| |
Total Utilities – 1.0% | | | | 7,630 | |
| |
TOTAL CORPORATE DEBT SECURITIES – 23.9% | | | $ | 180,417 | |
(Cost: $181,072) | | | | | | | | |
| | |
| MORTGAGE-BACKED SECURITIES | | | | | | |
Non-Agency REMIC/CMO – 0.0% | |
Merrill Lynch Mortgage Investors Trust, Series 1998-C1, Class F, | | | | | | | | |
6.250%, 11-15-26 (J) | | | 185 | | | | 188 | |
| | | | | | | | |
| |
TOTAL MORTGAGE-BACKED SECURITIES – 0.0% | | | $ | 188 | |
(Cost: $187) | | | | | | | | |
| |
| OTHER GOVERNMENT SECURITIES (K) | | | | |
Chile – 0.3% | |
Republic of Chile, | | | | | | | | |
2.550%, 1-27-32 | | | 2,000 | | | | 2,049 | |
| | | | | | | | |
| |
Colombia – 0.0% | |
Republic of Colombia, | | | | | | | | |
3.125%, 4-15-31 | | | 327 | | | | 321 | |
| | | | | | | | |
| |
Columbia – 0.2% | |
Republic of Colombia, | | | | | | | | |
3.250%, 4-22-32 | | | 1,500 | | | | 1,473 | |
| | | | | | | | |
| |
Mexico – 0.2% | |
United Mexican States, | | | | | | | | |
5.000%, 4-27-51 | | | 1,500 | | | | 1,707 | |
| | | | | | | | |
| |
TOTAL OTHER GOVERNMENT SECURITIES – 0.7% | | | $ | 5,550 | |
(Cost: $5,674) | | | | | | | | |
| | |
UNITED STATES GOVERNMENT
AGENCY OBLIGATIONS | | | | | | |
Mortgage-Backed Obligations – 6.8% | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO: | | | | | | | | |
0.638%, 11-25-29 (L) | | | 2,023 | | | | 99 | |
1.328%, 6-25-30 (L) | | | 1,796 | | | | 187 | |
4.500%, 1-15-43 (L) | | | 3,540 | | | | 561 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 615 bps), | | | | | | | | |
6.077%, 11-15-47 (J)(L) | | | 1,785 | | | | 297 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index), | | | | | | | | |
3.536%, 12-25-49 (H)(J) | | | 2,751 | | | | 2,980 | |
| | | | | | | | |
UNITED STATES GOVERNMENT
AGENCY OBLIGATIONS (Continued) | | Principal | | | Value | |
Mortgage-Backed Obligations (Continued) | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 7-year U.S. Treasury index), | | | | | | | | |
3.984%, 2-25-51 (H)(J) | | $ | 600 | | | $ | 661 | |
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates: | | | | | | | | |
1.500%, 11-1-50 | | | 1,884 | | | | 1,848 | |
2.500%, 1-1-51 | | | 2,180 | | | | 2,259 | |
Federal National Mortgage Association Agency REMIC/CMO: | | | | | | | | |
4.500%, 10-25-40 (L) | | | 1,772 | | | | 261 | |
4.500%, 5-25-47 (L) | | | 1,539 | | | | 240 | |
5.000%, 3-25-49 (L) | | | 1,245 | | | | 201 | |
Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 562 bps), | | | | | | | | |
5.529%, 6-25-45 (L)(M) | | | 3,123 | | | | 609 | |
Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 625 bps): | | | | | | | | |
6.029%, 4-25-45 (L)(M) | | | 1,550 | | | | 358 | |
6.009%, 4-25-46 (L)(M) | | | 3,613 | | | | 642 | |
6.009%, 8-25-46 (L)(M) | | | 3,752 | | | | 673 | |
6.159%, 6-25-48 (L)(M) | | | 7,931 | | | | 1,623 | |
Federal National Mortgage Association Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index), | | | | | | | | |
2.797%, 2-25-27 (M) | | | 1,970 | | | | 2,136 | |
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | | | | | | | | |
2.500%, 4-1-36 | | | 2,844 | | | | 2,979 | |
3.500%, 8-1-48 | | | 6,526 | | | | 6,897 | |
3.500%, 11-1-49 | | | 6,081 | | | | 6,531 | |
2.500%, 7-1-50 | | | 4,314 | | | | 4,493 | |
3.000%, 8-1-50 | | | 1,042 | | | | 1,108 | |
2.000%, 12-1-50 | | | 3,557 | | | | 3,597 | |
2.000%, 1-1-51 | | | 2,801 | | | | 2,843 | |
Government National Mortgage Association Fixed Rate Pass-Through Certificates, | | | | | | | | |
3.500%, 6-20-50 | | | 7,276 | | | | 7,660 | |
| | | | | | | | |
| | | | | | | 51,743 | |
| | | | | | | | |
| |
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 6.8% | | | $ | 51,743 | |
(Cost: $52,246) | | | | | | | | |
| |
Treasury Obligations – 1.7% | |
U.S. Treasury Bonds: | | | | | | | | |
0.875%, 11-15-30 (F) | | | 2,100 | | | | 1,997 | |
2.750%, 8-15-47 | | | 3,710 | | | | 4,221 | |
1.625%, 11-15-50 | | | 5,000 | | | | 4,492 | |
U.S. Treasury Notes, | | | | | | | | |
1.125%, 2-15-31 (F) | | | 1,900 | | | | 1,845 | |
| | | | | | | | |
| | | | | | | 12,555 | |
| | | | | | | | |
| |
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 1.7% | | | $ | 12,555 | |
(Cost: $12,372) | |
| | |
| CONSOLIDATED SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP ASSET STRATEGY (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| BULLION – 4.8% | | Troy
Ounces | | | Value | |
Gold | | | 21 | | | $ | 36,601 | |
| | | | | | | | |
(Cost: $25,266) | |
| | |
| SHORT-TERM SECURITIES | | Shares | | | | |
Money Market Funds (O) – 2.3% | |
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, 0.010% (N) | | | 4,322 | | | | 4,322 | |
State Street Institutional U.S. Government Money Market Fund – Premier Class, 0.030% | | | 13,169 | | | | 13,169 | |
| | | | | | | | |
| | | | | | | 17,491 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 2.3% | | | $ | 17,491 | |
(Cost: $17,491) | |
| |
TOTAL INVESTMENT SECURITIES – 101.0% | | | $ | 770,813 | |
(Cost: $660,144) | |
| |
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.0)% | | | | (7,731 | ) |
| |
NET ASSETS – 100.0% | | | $ | 763,082 | |
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, 2021, the Portfolio owned the following restricted securities: |
| | | | | | | | | | | | | | | | | | | | |
| Security | | Acquisition Date(s) | | | Shares | | | Cost | | | Value | | | | |
COTA Racing & Entertainment LLC, Class B | | | 9-18-14 | | | | — | * | | $ | — | | | $ | — | | | | | |
Media Group Holdings LLC, Series H | | | 8-29-13 to 10-31-13 | | | | 32 | | | | 22,289 | | | | — | * | | | | |
Media Group Holdings LLC, Series T | | | 7-2-13 to 1-23-15 | | | | 4 | | | | 8,413 | | | | — | | | | | |
| | | | | |
| | | | | | Principal | | | | | | | | | | |
Circuit of the Americas LLC, Series D, 0.000%, 10-2-23 | | | 9-11-14 | | | $ | 3,642 | | | | 3,269 | | | | 637 | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | $ | 33,971 | | | $ | 637 | | | | | |
| | | | | | | | | | | | |
| The | total value of these securities represented 0.1% of net assets at June 30, 2021. |
| (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 5 of the Notes to Financial Statements. |
| (E) | Securities whose value was determined using significant unobservable inputs. |
| (F) | All or a portion of securities with an aggregate value of $8,692 are on loan. |
| (G) | Principal amount and exercise prices are denominated in the indicated foreign currency, where applicable (EUR – Euro). |
| (H) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2021 the total value of these securities amounted to $97,199 or 12.7% of net assets. |
| (J) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2021. 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. |
| (K) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
| (L) | Interest-only security. Amount shown as principal represents notional amount for computation of interest. |
| (M) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2021. Description of the reference rate and spread, if applicable, are included in the security description. |
| (N) | Investment made with cash collateral received from securities on loan. |
| (O) | Rate shown is the annualized 7-day yield at June 30, 2021. |
| | | | | | |
| 10 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| CONSOLIDATED SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP ASSET STRATEGY (in thousands) |
JUNE 30, 2021 (UNAUDITED)
The following written options were outstanding at June 30, 2021 (contracts and exercise prices unrounded):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Security | | Counterparty, if OTC | | Type | | Number of
Contracts | | | Notional
Amount | | Expiration
Month | | | Exercise
Price | | | Premium
Received | | | Value | | | | |
Micron Technology, Inc. | | N/A | | Call | | | 790 | | | 79 | | | August 2021 | | | $ | 105.00 | | | $ | 44 | | | $ | (67 | ) | | | | |
Pinterest, Inc., Class A | | N/A | | Put | | | 1,318 | | | 132 | | | August 2021 | | | | 60.00 | | | | 662 | | | | (115 | ) | | | | |
| | N/A | | Call | | | 1,318 | | | 132 | | | August 2021 | | | | 100.00 | | | | 45 | | | | (170 | ) | | | | |
Teck Resources Ltd., Class B | | Citibank N.A. | | Put | | | 1,655 | | | 166 | | | August 2021 | | | | 19.00 | | | | 58 | | | | (45 | ) | | | | |
| | Citibank N.A. | | Call | | | 1,655 | | | 165 | | | August 2021 | | | | 33.00 | | | | 41 | | | | (22 | ) | | | | |
Thermo Fisher Scientific, Inc. | | N/A | | Put | | | 84 | | | 8 | | | July 2021 | | | | 440.00 | | | | 63 | | | | (5 | ) | | | | |
Volkswagen AG | | Morgan Stanley & Co., Inc. | | Put | | | 260 | | | 26 | | | September 2021 | | | | EUR180.00 | | | | 168 | | | | (74 | ) | | | | |
| | Morgan Stanley & Co., Inc. | | Call | | | 260 | | | 26 | | | September 2021 | | | | 300.00 | | | | 68 | | | | (12 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 1,149 | | | $ | (510 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 455,729 | | | $ | — | | | $ | — | * |
Preferred Stocks | | | 6,471 | | | | — | | | | — | |
Purchased Options | | | 1,532 | | | | 223 | | | | — | |
Asset-Backed Securities | | | — | | | | 2,313 | | | | — | |
Corporate Debt Securities | | | — | | | | 179,780 | | | | 637 | |
Mortgage-Backed Securities | | | | | | | 188 | | | | — | |
Other Government Securities | | | — | | | | 5,550 | | | | — | |
United States Government Agency Obligations | | | — | | | | 51,743 | | | | — | |
United States Government Obligations | | | — | | | | 12,555 | | | | — | |
Bullion | | | 36,601 | | | | — | | | | — | |
Short-Term Securities | | | 17,491 | | | | — | | | | — | |
Total | | $ | 517,824 | | | $ | 252,352 | | | $ | 637 | |
Liabilities | | | | | | | | | | | | |
Written Options | | $ | 357 | | | $ | 153 | | | $ | — | |
During the period ended June 30, 2021, there were no transfers in or out of Level 3.
The following acronyms are used throughout this schedule:
CMO = Collateralized Mortgage Obligation
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
OTC = Over the Counter
REIT = Real Estate Investment Trust
REMIC = Real Estate Mortgage Investment Conduit
Country Diversification
| | | | |
(as a % of net assets) | |
United States | | | 49.1 | % |
France | | | 6.4 | % |
Germany | | | 5.2 | % |
United Kingdom | | | 3.9 | % |
Canada | | | 3.4 | % |
India | | | 3.0 | % |
Netherlands | | | 2.6 | % |
Switzerland | | | 2.3 | % |
Country Diversification (Continued)
| | | | |
China | | | 2.1 | % |
Italy | | | 2.0 | % |
Japan | | | 2.0 | % |
Taiwan | | | 1.8 | % |
Hong Kong | | | 1.3 | % |
South Korea | | | 1.2 | % |
Other Countries | | | 7.4 | % |
Other+ | | | 6.3 | % |
+Includes gold bullion, options, liabilities (net of cash and other assets), and cash equivalents
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 11 | |
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP BALANCED(a) |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Stocks | | | 66.9% | |
Information Technology | | | 13.3% | |
Financials | | | 10.7% | |
Health Care | | | 10.4% | |
Consumer Discretionary | | | 8.8% | |
Industrials | | | 6.3% | |
Communication Services | | | 5.8% | |
Consumer Staples | | | 5.2% | |
Energy | | | 4.3% | |
Materials | | | 1.2% | |
Utilities | | | 0.9% | |
Bonds | | | 32.7% | |
United States Government and Government Agency Obligations | | | 20.2% | |
Corporate Debt Securities | | | 12.5% | |
Liabilities (Net of Cash and Other Assets),
and Cash Equivalents+ | | | 0.4% | |
Top 10 Equity Holdings
| | | | |
| | |
| Company | | Sector | | Industry |
Microsoft Corp. | | Information Technology | | Systems Software |
Constellation Brands, Inc. | | Consumer Staples | | Distillers & Vintners |
Micron Technology, Inc. | | Information Technology | | Semiconductors |
Zimmer Holdings, Inc. | | Health Care | | Health Care Equipment |
Facebook, Inc., Class A | | Communication Services | | Interactive Media & Services |
Autodesk, Inc. | | Information Technology | | Application Software |
Anthem, Inc. | | Health Care | | Managed Health Care |
Alphabet, Inc., Class A | | Communication Services | | Interactive Media & Services |
Philip Morris International, Inc. | | Consumer Staples | | Tobacco |
Alphabet, Inc., Class C | | Communication Services | | Interactive Media & Services |
See your advisor or www.ivyinvestments.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.
(a)Effective July 1, 2021, the name of Ivy VIP Balanced changed to Delaware Ivy VIP Balanced.
| | | | | | |
| 12 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP BALANCED (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS | | Shares | | | Value | |
Communication Services | |
| |
Interactive Home Entertainment – 0.6% | |
Electronic Arts, Inc. | | | 16 | | | $ | 2,345 | |
| | | | | | | | |
| |
Interactive Media & Services – 5.2% | |
Alphabet, Inc., Class A (A) | | | 3 | | | | 6,134 | |
Alphabet, Inc., Class C (A) | | | 2 | | | | 6,103 | |
Facebook, Inc., Class A (A) | | | 19 | | | | 6,495 | |
| | | | | | | | |
| | | | | | | 18,732 | |
| | | | | | | | |
| |
Total Communication Services – 5.8% | | | | 21,077 | |
Consumer Discretionary | |
| |
Apparel, Accessories & Luxury Goods – 2.1% | |
Carter’s, Inc. | | | 34 | | | | 3,508 | |
V.F. Corp. | | | 49 | | | | 3,987 | |
| | | | | | | | |
| | | | | | | 7,495 | |
| | | | | | | | |
| |
Automotive Retail – 0.8% | |
O’Reilly Automotive, Inc. (A) | | | 5 | | | | 3,088 | |
| | | | | | | | |
| |
Casinos & Gaming – 1.2% | |
Las Vegas Sands, Inc. (A) | | | 80 | | | | 4,203 | |
| | | | | | | | |
| |
Home Improvement Retail – 1.0% | |
Lowe’s Co., Inc. | | | 18 | | | | 3,514 | |
| | | | | | | | |
| |
Hotels, Resorts & Cruise Lines – 0.9% | |
Hilton Worldwide Holdings, Inc. (A) | | | 28 | | | | 3,330 | |
| | | | | | | | |
| |
Internet & Direct Marketing Retail – 1.3% | |
Amazon.com, Inc. (A) | | | 1 | | | | 4,569 | |
| | | | | | | | |
| |
Restaurants – 0.7% | |
Darden Restaurants, Inc. | | | 16 | | | | 2,391 | |
| | | | | | | | |
| |
Specialty Stores – 0.8% | |
Tractor Supply Co. | | | 15 | | | | 2,792 | |
| | | | | | | | |
| |
Total Consumer Discretionary – 8.8% | | | | 31,382 | |
| |
Consumer Staples | |
| |
Distillers & Vintners – 1.9% | |
Constellation Brands, Inc. | | | 29 | | | | 6,729 | |
| | | | | | | | |
| |
Packaged Foods & Meats – 0.8% | |
Mondelez International, Inc., Class A | | | 44 | | | | 2,773 | |
| | | | | | | | |
| |
Soft Drinks – 0.8% | |
Coca-Cola Co. (The) | | | 56 | | | | 3,038 | |
| | | | | | | | |
| |
Tobacco – 1.7% | |
Philip Morris International, Inc. | | | 62 | | | | 6,132 | |
| | | | | | | | |
| |
Total Consumer Staples – 5.2% | | | | 18,672 | |
Energy | |
| |
Integrated Oil & Gas – 0.4% | |
Chevron Corp. | | | 14 | | | | 1,414 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Oil & Gas Exploration & Production – 2.3% | |
Canadian Natural Resources Ltd. | | | 135 | | | $ | 4,901 | |
Hess Corp. | | | 42 | | | | 3,656 | |
| | | | | | | | |
| | | | | | | 8,557 | |
| | | | | | | | |
| |
Oil & Gas Storage & Transportation – 0.7% | |
Enterprise Products Partners L.P. | | | 97 | | | | 2,340 | |
| | | | | | | | |
| |
Total Energy – 3.4% | | | | 12,311 | |
Financials | |
| |
Consumer Finance – 1.0% | |
American Express Co. | | | 21 | | | | 3,541 | |
| | | | | | | | |
| |
Financial Exchanges & Data – 1.1% | |
Intercontinental Exchange, Inc. | | | 32 | | | | 3,791 | |
| | | | | | | | |
| |
Insurance Brokers – 1.0% | |
Aon plc | | | 15 | | | | 3,691 | |
| | | | | | | | |
| |
Investment Banking & Brokerage – 2.9% | |
Goldman Sachs Group, Inc. (The) | | | 12 | | | | 4,721 | |
Morgan Stanley | | | 62 | | | | 5,703 | |
| | | | | | | | |
| | | | | | | 10,424 | |
| | | | | | | | |
| |
Multi-Sector Holdings – 1.6% | |
Berkshire Hathaway, Inc., Class B(A) | | | 20 | | | | 5,576 | |
| | | | | | | | |
| |
Other Diversified Financial Services – 1.7% | |
JPMorgan Chase & Co. | | | 38 | | | | 5,931 | |
| | | | | | | | |
| |
Regional Banks – 1.4% | |
PNC Financial Services Group, Inc. (The) | | | 27 | | | | 5,173 | |
| | | | | | | | |
| |
Total Financials – 10.7% | | | | 38,127 | |
Health Care | |
| |
Health Care Equipment – 1.8% | |
Zimmer Holdings, Inc. | | | 41 | | | | 6,552 | |
| | | | | | | | |
| |
Health Care Technology – 1.4% | |
Cerner Corp. | | | 64 | | | | 4,999 | |
| | | | | | | | |
| |
Managed Health Care – 2.8% | |
Anthem, Inc. | | | 16 | | | | 6,137 | |
UnitedHealth Group, Inc. | | | 10 | | | | 3,814 | |
| | | | | | | | |
| | | | | | | 9,951 | |
| | | | | | | | |
| |
Pharmaceuticals – 4.3% | |
Elanco Animal Health, Inc.(A) | | | 72 | | | | 2,489 | |
Eli Lilly and Co. | | | 23 | | | | 5,303 | |
Jazz Pharmaceuticals plc(A) | | | 24 | | | | 4,334 | |
Merck & Co., Inc. | | | 42 | | | | 3,245 | |
| | | | | | | | |
| | | | | | | 15,371 | |
| | | | | | | | |
| |
Total Health Care – 10.3% | | | | 36,873 | |
Industrials | |
| |
Aerospace & Defense – 0.9% | |
Raytheon Technologies Corp. | | | 37 | | | | 3,116 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Electrical Components & Equipment – 0.9% | |
Emerson Electric Co. | | | 34 | | | $ | 3,303 | |
| | | | | | | | |
| |
Industrial Machinery – 1.9% | |
Ingersoll-Rand, Inc. (A) | | | 72 | | | | 3,492 | |
Snap-on, Inc. | | | 15 | | | | 3,371 | |
| | | | | | | | |
| | | | | | | 6,863 | |
| | | | | | | | |
| |
Railroads – 1.2% | |
Union Pacific Corp. | | | 19 | | | | 4,200 | |
| | | | | | | | |
| |
Research & Consulting Services – 1.4% | |
IHS Markit Ltd. | | | 43 | | | | 4,895 | |
| | | | | | | | |
| |
Total Industrials – 6.3% | | | | 22,377 | |
Information Technology | |
| |
Application Software – 1.8% | |
Autodesk, Inc. (A) | | | 22 | | | | 6,353 | |
| | | | | | | | |
| |
Communications Equipment – 1.5% | |
Cisco Systems, Inc. | | | 40 | | | | 2,123 | |
Motorola Solutions, Inc. | | | 16 | | | | 3,394 | |
| | | | | | | | |
| | | | | | | 5,517 | |
| | | | | | | | |
| |
Data Processing & Outsourced Services – 0.8% | |
Fiserv, Inc. (A) | | | 25 | | | | 2,659 | |
| | | | | | | | |
| |
IT Consulting & Other Services – 1.2% | |
Cognizant Technology Solutions Corp., Class A | | | 60 | | | | 4,173 | |
| | | | | | | | |
| |
Semiconductors – 3.3% | |
Infineon Technologies AG ADR | | | 128 | | | | 5,147 | |
Micron Technology, Inc.(A) | | | 79 | | | | 6,726 | |
| | | | | | | | |
| | | | | | | 11,873 | |
| | | | | | | | |
| |
Systems Software – 3.7% | |
Microsoft Corp. | | | 49 | | | | 13,291 | |
| | | | | | | | |
| |
Technology Hardware, Storage & Peripherals – 1.0% | |
Apple, Inc. | | | 26 | | | | 3,617 | |
| | | | | | | | |
| |
Total Information Technology – 13.3% | | | | 47,483 | |
Materials | |
| |
Metal & Glass Containers – 0.3% | |
Crown Holdings, Inc. | | | 11 | | | | 1,082 | |
| | | | | | | | |
| |
Specialty Chemicals – 0.9% | |
Sherwin-Williams Co. (The) | | | 11 | | | | 3,088 | |
| | | | | | | | |
| |
Total Materials – 1.2% | | | | 4,170 | |
Utilities | |
| |
Multi-Utilities – 0.9% | |
Dominion Energy, Inc. | | | 46 | | | | 3,372 | |
| | | | | | | | |
| |
Total Utilities – 0.9% | | | | 3,372 | |
| |
TOTAL COMMON STOCKS – 65.9% | | | $ | 235,844 | |
(Cost: $161,177) | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 13 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP BALANCED (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| PREFERRED STOCKS | | Shares | | | Value | |
Energy | |
| |
Oil & Gas Exploration & Production – 0.9% | |
Targa Resources Corp.,
9.500% (A)(B) | | | 3 | | | $ | 3,248 | |
| | | | | | | | |
| |
Total Energy – 0.9% | | | | 3,248 | |
Health Care | |
| |
Pharmaceuticals – 0.1% | |
Elanco Animal Health, Inc., 5.000% | | | 8 | | | | 429 | |
| | | | | | | | |
| |
Total Health Care – 0.1% | | | | 429 | |
| |
TOTAL PREFERRED STOCKS – 1.0% | | | $ | 3,677 | |
(Cost: $3,625) | |
| | |
| CORPORATE DEBT SECURITIES | | Principal | | | | |
Communication Services | |
| |
Alternative Carriers – 0.0% | |
Bell Canada (GTD by BCE, Inc.),
4.300%, 7-29-49 | | $ | 120 | | | | 145 | |
| | | | | | | | |
| |
Cable & Satellite – 0.4% | |
Charter Communications Operating LLC and Charter Communications Operating Capital Corp.,
3.850%, 4-1-61 | | | 225 | | | | 221 | |
Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal),
4.250%, 10-15-30 | | | 450 | | | | 530 | |
Comcast Corp. (GTD by Comcast Cable Communications LLC and NBCUniversal Media LLC),
3.450%, 2-1-50 | | | 675 | | | | 730 | |
| | | | | | | | |
| | | | | | | 1,481 | |
| | | | | | | | |
| |
Integrated Telecommunication Services – 0.5% | |
AT&T, Inc.,
3.500%, 9-15-53 (C) | | | 500 | | | | 503 | |
Sprint Corp.,
7.875%, 9-15-23 | | | 315 | | | | 359 | |
Verizon Communications, Inc.,
2.550%, 3-21-31 | | | 750 | | | | 767 | |
| | | | | | | | |
| | | | | | | 1,629 | |
| | | | | | | | |
| |
Movies & Entertainment – 0.3% | |
Walt Disney Co. (The),
2.750%, 9-1-49 | | | 1,000 | | | | 989 | |
| | | | | | | | |
| |
Publishing – 0.1% | |
Thomson Reuters Corp.,
3.350%, 5-15-26 | | | 425 | | | | 463 | |
| | | | | | | | |
| |
Wireless Telecommunication Service – 0.2% | |
T-Mobile USA, Inc.,
3.875%, 4-15-30 | | | 575 | | | | 645 | |
| | | | | | | | |
| |
Total Communication Services – 1.5% | | | | 5,352 | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Consumer Discretionary | |
| |
Apparel, Accessories & Luxury Goods – 0.1% | |
PVH Corp.,
4.625%, 7-10-25 | | $ | 350 | | | $ | 391 | |
| | | | | | | | |
| |
Footwear – 0.1% | |
NIKE, Inc.,
2.850%, 3-27-30 | | | 235 | | | | 256 | |
| | | | | | | | |
| |
Home Improvement Retail – 0.2% | |
Home Depot, Inc. (The),
3.350%, 4-15-50 | | | 700 | | | | 775 | |
| | | | | | | | |
| |
Homebuilding – 0.1% | |
NVR, Inc.,
3.000%, 5-15-30 | | | 400 | | | | 425 | |
| | | | | | | | |
| |
Internet & Direct Marketing Retail – 0.0% | |
Expedia Group, Inc.,
6.250%, 5-1-25 (C) | | | 159 | | | | 185 | |
| | | | | | | | |
| |
Total Consumer Discretionary – 0.5% | | | | 2,032 | |
Consumer Staples | |
| |
Agricultural Products – 0.1% | |
Archer Daniels Midland Co.,
3.250%, 3-27-30 | | | 300 | | | | 333 | |
| | | | | | | | |
| |
Brewers – 0.0% | |
Anheuser-Busch Inbev Finance, Inc. (GTD by AB INBEV/BBR/COB),
4.700%, 2-1-36 | | | 150 | | | | 184 | |
| | | | | | | | |
| |
Drug Retail – 0.1% | |
CVS Health Corp.,
5.050%, 3-25-48 | | | 180 | | | | 234 | |
| | | | | | | | |
| |
Food Retail – 0.1% | |
Alimentation Couche-Tard, Inc.,
2.950%, 1-25-30 (C) | | | 350 | | | | 364 | |
| | | | | | | | |
| |
Hypermarkets & Super Centers – 0.6% | |
Walmart, Inc.,
4.050%, 6-29-48 | | | 1,800 | | | | 2,264 | |
| | | | | | | | |
| |
Packaged Foods & Meats – 0.3% | |
Hormel Foods Corp.,
3.050%, 6-3-51 | | | 350 | | | | 364 | |
| | | | | | | | |
Nestle Holdings, Inc.,
4.000%, 9-24-48 (C) | | | 555 | | | | 680 | |
| | | | | | | | |
| | | | | | | 1,044 | |
| | | | | | | | |
| |
Soft Drinks – 0.2% | |
Coca-Cola Co. (The),
2.250%, 1-5-32 | | | 600 | | | | 615 | |
| | | | | | | | |
| |
Total Consumer Staples – 1.4% | | | | 5,038 | |
Energy | |
| |
Oil & Gas Drilling – 0.9% | |
Nabors Industries Ltd., Convertible, 0.750%, 1-15-24 | | | 3,600 | | | | 3,220 | |
| | | | | | | | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Energy | |
| |
Oil & Gas Exploration & Production – 0.2% | |
EQT Corp.,
7.875%, 2-1-25(D) | | $ | 500 | | | $ | 584 | |
| | | | | | | | |
| |
Total Energy – 1.1% | | | | 3,804 | |
Financials | |
| |
Asset Management & Custody Banks – 0.4% | |
Apollo Management Holdings L.P., 2.650%, 6-5-30 (C) | | | 425 | | | | 436 | |
KKR Group Finance Co. VIII LLC (GTD by KKR & Co., Inc. and KKR Group Partnership L.P.),
3.500%, 8-25-50 (C) | | | 350 | | | | 367 | |
National Securities Clearing Corp., 1.500%, 4-23-25 (C) | | | 350 | | | | 357 | |
Owl Rock Capital Corp.,
4.250%, 1-15-26 | | | 375 | | | | 406 | |
| | | | | | | | |
| | | | | | | 1,566 | |
| | | | | | | | |
| |
Consumer Finance – 0.1% | |
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.): | | | | | | | | |
3.450%, 4-10-22 | | | 250 | | | | 255 | |
3.700%, 5-9-23 | | | 150 | | | | 157 | |
| | | | | | | | |
| | | | | | | 412 | |
| | | | | | | | |
| |
Diversified Banks – 0.3% | |
Bank of America Corp.,
2.884%, 10-22-30 | | | 400 | | | | 422 | |
U.S. Bancorp,
3.100%, 4-27-26 | | | 400 | | | | 435 | |
Wells Fargo & Co.,
2.572%, 2-11-31 | | | 290 | | | | 300 | |
| | | | | | | | |
| | | | | | | 1,157 | |
| | | | | | | | |
| |
Investment Banking & Brokerage – 0.3% | |
Goldman Sachs Group, Inc. (The), 1.992%, 1-27-32 | | | 720 | | | | 700 | |
Morgan Stanley, 2.699%, 1-22-31 | | | 180 | | | | 189 | |
| | | | | | | | |
| | | | | | | 889 | |
| | | | | | | | |
| |
Life & Health Insurance – 0.3% | |
Northwestern Mutual Life Insurance Co. (The), 3.850%, 9-30-47 (C) | | | 1,000 | | | | 1,150 | |
| | | | | | | | |
| |
Multi-Line Insurance – 0.2% | |
Aon Corp. (GTD by Aon plc),
2.800%, 5-15-30 | | | 525 | | | | 552 | |
| | | | | | | | |
| |
Other Diversified Financial Services – 0.6% | |
Citigroup, Inc.,
6.250%, 12-29-49 | | | 750 | | | | 878 | |
JPMorgan Chase & Co.,
5.000%, 2-1-69 | | | 371 | | | | 392 | |
JPMorgan Chase & Co. (3-Month U.S. LIBOR plus 332 bps),
3.522%, 1-1-68 (E) | | | 750 | | | | 753 | |
JPMorgan Chase & Co. (3-Month U.S. LIBOR plus 347 bps),
3.656%, 4-29-49 (E) | | | 194 | | | | 195 | |
JPMorgan Chase & Co. (3-Month U.S. LIBOR plus 380 bps),
3.976%, 11-1-68 (E) | | | 250 | | | | 250 | |
| | | | | | | | |
| | | | | | | 2,468 | |
| | | | | | | | |
| | | | | | |
| 14 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP BALANCED (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Financials | |
| |
Specialized Finance – 0.3% | |
AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust,
6.500%, 7-15-25 | | $ | 250 | | | $ | 294 | |
LSEGA Financing plc,
2.500%, 4-6-31 (C) | | | 900 | | | | 923 | |
| | | | | | | | |
| | | | | | | 1,217 | |
| | | | | | | | |
| |
Total Financials – 2.5% | | | | 9,411 | |
Health Care | |
| |
Biotechnology – 0.2% | |
Amgen, Inc.,
3.375%, 2-21-50 | | | 700 | | | | 740 | |
| | | | | | | | |
| |
Health Care Supplies – 0.1% | |
Dentsply Sirona, Inc.,
3.250%, 6-1-30 | | | 365 | | | | 391 | |
| | | | | | | | |
| |
Managed Health Care – 0.1% | |
UnitedHealth Group, Inc.,
2.000%, 5-15-30 | | | 525 | | | | 530 | |
| | | | | | | | |
| |
Pharmaceuticals – 0.6% | |
Johnson & Johnson,
3.400%, 1-15-38 | | | 1,000 | | | | 1,139 | |
Merck & Co., Inc.,
2.450%, 6-24-50 | | | 250 | | | | 236 | |
Zoetis, Inc.,
2.000%, 5-15-30 | | | 600 | | | | 598 | |
| | | | | | | | |
| | | | | | | 1,973 | |
| | | | | | | | |
| |
Total Health Care – 1.0% | | | | 3,634 | |
Industrials | |
| |
Aerospace & Defense – 0.6% | |
Boeing Co. (The),
3.750%, 2-1-50 | | | 525 | | | | 543 | |
L3Harris Technologies, Inc.,
4.400%, 6-15-28 | | | 1,000 | | | | 1,162 | |
Raytheon Technologies Corp.: | | | | | | | | |
2.250%, 7-1-30 | | | 300 | | | | 305 | |
3.125%, 7-1-50 | | | 175 | | | | 180 | |
| | | | | | | | |
| | | | | | | 2,190 | |
| | | | | | | | |
| |
Environmental & Facilities Services – 0.4% | |
Republic Services, Inc.: | | | | | | | | |
2.300%, 3-1-30 | | | 72 | | | | 73 | |
1.450%, 2-15-31 | | | 490 | | | | 460 | |
Waste Management, Inc. (GTD by Waste Management Holdings, Inc.), 3.150%, 11-15-27 | | | 1,000 | | | | 1,095 | |
| | | | | | | | |
| | | | | | | 1,628 | |
| | | | | | | | |
| |
Railroads – 0.1% | |
Kansas City Southern,
2.875%, 11-15-29 | | | 350 | | | | 369 | |
| | | | | | | | |
| |
Research & Consulting Services – 0.1% | |
CoStar Group, Inc.,
2.800%, 7-15-30 (C) | | | 350 | | | | 356 | |
| | | | | | | | |
| |
Total Industrials – 1.2% | | | | 4,543 | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Information Technology | |
| |
Application Software – 0.6% | |
Autodesk, Inc.,
2.850%, 1-15-30 | | $ | 500 | | | $ | 528 | |
Infor, Inc.,
1.750%, 7-15-25 (C) | | | 125 | | | | 128 | |
Nuance Communications, Inc.,
5.625%, 12-15-26 | | | 1,000 | | | | 1,045 | |
salesforce.com, Inc.: | | | | | | | | |
1.950%, 7-15-31 | | | 175 | | | | 175 | |
2.700%, 7-15-41 | | | 175 | | | | 176 | |
2.900%, 7-15-51 | | | 175 | | | | 178 | |
| | | | | | | | |
| | | | | | | 2,230 | |
| | | | | | | | |
| |
Data Processing & Outsourced Services – 0.2% | |
PayPal Holdings, Inc.,
2.300%, 6-1-30 | | | 350 | | | | 362 | |
Visa, Inc.,
2.700%, 4-15-40 | | | 440 | | | | 456 | |
| | | | | | | | |
| | | | | | | 818 | |
| | | | | | | | |
| |
Semiconductors – 0.5% | |
Broadcom, Inc.,
3.419%, 4-15-33 (C) | | | 300 | | | | 315 | |
Intel Corp.,
3.250%, 11-15-49 | | | 300 | | | | 320 | |
TSMC Global Ltd.,
1.750%, 4-23-28 (C) | | | 600 | | | | 601 | |
Xilinx, Inc.,
2.375%, 6-1-30 | | | 525 | | | | 534 | |
| | | | | | | | |
| | | | | | | 1,770 | |
| | | | | | | | |
| |
Systems Software – 0.3% | |
Fortinet, Inc.,
2.200%, 3-15-31 | | | 350 | | | | 350 | |
Microsoft Corp.,
3.450%, 8-8-36 | | | 365 | | | | 423 | |
ServiceNow, Inc.,
1.400%, 9-1-30 | | | 555 | | | | 521 | |
| | | | | | | | |
| | | | | | | 1,294 | |
| | | | | | | | |
| |
Technology Hardware, Storage & Peripherals – 0.1% | |
Apple, Inc.,
2.950%, 9-11-49 | | | 500 | | | | 518 | |
| | | | | | | | |
| |
Total Information Technology – 1.7% | | | | 6,630 | |
Materials | |
| |
Construction Materials – 0.1% | |
Hillman Group, Inc. (The), 6.375%, 7-15-22 (C) | | | 417 | | | | 418 | |
| | | | | | | | |
| |
Specialty Chemicals – 0.3% | |
Ecolab, Inc., 3.250%, 12-1-27 | | | 1,000 | | | | 1,109 | |
| | | | | | | | |
| |
Total Materials – 0.4% | | | | 1,527 | |
| |
Real Estate | |
| |
Specialized REITs – 0.2% | |
EPR Properties,
4.950%, 4-15-28 | | | 535 | | | | 578 | |
| | | | | | | | |
| |
Total Real Estate – 0.2% | | | | 578 | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Utilities | |
| |
Electric Utilities – 0.7% | |
Alabama Power Co.,
3.125%, 7-15-51 | | $ | 375 | | | $ | 386 | |
Commonwealth Edison Co.,
2.200%, 3-1-30 | | | 350 | | | | 356 | |
Duke Energy Corp.,
3.150%, 8-15-27 | | | 500 | | | | 540 | |
Duke Energy Indiana LLC,
3.750%, 5-15-46 | | | 120 | | | | 135 | |
Duke Energy Ohio, Inc.,
4.300%, 2-1-49 | | | 115 | | | | 142 | |
Entergy Corp.,
2.800%, 6-15-30 | | | 235 | | | | 245 | |
Florida Power & Light Co.,
3.150%, 10-1-49 | | | 425 | | | | 463 | |
Oncor Electric Delivery Co. LLC,
2.750%, 5-15-30 | | | 450 | | | | 479 | |
| | | | | | | | |
| | | | | | | 2,746 | |
| | | | | | | | |
| |
Multi-Utilities – 0.2% | |
Dominion Energy, Inc., 3.600%, 3-15-27 | | | 450 | | | | 499 | |
| | | | | | | | |
| |
Water Utilities – 0.1% | |
American Water Capital Corp., 3.750%, 9-1-47 | | | 375 | | | | 424 | |
| | | | | | | | |
| |
Total Utilities – 1.0% | | | | 3,669 | |
| | | | | | | | |
| |
TOTAL CORPORATE DEBT
SECURITIES – 12.5% | | | $ | 46,218 | |
(Cost: $44,432) | |
| | |
UNITED STATES GOVERNMENT
AGENCY OBLIGATIONS | | | | | | |
Mortgage-Backed Obligations – 0.7% | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO,
3.000%, 6-15-45 | | | 501 | | | | 523 | |
Federal National Mortgage Association Agency REMIC/CMO: | | | | | | | | |
3.500%, 6-25-29 | | | 397 | | | | 423 | |
3.000%, 10-25-46 | | | 545 | | | | 578 | |
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | | | | | | | | |
6.500%, 10-1-28 | | | 44 | | | | 49 | |
6.500%, 2-1-29 | | | 17 | | | | 19 | |
7.500%, 4-1-31 | | | 15 | | | | 17 | |
7.000%, 7-1-31 | | | 27 | | | | 32 | |
7.000%, 9-1-31 | | | 46 | | | | 53 | |
6.500%, 2-1-32 | | | 109 | | | | 128 | |
7.000%, 2-1-32 | | | 60 | | | | 70 | |
7.000%, 3-1-32 | | | 27 | | | | 32 | |
7.000%, 7-1-32 | | | 50 | | | | 58 | |
5.500%, 5-1-33 | | | 21 | | | | 24 | |
5.500%, 6-1-33 | | | 23 | | | | 26 | |
4.500%, 11-1-43 | | | 312 | | | | 349 | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 15 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP BALANCED (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
UNITED STATES GOVERNMENT
AGENCY OBLIGATIONS (Continued) | | Principal | | | Value | |
Mortgage-Backed Obligations (Continued) | |
U.S. Department of Veterans Affairs, Guaranteed REMIC Pass-Through Certificates, Vendee Mortgage Trust, Series 1997-1, Class 3A, 8.293%, 12-15-26 | | $ | 18 | | | $ | 20 | |
| | | | | | | | |
| | | | | | | 2,401 | |
| | | | | | | | |
| |
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 0.7% | | | $ | 2,401 | |
(Cost: $2,313) | |
| | |
UNITED STATES GOVERNMENT
OBLIGATIONS | | | | | | |
Treasury Obligations – 19.5% | |
U.S. Treasury Bonds: | | | | | | | | |
0.875%, 11-15-30(F) | | | 1,400 | | | | 1,331 | |
3.500%, 2-15-39 | | | 3,000 | | | | 3,754 | |
1.125%, 5-15-40 | | | 300 | | | | 259 | |
1.375%, 11-15-40 | | | 385 | | | | 346 | |
1.875%, 2-15-41 | | | 1,360 | | | | 1,332 | |
3.750%, 8-15-41 | | | 150 | | | | 195 | |
U.S. Treasury Notes: | | | | | | | | |
2.000%, 2-15-23 | | | 4,000 | | | | 4,118 | |
0.125%, 3-31-23 | | | 5,100 | | | | 5,093 | |
2.750%, 11-15-23 | | | 1,600 | | | | 1,692 | |
0.125%, 12-15-23 | | | 4,205 | | | | 4,184 | |
| | | | | | | | |
UNITED STATES GOVERNMENT
OBLIGATIONS (Continued) | | Principal | | | Value | |
Treasury Obligations (Continued) | |
0.125%, 1-15-24 | | $ | 3,873 | | | $ | 3,850 | |
0.125%, 2-15-24 | | | 575 | | | | 571 | |
0.375%, 4-15-24 | | | 4,885 | | | | 4,880 | |
1.750%, 6-30-24 | | | 1,400 | | | | 1,454 | |
2.250%, 10-31-24 | | | 3,635 | | | | 3,842 | |
1.500%, 11-30-24 | | | 1,700 | | | | 1,754 | |
1.375%, 1-31-25 | | | 185 | | | | 190 | |
1.125%, 2-28-25 | | | 640 | | | | 652 | |
2.875%, 4-30-25 | | | 500 | | | | 542 | |
2.875%, 5-31-25 | | | 8,795 | | | | 9,550 | |
0.375%, 12-31-25 | | | 2,305 | | | | 2,262 | |
2.625%, 12-31-25 | | | 800 | | | | 865 | |
0.375%, 1-31-26 | | | 2,440 | | | | 2,391 | |
1.625%, 9-30-26 | | | 1,915 | | | | 1,985 | |
1.500%, 1-31-27 | | | 545 | | | | 560 | |
0.625%, 3-31-27 | | | 8,670 | | | | 8,484 | |
0.750%, 1-31-28 | | | 345 | | | | 336 | |
2.750%, 2-15-28 | | | 250 | | | | 276 | |
1.250%, 3-31-28 | | | 235 | | | | 236 | |
2.875%, 8-15-28 | | | 737 | | | | 820 | |
1.500%, 2-15-30 | | | 2,095 | | | | 2,116 | |
1.125%, 2-15-31(F) | | | 510 | | | | 495 | |
| | | | | | | | |
| | | | | | | 70,415 | |
| | | | | | | | |
| |
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 19.5% | | | $ | 70,415 | |
(Cost: $69,871) | |
| | | | | | | | |
| SHORT-TERM SECURITIES | | Shares | | | Value | |
Money Market Funds (G) – 0.4% | |
State Street Institutional U.S. Government Money Market Fund—Premier Class, 0.030% | | | 1,566 | | | $ | 1,566 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 0.4% | | | $ | 1,566 | |
(Cost: $1,566) | |
| |
TOTAL INVESTMENT SECURITIES – 100.0% | | | $ | 360,121 | |
(Cost: $282,984) | |
| |
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% | | | | (119 | ) |
| |
NET ASSETS – 100.0% | | | $ | 360,002 | |
Notes to Schedule of Investments
| (A) | No dividends were paid during the preceding 12 months. |
| (B) | Restricted security. At June 30, 2021, the Portfolio owned the following restricted security: |
| | | | | | | | | | | | | | | | | | | | |
| Security | | Acquisition Date(s) | | | Shares | | | Cost | | | Value | | | | |
Targa Resources Corp., 9.500% | | | 3-2-20 | | | | 3 | | | $ | 3,225 | | | $ | 3,248 | | | | | |
| | | | | | | | | | | | |
| | The total value of this security represented 0.9% of net assets at June 30, 2021. |
| (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, 2021 the total value of these securities amounted to $6,783 or 1.9% of net assets. |
| (D) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at June 30, 2021. |
| (E) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2021. Description of the reference rate and spread, if applicable, are included in the security description. |
| (F) | All or a portion of securities with an aggregate value of $1,808 are on loan. |
| (G) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 235,844 | | | $ | — | | | $ | — | |
Preferred Stocks | | | 429 | | | | 3,248 | | | | — | |
Corporate Debt Securities | | | — | | | | 46,218 | | | | — | |
United States Government Agency Obligations | | | — | | | | 2,401 | | | | — | |
United States Government Obligations | | | — | | | | 70,415 | | | | — | |
Short-Term Securities | | | 1,566 | | | | — | | | | — | |
Total | | $ | 237,839 | | | $ | 122,282 | | | $ | — | |
| | | | | | |
| 16 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP BALANCED (in thousands) |
JUNE 30, 2021 (UNAUDITED)
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
CMO = Collateralized Mortgage Obligation
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
REMIC = Real Estate Mortgage Investment Conduit
REIT = Real Estate Investment Trusts
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 17 | |
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP ENERGY(a) |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Stocks | | | 97.5% | |
Energy | | | 85.2% | |
Information Technology | | | 9.1% | |
Industrials | | | 2.5% | |
Utilities | | | 0.7% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 2.5% | |
Country Weightings
| | | | |
North America | | | 95.1% | |
United States | | | 91.2% | |
Canada | | | 3.9% | |
Europe | | | 2.4% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 2.5% | |
Top 10 Equity Holdings
| | | | | | |
| | | |
| Company | | Country | | Sector | | Industry |
ConocoPhillips | | United States | | Energy | | Oil & Gas Exploration & Production |
Pioneer Natural Resources Co. | | United States | | Energy | | Oil & Gas Exploration & Production |
Marathon Petroleum Corp. | | United States | | Energy | | Oil & Gas Refining & Marketing |
Exxon Mobil Corp. | | United States | | Energy | | Oil & Gas Exploration & Production |
ChampionX Corp. | | United States | | Energy | | Oil & Gas Equipment & Services |
Cactus, Inc., Class A | | United States | | Energy | | Oil & Gas Equipment & Services |
Hess Corp. | | United States | | Energy | | Oil & Gas Exploration & Production |
Valero Energy Corp. | | United States | | Energy | | Oil & Gas Refining & Marketing |
Devon Energy Corp. | | United States | | Energy | | Oil & Gas Exploration & Production |
Phillips 66 | | United States | | Energy | | Oil & Gas Refining & Marketing |
See your advisor or www.ivyinvestments.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.
(a) Effective July 1, 2021, the name of Ivy VIP Energy changed to Delaware Ivy VIP Energy.
| | | | | | |
| 18 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP ENERGY (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS | | Shares | | | Value | |
Energy | |
| |
Integrated Oil & Gas – 4.8% | |
Chevron Corp. | | | 15 | | | $ | 1,606 | |
Suncor Energy, Inc. | | | 52 | | | | 1,236 | |
TotalEnergies SE ADR | | | 10 | | | | 471 | |
| | | | | | | | |
| | | | | | | 3,313 | |
| | | | | | | | |
| |
Oil & Gas Drilling – 3.0% | |
Helmerich & Payne, Inc. | | | 27 | | | | 894 | |
Transocean, Inc. (A) | | | 271 | | | | 1,225 | |
| | | | | | | | |
| | | | | | | 2,119 | |
| | | | | | | | |
| |
Oil & Gas Equipment & Services – 23.6% | |
Baker Hughes, Inc. | | | 87 | | | | 1,992 | |
Cactus, Inc., Class A | | | 80 | | | | 2,950 | |
ChampionX Corp. (A) | | | 118 | | | | 3,037 | |
Dril-Quip, Inc. (A) | | | 34 | | | | 1,161 | |
Halliburton Co. | | | 87 | | | | 2,011 | |
Liberty Oilfield Services, Inc., Class A (A) | | | 125 | | | | 1,771 | |
NOV, Inc. (A) | | | 68 | | | | 1,038 | |
Schlumberger Ltd. | | | 76 | | | | 2,425 | |
| | | | | | | | |
| | | | | | | 16,385 | |
| | | | | | | | |
| |
Oil & Gas Exploration & Production – 38.9% | |
Apache Corp.(A) | | | 38 | | | | 828 | |
Canadian Natural Resources Ltd. | | | 41 | | | | 1,493 | |
Chesapeake Energy Corp. | | | 11 | | | | 553 | |
ConocoPhillips | | | 68 | | | | 4,124 | |
Continental Resources, Inc. | | | 36 | | | | 1,366 | |
Devon Energy Corp. | | | 90 | | | | 2,626 | |
Diamondback Energy, Inc. | | | 24 | | | | 2,283 | |
EOG Resources, Inc. | | | 24 | | | | 1,986 | |
Exxon Mobil Corp. | | | 53 | | | | 3,314 | |
Hess Corp. | | | 34 | | | | 2,949 | |
Marathon Oil Corp. | | | 73 | | | | 992 | |
Pioneer Natural Resources Co. | | | 24 | | | | 3,910 | |
Viper Energy Partners L.P. | | | 33 | | | | 622 | |
| | | | | | | | |
| | | | | | | 27,046 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Oil & Gas Refining & Marketing – 12.6% | |
Marathon Petroleum Corp. | | | 57 | | | $ | 3,454 | |
Phillips 66 | | | 30 | | | | 2,545 | |
Valero Energy Corp. | | | 35 | | | | 2,741 | |
| | | | | | | | |
| | | | | | | 8,740 | |
| | | | | | | | |
| |
Oil & Gas Storage & Transportation – 2.3% | |
Enterprise Products Partners L.P. | | | 50 | | | | 1,211 | |
MPLX L.P. | | | 13 | | | | 381 | |
| | | | | | | | |
| | | | | | | 1,592 | |
| | | | | | | | |
| |
Total Energy – 85.2% | | | | 59,195 | |
| |
Industrials | |
| |
Electrical Components & Equipment – 1.3% | |
Plug Power, Inc. (A) | | | 27 | | | | 912 | |
| | | | | | | | |
| |
Heavy Electrical Equipment – 1.2% | |
Bloom Energy Corp., Class A(A) | | | 31 | | | | 833 | |
| | | | | | | | |
| |
Total Industrials – 2.5% | | | | 1,745 | |
| |
Information Technology | |
| |
Application Software – 2.2% | |
Aspen Technology, Inc. (A) | | | 11 | | | | 1,502 | |
| | | | | | | | |
| |
Data Processing & Outsourced Services – 2.9% | |
Wright Express Corp. (A) | | | 10 | | | | 1,991 | |
| |
Semiconductor Equipment – 2.8% | |
Enphase Energy, Inc. (A) | | | 11 | | | | 1,974 | |
| | | | | | | | |
| |
Semiconductors – 1.2% | |
First Solar, Inc. (A) | | | 9 | | | | 843 | |
| | | | | | | | |
| |
Total Information Technology – 9.1% | | | | 6,310 | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Utilities | |
| |
Electric Utilities – 0.7% | |
NextEra Energy, Inc. | | | 7 | | | $ | 509 | |
| | | | | | | | |
| |
Total Utilities – 0.7% | | | | 509 | |
| | | | | | | | |
| |
TOTAL COMMON STOCKS – 97.5% | | | $ | 67,759 | |
(Cost: $63,457) | | | | | | | | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
Money Market Funds (B) – 2.6% | |
State Street Institutional U.S. Government Money Market Fund –Premier Class, 0.030% | | | 1,822 | | | | 1,822 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 2.6% | | | $ | 1,822 | |
(Cost: $1,822) | | | | | | | | |
| |
TOTAL INVESTMENT SECURITIES – 100.1% | | | $ | 69,581 | |
(Cost: $65,279) | | | | | | | | |
| | |
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.1)% | | | | | | | (57 | ) |
| | |
NET ASSETS – 100.0% | | | | | | $ | 69,524 | |
Notes to Schedule of Investments
| (A) | No dividends were paid during the preceding 12 months. |
| (B) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 67,759 | | | $ | — | | | $ | — | |
Short-Term Securities | | | 1,822 | | | | — | | | | — | |
Total | | $ | 69,581 | | | $ | — | | | $ | — | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 19 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP ENERGY (in thousands) |
JUNE 30, 2021 (UNAUDITED)
The following acronym is used throughout this schedule:
ADR = American Depositary Receipts
Country Diversification
| | | | |
(as a % of net assets) | | | | |
United States | | | 91.2% | |
Canada | | | 3.9% | |
Switzerland | | | 1.7% | |
Other Countries | | | 0.7% | |
Other+ | | | 2.5% | |
+ Includes liabilities (net of cash and other assets), and cash equivalents
See Accompanying Notes to Financial Statements.
| | | | | | |
| 20 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP GROWTH(a) |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Stocks | | | 99.7% | |
Information Technology | | | 48.0% | |
Consumer Discretionary | | | 13.8% | |
Communication Services | | | 13.7% | |
Health Care | | | 11.8% | |
Industrials | | | 6.8% | |
Financials | | | 3.3% | |
Consumer Staples | | | 2.3% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 0.3% | |
Top 10 Equity Holdings
| | | | |
| | |
| Company | | Sector | | Industry |
Microsoft Corp. | | Information Technology | | Systems Software |
Apple, Inc. | | Information Technology | | Technology Hardware, Storage & Peripherals |
Amazon.com, Inc. | | Consumer Discretionary | | Internet & Direct Marketing Retail |
Alphabet, Inc., Class A | | Communication Services | | Interactive Media & Services |
Visa, Inc., Class A | | Information Technology | | Data Processing & Outsourced Services |
Facebook, Inc., Class A | | Communication Services | | Interactive Media & Services |
Motorola Solutions, Inc. | | Information Technology | | Communications Equipment |
NVIDIA Corp. | | Information Technology | | Semiconductors |
Intuit, Inc. | | Information Technology | | Application Software |
PayPal, Inc. | | Information Technology | | Data Processing & Outsourced Services |
See your advisor or www.ivyinvestments.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.
(a)Effective July 1, 2021, the name of Ivy VIP Growth changed to Delaware Ivy VIP Growth.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 21 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP GROWTH (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS | | Shares | | | Value | |
Communication Services | |
| |
Interactive Home Entertainment – 2.5% | |
Electronic Arts, Inc. | | | 184 | | | $ | 26,522 | |
| | | | | | | | |
| |
Interactive Media & Services – 11.2% | |
Alphabet, Inc., Class A (A) | | | 23 | | | | 56,862 | |
Alphabet, Inc., Class C (A) | | | 4 | | | | 9,444 | |
Facebook, Inc., Class A (A) | | | 116 | | | | 40,450 | |
Pinterest, Inc., Class A (A) | | | 125 | | | | 9,900 | |
| | | | | | | | |
| | | | | | | 116,656 | |
| | | | | | | | |
| |
Total Communication Services – 13.7% | | | | 143,178 | |
Consumer Discretionary | |
| |
Automobile Manufacturers – 1.7% | |
Ferrari N.V. | | | 85 | | | | 17,457 | |
| | | | | | | | |
| |
Automotive Retail – 0.7% | |
O’Reilly Automotive, Inc. (A) | | | 13 | | | | 7,558 | |
| | | | | | | | |
| |
Footwear – 1.2% | |
NIKE, Inc., Class B | | | 79 | | | | 12,240 | |
| | | | | | | | |
| |
Home Improvement Retail – 1.7% | |
Home Depot, Inc. (The) | | | 54 | | | | 17,340 | |
| | | | | | | | |
| |
Hotels, Resorts & Cruise Lines – 1.2% | |
Booking Holdings, Inc. (A) | | | 6 | | | | 12,905 | |
| | | | | | | | |
| |
Internet & Direct Marketing Retail – 7.3% | |
Amazon.com, Inc. (A) | | | 22 | | | | 76,754 | |
| | | | | | | | |
| |
Total Consumer Discretionary – 13.8% | | | | 144,254 | |
Consumer Staples | |
| |
Personal Products – 0.5% | |
Estee Lauder Co., Inc. (The), Class A | | | 16 | | | | 5,105 | |
| | | | | | | | |
| |
Soft Drinks – 1.8% | |
Coca-Cola Co. (The) | | | 356 | | | | 19,248 | |
| | | | | | | | |
| |
Total Consumer Staples – 2.3% | | | | 24,353 | |
Financials | |
| |
Financial Exchanges & Data – 3.3% | |
Intercontinental Exchange, Inc. | | | 122 | | | | 14,442 | |
S&P Global, Inc. | | | 48 | | | | 19,906 | |
| | | | | | | | |
| | | | | | | 34,348 | |
| | | | | | | | |
| |
Total Financials – 3.3% | | | | 34,348 | |
Health Care | |
| |
Health Care Equipment – 2.8% | |
Danaher Corp. | | | 47 | | | | 12,628 | |
DexCom, Inc. (A) | | | 8 | | | | 3,487 | |
Intuitive Surgical, Inc. (A) | | | 15 | | | | 13,605 | |
| | | | | | | | |
| | | | | | | 29,720 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Health Care Supplies – 2.1% | |
Cooper Cos., Inc. (The) | | | 56 | | | $ | 22,032 | |
| | | | | | | | |
| |
Health Care Technology – 2.5% | |
Cerner Corp. | | | 340 | | | | 26,562 | |
| | | | | | | | |
| |
Managed Health Care – 3.0% | |
UnitedHealth Group, Inc. | | | 77 | | | | 31,008 | |
| | | | | | | | |
| |
Pharmaceuticals – 1.4% | |
Zoetis, Inc. | | | 76 | | | | 14,114 | |
| | | | | | | | |
| |
Total Health Care – 11.8% | | | | 123,436 | |
Industrials | |
| |
Industrial Machinery – 1.9% | |
Stanley Black & Decker, Inc. | | | 96 | | | | 19,580 | |
| | | | | | | | |
| |
Railroads – 0.9% | |
Union Pacific Corp. | | | 45 | | | | 9,823 | |
| | | | | | | | |
| |
Research & Consulting Services – 2.5% | |
TransUnion | | | 132 | | | �� | 14,447 | |
Verisk Analytics, Inc., Class A | | | 65 | | | | 11,283 | |
| | | | | | | | |
| | | | | | | 25,730 | |
| | | | | | | | |
| |
Trucking – 1.5% | |
J.B. Hunt Transport Services, Inc. | | | 96 | | | | 15,633 | |
| | | | | | | | |
| |
Total Industrials – 6.8% | | | | 70,766 | |
Information Technology | |
| |
Application Software – 8.2% | |
Adobe, Inc. (A) | | | 53 | | | | 31,283 | |
Intuit, Inc. | | | 72 | | | | 35,338 | |
salesforce.com, Inc. (A) | | | 77 | | | | 18,863 | |
| | | | | | | | |
| | | | | | | 85,484 | |
| | | | | | | | |
| |
Communications Equipment – 3.6% | |
Motorola Solutions, Inc. | | | 173 | | | | 37,511 | |
| | | | | | | | |
| |
Data Processing & Outsourced Services – 9.5% | |
Broadridge Financial Solutions, Inc. | | | 113 | | | | 18,318 | |
PayPal, Inc. (A) | | | 108 | | | | 31,604 | |
Visa, Inc., Class A | | | 209 | | | | 48,938 | |
| | | | | | | | |
| | | | | | | 98,860 | |
| | | | | | | | |
| |
Internet Services & Infrastructure – 2.5% | |
VeriSign, Inc. (A) | | | 115 | | | | 26,295 | |
| | | | | | | | |
| |
IT Consulting & Other Services – 2.2% | |
Gartner, Inc., Class A (A) | | | 96 | | | | 23,353 | |
| | | | | | | | |
| |
Semiconductors – 3.5% | |
NVIDIA Corp. | | | 46 | | | | 36,577 | |
| | | | | | | | |
| |
Systems Software – 10.7% | |
Microsoft Corp. | | | 413 | | | | 111,804 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Technology Hardware, Storage & Peripherals – 7.8% | |
Apple, Inc. | | | 595 | | | $ | 81,442 | |
| | | | | | | | |
| |
Total Information Technology – 48.0% | | | | 501,326 | |
| |
TOTAL COMMON STOCKS – 99.7% | | | $ | 1,041,661 | |
(Cost: $584,056) | | | | | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
Money Market Funds (B) – 0.4% | |
State Street Institutional U.S. Government Money Market Fund – Premier Class, 0.030% | | | 3,667 | | | | 3,667 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 0.4% | | | $ | 3,667 | |
(Cost: $3,667) | | | | | |
| |
TOTAL INVESTMENT SECURITIES – 100.1% | | | $ | 1,045,328 | |
(Cost: $587,723) | | | | | |
| |
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.1)% | | | | (840 | ) |
| |
NET ASSETS – 100.0% | | | $ | 1,044,488 | |
| | | | | | |
| 22 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP GROWTH (in thousands) |
JUNE 30, 2021 (UNAUDITED)
Notes to Schedule of Investments
| (A) | No dividends were paid during the preceding 12 months. |
| (B) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. See Note 3 to the Financial Statements for further information regarding fair value measurement.
| | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | |
Assets | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | $ | 1,041,661 | | | $ | — | | | $ | — | |
Short-Term Securities | | | 3,667 | | | | — | | | | — | |
Total | | $ | 1,045,328 | | | $ | — | | | $ | — | |
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 23 | |
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP HIGH INCOME(a) |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Stocks | | | 9.0% | |
Financials | | | 4.0% | |
Consumer Discretionary | | | 2.5% | |
Energy | | | 1.6% | |
Communication Services | | | 0.9% | |
Consumer Staples | | | 0.0% | |
Industrials | | | 0.0% | |
Warrants | | | 0.0% | |
Bonds | | | 82.3% | |
Corporate Debt Securities | | | 56.2% | |
Loans | | | 26.1% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 8.7% | |
Quality Weightings
| | | | |
Investment Grade | | | 0.8% | |
BBB | | | 0.8% | |
Non-Investment Grade | | | 81.5% | |
BB | | | 4.7% | |
B | | | 42.7% | |
CCC | | | 31.9% | |
Below CCC | | | 0.8% | |
Non-rated | | | 1.4% | |
Liabilities (Net of Cash and Other Assets), Cash Equivalents+ and Equities | | | 17.7% | |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
+ Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
(a)Effective July 1, 2021, the name of Ivy VIP High Income changed to Delaware Ivy VIP High Income.
| | | | | | |
| 24 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP HIGH INCOME (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS | | Shares | | | Value | |
Communication Services | |
| |
Integrated Telecommunication Services – 0.9% | |
Frontier Communications Corp. (A) | | | 325 | | | $ | 8,573 | |
| | | | | | | | |
| |
Total Communication Services – 0.9% | | | | 8,573 | |
Consumer Discretionary | |
| |
Apparel Retail – 0.1% | |
True Religion Apparel,
Inc. (A)(B)(C) | | | – | * | | | 295 | |
| | | | | | | | |
| |
Casinos & Gaming – 1.7% | |
New Cotai Participation Corp., Class B (A)(C)(D) | | | 3,073 | | | | 9,743 | |
Studio City International Holdings Ltd. ADR (A) | | | 343 | | | | 3,953 | |
Studio City International Holdings Ltd. ADR (A)(D) | | | 141 | | | | 1,628 | |
| | | | | | | | |
| | | | | | | 15,324 | |
| | | | | | | | |
| |
Education Services – 0.7% | |
Laureate Education, Inc., Class A (A) | | | 443 | | | | 6,422 | |
| | | | | | | | |
| |
Total Consumer Discretionary – 2.5% | | | | 22,041 | |
Consumer Staples | |
| |
Agricultural Products – 0.0% | |
Pinnacle Agriculture Enterprises LLC (A)(B)(C)(D) | | | 12 | | | | – | * |
| | | | | | | | |
| |
Food Distributors – 0.0% | |
ASG Warrant Corp. (A)(B)(C)(D) | | | 1 | | | | – | |
| | | | | | | | |
| |
Total Consumer Staples – 0.0% | | | | – | * |
Energy | |
| |
Coal & Consumable Fuels – 0.3% | |
Foresight Energy L.P. (A)(C)(D) | | | 186 | | | | 3,120 | |
Westmoreland Coal Co. (A)(B) | | | 29 | | | | 86 | |
| | | | | | | | |
| | | | | | | 3,206 | |
| | | | | | | | |
| |
Oil & Gas Drilling – 0.2% | |
KCA Deutag UK Finance
plc (A)(B)(C) | | | 27 | | | | 2,187 | |
Vantage Drilling Co., Units (A) | | | – | * | | | 2 | |
| | | | | | | | |
| | | | | | | 2,189 | |
| | | | | | | | |
| |
Oil & Gas Equipment & Services – 0.0% | |
Larchmont Resources
LLC (A)(B)(D)(E) | | | 1 | | | | 1 | |
McDermott International, Inc. (A) | | | 619 | | | | 303 | |
| | | | | | | | |
| | | | | | | 304 | |
| | | | | | | | |
| |
Oil & Gas Exploration & Production – 0.2% | |
EP Energy Corp. (A)(B)(D) | | | 21 | | | | 2,089 | |
Sabine Oil & Gas Corp. (A)(B)(D) | | | – | * | | | 1 | |
| | | | | | | | |
| | | | | | | 2,090 | |
| | | | | | | | |
| |
Total Energy – 0.7% | | | | 7,789 | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Financials | |
| |
Specialized Finance – 0.2% | |
Landcadia Holdings III, Inc., Class A(A)(F) | | | 126 | | | $ | 1,563 | |
| | | | | | | | |
| |
Total Financials – 0.2% | | | | 1,563 | |
Industrials | |
| |
Air Freight & Logistics – 0.0% | |
BIS Industries Ltd. (B)(C)(D) | | | 1,605 | | | | – | * |
| | | | | | | | |
| |
Total Industrials – 0.0% | | | | – | * |
| |
TOTAL COMMON STOCKS – 4.3% | | | $ | 39,966 | |
(Cost: $63,109) | | | | | | | | |
| |
Registered Investment Companies – 3.8% | |
Invesco Senior Loan ETF | | | 424 | | | | 9,395 | |
iShares iBoxx $ High Yield Corporate Bond ETF(F) | | | 290 | | | | 25,532 | |
| | | | | | | | |
| | | | | | | 34,927 | |
| | | | | | | | |
| |
TOTAL INVESTMENT FUNDS – 3.8% | | | $ | 34,927 | |
(Cost: $33,375) | | | | | | | | |
| | |
| PREFERRED STOCKS | | | | | | |
Consumer Discretionary | |
| |
Apparel Retail – 0.0% | |
True Religion Apparel, Inc. (A)(B) | | | – | * | | | 119 | |
| | | | | | | | |
| |
Total Consumer Discretionary – 0.0% | | | | 119 | |
Energy | |
| |
Oil & Gas Exploration & Production – 0.9% | |
Targa Resources Corp., 9.500% (A)(D) | | | 8 | | | | 8,136 | |
| | | | | | | | |
| |
Total Energy – 0.9% | | | | 8,136 | |
| |
TOTAL PREFERRED STOCKS – 0.9% | | | $ | 8,255 | |
(Cost: $8,808) | | | | | | | | |
| | |
| WARRANTS | | | | | | |
Oil & Gas Exploration & Production – 0.0% | |
California Resources Corp., expires 10-27-24 (G) | | | 8 | | | | 59 | |
| | | | | | | | |
| |
TOTAL WARRANTS – 0.0% | | | $ | 59 | |
(Cost: $674) | | | | | | | | |
| | |
| CORPORATE DEBT SECURITIES | | Principal | | | | |
Communication Services | |
| |
Advertising – 0.7% | |
Advantage Sales & Marketing, Inc., 6.500%, 11-15-28 (H) | | $ | 5,940 | | | | 6,273 | |
| | | | | | | | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Broadcasting – 1.2% | |
Clear Channel International B.V., | | | | | | | | |
6.625%, 8-1-25 (H) | | $ | 572 | | | $ | 603 | |
Clear Channel Outdoor Holdings, Inc.: | | | | | |
5.125%, 8-15-27 (H) | | | 5,583 | | | | 5,738 | |
7.750%, 4-15-28 (H) | | | 2,016 | | | | 2,115 | |
7.500%, 6-1-29 (H) | | | 2,657 | | | | 2,754 | |
| | | | | | | | |
| | | | | | | 11,210 | |
| | | | | | | | |
| |
Cable & Satellite – 5.5% | |
Altice France Holding S.A.: | | | | | |
10.500%, 5-15-27 (H) | | | 4,453 | | | | 4,954 | |
6.000%, 2-15-28 (H) | | | 10,750 | | | | 10,720 | |
Altice France S.A., | | | | | | | | |
5.125%, 7-15-29 (H) | | | 2,375 | | | | 2,389 | |
CSC Holdings LLC: | | | | | |
5.750%, 1-15-30 (H) | | | 1,372 | | | | 1,427 | |
5.000%, 11-15-31 (H) | | | 2,381 | | | | 2,395 | |
DISH DBS Corp.: | | | | | |
7.750%, 7-1-26 | | | 2,868 | | | | 3,252 | |
7.375%, 7-1-28 | | | 751 | | | | 809 | |
5.125%, 6-1-29 (H) | | | 3,322 | | | | 3,284 | |
LCPR Senior Secured Financing Designated Activity Co., | | | | | | | | |
5.125%, 7-15-29 (H) | | | 913 | | | | 947 | |
Ligado Networks LLC (15.500% Cash or 15.500% PIK), | | | | | | | | |
15.500%, 11-1-23 (H)(I) | | | 7,651 | | | | 7,361 | |
Ligado Networks LLC (17.500% Cash or 17.500% PIK), | | | | | | | | |
17.500%, 5-1-24 (H)(I) | | | 551 | | | | 411 | |
Telesat Canada and Telesat LLC, | | | | | | | | |
5.625%, 12-6-26 (H) | | | 6,406 | | | | 6,438 | |
VTR Comunicaciones S.p.A., | | | | | | | | |
4.375%, 4-15-29 (H) | | | 3,166 | | | | 3,170 | |
VTR Finance B.V., | | | | | | | | |
6.375%, 7-15-28 (H) | | | 2,826 | | | | 3,006 | |
| | | | | | | | |
| | | | | | | 50,563 | |
| | | | | | | | |
| |
Integrated Telecommunication Services – 5.0% | |
Cablevision Lightpath LLC, | | | | | | | | |
5.625%, 9-15-28 (H) | | | 1,225 | | | | 1,250 | |
Consolidated Communications, Inc.: | | | | | |
5.000%, 10-1-28 (H) | | | 1,129 | | | | 1,147 | |
6.500%, 10-1-28 (H) | | | 2,423 | | | | 2,611 | |
Frontier Communications Corp.: | | | | | |
5.875%, 10-15-27 (H) | | | 3,913 | | | | 4,197 | |
6.750%, 5-1-29 (H) | | | 3,287 | | | | 3,501 | |
5.875%, 11-1-29 | | | 1,011 | | | | 1,031 | |
Northwest Fiber LLC, | | | | | | | | |
10.750%, 6-1-28 (H) | | | 1,327 | | | | 1,499 | |
Northwest Fiber LLC and Nortwest Fiber Finance Sub, Inc., | | | | | | | | |
6.000%, 2-15-28 (H) | | | 1,703 | | | | 1,709 | |
West Corp., | | | | | | | | |
8.500%, 10-15-25 (H) | | | 19,709 | | | | 19,290 | |
Windstream Escrow LLC, | | | | | | | | |
7.750%, 8-15-28 (H) | | | 9,205 | | | | 9,493 | |
| | | | | | | | |
| | | | | | | 45,728 | |
| | | | | | | | |
| |
Interactive Media & Services – 0.3% | |
Cars.com, Inc., | | | | | | | | |
6.375%, 11-1-28 (H) | | | 2,355 | | | | 2,515 | |
| | | | | | | | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 25 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP HIGH INCOME (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Publishing – 0.5% | |
MDC Partners, Inc., | | | | | | | | |
7.500%, 5-1-24 (H)(J) | | $ | 4,106 | | | $ | 4,162 | |
| | | | | | | | |
| |
Wireless Telecommunication Service – 3.8% | |
Digicel Group Ltd., | | | | | | | | |
8.750%, 5-25-24 (H) | | | 1,651 | | | | 1,725 | |
Digicel Group Ltd. (5.000% Cash and 3.000% PIK), | | | | | | | | |
8.000%, 4-1-25 (H)(I) | | | 1,312 | | | | 1,105 | |
Digicel Group Ltd. (7.000% Cash or 7.000% PIK), | | | | | | | | |
7.000%, 10-1-68 (H)(I) | | | 562 | | | | 437 | |
Digicel International Finance Ltd.: | | | | | | | | |
8.750%, 5-25-24 (H) | | | 11,226 | | | | 11,733 | |
8.000%, 12-31-26 (H) | | | 1,474 | | | | 1,448 | |
Digicel International Finance Ltd. (6.000% Cash and 7.000% PIK), | | | | | | | | |
13.000%, 12-31-25 (H)(I) | | | 741 | | | | 746 | |
Digicel International Finance Ltd. (8.000% Cash and 2.000% PIK or 10.000% PIK), | | | | | | | | |
10.000%, 4-1-24 (I) | | | 7,510 | | | | 7,255 | |
Digicel Ltd., | | | | | | | | |
6.750%, 3-1-23 (H) | | | 10,833 | | | | 10,359 | |
| | | | | | | | |
| | | | | | | 34,808 | |
| | | | | | | | |
| |
Total Communication Services – 17.0% | | | | 155,259 | |
Consumer Discretionary | |
| |
Automotive Retail – 1.3% | |
Asbury Automotive Group, Inc.: | | | | | | | | |
4.500%, 3-1-28 | | | 2,577 | | | | 2,653 | |
4.750%, 3-1-30 | | | 4,451 | | | | 4,659 | |
Ken Garff Automotive LLC, | | | | | | | | |
4.875%, 9-15-28 (H) | | | 781 | | | | 800 | |
Lithia Motors, Inc.: | | | | | | | | |
3.875%, 6-1-29 (H) | | | 1,666 | | | | 1,729 | |
4.375%, 1-15-31 (H) | | | 1,271 | | | | 1,363 | |
Sonic Automotive, Inc., | | | | | | | | |
6.125%, 3-15-27 | | | 1,225 | | | | 1,283 | |
| | | | | | | | |
| | | | | | | 12,487 | |
| | | | | | | | |
| |
Casinos & Gaming – 0.9% | |
Boyd Gaming Corp., | | | | | | | | |
4.750%, 12-1-27 | | | 705 | | | | 730 | |
Everi Holdings, Inc., | | | | | | | | |
5.000%, 7-15-29 (H) | | | 1,625 | | | | 1,625 | |
Golden Nugget, Inc., | | | | | | | | |
6.750%, 10-15-24 (H) | | | 5,640 | | | | 5,705 | |
Midwest Gaming Borrower LLC, | | | | | | | | |
4.875%, 5-1-29 (H) | | | 480 | | | | 481 | |
| | | | | | | | |
| | | | | | | 8,541 | |
| | | | | | | | |
| |
Department Stores – 0.8% | |
Nordstrom, Inc.: | | | | | | | | |
4.375%, 4-1-30 (F) | | | 2,253 | | | | 2,351 | |
5.000%, 1-15-44 | | | 4,642 | | | | 4,634 | |
| | | | | | | | |
| | | | | | | 6,985 | |
| | | | | | | | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Education Services – 1.0% | |
Adtalem Global Education, Inc., | | | | | | | | |
5.500%, 3-1-28 (H) | | $ | 9,502 | | | $ | 9,669 | |
| | | | | | | | |
| |
Homefurnishing Retail – 0.1% | |
Ambience Merger Sub, Inc.: | | | | | | | | |
4.875%, 7-15-28 (H) | | | 488 | | | | 491 | |
7.125%, 7-15-29 (H) | | | 864 | | | | 875 | |
| | | | | | | | |
| | | | | | | 1,366 | |
| | | | | | | | |
| |
Hotels, Resorts & Cruise Lines – 1.8% | |
Boyne USA, Inc., | | | | | | | | |
4.750%, 5-15-29 (H) | | | 801 | | | | 829 | |
Carnival Corp.: | | | | | | | | |
11.500%, 4-1-23 (H) | | | 1,818 | | | | 2,048 | |
10.500%, 2-1-26 (H) | | | 394 | | | | 459 | |
7.625%, 3-1-26 (H) | | | 793 | | | | 863 | |
9.875%, 8-1-27 (H) | | | 1,550 | | | | 1,812 | |
NCL Corp. Ltd.: | | | | | | | | |
12.250%, 5-15-24 (H) | | | 2,960 | | | | 3,578 | |
10.250%, 2-1-26 (H) | | | 1,865 | | | | 2,173 | |
5.875%, 3-15-26 (H) | | | 784 | | | | 823 | |
POWDR Corp., | | | | | | | | |
6.000%, 8-1-25 (H) | | | 767 | | | | 808 | |
Royal Caribbean Cruises Ltd., | | | | | | | | |
5.500%, 4-1-28 (H) | | | 3,167 | | | | 3,321 | |
| | | | | | | | |
| | | | | | | 16,714 | |
| | | | | | | | |
| |
Internet & Direct Marketing Retail – 1.0% | |
Arches Buyer, Inc.: | | | | | | | | |
4.250%, 6-1-28 (H) | | | 4,746 | | | | 4,699 | |
6.125%, 12-1-28 (H) | | | 3,964 | | | | 4,091 | |
| | | | | | | | |
| | | | | | | 8,790 | |
| | | | | | | | |
| |
Leisure Facilities – 0.6% | |
Cedar Fair L.P., Magnum Management Corp., Canada’s Wonderland Co. and Millennium Operations LLC, | | | | | | | | |
5.375%, 4-15-27 | | | 1,430 | | | | 1,475 | |
Legends Hospitality Holding Co. LLC, | | | | | | | | |
5.000%, 2-1-26 (H) | | | 479 | | | | 500 | |
Live Nation Entertainment, Inc., | | | | | | | | |
4.750%, 10-15-27 (H) | | | 2,724 | | | | 2,826 | |
| | | | | | | | |
| | | | | | | 4,801 | |
| | | | | | | | |
| |
Leisure Products – 0.7% | |
MajorDrive Holdings IV LLC, | | | | | | | | |
6.375%, 6-1-29 (H) | | | 6,800 | | | | 6,791 | |
| | | | | | | | |
| |
Specialized Consumer Services – 1.1% | |
Nielsen Finance LLC and Nielsen Finance Co.: | | | | | | | | |
5.625%, 10-1-28 (H) | | | 2,343 | | | | 2,478 | |
5.875%, 10-1-30 (H) | | | 1,926 | | | | 2,101 | |
StoneMor, Inc., | | | | | | | | |
8.500%, 5-15-29 (H) | | | 5,085 | | | | 5,148 | |
| | | | | | | | |
| | | | | | | 9,727 | |
| | | | | | | | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Specialty Stores – 6.5% | |
Academy Ltd., | | | | | | | | |
6.000%, 11-15-27 (H) | | $ | 3,955 | | | $ | 4,241 | |
Bed Bath & Beyond, Inc., | | | | | | | | |
5.165%, 8-1-44 | | | 1,594 | | | | 1,483 | |
Magic MergerCo, Inc.: | | | | | | | | |
5.250%, 5-1-28 (H) | | | 2,801 | | | | 2,877 | |
7.875%, 5-1-29 (H) | | | 6,793 | | | | 7,014 | |
Party City Holdings, Inc., | | | | | | | | |
8.750%, 2-15-26 (H) | | | 6,272 | | | | 6,703 | |
Party City Holdings, Inc. (5.000% Cash and 5.000% PIK), | | | | | | | | |
10.000%, 8-15-26 (H)(I) | | | 221 | | | | 222 | |
Party City Holdings, Inc. (6-Month U.S. LIBOR plus 500 bps), | | | | | | | | |
5.750%, 7-15-25 (H)(K) | | | 389 | | | | 370 | |
PetSmart, Inc. and PetSmart Finance Corp.: | | | | | | | | |
4.750%, 2-15-28 (H) | | | 3,959 | | | | 4,117 | |
7.750%, 2-15-29 (H) | | | 3,094 | | | | 3,415 | |
Staples, Inc.: | | | | | | | | |
7.500%, 4-15-26 (H) | | | 20,079 | | | | 20,822 | |
10.750%, 4-15-27 (H) | | | 8,805 | | | | 8,977 | |
| | | | | | | | |
| | | | | | | 60,241 | |
| | | | | | | | |
| |
Total Consumer Discretionary – 15.8% | | | | 146,112 | |
Consumer Staples | |
| |
Packaged Foods & Meats – 0.9% | |
Pilgrim’s Pride Corp., | | | | | | | | |
4.250%, 4-15-31 (H) | | | 4,759 | | | | 4,938 | |
Post Holdings, Inc., | | | | | | | | |
4.500%, 9-15-31 (H) | | | 1,618 | | | | 1,617 | |
Simmons Foods, Inc., | | | | | | | | |
4.625%, 3-1-29 (H) | | | 1,590 | | | | 1,606 | |
| | | | | | | | |
| | | | | | | 8,161 | |
| | | | | | | | |
| |
Total Consumer Staples – 0.9% | | | | 8,161 | |
Energy | |
| |
Oil & Gas Drilling – 0.3% | |
KCA Deutag UK Finance plc: | | | | | | | | |
9.875%, 12-1-25 | | | 1,654 | | | | 1,830 | |
Offshore Drilling Holding S.A., | | | | | | | | |
8.375%, 9-20-20 (H)(J)(L) | | | 8,682 | | | | 868 | |
| | | | | | | | |
| | | | | | | 2,698 | |
| | | | | | | | |
| |
Oil & Gas Equipment & Services – 0.1% | |
Nine Energy Service, Inc., | | | | | | | | |
8.750%, 11-1-23 (H) | | | 1,917 | | | | 980 | |
| | | | | | | | |
| |
Oil & Gas Exploration & Production – 3.2% | |
Antero Resources Corp., | | | | | | | | |
5.375%, 3-1-30 (H) | | | 666 | | | | 681 | |
Ascent Resources Utica Holdings LLC and ARU Finance Corp.: | | | | | | | | |
7.000%, 11-1-26 (H) | | | 1,898 | | | | 1,992 | |
8.250%, 12-31-28 (H) | | | 157 | | | | 173 | |
5.875%, 6-30-29 (H) | | | 809 | | | | 810 | |
California Resources Corp., | | | | | | | | |
7.125%, 2-1-26 (H) | | | 481 | | | | 507 | |
| | | | | | |
| 26 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP HIGH INCOME (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Oil & Gas Exploration & Production (Continued) | |
Chesapeake Escrow Issuer LLC: | | | | | | | | |
5.500%, 2-1-26 (H) | | $ | 1,603 | | | $ | 1,695 | |
5.875%, 2-1-29 (H) | | | 1,202 | | | | 1,303 | |
Colgate Energy Partners III LLC, | | | | | | | | |
5.875%, 7-1-29(H) | | | 646 | | | | 671 | |
Crownrock L.P., | | | | | | | | |
5.625%, 10-15-25 (H) | | | 5,764 | | | | 5,982 | |
CrownRock L.P. and CrownRock Finance, Inc., | | | | | | | | |
5.000%, 5-1-29 (H) | | | 792 | | | | 833 | |
Endeavor Energy Resources L.P., | | | | | | | | |
5.500%, 1-30-26 (H) | | | 2,349 | | | | 2,448 | |
Laredo Petroleum, Inc.: | | | | | | | | |
9.500%, 1-15-25 | | | 4,315 | | | | 4,552 | |
10.125%, 1-15-28 (F) | | | 2,876 | | | | 3,167 | |
Murphy Oil Corp., | | | | | | | | |
6.375%, 7-15-28 | | | 643 | | | | 679 | |
Range Resources Corp., | | | | | | | | |
8.250%, 1-15-29 (H) | | | 158 | | | | 178 | |
Vine Energy Holdings LLC, | | | | | | | | |
6.750%, 4-15-29 | | | 3,165 | | | | 3,335 | |
| | | | | | | | |
| | | | | | | 29,006 | |
| | | | | | | | |
| |
Oil & Gas Refining & Marketing – 1.6% | |
Callon Petroleum Co. (GTD by Callon Petroleum Operating Co.): | | | | | | | | |
6.125%, 10-1-24 | | | 1,081 | | | | 1,070 | |
9.000%, 4-1-25 (H) | | | 317 | | | | 346 | |
Comstock Resources, Inc.: | | | | | | | | |
6.750%, 3-1-29 (H) | | | 3,716 | | | | 3,963 | |
5.875%, 1-15-30 (H) | | | 1,937 | | | | 1,978 | |
CVR Energy, Inc., | | | | | | | | |
5.250%, 2-15-25 (H) | | | 1,531 | | | | 1,535 | |
PBF Holding Co. LLC, | | | | | | | | |
9.250%, 5-15-25 (H) | | | 5,632 | | | | 5,681 | |
| | | | | | | | |
| | | | | | | 14,573 | |
| | | | | | | | |
| |
Oil & Gas Storage & Transportation – 0.3% | |
Crestwood Midstream Partners L.P.: | | | | | | | | |
5.750%, 4-1-25 | | | 801 | | | | 825 | |
6.000%, 2-1-29 (H) | | | 320 | | | | 336 | |
Rattler Midstream L.P., | | | | | | | | |
5.625%, 7-15-25 (H) | | | 1,528 | | | | 1,608 | |
| | | | | | | | |
| | | | | | | 2,769 | |
| | | | | | | | |
| |
Total Energy – 5.5% | | | | 50,026 | |
Financials | |
| |
Insurance Brokers – 2.9% | |
Ardonagh Midco 2 plc, | | | | | | | | |
11.500%, 1-15-27 (H) | | | 6,679 | | | | 7,345 | |
NFP Corp., | | | | | | | | |
6.875%, 8-15-28 (H) | | | 18,324 | | | | 19,345 | |
| | | | | | | | |
| | | | | | | 26,690 | |
| | | | | | | | |
| |
Investment Banking & Brokerage – 0.5% | |
INTL FCStone, Inc., | | | | | | | | |
8.625%, 6-15-25 (H) | | | 3,835 | | | | 4,108 | |
| | | | | | | | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Property & Casualty Insurance – 0.5% | |
Highlands Holdings Bond Issuer Ltd. and Highlands Holdings Bond Co-Issuer, Inc. (7.625% Cash or 8.375% PIK), | | | | | | | | |
7.625%, 10-15-25 (H)(I) | | $ | 3,896 | | | $ | 4,133 | |
| | | | | | | | |
| |
Specialized Finance – 1.7% | |
BCPE Cycle Merger Sub II, Inc., | | | | | | | | |
10.625%, 7-15-27 (H) | | | 8,340 | | | | 8,777 | |
Compass Group Diversified Holdings LLC, | | | | | | | | |
5.250%, 4-15-29 (H) | | | 6,378 | | | | 6,641 | |
| | | | | | | | |
| | | | | | | 15,418 | |
| | | | | | | | |
| |
Thrifts & Mortgage Finance – 0.7% | |
Provident Funding Associates L.P. and PFG Finance Corp., | | | | | | | | |
6.375%, 6-15-25 (H) | | | 6,187 | | | | 6,290 | |
| | | | | | | | |
| |
Total Financials – 6.3% | | | | 56,639 | |
Health Care | |
| |
Health Care Facilities – 0.3% | |
Providence Service Corp. (The), | | | | | | | | |
5.875%, 11-15-25 (H) | | | 2,361 | | | | 2,532 | |
| | | | | | | | |
| |
Health Care Services – 0.0% | |
Heartland Dental LLC, | | | | | | | | |
8.500%, 5-1-26 (H) | | | 509 | | | | 532 | |
| | | | | | | | |
| |
Pharmaceuticals – 0.8% | |
P&L Development LLC and PLD Finance Corp., | | | | | | | | |
7.750%, 11-15-25 (H) | | | 3,977 | | | | 4,191 | |
Par Pharmaceutical, Inc., | | | | | | | | |
7.500%, 4-1-27 (H) | | | 2,936 | | | | 3,005 | |
| | | | | | | | |
| | | | | | | 7,196 | |
| | | | | | | | |
| |
Total Health Care – 1.1% | | | | 10,260 | |
Industrials | |
| |
Aerospace & Defense – 3.8% | |
TransDigm UK Holdings plc, | | | | | | | | |
6.875%, 5-15-26 | | | 2,821 | | | | 2,985 | |
TransDigm, Inc. (GTD by TransDigm Group, Inc.): | | | | | | | | |
7.500%, 3-15-27 | | | 2,709 | | | | 2,885 | |
5.500%, 11-15-27 | | | 7,030 | | | | 7,338 | |
4.625%, 1-15-29 (H) | | | 1,597 | | | | 1,602 | |
Wolverine Escrow LLC: | | | | | | | | |
8.500%, 11-15-24 (H) | | | 8,660 | | | | 8,417 | |
9.000%, 11-15-26 (H) | | | 11,270 | | | | 11,030 | |
13.125%, 11-15-27 (H) | | | 858 | | | | 729 | |
| | | | | | | | |
| | | | | | | 34,986 | |
| | | | | | | | |
| |
Building Products – 0.3% | |
CP Atlas Buyer, Inc., | | | | | | | | |
7.000%, 12-1-28 (H) | | | 1,146 | | | | 1,191 | |
Park River Holdings, Inc., | | | | | | | | |
5.625%, 2-1-29 (H) | | | 1,715 | | | | 1,671 | |
| | | | | | | | |
| | | | | | | 2,862 | |
| | | | | | | | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Diversified Support Services – 1.3% | |
Ahern Rentals, Inc., | | | | | | | | |
7.375%, 5-15-23 (H) | | $ | 4,904 | | | $ | 4,445 | |
Deluxe Corp., | | | | | | | | |
8.000%, 6-1-29 (H) | | | 2,083 | | | | 2,266 | |
Nesco Holdings II, Inc., | | | | | | | | |
5.500%, 4-15-29 (H) | | | 4,712 | | | | 4,924 | |
| | | | | | | | |
| | | | | | | 11,635 | |
| | | | | | | | |
| |
Security & Alarm Services – 0.2% | |
Prime Security Services Borrower LLC and Prime Finance, Inc., | | | | | | | | |
6.250%, 1-15-28 (H) | | | 2,158 | | | | 2,298 | |
| | | | | | | | |
| |
Total Industrials – 5.6% | | | | 51,781 | |
Information Technology | |
| |
Application Software – 1.0% | |
J2 Global, Inc., | | | | | | | | |
4.625%, 10-15-30 (H) | | | 939 | | | | 973 | |
Kronos Acquisition Holdings, Inc. and KIK Custom Products, Inc.: | | | | | | | | |
5.000%, 12-31-26 (H) | | | 2,411 | | | | 2,451 | |
7.000%, 12-31-27 (H) | | | 5,974 | | | | 5,996 | |
| | | | | | | | |
| | | | | | | 9,420 | |
| | | | | | | | |
| |
IT Consulting & Other Services – 0.1% | |
Sabre GLBL, Inc. (GTD by Sabre Holdings Corp.): | | | | | | | | |
9.250%, 4-15-25 (H) | | | 756 | | | | 901 | |
7.375%, 9-1-25 (H) | | | 313 | | | | 340 | |
| | | | | | | | |
| | | | | | | 1,241 | |
| | | | | | | | |
| |
Technology Hardware, Storage & Peripherals – 1.8% | |
Brightstar Escrow Corp., | | | | | | | | |
9.750%, 10-15-25 (H) | | | 2,165 | | | | 2,339 | |
NCR Corp.: | | | | | | | | |
5.750%, 9-1-27 (H) | | | 772 | | | | 819 | |
5.000%, 10-1-28 (H) | | | 2,287 | | | | 2,368 | |
5.125%, 4-15-29 (H) | | | 8,677 | | | | 8,959 | |
6.125%, 9-1-29 (H) | | | 983 | | | | 1,073 | |
5.250%, 10-1-30 (H) | | | 782 | | | | 812 | |
| | | | | | | | |
| | | | | | | 16,370 | |
| | | | | | | | |
| |
Total Information Technology – 2.9% | | | | 27,031 | |
Materials | |
| |
Commodity Chemicals – 0.8% | |
LSF9 Atlantis Holdings LLC and Victra Finance Corp., | | | | | | | | |
7.750%, 2-15-26 (H) | | | 4,013 | | | | 4,167 | |
Nova Chemicals Corp., | | | | | | | | |
4.250%, 5-15-29 (H) | | | 1,591 | | | | 1,609 | |
NOVA Chemicals Corp., | | | | | | | | |
5.250%, 6-1-27 (H) | | | 1,655 | | | | 1,786 | |
| | | | | | | | |
| | | | | | | 7,562 | |
| | | | | | | | |
| |
Metal & Glass Containers – 0.3% | |
ARD Finance S.A. (6.500% Cash or 7.250% PIK), | | | | | | | | |
6.500%, 6-30-27 (H)(I) | | | 2,463 | | | | 2,591 | |
| | | | | | | | |
| |
Total Materials – 1.1% | | | | 10,153 | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 27 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP HIGH INCOME (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Real Estate | |
| |
Specialized REITs – 0.0% | |
Uniti Group L.P., Uniti Group Finance 2019, Inc. and CSL Capital LLC (GTD by Uniti Group, Inc.), | | | | | | | | |
4.750%, 4-15-28 (H) | | $ | 394 | | | $ | 394 | |
| | | | | | | | |
| |
Total Real Estate – 0.0% | | | | 394 | |
| |
TOTAL CORPORATE DEBT SECURITIES – 56.2% | | | $ | 515,816 | |
(Cost: $501,799) | | | | | | | | |
| | |
| LOANS (K) | | | | | | |
Communication Services | |
| |
Advertising – 0.8% | |
Advantage Sales & Marketing, Inc.: | | | | | | | | |
0.000%, 10-28-27 (M) | | | 295 | | | | 298 | |
6.000%, 10-28-27 | | | 14 | | | | 14 | |
Advantage Sales & Marketing, Inc. (ICE LIBOR plus 525 bps), | | | | | | | | |
6.000%, 10-28-27 | | | 7,577 | | | | 7,665 | |
| | | | | | | | |
| | | | | | | 7,977 | |
| | | | | | | | |
| |
Broadcasting – 0.7% | |
Clear Channel Outdoor Holdings, Inc. (ICE LIBOR plus 350 bps), | | | | | | | | |
3.686%, 8-21-26 | | | 6,498 | | | | 6,353 | |
| | | | | | | | |
| |
Integrated Telecommunication Services – 1.9% | |
West Corp. (3-Month ICE LIBOR plus 400 bps), | | | | | | | | |
5.000%, 10-10-24 | | | 14,667 | | | | 14,375 | |
West Corp. (ICE LIBOR plus 400 bps), | | | | | | | | |
5.000%, 10-10-24 | | | 1,684 | | | | 1,651 | |
Windstream Services LLC (ICE LIBOR plus 625 bps), | | | | | | | | |
7.250%, 9-21-27 | | | 1,275 | | | | 1,280 | |
| | | | | | | | |
| | | | | | | 17,306 | |
| | | | | | | | |
| |
Wireless Telecommunication Service – 0.8% | |
Digicel International Finance Ltd. (ICE LIBOR plus 325 bps), | | | | | | | | |
3.430%, 5-27-24 | | | 7,826 | | | | 7,533 | |
| | | | | | | | |
| |
Total Communication Services – 4.2% | | | | 39,169 | |
Consumer Discretionary | |
| |
Apparel Retail – 0.5% | |
Torrid LLC, | | | | | | | | |
6.250%, 6-14-28 (C) | | | 5,003 | | | | 4,990 | |
| | | | | | | | |
| |
Automotive Retail – 0.1% | |
Midas Intermediate Holdco II LLC (ICE LIBOR plus 675 bps), | | | | | | | | |
7.500%, 12-22-25 | | | 625 | | | | 612 | |
| | | | | | | | |
| | | | | | | | |
| LOANS (K) (Continued) | | Principal | | | Value | |
Casinos & Gaming – 0.1% | |
New Cotai LLC (14.000% Cash or 14.000% PIK), | | | | | | | | |
14.000%, 9-10-25 (I) | | $ | 893 | | | $ | 911 | |
| | | | | | | | |
| |
Homefurnishing Retail – 0.4% | |
Ambience Merger Sub, Inc., | | | | | | | | |
0.000%, 6-25-28 (M) | | | 3,251 | | | | 3,254 | |
| | | | | | | | |
| |
Internet & Direct Marketing Retail – 0.4% | |
CNT Holdings I Corp. (ICE LIBOR plus 375 bps), | | | | | | | | |
4.500%, 11-8-27 | | | 1,940 | | | | 1,944 | |
CNT Holdings I Corp. (ICE LIBOR plus 675 bps), | | | | | | | | |
7.500%, 11-6-28 (C) | | | 2,060 | | | | 2,096 | |
| | | | | | | | |
| | | | | | | 4,040 | |
| | | | | | | | |
| |
Leisure Facilities – 0.5% | |
United PF Holdings LLC (ICE LIBOR plus 400 bps), | | | | | | | | |
4.203%, 12-30-26 | | | 4,220 | | | | 4,129 | |
United PF Holdings LLC (ICE LIBOR plus 850 bps), | | | | | | | | |
9.500%, 11-12-26 (C) | | | 936 | | | | 943 | |
| | | | | | | | |
| | | | | | | 5,072 | |
| | | | | | | | |
| |
Leisure Products – 0.6% | |
MajorDrive Holdings IV LLC, | | | | | | | | |
4.500%, 6-1-28 | | | 5,513 | | | | 5,528 | |
| | | | | | | | |
| |
Specialty Stores – 3.0% | |
Bass Pro Group LLC (ICE LIBOR plus 425 bps), | | | | | | | | |
5.000%, 3-5-28 | | | 674 | | | | 678 | |
Jo-Ann Stores, Inc. (ICE LIBOR plus 500 bps), | | | | | | | | |
6.000%, 10-16-23 | | | 8,582 | | | | 8,583 | |
Michaels Cos., Inc. (The) (1-Month ICE LIBOR plus 425 bps), | | | | | | | | |
5.000%, 4-15-28 | | | 3,166 | | | | 3,183 | |
PetSmart, Inc. (ICE LIBOR plus 375 bps), | | | | | | | | |
4.500%, 2-12-28 | | | 7,210 | | | | 7,224 | |
Staples, Inc. (ICE LIBOR plus 500 bps), | | | | | | | | |
5.176%, 4-12-26 | | | 5,969 | | | | 5,833 | |
Woof Holdings LLC (1-Month ICE LIBOR plus 725 bps), | | | | | | | | |
8.000%, 12-21-28 | | | 544 | | | | 553 | |
Woof Holdings LLC (ICE LIBOR plus 375 bps), | | | | | | | | |
4.500%, 12-21-27 | | | 878 | | | | 879 | |
| | | | | | | | |
| | | | | | | 26,933 | |
| | | | | | | | |
| |
Textiles – 0.5% | |
SIWF Holdings, Inc. (ICE LIBOR plus 425 bps), | | | | | | | | |
4.343%, 6-15-25 | | | 4,155 | | | | 4,166 | |
| | | | | | | | |
| |
Total Consumer Discretionary – 6.1% | | | | 55,506 | |
| | | | | | | | |
| LOANS (K) (Continued) | | Principal | | | Value | |
Energy | |
| |
Coal & Consumable Fuels – 0.3% | |
Foresight Energy LLC (ICE LIBOR plus 800 bps), | | | | | | | | |
9.500%, 6-29-27 | | $ | 1,552 | | | $ | 1,552 | |
Westmoreland Coal Co. (ICE LIBOR plus 650 bps), | | | | | | | | |
9.250%, 3-15-22 (C) | | | 198 | | | | 191 | |
Westmoreland Mining Holdings LLC (15.000% Cash or 15.000% PIK), | | | | | | | | |
15.000%, 3-15-29 (C)(I) | | | 2,254 | | | | 485 | |
| | | | | | | | |
| | | | | | | 2,228 | |
| | | | | | | | |
| |
Oil & Gas Equipment & Services – 0.1% | |
Larchmont Resources LLC (9.000% Cash or 9.000% PIK), | | | | | | | | |
9.000%, 8-9-21 (C)(E)(I) | | | 778 | | | | 311 | |
McDermott Technology Americas, Inc. (10.925% Cash or 10.925% PIK), | | | | | | | | |
1.093%, 6-30-25 (I) | | | 1,428 | | | | 657 | |
| | | | | | | | |
| | | | | | | 968 | |
| | | | | | | | |
| |
Oil & Gas Exploration & Production – 0.1% | |
Ascent Resources Utica Holdings LLC (1-Month ICE LIBOR plus 900 bps), | | | | | | | | |
10.000%, 11-1-25 | | | 740 | | | | 820 | |
| | | | | | | | |
| |
Oil & Gas Storage & Transportation – 0.5% | |
EPIC Crude Services L.P. (ICE LIBOR plus 500 bps), | | | | | | | | |
5.140%, 3-1-26 | | | 5,955 | | | | 4,697 | |
| | | | | | | | |
| |
Total Energy – 1.0% | | | | 8,713 | |
Financials | |
| |
Asset Management & Custody Banks – 0.7% | |
Edelman Financial Holdings II, Inc. (ICE LIBOR plus 675 bps), | | | | | | | | |
6.845%, 7-20-26 | | | 6,487 | | | | 6,534 | |
| | | | | | | | |
| |
Insurance Brokers – 0.8% | |
Navacord Corp.: | | | | | | | | |
5.000%, 3-16-28 (C)(N) | | | CAD1,162 | | | | 945 | |
0.000%, 3-16-29 (C)(M)(N) | | | 260 | | | | 210 | |
Navacord Corp. (1-Month CDOR plus 425 bps), | | | | | | | | |
5.000%, 3-16-28 (C)(N) | | | 5,116 | | | | 4,158 | |
Navacord Corp. (1-Month CDOR plus 750 bps), | | | | | | | | |
8.000%, 3-16-29 (C)(N) | | | 2,586 | | | | 2,091 | |
| | | | | | | | |
| | | | | | | 7,404 | |
| | | | | | | | |
| |
Property & Casualty Insurance – 0.9% | |
Amynta Agency Borrower, Inc. (ICE LIBOR plus 400 bps), | | | | | | | | |
4.604%, 2-28-25 | | $ | 8,716 | | | | 8,716 | |
| | | | | | | | |
| | | | | | |
| 28 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP HIGH INCOME (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| LOANS (K) (Continued) | | Principal | | | Value | |
Specialized Finance – 0.5% | |
Gulf Finance LLC (ICE LIBOR plus 525 bps), | | | | | | | | |
6.250%, 8-25-23 | | $ | 5,986 | | | $ | 5,102 | |
Lealand Finance Co. B.V., | | | | | | | | |
0.000%, 6-30-24 (C)(M) | | | 23 | | | | 15 | |
Lealand Finance Co. B.V. (ICE LIBOR plus 300 bps), | | | | | | | | |
3.113%, 6-30-24 (C) | | | 72 | | | | 47 | |
| | | | | | | | |
| | | | | | | 5,164 | |
| | | | | | | | |
| | |
Total Financials — 2.9% | | | | | | | 27,818 | |
Health Care | |
| |
Health Care Facilities – 0.3% | |
Surgery Center Holdings, Inc., | | | | | | | | |
4.500%, 8-31-26 | | | 3,237 | | | | 3,255 | |
| | | | | | | | |
| |
Health Care Services – 2.0% | |
Heartland Dental LLC (ICE LIBOR plus 375 bps), | | | | | | | | |
3.604%, 4-30-25 | | | 7,148 | | | | 7,077 | |
U.S. Renal Care, Inc. (3-Month ICE LIBOR plus 500 bps), | | | | | | | | |
5.125%, 7-26-26 | | | 10,774 | | | | 10,835 | |
| | | | | | | | |
| | | | | | | 17,912 | |
| | | | | | | | |
| |
Total Health Care — 2.3% | | | | 21,167 | |
Industrials | |
| |
Building Products – 0.5% | |
CP Atlas Buyer, Inc. (ICE LIBOR plus 375 bps), | | | | | | | | |
4.250%, 11-23-27 | | | 4,440 | | | | 4,434 | |
| | | | | | | | |
| |
Construction & Engineering – 0.2% | |
WaterBridge Midstream Operating LLC (3-Month ICE LIBOR plus 575 bps), | | | | | | | | |
6.750%, 6-21-26 | | | 1,998 | | | | 1,921 | |
| | | | | | | | |
| |
Industrial Conglomerates – 1.7% | |
PAE Holding Corp. (ICE LIBOR plus 450 bps), | | | | | | | | |
5.250%, 10-19-27 | | | 15,484 | | | | 15,529 | |
| | | | | | | | |
| |
Industrial Machinery – 1.3% | |
Form Technologies LLC (ICE LIBOR plus 475 bps), | | | | | | | | |
5.750%, 7-22-25 (C) | | | 12,064 | | | | 12,109 | |
| | | | | | | | |
| |
Research & Consulting Services – 0.2% | |
Ankura Consulting Group LLC (ICE LIBOR plus 450 bps), | | | | | | | | |
5.250%, 3-17-28 (C) | | | 1,575 | | | | 1,581 | |
| | | | | | | | |
| | |
Total Industrials — 3.9% | | | | | | | 35,574 | |
| | | | | | | | |
| LOANS (K) (Continued) | | Principal | | | Value | |
Information Technology | |
| |
Application Software – 0.5% | |
Applied Systems, Inc. (ICE LIBOR plus 550 bps), | | | | | | | | |
6.250%, 9-19-25 | | $ | 4,178 | | | $ | 4,248 | |
| | | | | | | | |
| |
Communications Equipment – 1.1% | |
MLN U.S. Holdco LLC (ICE LIBOR plus 450 bps), | | | | | | | | |
4.586%, 11-30-25 | | | 9,129 | | | | 8,414 | |
MLN U.S. Holdco LLC (ICE LIBOR plus 875 bps), | | | | | | | | |
8.836%, 11-30-26 | | | 2,920 | | | | 1,719 | |
| | | | | | | | |
| | | | | | | 10,133 | |
| | | | | | | | |
| |
Data Processing & Outsourced Services – 1.7% | |
CommerceHub, Inc. (1-Month ICE LIBOR plus 475 bps), | | | | | | | | |
7.750%, 12-2-28 (C) | | | 3,112 | | | | 3,166 | |
CommerceHub, Inc. (ICE LIBOR plus 400 bps), | | | | | | | | |
4.750%, 12-2-27 (C) | | | 2,928 | | | | 2,939 | |
Cyxtera DC Holdings, Inc. (ICE LIBOR plus 300 bps), | | | | | | | | |
8.250%, 5-1-25 | | | 4,758 | | | | 4,731 | |
Cyxtera DC Holdings, Inc. (ICE LIBOR plus 325 bps), | | | | | | | | |
4.000%, 5-1-24 | | | 5,244 | | | | 5,123 | |
| | | | | | | | |
| | | | | | | 15,959 | |
| | | | | | | | |
| |
Internet Services & Infrastructure – 0.5% | |
Informatica LLC, | | | | | | | | |
7.125%, 2-25-25 | | | 4,147 | | | | 4,251 | |
| | | | | | | | |
| |
IT Consulting & Other Services – 1.1% | |
Gainwell Acquisition Corp. (ICE LIBOR plus 400 bps), | | | | | | | | |
4.750%, 10-1-27 | | | 7,658 | | | | 7,692 | |
Ivanti Software, Inc. (1-Month ICE LIBOR plus 400 bps), | | | | | | | | |
4.750%, 12-1-27 | | | 746 | | | | 744 | |
Ivanti Software, Inc. (1-Month U.S. LIBOR plus 475 bps), | | | | | | | | |
5.750%, 12-1-27 | | | 1,865 | | | | 1,870 | |
| | | | | | | | |
| | | | | | | 10,306 | |
| | | | | | | | |
| | |
Total Information Technology — 4.9% | | | | | | | 44,897 | |
Materials | |
| |
Construction Materials – 0.7% | |
Hillman Group, Inc. (The) (ICE LIBOR plus 350 bps), | | | | | | | | |
4.104%, 5-31-25 | | | 5,921 | | | | 5,917 | |
| | | | | | | | |
| | | | | | | | |
| LOANS (K) (Continued) | | Principal | | | Value | |
Specialty Chemicals – 0.1% | |
NIC Acquisition Corp. (1-Month ICE LIBOR plus 375 bps), | | | | | | | | |
4.500%, 12-29-27 | | $ | 790 | | | $ | 790 | |
NIC Acquisition Corp. (1-Month ICE LIBOR plus 775 bps), | | | | | | | | |
8.500%, 12-29-28 | | | 504 | | | | 508 | |
| | | | | | | | |
| | | | | | | 1,298 | |
| | | | | | | | |
| | |
Total Materials – 0.8% | | | | | | | 7,215 | |
| |
TOTAL LOANS – 26.1% | | | $ | 240,059 | |
(Cost: $241,790) | | | | | | | | |
| | |
| SHORT-TERM SECURITIES | | Shares | | | | |
Money Market Funds (P) – 10.3% | |
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, 0.010% (O) | | | 25,742 | | | | 25,742 | |
State Street Institutional U.S. Government Money Market Fund – Premier Class, 0.030% | | | 68,405 | | | | 68,405 | |
| | | | | | | | |
| | | | | | | 94,147 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 10.3% | | | $ | 94,147 | |
(Cost: $94,147) | | | | | | | | |
| |
TOTAL INVESTMENT SECURITIES – 101.6% | | | $ | 933,229 | |
(Cost: $943,702) | | | | | | | | |
| |
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.6)% | | | | (14,992 | ) |
| |
NET ASSETS – 100.0% | | | $ | 918,237 | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 29 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP HIGH INCOME (in thousands) |
JUNE 30, 2021 (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 whose value was determined using significant unobservable inputs. |
| (D) | Restricted securities. At June 30, 2021, the Portfolio owned the following restricted securities: |
| | | | | | | | | | | | | | | | | | | | |
| Security | | Acquisition Date(s) | | | Shares | | | Cost | | | Value | | | | |
ASG Warrant Corp. | | | 6-14-18 | | | | 1 | | | $ | 72 | | | $ | – | * | | | | |
BIS Industries Ltd. | | | 12-22-17 | | | | 1,605 | | | | 151 | | | | – | * | | | | |
EP Energy Corp. | | | 10-1-20 | | | | 21 | | | | 410 | | | | 2,089 | | | | | |
Foresight Energy L.P. | | | 6-30-20 -9-8-20 | | | | 186 | | | | 3,639 | | | | 3,120 | | | | | |
Larchmont Resources LLC | | | 12-8-16 | | | | 1 | | | | 340 | | | | 1 | | | | | |
New Cotai Participation Corp., Class B | | | 9-29-20 | | | | 3,073 | | | | 28,520 | | | | 9,743 | | | | | |
Pinnacle Agriculture Enterprises LLC | | | 7-17-20 | | | | 12 | | | | 2,083 | | | | – | * | | | | |
Sabine Oil & Gas Corp. | | | 12-7-16 | | | | – | * | | | 11 | | | | 1 | | | | | |
Studio City International Holdings Ltd. ADR | | | 8-5-20 | | | | 141 | | | | 2,200 | | | | 1,628 | | | | | |
Targa Resources Corp., 9.500% | | | 10-24-17 | | | | 8 | | | | 8,416 | | | | 8,136 | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | $ | 45,842 | | | $ | 24,718 | | | | | |
| | | | | | | | | | | | |
| The | total value of these securities represented 2.7% of net assets at June 30, 2021. |
| (E) | Deemed to be an affiliate due to the Portfolio owning at least 5% of the voting securities. |
| (F) | All or a portion of securities with an aggregate value of $30,363 are on loan. |
| (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) | 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, 2021 the total value of these securities amounted to $455,884 or 49.6% of net assets. |
| (I) | Payment-in-kind bond which may pay interest in additional par and/or in cash. Rates shown are the current rate and possible payment rates. |
| (J) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at June 30, 2021. |
| (K) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2021. Description of the reference rate and spread, if applicable, are included in the security description. |
| (L) | Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
| (M) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
| (N) | Principal amounts are denominated in the indicated foreign currency, where applicable (CAD—Canadian Dollar). |
| (O) | Investment made with cash collateral received from securities on loan. |
| (P) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following forward foreign currency contracts were outstanding at June 30, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Currency to be
Delivered | | | | | Currency to be
Received | | | Settlement
Date | | | Counterparty | | Unrealized
Appreciation | | | Unrealized
Depreciation | | | | |
Canadian Dollar | | | 8,973 | | | U.S. Dollar | | | 7,412 | | | | 9-24-21 | | | Morgan Stanley International | | $ | 174 | | | $ | — | | | | | |
| | | | | | |
| 30 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP HIGH INCOME (in thousands) |
JUNE 30, 2021 (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, 2021. See Note 3 to the Financial Statements for further information regarding fair value measurement.
| | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | |
Assets | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | |
Common Stocks | | | | | | | | | | | | |
Communication Services | | $ | 8,573 | | | $ | — | | | $ | — | |
Consumer Discretionary | | | 12,003 | | | | — | | | | 10,038 | |
Consumer Staples | | | — | | | | — | | | | — | * |
Energy | | | 303 | | | | 4,366 | | | | 3,120 | |
Financials | | | 1,563 | | | | — | | | | — | |
Industrials | | | — | | | | — | | | | — | * |
Total Common Stocks | | $ | 22,442 | | | $ | 4,366 | | | $ | 13,158 | |
Investment Funds | | | 34,927 | | | | — | | | | — | |
Preferred Stocks | | | — | | | | 8,255 | | | | — | |
Warrants | | | 59 | | | | — | | | | — | |
Corporate Debt Securities | | | — | | | | 515,816 | | | | — | |
Loans | | | — | | | | 203,782 | | | | 36,277 | |
Short-Term Securities | | | 94,147 | | | | — | | | | — | |
Total | | $ | 151,575 | | | $ | 732,219 | | | $ | 49,435 | |
Forward Foreign Currency Contracts | | $ | — | | | $ | 174 | | | $ | — | |
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 1-1-21 | | $ | 14,325 | | | $ | 17,036 | |
Net realized gain (loss) | | | (753 | ) | | | 9 | |
Net change in unrealized appreciation (depreciation) | | | 311 | | | | 2,401 | |
Purchases | | | — | | | | 34,677 | |
Sales | | | — | | | | (24,117 | ) |
Amortization/Accretion of premium/discount | | | — | | | | (78 | ) |
Transfers into Level 3 during the period | | | 1,039 | | | | 6,349 | |
Transfers out of Level 3 during the period | | | (1,142 | ) | | | — | |
Ending Balance 6-30-21 | | $ | 13,158 | | | $ | 36,277 | |
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 6-30-21 | | $ | (1,064 | ) | | $ | 241 | |
Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information.
Information about Level 3 fair value measurements:
| | | | | | | | | | | | |
| | | Fair Value at 6-30-21 | | | Valuation Technique(s) | | Unobservable Input(s) | | Input value(s) | |
Assets | | | | | | | | | | | | |
| | | | |
Common Stocks | | $ | 295 | | | Market comparable approach | | Adjusted EBITDA multiple | | | 3.26x and 7.52x | |
| | | 3,120 | | | Market comparable approach | | Illiquidity discount | | | 30.00% | |
| | | 9,743 | | | Market comparable approach | | Financials | | | N/A | |
| | | | | | | | Premium | | | 20.00% | |
| | | | |
Loans | | | 36,277 | | | Third-party valuation service | | Broker quotes | | | N/A | |
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
GTD = Guaranteed
ICE = Intercontinental Exchange
LIBOR = London Interbank Offered Rate
PIK = Payment In Kind
REIT = Real Estate Investment Trusts
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 31 | |
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP INTERNATIONAL CORE EQUITY(a) |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Stocks | | | 98.4% | |
Consumer Discretionary | | | 16.8% | |
Industrials | | | 15.0% | |
Financials | | | 14.0% | |
Health Care | | | 13.4% | |
Consumer Staples | | | 11.4% | |
Information Technology | | | 8.6% | |
Energy | | | 7.4% | |
Materials | | | 6.0% | |
Communication Services | | | 3.9% | |
Utilities | | | 1.4% | |
Real Estate | | | 0.5% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 1.6% | |
Country Weightings
| | | | |
Europe | | | 59.2% | |
France | | | 14.6% | |
United Kingdom | | | 14.3% | |
Germany | | | 14.1% | |
Netherlands | | | 4.7% | |
Other Europe | | | 11.5% | |
Pacific Basin | | | 26.3% | |
Japan | | | 15.3% | |
South Korea | | | 4.2% | |
Other Pacific Basin | | | 6.8% | |
North America | | | 9.7% | |
Canada | | | 6.4% | |
Other North America | | | 3.3% | |
South America | | | 2.6% | |
Other | | | 0.6% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 1.6% | |
Top 10 Equity Holdings
| | | | | | |
| | | |
| Company | | Country | | Sector | | Industry |
Merck KGaA | | Germany | | Health Care | | Pharmaceuticals |
Airbus SE | | France | | Industrials | | Aerospace & Defense |
Banco Bilbao Vizcaya Argentaria S.A. | | Spain | | Financials | | Diversified Banks |
GlaxoSmithKline plc | | United Kingdom | | Health Care | | Pharmaceuticals |
Canada Goose Holdings, Inc. | | Canada | | Consumer Discretionary | | Apparel, Accessories & Luxury Goods |
Carrefour S.A. | | France | | Consumer Staples | | Hypermarkets & Super Centers |
Seven & i Holdings Co. Ltd. | | Japan | | Consumer Staples | | Food Retail |
Samsung Electronics Co. Ltd. | | South Korea | | Information Technology | | Technology Hardware, Storage & Peripherals |
Teck Cominco Ltd. | | Canada | | Materials | | Diversified Metals & Mining |
Beiersdorf Aktiengesellschaft | | Germany | | Consumer Staples | | Personal Products |
See your advisor or www.ivyinvestments.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.
(a)Effective July 1, 2021, the name of Ivy VIP International Core Equity changed to Delaware Ivy VIP International Core Equity.
| | | | | | |
| 32 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP INTERNATIONAL CORE EQUITY (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS | | Shares | | | Value | |
Australia | |
| |
Materials – 1.5% | |
Newcrest Mining Ltd. | | | 510 | | | $ | 9,677 | |
| | | | | | | | |
| |
Total Australia—1.5% | | | $ | 9,677 | |
Brazil | |
| |
Consumer Staples – 1.4% | |
Ambev S.A. | | | 2,673 | | | | 9,167 | |
| | | | | | | | |
| |
Financials – 1.3% | |
Banco Bradesco S.A. | | | 1,614 | | | | 8,353 | |
| | | | | | | | |
| |
Total Brazil – 2.7% | | | $ | 17,520 | |
Canada | |
| |
Consumer Discretionary – 3.2% | |
Canada Goose Holdings, Inc. (A) | | | 281 | | | | 12,293 | |
Dollarama, Inc. | | | 207 | | | | 9,469 | |
| | | | | | | | |
| | | | | | | 21,762 | |
| | | | | | | | |
| |
Energy – 1.5% | |
Suncor Energy, Inc. | | | 416 | | | | 9,966 | |
| | | | | | | | |
| |
Materials – 1.6% | |
Teck Cominco Ltd. | | | 472 | | | | 10,875 | |
| | | | | | | | |
| |
Total Canada – 6.3% | | | $ | 42,603 | |
China | |
| |
Consumer Discretionary – 0.8% | |
Gree Electric Appliances, Inc. of Zhuhai, A Shares | | | 691 | | | | 5,568 | |
| | | | | | | | |
| |
Information Technology – 0.9% | |
Xinyi Solar Holdings Ltd. | | | 2,794 | | | | 6,031 | |
| | | | | | | | |
| |
Total China – 1.7% | | | $ | 11,599 | |
Denmark | |
| |
Health Care – 1.6% | |
Genmab A.S. (A) | | | 26 | | | | 10,616 | |
| | | | | | | | |
| |
Industrials – 1.5% | |
A.P. Moller – Maersk A/S | | | 2 | | | | 6,809 | |
A.P. Moller – Maersk A/S, Class A | | | 1 | | | | 2,961 | |
| | | | | | | | |
| | | | | | | 9,770 | |
| | | | | | | | |
| |
Total Denmark – 3.1% | | | $ | 20,386 | |
France | |
| |
Consumer Discretionary – 1.4% | |
Compagnie Generale des Etablissements Michelin, Class B | | | 58 | | | | 9,313 | |
| | | | | | | | |
| |
Consumer Staples – 1.8% | |
Carrefour S.A. | | | 604 | | | | 11,874 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Energy – 1.4% | |
TotalEnergies SE (B) | | | 209 | | | $ | 9,472 | |
| | | | | | | | |
| |
Financials – 1.0% | |
BNP Paribas S.A. | | | 109 | | | | 6,841 | |
| | | | | | | | |
| |
Industrials – 6.0% | |
Airbus SE | | | 113 | | | | 14,583 | |
Compagnie de Saint-Gobain | | | 112 | | | | 7,393 | |
Schneider Electric S.A. | | | 62 | | | | 9,772 | |
Vinci | | | 76 | | | | 8,063 | |
| | | | | | | | |
| | | | | | | 39,811 | |
| | | | | | | | |
| |
Information Technology – 1.5% | |
Cap Gemini S.A. (B) | | | 53 | | | | 10,267 | |
| | | | | | | | |
| |
Utilities – 1.4% | |
ENGIE S.A. | | | 672 | | | | 9,202 | |
| | | | | | | | |
| |
Total France – 14.5% | | | $ | 96,780 | |
Germany | |
| |
Communication Services – 1.1% | |
Deutsche Telekom AG, Registered Shares | | | 327 | | | | 6,908 | |
| | | | | | | | |
| |
Consumer Discretionary – 1.4% | |
AUTO1 Group SE (A) | | | 69 | | | | 3,012 | |
Continental AG | | | 40 | | | | 5,838 | |
| | | | | | | | |
| | | | | | | 8,850 | |
| | | | | | | | |
| |
Consumer Staples – 1.6% | |
Beiersdorf Aktiengesellschaft | | | 90 | | | | 10,802 | |
| | | | | | | | |
| |
Financials – 1.2% | |
Deutsche Boerse AG | | | 45 | | | | 7,888 | |
| | | | | | | | |
| |
Health Care – 2.6% | |
Merck KGaA | | | 90 | | | | 17,245 | |
| | | | | | | | |
| |
Industrials – 1.7% | |
Hochtief Aktiengesellschaft | | | 42 | | | | 3,261 | |
Siemens AG | | | 53 | | | | 8,402 | |
| | | | | | | | |
| | | | | | | 11,663 | |
| | | | | | | | |
| |
Information Technology – 1.2% | |
SAP AG | | | 57 | | | | 8,053 | |
| | | | | | | | |
| |
Materials – 1.3% | |
HeidelbergCement AG | | | 104 | | | | 8,929 | |
| | | | | | | | |
| |
Real Estate – 0.5% | |
Vonovia SE | | | 54 | | | | 3,516 | |
| | | | | | | | |
| |
Total Germany – 12.6% | | | $ | 83,854 | |
Hong Kong | |
| |
Financials – 1.3% | |
AIA Group Ltd. | | | 714 | | | | 8,872 | |
| | | | | | | | |
| |
Total Hong Kong – 1.3% | | | $ | 8,872 | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
India | |
| |
Energy – 1.1% | |
Reliance Industries Ltd. | | | 258 | | | $ | 7,328 | |
| | | | | | | | |
| |
Total India – 1.1% | | | $ | 7,328 | |
Japan | |
| |
Consumer Discretionary – 4.9% | |
Honda Motor Co. Ltd. | | | 229 | | | | 7,302 | |
Sekisui House Ltd. | | | 356 | | | | 7,303 | |
Subaru Corp. | | | 482 | | | | 9,506 | |
Zozo, Inc. | | | 232 | | | | 7,899 | |
| | | | | | | | |
| | | | | | | 32,010 | |
| | | | | | | | |
| |
Consumer Staples – 1.8% | |
Seven & i Holdings Co. Ltd. | | | 248 | | | | 11,815 | |
| | | | | | | | |
| |
Energy – 1.4% | |
Inpex Corp. (B) | | | 1,203 | | | | 8,974 | |
| | | | | | | | |
| |
Financials – 2.6% | |
ORIX Corp. | | | 575 | | | | 9,703 | |
Tokio Marine Holdings, Inc. | | | 162 | | | | 7,462 | |
| | | | | | | | |
| | | | | | | 17,165 | |
| | | | | | | | |
| |
Health Care – 1.3% | |
Terumo Corp. | | | 214 | | | | 8,678 | |
| | | | | | | | |
| |
Industrials – 1.3% | |
SMC Corp. | | | 15 | | | | 8,805 | |
| | | | | | | | |
| |
Information Technology – 2.2% | |
Renesas Electronics Corp. (A) | | | 346 | | | | 3,738 | |
Shimadzu Corp. | | | 272 | | | | 10,497 | |
| | | | | | | | |
| | | | | | | 14,235 | |
| | | | | | | | |
| |
Total Japan – 15.5% | | | $ | 101,682 | |
Mexico | |
| |
Consumer Staples – 1.4% | |
Fomento Economico Mexicano S.A.B. de C.V. | | | 109 | | | | 9,245 | |
| | | | | | | | |
| |
Materials – 1.0% | |
Fresnillo plc | | | 604 | | | | 6,444 | |
| | | | | | | | |
| |
Total Mexico – 2.4% | | | $ | 15,689 | |
Netherlands | |
| |
Consumer Discretionary – 2.4% | |
Prosus N.V. | | | 89 | | | | 8,745 | |
Stellantis N.V. | | | 379 | | | | 7,425 | |
| | | | | | | | |
| | | | | | | 16,170 | |
| | | | | | | | |
| |
Health Care – 1.2% | |
Koninklijke Philips Electronics N.V., Ordinary Shares (B) | | | 162 | | | | 8,024 | |
| | | | | | | | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 33 | |
| | |
SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP INTERNATIONAL CORE EQUITY (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Industrials – 1.1% | |
Randstad Holding N.V. | | | 92 | | | $ | 6,999 | |
| | | | | | | | |
| |
Total Netherlands – 4.7% | | | $ | 31,193 | |
Norway | |
| |
Financials – 1.4% | |
DNB ASA (A) | | | 420 | | | | 9,144 | |
| | | | | | | | |
| |
Total Norway – 1.4% | | | $ | 9,144 | |
South Africa | |
| |
Materials – 0.6% | |
Mondi plc | | | 155 | | | | 4,070 | |
| | | | | | | | |
| |
Total South Africa – 0.6% | | | $ | 4,070 | |
South Korea | |
| |
Communication Services – 1.3% | |
SK Telecom Co. Ltd. | | | 30 | | | | 8,559 | |
| | | | | | | | |
| |
Industrials – 1.2% | |
LG Corp. | | | 86 | | | | 7,863 | |
| | | | | | | | |
| |
Information Technology – 1.7% | |
Samsung Electronics Co. Ltd. | | | 159 | | | | 11,361 | |
| | | | | | | | |
| |
Total South Korea — 4.2% | | | $ | 27,783 | |
Spain | |
| |
Financials – 2.0% | |
Banco Bilbao Vizcaya Argentaria S.A. | | | 2,132 | | | | 13,216 | |
| | | | | | | | |
| |
Total Spain — 2.0% | | | $ | 13,216 | |
Sweden | |
| |
Consumer Staples – 1.2% | |
Svenska Cellulosa Aktiebolaget SCA (publ), Class B | | | 247 | | | | 8,191 | |
| | | | | | | | |
| |
Industrials – 1.0% | |
Epiroc AB, Class A (A) | | | 204 | | | | 4,653 | |
Epiroc AB, Class B (A) | | | 102 | | | | 2,006 | |
| | | | | | | | |
| | | | | | | 6,659 | |
| | | | | | | | |
| |
Total Sweden — 2.2% | | | $ | 14,850 | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Switzerland | |
| |
Health Care – 1.6% | |
Roche Holdings AG, Genusscheine | | | 28 | | | $ | 10,525 | |
| | | | | | | | |
| |
Industrials – 1.2% | |
Ferguson plc | | | 58 | | | | 8,117 | |
| | | | | | | | |
| |
Total Switzerland — 2.8% | | | $ | 18,642 | |
Taiwan | |
| |
Information Technology – 1.1% | |
Largan Precision Co. Ltd. | | | 65 | | | | 7,232 | |
| | | | | | | | |
| |
Total Taiwan — 1.1% | | | $ | 7,232 | |
United Kingdom | |
| |
Communication Services – 1.5% | |
WPP Group plc | | | 755 | | | | 10,172 | |
| | | | | | | | |
| |
Consumer Discretionary – 1.2% | |
Persimmon plc | | | 188 | | | | 7,691 | |
| | | | | | | | |
| |
Consumer Staples – 2.2% | |
tesco plc | | | 2,351 | | | | 7,251 | |
Unilever plc | | | 125 | | | | 7,343 | |
| | | | | | | | |
| | | | | | | 14,594 | |
| | | | | | | | |
| |
Energy – 2.0% | |
Technip-Coflexip (A) | | | 837 | | | | 9,842 | |
TechnipFMC plc (A) | | | 379 | | | | 3,428 | |
| | | | | | | | |
| | | | | | | 13,270 | |
| | | | | | | | |
| |
Financials – 3.2% | |
Legal & General Group plc | | | 1,859 | | | | 6,625 | |
Lloyds Banking Group plc | | | 12,763 | | | | 8,243 | |
Prudential plc | | | 342 | | | | 6,494 | |
| | | | | | | | |
| | | | | | | 21,362 | |
| | | | | | | | |
| |
Health Care – 4.2% | |
AstraZeneca plc | | | 34 | | | | 4,033 | |
AstraZeneca plc ADR (B) | | | 142 | | | | 8,496 | |
GlaxoSmithKline plc | | | 630 | | | | 12,373 | |
GlaxoSmithKline plc ADR | | | 75 | | | | 2,979 | |
| | | | | | | | |
| | | | | | | 27,881 | |
| | | | | | | | |
| |
Total United Kingdom — 14.3% | | | $ | 94,970 | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
United States | |
| |
Health Care – 0.9% | |
Ortho Clinical Diagnostics Holdings
plc (A) | | | 288 | | | $ | 6,167 | |
| | | | | | | | |
| |
Total United States — 0.9% | | | $ | 6,167 | |
| |
TOTAL COMMON STOCKS – 96.9% | | | $ | 643,257 | |
(Cost: $558,507) | | | | | |
| | |
| PREFERRED STOCKS | | | | | | |
| | |
| Germany | | | | | | |
Consumer Discretionary – 1.5% | |
Volkswagen AG, 2.260% | | | 40 | | | | 10,024 | |
| | | | | | | | |
| |
Total Germany — 1.5% | | | $ | 10,024 | |
| |
TOTAL PREFERRED STOCKS – 1.5% | | | $ | 10,024 | |
(Cost: $7,006) | | | | | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
Money Market Funds (C) – 1.8% | |
State Street Institutional U.S. Government Money Market Fund – Premier Class 0.030% | | | 8,068 | | | | 8,067 | |
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares 0.010%(D) | | | 4,066 | | | | 4,066 | |
| | | | | | | | |
| | | | | | | 12,133 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 1.8% | | | $ | 12,133 | |
(Cost: $12,133) | |
| |
TOTAL INVESTMENT SECURITIES – 100.2% | | | $ | 665,414 | |
(Cost: $577,646) | |
| |
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.2)% | | | | (1,571 | ) |
| |
NET ASSETS – 100.0% | | | $ | 663,843 | |
Notes to Schedule of Investments
| (A) | No dividends were paid during the preceding 12 months. |
| (B) | All or a portion of securities with an aggregate value of $27,932 are on loan. |
| (C) | Rate shown is the annualized 7-day yield at June 30, 2021. |
| (D) | Investment made with cash collateral received from securities on loan. |
| | | | | | |
| 34 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP INTERNATIONAL CORE EQUITY (in thousands) |
JUNE 30, 2021 (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, 2021. 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 | | $ | 643,257 | | | $ | — | | | $ | — | |
Preferred Stocks | | | 10,024 | | | | — | | | | — | |
Short-Term Securities | | | 12,133 | | | | — | | | | — | |
Total | | $ | 665,414 | | | $ | — | | | $ | — | |
The following acronym is used throughout this schedule:
ADR = American Depositary Receipts
Market Sector Diversification
| | | | |
(as a % of net assets) | |
Consumer Discretionary | | | 16.8% | |
Industrials | | | 15.1% | |
Financials | | | 13.9% | |
Health Care | | | 13.4% | |
Consumer Staples | | | 11.4% | |
Information Technology | | | 8.6% | |
Energy | | | 7.4% | |
Materials | | | 6.1% | |
Communication Services | | | 3.8% | |
Utilities | | | 1.4% | |
Real Estate | | | 0.5% | |
Other+ | | | 1.6% | |
+ Includes liabilities (net of cash and other assets), and cash equivalents
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 35 | |
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP MID CAP GROWTH(a) |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Stocks | | | 96.3% | |
Information Technology | | | 32.6% | |
Health Care | | | 21.2% | |
Industrials | | | 14.9% | |
Consumer Discretionary | | | 13.0% | |
Financials | | | 6.2% | |
Communication Services | | | 4.9% | |
Materials | | | 2.3% | |
Consumer Staples | | | 1.2% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | | | 3.7% | |
Top 10 Equity Holdings
| | | | |
| | |
| Company | | Sector | | Industry |
Chipotle Mexican Grill, Inc., Class A | | Consumer Discretionary | | Restaurants |
DocuSign, Inc. | | Information Technology | | Application Software |
CoStar Group, Inc. | | Industrials | | Research & Consulting Services |
DexCom, Inc. | | Health Care | | Health Care Equipment |
MarketAxess Holdings, Inc. | | Financials | | Financial Exchanges & Data |
Monolithic Power Systems, Inc. | | Information Technology | | Semiconductors |
Teradyne, Inc. | | Information Technology | | Semiconductor Equipment |
Electronic Arts, Inc. | | Communication Services | | Interactive Home Entertainment |
Arista Networks, Inc. | | Information Technology | | Communications Equipment |
Ulta Beauty, Inc. | | Consumer Discretionary | | Specialty Stores |
See your advisor or www.ivyinvestments.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.
(a)Effective July 1, 2021, the name of Ivy VIP Mid Cap Growth changed to Delaware Ivy VIP Mid Cap Growth.
| | | | | | |
| 36 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP MID CAP GROWTH (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS | | Shares | | | Value | |
Communication Services | |
| |
Interactive Home Entertainment – 2.2% | |
Electronic Arts, Inc. | | | 116 | | | $ | 16,693 | |
| | | | | | | | |
| |
Interactive Media & Services – 2.7% | |
Pinterest, Inc., Class A (A) | | | 100 | | | | 7,882 | |
Twitter, Inc. (A) | | | 174 | | | | 11,976 | |
| | | | | | | | |
| | | | | | | 19,858 | |
| | | | | | | | |
| |
Total Communication Services – 4.9% | | | | 36,551 | |
Consumer Discretionary | |
| |
Apparel, Accessories & Luxury Goods – 2.3% | |
Canada Goose Holdings, Inc. (A) | | | 196 | | | | 8,557 | |
lululemon athletica, Inc. (A) | | | 24 | | | | 8,669 | |
| | | | | | | | |
| | | | | | | 17,226 | |
| | | | | | | | |
| |
Auto Parts & Equipment – 1.8% | |
BorgWarner, Inc. | | | 278 | | | | 13,512 | |
| | | | | | | | |
| |
General Merchandise Stores – 1.3% | |
Dollar Tree, Inc. (A) | | | 95 | | | | 9,431 | |
| | | | | | | | |
| |
Leisure Facilities – 1.1% | |
Vail Resorts, Inc. | | | 25 | | | | 8,054 | |
| | | | | | | | |
| |
Restaurants – 3.3% | |
Chipotle Mexican Grill, Inc., Class A (A) | | | 16 | | | | 24,531 | |
| | | | | | | | |
| |
Specialty Stores – 3.2% | |
National Vision Holdings, Inc. (A) | | | 174 | | | | 8,919 | |
Ulta Beauty, Inc. (A) | | | 44 | | | | 15,145 | |
| | | | | | | | |
| | | | | | | 24,064 | |
| | | | | | | | |
| |
Total Consumer Discretionary – 13.0% | | | | 96,818 | |
Consumer Staples | |
| |
Packaged Foods & Meats – 1.2% | |
Hershey Foods Corp. | | | 53 | | | | 9,292 | |
| | | | | | | | |
| |
Total Consumer Staples – 1.2% | | | | 9,292 | |
Financials | |
| |
Financial Exchanges & Data – 2.6% | |
MarketAxess Holdings, Inc. | | | 42 | | | | 19,318 | |
| | | | | | | | |
| |
Regional Banks – 3.6% | |
First Republic Bank | | | 74 | | | | 13,895 | |
SVB Financial Group (A) | | | 23 | | | | 12,753 | |
| | | | | | | | |
| | | | | | | 26,648 | |
| | | | | | | | |
| |
Total Financials – 6.2% | | | | 45,966 | |
Health Care | |
| |
Biotechnology – 4.1% | |
Genmab A.S. ADR (A) | | | 251 | | | | 10,231 | |
Horizon Therapeutics plc (A) | | | 98 | | | | 9,177 | |
Seattle Genetics, Inc. (A) | | | 69 | | | | 10,955 | |
| | | | | | | | |
| | | | | | | 30,363 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Health Care Equipment – 10.9% | |
Abiomed, Inc. (A) | | | 33 | | | $ | 10,358 | |
DexCom, Inc. (A) | | | 50 | | | | 21,249 | |
Edwards Lifesciences Corp. (A) | | | 106 | | | | 10,988 | |
Envista Holdings Corp. (A) | | | 223 | | | | 9,640 | |
Glaukos Corp. (A) | | | 79 | | | | 6,659 | |
Intuitive Surgical, Inc. (A) | | | 12 | | | | 11,216 | |
Masimo Corp. (A) | | | 33 | | | | 7,885 | |
Zimmer Holdings, Inc. | | | 23 | | | | 3,626 | |
| | | | | | | | |
| | | | | | | 81,621 | |
| | | | | | | | |
| |
Health Care Technology – 2.0% | |
Cerner Corp. | | | 189 | | | | 14,810 | |
| | | | | | | | |
| |
Life Sciences Tools & Services – 4.2% | |
10x Genomics, Inc., Class A (A) | | | 34 | | | | 6,753 | |
Agilent Technologies, Inc. | | | 62 | | | | 9,101 | |
Repligen Corp. (A) | | | 25 | | | | 4,978 | |
TECHNE Corp. | | | 23 | | | | 10,379 | |
| | | | | | | | |
| | | | | | | 31,211 | |
| | | | | | | | |
| |
Total Health Care – 21.2% | | | | 158,005 | |
Industrials | |
| |
Aerospace & Defense – 0.5% | |
CAE, Inc. (A) | | | 119 | | | | 3,653 | |
| | | | | | | | |
| |
Building Products – 4.5% | |
A. O. Smith Corp. | | | 173 | | | | 12,441 | |
Trane Technologies plc | | | 40 | | | | 7,448 | |
Trex Co., Inc. (A) | | | 131 | | | | 13,371 | |
| | | | | | | | |
| | | | | | | 33,260 | |
| | | | | | | | |
| |
Industrial Machinery – 3.2% | |
IDEX Corp. | | | 48 | | | | 10,576 | |
Middleby Corp. (A) | | | 79 | | | | 13,667 | |
| | | | | | | | |
| | | | | | | 24,243 | |
| | | | | | | | |
| |
Research & Consulting Services – 4.9% | |
CoStar Group, Inc. (A) | | | 267 | | | | 22,083 | |
TransUnion | | | 134 | | | | 14,664 | |
| | | | | | | | |
| | | | | | | 36,747 | |
| | | | | | | | |
| |
Trading Companies & Distributors – 1.8% | |
Fastenal Co. | | | 258 | | | | 13,414 | |
| | | | | | | | |
| |
Total Industrials – 14.9% | | | | 111,317 | |
Information Technology | |
| |
Application Software – 11.3% | |
DocuSign, Inc. (A) | | | 84 | | | | 23,463 | |
Five9, Inc. (A) | | | 74 | | | | 13,489 | |
Guidewire Software, Inc. (A) | | | 99 | | | | 11,166 | |
Paycom Software, Inc. (A) | | | 32 | | | | 11,795 | |
Q2 Holdings, Inc. (A) | | | 34 | | | | 3,516 | |
Tyler Technologies, Inc. (A) | | | 26 | | | | 11,811 | |
Zendesk, Inc. (A) | | | 64 | | | | 9,277 | |
| | | | | | | | |
| | | | | | | 84,517 | |
| | | | | | | | |
| |
Communications Equipment – 2.2% | |
Arista Networks, Inc. (A) | | | 46 | | | | 16,640 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
| |
Electronic Components – 2.0% | |
II-VI, Inc. (A) | | | 203 | | | $ | 14,732 | |
| | | | | | | | |
| |
Electronic Equipment & Instruments – 3.9% | |
Keysight Technologies, Inc. (A) | | | 93 | | | | 14,341 | |
Novanta, Inc. (A) | | | 37 | | | | 4,919 | |
Trimble Navigation Ltd. (A) | | | 121 | | | | 9,930 | |
| | | | | | | | |
| | | | | | | 29,190 | |
| | | | | | | | |
| |
Semiconductor Equipment – 3.5% | |
Brooks Automation, Inc. | | | 85 | | | | 8,065 | |
Teradyne, Inc. | | | 132 | | | | 17,616 | |
| | | | | | | | |
| | | | | | | 25,681 | |
| | | | | | | | |
| |
Semiconductors – 7.9% | |
Marvell Technology Group Ltd. (A) | | | 240 | | | | 13,983 | |
Microchip Technology, Inc. | | | 94 | | | | 14,015 | |
Monolithic Power Systems, Inc. | | | 50 | | | | 18,564 | |
SkyWater Technology, Inc. (A) | | | 62 | | | | 1,784 | |
Universal Display Corp. | | | 46 | | | | 10,242 | |
| | | | | | | | |
| | | | | | | 58,588 | |
| | | | | | | | |
| |
Systems Software – 1.8% | |
CrowdStrike Holdings, Inc., Class A (A) | | | 54 | | | | 13,641 | |
| | | | | | | | |
| |
Total Information Technology – 32.6% | | | | 242,989 | |
Materials | |
| |
Fertilizers & Agricultural Chemicals – 1.0% | |
Scotts Miracle-Gro Co. (The) | | | 41 | | | | 7,923 | |
| | | | | | | | |
| |
Specialty Chemicals – 1.3% | |
RPM International, Inc. | | | 108 | | | | 9,592 | |
| | | | | | | | |
| |
Total Materials – 2.3% | | | | 17,515 | |
| |
TOTAL COMMON STOCKS – 96.3% | | | $ | 718,453 | |
(Cost: $411,904) | | | | | | | | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
Money Market Funds (B) – 3.6% | |
State Street Institutional U.S. Government Money Market Fund – Premier Class, | | | | | | | | |
0.030% | | | 26,583 | | | | 26,583 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 3.6% | | | $ | 26,583 | |
(Cost: $26,583) | | | | | | | | |
| |
TOTAL INVESTMENT SECURITIES – 99.9% | | | $ | 745,036 | |
(Cost: $438,487) | | | | | | | | |
| |
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1% | | | | 642 | |
| |
NET ASSETS – 100.0% | | | $ | 745,678 | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 37 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP MID CAP GROWTH (in thousands) |
JUNE 30, 2021 (UNAUDITED)
Notes to Schedule of Investments
| (A) | No dividends were paid during the preceding 12 months. |
| (B) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following written options were outstanding at June 30, 2021 (contracts and exercise prices unrounded):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Security | | Counterparty, if OTC | | Type | | Number of
Contracts | | | Notional
Amount | | Expiration
Month | | | Exercise
Price | | | Premium
Received | | | Value | | | | |
Glaukos Corp. | | N/A | | Call | | | 75 | | | 8 | | | July 2021 | | | $ | 90.00 | | | $ | 7 | | | $ | (5 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 718,453 | | | $ | — | | | $ | — | |
Short-Term Securities | | | 26,583 | | | | — | | | | — | |
Total | | $ | 745,036 | | | $ | — | | | $ | — | |
Liabilities | | | | | | | | | | | | |
Written Options | | $ | — | | | $ | 5 | | | $ | — | |
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
OTC = Over the Counter
See Accompanying Notes to Financial Statements.
| | | | | | |
| 38 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP NATURAL RESOURCES(a) |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Stocks | | | 97.5% | |
Energy | | | 42.5% | |
Materials | | | 40.3% | |
Industrials | | | 8.9% | |
Consumer Staples | | | 3.8% | |
Information Technology | | | 1.5% | |
Utilities | | | 0.5% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 2.5% | |
Country Weightings
| | | | |
North America | | | 73.1% | |
United States | | | 62.5% | |
Canada | | | 10.6% | |
Europe | | | 12.6% | |
United Kingdom | | | 7.7% | |
France | | | 3.7% | |
Other Europe | | | 1.2% | |
Pacific Basin | | | 5.3% | |
South America | | | 4.7% | |
Other | | | 1.8% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 2.5% | |
Top 10 Equity Holdings
| | | | | | |
| | | |
| Company | | Country | | Sector | | Industry |
Phillips 66 | | United States | | Energy | | Oil & Gas Refining & Marketing |
EOG Resources, Inc. | | United States | | Energy | | Oil & Gas Exploration & Production |
ConocoPhillips | | United States | | Energy | | Oil & Gas Exploration & Production |
Rio Tinto plc | | United Kingdom | | Materials | | Diversified Metals & Mining |
Diamondback Energy, Inc. | | United States | | Energy | | Oil & Gas Exploration & Production |
BHP Group plc | | Australia | | Materials | | Diversified Metals & Mining |
Valero Energy Corp. | | United States | | Energy | | Oil & Gas Refining & Marketing |
Pioneer Natural Resources Co. | | United States | | Energy | | Oil & Gas Exploration & Production |
TotalEnergies SE ADR | | France | | Energy | | Integrated Oil & Gas |
Union Pacific Corp. | | United States | | Industrials | | Railroads |
See your advisor or www.ivyinvestments.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.
(a)Effective July 1, 2021, the name of Ivy VIP Natural Resources changed to Delaware Ivy VIP Natural Resources.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 39 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP NATURAL RESOURCES (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS | | Shares | | | Value | |
Australia | |
| |
Materials – 3.0% | |
BHP Group plc | | | 90 | | | $ | 2,653 | |
| | | | | | | | |
| |
Total Australia – 3.0% | | | $ | 2,653 | |
Brazil | |
| |
Energy – 2.1% | |
Petroleo Brasileiro S.A. – Petrobras ADR | | | 154 | | | | 1,878 | |
| | | | | | | | |
| |
Total Brazil – 2.1% | | | $ | 1,878 | |
Canada | |
| |
Energy – 3.1% | |
Cameco Corp. | | | 26 | | | | 498 | |
Canadian Natural Resources Ltd. | | | 62 | | | | 2,243 | |
| | | | | | | | |
| | | | | | | 2,741 | |
| | | | | | | | |
| |
Industrials – 2.6% | |
Canadian Pacific Railway Ltd. | | | 30 | | | | 2,338 | |
| | | | | | | | |
| |
Materials – 4.9% | |
Agnico-Eagle Mines Ltd. | | | 11 | | | | 666 | |
Barrick Gold Corp. | | | 38 | | | | 787 | |
Franco-Nevada Corp. | | | 12 | | | | 1,691 | |
Pan American Silver Corp. | | | 12 | | | | 332 | |
Wheaton Precious Metals Corp. | | | 19 | | | | 843 | |
| | | | | | | | |
| | | | | | | 4,319 | |
| | | | | | | | |
| |
Total Canada – 10.6% | | | $ | 9,398 | |
Chile | |
| |
Materials – 0.7% | |
Sociedad Quimica y Minera de Chile S.A. ADR | | | 14 | | | | 660 | |
| | | | | | | | |
| |
Total Chile – 0.7% | | | $ | 660 | |
France | |
| |
Energy – 2.7% | |
TotalEnergies SE ADR | | | 52 | | | | 2,344 | |
| | | | | | | | |
| |
Materials – 1.0% | |
L Air Liquide S.A. | | | 5 | | | | 919 | |
| | | | | | | | |
| |
Total France – 3.7% | | | $ | 3,263 | |
Hong Kong | |
| |
Materials – 0.0% | |
China Metal Recycling (Holdings) Ltd. (A)(B) | | | 1,900 | | | | — | * |
| | | | | | | | |
| |
Total Hong Kong – 0.0% | | | $ | — | * |
India | |
| |
Energy – 2.3% | |
Reliance Industries Ltd. | | | 75 | | | | 2,072 | |
| | | | | | | | |
| |
Total India – 2.3% | | | $ | 2,072 | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Peru | |
| |
Materials – 1.9% | |
Southern Copper Corp. | | | 26 | | | $ | 1,698 | |
| | | | | | | | |
| |
Total Peru – 1.9% | | | $ | 1,698 | |
Portugal | |
| |
Energy – 1.2% | |
Galp Energia SGPS S.A., Class B | | | 100 | | | | 1,084 | |
| | | | | | | | |
| |
Total Portugal – 1.2% | | | $ | 1,084 | |
South Africa | |
| |
Materials – 1.8% | |
Mondi plc | | | 60 | | | | 1,566 | |
| | | | | | | | |
| |
Total South Africa – 1.8% | | | $ | 1,566 | |
United Kingdom | |
| |
Materials – 7.7% | |
Anglo American plc | | | 43 | | | | 1,702 | |
Croda International plc | | | 13 | | | | 1,307 | |
Linde plc | | | 4 | | | | 1,038 | |
Rio Tinto plc | | | 33 | | | | 2,735 | |
| | | | | | | | |
| | | | | | | 6,782 | |
| | | | | | | | |
| |
Total United Kingdom – 7.7% | | | $ | 6,782 | |
United States | |
| |
Consumer Staples – 3.8% | |
Bunge Ltd. | | | 21 | | | | 1,645 | |
Darling International, Inc. (A) | | | 6 | | | | 409 | |
Tyson Foods, Inc. | | | 18 | | | | 1,308 | |
| | | | | | | | |
| | | | | | | 3,362 | |
| | | | | | | | |
| |
Energy – 31.1% | |
Cabot Oil & Gas Corp. | | | 45 | | | | 786 | |
Chevron Corp. | | | 21 | | | | 2,229 | |
ConocoPhillips | | | 45 | | | | 2,754 | |
Diamondback Energy, Inc. | | | 28 | | | | 2,665 | |
Enterprise Products Partners L.P. | | | 81 | | | | 1,944 | |
EOG Resources, Inc. | | | 39 | | | | 3,263 | |
Magellan Midstream Partners L.P. | | | 19 | | | | 909 | |
Marathon Petroleum Corp. | | | 37 | | | | 2,236 | |
Phillips 66 | | | 42 | | | | 3,624 | |
Pioneer Natural Resources Co. | | | 15 | | | | 2,368 | |
Schlumberger Ltd. | | | 68 | | | | 2,168 | |
Valero Energy Corp. | | | 32 | | | | 2,514 | |
| | | | | | | | |
| | | | | | | 27,460 | |
| | | | | | | | |
| |
Industrials – 6.3% | |
Tetra Tech, Inc. | | | 8 | | | | 975 | |
Union Pacific Corp. | | | 11 | | | | 2,343 | |
Waste Management, Inc. | | | 6 | | | | 882 | |
Xylem, Inc. | | | 11 | | | | 1,307 | |
| | | | | | | | |
| | | | | | | 5,507 | |
| | | | | | | | |
| |
Information Technology – 1.5% | |
Enphase Energy, Inc. (A) | | | 7 | | | | 1,277 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Materials – 19.3% | |
Air Products and Chemicals, Inc. | | | 5 | | | $ | 1,369 | |
Albemarle Corp. | | | 7 | | | | 1,123 | |
AptarGroup, Inc. | | | 7 | | | | 1,007 | |
Avery Dennison Corp. | | | 7 | | | | 1,367 | |
Ball Corp. | | | 10 | | | | 772 | |
Danimer Scientific, Inc.
Class A (A)(C) | | | 6 | | | | 151 | |
Ecolab, Inc. | | | 5 | | | | 1,022 | |
FMC Corp. | | | 15 | | | | 1,632 | |
Huntsman Corp. | | | 47 | | | | 1,248 | |
Martin Marietta Materials, Inc. | | | 3 | | | | 1,120 | |
Newmont Corp. | | | 11 | | | | 692 | |
Packaging Corp. of America | | | 9 | | | | 1,242 | |
PPG Industries, Inc. | | | 7 | | | | 1,108 | |
Scotts Miracle-Gro Co. (The) | | | 3 | | | | 512 | |
Sherwin-Williams Co. (The) | | | 6 | | | | 1,580 | |
Steel Dynamics, Inc. | | | 18 | | | | 1,076 | |
| | | | | | | | |
| | | | | | | 17,021 | |
| | | | | | | | |
| |
Utilities – 0.5% | |
American Water Works Co., Inc. | | | 3 | | | | 443 | |
| | | | | | | | |
| |
Total United States – 62.5% | | | $ | 55,070 | |
| |
TOTAL COMMON STOCKS – 97.5% | | | $ | 86,124 | |
(Cost: $79,981) | | | | | | | | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
Money Market Funds (D) – 2.6% | |
State Street Institutional U.S. Government Money Market Fund – Premier Class | | | | | | | | |
0.030% | | | 2,178 | | | | 2,178 | |
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares | | | | | | | | |
0.010% (E) | | | 151 | | | | 151 | |
| | | | | | | | |
| | | | | | | 2,329 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 2.6% | | | $ | 2,329 | |
(Cost: $2,329) | | | | | | | | |
| |
TOTAL INVESTMENT SECURITIES – 100.1% | | | $ | 88,453 | |
(Cost: $82,310) | | | | | | | | |
| |
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.1)% | | | | (96 | ) |
| |
NET ASSETS – 100.0% | | | $ | 88,357 | |
| | | | | | |
| 40 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP NATURAL RESOURCES (in thousands) |
JUNE 30, 2021 (UNAUDITED)
Notes to Schedule of Investments
| * | Not shown due to rounding. |
| (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 $147 are on loan. |
| (D) | Rate shown is the annualized 7-day yield at June 30, 2021. |
| (E) | Investment made with cash collateral received from securities on loan. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 86,124 | | | $ | — | | | $ | — | * |
Short-Term Securities | | | 2,329 | | | | — | | | | — | |
Total | | $ | 88,453 | | | $ | — | | | $ | — | * |
During the period ended June 30, 2021, there were no transfers in or out of Level 3.
The following acronym is used throughout this schedule:
ADR = American Depositary Receipts
Market Sector Diversification
| | | | |
(as a % of net assets) | | | | |
Energy | | | 42.5% | |
Materials | | | 40.3% | |
Industrials | | | 8.9% | |
Consumer Staples | | | 3.8% | |
Information Technology | | | 1.5% | |
Utilities | | | 0.5% | |
Other+ | | | 2.5% | |
+Includes liabilities (net of cash and other assets), and cash equivalents
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 41 | |
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP SCIENCE AND TECHNOLOGY(a) |
ALL DATA AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Stocks | | | 98.5% | |
Information Technology | | | 60.8% | |
Communication Services | | | 17.6% | |
Health Care | | | 10.5% | |
Consumer Discretionary | | | 8.1% | |
Industrials | | | 1.2% | |
Materials | | | 0.3% | |
Warrants | | | 0.0% | |
Bonds | | | 0.0% | |
Corporate Debt Securities | | | 0.0% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 1.5% | |
Country Weightings
| | | | |
North America | | | 81.4% | |
United States | | | 80.8% | |
Other North America | | | 0.6% | |
Europe | | | 9.3% | |
Netherlands | | | 4.9% | |
Other Europe | | | 4.4% | |
Pacific Basin | | | 7.8% | |
Other | | | 0.0% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 1.5% | |
Top 10 Equity Holdings
| | | | | | |
| | | |
| Company | | Country | | Sector | | Industry |
Microsoft Corp. | | United States | | Information Technology | | Systems Software |
Facebook, Inc., Class A | | United States | | Communication Services | | Interactive Media & Services |
Micron Technology, Inc. | | United States | | Information Technology | | Semiconductors |
Apple, Inc. | | United States | | Information Technology | | Technology Hardware, Storage & Peripherals |
Amazon.com, Inc. | | United States | | Consumer Discretionary | | Internet & Direct Marketing Retail |
ASML Holding N.V., NY Registry Shares | | Netherlands | | Information Technology | | Semiconductor Equipment |
Aspen Technology, Inc. | | United States | | Information Technology | | Application Software |
Alphabet, Inc., Class C | | United States | | Communication Services | | Interactive Media & Services |
Moderna, Inc. | | United States | | Health Care | | Biotechnology |
Alphabet, Inc., Class A | | United States | | Communication Services | | Interactive Media & Services |
See your advisor or www.ivyinvestments.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.
(a)Effective July 1, 2021, the name of Ivy VIP Science and Technology changed to Delaware Ivy VIP Science and Technology.
| | | | | | |
| 42 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP SCIENCE AND TECHNOLOGY (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS | | Shares | | | Value | |
Communication Services | |
| |
Interactive Media & Services – 16.6% | |
Alphabet, Inc., Class A (A) | | | 9 | | | $ | 22,525 | |
Alphabet, Inc., Class C (A) | | | 9 | | | | 23,028 | |
Facebook, Inc., Class A (A) | | | 148 | | | | 51,372 | |
IAC/InterActiveCorp (A) | | | 32 | | | | 4,906 | |
Pinterest, Inc., Class A (A) | | | 78 | | | | 6,156 | |
Snap, Inc., Class A (A) | | | 57 | | | | 3,907 | |
Tencent Holdings Ltd. (B) | | | 55 | | | | 4,129 | |
Vimeo, Inc. (A) | | | 46 | | | | 2,262 | |
| | | | | | | | |
| | | | | | | 118,285 | |
| | | | | | | | |
| |
Wireless Telecommunication Service – 1.0% | |
T-Mobile U.S., Inc. (A) | | | 49 | | | | 7,137 | |
| | | | | | | | |
| |
Total Communication Services – 17.6% | | | | 125,422 | |
Consumer Discretionary | |
| |
Auto Parts & Equipment – 0.6% | |
Luminar Technologies, Inc., Class A (A) | | | 194 | | | | 4,252 | |
| | | | | | | | |
| |
Internet & Direct Marketing Retail – 7.5% | |
Alibaba Group Holding Ltd. ADR (A) | | | 74 | | | | 16,866 | |
Amazon.com, Inc. (A) | | | 11 | | | | 36,889 | |
| | | | | | | | |
| | | | | | | 53,755 | |
| | | | | | | | |
| |
Total Consumer Discretionary – 8.1% | | | | 58,007 | |
Health Care | |
| |
Biotechnology – 7.0% | |
CRISPR Therapeutics AG (A) | | | 59 | | | | 9,564 | |
Moderna, Inc. (A) | | | 96 | | | | 22,575 | |
Vertex Pharmaceuticals, Inc. (A)(C) | | | 89 | | | | 17,920 | |
| | | | | | | | |
| | | | | | | 50,059 | |
| | | | | | | | |
| |
Health Care Technology – 3.5% | |
Cerner Corp. | | | 238 | | | | 18,569 | |
Teladoc Health, Inc. (A) | | | 37 | | | | 6,121 | |
| | | | | | | | |
| | | | | | | 24,690 | |
| | | | | | | | |
| |
Total Health Care – 10.5% | | | | 74,749 | |
Industrials | |
| |
Industrial Machinery – 0.0% | |
Kornit Digital Ltd. (A) | | | 1 | | | | 179 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Trucking – 1.2% | |
Uber Technologies, Inc. (A) | | | 170 | | | $ | 8,506 | |
| | | | | | | | |
| |
Total Industrials – 1.2% | | | | 8,685 | |
Information Technology | |
| |
Application Software – 7.2% | |
ACI Worldwide, Inc. (A) | | | 501 | | | | 18,616 | |
Aspen Technology, Inc. (A) | | | 185 | | | | 25,409 | |
Intuit, Inc. | | | 14 | | | | 7,080 | |
| | | | | | | | |
| | | | | | | 51,105 | |
| | | | | | | | |
| |
Data Processing & Outsourced Services – 10.5% | |
Euronet Worldwide, Inc. (A) | | | 124 | | | | 16,811 | |
MasterCard, Inc., Class A | | | 43 | | | | 15,615 | |
PayPal, Inc. (A) | | | 60 | | | | 17,397 | |
TELUS International, Inc. (A) | | | 128 | | | | 3,993 | |
WNS (Holdings) Ltd. ADR (A) | | | 263 | | | | 21,043 | |
| | | | | | | | |
| | | | | | | 74,859 | |
| | | | | | | | |
| |
Semiconductor Equipment – 4.9% | |
ASML Holding N.V., NY Registry Shares | | | 51 | | | | 35,088 | |
| | | | | | | | |
| |
Semiconductors – 21.1% | |
Infineon Technologies AG (B) | | | 558 | | | | 22,369 | |
Intel Corp. | | | 177 | | | | 9,920 | |
Microchip Technology, Inc. | | | 79 | | | | 11,831 | |
Micron Technology, Inc. (A) | | | 506 | | | | 42,971 | |
NVIDIA Corp. | | | 17 | | | | 13,759 | |
ON Semiconductor Corp. (A) | | | 200 | | | | 7,658 | |
QUALCOMM, Inc. | | | 51 | | | | 7,279 | |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | | | 115 | | | | 13,873 | |
Universal Display Corp. | | | 94 | | | | 20,945 | |
| | | | | | | | |
| | | | | | | 150,605 | |
| | | | | | | | |
| |
Systems Software – 11.8% | |
Microsoft Corp. | | | 240 | | | | 65,135 | |
ServiceNow, Inc. (A) | | | 36 | | | | 19,528 | |
| | | | | | | | |
| | | | | | | 84,663 | |
| | | | | | | | |
| |
Technology Hardware, Storage & Peripherals – 5.3% | |
Apple, Inc. | | | 275 | | | | 37,666 | |
| | | | | | | | |
| |
Total Information Technology – 60.8% | | | | 433,986 | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Materials | |
| |
Fertilizers & Agricultural Chemicals – 0.3% | |
Marrone Bio Innovations, Inc. (A) | | | 1,263 | | | $ | 2,097 | |
| | | | | | | | |
| |
Total Materials – 0.3% | | | | 2,097 | |
| |
TOTAL COMMON STOCKS – 98.5% | | | $ | 702,946 | |
(Cost: $305,391) | | | | | | | | |
| | |
| WARRANTS | | | | | | |
Fertilizers & Agricultural Chemicals – 0.0% | |
Marrone Bio Innovations, Inc., expires 12-15-21 (D)(E) | | | 32 | | | | 29 | |
| | | | | | | | |
| |
TOTAL WARRANTS – 0.0% | | | $ | 29 | |
(Cost: $ – ) | | | | | | | | |
| | |
| CORPORATE DEBT SECURITIES | | Principal | | | | |
Materials | |
| |
Fertilizers & Agricultural Chemicals – 0.0% | |
Marrone Bio Innovations, Inc., | | | | | | | | |
8.000%, 12-31-22 (D) | | $ | 288 | | | | 298 | |
| | | | | | | | |
| |
Total Materials – 0.0% | | | | 298 | |
| |
TOTAL CORPORATE DEBT SECURITIES – 0.0% | | | $ | 298 | |
(Cost: $287) | | | | | | | | |
| | |
| SHORT-TERM SECURITIES | | Shares | | | | |
Money Market Funds (F) – 2.1% | |
State Street Institutional U.S. Government Money Market Fund – Premier Class, | | | | | | | | |
0.030% | | | 15,259 | | | | 15,259 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 2.1% | | | $ | 15,259 | |
(Cost: $15,259) | | | | | | | | |
| |
TOTAL INVESTMENT SECURITIES – 100.6% | | | $ | 718,532 | |
(Cost: $320,937) | | | | | | | | |
| |
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.6)% | | | | (4,520 | ) |
| |
NET ASSETS – 100.0% | | | $ | 714,012 | |
Notes to Schedule of Investments
| (A) | No dividends were paid during the preceding 12 months. |
| (B) | Listed on an exchange outside the United States. |
| (C) | All or a portion of securities with an aggregate value of $81 are held in collateralized accounts to cover potential obligations with respect to outstanding written options. |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 43 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP SCIENCE AND TECHNOLOGY (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| (D) | Restricted securities. At June 30, 2021, the Portfolio owned the following restricted securities: |
| | | | | | | | | | | | | | | | | | | | |
| Security | | Acquisition Date(s) | | | Principal | | | Cost | | | Value | | | | |
Marrone Bio Innovations, Inc., 8.000%, 12-31-22 | | | 8-20-15 | | | $ | 288 | | | $ | 288 | | | $ | 298 | | | | | |
| | | | | |
| | | | | | Shares | | | | | | | | | | |
Marrone Bio Innovations, Inc., expires 12-15-21 | | | 5-1-20 | | | | 32 | | | $ | — | | | $ | 29 | | | | | |
| | | | | | | | | | | | |
| | | | | | | | | | $ | 288 | | | $ | 327 | | | | | |
| | | | | | | | | | | | |
| | The total value of these securities represented 0.0% of net assets at June 30, 2021. |
| (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 annualized 7-day yield at June 30, 2021. |
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 702,946 | | | $ | — | | | $ | — | |
Warrants | | | — | | | | 29 | | | | — | |
Corporate Debt Securities | | | — | | | | 298 | | | | — | |
Short-Term Securities | | | 15,259 | | | | — | | | | — | |
Total | | $ | 718,205 | | | $ | 327 | | | $ | — | |
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
REIT = Real Estate Investment Trusts
Country Diversification
| | | | |
(as a % of net assets) | | | | |
United States | | | 80.8% | |
Netherlands | | | 4.9% | |
Germany | | | 3.1% | |
India | | | 2.9% | |
China | | | 2.9% | |
Taiwan | | | 2.0% | |
Switzerland | | | 1.3% | |
Other Countries | | | 0.6% | |
Other+ | | | 1.5% | |
+Includes liabilities (net of cash and other assets), and cash equivalents
See Accompanying Notes to Financial Statements.
| | | | | | |
| 44 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| PORTFOLIO HIGHLIGHTS | | DELWARE IVY VIP SMALL CAP CORE(a) |
ALL DATA AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Stocks | | | 98.3% | |
Consumer Discretionary | | | 20.4% | |
Industrials | | | 19.9% | |
Health Care | | | 16.9% | |
Financials | | | 14.7% | |
Information Technology | | | 11.3% | |
Materials | | | 6.3% | |
Energy | | | 4.7% | |
Communication Services | | | 1.7% | |
Consumer Staples | | | 1.2% | |
Real Estate | | | 1.2% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 1.7% | |
Top 10 Equity Holdings
| | | | |
| | |
| Company | | Sector | | Industry |
Skechers USA, Inc. | | Consumer Discretionary | | Footwear |
Pinnacle Financial Partners, Inc. | | Financials | | Regional Banks |
Triton International Ltd. | | Industrials | | Trading Companies & Distributors |
Varonis Systems, Inc. | | Information Technology | | Systems Software |
Element Solutions, Inc. | | Materials | | Specialty Chemicals |
Tabula Rasa HealthCare, Inc. | | Health Care | | Health Care Technology |
Beacon Roofing Supply, Inc. | | Industrials | | Trading Companies & Distributors |
LPL Investment Holdings, Inc. | | Financials | | Investment Banking & Brokerage |
Encompass Health Corp. | | Health Care | | Health Care Facilities |
TopBuild Corp. | | Consumer Discretionary | | Homebuilding |
See your advisor or www.ivyinvestments.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.
(a)Effective July 1, 2021, the name of Ivy VIP Small Cap Core changed to Delaware Ivy VIP Small Cap Core.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 45 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP SMALL CAP CORE (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS | | Shares | | | Value | |
Communication Services | |
| |
Interactive Media & Services – 1.7% | |
TripAdvisor, Inc. (A) | | | 82 | | | $ | 3,306 | |
| | | | | | | | |
| |
Total Communication Services – 1.7% | | | | 3,306 | |
Consumer Discretionary | |
| |
Apparel Retail – 2.1% | |
American Eagle Outfitters, Inc. | | | 54 | | | | 2,035 | |
Boot Barn Holdings, Inc. (A) | | | 25 | | | | 2,135 | |
| | | | | | | | |
| | | | | | | 4,170 | |
| | | | | | | | |
| |
Auto Parts & Equipment – 3.3% | |
Dana Holding Corp. | | | 75 | | | | 1,793 | |
Visteon Corp. (A) | | | 39 | | | | 4,710 | |
| | | | | | | | |
| | | | | | | 6,503 | |
| | | | | | | | |
| |
Automotive Retail – 2.1% | |
Murphy USA, Inc. | | | 31 | | | | 4,194 | |
| | | | | | | | |
| |
Education Services – 1.6% | |
2U, Inc. (A) | | | 78 | | | | 3,255 | |
| | | | | | | | |
| |
Footwear – 4.3% | |
Skechers USA, Inc. (A) | | | 169 | | | | 8,442 | |
| | | | | | | | |
| |
Homebuilding – 2.5% | |
TopBuild Corp. (A) | | | 25 | | | | 4,935 | |
| | | | | | | | |
| |
Internet & Direct Marketing Retail – 1.7% | |
Groupon, Inc. (A) | | | 32 | | | | 1,367 | |
Shutterstock, Inc. | | | 21 | | | | 2,073 | |
| | | | | | | | |
| | | | | | | 3,440 | |
| | | | | | | | |
| |
Leisure Products – 1.2% | |
Latham Group, Inc. (A) | | | 73 | | | | 2,336 | |
| | | | | | | | |
| |
Restaurants – 1.6% | |
Brinker International, Inc. (A) | | | 52 | | | | 3,188 | |
| | | | | | | | |
| |
Total Consumer Discretionary – 20.4% | | | | 40,463 | |
Consumer Staples | |
| |
Packaged Foods & Meats – 0.5% | |
Utz Brands, Inc. (A) | | | 45 | | | | 971 | |
| | | | | | | | |
| |
Personal Products – 0.7% | |
BellRing Brands, Inc., Class A (A) | | | 44 | | | | 1,389 | |
| | | | | | | | |
| |
Total Consumer Staples – 1.2% | | | | 2,360 | |
Energy | |
| |
Oil & Gas Equipment & Services – 0.7% | |
Liberty Oilfield Services, Inc., Class A (A) | | | 102 | | | | 1,447 | |
| | | | | | | | |
| |
Oil & Gas Exploration & Production – 3.0% | |
Chesapeake Energy Corp. | | | 40 | | | | 2,053 | |
Cimarex Energy Co. | | | 53 | | | | 3,813 | |
| | | | | | | | |
| | | | | | | 5,866 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Oil & Gas Refining & Marketing – 1.0% | |
Green Plains, Inc. (A) | | | 57 | | | $ | 1,902 | |
| | | | | | | | |
| |
Total Energy – 4.7% | | | | 9,215 | |
Financials | |
| |
Investment Banking & Brokerage – 2.6% | |
LPL Investment Holdings, Inc. | | | 38 | | | | 5,072 | |
| | | | | | | | |
| |
Regional Banks – 9.8% | |
BankUnited, Inc. | | | 110 | | | | 4,683 | |
First Horizon Corp. | | | 63 | | | | 1,089 | |
Pinnacle Financial Partners, Inc. | | | 78 | | | | 6,899 | |
United Community Banks, Inc. | | | 76 | | | | 2,419 | |
Webster Financial Corp. | | | 83 | | | | 4,422 | |
| | | | | | | | |
| | | | | | | 19,512 | |
| | | | | | | | |
| |
Thrifts & Mortgage Finance – 2.3% | |
Essent Group Ltd. | | | 102 | | | | 4,582 | |
| | | | | | | | |
| |
Total Financials – 14.7% | | | | 29,166 | |
Health Care | |
| |
Biotechnology – 3.4% | |
Halozyme Therapeutics, Inc. (A) | | | 104 | | | | 4,707 | |
Vericel Corp. (A)(B) | | | 39 | | | | 2,068 | |
| | | | | | | | |
| | | | | | | 6,775 | |
| | | | | | | | |
| |
Health Care Equipment – 2.7% | |
Cryoport, Inc. (A) | | | 30 | | | | 1,907 | |
Envista Holdings Corp. (A) | | | 77 | | | | 3,345 | |
| | | | | | | | |
| | | | | | | 5,252 | |
| | | | | | | | |
| |
Health Care Facilities – 2.5% | |
Encompass Health Corp. | | | 64 | | | | 4,997 | |
| | | | | | | | |
| |
Health Care Supplies – 3.1% | |
SI-BONE, Inc. (A) | | | 88 | | | | 2,765 | |
Sientra, Inc. (A) | | | 432 | | | | 3,441 | |
| | | | | | | | |
| | | | | | | 6,206 | |
| | | | | | | | |
| |
Health Care Technology – 2.7% | |
Tabula Rasa HealthCare,
Inc. (A)(B) | | | 107 | | | | 5,359 | |
| | | | | | | | |
| |
Life Sciences Tools & Services – 0.7% | |
Maravai LifeSciences Holdings, Inc., Class A (A) | | | 34 | | | | 1,415 | |
| | | | | | | | |
| |
Managed Health Care – 0.6% | |
HealthEquity, Inc. (A) | | | 14 | | | | 1,144 | |
| | | | | | | | |
| |
Pharmaceuticals – 1.2% | |
Pacira Pharmaceuticals, Inc. (A) | | | 39 | | | | 2,356 | |
| | | | | | | | |
| |
Total Health Care – 16.9% | | | | 33,504 | |
Industrials | |
| |
Agricultural & Farm Machinery – 0.9% | |
AGCO Corp. | | | 13 | | | | 1,700 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Construction & Engineering – 2.3% | |
Valmont Industries, Inc. | | | 19 | | | $ | 4,592 | |
| | | | | | | | |
| |
Electrical Components & Equipment – 2.5% | |
Regal-Beloit Corp. | | | 37 | | | | 4,929 | |
| | | | | | | | |
| |
Environmental & Facilities Services – 1.0% | |
Clean Harbors, Inc. (A) | | | 20 | | | | 1,898 | |
| | | | | | | | |
| |
Industrial Machinery – 1.7% | |
Kornit Digital Ltd. (A) | | | 28 | | | | 3,424 | |
| | | | | | | | |
| |
Marine – 1.4% | |
Kirby Corp. (A) | | | 45 | | | | 2,751 | |
| | | | | | | | |
| |
Research & Consulting Services – 2.0% | |
ICF International, Inc. | | | 45 | | | | 3,949 | |
| | | | | | | | |
| |
Trading Companies & Distributors – 5.6% | |
Beacon Roofing Supply, Inc. (A) | | | 99 | | | | 5,286 | |
Triton International Ltd. | | | 113 | | | | 5,914 | |
| | | | | | | | |
| | | | | | | 11,200 | |
| | | | | | | | |
| |
Trucking – 2.5% | |
Knight Transportation, Inc. | | | 85 | | | | 3,886 | |
Yellow Corp. (A) | | | 181 | | | | 1,177 | |
| | | | | | | | |
| | | | | | | 5,063 | |
| | | | | | | | |
| |
Total Industrials – 19.9% | | | | 39,506 | |
Information Technology | |
| |
Application Software – 1.6% | |
Q2 Holdings, Inc. (A) | | | 30 | | | | 3,068 | |
| | | | | | | | |
| |
Data Processing & Outsourced Services – 2.2% | |
EVERTEC, Inc. | | | 98 | | | | 4,297 | |
| | | | | | | | |
| |
Electronic Components – 0.9% | |
Knowles Corp. (A) | | | 93 | | | | 1,830 | |
| | | | | | | | |
| |
Internet Services & Infrastructure – 1.6% | |
Switch, Inc., Class A | | | 154 | | | | 3,261 | |
| | | | | | | | |
| |
Semiconductor Equipment – 1.0% | |
Brooks Automation, Inc. | | | 21 | | | | 1,960 | |
| | | | | | | | |
| |
Semiconductors – 1.2% | |
Allegro MicroSystems, Inc. (A) | | | 82 | | | | 2,274 | |
| | | | | | | | |
| |
Systems Software – 2.8% | |
Varonis Systems, Inc. (A) | | | 98 | | | | 5,629 | |
| | | | | | | | |
| |
Total Information Technology – 11.3% | | | | 22,319 | |
Materials | |
| |
Commodity Chemicals – 2.3% | |
Cabot Corp. | | | 80 | | | | 4,533 | |
| | | | | | | | |
| |
Diversified Chemicals – 1.2% | |
Huntsman Corp. | | | 90 | | | | 2,391 | |
| | | | | | | | |
| | | | | | |
| 46 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP SMALL CAP CORE (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Specialty Chemicals – 2.8% | |
Element Solutions, Inc. | | | 238 | | | $ | 5,561 | |
| | | | | | | | |
| |
Total Materials – 6.3% | | | | 12,485 | |
Real Estate | |
| |
Specialized REITs – 1.2% | |
National Storage Affiliates Trust (A) | | | 45 | | | | 2,283 | |
| | | | | | | | |
| |
Total Real Estate – 1.2% | | | | 2,283 | |
| |
TOTAL COMMON STOCKS – 98.3% | | | $ | 194,607 | |
(Cost: $158,109) | |
| | | | | | | | |
| SHORT-TERM SECURITIES | | Shares | | | Value | |
Money Market Funds (D) – 3.1% | |
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, | | | | | | | | |
0.010% (C) | | | 2,185 | | | $ | 2,184 | |
State Street Institutional U.S. Government Money Market Fund – Premier Class, | | | | | | | | |
0.030% | | | 4,040 | | | | 4,040 | |
| | | | | | | | |
| | | | | | | 6,224 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 3.1% | | | $ | 6,224 | |
(Cost: $6,224) | | | | | | | | |
| |
TOTAL INVESTMENT SECURITIES – 101.4% | | | $ | 200,831 | |
(Cost: $164,333) | | | | | | | | |
| |
LIABILITIES, NET OF CASH AND OTHER ASSETS – (1.4)% | | | | (2,829 | ) |
| |
NET ASSETS – 100.0% | | | $ | 198,002 | |
Notes to Schedule of Investments
| (A) | No dividends were paid during the preceding 12 months. |
| (B) | All or a portion of securities with an aggregate value of $6,670 are on loan. |
| (C) | Investment made with cash collateral received from securities on loan. |
| (D) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 194,607 | | | $ | — | | | $ | — | |
Short-Term Securities | | | 6,224 | | | | — | | | | — | |
Total | | $ | 200,831 | | | $ | — | | | $ | — | |
The following acronym is used throughout this schedule:
REIT = Real Estate Investment Trusts
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 47 | |
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP SMALL CAP GROWTH(a) |
ALL DATA AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Stocks | | | 95.8% | |
Health Care | | | 27.1% | |
Information Technology | | | 27.1% | |
Industrials | | | 15.1% | |
Consumer Discretionary | | | 15.0% | |
Financials | | | 4.9% | |
Communication Services | | | 3.3% | |
Consumer Staples | | | 2.6% | |
Energy | | | 0.7% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 4.2% | |
Top 10 Equity Holdings
| | | | |
| | |
| Company | | Sector | | Industry |
Five9, Inc. | | Information Technology | | Application Software |
CareDx, Inc. | | Health Care | | Biotechnology |
PetIQ, Inc. | | Health Care | | Health Care Distributors |
Brink’s Co. (The) | | Industrials | | Security & Alarm Services |
Shift4 Payments, Inc., Class A | | Information Technology | | Data Processing & Outsourced Services |
Varonis Systems, Inc. | | Information Technology | | Systems Software |
Vericel Corp. | | Health Care | | Biotechnology |
Globant S.A. | | Information Technology | | IT Consulting & Other Services |
Marriott Vacations Worldwide Corp. | | Consumer Discretionary | | Hotels, Resorts & Cruise Lines |
Deckers Outdoor Corp. | | Consumer Discretionary | | Footwear |
See your advisor or www.ivyinvestments.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.
