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: | 811-05017 |
Exact name of registrant as specified in charter: | Ivy Variable Insurance Portfolios |
Address of principal executive offices: | 610 Market Street Philadelphia, PA 19106 |
Name and address of agent for service: | David F. Connor, Esq. 610 Market Street Philadelphia, PA 19106 |
Registrant’s telephone number, including area code: | (800) 523-1918 |
Date of fiscal year end: | December 31 |
Date of reporting period: | June 30, 2023 |
Item 1. | Reports to Stockholders |
Semiannual report
Ivy Variable Insurance Portfolios
Delaware Ivy VIP Asset Strategy
Delaware Ivy VIP Balanced
Delaware Ivy VIP Energy
Delaware Ivy VIP Growth
Delaware Ivy VIP High Income
Delaware Ivy VIP International Core Equity
Delaware Ivy VIP Mid Cap Growth
Delaware Ivy VIP Natural Resources
Delaware Ivy VIP Science and Technology
Delaware Ivy VIP Small Cap Growth
Delaware Ivy VIP Smid Cap Core
June 30, 2023
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM and includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
Other than Macquarie Bank Limited ABN 46 008 583 542 ("Macquarie Bank"), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Portfolios are governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of June 30, 2023, 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.
The Portfolios are distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
All third-party marks cited are the property of their respective owners.
© 2023 Macquarie Management Holdings, Inc.
Disclosure of Portfolio expenses
For the six-month period from January 1, 2023 to June 30, 2023 (Unaudited)
The investment objective of Delaware Ivy VIP Asset Strategy seeks to provide total return.
The investment objective of Delaware Ivy VIP Balanced seeks to provide total return through a combination of capital appreciation and current income.
The investment objective of Delaware Ivy VIP Energy seeks to provide capital growth and appreciation.
The investment objective of Delaware Ivy VIP Growth seeks to provide growth of capital.
The investment objective of Delaware Ivy VIP High Income seeks to provide total return through a combination of high current income and capital appreciation.
The investment objective of Delaware Ivy VIP International Core Equity seeks to provide capital growth and appreciation.
The investment objective of Delaware Ivy VIP Mid Cap Growth seeks to provide growth of capital.
The investment objective of Delaware Ivy VIP Natural Resources seeks to provide capital growth and appreciation.
The investment objective of Delaware Ivy VIP Science and Technology seeks to provide growth of capital.
The investment objective of Delaware Ivy VIP Small Cap Growth seeks to provide growth of capital.
The investment objective of Delaware Ivy VIP Smid Cap Core seeks to provide capital appreciation.
As a shareholder of the Portfolio, you incur ongoing costs, which may include management fees; distribution and service (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2023 to June 30, 2023.
Actual expenses
The first section of the tables shown, “Actual Portfolio return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the tables shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on a Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only. As a shareholder of the Portfolio, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Portfolios' expenses shown in the tables reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
Delaware Ivy VIP Asset Strategy
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |
Actual Portfolio return† | ||||
Class I | $1,000.00 | $1,073.50 | 0.62% | $3.19 |
Class II | 1,000.00 | 1,072.30 | 0.87% | 4.47 |
Hypothetical 5% return (5% return before expenses) | ||||
Class I | $1,000.00 | $1,021.72 | 0.62% | $3.11 |
Class II | 1,000.00 | 1,020.48 | 0.87% | 4.36 |
1 |
Disclosure of Portfolio expenses
Delaware Ivy VIP Balanced
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |
Actual Portfolio return† | ||||
Class II | $1,000.00 | $1,092.10 | 1.15% | $5.97 |
Hypothetical 5% return (5% return before expenses) | ||||
Class II | $1,000.00 | $1,019.09 | 1.15% | $5.76 |
Delaware Ivy VIP Energy
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |
Actual Portfolio return† | ||||
Class I | $1,000.00 | $982.10 | 1.19% | $5.85 |
Class II | 1,000.00 | 981.30 | 1.44% | 7.07 |
Hypothetical 5% return (5% return before expenses) | ||||
Class I | $1,000.00 | $1,018.89 | 1.19% | $5.96 |
Class II | 1,000.00 | 1,017.65 | 1.44% | 7.20 |
Delaware Ivy VIP Growth
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |
Actual Portfolio return† | ||||
Class II | $1,000.00 | $1,272.90 | 1.02% | $5.75 |
Hypothetical 5% return (5% return before expenses) | ||||
Class II | $1,000.00 | $1,019.74 | 1.02% | $5.11 |
Delaware Ivy VIP High Income
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |
Actual Portfolio return† | ||||
Class I | $1,000.00 | $1,050.10 | 0.75% | $3.81 |
Class II | 1,000.00 | 1,047.40 | 1.00% | 5.08 |
Hypothetical 5% return (5% return before expenses) | ||||
Class I | $1,000.00 | $1,021.08 | 0.75% | $3.76 |
Class II | 1,000.00 | 1,019.84 | 1.00% | 5.01 |
Delaware Ivy VIP International Core Equity
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |
Actual Portfolio return† | ||||
Class II | $1,000.00 | $1,106.40 | 1.17% | $6.11 |
Hypothetical 5% return (5% return before expenses) | ||||
Class II | $1,000.00 | $1,018.99 | 1.17% | $5.86 |
Delaware Ivy VIP Mid Cap Growth
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |
Actual Portfolio return† | ||||
Class I | $1,000.00 | $1,181.30 | 0.85% | $4.60 |
Class II | 1,000.00 | 1,180.30 | 1.10% | 5.95 |
Hypothetical 5% return (5% return before expenses) | ||||
Class I | $1,000.00 | $1,020.58 | 0.85% | $4.26 |
Class II | 1,000.00 | 1,019.34 | 1.10% | 5.51 |
2 |
Delaware Ivy VIP Natural Resources
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |
Actual Portfolio return† | ||||
Class II | $1,000.00 | $979.70 | 1.55% | $7.61 |
Hypothetical 5% return (5% return before expenses) | ||||
Class II | $1,000.00 | $1,017.11 | 1.55% | $7.75 |
Delaware Ivy VIP Science and Technology
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |
Actual Portfolio return† | ||||
Class I | $1,000.00 | $1,254.10 | 0.92% | $5.14 |
Class II | 1,000.00 | 1,252.80 | 1.17% | 6.54 |
Hypothetical 5% return (5% return before expenses) | ||||
Class I | $1,000.00 | $1,020.23 | 0.92% | $4.61 |
Class II | 1,000.00 | 1,018.99 | 1.17% | 5.86 |
Delaware Ivy VIP Small Cap Growth
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |
Actual Portfolio return† | ||||
Class I | $1,000.00 | $1,123.90 | 0.89% | $4.69 |
Class II | 1,000.00 | 1,121.30 | 1.14% | 6.00 |
Hypothetical 5% return (5% return before expenses) | ||||
Class I | $1,000.00 | $1,020.38 | 0.89% | $4.46 |
Class II | 1,000.00 | 1,019.14 | 1.14% | 5.71 |
Delaware Ivy VIP Smid Cap Core
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |
Actual Portfolio return† | ||||
Class II | $1,000.00 | $1,078.70 | 1.28% | $6.60 |
Hypothetical 5% return (5% return before expenses) | ||||
Class II | $1,000.00 | $1,018.45 | 1.28% | $6.41 |
*“Expenses Paid During Period” are equal to the relevant Portfolio's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
†Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns.
In addition to the Portfolios' expenses reflected above and on the previous pages, each Portfolio also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds), including exchange-traded funds in which it invests. The tables above and on the previous pages do not reflect the expenses of any applicable Underlying Funds.
3 |
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Asset Strategy | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager's internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / sector | Percentage of net assets |
Agency Collateralized Mortgage Obligations | 0.14% |
Agency Commercial Mortgage-Backed Securities | 0.79% |
Agency Mortgage-Backed Securities | 9.48% |
Corporate Bonds | 10.29% |
Banking | 2.24% |
Basic Industry | 0.25% |
Brokerage | 0.08% |
Capital Goods | 0.38% |
Communications | 1.18% |
Consumer Cyclical | 0.76% |
Consumer Non-Cyclical | 1.21% |
Consumer Staples | 0.07% |
Electric | 0.91% |
Energy | 0.51% |
Finance Companies | 0.66% |
Government Agency | 0.14% |
Insurance | 0.64% |
Natural Gas | 0.16% |
Real Estate Investment Trusts | 0.01% |
Technology | 1.01% |
Transportation | 0.08% |
Non-Agency Commercial Mortgage-Backed Securities | 2.06% |
Sovereign Bonds | 0.15% |
US Treasury Obligations | 8.04% |
Common Stocks | 59.42% |
Communication Services | 4.05% |
Consumer Discretionary | 7.48% |
Consumer Staples | 4.63% |
Energy | 3.66% |
Financials | 8.41% |
Healthcare | 8.56% |
Industrials | 8.45% |
Information Technology | 12.28% |
Materials | 0.49% |
Utilities | 1.41% |
Exchange-Traded Funds | 2.90% |
Bullion | 4.84% |
Short-Term Investments | 1.67% |
Total Value of Securities | 99.78% |
Receivables and Other Assets Net of Liabilities | 0.22% |
Total Net Assets | 100.00% |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets |
Microsoft | 2.42% |
Amazon.com | 1.98% |
Apple | 1.88% |
Mastercard Class A | 1.52% |
Airbus | 1.35% |
Canadian Natural Resources | 1.32% |
UnitedHealth Group | 1.27% |
Pinterest Class A | 1.20% |
Vertex Pharmaceuticals | 1.18% |
ConocoPhillips | 1.16% |
4 |
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Balanced | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager's internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / sector | Percentage of net assets |
Agency Collateralized Mortgage Obligations | 0.65% |
Agency Mortgage-Backed Securities | 9.76% |
Corporate Bonds | 10.05% |
Banking | 1.90% |
Basic Industry | 0.20% |
Brokerage | 0.29% |
Capital Goods | 0.33% |
Communications | 1.25% |
Consumer Cyclical | 0.60% |
Consumer Non-Cyclical | 0.93% |
Electric | 0.91% |
Energy | 0.78% |
Finance Companies | 0.47% |
Insurance | 0.75% |
Natural Gas | 0.16% |
Real Estate Investment Trusts | 0.23% |
Technology | 0.90% |
Transportation | 0.35% |
Non-Agency Collateralized Mortgage Obligations | 0.26% |
Non-Agency Commercial Mortgage-Backed Securities | 3.32% |
US Treasury Obligations | 8.49% |
Common Stocks | 62.02% |
Communications | 4.14% |
Consumer Discretionary | 5.04% |
Consumer Staples | 2.37% |
Energy | 1.50% |
Financials | 10.89% |
Healthcare | 7.42% |
Industrials | 5.84% |
Information Technology | 19.67% |
Materials | 3.46% |
Utilities | 1.69% |
Exchange-Traded Funds | 3.96% |
Short-Term Investments | 1.43% |
Total Value of Securities | 99.94% |
Receivables and Other Assets Net of Liabilities | 0.06% |
Total Net Assets | 100.00% |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets |
Microsoft | 5.64% |
UnitedHealth Group | 2.95% |
Apple | 2.63% |
Amazon.com | 2.51% |
HCA Healthcare | 2.09% |
TE Connectivity | 1.97% |
NextEra Energy | 1.69% |
Alphabet Class A | 1.69% |
Airbus ADR | 1.69% |
Linde | 1.62% |
5 |
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Energy | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager's internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / sector | Percentage of net assets |
Common Stocks | 97.41% |
Consumer Staples | 2.35% |
Energy* | 89.82% |
Industrials | 4.58% |
Utilities | 0.66% |
Master Limited Partnerships | 2.64% |
Total Value of Securities | 100.05% |
Liabilities Net of Receivables and Other Assets | (0.05)% |
Total Net Assets | 100.00% |
*To monitor compliance with the Portfolio's concentration guidelines as described in the Portfolio's Prospectus and Statement of Additional Information, the Energy sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Energy sector consisted of Coal, Energy-Alternate Sources, Oil Company-Integrated, Oil & Gas Drilling, Oil-Field Services, Oil Component-Exploration & Production, Oil Refining & Marketing, and Pipelines. As of June 30, 2023, such amounts, as a percentage of total net assets were 1.61%, 1.12%, 23.06%, 4.26%, 5.00%, 45.33%, 8.18%, and 1.26%, respectively. The percentage in any such single industry will comply with the Portfolio's concentration policy even if the percentage in the Energy sector for financial reporting purposes may exceed 25%.
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | |
Top 10 equity holdings | of net assets |
Shell | 8.27% |
Occidental Petroleum | 6.81% |
ConocoPhillips | 6.52% |
Chord Energy | 5.91% |
Chesapeake Energy | 5.70% |
Denbury | 5.29% |
Parex Resources | 5.14% |
Schlumberger | 5.00% |
Tourmaline Oil | 4.67% |
Permian Resources | 4.63% |
6 |
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Growth | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager's internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / sector | Percentage of net assets |
Common Stocks | 99.65% |
Communication Services | 8.18% |
Consumer Discretionary | 12.94% |
Consumer Staples | 2.66% |
Financials | 10.86% |
Healthcare | 11.98% |
Industrials | 8.62% |
Information Technology* | 40.62% |
Real Estate | 3.79% |
Short-Term Investments | 0.22% |
Total Value of Securities | 99.87% |
Receivables and Other Assets Net of Liabilities | 0.13% |
Total Net Assets | 100.00% |
*To monitor compliance with the Portfolio's concentration guidelines as described in the Portfolio's Prospectus and Statement of Additional Information, the Information Technology sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Information Technology sector consisted of Computers, Internet, Semiconductors, Software, and Telecommunications. As of June 30, 2023, such amounts, as a percentage of total net assets were 8.20%, 4.23%, 4.59%, 20.08%, and 3.52%, respectively. The percentage in any such single industry will comply with the Portfolio's concentration policy even if the percentage in the Information Technology sector for financial reporting purposes may exceed 25%.
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Percentage | |
Top 10 equity holdings | of net assets |
Microsoft | 13.63% |
Apple | 8.20% |
Visa Class A | 5.83% |
Amazon.com | 5.75% |
Alphabet Class A | 5.11% |
NVIDIA | 4.59% |
VeriSign | 4.23% |
CoStar Group | 3.79% |
UnitedHealth Group | 3.76% |
Motorola Solutions | 3.52% |
7 |
Security type / sector allocations
Delaware Ivy VIP High Income | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager's internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / sector | Percentage of net assets |
Convertible Bond | 1.20% |
Corporate Bonds | 74.42% |
Automotive | 1.54% |
Basic Industry | 4.14% |
Capital Goods | 4.52% |
Consumer Goods | 1.50% |
Electric | 2.41% |
Energy | 12.29% |
Financial Services | 2.32% |
Healthcare | 5.34% |
Insurance | 3.54% |
Leisure | 6.27% |
Media | 8.54% |
Retail | 3.98% |
Services | 3.10% |
Technology & Electronics | 4.65% |
Telecommunications | 7.82% |
Transportation | 2.46% |
Municipal Bonds | 0.45% |
Loan Agreements | 12.16% |
Common Stocks | 1.75% |
Basic Industry | 0.44% |
Consumer Discretionary | 0.83% |
Consumer Goods | 0.00% |
Energy | 0.00% |
Financial Services | 0.42% |
Retail | 0.06% |
Utilities | 0.00% |
Preferred Stock | 0.02% |
Exchange-Traded Funds | 4.01% |
Warrants | 0.01% |
Short-Term Investments | 4.53% |
Total Value of Securities | 98.55% |
Receivables and Other Assets Net of Liabilities | 1.45% |
Total Net Assets | 100.00% |
8 |
Security type / country and sector allocations
Delaware Ivy VIP International Core Equity | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager's internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / country | Percentage of net assets |
Common Stocks by Country | 98.64% |
Australia | 1.78% |
Austria | 1.33% |
Brazil | 5.09% |
Canada | 5.94% |
China | 7.43% |
China/Hong Kong | 2.07% |
Denmark | 5.18% |
France | 12.55% |
Germany | 9.84% |
Hong Kong | 1.84% |
India | 5.97% |
Japan | 12.58% |
Netherlands | 5.44% |
Republic of Korea | 3.87% |
Spain | 1.74% |
Switzerland | 1.74% |
Taiwan | 2.22% |
United Kingdom | 7.70% |
United States | 4.33% |
Short-Term Investments | 1.22% |
Total Value of Securities | 99.86% |
Receivables and Other Assets Net of Liabilities | 0.14% |
Total Net Assets | 100.00% |
Common stocks by sector | Percentage of net assets |
Communication Services | 5.39% |
Consumer Discretionary | 13.42% |
Consumer Staples | 11.23% |
Energy | 7.36% |
Financials | 18.56% |
Healthcare | 10.46% |
Industrials | 12.07% |
Information Technology | 10.82% |
Materials | 5.50% |
Utilities | 3.83% |
Total | 98.64% |
9 |
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Mid Cap Growth | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager's internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / sector | Percentage of net assets |
Common Stocks | 99.23% |
Communication Services | 6.61% |
Consumer Discretionary | 14.70% |
Consumer Staples | 1.27% |
Financials | 3.73% |
Healthcare | 18.84% |
Industrials | 16.33% |
Information Technology* | 31.80% |
Materials | 1.35% |
Real Estate | 4.60% |
Short-Term Investments | 0.92% |
Total Value of Securities | 100.15% |
Liabilities Net of Receivables and Other Assets | (0.15)% |
Total Net Assets | 100.00% |
*To monitor compliance with the Portfolio's concentration guidelines as described in the Portfolio's Prospectus and Statement of Additional Information, the Information Technology sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Information Technology sector consisted of Computers, Electrical Components & Equipments, Electronics, Office/Business Equipment, Semiconductors, Software, and Telecommunications. As of June 30, 2023, such amounts, as a percentage of total net assets were 1.54%, 4.32%, 4.64%, 1.02%, 10.12%, 8.52%, and 1.64%, respectively. The percentage in any such single industry will comply with the Portfolio's concentration policy even if the percentage in the Information Technology sector for financial reporting purposes may exceed 25%.
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets |
CoStar Group | 4.60% |
Dexcom | 3.35% |
Monolithic Power Systems | 2.92% |
Pinterest Class A | 2.70% |
MarketAxess Holdings | 2.53% |
Trade Desk Class A | 2.40% |
BorgWarner | 2.38% |
Microchip Technology | 2.36% |
Intuitive Surgical | 2.17% |
Pool | 2.05% |
10 |
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Natural Resources | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager's internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / sector | Percentage of net assets |
Closed-Ended Trust | 2.36% |
Common Stocks | 96.71% |
Basic Industry* | 29.34% |
Consumer Discretionary | 0.59% |
Consumer Staples | 7.91% |
Energy* | 36.79% |
Industrials | 7.61% |
Materials | 10.49% |
Real Estate Investment Trusts | 3.98% |
Short-Term Investments | 1.10% |
Total Value of Securities | 100.17% |
Liabilities Net of Receivables and Other Assets | (0.17)% |
Total Net Assets | 100.00% |
*To monitor compliance with the Portfolio's concentration guidelines as described in the Portfolio's Prospectus and Statement of Additional Information, the Basic Industry and Energy sectors (as disclosed herein for financial reporting purposes) are subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Basic Industry sector consisted of Copper, Diversified Metals & Mining, Fertilizers & Agricultural Chemicals, and Gold. As of June 30, 2023, such amounts, as a percentage of total net assets were 5.67%, 4.99%, 7.43%, and 11.25%, respectively. The Energy Sector consisted of Energy-Alternate Sources, Oil & Gas Drilling, Oil & Gas Refining & Marketing, Oil Company- Integrated, Oil Component-Exploration & Production, and Oil-Field Services. As of June 30, 2023, such amounts, as a percentage of total net assets were 1.00%, 1.50%, 3.77%, 14.21%, 13.29%, and 3.02%, respectively. The percentage in any such single industry will comply with the Portfolio's concentration policy even if the percentage in the Basic Industry and Energy sector for financial reporting purposes may exceed 25%.
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets |
Shell | 5.44% |
Newmont | 4.76% |
Wheaton Precious Metals | 4.19% |
CF Industries Holdings | 4.06% |
Weyerhaeuser | 3.99% |
Valero Energy | 3.77% |
Arcosa | 3.69% |
Nutrien | 3.37% |
Kimbell Royalty Partners | 3.18% |
ERO Copper | 3.12% |
11 |
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Science and Technology | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager's internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / sector | Percentage of net assets |
Common Stocks | 97.04% |
Communication Services | 11.80% |
Consumer Discretionary | 9.95% |
Financials | 5.64% |
Healthcare | 7.23% |
Industrials | 2.61% |
Information Technology* | 59.81% |
Short-Term Investments | 3.08% |
Total Value of Securities | 100.12% |
Liabilities Net of Receivables and Other Assets | (0.12)% |
Total Net Assets | 100.00% |
*To monitor compliance with the Portfolio's concentration guidelines as described in the Portfolio's Prospectus and Statement of Additional Information, the Information Technology sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Information Technology sector consisted of Computers, Electronics, Internet, Office/Business Equipment, Semiconductors, and Software. As of June 30, 2023, such amounts, as a percentage of total net assets were 8.57%, 1.52%, 2.49%, 3.12%, 25.02%, and 19.09%, respectively. The percentage in any such single industry will comply with the Portfolio's concentration policy even if the percentage in the Information Technology sector for financial reporting purposes may exceed 25%.
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets |
Microsoft | 9.12% |
Amazon.com | 7.31% |
NVIDIA | 5.04% |
Apple | 4.77% |
ASML Holding | 4.49% |
Pinterest Class A | 4.06% |
T-Mobile US | 3.91% |
Seagate Technology Holdings | 3.79% |
Zebra Technologies Class A | 3.12% |
Microchip Technology | 2.75% |
12 |
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Small Cap Growth | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager's internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / sector | Percentage of net assets |
Common Stocks | 98.42% |
Communication Services | 2.61% |
Consumer Discretionary | 12.96% |
Consumer Staples | 2.35% |
Energy | 3.71% |
Financials | 7.41% |
Healthcare | 22.40% |
Industrials | 21.13% |
Information Technology | 22.78% |
Materials | 2.26% |
Real Estate | 0.81% |
Short-Term Investments | 1.76% |
Total Value of Securities | 100.18% |
Liabilities Net of Receivables and Other Assets | (0.18)% |
Total Net Assets | 100.00% |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets |
DoubleVerify Holdings | 3.27% |
Clean Harbors | 2.67% |
Progyny | 2.49% |
CyberArk Software | 2.42% |
Texas Roadhouse | 2.33% |
Allegro MicroSystems | 2.30% |
Kinsale Capital Group | 2.29% |
ATI | 2.26% |
Red Rock Resorts Class A | 2.06% |
Parsons | 2.00% |
13 |
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Smid Cap Core | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager's internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / sector | Percentage of net assets |
Common Stocks | 98.39% |
Basic Materials | 7.96% |
Business Services | 5.64% |
Capital Goods | 12.59% |
Consumer Discretionary | 4.83% |
Consumer Services | 2.43% |
Consumer Staples | 3.35% |
Credit Cyclicals | 4.07% |
Energy | 4.13% |
Financials | 12.13% |
Healthcare | 14.44% |
Media | 1.98% |
Real Estate Investment Trusts | 6.06% |
Technology | 13.62% |
Transportation | 3.52% |
Utilities | 1.64% |
Short-Term Investments | 1.75% |
Total Value of Securities | 100.14% |
Liabilities Net of Receivables and Other Assets | (0.14)% |
Total Net Assets | 100.00% |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets |
Quanta Services | 1.92% |
Primerica | 1.86% |
Liberty Energy | 1.80% |
WillScot Mobile Mini Holdings | 1.51% |
Chesapeake Energy | 1.51% |
Casey's General Stores | 1.45% |
Huntsman | 1.43% |
PTC | 1.36% |
Reliance Steel & Aluminum | 1.32% |
Aramark | 1.26% |
14 |
Consolidated schedules of investments
Delaware Ivy VIP Asset Strategy | June 30, 2023 (Unaudited) |
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations — 0.14% | ||||||||
Fannie Mae REMICs | ||||||||
Series 2015-18 NS 0.97% (6.12% minus LIBOR01M, Cap 6.12%) 4/25/45 Σ, • | 997,047 | $ | 106,660 | |||||
Series 2015-37 SB 0.47% (5.62% minus LIBOR01M, Cap 5.62%) 6/25/45 Σ, • | 2,102,235 | 167,538 | ||||||
Series 2016-48 US 0.95% (6.10% minus LIBOR01M, Cap 6.10%) 8/25/46 Σ, • | 2,394,483 | 168,830 | ||||||
Series 2017-33 AI 4.50% 5/25/47 Σ | 995,184 | 143,706 | ||||||
Series 2019-13 IP 5.00% 3/25/49 Σ | 672,629 | 132,628 | ||||||
Series 4740 SB 0.957% (6.15% minus LIBOR01M, Cap 6.15%) 11/15/47 Σ, • | 1,039,711 | 102,240 | ||||||
Total Agency Collateralized Mortgage Obligations | 821,602 | |||||||
Agency Commercial Mortgage-Backed Securities — 0.79% | ||||||||
Fannie Mae | ||||||||
Series 2017-M2 A2 2.899% 2/25/27 • | 1,292,875 | 1,213,357 | ||||||
Freddie Mac Multifamily Structured Pass Through Certificates | ||||||||
Series K103 X1 0.757% 11/25/29 t,• | 2,017,335 | 66,999 | ||||||
Series K115 X1 1.428% 6/25/30 t, • | 1,791,114 | 129,165 | ||||||
FREMF Mortgage Trust | ||||||||
Series 2016-K60 B 144A 3.664% 12/25/49 #, • | 2,751,000 | 2,548,468 | ||||||
Series 2018-K73 B 144A 3.986% 2/25/51 #, • | 600,000 | 553,429 | ||||||
Total Agency Commercial Mortgage-Backed Securities | 4,511,418 | |||||||
Agency Mortgage-Backed Securities — 9.48% | ||||||||
Fannie Mae S.F. 15 yr | ||||||||
2.50% 4/1/36 | 1,940,513 | 1,771,501 | ||||||
Fannie Mae S.F. 30 yr | ||||||||
2.00% 3/1/51 | 4,378,890 | 3,587,999 | ||||||
2.00% 10/1/51 | 3,261,789 | 2,665,348 | ||||||
2.50% 7/1/50 | 3,608,911 | 3,080,179 | ||||||
2.50% 8/1/50 | 512,926 | 441,376 | ||||||
2.50% 2/1/52 | 638,706 | 542,390 | ||||||
3.00% 8/1/50 | 732,120 | 652,309 | ||||||
3.00% 12/1/51 | 967,856 | 858,407 | ||||||
3.00% 2/1/52 | 2,103,115 | 1,859,977 | ||||||
3.50% 6/1/52 | 6,361,950 | 5,798,612 | ||||||
4.00% 3/1/47 | 1,771,124 | 1,690,930 | ||||||
4.00% 5/1/51 | 95,630 | 90,931 | ||||||
4.50% 9/1/52 | 1,224,023 | 1,177,694 | ||||||
4.50% 10/1/52 | 1,865,509 | 1,793,745 | ||||||
4.50% 2/1/53 | 3,146,164 | 3,025,103 | ||||||
5.00% 6/1/52 | 899,840 | 882,694 | ||||||
5.00% 9/1/52 | 1,341,156 | 1,315,116 | ||||||
5.50% 10/1/52 | 1,268,703 | 1,267,201 | ||||||
5.50% 11/1/52 | 886,846 | 888,689 | ||||||
5.50% 3/1/53 | 3,025,543 | 3,011,298 | ||||||
6.00% 12/1/52 | 1,252,815 | 1,266,266 | ||||||
6.00% 6/1/53 | 901,355 | 909,251 | ||||||
Freddie Mac S.F. 20 yr | ||||||||
2.50% 2/1/42 | 909,504 | 791,858 | ||||||
3.00% 3/1/37 | 743,030 | 686,709 | ||||||
Freddie Mac S.F. 30 yr | ||||||||
2.50% 12/1/51 | 483,042 | 413,796 | ||||||
2.50% 1/1/52 | 1,483,692 | 1,265,168 | ||||||
3.00% 1/1/52 | 2,982,012 | 2,628,501 | ||||||
3.50% 6/1/47 | 1,439,347 | 1,330,058 | ||||||
4.00% 8/1/52 | 939,422 | 885,708 | ||||||
4.00% 9/1/52 | 1,279,158 | 1,202,898 | ||||||
4.50% 9/1/52 | 1,515,491 | 1,457,832 | ||||||
4.50% 10/1/52 | 805,372 | 774,411 | ||||||
5.00% 7/1/52 | 1,153,494 | 1,131,403 | ||||||
5.50% 9/1/52 | 977,241 | 979,548 | ||||||
5.50% 11/1/52 | 770,452 | 769,677 | ||||||
5.50% 3/1/53 | 369,249 | 371,348 | ||||||
GNMA II S.F. 30 yr | ||||||||
3.00% 12/20/51 | 502,963 | 450,335 | ||||||
5.00% 9/20/52 | 706,707 | 694,636 | ||||||
Total Agency Mortgage-Backed Securities | 54,410,902 | |||||||
Corporate Bonds —10.29% | ||||||||
Banking — 2.24% | ||||||||
Bank of America | ||||||||
4.375% 1/27/27 μ, ψ | 45,000 | 38,486 | ||||||
5.288% 4/25/34 μ | 845,000 | 837,527 | ||||||
6.204% 11/10/28 μ | 290,000 | 298,311 | ||||||
Bank of New York Mellon 5.834% 10/25/33 μ | 375,000 | 391,134 | ||||||
Barclays | ||||||||
6.224% 5/9/34 μ | 210,000 | 209,304 | ||||||
7.385% 11/2/28 μ | 200,000 | 208,496 | ||||||
Citigroup | ||||||||
1.122% 1/28/27 μ | 1,885,000 | 1,681,161 |
15 |
Consolidated schedules of investments
Delaware Ivy VIP Asset Strategy
Principal | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Banking (continued) | ||||||||
Citigroup | ||||||||
3.07% 2/24/28 μ | 115,000 | $ | 105,893 | |||||
5.61% 9/29/26 μ | 100,000 | 99,917 | ||||||
6.174% 5/25/34 μ | 235,000 | 237,175 | ||||||
Citizens Bank 6.064% 10/24/25 μ | 750,000 | 711,109 | ||||||
Credit Agricole 144A 5.514% 7/5/33 # | 500,000 | 503,378 | ||||||
Deutsche Bank | ||||||||
3.729% 1/14/32 μ | 248,000 | 187,688 | ||||||
3.742% 1/7/33 μ | 200,000 | 146,807 | ||||||
6.72% 1/18/29 μ | 185,000 | 185,407 | ||||||
Fifth Third Bancorp 6.361% 10/27/28 μ | 627,000 | 624,760 | ||||||
Fifth Third Bank 5.852% 10/27/25 μ | 250,000 | 243,644 | ||||||
Goldman Sachs Group | ||||||||
1.542% 9/10/27 μ | 570,000 | 501,343 | ||||||
3.102% 2/24/33 μ | 45,000 | 38,034 | ||||||
Huntington National Bank | ||||||||
4.552% 5/17/28 μ | 255,000 | 238,080 | ||||||
5.65% 1/10/30 | 250,000 | 238,958 | ||||||
JPMorgan Chase & Co. 1.953% 2/4/32 μ | 165,000 | 131,522 | ||||||
KeyBank | ||||||||
5.00% 1/26/33 | 470,000 | 406,973 | ||||||
5.85% 11/15/27 | 80,000 | 75,398 | ||||||
KeyCorp 4.789% 6/1/33 μ | 207,000 | 173,633 | ||||||
Morgan Stanley | ||||||||
1.928% 4/28/32 μ | 625,000 | 488,190 | ||||||
2.484% 9/16/36 μ | 1,470,000 | 1,115,979 | ||||||
5.25% 4/21/34 μ | 275,000 | 271,678 | ||||||
6.138% 10/16/26 μ | 135,000 | 136,417 | ||||||
6.296% 10/18/28 μ | 224,000 | 230,378 | ||||||
6.342% 10/18/33 μ | 110,000 | 117,069 | ||||||
PNC Financial Services Group | ||||||||
5.671% 10/28/25 μ | 195,000 | 193,471 | ||||||
Popular 7.25% 3/13/28 | 130,000 | 130,000 | ||||||
SVB Financial Group 4.57% 4/29/33 μ, ‡ | 387,000 | 259,819 | ||||||
Truist Financial 6.123% 10/28/33 μ | 117,000 | 118,802 | ||||||
US Bancorp | ||||||||
2.491% 11/3/36 μ | 1,245,000 | 911,510 | ||||||
4.653% 2/1/29 μ | 37,000 | 35,379 | ||||||
4.839% 2/1/34 μ | 120,000 | 112,146 | ||||||