(a)Effective July 1, 2021, the name of Ivy VIP Small Cap Growth changed to Delaware Ivy VIP Small Cap Growth.
| | | | | | |
| 48 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP SMALL CAP GROWTH (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS | | Shares | | | Value | |
Communication Services | |
| |
Alternative Carriers – 0.9% | |
Bandwidth, Inc., Class A (A) | | | 33 | | | $ | 4,613 | |
| | | | | | | | |
| |
Broadcasting – 2.4% | |
Gray Television, Inc. | | | 132 | | | | 3,081 | |
Nexstar Broadcasting Group, Inc. | | | 58 | | | | 8,558 | |
| | | | | | | | |
| | | | | | | 11,639 | |
| | | | | | | | |
| |
Total Communication Services – 3.3% | | | | 16,252 | |
Consumer Discretionary | |
| |
Auto Parts & Equipment – 3.1% | |
Fox Factory Holding Corp. (A) | | | 49 | | | | 7,694 | |
Visteon Corp. (A) | | | 60 | | | | 7,228 | |
| | | | | | | | |
| | | | | | | 14,922 | |
| | | | | | | | |
| |
Automotive Retail – 1.2% | |
Lithia Motors, Inc. | | | 17 | | | | 5,871 | |
| | | | | | | | |
| |
Casinos & Gaming – 2.4% | |
Churchill Downs, Inc. | | | 36 | | | | 7,049 | |
Monarch Casino & Resort, Inc. (A) | | | 66 | | | | 4,377 | |
| | | | | | | | |
| | | | | | | 11,426 | |
| | | | | | | | |
| |
Footwear – 1.8% | |
Deckers Outdoor Corp. (A) | | | 23 | | | | 8,746 | |
| | | | | | | | |
| |
Homebuilding – 0.5% | |
TopBuild Corp. (A) | | | 12 | | | | 2,342 | |
| | | | | | | | |
| |
Hotels, Resorts & Cruise Lines – 2.9% | |
Marriott Vacations Worldwide Corp. (A) | | | 55 | | | | 8,782 | |
Wyndham Destinations, Inc. | | | 76 | | | | 5,477 | |
| | | | | | | | |
| | | | | | | 14,259 | |
| | | | | | | | |
| |
Leisure Products – 1.8% | |
Latham Group, Inc. (A) | | | 71 | | | | 2,272 | |
Malibu Boats, Inc., Class A (A) | | | 86 | | | | 6,294 | |
| | | | | | | | |
| | | | | | | 8,566 | |
| | | | | | | | |
| |
Restaurants – 1.3% | |
Texas Roadhouse, Inc., Class A | | | 66 | | | | 6,331 | |
| | | | | | | | |
| |
Total Consumer Discretionary – 15.0% | | | | 72,463 | |
Consumer Staples | |
| |
Distillers & Vintners – 0.5% | |
Duckhorn Portfolio, Inc.
(The) (A)(B) | | | 98 | | | | 2,169 | |
| | | | | | | | |
| |
Hypermarkets & Super Centers – 0.9% | |
BJ’s Wholesale Club, Inc. (A) | | | 95 | | | | 4,503 | |
| | | | | | | | |
| |
Packaged Foods & Meats – 1.2% | |
Nomad Foods Ltd. (A) | | | 208 | | | | 5,888 | |
| | | | | | | | |
| |
Total Consumer Staples – 2.6% | | | | 12,560 | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Energy | |
| |
Oil & Gas Equipment & Services – 0.7% | |
Cactus, Inc., Class A | | | 57 | | | $ | 2,090 | |
Liberty Oilfield Services, Inc., Class A (A) | | | 78 | | | | 1,105 | |
| | | | | | | | |
| | | | | | | 3,195 | |
| | | | | | | | |
| |
Total Energy – 0.7% | | | | 3,195 | |
Financials | |
| |
Asset Management & Custody Banks – 1.2% | |
Focus Financial Partners, Inc., Class A (A) | | | 51 | | | | 2,457 | |
Hamilton Lane, Inc., Class A | | | 38 | | | | 3,495 | |
| | | | | | | | |
| | | | | | | 5,952 | |
| | | | | | | | |
| |
Financial Exchanges & Data – 1.3% | |
Open Lending Corp., Class A (A) | | | 147 | | | | 6,329 | |
| | | | | | | | |
| |
Investment Banking & Brokerage – 0.4% | |
LPL Investment Holdings, Inc. | | | 14 | | | | 1,940 | |
| | | | | | | | |
| |
Regional Banks – 2.0% | |
Pinnacle Financial Partners, Inc. | | | 74 | | | | 6,504 | |
Seacoast Banking Corp. of Florida | | | 88 | | | | 3,003 | |
| | | | | | | | |
| | | | | | | 9,507 | |
| | | | | | | | |
| |
Total Financials – 4.9% | | | | 23,728 | |
Health Care | |
| |
Biotechnology – 6.7% | |
Blueprint Medicines Corp. (A) | | | 5 | | | | 419 | |
CareDx, Inc. (A) | | | 163 | | | | 14,912 | |
Insmed, Inc. (A) | | | 79 | | | | 2,259 | |
PTC Therapeutics, Inc. (A) | | | 10 | | | | 415 | |
Twist Bioscience Corp. (A) | | | 10 | | | | 1,292 | |
Veracyte, Inc. (A) | | | 66 | | | | 2,625 | |
Vericel Corp. (A) | | | 201 | | | | 10,551 | |
| | | | | | | | |
| | | | | | | 32,473 | |
| | | | | | | | |
| |
Health Care Distributors – 2.4% | |
PetIQ, Inc. (A) | | | 306 | | | | 11,818 | |
| | | | | | | | |
| |
Health Care Equipment – 6.9% | |
Axonics, Inc. (A) | | | 118 | | | | 7,511 | |
Cryoport, Inc. (A) | | | 103 | | | | 6,510 | |
Penumbra, Inc. (A) | | | 22 | | | | 6,024 | |
Tactile Systems Technology, Inc. (A) | | | 120 | | | | 6,242 | |
Tandem Diabetes Care, Inc. (A) | | | 70 | | | | 6,845 | |
| | | | | | | | |
| | | | | | | 33,132 | |
| | | | | | | | |
| |
Health Care Services – 4.4% | |
1Life Healthcare, Inc. (A) | | | 104 | | | | 3,441 | |
AMN Healthcare Services, Inc. (A) | | | 75 | | | | 7,276 | |
Castle Biosciences, Inc. (A) | | | 55 | | | | 4,049 | |
LHC Group, Inc. (A) | | | 32 | | | | 6,322 | |
| | | | | | | | |
| | | | | | | 21,088 | |
| | | | | | | | |
| |
Health Care Technology – 3.5% | |
Omnicell, Inc. (A) | | | 53 | | | | 7,964 | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Health Care Technology (Continued) | |
Tabula Rasa HealthCare, Inc. (A) | | | 87 | | | $ | 4,332 | |
Vocera Communications, Inc. (A) | | | 116 | | | | 4,642 | |
| | | | | | | | |
| | | | | | | 16,938 | |
| | | | | | | | |
| |
Life Sciences Tools & Services – 1.6% | |
NeoGenomics, Inc. (A) | | | 98 | | | | 4,444 | |
Quanterix Corp. (A) | | | 58 | | | | 3,410 | |
| | | | | | | | |
| | | | | | | 7,854 | |
| | | | | | | | |
| |
Managed Health Care – 1.2% | |
Progyny, Inc. (A) | | | 102 | | | | 6,024 | |
| | | | | | | | |
| |
Pharmaceuticals – 0.4% | |
Pacira Pharmaceuticals, Inc. (A) | | | 30 | | | | 1,832 | |
| | | | | | | | |
| |
Total Health Care – 27.1% | | | | 131,159 | |
Industrials | |
| |
Aerospace & Defense – 1.4% | |
Mercury Computer Systems, Inc. (A) | | | 101 | | | | 6,679 | |
| | | | | | | | |
| |
Air Freight & Logistics – 0.7% | |
Air Transport Services Group, Inc. (A) | | | 157 | | | | 3,640 | |
| | | | | | | | |
| |
Construction & Engineering – 1.4% | |
Valmont Industries, Inc. | | | 28 | | | | 6,679 | |
| | | | | | | | |
| |
Electrical Components & Equipment – 1.4% | |
EnerSys | | | 68 | | | | 6,682 | |
| | | | | | | | |
| |
Environmental & Facilities Services – 1.3% | |
Clean Harbors, Inc. (A) | | | 66 | | | | 6,140 | |
| | | | | | | | |
| |
Industrial Machinery – 4.9% | |
Altra Industrial Motion Corp. | | | 105 | | | | 6,824 | |
John Bean Technologies Corp. | | | 34 | | | | 4,852 | |
Kennametal, Inc. | | | 159 | | | | 5,712 | |
Kornit Digital Ltd. (A) | | | 25 | | | | 3,109 | |
RBC Bearings, Inc. (A) | | | 16 | | | | 3,263 | |
| | | | | | | | |
| | | | | | | 23,760 | |
| | | | | | | | |
| |
Security & Alarm Services – 2.4% | |
Brink’s Co. (The) | | | 150 | | | | 11,522 | |
| | | | | | | | |
| |
Trucking – 1.6% | |
Knight Transportation, Inc. | | | 177 | | | | 8,048 | |
| | | | | | | | |
| |
Total Industrials – 15.1% | | | | 73,150 | |
Information Technology | |
| |
Application Software – 10.2% | |
Domo, Inc., Class B (A) | | | 67 | | | | 5,389 | |
Five9, Inc. (A) | | | 92 | | | | 16,862 | |
LivePerson, Inc. (A) | | | 116 | | | | 7,324 | |
Mimecast Ltd. (A) | | | 114 | | | | 6,047 | |
Q2 Holdings, Inc. (A) | | | 84 | | | | 8,652 | |
SimilarWeb Ltd. (A)(B) | | | 25 | | | | 492 | |
Smartsheet, Inc., Class A (A) | | | 61 | | | | 4,423 | |
| | | | | | | | |
| | | | | | | 49,189 | |
| | | | | | | | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 49 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP SMALL CAP GROWTH (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Communications Equipment – 1.3% | |
Viavi Solutions, Inc. (A) | | | 359 | | | $ | 6,348 | |
| | | | | | | | |
| |
Data Processing & Outsourced Services – 3.4% | |
EVO Payments, Inc., Class A (A) | | | 176 | | | | 4,882 | |
Shift4 Payments, Inc., Class A (A) | | | 121 | | | | 11,369 | |
| | | | | | | | |
| | | | | | | 16,251 | |
| | | | | | | | |
| |
Internet Services & Infrastructure – 1.2% | |
Switch, Inc., Class A | | | 280 | | | | 5,901 | |
| | | | | | | | |
| |
IT Consulting & Other Services – 1.9% | |
Globant S.A. (A) | | | 41 | | | | 8,945 | |
| | | | | | | | |
| |
Semiconductor Equipment – 0.3% | |
Enphase Energy, Inc. (A) | | | 7 | | | | 1,220 | |
| | | | | | | | |
| |
Semiconductors – 3.9% | |
Allegro MicroSystems, Inc. (A) | | | 201 | | | | 5,564 | |
Monolithic Power Systems, Inc. | | | 21 | | | | 8,023 | |
SiTime Corp. (A) | | | 43 | | | | 5,505 | |
| | | | | | | | |
| | | | | | | 19,092 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Systems Software – 3.4% | |
Proofpoint, Inc. (A) | | | 10 | | | $ | 1,759 | |
SailPoint Technologies Holdings, Inc. (A) | | | 75 | | | | 3,819 | |
Varonis Systems, Inc. (A) | | | 190 | | | | 10,974 | |
| | | | | | | | |
| | | | | | | 16,552 | |
| | | | | | | | |
| |
Technology Hardware, Storage & Peripherals – 1.5% | |
NCR Corp. (A) | | | 164 | | | | 7,461 | |
| | | | | | | | |
| |
Total Information Technology – 27.1% | | | | 130,959 | |
| |
TOTAL COMMON STOCKS – 95.8% | | | $ | 463,466 | |
(Cost: $314,294) | | | | | | | | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
Money Market Funds (D) – 4.8% | |
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares, 0.010% (C) | | | 1,697 | | | | 1,697 | |
| | | | | | | | |
SHORT-TERM SECURITIES
(Continued) | | Shares | | | Value | |
Money Market Funds (D) (Continued) | |
State Street Institutional U.S. Government Money Market Fund – Premier Class, | | | | | | | | |
0.030% | | | 21,724 | | | $ | 21,724 | |
| | | | | | | | |
| | | | | | | 23,421 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 4.8% | | | $ | 23,421 | |
(Cost: $23,421) | | | | | | | | |
| |
TOTAL INVESTMENT SECURITIES – 100.6% | | | $ | 486,887 | |
(Cost: $337,715) | | | | | | | | |
| |
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.6)% | | | | (3,062 | ) |
| |
NET ASSETS – 100.0% | | | $ | 483,825 | |
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 $2,353 are on loan. |
| (C) | Investment made with cash collateral received from securities on loan. |
| (D) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 463,466 | | | $ | — | | | $ | — | |
Short-Term Securities | | | 23,421 | | | | — | | | | — | |
Total | | $ | 486,887 | | | $ | — | | | $ | — | |
See Accompanying Notes to Financial Statements.
| | | | | | |
| 50 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| STATEMENTS OF ASSETS AND LIABILITIES | | IVY VIP |
AS OF JUNE 30, 2021 (UNAUDITED)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (In thousands, except per share amounts) | | Asset
Strategy(1)(2) | | Balanced(3) | | Energy(4) | | Growth(5) | | High
Income(6) | | International
Core Equity(7) | | Mid Cap
Growth(8) |
ASSETS | |
Investments in unaffiliated securities at value+^ | | | $ | 734,212 | | | | $ | 360,121 | | | | $ | 69,581 | | | | $ | 1,045,328 | | | | $ | 932,917 | | | | $ | 665,414 | | | | $ | 745,036 | |
Investments in affiliated securities at value+ | | | | — | | | | | — | | | | | — | | | | | — | | | | | 312 | | | | | — | | | | | — | |
Bullion at value+ | | | | 36,601 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Investments at Value | | | | 770,813 | | | | | 360,121 | | | | | 69,581 | | | | | 1,045,328 | | | | | 933,229 | | | | | 665,414 | | | | | 745,036 | |
Cash | | | | 192 | | | | | — | * | | | | — | | | | | — | | | | | 311 | | | | | 1 | | | | | — | |
Cash denominated in foreign currencies at value+ | | | | 213 | | | | | — | | | | | — | | | | | — | | | | | 296 | | | | | 1,235 | | | | | — | |
Investment securities sold receivable | | | | — | | | | | 4,079 | | | | | — | | | | | — | | | | | 11,822 | | | | | — | | | | | 308 | |
Dividends and interest receivable | | | | 2,524 | | | | | 852 | | | | | 52 | | | | | 472 | | | | | 9,754 | | | | | 2,507 | | | | | 106 | |
Capital shares sold receivable | | | | 67 | | | | | 29 | | | | | 4 | | | | | 11 | | | | | 451 | | | | | 9 | | | | | 1,263 | |
Receivable from affiliates | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 138 | |
Unrealized appreciation on forward foreign currency contracts | | | | — | | | | | — | | | | | — | | | | | — | | | | | 174 | | | | | — | | | | | — | |
Receivable from securities lending income – net | | | | 2 | | | | | — | * | | | | — | * | | | | — | | | | | 36 | | | | | 12 | | | | | — | |
Prepaid and other assets | | | | 1 | | | | | — | * | | | | — | * | | | | 1 | | | | | 2 | | | | | — | * | | | | — | * |
Total Assets | | | | 773,812 | | | | | 365,081 | | | | | 69,637 | | | | | 1,045,812 | | | | | 956,075 | | | | | 669,178 | | | | | 746,851 | |
| | | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Cash collateral on securities loaned at value | | | | 4,322 | | | | | — | | | | | — | | | | | — | | | | | 25,742 | | | | | 4,066 | | | | | — | |
Investment securities purchased payable | | | | 4,698 | | | | | 4,454 | | | | | — | | | | | — | | | | | 11,051 | | | | | 211 | | | | | 118 | |
Capital shares redeemed payable | | | | 454 | | | | | 239 | | | | | 32 | | | | | 299 | | | | | 291 | | | | | 263 | | | | | 383 | |
Independent Trustees and Chief Compliance Officer fees payable | | | | 177 | | | | | 84 | | | | | 9 | | | | | 197 | | | | | 76 | | | | | 103 | | | | | 41 | |
Distribution and service fees payable | | | | 5 | | | | | 3 | | | | | — | * | | | | 7 | | | | | 6 | | | | | 4 | | | | | 3 | |
Investment management fee payable | | | | 11 | | | | | 7 | | | | | 2 | | | | | 20 | | | | | 15 | | | | | 15 | | | | | 17 | |
Accounting services fee payable | | | | 17 | | | | | 10 | | | | | 4 | | | | | 19 | | | | | 18 | | | | | 14 | | | | | 15 | |
Written options at value+ | | | | 510 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 5 | |
Other liabilities | | | | 536 | | | | | 282 | | | | | 66 | | | | | 782 | | | | | 639 | | | | | 659 | | | | | 591 | |
Total Liabilities | | | | 10,730 | | | | | 5,079 | | | | | 113 | | | | | 1,324 | | | | | 37,838 | | | | | 5,335 | | | | | 1,173 | |
Commitments and Contingencies | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(See Note 2 and Note 13) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Net Assets | | | $ | 763,082 | | | | $ | 360,002 | | | | $ | 69,524 | | | | $ | 1,044,488 | | | | $ | 918,237 | | | | $ | 663,843 | | | | $ | 745,678 | |
| | | | | | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital paid in (shares authorized – unlimited) | | | $ | 592,684 | | | | $ | 263,021 | | | | $ | 114,246 | | | | $ | 534,025 | | | | $ | 997,700 | | | | $ | 551,375 | | | | $ | 376,178 | |
Accumulated earnings gain (loss) | | | | 170,398 | | | | | 96,981 | | | | | (44,722 | ) | | | | 510,463 | | | | | (79,463 | ) | | | | 112,468 | | | | | 369,500 | |
Total Net Assets | | | $ | 763,082 | | | | $ | 360,002 | | | | $ | 69,524 | | | | $ | 1,044,488 | | | | $ | 918,237 | | | | $ | 663,843 | | | | $ | 745,678 | |
| | | | | | | |
CAPITAL SHARES OUTSTANDING: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | 121 | | | | | N/A | | | | | 41 | | | | | N/A | | | | | 6,294 | | | | | N/A | | | | | 14,825 | |
Class II | | | | 69,810 | | | | | 40,191 | | | | | 20,538 | | | | | 79,524 | | | | | 267,538 | | | | | 36,128 | | | | | 28,789 | |
| | | | | | | |
NET ASSET VALUE PER SHARE: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | $ | 10.93 | | | | | N/A | | | | $ | 3.39 | | | | | N/A | | | | $ | 3.36 | | | | | N/A | | | | $ | 17.18 | |
Class II | | | $ | 10.91 | | | | $ | 8.96 | | | | $ | 3.38 | | | | $ | 13.13 | | | | $ | 3.35 | | | | $ | 18.37 | | | | $ | 17.06 | |
| | | | | | | |
+COST | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in unaffiliated securities at cost | | | $ | 634,878 | | | | $ | 282,984 | | | | $ | 65,279 | | | | $ | 587,723 | | | | $ | 942,585 | | | | $ | 577,646 | | | | $ | 438,487 | |
Investments in affiliated securities at cost | | | | — | | | | | — | | | | | — | | | | | — | | | | | 1,117 | | | | | — | | | | | — | |
Bullion at cost | | | | 25,266 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Cash denominated in foreign currencies at cost | | | | 214 | | | | | — | | | | | — | | | | | — | | | | | 295 | | | | | 1,238 | | | | | — | |
Written options premiums received at cost | | | | 1,149 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 7 | |
^Securities loaned at value | | | | 8,692 | | | | | 1,808 | | | | | — | | | | | — | | | | | 30,363 | | | | | 27,932 | | | | | — | |
| * | Not shown due to rounding. |
| (1) | Consolidated Statement of Assets and Liabilities (See Note 5 in Notes to Financial Statements). |
| (2) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Asset Strategy to Delaware Ivy VIP Asset Strategy. |
| (3) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Balanced to Delaware Ivy VIP Balanced. |
| (4) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Energy to Delaware Ivy VIP Energy. |
| (5) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Growth to Delaware Ivy VIP Growth. |
| (6) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP High Income to Delaware Ivy VIP High Income. |
| (7) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP International Core Equity to Delaware Ivy VIP International Core Equity. |
| (8) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Mid Cap Growth to Delaware Ivy VIP Mid Cap Growth. |
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 51 | |
| | |
| STATEMENTS OF ASSETS AND LIABILITIES | | IVY VIP |
AS OF JUNE 30, 2021 (UNAUDITED)
| | | | | | | | | | | | | | | | | | | | |
| (In thousands, except per share amounts) | | Natural
Resources(1) | | Science and
Technology(2) | | Small
Cap Core(3) | | Small Cap
Growth(4) |
ASSETS | |
Investments in unaffiliated securities at value+^ | | | $ | 88,453 | | | | $ | 718,532 | | | | $ | 200,831 | | | | $ | 486,887 | |
Investments at Value | | | | 88,453 | | | | | 718,532 | | | | | 200,831 | | | | | 486,887 | |
Investment securities sold receivable | | | | 25 | | | | | 430 | | | | | 1,315 | | | | | 3,908 | |
Dividends and interest receivable | | | | 141 | | | | | 226 | | | | | 65 | | | | | 3,758 | |
Capital shares sold receivable | | | | 61 | | | | | 177 | | | | | 2 | | | | | 137 | |
Receivable from affiliates | | | | — | | | | | — | | | | | — | | | | | 26 | |
Receivable from securities lending income – net | | | | — | * | | | | — | | | | | 1 | | | | | 1 | |
Prepaid and other assets | | | | — | * | | | | 1 | | | | | — | * | | | | 1 | |
Total Assets | | | | 88,680 | | | | | 719,366 | | | | | 202,214 | | | | | 494,718 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | | | | | |
Cash collateral on securities loaned at value | | | | 151 | | | | | — | | | | | 2,184 | | | | | 1,697 | |
Cash denominated in foreign currencies at value+ | | | | 24 | | | | | — | | | | | — | | | | | — | |
Investment securities purchased payable | | | | 5 | | | | | 4,286 | | | | | 1,744 | | | | | 6,198 | |
Capital shares redeemed payable | | | | 24 | | | | | 334 | | | | | 48 | | | | | 271 | |
Independent Trustees and Chief Compliance Officer fees payable | | | | 22 | | | | | 76 | | | | | 40 | | | | | 96 | |
Distribution and service fees payable | | | | 1 | | | | | 5 | | | | | 1 | | | | | 3 | |
Investment management fee payable | | | | 2 | | | | | 17 | | | | | 5 | | | | | 11 | |
Accounting services fee payable | | | | 4 | | | | | 14 | | | | | 7 | | | | | 11 | |
Other liabilities | | | | 90 | | | | | 622 | | | | | 183 | | | | | 2,606 | |
Total Liabilities | | | | 323 | | | | | 5,354 | | | | | 4,212 | | | | | 10,893 | |
Commitments and Contingencies | | | | | | | | | | | | | | | | | | | | |
(See Note 2 and Note 13) | | | | | | | | | | | | | | | | | | | | |
Total Net Assets | | | $ | 88,357 | | | | $ | 714,012 | | | | $ | 198,002 | | | | $ | 483,825 | |
| | | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | |
Capital paid in (shares authorized – unlimited) | | | $ | 147,727 | | | | $ | 243,343 | | | | $ | 134,837 | | | | $ | 276,297 | |
Accumulated earnings gain (loss) | | | | (59,370 | ) | | | | 470,669 | | | | | 63,165 | | | | | 207,528 | |
Total Net Assets | | | $ | 88,357 | | | | $ | 714,012 | | | | $ | 198,002 | | | | $ | 483,825 | |
| | | | |
CAPITAL SHARES OUTSTANDING: | | | | | | | | | | | | | | | | | | | | |
Class I | | | | N/A | | | | | 50 | | | | | N/A | | | | | 4,997 | |
Class II | | | | 22,943 | | | | | 18,070 | | | | | 12,004 | | | | | 36,704 | |
| | | | |
NET ASSET VALUE PER SHARE: | | | | | | | | | | | | | | | | | | | | |
Class I | | | | N/A | | | | $ | 39.74 | | | | | N/A | | | | $ | 11.66 | |
Class II | | | $ | 3.85 | | | | $ | 39.40 | | | | $ | 16.50 | | | | $ | 11.59 | |
| | | | |
+COST | | | | | | | | | | | | | | | | | | | | |
Investments in unaffiliated securities at cost | | | $ | 82,310 | | | | $ | 320,937 | | | | $ | 164,333 | | | | $ | 337,715 | |
Cash denominated in foreign currencies at cost | | | | (25 | ) | | | | — | | | | | — | | | | | — | |
^Securities loaned at value | | | | 147 | | | | | — | | | | | 6,670 | | | | | 2,353 | |
| * | Not shown due to rounding. |
| (1) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Natural Resources to Delaware Ivy VIP Natural Resources. |
| (2) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Science and Technology to Delaware Ivy VIP Science and Technology. |
| (3) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Small Cap Core to Delaware Ivy VIP Small Cap Core. |
| (4) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Small Cap Growth to Delaware Ivy VIP Small Cap Growth. |
See Accompanying Notes to Financial Statements.
| | | | | | |
| 52 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| STATEMENTS OF OPERATIONS | | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2021 (UNAUDITED)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (In thousands) | | Asset
Strategy(1)(2) | | Balanced(3) | | Energy(4) | | Growth(5) | | High
Income(6) | | International
Core Equity(7) | | Mid Cap
Growth(8) |
INVESTMENT INCOME | |
Dividends from unaffiliated securities | | | $ | 4,806 | | | | $ | 1,681 | | | | $ | 721 | | | | $ | 2,897 | | | | $ | 944 | | | | $ | 12,330 | | | | $ | 1,192 | |
Foreign dividend withholding tax | | | | (354 | ) | | | | (22 | ) | | | | (11 | ) | | | | (14 | ) | | | | — | | | | | (1,106 | ) | | | | — | |
Interest and amortization from unaffiliated securities | | | | 2,483 | | | | | 1,123 | | | | | — | * | | | | — | * | | | | 28,204 | | | | | 26 | | | | | 1 | |
Interest and amortization from affiliated securities | | | | — | | | | | — | | | | | — | | | | | — | | | | | 36 | | | | | — | | | | | — | |
Foreign interest withholding tax | | | | — | * | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Securities lending income – net | | | | 14 | | | | | 4 | | | | | 1 | | | | | — | | | | | 166 | | | | | 81 | | | | | 2 | |
Total Investment Income | | | | 6,949 | | | | | 2,786 | | | | | 711 | | | | | 2,883 | | | | | 29,350 | | | | | 11,331 | | | | | 1,195 | |
| | | | | | | |
EXPENSES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment management fee | | | | 2,539 | | | | | 1,222 | | | | | 257 | | | | | 3,307 | | | | | 2,770 | | | | | 2,816 | | | | | 2,960 | |
Distribution and service fees: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | | 940 | | | | | 437 | | | | | 75 | | | | | 1,182 | | | | | 1,103 | | | | | 828 | | | | | 569 | |
Shareholder servicing: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Custodian fees | | | | 24 | | | | | 4 | | | | | 3 | | | | | 7 | | | | | 12 | | | | | 43 | | | | | 5 | |
Independent Trustees and Chief Compliance Officer fees | | | | 50 | | | | | 25 | | | | | 3 | | | | | 54 | | | | | 35 | | | | | 33 | | | | | 22 | |
Accounting services fee | | | | 100 | | | | | 54 | | | | | 20 | | | | | 110 | | | | | 107 | | | | | 81 | | | | | 84 | |
Professional fees | | | | 21 | | | | | 7 | | | | | 9 | | | | | 5 | | | | | 65 | | | | | 8 | | | | | 7 | |
Third-party valuation service fees | | | | 5 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 6 | | | | | — | |
Commitment and interest expense for borrowing | | | | — | | | | | — | | | | | — | | | | | — | | | | | 31 | | | | | — | | | | | — | |
Other | | | | 45 | | | | | 14 | | | | | 9 | | | | | 21 | | | | | 33 | | | | | 23 | | | | | 17 | |
Total Expenses | | | | 3,724 | | | | | 1,763 | | | | | 376 | | | | | 4,686 | | | | | 4,156 | | | | | 3,838 | | | | | 3,664 | |
Less: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses in excess of limit | | | | (96 | ) | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | (138 | ) |
Total Net Expenses | | | | 3,628 | | | | | 1,763 | | | | | 376 | | | | | 4,686 | | | | | 4,156 | | | | | 3,838 | | | | | 3,526 | |
Net Investment Income (Loss) | | | | 3,321 | | | | | 1,023 | | | | | 335 | | | | | (1,803 | ) | | | | 25,194 | | | | | 7,493 | | | | | (2,331 | ) |
| | | | | | | |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in unaffiliated securities | | | | 60,574 | | | | | 18,521 | | | | | 2,533 | | | | | 54,857 | | | | | 840 | | | | | 57,457 | | | | | 65,228 | |
Written options | | | | 277 | | | | | 38 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 533 | |
Swap agreements | | | | 336 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Forward foreign currency contracts | | | | — | | | | | — | | | | | — | | | | | — | | | | | (218 | ) | | | | 631 | | | | | — | |
Foreign currency exchange transactions | | | | (89 | ) | | | | — | | | | | — | | | | | — | | | | | 11 | | | | | (153 | ) | | | | — | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in unaffiliated securities | | | | (16,960 | ) | | | | 15,946 | | | | | 14,466 | | | | | 86,532 | | | | | 16,348 | | | | | 20,259 | | | | | 12,724 | |
Investments in affiliated securities | | | | — | | | | | — | | | | | — | | | | | — | | | | | (44 | ) | | | | — | | | | | — | |
Written options | | | | 635 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | (331 | ) |
Swap agreements | | | | (301 | ) | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Forward foreign currency contracts | | | | — | | | | | — | | | | | — | | | | | — | | | | | 174 | | | | | (685 | ) | | | | — | |
Foreign currency exchange transactions | | | | (25 | ) | | | | — | | | | | — | | | | | — | | | | | — | * | | | | (107 | ) | | | | — | |
Net Realized and Unrealized Gain | | | | 44,447 | | | | | 34,505 | | | | | 16,999 | | | | | 141,389 | | | | | 17,111 | | | | | 77,402 | | | | | 78,154 | |
Net Increase in Net Assets Resulting from Operations | | | $ | 47,768 | | | | $ | 35,528 | | | | $ | 17,334 | | | | $ | 139,586 | | | | $ | 42,305 | | | | $ | 84,895 | | | | $ | 75,823 | |
| * | Not shown due to rounding. |
| (1) | Consolidated Statement of Operations (See Note 5 in Notes to Financial Statements). |
| (2) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Asset Strategy to Delaware Ivy VIP Asset Strategy. |
| (3) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Balanced to Delaware Ivy VIP Balanced. |
| (4) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Energy to Delaware Ivy VIP Energy. |
| (5) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Growth to Delaware Ivy VIP Growth. |
| (6) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP High Income to Delaware Ivy VIP High Income. |
| (7) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP International Core Equity to Delaware Ivy VIP International Core Equity. |
| (8) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Mid Cap Growth to Delaware Ivy VIP Mid Cap Growth. |
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 53 | |
| | |
| STATEMENTS OF OPERATIONS | | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2021 (UNAUDITED)
| | | | | | | | | | | | | | | | | | | | |
| (In thousands) | | Natural
Resources(1) | | Science and
Technology(2) | | Small Cap
Core(3) | | Small Cap
Growth(4) |
INVESTMENT INCOME | |
Dividends from unaffiliated securities | | | $ | 1,249 | | | | $ | 1,546 | | | | $ | 842 | | | | $ | 397 | |
Foreign dividend withholding tax | | | | (41 | ) | | | | (97 | ) | | | | — | | | | | — | |
Interest and amortization from unaffiliated securities | | | | — | * | | | | 12 | | | | | — | * | | | | 3 | |
Securities lending income – net | | | | 5 | | | | | 26 | | | | | 6 | | | | | 61 | |
Total Investment Income | | | | 1,213 | | | | | 1,487 | | | | | 848 | | | | | 461 | |
| | | | |
EXPENSES | | | | | | | | | | | | | | | | | | | | |
Investment management fee | | | | 363 | | | | | 2,913 | | | | | 844 | | | | | 2,023 | |
Distribution and service fees: | | | | | | | | | | | | | | | | | | | | |
Class II | | | | 107 | | | | | 855 | | | | | 248 | | | | | 525 | |
Shareholder servicing: | | | | | | | | | | | | | | | | | | | | |
Custodian fees | | | | 4 | | | | | 6 | | | | | 6 | | | | | 7 | |
Independent Trustees and Chief Compliance Officer fees | | | | 6 | | | | | 28 | | | | | 12 | | | | | 28 | |
Accounting services fee | | | | 22 | | | | | 83 | | | | | 40 | | | | | 66 | |
Professional fees | | | | 7 | | | | | 8 | | | | | 7 | | | | | 7 | |
Third-party valuation service fees | | | | 1 | | | | | — | * | | | | — | | | | | — | |
Other | | | | 17 | | | | | 22 | | | | | 9 | | | | | 19 | |
Total Expenses | | | | 527 | | | | | 3,915 | | | | | 1,166 | | | | | 2,675 | |
Less: | | | | | | | | | | | | | | | | | | | | |
Expenses in excess of limit | | | | — | | | | | — | | | | | — | | | | | (25 | ) |
Total Net Expenses | | | | 527 | | | | | 3,915 | | | | | 1,166 | | | | | 2,650 | |
Net Investment Income (Loss) | | | | 686 | | | | | (2,428 | ) | | | | (318 | ) | | | | (2,189 | ) |
| | | | |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on: | | | | | | | | | | | | | | | | | | | | |
Investments in unaffiliated securities | | | | 3,506 | | | | | 76,102 | | | | | 28,316 | | | | | 62,573 | |
Written options | | | | — | | | | | 1,196 | | | | | — | | | | | 70 | |
Swap agreements | | | | — | | | | | — | | | | | — | | | | | (1,784 | ) |
Forward foreign currency contracts | | | | (338 | ) | | | | — | | | | | — | | | | | — | |
Foreign currency exchange transactions | | | | 5 | | | | | (24 | ) | | | | — | | | | | — | |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | | | | | |
Investments in unaffiliated securities | | | | 9,687 | | | | | 784 | | | | | 6,656 | | | | | (12,251 | ) |
Written options | | | | — | | | | | (344 | ) | | | | — | | | | | 29 | |
Swap agreements | | | | — | | | | | — | | | | | — | | | | | 155 | |
Forward foreign currency contracts | | | | 472 | | | | | — | | | | | — | | | | | — | |
Foreign currency exchange transactions | | | | — | * | | | | — | * | | | | — | | | | | — | |
Net Realized and Unrealized Gain | | | | 13,332 | | | | | 77,714 | | | | | 34,972 | | | | | 48,792 | |
Net Increase in Net Assets Resulting from Operations | | | $ | 14,018 | | | | $ | 75,286 | | | | $ | 34,654 | | | | $ | 46,603 | |
| * | Not shown due to rounding. |
| (1) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Natural Resources to Delaware Ivy VIP Natural Resources. |
| (2) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Science and Technology to Delaware Ivy VIP Science and Technology. |
| (3) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Small Cap Core to Delaware Ivy VIP Small Cap Core. |
| (4) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Small Cap Growth to Delaware Ivy VIP Small Cap Growth. |
See Accompanying Notes to Financial Statements.
| | | | | | |
| 54 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| STATEMENTS OF CHANGES IN NET ASSETS | | IVY VIP |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Asset Strategy(1)(2) | | Balanced(3) | | Energy(4) |
| (In thousands) | | Six months
ended
6-30-21
(Unaudited) | | Year
ended
12-31-20 | | Six months
ended
6-30-21
(Unaudited) | | Year
ended
12-31-20 | | Six months
ended
6-30-21
(Unaudited) | | Year
ended
12-31-20 |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | $ | 3,321 | | | | $ | 11,364 | | | | $ | 1,023 | | | | $ | 3,578 | | | | $ | 335 | | | | $ | 528 | |
Net realized gain (loss) on investments | | | | 61,098 | | | | | 24,934 | | | | | 18,559 | | | | | 21,733 | | | | | 2,533 | | | | | (13,526 | ) |
Net change in unrealized appreciation (depreciation) | | | | (16,651 | ) | | | | 56,099 | | | | | 15,946 | | | | | 16,478 | | | | | 14,466 | | | | | 2,711 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | 47,768 | | | | | 92,397 | | | | | 35,528 | | | | | 41,789 | | | | | 17,334 | | | | | (10,287 | ) |
| | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Accumulated earnings: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(combined net investment income and net realized gains) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | (7 | ) | | | | (14 | ) | | | | N/A | | | | | N/A | | | | | — | * | | | | (4 | ) |
Class II | | | | (14,256 | ) | | | | (25,939 | ) | | | | (25,006 | ) | | | | (21,608 | ) | | | | (182 | ) | | | | (710 | ) |
Total Distributions to Shareholders | | | | (14,263 | ) | | | | (25,953 | ) | | | | (25,006 | ) | | | | (21,608 | ) | | | | (182 | ) | | | | (714 | ) |
Capital Share Transactions | | | | (34,997 | ) | | | | (74,478 | ) | | | | 5,754 | | | | | (17,294 | ) | | | | 8,830 | | | | | 12,886 | |
Net Increase (Decrease) in Net Assets | | | | (1,492 | ) | | | | (8,034 | ) | | | | 16,276 | | | | | 2,887 | | | | | 25,982 | | | | | 1,885 | |
Net Assets, Beginning of Period | | | | 764,574 | | | | | 772,608 | | | | | 343,726 | | | | | 340,839 | | | | | 43,542 | | | | | 41,657 | |
Net Assets, End of Period | | | $ | 763,082 | | | | $ | 764,574 | | | | $ | 360,002 | | | | $ | 343,726 | | | | $ | 69,524 | | | | $ | 43,542 | |
| | | |
| | | Growth(5) | | High Income(6) | | International Core Equity(7) |
| (In thousands) | | Six months
ended
6-30-21
(Unaudited) | | Year
ended
12-31-20 | | Six months
ended
6-30-21
(Unaudited) | | Year
ended
12-31-20 | | Six months
ended
6-30-21
(Unaudited) | | Year
ended
12-31-20 |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | $ | (1,803 | ) | | | $ | (1,655 | ) | | | $ | 25,194 | | | | $ | 51,672 | | | | $ | 7,493 | | | | $ | 6,627 | |
Net realized gain (loss) on investments | | | | 54,857 | | | | | 100,050 | | | | | 633 | | | | | (18,616 | ) | | | | 57,935 | | | | | (40,116 | ) |
Net change in unrealized appreciation | | | | 86,532 | | | | | 124,851 | | | | | 16,478 | | | | | 14,461 | | | | | 19,467 | | | | | 74,661 | |
Net Increase in Net Assets Resulting from Operations | | | | 139,586 | | | | | 223,246 | | | | | 42,305 | | | | | 47,517 | | | | | 84,895 | | | | | 41,172 | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Accumulated earnings: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(combined net investment income and net realized gains) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | N/A | | | | | N/A | | | | | (1,264 | ) | | | | (1,439 | ) | | | | N/A | | | | | N/A | |
Class II | | | | (98,262 | ) | | | | (112,472 | ) | | | | (52,760 | ) | | | | (57,105 | ) | | | | (6,911 | ) | | | | (14,682 | ) |
Total Distributions to Shareholders | | | | (98,262 | ) | | | | (112,472 | ) | | | | (54,024 | ) | | | | (58,544 | ) | | | | (6,911 | ) | | | | (14,682 | ) |
Capital Share Transactions | | | | 106,983 | | | | | (5,293 | ) | | | | 50,487 | | | | | 4,623 | | | | | (63,559 | ) | | | | (76,149 | ) |
Net Increase (Decrease) in Net Assets | | | | 148,307 | | | | | 105,481 | | | | | 38,768 | | | | | (6,404 | ) | | | | 14,425 | | | | | (49,659 | ) |
Net Assets, Beginning of Period | | | | 896,181 | | | | | 790,700 | | | | | 879,469 | | | | | 885,873 | | | | | 649,418 | | | | | 699,077 | |
Net Assets, End of Period | | | $ | 1,044,488 | | | | $ | 896,181 | | | | $ | 918,237 | | | | $ | 879,469 | | | | $ | 663,843 | | | | $ | 649,418 | |
| * | Not shown due to rounding. |
| (1) | Consolidated Statements of Changes in Net Assets (See Note 5 in Notes to Financial Statements). |
| (2) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Asset Strategy to Delaware Ivy VIP Asset Strategy. |
| (3) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Balanced to Delaware Ivy VIP Balanced. |
| (4) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Energy to Delaware Ivy VIP Energy. |
| (5) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Growth to Delaware Ivy VIP Growth. |
| (6) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP High Income to Delaware Ivy VIP High Income. |
| (7) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP International Core Equity to Delaware Ivy VIP International Core Equity. |
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 55 | |
| | |
| STATEMENTS OF CHANGES IN NET ASSETS | | IVY VIP |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Mid Cap Growth(1) | | Natural Resources(2) | | Science and Technology(3) |
| (In thousands) | | Six months
ended
6-30-21
(Unaudited) | | Year
ended
12-31-20 | | Six months
ended
6-30-21
(Unaudited) | | Year
ended
12-31-20 | | Six months
ended
6-30-21
(Unaudited) | | Year
ended
12-31-20 |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | $ | (2,331 | ) | | | $ | (2,369 | ) | | | $ | 686 | | | | $ | 992 | | | | $ | (2,428 | ) | | | $ | (3,854 | ) |
Net realized gain (loss) on investments | | | | 65,761 | | | | | 84,758 | | | | | 3,173 | | | | | (17,286 | ) | | | | 77,274 | | | | | 56,593 | |
Net change in unrealized appreciation | | | | 12,393 | | | | | 149,625 | | | | | 10,159 | | | | | 6,453 | | | | | 440 | | | | | 132,028 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | 75,823 | | | | | 232,014 | | | | | 14,018 | | | | | (9,841 | ) | | | | 75,286 | | | | | 184,767 | |
| | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Accumulated earnings: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(combined net investment income and net realized gains) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | (28,372 | ) | | | | (16,218 | ) | | | | N/A | | | | | N/A | | | | | (18 | ) | | | | (191 | ) |
Class II | | | | (54,305 | ) | | | | (23,025 | ) | | | | (1,378 | ) | | | | (1,678 | ) | | | | (9,191 | ) | | | | (71,179 | ) |
Total Distributions to Shareholders | | | | (82,677 | ) | | | | (39,243 | ) | | | | (1,378 | ) | | | | (1,678 | ) | | | | (9,209 | ) | | | | (71,370 | ) |
Capital Share Transactions | | | | 62,973 | | | | | (50,778 | ) | | | | 895 | | | | | (1,267 | ) | | | | (30,432 | ) | | | | (15,453 | ) |
Net Increase (Decrease) in Net Assets | | | | 56,119 | | | | | 141,993 | | | | | 13,535 | | | | | (12,786 | ) | | | | 35,645 | | | | | 97,944 | |
Net Assets, Beginning of Period | | | | 689,559 | | | | | 547,566 | | | | | 74,822 | | | | | 87,608 | | | | | 678,367 | | | | | 580,423 | |
Net Assets, End of Period | | | $ | 745,678 | | | | $ | 689,559 | | | | $ | 88,357 | | | | $ | 74,822 | | | | $ | 714,012 | | | | $ | 678,367 | |
| | | | |
| | | Small Cap Core(4) | | Small Cap Growth(5) | | | | |
| (In thousands) | | Six months
ended
6-30-21
(Unaudited) | | Year
ended
12-31-20 | | Six months
ended
6-30-21
(Unaudited) | | Year
ended
12-31-20 | | | | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment loss | | | $ | (318 | ) | | | $ | (231 | ) | | | $ | (2,189 | ) | | | $ | (2,550 | ) | | | | | | | | | | |
Net realized gain (loss) on investments | | | | 28,316 | | | | | (1,117 | ) | | | | 60,859 | | | | | 61,996 | | | | | | | | | | | |
Net change in unrealized appreciation (depreciation) | | | | 6,656 | | | | | 12,595 | | | | | (12,067 | ) | | | | 72,583 | | | | | | | | | | | |
Net Increase in Net Assets Resulting from Operations | | | | 34,654 | | | | | 11,247 | | | | | 46,603 | | | | | 132,029 | | | | | | | | | | | |
| | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Accumulated earnings: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(combined net investment income and net realized gains) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | | N/A | | | | | N/A | | | | | (6,960 | ) | | | | — | | | | | | | | | | | |
Class II | | | | — | | | | | (8,738 | ) | | | | (51,659 | ) | | | | — | | | | | | | | | | | |
Total Distributions to Shareholders | | | | — | | | | | (8,738 | ) | | | | (58,619 | ) | | | | — | | | | | | | | | | | |
Capital Share Transactions | | | | (19,522 | ) | | | | (7,655 | ) | | | | 31,304 | | | | | (56,435 | ) | | | | | | | | | | |
Net Increase (Decrease) in Net Assets | | | | 15,132 | | | | | (5,146 | ) | | | | 19,288 | | | | | 75,594 | | | | | | | | | | | |
Net Assets, Beginning of Period | | | | 182,870 | | | | | 188,016 | | | | | 464,537 | | | | | 388,943 | | | | | | | | | | | |
Net Assets, End of Period | | | $ | 198,002 | | | | $ | 182,870 | | | | $ | 483,825 | | | | $ | 464,537 | | | | | | | | | | | |
| (1) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Mid Cap Growth to Delaware Ivy VIP Mid Cap Growth. |
| (2) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Natural Resources to Delaware Ivy VIP Natural Resources. |
| (3) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Science and Technology to Delaware Ivy VIP Science and Technology. |
| (4) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Small Cap Core to Delaware Ivy VIP Small Cap Core. |
| (5) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Small Cap Growth to Delaware Ivy VIP Small Cap Growth. |
See Accompanying Notes to Financial Statements.
| | | | | | |
| 56 | | SEMIANNUAL REPORT | | 2021 | | |
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| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 57 | |
| | |
| 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 |
Asset Strategy | |
Class I Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | $ | 10.45 | | | | $ | 0.05 | | | | $ | 0.64 | | | | $ | 0.69 | | | | $ | (0.02 | ) | | | $ | (0.19 | ) | | | $ | (0.21 | ) |
Year ended 12-31-2020 | | | | 9.50 | | | | | 0.17 | | | | | 1.16 | | | | | 1.33 | | | | | (0.22 | ) | | | | (0.16 | ) | | | | (0.38 | ) |
Year ended 12-31-2019 | | | | 8.29 | | | | | 0.20 | | | | | 1.63 | | | | | 1.83 | | | | | (0.23 | ) | | | | (0.39 | ) | | | | (0.62 | ) |
Year ended 12-31-2018 | | | | 9.37 | | | | | 0.18 | | | | | (0.67 | ) | | | | (0.49 | ) | | | | (0.20 | ) | | | | (0.39 | ) | | | | (0.59 | ) |
Year ended 12-31-2017(4) | | | | 8.57 | | | | | 0.08 | | | | | 0.88 | | | | | 0.96 | | | | | (0.16 | ) | | | | — | | | | | (0.16 | ) |
|
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 10.44 | | | | | 0.05 | | | | | 0.63 | | | | | 0.68 | | | | | (0.02 | ) | | | | (0.19 | ) | | | | (0.21 | ) |
Year ended 12-31-2020 | | | | 9.50 | | | | | 0.15 | | | | | 1.15 | | | | | 1.30 | | | | | (0.20 | ) | | | | (0.16 | ) | | | | (0.36 | ) |
Year ended 12-31-2019 | | | | 8.29 | | | | | 0.18 | | | | | 1.62 | | | | | 1.80 | | | | | (0.20 | ) | | | | (0.39 | ) | | | | (0.59 | ) |
Year ended 12-31-2018 | | | | 9.37 | | | | | 0.16 | | | | | (0.67 | ) | | | | (0.51 | ) | | | | (0.18 | ) | | | | (0.39 | ) | | | | (0.57 | ) |
Year ended 12-31-2017 | | | | 8.04 | | | | | 0.03 | | | | | 1.44 | | | | | 1.47 | | | | | (0.14 | ) | | | | — | | | | | (0.14 | ) |
Year ended 12-31-2016 | | | | 8.30 | | | | | 0.06 | | | | | (0.27 | ) | | | | (0.21 | ) | | | | (0.05 | ) | | | | — | | | | | (0.05 | ) |
|
Balanced | |
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 8.71 | | | | | 0.03 | | | | | 0.88 | | | | | 0.91 | | | | | (0.09 | ) | | | | (0.57 | ) | | | | (0.66 | ) |
Year ended 12-31-2020 | | | | 8.22 | | | | | 0.09 | | | | | 0.94 | | | | | 1.03 | | | | | (0.11 | ) | | | | (0.43 | ) | | | | (0.54 | ) |
Year ended 12-31-2019 | | | | 7.46 | | | | | 0.11 | | | | | 1.44 | | | | | 1.55 | | | | | (0.14 | ) | | | | (0.65 | ) | | | | (0.79 | ) |
Year ended 12-31-2018 | | | | 7.95 | | | | | 0.12 | | | | | (0.36 | ) | | | | (0.24 | ) | | | | (0.13 | ) | | | | (0.12 | ) | | | | (0.25 | ) |
Year ended 12-31-2017 | | | | 7.47 | | | | | 0.12 | | | | | 0.70 | | | | | 0.82 | | | | | (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 | ) |
|
Energy | |
Class I Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 2.48 | | | | | 0.01 | | | | | 0.91 | | | | | 0.92 | | | | | (0.01 | ) | | | | — | | | | | (0.01 | ) |
Year ended 12-31-2020 | | | | 4.02 | | | | | 0.04 | | | | | (1.52 | ) | | | | (1.48 | ) | | | | (0.06 | ) | | | | — | | | | | (0.06 | ) |
Year ended 12-31-2019 | | | | 3.88 | | | | | 0.03 | | | | | 0.11 | | | | | 0.14 | | | | | — | | | | | — | | | | | — | |
Year ended 12-31-2018 | | | | 5.87 | | | | | 0.00 | * | | | | (1.99 | ) | | | | (1.99 | ) | | | | — | | | | | — | | | | | — | |
Year ended 12-31-2017(4) | | | | 5.84 | | | | | 0.06 | | | | | 0.02 | | | | | 0.08 | | | | | (0.05 | ) | | | | — | | | | | (0.05 | ) |
|
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 2.48 | | | | | 0.02 | | | | | 0.89 | | | | | 0.91 | | | | | (0.01 | ) | | | | — | | | | | (0.01 | ) |
Year ended 12-31-2020 | | | | 4.00 | | | | | 0.04 | | | | | (1.52 | ) | | | | (1.48 | ) | | | | (0.04 | ) | | | | — | | | | | (0.04 | ) |
Year ended 12-31-2019 | | | | 3.87 | | | | | 0.02 | | | | | 0.11 | | | | | 0.13 | | | | | — | | | | | — | | | | | — | |
Year ended 12-31-2018 | | | | 5.87 | | | | | (0.02 | ) | | | | (1.98 | ) | | | | (2.00 | ) | | | | — | | | | | — | | | | | — | |
Year ended 12-31-2017 | | | | 6.77 | | | | | 0.04 | | | | | (0.90 | ) | | | | (0.86 | ) | | | | (0.04 | ) | | | | — | | | | | (0.04 | ) |
Year ended 12-31-2016 | | | | 5.04 | | | | | (0.02 | ) | | | | 1.76 | | | | | 1.74 | | | | | (0.01 | ) | | | | — | | | | | (0.01 | ) |
| * | 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) | For the period from April 28, 2017 (commencement of operations of the class) through December 31, 2017. |
| (6) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended December 31, 2017. |
| | | | | | |
| 58 | | SEMIANNUAL REPORT | | 2021 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
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 |
Growth | |
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | $ | 12.70 | | | | $ | (0.02 | ) | | | $ | 1.81 | | | | $ | 1.79 | | | | $ | — | | | | $ | (1.36 | ) | | | $ | (1.36 | ) |
Year ended 12-31-2020 | | | | 11.33 | | | | | (0.02 | ) | | | | 3.03 | | | | | 3.01 | | | | | — | | | | | (1.64 | ) | | | | (1.64 | ) |
Year ended 12-31-2019 | | | | 11.02 | | | | | (0.01 | ) | | | | 3.58 | | | | | 3.57 | | | | | — | | | | | (3.26 | ) | | | | (3.26 | ) |
Year ended 12-31-2018 | | | | 12.09 | | | | | 0.00 | * | | | | 0.36 | | | | | 0.36 | | | | | — | * | | | | (1.43 | ) | | | | (1.43 | ) |
Year ended 12-31-2017 | | | | 10.30 | | | | | 0.01 | | | | | 2.84 | | | | | 2.85 | | | | | (0.03 | ) | | | | (1.03 | ) | | | | (1.06 | ) |
Year ended 12-31-2016 | | | | 11.42 | | | | | 0.03 | | | | | 0.03 | | | | | 0.06 | | | | | — | * | | | | (1.18 | ) | | | | (1.18 | ) |
|
High Income | |
Class I Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 3.41 | | | | | 0.10 | | | | | 0.06 | | | | | 0.16 | | | | | (0.21 | ) | | | | — | | | | | (0.21 | ) |
Year ended 12-31-2020 | | | | 3.48 | | | | | 0.21 | | | | | (0.03 | ) | | | | 0.18 | | | | | (0.25 | ) | | | | — | | | | | (0.25 | ) |
Year ended 12-31-2019 | | | | 3.35 | | | | | 0.24 | | | | | 0.13 | | | | | 0.37 | | | | | (0.24 | ) | | | | — | | | | | (0.24 | ) |
Year ended 12-31-2018 | | | | 3.65 | | | | | 0.23 | | | | | (0.29 | ) | | | | (0.06 | ) | | | | (0.24 | ) | | | | — | | | | | (0.24 | ) |
Year ended 12-31-2017 (4) | | | | 3.73 | | | | | 0.16 | | | | | (0.03 | ) | | | | 0.13 | | | | | (0.21 | ) | | | | — | | | | | (0.21 | ) |
|
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 3.40 | | | | | 0.10 | | | | | 0.06 | | | | | 0.16 | | | | | (0.21 | ) | | | | — | | | | | (0.21 | ) |
Year ended 12-31-2020 | | | | 3.47 | | | | | 0.20 | | | | | (0.03 | ) | | | | 0.17 | | | | | (0.24 | ) | | | | — | | | | | (0.24 | ) |
Year ended 12-31-2019 | | | | 3.34 | | | | | 0.23 | | | | | 0.13 | | | | | 0.36 | | | | | (0.23 | ) | | | | — | | | | | (0.23 | ) |
Year ended 12-31-2018 | | | | 3.64 | | | | | 0.22 | | | | | (0.29 | ) | | | | (0.07 | ) | | | | (0.23 | ) | | | | — | | | | | (0.23 | ) |
Year ended 12-31-2017 | | | | 3.61 | | | | | 0.23 | | | | | 0.01 | | | | | 0.24 | | | | | (0.21 | ) | | | | — | | | | | (0.21 | ) |
Year ended 12-31-2016 | | | | 3.35 | | | | | 0.24 | | | | | 0.28 | | | | | 0.52 | | | | | (0.26 | ) | | | | — | | | | | (0.26 | ) |
|
International Core Equity | |
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 16.35 | | | | | 0.20 | | | | | 2.01 | | | | | 2.21 | | | | | (0.19 | ) | | | | — | | | | | (0.19 | ) |
Year ended 12-31-2020 | | | | 15.65 | | | | | 0.16 | | | | | 0.88 | | | | | 1.04 | | | | | (0.34 | ) | | | | — | * | | | | (0.34 | ) |
Year ended 12-31-2019 | | | | 14.66 | | | | | 0.29 | | | | | 2.28 | | | | | 2.57 | | | | | (0.25 | ) | | | | (1.33 | ) | | | | (1.58 | ) |
Year ended 12-31-2018 | | | | 18.58 | | | | | 0.30 | | | | | (3.45 | ) | | | | (3.15 | ) | | | | (0.28 | ) | | | | (0.49 | ) | | | | (0.77 | ) |
Year ended 12-31-2017 | | | | 15.30 | | | | | 0.23 | | | | | 3.29 | | | | | 3.52 | | | | | (0.24 | ) | | | | — | | | | | (0.24 | ) |
Year ended 12-31-2016 | | | | 15.53 | | | | | 0.24 | | | | | (0.11 | ) | | | | 0.13 | | | | | (0.20 | ) | | | | (0.16 | ) | | | | (0.36 | ) |
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 59 | |
| | |
| FINANCIAL HIGHLIGHTS | | IVY VIP |
| | |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 |
Asset Strategy | |
Class I Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | $ | 10.93 | | | | | 6.64 | % | | | $ | 1 | | | | | 0.72 | %(5) | | | | 0.91 | %(5) | | | | 0.75 | %(5) | | | | 0.88 | %(5) | | | | 39 | % |
Year ended 12-31-2020 | | | | 10.45 | | | | | 14.16 | | | | | — | * | | | | 0.77 | | | | | 1.83 | | | | | — | | | | | — | | | | | 44 | |
Year ended 12-31-2019 | | | | 9.50 | | | | | 22.08 | | | | | 1 | | | | | 0.77 | | | | | 2.19 | | | | | 0.77 | | | | | 2.19 | | | | | 46 | |
Year ended 12-31-2018 | | | | 8.29 | | | | | -5.20 | | | | | — | * | | | | 0.78 | | | | | 1.91 | | | | | 0.78 | | | | | 1.91 | | | | | 58 | |
Year ended 12-31-2017(4) | | | | 9.37 | | | | | 11.16 | | | | | — | * | | | | 0.74 | (5) | | | | 1.30 | (5) | | | | — | | | | | — | | | | | 39 | (6) |
| |
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 10.91 | | | | | 6.50 | | | | | 762 | | | | | 0.97 | (5) | | | | 0.88 | (5) | | | | 0.99 | (5) | | | | 0.86 | (5) | | | | 39 | |
Year ended 12-31-2020 | | | | 10.44 | | | | | 13.88 | | | | | 764 | | | | | 1.02 | | | | | 1.60 | | | | | — | | | | | — | | | | | 44 | |
Year ended 12-31-2019 | | | | 9.50 | | | | | 21.78 | | | | | 772 | | | | | 1.02 | | | | | 1.94 | | | | | — | | | | | — | | | | | 46 | |
Year ended 12-31-2018 | | | | 8.29 | | | | | -5.44 | | | | | 753 | | | | | 1.03 | | | | | 1.65 | | | | | — | | | | | — | | | | | 58 | |
Year ended 12-31-2017 | | | | 9.37 | | | | | 18.27 | | | | | 936 | | | | | 1.02 | | | | | 0.35 | | | | | — | | | | | — | | | | | 39 | |
Year ended 12-31-2016 | | | | 8.04 | | | | | -2.57 | | | | | 954 | | | | | 1.01 | | | | | 0.70 | | | | | 1.02 | | | | | 0.69 | | | | | 68 | |
|
Balanced | |
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 8.96 | | | | | 10.64 | | | | | 360 | | | | | 1.01 | (5) | | | | 0.59 | (5) | | | | — | | | | | — | | | | | 21 | |
Year ended 12-31-2020 | | | | 8.71 | | | | | 14.11 | | | | | 344 | | | | | 1.02 | | | | | 1.13 | | | | | — | | | | | — | | | | | 61 | |
Year ended 12-31-2019 | | | | 8.22 | | | | | 22.09 | | | | | 341 | | | | | 1.01 | | | | | 1.38 | | | | | — | | | | | — | | | | | 44 | |
Year ended 12-31-2018 | | | | 7.46 | | | | | -3.24 | | | | | 310 | | | | | 1.01 | | | | | 1.55 | | | | | — | | | | | — | | | | | 54 | |
Year ended 12-31-2017 | | | | 7.95 | | | | | 11.37 | | | | | 362 | | | | | 1.01 | | | | | 1.54 | | | | | — | | | | | — | | | | | 48 | |
Year ended 12-31-2016 | | | | 7.47 | | | | | 2.03 | | | | | 361 | | | | | 1.01 | | | | | 1.53 | | | | | — | | | | | — | | | | | 54 | |
|
Energy | |
Class I Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 3.39 | | | | | 36.70 | | | | | — | * | | | | 1.37 | (5) | | | | 0.70 | (5) | | | | — | | | | | — | | | | | 13 | |
Year ended 12-31-2020 | | | | 2.48 | | | | | -36.67 | | | | | — | * | | | | 1.06 | | | | | 1.89 | | | | | 1.12 | | | | | 1.83 | | | | | 54 | |
Year ended 12-31-2019 | | | | 4.02 | | | | | 3.74 | | | | | — | * | | | | 1.04 | | | | | 0.64 | | | | | — | | | | | — | | | | | 21 | |
Year ended 12-31-2018 | | | | 3.88 | | | | | -33.96 | | | | | — | * | | | | 0.94 | | | | | -0.09 | | | | | 0.94 | | | | | -0.09 | | | | | 37 | |
Year ended 12-31-2017(4) | | | | 5.87 | | | | | 1.55 | | | | | — | * | | | | 0.92 | (5) | | | | 1.70 | (5) | | | | — | | | | | — | | | | | 22 | (6) |
| |
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 3.38 | | | | | 36.55 | | | | | 70 | | | | | 1.22 | (5) | | | | 1.11 | (5) | | | | — | | | | | — | | | | | 13 | |
Year ended 12-31-2020 | | | | 2.48 | | | | | -36.83 | | | | | 44 | | | | | 1.31 | | | | | 1.62 | | | | | 1.37 | | | | | 1.56 | | | | | 54 | |
Year ended 12-31-2019 | | | | 4.00 | | | | | 3.48 | | | | | 42 | | | | | 1.29 | | | | | 0.42 | | | | | — | | | | | — | | | | | 21 | |
Year ended 12-31-2018 | | | | 3.87 | | | | | -34.14 | | | | | 39 | | | | | 1.19 | | | | | -0.41 | | | | | — | | | | | — | | | | | 37 | |
Year ended 12-31-2017 | | | | 5.87 | | | | | -12.64 | | | | | 169 | | | | | 1.19 | | | | | 0.75 | | | | | — | | | | | — | | | | | 22 | |
Year ended 12-31-2016 | | | | 6.77 | | | | | 34.55 | | | | | 196 | | | | | 1.19 | | | | | -0.27 | | | | | — | | | | | — | | | | | 31 | |
| | | | | | |
| 60 | | SEMIANNUAL REPORT | | 2021 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 |
Growth | |
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | $ | 13.13 | | | | | 15.00 | % | | | $ | 1,044 | | | | | 0.99 | %(5) | | | | -0.38 | %(5) | | | | — | % | | | | — | % | | | | 14 | % |
Year ended 12-31-2020 | | | | 12.70 | | | | | 30.55 | | | | | 896 | | | | | 1.01 | | | | | -0.20 | | | | | — | | | | | — | | | | | 29 | |
Year ended 12-31-2019 | | | | 11.33 | | | | | 36.59 | | | | | 791 | | | | | 1.00 | | | | | -0.05 | | | | | — | | | | | — | | | | | 30 | |
Year ended 12-31-2018 | | | | 11.02 | | | | | 2.28 | | | | | 669 | | | | | 1.00 | | | | | -0.02 | | | | | — | | | | | — | | | | | 37 | |
Year ended 12-31-2017 | | | | 12.09 | | | | | 29.34 | | | | | 883 | | | | | 0.99 | | | | | 0.05 | | | | | — | | | | | — | | | | | 41 | |
Year ended 12-31-2016 | | | | 10.30 | | | | | 1.22 | | | | | 835 | | | | | 0.98 | | | | | 0.26 | | | | | 1.00 | | | | | 0.24 | | | | | 53 | |
|
High Income | |
Class I Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 3.36 | | | | | 4.96 | | | | | 21 | | | | | 0.67 | (5) | | | | 5.83 | (5) | | | | — | | | | | — | | | | | 36 | |
Year ended 12-31-2020 | | | | 3.41 | | | | | 6.30 | | | | | 20 | | | | | 0.69 | | | | | 6.54 | | | | | — | | | | | — | | | | | 52 | |
Year ended 12-31-2019 | | | | 3.48 | | | | | 11.49 | | | | | 27 | | | | | 0.67 | | | | | 6.82 | | | | | — | | | | | — | | | | | 35 | |
Year ended 12-31-2018 | | | | 3.35 | | | | | -1.86 | | | | | 44 | | | | | 0.66 | | | | | 6.50 | | | | | 0.66 | | | | | 6.50 | | | | | 42 | |
Year ended 12-31-2017(4) | | | | 3.65 | | | | | 3.42 | | | | | 56 | | | | | 0.66 | (5) | | | | 6.53 | (5) | | | | — | | | | | — | | | | | 52 | (6) |
| |
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 3.35 | | | | | 4.83 | | | | | 897 | | | | | 0.92 | (5) | | | | 5.57 | (5) | | | | — | | | | | — | | | | | — | |
Year ended 12-31-2020 | | | | 3.40 | | | | | 6.03 | | | | | 859 | | | | | 0.94 | | | | | 6.28 | | | | | — | | | | | — | | | | | 52 | |
Year ended 12-31-2019 | | | | 3.47 | | | | | 11.19 | | | | | 859 | | | | | 0.92 | | | | | 6.57 | | | | | — | | | | | — | | | | | 35 | |
Year ended 12-31-2018 | | | | 3.34 | | | | | -2.11 | | | | | 803 | | | | | 0.91 | | | | | 6.27 | | | | | — | | | | | — | | | | | 42 | |
Year ended 12-31-2017 | | | | 3.64 | | | | | 6.68 | | | | | 887 | | | | | 0.91 | | | | | 6.22 | | | | | — | | | | | — | | | | | 52 | |
Year ended 12-31-2016 | | | | 3.61 | | | | | 16.19 | | | | | 845 | | | | | 0.89 | | | | | 6.97 | | | | | 0.92 | | | | | 6.94 | | | | | 36 | |
|
International Core Equity | |
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 18.37 | | | | | 13.57 | | | | | 664 | | | | | 1.16 | (5) | | | | 2.26 | (5) | | | | — | | | | | — | | | | | 52 | |
Year ended 12-31-2020 | | | | 16.35 | | | | | 7.19 | | | | | 649 | | | | | 1.17 | | | | | 1.10 | | | | | — | | | | | — | | | | | 82 | |
Year ended 12-31-2019 | | | | 15.65 | | | | | 18.69 | | | | | 699 | | | | | 1.16 | | | | | 1.93 | | | | | — | | | | | — | | | | | 69 | |
Year ended 12-31-2018 | | | | 14.66 | | | | | -17.81 | | | | | 676 | | | | | 1.16 | | | | | 1.70 | | | | | — | | | | | — | | | | | 51 | |
Year ended 12-31-2017 | | | | 18.58 | | | | | 23.16 | | | | | 835 | | | | | 1.16 | | | | | 1.33 | | | | | — | | | | | — | | | | | 59 | |
Year ended 12-31-2016 | | | | 15.30 | | | | | 1.08 | | | | | 736 | | | | | 1.17 | | | | | 1.60 | | | | | — | | | | | — | | | | | 77 | |
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 61 | |
| | |
| 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 |
Mid Cap Growth | |
Class I Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | $ | 17.60 | | | | $ | (0.05 | ) | | | $ | 1.86 | | | | $ | 1.81 | | | | $ | — | | | | $ | (2.23 | ) | | | $ | (2.23 | ) |
Year ended 12-31-2020 | | | | 12.77 | | | | | (0.04 | ) | | | | 5.89 | | | | | 5.85 | | | | | — | | | | | (1.02 | ) | | | | (1.02 | ) |
Year ended 12-31-2019 | | | | 11.10 | | | | | (0.02 | ) | | | | 3.95 | | | | | 3.93 | | | | | — | | | | | (2.26 | ) | | | | (2.26 | ) |
Year ended 12-31-2018 | | | | 11.63 | | | | | (0.02 | ) | | | | 0.09 | | | | | 0.07 | | | | | — | | | | | (0.60 | ) | | | | (0.60 | ) |
Year ended 12-31-2017(4) | | | | 10.30 | | | | | 0.00 | * | | | | 1.64 | | | | | 1.64 | | | | | — | | | | | (0.31 | ) | | | | (0.31 | ) |
|
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 17.48 | | | | | (0.07 | ) | | | | 1.84 | | | | | 1.77 | | | | | — | | | | | (2.19 | ) | | | | (2.19 | ) |
Year ended 12-31-2020 | | | | 12.69 | | | | | (0.07 | ) | | | | 5.85 | | | | | 5.78 | | | | | — | | | | | (0.99 | ) | | | | (0.99 | ) |
Year ended 12-31-2019 | | | | 11.07 | | | | | (0.06 | ) | | | | 3.94 | | | | | 3.88 | | | | | — | | | | | (2.26 | ) | | | | (2.26 | ) |
Year ended 12-31-2018 | | | | 11.61 | | | | | (0.05 | ) | | | | 0.09 | | | | | 0.04 | | | | | — | | | | | (0.58 | ) | | | | (0.58 | ) |
Year ended 12-31-2017 | | | | 9.44 | | | | | (0.04 | ) | | | | 2.52 | | | | | 2.48 | | | | | — | | | | | (0.31 | ) | | | | (0.31 | ) |
Year ended 12-31-2016 | | | | 9.42 | | | | | (0.01 | ) | | | | 0.55 | | | | | 0.54 | | | | | — | | | | | (0.52 | ) | | | | (0.52 | ) |
|
Natural Resources | |
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 3.30 | | | | | 0.03 | | | | | 0.58 | | | | | 0.61 | | | | | (0.06 | ) | | | | — | | | | | (0.06 | ) |
Year ended 12-31-2020 | | | | 3.84 | | | | | 0.04 | | | | | (0.51 | ) | | | | (0.47 | ) | | | | (0.07 | ) | | | | — | | | | | (0.07 | ) |
Year ended 12-31-2019 | | | | 3.55 | | | | | 0.07 | | | | | 0.26 | | | | | 0.33 | | | | | (0.04 | ) | | | | — | | | | | (0.04 | ) |
Year ended 12-31-2018 | | | | 4.63 | | | | | 0.03 | | | | | (1.10 | ) | | | | (1.07 | ) | | | | (0.01 | ) | | | | — | | | | | (0.01 | ) |
Year ended 12-31-2017 | | | | 4.50 | | | | | 0.00 | * | | | | 0.14 | | | | | 0.14 | | | | | (0.01 | ) | | | | — | | | | | (0.01 | ) |
Year ended 12-31-2016 | | | | 3.66 | | | | | 0.01 | | | | | 0.86 | | | | | 0.87 | | | | | (0.03 | ) | | | | — | | | | | (0.03 | ) |
| * | 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) | For the period from April 28, 2017 (commencement of operations of the class) through December 31, 2017. |
| (5) | For the period from November 5, 2018 (commencement of operations of the class) through December 31, 2018. |
| (7) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended December 31, 2017. |
| (8) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended December 31, 2018. |
| (9) | Expense ratio based on the period excluding reorganization expenses was 0.89%. |
| (10) | Expense ratio based on the period excluding reorganization expenses was 1.14%. |
| | | | | | |
| 62 | | SEMIANNUAL REPORT | | 2021 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | |
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 |
Science and Technology | |
Class I Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | $ | 36.13 | | | | $ | (0.09 | ) | | | $ | 4.21 | | | | $ | 4.12 | | | | $ | — | | | | $ | (0.51 | ) | | | $ | (0.51 | ) |
Year ended 12-31-2020 | | | | 29.94 | | | | | (0.14 | ) | | | | 10.31 | | | | | 10.17 | | | | | — | | | | | (3.98 | ) | | | | (3.98 | ) |
Year ended 12-31-2019 | | | | 21.91 | | | | | (0.06 | ) | | | | 10.95 | | | | | 10.89 | | | | | — | | | | | (2.86 | ) | | | | (2.86 | ) |
Year ended 12-31-2018 | | | | 27.04 | | | | | (0.03 | ) | | | | (1.24 | ) | | | | (1.27 | ) | | | | — | | | | | (3.86 | ) | | | | (3.86 | ) |
Year ended 12-31-2017 (4) | | | | 25.22 | | | | | (0.04 | ) | | | | 4.16 | | | | | 4.12 | | | | | — | | | | | (2.30 | ) | | | | (2.30 | ) |
|
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 35.87 | | | | | (0.13 | ) | | | | 4.17 | | | | | 4.04 | | | | | — | | | | | (0.51 | ) | | | | (0.51 | ) |
Year ended 12-31-2020 | | | | 29.82 | | | | | (0.21 | ) | | | | 10.24 | | | | | 10.03 | | | | | — | | | | | (3.98 | ) | | | | (3.98 | ) |
Year ended 12-31-2019 | | | | 21.84 | | | | | (0.13 | ) | | | | 10.90 | | | | | 10.77 | | | | | — | | | | | (2.79 | ) | | | | (2.79 | ) |
Year ended 12-31-2018 | | | | 27.04 | | | | | (0.11 | ) | | | | (1.23 | ) | | | | (1.34 | ) | | | | — | | | | | (3.86 | ) | | | | (3.86 | ) |
Year ended 12-31-2017 | | | | 22.34 | | | | | (0.13 | ) | | | | 7.08 | | | | | 6.95 | | | | | — | | | | | (2.25 | ) | | | | (2.25 | ) |
Year ended 12-31-2016 | | | | 22.96 | | | | | (0.11 | ) | | | | 0.34 | | | | | 0.23 | | | | | — | | | | | (0.85 | ) | | | | (0.85 | ) |
|
Small Cap Core | |
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 13.85 | | | | | (0.03 | ) | | | | 2.68 | | | | | 2.65 | | | | | — | | | | | — | | | | | — | |
Year ended 12-31-2020 | | | | 13.71 | | | | | (0.02 | ) | | | | 0.80 | | | | | 0.78 | | | | | — | | | | | (0.64 | ) | | | | (0.64 | ) |
Year ended 12-31-2019 | | | | 13.51 | | | | | 0.00 | * | | | | 3.12 | | | | | 3.12 | | | | | — | | | | | (2.92 | ) | | | | (2.92 | ) |
Year ended 12-31-2018 | | | | 18.32 | | | | | (0.06 | ) | | | | (1.37 | ) | | | | (1.43 | ) | | | | (0.02 | ) | | | | (3.36 | ) | | | | (3.38 | ) |
Year ended 12-31-2017 | | | | 18.34 | | | | | 0.00 | * | | | | 2.21 | | | | | 2.21 | | | | | — | | | | | (2.23 | ) | | | | (2.23 | ) |
Year ended 12-31-2016 | | | | 15.66 | | | | | 0.01 | | | | | 4.17 | | | | | 4.18 | | | | | (0.07 | ) | | | | (1.43 | ) | | | | (1.50 | ) |
|
Small Cap Growth | |
Class I Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 12.15 | | | | | (0.04 | ) | | | | 1.17 | | | | | 1.13 | | | | | (0.14 | ) | | | | (1.48 | ) | | | | (1.62 | ) |
Year ended 12-31-2020 | | | | 8.80 | | | | | (0.04 | ) | | | | 3.39 | | | | | 3.35 | | | | | — | | | | | — | | | | | — | |
Year ended 12-31-2019 | | | | 7.69 | | | | | (0.05 | ) | | | | 1.85 | | | | | 1.80 | | | | | — | | | | | (0.69 | ) | | | | (0.69 | ) |
Year ended 12-31-2018 (5) | | | | 8.76 | | | | | 0.00 | * | | | | (1.07 | ) | | | | (1.07 | ) | | | | — | | | | | — | | | | | — | |
|
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 12.08 | | | | | (0.06 | ) | | | | 1.17 | | | | | 1.11 | | | | | (0.12 | ) | | | | (1.48 | ) | | | | (1.60 | ) |
Year ended 12-31-2020 | | | | 8.77 | | | | | (0.06 | ) | | | | 3.37 | | | | | 3.31 | | | | | — | | | | | — | | | | | — | |
Year ended 12-31-2019 | | | | 7.68 | | | | | (0.07 | ) | | | | 1.85 | | | | | 1.78 | | | | | — | | | | | (0.69 | ) | | | | (0.69 | ) |
Year ended 12-31-2018 | | | | 11.63 | | | | | (0.06 | ) | | | | 0.03 | | | | | (0.03 | ) | | | | (0.05 | ) | | | | (3.87 | ) | | | | (3.92 | ) |
Year ended 12-31-2017 | | | | 9.69 | | | | | (0.07 | ) | | | | 2.27 | | | | | 2.20 | | | | | — | | | | | (0.26 | ) | | | | (0.26 | ) |
Year ended 12-31-2016 | | | | 10.60 | | | | | (0.07 | ) | | | | 0.23 | | | | | 0.16 | | | | | — | | | | | (1.07 | ) | | | | (1.07 | ) |
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 63 | |
| | |
| FINANCIAL HIGHLIGHTS | | IVY VIP |
| | |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Net Asset
Value,
End of Period | | Total
Return(2) | | Net Assets,
End of Period
(in millions) | | Ratio of Expenses
to Average Net
Assets Including
Expense Waiver | | Ratio of Net
Investment
Income
(Loss) to
Average
Net Assets
Including
Expense
Waiver | | Ratio of
Expenses to
Average
Net Assets
Excluding
Expense
Waiver(3) | | Ratio of Net
Investment
Income
(Loss) to
Average
Net Assets
Excluding
Expense
Waiver(3) | | Portfolio
Turnover
Rate |
Mid Cap Growth | |
Class I Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | $ | 17.18 | | | | | 11.37 | % | | | $ | 255 | | | | | 0.85 | %(6) | | | | -0.51 | %(6) | | | | 0.89 | %(6) | | | | -0.55 | %(6) | | | | 16 | % |
Year ended 12-31-2020 | | | | 17.60 | | | | | 49.37 | | | | | 246 | | | | | 0.85 | | | | | -0.27 | | | | | 0.90 | | | | | -0.32 | | | | | 25 | |
Year ended 12-31-2019 | | | | 12.77 | | | | | 38.28 | | | | | 233 | | | | | 0.85 | | | | | -0.20 | | | | | 0.90 | | | | | -0.25 | | | | | 20 | |
Year ended 12-31-2018 | | | | 11.10 | | | | | 0.20 | | | | | 184 | | | | | 0.85 | | | | | -0.14 | | | | | 0.90 | | | | | -0.19 | | | | | 53 | |
Year ended 12-31-2017(4) | | | | 11.63 | | | | | 16.44 | | | | | 131 | | | | | 0.85 | (6) | | | | 0.056 | (6) | | | | 0.89 | (6) | | | | 0.01 | (6) | | | | 25 | (7) |
| |
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 17.06 | | | | | 11.23 | | | | | 491 | | | | | 1.10 | (6) | | | | -0.75 | (6) | | | | 1.14 | (6) | | | | -0.79 | (6) | | | | 16 | |
Year ended 12-31-2020 | | | | 17.48 | | | | | 49.00 | | | | | 444 | | | | | 1.10 | | | | | -0.53 | | | | | 1.15 | | | | | -0.58 | | | | | 25 | |
Year ended 12-31-2019 | | | | 12.69 | | | | | 37.94 | | | | | 315 | | | | | 1.10 | | | | | -0.45 | | | | | 1.15 | | | | | -0.50 | | | | | 20 | |
Year ended 12-31-2018 | | | | 11.07 | | | | | -0.06 | | | | | 230 | | | | | 1.10 | | | | | -0.42 | | | | | 1.15 | | | | | -0.47 | | | | | 53 | |
Year ended 12-31-2017 | | | | 11.61 | | | | | 26.89 | | | | | 585 | | | | | 1.11 | | | | | -0.39 | | | | | 1.15 | | | | | -0.43 | | | | | 25 | |
Year ended 12-31-2016 | | | | 9.44 | | | | | 6.12 | | | | | 615 | | | | | 1.10 | | | | | -0.09 | | | | | 1.15 | | | | | -0.14 | | | | | 33 | |
|
Natural Resources | |
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 3.85 | | | | | 18.55 | | | | | 88 | | | | | 1.23 | (6) | | | | 1.61 | (6) | | | | — | | | | | — | | | | | 20 | |
Year ended 12-31-2020 | | | | 3.30 | | | | | -11.99 | | | | | 75 | | | | | 1.31 | | | | | 1.40 | | | | | — | | | | | — | | | | | 71 | |
Year ended 12-31-2019 | | | | 3.84 | | | | | 9.46 | | | | | 88 | | | | | 1.24 | | | | | 1.88 | | | | | — | | | | | — | | | | | 36 | |
Year ended 12-31-2018 | | | | 3.55 | | | | | -23.23 | | | | | 88 | | | | | 1.21 | | | | | 0.72 | | | | | — | | | | | — | | | | | 33 | |
Year ended 12-31-2017 | | | | 4.63 | | | | | 2.97 | | | | | 131 | | | | | 1.36 | | | | | 0.11 | | | | | — | | | | | — | | | | | 44 | |
Year ended 12-31-2016 | | | | 4.50 | | | | | 23.81 | | | | | 144 | | | | | 1.36 | | | | | 0.20 | | | | | — | | | | | — | | | | | 67 | |
|
Science and Technology | |
Class I Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 39.74 | | | | | 11.54 | | | | | 2 | | | | | 0.89 | (6) | | | | -0.50 | (6) | | | | — | | | | | — | | | | | 15 | |
Year ended 12-31-2020 | | | | 36.13 | | | | | 35.70 | | | | | 2 | | | | | 0.91 | | | | | -0.44 | | | | | — | | | | | — | | | | | 8 | |
Year ended 12-31-2019 | | | | 29.94 | | | | | 49.86 | | | | | 1 | | | | | 0.90 | | | | | -0.23 | | | | | — | | | | | — | | | | | 31 | |
Year ended 12-31-2018 | | | | 21.91 | | | | | -5.00 | | | | | 1 | | | | | 0.91 | | | | | -0.11 | | | | | 0.91 | | | | | -0.11 | | | | | 17 | |
Year ended 12-31-2017(4) | | | | 27.04 | | | | | 17.24 | | | | | — | * | | | | 0.90 | (6) | | | | -0.25 | (6) | | | | — | | | | | — | | | | | 27 | (7) |
| |
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 39.41 | | | | | 11.40 | | | | | 712 | | | | | 1.14 | (6) | | | | -0.71 | (6) | | | | — | | | | | — | | | | | 15 | |
Year ended 12-31-2020 | | | | 35.87 | | | | | 35.36 | | | | | 676 | | | | | 1.16 | | | | | -0.67 | | | | | — | | | | | — | | | | | 8 | |
Year ended 12-31-2019 | | | | 29.82 | | | | | 49.48 | | | | | 579 | | | | | 1.15 | | | | | -0.48 | | | | | — | | | | | — | | | | | 31 | |
Year ended 12-31-2018 | | | | 21.84 | | | | | -5.23 | | | | | 429 | | | | | 1.16 | | | | | -0.38 | | | | | — | | | | | — | | | | | 17 | |
Year ended 12-31-2017 | | | | 27.04 | | | | | 32.12 | | | | | 645 | | | | | 1.15 | | | | | -0.51 | | | | | — | | | | | — | | | | | 27 | |
Year ended 12-31-2016 | | | | 22.34 | | | | | 1.54 | | | | | 514 | | | | | 1.15 | | | | | -0.52 | | | | | 1.17 | | | | | -0.54 | | | | | 16 | |
| | | | | | |
| 64 | | SEMIANNUAL REPORT | | 2021 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 |
Small Cap Core | |
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | $ | 16.50 | | | | | 19.10 | % | | | $ | 198 | | | | | 1.18 | %(6) | | | | -0.32 | %(6) | | | | — | % | | | | — | % | | | | 54 | % |
Year ended 12-31-2020 | | | | 13.85 | | | | | 7.03 | | | | | 183 | | | | | 1.20 | | | | | -0.14 | | | | | — | | | | | — | | | | | 145 | |
Year ended 12-31-2019 | | | | 13.71 | | | | | 24.33 | | | | | 188 | | | | | 1.18 | | | | | -0.05 | | | | | — | | | | | — | | | | | 126 | |
Year ended 12-31-2018 | | | | 13.51 | | | | | -10.49 | | | | | 175 | | | | | 1.17 | | | | | -0.34 | | | | | — | | | | | — | | | | | 112 | |
Year ended 12-31-2017 | | | | 18.32 | | | | | 13.73 | | | | | 316 | | | | | 1.15 | | | | | 0.01 | | | | | — | | | | | — | | | | | 112 | |
Year ended 12-31-2016 | | | | 18.34 | | | | | 28.88 | | | | | 348 | | | | | 1.16 | | | | | 0.08 | | | | | — | | | | | — | | | | | 182 | |
|
Small Cap Growth | |
Class I Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 11.66 | | | | | 10.37 | | | | | 58 | | | | | 0.89 | (6) | | | | -0.70 | (6) | | | | 0.90 | (6) | | | | -0.71 | (6) | | | | 27 | |
Year ended 12-31-2020 | | | | 12.15 | | | | | 38.01 | | | | | 59 | | | | | 0.89 | | | | | -0.46 | | | | | 0.92 | | | | | -0.49 | | | | | 50 | |
Year ended 12-31-2019 | | | | 8.80 | | | | | 23.68 | | | | | 58 | | | | | 0.89 | | | | | -0.60 | | | | | 0.91 | | | | | -0.62 | | | | | 41 | |
Year ended 12-31-2018(5) | | | | 7.69 | | | | | -12.24 | | | | | 52 | | | | | 1.05 | (6)(9) | | | | 0.15 | (6) | | | | 1.07 | (6) | | | | 0.13 | (6) | | | | 52 | (8) |
| |
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 11.59 | | | | | 10.23 | | | | | 426 | | | | | 1.14 | (6) | | | | -0.95 | (6) | | | | 1.15 | (6) | | | | -0.96 | (6) | | | | 27 | |
Year ended 12-31-2020 | | | | 12.08 | | | | | 37.66 | | | | | 406 | | | | | 1.14 | | | | | -0.71 | | | | | 1.17 | | | | | -0.74 | | | | | 50 | |
Year ended 12-31-2019 | | | | 8.77 | | | | | 23.37 | | | | | 331 | | | | | 1.14 | | | | | -0.84 | | | | | 1.17 | | | | | -0.87 | | | | | 41 | |
Year ended 12-31-2018 | | | | 7.68 | | | | | -4.11 | | | | | 300 | | | | | 1.16 | (10) | | | | -0.52 | | | | | 1.18 | | | | | -0.54 | | | | | 52 | |
Year ended 12-31-2017 | | | | 11.63 | | | | | 23.12 | | | | | 377 | | | | | 1.15 | | | | | -0.69 | | | | | 1.17 | | | | | -0.71 | | | | | 55 | |
Year ended 12-31-2016 | | | | 9.69 | | | | | 2.92 | | | | | 426 | | | | | 1.14 | | | | | -0.79 | | | | | 1.16 | | | | | -0.81 | | | | | 107 | |
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 65 | |
| | |
| NOTES TO FINANCIAL STATEMENTS | | IVY VIP |
JUNE 30, 2021 (UNAUDITED)
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. Delaware Ivy VIP Asset Strategy (formerly known as Ivy VIP Asset Strategy), Delaware Ivy VIP Balanced (formerly known as Ivy VIP Balanced), Delaware Ivy VIP Energy (formerly known as Ivy VIP Energy), Delaware Ivy VIP Growth (formerly known as Ivy VIP Growth), Delaware Ivy VIP High Income (formerly known as Ivy VIP High Income), Delaware Ivy VIP International Core Equity (formerly known as Ivy VIP International Core Equity), Delaware Ivy VIP Mid Cap Growth (formerly known as Ivy VIP Mid Cap Growth), Delaware Ivy VIP Natural Resources (formerly known as Ivy VIP Natural Resources), Delaware Ivy VIP Science and Technology (formerly known as Ivy VIP Science and Technology), Delaware Ivy VIP Small Cap Core (formerly known as Ivy VIP Small Cap Core) and Delaware Ivy VIP Small Cap Growth (formerly known as Ivy VIP Small Cap Growth) (each, a “Portfolio”) are eleven series of the Trust and are the only series of the Trust included in these financial statements. The assets belonging to each Portfolio are held separately by the custodian. The investment objective, policies and risk factors of each Portfolio are described more fully in the Prospectus and Statement of Additional Information (“SAI”). Each Portfolio’s investment adviser was Ivy Investment Management Company (“IICO”) through April 30, 2021. Effective April 30, 2021, Delaware Management Company (“DMC”) is each Portfolio’s investment adviser.