5.727% 10/21/26 μ | 112,000 | 111,983 | ||||||
5.836% 6/12/34 μ | 130,000 | 131,000 | ||||||
12,877,959 | ||||||||
Basic Industry — 0.25% | ||||||||
Celanese US Holdings 6.05% 3/15/25 | 400,000 | 398,566 | ||||||
Newmont 2.60% 7/15/32 | 75,000 | 61,318 | ||||||
Sherwin-Williams 2.90% 3/15/52 | 710,000 | 457,409 | ||||||
Suzano Austria 2.50% 9/15/28 | 600,000 | 511,447 | ||||||
1,428,740 | ||||||||
Brokerage — 0.08% | ||||||||
Jefferies Financial Group 2.625% 10/15/31 | 630,000 | 488,995 | ||||||
488,995 | ||||||||
Capital Goods — 0.38% | ||||||||
Boeing | ||||||||
4.875% 5/1/25 | 393,000 | 387,547 | ||||||
5.805% 5/1/50 | 429,000 | 427,798 | ||||||
Lockheed Martin 4.75% 2/15/34 | 210,000 | 209,616 | ||||||
Raytheon Technologies 5.15% 2/27/33 | 145,000 | 147,046 | ||||||
Standard Industries 144A 4.375% 7/15/30 # | 1,173,000 | 1,016,987 | ||||||
2,188,994 | ||||||||
Communications — 1.18% | ||||||||
AT&T 3.65% 6/1/51 | 2,653,000 | 1,949,126 | ||||||
Charter Communications Operating 3.85% 4/1/61 | 1,625,000 | 984,234 | ||||||
Comcast | ||||||||
1.50% 2/15/31 | 2,000,000 | 1,591,753 | ||||||
4.80% 5/15/33 | 250,000 | 247,493 | ||||||
Crown Castle | ||||||||
1.05% 7/15/26 | 415,000 | 363,629 | ||||||
2.10% 4/1/31 | 610,000 | 488,608 | ||||||
Empresa Nacional de | ||||||||
Telecomunicaciones 144A 3.05% 9/14/32 # | 500,000 | 396,425 | ||||||
Frontier Communications Holdings 144A 5.00% 5/1/28 # | 325,000 | 280,727 | ||||||
T-Mobile USA 5.05% 7/15/33 | 230,000 | 225,933 | ||||||
Verizon Communications 2.875% 11/20/50 | 135,000 | 88,002 | ||||||
Warnermedia Holdings 5.141% 3/15/52 | 175,000 | 142,610 | ||||||
6,758,540 | ||||||||
Consumer Cyclical — 0.76% | ||||||||
Alibaba Group Holding 2.125% 2/9/31 | 500,000 | 407,413 | ||||||
Amazon.com | ||||||||
1.50% 6/3/30 | 4,000 | 3,291 | ||||||
2.50% 6/3/50 | 753,000 | 501,511 | ||||||
Aptiv 3.10% 12/1/51 | 595,000 | 374,608 | ||||||
Carnival 144A 4.00% 8/1/28 # | 550,000 | 488,081 |
16 |
Principal | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Consumer Cyclical (continued) | ||||||||
Ford Motor Credit 6.95% 6/10/26 | 200,000 | $ | 201,184 | |||||
General Motors Financial 5.85% 4/6/30 | 385,000 | 382,004 | ||||||
Home Depot 1.875% 9/15/31 | 1,000,000 | 814,040 | ||||||
Sands China 2.80% 3/8/27 | 1,000,000 | 868,683 | ||||||
VICI Properties 4.95% 2/15/30 | 370,000 | 347,424 | ||||||
4,388,239 | ||||||||
Consumer Non-Cyclical — 1.21% | ||||||||
AbbVie 3.20% 11/21/29 | 2,000,000 | 1,809,829 | ||||||
Amgen | ||||||||
5.15% 3/2/28 | 115,000 | 114,979 | ||||||
5.25% 3/2/30 | 110,000 | 110,304 | ||||||
5.25% 3/2/33 | 423,000 | 423,741 | ||||||
5.65% 3/2/53 | 80,000 | 81,074 | ||||||
CVS Health | ||||||||
1.30% 8/21/27 | 2,000,000 | 1,722,230 | ||||||
2.70% 8/21/40 | 655,000 | 457,713 | ||||||
5.25% 1/30/31 | 95,000 | 94,732 | ||||||
DaVita | ||||||||
144A 3.75% 2/15/31 # | 125,000 | 100,101 | ||||||
144A 4.625% 6/1/30 # | 230,000 | 197,705 | ||||||
HCA | ||||||||
3.50% 7/15/51 | 139,000 | 96,306 | ||||||
5.20% 6/1/28 | 110,000 | 109,182 | ||||||
JBS USA Lux 144A 3.00% 2/2/29 # | 225,000 | 191,362 | ||||||
Nestle Holdings 144A 1.875% 9/14/31 # | 1,000,000 | 818,146 | ||||||
Pfizer Investment Enterprises | ||||||||
4.75% 5/19/33 | 230,000 | 229,223 | ||||||
5.11% 5/19/43 | 160,000 | 160,466 | ||||||
5.30% 5/19/53 | 135,000 | 140,463 | ||||||
Zoetis 5.40% 11/14/25 | 65,000 | 65,216 | ||||||
6,922,772 | ||||||||
Consumer Staples — 0.07% | ||||||||
COTA Series D 144A 4.896% 10/2/23 #, <<, = | 3,237,686 | 433,850 | ||||||
433,850 | ||||||||
Electric — 0.91% | ||||||||
AEP Texas 5.40% 6/1/33 | 75,000 | 74,662 | ||||||
Appalachian Power 4.50% 8/1/32 | 540,000 | 506,485 | ||||||
Berkshire Hathaway Energy 2.85% 5/15/51 | 160,000 | 103,641 | ||||||
Duke Energy Carolinas 4.95% 1/15/33 | 150,000 | 148,965 | ||||||
Exelon 5.30% 3/15/33 | 95,000 | 94,748 | ||||||
Fells Point Funding Trust 144A 3.046% 1/31/27 # | 115,000 | 105,794 | ||||||
National Rural Utilities Cooperative Finance 5.80% 1/15/33 | 30,000 | 31,396 | ||||||
Nevada Power 5.90% 5/1/53 | 260,000 | 271,347 | ||||||
NextEra Energy Capital Holdings 3.00% 1/15/52 | 170,000 | 112,037 | ||||||
Pacific Gas & Electric 3.00% 6/15/28 | 1,154,000 | 995,778 | ||||||
Public Service of Colorado 5.25% 4/1/53 | 120,000 | 115,405 | ||||||
Southern 5.70% 10/15/32 | 205,000 | 212,322 | ||||||
Virginia Electric and Power 2.45% 12/15/50 | 2,500,000 | 1,500,368 | ||||||
Vistra Operations 144A 5.125% 5/13/25 # | 1,000,000 | 975,996 | ||||||
5,248,944 | ||||||||
Energy — 0.51% | ||||||||
BP Capital Markets America | ||||||||
2.721% 1/12/32 | 215,000 | 182,659 | ||||||
2.939% 6/4/51 | 555,000 | 379,439 | ||||||
4.812% 2/13/33 | 105,000 | 103,524 | ||||||
Cheniere Energy Partners 144A 5.95% 6/30/33 # | 170,000 | 170,707 | ||||||
Diamondback Energy 4.25% 3/15/52 | 245,000 | 188,195 | ||||||
Enterprise Products Operating | ||||||||
3.30% 2/15/53 | 670,000 | 478,952 | ||||||
5.35% 1/31/33 | 45,000 | 45,780 | ||||||
Galaxy Pipeline Assets Bidco 144A 2.625% 3/31/36 # | 500,000 | 404,747 | ||||||
Occidental Petroleum 6.125% 1/1/31 | 217,000 | 220,562 | ||||||
Targa Resources Partners 5.00% 1/15/28 | 770,000 | 735,541 | ||||||
2,910,106 | ||||||||
Finance Companies — 0.66% | ||||||||
AerCap Ireland Capital DAC | ||||||||
2.45% 10/29/26 | 2,500,000 | 2,234,805 | ||||||
3.40% 10/29/33 | 215,000 | 172,912 | ||||||
Air Lease | ||||||||
2.875% 1/15/32 | 440,000 | 353,633 | ||||||
4.125% 12/15/26 μ, ψ | 605,000 | 394,471 | ||||||
5.85% 12/15/27 | 115,000 | 114,955 | ||||||
Aviation Capital Group | ||||||||
144A 3.50% 11/1/27 # | 495,000 | 437,610 | ||||||
144A 6.25% 4/15/28 # | 61,000 | 60,916 | ||||||
3,769,302 | ||||||||
Government Agency — 0.14% | ||||||||
Aeropuerto Internacional de | ||||||||
Tocumen 144A 4.00% 8/11/41 # | 500,000 | 401,075 |
17 |
Consolidated schedules of investments
Delaware Ivy VIP Asset Strategy
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Government Agency (continued) | ||||||||
Comision Federal de Electricidad | ||||||||
144A 3.875% 7/26/33 # | 500,000 | $ | 387,312 | |||||
788,387 | ||||||||
Insurance — 0.64% | ||||||||
AIA Group 144A 3.375% 4/7/30 # | 540,000 | 494,306 | ||||||
American International Group | ||||||||
5.125% 3/27/33 | 345,000 | 337,171 | ||||||
Aon 5.00% 9/12/32 | 635,000 | 627,263 | ||||||
Athene Holding | ||||||||
3.45% 5/15/52 | 385,000 | 234,588 | ||||||
3.95% 5/25/51 | 175,000 | 117,474 | ||||||
Berkshire Hathaway Finance 3.85% 3/15/52 | 555,000 | 459,291 | ||||||
Elevance Health 5.125% 2/15/53 | 55,000 | 53,376 | ||||||
UnitedHealth Group | ||||||||
4.20% 5/15/32 | 262,000 | 250,229 | ||||||
4.50% 4/15/33 | 700,000 | 682,191 | ||||||
5.05% 4/15/53 | 403,000 | 400,867 | ||||||
3,656,756 | ||||||||
Natural Gas — 0.16% | ||||||||
Atmos Energy | ||||||||
2.85% 2/15/52 | 150,000 | 101,498 | ||||||
5.75% 10/15/52 | 270,000 | 286,362 | ||||||
Southern California Gas | ||||||||
5.20% 6/1/33 | 200,000 | 197,462 | ||||||
5.75% 6/1/53 | 85,000 | 86,008 | ||||||
Southern Co. Gas Capital 5.15% 9/15/32 | 231,000 | 229,677 | ||||||
901,007 | ||||||||
Real Estate Investment Trusts — 0.01% | ||||||||
American Homes 4 Rent 3.625% 4/15/32 | 85,000 | 73,538 | ||||||
73,538 | ||||||||
Technology — 1.01% | ||||||||
Apple | ||||||||
2.40% 8/20/50 | 878,000 | 588,697 | ||||||
2.65% 2/8/51 | 2,000,000 | 1,382,698 | ||||||
4.30% 5/10/33 | 135,000 | 134,342 | ||||||
4.85% 5/10/53 | 150,000 | 153,836 | ||||||
Autodesk 2.40% 12/15/31 | 165,000 | 135,120 | ||||||
Broadcom 144A 1.95% 2/15/28 # | 1,500,000 | 1,298,242 | ||||||
CDW 3.276% 12/1/28 | 555,000 | 482,464 | ||||||
Entegris Escrow 144A 4.75% 4/15/29 # | 150,000 | 139,389 | ||||||
Iron Mountain 144A 5.25% 7/15/30 # | 290,000 | 261,577 | ||||||
Iron Mountain Information Management Services 144A 5.00% 7/15/32 # | 895,000 | 773,929 | ||||||
Oracle | ||||||||
3.60% 4/1/50 | 229,000 | 163,767 | ||||||
4.65% 5/6/30 | 70,000 | 67,677 | ||||||
5.55% 2/6/53 | 221,000 | 214,164 | ||||||
5,795,902 | ||||||||
Transportation — 0.08% | ||||||||
American Airlines 144A 5.50% 4/20/26 # | 65,656 | 65,104 | ||||||
Burlington Northern Santa Fe | ||||||||
2.875% 6/15/52 | 135,000 | 92,473 | ||||||
4.45% 1/15/53 | 145,000 | 132,916 | ||||||
ERAC USA Finance | ||||||||
144A 4.90% 5/1/33 # | 105,000 | 102,687 | ||||||
144A 5.40% 5/1/53 # | 65,000 | 64,944 | ||||||
458,124 | ||||||||
Total Corporate Bonds (cost $69,019,981) | 59,090,155 | |||||||
Non-Agency Commercial Mortgage-Backed Securities — 2.06% | ||||||||
BANK | ||||||||
Series 2019-BN21 A5 2.851% 10/17/52 | 1,465,000 | 1,249,658 | ||||||
Series 2020-BN25 A5 2.649% 1/15/63 | 1,000,000 | 844,181 | ||||||
BBCMS Mortgage Trust | ||||||||
Series 2020-C7 A5 2.037% 4/15/53 | 2,000,000 | 1,624,870 | ||||||
Benchmark Mortgage Trust | ||||||||
Series 2020-B18 A5 1.925% 7/15/53 | 2,000,000 | 1,560,587 | ||||||
Series 2021-B24 A5 2.584% 3/15/54 | 2,000,000 | 1,594,191 | ||||||
Series 2021-B25 A5 2.577% 4/15/54 | 2,000,000 | 1,588,568 | ||||||
BMO Mortgage Trust | ||||||||
Series 2022-C1 A5 3.374% 2/15/55 • | 2,000,000 | 1,729,717 | ||||||
GS Mortgage Securities Trust | ||||||||
Series 2020-GC47 A5 2.377% 5/12/53 | 2,000,000 | 1,626,029 | ||||||
Total Non-Agency Commercial Mortgage-Backed Securities | ||||||||
(cost $12,405,036) | 11,817,801 | |||||||
Sovereign Bonds — 0.15%Δ | ||||||||
Mexico — 0.08% | ||||||||
Mexico Government International Bond 5.00% 4/27/51 | 500,000 | 434,767 | ||||||
434,767 |
18 |
Principal amount° | Value (US $) | |||||||
Sovereign Bonds Δ(continued) | ||||||||
Peru — 0.07% | ||||||||
Peruvian Government International Bond 3.00% 1/15/34 | 500,000 | $ | 416,625 | |||||
416,625 | ||||||||
Total Sovereign Bonds | ||||||||
(cost $1,077,505) | 851,392 | |||||||
US Treasury Obligations — 8.04% | ||||||||
US Treasury Bonds | ||||||||
2.375% 2/15/42 | 5,290,000 | 4,121,034 | ||||||
3.00% 2/15/49 | 475,000 | 402,015 | ||||||
3.625% 2/15/53 | 2,030,000 | 1,948,800 | ||||||
3.625% 5/15/53 | 175,000 | 168,219 | ||||||
3.875% 2/15/43 | 1,430,000 | 1,394,697 | ||||||
3.875% 5/15/43 | 150,000 | 146,391 | ||||||
4.375% 2/15/38 | 2,755,000 | 2,934,990 | ||||||
US Treasury Floating Rate Notes | ||||||||
4.931% (USBMMY3M + 0.20%) 1/31/25 • | 4,025,000 | 4,032,189 | ||||||
5.389% (USBMMY3M + 0.14%) 10/31/24 • | 20,380,000 | 20,399,012 | ||||||
US Treasury Notes | ||||||||
3.375% 5/15/33 | 3,145,000 | 3,033,451 | ||||||
3.50% 4/30/30 | 760,000 | 738,031 | ||||||
3.625% 5/31/30 | 805,000 | 793,868 | ||||||
4.00% 6/30/28 | 1,470,000 | 1,462,076 | ||||||
4.125% 6/15/26 | 4,290,000 | 4,247,100 | ||||||
4.375% 10/31/24 | 325,000 | 321,134 | ||||||
Total US Treasury Obligations | ||||||||
(cost $47,196,418) | 46,143,007 |
Number of shares | ||||||||
Common Stocks — 59.42% | ||||||||
Communication Services — 4.05% | ||||||||
Alphabet Class A † | 43,425 | 5,197,973 | ||||||
Deutsche Telekom | 285,464 | 6,228,401 | ||||||
Pinterest Class A † | 251,633 | 6,879,646 | ||||||
Tencent Holdings | 112,900 | 4,787,093 | ||||||
T-Mobile US † | 1,216 | 168,902 | ||||||
23,262,015 | ||||||||
Consumer Discretionary — 7.48% | ||||||||
Amazon.com † | 87,120 | 11,356,963 | ||||||
Aptiv † | 51,598 | 5,267,640 | ||||||
Burlington Stores † | 21,216 | 3,339,186 | ||||||
Darden Restaurants | 34,400 | 5,747,552 | ||||||
Etsy † | 34,045 | 2,880,548 | ||||||
Ferrari | 19,228 | 6,286,553 | ||||||
H World Group ADR † | 102,742 | 3,984,335 | ||||||
LVMH Moet Hennessy Louis Vuitton | 4,306 | 4,060,180 | ||||||
Media Group Holdings | ||||||||
Series H <<, =, † | 31,963 | 0 | ||||||
Media Group Holdings | ||||||||
Series T <<, =, † | 4,006 | 0 | ||||||
42,922,957 | ||||||||
Consumer Staples — 4.63% | ||||||||
Asahi Group Holdings | 108,500 | 4,209,782 | ||||||
Casey's General Stores | 14,119 | 3,443,342 | ||||||
China Mengniu Dairy † | 1,585,313 | 5,991,357 | ||||||
COTA Series B <<, =, † | 26 | 0 | ||||||
Procter & Gamble | 43,340 | 6,576,412 | ||||||
Reckitt Benckiser Group | 84,486 | 6,349,196 | ||||||
26,570,089 | ||||||||
Energy — 3.66% | ||||||||
Canadian Natural Resources | 135,158 | 7,603,989 | ||||||
ConocoPhillips | 64,169 | 6,648,550 | ||||||
Schlumberger | 31,021 | 1,523,751 | ||||||
Shell | 91,899 | 2,768,293 | ||||||
TotalEnergies | 43,219 | 2,480,971 | ||||||
21,025,554 | ||||||||
Financials — 8.41% | ||||||||
BNP Paribas | 91,806 | 5,793,505 | ||||||
ICICI Bank | 331,059 | 3,790,290 | ||||||
Intercontinental Exchange | 35,259 | 3,987,088 | ||||||
Mastercard Class A | 22,183 | 8,724,574 | ||||||
Mitsubishi UFJ Financial Group | 721,300 | 5,316,756 | ||||||
Morgan Stanley | 53,382 | 4,558,823 | ||||||
ORIX | 187,397 | 3,417,409 | ||||||
PayPal Holdings † | 59,964 | 4,001,398 | ||||||
Prudential | 354,532 | 5,007,195 | ||||||
State Bank of India | 529,857 | 3,711,072 | ||||||
48,308,110 | ||||||||
Healthcare — 8.56% | ||||||||
Abbott Laboratories | 39,883 | 4,348,045 | ||||||
AstraZeneca | 40,340 | 5,782,911 | ||||||
Bayer | 85,657 | 4,741,549 | ||||||
Danaher | 19,138 | 4,593,120 | ||||||
Eli Lilly & Co. | 12,667 | 5,940,570 | ||||||
Genmab † | 16,022 | 6,071,660 | ||||||
Thermo Fisher Scientific | 6,894 | 3,596,944 | ||||||
UnitedHealth Group | 15,226 | 7,318,225 | ||||||
Vertex Pharmaceuticals † | 19,205 | 6,758,432 | ||||||
49,151,456 | ||||||||
Industrials — 8.45% | ||||||||
Airbus | 53,829 | 7,782,691 |
19 |
Consolidated schedules of investments
Delaware Ivy VIP Asset Strategy
Number of shares | Value (US $) | |||||||
Common Stocks (continued) | ||||||||
Industrials (continued) | ||||||||
Canadian Pacific Kansas City | 63,946 | $ | 5,164,916 | |||||
Generac Holdings † | 29,181 | 4,351,762 | ||||||
Ingersoll Rand | 81,527 | 5,328,605 | ||||||
ITOCHU | 106,200 | 4,218,429 | ||||||
Larsen & Toubro | 182,285 | 5,511,842 | ||||||
Raytheon Technologies | 65,261 | 6,392,968 | ||||||
Thales | 34,789 | 5,212,398 | ||||||
Vinci | 39,142 | 4,548,120 | ||||||
48,511,731 | ||||||||
Information Technology — 12.28% | ||||||||
Ambarella † | 40,007 | 3,347,386 | ||||||
Apple | 55,526 | 10,770,378 | ||||||
Autodesk † | 19,297 | 3,948,359 | ||||||
Intuit ~ | 14,485 | 6,636,882 | ||||||
KLA | 7,560 | 3,666,751 | ||||||
Microchip Technology | 43,748 | 3,919,383 | ||||||
Microsoft ~ | 40,810 | 13,897,437 | ||||||
NVIDIA | 14,846 | 6,280,155 | ||||||
Seagate Technology Holdings | 88,978 | 5,505,069 | ||||||
Taiwan Semiconductor Manufacturing | 359,450 | 6,640,240 | ||||||
VeriSign † | 25,979 | 5,870,475 | ||||||
70,482,515 | ||||||||
Materials — 0.49% | ||||||||
Barrick Gold | 166,330 | 2,815,967 | ||||||
2,815,967 | ||||||||
Utilities — 1.41% | ||||||||
NTPC | 1,620,815 | 3,743,416 | ||||||
RWE | 100,528 | 4,380,639 | ||||||
8,124,055 | ||||||||
Total Common Stocks | ||||||||
(cost $329,062,459) | 341,174,449 | |||||||
Exchange-Traded Funds — 2.90% | ||||||||
iShares 0-5 Year High Yield Corporate Bond ETF | 192,735 | 7,988,866 | ||||||
Vanguard Russell 2000 ETF | 114,718 | 8,674,975 | ||||||
Total Exchange-Traded Funds | ||||||||
(cost $16,805,452) | 16,663,841 |
Troy Ounces | ||||||||
Bullion — 4.84% | ||||||||
Gold | 14,463 | 27,769,359 | ||||||
Total Bullion | ||||||||
(cost $17,562,017) | 27,769,359 | |||||||
Number of shares | ||||||||
Short-Term Investments — 1.67% | ||||||||
Money Market Mutual Funds — 1.67% | ||||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 2,402,713 | 2,402,713 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 2,402,713 | 2,402,713 | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 2,402,713 | 2,402,713 | ||||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 2,402,713 | 2,402,713 | ||||||
Total Short-Term Investments | ||||||||
(cost $9,610,852) | 9,610,852 | |||||||
Total Value of Securities—99.78% | ||||||||
(cost $566,267,011) | $ | 572,864,778 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
∑ | Interest only security. An interest only security is the interest only portion of a fixed income security, which is separated and sold individually from the principal portion of the security. |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
♦ | Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2023, the aggregate value of Rule 144A securities was $13,672,994, which represents 2.38% of the Portfolio's net assets. See Note 11 in “Notes to financial statements.” |
20 |
µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2023. Rate will reset at a future date. |
ψ | Perpetual security. Maturity date represents next call date. |
‡ | Non-income producing security. Security is currently in default. |
<< | Affiliated company. See Note 2 in “Notes to financial statements.” |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
∆ | Securities have been classified by country of risk. |
† | Non-income producing security. |
~ | All or portion of the security has been pledged as collateral for potential options written. |
The following futures contracts were outstanding at June 30, 2023:1
Futures Contracts
Exchange-Traded
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Appreciation | Value/ Unrealized Depreciation | Variation Margin Due from (Due to) Brokers | |||||||||||||||||||
210 | US Treasury 5 yr Notes | $ | 22,489,688 | $ | 22,945,337 | 9/29/23 | $ | — | $ | (455,649 | ) | $ | — | ||||||||||||
US Treasury 10 yr | |||||||||||||||||||||||||
44 | Notes | 4,939,688 | 5,033,299 | 9/20/23 | — | (93,611 | ) | 6,188 | |||||||||||||||||
US Treasury Ultra | |||||||||||||||||||||||||
7 | Bonds | 953,531 | 942,503 | 9/20/23 | 11,028 | — | 8,750 | ||||||||||||||||||
Total Futures Contracts | $ | 28,921,139 | $ | 11,028 | $ | (549,260 | ) | $ | 14,938 |
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in the consolidated financial statements. The notional amounts presented above represent the Portfolio's total exposure in such contracts, whereas only the variation margin is reflected in the Portfolio's net assets.
1See Note 8 in “Notes to financial statements.”
Summary of abbreviations:
ADR – American Depositary Receipt
DAC – Designated Activity Company
ETF – Exchange-Traded Fund
FREMF – Freddie Mac Multifamily
GNMA – Government National Mortgage Association
GS – Goldman Sachs
ICE – Intercontinental Exchange, Inc.
LIBOR – London Interbank Offered Rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
S.F. – Single Family
USBMMY3M – US Treasury 3 Month Bill Money Market Yield
USD – US Dollar
yr – Year
See accompanying notes, which are an integral part of the financial statements.
21 |
Schedules of investments
Delaware Ivy VIP Balanced | June 30, 2023 (Unaudited) |
Principal amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations — 0.65% | ||||||||
Fannie Mae REMICs | ||||||||
Series 2016-36 VB 3.50% 6/25/29 | 306,320 | $ | 292,043 | |||||
Series 2016-71 NB 3.00% 10/25/46 | 417,462 | 375,994 | ||||||
Freddie Mac REMICs Series 4616 HW 3.00% 6/15/45 | 256,868 | 236,789 | ||||||
Freddie Mac Structured Agency Credit Risk REMIC Trust Series 2021-HQA2 M2 144A 7.117% (SOFR + 2.05%) 12/25/33#, • | 500,000 | 485,000 | ||||||
Vendee Mortgage Trust Series 1997-1 3A 8.293% 12/15/26 | 9,643 | 9,726 | ||||||
Total Agency Collateralized Mortgage Obligations (cost $1,506,081) | 1,399,552 | |||||||
Agency Mortgage-Backed Securities — 9.76% | ||||||||
Fannie Mae S.F. 15 yr | ||||||||
2.50% 8/1/35 | 178,086 | 162,561 | ||||||
Fannie Mae S.F. 20 yr | ||||||||
2.00% 5/1/41 | 227,112 | 193,324 | ||||||
4.00% 9/1/42 | 334,874 | 319,088 | ||||||
Fannie Mae S.F. 30 yr | ||||||||
2.00% 3/1/51 | 1,270,219 | 1,040,799 | ||||||
2.50% 8/1/50 | 189,175 | 162,786 | ||||||
2.50% 1/1/52 | 480,368 | 407,934 | ||||||
2.50% 2/1/52 | 71,682 | 60,873 | ||||||
2.50% 4/1/52 | 231,092 | 196,995 | ||||||
3.00% 12/1/51 | 593,972 | 526,803 | ||||||
3.50% 1/1/48 | 67,362 | 62,286 | ||||||
3.50% 7/1/50 | 1,070,984 | 996,889 | ||||||
3.50% 8/1/50 | 57,995 | 53,526 | ||||||
3.50% 8/1/51 | 443,723 | 405,287 | ||||||
3.50% 1/1/52 | 195,618 | 178,610 | ||||||
4.00% 5/1/51 | 25,556 | 24,301 | ||||||
4.00% 6/1/52 | 383,020 | 359,649 | ||||||
4.50% 5/1/49 | 185,476 | 181,037 | ||||||
4.50% 1/1/50 | 217,093 | 214,385 | ||||||
4.50% 10/1/52 | 714,043 | 686,575 | ||||||
4.50% 2/1/53 | 1,112,091 | 1,069,299 | ||||||
5.00% 6/1/52 | 342,709 | 336,179 | ||||||
5.00% 9/1/52 | 649,432 | 636,822 | ||||||
5.50% 10/1/52 | 522,628 | 522,004 | ||||||
5.50% 11/1/52 | 284,482 | 285,073 | ||||||
5.50% 3/1/53 | 1,181,943 | 1,176,378 | ||||||
6.00% 12/1/52 | 364,541 | 368,455 | ||||||
6.00% 6/1/53 | 348,274 | 351,324 | ||||||
6.50% 10/1/28 | 20,689 | 20,974 | ||||||
6.50% 2/1/29 | 10,239 | 10,341 | ||||||
6.50% 2/1/32 | 80,893 | 84,620 | ||||||
7.00% 7/1/31 | 17,826 | 18,451 | ||||||
7.00% 9/1/31 | 31,281 | 31,880 | ||||||
7.00% 2/1/32 | 31,420 | 32,035 | ||||||
7.00% 3/1/32 | 13,884 | 14,390 | ||||||
7.00% 7/1/32 | 32,728 | 33,176 | ||||||
7.50% 4/1/31 | 9,418 | 9,446 | ||||||
Freddie Mac S.F. 15 yr | ||||||||
2.00% 12/1/35 | 249,119 | 222,746 | ||||||
Freddie Mac S.F. 20 yr | ||||||||
2.00% 3/1/41 | 831,419 | 711,519 | ||||||
2.50% 2/1/42 | 345,880 | 301,140 | ||||||
3.00% 3/1/37 | 284,517 | 262,951 | ||||||
Freddie Mac S.F. 30 yr | ||||||||
2.00% 3/1/52 | 226,498 | 184,977 | ||||||
2.50% 12/1/51 | 177,629 | 152,165 | ||||||
2.50% 1/1/52 | 1,429,264 | 1,220,445 | ||||||
3.00% 8/1/51 | 34,824 | 30,832 | ||||||
3.00% 1/1/52 | 2,223,493 | 1,959,903 | ||||||
3.50% 6/1/47 | 629,675 | 581,864 | ||||||
3.50% 4/1/52 | 535,053 | 489,870 | ||||||
4.00% 8/1/52 | 751,155 | 708,206 | ||||||
4.00% 9/1/52 | 420,999 | 395,671 | ||||||
4.50% 9/1/52 | 663,402 | 638,133 | ||||||
4.50% 10/1/52 | 406,985 | 391,340 | ||||||
5.00% 7/1/52 | 368,464 | 361,407 | ||||||
5.50% 9/1/52 | 314,386 | 315,345 | ||||||
5.50% 11/1/52 | 217,944 | 217,725 | ||||||
5.50% 3/1/53 | 305,551 | 307,288 | ||||||
GNMA II S.F. 30 yr | ||||||||
3.00% 12/20/51 | 170,288 | 152,469 | ||||||
5.00% 9/20/52 | 225,606 | 221,753 | ||||||
Total Agency Mortgage-Backed Securities (cost $21,994,657) | 21,062,304 | |||||||
Corporate Bonds — 10.05% | ||||||||
Banking — 1.90% | ||||||||
Bank of America | ||||||||
2.482% 9/21/36 µ | 330,000 | 252,610 | ||||||
5.288% 4/25/34 µ | 150,000 | 148,673 | ||||||
6.204% 11/10/28 µ | 265,000 | 272,595 | ||||||
Bank of New York Mellon 4.70% 9/20/25 µ, Ψ | 190,000 | 185,013 | ||||||
Barclays 7.385% 11/2/28 µ | 200,000 | 208,496 | ||||||
Citigroup | ||||||||
5.61% 9/29/26 µ | 40,000 | 39,967 | ||||||
6.174% 5/25/34 µ | 90,000 | 90,833 | ||||||
Citizens Bank 6.064% 10/24/25 µ | 250,000 | 237,036 |
22 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Banking (continued) | ||||||||
Credit Suisse 7.95% 1/9/25 | 260,000 | $ | 265,406 | |||||
Deutsche Bank 6.72% 1/18/29 µ | 245,000 | 245,539 | ||||||
Fifth Third Bancorp 6.361% 10/27/28 µ | 35,000 | 34,875 | ||||||
Fifth Third Bank 5.852% 10/27/25 µ | 250,000 | 243,644 | ||||||
Goldman Sachs Group 1.542% 9/10/27 µ | 25,000 | 21,989 | ||||||
Huntington National Bank 4.552% 5/17/28 µ | 250,000 | 233,412 | ||||||
JPMorgan Chase & Co. | ||||||||
1.953% 2/4/32 µ | 60,000 | 47,826 | ||||||
5.00% 8/1/24 µ, Ψ | 337,000 | 329,418 | ||||||
KeyBank 5.85% 11/15/27 | 280,000 | 263,893 | ||||||
KeyCorp 4.789% 6/1/33 µ | 35,000 | 29,358 | ||||||
Morgan Stanley | ||||||||
2.484% 9/16/36 µ | 110,000 | 83,509 | ||||||
5.25% 4/21/34 µ | 105,000 | 103,731 | ||||||
6.138% 10/16/26 µ | 150,000 | 151,574 | ||||||
6.296% 10/18/28 µ | 88,000 | 90,506 | ||||||
6.342% 10/18/33 µ | 40,000 | 42,570 | ||||||
PNC Financial Services Group 5.671% 10/28/25 µ | 145,000 | 143,863 | ||||||
Popular 7.25% 3/13/28 | 50,000 | 50,000 | ||||||
SVB Financial Group 4.57% 4/29/33 µ, ‡ | 182,000 | 122,189 | ||||||
Truist Financial 6.123% 10/28/33 µ | 46,000 | 46,709 | ||||||
US Bancorp | ||||||||
4.653% 2/1/29 µ | 18,000 | 17,211 | ||||||
4.839% 2/1/34 µ | 45,000 | 42,055 | ||||||
5.836% 6/12/34 µ | 50,000 | 50,385 | ||||||
4,094,885 | ||||||||
Basic Industry — 0.20% | ||||||||
Celanese US Holdings 6.05% 3/15/25 | 260,000 | 259,068 | ||||||
Newmont 2.60% 7/15/32 | 25,000 | 20,440 | ||||||
Sherwin-Williams 3.30% 5/15/50 | 205,000 | 146,063 | ||||||
425,571 | ||||||||
Brokerage — 0.29% | ||||||||
LSEGA Financing 144A 2.50% 4/6/31 # | 350,000 | 292,018 | ||||||
National Securities Clearing 144A 1.50% 4/23/25 # | 350,000 | 325,599 | ||||||
617,617 | ||||||||
Capital Goods — 0.33% | ||||||||
Boeing | ||||||||
3.25% 2/1/28 | 25,000 | 22,970 | ||||||
3.75% 2/1/50 | 265,000 | 199,182 | ||||||
Lockheed Martin 4.75% 2/15/34 | 80,000 | 79,854 | ||||||
Raytheon Technologies 5.15% 2/27/33 | 215,000 | 218,033 | ||||||
Standard Industries 144A 4.375% 7/15/30 # | 219,000 | 189,872 | ||||||
709,911 | ||||||||
Communications — 1.25% | ||||||||
AT&T | ||||||||
3.50% 9/15/53 | 520,000 | 368,485 | ||||||
5.40% 2/15/34 | 55,000 | 55,122 | ||||||
CCO Holdings 144A 4.25% 1/15/34 # | 470,000 | 355,695 | ||||||
Charter Communications Operating 3.85% 4/1/61 | 315,000 | 190,790 | ||||||
Comcast | ||||||||
3.45% 2/1/50 | 675,000 | 514,394 | ||||||
4.80% 5/15/33 | 95,000 | 94,048 | ||||||
Crown Castle | ||||||||
1.05% 7/15/26 | 80,000 | 70,097 | ||||||
2.10% 4/1/31 | 230,000 | 184,229 | ||||||
Frontier Communications Holdings 144A 5.00% 5/1/28 # | 125,000 | 107,972 | ||||||
Sprint 7.875% 9/15/23 | 315,000 | 316,044 | ||||||
T-Mobile USA | ||||||||
3.875% 4/15/30 | 290,000 | 267,341 | ||||||
5.05% 7/15/33 | 85,000 | 83,497 | ||||||
Verizon Communications 2.875% 11/20/50 | 50,000 | 32,618 | ||||||
Warnermedia Holdings 5.141% 3/15/52 | 65,000 | 52,969 | ||||||
2,693,301 | ||||||||
Consumer Cyclical — 0.60% | ||||||||
Amazon.com 2.50% 6/3/50 | 80,000 | 53,281 | ||||||
Carnival 144A 4.00% 8/1/28 # | 105,000 | 93,179 | ||||||
General Motors Financial 5.85% 4/6/30 | 145,000 | 143,872 | ||||||
Home Depot 3.35% 4/15/50 | 700,000 | 534,791 | ||||||
PVH 4.625% 7/10/25 | 350,000 | 338,681 | ||||||
VICI Properties 4.95% 2/15/30 | 140,000 | 131,458 | ||||||
1,295,262 | ||||||||
Consumer Non-Cyclical — 0.93% | ||||||||
Amgen | ||||||||
5.15% 3/2/28 | 295,000 | 294,945 | ||||||
5.25% 3/2/30 | 40,000 | 40,110 | ||||||
5.25% 3/2/33 | 266,000 | 266,466 | ||||||
5.65% 3/2/53 | 30,000 | 30,403 | ||||||
CVS Health | ||||||||
4.78% 3/25/38 | 125,000 | 115,428 | ||||||
5.05% 3/25/48 | 180,000 | 166,042 | ||||||
5.25% 1/30/31 | 35,000 | 34,901 |
23 |
Schedules of investments
Delaware Ivy VIP Balanced
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Consumer Non-Cyclical (continued) | ||||||||
DaVita | ||||||||
144A 3.75% 2/15/31 # | 50,000 | $ | 40,040 | |||||
144A 4.625% 6/1/30 # | 90,000 | 77,363 | ||||||
HCA | ||||||||
3.50% 7/15/51 | 53,000 | 36,721 | ||||||
5.20% 6/1/28 | 45,000 | 44,666 | ||||||
JBS USA Lux 144A 3.00% 2/2/29 # | 80,000 | 68,040 | ||||||
Merck & Co. 2.75% 12/10/51 | 250,000 | 172,707 | ||||||
Nestle Holdings 144A 4.00% 9/24/48 # | 380,000 | 335,452 | ||||||
Pfizer Investment Enterprises | ||||||||
4.75% 5/19/33 | 90,000 | 89,696 | ||||||
5.11% 5/19/43 | 60,000 | 60,175 | ||||||
5.30% 5/19/53 | 50,000 | 52,023 | ||||||
Royalty Pharma 3.55% 9/2/50 | 79,000 | 53,419 | ||||||
Zoetis 5.40% 11/14/25 | 25,000 | 25,083 | ||||||
2,003,680 | ||||||||
Electric — 0.91% | ||||||||
AEP Texas 5.40% 6/1/33 | 30,000 | 29,865 | ||||||
Appalachian Power 4.50% 8/1/32 | 280,000 | 262,622 | ||||||
Berkshire Hathaway Energy 2.85% 5/15/51 | 260,000 | 168,416 | ||||||
Commonwealth Edison 2.20% 3/1/30 | 350,000 | 296,231 | ||||||
Duke Energy Carolinas 4.95% 1/15/33 | 230,000 | 228,413 | ||||||
Entergy | ||||||||
2.80% 6/15/30 | 235,000 | 199,489 | ||||||
3.75% 6/15/50 | 125,000 | 92,388 | ||||||
Exelon 5.30% 3/15/33 | 35,000 | 34,907 | ||||||
Florida Power & Light 3.15% 10/1/49 | 425,000 | 310,492 | ||||||
National Rural Utilities Cooperative Finance 5.80% 1/15/33 | 10,000 | 10,465 | ||||||
NextEra Energy Capital Holdings 3.00% 1/15/52 | 65,000 | 42,838 | ||||||
Oglethorpe Power 5.05% 10/1/48 | 185,000 | 163,512 | ||||||
Public Service of Colorado 5.25% 4/1/53 | 45,000 | 43,277 | ||||||
Southern 5.70% 10/15/32 | 75,000 | 77,679 | ||||||
1,960,594 | ||||||||
Energy — 0.78% | ||||||||
BP Capital Markets America | ||||||||
2.721% 1/12/32 | 80,000 | 67,966 | ||||||
4.812% 2/13/33 | 40,000 | 39,438 | ||||||
Cheniere Energy Partners 144A 5.95% 6/30/33 # | 65,000 | 65,270 | ||||||
Diamondback Energy 4.25% 3/15/52 | 234,000 | 179,746 | ||||||
Enbridge 5.70% 3/8/33 | 25,000 | 25,355 | ||||||
Energy Transfer | ||||||||
6.25% 4/15/49 | 110,000 | 107,552 | ||||||
6.50% 11/15/26 µ, Ψ | 120,000 | 109,299 | ||||||
Enterprise Products Operating | ||||||||
3.30% 2/15/53 | 155,000 | 110,802 | ||||||
5.35% 1/31/33 | 255,000 | 259,419 | ||||||
Kinder Morgan 5.20% 6/1/33 | 60,000 | 58,173 | ||||||
Occidental Petroleum 6.125% 1/1/31 | 82,000 | 83,346 | ||||||
ONEOK 6.10% 11/15/32 | 180,000 | 183,189 | ||||||
Targa Resources Partners 5.00% 1/15/28 | 410,000 | 391,652 | ||||||
1,681,207 | ||||||||
Finance Companies — 0.47% | ||||||||
AerCap Ireland Capital DAC | ||||||||
3.00% 10/29/28 | 150,000 | 129,815 | ||||||
6.50% 7/15/25 | 400,000 | 402,238 | ||||||
Air Lease | ||||||||
2.875% 1/15/32 | 160,000 | 128,594 | ||||||
5.85% 12/15/27 | 165,000 | 164,936 | ||||||
Aviation Capital Group | ||||||||
144A 3.50% 11/1/27 # | 190,000 | 167,972 | ||||||
144A 6.25% 4/15/28 # | 26,000 | 25,964 | ||||||
1,019,519 | ||||||||
Insurance — 0.75% | ||||||||
American International Group 5.125% 3/27/33 | 135,000 | 131,936 | ||||||
Aon 5.00% 9/12/32 | 245,000 | 242,015 | ||||||
Athene Holding | ||||||||
3.45% 5/15/52 | 150,000 | 91,398 | ||||||
3.95% 5/25/51 | 65,000 | 43,633 | ||||||
Berkshire Hathaway Finance 3.85% 3/15/52 | 210,000 | 173,786 | ||||||
Elevance Health 5.125% 2/15/53 | 20,000 | 19,409 | ||||||
Humana 5.75% 3/1/28 | 20,000 | 20,365 | ||||||
Northwestern Mutual Life Insurance 144A 3.85% 9/30/47 # | 500,000 | 390,675 | ||||||
UnitedHealth Group | ||||||||
4.20% 5/15/32 | 101,000 | 96,462 | ||||||
4.50% 4/15/33 | 270,000 | 263,131 | ||||||
5.05% 4/15/53 | 155,000 | 154,180 | ||||||
1,626,990 | ||||||||
Natural Gas — 0.16% | ||||||||
Atmos Energy | ||||||||
2.85% 2/15/52 | 55,000 | 37,216 | ||||||
5.75% 10/15/52 | 105,000 | 111,363 |
24 |
Principal | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Natural Gas (continued) | ||||||||
Southern California Gas | ||||||||
5.20% 6/1/33 | 75,000 | $ | 74,048 | |||||
5.75% 6/1/53 | 35,000 | 35,415 | ||||||
Southern Co. Gas Capital 5.15% 9/15/32 | 91,000 | 90,479 | ||||||
348,521 | ||||||||
Real Estate Investment Trusts — 0.23% | ||||||||
American Homes 4 Rent 3.625% 4/15/32 | 35,000 | 30,280 | ||||||
Extra Space Storage 2.35% 3/15/32 | 600,000 | 469,616 | ||||||
499,896 | ||||||||
Technology — 0.90% | ||||||||
Apple | ||||||||
4.30% 5/10/33 | 50,000 | 49,756 | ||||||
4.85% 5/10/53 | 60,000 | 61,534 | ||||||
Autodesk | ||||||||
2.40% 12/15/31 | 60,000 | 49,135 | ||||||
2.85% 1/15/30 | 500,000 | 438,705 | ||||||
CDW 3.276% 12/1/28 | 35,000 | 30,426 | ||||||
Entegris Escrow 144A 4.75% 4/15/29 # | 55,000 | 51,109 | ||||||
Iron Mountain 144A 5.25% 7/15/30 # | 54,000 | 48,707 | ||||||
Iron Mountain Information Management Services 144A 5.00% 7/15/32 # | 165,000 | 142,680 | ||||||
Oracle | ||||||||
3.60% 4/1/50 | 154,000 | 110,132 | ||||||
4.65% 5/6/30 | 25,000 | 24,170 | ||||||
5.55% 2/6/53 | 151,000 | 146,329 | ||||||
PayPal Holdings 3.90% 6/1/27 | 15,000 | 14,515 | ||||||
TSMC Global 144A 1.75% 4/23/28 # | 600,000 | 516,889 | ||||||
Workday | ||||||||
3.50% 4/1/27 | 90,000 | 85,352 | ||||||
3.70% 4/1/29 | 15,000 | 13,918 | ||||||
3.80% 4/1/32 | 175,000 | 157,615 | ||||||
1,940,972 | ||||||||
Transportation — 0.35% | ||||||||
American Airlines 144A 5.50% 4/20/26 # | 24,904 | 24,695 | ||||||
Burlington Northern Santa Fe 2.875% 6/15/52 | 50,000 | 34,249 | ||||||
Canadian Pacific Railway 2.875% 11/15/29 | 350,000 | 309,400 | ||||||
Delta Air Lines 144A 7.00% 5/1/25 # | 320,000 | 327,054 | ||||||
ERAC USA Finance | ||||||||
144A 4.90% 5/1/33 # | 40,000 | 39,119 | ||||||
144A 5.40% 5/1/53 # | 25,000 | 24,978 | ||||||
759,495 | ||||||||
Total Corporate Bonds (cost $23,910,660) | 21,677,421 | |||||||
Non-Agency Collateralized Mortgage Obligations — 0.26% | ||||||||
Connecticut Avenue Securities Trust Series 2022-R01 1M2 144A 6.967% (SOFR + 1.90%) 12/25/41 #, • | 250,000 | 243,595 | ||||||
JPMorgan Mortgage Trust Series 2020-7 A3 144A 3.00% 1/25/51 #, • | 376,687 | 316,285 | ||||||
Total Non-Agency Collateralized Mortgage Obligations (cost $575,228) | 559,880 | |||||||
Non-Agency Commercial Mortgage-Backed Securities — 3.32% | ||||||||
BANK | ||||||||
Series 2021-BN32 A5 2.643% 4/15/54 | 730,000 | 607,278 | ||||||
Series 2021-BN36 A5 2.47% 9/15/64 | 860,000 | 698,985 | ||||||
Series 2022-BNK39 A4 2.928% 2/15/55 | 862,000 | 719,652 | ||||||
Series 2022-BNK39 B 3.348% 2/15/55 • | 100,000 | 74,356 | ||||||
Series 2022-BNK39 C 3.379% 2/15/55 • | 45,000 | 29,894 | ||||||
Series 2022-BNK40 A4 3.507% 3/15/64 • | 850,000 | 739,270 | ||||||
Series 2022-BNK40 B 3.507% 3/15/64 • | 100,000 | 76,285 | ||||||
BBCMS Mortgage Trust | ||||||||
Series 2020-C7 A5 2.037% 4/15/53 | 693,000 | 563,017 | ||||||
Benchmark Mortgage Trust | ||||||||
Series 2021-B24 A5 2.584% 3/15/54 | 750,000 | 597,822 | ||||||
Series 2021-B25 A5 2.577% 4/15/54 | 1,000,000 | 794,284 | ||||||
Series 2022-B32 A5 3.002% 1/15/55 • | 1,000,000 | 810,791 | ||||||
Series 2022-B32 B 3.202% 1/15/55 • | 100,000 | 75,323 | ||||||
Series 2022-B32 C 3.572% 1/15/55 • | 125,000 | 85,764 | ||||||
Series 2022-B33 A5 3.458% 3/15/55 | 900,000 | 786,193 |
25 |
Schedules of investments
Delaware Ivy VIP Balanced
Principal | Value (US $) | |||||||
Non-Agency Commercial Mortgage-Backed Securities (continued) | ||||||||
Benchmark Mortgage Trust | ||||||||
Series 2022-B33 B 3.735% 3/15/55 • | 50,000 | $ | 39,732 | |||||
Series 2022-B33 C 3.735% 3/15/55 • | 50,000 | 35,762 | ||||||
BMO Mortgage Trust | ||||||||
Series 2022-C1 A5 3.374% 2/15/55 • | 500,000 | 432,429 | ||||||
Total Non-Agency Commercial Mortgage- Backed Securities (cost $8,476,349) | 7,166,837 | |||||||
US Treasury Obligations — 8.49% | ||||||||
US Treasury Bonds | ||||||||
2.375% 2/15/42 | 1,160,000 | 903,667 | ||||||
3.625% 2/15/53 | 1,380,000 | 1,324,800 | ||||||
3.625% 5/15/53 | 65,000 | 62,481 | ||||||
3.875% 2/15/43 | 2,025,000 | 1,975,008 | ||||||
4.375% 2/15/38 | 590,000 | 628,546 | ||||||
US Treasury Floating Rate Notes | ||||||||
4.931% (USBMMY3M + 0.20%) 1/31/25 • | 565,000 | 566,009 | ||||||
5.389% (USBMMY3M + 0.14%) 10/31/24 • | 3,875,000 | 3,878,615 | ||||||
US Treasury Notes | ||||||||
2.75% 11/15/23 | 1,900,000 | 1,882,444 | ||||||
3.50% 1/31/30 | 1,790,000 | 1,737,349 | ||||||
3.625% 4/30/28 | 2,765,000 | 2,687,126 | ||||||
4.00% 6/30/28 | 1,405,000 | 1,397,426 | ||||||
4.125% 6/15/26 | 960,000 | 950,400 | ||||||
4.50% 11/30/24 | 340,000 | 336,441 | ||||||
Total US Treasury Obligations (cost $18,612,520) | 18,330,312 | |||||||
Number of | ||||||||
shares | ||||||||
Common Stocks — 62.02% | ||||||||
Communications — 4.14% | ||||||||
Alphabet Class A † | 30,476 | 3,647,977 | ||||||
Alphabet Class C † | 20,150 | 2,437,546 | ||||||
Take-Two Interactive Software † | 19,383 | 2,852,402 | ||||||
8,937,925 | ||||||||
Consumer Discretionary — 5.04% | ||||||||
Amazon.com † | 41,607 | 5,423,889 | ||||||
Aptiv † | 28,038 | 2,862,399 | ||||||
AutoZone † | 1,039 | 2,590,601 | ||||||
10,876,889 | ||||||||
Consumer Staples — 2.37% | ||||||||
Costco Wholesale | 6,345 | 3,416,021 | ||||||
Procter & Gamble | 11,131 | 1,689,018 | ||||||
5,105,039 | ||||||||
Energy — 1.50% | ||||||||
ConocoPhillips | 20,801 | 2,155,192 | ||||||
Schlumberger | 21,968 | 1,079,068 | ||||||
3,234,260 | ||||||||
Financials — 10.89% | ||||||||
American Express | 11,136 | 1,939,891 | ||||||
Aon Class A | 7,876 | 2,718,795 | ||||||
Blackstone | 18,265 | 1,698,097 | ||||||
Capital One Financial | 9,275 | 1,014,407 | ||||||
Discover Financial Services | 10,844 | 1,267,121 | ||||||
Fiserv † | 20,419 | 2,575,857 | ||||||
Intercontinental Exchange | 19,027 | 2,151,573 | ||||||
JPMorgan Chase & Co. | 12,335 | 1,794,003 | ||||||
KKR & Co. | 34,713 | 1,943,928 | ||||||
Mastercard Class A | 6,193 | 2,435,707 | ||||||
Morgan Stanley | 25,927 | 2,214,166 | ||||||
Progressive | 13,230 | 1,751,255 | ||||||
23,504,800 | ||||||||
Healthcare — 7.42% | ||||||||
Abbott Laboratories | 12,470 | 1,359,480 | ||||||
Danaher | 8,289 | 1,989,360 | ||||||
HCA Healthcare | 14,888 | 4,518,210 | ||||||
UnitedHealth Group | 13,266 | 6,376,170 | ||||||
Vertex Pharmaceuticals † | 5,055 | 1,778,905 | ||||||
16,022,125 | ||||||||
Industrials — 5.84% | ||||||||
Airbus ADR | 100,650 | 3,637,491 | ||||||
Equifax | 10,931 | 2,572,064 | ||||||
Howmet Aerospace | 37,985 | 1,882,537 | ||||||
Raytheon Technologies | 18,919 | 1,853,305 | ||||||
United Rentals | 5,968 | 2,657,968 | ||||||
12,603,365 | ||||||||
Information Technology — 19.67% | ||||||||
Apple | 29,297 | 5,682,739 | ||||||
Applied Materials | 23,113 | 3,340,753 | ||||||
Intuit | 5,580 | 2,556,700 | ||||||
KLA | 2,747 | 1,332,350 | ||||||
Microchip Technology | 33,022 | 2,958,441 | ||||||
Microsoft | 35,748 | 12,173,624 | ||||||
NVIDIA | 4,122 | 1,743,688 | ||||||
Salesforce † | 11,408 | 2,410,054 | ||||||
Seagate Technology Holdings | 24,703 | 1,528,375 | ||||||
TE Connectivity | 30,262 | 4,241,522 | ||||||
VeriSign † | 13,033 | 2,945,067 |
26 |
Number of | ||||||||
shares | Value (US $) | |||||||
Common Stocks (continued) | ||||||||
Information Technology (continued) | ||||||||
Zebra Technologies Class A † | 5,224 | $ | 1,545,416 | |||||
42,458,729 | ||||||||
Materials — 3.46% | ||||||||
Crown Holdings | 15,212 | 1,321,466 | ||||||
Linde | 9,145 | 3,484,977 | ||||||
Sherwin-Williams | 9,988 | 2,652,014 | ||||||
7,458,457 | ||||||||
Utilities — 1.69% | ||||||||
NextEra Energy | 49,208 | 3,651,233 | ||||||
3,651,233 | ||||||||
Total Common Stocks (cost $124,686,957) | 133,852,822 | |||||||
Exchange-Traded Funds — 3.96% | ||||||||
iShares 0-5 Year Investment Grade Corporate Bond ETF | 43,276 | 2,086,336 | ||||||
iShares Latin America 40 ETF | 21,741 | 590,703 | ||||||
iShares MSCI China ETF | 16,322 | 730,246 | ||||||
iShares MSCI Emerging Markets Asia ETF | 13,048 | 857,384 | ||||||
Vanguard Russell 2000 ETF | 56,637 | 4,282,890 | ||||||
Total Exchange-Traded Funds (cost $8,746,558) | 8,547,559 | |||||||
Short-Term Investments — 1.43% | ||||||||
Money Market Mutual Funds — 1.43% | ||||||||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 4.99%) | 772,754 | 772,754 | ||||||
Fidelity Investments Money Market Government Portfolio - Class I (seven-day effective yield 4.99%) | 772,754 | 772,754 | ||||||
Goldman Sachs Financial Square Government Fund - Institutional Shares (seven-day effective yield 5.14%) | 772,754 | 772,754 | ||||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Class (seven-day effective yield 5.03%) | 772,754 | 772,754 | ||||||
Total Short-Term Investments | 3,091,016 | |||||||
Total Value of Securities—99.94% (cost $211,600,026) | $ | 215,687,703 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2023, the aggregate value of Rule 144A securities was $4,755,222, which represents 2.20% of the Portfolio's net assets. See Note 11 in “Notes to financial statements.” |
· | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2023. Rate will reset at a future date. |
Ψ | Perpetual security. Maturity date represents next call date. |
‡ | Non-income producing security. Security is currently in default. |
† | Non-income producing security. |
27 |
Schedules of investments
Delaware Ivy VIP Balanced
The following futures contracts were outstanding at June 30, 2023:1
Futures Contracts
Exchange-Traded
Contracts to Buy (Sell) | Notional | Notional | Expiration | Value/ | Value/ | Variation Margin Due from (Due to) Brokers | ||||||||||||||||||
90 | US Treasury 5 yr Notes | $ | 9,638,438 | $ | 9,833,763 | 9/29/23 | $ | — | $ | (195,325 | ) | $ | — | |||||||||||
11 | US Treasury 10 yr Notes | 1,234,922 | 1,258,325 | 9/20/23 | — | (23,403 | ) | 1,547 | ||||||||||||||||
(22) | US Treasury 10 yr Ultra Notes | (2,605,625 | ) | (2,637,023 | ) | 9/20/23 | 31,398 | — | (6,531 | ) | ||||||||||||||
3 | US Treasury Ultra Bonds | 408,656 | 403,930 | 9/20/23 | 4,726 | — | 3,750 | |||||||||||||||||
Total Futures Contracts | $ | 8,858,995 | $ | 36,124 | $ | (218,728 | ) | $ | (1,234 | ) |
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The notional amounts presented above represent the Portfolio's total exposure in such contracts, whereas only the variation margin is reflected in the Portfolio's net assets.
1See Note 8 in “Notes to financial statements.”
Summary of abbreviations:
ADR – American Depositary Receipt
DAC – Designated Activity Company
ETF – Exchange-Traded Fund
GNMA – Government National Mortgage Association
ICE – Intercontinental Exchange, Inc.
LIBOR – London Interbank Offered Rate
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
MSCI – Morgan Stanley Capital International
REMIC – Real Estate Mortgage Investment Conduit
S.F. – Single Family
SOFR – Secured Overnight Financing Rate
USBMMY3M – US Treasury 3 Month Bill Money Market Yield
USD – US Dollar
yr – Year
See accompanying notes, which are an integral part of the financial statements.
28 |
Delaware Ivy VIP Energy | June 30, 2023 (Unaudited) |
Number of shares | Value (US $) | |||||||
Common Stocks — 97.41% ♦ | ||||||||
Consumer Staples — 2.35% | ||||||||
Darling Ingredients † | 31,992 | $ | 2,040,770 | |||||
2,040,770 | ||||||||
Energy — 89.82% | ||||||||
BP ADR | 55,567 | 1,960,959 | ||||||
Chesapeake Energy | 59,065 | 4,942,559 | ||||||
Chord Energy | 33,290 | 5,120,002 | ||||||
ConocoPhillips | 54,519 | 5,648,714 | ||||||
Denbury † | 53,144 | 4,584,201 | ||||||
Diamondback Energy | 7,045 | 925,431 | ||||||
Enterprise Products Partners | 41,581 | 1,095,659 | ||||||
Equinor | 61,384 | 1,787,433 | ||||||
Hess | 7,031 | 955,864 | ||||||
Kimbell Royalty Partners | 189,726 | 2,790,869 | ||||||
Kosmos Energy † | 138,851 | 831,718 | ||||||
Marathon Petroleum | 27,961 | 3,260,253 | ||||||
Occidental Petroleum | 100,362 | 5,901,286 | ||||||
Parex Resources | 222,481 | 4,460,536 | ||||||
Peabody Energy | 64,292 | 1,392,565 | ||||||
Permian Resources | 366,159 | 4,013,103 | ||||||
Schlumberger | 88,233 | 4,334,005 | ||||||
Shell | 240,412 | 7,171,895 | ||||||
Sunrun † | 54,301 | 969,816 | ||||||
Talos Energy † | 69,958 | 970,317 | ||||||
Tourmaline Oil | 85,989 | 4,051,658 | ||||||
Unit | 66,226 | 3,170,901 | ||||||
Valaris † | 58,747 | 3,696,949 | ||||||
Valero Energy | 32,693 | 3,834,889 | ||||||
77,871,582 | ||||||||
Industrials — 4.58% | �� | |||||||
Generac Holdings † | 10,330 | 1,540,513 | ||||||
Li-Cycle Holdings † | 200,076 | 1,110,422 | ||||||
Net Power † | 46,526 | 604,838 | ||||||
NuScale Power † | 104,363 | 709,668 | ||||||
3,965,441 | ||||||||
Utilities — 0.66% | ||||||||
Spruce Power Holding † | 703,273 | 570,917 | ||||||
570,917 | ||||||||
Total Common Stocks | ||||||||
(cost $86,225,015) | 84,448,710 | |||||||
Master Limited Partnerships — 2.64% | ||||||||
Black Stone Minerals | 113,040 | 1,802,988 | ||||||
Natural Resource Partners | 9,125 | 481,252 | ||||||
Total Master Limited Partnerships | ||||||||
(cost $2,105,634) | 2,284,240 | |||||||
Total Value of Securities—100.05% | ||||||||
(cost $88,330,649) | $ | 86,732,950 |
♦ | Narrow industries are utilized for compliance purposes for concentration whereas broad sectors are used for financial reporting. |
† | Non-income producing security. |
Summary of abbreviations:
ADR - American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
29 |
Schedules of investments
Delaware Ivy VIP Growth | June 30, 2023 (Unaudited) |
Number of shares | Value (US $) | |||||||
Common Stocks — 99.65% ♦ | ||||||||
Communication Services — 8.18% | ||||||||
Alphabet Class A † | 321,312 | $ | 38,461,046 | |||||
Alphabet Class C † | 54,076 | 6,541,574 | ||||||
Electronic Arts | 127,555 | 16,543,883 | ||||||
61,546,503 | ||||||||
Consumer Discretionary — 12.94% | ||||||||
Amazon.com † | 332,116 | 43,294,642 | ||||||
Booking Holdings † | 3,520 | 9,505,162 | ||||||
Ferrari | 53,118 | 17,274,505 | ||||||
Home Depot | 14,749 | 4,581,629 | ||||||
LVMH Moet Hennessy Louis Vuitton ADR | 65,163 | 12,305,381 | ||||||
NIKE Class B | 94,790 | 10,461,972 | ||||||
97,423,291 | ||||||||
Consumer Staples — 2.66% | ||||||||
Coca-Cola | 315,956 | 19,026,870 | ||||||
Estee Lauder Class A | 5,183 | 1,017,838 | ||||||
20,044,708 | ||||||||
Financials — 10.86% | ||||||||
Intercontinental Exchange | 174,487 | 19,730,990 | ||||||
S&P Global | 45,247 | 18,139,070 | ||||||
Visa Class A | 184,925 | 43,915,989 | ||||||
81,786,049 | ||||||||
Healthcare — 11.98% | ||||||||
Cooper | 37,043 | 14,203,398 | ||||||
Danaher | 85,086 | 20,420,640 | ||||||
Intuitive Surgical † | 35,759 | 12,227,432 | ||||||
UnitedHealth Group | 58,964 | 28,340,457 | ||||||
Veeva Systems Class A † | 39,830 | 7,875,586 | ||||||
Zoetis | 41,269 | 7,106,934 | ||||||
90,174,447 | ||||||||
Industrials — 8.62% | ||||||||
Broadridge Financial Solutions | 80,048 | 13,258,350 | ||||||
Equifax | 67,265 | 15,827,454 | ||||||
JB Hunt Transport Services | 64,393 | 11,657,065 | ||||||
TransUnion | 98,634 | 7,726,001 | ||||||
Union Pacific | 16,253 | 3,325,689 | ||||||
Verisk Analytics | 30,263 | 6,840,346 | ||||||
Waste Connections | 43,605 | 6,232,463 | ||||||
64,867,368 | ||||||||
Information Technology — 40.62% | ||||||||
Adobe † | 24,830 | 12,141,622 | ||||||
Apple | 318,450 | 61,769,746 | ||||||
Autodesk † | 38,590 | 7,895,900 | ||||||
Intuit | 37,941 | 17,384,187 | ||||||
Microsoft | 301,290 | 102,601,297 | ||||||
Motorola Solutions | 90,268 | 26,473,799 | ||||||
NVIDIA | 81,611 | 34,523,085 | ||||||
Salesforce † | 52,952 | 11,186,640 | ||||||
VeriSign † | 140,919 | 31,843,466 | ||||||
305,819,742 | ||||||||
Real Estate — 3.79% | ||||||||
CoStar Group † | 320,668 | 28,539,452 | ||||||
28,539,452 | ||||||||
Total Common Stocks (cost $485,157,653) | 750,201,560 | |||||||
Short-Term Investments — 0.22% | ||||||||
Money Market Mutual Funds — 0.22% | ||||||||
BlackRock Liquidity FedFund - Institutional Shares (seven-day effective yield 4.99%) | 415,831 | 415,831 | ||||||
Fidelity Investments Money Market Government Portfolio - Class I (seven-day effective yield 4.99%) | 415,831 | 415,831 | ||||||
Goldman Sachs Financial Square Government Fund - Institutional Shares (seven-day effective yield 5.14%) | 415,832 | 415,832 | ||||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio - Institutional Class (seven-day effective yield 5.03%) | 415,832 | 415,832 | ||||||
Total Short-Term Investments | 1,663,326 | |||||||
Total Value of Securities—99.87% | $ | 751,864,886 |
♦ | Narrow industries are utilized for compliance purposes for concentration whereas broad sectors are used for financial reporting. |
† | Non-income producing security. |
Summary of abbreviations:
ADR – American Depositary Receipt
S&P – Standard & Poor’s Financial Services LLC
See accompanying notes, which are an integral part of the financial statements.
30 |
Delaware Ivy VIP High Income | June 30, 2023 (Unaudited) |
Principal | Value (US $) | |||||||
Convertible Bond — 1.20% | ||||||||
New Cotai 5.00% exercise price $100.00, maturity date 2/2/27 = | 3,485,632 | $ | 9,157,410 | |||||
Total Convertible Bond | 9,157,410 | |||||||
Corporate Bonds — 74.42% | ||||||||
Automotive — 1.54% | ||||||||
Ford Motor 4.75% 1/15/43 | 2,660,000 | 2,047,838 | ||||||
Ford Motor Credit | ||||||||
6.80% 5/12/28 | 4,130,000 | 4,138,268 | ||||||
7.35% 3/6/30 | 1,420,000 | 1,451,761 | ||||||
Goodyear Tire & Rubber 5.25% 7/15/31 | 4,740,000 | 4,122,971 | ||||||
11,760,838 | ||||||||
Basic Industry — 4.14% | ||||||||
Chemours 144A 5.75% 11/15/28 # | 4,550,000 | 4,185,293 | ||||||
CP Atlas Buyer 144A 7.00% 12/1/28 # | 1,146,000 | 900,899 | ||||||
First Quantum Minerals | ||||||||
144A 6.875% 10/15/27 # | 2,736,000 | 2,673,113 | ||||||
144A 8.625% 6/1/31 # | 5,615,000 | 5,761,720 | ||||||
FMG Resources August 2006 | ||||||||
144A 5.875% 4/15/30 # | 3,340,000 | 3,184,303 | ||||||
144A 6.125% 4/15/32 # | 1,505,000 | 1,436,440 | ||||||
Novelis 144A 4.75% 1/30/30 # | 6,240,000 | 5,551,491 | ||||||
Standard Industries 144A 3.375% 1/15/31 # | 5,740,000 | 4,627,263 | ||||||
Vibrantz Technologies 144A 9.00% 2/15/30 # | 4,410,000 | 3,384,543 | ||||||
31,705,065 | ||||||||
Capital Goods — 4.52% | ||||||||
ARD Finance 144A PIK 6.50% 6/30/27 #, > | 1,751,144 | 1,421,274 | ||||||
Ardagh Metal Packaging Finance USA | ||||||||
144A 3.25% 9/1/28 # | 2,031,000 | 1,746,859 | ||||||
144A 4.00% 9/1/29 # | 2,360,000 | 1,871,737 | ||||||
Bombardier | ||||||||
144A 6.00% 2/15/28 # | 4,499,000 | 4,257,444 | ||||||
144A 7.50% 2/1/29 # | 1,300,000 | 1,286,447 | ||||||
Clydesdale Acquisition Holdings | ||||||||
144A 6.625% 4/15/29 # | 755,000 | 720,911 | ||||||
144A 8.75% 4/15/30 # | 2,415,000 | 2,134,435 | ||||||
Mauser Packaging Solutions Holding | ||||||||
144A 7.875% 8/15/26 # | 5,360,000 | 5,330,994 | ||||||
144A 9.25% 4/15/27 # | 1,945,000 | 1,797,524 | ||||||
Roller Bearing Co. of America 144A 4.375% 10/15/29 # | 5,507,000 | 4,940,649 | ||||||
Sealed Air 144A 5.00% 4/15/29 # | 2,175,000 | 2,026,078 | ||||||
TransDigm 5.50% 11/15/27 | 7,030,000 | 6,638,849 | ||||||
Wesco Aircraft Holdings 144A 8.50% 11/15/24 #, ‡ | 5,955,000 | 387,075 | ||||||
34,560,276 | ||||||||
Consumer Goods — 1.50% | ||||||||
Cerdia Finanz 144A 10.50% 2/15/27 # | 3,160,000 | 3,111,909 | ||||||
MajorDrive Holdings IV 144A 6.375% 6/1/29 # | 6,450,000 | 5,128,621 | ||||||
Pilgrim's Pride 4.25% 4/15/31 | 3,775,000 | 3,240,780 | ||||||
11,481,310 | ||||||||
Electric — 2.41% | ||||||||
Calpine | ||||||||
144A 4.625% 2/1/29 # | 3,295,000 | 2,783,804 | ||||||
144A 5.00% 2/1/31 # | 370,000 | 306,491 | ||||||
144A 5.125% 3/15/28 # | 5,470,000 | 4,888,987 | ||||||
Vistra | ||||||||
144A 7.00% 12/15/26 #, μ, ψ | 8,025,000 | 7,010,841 | ||||||
144A 8.00% 10/15/26 #, μ, ψ | 3,650,000 | 3,416,835 | ||||||
18,406,958 | ||||||||
Energy — 12.29% | ||||||||
Ascent Resources Utica Holdings | ||||||||
144A 5.875% 6/30/29 # | 4,874,000 | 4,353,365 | ||||||
144A 7.00% 11/1/26 # | 1,898,000 | 1,838,858 | ||||||
Bellatrix Exploration 12.50% 12/15/23 = | 1,113,000 | 0 | ||||||
Callon Petroleum | ||||||||
144A 7.50% 6/15/30 # | 2,445,000 | 2,310,115 | ||||||
144A 8.00% 8/1/28 # | 5,090,000 | 5,038,663 | ||||||
CNX Midstream Partners 144A 4.75% 4/15/30 # | 2,250,000 | 1,910,646 | ||||||
CNX Resources 144A 6.00% 1/15/29 # | 6,420,000 | 5,957,035 | ||||||
Crestwood Midstream Partners | ||||||||
144A 5.625% 5/1/27 # | 1,636,000 | 1,552,564 | ||||||
144A 6.00% 2/1/29 # | 850,000 | 794,550 | ||||||
144A 7.375% 2/1/31 # | 3,455,000 | 3,409,451 |
31 |
Schedules of investments
Delaware Ivy VIP High Income
Principal | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Energy (continued) | ||||||||
EQM Midstream Partners | ||||||||
144A 4.75% 1/15/31 # | 10,319,000 | $ | 9,051,249 | |||||
6.50% 7/15/48 | 1,170,000 | 1,059,890 | ||||||
Genesis Energy | ||||||||
7.75% 2/1/28 | 3,335,000 | 3,175,951 | ||||||
8.00% 1/15/27 | 5,255,000 | 5,129,466 | ||||||
Hilcorp Energy I | ||||||||
144A 6.00% 4/15/30 # | 5,220,000 | 4,758,600 | ||||||
144A 6.00% 2/1/31 # | 705,000 | 631,065 | ||||||
144A 6.25% 4/15/32 # | 2,665,000 | 2,379,512 | ||||||
Murphy Oil 6.375% 7/15/28 | 8,268,000 | 8,157,404 | ||||||
NuStar Logistics | ||||||||
6.00% 6/1/26 | 4,126,000 | 4,022,881 | ||||||
6.375% 10/1/30 | 4,170,000 | 3,983,148 | ||||||
Occidental Petroleum 4.50% 7/15/44 | 1,030,000 | 791,138 | ||||||
Southwestern Energy | ||||||||
5.375% 2/1/29 | 760,000 | 716,425 | ||||||
5.375% 3/15/30 | 7,590,000 | 7,090,105 | ||||||
USA Compression Partners | ||||||||
6.875% 4/1/26 | 2,710,000 | 2,657,139 | ||||||
6.875% 9/1/27 | 5,090,000 | 4,865,477 | ||||||
Vital Energy 10.125% 1/15/28 | 2,876,000 | 2,822,866 | ||||||
Weatherford International 144A 8.625% 4/30/30 # | 5,505,000 | 5,594,054 | ||||||
94,051,617 | ||||||||
Financial Services — 2.32% | ||||||||
AerCap Holdings 5.875% 10/10/79 μ | 8,349,000 | 7,886,349 | ||||||
Air Lease 4.65% 6/15/26 μ, ψ | 3,715,000 | 3,109,678 | ||||||
Castlelake Aviation Finance DAC 144A 5.00% 4/15/27 # | 4,590,000 | 4,068,718 | ||||||
Midcap Financial Issuer Trust 144A 6.50% 5/1/28 # | 3,040,000 | 2,709,202 | ||||||
17,773,947 | ||||||||
Healthcare — 5.34% | ||||||||
AthenaHealth Group 144A 6.50% 2/15/30 # | 2,060,000 | 1,735,839 | ||||||
Avantor Funding 144A 3.875% 11/1/29 # | 4,315,000 | 3,781,789 | ||||||
Bausch Health 144A 6.125% 2/1/27 # | 3,140,000 | 2,013,839 | ||||||
Cheplapharm Arzneimittel 144A 5.50% 1/15/28 # | 4,525,000 | 4,101,573 | ||||||
CHS | ||||||||
144A 4.75% 2/15/31 # | 3,000,000 | 2,270,696 | ||||||
144A 5.25% 5/15/30 # | 1,600,000 | 1,262,019 | ||||||
DaVita | ||||||||
144A 3.75% 2/15/31 # | 2,425,000 | 1,941,958 | ||||||
144A 4.625% 6/1/30 # | 1,475,000 | 1,267,892 | ||||||
Heartland Dental 144A 8.50% 5/1/26 # | 509,000 | 456,630 | ||||||
Medline Borrower 144A 3.875% 4/1/29 # | 4,981,000 | 4,333,511 | ||||||
ModivCare Escrow Issuer 144A 5.00% 10/1/29 # | 1,509,000 | 1,118,086 | ||||||
Organon & Co. 144A 5.125% 4/30/31 # | 6,670,000 | 5,511,850 | ||||||
Par Pharmaceutical 144A 7.50% 4/1/27 #, ‡ | 2,936,000 | 2,173,853 | ||||||
Tenet Healthcare | ||||||||
4.375% 1/15/30 | 4,955,000 | 4,476,126 | ||||||
6.125% 10/1/28 | 3,025,000 | 2,915,071 | ||||||
144A 6.75% 5/15/31 # | 1,475,000 | 1,480,436 | ||||||
40,841,168 | ||||||||
Insurance — 3.54% | ||||||||
Ardonagh Midco 2 144A PIK 11.50% 1/15/27 #, > | 6,179,978 | 5,716,479 | ||||||
HUB International 144A 5.625% 12/1/29 # | 4,780,000 | 4,292,997 | ||||||
Jones Deslauriers Insurance Management | ||||||||
144A 8.50% 3/15/30 # | 5,715,000 | 5,837,044 | ||||||
144A 10.50% 12/15/30 # | 3,385,000 | 3,415,138 | ||||||
NFP | ||||||||
144A 6.875% 8/15/28 # | 6,907,000 | 6,005,155 | ||||||
144A 7.50% 10/1/30 # | 1,865,000 | 1,807,382 | ||||||
27,074,195 | ||||||||
Leisure — 6.27% | ||||||||
Boyd Gaming | ||||||||
4.75% 12/1/27 | 4,385,000 | 4,158,637 | ||||||
144A 4.75% 6/15/31 # | 3,900,000 | 3,488,176 | ||||||
Caesars Entertainment 144A 8.125% 7/1/27 # | 4,488,000 | 4,598,378 | ||||||
Carnival | ||||||||
144A 5.75% 3/1/27 # | 7,663,000 | 7,061,569 | ||||||
144A 6.00% 5/1/29 # | 3,186,000 | 2,847,549 | ||||||
144A 7.625% 3/1/26 # | 4,148,000 | 4,066,384 | ||||||
Royal Caribbean Cruises | ||||||||
144A 5.375% 7/15/27 # | 2,414,000 | 2,259,742 | ||||||
144A 5.50% 4/1/28 # | 8,914,000 | 8,321,528 | ||||||
Scientific Games Holdings 144A 6.625% 3/1/30 # | 6,455,000 | 5,686,371 | ||||||
Scientific Games International 144A 7.25% 11/15/29 # | 5,520,000 | 5,531,868 | ||||||
48,020,202 |
32 |
Principal amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Media — 8.54% | ||||||||
Advantage Sales & Marketing 144A 6.50% 11/15/28 # | 4,400,000 | $ | 3,724,886 | |||||
AMC Networks 4.25% 2/15/29 | 4,609,000 | 2,482,857 | ||||||
Arches Buyer 144A 6.125% 12/1/28 # | 3,964,000 | 3,419,941 | ||||||
CCO Holdings 144A 4.50% 8/15/30 # | 2,924,000 | 2,437,420 | ||||||
144A 4.75% 2/1/32 # | 3,290,000 | 2,686,449 | ||||||
144A 6.375% 9/1/29 # | 6,850,000 | 6,461,219 | ||||||
CMG Media 144A 8.875% 12/15/27 # | 7,046,000 | 4,949,117 | ||||||
CSC Holdings 144A 4.625% 12/1/30 # | 12,759,000 | 5,690,222 | ||||||
144A 5.00% 11/15/31 # | 2,381,000 | 1,111,220 | ||||||
144A 5.75% 1/15/30 # | 3,167,000 | 1,499,844 | ||||||
Cumulus Media New Holdings 144A 6.75% 7/1/26 # | 4,075,000 | 2,806,100 | ||||||
Directv Financing 144A 5.875% 8/15/27 # | 6,662,000 | 6,041,170 | ||||||
DISH DBS 144A 5.75% 12/1/28 # | 7,165,000 | 5,342,643 | ||||||
Gray Escrow II 144A 5.375% 11/15/31 # | 5,459,000 | 3,624,190 | ||||||
Gray Television 144A 4.75% 10/15/30 # | 5,150,000 | 3,497,957 | ||||||
Nexstar Media 144A 4.75% 11/1/28 # | 4,400,000 | 3,821,973 | ||||||
Sirius XM Radio 144A 4.125% 7/1/30 # | 7,045,000 | 5,758,968 | ||||||
65,356,176 | ||||||||
Retail — 3.98% | ||||||||
Asbury Automotive Group | ||||||||
4.50% 3/1/28 | 2,576,930 | 2,365,290 | ||||||
144A 4.625% 11/15/29 # | 85,000 | 75,542 | ||||||
4.75% 3/1/30 | 4,450,930 | 3,960,036 | ||||||
144A 5.00% 2/15/32 # | 85,000 | 74,099 | ||||||
Bath & Body Works 6.875% 11/1/35 | 6,070,000 | 5,563,238 | ||||||
Lithia Motors | ||||||||
144A 3.875% 6/1/29 # | 1,666,000 | 1,449,370 | ||||||
144A 4.375% 1/15/31 # | 1,271,000 | 1,098,268 | ||||||
LSF9 Atlantis Holdings 144A 7.75% 2/15/26 # | 6,302,000 | 5,874,421 | ||||||
Michaels | ||||||||
144A 5.25% 5/1/28 # | 2,801,000 | 2,265,925 | ||||||
144A 7.875% 5/1/29 # | 2,518,000 | 1,699,650 | ||||||
Murphy Oil USA 4.75% 9/15/29 | 985,000 | 905,225 | ||||||
PetSmart 144A 7.75% 2/15/29 # | 5,149,000 | 5,121,906 | ||||||
30,452,970 | ||||||||
Services — 3.10% | ||||||||
CDW 3.569% 12/1/31 | 6,715,000 | 5,675,921 | ||||||
Staples | ||||||||
144A 7.50% 4/15/26 # | 8,116,000 | 6,714,107 | ||||||
144A 10.75% 4/15/27 # | 2,375,000 | 1,383,060 | ||||||
United Rentals North America 144A 6.00% 12/15/29 # | 2,915,000 | 2,910,979 | ||||||
White Cap Buyer 144A 6.875% 10/15/28 # | 4,435,000 | 4,025,139 | ||||||
White Cap Parent 144A PIK 8.25% 3/15/26 #, > | 3,126,000 | 2,997,725 | ||||||
23,706,931 | ||||||||
Technology & Electronics — 4.65% | ||||||||
Clarios Global 144A 8.50% 5/15/27 # | 3,765,000 | 3,778,219 | ||||||
CommScope 144A 8.25% 3/1/27 # | 2,310,000 | 1,851,183 | ||||||
CommScope Technologies 144A 6.00% 6/15/25 # | 4,007,000 | 3,739,910 | ||||||
Entegris Escrow | ||||||||
144A 4.75% 4/15/29 # | 2,121,000 | 1,970,952 | ||||||
144A 5.95% 6/15/30 # | 5,825,000 | 5,589,828 | ||||||
Micron Technology 5.875% 9/15/33 | 3,740,000 | 3,708,069 | ||||||
NCR | ||||||||
144A 5.00% 10/1/28 # | 2,287,000 | 2,043,641 | ||||||
144A 5.125% 4/15/29 # | 4,402,000 | 3,901,011 | ||||||
144A 5.25% 10/1/30 # | 782,000 | 681,011 | ||||||
144A 6.125% 9/1/29 # | 983,000 | 984,707 | ||||||
Seagate HDD Cayman | ||||||||
5.75% 12/1/34 | 2,155,000 | 1,914,535 | ||||||
144A 8.25% 12/15/29 # | 1,965,000 | 2,054,152 | ||||||
Sensata Technologies 144A 4.00% 4/15/29 # | 3,805,000 | 3,390,957 | ||||||
35,608,175 | ||||||||
Telecommunications — 7.82% | ||||||||
Altice France | ||||||||
144A 5.125% 7/15/29 # | 2,375,000 | 1,688,372 | ||||||
144A 5.50% 10/15/29 # | 1,292,000 | 925,256 | ||||||
Altice France Holding 144A 6.00% 2/15/28 # | 10,750,000 | 5,253,804 | ||||||
Connect Finco 144A 6.75% 10/1/26 # | 8,039,000 | 7,815,648 |
33 |
Schedules of investments
Delaware Ivy VIP High Income
Principal | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Telecommunications (continued) | ||||||||
Consolidated Communications | ||||||||
144A 5.00% 10/1/28 # | 2,639,000 | $ | 1,983,472 | |||||
144A 6.50% 10/1/28 # | 7,638,000 | 6,034,020 | ||||||
Digicel International Finance 144A 8.75% 5/25/24 # | 4,031,000 | 3,698,442 | ||||||
Frontier Communications Holdings | ||||||||
144A 5.00% 5/1/28 # | 745,000 | 643,512 | ||||||
144A 5.875% 10/15/27 # | 3,836,000 | 3,524,310 | ||||||
5.875% 11/1/29 | 1,011,498 | 739,415 | ||||||
144A 6.00% 1/15/30 # | 805,000 | 592,867 | ||||||
144A 6.75% 5/1/29 # | 3,287,000 | 2,553,425 | ||||||
144A 8.75% 5/15/30 # | 1,080,000 | 1,056,536 | ||||||
Ligado Networks 144A PIK 15.50% 11/1/23 #, >> | 9,681,924 | 3,727,541 | ||||||
Northwest Fiber 144A 4.75% 4/30/27 # | 6,187,000 | 5,469,927 | ||||||
Sable International Finance 144A 5.75% 9/7/27 # | 4,009,000 | 3,762,620 | ||||||
Telesat Canada | ||||||||
144A 5.625% 12/6/26 # | 6,406,000 | 3,959,100 | ||||||
144A 6.50% 10/15/27 # | 1,130,000 | 465,114 | ||||||
Vmed O2 UK Financing I 144A 4.75% 7/15/31 # | 4,395,000 | 3,659,117 | ||||||
VZ Secured Financing 144A 5.00% 1/15/32 # | 2,805,000 | 2,262,110 | ||||||
59,814,608 | ||||||||
Transportation — 2.46% | ||||||||
Air Canada 144A 3.875% 8/15/26 # | 8,105,000 | 7,519,436 | ||||||
American Airlines 144A 5.75% 4/20/29 # | 3,916,832 | 3,806,686 | ||||||