Each Portfolio offers Class II shares. Asset Strategy, Energy, High Income, Mid Cap Growth, Science and Technology and Small Cap Growth 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. The financial statements reflect an estimate of the reclassification of the distribution character.
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
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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 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 Statements 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’ Statements 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 Statements of Assets and Liabilities.
The risk that changes related to the use of the London Interbank Offered Rate (“LIBOR”) or similar interbank offered rates (“IBORs,” such as the Euro Overnight Index Average (“EONIA”)) could have adverse impacts on financial instruments that reference LIBOR or a similar rate. While some instruments may contemplate a scenario where LIBOR or a similar rate is no longer available by providing for an alternative rate setting methodology, not all instruments have such fallback provisions and the effectiveness of replacement rates is uncertain. The abandonment of LIBOR and similar rates could affect the value and liquidity of instruments that reference such rates, especially those that do not have fallback provisions. The use of alternative reference rate products may impact investment strategy performance.
An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. This coronavirus has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.
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
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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 Statements of Operations, even though investors do not receive their principal until maturity.
Interest Only Obligations. These securities entitle the owner to receive only the interest portion from a bond, Treasury note or pool of mortgages. These securities are generally created by a third party separating a bond or pool of mortgages into distinct interest-only and principal-only securities. As the principal (par) amount of a bond or pool of mortgages is paid down, the amount of interest income earned by the owner will decline as well.
Loans. Certain Portfolios may invest in loans, the interest rates of which float or adjust periodically based upon a specified adjustment schedule, benchmark indicator, or prevailing interest rates, the debtor of which may be a domestic or foreign corporation, partnership or other entity (“Borrower”). Loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates generally include prime rates of one or more major U.S. banks, the LIBOR or certificates of deposit rates. Loans often require prepayments from excess cash flow or permit the Borrower to repay at its election. The degree to which Borrowers repay cannot be predicted with accuracy. As a result, the actual maturity may be substantially less than the stated maturities. Loans are exempt from registration under the Securities Act of 1933, as amended, may contain certain restrictions on resale, and cannot be sold publicly. A 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 Statements 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 DMC, 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 Statements 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.
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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.
| 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.
Short-term securities with maturities of 60 days or less are valued based on quotes that are obtained from an independent pricing service approved by the Board as described in the preceding paragraph above.
Because many foreign markets close before the NYSE, events may occur between the close of the foreign market and the close of the NYSE that could have a material impact on the valuation of foreign securities. Waddell & Reed Services Company (“WRSCO”), pursuant to procedures adopted by the Board, evaluates the impact of these events and may adjust the valuation of foreign securities to reflect the fair value as of the close of the NYSE. In addition, all securities for which values are not readily available or are deemed unreliable are appraised at fair value as determined in good faith under the supervision of the Board.
Where market quotes are not readily available, portfolio securities or financial instruments are valued at fair value, as determined in good faith by the Board or Valuation Committee pursuant to procedures approved by the Board.
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE close, that materially affect the values of a 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. DMC, pursuant to authority delegated by the Board, has established a Valuation Committee to administer and oversee the valuation process, including the use of third party pricing vendors.
The Board has adopted methods for valuing securities and financial instruments in circumstances where market quotes are not readily available. For instances in which daily market quotes are not readily available, investments may be valued, pursuant to procedures established by the Board, with reference to other securities or indices. In the event that the security or financial instrument cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or financial instrument will be determined in good faith by the Valuation Committee in accordance with the procedures adopted by the Board.
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When a 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 unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputs is summarized as follows:
| • | | Level 1 – Observable inputs such as quoted prices, available in active markets, for identical assets or liabilities. |
| • | | Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
| • | | Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at its direction that are used in determining the fair value of investments. |
A description of the valuation techniques applied to the 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, which are provided by an independent pricing service. Swaps derive their value from underlying asset prices, indices, reference rates and other inputs or a combination of these factors. Swaps are valued by an independent pricing service unless the price is unavailable, in which case they are valued at the price provided by a dealer in that security. Exchange-traded futures contracts are generally valued at the settlement price. Listed options are ordinarily valued at the mean of the last bid and ask price provided by an independent pricing service unless the price is unavailable, in which case they are valued at a quotation obtained from a broker-dealer. Over the counter (“OTC”) options are ordinarily valued at the mean of the last bid and ask price for a comparable listed option provided by an independent pricing service unless such a price is unavailable, in which case they are valued at a quotation obtained from a broker-dealer.
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Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. OTC derivative contracts include forward foreign currency contracts, swap agreements, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices. Depending on the product and the terms of the transaction, the fair value of the OTC derivative products are modeled taking into account the counterparties’ creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets, as is the case with interest rate swap and option contracts. OTC derivative products valued using pricing models with significant observable inputs are categorized within Level 2 of the fair value hierarchy.
Equity Securities. Equity securities traded on U.S. or foreign securities exchanges or included in a national market system are valued at the official closing price at the close of each business day unless otherwise stated below. OTC equity securities and listed securities for which no price is readily available are valued at the average of the last bid and ask prices.
Mutual funds, including investment funds, typically are valued at the NAV reported as of the valuation date.
Securities that are stated at the last reported sales price or closing price on the day of valuation taken from the primary exchange where the security is principally traded and to the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy.
Foreign securities, for which the primary trading market closes at the same time or after the NYSE, are valued based on quotations from the primary market in which they are traded and categorized in Level 1. Because many foreign securities markets and exchanges close prior to the close of the NYSE, closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intra-day trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange-traded funds, and the movement of certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Loans. Loans are valued using a price or composite price from one or more brokers or dealers as obtained from an independent pricing service. The fair value of loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources. Loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable in which case they would be categorized as Level 3.
Municipal Bonds. Municipal bonds are fair valued based on pricing models used by and obtained from an independent pricing service that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-wants lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Restricted Securities. Restricted securities that are deemed to be 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, if any, 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, if any, occurred primarily due to the increased availability of observable market data due to increased market activity or information.
For fair valuations using unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the Notes to the Schedule of Investments for each respective Portfolio.
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Net realized gain (loss) and net unrealized appreciation (depreciation), shown on the reconciliation of Level 3 investments, if applicable, are included on the Statements of Operations in net realized gain (loss) on investments in unaffiliated and/or affiliated securities and in net change in unrealized appreciation (depreciation) on investments in unaffiliated and/or affiliated securities, respectively.
| 4. | | DERIVATIVE INSTRUMENTS ($ amounts in thousands unless indicated otherwise) |
The following disclosures contain information on why and how the 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.
Forward Foreign Currency Contracts. Each Portfolio is authorized to enter into forward foreign currency contracts (“forward contracts”) for the purchase or sale of a foreign currency at a negotiated rate at a future date. Forward contracts are reported on a schedule following the Schedule of Investments. Forward contracts are valued daily based upon the closing prices of the forward currency rates provided by an independent pricing service determined at the close of the NYSE. The resulting unrealized appreciation and depreciation is reported on the Statements of Assets and Liabilities as a receivable or payable and on the Statements 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 Statements 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.
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).
Option Contracts. Options purchased by a Portfolio are accounted for in the same manner as portfolio securities. The cost of the underlying instruments acquired through the exercise of call options is increased by the premium paid to purchase the call. The proceeds from instruments sold through the exercise of put options are decreased by the premium paid to purchase the put.
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.
Option contracts can be traded on a regulated exchange or traded OTC. Unlike the trades on a regulated exchange where the clearinghouse guarantees the performances of both the buyer and the seller, to the extent a Portfolio enters into OTC option transactions with counterparties, the Portfolio will be exposed to the risk that counterparties to these OTC transactions will be unable to meet their obligations under the terms of the transaction.
Asset Strategy, Balanced, Mid Cap Growth, Science and Technology and Small Cap Growth 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 is authorized to invest in swap agreements. Swap agreements are bilaterally negotiated agreements between a Portfolio and counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements are privately negotiated in the over-the-counter market (“OTC swaps”). If the OTC swap entered is one of the swaps identified by a relevant regulator as a swap that is required to be cleared, then it will be cleared through a third party, known as a central counterparty or derivatives clearing organization (“centrally cleared swaps”).
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Swaps are marked to market daily and changes in value are recorded as unrealized appreciation (depreciation) on the Statements of Operations. Payments received or made by the Portfolio are recorded as realized gain or loss on the Statements 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 Statements of Assets and Liabilities and amortized over the term of the swap. An early termination payment received or made at an early termination or a final payment made at the maturity of the swap is recorded as realized gain or loss on the Statements of Operations.
After a centrally cleared swap is accepted for clearing, a Portfolio may be required to deposit initial margin with a Clearing Member in the form of cash or securities. Securities deposited as initial margin, if any, are designated on the Schedule of Investments. Cash deposited as initial margin is identified on the Schedule of Investments and is recorded as restricted cash on the Statements of Assets and Liabilities.
Total return swaps involve a commitment of one party to pay 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, a basket of securities, or an index 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 DMC. If a counterparty creditworthiness declines, the value of the agreement would likely decline, potentially resulting in losses. If a default occurs by the counterparty to such a transaction, the 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 due to facts specific to certain situations (i.e., collateral may not have been posted by the counterparty due to the required collateral amount being less than the pre-agreed thresholds. Additionally, regulatory developments called stay resolutions and the ensuing required contractual amendments to the transactional documentation, including derivatives, permit the relevant regulators to preclude parties to a transaction from terminating trades, among other rights it may have in the trade agreements should a counterparty that it regulates experience financial distress. A relevant regulator also has the authority to reduce the value of certain liabilities owed by the counterparty to a Fund and/or convert cash liabilities of a regulated entity into equity holdings. The power given to the relevant regulators includes the ability to amend transactional agreements unilaterally, modify the maturity of eligible liabilities, reduce the amount of interest payable or change the date on which interest becomes payable, among other powers.
To prevent incurring losses due to the counterparty credit risk, DMC actively monitors the creditworthiness of the counterparties with which it has entered financial transactions. DMC consistently and frequently risk manages the credit risk of the counterparties it faces in transactions.
Collateral and rights of offset. A Portfolio mitigates credit risk with respect to OTC derivative counterparties through credit support annexes (“CSA”) included with an International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreement which is the standard contract governing all OTC derivative transactions between the Portfolio and each of its counterparties. Although it is not possible to eliminate credit risk entirely, the CSA allows the Portfolio and its counterparty to reduce their exposure to the risk of payment default by the other party by holding an amount in collateral equivalent to the realized and unrealized amount of exposure to the counterparty, which is generally held by the Portfolio’s custodian. An amount of collateral is moved to/from applicable counterparties only if the amount of collateral required to be posted surpasses both the threshold and the minimum transfer amount pre-agreed in the CSA between the Portfolio and the counterparty. See Note 2 “Segregation and Collateralization” for additional information with respect to collateral practices.
Offsetting of Assets and Liabilities. The following tables present financial instruments that are either (1) offset or (2) subject to an enforceable master netting arrangement or similar agreement as of June 30, 2021:
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| | | 2021 | | | | SEMIANNUAL REPORT | | | | 73 | |
Assets
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Gross Amounts Not Offset on the
Statements of Assets and Liabilities | |
| Portfolio | | Gross
Amounts of
Recognized
Assets | | | Gross
Amounts
Offset on the
Statements of
Assets and
Liabilities | | | Net Amounts
of Assets
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments
and
Derivatives
Available
for Offset | | | Non-Cash
Collateral
Received | | | Cash
Collateral
Received | | | Net
Amount
Receivable | |
Asset Strategy | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in unaffiliated securities at value* | | $ | 223 | | | $ | — | | | $ | 223 | | | $ | (153 | ) | | $ | — | | | $ | — | | | $ | 70 | |
High Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Unrealized appreciation on forward foreign currency contracts | | $ | 174 | | | $ | — | | | $ | 174 | | | $ | — | | | $ | — | | | $ | — | | | $ | 174 | |
| * | Purchased options are reported as investments in unaffiliated securities on the Statements of Assets and Liabilities. |
Liabilities
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Gross Amounts Not Offset on the
Statements of Assets and Liabilities | |
| Portfolio | | Gross
Amounts of
Recognized
Liabilities | | | Gross
Amounts
Offset on the
Statements of
Assets and
Liabilities | | | Net Amounts
of Liabilities
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments
and
Derivatives
Available
for Offset | | | Non-Cash
Collateral
Pledged | | | Cash
Collateral
Pledged | | | Net
Amount
Payable | |
Asset Strategy | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Written options at value | | $ | 153 | | | $ | — | | | $ | 153 | | | $ | (153 | ) | | $ | — | | | $ | — | | | $ | — | |
| Additional | | Disclosure Related to Derivative Instruments |
Fair values of derivative instruments as of June 30, 2021:
| | | | | | | | | | | | | | |
| | | | | Assets | | | Liabilities | |
| Portfolio | | Type of Risk
Exposure | | Statements of Assets & Liabilities
Location | | Value | | | Statements of Assets &
Liabilities Location | | Value | |
Asset Strategy | | Equity | | Investments in unaffiliated securities at value* | | $ | 1,755 | | | Written options at value | | $ | 510 | |
High Income | | Foreign currency | | Unrealized appreciation on forward foreign currency contracts | | | 174 | | | | | | — | |
Mid Cap Growth | | Equity | | | | | — | | | Written options at value | | | 5 | |
| * | Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments. |
| | | | | | |
| 74 | | SEMIANNUAL REPORT | | 2021 | | |
Amount of realized gain (loss) on derivatives recognized on the Statements of Operations for the period ended June 30, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 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 | |
| Asset Strategy | | Equity | | $ | 1,615 | | | $ | 336 | | | $ | — | | | $ | 277 | | | $ | — | | | $ | 2,228 | |
| Balanced | | Equity | | | — | | | | — | | | | — | | | | 38 | | | | — | | | | 38 | |
| High Income | | Foreign currency | | | — | | | | — | | | | — | | | | — | | | | (218 | ) | | | (218 | ) |
| International Core Equity | | Foreign currency | | | — | | | | — | | | | — | | | | — | | | | 631 | | | | 631 | |
| Mid Cap Growth | | Equity | | | (2,000 | ) | | | — | | | | — | | | | 533 | | | | — | | | | (1,467 | ) |
| Natural Resources | | Foreign currency | | | — | | | | — | | | | — | | | | — | | | | (338 | ) | | | (338 | ) |
| Science and Technology | | Equity | | | (995 | ) | | | — | | | | — | | | | 1,196 | | | | — | | | | 201 | |
| Small Cap Growth | | Equity | | | (203 | ) | | | (1,784 | ) | | | — | | | | 70 | | | | — | | | | (1,917 | ) |
| * | Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments. |
Change in unrealized appreciation (depreciation) on derivatives recognized on the Statements of Operations for the period ended June 30, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 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 | |
| Asset Strategy | | Equity | | $ | 399 | | | $ | (301 | ) | | $ | — | | | $ | 635 | | | $ | — | | | $ | 733 | |
| High Income | | Foreign currency | | | — | | | | — | | | | — | | | | — | | | | 174 | | | | 174 | |
| International Core Equity | | Foreign currency | | | — | | | | — | | | | — | | | | — | | | | (685 | ) | | | (685 | ) |
| Mid Cap Growth | | Equity | | | 1,017 | | | | — | | | | — | | | | (331 | ) | | | — | | | | 686 | |
| Natural Resources | | Foreign currency | | | — | | | | — | | | | — | | | | — | | | | 472 | | | | 472 | |
| Science and Technology | | Equity | | | — | | | | — | | | | — | | | | (344 | ) | | | — | | | | (344 | ) |
| Small Cap Growth | | Equity | | | 240 | | | | 155 | | | | — | | | | 29 | | | | — | | | | 424 | |
| * | Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments. |
During the period ended June 30, 2021, the average derivative volume was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| Portfolio | | Forward foreign
currency contracts(1) | | | Long futures
contracts(2) | | | Short futures
contracts(2) | | | Swap
agreements(3) | | | Purchased
options(2) | | | Written
options(2) | |
| Asset Strategy | | $ | — | | | $ | — | | | $ | — | | | $ | 7,201 | | | $ | 1,052 | | | $ | 432 | |
| Balanced | | | — | | | | — | | | | — | | | | — | | | | — | | | | 8 | |
| High Income | | | 16 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| International Core Equity | | | 98 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Mid Cap Growth | | | — | | | | — | | | | — | | | | — | | | | 228 | | | | 21 | |
| Natural Resources | | | 67 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Science and Technology | | | — | | | | — | | | | — | | | | — | | | | 186 | | | | 161 | |
| Small Cap Growth | | | — | | | | — | | | | — | | | | 13,381 | | | | 13 | | | | 34 | |
| (1) | Average absolute value of unrealized appreciation/depreciation during the period. |
| (2) | Average value outstanding during the period. |
| (3) | Average notional amount outstanding during the period. |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 75 | |
| 5. | | BASIS OF CONSOLIDATION FOR 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 Asset Strategy (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 investment vehicles for the Portfolio, in order to affect certain investments for the Portfolio consistent with the Portfolio’s investment objectives and policies as specified in its prospectus and SAI.
The Portfolio’s investment portfolio has been consolidated and includes the portfolio holdings of the Portfolio, its Subsidiary and the Company. The consolidated financial statements include the accounts of the Portfolio, its Subsidiary and the Company. All inter-company transactions and balances have been eliminated. A subscription agreement was entered into between the Portfolio and its Subsidiary and the Company comprising the entire issued share capital of the Subsidiary and the Company with the intent that the Portfolio will remain the sole shareholder and retain all rights. Under the Articles of Association, shares issued by the Subsidiary and the Company confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and the Company and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary and the Company.
See the table below for details regarding the structure, incorporation and relationship as of June 30, 2021 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 | | | $ | 763,082 | | | $ | 36,773 | | | | 4.82 | % |
VIP ASF III (SBP), LLC | | | 4-9-13 | | | | 4-23-13 | | | | 763,082 | | | | 17 | | | | 0.00 | |
| 6. | | INVESTMENT MANAGEMENT AND PAYMENTS TO AFFILIATED PERSONS ($ amounts in thousands unless indicated otherwise) |
Management Fees. IICO served as each Portfolio’s investment adviser through April 30, 2021. Effective April 30, 2021, DMC serves as each Portfolio’s investment adviser. The management fee is accrued daily by each Portfolio 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 | | | $3,000 to
$5,000M | | | $5,000 to
$10,000M | | | Over
$10,000M | |
Asset Strategy | | | 0.700 | | | | 0.700 | | | | 0.650 | | | | 0.650 | | | | 0.600 | | | | 0.550 | | | | 0.550 | | | | 0.550 | |
Balanced | | | 0.700 | | | | 0.700 | | | | 0.650 | | | | 0.650 | | | | 0.600 | | | | 0.550 | | | | 0.550 | | | | 0.550 | |
Energy | | | 0.850 | | | | 0.850 | | | | 0.830 | | | | 0.830 | | | | 0.800 | | | | 0.760 | | | | 0.760 | | | | 0.760 | |
Growth | | | 0.700 | | | | 0.700 | | | | 0.650 | | | | 0.650 | | | | 0.600 | | | | 0.550 | | | | 0.550 | | | | 0.550 | |
High Income | | | 0.625 | | | | 0.600 | | | | 0.550 | | | | 0.500 | | | | 0.500 | | | | 0.500 | | | | 0.500 | | | | 0.500 | |
International Core Equity | | | 0.850 | | | | 0.850 | | | | 0.830 | | | | 0.830 | | | | 0.800 | | | | 0.760 | | | | 0.760 | | | | 0.760 | |
Mid Cap Growth | | | 0.850 | | | | 0.850 | | | | 0.830 | | | | 0.830 | | | | 0.800 | | | | 0.760 | | | | 0.760 | | | | 0.760 | |
Natural Resources | | | 0.850 | | | | 0.850 | | | | 0.830 | | | | 0.830 | | | | 0.800 | | | | 0.760 | | | | 0.730 | | | | 0.700 | |
Science and Technology | | | 0.850 | | | | 0.850 | | | | 0.830 | | | | 0.830 | | | | 0.800 | | | | 0.760 | | | | 0.760 | | | | 0.760 | |
Small Cap Core | | | 0.850 | | | | 0.850 | | | | 0.830 | | | | 0.830 | | | | 0.800 | | | | 0.760 | | | | 0.760 | | | | 0.760 | |
Small Cap Growth | | | 0.850 | | | | 0.850 | | | | 0.830 | | | | 0.830 | | | | 0.800 | | | | 0.760 | | | | 0.760 | | | | 0.760 | |
DMC has voluntarily agreed to waive a Portfolio’s investment management fee on any Portfolio that is not subadvised on any day that the Portfolio’s net assets are less than $25 million, subject to DMC’s right to change or modify this waiver. See Expense Reimbursements and/or Waivers for more information.
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”). Under the agreement, WISC acts as the
| | | | | | |
| 76 | | SEMIANNUAL REPORT | | 2021 | | |
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 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 | |
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 Statements of Operations.
Shareholder Servicing. Under the Transfer Agency Agreement between the Trust and WISC, each Portfolio reimburses WISC for certain out-of-pocket costs.
Service Plan. Class II. Under a Service Plan adopted by the Trust pursuant to Rule 12b–1 under the 1940 Act, each Portfolio may pay a service fee to Ivy Distributors, Inc. (“IDI”) through April 30, 2021 and Delaware Distributors, L.P. (“DDLP”) effective April 30, 2021 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 IDI/DDLP 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. DMC, the Portfolios’ investment manager, DDLP, the Portfolios’ distributor, and/or Waddell & Reed Services Company, doing business as WISC, the Portfolios’ transfer agent, have contractually agreed to reimburse sufficient management fees, 12b-1 fees and/or shareholder servicing fees to cap the total annual ordinary fund operating expenses (which would exclude interest, taxes, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses, if any). Portfolio and class expense limitations and related waivers/reimbursements for the period ended June 30, 2021 were as follows:
| | | | | | | | | | | | | | | | |
| Portfolio Name | | Share Class
Name | | Type of
Expense
Limit | | Commencement
Date | | End Date | | Expense
Limit | | Amount of
Expense Waiver/
Reimbursement | | | Expense
Reduced |
Asset Strategy | | All Classes | | Contractual | | 5-1-2021 | | 4-30-2022 | | N/A | | $ | 96 | (1) | | Investment
Management
Fee |
| | | Class I | | Contractual | | 4-28-2017 | | 4-30-2022 | | Class II less
0.25% | | $ | — | | | N/A |
Energy | | Class I | | Contractual | | 4-28-2017 | | 4-30-2022 | | Class II less
0.25% | | $ | — | | | N/A |
High Income | | Class I | | Contractual | | 4-28-2017 | | 4-30-2022 | | Class II less
0.25% | | $ | — | | | N/A |
Mid Cap Growth | | All Classes | | Contractual | | 4-28-2017 | | 4-30-2022 | | N/A | | $ | 137 | (2) | | Investment
Management
Fee |
| | Class I | | Contractual | | 4-28-2017 | | 4-30-2022 | | 0.85% | | $ | — | | | N/A |
| | Class I | | Contractual | | 4-28-2017 | | 4-30-2022 | | Class II less
0.25% | | $ | — | | | N/A |
| | | Class II | | Contractual | | 5-1-2012 | | 4-30-2022 | | 1.10% | | $ | 1 | | | 12b-1 Fees
and/or
Shareholder
Servicing |
Science and Technology | | Class I | | Contractual | | 4-28-2017 | | 4-30-2022 | | Class II less
0.25% | | $ | — | | | N/A |
Small Cap Growth | | All Classes | | Contractual | | 4-28-2017 | | 4-30-2022 | | N/A | | $ | 24 | (2) | | Investment
Management
Fee |
| | Class I | | Contractual | | 11-5-2018 | | 4-30-2022 | | Class II less
0.25% | | $ | — | | | N/A |
| | Class II | | Contractual | | 10-1-2016 | | 4-30-2022 | | 1.14% | | $ | 1 | | | 12b-1 Fees
and/or
Shareholder
Servicing |
| (1) | The Portfolio’s investment management fee is being reduced by 0.15% of average daily net assets until April 30, 2022. |
| (2) | Due to Class I and/or Class II contractual expense limits, investment management fees were waived for all share classes. |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 77 | |
Any amounts due to the Portfolios as a reimbursement but not paid as of June 30, 2021 are shown as a receivable from affiliates on the Statements of Assets and Liabilities.
| 7. | | INTERFUND LENDING PROGRAM |
Pursuant to an exemptive order issued by the SEC (“Order”), the Ivy Funds, Ivy Variable Insurance Portfolios and InvestEd Portfolios (collectively, the “Funds” only for purposes of this footnote 7) have the ability to lend money to, and borrow money from, each other pursuant to a master interfund lending agreement (“Interfund Lending Program”). Under the Interfund Lending Program, the Funds may lend or borrow money for temporary purposes directly to or from one another (each an “Interfund Loan”), subject to meeting the conditions of the Order. The interest rate to be charged on an Interfund Loan is the average of the overnight repurchase agreement rate and the short-term bank loan rate. The Funds made no Interfund Loans under the Interfund Lending Program during the period ended June 30, 2021.
| 8. | | AFFILIATED COMPANY TRANSACTIONS (All amounts in thousands) |
A summary of the transactions in affiliated companies during the period ended June 30, 2021 follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Portfolio | | 12-31-20
Value | | | Gross
Additions | | | Gross
Reductions | | | Realized
Gain/
(Loss) | | | Net Change in
Unrealized
Depreciation | | | 6-30-21
Value | | | Distributions
Received | | | Capital Gain
Distributions | |
High Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Larchmont Resources LLC(1)(2(3)) | | $ | 40 | | | $ | 4 | (5) | | $ | — | | | $ | — | | | $ | (39 | ) | | $ | 1 | | | $ | — | | | $ | — | |
| | | | | | | | |
| | | | | | | | | | | | | | | Net Change in
Unrealized
Depreciation | | | | | | Interest
Received | | | | |
Larchmont Resources LLC (9.000% Cash or 9.000% PIK), 9.000%, 8-9-21(2)(4) | | $ | 312 | | | $ | — | | | $ | — | | | $ | — | | | $ | (1 | ) | | $ | 311 | | | $ | 36 | | | $ | — | |
| * | Not shown due to rounding. |
| (1) | No dividends were paid during the preceding 12 months. |
| (2) | Securities whose value was determined using significant unobservable inputs. |
| (5) | The amount shown of $4 represents accretion. |
| 9. | | INVESTMENT SECURITIES TRANSACTIONS ($ 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, 2021, were as follows:
| | | | | | | | | | | | | | | | |
| | | Purchases | | | Sales | |
| | | U.S. Government | | | Other Issuers | | | U.S. Government | | | Other Issuers | |
Asset Strategy | | $ | 62,032 | | | $ | 208,863 | | | $ | 14,954 | | | $ | 293,474 | |
Balanced | | | 38,594 | | | | 33,667 | | | | 17,934 | | | | 71,423 | |
Energy | | | — | | | | 15,518 | | | | — | | | | 7,231 | |
Growth | | | — | | | | 134,068 | | | | — | | | | 127,592 | |
High Income | | | — | | | | 307,091 | | | | — | | | | 328,608 | |
International Core Equity | | | — | | | | 334,135 | | | | — | | | | 394,574 | |
Mid Cap Growth | | | — | | | | 107,196 | | | | — | | | | 130,508 | |
Natural Resources | | | — | | | | 16,333 | | | | — | | | | 17,118 | |
Science and Technology | | | — | | | | 100,647 | | | | — | | | | 152,112 | |
Small Cap Core | | | — | | | | 108,166 | | | | — | | | | 130,520 | |
Small Cap Growth | | | — | | | | 124,787 | | | | — | | | | 155,934 | |
| 10. | | LOANS OF PORTFOLIO SECURITIES ($ amounts in thousands) |
Each Portfolio may lend their portfolio securities only to borrowers that are approved by the Portfolio’s securities lending agent, The Bank of New York Mellon (“BNYM”). The borrower pledges and maintains with the Portfolio collateral consisting of cash or securities issued or guaranteed by the U.S. government. The collateral received by the Portfolio is required to have a value of at least 102% of the market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% of the market value for all other securities, except in the case of loans of foreign securities which are
| | | | | | |
| 78 | | SEMIANNUAL REPORT | | 2021 | | |
denominated and payable in U.S. dollars, in which case the collateral is required to have a value of at least 102% of the market value of the loaned securities. The market value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Portfolio and any excess collateral is returned by the Portfolio on the next business day. During the term of the loan, the Portfolio is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
Cash received as collateral for securities on loan may be reinvested in the Dreyfus Institutional Preferred Government Money Market Fund—Institutional Shares or certain other registered money market funds and are disclosed in the Portfolio’s Schedule of Investments and are reflected in the Statements of Assets and Liabilities as cash collateral on securities loaned at value. Non-cash collateral, in the form of securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, is not disclosed in the Portfolio’s Statements of Assets and Liabilities as it is held by the lending agent on behalf of the Portfolio and the Portfolio does not have the ability to re-hypothecate these securities. The securities on loan for each Portfolio are also disclosed in its Schedule of Investments. The total value of any securities on loan as of June 30, 2021 and the total value of the related cash collateral are disclosed in the Statements of Assets and Liabilities. Income earned by the Portfolios from securities lending activity is disclosed in the Statements of Operations.
The following is a summary of each Portfolio’s securities lending positions and related cash and non-cash collateral received as of June 30, 2021:
| | | | | | | | | | | | | | | | |
| Portfolio | | Value of Securities
on Loan | | | Cash Collateral
Received | | | Non-Cash Collateral
Received | | | Total Collateral Received | |
| Asset Strategy | | $ | 8,692 | | | $ | 4,322 | | | $ | 4,562 | | | $ | 8,884 | |
| Balanced | | | 1,808 | | | | — | | | | 1,845 | | | | 1,845 | |
| High Income | | | 30,363 | | | | 25,742 | | | | 5,298 | | | | 31,040 | |
| International Core Equity | | | 27,932 | | | | 4,066 | | | | 26,309 | | | | 30,375 | |
| Natural Resources | | | 147 | | | | 151 | | | | — | | | | 151 | |
| Small Cap Core | | | 6,670 | | | | 2,184 | | | | 4,630 | | | | 6,814 | |
| Small Cap Growth | | | 2,353 | | | | 1,697 | | | | 705 | | | | 2,402 | |
The cash collateral received amounts presented in the table above are transactions accounted for as secured borrowings and have an overnight and continuous maturity. The proceeds from the cash collateral received is invested in registered money market funds.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Portfolios benefit from a borrower indemnity provided by BNYM. BNYM’s indemnity allows for full replacement of securities lent wherein BNYM will purchase the unreturned loaned securities on the open market by applying the proceeds of the collateral or to the extent such proceeds are insufficient or the collateral is unavailable, BNYM will purchase the unreturned loan securities at BNYM’s expense. However, the Portfolio could suffer a loss if the value of the investments purchased with cash collateral falls below the value of the cash collateral received.
On July 1, 2019 the Trust, on behalf of High Income, along with certain other funds managed by the investment adviser (“Participating Funds”), entered into a 364-day senior unsecured revolving credit facility with Bank of New York Mellon and a group of financial institutions to be utilized to temporarily finance the repurchase or redemption of Fund shares and for other temporary or emergency purposes. The agreement was amended on June 29, 2020. The Participating Funds can borrow up to an aggregate commitment amount of $130 million at any time outstanding, subject to asset coverage and other limitations as specified in the agreement. The credit facility has the following terms: a commitment fee of 0.15% per annum of the daily amount of unused commitment amounts and interest at a rate equal to the higher of (a) the federal funds effective rate (but not below 0.0%) plus 1.25% per annum or (b) the one-month LIBOR rate (but not below 0.0%) plus 1.25% per annum on amounts borrowed. The agreement expires in June 2021 unless extended or renewed. As of June 30, 2021, if applicable, any outstanding borrowings would be disclosed as a payable for borrowing on the Statements of Assets and Liabilities. Commitment and interest fees, if any, paid by the Participating Funds are disclosed as part of commitment and interest expense for borrowing on the Statements of Operations. During the period ended June 30, 2021, the Participating Funds did not borrow under the credit facility.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 79 | |
| 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:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Asset Strategy | | | Balanced | |
| | | Six months
ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | | | Six months
ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | |
| | | Shares | | | Value | | | Shares | | | Value | | | Shares | | | Value | | | Shares | | | Value | |
Shares issued from sale of shares: | |
Class I | | | 85 | | | $ | 929 | | | | 2 | | | $ | 18 | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
Class II | | | 1,185 | | | | 12,656 | | | | 2,297 | | | | 20,591 | | | | 655 | | | $ | 5,918 | | | | 1,388 | | | $ | 10,666 | |
Shares issued in reinvestment of distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 1 | | | | 7 | | | | 1 | | | | 14 | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
Class II | | | 1,336 | | | | 14,256 | | | | 2,592 | | | | 25,939 | | | | 2,864 | | | | 25,006 | | | | 3,038 | | | | 21,608 | |
Shares redeemed: | |
Class I | | | (2 | ) | | | (20 | ) | | | (1 | ) | | | (10 | ) | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
Class II | | | (5,893 | ) | | | (62,825 | ) | | | (12,999 | ) | | | (121,030 | ) | | | (2,794 | ) | | | (25,170 | ) | | | (6,423 | ) | | | (49,568 | ) |
Net increase (decrease) | | | (3,288 | ) | | $ | (34,997 | ) | | | (8,108 | ) | | $ | (74,478 | ) | | | 725 | | | $ | 5,754 | | | | (1,997 | ) | | $ | (17,294 | ) |
| | |
| | | Energy | | | Growth | |
| | | Six months
ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | | | Six months
ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | |
| | | Shares | | | Value | | | Shares | | | Value | | | Shares | | | Value | | | Shares | | | Value | |
Shares issued from sale of shares: | |
Class I | | | 29 | | | $ | 92 | | | | 42 | | | $ | 90 | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
Class II | | | 8,910 | | | | 26,661 | | | | 17,805 | | | | 36,300 | | | | 7,654 | | | $ | 97,993 | | | | 6,048 | | | $ | 65,529 | |
Shares issued in reinvestment of distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | — | * | | | — | * | | | 2 | | | | 4 | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
Class II | | | 57 | | | | 182 | | | | 297 | | | | 710 | | | | 8,105 | | | | 98,262 | | | | 11,225 | | | | 112,472 | |
Shares redeemed: | |
Class I | | | (69 | ) | | | (219 | ) | | | (10 | ) | | | (21 | ) | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
Class II | | | (5,899 | ) | | | (17,886 | ) | | | (11,000 | ) | | | (24,197 | ) | | | (6,789 | ) | | | (89,272 | ) | | | (16,529 | ) | | | (183,294 | ) |
Net increase (decrease) | | | 3,028 | | | $ | 8,830 | | | | 7,136 | | | $ | 12,886 | | | | 8,970 | | | $ | 106,983 | | | | 744 | | | $ | (5,293 | ) |
| | |
| | | High Income | | | International Core Equity | |
| | | Six months
ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | | | Six months
ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | |
| | | Shares | | | Value | | | Shares | | | Value | | | Shares | | | Value | | | Shares | | | Value | |
Shares issued from sale of shares: | |
Class I | | | 516 | | | $ | 1,792 | | | | 1,120 | | | $ | 3,427 | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
Class II | | | 20,429 | | | | 71,099 | | | | 34,522 | | | | 108,828 | | | | 281 | | | $ | 4,962 | | | | 5,497 | | | $ | 68,946 | |
Shares issued in reinvestment of distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 376 | | | | 1,264 | | | | 501 | | | | 1,439 | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
Class II | | | 15,741 | | | | 52,760 | | | | 19,910 | | | | 57,105 | | | | 381 | | | | 6,911 | | | | 1,149 | | | | 14,682 | |
Shares redeemed: | |
Class I | | | (538 | ) | | | (1,872 | ) | | | (3,508 | ) | | | (11,691 | ) | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
Class II | | | (21,708 | ) | | | (74,556 | ) | | | (48,887 | ) | | | (154,485 | ) | | | (4,264 | ) | | | (75,432 | ) | | | (11,578 | ) | | | (159,777 | ) |
Net increase (decrease) | | | 14,816 | | | $ | 50,487 | | | | 3,658 | | | $ | 4,623 | | | | (3,602 | ) | | $ | (63,559 | ) | | | (4,932 | ) | | $ | (76,149 | ) |
* Not shown due to rounding.
| | | | | | |
| 80 | | SEMIANNUAL REPORT | | 2021 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Mid Cap Growth | | | Natural Resources | |
| | | Six months
ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | | | Six months
ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | |
| | | Shares | | | Value | | | Shares | | | Value | | | Shares | | | Value | | | Shares | | | Value | |
Shares issued from sale of shares: | |
Class I | | | 1,337 | | | $ | 23,476 | | | | 2,196 | | | $ | 24,761 | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
Class II | | | 2,900 | | | | 51,397 | | | | 5,890 | | | | 83,518 | | | | 3,443 | | | $ | 12,591 | | | | 4,623 | | | $ | 13,178 | |
Shares issued in reinvestment of distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 1,803 | | | | 28,372 | | | | 1,323 | | | | 16,218 | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
Class II | | | 3,474 | | | | 54,305 | | | | 1,888 | | | | 23,025 | | | | 358 | | | | 1,378 | | | | 586 | | | | 1,678 | |
Shares redeemed: | |
Class I | | | (2,260 | ) | | | (41,077 | ) | | | (7,828 | ) | | | (102,324 | ) | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
Class II | | | (2,983 | ) | | | (53,500 | ) | | | (7,174 | ) | | | (95,976 | ) | | | (3,529 | ) | | | (13,074 | ) | | | (5,335 | ) | | | (16,123 | ) |
Net increase (decrease) | | | 4,271 | | | $ | 62,973 | | | | (3,705 | ) | | $ | (50,778 | ) | | | 272 | | | $ | 895 | | | | (126 | ) | | $ | (1,267 | ) |
| | |
| | | Science and Technology | | | Small Cap Core | |
| | | Six months
ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | | | Six months
ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | |
| | | Shares | | | Value | | | Shares | | | Value | | | Shares | | | Value | | | Shares | | | Value | |
Shares issued from sale of shares: | |
Class I | | | 25 | | | $ | 960 | | | | 44 | | | $ | 1,383 | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
Class II | | | 888 | | | | 33,171 | | | | 2,488 | | | | 74,399 | | | | 955 | | | $ | 14,972 | | | | 1,325 | | | $ | 14,216 | |
Shares issued in reinvestment of distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 1 | | | | 18 | | | | 6 | | | | 191 | | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
Class II | | | 254 | | | | 9,191 | | | | 2,181 | | | | 71,179 | | | | — | | | | — | | | | 823 | | | | 8,738 | |
Shares redeemed: | |
Class I | | | (35 | ) | | | (1,353 | ) | | | (24 | ) | | | (802 | ) | | | N/A | | | | N/A | | | | N/A | | | | N/A | |
Class II | | | (1,923 | ) | | | (72,419 | ) | | | (5,252 | ) | | | (161,803 | ) | | | (2,155 | ) | | | (34,494 | ) | | | (2,654 | ) | | | (30,609 | ) |
Net decrease | | | (790 | ) | | $ | (30,432 | ) | | | (557 | ) | | $ | (15,453 | ) | | | (1,200 | ) | | $ | (19,522 | ) | | | (506 | ) | | $ | (7,655 | ) |
| | |
| | | Small Cap Growth | | | | |
| | | Six months
ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | | | | | | | |
| | | Shares | | | Value | | | Shares | | | Value | | | | | | | | | | | | | |
Shares issued from sale of shares: | | | | | | | | | | | | | | | | | |
Class I | | | 360 | | | $ | 4,478 | | | | 1,175 | | | $ | 8,471 | | | | | | | | | | | | | | | | | |
Class II | | | 1,029 | | | | 12,970 | | | | 1,993 | | | | 17,717 | | | | | | | | | | | | | | | | | |
Shares issued in reinvestment of distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class I | | | 642 | | | | 6,960 | | | | — | | | | — | | | | | | | | | | | | | | | | | |
Class II | | | 4,789 | | | | 51,659 | | | | — | | | | — | | | | | | | | | | | | | | | | | |
Shares redeemed: | | | | | | | | | | | | | | | | | |
Class I | | | (827 | ) | | | (10,485 | ) | | | (2,900 | ) | | | (26,285 | ) | | | | | | | | | | | | | | | | |
Class II | | | (2,720 | ) | | | (34,278 | ) | | | (6,144 | ) | | | (56,338 | ) | | | | | | | | | | | | | | | | |
Net increase (decrease) | | | 3,273 | | | $ | 31,304 | | | | (5,876 | ) | | $ | (56,435 | ) | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 81 | |
Bridge loan commitments may obligate a Portfolio to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Portfolio earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income is included in interest income on the Statements of Operations. At June 30, 2021, there were no outstanding bridge loan commitments.
| 14. | | OTHER FUND INFORMATION |
At a meeting held on January 12, 2021, the Trustees, upon recommendation of the Audit Committee, selected PricewaterhouseCoopers LLP (“PwC”), contingent on PwC finalizing their independence assessment, to serve as the independent registered public accounting firm for the Trust for the fiscal year ending December 31, 2021. PwC affirmed their independence as an independent registered public accounting firm on February 18, 2021. During the fiscal years ended December 31, 2019 and December 31, 2020, Deloitte & Touche LLP’s (“Deloitte”) audit report on the financial statements of each Portfolio in the Trust did not contain any adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. In addition, there were no disagreements between the Trust and Deloitte on accounting principles, financial statements disclosures or audit scope, which, if not resolved to the satisfaction of Deloitte, would have caused them to make reference to the disagreement in their reports. Neither the Trust nor anyone on its behalf has consulted with PwC at any time prior to their selection with respect to the application of accounting principles to a specified transaction, either completed or proposed or the type of audit opinion that might be rendered on each Portfolio’s financial statements.
| 15. | | 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, 2021, the Portfolios below engaged in purchases and sales of securities pursuant to Rule 17a-7 under the Act (amounts in thousands):
| | | | | | | | | | | | |
| | | Purchases | | | Sales | | | Realized Gain
(Loss) | |
Asset Strategy | | $ | — | | | $ | 9,456 | | | $ | (600 | ) |
Balanced | | | — | | | | 375 | | | | 25 | |
High Income | | | 17,436 | | | | 1,431 | | | | 181 | |
| 16. | | FEDERAL INCOME TAX MATTERS ($ amounts in thousands) |
For Federal income tax purposes, cost of investments owned at June 30, 2021 and the related unrealized appreciation (depreciation) were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Portfolio | | Cost of
Investments | | Gross
Appreciation | | Gross
Depreciation | | Net Unrealized
Appreciation
(Depreciation) |
Asset Strategy | | | $ | 692,128 | | | | $ | 148,484 | | | | $ | 70,121 | | | | $ | 78,363 | |
Balanced | | | | 282,607 | | | | | 80,235 | | | | | 2,721 | | | | | 77,514 | |
Energy | | | | 65,683 | | | | | 9,511 | | | | | 5,613 | | | | | 3,898 | |
Growth | | | | 587,734 | | | | | 457,603 | | | | | 9 | | | | | 457,594 | |
High Income | | | | 957,001 | | | | | 33,862 | | | | | 57,634 | | | �� | | (23,772 | ) |
International Core Equity | | | | 578,732 | | | | | 103,700 | | | | | 17,018 | | | | | 86,682 | |
Mid Cap Growth | | | | 438,905 | | | | | 307,293 | | | | | 1,167 | | | | | 306,126 | |
Natural Resources | | | | 82,431 | | | | | 13,314 | | | | | 7,292 | | | | | 6,022 | |
Science and Technology | | | | 322,714 | | | | | 399,345 | | | | | 3,527 | | | | | 395,818 | |
Small Cap Core | | | | 164,650 | | | | | 36,963 | | | | | 782 | | | | | 36,181 | |
Small Cap Growth | | | | 338,049 | | | | | 150,837 | | | | | 1,999 | | | | | 148,838 | |
For Federal income tax purposes, the Portfolios’ undistributed earnings and profit for the year ended December 31, 2020 and the post-October and late-year ordinary activity updated with information available through the date of this report were as follows:
| | | | | | |
| 82 | | SEMIANNUAL REPORT | | 2021 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Portfolio | | Undistributed
Ordinary
Income | | Undistributed
Long-Term
Capital Gains | | Tax
Return
of
Capital | | Post-
October
Capital
Losses
Deferred | | Late-
Year
Ordinary
Losses
Deferred |
Asset Strategy | | | $ | 1,209 | | | | $ | 12,943 | | | | $ | — | | | | $ | — | | | | $ | — | |
Balanced | | | | 3,797 | | | | | 21,206 | | | | | — | | | | | — | | | | | — | |
Energy | | | | 7 | | | | | — | | | | | — | | | | | — | | | | | — | |
Growth | | | | 14,989 | | | | | 83,262 | | | | | — | | | | | — | | | | | — | |
High Income | | | | 53,438 | | | | | — | | | | | — | | | | | — | | | | | — | |
International Core Equity | | | | 6,907 | | | | | — | | | | | — | | | | | — | | | | | — | |
Mid Cap Growth | | | | 8,450 | | | | | 74,222 | | | | | — | | | | | — | | | | | — | |
Natural Resources | | | | 788 | | | | | — | | | | | — | | | | | — | | | | | — | |
Science and Technology | | | | — | | | | | 9,206 | | | | | — | | | | | — | | | | | — | |
Small Cap Core | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Small Cap Growth | | | | 7,133 | | | | | 51,481 | | | | | — | | | | | — | | | | | — | |
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 are generated between 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, 2020 and 2019 were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | December 31, 2020 | | | | | | December 31, 2019 | |
| Portfolio | | Distributed
Ordinary
Income(1) | | | Distributed
Long-Term
Capital
Gains | | | | | | Distributed
Ordinary
Income(1) | | | Distributed
Long-Term
Capital
Gains | |
Asset Strategy | | $ | 15,087 | | | $ | 10,866 | | | | | | | $ | 15,765 | | | $ | 30,101 | |
Balanced | | | 4,491 | | | | 17,117 | | | | | | | | 6,330 | | | | 25,351 | |
Energy | | | 714 | | | | — | | | | | | | | — | | | | — | |
Growth | | | 13,693 | | | | 98,779 | | | | | | | | 4,140 | | | | 182,797 | |
High Income | | | 58,544 | | | | — | | | | | | | | 58,443 | | | | — | |
International Core Equity | | | 14,571 | | | | 111 | | | | | | | | 13,997 | | | | 56,373 | |
Mid Cap Growth | | | 5,368 | | | | 33,875 | | | | | | | | — | | | | 82,198 | |
Natural Resources | | | 1,678 | | | | — | | | | | | | | 870 | | | | — | |
Science and Technology | | | 992 | | | | 70,378 | | | | | | | | 1,227 | | | | 48,590 | |
Small Cap Core | | | 2,001 | | | | 6,737 | | | | | | | | 12,737 | | | | 23,953 | |
Small Cap Growth | | | — | | | | — | | | | | | | | — | | | | 29,250 | |
| (1)Includes | short-term capital gains, 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, 2020 that may be available to offset
future realized capital gains and thereby reduce future capital gains distributions. As of December 31, 2020, the capital loss
carryovers were as follows:
| | | | | | | | | | |
| Portfolio | | Short-
Term
Capital
Loss
Carryover | | Long-
Term
Capital
Loss
Carryover |
Asset Strategy | | | $ | — | | | | $ | — | |
Balanced | | | | — | | | | | — | |
Energy | | | | 10,567 | (1) | | | | 40,488 | (1) |
Growth | | | | — | | | | | — | |
High Income | | | | — | | | | | 80,991 | |
International Core Equity | | | | — | | | | | 37,778 | |
Mid Cap Growth | | | | — | | | | | — | |
Natural Resources | | | | 10,471 | | | | | 58,592 | |
Science and Technology | | | | — | | | | | — | |
Small Cap Core | | | | — | | | | | 98 | |
Small Cap Growth | | | | — | | | | | — | |
| (1)$28,772 | of these Capital Loss Carryovers are subject to an annual limitation of $3,708 plus any unused limitation from prior years. |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 83 | |
| | |
| PROXY VOTING INFORMATION | | IVY VIP |
(UNAUDITED)
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 1.888.923-3355 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 at www.ivyinvestments.com and on the SEC’s website at www.sec.gov.
| | | | | | |
| 84 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| QUARTERLY PORTFOLIO SCHEDULE INFORMATION | | IVY VIP |
(UNAUDITED)
Portfolio holdings can be found on the Trust’s website at www.ivyinvestments.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 as an exhibit to the Trust’s Form N-PORT. These holdings may be viewed in the following ways:
| • | | On the SEC’s website at www.sec.gov. |
| • | | For review and copy at the SEC’s Public Reference Room in Washington, DC. Information on the operations of the Public Reference Room may be obtained by calling 1.800.SEC.0330. |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 85 | |
| | |
| OTHER INFORMATION | | IVY VIP |
The individual Portfolios herein have adopted a Liquidity Risk Management Program (the “Program”). The Portfolio’s board has designated a Liquidity Risk Management Committee (the “Committee”) as the administrator of the Program. The Committee or delegates of the Committee conduct the day-to-day operation of the Program. Under the Program, the Committee manages the Portfolio’s liquidity risk, which is the risk that any Portfolio could not meet shareholder redemption requests without significant dilution of remaining shareholders’ interests in the Portfolio. This risk is managed by monitoring the degree of liquidity of the Portfolio’s investments, limiting the amount of the Portfolio’s illiquid investments, and utilizing various risk management tools and facilities available to the Portfolio for meeting shareholder redemptions, among other means. The Committee’s process of determining the degree of liquidity of the Portfolio’s investments is supported by one or more third-party liquidity assessment vendors. The Portfolio’s board reviewed a report prepared by a designee of the Committee regarding the operation, adequacy and effectiveness of the Program from the period April 1, 2020, through December 31, 2020. The report described the Program’s liquidity classification methodology and the methodology in establishing a Portfolio’s Highly Liquid Investment Minimum (“HLIM”), if necessary. The Committee reported that during the period covered by the report, there were no material changes to the Program and no significant liquidity events impacting the Portfolio or its ability to timely meet redemptions without dilution to existing shareholders. In addition, the Committee provided its assessment that the Program, including the operation of each Portfolio’s HLIM, where applicable, had been effective in managing the Portfolio’s liquidity risk.
| | | | | | |
| 86 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| DELAWARE BY MACQUARIE FAMILY | | |
Global/International Portfolios
Delaware Ivy VIP Global Equity Income
Delaware Ivy VIP Global Growth
Delaware Ivy VIP International Core Equity
Domestic Equity Portfolios
Delaware Ivy VIP Core Equity
Delaware Ivy VIP Growth
Delaware Ivy VIP Mid Cap Growth
Delaware Ivy VIP Small Cap Core
Delaware Ivy VIP Small Cap Growth
Delaware Ivy VIP Value
Fixed Income Portfolios
Delaware Ivy VIP Corporate Bond
Delaware Ivy VIP Global Bond
Delaware Ivy VIP High Income
Delaware Ivy VIP Limited-Term Bond
Money Market Portfolio
Delaware Ivy VIP Government Money Market
Specialty Portfolios
Delaware Ivy VIP Asset Strategy
Delaware Ivy VIP Balanced
Delaware Ivy VIP Energy
Delaware Ivy VIP Natural Resources
Delaware Ivy VIP Pathfinder Aggressive
Delaware Ivy VIP Pathfinder Conservative
Delaware Ivy VIP Pathfinder Moderate
Delaware Ivy VIP Pathfinder Moderately Aggressive
Delaware Ivy VIP Pathfinder Moderately Conservative
Delaware Ivy VIP Pathfinder Moderate—Managed Volatility
Delaware Ivy VIP Pathfinder Moderately Aggressive -Managed Volatility
Delaware Ivy VIP Pathfinder Moderately Conservative -Managed Volatility
Delaware Ivy VIP Science and Technology
Delaware Ivy VIP Securian Real Estate Securities
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.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 87 | |
SEMIANN-VIP1 (06/21)
| | |
VARIABLE INSURANCE PORTFOLIOS | | Semiannual Report JUNE 30, 2021 |
| | | | |
| Ivy Variable Insurance Portfolios* | | | | |
| |
| Delaware Ivy VIP Core Equity (formerly, Ivy VIP Core Equity) | | | Class II | |
| |
| Delaware Ivy VIP Corporate Bond (formerly, Ivy VIP Corporate Bond) | | | Class II | |
| |
| Delaware Ivy VIP Global Bond (formerly, Ivy VIP Global Bond) | | | Class II | |
| |
| Delaware Ivy VIP Global Equity Income (formerly, Ivy VIP Global Equity Income) | | | Class II | |
| |
| Delaware Ivy VIP Global Growth (formerly, Ivy VIP Global Growth) | | | Class II | |
| |
| Delaware Ivy VIP Limited-Term Bond (formerly, Ivy VIP Limited-Term Bond) | | | Class II | |
| |
| Delaware Ivy VIP Securian Real Estate Securities (formerly, Ivy VIP Securian Real Estate Securities) | | | Class II | |
| |
| Delaware Ivy VIP Value (formerly, Ivy VIP Value) | | | Class II | |
| * | Effective July 1, 2021, the name of each portfolio has been updated from Ivy VIP to Delaware Ivy VIP as indicated. |
IVY INVESTMENTS® refers to the investment management and investment advisory services offered by Macquarie Investment Management Business Trust (MIMBT) through its various series.
On December 2, 2020, Waddell & Reed Financial, Inc. (“WDR”), the parent company of Ivy Investment Management Company, the investment adviser of the Ivy Variable Insurance Portfolios (the “VIP Portfolios”), and Macquarie Management Holdings, Inc., the U.S. holding company for Macquarie Group Limited’s U.S. asset management business (“Macquarie”), announced that they had entered into an agreement whereby Macquarie would acquire the investment management business of WDR (the “Transaction”).
The Transaction closed on April 30, 2021. The VIP Portfolios, as part of Delaware Funds by Macquarie, are now managed by Delaware Management Company, a series of Macquarie Investment Management Business Trust, and distributed by Delaware Distributors, L.P.
Macquarie Investment Management (MIM) is a global asset manager with offices in the United States, Europe, Asia, and Australia. As active managers, we prioritize autonomy and accountability at the investment team level in pursuit of opportunities that matter for clients. Delaware Funds is one of the longest-standing mutual fund families, with more than 80 years in existence.
If you are interested in learning more about creating an investment plan, contact your financial advisor.
You can learn more about Delaware Funds or obtain a prospectus at www.ivyinvestments.com/reports/vip.
Macquarie Asset Management (MAM) offers a diverse range of products including securities investment management, infrastructure and real asset management, and fund and equity-based structured products. MIM is the marketing name for certain companies comprising the asset management division of Macquarie Group. This includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Funds Management Hong Kong Limited, Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
The Portfolios are distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
Other than Macquarie Bank Limited (MBL), none of the entities noted are authorized deposit-taking institutions for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these entities do not represent deposits or other liabilities of MBL. MBL does not guarantee or otherwise provide assurance in respect of the obligations of these entities, unless noted otherwise.
The Portfolios are governed by US laws and regulations. Unless otherwise noted, views expressed herein are current as of June 30, 2021, and subject to change for events occurring after such date. The Portfolios are not FDIC insured and are not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor. All third-party marks cited are the property of their respective owners.
© 2021 Macquarie Management Holdings, Inc.
| | |
| 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. 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, 2021.
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 5 in Notes to Financial Statements for further information.
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | |
| | | Actual(1) | | | Hypothetical(2) | | | | |
| | | | | | | |
| Portfolio | | Beginning
Account
Value
12-31-20 | | | Ending
Account
Value
6-30-21 | | | Expenses
Paid During
Period* | | | Beginning
Account
Value
12-31-20 | | | Ending
Account
Value
6-30-21 | | | Expenses
Paid During
Period* | | | Annualized
Expense Ratio
Based on the
Six-Month
Period | |
Core Equity | |
Class II | | $ | 1,000 | | | $ | 1,147.50 | | | $ | 5.05 | | | $ | 1,000 | | | $ | 1,020.07 | | | $ | 4.75 | | | | 0.95% | |
Corporate Bond | |
Class II | | $ | 1,000 | | | $ | 991.60 | | | $ | 3.78 | | | $ | 1,000 | | | $ | 1,020.99 | | | $ | 3.84 | | | | 0.77% | |
Global Bond | |
Class II | | $ | 1,000 | | | $ | 998.20 | | | $ | 2.40 | | | $ | 1,000 | | | $ | 1,022.38 | | | $ | 2.43 | | | | 0.49% | |
Global Equity Income | |
Class II | | $ | 1,000 | | | $ | 1,106.40 | | | $ | 5.27 | | | $ | 1,000 | | | $ | 1,019.76 | | | $ | 5.05 | | | | 1.02% | |
Global Growth | |
Class II | | $ | 1,000 | | | $ | 1,118.20 | | | $ | 5.93 | | | $ | 1,000 | | | $ | 1,019.16 | | | $ | 5.65 | | | | 1.13% | |
Limited-Term Bond | |
Class II | | $ | 1,000 | | | $ | 1,001.30 | | | $ | 4.00 | | | $ | 1,000 | | | $ | 1,020.84 | | | $ | 4.04 | | | | 0.80% | |
Securian Real Estate Securities | |
Class II | | $ | 1,000 | | | $ | 1,227.60 | | | $ | 6.91 | | | $ | 1,000 | | | $ | 1,018.58 | | | $ | 6.26 | | | | 1.25% | |
Value | |
Class II | | $ | 1,000 | | | $ | 1,201.60 | | | $ | 5.50 | | | $ | 1,000 | | | $ | 1,019.84 | | | $ | 5.05 | | | | 1.00% | |
| | |
| ILLUSTRATION OF PORTFOLIO EXPENSES | | IVY VIP |
(UNAUDITED)
| * | 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, 2021, and divided by 365. |
| (1) | This section uses the Portfolio’s actual total return and actual Portfolio expenses. It is a guide to the actual expenses paid by the Portfolio in the period. The “Ending Account Value” shown is computed using the Portfolio’s actual return and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. A shareholder may use the information here, together with the dollar amount invested, to estimate the expenses that were paid over the period. For every thousand dollars a shareholder has invested, the expenses are listed in the last column of this section. |
| (2) | This section uses a hypothetical five percent annual return and actual Portfolio expenses. It helps to compare the Portfolio’s ongoing costs with other mutual funds. A shareholder can compare the Portfolio’s ongoing costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other Portfolios. |
The above illustrations are based on ongoing costs only.
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP CORE EQUITY(a) |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Stocks | | | 99.5% | |
Information Technology | | | 25.9% | |
Financials | | | 20.1% | |
Health Care | | | 13.5% | |
Industrials | | | 11.9% | |
Consumer Discretionary | | | 10.4% | |
Communication Services | | | 6.5% | |
Consumer Staples | | | 4.7% | |
Materials | | | 3.2% | |
Utilities | | | 2.1% | |
Real Estate | | | 1.2% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 0.5% | |
Top 10 Equity Holdings
| | | | |
| | |
| Company | | Sector | | Industry |
Microsoft Corp. | | Information Technology | | Systems Software |
Apple, Inc. | | Information Technology | | Technology Hardware, Storage & Peripherals |
Amazon.com, Inc. | | Consumer Discretionary | | Internet & Direct Marketing Retail |
Alphabet, Inc., Class A | | Communication Services | | Interactive Media & Services |
Fiserv, Inc. | | Information Technology | | Data Processing & Outsourced Services |
UnitedHealth Group, Inc. | | Health Care | | Managed Health Care |
JPMorgan Chase & Co. | | Financials | | Other Diversified Financial Services |
MasterCard, Inc., Class A | | Information Technology | | Data Processing & Outsourced Services |
CME Group, Inc. | | Financials | | Financial Exchanges & Data |
TE Connectivity Ltd. | | Information Technology | | Electronic Manufacturing Services |
See your advisor or www.ivyinvestments.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.
(a)Effective July 1, 2021, the name of Ivy VIP Core Equity changed to Delaware Ivy VIP Core Equity.
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP CORE EQUITY (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS | | Shares | | | Value | |
Communication Services | |
| |
Cable & Satellite – 1.5% | |
Charter Communications, Inc., Class A (A) | | | 16 | | | $ | 11,232 | |
| | | | | | | | |
| |
Interactive Home Entertainment – 1.2% | |
Take-Two Interactive Software, Inc. (A) | | | 48 | | | | 8,533 | |
| | | | | | | | |
| |
Interactive Media & Services – 3.8% | |
Alphabet, Inc., Class A (A) | | | 12 | | | | 28,308 | |
| | | | | | | | |
| |
Total Communication Services – 6.5% | | | | 48,073 | |
Consumer Discretionary | |
| |
Auto Parts & Equipment – 2.4% | |
Aptiv plc (A) | | | 113 | | | | 17,803 | |
| | | | | | | | |
| |
Automotive Retail – 1.3% | |
AutoZone, Inc. (A) | | | 6 | | | | 9,470 | |
| | | | | | | | |
| |
Footwear – 1.7% | |
NIKE, Inc., Class B | | | 84 | | | | 13,025 | |
| | | | | | | | |
| |
Homebuilding – 1.2% | |
D.R. Horton, Inc. | | | 96 | | | | 8,698 | |
| | | | | | | | |
| |
Internet & Direct Marketing Retail – 3.8% | |
Amazon.com, Inc. (A) | | | 8 | | | | 28,381 | |
| | | | | | | | |
| |
Total Consumer Discretionary – 10.4% | | | | 77,377 | |
Consumer Staples | |
| |
Food Distributors – 2.4% | |
Sysco Corp. | | | 230 | | | | 17,891 | |
| | | | | | | | |
| |
Hypermarkets & Super Centers – 2.3% | |
Costco Wholesale Corp. | | | 43 | | | | 17,036 | |
| | | | | | | | |
| |
Total Consumer Staples – 4.7% | | | | 34,927 | |
Financials | |
| |
Asset Management & Custody Banks – 6.0% | |
Artisan Partners Asset Management, Inc. | | | 224 | | | | 11,406 | |
Blackstone Group, Inc. (The),
Class A | | | 185 | | | | 17,997 | |
KKR & Co. | | | 262 | | | | 15,501 | |
| | | | | | | | |
| | | | | | | 44,904 | |
| | | | | | | | |
| |
Consumer Finance – 3.6% | |
American Express Co. | | | 82 | | | | 13,601 | |
Discover Financial Services | | | 111 | | | | 13,134 | |
| | | | | | | | |
| | | | | | | 26,735 | |
| | | | | | | | |
| |
Financial Exchanges & Data – 2.7% | |
CME Group, Inc. | | | 93 | | | | 19,720 | |
| | | | | | | | |
Insurance Brokers – 2.6% | |
Aon plc | | | 80 | | | | 19,107 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Investment Banking & Brokerage – 2.3% | |
Morgan Stanley | | | 186 | | | $ | 17,036 | |
| | | | | | | | |
| |
Other Diversified Financial Services – 2.9% | |
JPMorgan Chase & Co. | | | 141 | | | | 21,904 | |
| | | | | | | | |
| |
Total Financials – 20.1% | | | | 149,406 | |
Health Care | |
| |
Health Care Equipment – 3.8% | |
Danaher Corp. | | | 39 | | | | 10,337 | |
Zimmer Holdings, Inc. | | | 109 | | | | 17,530 | |
| | | | | | | | |
| | | | | | | 27,867 | |
| | | | | | | | |
| |
Health Care Facilities – 2.3% | |
HCA Holdings, Inc. | | | 84 | | | | 17,269 | |
| | | | | | | | |
| |
Managed Health Care – 3.3% | |
UnitedHealth Group, Inc. | | | 61 | | | | 24,349 | |
| | | | | | | | |
| |
Pharmaceuticals – 4.1% | |
Eli Lilly and Co. | | | 68 | | | | 15,501 | |
Zoetis, Inc. | | | 80 | | | | 14,954 | |
| | | | | | | | |
| | | | | | | 30,455 | |
| | | | | | | | |
| |
Total Health Care – 13.5% | | | | 99,940 | |
Industrials | |
| |
Aerospace & Defense – 3.1% | |
Airbus SE ADR | | | 490 | | | | 15,775 | |
Raytheon Technologies Corp. | | | 83 | | | | 7,084 | |
| | | | | | | | |
| | | | | | | 22,859 | |
| | | | | | | | |
| |
Agricultural & Farm Machinery – 1.5% | |
Deere & Co. | | | 33 | | | | 11,534 | |
| | | | | | | | |
| |
Industrial Machinery – 1.4% | |
Stanley Black & Decker, Inc. | | | 50 | | | | 10,190 | |
| | | | | | | | |
| |
Railroads – 2.5% | |
Union Pacific Corp. | | | 86 | | | | 19,014 | |
| | | | | | | | |
| |
Research & Consulting Services – 1.0% | |
TransUnion | | | 68 | | | | 7,488 | |
| | | | | | | | |
| |
Trading Companies & Distributors – 2.4% | |
United Rentals, Inc. (A) | | | 55 | | | | 17,670 | |
| | | | | | | | |
| |
Total Industrials – 11.9% | | | | 88,755 | |
Information Technology | |
| |
Data Processing & Outsourced Services – 8.0% | |
Fiserv, Inc. (A) | | | 234 | | | | 25,017 | |
MasterCard, Inc., Class A | | | 57 | | | | 20,919 | |
PayPal, Inc. (A) | | | 45 | | | | 13,220 | |
| | | | | | | | |
| | | | | | | 59,156 | |
| | | | | | | | |
| |
Electronic Manufacturing Services – 2.6% | |
TE Connectivity Ltd. | | | 145 | | | | 19,548 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Semiconductors – 3.3% | |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | | | 80 | | | $ | 9,627 | |
Texas Instruments, Inc. | | | 77 | | | | 14,791 | |
| | | | | | | | |
| | | | | | | 24,418 | |
| | | | | | | | |
| |
Systems Software – 7.9% | |
Microsoft Corp. | | | 216 | | | | 58,568 | |
| | | | | | | | |
| |
Technology Hardware, Storage & Peripherals – 4.1% | |
Apple, Inc. | | | 223 | | | | 30,477 | |
| | | | | | | | |
| |
Total Information Technology – 25.9% | | | | 192,167 | |
Materials | |
| |
Industrial Gases – 1.2% | |
Linde plc | | | 30 | | | | 8,761 | |
| | | | | | | | |
| |
Specialty Chemicals – 2.0% | |
Sherwin-Williams Co. (The) | | | 55 | | | | 15,105 | |
| | | | | | | | |
| |
Total Materials – 3.2% | | | | 23,866 | |
Real Estate | |
| |
Health Care REITs – 1.2% | |
Welltower, Inc. | | | 107 | | | | 8,854 | |
| | | | | | | | |
| |
Total Real Estate – 1.2% | | | | 8,854 | |
Utilities | |
| |
Electric Utilities – 2.1% | |
NextEra Energy, Inc. | | | 210 | | | | 15,417 | |
| | | | | | | | |
| |
Total Utilities – 2.1% | | | | 15,417 | |
| |
TOTAL COMMON STOCKS – 99.5% | | | $ | 738,782 | |
(Cost: $495,787) | | | | | | | | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
Money Market Funds (B) – 0.6% | |
State Street Institutional U.S. Government Money Market Fund – Premier Class
0.030% | | | 4,443 | | | | 4,443 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 0.6% | | | $ | 4,443 | |
(Cost: $4,443) | | | | | | | | |
| |
TOTAL INVESTMENT SECURITIES – 100.1% | | | $ | 743,225 | |
(Cost: $500,230) | | | | | | | | |
| |
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.1)% | | | | (641 | ) |
| | |
NET ASSETS – 100.0% | | | | | | $ | 742,584 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP CORE EQUITY (in thousands) |
JUNE 30, 2021 (UNAUDITED)
Notes to Schedule of Investments
| (A) | No dividends were paid during the preceding 12 months. |
| (B) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 738,782 | | | $ | — | | | $ | — | |
Short-Term Securities | | | 4,443 | | | | — | | | | — | |
Total | | $ | 743,225 | | | $ | — | | | $ | — | |
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
REIT = Real Estate Investment Trusts
See Accompanying Notes to Financial Statements.
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP CORPORATE BOND(a) |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Bonds | | | 97.1% | |
Corporate Debt Securities | | | 91.6% | |
United States Government and Government Agency Obligations | | | 2.3% | |
Asset-Backed Securities | | | 1.6% | |
Municipal Bonds – Taxable | | | 0.8% | |
Other Government Securities | | | 0.7% | |
Mortgage-Backed Securities | | | 0.1% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | | | 2.9% | |
Quality Weightings
| | | | |
Investment Grade | | | 92.5% | |
AAA | | | 1.4% | |
AA | | | 12.6% | |
A | | | 29.3% | |
BBB | | | 49.2% | |
Non-Investment Grade | | | 4.6% | |
BB | | | 4.2% | |
Non-rated | | | 0.4% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | | | 2.9% | |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
(a)Effective July 1, 2021, the name of Ivy VIP Corporate Bond changed to Delaware Ivy VIP Corporate Bond.