Azul Investments | ||||||||
144A 5.875% 10/26/24 # | 1,470,000 | 1,243,090 | ||||||
144A 7.25% 6/15/26 # | 877,000 | 697,729 | ||||||
Grupo Aeromexico 144A 8.50% 3/17/27 # | 6,240,000 | 5,588,979 | ||||||
18,855,920 | ||||||||
Total Corporate Bonds | 569,470,356 | |||||||
Municipal Bonds — 0.45% | ||||||||
GDB Debt Recovery Authority of Puerto Rico Revenue (Taxable) 7.50% 8/20/40 | 4,202,998 | 3,477,981 | ||||||
Total Municipal Bonds | 3,477,981 | |||||||
Loan Agreements — 12.16% | ||||||||
Advantage Sales & Marketing 9.719% (LIBOR03M + 4.50%) 10/28/27 • | 4,457,334 | 4,208,468 | ||||||
Amynta Agency Borrower 10.102% (SOFR01M + 5.00%) 2/28/28 • | 7,320,000 | 7,137,000 | ||||||
Applied Systems 2nd Lien 11.992% (SOFR03M + 6.75%) 9/17/27 • | 4,087,609 | 4,097,828 | ||||||
Clarios Global 8.852% (SOFR01M + 3.75%) 5/6/30 • | 3,770,000 | 3,760,575 | ||||||
CNT Holdings I 2nd Lien 11.709% (SOFR03M + 6.75%) 11/6/28 • | 2,060,000 | 1,977,600 | ||||||
CP Atlas Buyer 8.952% (SOFR01M + 3.75%) 11/23/27 • | 4,352,892 | 4,106,684 | ||||||
Foresight Energy Operating Tranche A 13.342% (SOFR03M + 8.10%) 6/30/27 • | 1,256,051 | 1,224,650 | ||||||
Form Technologies Tranche B 9.825% (SOFR03M + 4.60%) 7/22/25 • | 11,822,251 | 11,053,804 | ||||||
Guardian US Holdco 9.045% (SOFR03M + 4.00%) 1/31/30 • | 3,041,000 | 3,022,943 | ||||||
Heartland Dental 10.102% (SOFR01M + 5.00%) 4/28/28 • | 3,064,622 | 2,959,658 | ||||||
Hexion Holdings 1st Lien 9.779% (SOFR03M + 4.65%) 3/15/29 • | 895,950 | 848,113 | ||||||
Hexion Holdings 2nd Lien 12.627% (SOFR01M + 7.54%) 3/15/30 • | 3,665,000 | 3,041,950 | ||||||
HUB International TBD 6/8/30 X | 1,621,000 | 1,625,881 | ||||||
Hunter Douglas Holding Tranche B-1 8.666% (SOFR03M + 3.50%) 2/26/29 • | 2,058,284 | 1,962,446 | ||||||
INDICOR 9.742% (SOFR03M + 4.50%) 11/22/29 • | 6,812,925 | 6,793,767 | ||||||
Jones DesLauriers Insurance Management 1st Lien 9.293% (CDOR03M + 4.25%) 3/27/28 • | CAD | 2,029,461 | 1,520,468 | |||||
Jones DesLauriers Insurance Management 1st Lien 9.293% (CDOR03M + 4.25%) 3/27/28 • | CAD | 462,244 | 346,312 |
34 |
Principal amount° | Value (US $) | |||||||
Loan Agreements (continued) | ||||||||
MLN US HoldCo 1st Lien 11.782% (SOFR03M + 6.70%) 10/18/27 • | 8,256,075 | $ | 4,747,243 | |||||
MLN US HoldCo Tranche B 14.332% (SOFR03M + 9.25%) 10/18/27 • | 2,336,000 | 1,168,000 | ||||||
Northwest Fiber 1st Lien Tranche B-2 8.942% (SOFR01M + 3.86%) 4/30/27 • | 1,927,362 | 1,885,924 | ||||||
PetsMart 8.952% (SOFR01M + 3.85%) 2/11/28 • | 1,134,328 | 1,135,273 | ||||||
PMHC II 9.304% (SOFR03M + 4.25%) 4/23/29 • | 862,827 | 762,986 | ||||||
Pre Paid Legal Services 2nd Lien 12.154% (LIBOR01M + 7.00%) 12/14/29 • | 990,000 | 900,900 | ||||||
SPX Flow 9.702% (SOFR01M + 4.60%) 4/5/29 • | 4,082,570 | 4,024,732 | ||||||
Swf Holdings I 9.217% (SOFR01M + 4.11%) 10/6/28 • | 4,208,677 | 3,419,550 | ||||||
UKG 2nd Lien 10.271% (LIBOR03M + 5.25%) 5/3/27 • | 7,900,000 | 7,667,937 | ||||||
Vantage Specialty Chemicals 1st Lien 9.897% (SOFR01M + 4.75%) 10/26/26 • | 7,885,375 | 7,688,241 | ||||||
Total Loan Agreements (cost $99,308,245) | 93,088,933 |
Number of shares | ||||||||
Common Stocks — 1.75% | ||||||||
Basic Industry — 0.44% | ||||||||
BIS Industries Holdings =, † | 1,604,602 | 0 | ||||||
Foresight Energy =, † | 185,515 | 3,337,424 | ||||||
Westmoreland Coal =, † | 573 | 8,590 | ||||||
3,346,014 | ||||||||
Consumer Discretionary — 0.83% | ||||||||
Studio City International Holdings † | 581,459 | 4,034,570 | ||||||
Studio City International Holdings ADR † | 335,692 | 2,329,266 | ||||||
6,363,836 | ||||||||
Consumer Goods — 0.00% | ||||||||
ASG Warrant =, † | 1,200 | 0 | ||||||
0 | ||||||||
Energy — 0.00% | ||||||||
Sabine Oil & Gas Holdings =, † | 263 | 326 | ||||||
326 | ||||||||
Financial Services — 0.42% | ||||||||
New Cotai =, † | 3,072,567 | 3,228,884 | ||||||
3,228,884 | ||||||||
Retail — 0.06% | ||||||||
True Religion Apparel =, † | 23 | 448,650 | ||||||
448,650 | ||||||||
Utilities — 0.00% | ||||||||
Larchmont Resources =, † | 1,007 | 11,722 | ||||||
11,722 | ||||||||
Total Common Stocks (cost $41,152,461) | 13,399,432 | |||||||
Preferred Stock — 0.02% | ||||||||
True Religion Apparel 6.25% =, ω | 24 | 119,120 | ||||||
Total Preferred Stock (cost $392,060) | 119,120 | |||||||
Exchange-Traded Funds — 4.01% | ||||||||
Invesco Senior Loan ETF | 424,157 | 8,924,263 | ||||||
iShares iBoxx High Yield Corporate Bond ETF | 290,000 | 21,770,300 | ||||||
Total Exchange-Traded Funds (cost $33,375,159) | 30,694,563 | |||||||
Warrants — 0.01% | ||||||||
California Resources † | 7,744 | 91,844 | ||||||
Total Warrants (cost $673,784) | 91,844 | |||||||
Short-Term Investments — 4.53% | ||||||||
Money Market Mutual Funds — 4.53% | ||||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 8,658,903 | 8,658,903 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 8,658,903 | 8,658,903 | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 8,658,903 | 8,658,903 |
35 |
Schedules of investments
Delaware Ivy VIP High Income
Number of shares | Value (US $) | |||||||
Short-Term Investments (continued) | ||||||||
Money Market Mutual Funds (continued) | ||||||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 8,658,904 | $ | 8,658,904 | |||||
Total Short-Term Investments (cost $34,635,613) | 34,635,613 | |||||||
Total Value of Securities—98.55% (cost $848,742,310) | $ | 754,135,252 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2023, the aggregate value of Rule 144A securities was $453,497,552, which represents 59.26% of the Portfolio's net assets. See Note 11 in “Notes to financial statements." |
> | PIK. 100% of the income received was in the form of cash. |
‡ | Non-income producing security. Security is currently in default. |
µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2023. Rate will reset at a future date. |
Y | Perpetual security. Maturity date represents next call date. |
>> | PIK. 100% of the income received was in the form of principal. |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
X | This loan will settle after June 30, 2023, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
† | Non-income producing security. |
w | Perpetual security with no stated maturity date. |
The following foreign currency exchange contracts were outstanding at June 30, 2023:1
Foreign Currency Exchange Contracts
Currency to | Settlement | Unrealized | |||||||||||
Counterparty | Receive (Deliver) | In Exchange For | Date | Depreciation | |||||||||
TD | CAD | (1,740,000 | ) | USD | 1,301,010 | 8/25/23 | $ | (13,641 | ) |
The use of foreign currency exchange contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The foreign currency exchange contracts presented above represent the Portfolio's total exposure in such contracts, whereas only the net unrealized appreciation (depreciation) is reflected in the Portfolio's net assets.
1See Note 8 in “Notes to financial statements.”
Summary of abbreviations:
ADR – American Depositary Receipt
CDOR03M – 3 Month Canadian Dollar Offered Rate
DAC – Designated Activity Company
ETF – Exchange-Traded Fund
ICE – Intercontinental Exchange, Inc.
LIBOR – London Interbank Offered Rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
PIK – Payment-in-kind
SOFR01M – Secured Overnight Financing Rate 1 Month
SOFR03M – Secured Overnight Financing Rate 3 Month
TBD – To be determined
TD – TD Bank
Summary of currencies:
CAD – Canadian Dollar
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
36 |
Delaware Ivy VIP International Core Equity | June 30, 2023 (Unaudited) |
Number of shares | Value (US $) | |||||||
Common Stocks – 98.64%∆ | ||||||||
Australia - 1.78% | ||||||||
Newcrest Mining | 533,142 | $ | 9,510,408 | |||||
9,510,408 | ||||||||
Austria - 1.33% | ||||||||
Mondi | 465,792 | 7,106,322 | ||||||
7,106,322 | ||||||||
Brazil - 5.09% | ||||||||
Banco do Brasil | 1,295,768 | 13,395,538 | ||||||
MercadoLibre † | 11,665 | 13,818,359 | ||||||
27,213,897 | ||||||||
Canada - 5.94% | ||||||||
Canadian Pacific Kansas City | 130,144 | 10,511,725 | ||||||
Dollarama | 212,477 | 14,390,215 | ||||||
Suncor Energy | 235,310 | 6,902,545 | ||||||
31,804,485 | ||||||||
China - 7.43% | ||||||||
Alibaba Group Holding ADR † | 78,026 | 6,503,467 | ||||||
Budweiser Brewing APAC 144A # | 2,613,100 | 6,761,817 | ||||||
H World Group ADR † | 291,541 | 11,305,960 | ||||||
JD.com ADR | 214,208 | 7,310,919 | ||||||
Tencent Holdings | 186,000 | 7,886,620 | ||||||
39,768,783 | ||||||||
China/Hong Kong - 2.07% | ||||||||
China Mengniu Dairy † | 2,012,000 | 7,603,931 | ||||||
SITC International Holdings | 1,907,000 | 3,492,043 | ||||||
11,095,974 | ||||||||
Denmark - 5.18% | ||||||||
Ambu Class B † | 406,613 | 6,665,761 | ||||||
AP Moller - Maersk Class A | 1,188 | 2,071,517 | ||||||
AP Moller - Maersk Class B | 3,318 | 5,833,866 | ||||||
Genmab † | 34,694 | 13,147,558 | ||||||
27,718,702 | ||||||||
France - 12.55% | ||||||||
Airbus | 88,404 | 12,781,604 | ||||||
BNP Paribas | 131,667 | 8,308,972 | ||||||
L'Oreal | 12,306 | 5,740,455 | ||||||
LVMH Moet Hennessy Louis Vuitton | 11,587 | 10,925,525 | ||||||
Thales | 84,239 | 12,621,437 | ||||||
TotalEnergies | 157,433 | 9,037,384 | ||||||
Vinci | 66,883 | 7,771,497 | ||||||
67,186,874 | ||||||||
Germany - 9.84% | ||||||||
Bayer | 189,066 | 10,465,762 | ||||||
Deutsche Telekom | 456,442 | 9,958,887 | ||||||
Heidelberg Materials | 88,867 | 7,308,298 | ||||||
HelloFresh † | 265,052 | 6,555,447 | ||||||
RWE | 276,149 | 12,033,555 | ||||||
SAP | 46,337 | 6,329,977 | ||||||
52,651,926 | ||||||||
Hong Kong - 1.84% | ||||||||
Prudential | 697,565 | 9,851,986 | ||||||
9,851,986 | ||||||||
India - 5.97% | ||||||||
Axis Bank | 942,177 | 11,368,641 | ||||||
Bharti Airtel | 572,544 | 6,141,502 | ||||||
ICICI Bank | 523,824 | 5,997,254 | ||||||
NTPC | 3,660,758 | 8,454,845 | ||||||
31,962,242 | ||||||||
Japan - 12.58% | ||||||||
Asahi Group Holdings | 202,000 | 7,837,566 | ||||||
Inpex | 566,900 | 6,228,227 | ||||||
Mitsubishi UFJ Financial Group | 1,548,000 | 11,410,422 | ||||||
Mitsui Chemicals | 185,100 | 5,455,965 | ||||||
Nippon Telegraph & Telephone | 4,095,000 | 4,845,639 | ||||||
Renesas Electronics † | 673,200 | 12,704,842 | ||||||
Seven & i Holdings | 213,100 | 9,206,380 | ||||||
Tokio Marine Holdings | 416,822 | 9,609,235 | ||||||
67,298,276 | ||||||||
Netherlands - 5.44% | ||||||||
Adyen 144A #, † | 1,613 | 2,793,180 | ||||||
ASML Holding | 11,298 | 8,194,761 | ||||||
ING Groep | 657,076 | 8,858,434 | ||||||
Shell | 307,144 | 9,252,164 | ||||||
29,098,539 | ||||||||
Republic of Korea - 3.87% | ||||||||
LG | 142,072 | 9,527,401 | ||||||
Samsung Electronics | 203,477 | 11,204,111 | ||||||
20,731,512 | ||||||||
Spain - 1.74% | ||||||||
Banco Bilbao Vizcaya Argentaria | 1,215,291 | 9,336,719 | ||||||
9,336,719 | ||||||||
Switzerland - 1.74% | ||||||||
Alcon | 113,120 | 9,288,283 | ||||||
9,288,283 | ||||||||
Taiwan - 2.22% | ||||||||
Taiwan Semiconductor Manufacturing | 643,000 | 11,878,353 | ||||||
11,878,353 | ||||||||
United Kingdom - 7.70% | ||||||||
AstraZeneca | 42,453 | 6,085,819 | ||||||
AstraZeneca ADR | 143,618 | 10,278,740 |
37 |
Schedules of investments
Delaware Ivy VIP International Core Equity
Number of shares | Value (US $) | |||||||
Common Stocks∆ (continued) | ||||||||
United Kingdom (continued) | ||||||||
Haleon | 1,459,243 | $ | 5,989,419 | |||||
HSBC Holdings | 1,065,288 | 8,434,783 | ||||||
Reckitt Benckiser Group | 138,613 | 10,416,888 | ||||||
41,205,649 | ||||||||
United States - 4.33% | ||||||||
Schlumberger | 162,792 | 7,996,343 | ||||||
Seagate Technology Holdings | 123,291 | 7,628,014 | ||||||
Stellantis | 428,408 | 7,530,873 | ||||||
23,155,230 | ||||||||
Total Common Stocks | ||||||||
(cost $505,702,175) | 527,864,160 | |||||||
Short-Term Investments – 1.22% | ||||||||
Money Market Mutual Funds – 1.22% | ||||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 1,632,376 | 1,632,376 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99 %) | 1,632,376 | 1,632,376 | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 1,632,377 | 1,632,377 | ||||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 1,632,377 | 1,632,377 | ||||||
Total Short-Term Investments | ||||||||
(cost $6,529,506) | 6,529,506 | |||||||
Total Value of Securities-99.86% | ||||||||
(cost $512,231,681) | $ | 534,393,666 |
∆ | Securities have been classified by country of risk. Aggregate classification by business sector has been presented on page 9 in “Security type / country and sector allocations.” |
† | Non-income producing security. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2023, the aggregate value of Rule 144A securities was $9,554,997, which represents 1.79% of the Portfolio's net assets. See Note 11 in “Notes to financial statements.” |
Summary of abbreviations:
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
38 |
Delaware Ivy VIP Mid Cap Growth | June 30, 2023 (Unaudited) |
Number of shares | Value (US $) | |||||||
Common Stocks — 99.23% ♦ | ||||||||
Communication Services — 6.61% | ||||||||
Pinterest Class A † | 509,317 | $ | 13,924,727 | |||||
Shutterstock | 44,765 | 2,178,712 | ||||||
Trade Desk Class A † | 160,217 | 12,371,957 | ||||||
ZoomInfo Technologies † | 220,183 | 5,590,446 | ||||||
34,065,842 | ||||||||
Consumer Discretionary — 14.70% | ||||||||
BorgWarner | 251,251 | 12,288,687 | ||||||
Floor & Decor Holdings Class A † | 84,482 | 8,782,749 | ||||||
Foot Locker | 161,049 | 4,366,038 | ||||||
Fox Factory Holding † | 26,838 | 2,912,191 | ||||||
Levi Strauss & Co. Class A | 328,599 | 4,741,684 | ||||||
Lululemon Athletica † | 21,300 | 8,062,050 | ||||||
National Vision Holdings † | 169,755 | 4,123,349 | ||||||
On Holding Class A † | 243,877 | 8,047,941 | ||||||
Petco Health & Wellness † | 322,906 | 2,873,863 | ||||||
Pool | 28,247 | 10,582,456 | ||||||
Vail Resorts | 35,832 | 9,021,064 | ||||||
75,802,072 | ||||||||
Consumer Staples — 1.27% | ||||||||
Brown-Forman Class B | 97,822 | 6,532,553 | ||||||
6,532,553 | ||||||||
Financials — 3.73% | ||||||||
Kinsale Capital Group | 16,574 | 6,201,991 | ||||||
MarketAxess Holdings | 49,889 | 13,041,982 | ||||||
19,243,973 | ||||||||
Healthcare — 18.84% | ||||||||
Agilent Technologies | 53,721 | 6,459,950 | ||||||
Bio-Techne | 100,999 | 8,244,549 | ||||||
Cooper | 15,312 | 5,871,080 | ||||||
Dexcom ~, † | 134,168 | 17,241,930 | ||||||
Edwards Lifesciences † | 76,810 | 7,245,487 | ||||||
Envista Holdings † | 223,229 | 7,554,069 | ||||||
Genmab ADR † | 181,883 | 6,913,373 | ||||||
Inspire Medical Systems † | 13,988 | 4,541,064 | ||||||
Intuitive Surgical † | 32,630 | 11,157,502 | ||||||
Repligen † | 57,927 | 8,194,354 | ||||||
Veeva Systems Class A † | 28,814 | 5,697,392 | ||||||
West Pharmaceutical Services | 20,886 | 7,988,269 | ||||||
97,109,019 | ||||||||
Industrials — 16.33% | ||||||||
A O Smith | 108,101 | 7,867,591 | ||||||
Copart † | 83,754 | 7,639,202 | ||||||
Fastenal ~ | 138,062 | 8,144,277 | ||||||
Generac Holdings † | 57,720 | 8,607,784 | ||||||
HEICO Class A | 74,832 | 10,521,379 | ||||||
Howmet Aerospace | 117,214 | 5,809,126 | ||||||
Lincoln Electric Holdings | 32,998 | 6,554,393 | ||||||
Paycom Software | 31,809 | 10,218,323 | ||||||
Trex † | 160,879 | 10,547,227 | ||||||
Westinghouse Air Brake Technologies | 36,959 | 4,053,294 | ||||||
WillScot Mobile Mini Holdings † | 88,847 | 4,245,998 | ||||||
84,208,594 | ||||||||
Information Technology — 31.80% | ||||||||
Arista Networks † | 52,156 | 8,452,402 | ||||||
Coherent † | 157,452 | 8,026,903 | ||||||
Crowdstrike Holdings Class A † | 54,013 | 7,932,889 | ||||||
DocuSign † | 130,984 | 6,691,973 | ||||||
DoubleVerify Holdings † | 107,259 | 4,174,520 | ||||||
EngageSmart † | 124,213 | 2,371,226 | ||||||
HubSpot † | 12,300 | 6,544,707 | ||||||
Keysight Technologies † | 50,729 | 8,494,571 | ||||||
Lattice Semiconductor † | 46,181 | 4,436,609 | ||||||
Littelfuse | 22,958 | 6,687,895 | ||||||
Marvell Technology | 166,917 | 9,978,298 | ||||||
Microchip Technology | 135,766 | 12,163,276 | ||||||
Monolithic Power Systems | 27,866 | 15,054,049 | ||||||
Novanta † | 41,241 | 7,592,468 | ||||||
Teradyne | 94,859 | 10,560,653 | ||||||
Trimble † | 140,078 | 7,415,729 | ||||||
Tyler Technologies † | 24,844 | 10,346,781 | ||||||
Universal Display | 55,379 | 7,981,775 | ||||||
Workday Class A † | 31,323 | 7,075,553 | ||||||
Workiva † | 65,823 | 6,691,566 | ||||||
Zebra Technologies Class A † | 17,763 | 5,254,828 | ||||||
163,928,671 | ||||||||
Materials — 1.35% | ||||||||
Martin Marietta Materials | 15,091 | 6,967,364 | ||||||
6,967,364 | ||||||||
Real Estate — 4.60% | ||||||||
CoStar Group ~, † | 266,650 | 23,731,850 | ||||||
23,731,850 | ||||||||
Total Common Stocks | ||||||||
(cost $415,565,219) | 511,589,938 | |||||||
Short-Term Investments — 0.92% | ||||||||
Money Market Mutual Funds — 0.92% | ||||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 1,191,135 | 1,191,135 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 1,191,135 | 1,191,135 |
39 |
Schedules of investments
Delaware Ivy VIP Mid Cap Growth
Number of shares | Value (US $) | |||||||
Short-Term Investments (continued) | ||||||||
Money Market Mutual Funds (continued) | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 1,191,135 | $ | 1,191,135 | |||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03 %) | 1,191,135 | 1,191,135 | ||||||
Total Short-Term Investments | ||||||||
(cost $4,764,540) | 4,764,540 | |||||||
Total Value of Securities—100.15% | ||||||||
(cost $420,329,759) | $ | 516,354,478 |
♦ | Narrow industries are utilized for compliance purposes for concentration whereas broad sectors are used for financial reporting. |
† | Non-income producing security. |
~ | All or portion of the security has been pledged as collateral for potential options written. |
Summary of abbreviations:
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
40 |
Delaware Ivy VIP Natural Resources | June 30, 2023 (Unaudited) |
Number of shares | Value (US $) | |||||||
Closed-Ended Trust — 2.36% | ||||||||
Sprott Physical Uranium Trust † | 186,808 | $ | 2,357,750 | |||||
Total Closed-Ended Trust | ||||||||
(cost $2,398,385) | 2,357,750 | |||||||
Common Stocks — 96.71% ♦ | ||||||||
Basic Industry — 29.34% | ||||||||
Anglo American | 98,821 | 2,813,781 | ||||||
CF Industries Holdings | 58,456 | 4,058,015 | ||||||
ERO Copper † | 154,185 | 3,119,198 | ||||||
Freeport-McMoRan | 63,743 | 2,549,720 | ||||||
Hudbay Minerals | 454,010 | 2,179,248 | ||||||
Kinross Gold | 480,489 | 2,291,933 | ||||||
Newmont | 111,657 | 4,763,288 | ||||||
Nutrien | 57,184 | 3,376,715 | ||||||
Wheaton Precious Metals | 96,973 | 4,191,173 | ||||||
29,343,071 | ||||||||
Consumer Discretionary — 0.59% | ||||||||
Spruce Power Holding † | 726,875 | 590,077 | ||||||
590,077 | ||||||||
Consumer Staples — 7.91% | ||||||||
Archer-Daniels-Midland | 29,730 | 2,246,399 | ||||||
Bunge | 31,498 | 2,971,836 | ||||||
Darling Ingredients † | 42,202 | 2,692,066 | ||||||
7,910,301 | ||||||||
Energy — 36.79% | ||||||||
BP ADR | 86,046 | 3,036,563 | ||||||
Chesapeake Energy | 34,681 | 2,902,106 | ||||||
Chord Energy | 13,321 | 2,048,770 | ||||||
Denbury † | 23,319 | 2,011,497 | ||||||
Kimbell Royalty Partners | 216,118 | 3,179,096 | ||||||
Occidental Petroleum | 51,292 | 3,015,970 | ||||||
Parex Resources | 73,464 | 1,472,885 | ||||||
Permian Resources | 153,005 | 1,676,935 | ||||||
Schlumberger | 61,419 | 3,016,901 | ||||||
Shell | 182,433 | 5,442,284 | ||||||
Sunrun † | 56,278 | 1,005,125 | ||||||
Unit | 56,738 | 2,716,615 | ||||||
Valaris † | 23,926 | 1,505,663 | ||||||
Valero Energy | 32,113 | 3,766,855 | ||||||
36,797,265 | ||||||||
Industrials — 7.61% | ||||||||
Arcosa | 48,773 | 3,695,530 | ||||||
China Metal Recycling Holdings =, † | 1,900,000 | 0 | ||||||
GrafTech International | 220,002 | 1,108,810 | ||||||
Li-Cycle Holdings † | 214,220 | 1,188,921 | ||||||
Net Power † | 55,248 | 718,224 | ||||||
NuScale Power † | 133,310 | 906,508 | ||||||
7,617,993 | ||||||||
Materials — 10.49% | ||||||||
Alcoa | 75,889 | 2,574,914 | ||||||
Corteva | 39,281 | 2,250,801 | ||||||
Endeavour Mining | 59,138 | 1,420,239 | ||||||
Louisiana-Pacific | 27,345 | 2,050,328 | ||||||
Sylvamo | 30,787 | 1,245,334 | ||||||
United States Steel | 37,891 | 947,654 | ||||||
10,489,270 | ||||||||
Real Estate Investment Trusts — 3.98% | ||||||||
Weyerhaeuser | 118,977 | 3,986,919 | ||||||
3,986,919 | ||||||||
Total Common Stocks | ||||||||
(cost $104,109,981) | 96,734,896 | |||||||
Short-Term Investments — 1.10% | ||||||||
Money Market Mutual Funds — 1.10% | ||||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 274,609 | 274,609 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99 %) | 274,608 | 274,608 | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 274,608 | 274,608 | ||||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03 %) | 274,608 | 274,608 | ||||||
Total Short-Term Investments | ||||||||
(cost $1,098,433) | 1,098,433 | |||||||
Total Value of Securities—100.17% | ||||||||
(cost $107,606,799) | $ | 100,191,079 |
† | Non-income producing security. |
♦ | Narrow industries are utilized for compliance purposes for concentration whereas broad sectors are used for financial reporting. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
Summary of abbreviations:
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
41 |
Schedules of investments
Delaware Ivy VIP Science and Technology | June 30, 2023 (Unaudited) |
Number of shares | Value (US $) | |||||||
Common Stocks — 97.04% ♦ | ||||||||
Communication Services — 11.80% | ||||||||
Netflix † | 30,832 | $ | 13,581,188 | |||||
Pinterest Class A † | 803,768 | 21,975,017 | ||||||
Take-Two Interactive Software † | 48,347 | 7,114,745 | ||||||
T-Mobile US † | 152,325 | 21,157,942 | ||||||
63,828,892 | ||||||||
Consumer Discretionary — 9.95% | ||||||||
Amazon.com † | 303,310 | 39,539,492 | ||||||
Etsy † | 74,415 | 6,296,253 | ||||||
Luminar Technologies † | 663,455 | 4,564,570 | ||||||
MercadoLibre † | 2,900 | 3,435,340 | ||||||
53,835,655 | ||||||||
Financials — 5.64% | ||||||||
Adyen 144A #, † | 4,654 | 8,059,182 | ||||||
Mastercard Class A | 37,579 | 14,779,821 | ||||||
Shift4 Payments Class A † | 112,955 | 7,670,774 | ||||||
30,509,777 | ||||||||
Healthcare — 7.23% | ||||||||
Danaher | 38,880 | 9,331,200 | ||||||
Intuitive Surgical † | 30,514 | 10,433,957 | ||||||
Ionis Pharmaceuticals † | 125,791 | 5,161,205 | ||||||
Vertex Pharmaceuticals † | 24,174 | 8,507,072 | ||||||
West Pharmaceutical Services | 14,919 | 5,706,070 | ||||||
39,139,504 | ||||||||
Industrials — 2.61% | ||||||||
Copart † | 59,449 | 5,422,343 | ||||||
WNS Holdings ADR † | 118,311 | 8,721,887 | ||||||
14,144,230 | ||||||||
Information Technology — 59.81% | ||||||||
Ambarella † | 124,143 | 10,387,045 | ||||||
Analog Devices | 73,704 | 14,358,276 | ||||||
Apple | 133,242 | 25,844,951 | ||||||
ASML Holding | 33,519 | 24,292,895 | ||||||
Autodesk † | 48,399 | 9,902,919 | ||||||
Broadcom | 17,095 | 14,828,716 | ||||||
Cadence Design Systems † | 57,642 | 13,518,202 | ||||||
CDW | 29,482 | 5,409,947 | ||||||
Flex † | 119,471 | 3,302,178 | ||||||
Intuit | 28,655 | 13,129,435 | ||||||
Keysight Technologies † | 29,542 | 4,946,808 | ||||||
Lam Research | 10,931 | 7,027,103 | ||||||
Microchip Technology | 166,125 | 14,883,139 | ||||||
Micron Technology | 138,548 | 8,743,764 | ||||||
Microsoft | 144,948 | 49,360,592 | ||||||
NVIDIA | 64,432 | 27,256,025 | ||||||
ON Semiconductor † | 144,133 | 13,632,099 | ||||||
Salesforce † | 18,865 | 3,985,420 | ||||||
Seagate Technology Holdings | 331,753 | 20,525,558 | ||||||
VeriSign † | 35,652 | 8,056,282 | ||||||
Workday Class A † | 59,288 | 13,392,566 | ||||||
Zebra Technologies Class A † | 57,018 | 16,867,635 | ||||||
323,651,555 | ||||||||
Total Common Stocks | ||||||||
(cost $431,522,550) | 525,109,613 | |||||||
Short-Term Investments — 3.08% | ||||||||
Money Market Mutual Funds — 3.08% | ||||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 4,168,567 | 4,168,567 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99 %) | 4,168,567 | 4,168,567 | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 4,168,566 | 4,168,566 | ||||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03 %) | 4,168,568 | 4,168,568 | ||||||
Total Short-Term Investments | ||||||||
(cost $16,674,268) | 16,674,268 | |||||||
Total Value of Securities—100.12% | ||||||||
(cost $448,196,818) | $ | 541,783,881 |
♦ | Narrow industries are utilized for compliance purposes for concentration whereas broad sectors are used for financial reporting. |
† | Non-income producing security. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2023, the aggregate value of Rule 144A securities was $8,059,182, which represents 1.49% of the Portfolio's net assets. See Note 11 in “Notes to financial statements.” |
Summary of abbreviations:
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
42 |
Delaware Ivy VIP Small Cap Growth | June 30, 2023 (Unaudited) |
Number of shares | Value (US $) | |||||||
Common Stocks — 98.42% | ||||||||
Communication Services — 2.61% | ||||||||
IMAX † | 132,372 | $ | 2,249,000 | |||||
Iridium Communications | 54,372 | 3,377,589 | ||||||
5,626,589 | ||||||||
Consumer Discretionary — 12.96% | ||||||||
Boot Barn Holdings † | 41,343 | 3,501,339 | ||||||
First Watch Restaurant Group † | 70,026 | 1,183,440 | ||||||
Fox Factory Holding † | 15,255 | 1,655,320 | ||||||
Marriott Vacations Worldwide | 12,894 | 1,582,352 | ||||||
Meritage Homes | 20,289 | 2,886,516 | ||||||
Monarch Casino & Resort | 17,171 | 1,209,697 | ||||||
Red Rock Resorts Class A | 94,821 | 4,435,726 | ||||||
Texas Roadhouse | 44,658 | 5,014,200 | ||||||
Visteon † | 22,917 | 3,291,110 | ||||||
Wingstop | 15,944 | 3,191,351 | ||||||
27,951,051 | ||||||||
Consumer Staples — 2.35% | ||||||||
BellRing Brands † | 49,179 | 1,799,952 | ||||||
Duckhorn Portfolio † | 57,461 | 745,269 | ||||||
MGP Ingredients | 23,790 | 2,528,401 | ||||||
5,073,622 | ||||||||
Energy — 3.71% | ||||||||
Cactus Class A | 66,394 | 2,809,794 | ||||||
SM Energy | 37,876 | 1,198,018 | ||||||
Weatherford International † | 60,065 | 3,989,517 | ||||||
7,997,329 | ||||||||
Financials — 7.41% | ||||||||
Flywire † | 79,675 | 2,473,112 | ||||||
Houlihan Lokey | 34,644 | 3,405,852 | ||||||
Kinsale Capital Group | 13,215 | 4,945,053 | ||||||
Seacoast Banking | 75,634 | 1,671,511 | ||||||
Shift4 Payments Class A † | 51,294 | 3,483,376 | ||||||
15,978,904 | ||||||||
Healthcare — 22.40% | ||||||||
Acadia Healthcare † | 47,926 | 3,816,827 | ||||||
Axonics † | 35,267 | 1,779,925 | ||||||
CryoPort † | 136,404 | 2,352,969 | ||||||
Cytek Biosciences † | 116,692 | 996,550 | ||||||
Evolent Health Class A † | 129,243 | 3,916,063 | ||||||
Halozyme Therapeutics † | 65,499 | 2,362,549 | ||||||
Harmony Biosciences Holdings † | 83,494 | 2,938,154 | ||||||
Inmode † | 110,782 | 4,137,708 | ||||||
Insmed † | 88,939 | 1,876,613 | ||||||
Pacira BioSciences † | 66,766 | 2,675,314 | ||||||
Penumbra † | 9,451 | 3,251,711 | ||||||
Progyny † | 136,310 | 5,362,435 | ||||||
PTC Therapeutics † | 25,675 | 1,044,202 | ||||||
R1 RCM † | 193,528 | 3,570,591 | ||||||
TransMedics Group † | 47,980 | 4,029,360 | ||||||
Vericel † | 111,586 | 4,192,286 | ||||||
48,303,257 | ||||||||
Industrials — 21.13% | ||||||||
AAON | 20,466 | 1,940,381 | ||||||
Casella Waste Systems Class A † | 27,020 | 2,443,959 | ||||||
CBIZ † | 79,850 | 4,254,408 | ||||||
Chart Industries † | 4,844 | 774,023 | ||||||
Clean Harbors † | 34,986 | 5,752,748 | ||||||
EnerSys | 37,382 | 4,056,695 | ||||||
Federal Signal | 56,633 | 3,626,211 | ||||||
Kirby † | 52,208 | 4,017,405 | ||||||
Parsons † | 89,785 | 4,322,250 | ||||||
Paycor HCM † | 169,678 | 4,016,278 | ||||||
Saia † | 8,683 | 2,973,146 | ||||||
Shoals Technologies Group Class A † | 138,528 | 3,540,776 | ||||||
SiteOne Landscape Supply † | 22,909 | 3,834,050 | ||||||
45,552,330 | ||||||||
Information Technology — 22.78% | ||||||||
Allegro MicroSystems † | 109,711 | 4,952,354 | ||||||
Belden | 24,628 | 2,355,668 | ||||||
Box Class A † | 111,212 | 3,267,409 | ||||||
Calix † | 57,113 | 2,850,510 | ||||||
CyberArk Software † | 33,445 | 5,228,457 | ||||||
DoubleVerify Holdings † | 181,054 | 7,046,622 | ||||||
Instructure Holdings † | 94,083 | 2,367,128 | ||||||
Jamf Holding † | 59,967 | 1,170,556 | ||||||
Onto Innovation † | 22,685 | 2,642,122 | ||||||
Power Integrations | 24,779 | 2,345,828 | ||||||
Rambus † | 21,243 | 1,363,163 | ||||||
Silicon Laboratories † | 8,073 | 1,273,435 | ||||||
Smartsheet Class A † | 79,230 | 3,031,340 | ||||||
Sprout Social Class A † | 65,269 | 3,012,817 | ||||||
Super Micro Computer † | 10,167 | 2,534,125 | ||||||
Tenable Holdings † | 84,191 | 3,666,518 | ||||||
49,108,052 | ||||||||
Materials — 2.26% | ||||||||
ATI † | 110,235 | 4,875,694 | ||||||
4,875,694 | ||||||||
Real Estate — 0.81% | ||||||||
Ryman Hospitality Properties | 18,897 | 1,755,909 | ||||||
1,755,909 | ||||||||
Total Common Stocks | ||||||||
(cost $209,290,273) | 212,222,737 | |||||||
Short-Term Investments — 1.76% | ||||||||
Money Market Mutual Funds — 1.76% | ||||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 949,166 | 949,166 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 949,166 | 949,166 |
43 |
Schedules of investments
Delaware Ivy VIP Small Cap Growth
Number of shares | Value (US $) | |||||||
Short-Term Investments (continued) | ||||||||
Money Market Mutual Funds (continued) | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 949,167 | $ | 949,167 | |||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03 %) | 949,167 | 949,167 | ||||||
Total Short-Term Investments | ||||||||
(cost $3,796,666) | 3,796,666 | |||||||
Total Value of Securities—100.18% | ||||||||
(cost $213,086,939) | $ | 216,019,403 |
† | Non-income producing security. |
See accompanying notes, which are an integral part of the financial statements.