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP CORPORATE BOND (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| ASSET-BACKED SECURITIES | | Principal | | | Value | |
AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust: | | | | | | | | |
3.500%, 5-26-22 | | $ | 296 | | | $ | 303 | |
1.750%, 1-30-26 | | | 2,800 | | | | 2,769 | |
Air Canada Enhanced Equipment Trust, Series 2015-2, Class AA,
3.750%, 12-15-27 (A) | | | 759 | | | | 788 | |
American Airlines Class AA Pass-Through Certificates, Series 2016-2,
3.200%, 6-15-28 | | | 1,487 | | | | 1,517 | |
American Airlines, Inc. Pass-Through Certificates, Series 2016-1, Class AA,
3.575%, 1-15-28 | | | 786 | | | | 800 | |
American Airlines, Inc. Pass-Through Certificates, Series 2017-1, Class AA,
3.650%, 2-15-29 | | | 2,013 | | | | 2,073 | |
Delta Air Lines, Inc. Pass-Through Certificates, Series 2020AA, Class B,
2.000%, 6-10-28 | | | 1,434 | | | | 1,445 | |
United Airlines Pass-Through Certificates, Series 2016-AA,
3.100%, 7-7-28 | | | 2,405 | | | | 2,534 | |
| | | | | | | | |
| |
TOTAL ASSET-BACKED SECURITIES – 1.6% | | | $ | 12,229 | |
(Cost: $11,834) | | | | | | | | |
| | |
| CORPORATE DEBT SECURITIES | | | | | | |
Communication Services | |
| |
Alternative Carriers – 0.4% | |
Bell Canada (GTD by BCE, Inc.),
4.300%, 7-29-49 | | | 2,138 | | | | 2,591 | |
| | | | | | | | |
| |
Cable & Satellite – 2.6% | |
Charter Communications Operating LLC and Charter Communications Operating Capital Corp.: | | | | | | | | |
4.500%, 2-1-24 | | | 2,306 | | | | 2,513 | |
3.900%, 6-1-52 | | | 1,115 | | | | 1,139 | |
3.850%, 4-1-61 | | | 1,350 | | | | 1,328 | |
Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal): | | | | | | | | |
3.900%, 3-1-38 | | | 500 | | | | 576 | |
4.600%, 10-15-38 | | | 1,125 | | | | 1,397 | |
Comcast Corp. (GTD by Comcast Cable Communications LLC and NBCUniversal Media LLC),
3.250%, 11-1-39 | | | 3,875 | | | | 4,128 | |
Cox Communications, Inc.: | | | | | | | | |
1.800%, 10-1-30 (A) | | | 1,850 | | | | 1,766 | |
2.950%, 10-1-50 (A) | | | 850 | | | | 807 | |
Omnicom Group, Inc. and Omnicom Capital, Inc.,
3.650%, 11-1-24 | | | 1,260 | | | | 1,369 | |
Viacom, Inc.,
4.750%, 5-15-25 | | | 4,000 | | | | 4,529 | |
| | | | | | | | |
| | | | | | | 19,552 | |
| | | | | | | | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Integrated Telecommunication Services – 2.5% | |
AT&T, Inc.: | | | | | | | | |
3.650%, 6-1-51 | | $ | 3,900 | | | $ | 4,059 | |
3.300%, 2-1-52 | | | 1,584 | | | | 1,545 | |
3.500%, 9-15-53 (A) | | | 1,800 | | | | 1,811 | |
3.550%, 9-15-55 (A) | | | 942 | | | | 947 | |
Sprint Corp.,
7.875%, 9-15-23 | | | 1,992 | | | | 2,265 | |
Verizon Communications, Inc.: | | | | | | | | |
2.550%, 3-21-31 | | | 1,000 | | | | 1,023 | |
4.500%, 8-10-33 | | | 3,500 | | | | 4,188 | |
4.812%, 3-15-39 | | | 184 | | | | 233 | |
2.650%, 11-20-40 | | | 1,250 | | | | 1,205 | |
2.987%, 10-30-56 | | | 1,492 | | | | 1,405 | |
| | | | | | | | |
| | | | | | | 18,681 | |
| | | | | | | | |
| |
Interactive Media & Services – 0.3% | |
Alphabet, Inc.,
2.050%, 8-15-50 | | | 2,631 | | | | 2,327 | |
| | | | | | | | |
| |
Movies & Entertainment – 1.1% | |
Netflix, Inc.,
5.875%, 2-15-25 | | | 4,035 | | | | 4,672 | |
Walt Disney Co. (The): | | | | | | | | |
4.125%, 6-1-44 | | | 1,724 | | | | 2,081 | |
3.600%, 1-13-51 | | | 1,175 | | | | 1,336 | |
| | | | | | | | |
| | | | | | | 8,089 | |
| | | | | | | | |
| |
Publishing – 0.4% | |
Thomson Reuters Corp.: | | | | | | | | |
3.350%, 5-15-26 | | | 2,760 | | | | 3,006 | |
5.650%, 11-23-43 | | | 117 | | | | 157 | |
| | | | | | | | |
| | | | | | | 3,163 | |
| | | | | | | | |
| |
Wireless Telecommunication Service – 1.4% | |
Crown Castle Towers LLC,
3.663%, 5-15-25 (A) | | | 2,450 | | | | 2,616 | |
Sprint Spectrum L.P.,
3.360%, 9-20-21 (A) | | | 219 | | | | 220 | |
T-Mobile USA, Inc.: | | | | | | | | |
3.500%, 4-15-25 | | | 5,555 | | | | 6,036 | |
2.875%, 2-15-31 | | | 450 | | | | 447 | |
4.375%, 4-15-40 | �� | | 575 | | | | 676 | |
3.300%, 2-15-51 | | | 425 | | | | 425 | |
| | | | | | | | |
| | | | | | | 10,420 | |
| | | | | | | | |
| |
Total Communication Services – 8.7% | | | | 64,823 | |
Consumer Discretionary | |
| |
Apparel, Accessories & Luxury Goods – 0.2% | |
PVH Corp.,
4.625%, 7-10-25 | | | 1,550 | | | | 1,731 | |
| | | | | | | | |
| |
Automobile Manufacturers – 0.1% | |
Nissan Motor Co. Ltd.,
3.522%, 9-17-25 (A) | | | 850 | | | | 908 | |
| | | | | | | | |
| |
Automotive Retail – 0.5% | |
7-Eleven, Inc.: | | | | | | | | |
0.950%, 2-10-26 (A) | | | 1,300 | | | | 1,277 | |
1.800%, 2-10-31 (A) | | | 2,300 | | | | 2,202 | |
| | | | | | | | |
| | | | | | | 3,479 | |
| | | | | | | | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Casinos & Gaming – 0.1% | |
Genting New York LLC and Genny Capital, Inc.,
3.300%, 2-15-26 (A) | | $ | 850 | | | $ | 860 | |
| | | | | | | | |
| |
Department Stores – 0.1% | |
Nordstrom, Inc.,
2.300%, 4-8-24 (A) | | | 450 | | | | 451 | |
| | | | | | | | |
| |
Education Services – 0.1% | |
University of Southern California,
3.028%, 10-1-39 | | | 500 | | | | 538 | |
| | | | | | | | |
| |
Footwear – 0.5% | |
NIKE, Inc.,
3.250%, 3-27-40 | | | 3,400 | | | | 3,739 | |
| | | | | | | | |
| |
General Merchandise Stores – 0.4% | |
Dollar General Corp.,
3.500%, 4-3-30 | | | 2,700 | | | | 2,969 | |
| | | | | | | | |
| |
Home Improvement Retail – 0.9% | |
Home Depot, Inc. (The): | | | | | | | | |
2.700%, 4-15-30 | | | 2,378 | | | | 2,545 | |
4.200%, 4-1-43 | | | 1,670 | | | | 2,054 | |
3.350%, 4-15-50 | | | 2,250 | | | | 2,492 | |
| | | | | | | | |
| | | | | | | 7,091 | |
| | | | | | | | |
| |
Homebuilding – 1.4% | |
D.R. Horton, Inc.,
2.600%, 10-15-25 | | | 3,080 | | | | 3,248 | |
Lennar Corp.: | | | | | | | | |
4.750%, 11-15-22 (B) | | | 2,065 | | | | 2,166 | |
4.750%, 11-29-27 | | | 725 | | | | 839 | |
NVR, Inc.,
3.000%, 5-15-30 | | | 4,022 | | | | 4,271 | |
| | | | | | | | |
| | | | | | | 10,524 | |
| | | | | | | | |
| |
Internet & Direct Marketing Retail – 1.1% | |
Amazon.com, Inc.,
3.875%, 8-22-37 | | | 5,677 | | | | 6,781 | |
Expedia Group, Inc.,
6.250%, 5-1-25 (A) | | | 1,061 | | | | 1,235 | |
| | | | | | | | |
| | | | | | | 8,016 | |
| | | | | | | | |
| |
Total Consumer Discretionary – 5.4% | | | | 40,306 | |
Consumer Staples | |
| |
Agricultural Products – 0.5% | |
Archer Daniels Midland Co.,
3.250%, 3-27-30 | | | 2,000 | | | | 2,217 | |
Cargill, Inc.,
2.125%, 4-23-30 (A) | | | 1,226 | | | | 1,243 | |
| | | | | | | | |
| | | | | | | 3,460 | |
| | | | | | | | |
| |
Brewers – 0.3% | |
Anheuser-Busch Inbev Finance, Inc. (GTD by AB INBEV/BBR/COB),
4.700%, 2-1-36 | | | 1,965 | | | | 2,414 | |
| | | | | | | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP CORPORATE BOND (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Drug Retail – 0.3% | |
CVS Health Corp.,
4.780%, 3-25-38 | | $ | 1,715 | | | $ | 2,113 | |
| | | | | | | | |
| |
Food Distributors – 0.3% | |
Sysco Corp.,
3.750%, 10-1-25 | | | 2,226 | | | | 2,452 | |
| | | | | | | | |
| |
Food Retail – 0.3% | |
Alimentation Couche-Tard, Inc.,
2.950%, 1-25-30 (A) | | | 1,800 | | | | 1,871 | |
| | | | | | | | |
| |
Household Products – 0.7% | |
Clorox Co. (The),
3.900%, 5-15-28 | | | 4,676 | | | | 5,327 | |
| | | | | | | | |
| |
Hypermarkets & Super Centers – 0.9% | |
Walmart, Inc.,
4.050%, 6-29-48 | | | 5,385 | | | | 6,774 | |
| | | | | | | | |
| |
Packaged Foods & Meats – 1.9% | |
Hormel Foods Corp.,
3.050%, 6-3-51 | | | 3,106 | | | | 3,227 | |
McCormick & Co., Inc.: | | | | | | | | |
3.500%, 9-1-23 | | | 771 | | | | 814 | |
0.900%, 2-15-26 | | | 3,147 | | | | 3,096 | |
Nestle Holdings, Inc.: | | | | | | | | |
3.900%, 9-24-38 (A) | | | 2,480 | | | | 2,963 | |
4.000%, 9-24-48 (A) | | | 3,315 | | | | 4,063 | |
| | | | | | | | |
| | | | | | | 14,163 | |
| | | | | | | | |
| |
Personal Products – 0.4% | |
Estee Lauder Co., Inc. (The),
1.950%, 3-15-31 | | | 2,800 | | | | 2,804 | |
| | | | | | | | |
| |
Soft Drinks – 1.7% | |
Coca-Cola Co. (The): | | | | | | | | |
2.250%, 1-5-32 | | | 1,215 | | | | 1,245 | |
3.000%, 3-5-51 | | | 1,130 | | | | 1,178 | |
Coca-Cola European Partners plc,
0.800%, 5-3-24 (A) | | | 2,270 | | | | 2,264 | |
Keurig Dr Pepper, Inc.,
0.750%, 3-15-24 | | | 1,115 | | | | 1,116 | |
PepsiCo, Inc.: | | | | | | | | |
3.450%, 10-6-46 | | | 1,500 | | | | 1,693 | |
3.375%, 7-29-49 | | | 2,175 | | | | 2,447 | |
3.625%, 3-19-50 | | | 2,325 | | | | 2,727 | |
| | | | | | | | |
| | | | | | | 12,670 | |
| | | | | | | | |
| |
Tobacco – 0.6% | |
Imperial Brands Finance plc,
3.125%, 7-26-24 (A) | | | 4,200 | | | | 4,423 | |
| | | | | | | | |
| |
Total Consumer Staples – 7.9% | | | | 58,471 | |
Energy | |
| |
Integrated Oil & Gas – 0.3% | |
National Fuel Gas Co.,
5.500%, 1-15-26 | | | 1,875 | | | | 2,172 | |
| | | | | | | | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Oil & Gas Exploration & Production – 1.2% | |
Canadian Natural Resources Ltd.: | | | | | | | | |
3.850%, 6-1-27 | | $ | 4,950 | | | $ | 5,454 | |
4.950%, 6-1-47 | | | 1,000 | | | | 1,246 | |
EQT Corp.: | | | | | | | | |
3.000%, 10-1-22 | | | 1,450 | | | | 1,483 | |
7.875%, 2-1-25 (B) | | | 650 | | | | 759 | |
| | | | | | | | |
| | | | | | | 8,942 | |
| | | | | | | | |
| |
Oil & Gas Storage & Transportation – 3.8% | |
Boardwalk Pipelines L.P. (GTD by Boardwalk Pipeline Partners L.P.),
4.450%, 7-15-27 | | | 2,000 | | | | 2,261 | |
Cheniere Energy Partners L.P.,
4.000%, 3-1-31 (A) | | | 800 | | | | 837 | |
Colonial Pipeline Co.,
4.250%, 4-15-48 (A) | | | 1,000 | | | | 1,176 | |
Colorado Interstate Gas Co.,
4.150%, 8-15-26 (A) | | | 1,000 | | | | 1,121 | |
Energy Transfer Partners L.P.: | | | | | | | | |
4.200%, 4-15-27 | | | 500 | | | | 553 | |
6.000%, 6-15-48 | | | 1,000 | | | | 1,266 | |
EQT Midstream Partners L.P.,
4.750%, 7-15-23 | | | 337 | | | | 352 | |
Kinder Morgan, Inc.,
5.550%, 6-1-45 | | | 1,000 | | | | 1,297 | |
Midwest Connector Capital Co. LLC,
4.625%, 4-1-29 (A) | | | 2,409 | | | | 2,562 | |
Plains All American Pipeline L.P. and PAA Finance Corp.: | | | | | | | | |
3.600%, 11-1-24 | | | 1,031 | | | | 1,105 | |
4.500%, 12-15-26 | | | 1,750 | | | | 1,966 | |
Sabal Trail Transmission LLC,
4.246%, 5-1-28 (A) | | | 2,500 | | | | 2,834 | |
Sunoco Logistics Partners Operations L.P. (GTD by Energy Transfer Partners L.P.),
4.000%, 10-1-27 | | | 1,500 | | | | 1,651 | |
Tennessee Gas Pipeline Co.,
7.000%, 3-15-27 | | | 2,000 | | | | 2,540 | |
Transcontinental Gas Pipe Line Co. LLC: | | | | | | | | |
3.250%, 5-15-30 | | | 1,225 | | | | 1,327 | |
4.600%, 3-15-48 | | | 1,000 | | | | 1,223 | |
Williams Partners L.P.,
4.850%, 3-1-48 | | | 3,250 | | | | 3,959 | |
| | | | | | | | |
| | | | | | | 28,030 | |
| | | | | | | | |
| |
Total Energy – 5.3% | | | | 39,144 | |
Financials | |
| |
Asset Management & Custody Banks – 3.5% | |
Apollo Management Holdings L.P.,
2.650%, 6-5-30 (A) | | | 2,340 | | | | 2,399 | |
Bank of New York Mellon Corp. (The),
3.550%, 9-23-21 | | | 1,250 | | | | 1,256 | |
Blackstone Holdings Finance Co. LLC,
1.600%, 3-30-31 (A) | | | 950 | | | | 904 | |
Blue Owl Finance LLC,
3.125%, 6-10-31 (A) | | | 2,000 | | | | 1,989 | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Asset Management & Custody Banks (Continued) | |
Brookfield Finance, Inc. (GTD by Brookfield Asset Management, Inc.),
4.850%, 3-29-29 | | $ | 4,541 | | | $ | 5,352 | |
Citadel Finance LLC,
3.375%, 3-9-26 (A) | | | 1,533 | | | | 1,538 | |
JAB Holdings B.V.,
2.200%, 11-23-30 (A) | | | 3,801 | | | | 3,698 | |
KKR Group Finance Co. VIII LLC (GTD by KKR & Co., Inc. and KKR Group Partnership L.P.),
3.500%, 8-25-50 (A) | | | 2,250 | | | | 2,363 | |
National Securities Clearing Corp.,
1.500%, 4-23-25 (A) | | | 5,000 | | | | 5,105 | |
Owl Rock Capital Corp.: | | | | | | | | |
5.250%, 4-15-24 | | | 675 | | | | 738 | |
4.000%, 3-30-25 | | | 1,025 | | | | 1,094 | |
| | | | | | | | |
| | | | | | | 26,436 | |
| | | | | | | | |
| |
Consumer Finance – 1.0% | |
Ford Motor Credit Co. LLC: | | | | | | | | |
5.875%, 8-2-21 | | | 1,500 | | | | 1,509 | |
3.810%, 1-9-24 | | | 1,500 | | | | 1,572 | |
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.): | | | | | | | | |
3.700%, 5-9-23 | | | 2,000 | | | | 2,101 | |
1.250%, 1-8-26 | | | 2,125 | | | | 2,112 | |
| | | | | | | | |
| | | | | | | 7,294 | |
| | | | | | | | |
| |
Diversified Banks – 5.5% | |
Bank of America Corp.: | | | | | | | | |
3.974%, 2-7-30 | | | 2,500 | | | | 2,838 | |
2.496%, 2-13-31 | | | 4,000 | | | | 4,088 | |
2.592%, 4-29-31 | | | 3,675 | | | | 3,792 | |
1.898%, 7-23-31 | | | 1,325 | | | | 1,289 | |
Citizens Bank N.A.,
3.250%, 2-14-22 | | | 372 | | | | 378 | |
Commonwealth Bank of Australia,
2.000%, 9-6-21 (A) | | | 1,500 | | | | 1,505 | |
Danske Bank A.S.,
2.700%, 3-2-22 (A) | | | 1,300 | | | | 1,321 | |
ING Groep N.V.,
3.550%, 4-9-24 | | | 1,325 | | | | 1,428 | |
Korea Development Bank,
3.000%, 3-19-22 | | | 1,125 | | | | 1,145 | |
Mitsubishi UFJ Financial Group, Inc.,
3.218%, 3-7-22 | | | 2,000 | | | | 2,041 | |
Toronto-Dominion Bank,
3.250%, 3-11-24 | | | 1,275 | | | | 1,366 | |
U.S. Bancorp,
2.375%, 7-22-26 | | | 2,510 | | | | 2,658 | |
U.S. Bank N.A.,
3.450%, 11-16-21 | | | 3,500 | | | | 3,534 | |
Wells Fargo & Co.: | | | | | | | | |
2.100%, 7-26-21 | | | 1,000 | | | | 1,001 | |
2.393%, 6-2-28 | | | 2,500 | | | | 2,595 | |
4.150%, 1-24-29 | | | 1,000 | | | | 1,153 | |
2.879%, 10-30-30 | | | 4,080 | | | | 4,324 | |
2.572%, 2-11-31 | | | 3,170 | | | | 3,283 | |
5.013%, 4-4-51 | | | 650 | | | | 892 | |
| | | | | | | | |
| | | | | | | 40,631 | |
| | | | | | | | |
| | | | | | |
| 10 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP CORPORATE BOND (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Diversified Capital Markets – 0.3% | |
Credit Suisse Group AG,
3.574%, 1-9-23 (A) | | $ | 2,000 | | | $ | 2,032 | |
| | | | | | | | |
| |
Insurance Brokers – 0.3% | |
Marsh & McLennan Cos., Inc.,
2.750%, 1-30-22 | | | 2,000 | | | | 2,026 | |
| | | | | | | | |
| |
Investment Banking & Brokerage – 4.5% | |
Charles Schwab Corp. (The),
1.650%, 3-11-31 | | | 3,150 | | | | 3,060 | |
Goldman Sachs Group, Inc. (The): | | | | | | | | |
2.905%, 7-24-23 | | | 1,000 | | | | 1,025 | |
4.250%, 10-21-25 | | | 3,250 | | | | 3,636 | |
3.500%, 11-16-26 | | | 2,000 | | | | 2,177 | |
4.223%, 5-1-29 | | | 3,500 | | | | 3,994 | |
3.800%, 3-15-30 | | | 2,550 | | | | 2,869 | |
1.992%, 1-27-32 | | | 2,920 | | | | 2,839 | |
Morgan Stanley: | | | | | | | | |
4.875%, 11-1-22 | | | 2,931 | | | | 3,097 | |
3.875%, 1-27-26 | | | 3,850 | | | | 4,306 | |
2.699%, 1-22-31 | | | 1,500 | | | | 1,571 | |
1.794%, 2-13-32 | | | 3,525 | | | | 3,390 | |
Morgan Stanley (3-Month U.S. LIBOR plus 140 bps),
1.576%, 10-24-23 (C) | | | 1,500 | | | | 1,525 | |
| | | | | | | | |
| | | | | | | 33,489 | |
| | | | | | | | |
| |
Life & Health Insurance – 1.3% | |
MetLife Global Funding I,
1.950%, 9-15-21 (A) | | | 2,000 | | | | 2,007 | |
Metropolitan Life Insurance Co.,
3.450%, 10-9-21 (A) | | | 3,000 | | | | 3,026 | |
Northwestern Mutual Life Insurance Co. (The),
3.850%, 9-30-47 (A) | | | 3,000 | | | | 3,449 | |
Principal Life Global Funding II,
3.000%, 4-18-26 (A) | | | 1,000 | | | | 1,081 | |
Security Benefit Global Funding,
1.250%, 5-17-24 (A) | | | 450 | | | | 451 | |
| | | | | | | | |
| | | | | | | 10,014 | |
| | | | | | | | |
| |
Multi-Line Insurance – 0.7% | |
Aon Corp. (GTD by Aon plc),
2.800%, 5-15-30 | | | 4,900 | | | | 5,150 | |
| | | | | | | | |
| |
Other Diversified Financial Services – 5.0% | |
Citigroup, Inc.: | | | | | | | | |
3.500%, 5-15-23 | | | 2,260 | | | | 2,383 | |
3.875%, 3-26-25 | | | 2,000 | | | | 2,196 | |
3.520%, 10-27-28 | | | 1,750 | | | | 1,917 | |
4.412%, 3-31-31 | | | 2,735 | | | | 3,197 | |
4.700%, 7-30-68 | | | 850 | | | | 878 | |
5.000%, 3-12-69 | | | 2,500 | | | | 2,623 | |
JPMorgan Chase & Co.: | | | | | | | | |
3.875%, 9-10-24 | | | 1,424 | | | | 1,553 | |
3.220%, 3-1-25 | | | 6,000 | | | | 6,376 | |
4.493%, 3-24-31 | | | 3,000 | | | | 3,556 | |
2.522%, 4-22-31 | | | 9,322 | | | | 9,600 | |
4.000%, 10-1-68 | | | 1,650 | | | | 1,673 | |
5.000%, 2-1-69 | | | 1,000 | | | | 1,058 | |
| | | | | | | | |
| | | | | | | 37,010 | |
| | | | | | | | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Specialized Finance – 0.7% | |
LSEGA Financing plc,
2.500%, 4-6-31 (A) | | $ | 5,480 | | | $ | 5,621 | |
| | | | | | | | |
| |
Total Financials – 22.8% | | | | 169,703 | |
Health Care | |
| |
Biotechnology – 0.4% | |
Amgen, Inc.,
2.450%, 2-21-30 | | | 3,150 | | | | 3,250 | |
| | | | | | | | |
| |
Health Care Equipment – 0.2% | |
Boston Scientific Corp.,
3.850%, 5-15-25 | | | 1,575 | | | | 1,741 | |
| | | | | | | | |
| |
Health Care Facilities – 0.3% | |
HCA, Inc. (GTD by HCA Holdings, Inc.): | | | | | | | | |
5.875%, 5-1-23 | | | 1,125 | | | | 1,224 | |
5.875%, 2-1-29 | | | 350 | | | | 424 | |
5.250%, 6-15-49 | | | 465 | | | | 594 | |
| | | | | | | | |
| | | | | | | 2,242 | |
| | | | | | | | |
| |
Health Care Supplies – 0.4% | |
Dentsply Sirona, Inc.,
3.250%, 6-1-30 | | | 2,706 | | | | 2,897 | |
| | | | | | | | |
| |
Managed Health Care – 2.3% | |
Anthem, Inc.,
2.250%, 5-15-30 | | | 3,350 | | | | 3,384 | |
Centene Corp.,
2.450%, 7-15-28 | | | 805 | | | | 817 | |
Humana, Inc.,
2.900%, 12-15-22 | | | 5,000 | | | | 5,165 | |
UnitedHealth Group, Inc.: | | | | | | | | |
2.000%, 5-15-30 | | | 475 | | | | 479 | |
2.300%, 5-15-31 | | | 4,408 | | | | 4,517 | |
2.750%, 5-15-40 | | | 250 | | | | 254 | |
3.050%, 5-15-41 | | | 925 | | | | 970 | |
3.700%, 8-15-49 | | | 1,000 | | | | 1,148 | |
| | | | | | | | |
| | | | | | | 16,734 | |
| | | | | | | | |
| |
Pharmaceuticals – 4.2% | |
AstraZeneca plc,
1.375%, 8-6-30 | | | 1,375 | | | | 1,302 | |
Bayer U.S. Finance II LLC,
2.850%, 4-15-25 (A) | | | 3,065 | | | | 3,189 | |
Bayer U.S. Finance LLC,
3.000%, 10-8-21 (A) | | | 1,500 | | | | 1,511 | |
Elanco Animal Health, Inc.: | | | | | | | | |
4.912%, 8-27-21 (B) | | | 1,250 | | | | 1,259 | |
5.022%, 8-28-23 (B) | | | 81 | | | | 87 | |
Fresenius Medical Care U.S. Finance III, Inc.,
1.875%, 12-1-26 (A) | | | 1,970 | | | | 1,972 | |
Merck & Co., Inc.: | | | | | | | | |
2.350%, 6-24-40 | | | 3,075 | | | | 2,976 | |
2.450%, 6-24-50 | | | 2,000 | | | | 1,890 | |
Novartis Capital Corp. (GTD by Novartis AG): | | | | | | | | |
2.200%, 8-14-30 | | | 2,500 | | | | 2,584 | |
4.400%, 5-6-44 | | | 803 | | | | 1,032 | |
2.750%, 8-14-50 | | | 1,850 | | | | 1,864 | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Pharmaceuticals (Continued) | |
Royalty Pharma plc (GTD by Royalty Pharma Holdings Ltd.): | | | | | | | | |
1.200%, 9-2-25 (A) | | $ | 3,840 | | | $ | 3,808 | |
2.200%, 9-2-30 (A) | | | 450 | | | | 442 | |
3.300%, 9-2-40 (A) | | | 325 | | | | 328 | |
Zoetis, Inc.: | | | | | | | | |
3.900%, 8-20-28 | | | 556 | | | | 633 | |
2.000%, 5-15-30 | | | 5,910 | | | | 5,892 | |
| | | | | | | | |
| | | | | | | 30,769 | |
| | | | | | | | |
| |
Total Health Care – 7.8% | | | | 57,633 | |
Industrials | |
| |
Aerospace & Defense – 2.6% | |
BAE Systems Holdings, Inc.,
3.850%, 12-15-25 (A) | | | 3,500 | | | | 3,868 | |
Boeing Co. (The): | | | | | | | | |
2.950%, 2-1-30 | | | 3,000 | | | | 3,075 | |
5.150%, 5-1-30 | | | 1,000 | | | | 1,185 | |
3.750%, 2-1-50 | | | 3,375 | | | | 3,488 | |
Harris Corp.,
5.054%, 4-27-45 | | | 1,294 | | | | 1,708 | |
Raytheon Technologies Corp.: | | | | | | | | |
2.250%, 7-1-30 | | | 4,750 | | | | 4,831 | |
3.125%, 7-1-50 | | | 1,075 | | | | 1,106 | |
| | | | | | | | |
| | | | | | | 19,261 | |
| | | | | | | | |
| |
Airlines – 0.6% | |
Aviation Capital Group Corp.,
2.875%, 1-20-22 (A) | | | 3,000 | | | | 3,031 | |
Aviation Capital Group LLC,
3.500%, 11-1-27 (A) | | | 465 | | | | 489 | |
Sydney Airport Finance,
3.625%, 4-28-26 (A) | | | 770 | | | | 837 | |
| | | | | | | | |
| | | | | | | 4,357 | |
| | | | | | | | |
| |
Building Products – 0.6% | |
Lennox International, Inc.,
1.350%, 8-1-25 | | | 2,500 | | | | 2,518 | |
Masco Corp.,
1.500%, 2-15-28 | | | 2,225 | | | | 2,174 | |
| | | | | | | | |
| | | | | | | 4,692 | |
| | | | | | | | |
| |
Diversified Support Services – 0.3% | |
Genpact Luxembourg S.a.r.l. (GTD by Genpact Ltd.),
3.375%, 12-1-24 | | | 1,500 | | | | 1,604 | |
Genpact Luxembourg S.a.r.l. and Genpact USA, Inc.,
1.750%, 4-10-26 | | | 900 | | | | 903 | |
| | | | | | | | |
| | | | | | | 2,507 | |
| | | | | | | | |
| |
Electrical Components & Equipment – 0.2% | |
Vontier Corp.,
2.400%, 4-1-28 (A) | | | 1,450 | | | | 1,442 | |
| | | | | | | | |
| |
Environmental & Facilities Services – 1.3% | |
Republic Services, Inc.: | | | | | | | | |
2.300%, 3-1-30 | | | 5,622 | | | | 5,716 | |
1.450%, 2-15-31 | | | 910 | | | | 854 | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 11 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP CORPORATE BOND (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Environmental & Facilities Services (Continued) | |
Waste Connections, Inc.,
3.500%, 5-1-29 | | $ | 3,049 | | | $ | 3,360 | |
| | | | | | | | |
| | | | | | | 9,930 | |
| | | | | | | | |
| |
Industrial Machinery – 0.3% | |
Roper Technologies, Inc.,
2.950%, 9-15-29 | | | 1,721 | | | | 1,842 | |
| | | | | | | | |
| |
Railroads – 0.8% | |
Burlington Northern Santa Fe LLC,
4.550%, 9-1-44 | | | 1,000 | | | | 1,281 | |
Kansas City Southern,
4.300%, 5-15-43 | | | 1,475 | | | | 1,715 | |
Union Pacific Corp.: | | | | | | | | |
3.550%, 8-15-39 | | | 1,875 | | | | 2,088 | |
3.250%, 2-5-50 | | | 1,000 | | | | 1,057 | |
| | | | | | | | |
| | | | | | | 6,141 | |
| | | | | | | | |
| |
Research & Consulting Services – 1.5% | |
CoStar Group, Inc.,
2.800%, 7-15-30 (A) | | | 4,431 | | | | 4,509 | |
IHS Markit Ltd.,
5.000%, 11-1-22 (A) | | | 2,840 | | | | 2,979 | |
Verisk Analytics, Inc.: | | | | | | | | |
4.125%, 3-15-29 | | | 700 | | | | 795 | |
3.625%, 5-15-50 | | | 2,365 | | | | 2,544 | |
| | | | | | | | |
| | | | | | | 10,827 | |
| | | | | | | | |
| |
Total Industrials – 8.2% | | | | 60,999 | |
Information Technology | |
| |
Application Software – 2.9% | |
Adobe, Inc.,
2.300%, 2-1-30 | | | 4,417 | | | | 4,605 | |
Autodesk, Inc.,
2.850%, 1-15-30 | | | 5,231 | | | | 5,526 | |
Infor, Inc.: | | | | | | | | |
1.450%, 7-15-23 (A) | | | 635 | | | | 643 | |
1.750%, 7-15-25 (A) | | | 3,270 | | | | 3,340 | |
Nuance Communications, Inc.,
5.625%, 12-15-26 | | | 2,450 | | | | 2,559 | |
NXP B.V. and NXP Funding LLC,
3.875%, 6-18-26 (A) | | | 2,800 | | | | 3,104 | |
salesforce.com, Inc.: | | | | | | | | |
1.950%, 7-15-31 | | | 700 | | | | 702 | |
2.700%, 7-15-41 | | | 700 | | | | 705 | |
2.900%, 7-15-51 | | | 700 | | | | 710 | |
| | | | | | | | |
| | | | | | | 21,894 | |
| | | | | | | | |
| |
Data Processing & Outsourced Services – 2.8% | |
Fidelity National Information Services, Inc.,
1.650%, 3-1-28 | | | 2,225 | | | | 2,215 | |
Fiserv, Inc.,
3.850%, 6-1-25 | | | 3,646 | | | | 4,014 | |
Global Payments, Inc.,
2.650%, 2-15-25 | | | 4,000 | | | | 4,218 | |
PayPal Holdings, Inc.: | | | | | | | | |
2.300%, 6-1-30 | | | 3,050 | | | | 3,159 | |
3.250%, 6-1-50 | | | 1,100 | | | | 1,199 | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Data Processing & Outsourced Services (Continued) | |
Visa, Inc.: | | | | | | | | |
2.700%, 4-15-40 | | $ | 4,897 | | | $ | 5,070 | |
4.300%, 12-14-45 | | | 415 | | | | 534 | |
| | | | | | | | |
| | | | | | | 20,409 | |
| | | | | | | | |
| |
Semiconductor Equipment – 0.0% | |
Lam Research Corp.,
1.900%, 6-15-30 | | | 230 | | | | 231 | |
| | | | | | | | |
| |
Semiconductors – 3.8% | |
Broadcom Corp. and Broadcom Cayman Finance Ltd. (GTD by Broadcom Ltd.),
3.469%, 4-15-34 (A) | | | 1,483 | | | | 1,570 | |
Broadcom, Inc.,
3.419%, 4-15-33 (A) | | | 2,500 | | | | 2,628 | |
Intel Corp.,
4.100%, 5-19-46 | | | 3,200 | | | | 3,865 | |
Maxim Integrated Products, Inc.: | | | | | | | | |
3.375%, 3-15-23 | | | 375 | | | | 391 | |
3.450%, 6-15-27 | | | 1,700 | | | | 1,875 | |
Microchip Technology, Inc.,
0.983%, 9-1-24 (A) | | | 2,685 | | | | 2,674 | |
QUALCOMM, Inc.: | | | | | | | | |
4.300%, 5-20-47 | | | 1,500 | | | | 1,901 | |
3.250%, 5-20-50 (D) | | | 500 | | | | 541 | |
Taiwan Semiconductor Manufacturing Co. Ltd.,
1.375%, 9-28-30 (A) | | | 2,215 | | | | 2,094 | |
Texas Instruments, Inc.: | | | | | | | | |
2.250%, 9-4-29 | | | 1,380 | | | | 1,439 | |
3.875%, 3-15-39 | | | 2,334 | | | | 2,815 | |
4.150%, 5-15-48 | | | 400 | | | | 508 | |
TSMC Global Ltd.,
2.250%, 4-23-31 (A) | | | 3,900 | | | | 3,930 | |
Xilinx, Inc.,
2.375%, 6-1-30 | | | 2,175 | | | | 2,213 | |
| | | | | | | | |
| | | | | | | 28,444 | |
| | | | | | | | |
| |
Systems Software – 2.2% | |
Fortinet, Inc.: | | | | | | | | |
1.000%, 3-15-26 | | | 2,335 | | | | 2,314 | |
2.200%, 3-15-31 | | | 2,320 | | | | 2,317 | |
Microsoft Corp.: | | | | | | | | |
3.500%, 2-12-35 | | | 4,725 | | | | 5,494 | |
2.921%, 3-17-52 | | | 1,600 | | | | 1,701 | |
ServiceNow, Inc.,
1.400%, 9-1-30 | | | 5,120 | | | | 4,810 | |
| | | | | | | | |
| | | | | | | 16,636 | |
| | | | | | | | |
| |
Technology Hardware, Storage & Peripherals – 1.1% | |
Apple, Inc.: | | | | | | | | |
3.850%, 5-4-43 | | | 1,350 | | | | 1,608 | |
4.650%, 2-23-46 | | | 1,739 | | | | 2,312 | |
3.850%, 8-4-46 | | | 1,800 | | | | 2,149 | |
2.950%, 9-11-49 | | | 725 | | | | 750 | |
Seagate HDD Cayman (GTD by Seagate Technology plc),
4.750%, 6-1-23 | | | 965 | | | | 1,030 | |
| | | | | | | | |
| | | | | | | 7,849 | |
| | | | | | | | |
| |
Total Information Technology – 12.8% | | | | 95,463 | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Materials | |
| |
Construction Materials – 0.1% | |
Martin Marietta Materials, Inc.,
0.650%, 7-15-23 | | $ | 1,165 | | | $ | 1,168 | |
| | | | | | | | |
| |
Fertilizers & Agricultural Chemicals – 0.5% | |
Mosaic Co. (The): | | | | | | | | |
3.250%, 11-15-22 | | | 1,333 | | | | 1,380 | |
4.250%, 11-15-23 | | | 400 | | | | 430 | |
Nutrien Ltd.,
5.250%, 1-15-45 | | | 1,320 | | | | 1,763 | |
| | | | | | | | |
| | | | | | | 3,573 | |
| | | | | | | | |
| |
Metal & Glass Containers – 0.1% | |
Colonial Enterprises, Inc.,
3.250%, 5-15-30 (A) | | | 700 | | | | 758 | |
| | | | | | | | |
| |
Paper Packaging – 0.3% | |
Graphic Packaging International LLC (GTD by Graphic Packaging International Partners LLC and Field Container Queretaro (USA) LLC),
0.821%, 4-15-24 (A) | | | 1,980 | | | | 1,967 | |
| | | | | | | | |
| |
Total Materials – 1.0% | | | | 7,466 | |
Real Estate | |
| |
Diversified REITs – 0.3% | |
Spirit Realty L.P. (GTD by Spirit Realty Capital, Inc.): | | | | | | | | |
2.100%, 3-15-28 | | | 1,340 | | | | 1,336 | |
3.400%, 1-15-30 | | | 577 | | | | 616 | |
2.700%, 2-15-32 | | | 215 | | | | 213 | |
| | | | | | | | |
| | | | | | | 2,165 | |
| | | | | | | | |
| |
Health Care REITs – 0.3% | |
Welltower, Inc.,
2.050%, 1-15-29 | | | 2,300 | | | | 2,307 | |
| | | | | | | | |
| |
Industrial REITs – 0.4% | |
Aircastle Ltd.,
5.500%, 2-15-22 | | | 598 | | | | 616 | |
Avolon Holdings Funding Ltd.: | | | | | | | | |
3.625%, 5-1-22 (A) | | | 1,160 | | | | 1,187 | |
3.250%, 2-15-27 (A) | | | 1,000 | | | | 1,033 | |
| | | | | | | | |
| | | | | | | 2,836 | |
| | | | | | | | |
| |
Residential REITs – 0.4% | |
American Homes 4 Rent: | | | | | | | | |
4.250%, 2-15-28 | | | 1,140 | | | | 1,282 | |
4.900%, 2-15-29 | | | 1,222 | | | | 1,422 | |
| | | | | | | | |
| | | | | | | 2,704 | |
| | | | | | | | |
| |
Specialized REITs – 3.5% | |
American Tower Corp.: | | | | | | | | |
3.070%, 3-15-23 (A) | | | 1,500 | | | | 1,507 | |
3.000%, 6-15-23 | | | 2,500 | | | | 2,621 | |
4.400%, 2-15-26 | | | 1,000 | | | | 1,131 | |
| | | | | | |
| 12 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP CORPORATE BOND (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Specialized REITs (Continued) | |
American Tower Trust I,
3.652%, 3-23-28 (A) | | $ | 1,000 | | | $ | 1,095 | |
Crown Castle International Corp.: | | | | | | | | |
3.150%, 7-15-23 | | | 175 | | | | 184 | |
3.200%, 9-1-24 | | | 1,250 | | | | 1,336 | |
1.050%, 7-15-26 | | | 2,500 | | | | 2,444 | |
4.000%, 3-1-27 | | | 2,000 | | | | 2,241 | |
CubeSmart L.P. (GTD by CubeSmart),
4.375%, 2-15-29 | | | 1,615 | | | | 1,849 | |
CyrusOne L.P. and CyrusOne Finance Corp. (GTD by CyrusOne, Inc.),
2.900%, 11-15-24 | | | 1,639 | | | | 1,733 | |
EPR Properties,
4.950%, 4-15-28 | | | 720 | | | | 778 | |
Equinix, Inc.,
2.625%, 11-18-24 | | | 3,995 | | | | 4,205 | |
Extra Space Storage L.P.,
2.550%, 6-1-31 | | | 2,300 | | | | 2,318 | |
Public Storage, Inc.,
2.300%, 5-1-31 | | | 2,270 | | | | 2,318 | |
VICI Properties L.P. and VICI Note Co., Inc.,
4.625%, 12-1-29 (A) | | | 565 | | | | 602 | |
| | | | | | | | |
| | | | | | | 26,362 | |
| | | | | | | | |
| |
Total Real Estate – 4.9% | | | | 36,374 | |
Utilities | |
| |
Electric Utilities – 4.5% | |
Alabama Power Co.,
3.125%, 7-15-51 | | | 2,315 | | | | 2,379 | |
American Transmission Systems, Inc.,
5.250%, 1-15-22 (A) | | | 450 | | | | 461 | |
Appalachian Power Co.,
4.500%, 3-1-49 | | | 1,500 | | | | 1,840 | |
CenterPoint Energy, Inc.: | | | | | | | | |
4.250%, 11-1-28 | | | 1,683 | | | | 1,937 | |
2.950%, 3-1-30 | | | 2,050 | | | | 2,166 | |
Commonwealth Edison Co.,
3.650%, 6-15-46 | | | 3,000 | | | | 3,420 | |
Duke Energy Indiana LLC,
3.750%, 5-15-46 | | | 1,430 | | | | 1,609 | |
Duke Energy Ohio, Inc.,
4.300%, 2-1-49 | | | 410 | | | | 508 | |
Entergy Corp.: | | | | | | | | |
0.900%, 9-15-25 | | | 1,300 | | | | 1,284 | |
3.750%, 6-15-50 | | | 1,200 | | | | 1,319 | |
FirstEnergy Corp.: | | | | | | | | |
2.850%, 7-15-22 | | | 1,306 | | | | 1,328 | |
3.400%, 3-1-50 | | | 1,040 | | | | 1,022 | |
Georgia Power Co.,
3.700%, 1-30-50 | | | 970 | | | | 1,056 | |
MidAmerican Energy Co.,
3.950%, 8-1-47 | | | 2,000 | | | | 2,371 | |
National Rural Utilities Cooperative Finance Corp.,
4.400%, 11-1-48 | | | 2,000 | | | | 2,531 | |
Pacific Gas and Electric Co.: | | | | | | | | |
3.000%, 6-15-28 | | | 1,771 | | | | 1,782 | |
4.550%, 7-1-30 | | | 460 | | | | 492 | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Electric Utilities (Continued) | |
Southern California Edison Co.,
4.125%, 3-1-48 | | $ | 1,275 | | | $ | 1,363 | |
Virginia Electric and Power Co., Series B,
4.600%, 12-1-48 | | | 1,736 | | | | 2,245 | |
Wisconsin Electric Power Co.: | | | | | | | | |
4.250%, 6-1-44 | | | 250 | | | | 299 | |
4.300%, 10-15-48 | | | 1,250 | | | | 1,568 | |
| | | | | | | | |
| | | | | | | 32,980 | |
| | | | | | | | |
| |
Gas Utilities – 0.4% | |
Southern California Gas Co., 4.300%, 1-15-49 | | | 2,505 | | | | 3,139 | |
| | | | | | | | |
| |
Multi-Utilities – 1.5% | |
Baltimore Gas and Electric Co.,
4.250%, 9-15-48 | | | 1,500 | | | | 1,849 | |
Black Hills Corp.,
4.350%, 5-1-33 | | | 2,000 | | | | 2,332 | |
Dominion Energy, Inc.: | | | | | | | | |
3.600%, 3-15-27 | | | 2,000 | | | | 2,217 | |
4.600%, 3-15-49 | | | 1,200 | | | | 1,513 | |
Dominion Resources, Inc.,
2.750%, 1-15-22 | | | 3,000 | | | | 3,033 | |
| | | | | | | | |
| | | | | | | 10,944 | |
| | | | | | | | |
| |
Water Utilities – 0.4% | |
American Water Capital Corp., 4.150%, 6-1-49 | | | 2,600 | | | | 3,163 | |
| | | | | | | | |
| |
Total Utilities – 6.8% | | | | 50,226 | |
| |
TOTAL CORPORATE DEBT SECURITIES – 91.6% | | | $ | 680,608 | |
(Cost: $660,294) | | | | | | | | |
| |
| MORTGAGE-BACKED SECURITIES | | | | |
Non-Agency REMIC/CMO – 0.1% | |
MASTR Adjustable Rate Mortgages Trust, Series 2005-1, Class B1 (Mortgage spread to 10-year U.S. Treasury index),
2.531%, 3-25-35 (C) | | | 774 | | | | 641 | |
| | | | | | | | |
| |
TOTAL MORTGAGE-BACKED SECURITIES – 0.1% | | | $ | 641 | |
(Cost: $771) | | | | | | | | |
| |
| MUNICIPAL BONDS – TAXABLE | | | | |
New York – 0.5% | |
NYC Indl Dev Agy, Rental Rev Bonds (Yankee Stadium Proj), Ser 2009,
11.000%, 3-1-29 (A) | | | 2,705 | | | | 3,668 | |
| | | | | | | | |
| | | | | | | | |
MUNICIPAL BONDS – TAXABLE
(Continued) | | Principal | | | Value | |
Ohio – 0.3% | |
OH State Univ, Gen Receipts Bonds (Multiyear Debt Issuance Prog), Ser 2016A,
3.798%, 12-1-46 | | $ | 2,000 | | | $ | 2,385 | |
| | | | | | | | |
| |
TOTAL MUNICIPAL BONDS – TAXABLE – 0.8% | | | $ | 6,053 | |
(Cost: $4,705) | | | | | | | | |
| |
| OTHER GOVERNMENT SECURITIES (E) | | | | |
Canada – 0.4% | |
Province de Quebec,
7.140%, 2-27-26 | | | 2,500 | | | | 3,134 | |
| | | | | | | | |
| |
Columbia – 0.1% | |
Republic of Colombia,
3.250%, 4-22-32 | | | 925 | | | | 908 | |
| | | | | | | | |
| |
Mexico – 0.2% | |
United Mexican States,
3.750%, 4-19-71 | | | 1,250 | | | | 1,146 | |
| | | | | | | | |
| |
TOTAL OTHER GOVERNMENT SECURITIES – 0.7% | | | $ | 5,188 | |
(Cost: $4,798) | | | | | | | | |
| |
| UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | |
Agency Obligations – 0.2% | |
Tennessee Valley Authority,
2.875%, 2-1-27 | | | 1,000 | | | | 1,099 | |
| | | | | | | | |
| |
Mortgage-Backed Obligations – 0.0% | |
Government National Mortgage Association Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index),
0.004%, 6-17-45 (A)(C)(F) | | | 9 | | | | — | * |
| | | | | | | | |
| |
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 0.2% | | | $ | 1,099 | |
(Cost: $1,001) | | | | | | | | |
| |
| UNITED STATES GOVERNMENT OBLIGATIONS | |
Treasury Obligations – 2.1% | |
U.S. Treasury Bonds: | | | | | | | | |
1.875%, 2-15-41 | | | 1,350 | | | | 1,322 | |
2.250%, 5-15-41 | | | 6,250 | | | | 6,505 | |
1.875%, 2-15-51 | | | 6,815 | | | | 6,506 | |
2.375%, 5-15-51 | | | 1,055 | | | | 1,127 | |
| | | | | | | | |
| | | | | | | 15,460 | |
| | | | | | | | |
| |
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 2.1% | | | $ | 15,460 | |
(Cost: $14,966) | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 13 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP CORPORATE BOND (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| SHORT-TERM SECURITIES | | Shares | | | Value | |
Money Market Funds (H) – 2.1% | |
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares,
0.010% (G) | | | 96 | | | $ | 96 | |
State Street Institutional U.S. Government Money Market Fund – Premier Class
0.030% | | | 15,614 | | | | 15,613 | |
| | | | | | | | |
| | | | | | | 15,709 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 2.1% | | | $ | 15,709 | |
(Cost: $15,709) | | | | | | | | |
| |
TOTAL INVESTMENT SECURITIES – 99.2% | | | $ | 736,987 | |
(Cost: $714,078) | | | | | | | | |
| |
CASH AND OTHER ASSETS, NET OF LIABILITIES (I) – 0.8% | | | | 6,207 | |
| |
NET ASSETS – 100.0% | | | $ | 743,194 | |
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, 2021 the total value of these securities amounted to $140,400 or 18.9% of net assets. |
| (B) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at June 30, 2021. |
| (C) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2021. Description of the reference rate and spread, if applicable, are included in the security description. |
| (D) | All or a portion of securities with an aggregate value of $94 are on loan. |
| (E) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
| (F) | Interest-only security. Amount shown as principal represents notional amount for computation of interest. |
| (G) | Investment made with cash collateral received from securities on loan. |
| (H) | Rate shown is the annualized 7-day yield at June 30, 2021. |
| (I) | Cash of $112 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2021 (contracts unrounded):
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Type | | | Number of
Contracts | | | Expiration Date | | | Notional
Amount | | | Value | | | Unrealized
Appreciation | | | | |
U.S. Treasury Long Bond | | | Long | | | | 32 | | | | 9-21-21 | | | | 3,200 | | | $ | 5,144 | | | $ | 122 | | | | | |
| | | | | | | | | | | | | | | | | | | | |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | — | | | $ | 12,229 | | | $ | — | |
Corporate Debt Securities | | | — | | | | 680,608 | | | | — | |
Mortgage-Backed Securities | | | — | | | | 641 | | | | — | |
Municipal Bonds | | | — | | | | 6,053 | | | | — | |
Other Government Securities | | | — | | | | 5,188 | | | | — | |
United States Government Agency Obligations | | | — | | | | 1,099 | | | | — | |
United States Government Obligations | | | — | | | | 15,460 | | | | — | |
Short-Term Securities | | | 15,709 | | | | — | | | | — | |
Total | | $ | 15,709 | | | $ | 721,278 | | | $ | — | |
Futures Contracts | | $ | 122 | | | $ | — | | | $ | — | |
| | | | | | |
| 14 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP CORPORATE BOND (in thousands) |
JUNE 30, 2021 (UNAUDITED)
The following acronyms are used throughout this schedule:
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.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 15 | |
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP GLOBAL BOND(a) |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Bonds | | | 98.0% | |
Corporate Debt Securities | | | 75.8% | |
United States Government and Government Agency Obligations | | | 13.8% | |
Other Government Securities | | | 8.4% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 2.0% | |
Quality Weightings
| | | | |
Investment Grade | | | 74.2% | |
AAA | | | 2.7% | |
AA | | | 15.1% | |
A | | | 15.6% | |
BBB | | | 40.8% | |
Non-Investment Grade | | | 23.8% | |
BB | | | 17.1% | |
B | | | 4.4% | |
CCC | | | 1.2% | |
Non-rated | | | 1.1% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 2.0% | |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
Country Weightings
| | | | |
North America | | | 34.4% | |
United States | | | 25.5% | |
Mexico | | | 7.5% | |
Other North America | | | 1.4% | |
South America | | | 20.3% | |
Brazil | | | 6.2% | |
Chile | | | 4.6% | |
Peru | | | 3.6% | |
Other South America | | | 5.9% | |
Pacific Basin | | | 18.9% | |
China | | | 4.1% | |
Other Pacific Basin | | | 14.8% | |
Europe | | | 12.4% | |
United Kingdom | | | 4.7% | |
Other Europe | | | 7.7% | |
Bahamas/Caribbean | | | 5.8% | |
Middle East | | | 5.3% | |
Africa | | | 1.1% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 2.0% | |
+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 July 1, 2021, the name of Ivy VIP Global Bond changed to Delaware Ivy VIP Global Bond.
| | | | | | |
| 16 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP GLOBAL BOND (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| CORPORATE DEBT SECURITIES | | Principal | | | Value | |
Argentina | |
| |
Energy – 0.7% | |
Pampa Energia S.A. | | | | | | | | |
7.500%, 1-24-27 (A) | | $ | 150 | | | $ | 135 | |
| | | | | | | | |
| |
Total Argentina – 0.7% | | | $ | 135 | |
Australia | |
| |
Industrials – 0.8% | |
Transburban Finance Co. Pty Ltd. | | | | | | | | |
2.450%, 3-16-31 | | | 100 | | | | 101 | |
Transurban Finance Co. Pty Ltd. | | | | | | | | |
2.450%, 3-16-31 (A) | | | 70 | | | | 70 | |
| | | | | | | | |
| | | | | | | 171 | |
| | | | | | | | |
Utilities – 1.0% | |
Ausgrid Finance Pty Ltd. | | | | | | | | |
3.850%, 5-1-23 (A) | | | 200 | | | | 209 | |
| | | | | | | | |
| |
Total Australia – 1.8% | | | $ | 380 | |
Austria | |
| |
Consumer Staples – 1.1% | |
JBS Investments II GmbH (GTD by JBS S.A.) | | | | | | | | |
5.750%, 1-15-28 (A) | | | 200 | | | | 214 | |
| | | | | | | | |
| |
Total Austria – 1.1% | | | $ | 214 | |
Bermuda | |
| |
Consumer Staples – 0.5% | |
Bacardi Ltd. | | | | | | | | |
4.450%, 5-15-25 (A) | | | 100 | | | | 111 | |
| | | | | | | | |
Energy – 1.0% | |
GeoPark Ltd. | | | | | | | | |
5.500%, 1-17-27 (A) | | | 200 | | | | 203 | |
| | | | | | | | |
| |
Total Bermuda – 1.5% | | | $ | 314 | |
Brazil | |
| |
Financials – 1.0% | |
XP, Inc. | | | | | | | | |
3.250%, 7-1-26 (A) | | | 200 | | | | 198 | |
| | | | | | | | |
Industrials – 1.1% | |
Cosan Ltd. | | | | | | | | |
5.500%, 9-20-29 (A)(B) | | | 200 | | | | 216 | |
| | | | | | | | |
Materials – 2.0% | |
Nexa Resources S.A. | | | | | | | | |
6.500%, 1-18-28 (A) | | | 200 | | | | 226 | |
Vale Overseas Ltd. | | | | | | | | |
6.250%, 8-10-26 | | | 150 | | | | 181 | |
| | | | | | | | |
| | | | | | | 407 | |
| | | | | | | | |
Utilities – 1.0% | |
Aegea Finance S.a.r.l. | | | | | | | | |
5.750%, 10-10-24 (A) | | | 200 | | | | 208 | |
| | | | | | | | |
| |
Total Brazil – 5.1% | | | $ | 1,029 | |
| | | | | | | | |
CORPORATE DEBT SECURITIES (Continued) | | Principal | | | Value | |
British Virgin Islands | |
| |
Information Technology – 1.0% | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | | | | | | |
1.000%, 9-28-27 (A) | | $ | 200 | | | $ | 193 | |
| | | | | | | | |
| |
Total British Virgin Islands – 1.0% | | | $ | 193 | |
Canada | |
| |
Energy – 0.6% | |
TransCanada PipeLines Ltd. | | | | | | | | |
4.250%, 5-15-28 | | | 100 | | | | 115 | |
| | | | | | | | |
Financials – 0.8% | |
Brookfield Finance, Inc. (GTD by Brookfield Asset Management, Inc.) | | | | | | | | |
4.350%, 4-15-30 | | | 100 | | | | 116 | |
Royal Bank of Canada | | | | | | | | |
4.650%, 1-27-26 | | | 50 | | | | 57 | |
| | | | | | | | |
| | | | | | | 173 | |
| | | | | | | | |
| |
Total Canada – 1.4% | | | $ | 288 | |
Cayman Islands | |
| |
Consumer Discretionary – 1.0% | |
Meituan | | | | | | | | |
3.050%, 10-28-30 (A)(B) | | | 200 | | | | 198 | |
| | | | | | | | |
| |
Total Cayman Islands – 1.0% | | | $ | 198 | |
Chile | |
| |
Communication Services – 1.1% | |
VTR Finance B.V. | | | | | | | | |
6.375%, 7-15-28 (A) | | | 200 | | | | 213 | |
| | | | | | | | |
Financials – 1.0% | |
Banco del Estado de Chile | | | | | | | | |
2.704%, 1-9-25 (A) | | | 200 | | | | 209 | |
| | | | | | | | |
Industrials – 1.1% | |
Empresa de Transporte de Pasajeros Metro S.A. | | | | | | | | |
3.650%, 5-7-30 (A) | | | 200 | | | | 216 | |
| | | | | | | | |
Materials – 1.0% | |
Celulosa Arauco y Constitucion S.A. | | | | | | | | |
4.500%, 8-1-24 | | | 200 | | | | 216 | |
| | | | | | | | |
Utilities – 0.4% | |
Enel Chile S.A. | | | | | | | | |
4.875%, 6-12-28 | | | 80 | | | | 93 | |
| | | | | | | | |
| |
Total Chile – 4.6% | | | $ | 947 | |
China | |
| |
Communication Services – 2.0% | |
Tencent Holdings Ltd. | | | | | | | | |
2.985%, 1-19-23 (A) | | | 200 | | | | 207 | |
Weibo Corp. | | | | | | | | |
3.500%, 7-5-24 | | | 200 | | | | 211 | |
| | | | | | | | |
| | | | | | | 418 | |
| | | | | | | | |
| | | | | | | | |
CORPORATE DEBT SECURITIES (Continued) | | Principal | | | Value | |
Consumer Discretionary – 1.1% | |
Alibaba Group Holding Ltd. | | | | | | | | |
3.400%, 12-6-27 | | $ | 200 | | | $ | 219 | |
| | | | | | | | |
| |
Information Technology – 1.0% | |
Lenovo Group Ltd. | | | | | | | | |
3.421%, 11-2-30 (A) | | | 200 | | | | 209 | |
| | | | | | | | |
| |
Total China – 4.1% | | | $ | 846 | |
Columbia | |
| |
Financials – 1.0% | |
Banco de Bogota S.A. | | | | | | | | |
5.375%, 2-19-23 (A) | | | 200 | | | | 210 | |
| | | | | | | | |
| |
Utilities – 1.0% | |
Empresas Publicas de Medellin E.S.P. | | | | | | | | |
4.250%, 7-18-29 (A) | | | 200 | | | | 198 | |
| | | | | | | | |
| |
Total Columbia – 2.0% | | | $ | 408 | |
Hong Kong | |
| |
Financials – 1.1% | |
Bangkok Bank Public Co. Ltd. | | | | | | | | |
4.050%, 3-19-24 (A) | | | 200 | | | | 217 | |
| | | | | | | | |
| |
Total Hong Kong – 1.1% | | | $ | 217 | |
India | |
| |
Utilities – 2.1% | |
Adani Electricity Mumbai Ltd. | | | | | | | | |
3.949%, 2-12-30 (A) | | | 200 | | | | 200 | |
Adani Green Energy (UP) Ltd., Parampujya Solar Energy Private Ltd. and Prayatna Developers Private Ltd. | | | | | | | | |
6.250%, 12-10-24 (A) | | | 200 | | | | 222 | |
| | | | | | | | |
| | | | | | | 422 | |
| | | | | | | | |
| |
Total India – 2.1% | | | $ | 422 | |
Indonesia | |
| |
Utilities – 2.3% | |
Perusahaan Listrik Negara: | | | | | | | | |
5.450%, 5-21-28 (A) | | | 200 | | | | 234 | |
5.375%, 1-25-29 (A) | | | 200 | | | | 233 | |
| | | | | | | | |
| | | | | | | 467 | |
| | | | | | | | |
| |
Total Indonesia – 2.3% | | | $ | 467 | |
Isle of Man | |
| |
Consumer Discretionary – 1.0% | |
GOHL Capital Ltd. | | | | | | | | |
4.250%, 1-24-27 | | | 200 | | | | 211 | |
| | | | | | | | |
| |
Total Isle of Man – 1.0% | | | $ | 211 | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 17 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP GLOBAL BOND (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
CORPORATE DEBT SECURITIES (Continued) | | Principal | | | Value | |
Japan | |
| |
Financials – 1.1% | |
Mitsubishi UFJ Financial Group, Inc. | | | | | | | | |
3.287%, 7-25-27 | | $ | 100 | | | $ | 110 | |
Sumitomo Mitsui Financial Group, Inc. | | | | | | | | |
3.748%, 7-19-23 | | | 110 | | | | 117 | |
| | | | | | | | |
| | | | | | | 227 | |
| | | | | | | | |
| |
Total Japan – 1.1% | | | $ | 227 | |
Luxembourg | |
| |
Consumer Staples – 1.0% | |
Minerva Luxembourg S.A. | | | | | | | | |
5.875%, 1-19-28 (A) | | | 200 | | | | 213 | |
| | | | | | | | |
| |
Financials – 2.0% | |
JSM Global S.a.r.l. | | | | | | | | |
4.750%, 10-20-30 (A) | | | 200 | | | | 208 | |
Mexico Remittances Funding Fiduciary Estate | | | | | | | | |
4.875%, 1-15-28 (A) | | | 200 | | | | 197 | |
| | | | | | | | |
| | | | | | | 405 | |
| | | | | | | | |
| |
Total Luxembourg – 3.0% | | | $ | 618 | |
Malaysia | |
| |
Consumer Discretionary – 1.0% | |
GENM Capital Labuan Ltd. | | | | | | | | |
3.882%, 4-19-31 (A) | | | 200 | | | | 200 | |
| | | | | | | | |
| |
Total Malaysia – 1.0% | | | $ | 200 | |
Mexico | |
| |
Consumer Staples – 1.1% | |
Grupo Bimbo S.A.B. de C.V. | | | | | | | | |
3.875%, 6-27-24 (A) | | | 200 | | | | 216 | |
| | | | | | | | |
| |
Energy – 0.4% | |
Petroleos Mexicanos | | | | | | | | |
6.490%, 1-23-27 | | | 80 | | | | 85 | |
| | | | | | | | |
| |
Financials – 0.8% | |
Banco Santander S.A. | | | | | | | | |
4.125%, 11-9-22 (A) | | | 150 | | | | 156 | |
| | | | | | | | |
| |
Industrials – 2.1% | |
Alfa S.A.B. de C.V. | | | | | | | | |
5.250%, 3-25-24 (A) | | | 200 | | | | 218 | |
Grupo Kuo S.A.B. de C.V. | | | | | | | | |
5.750%, 7-7-27 (A) | | | 200 | | | | 210 | |
| | | | | | | | |
| | | | | | | 428 | |
| | | | | | | | |
| |
Materials – 2.1% | |
Industrias Penoles S.A.B. de C.V. | | | | | | | | |
4.150%, 9-12-29 (A) | | | 200 | | | | 217 | |
Orbia Advance Corp. S.A.B. de C.V. | | | | | | | | |
1.875%, 5-11-26 (A) | | | 200 | | | | 203 | |
| | | | | | | | |
| | | | | | | 420 | |
| | | | | | | | |
| |
Total Mexico – 6.5% | | | $ | 1,305 | |
| | | | | | | | |
CORPORATE DEBT SECURITIES (Continued) | | Principal | | | Value | |
Netherlands | |
| |
Energy – 0.5% | |
Petrobras Global Finance B.V. (GTD by Petroleo Brasileiro S.A.) | | | | | | | | |
5.600%, 1-3-31 | | $ | 100 | | | $ | 112 | |
| | | | | | | | |
| |
Health Care – 1.1% | |
Teva Pharmaceutical Finance Netherlands III B.V. (GTD by Teva Pharmaceutical Industries Ltd.) | | | | | | | | |
6.750%, 3-1-28 (B) | | | 200 | | | | 220 | |
| | | | | | | | |
| |
Total Netherlands – 1.6% | | | $ | 332 | |
Nigeria | |
| |
Financials – 1.1% | |
Africa Finance Corp. | | | | | | | | |
4.375%, 4-17-26 (A) | | | 200 | | | | 218 | |
| | | | | | | | |
| |
Total Nigeria – 1.1% | | | $ | 218 | |
Panama | |
| |
Financials – 1.0% | |
Banco Latinoamericanco de Comercio Exterior S.A. | | | | | | | | |
2.375%, 9-14-25 (A) | | | 200 | | | | 205 | |
| | | | | | | | |
| |
Total Panama – 1.0% | | | $ | 205 | |
Peru | |
| |
Financials – 1.7% | |
Banco de Credito del Peru | | | | | | | | |
4.250%, 4-1-23 (A) | | | 150 | | | | 157 | |
Corporacion Financiera de Desarrolla S.A. | | | | | | | | |
2.400%, 9-28-27 (A) | | | 200 | | | | 197 | |
| | | | | | | | |
| | | | | | | 354 | |
| | | | | | | | |
| |
Utilities – 0.9% | |
Fenix Power Peru S.A. | | | | | | | | |
4.317%, 9-20-27 | | | 172 | | | | 175 | |
| | | | | | | | |
| |
Total Peru – 2.6% | | | $ | 529 | |
Saudi Arabia | |
| |
Energy – 1.0% | |
Saudi Arabian Oil Co. | | | | | | | | |
1.250%, 11-24-23 (A) | | | 200 | | | | 202 | |
| | | | | | | | |
| |
Total Saudi Arabia – 1.0% | | | $ | 202 | |
South Korea | |
| |
Consumer Discretionary – 1.0% | |
Kia Corp. | | | | | | | | |
1.750%, 10-16-26 (A) | | | 200 | | | | 202 | |
| | | | | | | | |
| |
Financials – 2.2% | |
Hyundai Capital Services, Inc. | | | | | | | | |
2.983%, 8-29-22 (A) | | | 210 | | | | 215 | |
| | | | | | | | |
CORPORATE DEBT SECURITIES (Continued) | | Principal | | | Value | |
Financials (Continued) | |
Korea Development Bank | | | | | | | | |
3.250%, 2-19-24 | | $ | 200 | | | $ | 214 | |
| | | | | | | | |
| | | | | | | 429 | |
| | | | | | | | |
| |
Total South Korea – 3.2% | | | $ | 631 | |
Spain | |
| |
Financials – 1.0% | |
Banco Santander S.A. | | | | | | | | |
2.706%, 6-27-24 | | | 200 | | | | 211 | |
| | | | | | | | |
| |
Utilities – 1.0% | |
EnfraGen Energia Sur S.A.U. | | | | | | | | |
5.375%, 12-30-30 (A) | | | 200 | | | | 199 | |
| | | | | | | | |
| |
Total Spain – 2.0% | | | $ | 410 | |
United Arab Emirates | |
| |
Consumer Discretionary – 1.0% | |
GEMS MENASA Cayman Ltd. and GEMS Education Delaware LLC | | | | | | | | |
7.125%, 7-31-26 (A) | | | 200 | | | | 207 | |
| | | | | | | | |
| |
Energy – 1.0% | |
Galaxy Pipeline Assets BidCo Ltd. | | | | | | | | |
1.750%, 9-30-27 (A) | | | 200 | | | | 202 | |
| | | | | | | | |
| |
Total United Arab Emirates – 2.0% | | | $ | 409 | |
United Kingdom | |
| |
Communication Services – 1.0% | |
Liquid Telecommunications Financing plc (GTD by Liquid Telecommunications Holdings Ltd.) | | | | | | | | |
8.500%, 7-13-22 (A) | | | 200 | | | | 202 | |
| | | | | | | | |
| |
Consumer Staples – 1.0% | |
Imperial Tobacco Finance plc | | | | | | | | |
3.750%, 7-21-22 (A) | | | 200 | | | | 205 | |
| | | | | | | | |
| |
Financials – 2.7% | |
ANZ New Zealand International Ltd. | | | | | | | | |
3.450%, 1-21-28 (A) | | | 200 | | | | 222 | |
Royal Bank of Scotland Group plc (The) | | | | | | | | |
6.000%, 12-19-23 | | | 100 | | | | 112 | |
State Bank of India | | | | | | | | |
4.875%, 4-17-24 (A) | | | 200 | | | | 219 | |
| | | | | | | | |
| | | | | | | 553 | |
| | | | | | | | |
| |
Total United Kingdom – 4.7% | | | $ | 960 | |
United States | |
| |
Consumer Discretionary – 1.6% | |
D.R. Horton, Inc. | | | | | | | | |
2.600%, 10-15-25 | | | 100 | | | | 105 | |
Volkswagen Group of America, Inc. | | | | | | | | |
4.250%, 11-13-23 (A) | | | 200 | | | | 216 | |
| | | | | | | | |
| | | | | | | 321 | |
| | | | | | | | |
| | | | | | |
| 18 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP GLOBAL BOND (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
CORPORATE DEBT SECURITIES (Continued) | | Principal | | | Value | |
Consumer Staples – 1.3% | |
Keurig Dr Pepper, Inc. | | | | | | | | |
4.597%, 5-25-28 | | $ | 125 | | | $ | 147 | |
Reynolds American, Inc. | | | | | | | | |
4.450%, 6-12-25 | | | 100 | | | | 111 | |
| | | | | | | | |
| | | | | | | 258 | |
| | | | | | | | |
| |
Financials – 5.4% | |
Bank of America Corp. | | | | | | | | |
3.593%, 7-21-28 | | | 125 | | | | 138 | |
BBVA Bancomer S.A. | | | | | | | | |
5.875%, 9-13-34 (A) | | | 200 | | | | 219 | |
Citadel Finance LLC | | | | | | | | |
3.375%, 3-9-26 (A) | | | 100 | | | | 100 | |
Citigroup, Inc. | | | | | | | | |
3.520%, 10-27-28 | | | 125 | | | | 137 | |
Goldman Sachs Group, Inc. (The) | | | | | | | | |
3.814%, 4-23-29 | | | 100 | | | | 112 | |
JPMorgan Chase & Co.: | | | | | | | | |
3.540%, 5-1-28 | | | 118 | | | | 130 | |
4.000%, 10-1-68 | | | 50 | | | | 51 | |
TerraForm Global Operating LLC (GTD by TerraForm Global LLC) | | | | | | | | |
6.125%, 3-1-26 (A) | | | 50 | | | | 52 | |
Wells Fargo & Co. | | | | | | | | |
4.300%, 7-22-27 | | | 125 | | | | 143 | |
| | | | | | | | |
| | | | | | | 1,082 | |
| | | | | | | | |
| |
Health Care – 1.4% | |
Bayer U.S. Finance II LLC | | | | | | | | |
2.850%, 4-15-25 (A) | | | 200 | | | | 208 | |
Fresenius U.S. Finance II, Inc. | | | | | | | | |
4.500%, 1-15-23 (A) | | | 75 | | | | 78 | |
| | | | | | | | |
| | | | | | | 286 | |
| | | | | | | | |
| |
Industrials – 0.4% | |
BAE Systems Holdings, Inc. | | | | | | | | |
3.800%, 10-7-24 (A) | | | 75 | | | | 82 | |
| | | | | | | | |
| |
Real Estate – 1.6% | |
Aircastle Ltd. | | | | | | | | |
4.400%, 9-25-23 | | | 100 | | | | 107 | |
Crown Castle International Corp. | | | | | | | | |
4.000%, 3-1-27 | | | 100 | | | | 112 | |
CyrusOne L.P. and CyrusOne Finance Corp. (GTD by CyrusOne, Inc.) | | | | | | | | |
2.900%, 11-15-24 | | | 100 | | | | 106 | |
| | | | | | | | |
| | | | | | | 325 | |
| | | | | | | | |
| |
Total United States – 11.7% | | | $ | 2,354 | |
Uruguay | |
| |
Industrials – 0.4% | |
Navios South American Logistics, Inc. and Navios Logistics Finance (U.S.), Inc. | | | | | | | | |
10.750%, 7-1-25 (A) | | | 70 | | | | 78 | |
| | | | | | | | |
| |
Total Uruguay – 0.4% | | | $ | 78 | |
| | | | | | | | |
CORPORATE DEBT SECURITIES (Continued) | | Principal | | | Value | |
Venezuela | |
| |
Financials – 0.9% | |
Corporacion Andina de Fomento: | | | | | | | | |
3.250%, 2-11-22 | | $ | 150 | | | $ | 153 | |
2.375%, 5-12-23 | | | 30 | | | | 31 | |
| | | | | | | | |
| | | | | | | 184 | |
| | | | | | | | |
| |
Total Venezuela – 0.9% | | | $ | 184 | |
Vietnam | |
| |
Energy – 1.2% | |
Mong Duong Finance Holdings B.V. | | | | | | | | |
5.125%, 5-7-29 (A) | | | 250 | | | | 251 | |
| | | | | | | | |
| |
Total Vietnam – 1.2% | | | $ | 251 | |
| |
TOTAL CORPORATE DEBT SECURITIES – 75.8% | | | $ | 15,382 | |
(Cost: $14,547) | |
| | |
OTHER GOVERNMENT
SECURITIES (C) | | | | | | |
Argentina – 0.5% | |
Republic of Argentina: | | | | | | | | |
1.000%, 7-9-29 | | | 12 | | | | 5 | |
0.125%, 7-9-30 | | | 243 | | | | 87 | |
| | | | | | | | |
| | | | | | | 92 | |
| | | | | | | | |
| |
Brazil – 1.1% | |
Federative Republic of Brazil | | | | | | | | |
3.750%, 9-12-31 | | | 233 | | | | 230 | |
| | | | | | | | |
| |
Columbia – 1.1% | |
Republic of Colombia | | | | | | | | |
4.500%, 3-15-29 | | | 200 | | | | 219 | |
| | | | | | | | |
| |
Mexico – 1.0% | |
United Mexican States | | | | | | | | |
3.250%, 4-16-30 (B) | | | 200 | | | | 207 | |
| | | | | | | | |
| |
Panama – 1.1% | |
Republic of Panama | | | | | | | | |
3.750%, 4-17-26 | | | 200 | | | | 216 | |
| | | | | | | | |
| |
Peru – 1.0% | |
Republic of Peru: | | | | | | | | |
2.783%, 1-23-31 | | | 100 | | | | 102 | |
1.862%, 12-1-32 | | | 100 | | | | 93 | |
| | | | | | | | |
| | | | | | | 195 | |
| | | | | | | | |
| |
Qatar – 1.1% | |
Qatar Government Bond | | | | | | | | |
3.875%, 4-23-23 | | | 200 | | | | 213 | |
| | | | | | | | |
| |
Saudi Arabia – 1.2% | |
Saudi Arabia Government Bond | | | | | | | | |
2.375%, 10-26-21 (A) | | | 250 | | | | 252 | |
| | | | | | | | |
| | | | | | | | |
OTHER GOVERNMENT
SECURITIES (C) (Continued) | | Principal | | | Value | |
Uruguay – 0.3% | |
Republica Orient Uruguay | | | | | | | | |
4.500%, 8-14-24 (B) | | $ | 50 | | | $ | 54 | |
| | | | | | | | |
| |
TOTAL OTHER GOVERNMENT SECURITIES – 8.4% | | | $ | 1,678 | |
(Cost: $1,699) | |
| | |
UNITED STATES GOVERNMENT
OBLIGATIONS | | | | | | |
United States – 13.8% | |
U.S. Treasury Bonds | | | | | | | | |
0.875%, 11-15-30 | | | 200 | | | | 190 | |
U.S. Treasury Notes: | | | | | | | | |
1.500%, 1-15-23 | | | 150 | | | | 153 | |
2.125%, 9-30-24 | | | 100 | | | | 105 | |
0.250%, 10-31-25 | | | 400 | | | | 391 | |
2.250%, 11-15-25 | | | 150 | | | | 160 | |
0.375%, 11-30-25 | | | 300 | | | | 295 | |
0.375%, 12-31-25 | | | 200 | | | | 196 | |
0.500%, 2-28-26 | | | 100 | | | | 98 | |
0.750%, 4-30-26 | | | 400 | | | | 398 | |
2.375%, 5-15-27 | | | 125 | | | | 135 | |
0.375%, 7-31-27 | | | 300 | | | | 287 | |
0.375%, 9-30-27 | | | 300 | | | | 287 | |
0.625%, 11-30-27 | | | 100 | | | | 97 | |
| | | | | | | | |
| | | | | | | 2,792 | |
| | | | | | | | |
| |
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 13.8% | | | $ | 2,792 | |
(Cost: $2,815) | |
| | |
| SHORT-TERM SECURITIES | | Shares | | | | |
Money Market Funds (D) – 6.9% | |
State Street Institutional U.S. Government Money Market Fund – Premier Class | | | | | | | | |
0.030% | | | 662 | | | | 662 | |
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares | | | | | | | | |
0.010% (E) | | | 740 | | | | 740 | |
| | | | | | | | |
| | | | | | | 1,402 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 6.9% | | | $ | 1,402 | |
(Cost: $1,402) | |
| |
TOTAL INVESTMENT SECURITIES – 104.9% | | | $ | 21,254 | |
(Cost: $20,463) | |
| |
LIABILITIES, NET OF CASH AND OTHER ASSETS – (4.9)% | | | | (1,001 | ) |
| |
NET ASSETS – 100.0% | | | $ | 20,253 | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 19 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP GLOBAL BOND (in thousands) |
JUNE 30, 2021 (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, 2021 the total value of these securities amounted to $11,175 or 55.2% of net assets. |
| (B) | All or a portion of securities with an aggregate value of $722 are on loan. |
| (C) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
| (D) | Rate shown is the annualized 7-day yield at June 30, 2021. |
| (E) | Investment made with cash collateral received from securities on loan. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. See Note 3 to the Financial Statements for further information regarding fair value measurement.
| | | | | | | | | | | | |
| | | Level 1 | | | Level 2 | | | Level 3 | |
Assets | | | | | | | | | | | | |
Investments in Securities | | | | | | | | | | | | |
Corporate Debt Securities | | $ | — | | | $ | 15,382 | | | $ | — | |
Other Government Securities | | | — | | | | 1,678 | | | | — | |
United States Government Obligations | | | — | | | | 2,792 | | | | — | |
Short-Term Securities | | | 1,402 | | | | — | | | | — | |
Total | | $ | 1,402 | | | $ | 19,852 | | | $ | — | |
The following acronyms are used throughout this schedule:
GTD = Guaranteed
Country Diversification
| | | | |
(as a % of net assets) | |
United States | | | 25.5% | |
Mexico | | | 7.5% | |
Brazil | | | 6.2% | |
United Kingdom | | | 4.7% | |
Chile | | | 4.6% | |
China | | | 4.1% | |
Peru | | | 3.6% | |
South Korea | | | 3.2% | |
Columbia | | | 3.1% | |
Luxembourg | | | 3.0% | |
Indonesia | | | 2.3% | |
Saudi Arabia | | | 2.2% | |
India | | | 2.1% | |
Panama | | | 2.1% | |
Spain | | | 2.0% | |
United Arab Emirates | | | 2.0% | |
Country Diversification (Continued)
| | | | |
Australia | | | 1.8% | |
Netherlands | | | 1.6% | |
Bermuda | | | 1.5% | |
Canada | | | 1.4% | |
Vietnam | | | 1.2% | |
Argentina | | | 1.2% | |
Japan | | | 1.1% | |
Nigeria | | | 1.1% | |
Hong Kong | | | 1.1% | |
Austria | | | 1.1% | |
Qatar | | | 1.1% | |
Isle of Man | | | 1.0% | |
Malaysia | | | 1.0% | |
Cayman Islands | | | 1.0% | |
British Virgin Islands | | | 1.0% | |
Other Countries | | | 1.6% | |
Other+ | | | 2.0% | |
+Includes liabilities (net of cash and other assets), and cash equivalents
See Accompanying Notes to Financial Statements.
| | | | | | |
| 20 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP GLOBAL EQUITY INCOME(a) |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Stocks | | | 98.6% | |
Financials | | | 24.7% | |
Health Care | | | 13.0% | |
Industrials | | | 12.7% | |
Information Technology | | | 11.9% | |
Consumer Staples | | | 9.5% | |
Utilities | | | 8.9% | |
Energy | | | 6.2% | |
Consumer Discretionary | | | 5.1% | |
Materials | | | 4.0% | |
Communication Services | | | 2.6% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | | | 1.4% | |
Country Weightings
| | | | |
Europe | | | 41.1% | |
Germany | | | 12.4% | |
France | | | 10.1% | |
United Kingdom | | | 9.2% | |
Switzerland | | | 4.0% | |
Other Europe | | | 5.4% | |
North America | | | 37.9% | |
United States | | | 35.6% | |
Other North America | | | 2.3% | |
Pacific Basin | | | 19.6% | |
Japan | | | 5.2% | |
Taiwan | | | 4.9% | |
South Korea | | | 4.3% | |
Other Pacific Basin | | | 5.2% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | | | 1.4% | |
Top 10 Equity Holdings
| | | | |
| | |
| Company | | Sector | | Industry |
Taiwan Semiconductor Manufacturing Co. Ltd. | | Information Technology | | Semiconductors |
Samsung Electronics Co. Ltd. | | Information Technology | | Technology Hardware, Storage & Peripherals |
AstraZeneca plc | | Health Care | | Pharmaceuticals |
Bank of America Corp. | | Financials | | Diversified Banks |
Schneider Electric S.A. | | Industrials | | Electrical Components & Equipment |
Philip Morris International, Inc. | | Consumer Staples | | Tobacco |
CVS Caremark Corp. | | Health Care | | Health Care Services |
Raytheon Technologies Corp. | | Industrials | | Aerospace & Defense |
ENEL S.p.A. | | Utilities | | Electric Utilities |
Axa S.A. | | Financials | | Multi-Line Insurance |
See your advisor or www.ivyinvestments.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.
(a)Effective July 1, 2021, the name of Ivy VIP Global Equity Income changed to Delaware Ivy VIP Global Equity Income.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 21 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP GLOBAL EQUITY INCOME (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS | | Shares | | | Value | |
Canada | |
| |
Financials – 2.3% | |
Bank of Montreal | | | 70 | | | $ | 7,215 | |
| | | | | | | | |
| |
Total Canada – 2.3% | | | $ | 7,215 | |
France | |
| |
Energy – 2.4% | |
TotalEnergies SE (A) | | | 163 | | | | 7,392 | |
| | | | | | | | |
| |
Financials – 2.7% | |
Axa S.A. | | | 332 | | | | 8,429 | |
| | | | | | | | |
| |
Health Care – 1.8% | |
Sanofi-Aventis | | | 54 | | | | 5,694 | |
| | | | | | | | |
| |
Industrials – 3.2% | |
Schneider Electric S.A. | | | 64 | | | | 10,021 | |
| | | | | | | | |
| |
Total France – 10.1% | | | $ | 31,536 | |
Germany | |
| |
Communication Services – 2.6% | |
Deutsche Telekom AG, Registered Shares | | | 388 | | | | 8,199 | |
| | | | | | | | |
| |
Financials – 1.4% | |
Munchener Ruckversicherungs-Gesellschaft AG, Registered Shares | | | 16 | | | | 4,393 | |
| | | | | | | | |
| |
Industrials – 2.6% | |
Siemens AG | | | 51 | | | | 8,131 | |
| | | | | | | | |
| |
Utilities – 3.3% | |
E.ON AG | | | 361 | | | | 4,177 | |
RWE Aktiengesellschaft | | | 173 | | | | 6,285 | |
| | | | | | | | |
| | | | | | | 10,462 | |
| | | | | | | | |
| |
Total Germany – 9.9% | | | $ | 31,185 | |
Indonesia | |
| |
Financials – 1.9% | |
PT Bank Mandiri (Persero) Tbk | | | 14,177 | | | | 5,769 | |
| | | | | | | | |
| |
Total Indonesia – 1.9% | | | $ | 5,769 | |
Ireland | |
| |
Materials – 1.4% | |
CRH plc | | | 88 | | | | 4,447 | |
| | | | | | | | |
| |
Total Ireland – 1.4% | | | $ | 4,447 | |
Italy | |
| |
Utilities – 2.7% | |
ENEL S.p.A. | | | 910 | | | | 8,455 | |
| | | | | | | | |
| |
Total Italy – 2.7% | | | $ | 8,455 | |
| | | | | | | | |
COMMON STOCKS
(Continued) | | Shares | | | Value | |
Japan | |
| |
Financials – 3.7% | |
ORIX Corp. | | | 438 | | | $ | 7,382 | |
Tokio Marine Holdings, Inc. | | | 94 | | | | 4,336 | |
| | | | | | | | |
| | | | | | | 11,718 | |
| | | | | | | | |
Industrials – 1.5% | |
ITOCHU Corp. | | | 168 | | | | 4,842 | |
| | | | | | | | |
| |
Total Japan – 5.2% | | | $ | 16,560 | |
Macau | |
| |
Consumer Discretionary – 1.3% | |
Sands China Ltd. | | | 995 | | | | 4,190 | |
| | | | | | | | |
| |
Total Macau – 1.3% | | | $ | 4,190 | |
Singapore | |
| |
Financials – 2.0% | |
DBS Group Holdings Ltd. | | | 287 | | | | 6,367 | |
| | | | | | | | |
| |
Total Singapore – 2.0% | | | $ | 6,367 | |
South Korea | |
| |
Information Technology – 4.3% | |
Samsung Electronics Co. Ltd. | | | 187 | | | | 13,436 | |
| | | | | | | | |
| |
Total South Korea – 4.3% | | | $ | 13,436 | |
Sweden | |
| |
Energy – 1.3% | |
Lundin Energy AB (A) | | | 122 | | | | 4,302 | |
| | | | | | | | |
| |
Total Sweden – 1.3% | | | $ | 4,302 | |
Switzerland | |
| |
Financials – 1.5% | |
Zurich Financial Services, Registered Shares | | | 12 | | | | 4,781 | |
| | | | | | | | |
Health Care – 2.5% | |
Roche Holdings AG, Genusscheine | | | 20 | | | | 7,707 | |
| | | | | | | | |
| |
Total Switzerland – 4.0% | | | $ | 12,488 | |
Taiwan | |
| |
Information Technology – 4.9% | |
Taiwan Semiconductor Manufacturing Co. Ltd. | | | 725 | | | | 15,482 | |
| | | | | | | | |
| |
Total Taiwan – 4.9% | | | $ | 15,482 | |
United Kingdom | |
| |
Consumer Staples – 2.6% | |
Unilever plc | | | 139 | | | | 8,142 | |
| | | | | | | | |
| |
Financials – 1.3% | |
3i Group plc | | | 246 | | | | 3,985 | |
| | | | | | | | |
| | | | | | | | |
COMMON STOCKS
(Continued) | | Shares | | | Value | |
Health Care – 4.0% | |
AstraZeneca plc | | | 106 | | | $ | 12,687 | |
| | | | | | | | |
| |
Materials – 1.3% | |
Anglo American plc | | | 107 | | | | 4,255 | |
| | | | | | | | |
| |
Total United Kingdom – 9.2% | | | $ | 29,069 | |
United States | |
| |
Consumer Discretionary – 1.3% | |
V.F. Corp. | | | 50 | | | | 4,132 | |
| | | | | | | | |
| |
Consumer Staples – 6.9% | |
Philip Morris International, Inc. | | | 93 | | | | 9,255 | |
Procter & Gamble Co. (The) | | | 60 | | | | 8,154 | |
Sysco Corp. | | | 56 | | | | 4,376 | |
| | | | | | | | |
| | | | | | | 21,785 | |
| | | | | | | | |
| |
Energy – 2.5% | |
ConocoPhillips | | | 128 | | | | 7,769 | |
| | | | | | | | |
| |
Financials – 7.9% | |
Bank of America Corp. | | | 283 | | | | 11,664 | |
Citigroup, Inc. | | | 83 | | | | 5,842 | |
Morgan Stanley | | | 81 | | | | 7,390 | |
| | | | | | | | |
| | | | | | | 24,896 | |
| | | | | | | | |
| |
Health Care – 4.7% | |
Amgen, Inc. | | | 25 | | | | 6,097 | |
CVS Caremark Corp. | | | 105 | | | | 8,764 | |
| | | | | | | | |
| | | | | | | 14,861 | |
| | | | | | | | |
| |
Industrials – 5.4% | |
Eaton Corp. | | | 55 | | | | 8,081 | |
Raytheon Technologies Corp. | | | 102 | | | | 8,662 | |
| | | | | | | | |
| | | | | | | 16,743 | |
| | | | | | | | |
| |
Information Technology – 2.7% | |
Cisco Systems, Inc. | | | 158 | | | | 8,364 | |
| | | | | | | | |
| |
Materials – 1.3% | |
Eastman Chemical Co. | | | 34 | | | | 3,974 | |
| | | | | | | | |
| |
Utilities – 2.9% | |
Exelon Corp. | | | 107 | | | | 4,728 | |
Public Service Enterprise Group, Inc. | | | 74 | | | | 4,394 | |
| | | | | | | | |
| | | | | | | 9,122 | |
| | | | | | | | |
| |
Total United States – 35.6% | | | $ | 111,646 | |
| |
TOTAL COMMON STOCKS – 96.1% | | | $ | 302,147 | |
(Cost: $249,959) | | | | | | | | |
| | |
| PREFERRED STOCKS | | | | | | |
Germany | |
| |
Consumer Discretionary – 2.5% | |
Volkswagen AG, 2.260% | | | 31 | | | | 7,826 | |
| | | | | | | | |
| |
Total Germany – 2.5% | | | $ | 7,826 | |
| |
TOTAL PREFERRED STOCKS – 2.5% | | | $ | 7,826 | |
(Cost: $5,376) | | | | | | | | |
| | | | | | |
| 22 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP GLOBAL EQUITY INCOME (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| SHORT-TERM SECURITIES | | Shares | | | Value | |
Money Market Funds (B) – 1.3% | |
State Street Institutional U.S. Government Money Market Fund – Premier Class | | | | | | | | |
0.030% | | | 3,261 | | | $ | 3,261 | |
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares | | | | | | | | |
0.010% (C) | | | 788 | | | | 788 | |
| | | | | | | | |
| | | | | | | 4,049 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 1.3% | | | $ | 4,049 | |
(Cost: $4,049) | | | | | | | | |
| |
TOTAL INVESTMENT
SECURITIES – 99.9% | | | $ | 314,022 | |
(Cost: $259,384) | | | | | | | | |
| |
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.1% | | | | 307 | |
| |
NET ASSETS – 100.0% | | | $ | 314,329 | |
Notes to Schedule of Investments
| (A) | All or a portion of securities with an aggregate value of $7,445 are on loan. |
| (B) | No dividends were paid during the preceding 12 months. |
| (C) | Rate shown is the annualized 7-day yield at June 30, 2021. |
| (D) | Investment made with cash collateral received from securities on loan. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 302,147 | | | $ | — | | | $ | — | |
Preferred Stocks | | | 7,826 | | | | — | | | | — | |
Short-Term Securities | | | 4,049 | | | | — | | | | — | |
Total | | $ | 314,022 | | | $ | — | | | $ | — | |
Market Sector Diversification
| | | | |
(as a % of net assets) | | | | |
Financials | | | 24.7% | |
Health Care | | | 13.0% | |
Industrials | | | 12.6% | |
Information Technology | | | 11.9% | |
Consumer Staples | | | 9.5% | |
Utilities | | | 8.9% | |
Energy | | | 6.2% | |
Consumer Discretionary | | | 5.2% | |
Materials | | | 4.0% | |
Communication Services | | | 2.6% | |
Other+ | | | 1.4% | |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 23 | |
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP GLOBAL GROWTH(a) |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Stocks | | | 99.6% | |
Information Technology | | | 26.5% | |
Consumer Discretionary | | | 19.1% | |
Financials | | | 15.0% | |
Industrials | | | 14.1% | |
Health Care | | | 10.7% | |
Communication Services | | | 7.4% | |
Energy | | | 4.7% | |
Consumer Staples | | | 2.1% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | | | 0.4% | |
Country Weightings
| | | | |
North America | | | 63.2% | |
United States | | | 61.3% | |
Other North America | | | 1.9% | |
Europe | | | 24.4% | |
United Kingdom | | | 7.4% | |
France | | | 6.5% | |
Switzerland | | | 3.6% | |
Germany | | | 3.5% | |
Other Europe | | | 3.4% | |
Pacific Basin | | | 11.6% | |
China | | | 5.2% | |
Other Pacific Basin | | | 6.4% | |
South America | | | 0.4% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | | | 0.4% | |
Top 10 Equity Holdings
| | | | | | |
| | | |
| Company | | Country | | Sector | | Industry |
Amazon.com, Inc. | | United States | | Consumer Discretionary | | Internet & Direct Marketing Retail |
Microsoft Corp. | | United States | | Information Technology | | Systems Software |
Apple, Inc. | | United States | | Information Technology | | Technology Hardware, Storage & Peripherals |
PayPal, Inc. | | United States | | Information Technology | | Data Processing & Outsourced Services |
Airbus SE | | France | | Industrials | | Aerospace & Defense |
Schneider Electric S.A. | | France | | Industrials | | Electrical Components & Equipment |
Intuit, Inc. | | United States | | Information Technology | | Application Software |
Ferguson plc | | Switzerland | | Industrials | | Trading Companies & Distributors |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | | Taiwan | | Information Technology | | Semiconductors |
Ferrari N.V. | | Italy | | Consumer Discretionary | | Automobile Manufacturers |
See your advisor or www.ivyinvestments.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.
(a)Effective July 1, 2021, the name of Ivy VIP Global Growth changed to Delaware Ivy VIP Global Growth.
| | | | | | |
| 24 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP GLOBAL GROWTH (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS | | Shares | | | Value | |
Brazil | |
| |
Consumer Discretionary – 0.4% | |
Magazine Luiza S.A. | | | 159 | | | $ | 676 | |
| | | | | | | | |
| |
Total Brazil – 0.4% | | | $ | 676 | |
Canada | |
| |
Energy – 1.9% | |
Canadian Natural Resources Ltd. | | | 83 | | | | 3,019 | |
| | | | | | | | |
| |
Total Canada – 1.9% | | | $ | 3,019 | |
China | |
| |
Communication Services – 1.6% | |
Tencent Holdings Ltd. | | | 35 | | | | 2,595 | |
| | | | | | | | |
| |
Consumer Discretionary – 2.0% | |
Alibaba Group Holding Ltd. ADR (A) | | | 14 | | | | 3,274 | |
| | | | | | | | |
| |
Financials – 1.6% | |
Ping An Insurance (Group) Co. of China Ltd., H Shares | | | 265 | | | | 2,595 | |
| | | | | | | | |
| |
Total China – 5.2% | | | $ | 8,464 | |
France | |
| |
Consumer Discretionary – 0.9% | |
LVMH Moet Hennessy – Louis Vuitton | | | 2 | | | | 1,475 | |
| | | | | | | | |
| |
Industrials – 5.6% | |
Airbus SE | | | 37 | | | | 4,701 | |
Schneider Electric S.A. | | | 28 | | | | 4,330 | |
| | | | | | | | |
| | | | | | | 9,031 | |
| | | | | | | | |
| |
Total France – 6.5% | | | $ | 10,506 | |
Germany | |
| |
Consumer Discretionary – 0.1% | |
AUTO1 Group SE (A) | | | 3 | | | | 111 | |
| | | | | | | | |
| |
Financials – 1.2% | |
Deutsche Boerse AG | | | 11 | | | | 1,978 | |
| | | | | | | | |
| |
Information Technology – 1.3% | |
Infineon Technologies AG | | | 55 | | | | 2,191 | |
| | | | | | | | |
| |
Total Germany – 2.6% | | | $ | 4,280 | |
India | |
| |
Energy – 1.3% | |
Reliance Industries Ltd. | | | 76 | | | | 2,150 | |
| | | | | | | | |
| |
Total India – 1.3% | | | $ | 2,150 | |
Italy | |
| |
Consumer Discretionary – 2.5% | |
Ferrari N.V. | | | 20 | | | | 4,052 | |
| | | | | | | | |
| |
Total Italy – 2.5% | | | $ | 4,052 | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Japan | |
| |
Financials – 1.5% | |
ORIX Corp. | | | 147 | | | $ | 2,480 | |
| | | | | | | | |
| |
Industrials – 1.0% | |
Recruit Holdings Co. Ltd. | | | 34 | | | | 1,659 | |
| | | | | | | | |
| |
Total Japan – 2.5% | | | $ | 4,139 | |
Netherlands | |
| |
Health Care – 0.9% | |
Koninklijke Philips Electronics N.V., Ordinary Shares | | | 29 | | | | 1,436 | |
| | | | | | | | |
| |
Total Netherlands – 0.9% | | | $ | 1,436 | |
Switzerland | |
| |
Health Care – 1.0% | |
Alcon, Inc. | | | 23 | | | | 1,619 | |
| | | | | | | | |
| |
Industrials – 2.6% | |
Ferguson plc | | | 30 | | | | 4,217 | |
| | | | | | | | |
| |
Total Switzerland – 3.6% | | | $ | 5,836 | |
Taiwan | |
| |
Information Technology – 2.6% | |
Taiwan Semiconductor Manufacturing Co. Ltd. ADR | | | 35 | | | | 4,166 | |
| | | | | | | | |
| |
Total Taiwan – 2.6% | | | $ | 4,166 | |
United Kingdom | |
| |
Communication Services – 1.8% | |
WPP Group plc | | | 218 | | | | 2,941 | |
| | | | | | | | |
| |
Consumer Discretionary – 1.7% | |
Aptiv plc (A) | | | 18 | | | | 2,837 | |
| | | | | | | | |
| |
Consumer Staples – 2.1% | |
Diageo plc | | | 39 | | | | 1,880 | |
Unilever plc | | | 26 | | | | 1,539 | |
| | | | | | | | |
| | | | | | | 3,419 | |
| | | | | | | | |
| |
Health Care – 1.8% | |
AstraZeneca plc | | | 16 | | | | 1,888 | |
AstraZeneca plc ADR (B) | | | 18 | | | | 1,070 | |
| | | | | | | | |
| | | | | | | 2,958 | |
| | | | | | | | |
| |
Total United Kingdom – 7.4% | | | $ | 12,155 | |
United States | |
| |
Communication Services – 4.0% | |
Alphabet, Inc., Class A (A) | | | 1 | | | | 2,024 | |
Facebook, Inc., Class A (A) | | | 8 | | | | 2,641 | |
Pinterest, Inc., Class A (A) | | | 22 | | | | 1,762 | |
| | | | | | | | |
| | | | | | | 6,427 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Consumer Discretionary – 10.6% | |
Amazon.com, Inc. (A) | | | 2 | | | $ | 7,510 | |
Brinker International, Inc. (A) | | | 14 | | | | 836 | |
Darden Restaurants, Inc. | | | 27 | | | | 3,895 | |
Dollar General Corp. | | | 5 | | | | 1,027 | |
Skechers USA, Inc. (A) | | | 77 | | | | 3,825 | |
| | | | | | | | |
| | | | | | | 17,093 | |
| | | | | | | | |
| |
Energy – 1.5% | |
ConocoPhillips | | | 41 | | | | 2,495 | |
| | | | | | | | |
| |
Financials – 10.7% | |
Citigroup, Inc. | | | 24 | | | | 1,729 | |
CME Group, Inc. | | | 6 | | | | 1,238 | |
Discover Financial Services | | | 25 | | | | 2,996 | |
Goldman Sachs Group, Inc. (The) | | | 9 | | | | 3,453 | |
JPMorgan Chase & Co. | | | 14 | | | | 2,130 | |
Morgan Stanley | | | 40 | | | | 3,674 | |
Pinnacle Financial Partners, Inc. | | | 23 | | | | 2,018 | |
| | | | | | | | |
| | | | | | | 17,238 | |
| | | | | | | | |
| |
Health Care – 7.0% | |
Abbott Laboratories | | | 14 | | | | 1,620 | |
HCA Holdings, Inc. | | | 11 | | | | 2,209 | |
Johnson & Johnson | | | 17 | | | | 2,762 | |
Thermo Fisher Scientific, Inc. | | | 5 | | | | 2,597 | |
UnitedHealth Group, Inc. | | | 5 | | | | 2,121 | |
| | | | | | | | |
| | | | | | | 11,309 | |
| | | | | | | | |
| |
Industrials – 4.9% | |
Eaton Corp. | | | 20 | | | | 3,031 | |
Northrop Grumman Corp. | | | 7 | | | | 2,600 | |
Union Pacific Corp. | | | 10 | | | | 2,261 | |
| | | | | | | | |
| | | | | | | 7,892 | |
| | | | | | | | |
| |
Information Technology – 22.6% | |
Adobe, Inc. (A) | | | 4 | | | | 2,391 | |
Ambarella, Inc. (A) | | | 21 | | | | 2,223 | |
Apple, Inc. | | | 41 | | | | 5,605 | |
Autodesk, Inc. (A) | | | 3 | | | | 868 | |
Fidelity National Information Services, Inc. | | | 19 | | | | 2,635 | |
Intuit, Inc. | | | 9 | | | | 4,320 | |
MasterCard, Inc., Class A | | | 9 | | | | 3,204 | |
Microsoft Corp. | | | 23 | | | | 6,217 | |
PayPal, Inc. (A) | | | 18 | | | | 5,260 | |
Visa, Inc., Class A | | | 17 | | | | 3,911 | |
| | | | | | | | |
| | | | | | | 36,634 | |
| | | | | | | | |
| |
Total United States – 61.3% | | | $ | 99,088 | |
| |
TOTAL COMMON STOCKS – 98.7% | | | $ | 159,967 | |
(Cost: $94,899) | | | | | | | | |
| | |
| PREFERRED STOCKS | | | | | | |
Germany | |
| |
Consumer Discretionary – 0.9% | |
Volkswagen AG, 2.260% | | | 6 | | | | 1,381 | |
| | | | | | | | |
| |
Total Germany – 0.9% | | | $ | 1,381 | |
| |
TOTAL PREFERRED STOCKS – 0.9% | | | $ | 1,381 | |
(Cost: $1,612) | | | | | | | | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 25 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP GLOBAL GROWTH (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| SHORT-TERM SECURITIES | | Shares | | | Value | |
Money Market Funds (C) – 0.2% | |
State Street Institutional U.S. Government Money Market Fund – Premier Class 0.030% | | | 395 | | | $ | 395 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 0.2% | | | $ | 395 | |
(Cost: $395) | |
| |
TOTAL INVESTMENT
SECURITIES – 99.8% | | | $ | 161,743 | |
(Cost: $96,906) | |
| |
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2% | | | | 289 | |
| |
NET ASSETS – 100.0% | | | $ | 162,032 | |
Notes to Schedule of Investments
| (A) | No dividends were paid during the preceding 12 months. |
| (B) | All or a portion of securities with an aggregate value of $1,071 are on loan. |
| (C) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 159,967 | | | $ | — | | | $ | — | |
Preferred Stocks | | | 1,381 | | | | — | | | | — | |
Short-Term Securities | | | 395 | | | | — | | | | — | |
Total | | $ | 161,743 | | | $ | — | | | $ | — | |
The following acronym is used throughout this schedule:
ADR = American Depositary Receipts
Market Sector Diversification
| | | | |
(as a % of net assets) | |
Information Technology | | | 26.5% | |
Consumer Discretionary | | | 19.1% | |
Financials | | | 15.0% | |
Industrials | | | 14.1% | |
Health Care | | | 10.7% | |
Communication Services | | | 7.4% | |
Energy | | | 4.7% | |
Consumer Staples | | | 2.1% | |
Other+ | | | 0.4% | |
+Includes cash and other assets (net of liabilities), and cash equivalents
See Accompanying Notes to Financial Statements.
| | | | | | |
| 26 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP LIMITED-TERM BOND(a) |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Bonds | | | 98.2% | |
Corporate Debt Securities | | | 60.0% | |
United States Government and Government Agency Obligations | | | 36.6% | |
Asset-Backed Securities | | | 1.4% | |
Mortgage-Backed Securities | | | 0.2% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | | | 1.8% | |
Quality Weightings
| | | | |
Investment Grade | | | 89.8% | |
AAA | | | 14.4% | |
AA | | | 12.4% | |
A | | | 17.8% | |
BBB | | | 45.2% | |
Non-Investment Grade | | | 8.4% | |
BB | | | 3.6% | |
Non-rated | | | 4.8% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | | | 1.8% | |
Our preference is to always use ratings obtained from Standard & Poor’s, Moody’s, and Fitch. It is each Portfolio’s general policy to classify such security at the lower rating level if only two ratings are available. If more than two ratings are available and a median exists, the median is used. If more than two ratings exist without a median, the lower of the two middle ratings is used. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
+Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments.