44 |
Delaware Ivy VIP Smid Cap Core | June 30, 2023 (Unaudited) |
Number of shares | Value (US $) | |||||||
Common Stocks — 98.39% | ||||||||
Basic Materials — 7.96% | ||||||||
Beacon Roofing Supply † | 26,288 | $ | 2,181,378 | |||||
Boise Cascade | 21,631 | 1,954,361 | ||||||
Huntsman | 100,285 | 2,709,701 | ||||||
Kaiser Aluminum | 13,723 | 983,116 | ||||||
Minerals Technologies | 31,083 | 1,793,178 | ||||||
Reliance Steel & Aluminum | 9,228 | 2,506,232 | ||||||
Westrock | 32,481 | 944,223 | ||||||
Worthington Industries | 29,142 | 2,024,495 | ||||||
15,096,684 | ||||||||
Business Services — 5.64% | ||||||||
ABM Industries | 28,544 | 1,217,402 | ||||||
Aramark | 55,314 | 2,381,268 | ||||||
ASGN † | 19,425 | 1,469,113 | ||||||
Casella Waste Systems Class A † | 11,725 | 1,060,526 | ||||||
Clean Harbors † | 10,308 | 1,694,944 | ||||||
WillScot Mobile Mini Holdings † | 59,995 | 2,867,161 | ||||||
10,690,414 | ||||||||
Capital Goods — 12.59% | ||||||||
Ameresco Class A † | 15,214 | 739,857 | ||||||
Barnes Group | 11,433 | 482,358 | ||||||
Carlisle | 6,244 | 1,601,773 | ||||||
Chart Industries † | 3,768 | 602,089 | ||||||
Coherent † | 29,763 | 1,517,318 | ||||||
Federal Signal | 21,267 | 1,361,726 | ||||||
Gates Industrial † | 39,397 | 531,072 | ||||||
Graco | 17,785 | 1,535,735 | ||||||
Kadant | 4,141 | 919,716 | ||||||
KBR | 25,350 | 1,649,271 | ||||||
Lincoln Electric Holdings | 11,318 | 2,248,094 | ||||||
MasTec † | 16,703 | 1,970,453 | ||||||
Quanta Services | 18,543 | 3,642,773 | ||||||
Tetra Tech | 8,807 | 1,442,058 | ||||||
WESCO International | 13,201 | 2,363,771 | ||||||
Zurn Elkay Water Solutions | 46,888 | 1,260,818 | ||||||
23,868,882 | ||||||||
Consumer Discretionary — 4.83% | ||||||||
BJ's Wholesale Club Holdings † | 21,602 | 1,361,142 | ||||||
Dick's Sporting Goods | 16,917 | 2,236,258 | ||||||
Five Below † | 11,447 | 2,249,793 | ||||||
Malibu Boats Class A † | 24,712 | 1,449,606 | ||||||
Steven Madden | 56,705 | 1,853,687 | ||||||
9,150,486 | ||||||||
Consumer Services — 2.43% | ||||||||
Brinker International † | 26,279 | 961,811 | ||||||
Jack in the Box | 9,163 | 893,667 | ||||||
Texas Roadhouse | 14,063 | 1,578,994 | ||||||
Wendy's | 54,257 | 1,180,090 | ||||||
4,614,562 | ||||||||
Consumer Staples — 3.35% | ||||||||
Casey's General Stores | 11,279 | 2,750,723 | ||||||
Helen of Troy † | 7,417 | 801,184 | ||||||
J & J Snack Foods | 9,484 | 1,501,886 | ||||||
YETI Holdings † | 33,667 | 1,307,626 | ||||||
6,361,419 | ||||||||
Credit Cyclicals — 4.07% | ||||||||
BorgWarner | 35,122 | 1,717,817 | ||||||
Dana | 43,132 | 733,244 | ||||||
KB Home | 18,073 | 934,555 | ||||||
La-Z-Boy | 29,459 | 843,706 | ||||||
Taylor Morrison Home † | 26,070 | 1,271,434 | ||||||
Toll Brothers | 28,028 | 2,216,174 | ||||||
7,716,930 | ||||||||
Energy — 4.13% | ||||||||
Chesapeake Energy | 34,213 | 2,862,944 | ||||||
Liberty Energy | 255,246 | 3,412,639 | ||||||
Southwestern Energy † | 258,000 | 1,550,580 | ||||||
7,826,163 | ||||||||
Financials — 12.13% | ||||||||
Axis Capital Holdings | 30,178 | 1,624,482 | ||||||
Columbia Banking System | 61,198 | 1,241,095 | ||||||
East West Bancorp | 40,456 | 2,135,672 | ||||||
Essent Group | 38,960 | 1,823,328 | ||||||
Hamilton Lane Class A | 15,906 | 1,272,162 | ||||||
Kemper | 30,460 | 1,470,000 | ||||||
NMI Holdings Class A † | 38,101 | 983,768 | ||||||
Primerica | 17,842 | 3,528,434 | ||||||
Reinsurance Group of America | 14,138 | 1,960,799 | ||||||
SouthState | 19,756 | 1,299,945 | ||||||
Stifel Financial | 32,356 | 1,930,682 | ||||||
Valley National Bancorp | 120,965 | 937,479 | ||||||
Webster Financial | 45,246 | 1,708,036 | ||||||
WSFS Financial | 28,936 | 1,091,466 | ||||||
23,007,348 | ||||||||
Healthcare — 14.44% | ||||||||
Amicus Therapeutics † | 79,514 | 998,696 | ||||||
Azenta † | 17,572 | 820,261 | ||||||
Bio-Techne | 19,080 | 1,557,500 | ||||||
Blueprint Medicines † | 19,043 | 1,203,518 | ||||||
Catalent † | 20,121 | 872,447 | ||||||
Encompass Health | 23,186 | 1,569,924 | ||||||
Exact Sciences † | 15,995 | 1,501,930 | ||||||
Halozyme Therapeutics † | 39,020 | 1,407,451 | ||||||
ICON † | 6,738 | 1,685,848 | ||||||
Insmed † | 42,685 | 900,654 | ||||||
Inspire Medical Systems † | 6,137 | 1,992,316 | ||||||
Intra-Cellular Therapies † | 11,272 | 713,743 | ||||||
Lantheus Holdings † | 10,160 | 852,627 | ||||||
Ligand Pharmaceuticals † | 13,704 | 988,058 | ||||||
Natera † | 26,047 | 1,267,447 | ||||||
Neurocrine Biosciences † | 17,290 | 1,630,447 | ||||||
OmniAb † | 80,945 | 407,153 | ||||||
OmniAb 12.5 =, † | 3,816 | 0 | ||||||
OmniAb 15 =, † | 3,816 | 0 | ||||||
PTC Therapeutics † | 14,026 | 570,437 | ||||||
QuidelOrtho † | 9,851 | 816,254 |
45 |
Schedules of investments
Delaware Ivy VIP Smid Cap Core
Number of shares | Value (US $) | |||||||
Common Stocks (continued) | ||||||||
Healthcare (continued) | ||||||||
Repligen † | 9,326 | $ | 1,319,256 | |||||
Shockwave Medical † | 6,571 | 1,875,429 | ||||||
Supernus Pharmaceuticals † | 32,951 | 990,507 | ||||||
Travere Therapeutics † | 41,257 | 633,708 | ||||||
Ultragenyx Pharmaceutical † | 17,436 | 804,323 | ||||||
27,379,934 | ||||||||
Media — 1.98% | ||||||||
IMAX † | 57,162 | 971,182 | ||||||
Interpublic Group | 48,684 | 1,878,229 | ||||||
Nexstar Media Group | 5,457 | 908,863 | ||||||
3,758,274 | ||||||||
Real Estate Investment Trusts — 6.06% | ||||||||
Brixmor Property Group | 82,481 | 1,814,582 | ||||||
Camden Property Trust | 14,678 | 1,597,994 | ||||||
DiamondRock Hospitality | 73,368 | 587,678 | ||||||
EastGroup Properties | 7,545 | 1,309,812 | ||||||
First Industrial Realty Trust | 36,451 | 1,918,781 | ||||||
Kite Realty Group Trust | 75,857 | 1,694,645 | ||||||
National Storage Affiliates Trust | 24,028 | 836,895 | ||||||
Pebblebrook Hotel Trust | 52,599 | 733,230 | ||||||
Physicians Realty Trust | 70,900 | 991,891 | ||||||
11,485,508 | ||||||||
Technology — 13.62% | ||||||||
Box Class A † | 17,419 | 511,770 | ||||||
DoubleVerify Holdings † | 12,341 | 480,312 | ||||||
Dynatrace † | 24,529 | 1,262,508 | ||||||
ExlService Holdings † | 15,708 | 2,372,850 | ||||||
Guidewire Software † | 14,894 | 1,133,136 | ||||||
MACOM Technology Solutions Holdings † | 19,731 | 1,292,972 | ||||||
MaxLinear † | 32,637 | 1,030,024 | ||||||
Paycom Software | 1,559 | 500,813 | ||||||
Procore Technologies † | 18,753 | 1,220,258 | ||||||
PTC † | 18,074 | 2,571,930 | ||||||
Q2 Holdings † | 24,648 | 761,623 | ||||||
Rapid7 † | 13,637 | 617,483 | ||||||
Regal Rexnord | 8,941 | 1,376,020 | ||||||
Semtech † | 36,923 | 940,060 | ||||||
Silicon Laboratories † | 7,750 | 1,222,485 | ||||||
Smartsheet Class A † | 30,976 | 1,185,142 | ||||||
Sprout Social Class A † | 12,942 | 597,403 | ||||||
SPS Commerce † | 2,565 | 492,634 | ||||||
Tyler Technologies † | 941 | 391,898 | ||||||
Varonis Systems † | 38,702 | 1,031,408 | ||||||
WNS Holdings ADR † | 25,416 | 1,873,667 | ||||||
Workiva † | 8,706 | 885,052 | ||||||
Yelp † | 28,790 | 1,048,244 | ||||||
Ziff Davis † | 14,798 | 1,036,748 | ||||||
25,836,440 | ||||||||
Transportation — 3.52% | ||||||||
Allegiant Travel † | 8,210 | 1,036,759 | ||||||
Kirby † | 24,155 | 1,858,727 | ||||||
Knight-Swift Transportation | ||||||||
Holdings | 34,290 | 1,905,152 | ||||||
Werner Enterprises | 42,255 | 1,866,826 | ||||||
6,667,464 | ||||||||
Utilities — 1.64% | ||||||||
Black Hills | 26,557 | 1,600,325 | ||||||
Spire | 23,682 | 1,502,386 | ||||||
3,102,711 | ||||||||
Total Common Stocks | ||||||||
(cost $189,768,868) | 186,563,219 | |||||||
Short-Term Investments — 1.75% | ||||||||
Money Market Mutual Funds — 1.75% | ||||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 829,039 | 829,039 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99 %) | 829,041 | 829,041 | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 829,041 | 829,041 | ||||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03 %) | 829,041 | 829,041 | ||||||
Total Short-Term Investments | ||||||||
(cost $3,316,162) | 3,316,162 | |||||||
Total Value of Securities—100.14% | ||||||||
(cost $193,085,030) | $ | 189,879,381 |
† | Non-income producing security. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
Summary of abbreviations:
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
46 |
Statements of assets and liabilities | June 30, 2023 (Unaudited) |
Delaware Ivy VIP Asset Strategyf | Delaware Ivy VIP Balanced | Delaware Ivy VIP Energy | Delaware Ivy VIP Growth | |||||||||||||
Assets: | ||||||||||||||||
Investments of unaffiliated issuers, at value* | $ | 544,661,569 | $ | 215,687,703 | $ | 86,732,950 | $ | 751,864,886 | ||||||||
Investments of affiliated issuers, at value** | 433,850 | — | — | — | ||||||||||||
Cash | 358,447 | 47,957 | — | — | ||||||||||||
Cash collateral due from broker on futures contracts | 475,090 | 136,697 | — | — | ||||||||||||
Bullion at value‡ | 27,769,359 | — | — | — | ||||||||||||
Receivable for securities sold | 1,823,516 | 45,001 | 3,446,935 | 3,165,384 | ||||||||||||
Dividend and interest receivable | 1,559,467 | 600,264 | 80,539 | 364,962 | ||||||||||||
Foreign tax reclaims receivable | 310,602 | 14,295 | 24,097 | 16,740 | ||||||||||||
Receivable for portfolio shares sold | 45,053 | 253 | 3,627 | 24,661 | ||||||||||||
Variation margin due from broker on futures contracts | 14,938 | — | — | — | ||||||||||||
Other assets | 1,443 | 681 | 123 | 2,256 | ||||||||||||
Total Assets | 577,453,334 | 216,532,851 | 90,288,271 | 755,438,889 | ||||||||||||
Liabilities: | ||||||||||||||||
Due to custodian | 156 | — | 3,327,927 | — | ||||||||||||
Payable for securities purchased | 1,769,916 | 187,183 | — | 1,191,372 | ||||||||||||
Other accrued expenses | 487,291 | 269,769 | 143,095 | 211,626 | ||||||||||||
Accrued capital gains taxes on appreciated securities | 451,338 | — | — | — | ||||||||||||
Investment management fees payable to affiliates | 218,195 | 99,683 | 64,683 | 424,952 | ||||||||||||
Payable for portfolio shares redeemed | 174,410 | 57,486 | 33,024 | 483,954 | ||||||||||||
Distribution fees payable to affiliates | 116,815 | 43,720 | 18,927 | 151,769 | ||||||||||||
Administration expenses payable to affiliates | 102,025 | 47,756 | 7,023 | 125,887 | ||||||||||||
Variation margin due to broker on future contracts | — | 1,234 | — | — | ||||||||||||
Total Liabilities | 3,320,146 | 706,831 | 3,594,679 | 2,589,560 | ||||||||||||
Total Net Assets | $ | 574,133,188 | $ | 215,826,020 | $ | 86,693,592 | $ | 752,849,329 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in capital | $ | 573,977,631 | $ | 216,647,588 | $ | 98,110,941 | $ | 452,662,725 | ||||||||
Total distributable earnings (loss) | 155,557 | (821,568 | ) | (11,417,349 | ) | 300,186,604 | ||||||||||
Total Net Assets | $ | 574,133,188 | $ | 215,826,020 | $ | 86,693,592 | $ | 752,849,329 |
47 |
Statements of assets and liabilities
Delaware Ivy VIP Asset Strategyf | Delaware Ivy VIP Balanced | Delaware Ivy VIP Energy | Delaware Ivy VIP Growth | |||||||||||||
Net Asset Value | ||||||||||||||||
Class I: | ||||||||||||||||
Net assets | $ | 1,088,987 | $ | — | $ | 484,832 | $ | — | ||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 129,148 | — | 97,916 | — | ||||||||||||
Net asset value per share | $ | 8.43 | $ | — | $ | 4.95 | $ | — | ||||||||
Class II: | ||||||||||||||||
Net assets | $ | 573,044,201 | $ | 215,826,020 | $ | 86,208,760 | $ | 752,849,329 | ||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 68,050,542 | 42,450,545 | 17,380,837 | 82,252,261 | ||||||||||||
Net asset value per share | $ | 8.42 | $ | 5.08 | $ | 4.96 | $ | 9.15 | ||||||||
*Investments of unaffiliated issuers, at cost | $ | 514,886,634 | $ | 211,600,026 | $ | 88,330,649 | $ | 486,820,979 | ||||||||
**Investments of affiliated issuers, at cost | 33,818,360 | — | — | — | ||||||||||||
‡Bullion, at cost | 17,562,017 | — | — | — |
fConsolidated statement of assets and liabilities
See accompanying notes, which are an integral part of the financial statements.
48 |
Delaware Ivy VIP High Income | Delaware Ivy VIP International Core Equity | Delaware Ivy VIP Mid Cap Growth | Delaware Ivy VIP Natural Resources | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value* | $ | 754,135,252 | $ | 534,393,666 | $ | 516,354,478 | $ | 100,191,079 | ||||||||
Cash | 943,189 | 1,523 | — | 46,561 | ||||||||||||
Foreign currencies, at valueΔ | 99,566 | 77,789 | — | — | ||||||||||||
Dividend and interest receivable | 11,792,635 | 526,034 | 173,312 | 52,280 | ||||||||||||
Receivable for securities sold | 2,365,377 | — | 839,614 | — | ||||||||||||
Receivable for portfolio shares sold | 1,012,967 | 2,230 | 204,831 | 55,163 | ||||||||||||
Foreign tax reclaims receivable | 7,602 | 1,521,389 | — | 20,943 | ||||||||||||
Reimbursement from affiliates | — | 20,014 | — | — | ||||||||||||
Other assets | 2,347 | — | 1,185 | 167 | ||||||||||||
Total Assets | 770,358,935 | 536,542,645 | 517,573,420 | 100,366,193 | ||||||||||||
Liabilities: | ||||||||||||||||
Payable for securities purchased | 3,769,786 | — | 1,296,989 | — | ||||||||||||
Investment management fees payable to affiliates | 384,537 | 374,734 | 320,214 | 69,096 | ||||||||||||
Other accrued expenses | 369,182 | 144,308 | 104,281 | 226,744 | ||||||||||||
Payable for portfolio shares redeemed | 342,008 | 186,150 | 183,840 | 19,274 | ||||||||||||
Distribution fees payable to affiliates | 152,855 | 109,484 | 81,005 | 20,322 | ||||||||||||
Administration expenses payable to affiliates | 104,830 | 88,436 | 25,619 | 10,529 | ||||||||||||
Unrealized depreciation on foreign currency exchange contracts | 13,641 | — | — | — | ||||||||||||
Accrued capital gains taxes on appreciated securities | — | 515,359 | — | — | ||||||||||||
Total Liabilities | 5,136,839 | 1,418,471 | 2,011,948 | 345,965 | ||||||||||||
Total Net Assets | $ | 765,222,096 | $ | 535,124,174 | $ | 515,561,472 | $ | 100,020,228 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in capital | $ | 998,754,055 | $ | 515,645,530 | $ | 410,682,476 | $ | 143,913,935 | ||||||||
Total distributable earnings (loss) | (233,531,959 | ) | 19,478,644 | 104,878,996 | (43,893,707 | ) | ||||||||||
Total Net Assets | $ | 765,222,096 | $ | 535,124,174 | $ | 515,561,472 | $ | 100,020,228 |
49 |
Statements of assets and liabilities
Delaware Ivy VIP High Income | Delaware Ivy VIP International Core Equity | Delaware Ivy VIP Mid Cap Growth | Delaware Ivy VIP Natural Resources | |||||||||||||
Net Asset Value | ||||||||||||||||
Class I: | ||||||||||||||||
Net assets | $ | 15,133,386 | $ | — | $ | 103,427,869 | $ | — | ||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 5,464,526 | — | 10,307,984 | — | ||||||||||||
Net asset value per share | $ | 2.77 | $ | — | $ | 10.03 | $ | — | ||||||||
Class II: | ||||||||||||||||
Net assets | $ | 750,088,710 | $ | 535,124,174 | $ | 412,133,603 | $ | 100,020,228 | ||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 271,451,063 | 34,629,199 | 41,756,749 | 21,958,835 | ||||||||||||
Net asset value per share | $ | 2.76 | $ | 15.45 | $ | 9.87 | $ | 4.55 | ||||||||
*Investments, at cost | $ | 848,742,310 | $ | 512,231,681 | $ | 420,329,759 | $ | 107,606,799 | ||||||||
ΔForeign currencies, at cost | 103,024 | 76,942 | — | — |
See accompanying notes, which are an integral part of the financial statements.
50 |
Delaware Ivy VIP Science and Technology | Delaware Ivy VIP Small Cap Growth | Delaware Ivy VIP Smid Cap Core | ||||||||||
Assets: | ||||||||||||
Investments, at value* | $ | 541,783,881 | $ | 216,019,403 | $ | 189,879,381 | ||||||
Dividend and interest receivable | 274,582 | 34,473 | 140,375 | |||||||||
Foreign tax reclaims receivable | 95,030 | — | — | |||||||||
Receivable for portfolio shares sold | 30,736 | 9,189 | 1,131 | |||||||||
Receivable for securities sold | — | 832,259 | — | |||||||||
Other assets | 1,311 | 878 | — | |||||||||
Total Assets | 542,185,540 | 216,896,202 | 190,020,887 | |||||||||
Liabilities: | ||||||||||||
Investment management fees payable to affiliates | 368,012 | 133,988 | 129,562 | |||||||||
Payable for portfolio shares redeemed | 319,956 | 154,027 | 31,760 | |||||||||
Other accrued expenses | 174,642 | 136,656 | 177,757 | |||||||||
Distribution fees payable to affiliates | 107,857 | 38,976 | 38,106 | |||||||||
Administration expenses payable to affiliates | 91,448 | 59,001 | 25,718 | |||||||||
Payable for securities purchased | — | 751,974 | — | |||||||||
Total Liabilities | 1,061,915 | 1,274,622 | 402,903 | |||||||||
Total Net Assets | $ | 541,123,625 | $ | 215,621,580 | $ | 189,617,984 | ||||||
Net Assets Consist of: | ||||||||||||
Paid-in capital | $ | 435,942,610 | $ | 223,889,306 | $ | 193,873,727 | ||||||
Total distributable earnings (loss) | 105,181,015 | (8,267,726 | ) | (4,255,743 | ) | |||||||
Total Net Assets | $ | 541,123,625 | $ | 215,621,580 | $ | 189,617,984 |
51 |
Statements of assets and liabilities
Delaware Ivy VIP Science and Technology | Delaware Ivy VIP Small Cap Growth | Delaware Ivy VIP Smid Cap Core | ||||||||||
Net Asset Value | ||||||||||||
Class I: | ||||||||||||
Net assets | $ | 1,961,049 | $ | 19,983,372 | $ | — | ||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 92,226 | 3,446,745 | — | |||||||||
Net asset value per share | $ | 21.26 | $ | 5.80 | $ | — | ||||||
Class II: | ||||||||||||
Net assets | $ | 539,162,576 | $ | 195,638,208 | $ | 189,617,984 | ||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 25,772,557 | 34,293,423 | 17,655,679 | |||||||||
Net asset value per share | $ | 20.92 | $ | 5.70 | $ | 10.74 | ||||||
*Investments, at cost | $ | 448,196,818 | $ | 213,086,939 | $ | 193,085,030 |
See accompanying notes, which are an integral part of the financial statements.
52 |
Six months ended June 30, 2023 (Unaudited)
Delaware Ivy VIP Asset Strategyf | Delaware Ivy VIP Balanced | Delaware Ivy VIP Energy | Delaware Ivy VIP Growth | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends | $ | 4,262,731 | $ | 1,020,551 | $ | 2,881,404 | $ | 2,621,187 | ||||||||
Interest | 3,601,615 | 1,531,698 | — | — | ||||||||||||
Interest from affiliated fund | 81,229 | — | — | — | ||||||||||||
Securities lending income | 18,571 | 8,046 | 62,800 | 13,583 | ||||||||||||
Foreign tax withheld | (283,309 | ) | (7,565 | ) | (83,564 | ) | (47,325 | ) | ||||||||
7,680,837 | 2,552,730 | 2,860,640 | 2,587,445 | |||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fees | 2,000,563 | 737,077 | 454,243 | 2,388,753 | ||||||||||||
Distribution expenses — Class II | 713,176 | 263,242 | 132,980 | 853,126 | ||||||||||||
Trustees’ fees and expenses | 278,669 | 168,549 | 102,026 | 62,935 | ||||||||||||
Accounting and administration expenses | 85,521 | 45,528 | 25,584 | 99,545 | ||||||||||||
Reports and statements to shareholders servicing expenses | 27,414 | 6,746 | 8,190 | 7,083 | ||||||||||||
Audit and tax fees | 22,091 | 19,861 | 12,992 | 12,992 | ||||||||||||
Custodian fees | 17,816 | 3,113 | 2,199 | 7,412 | ||||||||||||
Legal fees | 2,601 | 411 | 297 | 2,239 | ||||||||||||
Dividend disbursing and transfer agent fees and expenses | 28 | 10 | 4,721 | 27,163 | ||||||||||||
Registration fees | 4 | 4 | 4 | 4 | ||||||||||||
Other | 9,050 | 12,524 | 20,581 | 4,522 | ||||||||||||
3,156,933 | 1,257,065 | 763,817 | 3,465,774 | |||||||||||||
Less expenses waived | (670,632 | ) | (50,174 | ) | — | — | ||||||||||
Less expenses paid indirectly | (1 | ) | (1 | ) | (1 | ) | — | |||||||||
Total operating expenses | 2,486,300 | 1,206,890 | 763,816 | 3,465,774 | ||||||||||||
Net Investment Income (Loss) | 5,194,537 | 1,345,840 | 2,096,824 | (878,329 | ) |
53 |
Statements of operations
Delaware Ivy VIP Asset Strategyf | Delaware Ivy VIP Balanced | Delaware Ivy VIP Energy | Delaware Ivy VIP Growth | |||||||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments1 | $ | (5,155,893 | ) | $ | (2,371,285 | ) | $ | 4,320,188 | $ | 36,267,725 | ||||||
Affiliated investments | 9,220 | — | — | — | ||||||||||||
Foreign currencies | 36,128 | — | 12,796 | (1,436 | ) | |||||||||||
Foreign currency exchange contracts | (144,776 | ) | — | (16,651 | ) | 1,433 | ||||||||||
Futures contracts | 284,612 | 50,113 | — | — | ||||||||||||
Options written | (547 | ) | 21,535 | — | — | |||||||||||
Swap contracts | 44,680 | 15,703 | — | — | ||||||||||||
Net realized gain (loss) | (4,926,576 | ) | (2,283,934 | ) | 4,316,333 | 36,267,722 | ||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments1 | 40,708,512 | 20,012,551 | (9,581,773 | ) | 131,858,500 | |||||||||||
Affiliated investments | (400,067 | ) | — | — | — | |||||||||||
Foreign currencies | (54 | ) | — | (187 | ) | — | ||||||||||
Futures contracts | (488,544 | ) | (183,619 | ) | — | — | ||||||||||
Net change in unrealized appreciation (depreciation) | 39,819,847 | 19,828,932 | (9,581,960 | ) | 131,858,500 | |||||||||||
Net Realized and Unrealized Gain (Loss) | 34,893,271 | 17,544,998 | (5,265,627 | ) | 168,126,222 | |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 40,087,808 | $ | 18,890,838 | $ | (3,168,803 | ) | $ | 167,247,893 |
1 Includes $451,338 increase in capital gains tax accrued for Delaware Ivy VIP Asset Strategy
fConsolidated statement of operations
See accompanying notes, which are an integral part of the financial statements.
54 |
Delaware Ivy VIP High Income | Delaware Ivy VIP International Core Equity | Delaware Ivy VIP Mid Cap Growth | Delaware Ivy VIP Natural Resources | |||||||||||||
Investment Income: | ||||||||||||||||
Interest | $ | 28,489,358 | $ | — | $ | — | $ | — | ||||||||
Dividends | 2,026,314 | 11,888,438 | 1,358,192 | 1,740,794 | ||||||||||||
Securities lending income | 272,362 | 29,206 | 5,335 | 56,214 | ||||||||||||
Foreign tax withheld | — | (1,272,476 | ) | — | (22,967 | ) | ||||||||||
30,788,034 | 10,645,168 | 1,363,527 | 1,774,041 | |||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fees | 2,326,917 | 2,252,925 | 2,037,040 | 447,117 | ||||||||||||
Distribution expenses — Class II | 925,006 | 662,625 | 473,362 | 131,505 | ||||||||||||
Trustees’ fees and expenses | 256,299 | 5,206 | 39,897 | 163,442 | ||||||||||||
Accounting and administration expenses | 100,990 | 77,209 | 77,400 | 26,752 | ||||||||||||
Legal fees | 36,310 | 1,160 | 1,265 | 393 | ||||||||||||
Dividend disbursing and transfer agent fees and expenses | 29,323 | 17,852 | 1 | 4,415 | ||||||||||||
Audit and tax fees | 19,861 | 14,080 | 13,036 | 14,152 | ||||||||||||
Reports and statements to shareholders servicing expenses | 16,659 | 12,449 | 9,410 | 11,495 | ||||||||||||
Custodian fees | 8,777 | 40,425 | 7,379 | 3,734 | ||||||||||||
Investment interest expense | 785 | — | — | — | ||||||||||||
Registration fees | 4 | 4 | 4 | 4 | ||||||||||||
Other | 20,081 | 13,737 | 4,264 | 14,149 | ||||||||||||
3,741,012 | 3,097,672 | 2,663,058 | 817,158 | |||||||||||||
Less expenses waived | — | — | (153,135 | ) | — | |||||||||||
Less expenses paid indirectly | (1) | — | (1 | ) | — | |||||||||||
Total operating expenses | 3,741,011 | 3,097,672 | 2,509,922 | 817,158 | ||||||||||||
Net Investment Income (Loss) | 27,047,023 | 7,547,496 | (1,146,395 | ) | 956,883 | |||||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments1 | (28,975,078 | ) | (1,611,860 | ) | 10,120,363 | 2,579,425 | ||||||||||
Foreign currencies | (380,815 | ) | (244,825 | ) | — | (6,009 | ) | |||||||||
Foreign currency exchange contracts | 118,523 | 121,101 | — | 2,045 | ||||||||||||
Net realized gain (loss) | (29,237,370 | ) | (1,735,584 | ) | 10,120,363 | 2,575,461 | ||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments1 | 38,423,307 | 47,565,422 | 72,540,997 | (5,841,833 | ) | |||||||||||
Foreign currencies | (3,847 | ) | 61,234 | — | 239 | |||||||||||
Foreign currency exchange contracts | (97,821 | ) | 15,806 | — | 137 | |||||||||||
Net change in unrealized appreciation (depreciation) | 38,321,639 | 47,642,462 | 72,540,997 | (5,841,457 | ) | |||||||||||
Net Realized and Unrealized Gain (Loss) | 9,084,269 | 45,906,878 | 82,661,360 | (3,265,996 | ) | |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 36,131,292 | $ | 53,454,374 | $ | 81,514,965 | $ | (2,309,113 | ) |
1 Includes $515,359 increase in capital gains tax accrued for Delaware Ivy VIP International Core Equity.
See accompanying notes, which are an integral part of the financial statements.
55 |
Statements of operations
Delaware Ivy VIP Science and Technology | Delaware Ivy VIP Small Cap Growth | Delaware Ivy VIP Smid Cap Core | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 2,159,599 | $ | 711,961 | $ | 1,431,187 | ||||||
Securities lending income | 20,669 | 11,470 | 2,950 | |||||||||
Foreign tax withheld | (18,478 | ) | — | — | ||||||||
2,161,790 | 723,431 | 1,434,137 | ||||||||||
Expenses: | ||||||||||||
Investment advisory fees | 2,096,520 | 881,240 | 769,065 | |||||||||
Distribution expenses — Class II | 614,618 | 235,402 | 226,196 | |||||||||
Accounting and administration expenses | 76,793 | 50,494 | 36,149 | |||||||||
Trustees’ fees and expenses | 30,203 | 30,402 | 82,091 | |||||||||
Dividend disbursing and transfer agent fees and expenses | 18,841 | 1 | 5,946 | |||||||||
Audit and tax fees | 13,036 | 15,267 | 13,035 | |||||||||
Reports and statements to shareholders servicing expenses | 10,201 | 14,035 | 6,867 | |||||||||
Custodian fees | 8,467 | 4,429 | 7,046 | |||||||||
Legal fees | 3,305 | 1,289 | 492 | |||||||||
Registration fees | 4 | 4 | 4 | |||||||||
Other | 3,619 | 3,138 | 9,893 | |||||||||
2,875,607 | 1,235,701 | 1,156,784 | ||||||||||
Less expenses waived | — | (78,587 | ) | — | ||||||||
Less expenses paid indirectly | (1 | ) | (1) | — | ||||||||
Total operating expenses | 2,875,606 | 1,157,113 | 1,156,784 | |||||||||
Net Investment Income (Loss) | (713,816 | ) | (433,682 | ) | 277,353 | |||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | 12,506,097 | (8,537,356 | ) | (991,959 | ) | |||||||
Foreign currencies | 13,291 | — | — | |||||||||
Foreign currency exchange contracts | (19,311 | ) | — | — | ||||||||
Net realized gain (loss) | 12,500,077 | (8,537,356 | ) | (991,959 | ) | |||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments | 99,649,849 | 32,934,286 | 12,281,113 | |||||||||
Foreign currencies | 703 | — | — | |||||||||
Net change in unrealized appreciation (depreciation) | 99,650,552 | 32,934,286 | 12,281,113 | |||||||||
Net Realized and Unrealized Gain (Loss) | 112,150,629 | 24,396,930 | 11,289,154 | |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 111,436,813 | $ | 23,963,248 | $ | 11,566,507 |
See accompanying notes, which are an integral part of the financial statements.