(a)Effective July 1, 2021, the name of Ivy VIP Limited-Term Bond changed to Delaware Ivy VIP Limited-Term Bond.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 27 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP LIMITED-TERM BOND (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| ASSET-BACKED SECURITIES | | | Principal | | | | Value | |
American Airlines Class AA Pass-Through Certificates, Series 2016-2, | | | | | | | | |
3.200%, 6-15-28 | | $ | 787 | | | $ | 802 | |
SBA Tower Trust, Series 2014-2 (GTD by SBA Guarantor LLC and SBA Holdings LLC), | | | | | | | | |
3.869%, 10-8-24 (A) | | | 2,000 | | | | 2,101 | |
SBA Tower Trust, Series 2019-1C (GTD by SBA Guarantor LLC and SBA Holdings LLC), | | | | | | | | |
2.836%, 1-15-25 (A) | | | 1,621 | | | | 1,701 | |
SBA Tower Trust, Series 2020-1 (GTD by SBA Guarantor LLC and SBA Holdings LLC), | | | | | | | | |
1.884%, 1-15-26 (A) | | | 1,155 | | | | 1,169 | |
| | | | | | | | |
| |
TOTAL ASSET-BACKED SECURITIES – 1.4% | | | $ | 5,773 | |
(Cost: $5,734) | |
| | |
| CORPORATE DEBT SECURITIES | | | | | | |
Communication Services | |
| |
Cable & Satellite – 0.8% | |
Charter Communications Operating LLC and Charter Communications Operating Capital Corp., | | | | | | | | |
4.500%, 2-1-24 | | | 2,700 | | | | 2,942 | |
Omnicom Group, Inc. and Omnicom Capital, Inc., | | | | | | | | |
3.650%, 11-1-24 | | | 700 | | | | 761 | |
| | | | | | | | |
| | | | | | | 3,703 | |
| | | | | | | | |
| |
Integrated Telecommunication Services – 2.7% | |
AT&T, Inc.: | | | | | | | | |
4.125%, 2-17-26 | | | 1,500 | | | | 1,687 | |
1.700%, 3-25-26 | | | 1,350 | | | | 1,365 | |
2.950%, 7-15-26 | | | 1,250 | | | | 1,345 | |
Qwest Corp., | | | | | | | | |
6.750%, 12-1-21 | | | 1,386 | | | | 1,420 | |
Sprint Corp., | | | | | | | | |
7.875%, 9-15-23 | | | 1,721 | | | | 1,957 | |
Verizon Communications, Inc.: | | | | | | | | |
1.450%, 3-20-26 | | | 800 | | | | 807 | |
3.000%, 3-22-27 | | | 3,020 | | | | 3,254 | |
| | | | | | | | |
| | | | | | | 11,835 | |
| | | | | | | | |
| |
Movies & Entertainment – 1.0% | |
Netflix, Inc.: | | | | | | | | |
5.500%, 2-15-22 | | | 1,310 | | | | 1,347 | |
5.875%, 2-15-25 | | | 1,250 | | | | 1,447 | |
TWDC Enterprises 18 Corp., | | | | | | | | |
7.550%, 7-15-93 | | | 1,350 | | | | 1,564 | |
| | | | | | | | |
| | | | | | | 4,358 | |
| | | | | | | | |
| |
Publishing – 0.3% | |
| |
Thomson Reuters Corp., | |
4.300%, 11-23-23 | | | 1,269 | | | | 1,368 | |
| | | | | | | | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Wireless Telecommunication Service – 1.9% | |
Crown Castle Towers LLC: | | | | | | | | |
3.222%, 5-15-22 (A) | | $ | 4,300 | | | $ | 4,309 | |
3.720%, 7-15-23 (A) | | | 745 | | | | 769 | |
3.663%, 5-15-25 (A) | | | 950 | | | | 1,015 | |
Sprint Spectrum L.P., | | | | | | | | |
3.360%, 9-20-21 (A) | | | 139 | | | | 140 | |
T-Mobile USA, Inc., | | | | | | | | |
3.500%, 4-15-25 | | | 2,000 | | | | 2,173 | |
| | | | | | | | |
| | | | | | | 8,406 | |
| | | | | | | | |
| |
Total Communication Services – 6.7% | | | | 29,670 | |
Consumer Discretionary | |
| |
Apparel, Accessories & Luxury Goods – 0.4% | |
PVH Corp., | | | | | | | | |
4.625%, 7-10-25 | | | 1,500 | | | | 1,675 | |
| | | | | | | | |
| |
Automobile Manufacturers – 1.0% | |
General Motors Co., | | | | | | | | |
4.875%, 10-2-23 | | | 1,000 | | | | 1,090 | |
Nissan Motor Co. Ltd., | | | | | | | | |
3.043%, 9-15-23 (A) | | | 1,250 | | | | 1,304 | |
Volkswagen Group of America, Inc., | | | | | | | | |
0.875%, 11-22-23 (A) | | | 1,850 | | | | 1,856 | |
| | | | | | | | |
| | | | | | | 4,250 | |
| | | | | | | | |
| |
Automotive Retail – 0.4% | |
7-Eleven, Inc., | | | | | | | | |
0.800%, 2-10-24 (A) | | | 1,000 | | | | 998 | |
AutoNation, Inc., | | | | | | | | |
3.500%, 11-15-24 | | | 525 | | | | 566 | |
| | | | | | | | |
| | | | | | | 1,564 | |
| | | | | | | | |
| |
Casinos & Gaming – 0.2% | |
Genting New York LLC and Genny Capital, Inc., | | | | | | | | |
3.300%, 2-15-26 (A) | | | 725 | | | | 733 | |
GLP Capital L.P. and GLP Financing II, Inc., | | | | | | | | |
5.375%, 11-1-23 | | | 280 | | | | 305 | |
| | | | | | | | |
| | | | | | | 1,038 | |
| | | | | | | | |
| |
Department Stores – 0.1% | |
Nordstrom, Inc., | | | | | | | | |
2.300%, 4-8-24 (A) | | | 270 | | | | 271 | |
| | | | | | | | |
| |
Homebuilding – 0.8% | |
D.R. Horton, Inc., | | | | | | | | |
2.600%, 10-15-25 | | | 625 | | | | 659 | |
Lennar Corp.: | | | | | | | | |
4.125%, 1-15-22 | | | 1,000 | | | | 1,012 | |
4.750%, 11-15-22 (B) | | | 2,000 | | | | 2,098 | |
| | | | | | | | |
| | | | | | | 3,769 | |
| | | | | | | | |
| |
Internet & Direct Marketing Retail – 0.2% | |
Expedia Group, Inc.: | | | | | | | | |
3.600%, 12-15-23 | | | 775 | | | | 824 | |
6.250%, 5-1-25 (A) | | | 220 | | | | 256 | |
| | | | | | | | |
| | | | | | | 1,080 | |
| | | | | | | | |
| |
Total Consumer Discretionary – 3.1% | | | | 13,647 | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Consumer Staples | |
| |
Agricultural Products – 0.4% | |
Cargill, Inc., | | | | | | | | |
1.375%, 7-23-23 (A) | | $ | 1,500 | | | $ | 1,529 | |
| | | | | | | | |
| |
Distillers & Vintners – 1.1% | |
Constellation Brands, Inc.: | | | | | | | | |
3.200%, 2-15-23 | | | 2,250 | | | | 2,346 | |
4.250%, 5-1-23 | | | 1,188 | | | | 1,267 | |
Diageo Capital plc (GTD by Diageo plc), | | | | | | | | |
3.500%, 9-18-23 | | | 1,300 | | | | 1,385 | |
| | | | | | | | |
| | | | | | | 4,998 | |
| | | | | | | | |
| |
Food Distributors – 0.7% | |
Sysco Corp.: | | | | | | | | |
5.650%, 4-1-25 | | | 1,500 | | | | 1,739 | |
3.750%, 10-1-25 | | | 1,350 | | | | 1,487 | |
| | | | | | | | |
| | | | | | | 3,226 | |
| | | | | | | | |
| |
Household Products – 0.2% | |
Procter & Gamble Co. (The), | | | | | | | | |
1.000%, 4-23-26 | | | 750 | | | | 756 | |
| | | | | | | | |
| |
Packaged Foods & Meats – 0.8% | |
Campbell Soup Co., | | | | | | | | |
3.950%, 3-15-25 | | | 1,025 | | | | 1,131 | |
Conagra Brands, Inc., | | | | | | | | |
1.375%, 11-1-27 | | | 955 | | | | 933 | |
McCormick & Co., Inc.: | | | | | | | | |
3.500%, 9-1-23 | | | 475 | | | | 502 | |
0.900%, 2-15-26 | | | 1,025 | | | | 1,008 | |
| | | | | | | | |
| | | | | | | 3,574 | |
| | | | | | | | |
| |
Soft Drinks – 1.2% | |
Coca-Cola European Partners plc, | | | | | | | | |
0.800%, 5-3-24 (A) | | | 1,500 | | | | 1,496 | |
Coca-Cola Refreshments USA, Inc., | | | | | | | | |
8.000%, 9-15-22 | | | 2,125 | | | | 2,316 | |
Keurig Dr Pepper, Inc.: | | | | | | | | |
4.057%, 5-25-23 | | | 854 | | | | 911 | |
0.750%, 3-15-24 | | | 680 | | | | 681 | |
| | | | | | | | |
| | | | | | | 5,404 | |
| | | | | | | | |
| |
Total Consumer Staples – 4.4% | | | | 19,487 | |
Energy | |
| |
Oil & Gas Exploration & Production – 0.9% | |
Aker BP ASA, | | | | | | | | |
2.875%, 1-15-26 (A) | | | 1,325 | | | | 1,397 | |
EQT Corp., | | | | | | | | |
3.000%, 10-1-22 | | | 1,050 | | | | 1,074 | |
Harvest Operations Corp., | | | | | | | | |
1.000%, 4-26-24 (A) | | | 1,400 | | | | 1,401 | |
| | | | | | | | |
| | | | | | | 3,872 | |
| | | | | | | | |
| |
Oil & Gas Refining & Marketing – 0.2% | |
HollyFrontier Corp., | | | | | | | | |
2.625%, 10-1-23 | | | 1,075 | | | | 1,112 | |
| | | | | | | | |
| | | | | | |
| 28 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP LIMITED-TERM BOND (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Oil & Gas Storage & Transportation – 2.6% | |
Cheniere Corpus Christi Holdings LLC, | | | | | | | | |
7.000%, 6-30-24 | | $ | 500 | | | $ | 573 | |
Enbridge, Inc., | | | | | | | | |
2.900%, 7-15-22 | | | 2,470 | | | | 2,530 | |
EQT Midstream Partners L.P., | | | | | | | | |
4.750%, 7-15-23 | | | 506 | | | | 529 | |
Galaxy Pipeline Assets BidCo Ltd., | | | | | | | | |
1.750%, 9-30-27 (A) | | | 1,500 | | | | 1,518 | |
Kinder Morgan Energy Partners L.P., | | | | | | | | |
3.450%, 2-15-23 | | | 1,646 | | | | 1,713 | |
Midwest Connector Capital Co. LLC, | | | | | | | | |
3.625%, 4-1-22 (A) | | | 1,550 | | | | 1,576 | |
Plains All American Pipeline L.P. and PAA Finance Corp., | | | | | | | | |
3.850%, 10-15-23 | | | 1,800 | | | | 1,909 | |
Sunoco Logistics Partners Operations L.P. (GTD by Sunoco Logistics Partners L.P.), | | | | | | | | |
4.250%, 4-1-24 | | | 1,132 | | | | 1,221 | |
| | | | | | | | |
| | | | | | | 11,569 | |
| | | | | | | | |
| |
Total Energy – 3.7% | | | | 16,553 | |
Financials | |
| |
Asset Management & Custody Banks – 1.7% | |
Ares Capital Corp.: | | | | | | | | |
3.625%, 1-19-22 | | | 404 | | | | 410 | |
3.500%, 2-10-23 | | | 1,110 | | | | 1,152 | |
4.250%, 3-1-25 | | | 1,379 | | | | 1,488 | |
Brookfield Finance, Inc. (GTD by Brookfield Asset Management, Inc.), | | | | | | | | |
4.000%, 4-1-24 | | | 1,150 | | | | 1,244 | |
Citadel Finance LLC, | | | | | | | | |
3.375%, 3-9-26 (A) | | | 1,783 | | | | 1,789 | |
National Securities Clearing Corp., | | | | | | | | |
1.200%, 4-23-23 (A) | | | 350 | | | | 356 | |
Owl Rock Capital Corp., | | | | | | | | |
3.400%, 7-15-26 | | | 1,300 | | | | 1,356 | |
| | | | | | | | |
| | | | | | | 7,795 | |
| | | | | | | | |
| |
Consumer Finance – 2.8% | |
Ally Financial, Inc.: | | | | | | | | |
1.450%, 10-2-23 | | | 3,060 | | | | 3,107 | |
5.800%, 5-1-25 | | | 2,150 | | | | 2,500 | |
Caterpillar Financial Services Corp., | | | | | | | | |
0.450%, 9-14-23 | | | 1,000 | | | | 1,002 | |
Discover Bank: | | | | | | | | |
2.450%, 9-12-24 | | | 1,850 | | | | 1,937 | |
3.450%, 7-27-26 | | | 2,000 | | | | 2,186 | |
General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.), | | | | | | | | |
5.200%, 3-20-23 | | | 1,000 | | | | 1,077 | |
Hyundai Capital America, | | | | | | | | |
1.250%, 9-18-23 (A) | | | 800 | | | | 808 | |
| | | | | | | | |
| | | | | | | 12,617 | |
| | | | | | | | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Diversified Banks – 3.8% | |
Bank of America Corp.: | | | | | | | | |
4.125%, 1-22-24 | | $ | 1,000 | | | $ | 1,089 | |
0.523%, 6-14-24 | | | 825 | | | | 825 | |
4.200%, 8-26-24 | | | 1,325 | | | | 1,453 | |
4.000%, 1-22-25 | | | 1,000 | | | | 1,098 | |
Mitsubishi UFJ Financial Group, Inc., | | | | | | | | |
0.848%, 9-15-24 | | | 1,500 | | | | 1,509 | |
Mizuho Financial Group, Inc., | | | | | | | | |
0.849%, 9-8-24 | | | 1,800 | | | | 1,810 | |
National Bank of Canada, | | | | | | | | |
2.100%, 2-1-23 | | | 1,400 | | | | 1,437 | |
Sumitomo Mitsui Trust Bank Ltd., | | | | | | | | |
0.800%, 9-12-23 (A) | | | 1,300 | | | | 1,309 | |
Svenska Handelsbanken AB, | | | | | | | | |
0.625%, 6-30-23 (A) | | | 1,500 | | | | 1,507 | |
Synchrony Bank, | | | | | | | | |
3.000%, 6-15-22 | | | 1,500 | | | | 1,534 | |
U.S. Bancorp, | | | | | | | | |
2.375%, 7-22-26 | | | 844 | | | | 894 | |
Wells Fargo & Co., | | | | | | | | |
3.000%, 4-22-26 | | | 2,300 | | | | 2,474 | |
| | | | | | | | |
| | | | | | | 16,939 | |
| | | | | | | | |
| |
Financial Exchanges & Data – 0.8% | |
Intercontinental Exchange, Inc.: | | | | | | | | |
0.700%, 6-15-23 | | | 1,300 | | | | 1,306 | |
3.450%, 9-21-23 (C) | | | 2,080 | | | | 2,210 | |
| | | | | | | | |
| | | | | | | 3,516 | |
| | | | | | | | |
| |
Investment Banking & Brokerage – 3.3% | |
Charles Schwab Corp. (The), | | | | | | | | |
0.900%, 3-11-26 | | | 2,600 | | | | 2,582 | |
E*TRADE Financial Corp., | | | | | | | | |
2.950%, 8-24-22 | | | 1,908 | | | | 1,960 | |
Goldman Sachs Group, Inc. (The): | | | | | | | | |
3.850%, 7-8-24 | | | 1,500 | | | | 1,623 | |
4.250%, 10-21-25 | | | 2,500 | | | | 2,797 | |
0.870%, 12-9-26 | | | 1,300 | | | | 1,298 | |
Morgan Stanley: | | | | | | | | |
3.700%, 10-23-24 | | | 1,350 | | | | 1,473 | |
3.125%, 7-27-26 | | | 2,257 | | | | 2,448 | |
Morgan Stanley (3-Month U.S. LIBOR plus 110 bps), | | | | | | | | |
4.000%, 5-31-23 (D) | | | 300 | | | | 304 | |
| | | | | | | | |
| | | | | | | 14,485 | |
| | | | | | | | |
| |
Life & Health Insurance – 2.1% | |
Aflac, Inc., | | | | | | | | |
1.125%, 3-15-26 | | | 1,350 | | | | 1,354 | |
MassMutual Global Funding II, | | | | | | | | |
0.600%, 4-12-24 (A) | | | 1,900 | | | | 1,901 | |
Metropolitan Life Global Funding I, | | | | | | | | |
0.900%, 6-8-23 (A) | | | 1,250 | | | | 1,263 | |
Principal Life Global Funding II, | | | | | | | | |
0.750%, 4-12-24 (A) | | | 800 | | | | 801 | |
Protective Life Global Funding: | | | | | | | | |
0.631%, 10-13-23 (A) | | | 750 | | | | 752 | |
1.618%, 4-15-26 (A) | | | 1,350 | | | | 1,369 | |
Reliance Standard Life Insurance II, | | | | | | | | |
2.150%, 1-21-23 (A) | | | 1,400 | | | | 1,433 | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Life & Health Insurance (Continued) | |
Security Benefit Global Funding, | | | | | | | | |
1.250%, 5-17-24 (A) | | $ | 275 | | | $ | 275 | |
| | | | | | | | |
| | | | | | | 9,148 | |
| | | | | | | | |
| |
Multi-Line Insurance – 0.7% | |
Athene Global Funding: | | | | | | | | |
2.800%, 5-26-23 (A) | | | 500 | | | | 521 | |
0.950%, 1-8-24 (A) | | | 1,750 | | | | 1,752 | |
1.608%, 6-29-26 (A) | | | 1,000 | | | | 1,001 | |
| | | | | | | | |
| | | | | | | 3,274 | |
| | | | | | | | |
| |
Other Diversified Financial Services – 3.1% | |
Citigroup, Inc.: | | | | | | | | |
2.750%, 4-25-22 | | | 2,000 | | | | 2,037 | |
3.500%, 5-15-23 | | | 1,510 | | | | 1,592 | |
0.776%, 10-30-24 | | | 1,300 | | | | 1,304 | |
5.500%, 9-13-25 | | | 1,000 | | | | 1,166 | |
JPMorgan Chase & Co.: | | | | | | | | |
3.875%, 9-10-24 | | | 847 | | | | 924 | |
0.653%, 9-16-24 | | | 1,000 | | | | 1,001 | |
1.045%, 11-19-26 | | | 3,900 | | | | 3,852 | |
1.578%, 4-22-27 | | | 800 | | | | 805 | |
USAA Capital Corp., | | | | | | | | |
1.500%, 5-1-23 (A) | | | 1,000 | | | | 1,020 | |
| | | | | | | | |
| | | | | | | 13,701 | |
| | | | | | | | |
| |
Regional Banks – 0.5% | |
First Horizon National Corp., | | | | | | | | |
3.550%, 5-26-23 | | | 2,000 | | | | 2,105 | |
| | | | | | | | |
| |
Specialized Finance – 1.2% | |
AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust: | | | | | | | | |
3.300%, 1-23-23 | | | 850 | | | | 882 | |
4.500%, 9-15-23 | | | 1,000 | | | | 1,073 | |
Corporacion Andina de Fomento, | | | | | | | | |
2.375%, 5-12-23 | | | 500 | | | | 517 | |
Fidelity National Financial, Inc., | | | | | | | | |
5.500%, 9-1-22 | | | 1,290 | | | | 1,362 | |
FS KKR Capital Corp., | | | | | | | | |
4.750%, 5-15-22 | | | 820 | | | | 844 | |
LSEGA Financing plc, | | | | | | | | |
0.650%, 4-6-24 (A) | | | 540 | | | | 540 | |
| | | | | | | | |
| | | | | | | 5,218 | |
| | | | | | | | |
| |
Total Financials – 20.0% | | | | 88,798 | |
Health Care | |
| |
Health Care Equipment – 0.6% | |
Becton Dickinson & Co., | | | | | | | | |
3.734%, 12-15-24 | | | 1,350 | | | | 1,471 | |
Boston Scientific Corp., | | | | | | | | |
3.850%, 5-15-25 | | | 875 | | | | 967 | |
| | | | | | | | |
| | | | | | | 2,438 | |
| | | | | | | | |
| |
Health Care Facilities – 0.5% | |
HCA, Inc. (GTD by HCA Holdings, Inc.): | | | | | | | | |
4.750%, 5-1-23 | | | 656 | | | | 703 | |
5.875%, 5-1-23 | | | 1,469 | | | | 1,598 | |
| | | | | | | | |
| | | | | | | 2,301 | |
| | | | | | | | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 29 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP LIMITED-TERM BOND (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Health Care Services – 0.3% | |
Highmark, Inc., | | | | | | | | |
1.450%, 5-10-26 (A) | | $ | 1,375 | | | $ | 1,372 | |
| | | | | | | | |
| |
Managed Health Care – 0.7% | |
Anthem, Inc., | | | | | | | | |
3.350%, 12-1-24 | | | 2,000 | | | | 2,159 | |
UnitedHealth Group, Inc., | | | | | | | | |
1.150%, 5-15-26 | | | 1,100 | | | | 1,101 | |
| | | | | | | | |
| | | | | | | 3,260 | |
| | | | | | | | |
| |
Pharmaceuticals – 1.8% | |
AbbVie, Inc., | | | | | | | | |
2.300%, 11-21-22 | | | 1,400 | | | | 1,437 | |
Bayer U.S. Finance II LLC, | | | | | | | | |
2.850%, 4-15-25 (A) | | | 1,260 | | | | 1,311 | |
Elanco Animal Health, Inc., | | | | | | | | |
5.022%, 8-28-23 (B) | | | 534 | | | | 576 | |
Fresenius Medical Care U.S. Finance III, Inc., | | | | | | | | |
1.875%, 12-1-26 (A) | | | 1,175 | | | | 1,176 | |
Royalty Pharma plc (GTD by Royalty Pharma Holdings Ltd.): | | | | | | | | |
0.750%, 9-2-23 (A) | | | 1,800 | | | | 1,806 | |
1.200%, 9-2-25 (A) | | | 1,647 | | | | 1,634 | |
| | | | | | | | |
| | | | | | | 7,940 | |
| | | | | | | | |
| |
Total Health Care – 3.9% | | | | 17,311 | |
| |
Industrials | |
| |
Aerospace & Defense – 2.6% | |
BAE Systems plc, | | | | | | | | |
4.750%, 10-11-21 (A) | | | 1,170 | | | | 1,184 | |
Boeing Co. (The): | | | | | | | | |
2.200%, 10-30-22 | | | 2,000 | | | | 2,035 | |
2.800%, 3-1-23 | | | 2,250 | | | | 2,327 | |
Harris Corp., | | | | | | | | |
3.832%, 4-27-25 | | | 775 | | | | 849 | |
Leidos, Inc. (GTD by Leidos Holdings, Inc.), | | | | | | | | |
2.950%, 5-15-23 | | | 1,870 | | | | 1,950 | |
Park Aerospace Holdings Ltd.: | | | | | | | | |
5.250%, 8-15-22 (A) | | | 250 | | | | 261 | |
5.500%, 2-15-24 (A) | | | 1,300 | | | | 1,430 | |
Raytheon Technologies Corp., | | | | | | | | |
2.500%, 12-15-22 | | | 1,500 | | | | 1,539 | |
| | | | | | | | |
| | | | | | | 11,575 | |
| | | | | | | | |
| |
Agricultural & Farm Machinery – 0.4% | |
CNH Industrial Capital LLC (GTD by CNH Industrial Capital America LLC and New Holland Credit Co. LLC), | | | | | | | | |
1.950%, 7-2-23 | | | 1,550 | | | | 1,589 | |
| | | | | | | | |
| |
Airlines – 0.2% | |
Aviation Capital Group LLC, | | | | | | | | |
4.375%, 1-30-24 (A) | | | 1,000 | | | | 1,073 | |
| | | | | | | | |
| |
Diversified Support Services – 0.3% | |
Genpact Luxembourg S.a.r.l. and Genpact USA, Inc., | | | | | | | | |
1.750%, 4-10-26 | | | 1,100 | | | | 1,103 | |
| | | | | | | | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Electrical Components & Equipment – 0.2% | |
Vontier Corp., | | | | | | | | |
1.800%, 4-1-26 (A) | | $ | 815 | | | $ | 812 | |
| | | | | | | | |
| |
Environmental & Facilities Services – 1.4% | |
Republic Services, Inc., | | | | | | | | |
0.875%, 11-15-25 | | | 1,800 | | | | 1,785 | |
Waste Management, Inc. (GTD by Waste Management Holdings, Inc.): | | | | | | | | |
2.400%, 5-15-23 | | | 2,413 | | | | 2,497 | |
0.750%, 11-15-25 | | | 1,955 | | | | 1,937 | |
| | | | | | | | |
| | | | | | | 6,219 | |
| | | | | | | | |
| |
Industrial Conglomerates – 0.1% | |
General Electric Capital Corp., | | | | | | | | |
5.012%, 1-1-24 | | | 534 | | | | 559 | |
| | | | | | | | |
| |
Industrial Machinery – 0.3% | |
Roper Technologies, Inc., | | | | | | | | |
1.000%, 9-15-25 | | | 1,400 | | | | 1,395 | |
| | | | | | | | |
| |
Railroads – 0.3% | |
Canadian National Railway Co., | | | | | | | | |
2.750%, 3-1-26 | | | 1,400 | | | | 1,503 | |
| | | | | | | | |
| |
Research & Consulting Services – 0.4% | |
IHS Markit Ltd., | | | | | | | | |
5.000%, 11-1-22 (A) | | | 1,690 | | | | 1,773 | |
| | | | | | | | |
| |
Total Industrials – 6.2% | | | | 27,601 | |
| |
Information Technology | |
| |
Application Software – 0.8% | |
Infor, Inc., | | | | | | | | |
1.450%, 7-15-23 (A) | | | 877 | | | | 887 | |
Nuance Communications, Inc., | | | | | | | | |
5.625%, 12-15-26 | | | 1,455 | | | | 1,520 | |
NXP B.V. and NXP Funding LLC, | | | | | | | | |
3.875%, 6-18-26 (A) | | | 1,000 | | | | 1,109 | |
| | | | | | | | |
| | | | | | | 3,516 | |
| | | | | | | | |
| |
Data Processing & Outsourced Services – 1.3% | |
Fidelity National Information Services, Inc., | | | | | | | | |
0.600%, 3-1-24 | | | 1,365 | | | | 1,364 | |
Global Payments, Inc., | | | | | | | | |
2.650%, 2-15-25 | | | 1,875 | | | | 1,977 | |
PayPal Holdings, Inc., | | | | | | | | |
1.650%, 6-1-25 | | | 2,250 | | | | 2,311 | |
| | | | | | | | |
| | | | | | | 5,652 | |
| | | | | | | | |
| |
Internet Services & Infrastructure – 0.1% | |
Baidu, Inc., | | | | | | | | |
1.720%, 4-9-26 | | | 379 | | | | 383 | |
| | | | | | | | |
| |
Semiconductors – 1.2% | |
Broadcom Corp. and Broadcom Cayman Finance Ltd. (GTD by Broadcom Ltd.), | | | | | | | | |
3.469%, 4-15-34 (A) | | | 450 | | | | 476 | |
Maxim Integrated Products, Inc., | | | | | | | | |
3.375%, 3-15-23 | | | 225 | | | | 235 | |
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Semiconductors (Continued) | |
Microchip Technology, Inc., | | | | | | | | |
0.983%, 9-1-24 (A) | | $ | 1,850 | | | $ | 1,842 | |
TSMC Global Ltd., | | | | | | | | |
1.250%, 4-23-26 (A) | | | 1,500 | | | | 1,488 | |
Xilinx, Inc., | | | | | | | | |
2.950%, 6-1-24 | | | 1,325 | | | | 1,402 | |
| | | | | | | | |
| | | | | | | 5,443 | |
| | | | | | | | |
| |
Systems Software – 0.2% | |
Fortinet, Inc., | | | | | | | | |
1.000%, 3-15-26 | | | 1,095 | | | | 1,085 | |
| | | | | | | | |
| |
Technology Hardware, Storage & Peripherals – 0.8% | |
Apple, Inc., | | | | | | | | |
3.000%, 2-9-24 | | | 2,650 | | | | 2,813 | |
Seagate HDD Cayman (GTD by Seagate Technology plc), | | | | | | | | |
4.750%, 6-1-23 | | | 650 | | | | 694 | |
| | | | | | | | |
| | | | | | | 3,507 | |
| | | | | | | | |
| |
Total Information Technology – 4.4% | | | | 19,586 | |
| |
Materials | |
| |
Construction Materials – 0.2% | |
Martin Marietta Materials, Inc., | | | | | | | | |
0.650%, 7-15-23 | | | 700 | | | | 702 | |
| | | | | | | | |
| |
Diversified Chemicals – 0.2% | |
DowDuPont, Inc., | | | | | | | | |
4.205%, 11-15-23 | | | 800 | | | | 867 | |
| | | | | | | | |
| |
Fertilizers & Agricultural Chemicals – 0.3% | |
Mosaic Co. (The): | | | | | | | | |
3.250%, 11-15-22 | | | 774 | | | | 801 | |
4.250%, 11-15-23 | | | 250 | | | | 269 | |
Nutrien Ltd., | | | | | | | | |
1.900%, 5-13-23 | | | 500 | | | | 512 | |
| | | | | | | | |
| | | | | | | 1,582 | |
| | | | | | | | |
| | |
Paper Packaging – 0.3% | | | | | | | | |
Graphic Packaging International LLC (GTD by Graphic Packaging International Partners LLC and Field Container Queretaro (USA) LLC), | | | | | | | | |
0.821%, 4-15-24 (A) | | | 1,350 | | | | 1,341 | |
| | | | | | | | |
| |
Total Materials – 1.0% | | | | 4,492 | |
Real Estate | |
| |
Industrial REITs – 0.3% | |
Avolon Holdings Funding Ltd.: | | | | | | | | |
3.625%, 5-1-22 (A) | | | 500 | | | | 512 | |
4.250%, 4-15-26 (A) | | | 800 | | | | 867 | |
| | | | | | | | |
| | | | | | | 1,379 | |
| | | | | | | | |
| |
Office REITs – 0.1% | |
Vornado Realty L.P., | | | | | | | | |
2.150%, 6-1-26 | | | 400 | | | | 406 | |
| | | | | | | | |
| | | | | | |
| 30 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP LIMITED-TERM BOND (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
CORPORATE DEBT SECURITIES
(Continued) | | Principal | | | Value | |
Specialized REITs – 2.6% | |
American Tower Corp.: | | | | | | | | |
3.070%, 3-15-23 (A) | | $ | 3,545 | | | $ | 3,562 | |
0.600%, 1-15-24 | | | 1,300 | | | | 1,299 | |
1.300%, 9-15-25 | | | 795 | | | | 798 | |
Crown Castle International Corp.: | | | | | | | | |
3.150%, 7-15-23 | | | 400 | | | | 420 | |
1.050%, 7-15-26 | | | 1,650 | | | | 1,613 | |
CyrusOne L.P. and CyrusOne Finance Corp. (GTD by CyrusOne, Inc.), | | | | | | | | |
2.900%, 11-15-24 | | | 1,000 | | | | 1,057 | |
Equinix, Inc.: | | | | | | | | |
2.625%, 11-18-24 | | | 1,112 | | | | 1,171 | |
1.000%, 9-15-25 | | | 1,325 | | | | 1,317 | |
| | | | | | | | |
| | | | | | | 11,237 | |
| | | | | | | | |
| |
Total Real Estate – 3.0% | | | | 13,022 | |
Utilities | |
| |
Electric Utilities – 3.0% | |
American Transmission Systems, Inc., | | | | | | | | |
5.250%, 1-15-22 (A) | | | 275 | | | | 282 | |
CenterPoint Energy, Inc., | | | | | | | | |
2.500%, 9-1-22 | | | 3,000 | | | | 3,068 | |
Edison International, | | | | | | | | |
3.550%, 11-15-24 | | | 1,300 | | | | 1,383 | |
Evergy, Inc., | | | | | | | | |
5.292%, 6-15-22 (B) | | | 1,154 | | | | 1,192 | |
FirstEnergy Corp., | | | | | | | | |
2.850%, 7-15-22 | | | 1,665 | | | | 1,693 | |
MidAmerican Energy Co., | | | | | | | | |
3.700%, 9-15-23 | | | 1,045 | | | | 1,109 | |
National Rural Utilities Cooperative Finance Corp., | | | | | | | | |
1.000%, 6-15-26 | | | 800 | | | | 793 | |
Southern Co. (The), | | | | | | | | |
0.600%, 2-26-24 | | | 1,365 | | | | 1,362 | |
Virginia Electric and Power Co., Series C, | | | | | | | | |
2.750%, 3-15-23 | | | 2,515 | | | | 2,603 | |
| | | | | | | | |
| | | | | | | 13,485 | |
| | | | | | | | |
| |
Multi-Utilities – 0.6% | |
Dominion Energy Gas Holdings LLC, | | | | | | | | |
3.550%, 11-1-23 | | | 1,235 | | | | 1,309 | |
Pacific Gas and Electric Co. (3-Month U.S. LIBOR plus 137.50 bps), | | | | | | | | |
1.530%, 11-15-21 (D) | | | 1,300 | | | | 1,303 | |
| | | | | | | | |
| | | | | | | 2,612 | |
| | | | | | | | |
| |
Total Utilities – 3.6% | | | | 16,097 | |
| |
TOTAL CORPORATE DEBT
SECURITIES – 60.0% | | | $ | 266,264 | |
(Cost: $263,734) | | | | | |
| | | | | | | | |
| | |
| MORTGAGE-BACKED SECURITIES | | Principal | | | Value | |
Non-Agency REMIC/CMO – 0.2% | |
Wells Fargo Re-REMIC Trust, Series 2013-FRR1, Class AK16, | | | | | | | | |
0.000%, 12-27-43 (A)(E) | | $ | 1,000 | | | $ | 990 | |
| | | | | | | | |
| |
TOTAL MORTGAGE-BACKED
SECURITIES – 0.2% | | | $ | 990 | |
(Cost: $980) | | | | | |
| | |
UNITED STATES GOVERNMENT
AGENCY OBLIGATIONS | | | | | | |
Agency Obligations – 1.0% | |
Federal Home Loan Bank, | | | | | | | | |
2.250%, 7-21-31 | | | 1,640 | | | | 1,641 | |
U.S. Department of Transportation, | | | | | | | | |
6.001%, 12-7-21 (A) | | | 2,500 | | | | 2,579 | |
| | | | | | | | |
| | | | | | | 4,220 | |
| | | | | | | | |
Mortgage-Backed Obligations – 14.5% | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO: | | | | | | | | |
2.057%, 3-25-28 (A) | | | 892 | | | | 869 | |
2.500%, 5-15-44 | | | 367 | | | | 383 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 185 bps), | | | | | | | | |
1.936%, 8-25-25 (A)(D) | | | 1,316 | | | | 1,292 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 205 bps), | | | | | | | | |
2.136%, 6-25-28 (A)(D) | | | 558 | | | | 548 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 215 bps), | | | | | | | | |
2.236%, 1-25-27 (A)(D) | | | 570 | | | | 563 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 220 bps): | | | | | | | | |
2.311%, 7-25-26 (A)(D) | | | 1,193 | | | | 1,193 | |
2.286%, 4-25-29 (A)(D) | | | 773 | | | | 771 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 225 bps), | | | | | | | | |
2.336%, 12-25-29 (A)(D) | | | 1,244 | | | | 1,233 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 230 bps): | | | | | | | | |
2.386%, 8-25-29 (A)(D) | | | 1,608 | | | | 1,610 | |
2.386%, 9-25-29 (A)(D) | | | 806 | | | | 808 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 235 bps), | | | | | | | | |
2.436%, 2-25-26 (A)(D) | | | 2,023 | | | | 2,025 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 245 bps), | | | | | | | | |
2.536%, 11-25-29 (A)(D) | | | 1,300 | | | | 1,297 | |
| | | | | | | | |
UNITED STATES GOVERNMENT
AGENCY OBLIGATIONS (Continued) | | Principal | | | Value | |
Mortgage-Backed Obligations (Continued) | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 250 bps), | | | | | | | | |
2.586%, 11-25-24 (A)(D) | | $ | 421 | | | $ | 419 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 255 bps), | | | | | | | | |
2.636%, 6-25-27 (A)(D) | | | 415 | | | | 412 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 265 bps), | | | | | | | | |
2.736%, 5-25-27 (A)(D) | | | 759 | | | | 765 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 435 bps), | | | | | | | | |
4.436%, 11-25-21 (A)(D) | | | 2,923 | | | | 2,924 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 710 bps), | | | | | | | | |
7.186%, 9-25-22 (A)(D) | | | 759 | | | | 748 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 1-Month U.S. LIBOR), | | | | | | | | |
4.086%, 9-25-22 (A)(D) | | | 359 | | | | 359 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 2-year U.S. Treasury index): | | | | | | | | |
3.497%, 8-25-46 (A)(D) | | | 1,250 | | | | 1,308 | |
3.715%, 11-25-47 (A)(D) | | | 1,500 | | | | 1,503 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 3-year U.S. Treasury index): | | | | | | | | |
3.511%, 7-25-22 (A)(D) | | | 1,720 | | | | 1,765 | |
3.745%, 7-25-46 (A)(D) | | | 2,000 | | | | 2,090 | |
4.069%, 12-25-46 (A)(D) | | | 1,270 | | | | 1,355 | |
3.673%, 11-25-47 (A)(D) | | | 5,000 | | | | 5,141 | |
3.641%, 2-25-48 (A)(D) | | | 2,000 | | | | 2,029 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index): | | | | | | | | |
3.704%, 11-25-23 (A)(D) | | | 10,870 | | | | 11,369 | |
4.003%, 5-25-45 (A)(D) | | | 600 | | | | 616 | |
3.667%, 6-25-45 (A)(D) | | | 1,000 | | | | 1,046 | |
3.612%, 8-25-46 (A)(D) | | | 1,009 | | | | 1,064 | |
3.673%, 11-25-47 (A)(D) | | | 2,724 | | | | 2,810 | |
3.641%, 2-25-48 (A)(D) | | | 1,000 | | | | 1,015 | |
3.710%, 6-25-48 (A)(D) | | | 1,170 | | | | 1,266 | |
3.598%, 12-25-49 (A)(D) | | | 600 | | | | 626 | |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 7-year U.S. Treasury index): | | | | | | | | |
3.863%, 6-25-22 (A)(D) | | | 2,000 | | | | 2,046 | |
4.195%, 5-25-25 (A)(D) | | | 225 | | | | 245 | |
3.800%, 11-25-49 (A)(D) | | | 1,900 | | | | 2,039 | |
3.764%, 11-25-50 (A)(D) | | | 5,650 | | | | 6,047 | |
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates, | | | | | | | | |
4.500%, 8-1-30 | | | 327 | | | | 355 | |
Government National Mortgage Association Agency REMIC/CMO, | | | | | | | | |
2.000%, 3-16-42 | | | 462 | | | | 476 | |
| | | | | | | | |
| | | | | | | 64,430 | |
| | | | | | | | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 31 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP LIMITED-TERM BOND (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| | | Principal | | | Value | |
| |
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 15.5% | | | $ | 68,650 | |
(Cost: $66,969) | | | | | | | | |
| | |
UNITED STATES GOVERNMENT
OBLIGATIONS | | | | | | |
Treasury Obligations – 21.1% | |
U.S. Treasury Notes: | | | | | | | | |
2.125%, 12-31-21 | | $ | 3,000 | | | | 3,031 | |
1.500%, 1-31-22 | | | 14,750 | | | | 14,875 | |
1.875%, 2-28-22 | | | 19,000 | | | | 19,229 | |
1.750%, 4-30-22 | | | 13,000 | | | | 13,180 | |
1.750%, 5-31-22 | | | 2,250 | | | | 2,284 | |
2.000%, 7-31-22 | | | 10,000 | | | | 10,206 | |
1.375%, 10-15-22 | | | 1,000 | | | | 1,016 | |
2.375%, 1-31-23 | | | 2,250 | | | | 2,328 | |
2.500%, 3-31-23 | | | 1,000 | | | | 1,040 | |
0.250%, 6-15-23 | | | 10,000 | | | | 10,003 | |
0.125%, 8-15-23 | | | 6,300 | | | | 6,282 | |
0.125%, 12-15-23 | | | 3,000 | | | | 2,985 | |
0.125%, 1-15-24 | | | 3,000 | | | | 2,982 | |
0.375%, 11-30-25 | | | 4,000 | | | | 3,929 | |
| | | | | | | | |
| | | | | | | 93,370 | |
| | | | | | | | |
| | | | | | | | |
UNITED STATES GOVERNMENT
OBLIGATIONS (Continued) | | Principal | | | Value | |
| |
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 21.1% | | | $ | 93,370 | |
(Cost: $92,367) | | | | | | | | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
Commercial Paper(F) – 1.3% | |
General Motors Financial Co., Inc., | | | | | | | | |
0.240%, 7-1-21 | | $ | 4,000 | | | | 4,000 | |
Sonoco Products Co., | | | | | | | | |
0.100%, 7-1-21 | | | 500 | | | | 500 | |
Walgreens Boots Alliance, Inc., | | | | | | | | |
0.130%, 7-1-21 | | | 1,350 | | | | 1,350 | |
| | | | | | | | |
| | | | | | | 5,850 | |
| | | | | | | | |
| |
Master Note – 0.2% | |
Toyota Motor Credit Corp. (1-Week U.S. LIBOR plus 25 bps), | | | | | | | | |
0.340%, 7-7-21 (G) | | | 1,000 | | | | 1,000 | |
| | | | | | | | |
| | | | | | | | |
SHORT-TERM SECURITIES
(Continued) | | Shares | | | Value | |
Money Market Funds (I) – 0.3% | |
Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares | | | | | | | | |
0.010% (H) | | | 1,128 | | | $ | 1,127 | |
State Street Institutional U.S. Government Money Market Fund – Premier Class | | | | | | | | |
0.030% | | | 259 | | | | 259 | |
| | | | | | | | |
| | | | | | | 1,386 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM
SECURITIES – 1.8% | | | $ | 8,236 | |
(Cost: $8,236) | | | | | | | | |
| |
TOTAL INVESTMENT
SECURITIES – 100.0% | | | $ | 443,283 | |
(Cost: $438,020) | | | | | | | | |
| |
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0% | | | | 102 | |
| |
NET ASSETS – 100.0% | | | $ | 443,385 | |
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, 2021 the total value of these securities amounted to $136,919 or 30.9% of net assets. |
| (B) | Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at June 30, 2021. |
| (C) | All or a portion of securities with an aggregate value of $1,098 are on loan. |
| (D) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2021. Description of the reference rate and spread, if applicable, are included in the security description. |
| (F) | Rate shown is the yield to maturity at June 30, 2021. |
| (G) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2021. 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. |
| (H) | Investment made with cash collateral received from securities on loan. |
| (I) | Rate shown is the annualized 7-day yield at June 30, 2021. |
| | The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | — | | | $ | 5,773 | | | $ | — | |
Corporate Debt Securities | | | — | | | | 266,264 | | | | — | |
Mortgage-Backed Securities | | | — | | | | 990 | | | | — | |
United States Government Agency Obligations | | | — | | | | 68,650 | | | | — | |
United States Government Obligations | | | — | | | | 93,370 | | | | — | |
Short-Term Securities | | | 1,386 | | | | 6,850 | | | | — | |
Total | | $ | 1,386 | | | $ | 441,897 | | | $ | — | |
| | | | | | |
| 32 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP LIMITED-TERM BOND (in thousands) |
JUNE 30, 2021 (UNAUDITED)
The following acronyms are used throughout this schedule:
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.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 33 | |
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP SECURIAN REAL ESTATE SECURITIES(a) |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Stocks | | | 99.5% | |
Real Estate | | | 99.5% | |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | | | 0.5% | |
Top 10 Equity Holdings
| | | | |
| | |
| Company | | Sector | | Industry |
ProLogis, Inc. | | Real Estate | | Industrial REITs |
Equinix, Inc. | | Real Estate | | Specialized REITs |
Public Storage, Inc. | | Real Estate | | Specialized REITs |
Welltower, Inc. | | Real Estate | | Health Care REITs |
AvalonBay Communities, Inc. | | Real Estate | | Residential REITs |
Invitation Homes, Inc. | | Real Estate | | Residential REITs |
Ventas, Inc. | | Real Estate | | Health Care REITs |
American Tower Corp., Class A | | Real Estate | | Specialized REITs |
Digital Realty Trust, Inc. | | Real Estate | | Specialized REITs |
Extra Space Storage, Inc. | | Real Estate | | Specialized REITs |
See your advisor or www.ivyinvestments.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.
(a)Effective July 1, 2021, the name of Ivy VIP Securian Real Estate Securities changed to Delaware Ivy VIP Securian Real Estate Securities.
| | | | | | |
| 34 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP SECURIAN REAL ESTATE SECURITIES (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS | | Shares | | | Value | |
Real Estate | |
| |
Diversified REITs – 1.9% | |
Essential Properties Realty Trust, Inc. | | | 12 | | | $ | 319 | |
VEREIT, Inc. | | | 9 | | | | 393 | |
| | | | | | | | |
| | | | | | | 712 | |
| | | | | | | | |
| |
Health Care REITs – 9.0% | |
CareTrust REIT, Inc. | | | 11 | | | | 265 | |
Healthpeak Properties, Inc. | | | 10 | | | | 319 | |
Ventas, Inc. | | | 23 | | | | 1,296 | |
Welltower, Inc. | | | 18 | | | | 1,496 | |
| | | | | | | | |
| | | | | | | 3,376 | |
| | | | | | | | |
| |
Hotel & Resort REITs – 5.4% | |
Host Hotels & Resorts, Inc. (A) | | | 35 | | | | 597 | |
MGM Growth Properties LLC, Class A | | | 13 | | | | 491 | |
Park Hotels & Resorts, Inc. (A) | | | 23 | | | | 472 | |
Pebblebrook Hotel Trust | | | 11 | | | | 268 | |
RLJ Lodging Trust | | | 11 | | | | 171 | |
| | | | | | | | |
| | | | | | | 1,999 | |
| | | | | | | | |
| |
Industrial REITs – 11.1% | |
Duke Realty Corp. | | | 17 | | | | 814 | |
First Industrial Realty Trust, Inc. | | | 7 | | | | 366 | |
ProLogis, Inc. | | | 25 | | | | 2,979 | |
| | | | | | | | |
| | | | | | | 4,159 | |
| | | | | | | | |
| |
Office REITs – 6.7% | |
Alexandria Real Estate Equities, Inc. | | | 4 | | | | 700 | |
Boston Properties, Inc. | | | 6 | | | | 676 | |
Highwoods Properties, Inc. | | | 10 | | | | 443 | |
Kilroy Realty Corp. | | | 10 | | | | 682 | |
| | | | | | | | |
| | | | | | | 2,501 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Residential REITs – 25.4% | |
American Homes 4 Rent | | | 29 | | | $ | 1,134 | |
AvalonBay Communities, Inc. | | | 7 | | | | 1,473 | |
Camden Property Trust | | | 5 | | | | 677 | |
Equity Lifestyle Properties, Inc. | | | 10 | | | | 736 | |
Equity Residential | | | 7 | | | | 502 | |
Essex Property Trust, Inc. | | | 3 | | | | 840 | |
Invitation Homes, Inc. | | | 38 | | | | 1,410 | |
Mid-America Apartment Communities, Inc. | | | 4 | | | | 657 | |
Sun Communities, Inc. | | | 6 | | | | 960 | |
UDR, Inc. | | | 22 | | | | 1,087 | |
| | | | | | | | |
| | | | | | | 9,476 | |
| | | | | | | | |
| |
Retail REITs – 11.5% | |
Agree Realty Corp. | | | 7 | | | | 500 | |
Brixmor Property Group, Inc. | | | 28 | | | | 639 | |
Kimco Realty Corp. | | | 27 | | | | 563 | |
National Retail Properties, Inc. | | | 13 | | | | 624 | |
Realty Income Corp. | | | 5 | | | | 327 | |
Regency Centers Corp. | | | 10 | | | | 621 | |
Simon Property Group, Inc. | | | 8 | | | | 1,036 | |
| | | | | | | | |
| | | | | | | 4,310 | |
| | | | | | | | |
| |
Specialized REITs – 28.5% | |
American Tower Corp., Class A | | | 5 | | | | 1,270 | |
CyrusOne, Inc. | | | 2 | | | | 150 | |
Digital Realty Trust, Inc. | | | 8 | | | | 1,219 | |
Equinix, Inc. | | | 3 | | | | 2,804 | |
Extra Space Storage, Inc. | | | 7 | | | | 1,163 | |
Life Storage, Inc. | | | 8 | | | | 810 | |
Public Storage, Inc. | | | 6 | | | | 1,925 | |
SBA Communications Corp. | | | 2 | | | | 510 | |
VICI Properties, Inc. | | | 26 | | | | 808 | |
| | | | | | | | |
| | | | | | | 10,659 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
| |
Total Real Estate – 99.5% | | | $ | 37,192 | |
| |
TOTAL COMMON STOCKS – 99.5% | | | $ | 37,192 | |
(Cost: $31,452) | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
Money Market Funds (B) – 0.3% | |
State Street Institutional
U.S. Government Money
Market Fund – Premier Class,
0.030% | | | 118 | | | | 118 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 0.3% | | | $ | 118 | |
(Cost: $118) | |
| |
TOTAL INVESTMENT SECURITIES – 99.8% | | | $ | 37,310 | |
(Cost: $31,570) | |
| |
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2% | | | | 64 | |
| |
NET ASSETS – 100.0% | | | $ | 37,374 | |
Notes to Schedule of Investments
| (A) | No dividends were paid during the preceding 12 months. |
| (B) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 37,192 | | | $ | — | | | $ | — | |
Short-Term Securities | | | 118 | | | | — | | | | — | |
Total | | $ | 37,310 | | | $ | — | | | $ | — | |
The following acronym is used throughout this schedule:
REIT = Real Estate Investment Trust
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 35 | |
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP VALUE(a) |
ALL DATA AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Stocks | | | 99.2% | |
Financials | | | 23.3% | |
Health Care | | | 14.8% | |
Industrials | | | 12.2% | |
Information Technology | | | 9.1% | |
Communication Services | | | 8.8% | |
Consumer Discretionary | | | 7.2% | |
Consumer Staples | | | 6.9% | |
Energy | | | 5.5% | |
Materials | | | 4.3% | |
Utilities | | | 3.9% | |
Real Estate | | | 3.2% | |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | | 0.8% | |
Top 10 Equity Holdings
| | | | |
| | |
| Company | | Sector | | Industry |
Wal-Mart Stores, Inc. | | Consumer Staples | | Hypermarkets & Super Centers |
Comcast Corp., Class A | | Communication Services | | Cable & Satellite |
Philip Morris International, Inc. | | Consumer Staples | | Tobacco |
Welltower, Inc. | | Real Estate | | Health Care REITs |
Morgan Stanley | | Financials | | Investment Banking & Brokerage |
CVS Caremark Corp. | | Health Care | | Health Care Services |
Raytheon Technologies Corp. | | Industrials | | Aerospace & Defense |
Anthem, Inc. | | Health Care | | Managed Health Care |
Eaton Corp. | | Industrials | | Electrical Components & Equipment |
Citigroup, Inc. | | Financials | | Other Diversified Financial Services |
See your advisor or www.ivyinvestments.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.
| (a) | Effective July 1, 2021, the name of Ivy VIP Value changed to Delaware Ivy VIP Value. |
| | | | | | |
| 36 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP VALUE (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| COMMON STOCKS | | Shares | | | Value | |
Communication Services | |
| |
Alternative Carriers – 2.5% | |
Liberty Global, Inc., Series C (A) | | | 417 | | | $ | 11,284 | |
| | | | | | | | |
| |
Cable & Satellite – 6.3% | |
Comcast Corp., Class A | | | 271 | | | | 15,431 | |
Liberty Media Corp., Class C (A) | | | 276 | | | | 12,798 | |
| | | | | | | | |
| | | | | | | 28,229 | |
| | | | | | | | |
| |
Total Communication Services – 8.8% | | | | 39,513 | |
Consumer Discretionary | |
| |
Auto Parts & Equipment – 2.4% | |
Magna International, Inc. | | | 118 | | | | 10,918 | |
| | | | | | | | |
| |
General Merchandise Stores – 2.8% | |
Target Corp. | | | 52 | | | | 12,622 | |
| | | | | | | | |
| |
Home Improvement Retail – 2.0% | |
Lowe’s Co., Inc. | | | 46 | | | | 9,015 | |
| | | | | | | | |
| |
Total Consumer Discretionary – 7.2% | | | | 32,555 | |
Consumer Staples | |
| |
Hypermarkets & Super Centers – 3.6% | |
Wal-Mart Stores, Inc. | | | 113 | | | | 15,882 | |
| | | | | | | | |
| |
Tobacco – 3.3% | |
Philip Morris International, Inc. | | | 150 | | | | 14,882 | |
| | | | | | | | |
| |
Total Consumer Staples – 6.9% | | | | 30,764 | |
Energy | |
| |
Oil & Gas Exploration & Production – 2.8% | |
EOG Resources, Inc. | | | 150 | | | | 12,531 | |
| | | | | | | | |
| |
Oil & Gas Refining & Marketing – 2.7% | |
Marathon Petroleum Corp. | | | 203 | | | | 12,290 | |
| | | | | | | | |
| |
Total Energy – 5.5% | | | | 24,821 | |
Financials | |
| |
Asset Management & Custody Banks – 2.6% | |
Ameriprise Financial, Inc. | | | 47 | | | | 11,733 | |
| | | | | | | | |
| |
Consumer Finance – 5.2% | |
Capital One Financial Corp. | | | 75 | | | | 11,644 | |
Synchrony Financial | | | 240 | | | | 11,649 | |
| | | | | | | | |
| | | | | | | 23,293 | |
| | | | | | | | |
| |
Diversified Banks – 0.9% | |
Wells Fargo & Co. | | | 86 | | | | 3,904 | |
| | | | | | | | |
| |
Investment Banking & Brokerage – 3.2% | |
Morgan Stanley | | | 159 | | | | 14,569 | |
| | | | | | | | |
| |
Life & Health Insurance – 1.2% | |
MetLife, Inc. | | | 91 | | | | 5,459 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Mortgage REITs – 2.4% | |
AGNC Investment Corp. | | | 634 | | | $ | 10,705 | |
| | | | | | | | |
| |
Other Diversified Financial Services – 3.0% | |
Citigroup, Inc. | | | 188 | | | | 13,318 | |
| | | | | | | | |
| |
Property & Casualty Insurance – 2.5% | |
Arch Capital Group Ltd. (A) | | | 292 | | | | 11,389 | |
| | | | | | | | |
| |
Regional Banks – 0.9% | |
Regions Financial Corp. | | | 189 | | | | 3,812 | |
| | | | | | | | |
| |
Reinsurance – 1.4% | |
Reinsurance Group of America, Inc. | | | 55 | | | | 6,274 | |
| | | | | | | | |
| |
Total Financials – 23.3% | | | | 104,456 | |
Health Care | |
| |
Biotechnology – 2.8% | |
Amgen, Inc. | | | 33 | | | | 8,086 | |
Vertex Pharmaceuticals, Inc. (A) | | | 22 | | | | 4,476 | |
| | | | | | | | |
| | | | | | | 12,562 | |
| | | | | | | | |
| |
Health Care Distributors – 2.8% | |
McKesson Corp. | | | 66 | | | | 12,591 | |
| | | | | | | | |
| |
Health Care Facilities – 2.9% | |
HCA Holdings, Inc. | | | 62 | | | | 12,815 | |
| | | | | | | | |
| |
Health Care Services – 3.2% | |
CVS Caremark Corp. | | | 174 | | | | 14,539 | |
| | | | | | | | |
| |
Managed Health Care – 3.1% | |
Anthem, Inc. | | | 36 | | | | 13,812 | |
| | | | | | | | |
| |
Total Health Care – 14.8% | | | | 66,319 | |
Industrials | |
| |
Aerospace & Defense – 3.9% | |
Northrop Grumman Corp. | | | 10 | | | | 3,490 | |
Raytheon Technologies Corp. | | | 165 | | | | 14,076 | |
| | | | | | | | |
| | | | | | | 17,566 | |
| | | | | | | | |
| |
Electrical Components & Equipment – 5.6% | |
Eaton Corp. | | | 90 | | | | 13,382 | |
nVent Electric plc | | | 374 | | | | 11,678 | |
| | | | | | | | |
| | | | | | | 25,060 | |
| | | | | | | | |
| |
Railroads – 2.7% | |
Norfolk Southern Corp. | | | 46 | | | | 12,281 | |
| | | | | | | | |
| |
Total Industrials – 12.2% | | | | 54,907 | |
Information Technology | |
| |
Data Processing & Outsourced Services – 2.3% | |
Fidelity National Information Services, Inc. | | | 72 | | | | 10,142 | |
| | | | | | | | |
| | | | | | | | |
| COMMON STOCKS (Continued) | | Shares | | | Value | |
Semiconductors – 4.7% | |
Broadcom Corp., Class A | | | 25 | | | $ | 12,024 | |
NXP Semiconductors N.V. | | | 45 | | | | 9,160 | |
| | | | | | | | |
| | | | | | | 21,184 | |
| | | | | | | | |
| |
Technology Hardware, Storage & Peripherals – 2.1% | |
Seagate Technology | | | 107 | | | | 9,365 | |
| | | | | | | | |
| |
Total Information Technology – 9.1% | | | | 40,691 | |
Materials | |
| |
Diversified Metals & Mining – 2.0% | |
BHP Billiton Ltd. ADR(B) | | | 122 | | | | 8,912 | |
| | | | | | | | |
| |
Paper Packaging – 2.3% | |
Graphic Packaging Holding Co. | | | 562 | | | | 10,199 | |
| | | | | | | | |
| |
Total Materials – 4.3% | | | | 19,111 | |
Real Estate | |
| |
Health Care REITs – 3.2% | |
Welltower, Inc. | | | 176 | | | | 14,601 | |
| | | | | | | | |
| |
Total Real Estate – 3.2% | | | | 14,601 | |
Utilities | |
| |
Electric Utilities – 3.9% | |
Entergy Corp. | | | 88 | | | | 8,745 | |
Evergy, Inc. (C) | | | 143 | | | | 8,652 | |
| | | | | | | | |
| | | | | | | 17,397 | |
| | | | | | | | |
| |
Total Utilities – 3.9% | | | | 17,397 | |
| |
TOTAL COMMON STOCKS – 99.2% | | | $ | 445,135 | |
(Cost: $337,711) | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
Money Market Funds (E) – 3.7% | |
Dreyfus Institutional
Preferred Government Money
Market Fund – Institutional Shares, 0.010% (D) | | | 9,015 | | | | 9,015 | |
State Street Institutional
U.S. Government Money
Market Fund – Premier
Class, 0.030% | | | 7,664 | | | | 7,664 | |
| | | | | | | | |
| | | | | | | 16,679 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 3.7% | | | $ | 16,679 | |
(Cost: $16,679) | |
| |
TOTAL INVESTMENT SECURITIES – 102.9% | | | $ | 461,814 | |
(Cost: $354,390) | |
| |
LIABILITIES, NET OF CASH AND OTHER ASSETS – (2.9)% | | | | (13,133 | ) |
| |
NET ASSETS – 100.0% | | | $ | 448,681 | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 37 | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP VALUE (in thousands) |
JUNE 30, 2021 (UNAUDITED)
Notes to Schedule of Investments
| (A) | No dividends were paid during the preceding 12 months. |
| (B) | All or a portion of securities with an aggregate value of $8,821 are on loan. |
| (C) | All or a portion of securities with an aggregate value of $169 are held in collateralized accounts to cover potential obligations with respect to outstanding written options. |
| (D) | Investment made with cash collateral received from securities on loan. |
| (E) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following written options were outstanding at June 30, 2021 (contracts and exercise prices unrounded):
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Security | | Counterparty, if OTC | | Type | | Number of
Contracts | | | Notional
Amount | | Expiration
Month | | | Exercise
Price | | | Premium
Received | | | Value | |
Capital One Financial Corp. | | N/A | | Call | | | 71 | | | 7 | | | July 2021 | | | $ | 170.00 | | | $ | 38 | | | $ | (2 | ) |
Magna International, Inc. | | N/A | | Call | | | 160 | | | 16 | | | September 2021 | | | | 92.50 | | | | 180 | | | | (88 | ) |
Reinsurance Group of America, Inc. | | JPMorgan Chase Bank N.A. | | Put | | | 84 | | | 9 | | | July 2021 | | | | 135.00 | | | | 64 | | | | (177 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | $ | 282 | | | $ | (267 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 445,135 | | | $ | — | | | $ | — | |
Short-Term Securities | | | 16,679 | | | | — | | | | — | |
Total | | $ | 461,814 | | | $ | — | | | $ | — | |
Liabilities | | | | | | | | | | | | |
Written Options | | $ | 90 | | | $ | 177 | | | $ | — | |
The following acronyms are used throughout this schedule:
ADR = American Depository Receipts
OTC = Over the Counter
REIT = Real Estate Investment Trusts
See Accompanying Notes to Financial Statements.
| | | | | | |
| 38 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| STATEMENTS OF ASSETS AND LIABILITIES | | IVY VIP |
AS OF JUNE 30, 2021 (UNAUDITED)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (In thousands, except per share amounts) | | Core
Equity(1) | | Corporate
Bond(2) | | Global
Bond(3) | | Global
Equity
Income(4) | | Global
Growth(5) | | Limited-
Term Bond(6) | | Securian
Real Estate
Securities(7) | | Value(8) |
ASSETS | |
Investments in unaffiliated securities at value+^ | | | $ | 743,225 | | | | $ | 736,987 | | | | $ | 21,254 | | | | $ | 314,022 | | | | $ | 161,743 | | | | $ | 443,283 | | | | $ | 37,310 | | | | $ | 461,814 | |
Investments at Value | | | | 743,225 | | | | | 736,987 | | | | | 21,254 | | | | | 314,022 | | | | | 161,743 | | | | | 443,283 | | | | | 37,310 | | | | | 461,814 | |
Cash | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | * | | | | — | |
Restricted cash | | | | — | | | | | 112 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Investment securities sold receivable | | | | — | | | | | 10,554 | | | | | 1 | | | | | 317 | | | | | — | | | | | — | | | | | 43 | | | | | 5,001 | |
Dividends and interest receivable | | | | 115 | | | | | 5,495 | | | | | 198 | | | | | 1,097 | | | | | 521 | | | | | 2,364 | | | | | 101 | | | | | 449 | |
Capital shares sold receivable | | | | 48 | | | | | 7 | | | | | 14 | | | | | 65 | | | | | 4 | | | | | 6 | | | | | 18 | | | | | 8 | |
Receivable from affiliates | | | | 148 | | | | | — | | | | | — | | | | | — | | | | | 47 | | | | | — | | | | | — | | | | | — | |
Receivable from securities lending income – net | | | | — | | | | | — | * | | | | — | * | | | | 1 | | | | | — | * | | | | 1 | | | | | — | | | | | 11 | |
Variation margin receivable | | | | — | | | | | 21 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Prepaid and other assets | | | | 1 | | | | | 1 | | | | | — | * | | | | — | * | | | | — | * | | | | — | * | | | | — | * | | | | — | * |
Total Assets | | | | 743,537 | | | | | 753,177 | | | | | 21,467 | | | | | 315,502 | | | | | 162,315 | | | | | 445,654 | | | | | 37,472 | | | | | 467,283 | |
| | | | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Cash collateral on securities loaned at value | | | | — | | | | | 96 | | | | | 740 | | | | | 788 | | | | | — | | | | | 1,127 | | | | | — | | | | | 9,015 | |
Investment securities purchased payable | | | | — | | | | | 7,312 | | | | | 428 | | | | | — | | | | | 13 | | | | | 700 | | | | | 35 | | | | | 8,811 | |
Capital shares redeemed payable | | | | 233 | | | | | 2,026 | | | | | 36 | | | | | 65 | | | | | 54 | | | | | 116 | | | | | 16 | | | | | 68 | |
Independent Trustees and Chief Compliance Officer fees payable | | | | 114 | | | | | 79 | | | | | 2 | | | | | 45 | | | | | 55 | | | | | 30 | | | | | 7 | | | | | 63 | |
Overdraft due to custodian | | | | — | | | | | — | | | | | — | | | | | — | * | | | | — | | | | | — | | | | | — | | | | | — | |
Distribution and service fees payable | | | | 5 | | | | | 5 | | | | | — | * | | | | 2 | | | | | 1 | | | | | 3 | | | | | — | * | | | | 3 | |
Investment management fee payable | | | | 14 | | | | | 10 | | | | | — | | | | | 6 | | | | | 4 | | | | | 6 | | | | | 1 | | | | | 9 | |
Accounting services fee payable | | | | 14 | | | | | 14 | | | | | 1 | | | | | 8 | | | | | 5 | | | | | 11 | | | | | 2 | | | | | 11 | |
Written options at value+ | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 267 | |
Other liabilities | | | | 573 | | | | | 441 | | | | | 7 | | | | | 259 | | | | | 151 | | | | | 276 | | | | | 37 | | | | | 355 | |
Total Liabilities | | | | 953 | | | | | 9,983 | | | | | 1,214 | | | | | 1,173 | | | | | 283 | | | | | 2,269 | | | | | 98 | | | | | 18,602 | |
Commitments and Contingencies
(See Note 2 and Note 10) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Net Assets | | | $ | 742,584 | | | | $ | 743,194 | | | | $ | 20,253 | | | | $ | 314,329 | | | | $ | 162,032 | | | | $ | 443,385 | | | | $ | 37,374 | | | | $ | 448,681 | |
| | | | | | | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital paid in (shares authorized – unlimited) | | | $ | 435,528 | | | | $ | 703,544 | | | | $ | 20,317 | | | | $ | 252,085 | | | | $ | 89,968 | | | | $ | 433,985 | | | | $ | 29,895 | | | | $ | 293,613 | |
Accumulated earnings gain (loss) | | | | 307,056 | | | | | 39,650 | | | | | (64 | ) | | | | 62,244 | | | | | 72,064 | | | | | 9,400 | | | | | 7,479 | | | | | 155,068 | |
Total Net Assets | | | $ | 742,584 | | | | $ | 743,194 | | | | $ | 20,253 | | | | $ | 314,329 | | | | $ | 162,032 | | | | $ | 443,385 | | | | $ | 37,374 | | | | $ | 448,681 | |
| | | | | | | | |
CAPITAL SHARES OUTSTANDING: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | | 47,164 | | | | | 131,971 | | | | | 4,002 | | | | | 48,246 | | | | | 35,481 | | | | | 90,118 | | | | | 4,478 | | | | | 59,455 | |
| | | | | | | | |
NET ASSET VALUE PER SHARE: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | $ | 15.74 | | | | $ | 5.63 | | | | $ | 5.06 | | | | $ | 6.52 | | | | $ | 4.57 | | | | $ | 4.92 | | | | $ | 8.35 | | | | $ | 7.55 | |
| | | | | | | | |
+COST | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in unaffiliated securities at cost | | | $ | 500,230 | | | | $ | 714,078 | | | | $ | 20,463 | | | | $ | 259,384 | | | | $ | 96,906 | | | | $ | 438,020 | | | | $ | 31,570 | | | | $ | 354,390 | |
Written options premiums received at cost | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 282 | |
^Securities loaned at value | | | | — | | | | | 94 | | | | | 722 | | | | | 7,445 | | | | | 1,071 | | | | | 1,098 | | | | | — | | | | | 8,821 | |
| * | Not shown due to rounding. |
| (1) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Core Equity to Delaware Ivy VIP Core Equity. |
| (2) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Corporate Bond to Delaware Ivy VIP Corporate Bond. |
| (3) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Global Bond to Delaware Ivy VIP Global Bond. |
| (4) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Global Equity Income to Delaware Ivy VIP Global Equity Income. |
| (5) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Global Growth to Delaware Ivy VIP Global Growth. |
| (6) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Limited-Term Bond to Delaware Ivy VIP Limited-Term Bond. |
| (7) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Securian Real Estate Securities to Delaware Ivy VIP Securian Real Estate Securities. |
| (8) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Value to Delaware Ivy VIP Value. |
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 39 | |
| | |
| STATEMENTS OF OPERATIONS | | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2021 (UNAUDITED)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (In thousands) | | Core
Equity(1) | | Corporate
Bond(2) | | Global
Bond(3) | | Global
Equity
Income(4) | | Global
Growth(5) | | Limited-
Term Bond(6) | | Securian
Real Estate
Securities(7) | | Value(8) |
INVESTMENT INCOME | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends from unaffiliated securities | | | $ | 4,264 | | | | $ | — | | | | $ | — | | | | $ | 6,816 | | | | $ | 1,256 | | | | $ | — | | | | $ | 478 | | | | $ | 5,363 | |
Foreign dividend withholding tax | | | | (18 | ) | | | | — | | | | | — | | | | | (614 | ) | | | | — | | | | | — | | | | | — | | | | | (27 | ) |
Interest and amortization from unaffiliated securities | | | | 1 | | | | | 9,750 | | | | | 371 | | | | | — | * | | | | — | * | | | | 4,221 | | | | | — | * | | | | 1 | |
Foreign interest withholding tax | | | | — | | | | | — | | | | | — | * | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Securities lending income – net | | | | — | * | | | | 2 | | | | | 2 | | | | | 54 | | | | | 3 | | | | | 3 | | | | | — | | | | | 38 | |
Total Investment Income | | | | 4,247 | | | | | 9,752 | | | | | 373 | | | | | 6,256 | | | | | 1,259 | | | | | 4,224 | | | | | 478 | | | | | 5,375 | |
| | | | | | | | |
EXPENSES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment management fee | | | | 2,568 | | | | | 1,674 | | | | | 63 | | | | | 1,116 | | | | | 672 | | | | | 1,088 | | | | | 152 | | | | | 1,621 | |
Distribution and service fees: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | | 917 | | | | | 881 | | | | | 25 | | | | | 398 | | | | | 198 | | | | | 544 | | | | | 42 | | | | | 579 | |
Shareholder servicing: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Custodian fees | | | | 6 | | | | | 5 | | | | | 1 | | | | | 13 | | | | | 6 | | | | | 4 | | | | | 3 | | | | | 3 | |
Independent Trustees and Chief Compliance Officer fees | | | | 36 | | | | | 34 | | | | | 3 | | | | | 15 | | | | | 14 | | | | | 18 | | | | | 3 | | | | | 21 | |
Accounting services fee | | | | 85 | | | | | 83 | | | | | 7 | | | | | 47 | | | | | 32 | | | | | 63 | | | | | 13 | | | | | 64 | |
Professional fees | | | | 8 | | | | | 9 | | | | | 6 | | | | | 7 | | | | | 6 | | | | | 8 | | | | | 6 | | | | | 11 | |
Third-party valuation service fees | | | | — | | | | | — | | | | | — | | | | | 3 | | | | | 4 | | | | | — | | | | | — | | | | | — | |
Other | | | | 21 | | | | | 15 | | | | | 7 | | | | | 19 | | | | | 13 | | | | | 12 | | | | | 7 | | | | | 15 | |
Total Expenses | | | | 3,641 | | | | | 2,701 | | | | | 112 | | | | | 1,618 | | | | | 945 | | | | | 1,737 | | | | | 226 | | | | | 2,314 | |
Less: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Expenses in excess of limit | | | | (148 | ) | | | | — | | | | | (63 | ) | | | | — | | | | | (47 | ) | | | | — | | | | | (15 | ) | | | | — | |
Total Net Expenses | | | | 3,493 | | | | | 2,701 | | | | | 49 | | | | | 1,618 | | | | | 898 | | | | | 1,737 | | | | | 211 | | | | | 2,314 | |
Net Investment Income | | | | 754 | | | | | 7,051 | | | | | 324 | | | | | 4,638 | | | | | 361 | | | | | 2,487 | | | | | 267 | | | | | 3,061 | |
| | | | | | | | |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in unaffiliated securities | | | | 63,368 | | | | | 8,998 | | | | | (32 | ) | | | | 7,508 | | | | | 6,990 | | | | | 1,697 | | | | | 1,573 | | | | | 46,888 | |
Futures contracts | | | | — | | | | | 649 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Written options | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 685 | |
Foreign currency exchange transactions | | | | — | | | | | — | | | | | 8 | | | | | 58 | | | | | (4 | ) | | | | — | | | | | — | | | | | — | |
Net change in unrealized appreciation
(depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in unaffiliated securities | | | | 37,693 | | | | | (21,387 | ) | | | | (334 | ) | | | | 20,302 | | | | | 10,435 | | | | | (3,589 | ) | | | | 5,133 | | | | | 37,034 | |
Futures contracts | | | | — | | | | | 187 | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Written options | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | (187 | ) |
Foreign currency exchange transactions | | | | — | | | | | — | | | | | (1 | ) | | | | (28 | ) | | | | (13 | ) | | | | — | | | | | — | | | | | — | |
Net Realized and Unrealized Gain (Loss) | | | | 101,061 | | | | | (11,553 | ) | | | | (359 | ) | | | | 27,840 | | | | | 17,408 | | | | | (1,892 | ) | | | | 6,706 | | | | | 84,420 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | $ | 101,815 | | | | $ | (4,502 | ) | | | $ | (35 | ) | | | $ | 32,478 | | | | $ | 17,769 | | | | $ | 595 | | | | $ | 6,973 | | | | $ | 87,481 | |
| * | Not shown due to rounding. |
| (1) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Core Equity to Delaware Ivy VIP Core Equity. |
| (2) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Corporate Bond to Delaware Ivy VIP Corporate Bond. |
| (3) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Global Bond to Delaware Ivy VIP Global Bond. |
| (4) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Global Equity Income to Delaware Ivy VIP Global Equity Income. |
| (5) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Global Growth to Delaware Ivy VIP Global Growth. |
| (6) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Limited-Term Bond to Delaware Ivy VIP Limited-Term Bond. |
| (7) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Securian Real Estate Securities to Delaware Ivy VIP Securian Real Estate Securities. |
| (8) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Value to Delaware Ivy VIP Value. |
See Accompanying Notes to Financial Statements.
| | | | | | |
| 40 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| STATEMENTS OF CHANGES IN NET ASSETS | | IVY VIP |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Core Equity(1) | | Corporate Bond(2) | | Global Bond(3) |
| (In thousands) | | Six months
ended 6-30-21
(Unaudited) | | Year
ended
12-31-20 | | Six months
ended 6-30-21
(Unaudited) | | Year
ended
12-31-20 | | Six months
ended 6-30-21
(Unaudited) | | Year
ended
12-31-20 |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | $ | 754 | | | | $ | 3,494 | | | | $ | 7,051 | | | | $ | 14,713 | | | | $ | 324 | | | | $ | 738 | |
Net realized gain (loss) on investments | | | | 63,368 | | | | | 29,057 | | | | | 9,647 | | | | | 32,425 | | | | | (25 | ) | | | | (86 | ) |
Net change in unrealized appreciation (depreciation) | | | | 37,693 | | | | | 102,469 | | | | | (21,200 | ) | | | | 14,689 | | | | | (334 | ) | | | | 833 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | 101,815 | | | | | 135,020 | | | | | (4,502 | ) | | | | 61,827 | | | | | (35 | ) | | | | 1,485 | |
| | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Accumulated earnings: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(combined net investment income and net realized gains) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | | (32,449 | ) | | | | (41,268 | ) | | | | (44,860 | ) | | | | (15,230 | ) | | | | (736 | ) | | | | (784 | ) |
Total Distributions to Shareholders | | | | (32,449 | ) | | | | (41,268 | ) | | | | (44,860 | ) | | | | (15,230 | ) | | | | (736 | ) | | | | (784 | ) |
Capital Share Transactions | | | | (63,457 | ) | | | | (80,352 | ) | | | | 107,744 | | | | | 38,413 | | | | | 482 | | | | | (761 | ) |
Net Increase (Decrease) in Net Assets | | | | 5,909 | | | | | 13,400 | | | | | 58,382 | | | | | 85,010 | | | | | (289 | ) | | | | (60 | ) |
Net Assets, Beginning of Period | | | | 736,675 | | | | | 723,275 | | | | | 684,812 | | | | | 599,802 | | | | | 20,542 | | | | | 20,602 | |
Net Assets, End of Period | | | $ | 742,584 | | | | $ | 736,675 | | | | $ | 743,194 | | | | $ | 684,812 | | | | $ | 20,253 | | | | $ | 20,542 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | |
| | | Global Equity Income(4) | | Global Growth(5) | | Limited-Term Bond(6) |
| (In thousands) | | Six months
ended 6-30-21
(Unaudited) | | Year
ended
12-31-20 | | Six months
ended 6-30-21
(Unaudited) | | Year
ended
12-31-20 | | Six months
ended 6-30-21
(Unaudited) | | Year
ended
12-31-20 |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | $ | 4,638 | | | | $ | 6,318 | | | | $ | 361 | | | | $ | 78 | | | | $ | 2,487 | | | | $ | 6,592 | |
Net realized gain (loss) on investments | | | | 7,566 | | | | | (2,049 | ) | | | | 6,986 | | | | | 11,243 | | | | | 1,697 | | | | | 7,840 | |
Net change in unrealized appreciation | | | | 20,274 | | | | | 9,706 | | | | | 10,422 | | | | | 15,830 | | | | | (3,589 | ) | | | | 1,725 | |
Net Increase in Net Assets Resulting from Operations | | | | 32,478 | | | | | 13,975 | | | | | 17,769 | | | | | 27,151 | | | | | 595 | | | | | 16,157 | |
| | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Accumulated earnings: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(combined net investment income and net realized gains) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | | (7,042 | ) | | | | (8,016 | ) | | | | (7,649 | ) | | | | (585 | ) | | | | (8,512 | ) | | | | (10,693 | ) |
Total Distributions to Shareholders | | | | (7,042 | ) | | | | (8,016 | ) | | | | (7,649 | ) | | | | (585 | ) | | | | (8,512 | ) | | | | (10,693 | ) |
Capital Share Transactions | | | | (26,347 | ) | | | | 12,697 | | | | | (3,758 | ) | | | | (19,238 | ) | | | | 21,329 | | | | | (28,033 | ) |
Net Increase (Decrease) in Net Assets | | | | (911 | ) | | | | 18,656 | | | | | 6,362 | | | | | 7,328 | | | | | 13,412 | | | | | (22,569 | ) |
Net Assets, Beginning of Period | | | | 315,240 | | | | | 296,584 | | | | | 155,670 | | | | | 148,342 | | | | | 429,973 | | | | | 452,542 | |
Net Assets, End of Period | | | $ | 314,329 | | | | $ | 315,240 | | | | $ | 162,032 | | | | $ | 155,670 | | | | $ | 443,385 | | | | | 429,973 | |
| (1) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Core Equity to Delaware Ivy VIP Core Equity. |
| (2) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Corporate Bond to Delaware Ivy VIP Corporate Bond. |
| (3) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Global Bond to Delaware Ivy VIP Global Bond. |
| (4) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Global Equity Income to Delaware Ivy VIP Global Equity Income. |
| (5) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Global Growth to Delaware Ivy VIP Global Growth. |
| (6) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Limited-Term Bond to Delaware Ivy VIP Limited-Term Bond. |
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 41 | |
| | |
| STATEMENTS OF CHANGES IN NET ASSETS | | IVY VIP |
| | | | | | | | | | | | | | | | | | | | |
| | | Securian Real Estate
Securities(1) | | Value(2) |
| (In thousands) | | Six months
ended 6-30-21
(Unaudited) | | Year
ended
12-31-20 | | Six months
ended 6-30-21
(Unaudited) | | Year
ended
12-31-20 |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | $ | 267 | | | | $ | 319 | | | | $ | 3,061 | | | | $ | 6,722 | |
Net realized gain (loss) on investments | | | | 1,573 | | | | | 445 | | | | | 47,573 | | | | | (3,730 | ) |
Net change in unrealized appreciation (depreciation) | | | | 5,133 | | | | | (1,951 | ) | | | | 36,847 | | | | | 859 | |
Net Increase (Decrease) in Net Assets Resulting from Operations | | | | 6,973 | | | | | (1,187 | ) | | | | 87,481 | | | | | 3,851 | |
| | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | |
Accumulated earnings: | | | | | | | | | | | | | | | | | | | | |
(combined net investment income and net realized gains) | | | | | | | | | | | | | | | | | | | | |
Class II | | | | (882 | ) | | | | (2,884 | ) | | | | (8,558 | ) | | | | (26,609 | ) |
Total Distributions to Shareholders | | | | (882 | ) | | | | (2,884 | ) | | | | (8,558 | ) | | | | (26,609 | ) |
Capital Share Transactions | | | | 186 | | | | | (293 | ) | | | | (95,244 | ) | | | | (23,117 | ) |
Net Increase (Decrease) in Net Assets | | | | 6,277 | | | | | (4,364 | ) | | | | (16,321 | ) | | | | (45,875 | ) |
Net Assets, Beginning of Period | | | | 31,097 | | | | | 35,461 | | | | | 465,002 | | | | | 510,877 | |
Net Assets, End of Period | | | $ | 37,374 | | | | $ | 31,097 | | | | $ | 448,681 | | | | $ | 465,002 | |
| (1) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Securian Real Estate Securities to Delaware Ivy VIP Securian Real Estate Securities. |
| (2) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Value to Delaware Ivy VIP Value. |
See Accompanying Notes to Financial Statements.
| | | | | | |
| 42 | | SEMIANNUAL REPORT | | 2021 | | |
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| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 43 | |
| | |
| 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 |
Core Equity | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended
6-30-2021 (unaudited) | | | $ | 14.36 | | | | $ | 0.02 | | | | $ | 2.07 | | | | $ | 2.09 | | | | $ | (0.09 | ) | | | $ | (0.62 | ) | | | $ | (0.71 | ) |
Year ended 12-31-2020 | | | | 12.63 | | | | | 0.06 | | | | | 2.44 | | | | | 2.50 | | | | | (0.07 | ) | | | | (0.70 | ) | | | | (0.77 | ) |
Year ended 12-31-2019 | | | | 10.80 | | | | | 0.06 | | | | | 3.10 | | | | | 3.16 | | | | | (0.07 | ) | | | | (1.26 | ) | | | | (1.33 | ) |
Year ended 12-31-2018 | | | | 12.30 | | | | | 0.07 | | | | | (0.53 | ) | | | | (0.46 | ) | | | | (0.06 | ) | | | | (0.98 | ) | | | | (1.04 | ) |
Year ended 12-31-2017 | | | | 10.67 | | | | | 0.05 | | | | | 2.09 | | | | | 2.14 | | | | | (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 | ) |
| | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended
6-30-2021 (unaudited) | | | | 6.05 | | | | | 0.06 | | | | | (0.12 | ) | | | | (0.06 | ) | | | | (0.12 | ) | | | | (0.24 | ) | | | | (0.36 | ) |
Year ended 12-31-2020 | | | | 5.60 | | | | | 0.14 | | | | | 0.46 | | | | | 0.60 | | | | | (0.15 | ) | | | | — | | | | | (0.15 | ) |
Year ended 12-31-2019 | | | | 5.13 | | | | | 0.15 | | | | | 0.47 | | | | | 0.62 | | | | | (0.15 | ) | | | | — | | | | | (0.15 | ) |
Year ended 12-31-2018 | | | | 5.35 | | | | | 0.14 | | | | | (0.24 | ) | | | | (0.10 | ) | | | | (0.11 | ) | | | | (0.01 | ) | | | | (0.12 | ) |
Year ended 12-31-2017 | | | | 5.27 | | | | | 0.12 | | | | | 0.08 | | | | | 0.20 | | | | | (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 | ) |
| | | | | | | |
Global Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended
6-30-2021 (unaudited) | | | | 5.26 | | | | | 0.08 | | | | | (0.09 | ) | | | | (0.01 | ) | | | | (0.19 | ) | | | | — | | | | | (0.19 | ) |
Year ended 12-31-2020 | | | | 5.07 | | | | | 0.19 | | | | | 0.20 | | | | | 0.39 | | | | | (0.20 | ) | | | | — | | | | | (0.20 | ) |
Year ended 12-31-2019 | | | | 4.81 | | | | | 0.20 | | | | | 0.24 | | | | | 0.44 | | | | | (0.18 | ) | | | | — | | | | | (0.18 | ) |
Year ended 12-31-2018 | | | | 4.96 | | | | | 0.17 | | | | | (0.18 | ) | | | | (0.01 | ) | | | | (0.14 | ) | | | | — | | | | | (0.14 | ) |
Year ended 12-31-2017 | | | | 4.89 | | | | | 0.15 | | | | | 0.06 | | | | | 0.21 | | | | | (0.14 | ) | | | | — | | | | | (0.14 | ) |
Year ended 12-31-2016 | | | | 4.74 | | | | | 0.16 | | | | | 0.17 | | | | | 0.33 | | | | | (0.18 | ) | | | | — | | | | | (0.18 | ) |
| | | | | | | |
Global Equity Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended
6-30-2021 (unaudited) | | | | 6.02 | | | | | 0.09 | | | | | 0.55 | | | | | 0.64 | | | | | (0.14 | ) | | | | — | | | | | (0.14 | ) |
Year ended 12-31-2020 | | | | 6.01 | | | | | 0.12 | | | | | 0.03 | | | | | 0.15 | | | | | (0.14 | ) | | | | — | | | | | (0.14 | ) |
Year ended 12-31-2019 | | | | 6.89 | | | | | 0.16 | | | | | 1.17 | | | | | 1.33 | | | | | (0.22 | ) | | | | (1.99 | ) | | | | (2.21 | ) |
Year ended 12-31-2018 | | | | 8.58 | | | | | 0.16 | | | | | (1.07 | ) | | | | (0.91 | ) | | | | (0.14 | ) | | | | (0.64 | ) | | | | (0.78 | ) |
Year ended 12-31-2017 | | | | 7.79 | | | | | 0.13 | | | | | 1.03 | | | | | 1.16 | | | | | (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 | ) |
| * | 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 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. |
| | | | | | |
| 44 | | SEMIANNUAL REPORT | | 2021 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 |
Core Equity | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | $ | 15.74 | | | | | 14.75 | % | | | $ | 743 | | | | | 0.95 | %(4) | | | | 0.21 | %(4) | | | | 0.99 | %(4) | | | | 0.17 | %(4) | | | | 15 | % |
Year ended 12-31-2020 | | | | 14.36 | | | | | 21.52 | | | | | 737 | | | | | 0.95 | | | | | 0.51 | | | | | 1.00 | | | | | 0.46 | | | | | 58 | |
Year ended 12-31-2019 | | | | 12.63 | | | | | 31.09 | | | | | 723 | | | | | 0.95 | | | | | 0.53 | | | | | 1.00 | | | | | 0.48 | | | | | 80 | |
Year ended 12-31-2018 | | | | 10.80 | | | | | -4.51 | | | | | 626 | | | | | 0.95 | | | | | 0.59 | | | | | 1.00 | | | | | 0.54 | | | | | 99 | |
Year ended 12-31-2017 | | | | 12.30 | | | | | 20.75 | | | | | 445 | | | | | 0.95 | | | | | 0.42 | | | | | 1.00 | | | | | 0.37 | | | | | 78 | |
Year ended 12-31-2016 | | | | 10.67 | | | | | 3.74 | | | | | 420 | | | | | 0.95 | | | | | 0.45 | | | | | 1.01 | | | | | 0.39 | | | | | 75 | |
| | | | | | | | |
Corporate Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 5.63 | | | | | -0.84 | | | | | 743 | | | | | 0.77 | (4) | | | | 2.00 | (4) | | | | — | | | | | — | | | | | 49 | |
Year ended 12-31-2020 | | | | 6.05 | | | | | 10.97 | | | | | 685 | | | | | 0.77 | | | | | 2.34 | | | | | — | | | | | — | | | | | 95 | |
Year ended 12-31-2019 | | | | 5.60 | | | | | 12.18 | | | | | 600 | | | | | 0.77 | | | | | 2.73 | | | | | — | | | | | — | | | | | 66 | |
Year ended 12-31-2018 | | | | 5.13 | | | | | -1.90 | | | | | 544 | | | | | 0.77 | | | | | 2.77 | | | | | — | | | | | — | | | | | 63 | |
Year ended 12-31-2017 | | | | 5.35 | | | | | 4.01 | | | | | 548 | | | | | 0.78 | | | | | 2.32 | | | | | — | | | | | — | | | | | 66 | |
Year ended 12-31-2016 | | | | 5.27 | | | | | 4.03 | | | | | 416 | | | | | 0.79 | | | | | 2.17 | | | | | — | | | | | — | | | | | 84 | |
| | | | | | | | |
Global Bond | | | | | | | | | | | | �� | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 5.06 | | | | | -0.18 | | | | | 20 | | | | | 0.49 | (4) | | | | 3.21 | (4) | | | | 1.11 | (4) | | | | 2.59 | (4) | | | | 22 | |
Year ended 12-31-2020 | | | | 5.26 | | | | | 8.15 | | | | | 21 | | | | | 0.65 | | | | | 3.71 | | | | | 1.28 | | | | | 3.08 | | | | | 56 | |
Year ended 12-31-2019 | | | | 5.07 | | | | | 9.42 | | | | | 21 | | | | | 0.50 | | | | | 3.96 | | | | | 1.13 | | | | | 3.33 | | | | | 43 | |
Year ended 12-31-2018 | | | | 4.81 | | | | | -0.18 | | | | | 22 | | | | | 0.50 | | | | | 3.52 | | | | | 1.12 | | | | | 2.90 | | | | | 37 | |
Year ended 12-31-2017 | | | | 4.96 | | | | | 4.27 | | | | | 23 | | | | | 0.50 | | | | | 3.08 | | | | | 1.12 | | | | | 2.46 | | | | | 49 | |
Year ended 12-31-2016 | | | | 4.89 | | | | | 7.04 | | | | | 22 | | | | | 0.50 | | | | | 3.28 | | | | | 1.13 | | | | | 2.65 | | | | | 18 | |
| | | | | | | | |
Global Equity Income | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 6.52 | | | | | 10.64 | | | | | 314 | | | | | 1.02 | (4) | | | | 2.91 | (4) | | | | — | | | | | — | | | | | 12 | |
Year ended 12-31-2020 | | | | 6.02 | | | | | 3.15 | | | | | 315 | | | | | 1.03 | | | | | 2.19 | | | | | — | | | | | — | | | | | 73 | |
Year ended 12-31-2019 | | | | 6.01 | | | | | 23.15 | | | | | 297 | | | | | 1.02 | | | | | 2.52 | | | | | — | | | | | — | | | | | 39 | |
Year ended 12-31-2018 | | | | 6.89 | | | | | -11.68 | | | | | 284 | | | | | 1.01 | | | | | 2.01 | | | | | — | | | | | — | | | | | 93 | |
Year ended 12-31-2017 | | | | 8.58 | | | | | 15.56 | | | | | 527 | | | | | 1.00 | | | | | 1.60 | | | | | — | | | | | — | | | | | 35 | |
Year ended 12-31-2016 | | | | 7.79 | | | | | 6.95 | | | | | 509 | | | | | 1.01 | | | | | 1.43 | | | | | — | | | | | — | | | �� | | 59 | |
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 45 | |
| | |
| 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 Growth | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended
6-30-2021 (unaudited) | | | $ | 4.29 | | | | $ | 0.01 | | | | $ | 0.49 | | | | $ | 0.50 | | | | $ | — | * | | | $ | (0.22 | ) | | | $ | (0.22 | ) |
Year ended 12-31-2020 | | | | 3.58 | | | | | 0.00 | * | | | | 0.72 | | | | | 0.72 | | | | | (0.01 | ) | | | | — | | | | | (0.01 | ) |
Year ended 12-31-2019 | | | | 8.67 | | | | | 0.02 | | | | | 1.45 | | | | | 1.47 | | | | | (0.06 | ) | | | | (6.50 | ) | | | | (6.56 | ) |
Year ended 12-31-2018 | | | | 9.87 | | | | | 0.05 | | | | | (0.58 | ) | | | | (0.53 | ) | | | | (0.05 | ) | | | | (0.62 | ) | | | | (0.67 | ) |
Year ended 12-31-2017 | | | | 8.14 | | | | | 0.04 | | | | | 1.93 | | | | | 1.97 | | | | | — | * | | | | (0.24 | ) | | | | (0.24 | ) |
Year ended 12-31-2016 | | | | 8.68 | | | | | 0.01 | | | | | (0.28 | ) | | | | (0.27 | ) | | | | (0.02 | ) | | | | (0.25 | ) | | | | (0.27 | ) |
| | | | | | | |
Limited-Term Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended
6-30-2021 (unaudited) | | | | 5.01 | | | | | 0.03 | | | | | (0.02 | ) | | | | 0.01 | | | | | (0.08 | ) | | | | (0.02 | ) | | | | (0.10 | ) |
Year ended 12-31-2020 | | | | 4.95 | | | | | 0.08 | | | | | 0.12 | | | | | 0.20 | | | | | (0.14 | ) | | | | — | | | | | (0.14 | ) |
Year ended 12-31-2019 | | | | 4.84 | | | | | 0.09 | | | | | 0.11 | | | | | 0.20 | | | | | (0.09 | ) | | | | — | | | | | (0.09 | ) |
Year ended 12-31-2018 | | | | 4.88 | | | | | 0.09 | | | | | (0.05 | ) | | | | 0.04 | | | | | (0.08 | ) | | | | — | | | | | (0.08 | ) |
Year ended 12-31-2017 | | | | 4.89 | | | | | 0.08 | | | | | (0.01 | ) | | | | 0.07 | | | | | (0.08 | ) | | | | — | | | | | (0.08 | ) |
Year ended 12-31-2016 | | | | 4.87 | | | | | 0.08 | | | | | 0.01 | | | | | 0.09 | | | | | (0.07 | ) | | | | — | | | | | (0.07 | ) |
| | | | | | | |
Securian Real Estate Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended
6-30-2021 (unaudited) | | | | 6.97 | | | | | 0.06 | | | | | 1.53 | | | | | 1.59 | | | | | (0.08 | ) | | | | (0.13 | ) | | | | (0.21 | ) |
Year ended 12-31-2020 | | | | 8.05 | | | | | 0.07 | | | | | (0.46 | ) | | | | (0.39 | ) | | | | (0.12 | ) | | | | (0.57 | ) | | | | (0.69 | ) |
Year ended 12-31-2019 | | | | 6.60 | | | | | 0.17 | | | | | 1.43 | | | | | 1.60 | | | | | (0.12 | ) | | | | (0.03 | ) | | | | (0.15 | ) |
Year ended 12-31-2018 | | | | 7.64 | | | | | 0.10 | | | | | (0.54 | ) | | | | (0.44 | ) | | | | (0.11 | ) | | | | (0.49 | ) | | | | (0.60 | ) |
Year ended 12-31-2017 | | | | 8.40 | | | | | 0.11 | | | | | 0.27 | | | | | 0.38 | | | | | (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 | ) |
| | | | | | | |
Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended
6-30-2021 (unaudited) | | | | 6.40 | | | | | 0.05 | | | | | 1.24 | | | | | 1.29 | | | | | (0.14 | ) | | | | — | | | | | (0.14 | ) |
Year ended 12-31-2020 | | | | 6.72 | | | | | 0.09 | | | | | (0.05 | ) | | | | 0.04 | | | | | (0.12 | ) | | | | (0.24 | ) | | | | (0.36 | ) |
Year ended 12-31-2019 | | | | 5.69 | | | | | 0.11 | | | | | 1.32 | | | | | 1.43 | | | | | (0.05 | ) | | | | (0.35 | ) | | | | (0.40 | ) |
Year ended 12-31-2018 | | | | 6.44 | | | | | 0.07 | | | | | (0.51 | ) | | | | (0.44 | ) | | | | (0.12 | ) | | | | (0.19 | ) | | | | (0.31 | ) |
Year ended 12-31-2017 | | | | 5.93 | | | | | 0.11 | | | | | 0.61 | | | | | 0.72 | | | | | (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 | ) |
| * | 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 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. |
| | | | | | |
| 46 | | SEMIANNUAL REPORT | | 2021 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 Growth | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | $ | 4.57 | | | | | 11.82 | % | | | $ | 162 | | | | | 1.13 | %(4) | | | | 0.46 | %(4) | | | | 1.20 | %(4) | | | | 0.39 | % (4) | | | | 9 | % |
Year ended 12-31-2020 | | | | 4.29 | | | | | 20.58 | | | | | 156 | | | | | 1.13 | | | | | 0.06 | | | | | 1.23 | | | | | -0.04 | | | | | 33 | |
Year ended 12-31-2019 | | | | 3.58 | | | | | 25.93 | | | | | 148 | | | | | 1.13 | | | | | 0.41 | | | | | 1.21 | | | | | 0.33 | | | | | 26 | |
Year ended 12-31-2018 | | | | 8.67 | | | | | -6.27 | | | | | 134 | | | | | 1.13 | | | | | 0.46 | | | | | 1.18 | | | | | 0.41 | | | | | 40 | |
Year ended 12-31-2017 | | | | 9.87 | | | | | 24.52 | | | | | 424 | | | | | 1.14 | | | | | 0.47 | | | | | 1.17 | | | | | 0.44 | | | | | 54 | |
Year ended 12-31-2016 | | | | 8.14 | | | | | -3.04 | | | | | 408 | | | | | 1.13 | | | | | 0.09 | | | | | 1.16 | | | | | 0.06 | | | | | 71 | |
| | | | | | | | |
Limited-Term Bond | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 4.92 | | | | | 0.13 | | | | | 443 | | | | | 0.80 | (4) | | | | 1.14 | (4) | | | | — | | | | | — | | | | | 25 | |
Year ended 12-31-2020 | | | | 5.01 | | | | | 4.14 | | | | | 430 | | | | | 0.81 | | | | | 1.60 | | | | | — | | | | | — | | | | | 74 | |
Year ended 12-31-2019 | | | | 4.95 | | | | | 4.23 | | | | | 453 | | | | | 0.79 | | | | | 1.89 | | | | | — | | | | | — | | | | | 54 | |
Year ended 12-31-2018 | | | | 4.84 | | | | | 0.78 | | | | | 542 | | | | | 0.79 | | | | | 1.91 | | | | | — | | | | | — | | | | | 53 | |
Year ended 12-31-2017 | | | | 4.88 | | | | | 1.40 | | | | | 443 | | | | | 0.80 | | | | | 1.62 | | | | | — | | | | | — | | | | | 55 | |
Year ended 12-31-2016 | | | | 4.89 | | | | | 1.94 | | | | | 395 | | | | | 0.81 | | | | | 1.53 | | | | | — | | | | | — | | | | | 60 | |
| | | | | | | | |
Securian Real Estate Securities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 8.35 | | | | | 22.76 | | | | | 37 | | | | | 1.25 | (4) | | | | 1.59 | (4) | | | | 1.34 | (4) | | | | 1.50 | (4) | | | | 37 | |
Year ended 12-31-2020 | | | | 6.97 | | | | | -3.13 | | | | | 31 | | | | | 1.37 | | | | | 1.06 | | | | | 1.46 | | | | | 0.97 | | | | | 72 | |
Year ended 12-31-2019 | | | | 8.05 | | | | | 24.43 | | | | | 35 | | | | | 1.26 | | | | | 1.36 | | | | | 1.35 | | | | | 1.27 | | | | | 54 | |
Year ended 12-31-2018 | | | | 6.60 | | | | | -5.57 | | | | | 34 | | | | | 1.24 | | | | | 1.45 | | | | | 1.33 | | | | | 1.36 | | | | | 71 | |
Year ended 12-31-2017 | | | | 7.64 | | | | | 5.39 | | | | | 43 | | | | | 1.22 | | | | | 1.38 | | | | | 1.31 | | | | | 1.29 | | | | | 73 | |
Year ended 12-31-2016 | | | | 8.39 | | | | | 4.26 | | | | | 49 | | | | | 1.20 | | | | | 1.26 | | | | | 1.29 | | | | | 1.17 | | | | | 79 | |
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Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 7.55 | | | | | 20.16 | | | | | 449 | | | | | 1.00 | (4) | | | | 1.32 | (4) | | | | — | | | | | — | | | | | 16 | |
Year ended 12-31-2020 | | | | 6.40 | | | | | 1.98 | | | | | 465 | | | | | 1.01 | | | | | 1.57 | | | | | — | | | | | — | | | | | 63 | |
Year ended 12-31-2019 | | | | 6.72 | | | | | 26.33 | | | | | 511 | | | | | 1.00 | | | | | 1.81 | | | | | — | | | | | — | | | | | 62 | |
Year ended 12-31-2018 | | | | 5.69 | | | | | -7.24 | | | | | 446 | | | | | 1.00 | | | | | 1.09 | | | | | — | | | | | — | | | | | 56 | |
Year ended 12-31-2017 | | | | 6.44 | | | | | 12.49 | | | | | 432 | | | | | 1.00 | | | | | 1.74 | | | | | — | | | | | — | | | | | 67 | |
Year ended 12-31-2016 | | | | 5.93 | | | | | 11.14 | | | | | 379 | | | | | 1.02 | | | | | 1.38 | | | | | 1.03 | | | | | 1.37 | | | | | 54 | |
See Accompanying Notes to Financial Statements.
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| NOTES TO FINANCIAL STATEMENTS | | IVY VIP |
JUNE 30, 2021 (UNAUDITED)
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. Delaware Ivy VIP Core Equity (formerly known as Ivy VIP Core Equity), Delaware Ivy VIP Corporate Bond (formerly known as Ivy VIP Corporate Bond), Delaware Ivy VIP Global Bond (formerly known as Ivy VIP Global Bond), Delaware Ivy VIP Global Equity Income (formerly known as Ivy VIP Global Equity Income), Delaware Ivy VIP Global Growth (formerly known as Ivy VIP Global Growth), Delaware Ivy VIP Limited-Term Bond (formerly known as Ivy VIP Limited-Term Bond), Delaware Ivy VIP Securian Real Estate Securities (formerly known as Ivy VIP Securian Real Estate Securities) and Delaware Ivy VIP Value (formerly known as Ivy VIP Value) (each, a “Portfolio”) are eight series of the Trust and are the only series of the Trust included in these financial statements. The assets belonging to each Portfolio are held separately by the custodian. The investment objective, policies and risk factors of each Portfolio are described more fully in the Prospectus and Statement of Additional Information (“SAI”). Each Portfolio’s investment adviser was Ivy Investment Management Company (“IICO”) through April 30, 2021. Effective April 30, 2021, each Portfolio’s investment adviser is Delaware Management Company (“DMC”).
| 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. The financial statements reflect an estimate of the reclassification of the distribution character.
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.
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 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
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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 Statements 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’ Statements 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 Statements 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.
The risk that changes related to the use of the London Interbank Offered Rate (“LIBOR”) or similar interbank offered rates (“IBORs,” such as the Euro Overnight Index Average (“EONIA”)) could have adverse impacts on financial instruments that reference LIBOR or a similar rate. While some instruments may contemplate a scenario where LIBOR or a similar rate is no longer available by providing for an alternative rate setting methodology, not all instruments have such fallback provisions and the effectiveness of replacement rates is uncertain. The abandonment of LIBOR and similar rates could affect the value and liquidity of instruments that reference such rates, especially those that do not have fallback provisions. The use of alternative reference rate products may impact investment strategy performance.
An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. This coronavirus has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.
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 Statements of Operations, even though investors do not receive their principal until maturity.
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Interest Only Obligations. These securities entitle the owner to receive only the interest portion from a bond, Treasury note or pool of mortgages. These securities are generally created by a third party separating a bond or pool of mortgages into distinct interest-only and principal-only securities. As the principal (par) amount of a bond or pool of mortgages is paid down, the amount of interest income earned by the owner will decline as well.
Loans. Certain Portfolios may invest in loans, the interest rates of which float or adjust periodically based upon a specified adjustment schedule, benchmark indicator, or prevailing interest rates, the debtor of which may be a domestic or foreign corporation, partnership or other entity (“Borrower”). Loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates generally include prime rates of one or more major U.S. banks, the LIBOR or certificates of deposit rates. Loans often require prepayments from excess cash flow or permit the Borrower to repay at its election. The degree to which Borrowers repay cannot be predicted with accuracy. As a result, the actual maturity may be substantially less than the stated maturities. Loans are exempt from registration under the Securities Act of 1933, as amended, may contain certain restrictions on resale, and cannot be sold publicly. A 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 Statements 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 DMC, 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 Statements 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.
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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.
| 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.
Short-term securities with maturities of 60 days or less are valued based on quotes that are obtained from an independent pricing service approved by the Board as described in the preceding paragraph above.
Because many foreign markets close before the NYSE, events may occur between the close of the foreign market and the close of the NYSE that could have a material impact on the valuation of foreign securities. Waddell & Reed Services Company (“WRSCO”), pursuant to procedures adopted by the Board, evaluates the impact of these events and may adjust the valuation of foreign securities to reflect the fair value as of the close of the NYSE. In addition, all securities for which values are not readily available or are deemed unreliable are appraised at fair value as determined in good faith under the supervision of the Board.
Where market quotes are not readily available, portfolio securities or financial instruments are valued at fair value, as determined in good faith by the Board or Valuation Committee pursuant to procedures approved by the Board.
Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE close, that materially affect the values of a 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. DMC, pursuant to authority delegated by the Board, has established a Valuation Committee to administer and oversee the valuation process, including the use of third party pricing vendors.
The Board has adopted methods for valuing securities and financial instruments in circumstances where market quotes are not readily available. For instances in which daily market quotes are not readily available, investments may be valued, pursuant to procedures established by the Board, with reference to other securities or indices. In the event that the security or financial instrument cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or financial instrument will be determined in good faith by the Valuation Committee in accordance with the procedures adopted by the Board.
When a 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.
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WRSCO is responsible for monitoring the implementation of the pricing and valuation policies through a series of activities to provide reasonable comfort of the accuracy of prices including: 1) periodic vendor due diligence meetings to review methodologies, new developments, and process at vendors, 2) daily and monthly multi-source pricing comparisons reviewed and submitted to the Valuation Committee, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by management and the Valuation Committee.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputs is summarized as follows:
| • | | Level 1 – Observable inputs such as quoted prices, available in active markets, for identical assets or liabilities. |
| • | | Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
| • | | Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at its direction that are used in determining the fair value of investments. |
A description of the valuation techniques applied to the 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.
Corporate Bonds. The fair value of corporate bonds, as obtained from an independent pricing service, is estimated using various techniques, which consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (where observable), bond spreads, fundamental data relating to the issuer, and credit default swap spreads adjusted for any basis difference between cash and derivative instruments. While most corporate bonds are categorized in Level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they are categorized in Level 3 of the fair value hierarchy.
Derivative Instruments. Forward foreign currency contracts are valued based upon the closing prices of the forward currency rates determined at the close of the NYSE, which are provided by an independent pricing service. Swaps derive their value from underlying asset prices, indices, reference rates and other inputs or a combination of these factors. Swaps are valued by an independent pricing service unless the price is unavailable, in which case they are valued at the price provided by a dealer in that security. Exchange-traded futures contracts are generally valued at the settlement price. Listed options are ordinarily valued at the mean of the last bid and ask price provided by an independent pricing service unless the price is unavailable, in which case they are valued at a quotation obtained from a broker-dealer. Over the counter (“OTC”) options are ordinarily valued at the mean of the last bid and ask price for a comparable listed option provided by an independent pricing service unless such a price is unavailable, in which case they are valued at a quotation obtained from a broker-dealer.
Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. OTC derivative contracts include forward foreign currency contracts, swap agreements, 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.
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, if any, 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, if any, occurred primarily due to the increased availability of observable market data due to increased market activity or information.
For fair valuations using unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the Notes to the Schedule of Investments for each respective Portfolio.
Net realized gain (loss) and net unrealized appreciation (depreciation), shown on the reconciliation of Level 3 investments, if applicable, are included on the Statements of Operations in net realized gain (loss) on investments in unaffiliated and/or affiliated securities and in net change in unrealized appreciation (depreciation) on investments in unaffiliated and/or affiliated securities, respectively.
| 4. | | DERIVATIVE INSTRUMENTS ($ amounts in thousands unless indicated otherwise) |
The following disclosures contain information on why and how the 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.
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Futures Contracts. Each Portfolio is authorized to engage in buying and selling futures contracts. Upon entering into a futures contract, a 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 amounts, known as variation margin, are paid or received by the Portfolio each day, dependent on the daily fluctuations in the value of the underlying debt security or index. Options on futures contracts may also be purchased or sold by a Portfolio.
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 Statements of Assets and Liabilities. The net change in unrealized appreciation (depreciation) is reported on the Statements of Operations. Realized gains (losses) are reported on the Statements 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.
Corporate Bond invests in long and/or short positions in futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk), 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 the underlying instruments acquired through the exercise of call options is increased by the premium paid to purchase the call. The proceeds from instruments sold through the exercise of put options are decreased by the premium paid to purchase the put.
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.
Option contracts can be traded on a regulated exchange or traded OTC. Unlike the trades on a regulated exchange where the clearinghouse guarantees the performances of both the buyer and the seller, to the extent a 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.
Value purchases and writes 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.
Collateral and rights of offset. A Portfolio mitigates credit risk with respect to OTC derivative counterparties through credit support annexes (“CSA”) included with an International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreement which is the standard contract governing all OTC derivative transactions between the Portfolio and each of its counterparties. Although it is not possible to eliminate credit risk entirely, the CSA allows the Portfolio and its counterparty to reduce their exposure to the risk of payment default by the other party by holding an amount in collateral equivalent to the realized and unrealized amount of exposure to the counterparty, which is generally held by the Portfolio’s custodian. An amount of collateral is moved to/from applicable counterparties only if the amount of collateral required to be posted surpasses both the threshold and the minimum transfer amount pre-agreed in the CSA between the Portfolio and the counterparty. See Note 2 “Segregation and Collateralization” for additional information with respect to collateral practices.
Offsetting of Assets and Liabilities. The following tables present financial instruments that are either (1) offset or (2) subject to an enforceable master netting arrangement or similar agreement as of June 30, 2021:
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| 54 | | SEMIANNUAL REPORT | | 2021 | | |
Liabilities
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | Gross Amounts Not Offset on the
Statements of Assets and Liabilities | |
| Portfolio | | Gross
Amounts of
Recognized
Liabilities | | | Gross
Amounts
Offset on the
Statements of
Assets and
Liabilities | | | Net Amounts
of Liabilities
Presented on
the Statements
of Assets and
Liabilities | | | Financial
Instruments
and
Derivatives
Available
for Offset | | | Non-Cash
Collateral
Pledged | | | Cash
Collateral
Pledged | | | Net
Amount
Payable | |
Value | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Written options at value | | $ | 177 | | | $ | — | | | $ | 177 | | | $ | — | | | $ | (174 | ) | | $ | — | | | $ | 3 | |
Additional Disclosure Related to Derivative Instruments
Fair values of derivative instruments as of June 30, 2021:
| | | | | | | | | | | | | | | | | | |
| | | | | Assets | | | | | | Liabilities | |
| Portfolio | | Type of Risk
Exposure | | Statements of Assets & Liabilities
Location | | Value | | | | | | Statements of Assets & Liabilities
Location | | Value | |
| Corporate Bond | | Interest Rate | | Unrealized appreciation on futures contracts* | | $ | 122 | | | | | | | | | $ | — | |
| Value | | Equity | | | | | — | | | | | | | Written options at value | | | 267 | |
* The value presented includes cumulative gain (loss) on open futures contracts; however, the value reflected on the accompanying Statements of Assets and Liabilities is only the unsettled variation margin receivable (payable) as of June 30, 2021.
Amount of realized gain (loss) on derivatives recognized on the Statements of Operations for the period ended June 30, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 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 | |
| Corporate Bond | | Interest rate | | $ | — | | | $ | — | | | $ | 649 | | | $ | — | | | $ | — | | | $ | 649 | |
| Value | | Equity | | | — | | | | — | | | | — | | | | 685 | | | | — | | | | 685 | |
* Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
Change in unrealized appreciation (depreciation) on derivatives recognized on the Statements of Operations for the period ended June 30, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 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 | |
| Corporate Bond | | Interest rate | | $ | — | | | $ | — | | | $ | 187 | | | $ | — | | | $ | — | | | $ | 187 | |
| Value | | Equity | | | — | | | | — | | | | — | | | | (187 | ) | | | — | | | | (187 | ) |
*Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
During the period ended June 30, 2021, the average derivative volume was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Portfolio | | Forward foreign
currency contracts(1) | | Long futures
contracts(2) | | Short futures
contracts(2) | | Swap
agreements(3) | | Purchased
options(2) | | Written
options(2) |
| Corporate Bond | | | | $— | | | | $ | 5,689 | | | | $ | 6,267 | | | | $ | — | | | | $ | — | | | | $ | — | |
| Value | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 331 | |
| (1) | Average absolute value of unrealized appreciation/depreciation during the period. |
| (2) | Average value outstanding during the period. |
| (3) | Average notional amount outstanding during the period. |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 55 | |
5. INVESTMENT MANAGEMENT AND PAYMENTS TO AFFILIATED PERSONS ($ amounts in thousands unless indicated otherwise)
Management Fees. IICO served as each Portfolio’s investment adviser through April 30, 2021. Effective April 30, 2021, DMC serves as each Portfolio’s investment adviser. The management fee is accrued daily by each Portfolio 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 | |
Core Equity | | | 0.700 | % | | | 0.700 | % | | | 0.650 | % | | | 0.650 | % | | | 0.600 | % | | | 0.550 | % |
Corporate Bond | | | 0.475 | | | | 0.475 | | | | 0.450 | | | | 0.400 | | | | 0.400 | | | | 0.400 | |
Global Bond | | | 0.625 | | | | 0.600 | | | | 0.550 | | | | 0.500 | | | | 0.500 | | | | 0.500 | |
Global Equity Income | | | 0.700 | | | | 0.700 | | | | 0.650 | | | | 0.650 | | | | 0.600 | | | | 0.550 | |
Global Growth | | | 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 | |
Securian Real Estate Securities | | | 0.900 | | | | 0.900 | | | | 0.870 | | | | 0.870 | | | | 0.840 | | | | 0.800 | |
Value | | | 0.700 | | | | 0.700 | | | | 0.650 | | | | 0.650 | | | | 0.600 | | | | 0.550 | |
DMC has voluntarily agreed to waive a Portfolio’s investment management fee on any Portfolio that is not subadvised on any day that the Portfolio’s net assets are less than $25 million, subject to DMC’s right to change or modify this waiver. See Expense Reimbursements and/or Waivers for more information.
DMC has entered into a Subadvisory Agreement with the following entity on behalf of Securian Real Estate Securities:
Securian Asset Management, Inc. (“Securian”) serves as subadvisor to Securian Real Estate Securities. The subadvisor makes investment decisions in accordance with the Portfolio’s investment objectives, policies and restrictions under the supervision of DMC and the Board of Trustees. DMC 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”). 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 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 | |
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 Statements of Operations.
Shareholder Servicing. Under the Transfer Agency Agreement between the Trust and WISC, each Portfolio reimburses WISC for certain out-of-pocket costs.
Service Plan. Class II. Under a Service Plan adopted by the Trust pursuant to Rule 12b–1 under the 1940 Act, each Portfolio may pay a service fee to Ivy Distributors, Inc. (“IDI”) through April 30, 2021 and Delaware Distributors, L.P. (“DDLP”) effective April 30, 2021 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 IDI/DDLP 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. DMC, the Portfolios’ investment manager, DDLP, the Portfolios’ distributor, and/or Waddell & Reed Services Company, doing business as WISC, the Portfolios’ transfer agent, have contractually agreed to reimburse sufficient management fees, 12b-1 fees and/or shareholder servicing fees to cap the total annual ordinary fund
| | | | | | |
| 56 | | SEMIANNUAL REPORT | | 2021 | | |
operating expenses (which would exclude interest, taxes, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses, if any). Portfolio and class expense limitations and related waivers/reimbursements for the period ended June 30, 2021 were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Portfolio Name | | Share
Class Name | | Type of
Expense Limit | | Commencement
Date | | | End Date | | | Expense
Limit | | Amount of
Expense Waiver/
Reimbursement | | | Expense Reduced |
| Core Equity | | Class II | | Contractual | | | 10-1-2016 | | | | 4-30-2022 | | | 0.95% | | $ | 148 | | | 12b-1 Fees and/or
Shareholder Servicing |
| Global Bond | | Class II | | Voluntary | | | N/A | | | | N/A | | | N/A | | $ | 63 | (1) | | Investment
Management Fee |
| Global Growth | | Class II | | Contractual | | | 10-1-2016 | | | | 4-30-2022 | | | 1.13% | | $ | 47 | | | 12b-1 Fees and/or
Shareholder Servicing |
| Securian Real Estate Securities | | Class II | | Contractual | | | 12-3-2012 | | | | 4-30-2022 | | | N/A | | $ | 15 | (2) | | Investment
Management Fee |
| (1) | For Portfolios managed solely by DMC, DMC has voluntarily agreed to waive its management fee for any day that a portfolio’s net assets are less than $25 million, subject to DMC’s right to change or modify this waiver. |
| (2) | The Portfolio’s investment management fee is being reduced by 0.09% of average daily net assets until April 30, 2022. |
Any amounts due to the Portfolios as a reimbursement but not paid as of June 30, 2021 are shown as a receivable from affiliates on the Statements of Assets and Liabilities.
6. INTERFUND LENDING PROGRAM
Pursuant to an exemptive order issued by the SEC (“Order”), the Ivy Funds, Ivy Variable Insurance Portfolios and InvestEd Portfolios (collectively, the “Funds” only for purposes of this footnote 6) have the ability to lend money to, and borrow money from, each other pursuant to a master interfund lending agreement (“Interfund Lending Program”). Under the Interfund Lending Program, the Funds may lend or borrow money for temporary purposes directly to or from one another (each an “Interfund Loan”), subject to meeting the conditions of the Order. The interest rate to be charged on an Interfund Loan is the average of the overnight repurchase agreement rate and the short-term bank loan rate. The Funds made no Interfund Loans under the Interfund Lending Program during the period ended June 30, 2021.
7. INVESTMENT SECURITIES TRANSACTIONS ($ amounts in thousands)
The cost of purchases and the proceeds from maturities and sales of investment securities (excluding short-term securities) for the period ended June 30, 2021, were as follows:
| | | | | | | | | | | | | | | | |
| | | Purchases | | | Sales | |
| | | U.S. Government | | | Other Issuers | | | U.S. Government | | | Other Issuers | |
Core Equity | | $ | — | | | $ | 106,027 | | | $ | — | | | $ | 201,969 | |
Corporate Bond | | | 39,833 | | | | 369,392 | | | | 24,955 | | | | 316,790 | |
Global Bond | | | 894 | | | | 3,720 | | | | 681 | | | | 3,555 | |
Global Equity Income | | | — | | | | 37,634 | | | | — | | | | 68,307 | |
Global Growth | | | — | | | | 14,651 | | | | — | | | | 26,203 | |
Limited-Term Bond | | | 17,144 | | | | 106,471 | | | | 34,960 | | | | 72,067 | |
Securian Real Estate Securities | | | — | | | | 12,297 | | | | — | | | | 12,278 | |
Value | | | — | | | | 72,342 | | | | — | | | | 165,179 | |
8. LOANS OF PORTFOLIO SECURITIES ($ amounts in thousands)
Each Portfolio may lend their portfolio securities only to borrowers that are approved by the Portfolio’s securities lending agent, The Bank of New York Mellon (“BNYM”). The borrower pledges and maintains with the Portfolio collateral consisting of cash or securities issued or guaranteed by the U.S. government. The collateral received by the Portfolio is required to have a value of at least 102% of the market value of the loaned securities for securities traded on U.S. exchanges and a value of at least 105% of the market value for all other securities, except in the case of loans of foreign securities which are denominated and payable in U.S. dollars, in which case the collateral is required to have a value of at least 102% of the market value of the loaned securities. The market value of the loaned securities is determined at the close of each business day and any additional required collateral is delivered to the Portfolio and any excess collateral is returned by the Portfolio on the next business day. During the term of the loan, the Portfolio is entitled to all distributions made on or in respect of the loaned securities but does not receive interest income on securities received as collateral. Loans of securities are terminable at any time and the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
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| | | 2021 | | | | SEMIANNUAL REPORT | | | | 57 | |
Cash received as collateral for securities on loan may be reinvested in the Dreyfus Institutional Preferred Government Money Market Fund – Institutional Shares or certain other registered money market funds and are disclosed in the Portfolio’s Schedule of Investments and are reflected in the Statements of Assets and Liabilities as cash collateral on securities loaned at value. Non-cash collateral, in the form of securities issued or guaranteed by the U.S. government or its agencies or instrumentalities, is not disclosed in the Portfolio’s Statements of Assets and Liabilities as it is held by the lending agent on behalf of the Portfolio and the Portfolio does not have the ability to re-hypothecate these securities. The securities on loan for each Portfolio are also disclosed in its Schedule of Investments. The total value of any securities on loan as of June 30, 2021 and the total value of the related cash collateral are disclosed in the Statements of Assets and Liabilities. Income earned by the Portfolios from securities lending activity is disclosed in the Statements of Operations.
The following is a summary of each Portfolio’s securities lending positions and related cash and non-cash collateral received as of June 30, 2021:
| | | | | | | | | | | | | | | | |
| Portfolio | | Value of
Securities on Loan | | | Cash
Collateral Received | | | Non-Cash
Collateral Received | | | Total
Collateral Received | |
Corporate Bond | | $ | 94 | | | $ | 96 | | | $ | — | | | $ | 96 | |
Global Bond | | | 722 | | | | 740 | | | | — | | | | 740 | |
Global Equity Income | | | 7,445 | | | | 788 | | | | 9,423 | | | | 10,211 | |
Global Growth | | | 1,071 | | | | — | | | | 1,095 | | | | 1,095 | |
Limited-Term Bond | | | 1,098 | | | | 1,127 | | | | — | | | | 1,127 | |
Value | | | 8,821 | | | | 9,015 | | | | — | | | | 9,015 | |
The cash collateral received amounts presented in the table above are transactions accounted for as secured borrowings and have an overnight and continuous maturity. The proceeds from the cash collateral received is invested in registered money market funds.
The risks of securities lending include the risk that the borrower may not provide additional collateral when required or may not return the securities when due. To mitigate these risks, the Portfolios benefit from a borrower indemnity provided by BNYM. BNYM’s indemnity allows for full replacement of securities lent wherein BNYM will purchase the unreturned loaned securities on the open market by applying the proceeds of the collateral or to the extent such proceeds are insufficient or the collateral is unavailable, BNYM will purchase the unreturned loan securities at BNYM’s expense. However, the Portfolio could suffer a loss if the value of the investments purchased with cash collateral falls below the value of the cash collateral received.
9. 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:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Core Equity | | | | | | Corporate Bond | |
| | | Six months ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | | | | | | Six months ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | |
| | | Shares | | | Value | | | Shares | | | Value | | | | | | Shares | | | Value | | | Shares | | | Value | |
Shares issued from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | 479 | | | $ | 7,290 | | | | 2,903 | | | $ | 31,943 | | | | | | | | 20,399 | | | $ | 119,608 | | | | 31,953 | | | $ | 185,875 | |
Shares issued in reinvestment of distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | 2,139 | | | | 32,449 | | | | 3,675 | | | | 41,268 | | | | | | | | 8,183 | | | | 44,860 | | | | 2,715 | | | | 15,230 | |
Shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | (6,742 | ) | | | (103,196 | ) | | | (12,562 | ) | | | (153,563 | ) | | | | | | | (9,771 | ) | | | (56,724 | ) | | | (28,668 | ) | | | (162,692 | ) |
| | | | | | | | | | | | |
Net increase (decrease) | | | (4,124 | ) | | $ | (63,457 | ) | | | (5,984 | ) | | $ | (80,352 | ) | | | | | | | 18,811 | | | $ | 107,744 | | | | 6,000 | | | $ | 38,413 | |
| | | | | | | | | | | | |
| | | | | | |
| 58 | | SEMIANNUAL REPORT | | 2021 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | |
| | | Global Bond | | | | | | Global Equity Income | |
| | | Six months
ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | | | | | | Six months ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | |
| | | Shares | | | Value | | | Shares | | | Value | | | | | | Shares | | | Value | | | Shares | | | Value | |
Shares issued from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | 374 | | | $ | 1,943 | | | | 1,085 | | | $ | 5,544 | | | | | | | | 948 | | | $ | 6,201 | | | | 16,011 | | | $ | 80,580 | |
Shares issued in reinvestment of distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | 147 | | | | 736 | | | | 164 | | | | 784 | | | | | | | | 1,078 | | | | 7,042 | | | | 1,697 | | | | 8,016 | |
Shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | (426 | ) | | | (2,197 | ) | | | (1,406 | ) | | | (7,089 | ) | | | | | | | (6,151 | ) | | | (39,590 | ) | | | (14,700 | ) | | | (75,899 | ) |
| | | | | | | | | | | | |
Net increase (decrease) | | | 95 | | | $ | 482 | | | | (157 | ) | | $ | (761 | ) | | | | | | | (4,125 | ) | | $ | (26,347 | ) | | | 3,008 | | | $ | 12,697 | |
| | | | | | | | | | | | |
| | | |
| | | Global Growth | | | | | | Limited-Term Bond | |
| | | Six months
ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | | | | | | Six months ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | |
| | | Shares | | | Value | | | Shares | | | Value | | | | | | Shares | | | Value | | | Shares | | | Value | |
Shares issued from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | 355 | | | $ | 1,590 | | | | 1,469 | | | $ | 5,075 | | | | | | | | 9,605 | | | $ | 47,993 | | | | 25,074 | | | $ | 124,940 | |
Shares issued in reinvestment of distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | 1,757 | | | | 7,649 | | | | 178 | | | | 585 | | | | | | | | 1,731 | | | | 8,512 | | | | 2,180 | | | | 10,693 | |
Shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | (2,887 | ) | | | (12,997 | ) | | | (6,864 | ) | | | (24,898 | ) | | | | | | | (7,053 | ) | | | (35,176 | ) | | | (32,863 | ) | | | (163,666 | ) |
| | | | | | | | | | | | |
Net increase (decrease) | | | (775 | ) | | $ | (3,758 | ) | | | (5,217 | ) | | $ | (19,238 | ) | | | | | | | 4,283 | | | $ | 21,329 | | | | (5,609 | ) | | $ | (28,033 | ) |
| | | | | | | | | | | | |
| | | |
| | | Securian Real Estate Securities | | | | | | Value | |
| | | Six months ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | | | | | | Six months ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | |
| | | Shares | | | Value | | | Shares | | | Value | | | | | | Shares | | | Value | | | Shares | | | Value | |
Shares issued from sale of shares: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | 376 | | | $ | 2,944 | | | | 644 | | | $ | 4,266 | | | | | | | | 823 | | | $ | 5,799 | | | | 15,095 | | | $ | 79,254 | |
Shares issued in reinvestment of distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | 112 | | | | 882 | | | | 494 | | | | 2,884 | | | | | | | | 1,137 | | | | 8,558 | | | | 5,308 | | | | 26,609 | |
Shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | (470 | ) | | | (3,640 | ) | | | (1,084 | ) | | | (7,443 | ) | | | | | | | (15,176 | ) | | | (109,601 | ) | | | (23,715 | ) | | | (128,980 | ) |
| | | | | | | | | | | | |
Net increase (decrease) | | | 18 | | | $ | 186 | | | | 54 | | | $ | (293 | ) | | | | | | | (13,216 | ) | | $ | (95,244 | ) | | | (3,312 | ) | | $ | (23,117 | ) |
| | | | | | | | | | | | |
10. COMMITMENTS
Bridge loan commitments may obligate a Portfolio to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Portfolio earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income is included in interest income on the Statements of Operations. At June 30, 2021, there were no outstanding bridge loan commitments.
11. OTHER FUND INFORMATION
At a meeting held on January 12, 2021, the Trustees, upon recommendation of the Audit Committee, selected PricewaterhouseCoopers LLP (“PwC”), contingent on PwC finalizing their independence assessment, to serve as the independent registered public accounting firm for the Trust for the fiscal year ending December 31, 2021. PwC affirmed their independence as an independent registered public accounting firm on February 18, 2021. During the fiscal years ended
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 59 | |
December 31, 2019 and December 31, 2020, Deloitte & Touche LLP’s (“Deloitte”) audit report on the financial statements of each Portfolio in the Trust did not contain any adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. In addition, there were no disagreements between the Trust and Deloitte on accounting principles, financial statements disclosures or audit scope, which, if not resolved to the satisfaction of Deloitte, would have caused them to make reference to the disagreement in their reports. Neither the Trust nor anyone on its behalf has consulted with PwC at any time prior to their selection with respect to the application of accounting principles to a specified transaction, either completed or proposed or the type of audit opinion that might be rendered on each Portfolio’s financial statements.
12. FEDERAL INCOME TAX MATTERS ($ amounts in thousands)
For Federal income tax purposes, cost of investments owned at June 30, 2021 and the related unrealized appreciation (depreciation) were as follows:
| | | | | | | | | | | | | | | | |
| Portfolio | | Cost of Investments | | | Gross Appreciation | | | Gross Depreciation | | | Net Unrealized
Appreciation | |
Core Equity | | $ | 500,059 | | | $ | 243,424 | | | $ | 258 | | | $ | 243,166 | |
Corporate Bond | | | 714,133 | | | | 27,204 | | | | 4,350 | | | | 22,854 | |
Global Bond | | | 20,463 | | | | 927 | | | | 136 | | | | 791 | |
Global Equity Income | | | 260,438 | | | | 58,641 | | | | 5,057 | | | | 53,584 | |
Global Growth | | | 96,973 | | | | 65,102 | | | | 332 | | | | 64,770 | |
Limited-Term Bond | | | 438,020 | | | | 6,010 | | | | 747 | | | | 5,263 | |
Securian Real Estate Securities | | | 31,666 | | | | 6,064 | | | | 420 | | | | 5,644 | |
Value | | | 354,134 | | | | 111,556 | | | | 4,143 | | | | 107,413 | |
For Federal income tax purposes, the Portfolios’ undistributed earnings and profit for the year ended December 31, 2020 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 | |
Core Equity | | $ | 2,107 | | | $ | 30,335 | | | $ | — | | | $ | — | | | $ | — | |
Corporate Bond | | | 32,000 | | | | 12,840 | | | | — | | | | — | | | | — | |
Global Bond | | | 734 | | | | — | | | | — | | | | — | | | | — | |
Global Equity Income | | | 7,038 | | | | — | | | | — | | | | — | | | | — | |
Global Growth | | | 87 | | | | 7,557 | | | | — | | | | — | | | | — | |
Limited-Term Bond | | | 8,495 | | | | — | | | | — | | | | — | | | | — | |
Securian Real Estate Securities | | | 327 | | | | 551 | | | | — | | | | — | | | | — | |
Value | | | 5,598 | | | | 70 | | | | — | | | | — | | | | — | |
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 are generated between 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, 2020 and 2019 were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | December 31, 2020 | | | | | | December 31, 2019 | |
| Portfolio | | Distributed
Ordinary
Income(1) | | | Distributed
Long-Term
Capital Gains | | | | | | Distributed
Ordinary
Income(1) | | | Distributed
Long-Term
Capital Gains | |
Core Equity | | $ | 10,009 | | | $ | 31,259 | | | | | | | $ | 4,416 | | | $ | 68,798 | |
Corporate Bond | | | 15,230 | | | | — | | | | | | | | 15,235 | | | | — | |
Global Bond | | | 784 | | | | — | | | | | | | | 784 | | | | — | |
Global Equity Income | | | 8,016 | | | | — | | | | | | | | 8,357 | | | | 76,812 | |
Global Growth | | | 585 | | | | — | | | | | | | | 11,998 | | | | 84,490 | |
Limited-Term Bond | | | 10,693 | | | | — | | | | | | | | 9,903 | | | | — | |
Securian Real Estate Securities | | | 942 | | | | 1,942 | | | | | | | | 582 | | | | 162 | |
Value | | | 10,310 | | | | 16,299 | | | | | | | | 3,917 | | | | 26,699 | |
| (1) | Includes short-term capital gains, if any. |
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| 60 | | SEMIANNUAL REPORT | | 2021 | | |
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, 2020 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of December 31, 2020, the capital loss
carryforwards were as follows:
| | | | | | | | |
| Portfolio | | Short-Term
Capital Loss
Carryover | | | Long-Term
Capital Loss
Carryover | |
Core Equity | | $ | — | | | $ | — | |
Corporate Bond | | | — | | | | — | |
Global Bond | | | 163 | | | | 986 | |
Global Equity Income | | | — | | | | 3,503 | |
Global Growth | | | — | | | | — | |
Limited-Term Bond | | | — | | | | — | |
Securian Real Estate Securities | | | — | | | | — | |
Value | | | — | | | | — | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 61 | |
| | |
| PROXY VOTING INFORMATION | | IVY VIP |
(UNAUDITED)
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 1.888.923-3355 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 at www.ivyinvestments.com and on the SEC’s website at www.sec.gov.
| | | | | | |
| 62 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| QUARTERLY PORTFOLIO SCHEDULE INFORMATION | | IVY VIP |
(UNAUDITED)
Portfolio holdings can be found on the Trust’s website at www.ivyinvestments.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 as an exhibit to the Trust’s Form N-PORT. These holdings may be viewed in the following ways:
| • | | On the SEC’s website at www.sec.gov. |
| • | | For review and copy at the SEC’s Public Reference Room in Washington, DC. Information on the operations of the Public Reference Room may be obtained by calling 1.800.SEC.0330. |
| | |
| OTHER INFORMATION | | IVY VIP |
The individual Portfolios herein have adopted a Liquidity Risk Management Program (the “Program”). The Portfolio’s board has designated a Liquidity Risk Management Committee (the “Committee”) as the administrator of the Program. The Committee or delegates of the Committee conduct the day-to-day operation of the Program. Under the Program, the Committee manages the Portfolio’s liquidity risk, which is the risk that any Portfolio could not meet shareholder redemption requests without significant dilution of remaining shareholders’ interests in the Portfolio. This risk is managed by monitoring the degree of liquidity of the Portfolio’s investments, limiting the amount of the Portfolio’s illiquid investments, and utilizing various risk management tools and facilities available to the Portfolio for meeting shareholder redemptions, among other means. The Committee’s process of determining the degree of liquidity of the Portfolio’s investments is supported by one or more third-party liquidity assessment vendors. The Portfolio’s board reviewed a report prepared by a designee of the Committee regarding the operation, adequacy and effectiveness of the Program from the period April 1, 2020, through December 31, 2020. The report described the Program’s liquidity classification methodology and the methodology in establishing a Portfolio’s Highly Liquid Investment Minimum (“HLIM”), if necessary. The Committee reported that during the period covered by the report, there were no material changes to the Program and no significant liquidity events impacting the Portfolio or its ability to timely meet redemptions without dilution to existing shareholders. In addition, the Committee provided its assessment that the Program, including the operation of each Portfolio’s HLIM, where applicable, had been effective in managing the Portfolio’s liquidity risk.
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| 66 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| DELAWARE BY MACQUARIE FAMILY | | |
Global/International Portfolios
Delaware Ivy VIP Global Equity Income
Delaware Ivy VIP Global Growth
Delaware Ivy VIP International Core Equity
Domestic Equity Portfolios
Delaware Ivy VIP Core Equity
Delaware Ivy VIP Growth
Delaware Ivy VIP Mid Cap Growth
Delaware Ivy VIP Small Cap Core
Delaware Ivy VIP Small Cap Growth
Delaware Ivy VIP Value
Fixed Income Portfolios
Delaware Ivy VIP Corporate Bond
Delaware Ivy VIP Global Bond
Delaware Ivy VIP High Income
Delaware Ivy VIP Limited-Term Bond
Money Market Portfolio
Delaware Ivy VIP Government Money Market
Specialty Portfolios
Delaware Ivy VIP Asset Strategy
Delaware Ivy VIP Balanced
Delaware Ivy VIP Energy
Delaware Ivy VIP Natural Resources
Delaware Ivy VIP Pathfinder Aggressive
Delaware Ivy VIP Pathfinder Conservative
Delaware Ivy VIP Pathfinder Moderate
Delaware Ivy VIP Pathfinder Moderately Aggressive
Delaware Ivy VIP Pathfinder Moderately Conservative
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility
Delaware Ivy VIP Pathfinder Moderately Conservative -Managed Volatility
Delaware Ivy VIP Science and Technology
Delaware Ivy VIP Securian Real Estate Securities
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.
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| | | 2021 | | | | SEMIANNUAL REPORT | | | | 67 | |
SEMIANN-VIP2 (06/21)
| | |
VARIABLE INSURANCE PORTFOLIOS | | Semiannual Report JUNE 30, 2021 |
| | | | |
| Ivy Variable Insurance Portfolios* | | | | |
| |
| Delaware Ivy VIP Pathfinder Aggressive (formerly, Ivy VIP Pathfinder Aggressive) | | | Class II | |
| |
| Delaware Ivy VIP Pathfinder Conservative (formerly, Ivy VIP Pathfinder Conservative) | | | Class II | |
| |
| Delaware Ivy VIP Pathfinder Moderate (formerly, Ivy VIP Pathfinder Moderate) | | | Class II | |
| |
| Delaware Ivy VIP Pathfinder Moderately Aggressive (formerly, Ivy VIP Pathfinder Moderately Aggressive) | | | Class II | |
| |
| Delaware Ivy VIP Pathfinder Moderately Conservative (formerly, Ivy VIP Pathfinder Moderately Conservative) | | | Class II | |
| |
| Delaware Ivy VIP Pathfinder Moderate — Managed Volatility (formerly, Ivy VIP Pathfinder Moderate — Managed Volatility) | | | Class II | |
| |
| Delaware Ivy VIP Pathfinder Moderately Aggressive — Managed Volatility (formerly, Ivy VIP Pathfinder Moderately Aggressive — Managed Volatility) | | | Class II | |
| |
| Delaware Ivy VIP Pathfinder Moderately Conservative — Managed Volatility (formerly, Ivy VIP Pathfinder Moderately Conservative — Managed Volatility) | | | Class II | |
| |
| Delaware Ivy VIP Government Money Market (formerly, Ivy VIP Government Money Market) | | | Class II | |
| * | Effective July 1, 2021, the name of each portfolio has been updated from Ivy VIP to Delaware Ivy VIP as indicated. |
IVY INVESTMENTS® refers to the investment management and investment advisory services offered by Macquarie Investment Management Business Trust (MIMBT) through its various series.
On December 2, 2020, Waddell & Reed Financial, Inc. (“WDR”), the parent company of Ivy Investment Management Company, the investment adviser of the Ivy Variable Insurance Portfolios (the “VIP Portfolios”), and Macquarie Management Holdings, Inc., the U.S. holding company for Macquarie Group Limited’s U.S. asset management business (“Macquarie”), announced that they had entered into an agreement whereby Macquarie would acquire the investment management business of WDR (the “Transaction”).
The Transaction closed on April 30, 2021. The VIP Portfolios, as part of Delaware Funds by Macquarie, are now managed by Delaware Management Company, a series of Macquarie Investment Management Business Trust, and distributed by Delaware Distributors, L.P.
| ^ | Effective July 1, 2021, the name of Ivy VIP Government Money Market changed to Delaware Ivy Government Money Market. |
Macquarie Investment Management (MIM) is a global asset manager with offices in the United States, Europe, Asia, and Australia. As active managers, we prioritize autonomy and accountability at the investment team level in pursuit of opportunities that matter for clients. Delaware Funds is one of the longest-standing mutual fund families, with more than 80 years in existence.
If you are interested in learning more about creating an investment plan, contact your financial advisor.
You can learn more about Delaware Funds or obtain a prospectus at www.ivyinvestments.com/reports/vip.
Macquarie Asset Management (MAM) offers a diverse range of products including securities investment management, infrastructure and real asset management, and fund and equity-based structured products. MIM is the marketing name for certain companies comprising the asset management division of Macquarie Group. This includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Funds Management Hong Kong Limited, Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
The Portfolios are distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
Other than Macquarie Bank Limited (MBL), none of the entities noted are authorized deposit-taking institutions for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these entities do not represent deposits or other liabilities of MBL. MBL does not guarantee or otherwise provide assurance in respect of the obligations of these entities, unless noted otherwise.
The Portfolios are governed by US laws and regulations. Unless otherwise noted, views expressed herein are current as of June 30, 2021, and subject to change for events occurring after such date. The Portfolios are not FDIC insured and are not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor. All third-party marks cited are the property of their respective owners.
© 2021 Macquarie Management Holdings, Inc.
| | |
| 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, 2021.
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 5 in Notes to Financial Statements for further information.
| | |
| ILLUSTRATION OF PORTFOLIO EXPENSES | | IVY VIP |
(UNAUDITED)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | |
| | | Actual(1) | | | Hypothetical(2) | | | | |
| | | | | | | |
| Portfolio | | Beginning
Account
Value
12-31-20 | | | Ending
Account
Value
6-30-21 | | | Expenses
Paid During
Period* | | | Beginning
Account
Value
12-31-20 | | | Ending
Account
Value
6-30-21 | | | Expenses
Paid During
Period* | | | Annualized
Expense Ratio
Based on the
Six-Month
Period | |
Pathfinder Aggressive | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | $ | 1,000 | | | $ | 1,121.20 | | | $ | 0.42 | | | $ | 1,000 | | | $ | 1,024.39 | | | $ | 0.40 | | | | 0.08% | |
Pathfinder Conservative | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | $ | 1,000 | | | $ | 1,065.00 | | | $ | 0.31 | | | $ | 1,000 | | | $ | 1,024.46 | | | $ | 0.30 | | | | 0.07% | |
Pathfinder Moderate | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | $ | 1,000 | | | $ | 1,094.20 | | | $ | 0.21 | | | $ | 1,000 | | | $ | 1,024.63 | | | $ | 0.20 | | | | 0.03% | |
Pathfinder Moderately Aggressive | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | $ | 1,000 | | | $ | 1,108.40 | | | $ | 0.21 | | | $ | 1,000 | | | $ | 1,024.63 | | | $ | 0.20 | | | | 0.03% | |
Pathfinder Moderately Conservative | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | $ | 1,000 | | | $ | 1,079.30 | | | $ | 0.21 | | | $ | 1,000 | | | $ | 1,024.55 | | | $ | 0.20 | | | | 0.05% | |
Pathfinder Moderate — Managed Volatility | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | $ | 1,000 | | | $ | 1,085.80 | | | $ | 1.15 | | | $ | 1,000 | | | $ | 1,023.70 | | | $ | 1.11 | | | | 0.22% | |
Pathfinder Moderately Aggressive — Managed Volatility | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | $ | 1,000 | | | $ | 1,100.40 | | | $ | 1.37 | | | $ | 1,000 | | | $ | 1,023.48 | | | $ | 1.32 | | | | 0.26% | |
Pathfinder Moderately Conservative —Managed Volatility | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | $ | 1,000 | | | $ | 1,071.20 | | | $ | 1.35 | | | $ | 1,000 | | | $ | 1,023.45 | | | $ | 1.32 | | | | 0.27% | |
Government Money Market | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | $ | 1,000 | | | $ | 1,000.00 | | | $ | 0.40 | | | $ | 1,000 | | | $ | 1,024.37 | | | $ | 0.40 | | | | 0.09% | |
| * | 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, 2021, and divided by 365. |
| (1) | This section uses the Portfolio’s actual total return and actual Portfolio expenses. It is a guide to the actual expenses paid by the Portfolio in the period. The “Ending Account Value” shown is computed using the Portfolio’s actual return and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. A shareholder may use the information here, together with the dollar amount invested, to estimate the expenses that were paid over the period. For every thousand dollars a shareholder has invested, the expenses are listed in the last column of this section. |
| (2) | This section uses a hypothetical five percent annual return and actual Portfolio expenses. It helps to compare the Portfolio’s ongoing costs with other mutual funds. A shareholder can compare the Portfolio’s ongoing costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other Portfolios. |
The above illustrations are based on ongoing costs only.
| | |
| PORTFOLIO HIGHLIGHTS | | PATHFINDER PORTFOLIOS |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Delaware Ivy VIP Pathfinder Aggressive(a) – Asset Allocation
| | |
Delaware Ivy VIP Growth, Class II | | 19.8% |
Delaware Ivy VIP International Core Equity, Class II | | 15.9% |
Delaware Ivy VIP Global Equity Income, Class II | | 13.1% |
Delaware Ivy VIP Core Equity, Class II | | 12.3% |
Delaware Ivy VIP Mid Cap Growth, Class I | | 10.4% |
Delaware Ivy VIP Value, Class II | | 10.2% |
Delaware Ivy VIP Corporate Bond, Class II | | 9.7% |
Delaware Ivy VIP Limited-Term Bond, Class II | | 5.0% |
Delaware Ivy VIP Small Cap Growth, Class I | | 2.5% |
Delaware Ivy VIP Small Cap Core, Class II | | 0.6% |
Delaware Ivy VIP High Income, Class I | | 0.3% |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | | 0.2% |
Delaware Ivy VIP Pathfinder Conservative(b) – Asset Allocation
| | |
Delaware Ivy VIP Corporate Bond, Class II | | 28.7% |
Delaware Ivy VIP Limited-Term Bond, Class II | | 24.7% |
Delaware Ivy VIP Growth, Class II | | 13.1% |
Delaware Ivy VIP Core Equity, Class II | | 7.3% |
Delaware Ivy VIP Mid Cap Growth, Class I | | 7.2% |
Delaware Ivy VIP Value, Class II | | 6.3% |
Delaware Ivy VIP International Core Equity, Class II | | 5.3% |
Delaware Ivy VIP Global Equity Income, Class II | | 4.3% |
Delaware Ivy VIP Small Cap Growth, Class I | | 1.5% |
Delaware Ivy VIP High Income, Class I | | 1.3% |
Delaware Ivy VIP Small Cap Core, Class II | | 0.1% |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | 0.2% |
Delaware Ivy VIP Pathfinder Moderate(c) – Asset Allocation
| | |
Delaware Ivy VIP Corporate Bond, Class II | | 19.2% |
Delaware Ivy VIP Growth, Class II | | 16.5% |
Delaware Ivy VIP Limited-Term Bond, Class II | | 14.8% |
Delaware Ivy VIP International Core Equity, Class II | | 10.6% |
Delaware Ivy VIP Core Equity, Class II | | 9.8% |
Delaware Ivy VIP Mid Cap Growth, Class I | | 8.8% |
Delaware Ivy VIP Global Equity Income, Class II | | 8.7% |
Delaware Ivy VIP Value, Class II | | 8.3% |
Delaware Ivy VIP Small Cap Growth, Class I | | 2.0% |
Delaware Ivy VIP High Income, Class I | | 0.7% |
Delaware Ivy VIP Small Cap Core, Class II | | 0.4% |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | | 0.2% |
Delaware Ivy VIP Pathfinder Moderately Aggressive(d) – Asset Allocation
| | |
Delaware Ivy VIP Growth, Class II | | 18.1% |
Delaware Ivy VIP Corporate Bond, Class II | | 14.5% |
Delaware Ivy VIP International Core Equity, Class II | | 13.2% |
Delaware Ivy VIP Core Equity, Class II | | 11.1% |
Delaware Ivy VIP Global Equity Income, Class II | | 10.9% |
Delaware Ivy VIP Limited-Term Bond, Class II | | 9.9% |
Delaware Ivy VIP Mid Cap Growth, Class I | | 9.6% |
Delaware Ivy VIP Value, Class II | | 9.2% |
Delaware Ivy VIP Small Cap Growth, Class I | | 2.3% |
Delaware Ivy VIP High Income, Class I | | 0.5% |
Delaware Ivy VIP Small Cap Core, Class II | | 0.5% |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | 0.2% |
| | |
| PORTFOLIO HIGHLIGHTS | | PATHFINDER PORTFOLIOS |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Delaware Ivy VIP Pathfinder Moderately Conservative(e) – Asset Allocation
| | |
Delaware Ivy VIP Corporate Bond, Class II | | 23.9% |
Delaware Ivy VIP Limited-Term Bond, Class II | | 19.7% |
Delaware Ivy VIP Growth, Class II | | 14.8% |
Delaware Ivy VIP Core Equity, Class II | | 8.5% |
Delaware Ivy VIP Mid Cap Growth, Class I | | 8.0% |
Delaware Ivy VIP International Core Equity, Class II | | 7.9% |
Delaware Ivy VIP Value, Class II | | 7.3% |
Delaware Ivy VIP Global Equity Income, Class II | | 6.5% |
Delaware Ivy VIP Small Cap Growth, Class I | | 1.8% |
Delaware Ivy VIP High Income, Class I | | 1.0% |
Delaware Ivy VIP Small Cap Core, Class II | | 0.3% |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | 0.3% |
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility(f) – Asset Allocation
| | |
Delaware Ivy VIP Corporate Bond, Class II | | 18.7% |
Delaware Ivy VIP Growth, Class II | | 16.0% |
Delaware Ivy VIP Limited-Term Bond, Class II | | 14.4% |
Delaware Ivy VIP International Core Equity, Class II | | 10.3% |
Delaware Ivy VIP Core Equity, Class II | | 9.5% |
Delaware Ivy VIP Mid Cap Growth, Class I | | 8.6% |
Delaware Ivy VIP Global Equity Income, Class II | | 8.5% |
Delaware Ivy VIP Value, Class II | | 8.1% |
Delaware Ivy VIP Small Cap Growth, Class I | | 2.0% |
Delaware Ivy VIP High Income, Class I | | 0.7% |
Delaware Ivy VIP Small Cap Core, Class II | | 0.4% |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | | 2.8% |
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility(g) – Asset Allocation
| | |
Delaware Ivy VIP Growth, Class II | | 17.6% |
Delaware Ivy VIP Corporate Bond, Class II | | 14.1% |
Delaware Ivy VIP International Core Equity, Class II | | 12.9% |
Delaware Ivy VIP Core Equity, Class II | | 10.7% |
Delaware Ivy VIP Global Equity Income, Class II | | 10.6% |
Delaware Ivy VIP Limited-Term Bond, Class II | | 9.6% |
Delaware Ivy VIP Mid Cap Growth, Class I | | 9.3% |
Delaware Ivy VIP Value, Class II | | 9.0% |
Delaware Ivy VIP Small Cap Growth, Class I | | 2.2% |
Delaware Ivy VIP High Income, Class I | | 0.5% |
Delaware Ivy VIP Small Cap Core, Class II | | 0.5% |
Liabilities (Net of Cash and Other Assets), and Cash Equivalents+ | | 3.0% |
Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility(h) – Asset Allocation
| | |
Delaware Ivy VIP Corporate Bond, Class II | | 23.3% |
Delaware Ivy VIP Limited-Term Bond, Class II | | 19.2% |
Delaware Ivy VIP Growth, Class II | | 14.4% |
Delaware Ivy VIP Core Equity, Class II | | 8.3% |
Delaware Ivy VIP Mid Cap Growth, Class I | | 7.8% |
Delaware Ivy VIP International Core Equity, Class II | | 7.7% |
Delaware Ivy VIP Value, Class II | | 7.1% |
Delaware Ivy VIP Global Equity Income, Class II | | 6.4% |
Delaware Ivy VIP Small Cap Growth, Class I | | 1.7% |
Delaware Ivy VIP High Income, Class I | | 1.0% |
Delaware Ivy VIP Small Cap Core, Class II | | 0.3% |
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | | 2.8% |
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. |
| (a) | Effective July 1, 2021, the name of Ivy VIP Pathfinder Aggressive changed to Delaware Ivy VIP Pathfinder Aggressive. |
| (b) | Effective July 1, 2021, the name of Ivy VIP Pathfinder Conservative changed to Delaware Ivy VIP Pathfinder Conservative. |
| (c) | Effective July 1, 2021, the name of Ivy VIP Pathfinder Moderate changed to Delaware Ivy VIP Pathfinder Moderate. |
| | |
| PORTFOLIO HIGHLIGHTS | | PATHFINDER PORTFOLIOS |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
| (d) | Effective July 1, 2021, the name of Ivy VIP Pathfinder Moderately Aggressive changed to Delaware Ivy VIP Pathfinder Moderately Aggressive. |
| (e) | Effective July 1, 2021, the name of Ivy VIP Pathfinder Moderately Conservative changed to Delaware Ivy VIP Pathfinder Moderately Conservative. |
| (f) | Effective July 1, 2021, the name of Ivy VIP Pathfinder Moderate – Managed Volatility changed to Delaware Ivy VIP Pathfinder Moderate – Managed Volatility. |
| (g) | Effective July 1, 2021, the name of Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility changed to Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility. |
| (h) | Effective July 1, 2021, the name of Ivy VIP Pathfinder Moderately Conservative – Managed Volatility changed to Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility. |
| | |
| SCHEDULE OF INVESTMENTS | | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
Delaware Ivy VIP Pathfinder Aggressive | |
| AFFILIATED MUTUAL FUNDS | | Shares | | | Value | |
Delaware Ivy VIP Core Equity, Class II | | | 562 | | | $ | 8,854 | |
Delaware Ivy VIP Corporate Bond, Class II | | | 1,242 | | | | 6,994 | |
Delaware Ivy VIP Global Equity Income, Class II | | | 1,438 | | | | 9,367 | |
Delaware Ivy VIP Growth, Class II | | | 1,084 | | | | 14,241 | |
Delaware Ivy VIP High Income, Class I | | | 53 | | | | 179 | |
Delaware Ivy VIP International Core Equity, Class II | | | 622 | | | | 11,424 | |
Delaware Ivy VIP Limited-Term Bond, Class II | | | 722 | | | | 3,551 | |
Delaware Ivy VIP Mid Cap Growth, Class I | | | 432 | | | | 7,429 | |
Delaware Ivy VIP Small Cap Core, Class II | | | 27 | | | | 442 | |
Delaware Ivy VIP Small Cap Growth, Class I | | | 156 | | | | 1,824 | |
Delaware Ivy VIP Value, Class II | | | 973 | | | | 7,340 | |
| | | | | | | | |
| |
TOTAL AFFILIATED MUTUAL
FUNDS – 99.8% | | | $ | 71,645 | |
(Cost: $67,663) | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
| |
Money Market Funds (A) – 0.2% | |
State Street Institutional U.S. Government Money Market Fund – Premier Class
0.030% | | | 150 | | | | 150 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 0.2% | | | $ | 150 | |
(Cost: $150) | | | | | | | | |
| |
TOTAL INVESTMENT
SECURITIES – 100.0% | | | $ | 71,795 | |
(Cost: $67,813) | | | | | | | | |
| |
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0% | | | | 32 | |
| |
NET ASSETS – 100.0% | | | $ | 71,827 | |
Notes to Schedule of Investments
| (A) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 71,645 | | | $ | — | | | $ | — | |
Short-Term Securities | | | 150 | | | | — | | | | — | |
| | | | |
Total | | $ | 71,795 | | | $ | — | | | $ | — | |
| | | | |
Delaware Ivy VIP Pathfinder Conservative
| | | | | | | | |
| AFFILIATED MUTUAL FUNDS | | Shares | | | Value | |
Delaware Ivy VIP Core Equity, Class II | | | 513 | | | $ | 8,077 | |
Delaware Ivy VIP Corporate Bond, Class II | | | 5,644 | | | | 31,786 | |
Delaware Ivy VIP Global Equity Income, Class II | | | 739 | | | | 4,813 | |
Delaware Ivy VIP Growth, Class II | | | 1,104 | | | | 14,497 | |
Delaware Ivy VIP High Income, Class I | | | 410 | | | | 1,377 | |
Delaware Ivy VIP International Core Equity, Class II | | | 319 | | | | 5,870 | |
Delaware Ivy VIP Limited-Term Bond, Class II | | | 5,562 | | | | 27,365 | |
Delaware Ivy VIP Mid Cap Growth, Class I | | | 467 | | | | 8,019 | |
Delaware Ivy VIP Small Cap Core, Class II | | | 8 | | | | 136 | |
Delaware Ivy VIP Small Cap Growth, Class I | | | 145 | | | | 1,687 | |
Delaware Ivy VIP Value, Class II | | | 928 | | | | 7,002 | |
| | | | | | | | |
| |
TOTAL AFFILIATED MUTUAL
FUNDS – 99.8% | | | $ | 110,629 | |
(Cost: $107,821) | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
| |
Money Market Funds (A) – 0.3% | |
State Street Institutional U.S. Government Money Market Fund – Premier Class
0.030% | | | 340 | | | | 340 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 0.3% | | | $ | 340 | |
(Cost: $340) | | | | | | | | |
| |
TOTAL INVESTMENT
SECURITIES – 100.1% | | | $ | 110,969 | |
(Cost: $108,161) | | | | | | | | |
| |
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.1)% | | | | (74 | ) |
| |
NET ASSETS – 100.0% | | | $ | 110,895 | |
Notes to Schedule of Investments
| (A) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 110,629 | | | $ | — | | | $ | — | |
Short-Term Securities | | | 340 | | | | — | | | | — | |
| | | | |
Total | | $ | 110,969 | | | $ | — | | | $ | — | |
| | | | |
Delaware Ivy VIP Pathfinder Moderate
| | | | | | | | |
| AFFILIATED MUTUAL FUNDS | | Shares | | | Value | |
Delaware Ivy VIP Core Equity, Class II | | | 4,089 | | | $ | 64,387 | |
Delaware Ivy VIP Corporate Bond, Class II | | | 22,404 | | | | 126,167 | |
Delaware Ivy VIP Global Equity Income, Class II | | | 8,757 | | | | 57,051 | |
Delaware Ivy VIP Growth, Class II | | | 8,224 | | | | 108,015 | |
Delaware Ivy VIP High Income, Class I | | | 1,458 | | | | 4,899 | |
Delaware Ivy VIP International Core Equity, Class II | | | 3,787 | | | | 69,583 | |
Delaware Ivy VIP Limited-Term Bond, Class II | | | 19,783 | | | | 97,333 | |
Delaware Ivy VIP Mid Cap Growth, Class I | | | 3,359 | | | | 57,697 | |
Delaware Ivy VIP Small Cap Core, Class II | | | 147 | | | | 2,426 | |
Delaware Ivy VIP Small Cap Growth, Class I | | | 1,143 | | | | 13,330 | |
Delaware Ivy VIP Value, Class II | | | 7,193 | | | | 54,285 | |
| | | | | | | | |
| |
TOTAL AFFILIATED MUTUAL
FUNDS – 99.8% | | | $ | 655,173 | |
(Cost: $624,878) | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
| |
Money Market Funds (A) – 0.2% | |
State Street Institutional U.S. Government Money Market Fund – Premier Class,
0.030% | | | 1,142 | | | | 1,142 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 0.2% | | | $ | 1,142 | |
(Cost: $1,142) | | | | | | | | |
| |
TOTAL INVESTMENT
SECURITIES – 100.0% | | | $ | 656,315 | |
(Cost: $626,020) | | | | | | | | |
| |
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0% | | | | 191 | |
| |
NET ASSETS – 100.0% | | | $ | 656,506 | |
Notes to Schedule of Investments
| (A) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 655,173 | | | $ | — | | | $ | — | |
Short-Term Securities | | | 1,142 | | | | — | | | | — | |
| | | | |
Total | | $ | 656,315 | | | $ | — | | | $ | — | |
| | | | |
| | |
| SCHEDULE OF INVESTMENTS | | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2021 (UNAUDITED)
Delaware Ivy VIP Pathfinder Moderately Aggressive
| | | | | | | | |
| AFFILIATED MUTUAL FUNDS | | Shares | | | Value | |
Delaware Ivy VIP Core Equity, Class II | | | 5,646 | | | $ | 88,893 | |
Delaware Ivy VIP Corporate Bond, Class II | | | 20,651 | | | | 116,296 | |
Delaware Ivy VIP Global Equity Income, Class II | | | 13,394 | | | | 87,261 | |
Delaware Ivy VIP Growth, Class II | | | 11,095 | | | | 145,721 | |
Delaware Ivy VIP High Income, Class I | | | 1,189 | | | | 3,997 | |
Delaware Ivy VIP International Core Equity, Class II | | | 5,792 | | | | 106,430 | |
Delaware Ivy VIP Limited-Term Bond, Class II | | | 16,139 | | | | 79,404 | |
Delaware Ivy VIP Mid Cap Growth, Class I | | | 4,474 | | | | 76,842 | |
Delaware Ivy VIP Small Cap Core, Class II | | | 240 | | | | 3,957 | |
Delaware Ivy VIP Small Cap Growth, Class I | | | 1,574 | | | | 18,352 | |
Delaware Ivy VIP Value, Class II | | | 9,837 | | | | 74,237 | |
| | | | | | | | |
| |
TOTAL AFFILIATED MUTUAL
FUNDS – 99.8% | | | $ | 801,390 | |
(Cost: $757,849) | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
| |
Money Market Funds (A) – 0.2% | |
State Street Institutional U.S. Government Money Market Fund – Premier Class
0.030% | | | 1,408 | | | | 1,408 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM
SECURITIES – 0.2% | | | $ | 1,408 | |
(Cost: $1,408) | | | | | | | | |
| |
TOTAL INVESTMENT SECURITIES – 100.0% | | | $ | 802,798 | |
(Cost: $759,257) | | | | | | | | |
| |
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% | | | | (113 | ) |
| |
NET ASSETS – 100.0% | | | $ | 802,685 | |
Notes to Schedule of Investments
| (A) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 801,390 | | | $ | — | | | $ | — | |
Short-Term Securities | | | 1,408 | | | | — | | | | — | |
| | | | |
Total | | $ | 802,798 | | | $ | — | | | $ | — | |
| | | | |
Delaware Ivy VIP Pathfinder Moderately Conservative
| | | | | | | | |
| AFFILIATED MUTUAL FUNDS | | Shares | | | Value | |
Delaware Ivy VIP Core Equity, Class II | | | 1,048 | | | $ | 16,499 | |
Delaware Ivy VIP Corporate Bond, Class II | | | 8,210 | | | | 46,234 | |
Delaware Ivy VIP Global Equity Income, Class II | | | 1,930 | | | | 12,577 | |
Delaware Ivy VIP Growth, Class II | | | 2,170 | | | | 28,500 | |
Delaware Ivy VIP High Income, Class I | | | 571 | | | | 1,920 | |
Delaware Ivy VIP International Core Equity, Class II | | | 835 | | | | 15,339 | |
Delaware Ivy VIP Limited-Term Bond, Class II | | | 7,753 | | | | 38,145 | |
Delaware Ivy VIP Mid Cap Growth, Class I | | | 900 | | | | 15,463 | |
Delaware Ivy VIP Small Cap Core, Class II | | | 29 | | | | 475 | |
Delaware Ivy VIP Small Cap Growth, Class I | | | 294 | | | | 3,428 | |
Delaware Ivy VIP Value, Class II | | | 1,865 | | | | 14,078 | |
| | | | | | | | |
| |
TOTAL AFFILIATED MUTUAL
FUNDS – 99.7% | | | $ | 192,658 | |
(Cost: $185,352) | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
| |
Money Market Funds (A) – 0.5% | |
State Street Institutional U.S. Government Money Market Fund – Premier Class
0.030% | | | 987 | | | | 987 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM
SECURITIES – 0.5% | | | $ | 987 | |
(Cost: $987) | | | | | | | | |
| |
TOTAL INVESTMENT SECURITIES – 100.2% | | | $ | 193,645 | |
(Cost: $186,339) | | | | | | | | |
| |
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.2)% | | | | (294 | ) |
| |
NET ASSETS – 100.0% | | | $ | 193,351 | |
Notes to Schedule of Investments
| (A) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 192,658 | | | $ | — | | | $ | — | |
Short-Term Securities | | | 987 | | | | — | | | | — | |
| | | | |
Total | | $ | 193,645 | | | $ | — | | | $ | — | |
| | | | |
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility
| | | | | | | | |
| AFFILIATED MUTUAL FUNDS | | Shares | | | Value | |
Delaware Ivy VIP Core Equity, Class II | | | 4,675 | | | $ | 73,606 | |
Delaware Ivy VIP Corporate Bond, Class II | | | 25,612 | | | | 144,234 | |
Delaware Ivy VIP Global Equity Income, Class II | | | 10,012 | | | | 65,228 | |
Delaware Ivy VIP Growth, Class II | | | 9,400 | | | | 123,461 | |
Delaware Ivy VIP High Income, Class I | | | 1,667 | | | | 5,601 | |
Delaware Ivy VIP International Core Equity, Class II | | | 4,330 | | | | 79,556 | |
Delaware Ivy VIP Limited-Term Bond, Class II | | | 22,617 | | | | 111,275 | |
Delaware Ivy VIP Mid Cap Growth, Class I | | | 3,839 | | | | 65,948 | |
Delaware Ivy VIP Small Cap Core, Class II | | | 168 | | | | 2,773 | |
Delaware Ivy VIP Small Cap Growth, Class I | | | 1,307 | | | | 15,236 | |
Delaware Ivy VIP Value, Class II | | | 8,224 | | | | 62,067 | |
| | | | | | | | |
| |
TOTAL AFFILIATED MUTUAL
FUNDS – 97.2% | | | $ | 748,985 | |
(Cost: $705,314) | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
| |
Money Market Funds (A) – 2.8% | |
State Street Institutional U.S. Government Money Market Fund – Premier Class
0.030% | | | 21,627 | | | | 21,627 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM
SECURITIES – 2.8% | | | $ | 21,627 | |
(Cost: $21,627) | | | | | | | | |
| |
TOTAL INVESTMENT SECURITIES – 100.0% | | | $ | 770,612 | |
(Cost: $726,941) | | | | | | | | |
| |
CASH AND OTHER ASSETS, NET OF LIABILITIES(B) – 0.0% | | | | 107 | |
| |
NET ASSETS – 100.0% | | | $ | 770,719 | |
Notes to Schedule of Investments
| (A) | Rate shown is the annualized 7-day yield at June 30, 2021. |
| (B) | Cash of $165 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2021 (contracts unrounded):
| | | | | | | | | | | | | | | | | | | | |
| Description | | Type | | Number
of
Contracts | | | Expiration
Date | | | Notional
Amount | | Value | | | Unrealized
Depreciation | |
E-mini S&P 500 Index | | Short | | | 15 | | | | 9-30-21 | | | 1 | | $ | (3,216 | ) | | $ | (39 | ) |
| | | | | | | | | | | | | | | | |
| | |
| SCHEDULE OF INVESTMENTS | | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2021 (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, 2021. 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 | | $ | 748,985 | | | $ | — | | | $ | — | |
Short-Term Securities | | | 21,627 | | | | — | | | | — | |
| | | | |
Total | | $ | 770,612 | | | $ | — | | | $ | — | |
| | | | |
Liabilities | | | | | | | | | | | | |
Futures Contracts | | $ | 39 | | | $ | — | | | $ | — | |
| | | | |
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility
| | | | | | | | |
| AFFILIATED MUTUAL FUNDS | | Shares | | | Value | |
Delaware Ivy VIP Core Equity, Class II | | | 689 | | | $ | 10,840 | |
Delaware Ivy VIP Corporate Bond, Class II | | | 2,518 | | | | 14,183 | |
Delaware Ivy VIP Global Equity Income, Class II | | | 1,634 | | | | 10,643 | |
Delaware Ivy VIP Growth, Class II | | | 1,353 | | | | 17,768 | |
Delaware Ivy VIP High Income, Class I | | | 145 | | | | 487 | |
Delaware Ivy VIP International Core Equity, Class II | | | 706 | | | | 12,981 | |
Delaware Ivy VIP Limited-Term Bond, Class II | | | 1,968 | | | | 9,684 | |
Delaware Ivy VIP Mid Cap Growth, Class I | | | 545 | | | | 9,369 | |
Delaware Ivy VIP Small Cap Core, Class II | | | 29 | | | | 483 | |
Delaware Ivy VIP Small Cap Growth, Class I | | | 192 | | | | 2,238 | |
Delaware Ivy VIP Value, Class II | | | 1,200 | | | | 9,054 | |
| | | | | | | | |
| |
TOTAL AFFILIATED MUTUAL
FUNDS – 97.0% | | | $ | 97,730 | |
(Cost: $93,159) | | | | | | | | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
| |
Money Market Funds (A) – 3.0% | |
State Street Institutional U.S. Government Money Market Fund – Premier Class
0.030% | | | 3,031 | | | | 3,031 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 3.0% | | | $ | 3,031 | |
(Cost: $3,031) | | | | | | | | |
| |
TOTAL INVESTMENT
SECURITIES – 100.0% | | | $ | 100,761 | |
(Cost: $96,190) | | | | | | | | |
| |
LIABILITIES, NET OF CASH AND OTHER ASSETS – 0.0% | | | | (14 | ) |
| |
NET ASSETS – 100.0% | | | $ | 100,747 | |
Notes to Schedule of Investments
| (A) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 97,730 | | | $ | — | | | $ | — | |
Short-Term Securities | | | 3,031 | | | | — | | | | — | |
| | | | |
Total | | $ | 100,761 | | | $ | — | | | $ | — | |
| | | | |
Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility
| | | | | | | | |
| AFFILIATED MUTUAL FUNDS | | Shares | | | Value | |
Delaware Ivy VIP Core Equity, Class II | | | 473 | | | $ | 7,446 | |
Delaware Ivy VIP Corporate Bond, Class II | | | 3,705 | | | | 20,867 | |
Delaware Ivy VIP Global Equity Income, Class II | | | 871 | | | | 5,676 | |
Delaware Ivy VIP Growth, Class II | | | 979 | | | | 12,864 | |
Delaware Ivy VIP High Income, Class I | | | 258 | | | | 867 | |
Delaware Ivy VIP International Core Equity, Class II | | | 377 | | | | 6,923 | |
Delaware Ivy VIP Limited-Term Bond, Class II | | | 3,499 | | | | 17,216 | |
Delaware Ivy VIP Mid Cap Growth, Class I | | | 406 | | | | 6,980 | |
Delaware Ivy VIP Small Cap Core, Class II | | | 13 | | | | 214 | |
Delaware Ivy VIP Small Cap Growth, Class I | | | 133 | | | | 1,547 | |
Delaware Ivy VIP Value, Class II | | | 842 | | | | 6,353 | |
| | | | | | | | |
| |
TOTAL AFFILIATED MUTUAL
FUNDS – 97.2% | | | $ | 86,953 | |
(Cost: $83,401) | | | | | | | | |
| | |
| SHORT-TERM SECURITIES | | | | | | |
| |
Money Market Funds (A) – 2.8% | |
State Street Institutional U.S. Government Money Market Fund – Premier Class
0.030% | | | 2,524 | | | | 2,524 | |
| | | | | | | | |
| |
TOTAL SHORT-TERM SECURITIES – 2.8% | | | $ | 2,524 | |
(Cost: $2,524) | | | | | | | | |
| |
TOTAL INVESTMENT
SECURITIES – 100.0% | | | $ | 89,477 | |
(Cost: $85,925) | | | | | | | | |
| |
CASH AND OTHER ASSETS, NET OF LIABILITIES(B) – 0.0% | | | | 9 | |
| |
NET ASSETS – 100.0% | | | $ | 89,486 | |
Notes to Schedule of Investments
| * | Not shown due to rounding. |
| (A) | Rate shown is the annualized 7-day yield at June 30, 2021. |
| (B) | Cash of $44 has been pledged as collateral on open futures contracts. |
The following futures contracts were outstanding at June 30, 2021 (contracts unrounded):
| | | | | | | | | | | | | | | | | | | | | | |
| Description | | Type | | Number
of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Value | | | Unrealized
Depreciation | |
E-mini S&P 500 Index | | Short | | | 4 | | | | 9-30-21 | | | | — | * | | $ | (858 | ) | | $ | (10 | ) |
| | | | | | | | | | | |
| | | | | | |
| 10 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | PATHFINDER PORTFOLIOS (in thousands) |
JUNE 30, 2021 (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, 2021. 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 | | $ | 86,953 | | | $ | — | | | $ | — | |
Short-Term Securities | | | 2,524 | | | | — | | | | — | |
| | | | |
Total | | $ | 89,477 | | | $ | — | | | $ | — | |
| | | | |
Liabilities | | | | | | | | | | | | |
Futures Contracts | | $ | 10 | | | $ | — | | | $ | — | |
| | | | |
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 11 | |
| | |
| PORTFOLIO HIGHLIGHTS | | DELAWARE IVY VIP GOVERNMENT MONEY MARKET(a) |
ALL DATA IS AS OF JUNE 30, 2021 (UNAUDITED)
Asset Allocation
| | | | |
Corporate Obligations | | | 17.2% | |
Money Market Funds | | | 16.7% | |
Master Note | | | 0.5% | |
United States Government and Government Agency Obligations | | | 82.5% | |
Cash and Other Assets (Net of Liabilities) | | | 0.3% | |
| (a) | Effective July 1, 2021, the name of Ivy VIP Government Money Market changed to Delaware Ivy VIP Government Money Market. |
| | | | | | |
| 12 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| SCHEDULE OF INVESTMENTS | | DELAWARE IVY VIP GOVERNMENT MONEY MARKET (in thousands) |
JUNE 30, 2021 (UNAUDITED)
| | | | | | | | |
| CORPORATE OBLIGATIONS | | Principal | | | Value | |
Master Note | |
Toyota Motor Credit Corp. (1-Week U.S. LIBOR plus 25 bps), 0.340%, 7-7-21 (A) | | $ | 250 | | | $ | 250 | |
| | | | | | | | |
| |
Total Master Note – 0.5% | | | | 250 | |
| | |
| | | Shares | | | | |
Money Market Funds (B) | |
State Street Institutional U.S. Government Money Market Fund – Premier Class,
0.030%, 7-1-21 | | | 9,055 | | | | 9,055 | |
| | | | | | | | |
| |
Total Money Market Funds – 16.7% | | | | 9,055 | |
| |
TOTAL CORPORATE
OBLIGATIONS – 17.2% | | | $ | 9,305 | |
(Cost: $9,305) | | | | | | | | |
| | |
UNITED STATES GOVERNMENT
AND GOVERNMENT AGENCY
OBLIGATIONS | | Principal | | | | |
United States Government Agency
Obligations – 71.4% | |
U.S. International Development Finance Corp. (GTD by U.S. Government) (3-Month U.S. TB Rate): | | | | | | | | |
0.080%, 7-7-21 (A) | | $ | 19,762 | | | | 19,762 | |
0.090%, 7-7-21 (A) | | | 9,858 | | | | 9,858 | |
0.100%, 7-7-21 (A) | | | 15,053 | | | | 15,053 | |
| | | | | | | | |
| | | | | | | 44,673 | |
| | | | | | | | |
| |
TOTAL UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY
OBLIGATIONS – 82.5% | | | $ | 44,673 | |
(Cost: $44,673) | | | | | | | | |
| |
TOTAL INVESTMENT
SECURITIES – 99.7% | | | $ | 53,978 | |
(Cost: $53,978) | | | | | | | | |
| |
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.3% | | | | 148 | |
| |
NET ASSETS – 100.0% | | | $ | 54,126 | |
Notes to Schedule of Investments
| (A) | Variable rate security. Interest rate disclosed is that which is in effect at June 30, 2021. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
| (B) | Rate shown is the annualized 7-day yield at June 30, 2021. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of June 30, 2021. 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 | | $ | 9,055 | | | $ | 250 | | | $ | — | |
United States Government and Government Agency Obligations | | | — | | | | 44,673 | | | | — | |
| | | | |
Total | | $ | 9,055 | | | $ | 44,923 | | | $ | — | |
| | | | |
The following acronyms are used throughout this schedule:
GTD = Guaranteed
LIBOR = London Interbank Offered Rate
TB = Treasury Bill
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 13 | |
| | |
| STATEMENTS OF ASSETS AND LIABILITIES | | IVY VIP |
AS OF JUNE 30, 2021 (UNAUDITED)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (In thousands, except per share amounts) | | Pathfinder
Aggressive(1) | | Pathfinder
Conservative(2) | | Pathfinder
Moderate(3) | | Pathfinder
Moderately
Aggressive(4) | | Pathfinder
Moderately
Conservative(5) | | Pathfinder
Moderate – Managed
Volatility(6) | | Pathfinder Moderately
Aggressive – Managed
Volatility(7) | | Pathfinder Moderately
Conservative – Managed
Volatility(8) |
ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in unaffiliated securities at value+ | | | $ | 150 | | | | $ | 340 | | | | $ | 1,142 | | | | $ | 1,408 | | | | $ | 987 | | | | $ | 21,627 | | | | $ | 3,031 | | | | $ | 2,524 | |
Investments in affiliated mutual funds at value+ | | | | 71,645 | | | | | 110,629 | | | | | 655,173 | | | | | 801,390 | | | | | 192,658 | | | | | 748,985 | | | | | 97,730 | | | | | 86,953 | |
Investments at Value | | | | 71,795 | | | | | 110,969 | | | | | 656,315 | | | | | 802,798 | | | | | 193,645 | | | | | 770,612 | | | | | 100,761 | | | | | 89,477 | |
Restricted cash | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 165 | | | | | — | | | | | 44 | |
Investment securities sold receivable | | | | 50 | | | | | — | | | | | 358 | | | | | 92 | | | | | — | | | | | — | | | | | — | | | | | — | |
Dividends and interest receivable | | | | — | * | | | | — | * | | | | — | * | | | | — | * | | | | — | * | | | | — | * | | | | — | * | | | | — | * |
Capital shares sold receivable | | | | — | * | | | | 1 | | | | | 1 | | | | | — | * | | | | — | * | | | | 361 | | | | | 18 | | | | | — | |
Prepaid and other assets | | | | — | * | | | | — | * | | | | 1 | | | | | 1 | | | | | — | * | | | | 1 | | | | | — | * | | | | — | * |
Total Assets | | | | 71,845 | | | | | 110,970 | | | | | 656,675 | | | | | 802,891 | | | | | 193,645 | | | | | 771,139 | | | | | 100,779 | | | | | 89,521 | |
| | | | | | | | |
LIABILITIES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital shares redeemed payable | | | | 4 | | | | | 59 | | | | | 81 | | | | | 101 | | | | | 263 | | | | | 255 | | | | | 7 | | | | | 11 | |
Independent Trustees and Chief Compliance Officer fees payable | | | | 9 | | | | | 10 | | | | | 71 | | | | | 85 | | | | | 23 | | | | | 21 | | | | | 3 | | | | | 3 | |
Overdraft due to custodian | | | | — | | | | | — | * | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | |
Investment management fee payable | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 4 | | | | | 1 | | | | | 1 | |
Accounting services fee payable | | | | 2 | | | | | 3 | | | | | 9 | | | | | 12 | | | | | 4 | | | | | 11 | | | | | 2 | | | | | 2 | |
Variation margin payable | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 5 | | | | | — | | | | | 1 | |
Other liabilities | | | | 3 | | | | | 3 | | | | | 8 | | | | | 8 | | | | | 4 | | | | | 124 | | | | | 19 | | | | | 17 | |
Total Liabilities | | | | 18 | | | | | 75 | | | | | 169 | | | | | 206 | | | | | 294 | | | | | 420 | | | | | 32 | | | | | 35 | |
Total Net Assets | | | $ | 71,827 | | | | $ | 110,895 | | | | $ | 656,506 | | | | $ | 802,685 | | | | $ | 193,351 | | | | $ | 770,719 | | | | $ | 100,747 | | | | $ | 89,486 | |
| | | | | | | | |
NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Capital paid in (shares authorized – unlimited) | | | $ | 62,734 | | | | $ | 99,841 | | | | $ | 576,103 | | | | $ | 696,648 | | | | $ | 171,958 | | | | $ | 677,122 | | | | $ | 89,309 | | | | $ | 79,874 | |
Accumulated earnings gain | | | | 9,093 | | | | | 11,054 | | | | | 80,403 | | | | | 106,037 | | | | | 21,393 | | | | | 93,597 | | | | | 11,438 | | | | | 9,612 | |
Total Net Assets | | | $ | 71,827 | | | | $ | 110,895 | | | | $ | 656,506 | | | | $ | 802,685 | | | | $ | 193,351 | | | | $ | 770,719 | | | | $ | 100,747 | | | | $ | 89,486 | |
| | | | | | | | |
CAPITAL SHARES OUTSTANDING: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | | 13,939 | | | | | 20,854 | | | | | 124,762 | | | | | 149,659 | | | | | 36,399 | | | | | 126,691 | | | | | 17,278 | | | | | 15,369 | |
| | | | | | | | |
NET ASSET VALUE PER SHARE: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | $ | 5.15 | | | | $ | 5.32 | | | | $ | 5.26 | | | | $ | 5.36 | | | | $ | 5.31 | | | | $ | 6.08 | | | | $ | 5.83 | | | | $ | 5.82 | |
| | | | | | | | |
+COST | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in unaffiliated securities at cost | | | $ | 150 | | | | $ | 340 | | | | $ | 1,142 | | | | $ | 1,408 | | | | $ | 987 | | | | $ | 21,627 | | | | $ | 3,031 | | | | $ | 2,524 | |
Investments in affiliated mutual funds at cost | | | | 67,663 | | | | | 107,821 | | | | | 624,878 | | | | | 757,849 | | | | | 185,352 | | | | | 705,314 | | | | | 93,159 | | | | | 83,401 | |
*Not shown due to rounding.
| (1) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Aggressive to Delaware Ivy VIP Pathfinder Aggressive. |
| (2) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Conservative to Delaware Ivy VIP Pathfinder Conservative. |
| (3) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderate to Delaware Ivy VIP Pathfinder Moderate. |
| (4) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderately Aggressive to Delaware Ivy VIP Pathfinder Moderately Aggressive. |
| (5) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderately Conservative to Delaware Ivy VIP Pathfinder Moderately Conservative. |
| (6) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderate – Managed Volatility to Delaware Ivy VIP Pathfinder Moderate – Managed Volatility. |
| (7) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility to Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility. |
| (8) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderately Conservative – Managed Volatility to Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility. |
See Accompanying Notes to Financial Statements.
| | | | | | |
| 14 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| STATEMENTS OF ASSETS AND LIABILITIES | | IVY VIP |
AS OF JUNE 30, 2021 (UNAUDITED)
| | | | | |
| (In thousands, except per share amounts) | | Government
Money
Market(1) |
ASSETS | |
Investments in unaffiliated securities at value+ | | | $ | 53,978 | |
Investments at Value | | | | 53,978 | |
Cash | | | | — | * |
Dividends and interest receivable | | | | 5 | |
Capital shares sold receivable | | | | 235 | |
Receivable from affiliates | | | | 142 | |
Prepaid and other assets | | | | 1 | |
Total Assets | | | | 54,361 | |
| |
LIABILITIES | | | | | |
Capital shares redeemed payable | | | | 169 | |
Distributions payable | | | | — | * |
Independent Trustees and Chief Compliance Officer fees payable | | | | 43 | |
Investment management fee payable | | | | — | * |
Accounting services fee payable | | | | 3 | |
Other liabilities | | | | 20 | |
Total Liabilities | | | | 235 | |
Total Net Assets | | | $ | 54,126 | |
| |
NET ASSETS | | | | | |
Capital paid in (shares authorized – unlimited) | | | $ | 54,126 | |
Accumulated earnings gain | | | | — | * |
Total Net Assets | | | $ | 54,126 | |
| |
CAPITAL SHARES OUTSTANDING: | | | | | |
Class II | | | | 54,129 | |
| |
NET ASSET VALUE PER SHARE: | | | | | |
Class II | | | $ | 1.00 | |
| |
+COST | | | | | |
Investments in unaffiliated securities at cost | | | $ | 53,978 | |
* Not shown due to rounding.