56 |
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy VIP Asset Strategyf | Delaware Ivy VIP Balanced | |||||||||||||||
Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 5,194,537 | $ | 7,465,803 | $ | 1,345,840 | $ | 1,640,867 | ||||||||
Net realized gain (loss) | (4,926,576 | ) | 25,416,540 | (2,283,934 | ) | (3,626,171 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | 39,819,847 | (140,178,068 | ) | 19,828,932 | (40,891,658 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 40,087,808 | (107,295,725 | ) | 18,890,838 | (42,876,962 | ) | ||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class I | — | (101,290 | ) | — | — | |||||||||||
Class II | — | (57,229,359 | ) | (1,624,720 | ) | (89,099,578 | ) | |||||||||
Return of capital: | ||||||||||||||||
Class I | — | (813 | ) | — | — | |||||||||||
Class II | — | (485,567 | ) | — | — | |||||||||||
— | (57,817,029 | ) | (1,624,720 | ) | (89,099,578 | ) | ||||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class I | 7,666 | 22,114 | — | — | ||||||||||||
Class II | 17,830,733 | 20,319,480 | 3,860,353 | 5,054,309 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class I | — | 102,103 | — | — | ||||||||||||
Class II | — | 57,714,926 | 1,624,720 | 89,099,578 | ||||||||||||
17,838,399 | 78,158,623 | 5,485,073 | 94,153,887 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class I | (3,989 | ) | (7,197 | ) | — | — | ||||||||||
Class II | (50,161,921 | ) | (90,741,710 | ) | (15,552,722 | ) | (24,816,273 | ) | ||||||||
(50,165,910 | ) | (90,748,907 | ) | (15,552,722 | ) | (24,816,273 | ) | |||||||||
Increase (decrease) in net assets derived from capital share transactions | (32,327,511 | ) | (12,590,284 | ) | (10,067,649 | ) | 69,337,614 | |||||||||
Net Increase (Decrease) in Net Assets | 7,760,297 | (177,703,038 | ) | 7,198,469 | (62,638,926 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 566,372,891 | 744,075,929 | 208,627,551 | 271,266,477 | ||||||||||||
End of period | $ | 574,133,188 | $ | 566,372,891 | $ | 215,826,020 | $ | 208,627,551 |
f Consolidated statements of changes in net assets
See accompanying notes, which are an integral part of the financial statements.
57 |
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy VIP Energy | Delaware Ivy VIP Growth | |||||||||||||||
Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 2,096,824 | $ | 3,425,705 | $ | (878,329 | ) | $ | (2,327,225 | ) | ||||||
Net realized gain (loss) | 4,316,333 | 25,644,226 | 36,267,722 | 70,668,541 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (9,581,960 | ) | 10,282,307 | 131,858,500 | (327,274,704 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | (3,168,803 | ) | 39,352,238 | 167,247,893 | (258,933,388 | ) | ||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class I | (2,774 | ) | (14,735 | ) | — | — | ||||||||||
Class II | (253,762 | ) | (3,623,499 | ) | (70,684,077 | ) | (179,987,618 | ) | ||||||||
(256,536 | ) | (3,638,234 | ) | (70,684,077 | ) | (179,987,618 | ) | |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class I | 239,714 | 849,105 | — | — | ||||||||||||
Class II | 20,782,214 | 92,437,878 | 15,276,623 | 47,292,019 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class I | 2,774 | 14,735 | — | — | ||||||||||||
Class II | 253,762 | 3,623,499 | 70,684,077 | 179,987,618 | ||||||||||||
21,278,464 | 96,925,217 | 85,960,700 | 227,279,637 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class I | (188,100 | ) | (681,163 | ) | — | — | ||||||||||
Class II | (55,012,441 | ) | (82,062,558 | ) | (57,886,491 | ) | (182,794,509 | ) | ||||||||
(55,200,541 | ) | (82,743,721 | ) | (57,886,491 | ) | (182,794,509 | ) | |||||||||
Increase (decrease) in net assets derived from capital share transactions | (33,922,077 | ) | 14,181,496 | 28,074,209 | 44,485,128 | |||||||||||
Net Increase (Decrease) in Net Assets | (37,347,416 | ) | 49,895,500 | 124,638,025 | (394,435,878 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 124,041,008 | 74,145,508 | 628,211,304 | 1,022,647,182 | ||||||||||||
End of period | $ | 86,693,592 | $ | 124,041,008 | $ | 752,849,329 | $ | 628,211,304 |
See accompanying notes, which are an integral part of the financial statements.
58 |
Delaware Ivy VIP High Income | Delaware Ivy VIP International Core Equity | |||||||||||||||
Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 27,047,023 | $ | 49,555,102 | $ | 7,547,496 | $ | 9,746,670 | ||||||||
Net realized gain (loss) | (29,237,370 | ) | (35,310,498 | ) | (1,735,584 | ) | (7,806,921 | ) | ||||||||
Net change in unrealized appreciation (depreciation) | 38,321,639 | (114,544,522 | ) | 47,642,462 | (91,183,190 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 36,131,292 | (100,299,918 | ) | 53,454,374 | (89,243,441 | ) | ||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class I | (985,414 | ) | (1,120,406 | ) | — | — | ||||||||||
Class II | (46,917,521 | ) | (51,556,130 | ) | (8,460,348 | ) | (52,574,539 | ) | ||||||||
(47,902,935 | ) | (52,676,536 | ) | (8,460,348 | ) | (52,574,539 | ) | |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class I | 465,922 | 2,138,328 | — | — | ||||||||||||
Class II | 41,421,075 | 72,956,805 | 50,715,152 | 33,398,259 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class I | 985,414 | 1,120,406 | — | — | ||||||||||||
Class II | 46,917,521 | 51,556,130 | 8,460,348 | 52,574,539 | ||||||||||||
89,789,932 | 127,771,669 | 59,175,500 | 85,972,798 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class I | (1,170,713 | ) | (3,926,749 | ) | — | — | ||||||||||
Class II | (63,330,815 | ) | (130,609,304 | ) | (53,065,524 | ) | (80,660,894 | ) | ||||||||
(64,501,528 | ) | (134,536,053 | ) | (53,065,524 | ) | (80,660,894 | ) | |||||||||
Increase (decrease) in net assets derived from capital share transactions | 25,288,404 | (6,764,384 | ) | 6,109,976 | 5,311,904 | |||||||||||
Capital contributions1 | — | — | — | 20,014 | ||||||||||||
Net Increase (Decrease) in Net Assets | 13,516,761 | (159,740,838 | ) | 51,104,002 | (136,486,062 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 751,705,335 | 911,446,173 | 484,020,172 | 620,506,234 | ||||||||||||
End of period | $ | 765,222,096 | $ | 751,705,335 | $ | 535,124,174 | $ | 484,020,172 |
1 See Note 2 in “Notes to financial statements.”
See accompanying notes, which are an integral part of the financial statements.
59 |
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy VIP Mid Cap Growth | Delaware Ivy VIP Natural Resources | |||||||||||||||
Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | (1,146,395 | ) | $ | (2,867,316 | ) | $ | 956,883 | $ | 2,553,023 | ||||||
Net realized gain (loss) | 10,120,363 | 56,217,754 | 2,575,461 | 13,472,153 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 72,540,997 | (270,840,966 | ) | (5,841,457 | ) | 280,188 | ||||||||||
Net increase (decrease) in net assets resulting from operations | 81,514,965 | (217,490,528 | ) | (2,309,113 | ) | 16,305,364 | ||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class I | (11,339,739 | ) | (27,030,938 | ) | — | — | ||||||||||
Class II | (44,907,682 | ) | (83,204,589 | ) | (2,591,067 | ) | (1,937,990 | ) | ||||||||
(56,247,421 | ) | (110,235,527 | ) | (2,591,067 | ) | (1,937,990 | ) | |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class I | 2,508,484 | 16,860,457 | — | — | ||||||||||||
Class II | 22,602,178 | 57,945,087 | 5,812,068 | 46,421,492 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class I | 11,339,739 | 27,030,938 | — | — | ||||||||||||
Class II | 44,907,682 | 83,204,589 | 2,591,067 | 1,937,990 | ||||||||||||
81,358,083 | 185,041,071 | 8,403,135 | 48,359,482 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class I | (22,098,481 | ) | (65,638,075 | ) | — | — | ||||||||||
Class II | (29,159,236 | ) | (62,327,227 | ) | (13,005,014 | ) | (44,058,934 | ) | ||||||||
(51,257,717 | ) | (127,965,302 | ) | (13,005,014 | ) | (44,058,934 | ) | |||||||||
Increase (decrease) in net assets derived from capital share transactions | 30,100,366 | 57,075,769 | (4,601,879 | ) | 4,300,548 | |||||||||||
Net Increase (Decrease) in Net Assets | 55,367,910 | (270,650,286 | ) | (9,502,059 | ) | 18,667,922 | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 460,193,562 | 730,843,848 | 109,522,287 | 90,854,365 | ||||||||||||
End of period | $ | 515,561,472 | $ | 460,193,562 | $ | 100,020,228 | $ | 109,522,287 |
See accompanying notes, which are an integral part of the financial statements.
60 |
Delaware Ivy VIP Science and Technology | Delaware Ivy VIP Small Cap Growth | |||||||||||||||
Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | (713,816 | ) | $ | (2,512,235 | ) | $ | (433,682 | ) | $ | (1,800,335 | ) | ||||
Net realized gain (loss) | 12,500,077 | 24,168,772 | (8,537,356 | ) | 24,627,627 | |||||||||||
Net increase from payment by affiliates | — | — | — | 5,772,824 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 99,650,552 | (243,222,915 | ) | 32,934,286 | (135,463,338 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 111,436,813 | (221,566,378 | ) | 23,963,248 | (106,863,222 | ) | ||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class I | (74,951 | ) | (204,675 | ) | (2,963,429 | ) | (4,768,113 | ) | ||||||||
Class II | (21,917,792 | ) | (66,445,227 | ) | (29,439,429 | ) | (71,059,344 | ) | ||||||||
(21,992,743 | ) | (66,649,902 | ) | (32,402,858 | ) | (75,827,457 | ) | |||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class I | 450,256 | 530,872 | 1,927,227 | 3,175,439 | ||||||||||||
Class II | 19,235,384 | 45,016,503 | 4,149,256 | 17,370,652 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class I | 74,951 | 204,675 | 2,963,429 | 4,768,113 | ||||||||||||
Class II | 21,917,792 | 66,445,227 | 29,439,429 | 71,059,344 | ||||||||||||
41,678,383 | 112,197,277 | 38,479,341 | 96,373,548 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class I | (186,977 | ) | (653,015 | ) | (1,550,605 | ) | (22,970,280 | ) | ||||||||
Class II | (41,703,331 | ) | (80,710,910 | ) | (11,777,815 | ) | (129,582,097 | ) | ||||||||
(41,890,308 | ) | (81,363,925 | ) | (13,328,420 | ) | (152,552,377 | ) | |||||||||
Increase (decrease) in net assets derived from capital share transactions | (211,925 | ) | 30,833,352 | 25,150,921 | (56,178,829 | ) | ||||||||||
Net Increase (Decrease) in Net Assets | 89,232,145 | (257,382,928 | ) | 16,711,311 | (238,869,508 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 451,891,480 | 709,274,408 | 198,910,269 | 437,779,777 | ||||||||||||
End of period | $ | 541,123,625 | $ | 451,891,480 | $ | 215,621,580 | $ | 198,910,269 |
See accompanying notes, which are an integral part of the financial statements.
61 |
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy VIP Smid Cap Core | ||||||||
Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 277,353 | $ | 386,441 | ||||
Net realized gain (loss) | (991,959 | ) | 18,660,935 | |||||
Net change in unrealized appreciation (depreciation) | 12,281,113 | (46,656,011 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 11,566,507 | (27,608,635 | ) | |||||
Dividends and Distributions to Shareholders from: | ||||||||
Distributable earnings: | ||||||||
Class II | (19,291,779 | ) | (34,590,065 | ) | ||||
(19,291,779 | ) | (34,590,065 | ) | |||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Class II | 34,416,088 | 29,148,495 | ||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||
Class II | 19,291,779 | 34,590,065 | ||||||
53,707,867 | 63,738,560 | |||||||
Cost of shares redeemed: | ||||||||
Class II | (14,475,493 | ) | (25,188,039 | ) | ||||
Increase in net assets derived from capital share transactions | 39,232,374 | 38,550,521 | ||||||
Net Increase (Decrease) in Net Assets | 31,507,102 | (23,648,179 | ) | |||||
Net Assets: | ||||||||
Beginning of period | 158,110,882 | 181,759,061 | ||||||
End of period | $ | 189,617,984 | $ | 158,110,882 |
See accompanying notes, which are an integral part of the financial statements.
62 |
Delaware Ivy VIP Asset Strategy Class If
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 7.85 | $ | 10.20 | $ | 10.45 | $ | 9.50 | $ | 8.29 | $ | 9.37 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.08 | 0.12 | 0.08 | 0.17 | 0.20 | 0.18 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.50 | (1.60 | ) | 1.01 | 1.16 | 1.63 | (0.67 | ) | ||||||||||||||||
Total from investment operations | 0.58 | (1.48 | ) | 1.09 | 1.33 | 1.83 | (0.49 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | — | (0.16 | ) | (0.20 | ) | (0.22 | ) | (0.23 | ) | (0.20 | ) | |||||||||||||
Net realized gain | — | (0.70 | ) | (1.14 | ) | (0.16 | ) | (0.39 | ) | (0.39 | ) | |||||||||||||
Return of capital | — | (0.01 | ) | — | — | — | — | |||||||||||||||||
Total dividends and distributions | — | (0.87 | ) | (1.34 | ) | (0.38 | ) | (0.62 | ) | (0.59 | ) | |||||||||||||
Net asset value, end of period | $ | 8.43 | $ | 7.85 | $ | 10.20 | $ | 10.45 | $ | 9.50 | $ | 8.29 | ||||||||||||
Total return3 | 7.35 | %4 | (14.54 | )%4 | 10.72 | %4 | 14.16 | % | 22.08 | %4 | (5.20 | )%4 | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,089 | $ | 1,011 | $ | 1 | 5 | $ | — | 5,6 | $ | 1 | 5 | $ | — | 5,6 | ||||||||
Ratio of expenses to average net assets7 | 0.62 | % | 0.66 | % | 0.65 | % | 0.77 | % | 0.77 | % | 0.78 | % | ||||||||||||
Ratio of expenses to average net assets prior to fees waived7 | 0.86 | % | 0.77 | % | 0.75 | % | 0.77 | % | 0.77 | % | 0.78 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.08 | % | 1.42 | % | 0.76 | % | 1.83 | % | 2.19 | % | 1.91 | % | ||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.84 | % | 1.31 | % | 0.66 | % | 1.83 | % | 2.19 | % | 1.91 | % | ||||||||||||
Portfolio turnover | 38 | % | 102 | % | 56 | % | 44 | % | 46 | % | 58 | % |
f | Consolidated financial highlights. |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Total return during the period reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
5 | Net assets reported in millions. |
6 | Rounds to less than $500 thousands. |
7 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
63 |
Financial highlights
Delaware Ivy VIP Asset Strategy Class IIf
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 7.85 | $ | 10.19 | $ | 10.44 | $ | 9.50 | $ | 8.29 | $ | 9.37 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.07 | 0.10 | 0.07 | 0.15 | 0.18 | 0.16 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.50 | (1.59 | ) | 1.00 | 1.15 | 1.62 | (0.67 | ) | ||||||||||||||||
Total from investment operations | 0.57 | (1.49 | ) | 1.07 | 1.30 | 1.80 | (0.51 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | — | (0.14 | ) | (0.18 | ) | (0.20 | ) | (0.20 | ) | (0.18 | ) | |||||||||||||
Net realized gain | — | (0.70 | ) | (1.14 | ) | (0.16 | ) | (0.39 | ) | (0.39 | ) | |||||||||||||
Return of capital | — | (0.01 | ) | — | — | — | — | |||||||||||||||||
Total dividends and distributions | — | (0.85 | ) | (1.32 | ) | (0.36 | ) | (0.59 | ) | (0.57 | ) | |||||||||||||
Net asset value, end of period | $ | 8.42 | $ | 7.85 | $ | 10.19 | $ | 10.44 | $ | 9.50 | $ | 8.29 | ||||||||||||
Total return3 | 7.23 | %4 | (14.71 | )%4 | 10.44 | %4 | 13.88 | % | 21.78 | % | (5.44 | )% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 573,044 | $ | 565,362 | $ | 743 | 5 | $ | 764 | 5 | $ | 772 | 5 | $ | 753 | 5 | ||||||||
Ratio of expenses to average net assets6 | 0.87 | % | 0.87 | % | 0.90 | % | 1.02 | % | 1.02 | % | 1.03 | % | ||||||||||||
Ratio of expenses to average net assets prior to fees waived6 | 1.11 | % | 1.01 | % | 1.01 | % | 1.02 | % | 1.02 | % | 1.03 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.83 | % | 1.21 | % | 0.64 | % | 1.60 | % | 1.94 | % | 1.65 | % | ||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.59 | % | 1.07 | % | 0.53 | % | 1.60 | % | 1.94 | % | 1.65 | % | ||||||||||||
Portfolio turnover | 38 | % | 102 | % | 56 | % | 44 | % | 46 | % | 58 | % |
f | Consolidated financial highlights. |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
64 |
Delaware Ivy VIP Balanced Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 4.69 | $ | 9.39 | $ | 8.71 | $ | 8.22 | $ | 7.46 | $ | 7.95 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.03 | 0.04 | 0.05 | 0.09 | 0.11 | 0.12 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.40 | (1.55 | ) | 1.29 | 0.94 | 1.44 | (0.36 | ) | ||||||||||||||||
Total from investment operations | 0.43 | (1.51 | ) | 1.34 | 1.03 | 1.55 | (0.24 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.04 | ) | (0.09 | ) | (0.09 | ) | (0.11 | ) | (0.14 | ) | (0.13 | ) | ||||||||||||
Net realized gain | — | (3.10 | ) | (0.57 | ) | (0.43 | ) | (0.65 | ) | (0.12 | ) | |||||||||||||
Total dividends and distributions | (0.04 | ) | (3.19 | ) | (0.66 | ) | (0.54 | ) | (0.79 | ) | (0.25 | ) | ||||||||||||
Net asset value, end of period | $ | 5.08 | $ | 4.69 | $ | 9.39 | $ | 8.71 | $ | 8.22 | $ | 7.46 | ||||||||||||
Total return3 | 9.21 | %4 | (16.11 | )% | 15.97 | % | 14.11 | % | 22.09 | % | (3.24 | )% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 215,826 | $ | 208,628 | $ | 271 | 5 | $ | 344 | 5 | $ | 341 | 5 | $ | 310 | 5 | ||||||||
Ratio of expenses to average net assets6 | 1.15 | % | 1.07 | % | 1.00 | % | 1.02 | % | 1.01 | % | 1.01 | % | ||||||||||||
Ratio of expenses to average net assets prior to fees waived6 | 1.19 | % | 1.07 | % | 1.00 | % | 1.02 | % | 1.01 | % | 1.01 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.28 | % | 0.72 | % | 0.51 | % | 1.13 | % | 1.38 | % | 1.55 | % | ||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.24 | % | 0.72 | % | 0.51 | % | 1.13 | % | 1.38 | % | 1.55 | % | ||||||||||||
Portfolio turnover | 53 | % | 72 | % | 79 | % | 61 | % | 44 | % | 54 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
65 |
Financial highlights
Delaware Ivy VIP Energy Class I
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 5.07 | $ | 3.48 | $ | 2.48 | $ | 4.02 | $ | 3.88 | $ | 5.87 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.10 | 0.15 | 0.04 | 0.04 | 0.03 | — | 3 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.19 | ) | 1.61 | 1.02 | (1.52 | ) | 0.11 | (1.99 | ) | |||||||||||||||
Total from investment operations | (0.09 | ) | 1.76 | 1.06 | (1.48 | ) | 0.14 | (1.99 | ) | |||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.03 | ) | (0.17 | ) | (0.06 | ) | (0.06 | ) | — | — | ||||||||||||||
Total dividends and distributions | (0.03 | ) | (0.17 | ) | (0.06 | ) | (0.06 | ) | — | — | ||||||||||||||
Net asset value, end of period | $ | 4.95 | $ | 5.07 | $ | 3.48 | $ | 2.48 | $ | 4.02 | $ | 3.88 | ||||||||||||
Total return4 | (1.79 | )% | 50.85 | % | 42.33 | % | (36.67 | )%5 | 3.74 | % | (33.96 | )%5 | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 485 | $ | 447 | $ | — | 6,7 | $ | — | 6,7 | $ | — | 6,7 | $ | — | 6,7 | ||||||||
Ratio of expenses to average net assets8 | 1.19 | % | 0.98 | % | 0.97 | % | 1.06 | % | 1.04 | % | 0.94 | % | ||||||||||||
Ratio of expenses to average net assets prior to fees waived8 | 1.19 | % | 0.98 | % | 0.97 | % | 1.12 | % | 1.04 | % | 0.94 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 3.97 | % | 3.04 | % | 1.20 | % | 1.89 | % | 0.64 | % | (0.09 | )% | ||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 3.97 | % | 3.04 | % | 1.20 | % | 1.83 | % | 0.64 | % | (0.09 | )% | ||||||||||||
Portfolio turnover | 23 | % | 85 | % | 119 | % | 54 | % | 21 | % | 37 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
5 | Total return during the period reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
6 | Net assets reported in millions. |
7 | Rounds to less than $500 thousands. |
8 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
66 |
Delaware Ivy VIP Energy Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 5.07 | $ | 3.47 | $ | 2.48 | $ | 4.00 | $ | 3.87 | $ | 5.87 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)2 | 0.10 | 0.14 | 0.04 | 0.04 | 0.02 | (0.02 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.20 | ) | 1.61 | 1.00 | (1.52 | ) | 0.11 | (1.98 | ) | |||||||||||||||
Total from investment operations | (0.10 | ) | 1.75 | 1.04 | (1.48 | ) | 0.13 | (2.00 | ) | |||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.01 | ) | (0.15 | ) | (0.05 | ) | (0.04 | ) | — | — | ||||||||||||||
Total dividends and distributions | (0.01 | ) | (0.15 | ) | (0.05 | ) | (0.04 | ) | — | — | ||||||||||||||
Net asset value, end of period | $ | 4.96 | $ | 5.07 | $ | 3.47 | $ | 2.48 | $ | 4.00 | $ | 3.87 | ||||||||||||
Total return3 | (1.87 | )% | 50.42 | % | 42.00 | % | (36.83 | )%4 | 3.48 | % | (34.14 | )% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 86,209 | $ | 123,594 | $ | 74 | 5 | $ | 44 | 5 | $ | 42 | 5 | $ | 39 | 5 | ||||||||
Ratio of expenses to average net assets6 | 1.44 | % | 1.23 | % | 1.22 | % | 1.31 | % | 1.29 | % | 1.19 | % | ||||||||||||
Ratio of expenses to average net assets prior to fees waived6 | 1.44 | % | 1.23 | % | 1.22 | % | 1.37 | % | 1.29 | % | 1.19 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 3.92 | % | 2.87 | % | 1.41 | % | 1.62 | % | 0.42 | % | (0.41 | )% | ||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 3.92 | % | 2.87 | % | 1.41 | % | 1.56 | % | 0.42 | % | (0.41 | )% | ||||||||||||
Portfolio turnover | 23 | % | 85 | % | 119 | % | 54 | % | 21 | % | 37 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
67 |
Financial highlights
Delaware Ivy VIP Growth Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 7.97 | $ | 14.85 | $ | 12.70 | $ | 11.33 | $ | 11.02 | $ | 12.09 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.01 | ) | (0.03 | ) | (0.06 | ) | (0.02 | ) | (0.01 | ) | — | 3 | ||||||||||||
Net realized and unrealized gain (loss) | 2.12 | (3.97 | ) | 3.57 | 3.03 | 3.58 | 0.36 | |||||||||||||||||
Total from investment operations | 2.11 | (4.00 | ) | 3.51 | 3.01 | 3.57 | 0.36 | |||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | — | — | — | — | 3 | |||||||||||||||||
Net realized gain | (0.93 | ) | (2.88 | ) | (1.36 | ) | (1.64 | ) | (3.26 | ) | (1.43 | ) | ||||||||||||
Total dividends and distributions | (0.93 | ) | (2.88 | ) | (1.36 | ) | (1.64 | ) | (3.26 | ) | (1.43 | ) | ||||||||||||
Net asset value, end of period | $ | 9.15 | $ | 7.97 | $ | 14.85 | $ | 12.70 | $ | 11.33 | $ | 11.02 | ||||||||||||
Total return4 | 27.29 | % | (27.24 | )% | 30.03 | % | 30.55 | % | 36.59 | % | 2.28 | % | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 752,849 | $ | 628,211 | $ | 1,023 | 5 | $ | 896 | 5 | $ | 791 | 5 | $ | 669 | 5 | ||||||||
Ratio of expenses to average net assets6 | 1.02 | % | 1.00 | % | 0.99 | % | 1.01 | % | 1.00 | % | 1.00 | % | ||||||||||||
Ratio of net investment loss to average net assets | (0.26 | )% | (0.32 | )% | (0.42 | )% | (0.20 | )% | (0.05 | )% | (0.02 | )% | ||||||||||||
Portfolio turnover | 7 | % | 12 | % | 22 | % | 29 | % | 30 | % | 37 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
68 |
Delaware Ivy VIP High Income Class I
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 2.82 | $ | 3.40 | $ | 3.41 | $ | 3.48 | $ | 3.35 | $ | 3.65 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.11 | 0.19 | 0.21 | 0.21 | 0.24 | 0.23 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.03 | (0.56 | ) | (0.01 | ) | (0.03 | ) | 0.13 | (0.29 | ) | ||||||||||||||
Total from investment operations | 0.14 | (0.37 | ) | 0.20 | 0.18 | 0.37 | (0.06 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.19 | ) | (0.21 | ) | (0.21 | ) | (0.25 | ) | (0.24 | ) | (0.24 | ) | ||||||||||||
Total dividends and distributions | (0.19 | ) | (0.21 | ) | (0.21 | ) | (0.25 | ) | (0.24 | ) | (0.24 | ) | ||||||||||||
Net asset value, end of period | $ | 2.77 | $ | 2.82 | $ | 3.40 | $ | 3.41 | $ | 3.48 | $ | 3.35 | ||||||||||||
Total return3 | 5.01 | % | (10.91 | )% | 6.33 | % | 6.30 | % | 11.49 | % | (1.86 | )%4 | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 15,133 | $ | 15,093 | $ | 19 | 5 | $ | 20 | 5 | $ | 27 | 5 | $ | 44 | 5 | ||||||||
Ratio of expenses to average net assets6 | 0.75 | % | 0.67 | % | 0.67 | % | 0.69 | % | 0.67 | % | 0.66 | % | ||||||||||||
Ratio of expenses to average net assets prior to fees waived6 | 0.75 | % | 0.67 | % | 0.67 | % | 0.69 | % | 0.67 | % | 0.66 | % | ||||||||||||
Ratio of net investment income to average net assets | 7.41 | % | 6.40 | % | 6.11 | % | 6.54 | % | 6.82 | % | 6.50 | % | ||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 7.41 | % | 6.40 | % | 6.11 | % | 6.54 | % | 6.82 | % | 6.50 | % | ||||||||||||
Portfolio turnover | 19 | % | 61 | % | 54 | % | 52 | % | 35 | % | 42 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Total return during the period reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
69 |
Financial highlights
Delaware Ivy VIP High Income Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 2.81 | $ | 3.39 | $ | 3.40 | $ | 3.47 | $ | 3.34 | $ | 3.64 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.10 | 0.18 | 0.20 | 0.20 | 0.23 | 0.22 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.04 | (0.56 | ) | — | 3 | (0.03 | ) | 0.13 | (0.29 | ) | ||||||||||||||
Total from investment operations | 0.14 | (0.38 | ) | 0.20 | 0.17 | 0.36 | (0.07 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.19 | ) | (0.20 | ) | (0.21 | ) | (0.24 | ) | (0.23 | ) | (0.23 | ) | ||||||||||||
Total dividends and distributions | (0.19 | ) | (0.20 | ) | (0.21 | ) | (0.24 | ) | (0.23 | ) | (0.23 | ) | ||||||||||||
Net asset value, end of period | $ | 2.76 | $ | 2.81 | $ | 3.39 | $ | 3.40 | $ | 3.47 | $ | 3.34 | ||||||||||||
Total return4 | 4.74 | % | (11.28 | )% | 6.06 | % | 6.03 | % | 11.19 | % | (2.11 | )% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 750,089 | $ | 736,612 | $ | 892 | 5 | $ | 859 | 5 | $ | 859 | 5 | $ | 803 | 5 | ||||||||
Ratio of expenses to average net assets6 | 1.00 | % | 0.92 | % | 0.92 | % | 0.94 | % | 0.92 | % | 0.91 | % | ||||||||||||
Ratio of net investment income to average net assets | 7.16 | % | 6.15 | % | 5.85 | % | 6.28 | % | 6.57 | % | 6.27 | % | ||||||||||||
Portfolio turnover | 19 | % | 61 | % | 54 | % | 52 | % | 35 | % | 42 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
70 |
Delaware Ivy VIP International Core Equity Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 14.12 | $ | 18.47 | $ | 16.35 | $ | 15.65 | $ | 14.66 | $ | 18.58 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.21 | 0.28 | 0.27 | 0.16 | 0.29 | 0.30 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.36 | (3.02 | ) | 2.04 | 0.88 | 2.28 | (3.45 | ) | ||||||||||||||||
Total from investment operations | 1.57 | (2.74 | ) | 2.31 | 1.04 | 2.57 | (3.15 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.24 | ) | (0.36 | ) | (0.19 | ) | (0.34 | ) | (0.25 | ) | (0.28 | ) | ||||||||||||
Net realized gain | — | (1.25 | ) | — | 3 | — | 3 | (1.33 | ) | (0.49 | ) | |||||||||||||
Total dividends and distributions | (0.24 | ) | (1.61 | ) | (0.19 | ) | (0.34 | ) | (1.58 | ) | (0.77 | ) | ||||||||||||
Capital contributions | — | — | 3,4 | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 15.45 | $ | 14.12 | $ | 18.47 | $ | 16.35 | $ | 15.65 | $ | 14.66 | ||||||||||||
Total return5 | 10.64 | % | (14.72 | )%6,7 | 14.18 | % | 7.19 | % | 18.69 | % | (17.81 | )% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 535,124 | $ | 484,020 | $ | 621 | 8 | $ | 649 | 8 | $ | 699 | 8 | $ | 676 | 8 | ||||||||
Ratio of expenses to average net assets9 | 1.17 | % | 1.18 | % | 1.16 | % | 1.17 | % | 1.16 | % | 1.16 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.85 | % | 1.91 | % | 1.49 | % | 1.10 | % | 1.93 | % | 1.70 | % | ||||||||||||
Portfolio turnover | 28 | % | 63 | % | 81 | % | 82 | % | 69 | % | 51 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Amount is less than $0.005 per share. |
4 | See Note 2 in “Notes to financial statements.” |
5 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
6 | Total return for the year ended December 31, 2022 includes the impact of the refund of previously paid foreign taxes. Total return would have been lower by 0.38% excluding refund of previously paid foreign taxes. |
7 | Total return for the year ended December 31, 2022 includes the impact of the capital contribution, which was not material to the total return. |
8 | Net assets reported in millions. |
9 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
71 |
Financial highlights
Delaware Ivy VIP Mid Cap Growth Class I
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.60 | $ | 17.99 | $ | 17.60 | $ | 12.77 | $ | 11.10 | $ | 11.63 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.01 | ) | (0.04 | ) | (0.09 | ) | (0.04 | ) | (0.02 | ) | (0.02 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 1.66 | (5.45 | ) | 2.71 | 5.89 | 3.95 | 0.09 | |||||||||||||||||
Total from investment operations | 1.65 | (5.49 | ) | 2.62 | 5.85 | 3.93 | 0.07 | |||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net realized gain | (1.22 | ) | (2.90 | ) | (2.23 | ) | (1.02 | ) | (2.26 | ) | (0.60 | ) | ||||||||||||
Total dividends and distributions | (1.22 | ) | (2.90 | ) | (2.23 | ) | (1.02 | ) | (2.26 | ) | (0.60 | ) | ||||||||||||
Net asset value, end of period | $ | 10.03 | $ | 9.60 | $ | 17.99 | $ | 17.60 | $ | 12.77 | $ | 11.10 | ||||||||||||
Total return3 | 18.13 | % | (30.62 | )% | 16.65 | % | 49.37 | % | 38.28 | % | 0.20 | % | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 103,428 | $ | 105,164 | $ | 212 | 4 | $ | 246 | 4 | $ | 233 | 4 | $ | 184 | 4 | ||||||||
Ratio of expenses to average net assets5 | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||||||
Ratio of expenses to average net assets prior to fees waived5 | 0.91 | % | 0.92 | % | 0.89 | % | 0.90 | % | 0.90 | % | 0.90 | % | ||||||||||||
Ratio of net investment loss to average net assets | (0.28 | )% | (0.38 | )% | (0.51 | )% | (0.27 | )% | (0.20 | )% | (0.14 | )% | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (0.34 | )% | (0.45 | )% | (0.55 | )% | (0.32 | )% | (0.25 | )% | (0.19 | )% | ||||||||||||
Portfolio turnover | 14 | % | 29 | % | 27 | % | 25 | % | 20 | % | 53 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. Total return during the period reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
72 |
Delaware Ivy VIP Mid Cap Growth Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.47 | $ | 17.84 | $ | 17.48 | $ | 12.69 | $ | 11.07 | $ | 11.61 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.03 | ) | (0.07 | ) | (0.13 | ) | (0.07 | ) | (0.06 | ) | (0.05 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 1.65 | (5.40 | ) | 2.68 | 5.85 | 3.94 | 0.09 | |||||||||||||||||
Total from investment operations | 1.62 | (5.47 | ) | 2.55 | 5.78 | 3.88 | 0.04 | |||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net realized gain | (1.22 | ) | (2.90 | ) | (2.19 | ) | (0.99 | ) | (2.26 | ) | (0.58 | ) | ||||||||||||
Total dividends and distributions | (1.22 | ) | (2.90 | ) | (2.19 | ) | (0.99 | ) | (2.26 | ) | (0.58 | ) | ||||||||||||
Net asset value, end of period | $ | 9.87 | $ | 9.47 | $ | 17.84 | $ | 17.48 | $ | 12.69 | $ | 11.07 | ||||||||||||
Total return3 | 18.03 | % | (30.78 | )% | 16.36 | % | 49.00 | % | 37.94 | % | (0.06 | )% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 412,133 | $ | 355,030 | $ | 519 | 4 | $ | 444 | 4 | $ | 315 | 4 | $ | 230 | 4 | ||||||||
Ratio of expenses to average net assets5 | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | ||||||||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.16 | % | 1.17 | % | 1.14 | % | 1.15 | % | 1.15 | % | 1.15 | % | ||||||||||||
Ratio of net investment loss to average net assets | (0.53 | )% | (0.61 | )% | (0.76 | )% | (0.53 | )% | (0.45 | )% | (0.42 | )% | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (0.59 | )% | (0.68 | )% | (0.80 | )% | (0.58 | )% | (0.50 | )% | (0.47 | )% | ||||||||||||
Portfolio turnover | 14 | % | 29 | % | 27 | % | 25 | % | 20 | % | 53 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
73 |
Financial highlights
Delaware Ivy VIP Natural Resources Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 4.77 | $ | 4.12 | $ | 3.30 | $ | 3.84 | $ | 3.55 | $ | 4.63 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.04 | 0.10 | 0.07 | 0.04 | 0.07 | 0.03 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.14 | ) | 0.63 | 0.81 | (0.51 | ) | 0.26 | (1.10 | ) | |||||||||||||||
Total from investment operations | (0.10 | ) | 0.73 | 0.88 | (0.47 | ) | 0.33 | (1.07 | ) | |||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.12 | ) | (0.08 | ) | (0.06 | ) | (0.07 | ) | (0.04 | ) | (0.01 | ) | ||||||||||||
Total dividends and distributions | (0.12 | ) | (0.08 | ) | (0.06 | ) | (0.07 | ) | (0.04 | ) | (0.01 | ) | ||||||||||||
Net asset value, end of period | $ | 4.55 | $ | 4.77 | $ | 4.12 | $ | 3.30 | $ | 3.84 | $ | 3.55 | ||||||||||||
Total return3 | (2.03 | )% | 17.72 | % | 26.68 | % | (11.99 | )% | 9.46 | % | (23.23 | )% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 100,020 | $ | 109,522 | $ | 91 | 4 | $ | 75 | 4 | $ | 88 | 4 | $ | 88 | 4 | ||||||||
Ratio of expenses to average net assets5 | 1.55 | % | 1.25 | % | 1.21 | % | 1.31 | % | 1.24 | % | 1.21 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.82 | % | 2.24 | % | 1.89 | % | 1.40 | % | 1.88 | % | 0.72 | % | ||||||||||||
Portfolio turnover | 17 | % | 65 | % | 121 | % | 71 | % | 36 | % | 33 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
74 |
Delaware Ivy VIP Science and Technology Class I
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 17.71 | $ | 29.81 | $ | 36.13 | $ | 29.94 | $ | 21.91 | $ | 27.04 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | — | 3 | (0.05 | ) | (0.22 | ) | (0.14 | ) | (0.06 | ) | (0.03 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 4.43 | (9.20 | ) | 5.56 | 10.31 | 10.95 | (1.24 | ) | ||||||||||||||||
Total from investment operations | 4.43 | (9.25 | ) | 5.34 | 10.17 | 10.89 | (1.27 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net realized gain | (0.88 | ) | (2.85 | ) | (11.66 | ) | (3.98 | ) | (2.86 | ) | (3.86 | ) | ||||||||||||
Total dividends and distributions | (0.88 | ) | (2.85 | ) | (11.66 | ) | (3.98 | ) | (2.86 | ) | (3.86 | ) | ||||||||||||
Net asset value, end of period | $ | 21.26 | $ | 17.71 | $ | 29.81 | $ | 36.13 | $ | 29.94 | $ | 21.91 | ||||||||||||
Total return4 | 25.41 | % | (31.67 | )% | 15.45 | % | 35.70 | % | 49.86 | % | (5.00 | )%5 | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 1,961 | $ | 1,331 | $ | 2 | 6 | $ | 2 | 6 | $ | 1 | 6 | $ | 1 | 6 | ||||||||
Ratio of expenses to average net assets7 | 0.92 | % | 0.92 | % | 0.89 | % | 0.91 | % | 0.90 | % | 0.91 | % | ||||||||||||
Ratio of expenses to average net assets prior to fees waived7 | 0.92 | % | 0.92 | % | 0.89 | % | 0.91 | % | 0.90 | % | 0.91 | % | ||||||||||||
Ratio of net investment loss to average net assets | (0.04 | )% | (0.23 | )% | (0.57 | )% | (0.44 | )% | (0.23 | )% | (0.11 | )% | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (0.04 | )% | (0.23 | )% | (0.57 | )% | (0.44 | )% | (0.23 | )% | (0.11 | )% | ||||||||||||
Portfolio turnover | 20 | % | 58 | % | 55 | % | 8 | % | 31 | % | 17 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
5 | Total return during the period reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
6 | Net assets reported in millions. |
7 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
75 |
Financial highlights
Delaware Ivy VIP Science and Technology Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 17.45 | $ | 29.51 | $ | 35.87 | $ | 29.82 | $ | 21.84 | $ | 27.04 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.03 | ) | (0.10 | ) | (0.30 | ) | (0.21 | ) | (0.13 | ) | (0.11 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 4.38 | (9.11 | ) | 5.51 | 10.24 | 10.90 | (1.23 | ) | ||||||||||||||||
Total from investment operations | 4.35 | (9.21 | ) | 5.21 | 10.03 | 10.77 | (1.34 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net realized gain | (0.88 | ) | (2.85 | ) | (11.57 | ) | (3.98 | ) | (2.79 | ) | (3.86 | ) | ||||||||||||
Total dividends and distributions | (0.88 | ) | (2.85 | ) | (11.57 | ) | (3.98 | ) | (2.79 | ) | (3.86 | ) | ||||||||||||
Net asset value, end of period | $ | 20.92 | $ | 17.45 | $ | 29.51 | $ | 35.87 | $ | 29.82 | $ | 21.84 | ||||||||||||
Total return3 | 25.28 | % | (31.83 | )% | 15.17 | % | 35.36 | % | 49.48 | % | (5.23 | )% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 539,163 | $ | 450,560 | $ | 707 | 4 | $ | 676 | 4 | $ | 579 | 4 | $ | 429 | 4 | ||||||||
Ratio of expenses to average net assets5 | 1.17 | % | 1.17 | % | 1.14 | % | 1.16 | % | 1.15 | % | 1.16 | % | ||||||||||||
Ratio of net investment loss to average net assets | (0.29 | )% | (0.48 | )% | (0.79 | )% | (0.67 | )% | (0.48 | )% | (0.38 | )% | ||||||||||||
Portfolio turnover | 20 | % | 58 | % | 55 | % | 8 | % | 31 | % | 17 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
76 |
Delaware Ivy VIP Small Cap Growth Class I
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | 11/2/18 to | ||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/182 | |||||||||||||||||||
Net asset value, beginning of period | $ | 6.11 | $ | 11.01 | $ | 12.15 | $ | 8.80 | $ | 7.69 | $ | 8.76 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss3 | (0.01 | ) | (0.03 | ) | (0.07 | ) | (0.04 | ) | (0.05 | ) | — | 4 | ||||||||||||
Net realized and unrealized gain (loss) | 0.71 | (2.97 | ) | 0.55 | 3.39 | 1.85 | (1.07 | ) | ||||||||||||||||
Total from investment operations | 0.70 | (3.00 | ) | 0.48 | 3.35 | 1.80 | (1.07 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (0.14 | ) | — | — | — | |||||||||||||||||
Net realized gain | (1.01 | ) | (2.02 | ) | (1.48 | ) | — | (0.69 | ) | — | ||||||||||||||
Total dividends and distributions | (1.01 | ) | (2.02 | ) | (1.62 | ) | — | (0.69 | ) | — | ||||||||||||||
Payment from affiliates | — | 0.12 | 5 | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 5.80 | $ | 6.11 | $ | 11.01 | $ | 12.15 | $ | 8.80 | $ | 7.69 | ||||||||||||
Total return6 | 12.39 | % | (26.61 | )%7 | 4.25 | % | 38.01 | % | 23.68 | % | (12.24 | )% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 19,984 | $ | 17,454 | $ | 47 | 8 | $ | 59 | 8 | $ | 58 | 8 | $ | 52 | 8 | ||||||||
Ratio of expenses to average net assets9 | 0.89 | % | 0.89 | % | 0.89 | % | 0.89 | % | 0.89 | % | 1.05 | %10 | ||||||||||||
Ratio of expenses to average net assets prior to fees waived9 | 0.97 | % | 0.93 | % | 0.90 | % | 0.92 | % | 0.91 | % | 1.07 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.18 | )% | (0.34 | )% | (0.56 | )% | (0.46 | )% | (0.60 | )% | 0.15 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | (0.26 | )% | (0.38 | )% | (0.57 | )% | (0.49 | )% | (0.62 | )% | 0.13 | % | ||||||||||||
Portfolio turnover | 33 | % | 100 | % | 48 | % | 50 | % | 41 | % | 52 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Date of commencement of operations; ratios have been annualized and total return and portfolio turnover have not been annualized. |
3 | Calculated using average shares outstanding. |
4 | Amount is less than $0.005 per share. |
5 | See Note 2 in “Notes to financial statements.” |
6 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. Total return during the period reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
7 | Total return for the year ended December 31, 2022 includes the impact of the payment from affiliates. Total return would have been lower by 1.09% excluding payment from affiliates. |
8 | Net assets reported in millions. |
9 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
10 | Expense ratio based on the period excluding reorganization expenses was 0.89%. |
See accompanying notes, which are an integral part of the financial statements.
77 |
Financial highlights
Delaware Ivy VIP Small Cap Growth Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 6.04 | $ | 10.94 | $ | 12.08 | $ | 8.77 | $ | 7.68 | $ | 11.63 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment loss2 | (0.01 | ) | (0.04 | ) | (0.10 | ) | (0.06 | ) | (0.07 | ) | (0.06 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.68 | (2.98 | ) | 0.56 | 3.37 | 1.85 | 0.03 | |||||||||||||||||
Total from investment operations | 0.67 | (3.02 | ) | 0.46 | 3.31 | 1.78 | (0.03 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | — | — | (0.12 | ) | — | — | (0.05 | ) | ||||||||||||||||
Net realized gain | (1.01 | ) | (2.02 | ) | (1.48 | ) | — | (0.69 | ) | (3.87 | ) | |||||||||||||
Total dividends and distributions | (1.01 | ) | (2.02 | ) | (1.60 | ) | — | (0.69 | ) | (3.92 | ) | |||||||||||||
Payment from affiliates | — | 0.14 | 3 | — | — | — | — | |||||||||||||||||
Net asset value, end of period | $ | 5.70 | $ | 6.04 | $ | 10.94 | $ | 12.08 | $ | 8.77 | $ | 7.68 | ||||||||||||
Total return4 | 12.13 | % | (26.83 | )%5 | 3.99 | % | 37.66 | % | 23.37 | % | (4.11 | )% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 195,638 | $ | 181,456 | $ | 391 | 6 | $ | 406 | 6 | $ | 331 | 6 | $ | 300 | 6 | ||||||||
Ratio of expenses to average net assets7 | 1.14 | % | 1.14 | % | 1.14 | % | 1.14 | % | 1.14 | % | 1.16 | %8 | ||||||||||||
Ratio of expenses to average net assets prior to fees waived7 | 1.22 | % | 1.18 | % | 1.15 | % | 1.17 | % | 1.17 | % | 1.18 | % | ||||||||||||
Ratio of net investment loss to average net assets | (0.43 | )% | (0.58 | )% | (0.80 | )% | (0.71 | )% | (0.84 | )% | (0.52 | )% | ||||||||||||
Ratio of net investment loss to average net assets prior to fees waived | (0.51 | )% | (0.62 | )% | (0.81 | )% | (0.74 | )% | (0.87 | )% | (0.54 | )% | ||||||||||||
Portfolio turnover | 33 | % | 100 | % | 48 | % | 50 | % | 41 | % | 52 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | See Note 2 in “Notes to financial statements.” |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Total return for the year ended December 31, 2022 includes the impact of the payment from affiliates. Total return would have been lower by 1.28% excluding payment from affiliates. |
6 | Net assets reported in millions. |
7 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
8 | Expense ratio based on the period excluding reorganization expenses was 1.14%. |
See accompanying notes, which are an integral part of the financial statements.
78 |
Delaware Ivy VIP Smid Cap Core Class II
Selected data for each share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 11.14 | $ | 16.73 | $ | 13.85 | $ | 13.71 | $ | 13.51 | $ | 18.32 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss)2 | 0.02 | 0.03 | (0.02 | ) | (0.02 | ) | — | 3 | (0.06 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.78 | (2.57 | ) | 2.90 | 0.80 | 3.12 | (1.37 | ) | ||||||||||||||||
Total from investment operations | 0.80 | (2.54 | ) | 2.88 | 0.78 | 3.12 | (1.43 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.02 | ) | — | — | — | — | (0.02 | ) | ||||||||||||||||
Net realized gain | (1.18 | ) | (3.05 | ) | — | (0.64 | ) | (2.92 | ) | (3.36 | ) | |||||||||||||
Total dividends and distributions | (1.20 | ) | (3.05 | ) | — | (0.64 | ) | (2.92 | ) | (3.38 | ) | |||||||||||||
Net asset value, end of period | $ | 10.74 | $ | 11.14 | $ | 16.73 | $ | 13.85 | $ | 13.71 | $ | 13.51 | ||||||||||||
Total return4 | 7.87 | % | (14.84 | )% | 20.78 | % | 7.03 | % | 24.33 | % | (10.49 | )% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 189,618 | $ | 158,111 | $ | 182 | 5 | $ | 183 | 5 | $ | 188 | 5 | $ | 175 | 5 | ||||||||
Ratio of expenses to average net assets6 | 1.28 | % | 1.22 | % | 1.17 | % | 1.20 | % | 1.18 | % | 1.17 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 0.31 | % | 0.24 | % | (0.10 | )% | (0.14 | )% | (0.05 | )% | (0.34 | )% | ||||||||||||
Portfolio turnover | 15 | % | 113 | % | 79 | % | 145 | % | 126 | % | 112 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Amount is less than $0.005 per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
79 |
Ivy Variable Insurance Portfolios | June 30, 2023 (Unaudited) |
Ivy Variable Insurance Portfolios (Trust) is organized as a Delaware statutory trust and offers 26 portfolios. These financial statements and the related notes pertain to 11 portfolios: Delaware Ivy VIP Asset Strategy, Delaware Ivy VIP Balanced, Delaware Ivy VIP Energy, Delaware Ivy VIP Growth, Delaware Ivy VIP High Income, Delaware Ivy VIP International Core Equity, Delaware Ivy VIP Mid Cap Growth, Delaware Ivy VIP Natural Resources, Delaware Ivy VIP Science and Technology, Delaware Ivy VIP Small Cap Growth, and Delaware Ivy VIP Smid Cap Core, (each, a Portfolio and collectively, the Portfolios). The Trust is an open-end investment company. Each of the Portfolios (other than Delaware Ivy VIP Energy, Delaware Ivy VIP Growth, and Delaware Ivy VIP Science and Technology) are diversified as defined in the Investment Company Act of 1940, as amended (1940 Act). Delaware Ivy VIP Energy, Delaware Ivy VIP Growth, and Delaware Ivy VIP Science and Technology are non-diversified as defined in the 1940 Act.
Each Portfolio offers Class II shares. Delaware Ivy VIP Asset Strategy, Delaware Ivy VIP Energy, Delaware Ivy VIP High Income, Delaware Ivy VIP Mid Cap Growth, Delaware Ivy VIP Science and Technology, and Delaware Ivy VIP Small Cap Growth also offer Class I shares. The Class I shares do not carry a distribution and service (12b-1) fee and the Class II shares carry a 12b-1 fee. The shares of the Portfolios are sold only to variable life insurance separate accounts and variable annuity separate accounts.
1. Significant Accounting Policies
Each Portfolio follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Portfolios.
Security Valuation — Equity securities and exchange-traded funds (ETFs), except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities and ETFs traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security or ETF does not trade, the mean between the bid and the ask prices will be used, which approximates fair value. Equity securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. 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. US government and agency securities are valued at the mean between the bid and the ask prices, which approximates fair value. Debt securities are valued based upon valuations provided by an independent pricing service or broker and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. For asset-backed securities, collateralized mortgage obligations (CMOs), commercial mortgage securities, and US government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity, and type as well as broker/dealer-supplied prices. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and the ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Futures contracts and options on futures contracts are valued at the daily quoted settlement prices. Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and the ask prices, which approximates fair value. Open-end investment companies, other than ETFs, are valued at their published net asset value (NAV). Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by each Portfolio’s valuation designee, Delaware Management Company (DMC). Subject to the oversight of each Trust’s Board of Trustees (Board), DMC, as valuation designee, has adopted policies and procedures to fair value securities for which market quotations are not readily available consistent with the requirements of Rule 2a-5 under the 1940 Act. In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Restricted securities and private placements are valued at fair value.
Federal and Foreign Income Taxes — No provision for federal income taxes has been made as each Portfolio intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. Each Portfolio evaluates tax positions taken or expected to be taken in the course of preparing each Portfolio’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed each Portfolio’s tax positions taken or expected to be taken on each Portfolio’s federal income tax returns through the six months ended June 30, 2023, and for all open tax years (years ended December 31, 2019-December 31, 2022), and has concluded that
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no provision for federal income tax is required in each Portfolio’s financial statements. In regard to foreign taxes only, each Portfolio has open tax years in certain foreign countries in which it invests in that may date back to the inception of each Portfolio. If applicable, each Portfolio recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statements of operations.” During the six months ended June 30, 2023, the Portfolios did not incur any interest or tax penalties.
Class Accounting — Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the classes of each Portfolio on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Foreign Currency Transactions — Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date. The value of all assets and liabilities denominated in foreign currencies is translated daily into US dollars at the exchange rate of such currencies against the US dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Portfolios generally bifurcate that portion of realized gains and losses on investments in debt securities which is due to changes in foreign exchange rates from that which is due to changes in market prices of debt securities. That portion of gains (losses), which is due to changes in foreign exchange rates, is included on the “Statements of operations” under “Net realized gain (loss) on foreign currencies.” For foreign equity securities, the realized gains and losses are included on the “Statements of operations” under “Net realized gain (loss) on investments.” The Portfolios report certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Derivative Financial Instruments — The Portfolios may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Portfolios must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Portfolios’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Portfolios can realize on an investment and/or may result in lower distributions paid to shareholders. The Portfolios’ investments in these instruments, if any, are discussed in detail in the Notes to financial statements.
Segregation and Collateralizations — In certain cases, based on requirements and agreements with certain exchanges and third-party broker-dealers, the Portfolios may deliver or receive collateral in connection with certain investments (e.g., futures contracts, foreign currency exchange contracts, options written, securities with extended settlement periods, and swaps). 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/received to cover obligations of the Portfolios under derivative contracts, if any, will be reported separately on the “Statements of assets and liabilities” as cash collateral due to/from broker. Securities collateral pledged for the same purpose, if any, is noted on the “Schedules of investments.”
Use of Estimates — The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to a Portfolio are charged directly to that Portfolio. Other expenses common to various funds within the Delaware Funds by Macquarie® (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Income and capital gain distributions from any investment companies (Underlying Funds) in which each Portfolio invests are recorded on the ex-dividend date. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively, over the lives of the respective securities using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date
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Notes to financial statements
Ivy Variable Insurance Portfolios
1. Significant Accounting Policies (continued)
using the effective interest method. Realized gains (losses) on paydowns of asset- and mortgage-backed securities are classified as interest income. Distributions received from investments in real estate investment trusts (REITs) are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distributions by the issuer, which are estimated. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Portfolios are aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends and interest have been recorded in accordance with the Portfolios’ understanding of the applicable country’s tax rules and rates. Each Portfolio may pay foreign capital gains taxes on certain foreign securities held, which are reported as components of realized losses for financial reporting purposes, whereas such components are treated as ordinary loss for federal income tax purposes. The Portfolios declare and pay dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Portfolios may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
Each Portfolio receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than $1, the expenses paid under this arrangement are included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expenses offset included under “Less expenses paid indirectly.”
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its respective investment management agreement, each Portfolio pays DMC, a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly, based on each Portfolio’s average daily net assets as follows:
Portfolio | Management Fee (annual rate as a percentage of average daily net assets) | |
Delaware Ivy VIP Asset Strategy | 0.70% of net assets up to $1 billion; 0.65% of net assets over $1 billion and up to $2 billion; 0.60% of net assets over $2 billion and up to $3 billion; 0.55% of net assets over $3 billion. | |
Delaware Ivy VIP Balanced | 0.70% of net assets up to $1 billion; 0.65% of net assets over $1 billion and up to $2 billion; 0.60% of net assets over $2 billion and up to $3 billion; 0.55% of net assets over $3 billion. | |
Delaware Ivy VIP Energy | 0.85% of net assets up to $1 billion; 0.83% of net assets over $1 billion and up to $2 billion; 0.80% of net assets over $2 billion and up to $3 billion; 0.76% of net assets over $3 billion. | |
Delaware Ivy VIP Growth | 0.70% of net assets up to $1 billion; 0.65% of net assets over $1 billion and up to $2 billion; 0.60% of net assets over $2 billion and up to $3 billion; 0.55% of net assets over $3 billion. | |
Delaware Ivy VIP High Income | 0.625% of net assets up to $500 million; 0.60% of net assets over $500 million and up to $1 billion; 0.55% of net assets over $1 billion and up to $1.5 billion; 0.50% of net assets over $1.5 billion. | |
Delaware Ivy VIP International Core Equity | 0.85% of net assets up to $1 billion; 0.83% of net assets over $1 billion and up to $2 billion; 0.80% of net assets over $2 billion and up to $3 billion; 0.76% of net assets over $3 billion. |
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Portfolio | Management Fee (annual rate as a percentage of average daily net assets) | |
Delaware Ivy VIP Mid Cap Growth | 0.85% of net assets up to $1 billion; 0.83% of net assets over $1 billion and up to $2 billion; 0.80% of net assets over $2 billion and up to $3 billion; 0.76% of net assets over $3 billion. | |
Delaware Ivy VIP Natural Resources | 0.85% of net assets up to $1 billion; 0.83% of net assets over $1 billion and up to $2 billion; 0.80% of net assets over $2 billion and up to $3 billion; 0.76% of net assets over $3 billion and up to $5 billion; 0.73% of net assets over $5 billion and up to $10 billion; 0.70% of net assets over $10 billion. | |
Delaware Ivy VIP Science and Technology | 0.85% of net assets up to $1 billion; 0.83% of net assets over $1 billion and up to $2 billion; 0.80% of net assets over $2 billion and up to $3 billion; 0.76% of net assets over $3 billion. | |
Delaware Ivy VIP Small Cap Growth | 0.85% of net assets up to $1 billion; 0.83% of net assets over $1 billion and up to $2 billion; 0.80% of net assets over $2 billion and up to $3 billion; 0.76% of net assets over $3 billion. | |
Delaware Ivy VIP Smid Cap Core | 0.85% of net assets up to $1 billion; 0.83% of net assets over $1 billion and up to $2 billion; 0.80% of net assets over $2 billion and up to $3 billion; 0.76% of net assets over $3 billion. |
DMC has entered into sub-advisory agreements with the following entities on behalf of the Portfolios:
Each of Macquarie Investment Management Austria Kapitalanlage AG (MIMAK), Macquarie Investment Management Europe Limited (MIMEL) and Macquarie Investment Management Global Limited (MIMGL) are a part of Macquarie Asset Management (MAM) and an affiliate of DMC (the Affiliated Sub-Advisors). MAM is the marketing name for certain companies comprising the asset management division of Macquarie Group Limited. DMC and MIMAK are primarily responsible for the day-to-day management of the Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP Balanced portfolios. In addition, the Manager may also seek fixed income investment advice and recommendations from MIMAK and DMC may also permit MIMAK to execute Portfolio security trades on behalf of DMC and exercise investment discretion for securities in certain markets where DMC believes it will be beneficial to utilize MIMAK’s specialized market knowledge.
With respect to Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP Balanced, the Manager may seek investment advice and recommendations from MIMEL and may permit MIMEL to execute Portfolio security trades on behalf of the Manager and exercise investment discretion for securities in certain markets where the Manager believes it will be beneficial to utilize MIMEL’s specialized market knowledge.
With respect to Delaware Ivy VIP Energy, Delaware Ivy VIP Growth, Delaware Ivy VIP International Core Equity, Delaware Ivy VIP Mid Cap Growth, Delaware Ivy VIP Natural Resources, Delaware Ivy VIP Science and Technology, Delaware Ivy VIP Small Cap Growth and Delaware Ivy VIP Smid Cap Core, DMC has principal responsibility for the portfolio and may seek quantitative support from MIMGL and may utilize MIMGL to execute Portfolio security trades on behalf of DMC.
With respect to Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP Balanced, the Manager may seek investment advice and recommendations from MIMGL and may permit MIMGL to execute Portfolio security trades on behalf of the Manager and exercise investment discretion for securities in certain markets where the Manager believes it will be beneficial to utilize MIMGL’s specialized market knowledge. In addition, with respect to Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP Balanced, MIMGL is responsible for managing real estate investment trust securities and other equity asset classes to which the portfolio managers may allocate assets from time to time.
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Notes to financial statements
Ivy Variable Insurance Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
With respect to Delaware Ivy VIP High Income, DMC may seek investment advice and recommendations from MIMAK, MIMEL and MIMGL and may permit each to execute Portfolio security trades on behalf of the Manager and exercise investment discretion in certain markets where DMC believes it will be beneficial to utilize the specialized market knowledge of each of MIMAK, MIMEL and/or MIMGL.
Pursuant to the terms of the relevant sub-advisory agreement, an investment sub-advisory fee is paid by DMC to each Affiliated Sub-Advisor.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to each Portfolio. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; 0.0025% of the next $45 billion; and 0.0015% of aggregate average daily net assets in excess of $90 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative NAV basis. These amounts are included on the “Statements of operations” under “Accounting and administration expenses.” For the six months ended June 30, 2023, each Portfolio paid for these services as follows:
Portfolio | Fees | |||
Delaware Ivy VIP Asset Strategy | $ | 10,494 | ||
Delaware Ivy VIP Balanced | 5,123 | |||
Delaware Ivy VIP Energy | 3,655 | |||
Delaware Ivy VIP Growth | 11,921 | |||
Delaware Ivy VIP High Income | 13,190 | |||
Delaware Ivy VIP International Core Equity | 9,759 | |||
Delaware Ivy VIP Mid Cap Growth | 9,055 | |||
Delaware Ivy VIP Natural Resources | 3,586 | |||
Delaware Ivy VIP Science and Technology | 9,179 | |||
Delaware Ivy VIP Small Cap Growth | 5,063 | |||
Delaware Ivy VIP Smid Cap Core | 4,624 |
DIFSC is also the transfer agent and dividend disbursing agent of the Portfolios. For these services, DIFSC’s fees are calculated daily and paid monthly, at the annual rate of 0.0075% of the Portfolios’ average daily net assets. These amounts are included on the “Statements of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended June 30, 2023, each Portfolio paid for these services as follows:
Portfolio | Fees | |||
Delaware Ivy VIP Asset Strategy | $ | 21,830 | ||
Delaware Ivy VIP Balanced | 8,041 | |||
Delaware Ivy VIP Energy | 4,287 | |||
Delaware Ivy VIP Growth | 25,453 | |||
Delaware Ivy VIP High Income | 28,742 | |||
Delaware Ivy VIP International Core Equity | 19,907 | |||
Delaware Ivy VIP Mid Cap Growth | 18,126 | |||
Delaware Ivy VIP Natural Resources | 4,101 | |||
Delaware Ivy VIP Science and Technology | 18,437 | |||
Delaware Ivy VIP Small Cap Growth | 7,939 | |||
Delaware Ivy VIP Smid Cap Core | 6,754 |
Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to each Portfolio. Sub-transfer agency fees are paid by each Portfolio and are also included on the “Statements of operations” under “Dividend disbursing and transfer agent fees and expenses.” These fees are calculated daily and paid as invoices are received on a monthly or quarterly basis.
Pursuant to a distribution agreement and distribution plan, each Portfolio pays DDLP, the distributor and an affiliate of DMC, an annual 12b-1 fee of 0.25% of the average daily net assets of the Class II shares. The fees are calculated daily and paid monthly. Class I shares do not pay a 12b-1 fee.
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Through April 30, 2024, DMC has contractually agreed to waive all or a portion of its investment advisory fees and/or pay/reimburse expenses (excluding acquired fund fees and expenses, taxes, interest, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations) in order to prevent total annual portfolio operating expenses from exceeding the following percentages of certain Portfolio’s average daily net assets. These waivers and reimbursements may only be terminated by agreement of DMC and/or each Portfolio. The waivers and reimbursements are accrued daily and received monthly.
Portfolio | Operating expense limitation as a percentage of average daily net assets Class I Shares | Operating expense limitation as a percentage of average daily net assets Class II Shares | ||
Delaware Ivy VIP Asset Strategy | 0.62% | 0.87% | ||
Delaware Ivy VIP Balanced | n/a | 1.06%1 | ||
Delaware Ivy VIP International Core Equity | n/a | 1.17%1 | ||
Delaware Ivy VIP Mid Cap Growth | 0.85% | 1.10% | ||
Delaware Ivy VIP Small Cap Growth | 0.89% | 1.14% |
1 Effective May 1, 2023.
As provided in the investment management agreement, each Portfolio bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal and regulatory reporting services to each Portfolio. These amounts are included on the “Statements of operations” under “Legal fees.” For the six months ended June 30, 2023, each Portfolio paid for internal legal and regulatory reporting services provided by DMC and/or its affiliates’ employees as follows:
Portfolio | Fees | |||
Delaware Ivy VIP Asset Strategy | $ | 6,009 | ||
Delaware Ivy VIP Balanced | 1,734 | |||
Delaware Ivy VIP Energy | 1,176 | |||
Delaware Ivy VIP Growth | 5,478 | |||
Delaware Ivy VIP High Income | 9,291 | |||
Delaware Ivy VIP International Core Equity | 4,346 | |||
Delaware Ivy VIP Mid Cap Growth | 5,027 | |||
Delaware Ivy VIP Natural Resources | 2,494 | |||
Delaware Ivy VIP Science and Technology | 5,105 | |||
Delaware Ivy VIP Small Cap Growth | 2,197 | |||
Delaware Ivy VIP Smid Cap Core | 1,481 |
Trustees’ fees include expenses accrued by each Portfolio for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Portfolios.
In addition to the management fees and other expenses of a Portfolio, a Portfolio indirectly bears the investment management fees and other expenses of any Underlying Funds, including ETFs in which it invests. The amount of these fees and expenses incurred indirectly by a Portfolio will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of any Underlying Funds at different times.
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Notes to financial statements
Ivy Variable Insurance Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
Cross trades for the six months ended June 30, 2023, were executed by the Portfolios pursuant to procedures adopted by the Board designed to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds of investment companies, or between a fund of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment advisor (or affiliated investment advisors), common directors/trustees and/or common officers. At its regularly scheduled meetings, the Board reviews a report related to the Portfolios’ compliance with the procedures adopted by the Board. Pursuant to these procedures, for the six months ended June 30, 2023, the following Portfolios engaged in Rule 17a-7 securities purchases and securities sales, which resulted in net gains or losses as follows:
Purchases | Sales | Net realized gain (loss) | ||||||||||
Delaware Ivy VIP Smid Cap Core | $ | 3,767,249 | $ | 852,863 | $ | (184,357 | ) |
A summary of the transactions in affiliated companies during the six months ended June 30, 2023 was as follows:
Value, beginning of period | Gross additions | Gross reductions | Net realized gain (loss) on affiliated securities | Net change in unrealized appreciation (depreciation) on affiliated securities | Value, end of period | Shares | Income distributions | Capital gain distributions | ||||||||||||||||||||||||||||
Delaware Ivy VIP Asset Strategy | ||||||||||||||||||||||||||||||||||||
Corporate Bond—0.08% | ||||||||||||||||||||||||||||||||||||
COTA Series D #,= | $ | 637,419 | $ | — | $ | (323,482 | ) | $ | 9,220 | $ | 110,693 | $ | 433,850 | 3,237,686 | $ | 81,229 | $ | — | ||||||||||||||||||
Common Stocks—0.00% | ||||||||||||||||||||||||||||||||||||
COTA Series B=,† | — | — | — | — | — | — | 26 | — | — | |||||||||||||||||||||||||||
Media Group Holdings Series H=,† | — | 510,760 | — | — | (510,760 | ) | — | 31,963 | — | — | ||||||||||||||||||||||||||
Media Group Holdings Series T=,† | — | — | — | — | — | — | 4,006 | — | — | |||||||||||||||||||||||||||
— | 510,760 | — | — | (510,760 | ) | — | — | — | ||||||||||||||||||||||||||||
Total | $ | 637,419 | $ | 510,760 | $ | (323,482 | ) | $ | 9,220 | $ | (400,067 | ) | $ | 433,850 | $ | 81,229 | $ | — |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. |
= | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
† | Non-income producing security. |
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3. Investments
For the six months ended June 30, 2023, each Portfolio made purchases and sales of investment securities other than short-term investments as follows:
Portfolio | Purchases other than US government securities | Purchases of US government securities | Sales other than US government securities | Sales of US government securities | ||||||||||||
Delaware Ivy VIP Asset Strategy | $ | 105,521,106 | $ | 97,452,231 | $ | 110,346,349 | $ | 112,506,036 | ||||||||
Delaware Ivy VIP Balanced | 56,519,011 | 51,016,278 | 53,475,666 | 54,773,150 | ||||||||||||
Delaware Ivy VIP Energy | 24,424,367 | — | 52,689,178 | — | ||||||||||||
Delaware Ivy VIP Growth | 46,608,288 | — | 90,278,032 | — | ||||||||||||
Delaware Ivy VIP High Income | 177,161,858 | — | 135,104,059 | — | ||||||||||||
Delaware Ivy VIP International Core Equity | 156,508,666 | — | 145,422,759 | — | ||||||||||||
Delaware Ivy VIP Mid Cap Growth | 65,544,570 | — | 87,347,298 | — | ||||||||||||
Delaware Ivy VIP Natural Resources | 17,407,629 | — | 22,550,093 | — | ||||||||||||
Delaware Ivy VIP Science and Technology | 94,976,678 | — | 113,431,466 | — | ||||||||||||
Delaware Ivy VIP Small Cap Growth | 67,076,779 | — | 72,400,548 | — | ||||||||||||
Delaware Ivy VIP Smid Cap Core | 45,826,925 | — | 25,782,290 | — |
At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments and derivatives for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments and derivatives for each Portfolio were as follows:
Portfolio | Cost of investments and derivatives | Aggregate unrealized appreciation of investments and derivatives | Aggregate unrealized depreciation of investments and derivatives | Net unrealized appreciation (depreciation) of investments and derivatives | ||||||||||||
Delaware Ivy VIP Asset Strategy | $ | 566,267,011 | $ | 122,057,251 | $ | (115,997,716 | ) | $ | 6,059,535 | |||||||
Delaware Ivy VIP Balanced | 211,600,026 | 15,414,330 | (11,509,257 | ) | 3,905,073 | |||||||||||
Delaware Ivy VIP Energy | 88,330,649 | 4,669,829 | (6,267,528 | ) | (1,597,699 | ) | ||||||||||
Delaware Ivy VIP Growth | 486,820,979 | 272,606,054 | (7,562,147 | ) | 265,043,907 | |||||||||||
Delaware Ivy VIP High Income | 848,742,310 | 10,715,344 | (105,336,043 | ) | (94,620,699 | ) | ||||||||||
Delaware Ivy VIP International Core Equity | 512,231,681 | 68,526,510 | (46,364,525 | ) | 22,161,985 | |||||||||||
Delaware Ivy VIP Mid Cap Growth | 420,329,759 | 134,468,278 | (38,443,559 | ) | 96,024,719 | |||||||||||
Delaware Ivy VIP Natural Resources | 107,606,799 | 7,116,753 | (14,532,473 | ) | (7,415,720 | ) | ||||||||||
Delaware Ivy VIP Science and Technology | 448,196,818 | 128,233,145 | (34,646,082 | ) | 93,587,063 | |||||||||||
Delaware Ivy VIP Small Cap Growth | 213,086,939 | 24,606,126 | (21,673,662 | ) | 2,932,464 | |||||||||||
Delaware Ivy VIP Smid Cap Core | 193,085,030 | 17,832,068 | (21,037,717 | ) | (3,205,649 | ) |
At December 31, 2022, capital loss carryforwards available to offset future realized capital gains are as follows:
Loss carryforward character | ||||||||||||
Short-term | Long-term | Total | ||||||||||
Delaware Ivy VIP Balanced | $ | 3,527,238 | $ | — | $ | 3,527,238 | ||||||
Delaware Ivy VIP Energy | — | 15,922,908 | 15,922,908 | |||||||||
Delaware Ivy VIP High Income | 13,705,995 | 121,742,561 | 135,448,556 | |||||||||
Delaware Ivy VIP International Core Equity | 6,823,837 | — | 6,823,837 | |||||||||
Delaware Ivy VIP Natural Resources | — | 39,815,139 | 39,815,139 |
US GAAP defines fair value as the price that each Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
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Notes to financial statements
Ivy Variable Insurance Portfolios
3. Investments (continued)
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 assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. Each Portfolio’s investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized as follows:
Level 1 | – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
Level 2 | – | Other observable inputs, including, but 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. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
Level 3 | – | Significant unobservable inputs, including each Portfolio’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. Each Portfolio may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
88 |
The following tables summarize the valuation of each Portfolio’s investments by fair value hierarchy levels as of June 30, 2023:
Delaware Ivy VIP Asset Strategy | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Securities | ||||||||||||||||
Assets: | ||||||||||||||||
Agency Collateralized Mortgage Obligations | $ | — | $ | 821,602 | $ | — | $ | 821,602 | ||||||||
Agency Commercial Mortgage-Backed Securities | — | 4,511,418 | — | 4,511,418 | ||||||||||||
Agency Mortgage-Backed Securities | — | 54,410,902 | — | 54,410,902 | ||||||||||||
Bullion | 27,769,359 | — | — | 27,769,359 | ||||||||||||
Common Stocks | ||||||||||||||||
Communication Services | 12,246,521 | 11,015,494 | — | 23,262,015 | ||||||||||||
Consumer Discretionary | 32,576,224 | 10,346,733 | — | 1 | 42,922,957 | |||||||||||
Consumer Staples | 10,019,754 | 16,550,335 | — | 1 | 26,570,089 | |||||||||||
Energy | 15,776,290 | 5,249,264 | — | 21,025,554 | ||||||||||||
Financials | 21,271,883 | 27,036,227 | — | 48,308,110 | ||||||||||||
Healthcare | 32,555,336 | 16,596,120 | — | 49,151,456 | ||||||||||||
Industrials | 21,238,251 | 27,273,480 | — | 48,511,731 | ||||||||||||
Information Technology | 63,842,275 | 6,640,240 | — | 70,482,515 | ||||||||||||
Materials | 2,815,967 | — | — | 2,815,967 | ||||||||||||
Utilities | — | 8,124,055 | — | 8,124,055 | ||||||||||||
Corporate Bonds | — | 58,656,305 | 433,850 | 59,090,155 | ||||||||||||
Exchange-Traded Funds | 16,663,841 | — | — | 16,663,841 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 11,817,801 | — | 11,817,801 | ||||||||||||
Sovereign Bonds | — | 851,392 | — | 851,392 | ||||||||||||
US Treasury Obligations | — | 46,143,007 | — | 46,143,007 | ||||||||||||
Short-Term Investments | 9,610,852 | — | — | 9,610,852 | ||||||||||||
Total Value of Securities | $ | 266,386,553 | $ | 306,044,375 | $ | 433,850 | $ | 572,864,778 | ||||||||
Derivatives2 | ||||||||||||||||
Assets: | ||||||||||||||||
Futures Contracts | $ | 11,028 | $ | — | $ | — | $ | 11,028 | ||||||||
Liabilities: | ||||||||||||||||
Futures Contracts | $ | (549,260 | ) | $ | — | $ | — | $ | (549,260 | ) |
1The security that has been valued at zero on the “Schedules of investments” is considered to be Level 3 investments in this table.
2Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end.
Delaware Ivy VIP Balanced | ||||||||||||
Level 1 | Level 2 | Total | ||||||||||
Securities | ||||||||||||
Assets: | ||||||||||||
Agency Collateralized Mortgage Obligations | $ | — | $ | 1,399,552 | $ | 1,399,552 |
89 |
Notes to financial statements
Ivy Variable Insurance Portfolios
3. Investments (continued)
Delaware Ivy VIP Balanced | ||||||||||||
Level 1 | Level 2 | Total | ||||||||||
Agency Mortgage-Backed Securities | $ | — | $ | 21,062,304 | $ | 21,062,304 | ||||||
Common Stocks | 133,852,822 | — | 133,852,822 | |||||||||
Corporate Bonds | — | 21,677,421 | 21,677,421 | |||||||||
Exchange-Traded Funds | 8,547,559 | — | 8,547,559 | |||||||||
Non-Agency Collateralized Mortgage Obligations | — | 559,880 | 559,880 | |||||||||
Non-Agency Commercial Mortgage-Backed Securities | — | 7,166,837 | 7,166,837 | |||||||||
US Treasury Obligations | — | 18,330,312 | 18,330,312 | |||||||||
Short-Term Investments | 3,091,016 | — | 3,091,016 | |||||||||
Total Value of Securities | $ | 145,491,397 | $ | 70,196,306 | $ | 215,687,703 | ||||||
Derivatives1 | ||||||||||||
Assets: | ||||||||||||
Futures Contracts | $ | 36,124 | $ | — | $ | 36,124 | ||||||
Liabilities: | ||||||||||||
Futures Contracts | $ | (218,728 | ) | $ | — | $ | (218,728 | ) |
1Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end.
Delaware Ivy VIP Energy | ||||||||||||
Level 1 | Level 2 | Total | ||||||||||
Securities | ||||||||||||
Assets: | ||||||||||||
Common Stocks | ||||||||||||
Consumer Staples | $ | 2,040,770 | $ | — | $ | 2,040,770 | ||||||
Energy | 68,912,254 | 8,959,328 | 77,871,582 | |||||||||
Industrials | 3,965,441 | — | 3,965,441 | |||||||||
Utilities | 570,917 | — | 570,917 | |||||||||
Master Limited Partnerships | 2,284,240 | — | 2,284,240 | |||||||||
Total Value of Securities | $ | 77,773,622 | $ | 8,959,328 | $ | 86,732,950 |
Delaware Ivy VIP Growth | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Common Stocks | $ | 750,201,560 | ||
Short-Term Investments | 1,663,326 | |||
Total Value of Securities | $ | 751,864,886 |
90 |
Delaware Ivy VIP High Income | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Securities | ||||||||||||||||
Assets: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Basic Industry | $ | — | $ | — | $ | 3,346,014 | 1 | $ | 3,346,014 | |||||||
Consumer Discretionary | 6,363,836 | — | — | 6,363,836 | ||||||||||||
Consumer Goods | — | — | — | 1 | — | |||||||||||
Energy | — | — | 326 | 326 | ||||||||||||
Financial Services | — | — | 3,228,884 | 3,228,884 | ||||||||||||
Retail | — | — | 448,650 | 448,650 | ||||||||||||
Utilities | — | — | 11,722 | 11,722 | ||||||||||||
Convertible Bond | — | — | 9,157,410 | 9,157,410 | ||||||||||||
Corporate Bonds | — | 569,470,356 | — | 569,470,356 | ||||||||||||
Exchange-Traded Funds | 30,694,563 | — | — | 30,694,563 | ||||||||||||
Loan Agreements | — | 93,088,933 | — | 93,088,933 | ||||||||||||
Municipal Bonds | — | 3,477,981 | — | 3,477,981 | ||||||||||||
Preferred Stock | — | — | 119,120 | 119,120 | ||||||||||||
Warrants | 91,844 | — | — | 91,844 | ||||||||||||
Short-Term Investments | 34,635,613 | — | — | 34,635,613 | ||||||||||||
Total Value of Securities | $ | 71,785,856 | $ | 666,037,270 | $ | 16,312,126 | $ | 754,135,252 | ||||||||
Derivatives2 | ||||||||||||||||
Liabilities: | ||||||||||||||||
Foreign Currency Exchange Contracts | $ | — | $ | (13,641 | ) | $ | — | $ | (13,641 | ) |
1The security that has been valued at zero on the “Schedules of investments” is considered to be Level 3 investments in this table.
2Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end.
Delaware Ivy VIP International Core Equity | ||||||||||||
Level 1 | Level 2 | Total | ||||||||||
Securities | ||||||||||||
Assets: | ||||||||||||
Common Stocks | ||||||||||||
Australia | $ | — | $ | 9,510,408 | $ | 9,510,408 | ||||||
Austria | — | 7,106,322 | 7,106,322 | |||||||||
Brazil | 27,213,897 | — | 27,213,897 | |||||||||
Canada | 31,804,485 | — | 31,804,485 | |||||||||
China | 25,120,346 | 14,648,437 | 39,768,783 | |||||||||
China/Hong Kong | — | 11,095,974 | 11,095,974 | |||||||||
Denmark | — | 27,718,702 | 27,718,702 | |||||||||
France | — | 67,186,874 | 67,186,874 | |||||||||
Germany | — | 52,651,926 | 52,651,926 | |||||||||
Hong Kong | — | 9,851,986 | 9,851,986 | |||||||||
India | — | 31,962,242 | 31,962,242 |
91 |
Notes to financial statements
Ivy Variable Insurance Portfolios
3. Investments (continued)
Delaware Ivy VIP International Core Equity | ||||||||||||
Level 1 | Level 2 | Total | ||||||||||
Japan | $ | — | $ | 67,298,276 | $ | 67,298,276 | ||||||
Netherlands | — | 29,098,539 | 29,098,539 | |||||||||
Republic of Korea | — | 20,731,512 | 20,731,512 | |||||||||
Spain | — | 9,336,719 | 9,336,719 | |||||||||
Switzerland | 9,288,283 | — | 9,288,283 | |||||||||
Taiwan | — | 11,878,353 | 11,878,353 | |||||||||
United Kingdom | 10,278,740 | 30,926,909 | 41,205,649 | |||||||||
United States | 15,624,357 | 7,530,873 | 23,155,230 | |||||||||
Short-Term Investments | 6,529,506 | — | 6,529,506 | |||||||||
Total Value of Securities | $ | 125,859,614 | $ | 408,534,052 | $ | 534,393,666 |
Delaware Ivy VIP Mid Cap Growth | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Common Stocks | $ | 511,589,938 | ||
Short-Term Investments | 4,764,540 | |||
Total Value of Securities | $ | 516,354,478 |
Delaware Ivy VIP Natural Resources | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Securities | ||||||||||||||||
Assets: | ||||||||||||||||
Closed-Ended Trust | $ | 2,357,750 | $ | — | $ | — | $ | 2,357,750 | ||||||||
Common Stocks | ||||||||||||||||
Basic Industry | 26,529,290 | 2,813,781 | — | 29,343,071 | ||||||||||||
Consumer Discretionary | 590,077 | — | — | 590,077 | ||||||||||||
Consumer Staples | 7,910,301 | — | — | 7,910,301 | ||||||||||||
Energy | 31,354,981 | 5,442,284 | — | 36,797,265 | ||||||||||||
Industrials | 7,617,993 | — | — | 1 | 7,617,993 | |||||||||||
Materials | 9,069,031 | 1,420,239 | — | 10,489,270 | ||||||||||||
Real Estate Investment Trusts | 3,986,919 | — | — | 3,986,919 | ||||||||||||
Short-Term Investments | 1,098,433 | — | — | 1,098,433 | ||||||||||||
Total Value of Securities | $ | 90,514,775 | $ | 9,676,304 | $ | — | $ | 100,191,079 |
1The security that has been valued at zero on the “Schedules of investments” is considered to be Level 3 investments in this table.
92 |
Delaware Ivy VIP Science and Technology | ||||||||||||
Level 1 | Level 2 | Total | ||||||||||
Securities | ||||||||||||
Assets: | ||||||||||||
Common Stocks | ||||||||||||
Communication Services | $ | 63,828,892 | $ | — | $ | 63,828,892 | ||||||
Consumer Discretionary | 53,835,655 | — | 53,835,655 | |||||||||
Financials | 22,450,595 | 8,059,182 | 30,509,777 | |||||||||
Healthcare | 39,139,504 | — | 39,139,504 | |||||||||
Industrials | 14,144,230 | — | 14,144,230 | |||||||||
Information Technology | 323,651,555 | — | 323,651,555 | |||||||||
Short-Term Investments | 16,674,268 | — | 16,674,268 | |||||||||
Total Value of Securities | $ | 533,724,699 | $ | 8,059,182 | $ | 541,783,881 |
Delaware Ivy VIP Small Cap Growth | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Common Stocks | $ | 212,222,737 | ||
Short-Term Investments | 3,796,666 | |||
Total Value of Securities | $ | 216,019,403 |
Delaware Ivy VIP Smid Cap Core | ||||||||||||
Level 1 | Level 3 | Total | ||||||||||
Securities | ||||||||||||
Assets: | ||||||||||||
Common Stocks | ||||||||||||
Basic Materials | $ | 15,096,684 | $ | — | $ | 15,096,684 | ||||||
Business Services | 10,690,414 | — | 10,690,414 | |||||||||
Capital Goods | 23,868,882 | — | 23,868,882 | |||||||||
Consumer Discretionary | 9,150,486 | — | 9,150,486 | |||||||||
Consumer Services | 4,614,562 | — | 4,614,562 | |||||||||
Consumer Staples | 6,361,419 | — | 6,361,419 | |||||||||
Credit Cyclicals | 7,716,930 | — | 7,716,930 | |||||||||
Energy | 7,826,163 | — | 7,826,163 | |||||||||
Financials | 23,007,348 | — | 23,007,348 | |||||||||
Healthcare | 27,379,934 | — | 1 | 27,379,934 | ||||||||
Media | 3,758,274 | — | 3,758,274 | |||||||||
Real Estate Investment Trusts | 11,485,508 | — | 11,485,508 | |||||||||
Technology | 25,836,440 | — | 25,836,440 | |||||||||
Transportation | 6,667,464 | — | 6,667,464 | |||||||||
Utilities | 3,102,711 | — | 3,102,711 | |||||||||
Short-Term Investments | 3,316,162 | — | 3,316,162 | |||||||||
Total Value of Securities | $ | 189,879,381 | $ | — | $ | 189,879,381 |
93 |
Notes to financial statements
Ivy Variable Insurance Portfolios
3. Investments (continued)
1The security that has been valued at zero on the “Schedules of investments” is considered to be Level 3 investments in this table.
During the six months ended June 30, 2023, there were no transfers into or out of Level 3 investments that had a significant impact to each Portfolio. Each Portfolio’s policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when a Portfolio has a significant amount of Level 3 investments at the beginning or end of the period in relation to each Portfolio’s net assets. Management has determined not to provide a reconciliation of Level 3 investments as the Level 3 investments were not considered significant to Delaware Ivy VIP Asset Strategy, Delaware Ivy VIP Natural Resources, and Delaware Ivy VIP Smid Cap Core net assets at the beginning or end of the period. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments were not considered significant to each Portfolio’s net assets at the end of the period. At June 30, 2023, Delaware Ivy VIP Balanced, Delaware Ivy VIP Energy, Delaware Ivy VIP Growth, Delaware Ivy VIP International Core Equity, Delaware Ivy VIP Mid Cap Growth, Delaware Ivy VIP Science and Technology, and Delaware Ivy VIP Small Cap Growth had no Level 3 investments.
The following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining fair value for the Portfolio:
Delaware Ivy VIP High Income
Common Stocks | Convertible Bond | Preferred Stock | Total | |||||||||||||
Balance as of 12/31/22 | $ | 7,885,418 | $ | 7,605,540 | $ | 119,120 | $ | 15,610,078 | ||||||||
Sales | (1,469,830 | ) | — | — | (1,469,830 | ) | ||||||||||
Net realized gain (loss) | 372,097 | — | — | 372,097 | ||||||||||||
Corporate actions | (2,071 | ) | 187,174 | — | 185,103 | |||||||||||
Net change in unrealized appreciation (depreciation) | 249,982 | 1,364,696 | — | 1,614,678 | ||||||||||||
Balance as of 6/30/23 | $ | 7,035,596 | $ | 9,157,410 | $ | 119,120 | $ | 16,312,126 | ||||||||
Net change in unrealized appreciation (depreciation) from Level 3 investments still held as of 6/30/23 | $ | 899,688 | $ | 1,364,696 | $ | — | $ | 2,264,384 |
A significant change to the inputs may result in a significant change to the valuation. Quantitative information about Level 3 fair value measurements for the Portfolio is as follows:
Delaware Ivy VIP High Income
Assets | Value | Valuation Techniques | Unobservable Inputs | Input Value | ||||||
Common Stocks | $ | 11,722 | Liquidation approach | Net asset value | N/A | |||||
Common Stocks | 8,590 | Market approach | Broker quotes | N/A | ||||||
Common Stocks | 448,650 | Market approach | EV/Revenue multiple | 0.44x | ||||||
EV/EBITDA multiple | 5.95x | |||||||||
Common Stocks | 3,337,424 | Market approach | EV/Revenue multiple | 0.60x | ||||||
EV/EBITDA multiple | 1.86x | |||||||||
Common Stocks | 3,228,884 | Market approach | Financials | N/A | ||||||
Common Stocks | 326 | Net asset value / liquidation | Financials | N/A | ||||||
Convertible Bond | 9,157,410 | Market approach | Financials | N/A | ||||||
Preferred Stock | 119,120 | Market approach | EV/Revenue multiple | 0.44x | ||||||
EV/EBITDA multiple | 5.95x |
94 |
4. Capital Shares
Transactions in capital shares were as follows:
Delaware Ivy VIP Asset Strategy | Delaware Ivy VIP Balanced | Delaware Ivy VIP Energy | ||||||||||||||||||||||
Six months ended 6/30/23 | Year ended 12/31/22 | Six months ended 6/30/23 | Year ended 12/31/22 | Six months ended 6/30/23 | Year ended 12/31/22 | |||||||||||||||||||
Shares sold: | ||||||||||||||||||||||||
Class I | 934 | 2,486 | — | — | 48,483 | 167,892 | ||||||||||||||||||
Class II | 2,165,568 | 2,333,217 | 799,370 | 831,985 | 4,077,796 | 19,735,678 | ||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||
Class I | — | 12,694 | — | — | 572 | 2,955 | ||||||||||||||||||
Class II | — | 7,166,681 | 330,900 | 18,997,778 | 52,215 | 726,589 | ||||||||||||||||||
2,166,502 | 9,515,078 | 1,130,270 | 19,829,763 | 4,179,066 | 20,633,114 | |||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||
Class I | (484 | ) | (866 | ) | — | — | (39,293 | ) | (130,904 | ) | ||||||||||||||
Class II | (6,114,352 | ) | (10,414,827 | ) | (3,185,041 | ) | (4,217,111 | ) | (11,135,643 | ) | (17,381,020 | ) | ||||||||||||
(6,114,836 | ) | (10,415,693 | ) | (3,185,041 | ) | (4,217,111 | ) | (11,174,936 | ) | (17,511,924 | ) | |||||||||||||
Net increase (decrease) | (3,948,334 | ) | (900,615 | ) | (2,054,771 | ) | 15,612,652 | (6,995,870 | ) | 3,121,190 |
Delaware Ivy VIP Growth | Delaware Ivy VIP High Income | Delaware Ivy VIP International Core Equity | ||||||||||||||||||||||
Six months ended 6/30/23 | Year ended 12/31/22 | Six months ended 6/30/23 | Year ended 12/31/22 | Six months ended 6/30/23 | Year ended 12/31/22 | |||||||||||||||||||
Shares sold: | ||||||||||||||||||||||||
Class I | — | — | 161,809 | 700,806 | — | — | ||||||||||||||||||
Class II | 1,798,226 | 5,246,613 | 14,608,733 | 23,969,927 | 3,299,708 | 2,382,458 | ||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||
Class I | — | — | 362,284 | 393,125 | — | — | ||||||||||||||||||
Class II | 8,181,027 | 22,330,970 | 17,312,738 | 18,153,567 | 552,242 | 3,768,784 | ||||||||||||||||||
9,979,253 | 27,577,583 | 32,445,564 | 43,217,425 | 3,851,950 | 6,151,242 | |||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||
Class I | — | — | (404,147 | ) | (1,298,839 | ) | — | — | ||||||||||||||||
Class II | (6,592,658 | ) | (17,572,568 | ) | (22,152,883 | ) | (43,537,541 | ) | (3,490,771 | ) | (5,473,984 | ) | ||||||||||||
(6,592,658 | ) | (17,572,568 | ) | (22,557,030 | ) | (44,836,380 | ) | (3,490,771 | ) | (5,473,984 | ) | |||||||||||||
Net increase (decrease) | 3,386,595 | 10,005,015 | 9,888,534 | (1,618,955 | ) | 361,179 | 677,258 |
95 |
Notes to financial statements
Ivy Variable Insurance Portfolios
4. Capital Shares (continued)
Delaware Ivy VIP Mid Cap Growth | Delaware Ivy VIP Natural Resources | Delaware Ivy VIP Science and Technology | ||||||||||||||||||||||
Six months ended 6/30/23 | Year ended 12/31/22 | Six months ended 6/30/23 | Year ended 12/31/22 | Six months ended 6/30/23 | Year ended 12/31/22 | |||||||||||||||||||
Shares sold: | ||||||||||||||||||||||||
Class I | 240,345 | 1,618,195 | — | — | 22,609 | 24,401 | ||||||||||||||||||
Class II | 2,271,473 | 4,953,182 | 1,193,112 | 9,791,609 | 982,793 | 2,109,519 | ||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||
Class I | 1,218,017 | 2,801,133 | — | — | 3,782 | 10,777 | ||||||||||||||||||
Class II | 4,902,586 | 8,730,807 | 579,657 | 410,591 | 1,123,413 | 3,543,762 | ||||||||||||||||||
8,632,421 | 18,103,317 | 1,772,769 | 10,202,200 | 2,132,597 | 5,688,459 | |||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||
Class I | (2,105,049 | ) | (5,242,549 | ) | — | — | (9,361 | ) | (32,133 | ) | ||||||||||||||
Class II | (2,898,317 | ) | (5,289,582 | ) | (2,784,818 | ) | (9,308,663 | ) | (2,150,342 | ) | (3,802,046 | ) | ||||||||||||
(5,003,366 | ) | (10,532,131 | ) | (2,784,818 | ) | (9,308,663 | ) | (2,159,703 | ) | (3,834,179 | ) | |||||||||||||
Net increase (decrease) | 3,629,055 | 7,571,186 | (1,012,049 | ) | 893,537 | (27,106 | ) | 1,854,280 |
Delaware Ivy VIP Small Cap Growth | Delaware Ivy VIP Smid Cap Core | |||||||||||||||
Six months ended 6/30/23 | Year ended 12/31/22 | Six months ended 6/30/23 | Year ended 12/31/22 | |||||||||||||
Shares sold: | ||||||||||||||||
Class I | 290,128 | 441,146 | — | — | ||||||||||||
Class II | 665,396 | 2,259,394 | 2,844,877 | 2,177,868 | ||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class I | 541,761 | 760,465 | — | — | ||||||||||||
Class II | 5,472,013 | 11,461,185 | 1,896,930 | 3,164,690 | ||||||||||||
6,969,298 | 14,922,190 | 4,741,807 | 5,342,558 | |||||||||||||
Shares redeemed: | ||||||||||||||||
Class I | (242,615 | ) | (2,595,852 | ) | — | — | ||||||||||
Class II | (1,907,306 | ) | (19,401,535 | ) | (1,284,534 | ) | (2,009,932 | ) | ||||||||
(2,149,921 | ) | (21,997,387 | ) | (1,284,534 | ) | (2,009,932 | ) | |||||||||
Net increase (decrease) | 4,819,377 | (7,075,197 | ) | 3,457,273 | 3,332,626 |
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5. Basis of consolidation for Delaware Ivy VIP Asset Strategy
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 Delaware Ivy VIP Asset Strategy (referred to as the Portfolio in this subsection). Ivy 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, 2023 of the Subsidiary and the Company to the Portfolio.
Date of Incorporation | Subscription Agreement | Portfolio’s Net Assets | Subsidiary/ company net assets | Percentage of Portfolio’s net assets | ||||||||||
Ivy VIP ASF ll, Ltd. | 1-31-13 | 4-10-13 | $574,133,188 | $27,961,306 | 4.87% | |||||||||
Ivy VIP ASF lll (SBP),LLC | 4-9-13 | 4-23-13 | 574,133,188 | 17,288 | 0.00% |
6. Line of Credit
Each Portfolio, along with certain other funds in the Delaware Funds (Participants), is a participant in a $355,000,000 revolving line of credit (Agreement) intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the Agreement, the Participants are charged an annual commitment fee of 0.15%, which is allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants are permitted to borrow up to a maximum of one-third of their net assets under the Agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the Agreement expires on October 30, 2023.
Each Portfolio had no amounts outstanding as of June 30, 2023, or at any time during the period then ended.
7. Interfund Lending Program
Pursuant to an exemptive order issued by the SEC (Order), the Ivy Funds and Ivy Variable Insurance Portfolios (collectively, the Funds, only for purposes of this Note 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. This program is in existence but is not currently in use. The Funds made no Interfund Loans under the Interfund Lending Program during the six months ended June 30, 2023.
8. Derivatives
US GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts — Each Portfolio may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. Each Portfolio may enter into these contracts to fix the US dollar value of
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Notes to financial statements
Ivy Variable Insurance Portfolios
8. Derivatives (continued)
a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. Each Portfolio may also enter into these contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies. In addition, each Portfolio may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, each Portfolio could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. Each Portfolio’s maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between each Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolios to cover each Portfolio’s exposure to the counterparty. Open foreign currency exchange contracts, if any, are disclosed on the “Schedules of investments.”
During the six months ended June 30, 2023, Delaware Ivy VIP High Income used foreign currency exchange contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies to increase/decrease exposure to foreign currencies.
During the six months ended June 30, 2023, Delaware Ivy VIP Asset Strategy, Delaware Ivy VIP Energy, Delaware Ivy VIP Growth, Delaware Ivy VIP International Core Equity, Delaware Ivy VIP Natural Resources and Delaware Ivy VIP Science and Technology used foreign currency exchange contracts to facilitate or expedite the settlement of portfolio transactions.
Futures Contracts — A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. The Portfolios may use futures contracts in the normal course of pursuing its investment objective. The Portfolios may invest in futures contracts to hedge its existing portfolio securities against fluctuations in value caused by changes in prevailing market interest rates. Upon entering into a futures contract, the Portfolios deposit cash or pledge US government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Portfolios as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Portfolios because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Delaware Ivy VIP Asset Strategy posted $475,090 and Delaware Ivy VIP Balanced posted $136,697 cash collateral as margin for open futures contracts, which is included in “Cash collateral due from broker on futures contracts” on the “Statements of assets and liabilities.” Open futures contracts, if any, are disclosed on the “Schedules of investments.”
During the six months ended June 30, 2023, Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP Balanced invested in futures contracts to hedge each Portfolio’s existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions.
Options Contracts — Each Portfolio may enter into options contracts in the normal course of pursuing its investment objective. Each Portfolio may buy or write options contracts for any number of reasons, including without limitation: to manage each Portfolio’s exposure to changes in securities prices caused by interest rates or market conditions and foreign currencies; as an efficient means of adjusting each Portfolio’s overall exposure to certain markets; to protect the value of portfolio securities; and as a cash management tool. Each Portfolio may buy or write call or put options on securities, futures, swaps, swaptions, financial indices, and foreign currencies. When each Portfolio buys an option, a premium is paid and an asset is recorded and adjusted on a daily basis to reflect the current market value of the option purchased. When each Portfolio writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the option written. Premiums received from writing options that expire unexercised are treated by each Portfolio on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage
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commissions, is treated as realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether each Portfolio has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by each Portfolio. Each Portfolio, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. When writing options, each Portfolio is subject to minimal counterparty risk because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change. Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP Mid Cap Growth pledged securities collateral valued at $12,309,080 and $16,389,092, respectively, as collateral for open options contracts. Open options contracts, if any, are disclosed on the “Schedules of investments.”
During the six months ended June 30, 2023, Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP Balanced used options contracts to manage each Portfolio’s exposure to changes in securities prices caused by interest rates or market conditions.
Swap Contracts — Each Portfolio may enter into CDS contracts in the normal course of pursuing its investment objective. Each Portfolio may enter into CDS contracts in order to hedge against a credit event, to enhance total return or to gain exposure to certain securities or markets. 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).
Credit Default Swaps. A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). In exchange for the protection offered by the seller of protection, the purchaser of protection agrees to pay the seller of protection a periodic amount at a stated rate that is applied to the notional amount of the CDS contract. In addition, an upfront payment may be made or received by the Portfolio in connection with an unwinding or assignment of a CDS contract. Upon the occurrence of a credit event, the seller of protection would pay the par (or other agreed-upon) value of the reference security (or basket of securities) to the counterparty. Credit events generally include, among others, bankruptcy, failure to pay, and obligation default.
During the year ended December 31, 2022, Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP Balanced entered into CDS contracts as a purchaser of protection. Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the agreement. Initial margin and variation margin are posted to central counterparties for centrally cleared CDS basket trades, as determined by the applicable central counterparty.
CDS contracts may involve greater risks than if the Portfolio had invested in the reference obligation directly. CDS contracts are subject to general market risk, liquidity risk, counterparty risk, and credit risk. The Portfolio’s maximum risk of loss from counterparty credit risk, either as the seller of protection or the buyer of protection, is the fair value of the contract. This risk is mitigated by (1) for bilateral swap contracts, having a netting arrangement between the Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolio to cover the Portfolio’s exposure to the counterparty, and (2) for cleared swaps, trading these instruments through a central counterparty. No CDS contracts were outstanding at June 30, 2023.
During the six months ended June 30, 2023, Delaware Ivy VIP Asset Strategy and Delaware Ivy VIP Balanced used CDS contracts to hedge against credit events.
Swaps Generally. For centrally cleared swaps, payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded by the Portfolio as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The value of open swaps may differ from that which would be realized in the event the Portfolio terminated its position in the contract on a given day. Risks of entering into these contracts include the potential inability of the counterparty to meet the terms of the contracts. This type of risk is generally limited to the
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Notes to financial statements
Ivy Variable Insurance Portfolios
8. Derivatives (continued)
amount of favorable movement in the value of the underlying security, instrument, or basket of instruments, if any, at the day of default. Risks also arise from potential losses from adverse market movements and such losses could exceed the unrealized amounts shown on the “Schedules of investments.”
Fair values of derivative instruments as of June 30, 2023 were as follows:
Delaware Ivy VIP Asset Strategy Asset Derivatives Fair Value | ||||
Interest | ||||
Statement of Assets and | Rate | |||
Liabilities Location | Contracts | |||
Variation margin due from broker on futures contracts* | $ | 11,028 |
Delaware Ivy VIP Asset Strategy Liability Derivatives Fair Value | ||||
Interest | ||||
Statement of Assets and | Rate | |||
Liabilities Location | Contracts | |||
Variation margin due from broker on futures contracts* | $ | (549,260 | ) |
Delaware Ivy VIP Balanced Asset Derivatives Fair Value | ||||
Interest | ||||
Statement of Assets and | Rate | |||
Liabilities Location | Contracts | |||
Variation margin due to broker on futures contracts* | $ | 36,124 |
Delaware Ivy VIP Balanced Liability Derivatives Fair Value | ||||
Interest | ||||
Statement of Assets and | Rate | |||
Liabilities Location | Contracts | |||
Variation margin due to broker on futures contracts* | $ | (218,728 | ) |
*Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts were opened through June 30, 2023. Only current day variation margin is reported on the Portfolio’s “Statements of assets and liabilities.”
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The effect of derivative instruments on the “Statements of operations” for the six months ended June 30, 2023 was as follows:
Delaware Ivy VIP Asset Strategy | Delaware Ivy VIP Asset Strategy Net Realized Gain (Loss) on: | |||||||||||||||||||
Foreign Currency Exchange Contracts | Futures Contracts | Options Written | Swap Contracts | Total | ||||||||||||||||
Currency contracts | $ | (144,776 | ) | $ | — | $ | — | $ | — | $ | (144,776 | ) | ||||||||
Interest rate contracts | — | 284,612 | — | — | 284,612 | |||||||||||||||
Credit contracts | — | — | (547 | ) | 44,680 | 44,133 | ||||||||||||||
Total | $ | (144,776 | ) | $ | 284,612 | $ | (547 | ) | $ | 44,680 | $ | 183,969 |
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||
Futures Contracts | Total | |||||||
Interest rate contracts | $ | (488,544 | ) | $ | (488,544 | ) |
Delaware Ivy VIP Balanced | Delaware Ivy VIP Balanced Net Realized Gain (Loss) on: | |||||||||||||||
Futures Contracts | Options Written | Swap Contracts | Total | |||||||||||||
Interest rate contracts | $ | 50,113 | $ | — | $ | — | $ | 50,113 | ||||||||
Credit contracts | — | 21,535 | 15,703 | 37,238 | ||||||||||||
Total | $ | 50,113 | $ | 21,535 | $ | 15,703 | $ | 87,351 |
Net Change in Unrealized Appreciation (Depreciation) on: | ||||||||
Futures Contracts | Total | |||||||
Interest rate contracts | $ | (183,619 | ) | $ | (183,619 | ) |
During the six months ended June 30, 2023, Delaware Ivy VIP Energy, Delaware Ivy VIP Growth, Delaware Ivy VIP High Income, Delaware Ivy VIP International Core Equity, Delaware Ivy VIP Natural Resources and Delaware Ivy VIP Science and Technology experienced net realized and unrealized gains or losses attributable to foreign currency exchange contracts, which are disclosed on the “Statements of assets and liabilities” and/or “Statements of operations.”
During the six months ended June 30, 2023, Delaware Ivy VIP Energy, Delaware Ivy VIP Growth and Delaware Ivy VIP Science and Technology experienced net realized and unrealized gains or losses attributable to foreign currency holdings, which are disclosed on the “Statements of operations.”
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Notes to financial statements
Ivy Variable Insurance Portfolios
8. Derivatives (continued)
The table below summarizes the average daily balance of derivative holdings by certain Portfolios during the six months ended June 30, 2023:
Long Derivative Volume | ||||||||||||
Delaware Ivy VIP Asset Strategy | Delaware Ivy VIP Balanced | Delaware Ivy VIP Energy | ||||||||||
Foreign currency exchange contracts (average notional value) | $ | 195,828 | $ | — | $ | 17,737 | ||||||
Futures contracts (average notional value) | 22,112,343 | 8,791,905 | — | |||||||||
Options contracts (average notional value)* | 78,907 | 29,397 | — | |||||||||
CDS contracts (average notional value)** | 197,600 | 72,800 | — |
Long Derivative Volume | ||||
Delaware Ivy VIP International Core Equity | ||||
Foreign currency exchange contracts (average notional value) | $ | 914,156 |
Long Derivative Volume | ||||||||
Delaware Ivy VIP Natural Resources | Delaware Ivy VIP Science and Technology | |||||||
Foreign currency exchange contracts (average notional value) | $ | 16,759 | $ | 22,721 |
Short Derivative Volume | ||||||||||||
Delaware Ivy VIP Asset Strategy | Delaware Ivy VIP Balanced | Delaware Ivy VIP Energy | ||||||||||
Foreign currency exchange contracts (average notional value) | $ | 155,265 | $ | — | $ | 30,328 | ||||||
Futures contracts (average notional value) | 70,671 | 2,545,998 | — | |||||||||
Options contracts (average notional value)* | 48,764 | 18,565 | — |
Short Derivative Volume | ||||||||
Delaware Ivy VIP High Income | Delaware Ivy VIP International Core Equity | |||||||
Foreign currency exchange contracts (average notional value) | $ | 2,779,064 | $ | 997,303 |
Short Derivative Volume | ||||
Delaware Ivy VIP Natural Resources | ||||
Foreign currency exchange contracts (average notional value) | $ | 1,053 |
* Long represents purchased options and short represents written options.
** Long represents buying protection and short represents selling protection.
9. Offsetting
Certain Portfolios entered into an International Swaps and Derivatives Association, Inc. Master Agreement (ISDA Master Agreement) or a similar agreement with certain of its derivative contract counterparties in order to better define its contractual rights and to secure rights that will help certain Portfolios mitigate its counterparty risk. An ISDA Master Agreement is a bilateral agreement between certain Portfolios and a counterparty that governs over-the-counter (OTC) derivatives and foreign exchange contracts and typically contains, among other things, collateral posting items and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, certain Portfolios may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit
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a single net payment in the event of default (close-out), including the bankruptcy or insolvency of the counterparty. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency, or other events.
For financial reporting purposes, certain Portfolios do not offset derivative assets and derivative liabilities that are subject to netting arrangements on the “Statements of assets and liabilities.”
At June 30, 2023, certain Portfolios had the following assets and liabilities subject to offsetting provisions:
Offsetting of Financial Assets and Liabilities and Derivative Assets and Liabilities
Delaware Ivy VIP High Income
Counterparty | Gross Value of Derivative Asset | Gross Value of Derivative Liability | Net Position | |||||||||
TD Bank | $ | — | $ | (13,641 | ) | $ | (13,641 | ) |
Counterparty | Net Position | Fair Value of Non-Cash Collateral Received | Cash Collateral Received | Fair Value of Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Exposure(a) | ||||||||||||||||||
TD Bank | $ | (13,641 | ) | $ | — | $ | — | $ | — | $ | — | $ | (13,641 | ) |
(a)Net exposure represents the receivable (payable) that would be due from (to) the counterparty in the event of default.
10. Securities Lending
Each Portfolio, along with other funds in the Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by each Portfolio of the Trust is generally invested in a series of individual separate accounts, each corresponding to a Portfolio. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; certain money market funds; and asset-backed securities. Each Portfolio can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to each Portfolio or, at the discretion of the lending agent, replace the loaned securities. Each Portfolio continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. Each
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Notes to financial statements
Ivy Variable Insurance Portfolios
10. Securities Lending (continued)
Portfolio has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, each Portfolio receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among each Portfolio, the security lending agent, and the borrower. Each Portfolio records security lending income net of allocations to the security lending agent and the borrower.
Each Portfolio may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in each collateral investment account defaulted or became impaired. Under those circumstances, the value of each Portfolio’s cash collateral account may be less than the amount each Portfolio would be required to return to the borrowers of the securities and each Portfolio would be required to make up for this shortfall.
At June 30, 2023, each Portfolio had no securities out on loan.
11. Credit and Market Risk
The global outbreak of COVID-19 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 outbreak, its full economic impact and ongoing effects at the macro-level and on individual businesses are unpredictable and may result in significant and prolonged effects on a Portfolio’s performance.
When interest rates rise, fixed income securities (i.e. debt obligations) generally will decline in value. These declines in value are greater for fixed income securities with longer maturities or durations. Interest rate changes are influenced by a number of factors, such as government policy, monetary policy, inflation expectations, and the supply and demand of bonds. A fund may be subject to a greater risk of rising interest rates when interest rates are low or inflation rates are high or rising.
IBOR is the risk that changes related to the use of the London interbank offered rate (LIBOR) and other interbank offered rate (collectively, IBORs) could have adverse impacts on financial instruments that reference LIBOR (or the corresponding IBOR). The abandonment of LIBOR could affect the value and liquidity of instruments that reference LIBOR. The use of alternative reference rate products may impact investment strategy performance. These risks may also apply with respect to changes in connection with other IBORs, such as the euro overnight index average (EONIA), which are also the subject of recent reform.
Investments in equity securities in general are subject to market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which each Portfolio invests will cause the NAV of each Portfolio to fluctuate.
Some countries in which the