| (1) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Government Money Market to Delaware Ivy VIP Government Money Market. |
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 15 | |
| | |
| STATEMENTS OF OPERATIONS | | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2021 (UNAUDITED)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (In thousands) | | Pathfinder
Aggressive(1) | | Pathfinder
Conservative(2) | | Pathfinder
Moderate(3) | | Pathfinder
Moderately
Aggressive(4) | | Pathfinder
Moderately
Conservative(5) | | Pathfinder
Moderate
– Managed
Volatility(6) | | Pathfinder
Moderately
Aggressive
– Managed
Volatility(7) | | Pathfinder
Moderately
Conservative
– Managed
Volatility(8) |
INVESTMENT INCOME | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Dividends from affiliated securities | | | $ | 1,208 | | | | $ | 2,638 | | | | $ | 13,536 | | | | $ | 15,226 | | | | $ | 4,258 | | | | $ | 15,276 | | | | $ | 1,840 | | | | $ | 1,929 | |
Interest and amortization from unaffiliated securities | | | | — | * | | | | — | * | | | | — | * | | | | — | * | | | | — | * | | | | 2 | | | | | — | * | | | | — | * |
Total Investment Income | | | | 1,208 | | | | | 2,638 | | | | | 13,536 | | | | | 15,226 | | | | | 4,258 | | | | | 15,278 | | | | | 1,840 | | | | | 1,929 | |
| | | | | | | | |
EXPENSES | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investment management fee | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 705 | | | | | 97 | | | | | 88 | |
Distribution and service fees: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Shareholder servicing: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Custodian fees | | | | — | * | | | | 1 | | | | | 1 | | | | | 1 | | | | | 1 | | | | | 1 | | | | | 1 | | | | | 1 | |
Independent Trustees and Chief Compliance Officer fees | | | | 3 | | | | | 4 | | | | | 25 | | | | | 31 | | | | | 8 | | | | | 18 | | | | | 3 | | | | | 3 | |
Accounting services fee | | | | 13 | | | | | 18 | | | | | 57 | | | | | 70 | | | | | 22 | | | | | 64 | | | | | 14 | | | | | 13 | |
Insurance fees | | | | 1 | | | | | 2 | | | | | 10 | | | | | 12 | | | | | 3 | | | | | 12 | | | | | 2 | | | | | 1 | |
Printing fees | | | | 6 | | | | | 6 | | | | | 8 | | | | | 9 | | | | | 7 | | | | | 8 | | | | | 5 | | | | | 6 | |
Professional fees | | | | 5 | | | | | 6 | | | | | 7 | | | | | 7 | | | | | 6 | | | | | 8 | | | | | 7 | | | | | 7 | |
Other | | | | 1 | | | | | — | * | | | | 2 | | | | | 2 | | | | | — | * | | | | 3 | | | | | — | * | | | | — | * |
Total Expenses | | | | 29 | | | | | 37 | | | | | 110 | | | | | 132 | | | | | 47 | | | | | 819 | | | | | 129 | | | | | 119 | |
Net Investment Income | | | | 1,179 | | | | | 2,601 | | | | | 13,426 | | | | | 15,094 | | | | | 4,211 | | | | | 14,459 | | | | | 1,711 | | | | | 1,810 | |
| | | | | | | | |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Net realized gain (loss) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in affiliated securities | | | | 1,500 | | | | | 2,770 | | | | | 16,636 | | | | | 21,163 | | | | | 4,426 | | | | | 16,159 | | | | | 2,358 | | | | | 2,178 | |
Distributions of realized capital gains from affiliated securities | | | | 2,474 | | | | | 3,004 | | | | | 20,362 | | | | | 26,661 | | | | | 5,577 | | | | | 22,986 | | | | | 3,222 | | | | | 2,526 | |
Futures contracts | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | (3,788 | ) | | | | (417 | ) | | | | (499 | ) |
Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Investments in affiliated securities | | | | 2,834 | | | | | (1,385 | ) | | | | 8,549 | | | | | 19,742 | | | | | 544 | | | | | 11,180 | | | | | 2,442 | | | | | 12 | |
Futures contracts | | | | — | | | | | — | | | | | — | | | | | — | | | | | — | | | | | 629 | | | | | 78 | | | | | 73 | |
Net Realized and Unrealized Gain | | | | 6,808 | | | | | 4,389 | | | | | 45,547 | | | | | 67,566 | | | | | 10,547 | | | | | 47,166 | | | | | 7,683 | | | | | 4,290 | |
Net Increase in Net Assets Resulting from Operations | | | $ | 7,987 | | | | $ | 6,990 | | | | $ | 58,973 | | | | $ | 82,660 | | | | $ | 14,758 | | | | $ | 61,625 | | | | $ | 9,394 | | | | $ | 6,100 | |
*Not shown due to rounding.
| (1) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Aggressive to Delaware Ivy VIP Pathfinder Aggressive. |
| (2) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Conservative to Delaware Ivy VIP Pathfinder Conservative. |
| (3) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderate to Delaware Ivy VIP Pathfinder Moderate. |
| (4) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderately Aggressive to Delaware Ivy VIP Pathfinder Moderately Aggressive. |
| (5) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderately Conservative to Delaware Ivy VIP Pathfinder Moderately Conservative. |
| (6) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderate – Managed Volatility to Delaware Ivy VIP Pathfinder Moderate – Managed Volatility. |
| (7) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility to Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility. |
| (8) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderately Conservative – Managed Volatility to Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility. |
See Accompanying Notes to Financial Statements.
| | | | | | |
| 16 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| STATEMENTS OF OPERATIONS | | IVY VIP |
FOR THE SIX MONTHS ENDED JUNE 30, 2021 (UNAUDITED)
| | | | | |
| (In thousands) | | Government
Money
Market(1) |
INVESTMENT INCOME | | | | | |
Interest and amortization from unaffiliated securities | | | $ | 34 | |
Total Investment Income | | | | 34 | |
| |
EXPENSES | | | | | |
Investment management fee | | | | 128 | |
Distribution and service fees: | | | | | |
Shareholder servicing: | | | | | |
Custodian fees | | | | 1 | |
Independent Trustees and Chief Compliance Officer fees | | | | 9 | |
Accounting services fee | | | | 22 | |
Professional fees | | | | 6 | |
Other | | | | 7 | |
Total Expenses | | | | 173 | |
Less: | | | | | |
Expenses in excess of limit | | | | (142 | ) |
Total Net Expenses | | | | 31 | |
Net Investment Income | | | | 3 | |
| |
REALIZED AND UNREALIZED GAIN (LOSS) | | | | | |
Net realized gain (loss) on: | | | | | |
Investments in unaffiliated securities | | | | — | * |
Net change in unrealized appreciation (depreciation) on: | | | | | |
Net Realized and Unrealized Gain | | | | — | |
Net Increase in Net Assets Resulting from Operations | | | $ | 3 | |
*Not shown due to rounding.
| (1) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Government Money Market to Delaware Ivy VIP Government Money Market. |
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 17 | |
| | |
| STATEMENTS OF CHANGES IN NET ASSETS | | IVY VIP |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Pathfinder Aggressive(1) | | | Pathfinder Conservative(2) | | | Pathfinder Moderate(3) | |
| (In thousands) | | Six months
ended 6-30-21
(Unaudited) | | | Year
ended
12-31-20 | | | Six months
ended 6-30-21
(Unaudited) | | | Year
ended
12-31-20 | | | Six months
ended 6-30-21
(Unaudited) | | | Year
ended
12-31-20 | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 1,179 | | | $ | 1,172 | | | $ | 2,601 | | | $ | 2,035 | | | $ | 13,426 | | | $ | 12,842 | |
Net realized gain on investments | | | 3,974 | | | | 3,447 | | | | 5,774 | | | | 4,682 | | | | 36,998 | | | | 29,782 | |
Net change in unrealized appreciation (depreciation) | | | 2,834 | | | | 4,498 | | | | (1,385 | ) | | | 5,590 | | | | 8,549 | | | | 39,792 | |
Net Increase in Net Assets Resulting from Operations | | | 7,987 | | | | 9,117 | | | | 6,990 | | | | 12,307 | | | | 58,973 | | | | 82,416 | |
| | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | |
Accumulated earnings: | | | | | | | | | | | | | | | | | | | | | | | | |
(combined net investment income and net realized gains) | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | (4,619 | ) | | | (8,768 | ) | | | (6,783 | ) | | | (7,983 | ) | | | (42,760 | ) | | | (79,596 | ) |
Total Distributions to Shareholders | | | (4,619 | ) | | | (8,768 | ) | | | (6,783 | ) | | | (7,983 | ) | | | (42,760 | ) | | | (79,596 | ) |
Capital Share Transactions | | | 556 | | | | 1,416 | | | | (1,084 | ) | | | 8,635 | | | | (15,916 | ) | | | (26,530 | ) |
Net Increase (Decrease) in Net Assets | | | 3,924 | | | | 1,765 | | | | (877 | ) | | | 12,959 | | | | 297 | | | | (23,710 | ) |
Net Assets, Beginning of Period | | | 67,903 | | | | 66,138 | | | | 111,772 | | | | 98,813 | | | | 656,209 | | | | 679,919 | |
Net Assets, End of Period | | $ | 71,827 | | | $ | 67,903 | | | $ | 110,895 | | | $ | 111,772 | | | $ | 656,506 | | | $ | 656,209 | |
| | | |
| | | Pathfinder Moderately
Aggressive(4) | | | Pathfinder Moderately
Conservative(5) | | | Pathfinder Moderate –
Managed Volatility(6) | |
| (In thousands) | | Six months
ended 6-30-21
(Unaudited) | | | Year
ended
12-31-20 | | | Six months
ended 6-30-21
(Unaudited) | | | Year
ended
12-31-20 | | | Six months
ended 6-30-21
(Unaudited) | | | Year
ended
12-31-20 | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 15,094 | | | $ | 15,223 | | | $ | 4,211 | | | $ | 3,925 | | | $ | 14,459 | | | $ | 12,125 | |
Net realized gain on investments | | | 47,824 | | | | 37,732 | | | | 10,003 | | | | 8,495 | | | | 35,357 | | | | 8,826 | |
Net change in unrealized appreciation | | | 19,742 | | | | 52,016 | | | | 544 | | | | 11,064 | | | | 11,809 | | | | 39,332 | |
Net Increase in Net Assets Resulting from Operations | | | 82,660 | | | | 104,971 | | | | 14,758 | | | | 23,484 | | | | 61,625 | | | | 60,283 | |
| | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | |
Accumulated earnings: | | | | | | | | | | | | | | | | | | | | | | | | |
(combined net investment income and net realized gains) | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | (53,201 | ) | | | (109,757 | ) | | | (12,483 | ) | | | (20,114 | ) | | | (21,327 | ) | | | (60,610 | ) |
Total Distributions to Shareholders | | | (53,201 | ) | | | (109,757 | ) | | | (12,483 | ) | | | (20,114 | ) | | | (21,327 | ) | | | (60,610 | ) |
Capital Share Transactions | | | (25,770 | ) | | | (25,125 | ) | | | (4,046 | ) | | | (9,979 | ) | | | 1,853 | | | | 21,803 | |
Net Increase (Decrease) in Net Assets | | | 3,689 | | | | (29,911 | ) | | | (1,771 | ) | | | (6,609 | ) | | | 42,151 | | | | 21,476 | |
Net Assets, Beginning of Period | | | 798,996 | | | | 828,907 | | | | 195,122 | | | | 201,731 | | | | 728,568 | | | | 707,092 | |
Net Assets, End of Period | | $ | 802,685 | | | $ | 798,996 | | | $ | 193,351 | | | $ | 195,122 | | | $ | 770,719 | | | $ | 728,568 | |
| (1) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Aggressive to Delaware Ivy VIP Pathfinder Aggressive. |
| (2) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Conservative to Delaware Ivy VIP Pathfinder Conservative. |
| (3) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderate to Delaware Ivy VIP Pathfinder Moderate. |
| (4) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderately Aggressive to Delaware Ivy VIP Pathfinder Moderately Aggressive. |
| (5) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderately Conservative to Delaware Ivy VIP Pathfinder Moderately Conservative. |
| (6) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderate – Managed Volatility to Delaware Ivy VIP Pathfinder Moderate – Managed Volatility. |
See Accompanying Notes to Financial Statements.
| | | | | | |
| 18 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| STATEMENTS OF CHANGES IN NET ASSETS | | IVY VIP |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Pathfinder Moderately
Aggressive – Managed
Volatility(1) | | | Pathfinder Moderately
Conservative – Managed
Volatility(2) | | | Government Money Market(3) | |
| (In thousands) | | Six months
ended 6-30-21
(Unaudited) | | | Year
ended
12-31-20 | | | Six months
ended 6-30-21
(Unaudited) | | | Year
ended
12-31-20 | | | Six months
ended 6-30-21
(Unaudited) | | | Year
ended
12-31-20 | |
INCREASE (DECREASE) IN NET ASSETS | | | | | | | | | | | | | | | | | | | | | | | | |
Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | $ | 1,711 | | | $ | 1,490 | | | $ | 1,810 | | | $ | 1,419 | | | $ | 3 | | | $ | 623 | |
Net realized gain on investments | | | 5,163 | | | | 1,348 | | | | 4,205 | | | | 1,822 | | | | — | * | | | — | * |
Net change in unrealized appreciation | | | 2,520 | | | | 5,698 | | | | 85 | | | | 4,448 | | | | — | | | | — | |
Net Increase in Net Assets Resulting from Operations | | | 9,394 | | | | 8,536 | | | | 6,100 | | | | 7,689 | | | | 3 | | | | 623 | |
| | | | | | |
Distributions to Shareholders From: | | | | | | | | | | | | | | | | | | | | | | | | |
Accumulated earnings: | | | | | | | | | | | | | | | | | | | | | | | | |
(combined net investment income and net realized gains) | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | (2,886 | ) | | | (9,697 | ) | | | (3,230 | ) | | | (6,043 | ) | | | (3 | ) | | | (623 | ) |
Total Distributions to Shareholders | | | (2,886 | ) | | | (9,697 | ) | | | (3,230 | ) | | | (6,043 | ) | | | (3 | ) | | | (623 | ) |
Capital Share Transactions | | | (1,819 | ) | | | 3,939 | | | | 924 | | | | 3,600 | | | | (41,780 | ) | | | (88,117 | ) |
Net Increase (Decrease) in Net Assets | | | 4,689 | | | | 2,778 | | | | 3,794 | | | | 5,246 | | | | (41,780 | ) | | | (88,117 | ) |
Net Assets, Beginning of Period | | | 96,058 | | | | 93,280 | | | | 85,692 | | | | 80,446 | | | | 95,906 | | | | 184,023 | |
Net Assets, End of Period | | $ | 100,747 | | | $ | 96,058 | | | $ | 89,486 | | | $ | 85,692 | | | $ | 54,126 | | | $ | 95,906 | |
*Not shown due to rounding.
| (1) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility to Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility. |
| (2) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Pathfinder Moderately Conservative – Managed Volatility to Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility. |
| (3) | Effective July 1, 2021, the Portfolio’s name changed from Ivy VIP Government Money Market to Delaware Ivy VIP Government Money Market. |
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 19 | |
| | |
| 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 |
Pathfinder Aggressive | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | $ | 4.92 | | | | $ | 0.09 | | | | $ | 0.49 | | | | $ | 0.58 | | | | $ | (0.09 | ) | | | $ | (0.26 | ) | | | $ | (0.35 | ) |
Year ended 12-31-2020 | | | | 5.00 | | | | | 0.09 | | | | | 0.52 | | | | | 0.61 | | | | | (0.07 | ) | | | | (0.62 | ) | | | | (0.69 | ) |
Year ended 12-31-2019 | | | | 4.60 | | | | | 0.07 | | | | | 0.92 | | | | | 0.99 | | | | | (0.14 | ) | | | | (0.45 | ) | | | | (0.59 | ) |
Year ended 12-31-2018 | | | | 5.16 | | | | | 0.13 | | | | | (0.32 | ) | | | | (0.19 | ) | | | | (0.09 | ) | | | | (0.28 | ) | | | | (0.37 | ) |
Year ended 12-31-2017 | | | | 4.68 | | | | | 0.08 | | | | | 0.80 | | | | | 0.88 | | | | | (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 | ) |
| | | | | | | |
Pathfinder Conservative | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 5.31 | | | | | 0.13 | | | | | 0.21 | | | | | 0.34 | | | | | (0.10 | ) | | | | (0.23 | ) | | | | (0.33 | ) |
Year ended 12-31-2020 | | | | 5.15 | | | | | 0.10 | | | | | 0.49 | | | | | 0.59 | | | | | (0.09 | ) | | | | (0.34 | ) | | | | (0.43 | ) |
Year ended 12-31-2019 | | | | 4.83 | | | | | 0.09 | | | | | 0.59 | | | | | 0.68 | | | | | (0.10 | ) | | | | (0.26 | ) | | | | (0.36 | ) |
Year ended 12-31-2018 | | | | 5.16 | | | | | 0.10 | | | | | (0.20 | ) | | | | (0.10 | ) | | | | (0.06 | ) | | | | (0.17 | ) | | | | (0.23 | ) |
Year ended 12-31-2017 | | | | 4.90 | | | | | 0.05 | | | | | 0.46 | | | | | 0.51 | | | | | (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 | ) |
| | | | | | | |
Pathfinder Moderate | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 5.15 | | | | | 0.11 | | | | | 0.36 | | | | | 0.47 | | | | | (0.11 | ) | | | | (0.25 | ) | | | | (0.36 | ) |
Year ended 12-31-2020 | | | | 5.19 | | | | | 0.10 | | | | | 0.51 | | | | | 0.61 | | | | | (0.09 | ) | | | | (0.56 | ) | | | | (0.65 | ) |
Year ended 12-31-2019 | | | | 4.89 | | | | | 0.08 | | | | | 0.79 | | | | | 0.87 | | | | | (0.14 | ) | | | | (0.43 | ) | | | | (0.57 | ) |
Year ended 12-31-2018 | | | | 5.40 | | | | | 0.12 | | | | | (0.31 | ) | | | | (0.19 | ) | | | | (0.08 | ) | | | | (0.24 | ) | | | | (0.32 | ) |
Year ended 12-31-2017 | | | | 5.02 | | | | | 0.07 | | | | | 0.64 | | | | | 0.71 | | | | | (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 | ) |
| | | | | | | |
Pathfinder Moderately Aggressive | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 5.18 | | | | | 0.10 | | | | | 0.46 | | | | | 0.56 | | | | | (0.11 | ) | | | | (0.27 | ) | | | | (0.38 | ) |
Year ended 12-31-2020 | | | | 5.32 | | | | | 0.10 | | | | | 0.52 | | | | | 0.62 | | | | | (0.09 | ) | | | | (0.67 | ) | | | | (0.76 | ) |
Year ended 12-31-2019 | | | | 4.98 | | | | | 0.08 | | | | | 0.92 | | | | | 1.00 | | | | | (0.15 | ) | | | | (0.51 | ) | | | | (0.66 | ) |
Year ended 12-31-2018 | | | | 5.59 | | | | | 0.13 | | | | | (0.37 | ) | | | | (0.24 | ) | | | | (0.10 | ) | | | | (0.27 | ) | | | | (0.37 | ) |
Year ended 12-31-2017 | | | | 5.14 | | | | | 0.09 | | | | | 0.74 | | | | | 0.83 | | | | | (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 | ) |
| | | | | | | |
Pathfinder Moderately Conservative | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 5.26 | | | | | 0.12 | | | | | 0.29 | | | | | 0.41 | | | | | (0.11 | ) | | | | (0.25 | ) | | | | (0.36 | ) |
Year ended 12-31-2020 | | | | 5.22 | | | | | 0.10 | | | | | 0.50 | | | | | 0.60 | | | | | (0.10 | ) | | | | (0.46 | ) | | | | (0.56 | ) |
Year ended 12-31-2019 | | | | 4.90 | | | | | 0.08 | | | | | 0.70 | | | | | 0.78 | | | | | (0.12 | ) | | | | (0.34 | ) | | | | (0.46 | ) |
Year ended 12-31-2018 | | | | 5.32 | | | | | 0.11 | | | | | (0.24 | ) | | | | (0.13 | ) | | | | (0.07 | ) | | | | (0.22 | ) | | | | (0.29 | ) |
Year ended 12-31-2017 | | | | 4.99 | | | | | 0.06 | | | | | 0.56 | | | | | 0.62 | | | | | (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 | ) |
| | | | | | |
| 20 | | SEMIANNUAL REPORT | | 2021 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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 |
Pathfinder Moderate – Managed Volatility | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 5.77 | | | | | 0.12 | | | | | 0.36 | | | | | 0.48 | | | | | (0.10 | ) | | | | (0.07 | ) | | | | (0.17 | ) |
Year ended 12-31-2020 | | | | 5.84 | | | | | 0.10 | | | | | 0.34 | | | | | 0.44 | | | | | (0.08 | ) | | | | (0.43 | ) | | | | (0.51 | ) |
Year ended 12-31-2019 | | | | 5.33 | | | | | 0.08 | | | | | 0.82 | | | | | 0.90 | | | | | (0.11 | ) | | | | (0.28 | ) | | | | (0.39 | ) |
Year ended 12-31-2018 | | | | 5.78 | | | | | 0.11 | | | | | (0.33 | ) | | | | (0.22 | ) | | | | (0.06 | ) | | | | (0.17 | ) | | | | (0.23 | ) |
Year ended 12-31-2017 | | | | 5.25 | | | | | 0.06 | | | | | 0.65 | | | | | 0.71 | | | | | (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 | ) |
| | | | | | | |
Pathfinder Moderately Aggressive –Managed Volatility | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 5.46 | | | | | 0.10 | | | | | 0.44 | | | | | 0.54 | | | | | (0.09 | ) | | | | (0.08 | ) | | | | (0.17 | ) |
Year ended 12-31-2020 | | | | 5.63 | | | | | 0.09 | | | | | 0.33 | | | | | 0.42 | | | | | (0.07 | ) | | | | (0.52 | ) | | | | (0.59 | ) |
Year ended 12-31-2019 | | | | 5.15 | | | | | 0.07 | | | | | 0.88 | | | | | 0.95 | | | | | (0.12 | ) | | | | (0.35 | ) | | | | (0.47 | ) |
Year ended 12-31-2018 | | | | 5.66 | | | | | 0.11 | | | | | (0.37 | ) | | | | (0.26 | ) | | | | (0.07 | ) | | | | (0.18 | ) | | | | (0.25 | ) |
Year ended 12-31-2017 | | | | 5.06 | | | | | 0.07 | | | | | 0.71 | | | | | 0.78 | | | | | (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 | ) |
| | | | | | | |
Pathfinder Moderately Conservative –Managed Volatility | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 5.64 | | | | | 0.12 | | | | | 0.27 | | | | | 0.39 | | | | | (0.09 | ) | | | | (0.12 | ) | | | | (0.21 | ) |
Year ended 12-31-2020 | | | | 5.58 | | | | | 0.09 | | | | | 0.39 | | | | | 0.48 | | | | | (0.08 | ) | | | | (0.34 | ) | | | | (0.42 | ) |
Year ended 12-31-2019 | | | | 5.19 | | | | | 0.08 | | | | | 0.66 | | | | | 0.74 | | | | | (0.10 | ) | | | | (0.25 | ) | | | | (0.35 | ) |
Year ended 12-31-2018 | | | | 5.55 | | | | | 0.10 | | | | | (0.24 | ) | | | | (0.14 | ) | | | | (0.05 | ) | | | | (0.17 | ) | | | | (0.22 | ) |
Year ended 12-31-2017 | | | | 5.10 | | | | | 0.05 | | | | | 0.53 | | | | | 0.58 | | | | | (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 | ) |
| | | | | | | |
Government Money Market | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 1.00 | | | | | 0.00 | * | | | | 0.00 | | | | | 0.00 | * | | | | — | * | | | | — | | | | | — | * |
Year ended 12-31-2020 | | | | 1.00 | | | | | 0.00 | * | | | | 0.00 | | | | | 0.00 | * | | | | — | * | | | | — | | | | | — | * |
Year ended 12-31-2019 | | | | 1.00 | | | | | 0.02 | | | | | 0.00 | | | | | 0.02 | | | | | (0.02 | ) | | | | — | * | | | | (0.02 | ) |
Year ended 12-31-2018 | | | | 1.00 | | | | | 0.02 | | | | | 0.00 | * | | | | 0.02 | | | | | (0.02 | ) | | | | — | * | | | | (0.02 | ) |
Year ended 12-31-2017 | | | | 1.00 | | | | | 0.01 | | | | | 0.00 | * | | | | 0.01 | | | | | (0.01 | ) | | | | — | * | | | | (0.01 | ) |
Year ended 12-31-2016 | | | | 1.00 | | | | | 0.00 | * | | | | 0.00 | * | | | | 0.00 | * | | | | — | * | | | | — | * | | | | — | * |
* Not shown due to rounding.
| (1) | Based on average weekly shares outstanding. |
| (2) | Based on net asset value. 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) | Does not include expenses of underlying Ivy VIP Portfolios in which the Portfolio invests. |
| (5) | Does not include expenses of the underlying unaffiliated Portfolio in which the Portfolio invests. |
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 21 | |
| | |
| FINANCIAL HIGHLIGHTS | | IVY VIP |
| | |
FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | 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 |
Pathfinder Aggressive | |
Class II Shares | |
Six-month period ended 6-30-2021
(unaudited) | | | $ | 5.15 | | | | | 12.12 | % | | | $ | 72 | | | | | 0.08 | %(4)(6) | | | | 3.40 | %(4)(6) | | | | — | % | | | | — | % | | | | 14 | % |
Year ended 12-31-2020 | | | | 4.92 | | | | | 15.70 | | | | | 68 | | | | | 0.12 | (4) | | | | 1.91 | (4) | | | | — | | | | | — | | | | | 21 | |
Year ended 12-31-2019 | | | | 5.00 | | | | | 23.24 | | | | | 66 | | | | | 0.09 | (4) | | | | 1.41 | (4) | | | | — | | | | | — | | | | | 18 | |
Year ended 12-31-2018 | | | | 4.60 | | | | | -4.27 | | | | | 59 | | | | | 0.09 | (4) | | | | 2.49 | (4) | | | | — | | | | | — | | | | | 51 | |
Year ended 12-31-2017 | | | | 5.16 | | | | | 19.83 | | | | | 76 | | | | | 0.07 | (4) | | | | 1.68 | (4) | | | | — | | | | | — | | | | | 20 | |
Year ended 12-31-2016 | | | | 4.68 | | | | | 4.80 | | | | | 75 | | | | | 0.08 | (4) | | | | 0.88 | (4) | | | | — | | | | | — | | | | | 23 | |
| | | | | | | | |
Pathfinder Conservative | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 5.32 | | | | | 6.50 | | | | | 111 | | | | | 0.07 | (4)(6) | | | | 4.72 | (4)(6) | | | | — | | | | | — | | | | | 20 | |
Year ended 12-31-2020 | | | | 5.31 | | | | | 12.67 | | | | | 112 | | | | | 0.08 | (4) | | | | 2.02 | (4) | | | | — | | | | | — | | | | | 41 | |
Year ended 12-31-2019 | | | | 5.15 | | | | | 14.66 | | | | | 99 | | | | | 0.07 | (4) | | | | 1.71 | (4) | | | | — | | | | | — | | | | | 31 | |
Year ended 12-31-2018 | | | | 4.83 | | | | | -1.93 | | | | | 94 | | | | | 0.07 | (4) | | | | 1.89 | (4) | | | | — | | | | | — | | | | | 39 | |
Year ended 12-31-2017 | | | | 5.16 | | | | | 10.51 | | | | | 109 | | | | | 0.06 | (4) | | | | 1.06 | (4) | | | | — | | | | | — | | | | | 30 | |
Year ended 12-31-2016 | | | | 4.90 | | | | | 2.84 | | | | | 114 | | | | | 0.07 | (4) | | | | 0.71 | (4) | | | | — | | | | | — | | | | | 26 | |
| | | | | | | | |
Pathfinder Moderate | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 5.26 | | | | | 9.42 | | | | | 657 | | | | | 0.03 | (4)(6) | | | | 4.13 | (4)(6) | | | | — | | | | | — | | | | | 15 | |
Year ended 12-31-2020 | | | | 5.15 | | | | | 14.35 | | | | | 656 | | | | | 0.04 | (4) | | | | 2.05 | (4) | | | | — | | | | | — | | | | | 21 | |
Year ended 12-31-2019 | | | | 5.19 | | | | | 19.05 | | | | | 680 | | | | | 0.04 | (4) | | | | 1.62 | (4) | | | | — | | | | | — | | | | | 17 | |
Year ended 12-31-2018 | | | | 4.89 | | | | | -3.90 | | | | | 703 | | | | | 0.03 | (4) | | | | 2.26 | (4) | | | | — | | | | | — | | | | | 36 | |
Year ended 12-31-2017 | | | | 5.40 | | | | | 14.70 | | | | | 877 | | | | | 0.03 | (4) | | | | 1.30 | (4) | | | | — | | | | | — | | | | | 22 | |
Year ended 12-31-2016 | | | | 5.02 | | | | | 3.65 | | | | | 860 | | | | | 0.03 | (4) | | | | 0.78 | (4) | | | | — | | | | | — | | | | | 19 | |
| | | | | | | | |
Pathfinder Moderately Aggressive | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 5.36 | | | | | 10.84 | | | | | 803 | | | | | 0.03 | (4)(6) | | | | 3.79 | (4)(6) | | | | — | | | | | — | | | | | 14 | |
Year ended 12-31-2020 | | | | 5.18 | | | | | 15.12 | | | | | 799 | | | | | 0.04 | (4) | | | | 2.02 | (4) | | | | — | | | | | — | | | | | 20 | |
Year ended 12-31-2019 | | | | 5.32 | | | | | 21.40 | | | | | 829 | | | | | 0.03 | (4) | | | | 1.56 | (4) | | | | — | | | | | — | | | | | 19 | |
Year ended 12-31-2018 | | | | 4.98 | | | | | -4.71 | | | | | 838 | | | | | 0.03 | (4) | | | | 2.35 | (4) | | | | — | | | | | — | | | | | 39 | |
Year ended 12-31-2017 | | | | 5.59 | | | | | 16.72 | | | | | 1,052 | | | | | 0.03 | (4) | | | | 1.66 | (4) | | | | — | | | | | — | | | | | 20 | |
Year ended 12-31-2016 | | | | 5.14 | | | | | 4.52 | | | | | 1,020 | | | | | 0.04 | (4) | | | | 0.85 | (4) | | | | — | | | | | — | | | | | 17 | |
| | | | | | | |
Pathfinder Moderately Conservative | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 5.31 | | | | | 7.93 | | | | | 193 | | | | | 0.05 | (4)(6) | | | | 4.39 | (4)(6) | | | | — | | | | | — | | | | | 16 | |
Year ended 12-31-2020 | | | | 5.26 | | | | | 13.52 | | | | | 195 | | | | | 0.06 | (4) | | | | 2.09 | (4) | | | | — | | | | | — | | | | | 25 | |
Year ended 12-31-2019 | | | | 5.22 | | | | | 16.85 | | | | | 202 | | | | | 0.05 | (4) | | | | 1.67 | (4) | | | | — | | | | | — | | | | | 18 | |
Year ended 12-31-2018 | | | | 4.90 | | | | | -2.67 | | | | | 205 | | | | | 0.05 | (4) | | | | 2.07 | (4) | | | | — | | | | | — | | | | | 34 | |
Year ended 12-31-2017 | | | | 5.32 | | | | | 12.77 | | | | | 251 | | | | | 0.05 | (4) | | | | 1.22 | (4) | | | | — | | | | | — | | | | | 24 | |
Year ended 12-31-2016 | | | | 4.99 | | | | | 3.10 | | | | | 261 | | | | | 0.05 | (4) | | | | 0.80 | (4) | | | | — | | | | | — | | | | | 16 | |
| | | | | | |
| 22 | | SEMIANNUAL REPORT | | 2021 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| | | 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 |
Pathfinder Moderate – Managed Volatility | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 6.08 | | | | | 8.58 | | | | | 771 | | | | | 0.22 | (4)(6) | | | | 3.90 | (4)(6) | | | | — | | | | | — | | | | | 14 | |
Year ended 12-31-2020 | | | | 5.77 | | | | | 9.07 | | | | | 729 | | | | | 0.23 | (4) | | | | 1.78 | (4) | | | | — | | | | | — | | | | | 42 | |
Year ended 12-31-2019 | | | | 5.84 | | | | | 17.32 | | | | | 707 | | | | | 0.23 | (4) | | | | 1.39 | (4) | | | | — | | | | | — | | | | | 9 | |
Year ended 12-31-2018 | | | | 5.33 | | | | | -4.00 | | | | | 606 | | | | | 0.23 | (4) | | | | 2.00 | (4) | | | | — | | | | | — | | | | | 28 | |
Year ended 12-31-2017 | | | | 5.78 | | | | | 13.80 | | | | | 600 | | | | | 0.23 | (4) | | | | 1.07 | (4) | | | | — | | | | | — | | | | | 21 | |
Year ended 12-31-2016 | | | | 5.25 | | | | | 1.81 | | | | | 511 | | | | | 0.24 | (4) | | | | 0.55 | (4) | | | | — | | | | | — | | | | | 14 | |
| | | | | | | | |
Pathfinder Moderately Aggressive – Managed Volatility | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | |
Six-month period ended 6-30-2021
(unaudited) | | | | 5.83 | | | | | 10.04 | | | | | 101 | | | | | 0.26 | (4)(6) | | | | 3.51 | (4)(6) | | | | — | | | | | — | | | | | 15 | |
Year ended 12-31-2020 | | | | 5.46 | | | | | 9.71 | | | | | 96 | | | | | 0.29 | (4) | | | | 1.68 | (4) | | | | — | | | | | — | | | | | 41 | |
Year ended 12-31-2019 | | | | 5.63 | | | | | 19.29 | | | | | 93 | | | | | 0.27 | (4) | | | | 1.32 | (4) | | | | — | | | | | — | | | | | 16 | |
Year ended 12-31-2018 | | | | 5.15 | | | | | -4.75 | | | | | 84 | | | | | 0.27 | (4) | | | | 2.04 | (4) | | | | — | | | | | — | | | | | 37 | |
Year ended 12-31-2017 | | | | 5.66 | | | | | 15.70 | | | | | 92 | | | | | 0.27 | (4) | | | | 1.38 | (4) | | | | — | | | | | — | | | | | 19 | |
Year ended 12-31-2016 | | | | 5.06 | | | | | 2.36 | | | | | 78 | | | | | 0.31 | (4) | | | | 0.56 | (4) | | | | — | | | | | — | | | | | 12 | |
| | | | | | | | |
Pathfinder Moderately Conservative – Managed Volatility | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | |
Six-month period ended 6-30-2021 (unaudited) | | | | 5.82 | | | | | 7.12 | | | | | 89 | | | | | 0.27 | (4)(6) | | | | 4.13 | (4)(6) | | | | — | | | | | — | | | | | 17 | |
Year ended 12-31-2020 | | | | 5.64 | | | | | 9.61 | | | | | 86 | | | | | 0.30 | (4) | | | | 1.77 | (4) | | | | — | | | | | — | | | | | 45 | |
Year ended 12-31-2019 | | | | 5.58 | | | | | 14.89 | | | | | 80 | | | | | 0.27 | (4) | | | | 1.45 | (4) | | | | — | | | | | — | | | | | 14 | |
Year ended 12-31-2018 | | | | 5.19 | | | | | -2.90 | | | | | 73 | | | | | 0.29 | (4) | | | | 1.79 | (4) | | | | — | | | | | — | | | | | 28 | |
Year ended 12-31-2017 | | | | 5.55 | | | | | 11.84 | | | | | 74 | | | | | 0.27 | (4) | | | | 0.96 | (4) | | | | — | | | | | — | | | | | 26 | |
Year ended 12-31-2016 | | | | 5.10 | | | | | 1.21 | | | | | 67 | | | | | 0.30 | (4) | | | | 0.49 | (4) | | | | — | | | | | — | | | | | 11 | |
| | | | | | | | |
Government Money Market | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II Shares | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Six-month period ended 6-30-2021 (unaudited) | | | | 1.00 | | | | | — | * | | | | 54 | | | | | 0.09 | (5)(6) | | | | 0.01 | (5)(6) | | | | 0.48 | (5)(6) | | | | -0.38 | (5)(6) | | | | — | |
Year ended 12-31-2020 | | | | 1.00 | | | | | 0.37 | | | | | 96 | | | | | 0.27 | (5) | | | | 0.44 | (5) | | | | 0.44 | (5) | | | | 0.27 | (5) | | | | — | |
Year ended 12-31-2019 | | | | 1.00 | | | | | 1.83 | | | | | 184 | | | | | 0.42 | | | | | 1.82 | | | | | — | | | | | — | | | | | — | |
Year ended 12-31-2018 | | | | 1.00 | | | | | 1.53 | | | | | 239 | | | | | 0.40 | | | | | 1.49 | | | | | — | | | | | — | | | | | — | |
Year ended 12-31-2017 | | | | 1.00 | | | | | 0.59 | | | | | 317 | | | | | 0.41 | | | | | 0.56 | | | | | 0.42 | | | | | 0.55 | | | | | — | |
Year ended 12-31-2016 | | | | 1.00 | | | | | 0.13 | | | | | 414 | | | | | 0.45 | | | | | 0.13 | | | | | 0.46 | | | | | 0.12 | | | | | — | |
See Accompanying Notes to Financial Statements.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 23 | |
| | |
| NOTES TO FINANCIAL STATEMENTS | | IVY VIP |
JUNE 30, 2021 (UNAUDITED)
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. Delaware Ivy VIP Pathfinder Aggressive (formerly known as Ivy VIP Pathfinder Aggressive), Delaware Ivy VIP Pathfinder Conservative (formerly known as Ivy VIP Pathfinder Conservative), Delaware Ivy VIP Pathfinder Moderate (formerly known as Ivy VIP Pathfinder Moderate), Delaware Ivy VIP Pathfinder Moderately Aggressive (formerly known as Ivy VIP Pathfinder Moderately Aggressive) and Delaware Ivy VIP Pathfinder Moderately Conservative (formerly known as Ivy VIP Pathfinder Moderately Conservative) (collectively, the “Pathfinder Portfolios”), Delaware Ivy VIP Pathfinder Moderate – Managed Volatility (formerly known as Ivy VIP Pathfinder Moderate – Managed Volatility), Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility (formerly known as Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility) and Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility (formerly known as Ivy VIP Pathfinder Moderately Conservative – Managed Volatility) (collectively, the “Managed Volatility Portfolios”) and Delaware Ivy VIP Government Money Market (formerly known as Ivy VIP Government Money Market) (each, a “Portfolio”) are nine series of the Trust and are the only series of the Trust included in the financial statements. The assets belonging to Government Money Market 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 was Ivy Investment Management Company (“IICO”) through April 30, 2021. Effective April 30, 2021, each Portfolio’s investment adviser is Delaware Management Company (“DMC”).
| 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. The financial statements reflect an estimate of the reclassification of the distribution character. Income or short-term capital gain distributions received from registered investment companies, if any, are recorded as dividend income. Long-term capital gain distributions received from registered investment companies, if any, are recorded as realized gains.
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.
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 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.
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| 24 | | SEMIANNUAL REPORT | | 2021 | | |
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 Statements 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. Because each Pathfinder Portfolio and Managed Volatility Portfolio invests substantially all of its assets in Ivy Variable Insurance Portfolios mutual funds (“Underlying Funds”), the risks associated with investing in the Portfolios are closely related to the risks associated with the securities and other investments held by the Underlying Funds.
In the normal course of business, Government Money Market and the Underlying Funds may 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 Government Money Market and the Underlying Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the Underlying Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to issuer credit risk, Government Money Market and the Underlying Funds may be exposed to counterparty credit risk, or the risk that an entity with which Government Money Market or the Underlying Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. Government Money Market and the Underlying Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Underlying Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties.
Certain Underlying Funds may hold high-yield or non-investment-grade bonds, that may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Underlying Funds may acquire securities in default and are not obligated to dispose of securities whose issuers subsequently default.
Certain Underlying Funds may enter into financial instrument transactions (such as swaps, futures, options and other derivatives) that may have off-balance sheet market risk. Off-balance sheet market risk exists when the maximum potential loss on a particular financial instrument is greater than the value of such financial instrument.
If an Underlying Fund invests directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in financial derivatives that provide exposure to foreign currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Underlying Funds, or, in the case of hedging positions, that the Underlying Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad.
The risk that changes related to the use of the London Interbank Offered Rate (“LIBOR”) or similar interbank offered rates (“IBORs,” such as the Euro Overnight Index Average (“EONIA”)) could have adverse impacts on financial instruments that reference LIBOR or a similar rate. While some instruments may contemplate a scenario where LIBOR or a similar rate is no longer available by providing for an alternative rate setting methodology, not all instruments have such fallback provisions and the effectiveness of replacement rates is uncertain. The abandonment of LIBOR and similar rates could affect the value and liquidity of instruments that reference such rates, especially those that do not have fallback provisions. The use of alternative reference rate products may impact investment strategy performance.
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| | | 2021 | | | | SEMIANNUAL REPORT | | | | 25 | |
An outbreak of infectious respiratory illness caused by a novel coronavirus known as COVID-19 was first detected in China in December 2019 and has now been detected globally. This coronavirus has resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the COVID-19 outbreak and its effects cannot be determined with certainty.
Custodian Fees. “Custodian fees” on the Statements 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.
| 3. | | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Investments in affiliated mutual funds within the Ivy Variable Insurance Portfolios family are valued at their Net Asset Value (“NAV”) as reported by the Underlying Funds. Investments in Government Money Market are valued on the basis of amortized cost in accordance with rule 2a-7 (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.
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. For purposes of calculating the NAV, the portfolio securities 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.
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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| 26 | | SEMIANNUAL REPORT | | 2021 | | |
unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputs is summarized as follows:
| • | | Level 1 – Observable inputs such as quoted prices, available in active markets, for identical assets or liabilities. |
| • | | Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
| • | | Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at its direction that are used in determining the fair value of investments. |
A description of the valuation techniques applied to the Portfolios’ major classes of assets and liabilities measured at fair value on a recurring basis follows:
Derivative Instruments. Exchange-traded futures contracts are generally valued at the settlement price.
Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. OTC derivative contracts include forward foreign currency contracts, swap agreements, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices. Depending on the product and the terms of the transaction, the fair value of the OTC derivative products are modeled taking into account the counterparties’ creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets, as is the case with interest rate swap and option contracts. OTC derivative products valued using pricing models with significant observable inputs are categorized within Level 2 of the fair value hierarchy.
Equity Securities. Investments in registered open-end investment management companies will be valued based upon the NAV of such investments and are categorized as Level 1 of the fair value hierarchy.
Short-term Investments. Short-term investments having a maturity of 60 days or less are valued based on quotes that are obtained from an independent pricing service authorized by the Board. These investments are categorized as Level 2 of the fair value hierarchy.
| 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.
Futures Contracts. Each Managed Volatility Portfolio is authorized to engage in buying and selling futures contracts. Upon entering into a futures contract, a 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 amounts, known as variation margin, are paid or received by the Portfolio each day, dependent on the daily fluctuations in the value of the underlying debt security or index. Options on futures contracts may also be purchased or sold by a Portfolio.
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 Statements of Assets and Liabilities. The net change in unrealized appreciation (depreciation) is reported on the Statements of Operations. Realized gains (losses) are reported on the Statements 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.
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| | | 2021 | | | | SEMIANNUAL REPORT | | | | 27 | |
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).
Additional Disclosure Related to Derivative Instruments
Fair values of derivative instruments as of June 30, 2021:
| | | | | | | | | | | | | | | | | | |
| | | | | Assets | | | | | | Liabilities | |
| Portfolio | | Type of Risk
Exposure | | Statements of Assets & Liabilities
Location | | Value | | | | | | Statements of Assets & Liabilities
Location | | Value | |
| Pathfinder Moderate – Managed Volatility | | Equity | | | | $ | — | | | | | | | Unrealized depreciation on futures contracts* | | $ | 39 | |
| Pathfinder Moderately Conservative – Managed Volatility | | Equity | | | | | — | | | | | | | Unrealized depreciation on futures contracts* | | | 10 | |
*The value presented includes cumulative gain (loss) on open futures contracts; however, the value reflected on the accompanying Statements of Assets and Liabilities is only the unsettled variation margin receivable (payable) as of June 30, 2021.
Amount of realized gain (loss) on derivatives recognized on the Statements of Operations for the period ended June 30, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 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 | | $ | — | | | $ | — | | | $ | (3,788 | ) | | $ | — | | | $ | — | | | $ | (3,788 | ) |
| Pathfinder Moderately Aggressive – Managed Volatility | | Equity | | | — | | | | — | | | | (417 | ) | | | — | | | | — | | | | (417 | ) |
| Pathfinder Moderately Conservative – Managed Volatility | | Equity | | | — | | | | — | | | | (499 | ) | | | — | | | | — | | | | (499 | ) |
* Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
Change in unrealized appreciation (depreciation) on derivatives recognized on the Statements of Operations for the period ended June 30, 2021:
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | 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 | | $ | — | | | $ | — | | | $ | 629 | | | $ | — | | | $ | — | | | $ | 629 | |
| Pathfinder Moderately Aggressive – Managed Volatility | | Equity | | | — | | | | — | | | | 78 | | | | — | | | | — | | | | 78 | |
| Pathfinder Moderately Conservative – Managed Volatility | | Equity | | | — | | | | — | | | | 73 | | | | — | | | | — | | | | 73 | |
* Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments.
During the period ended June 30, 2021, the average derivative volume was as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Portfolio | | Forward foreign
currency contracts(1) | | Long futures
contracts(2) | | Short futures
contracts(2) | | Swap
agreements(3) | | Purchased
options(2) | | Written
options(2) |
Pathfinder Moderate – Managed Volatility | | | $ | | | | | $ | — | | | | $ | 16,690 | | | | $ | — | | | | $ | — | | | | $ | — | |
Pathfinder Moderately Aggressive – Managed Volatility | | | | — | | | | | — | | | | | 1,706 | | | | | — | | | | | — | | | | | — | |
Pathfinder Moderately Conservative – Managed Volatility | | | | — | | | | | — | | | | | 2,342 | | | | | — | | | | | — | | | | | — | |
| (1) | Average absolute value of unrealized appreciation/depreciation during the period. |
| (2) | Average value outstanding during the period. |
| (3) | Average notional amount outstanding during the period. |
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| 28 | | SEMIANNUAL REPORT | | 2021 | | |
| 5. | | INVESTMENT MANAGEMENT AND PAYMENTS TO AFFILIATED PERSONS ($ amounts in thousands unless indicated otherwise) |
Management Fees. IICO served as each Portfolio’s investment adviser through April 30, 2021. Effective April 30, 2021, DMC serves as each Portfolio’s investment adviser. The management fee is accrued daily by Government Money Market at the following annual rates as a percentage of average daily net assets:
| | | | | | | | |
| Portfolio (M – Millions) | | $0 to
$1,000M | | | Over
$1,000M | |
Government Money Market | | | 0.350 | % | | | 0.300 | % |
Each Managed Volatility Portfolio pays a management fee to DMC 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 | |
DMC uses all of the management fee it receives from the Managed Volatility Portfolios to pay Securian Asset Management Inc. (“Securian”). Accordingly, Securian receives a fee based on the average daily net assets of the Managed Volatility Portfolios.
The Pathfinder Portfolios pay no management fees; however, DMC receives management fees from the underlying funds.
DMC has entered into Subadvisory Agreements with the following entity on behalf of certain Portfolios:
Securian serves as subadvisor to the Managed Volatility Portfolios. The subadvisor makes investment decisions in accordance with the Portfolio’s investment objectives, policies and restrictions under the supervision of DMC and the Board of Trustees. DMC 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”). 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 Government Money Market 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 Statements of Operations.
Shareholder Servicing. Under the Transfer Agency Agreement between the Trust and WISC, each Portfolio reimburses WISC for certain out-of-pocket costs.
Expense Reimbursements and/or Waivers. DMC, the Portfolios’ investment manager, has determined to voluntarily waive and/or reimburse sufficient expenses of Government Money Market to the extent necessary to maintain a yield of not
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 29 | |
less than zero. There is no guarantee that Class II of Government Money Market will maintain such a yield. DMC may amend or terminate this voluntary waiver and/or reimbursement at any time without prior notice to shareholders. Government Money Market class expense limitations and related waivers/reimbursements for the period ended June 30, 2021 were as follows:
| | | | | | | | | | | | | | | | | | | | | | |
| Portfolio Name | | Share
Class Name | | | Type of
Expense
Limit | | | Commencement
Date | | | End
Date | | | Expense Limit | | Amount of
Expense
Waiver/
Reimbursement | | Expense
Reduced |
Government Money Market | | | Class II | | | | Voluntary | | | | N/A | | | | N/A | | | To maintain
minimum yield | | $142 | | Investment
Management
Fees and/or
Shareholder
Servicing |
Any amounts due to the Portfolios as a reimbursement but not paid as of June 30, 2021 are shown as a receivable from affiliates on the Statements of Assets and Liabilities.
| 6. | | INTERFUND LENDING PROGRAM |
Pursuant to an exemptive order issued by the SEC (“Order”), the Ivy Funds, Ivy Variable Insurance Portfolios and InvestEd Portfolios (collectively, the “Funds” only for purposes of this footnote 6) have the ability to lend money to, and borrow money from, each other pursuant to a master interfund lending agreement (“Interfund Lending Program”). Under the Interfund Lending Program, the Funds may lend or borrow money for temporary purposes directly to or from one another (each an “Interfund Loan”), subject to meeting the conditions of the Order. The interest rate to be charged on an Interfund Loan is the average of the overnight repurchase agreement rate and the short-term bank loan rate. The Funds made no Interfund Loans under the Interfund Lending Program during the period ended June 30, 2021.
| 7. | | AFFILIATED COMPANY TRANSACTIONS (All amounts in thousands) |
A summary of the transactions in affiliated companies during the period ended June 30, 2021 follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 12-31-20
Value | | | Gross
Additions | | | Gross
Reductions | | | Realized
Gain/(Loss) | | | Net Change
in Unrealized
Appreciation/
(Depreciation) | | | 6-30-21
Value | | | Distributions
Received | | | Capital Gain
Distributions | |
Pathfinder Aggressive | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Core Equity, Class II | | $ | 8,944 | | | $ | 592 | | | $ | 1,515 | | | $ | 333 | | | $ | 500 | | | $ | 8,854 | | | $ | 47 | | | $ | 331 | |
Corporate Bond, Class II | | | 6,381 | | | | 1,477 | | | | 405 | | | | 39 | | | | (498 | ) | | | 6,994 | | | | 297 | | | | 119 | |
Global Equity Income, Class II | | | 8,957 | | | | 541 | | | | 855 | | | | 148 | | | | 576 | | | | 9,367 | | | | 207 | | | | — | |
Growth, Class II | | | 10,826 | | | | 4,161 | | | | 1,310 | | | | 310 | | | | 254 | | | | 14,241 | | | | 201 | | | | 1,116 | |
High Income, Class I | | | 165 | | | | 27 | | | | 11 | | | | 1 | | | | (3 | ) | | | 179 | | | | 11 | | | | — | |
International Core Equity, Class II | | | 11,035 | | | | 374 | | | | 1,317 | | | | 23 | | | | 1,309 | | | | 11,424 | | | | 119 | | | | — | |
Limited-Term Bond, Class II | | | 3,265 | | | | 556 | | | | 208 | | | | 3 | | | | (65 | ) | | | 3,551 | | | | 67 | | | | — | |
Mid Cap Growth, Class I | | | 6,809 | | | | 1,569 | | | | 896 | | | | 374 | | | | (427 | ) | | | 7,429 | | | | 91 | | | | 722 | |
Small Cap Core, Class II | | | 852 | | | | 15 | | | | 579 | | | | (2 | ) | | | 156 | | | | 442 | | | | — | | | | — | |
Small Cap Growth, Class I | | | 1,744 | | | | 387 | | | | 266 | | | | 15 | | | | (56 | ) | | | 1,824 | | | | 28 | | | | 186 | |
Value, Class II | | | 7,942 | | | | 363 | | | | 2,309 | | | | 256 | | | | 1,088 | | | | 7,340 | | | | 140 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 66,920 | | | | | | | | | | | $ | 1,500 | | | $ | 2,834 | | | $ | 71,645 | | | $ | 1,208 | | | $ | 2,474 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| 30 | | SEMIANNUAL REPORT | | 2021 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 12-31-20
Value | | Gross
Additions | | Gross
Reductions | | Realized
Gain/(Loss) | | Net Change in
Unrealized
Appreciation/
(Depreciation) | | 6-30-21
Value | | Distributions
Received | | Capital Gain
Distributions |
Pathfinder Conservative | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Core Equity, Class II | | | $ | 9,317 | | | | $ | 796 | | | | $ | 2,863 | | | | $ | 615 | | | | $ | 212 | | | | $ | 8,077 | | | | $ | 45 | | | | $ | 313 | |
Corporate Bond, Class II | | | | 28,194 | | | | | 8,965 | | | | | 3,351 | | | | | 256 | | | | | (2,278 | ) | | | | 31,786 | | | | | 1,323 | | | | | 531 | |
Global Equity Income, Class II | | | | 4,994 | | | | | 378 | | | | | 956 | | | | | 150 | | | | | 247 | | | | | 4,813 | | | | | 110 | | | | | — | |
Government Money Market, Class II | | | | 3,259 | | | | | 108 | | | | | 3,367 | | | | | — | | | | | — | | | | | — | | | | | — | * | | | | — | |
Growth, Class II | | | | 11,324 | | | | | 5,043 | | | | | 2,452 | | | | | 388 | | | | | 194 | | | | | 14,497 | | | | | 212 | | | | | 1,175 | |
High Income, Class I | | | | 1,377 | | | | | 199 | | | | | 182 | | | | | 16 | | | | | (33 | ) | | | | 1,377 | | | | | 84 | | | | | — | |
International Core Equity, Class II | | | | 6,156 | | | | | 360 | | | | | 1,369 | | | | | 95 | | | | | 628 | | | | | 5,870 | | | | | 63 | | | | | — | |
Limited-Term Bond, Class II | | | | 27,299 | | | | | 3,726 | | | | | 3,162 | | | | | 44 | | | | | (542 | ) | | | | 27,365 | | | | | 534 | | | | | — | |
Mid Cap Growth, Class I | | | | 7,980 | | | | | 1,882 | | | | | 1,791 | | | | | 586 | | | | | (638 | ) | | | | 8,019 | | | | | 101 | | | | | 807 | |
Small Cap Core, Class II | | | | 285 | | | | | 11 | | | | | 210 | | | | | (9 | ) | | | | 59 | | | | | 136 | | | | | — | | | | | — | |
Small Cap Growth, Class I | | | | 1,754 | | | | | 367 | | | | | 399 | | | | | 45 | | | | | (80 | ) | | | | 1,687 | | | | | 27 | | | | | 178 | |
Value, Class II | | | | 8,857 | | | | | 523 | | | | | 3,808 | | | | | 584 | | | | | 846 | | | | | 7,002 | | | | | 139 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 110,796 | | | | | | | | | | | | | | $ | 2,770 | | | | $ | (1,385 | ) | | | $ | 110,629 | | | | $ | 2,638 | | | | $ | 3,004 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 12-31-20
Value | | Gross
Additions | | Gross
Reductions | | Realized
Gain/(Loss) | | Net Change in
Unrealized
Appreciation/
(Depreciation) | | 6-30-21
Value | | Distributions
Received | | Capital Gain
Distributions |
Pathfinder Moderate | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Core Equity, Class II | | | $ | 71,387 | | | | $ | 3,313 | | | | $ | 16,795 | | | | $ | 3,690 | | | | $ | 2,792 | | | | $ | 64,387 | | | | $ | 350 | | | | $ | 2,456 | |
Corporate Bond, Class II | | | | 111,081 | | | | | 34,247 | | | | | 10,876 | | | | | 1,029 | | | | | (9,314 | ) | | | | 126,167 | | | | | 5,457 | | | | | 2,190 | |
Global Equity Income, Class II | | | | 58,729 | | | | | 2,134 | | | | | 8,527 | | | | | 1,375 | | | | | 3,340 | | | | | 57,051 | | | | | 1,285 | | | | | — | |
Government Money Market, Class II | | | | 12,806 | | | | | — | * | | | | 12,806 | | | | | — | | | | | — | | | | | — | | | | | — | * | | | | — | |
Growth, Class II | | | | 86,549 | | | | | 31,094 | | | | | 14,095 | | | | | 2,681 | | | | | 1,786 | | | | | 108,015 | | | | | 1,552 | | | | | 8,617 | |
High Income, Class I | | | | 4,860 | | | | | 597 | | | | | 503 | | | | | 39 | | | | | (94 | ) | | | | 4,899 | | | | | 293 | | | | | — | |
International Core Equity, Class II | | | | 72,378 | | | | | 799 | | | | | 12,149 | | | | | 831 | | | | | 7,724 | | | | | 69,583 | | | | | 741 | | | | | — | |
Limited-Term Bond, Class II | | | | 96,327 | | | | | 11,571 | | | | | 8,824 | | | | | 159 | | | | | (1,900 | ) | | | | 97,333 | | | | | 1,872 | | | | | — | |
Mid Cap Growth, Class I | | | | 56,948 | | | | | 11,308 | | | | | 10,248 | | | | | 3,965 | | | | | (4,276 | ) | | | | 57,697 | | | | | 716 | | | | | 5,714 | |
Small Cap Core, Class II | | | | 5,033 | | | | | 45 | | | | | 3,549 | | | | | (378 | ) | | | | 1,275 | | | | | 2,426 | | | | | – | | | | | — | |
Small Cap Growth, Class I | | | | 13,739 | | | | | 2,497 | | | | | 2,638 | | | | | 206 | | | | | (474 | ) | | | | 13,330 | | | | | 212 | | | | | 1,385 | |
Value, Class II | | | | 65,081 | | | | | 1,089 | | | | | 22,614 | | | | | 3,039 | | | | | 7,690 | | | | | 54,285 | | | | | 1,058 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 654,918 | | | | | | | | | | | | | | $ | 16,636 | | | | $ | 8,549 | | | | $ | 655,173 | | | | $ | 13,536 | | | | $ | 20,362 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 12-31-20
Value | | Gross
Additions | | Gross
Reductions | | Realized
Gain/(Loss) | | Net Change in
Unrealized
Appreciation/
(Depreciation) | | 6-30-21
Value | | Distributions
Received | | Capital Gain
Distributions |
Pathfinder Moderately Aggressive | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Core Equity, Class II | | | $ | 96,797 | | | | $ | 4,885 | | | | $ | 21,637 | | | | $ | 4,763 | | | | $ | 4,085 | | | | $ | 88,893 | | | | $ | 486 | | | | $ | 3,405 | |
Corporate Bond, Class II | | | | 107,576 | | | | | 27,882 | | | | | 11,393 | | | | | 1,099 | | | | | (8,868 | ) | | | | 116,296 | | | | | 5,049 | | | | | 2,026 | |
Global Equity Income, Class II | | | | 89,182 | | | | | 3,781 | | | | | 12,890 | | | | | 2,106 | | | | | 5,082 | | | | | 87,261 | | | | | 1,974 | | | | | — | |
Government Money Market, Class II | | | | 5,821 | | | | | 5 | | | | | 5,826 | | | | | — | | | | | — | | | | | — | | | | | — | * | | | | — | |
Growth, Class II | | | | 117,250 | | | | | 42,278 | | | | | 19,793 | | | | | 3,580 | | | | | 2,406 | | | | | 145,721 | | | | | 2,102 | | | | | 11,672 | |
High Income, Class I | | | | 3,936 | | | | | 546 | | | | | 438 | | | | | 29 | | | | | (76 | ) | | | | 3,997 | | | | | 240 | | | | | — | |
International Core Equity, Class II | | | | 109,893 | | | | | 1,848 | | | | | 18,377 | | | | | 562 | | | | | 12,504 | | | | | 106,430 | | | | | 1,138 | | | | | — | |
Limited-Term Bond, Class II | | | | 78,021 | | | | | 10,794 | | | | | 7,983 | | | | | 111 | | | | | (1,539 | ) | | | | 79,404 | | | | | 1,533 | | | | | — | |
Mid Cap Growth, Class I | | | | 75,272 | | | | | 15,530 | | | | | 13,483 | | | | | 5,177 | | | | | (5,654 | ) | | | | 76,842 | | | | | 958 | | | | | 7,644 | |
Small Cap Core, Class II | | | | 8,150 | | | | | 90 | | | | | 5,741 | | | | | (602 | ) | | | | 2,060 | | | | | 3,957 | | | | | — | | | | | — | |
Small Cap Growth, Class I | | | | 18,767 | | | | | 3,641 | | | | | 3,668 | | | | | 288 | | | | | (676 | ) | | | | 18,352 | | | | | 293 | | | | | 1,914 | |
Value, Class II | | | | 86,974 | | | | | 2,082 | | | | | 29,287 | | | | | 4,050 | | | | | 10,418 | | | | | 74,237 | | | | | 1,453 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 797,639 | | | | | | | | | | | | | | $ | 21,163 | | | | $ | 19,742 | | | | $ | 801,390 | | | | $ | 15,226 | | | | $ | 26,661 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*Not shown due to rounding.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 31 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 12-31-20
Value | | Gross
Additions | | Gross
Reductions | | Realized
Gain/(Loss) | | Net Change in
Unrealized
Appreciation/
(Depreciation) | | 6-30-21
Value | | Distributions
Received | | Capital Gain
Distributions |
Pathfinder Moderately Conservative | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Core Equity, Class II | | | $ | 18,753 | | | | $ | 884 | | | | $ | 4,821 | | | | $ | 1,053 | | | | $ | 630 | | | | $ | 16,499 | | | | $ | 90 | | | | $ | 630 | |
Corporate Bond, Class II | | | | 41,631 | | | | | 11,445 | | | | | 3,865 | | | | | 321 | | | | | (3,298 | ) | | | | 46,234 | | | | | 1,940 | | | | | 778 | |
Global Equity Income, Class II | | | | 13,093 | | | | | 464 | | | | | 2,023 | | | | | 316 | | | | | 727 | | | | | 12,577 | | | | | 284 | | | | | — | |
Government Money Market, Class II | | | | 4,287 | | | | | 14 | | | | | 4,301 | | | | | — | | | | | — | | | | | — | | | | | — | * | | | | — | |
Growth, Class II | | | | 22,760 | | | | | 8,530 | | | | | 3,966 | | | | | 712 | | | | | 464 | | | | | 28,500 | | | | | 410 | | | | | 2,278 | |
High Income, Class I | | | | 1,926 | | | | | 217 | | | | | 201 | | | | | 12 | | | | | (34 | ) | | | | 1,920 | | | | | 115 | | | | | — | |
International Core Equity, Class II | | | | 16,138 | | | | | 229 | | | | | 2,917 | | | | | 36 | | | | | 1,853 | | | | | 15,339 | | | | | 164 | | | | | — | |
Limited-Term Bond, Class II | | | | 38,177 | | | | | 4,077 | | | | | 3,424 | | | | | 62 | | | | | (747 | ) | | | | 38,145 | | | | | 734 | | | | | — | |
Mid Cap Growth, Class I | | | | 15,431 | | | | | 3,021 | | | | | 2,907 | | | | | 1,111 | | | | | (1,193 | ) | | | | 15,463 | | | | | 192 | | | | | 1,534 | |
Small Cap Core, Class II | | | | 998 | | | | | 11 | | | | | 711 | | | | | (76 | ) | | | | 253 | | | | | 475 | | | | | — | | | | | — | |
Small Cap Growth, Class I | | | | 3,574 | | | | | 625 | | | | | 704 | | | | | 32 | | | | | (99 | ) | | | | 3,428 | | | | | 54 | | | | | 357 | |
Value, Class II | | | | 17,409 | | | | | 345 | | | | | 6,511 | | | | | 847 | | | | | 1,988 | | | | | 14,078 | | | | | 275 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 194,177 | | | | | | | | | | | | | | $ | 4,426 | | | | $ | 544 | | | | $ | 192,658 | | | | $ | 4,258 | | | | $ | 5,577 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 12-31-20
Value | | Gross
Additions | | Gross
Reductions | | Realized
Gain/(Loss) | | Net Change in
Unrealized
Appreciation/
(Depreciation) | | 6-30-21
Value | | Distributions
Received | | Capital Gain
Distributions |
Pathfinder Moderate – Managed Volatility | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Core Equity, Class II | | | $ | 77,125 | | | | $ | 4,176 | | | | $ | 14,799 | | | | $ | 3,236 | | | | $ | 3,868 | | | | $ | 73,606 | | | | $ | 395 | | | | $ | 2,772 | |
Corporate Bond, Class II | | | | 120,020 | | | | | 38,574 | | | | | 5,199 | | | | | 542 | | | | | (9,703 | ) | | | | 144,234 | | | | | 6,158 | | | | | 2,471 | |
Global Equity Income, Class II | | | | 63,455 | | | | | 2,776 | | | | | 6,129 | | | | | 1,024 | | | | | 4,102 | | | | | 65,228 | | | | | 1,450 | | | | | — | |
Government Money Market, Class II | | | | 13,830 | | | | | 47 | | | | | 13,877 | | | | | — | | | | | — | | | | | — | | | | | — | * | | | | — | |
Growth, Class II | | | | 93,502 | | | | | 35,142 | | | | | 10,131 | | | | | 2,560 | | | | | 2,388 | | | | | 123,461 | | | | | 1,752 | | | | | 9,726 | |
High Income, Class I | | | | 5,251 | | | | | 701 | | | | | 280 | | | | | 36 | | | | | (107 | ) | | | | 5,601 | | | | | 331 | | | | | — | |
International Core Equity, Class II | | | | 78,199 | | | | | 1,365 | | | | | 9,417 | | | | | 1,785 | | | | | 7,624 | | | | | 79,556 | | | | | 836 | | | | | — | |
Limited-Term Bond, Class II | | | | 104,080 | | | | | 13,424 | | | | | 4,266 | | | | | 89 | | | | | (2,052 | ) | | | | 111,275 | | | | | 2,112 | | | | | — | |
Mid Cap Growth, Class I | | | | 61,521 | | | | | 13,001 | | | | | 8,122 | | | | | 3,166 | | | | | (3,618 | ) | | | | 65,948 | | | | | 809 | | | | | 6,454 | |
Small Cap Core, Class II | | | | 5,437 | | | | | 75 | | | | | 3,715 | | | | | (281 | ) | | | | 1,257 | | | | | 2,773 | | | | | — | | | | | — | |
Small Cap Growth, Class I | | | | 14,839 | | | | | 2,885 | | | | | 2,142 | | | | | 527 | | | | | (873 | ) | | | | 15,236 | | | | | 239 | | | | | 1,563 | |
Value, Class II | | | | 70,322 | | | | | 1,587 | | | | | 21,611 | | | | | 3,475 | | | | | 8,294 | | | | | 62,067 | | | | | 1,194 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 707,581 | | | | | | | | | | | | | | $ | 16,159 | | | | $ | 11,180 | | | | $ | 748,985 | | | | $ | 15,276 | | | | $ | 22,986 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 12-31-20
Value | | Gross
Additions | | Gross
Reductions | | Realized
Gain/(Loss) | | Net Change in
Unrealized
Appreciation/
(Depreciation) | | 6-30-21
Value | | Distributions
Received | | Capital Gain
Distributions |
Pathfinder Moderately Aggressive – Managed Volatility | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Core Equity, Class II | | | $ | 11,340 | | | | $ | 631 | | | | $ | 2,174 | | | | $ | 475 | | | | $ | 568 | | | | $ | 10,840 | | | | $ | 59 | | | | $ | 411 | |
Corporate Bond, Class II | | | | 12,602 | | | | | 3,360 | | | | | 856 | | | | | 84 | | | | | (1,007 | ) | | | | 14,183 | | | | | 610 | | | | | 245 | |
Global Equity Income, Class II | | | | 10,448 | | | | | 494 | | | | | 1,143 | | | | | 195 | | | | | 649 | | | | | 10,643 | | | | | 239 | | | | | — | |
Government Money Market, Class II | | | | 675 | | | | | 1 | | | | | 676 | | | | | — | | | | | — | | | | | — | | | | | — | * | | | | — | |
Growth, Class II | | | | 13,736 | | | | | 5,090 | | | | | 1,765 | | | | | 376 | | | | | 331 | | | | | 17,768 | | | | | 254 | | | | | 1,411 | |
High Income, Class I | | | | 461 | | | | | 67 | | | | | 35 | | | | | 4 | | | | | (10 | ) | | | | 487 | | | | | 29 | | | | | — | |
International Core Equity, Class II | | | | 12,875 | | | | | 271 | | | | | 1,713 | | | | | 246 | | | | | 1,302 | | | | | 12,981 | | | | | 138 | | | | | — | |
Limited-Term Bond, Class II | | | | 9,140 | | | | | 1,319 | | | | | 603 | | | | | 9 | | | | | (181 | ) | | | | 9,684 | | | | | 185 | | | | | — | |
Mid Cap Growth, Class I | | | | 8,821 | | | | | 1,897 | | | | | 1,278 | | | | | 491 | | | | | (562 | ) | | | | 9,369 | | | | | 116 | | | | | 924 | |
Small Cap Core, Class II | | | | 955 | | | | | 13 | | | | | 657 | | | | | (61 | ) | | | | 233 | | | | | 483 | | | | | — | | | | | — | |
Small Cap Growth, Class I | | | | 2,198 | | | | | 446 | | | | | 354 | | | | | 31 | | | | | (83 | ) | | | | 2,238 | | | | | 35 | | | | | 231 | |
Value, Class II | | | | 10,192 | | | | | 277 | | | | | 3,125 | | | | | 508 | | | | | 1,202 | | | | | 9,054 | | | | | 175 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 93,443 | | | | | | | | | | | | | | $ | 2,358 | | | | $ | 2,442 | | | | $ | 97,730 | | | | $ | 1,840 | | | | $ | 3,222 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*Not shown due to rounding.
| | | | | | |
| 32 | | SEMIANNUAL REPORT | | 2021 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 12-31-20
Value | | Gross
Additions | | Gross
Reductions | | Realized
Gain/(Loss) | | Net Change in
Unrealized
Appreciation/
(Depreciation) | | 6-30-21
Value | | Distributions
Received | | Capital Gain
Distributions |
Pathfinder Moderately Conservative – Managed Volatility | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Core Equity, Class II | | | $ | 8,041 | | | | $ | 663 | | | | $ | 2,002 | | | | $ | 442 | | | | $ | 302 | | | | $ | 7,446 | | | | $ | 41 | | | | $ | 285 | |
Corporate Bond, Class II | | | | 17,851 | | | | | 5,725 | | | | | 1,393 | | | | | 115 | | | | | (1,431 | ) | | | | 20,867 | | | | | 879 | | | | | 353 | |
Global Equity Income, Class II | | | | 5,615 | | | | | 398 | | | | | 796 | | | | | 135 | | | | | 324 | | | | | 5,676 | | | | | 128 | | | | | — | |
Government Money Market, Class II | | | | 1,835 | | | | | 61 | | | | | 1,896 | | | | | — | | | | | — | | | | | — | | | | | — | * | | | | — | |
Growth, Class II | | | | 9,760 | | | | | 4,150 | | | | | 1,580 | | | | | 372 | | | | | 162 | | | | | 12,864 | | | | | 186 | | | | | 1,031 | |
High Income, Class I | | | | 826 | | | | | 126 | | | | | 74 | | | | | 8 | | | | | (19 | ) | | | | 867 | | | | | 52 | | | | | — | |
International Core Equity, Class II | | | | 6,920 | | | | | 334 | | | | | 1,172 | | | | | 175 | | | | | 666 | | | | | 6,923 | | | | | 74 | | | | | — | |
Limited-Term Bond, Class II | | | | 16,370 | | | | | 2,375 | | | | | 1,221 | | | | | 20 | | | | | (328 | ) | | | | 17,216 | | | | | 333 | | | | | — | |
Mid Cap Growth, Class I | | | | 6,618 | | | | | 1,574 | | | | | 1,166 | | | | | 452 | | | | | (498 | ) | | | | 6,980 | | | | | 87 | | | | | 695 | |
Small Cap Core, Class II | | | | 428 | | | | | 18 | | | | | 309 | | | | | (22 | ) | | | | 99 | | | | | 214 | | | | | — | | | | | — | |
Small Cap Growth, Class I | | | | 1,533 | | | | | 330 | | | | | 280 | | | | | 52 | | | | | (88 | ) | | | | 1,547 | | | | | 25 | | | | | 162 | |
Value, Class II | | | | 7,466 | | | | | 402 | | | | | 2,767 | | | | | 429 | | | | | 823 | | | | | 6,353 | | | | | 124 | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | $ | 83,263 | | | | | | | | | | | | | | $ | 2,178 | | | | $ | 12 | | | | $ | 86,953 | | | | $ | 1,929 | | | | $ | 2,526 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
*Not shown due to rounding.
| 8. | | 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, 2021, were as follows:
| | | | | | | | | | | | | | | | |
| | | Purchases | | | Sales | |
| | | U.S. Government | | | Other Issuers | | | U.S. Government | | | Other Issuers | |
Pathfinder Aggressive | | $ | — | | | $ | 10,062 | | | $ | — | | | $ | 9,671 | |
Pathfinder Conservative | | | — | | | | 22,358 | | | | — | | | | 23,910 | |
Pathfinder Moderate | | | — | | | | 98,694 | | | | — | | | | 123,624 | |
Pathfinder Moderately Aggressive | | | — | | | | 113,362 | | | | — | | | | 150,516 | |
Pathfinder Moderately Conservative | | | — | | | | 29,862 | | | | — | | | | 36,351 | |
Pathfinder Moderate – Managed Volatility | | | — | | | | 113,753 | | | | — | | | | 99,688 | |
Pathfinder Moderately Aggressive – Managed Volatility | | | — | | | | 13,866 | | | | — | | | | 14,379 | |
Pathfinder Moderately Conservative – Managed Volatility | | | — | | | | 16,156 | | | | — | | | | 14,656 | |
Government Money Market | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 33 | |
| 9. | | 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 6-30-21 (Unaudited) | | | Year ended 12-31-20 | | | | | | Six months ended 6-30-21 (Unaudited) | | | Year ended 12-31-20 | |
| | | Shares | | | Value | | | Shares | | | Value | | | | | | Shares | | | Value | | | Shares | | | Value | |
Shares issued from sale of shares: | |
Class II | | | 90 | | | $ | 461 | | | | 455 | | | $ | 2,017 | | | | | | | | 926 | | | $ | 5,027 | | | | 4,945 | | | $ | 24,739 | |
Shares issued in reinvestment of distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | 918 | | | | 4,619 | | | | 2,257 | | | | 8,768 | | | | | | | | 1,303 | | | | 6,783 | | | | 1,739 | | | | 7,983 | |
Shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | (882 | ) | | | (4,524 | ) | | | (2,118 | ) | | | (9,369 | ) | | | | | | | (2,406 | ) | | | (12,894 | ) | | | (4,826 | ) | | | (24,087 | ) |
| | | | | | | | | | | | |
Net increase (decrease) | | | 126 | | | $ | 556 | | | | 594 | | | $ | 1,416 | | | | | | | | (177 | ) | | $ | (1,084 | ) | | | 1,858 | | | $ | 8,635 | |
| | | | | | | | | | | | |
| | | |
| | | Pathfinder Moderate | | | | | | Pathfinder Moderately Aggressive | |
| | | Six months ended 6-30-21 (Unaudited) | | | Year ended 12-31-20 | | | | | | Six months ended 6-30-21 (Unaudited) | | | Year ended 12-31-20 | |
| | | Shares | | | Value | | | Shares | | | Value | | | | | | Shares | | | Value | | | Shares | | | Value | |
Shares issued from sale of shares: | |
Class II | | | 104 | | | $ | 548 | | | | 189 | | | $ | 894 | | | | | | | | 410 | | | $ | 2,201 | | | | 848 | | | $ | 4,022 | |
Shares issued in reinvestment of distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | 8,318 | | | | 42,760 | | | | 18,744 | | | | 79,596 | | | | | | | | 10,161 | | | | 53,200 | | | | 26,249 | | | | 109,757 | |
Shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | (11,173 | ) | | | (59,224 | ) | | | (22,309 | ) | | | (107,020 | ) | | | | | | | (15,070 | ) | | | (81,171 | ) | | | (28,732 | ) | | | (138,904 | ) |
| | | | | | | | | | | | |
Net decrease | | | (2,751 | ) | | $ | (15,916 | ) | | | (3,376 | ) | | $ | (26,530 | ) | | | | | | | (4,499 | ) | | $ | (25,770 | ) | | | (1,635 | ) | | $ | (25,125 | ) |
| | | | | | | | | | | | |
| | | |
| | | Pathfinder Moderately Conservative | | | | | | Pathfinder Moderate – Managed
Volatility | |
| | | Six months ended 6-30-21 (Unaudited) | | | Year ended 12-31-20 | | | | | | Six months ended 6-30-21 (Unaudited) | | | Year ended 12-31-20 | |
| | | Shares | | | Value | | | Shares | | | Value | | | | | | Shares | | | Value | | | Shares | | | Value | |
Shares issued from sale of shares: | |
Class II | | | 232 | | | $ | 1,248 | | | | 558 | | | $ | 2,801 | | | | | | | | 1,410 | | | $ | 8,407 | | | | 1,390 | | | $ | 7,539 | |
Shares issued in reinvestment of distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | 2,403 | | | | 12,483 | | | | 4,529 | | | | 20,114 | | | | | | | | 3,585 | | | | 21,327 | | | | 12,381 | | | | 60,610 | |
Shares redeemed: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | (3,306 | ) | | | (17,777 | ) | | | (6,674 | ) | | | (32,894 | ) | | | | | | | (4,680 | ) | | | (27,881 | ) | | | (8,561 | ) | | | (46,346 | ) |
| | | | | | | | | | | | |
Net increase (decrease) | | | (671 | ) | | $ | (4,046 | ) | | | (1,587 | ) | | $ | (9,979 | ) | | | | | | | 315 | | | $ | 1,853 | | | | 5,210 | | | $ | 21,803 | |
| | | | | | | | | | | | |
| | | | | | |
| 34 | | SEMIANNUAL REPORT | | 2021 | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Pathfinder Moderately Aggressive –
Managed Volatility | | | | | | Pathfinder Moderately Conservative –
Managed Volatility | |
| | | Six months ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | | | | | | Six months ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | |
| | | Shares | | | Value | | | Shares | | | Value | | | | | | Shares | | | Value | | | Shares | | | Value | |
Shares issued from sale of shares: | |
Class II | | | 305 | | | $ | 1,748 | | | | 1,089 | | | $ | 5,429 | | | | | | | | 733 | | | $ | 4,204 | | | | 1,268 | | | $ | 6,624 | |
Shares issued in reinvestment of distributions to shareholders: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Class II | | | 506 | | | | 2,886 | | | | 2,141 | | | | 9,697 | | | | | | | | 567 | | | | 3,230 | | | | 1,234 | | | | 6,043 | |
Shares redeemed: | |
Class II | | | (1,135 | ) | | | (6,453 | ) | | | (2,203 | ) | | | (11,187 | ) | | | | | | | (1,126 | ) | | | (6,510 | ) | | | (1,716 | ) | | | (9,067 | ) |
| | | | | | | | | | | | |
Net increase (decrease) | | | (324 | ) | | $ | (1,819 | ) | | | 1,027 | | | $ | 3,939 | | | | | | | | 174 | | | $ | 924 | | | | 786 | | | $ | 3,600 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | | Government Money Market | |
| | | Six months ended
6-30-21
(Unaudited) | | | Year ended
12-31-20 | |
| | | Shares | | | Value | | | Shares | | | Value | |
Shares issued from sale of shares: | |
Class II | | | 22,415 | | | $ | 22,415 | | | | 68,026 | | | $ | 68,026 | |
Shares issued in reinvestment of distributions to shareholders: | | | | | | | | | | | | | | | | |
Class II | | | 3 | | | | 3 | | | | 616 | | | | 616 | |
Shares redeemed: | |
Class II | | | (64,199 | ) | | | (64,199 | ) | | | (156,759 | ) | | | (156,759 | ) |
| | | | |
Net decrease | | | (41,781 | ) | | $ | (41,781 | ) | | | (88,117 | ) | | $ | (88,117 | ) |
| | | | |
| 10. | | OTHER FUND INFORMATION |
At a meeting held on January 12, 2021, the Trustees, upon recommendation of the Audit Committee, selected PricewaterhouseCoopers LLP (“PwC”), contingent on PwC finalizing their independence assessment, to serve as the independent registered public accounting firm for the Trust for the fiscal year ending December 1, 2021. PwC affirmed their independence as an independent registered public accounting firm on February 18, 2021. During the fiscal years ended December 31, 2019 and December 31, 2020, Deloitte & Touche LLP’s (“Deloitte”) audit report on the financial statements of each Portfolio in the Trust did not contain any adverse opinion or disclaimer of opinion, nor were they qualified or modified as to uncertainty, audit scope, or accounting principles. In addition, there were no disagreements between the Trust and Deloitte on accounting principles, financial statements disclosures or audit scope, which, if not resolved to the satisfaction of Deloitte, would have caused them to make reference to the disagreement in their reports. Neither the Trust nor anyone on its behalf has consulted with PwC at any time prior to their selection with respect to the application of accounting principles to a specified transaction, either completed or proposed or the type of audit opinion that might be rendered on each Portfolio’s financial statements.
| 11. | | FEDERAL INCOME TAX MATTERS ($ amounts in thousands) |
For Federal income tax purposes, cost of investments owned at June 30, 2021 and the related unrealized appreciation (depreciation) were as follows:
| | | | | | | | | | | | | | | | |
| Portfolio | | Cost of Investments | | | Gross Appreciation | | | Gross Depreciation | | | Net Unrealized
Appreciation | |
Pathfinder Aggressive | | $ | 67,838 | | | $ | 5,548 | | | $ | 1,591 | | | $ | 3,957 | |
Pathfinder Conservative | | | 108,225 | | | | 4,669 | | | | 1,925 | | | | 2,744 | |
Pathfinder Moderate | | | 626,069 | | | | 44,513 | | | | 14,267 | | | | 30,246 | |
Pathfinder Moderately Aggressive | | | 759,317 | | | | 60,917 | | | | 17,436 | | | | 43,481 | |
Pathfinder Moderately Conservative | | | 186,383 | | | | 10,926 | | | | 3,664 | | | | 7,262 | |
Pathfinder Moderate – Managed Volatility | | | 727,192 | | | | 56,865 | | | | 13,445 | | | | 43,420 | |
Pathfinder Moderately Aggressive – Managed Volatility | | | 96,246 | | | | 7,083 | | | | 2,568 | | | | 4,515 | |
Pathfinder Moderately Conservative – Managed Volatility | | | 85,930 | | | | 5,118 | | | | 1,571 | | | | 3,547 | |
Government Money Market | | | 53,978 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 35 | |
For Federal income tax purposes, the Portfolios’ undistributed earnings and profit for the year ended December 31, 2020 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 | | $ | 1,594 | | | $ | 3,021 | | | $ | — | | | $ | — | | | $ | — | |
Pathfinder Conservative | | | 3,018 | | | | 3,759 | | | | — | | | | — | | | | — | |
Pathfinder Moderate | | | 16,707 | | | | 26,042 | | | | — | | | | — | | | | — | |
Pathfinder Moderately Aggressive | | | 20,763 | | | | 32,428 | | | | — | | | | — | | | | — | |
Pathfinder Moderately Conservative | | | 5,191 | | | | 7,286 | | | | — | | | | — | | | | — | |
Pathfinder Moderate – Managed Volatility | | | 12,115 | | | | 9,200 | | | | — | | | | — | | | | — | |
Pathfinder Moderately Aggressive – Managed Volatility | | | 1,485 | | | | 1,398 | | | | — | | | | — | | | | — | |
Pathfinder Moderately Conservative – Managed Volatility | | | 1,529 | | | | 1,697 | | | | — | | | | — | | | | — | |
Government Money Market | | | 39 | | | | — | | | | — | | | | — | | | | — | |
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 are generated between 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, 2020 and 2019 were as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | December 31, 2020 | | | | | | December 31, 2019 | |
| Portfolio | | Distributed
Ordinary
Income(1) | | | Distributed
Long-Term
Capital Gains | | | | | | Distributed
Ordinary
Income(1) | | | Distributed
Long-Term
Capital Gains | |
Pathfinder Aggressive | | $ | 1,191 | | | $ | 7,578 | | | | | | | $ | 1,922 | | | $ | 5,452 | |
Pathfinder Conservative | | | 2,101 | | | | 5,882 | | | | | | | | 2,143 | | | | 4,762 | |
Pathfinder Moderate | | | 14,439 | | | | 65,157 | | | | | | | | 19,550 | | | | 56,065 | |
Pathfinder Moderately Aggressive | | | 17,246 | | | | 92,511 | | | | | | | | 24,441 | | | | 78,148 | |
Pathfinder Moderately Conservative | | | 4,264 | | | | 15,850 | | | | | | | | 5,005 | | | | 13,433 | |
Pathfinder Moderate – Managed Volatility | | | 9,296 | | | | 51,313 | | | | | | | | 12,479 | | | | 31,346 | |
Pathfinder Moderately Aggressive – Managed Volatility | | | 1,202 | | | | 8,495 | | | | | | | | 2,045 | | | | 5,513 | |
Pathfinder Moderately Conservative – Managed Volatility | | | 1,133 | | | | 4,910 | | | | | | | | 1,340 | | | | 3,568 | |
Government Money Market | | | 623 | | | | — | | | | | | | | 3,948 | | | | 16 | |
| (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.
| | | | | | |
| 36 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| QUARTERLY PORTFOLIO SCHEDULE INFORMATION | | IVY VIP |
(UNAUDITED)
Portfolio holdings can be found on the Trust’s website at www.ivyinvestments.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 as an exhibit to the Trust’s Form N-PORT. These holdings may be viewed in the following ways:
| • | | On the SEC’s website at www.sec.gov. |
| • | | For review and copy at the SEC’s Public Reference Room in Washington, DC. Information on the operations of the Public Reference Room may be obtained by calling 1.800.SEC.0330. |
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 37 | |
| | |
| OTHER INFORMATION | | IVY VIP |
The individual Portfolios herein have adopted a Liquidity Risk Management Program (the “Program”). The Portfolio’s board has designated a Liquidity Risk Management Committee (the “Committee”) as the administrator of the Program. The Committee or delegates of the Committee conduct the day-to-day operation of the Program. Under the Program, the Committee manages the Portfolio’s liquidity risk, which is the risk that any Portfolio could not meet shareholder redemption requests without significant dilution of remaining shareholders’ interests in the Portfolio. This risk is managed by monitoring the degree of liquidity of the Portfolio’s investments, limiting the amount of the Portfolio’s illiquid investments, and utilizing various risk management tools and facilities available to the Portfolio for meeting shareholder redemptions, among other means. The Committee’s process of determining the degree of liquidity of the Portfolio’s investments is supported by one or more third-party liquidity assessment vendors. The Portfolio’s board reviewed a report prepared by a designee of the Committee regarding the operation, adequacy and effectiveness of the Program from the period April 1, 2020, through December 31, 2020. The report described the Program’s liquidity classification methodology and the methodology in establishing a Portfolio’s Highly Liquid Investment Minimum (“HLIM”), if necessary. The Committee reported that during the period covered by the report, there were no material changes to the Program and no significant liquidity events impacting the Portfolio or its ability to timely meet redemptions without dilution to existing shareholders. In addition, the Committee provided its assessment that the Program, including the operation of each Portfolio’s HLIM, where applicable, had been effective in managing the Portfolio’s liquidity risk.
| | | | | | |
| 38 | | SEMIANNUAL REPORT | | 2021 | | |
| | |
| DELAWARE BY MACQUARIE FAMILY | | |
Global/International Portfolios
Delaware Ivy VIP Global Equity Income
Delaware Ivy VIP Global Growth
Delaware Ivy VIP International Core Equity
Domestic Equity Portfolios
Delaware Ivy VIP Core Equity
Delaware Ivy VIP Growth
Delaware Ivy VIP Mid Cap Growth
Delaware Ivy VIP Small Cap Core
Delaware Ivy VIP Small Cap Growth
Delaware Ivy VIP Value
Fixed Income Portfolios
Delaware Ivy VIP Corporate Bond
Delaware Ivy VIP Global Bond
Delaware Ivy VIP High Income
Delaware Ivy VIP Limited-Term Bond
Money Market Portfolio
Delaware Ivy VIP Government Money Market
Specialty Portfolios
Delaware Ivy VIP Asset Strategy
Delaware Ivy VIP Balanced
Delaware Ivy VIP Energy
Delaware Ivy VIP Natural Resources
Delaware Ivy VIP Pathfinder Aggressive
Delaware Ivy VIP Pathfinder Conservative
Delaware Ivy VIP Pathfinder Moderate
Delaware Ivy VIP Pathfinder Moderately Aggressive
Delaware Ivy VIP Pathfinder Moderately Conservative
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility
Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility
Delaware Ivy VIP Science and Technology
Delaware Ivy VIP Securian Real Estate Securities
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.
| | | | | | | | | | | | |
| | | 2021 | | | | SEMIANNUAL REPORT | | | | 39 | |
SEMIANN-VIP-PF (06/21)
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.
1
ITEM 11. CONTROLS AND PROCEDURES.
| (a) | The Registrant’s Principal Executive Officer and Principal Financial Officer, or persons performing similar functions, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, have concluded that such controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective and adequately designed to ensure that information required to be disclosed by the Registrant in its reports that it files or submits is accumulated and communicated to the Registrant’s management, including the Principal Executive Officer and Principal Financial Officer, or persons performing similar functions, as appropriate, to allow timely decisions regarding required disclosure. |
| (b) | There were no significant changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the registrant’s second fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
(a)(1) Required in annual report only.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)).
Attached hereto as Exhibit 99.CERT.
(b) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)).
Attached hereto as Exhibit 99.906CERT.
2
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)
| | David F. Connor, Secretary |
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.
| | Shawn K. Lytle, Principal Executive Officer |
| | Richard Salus, Principal Financial Officer |
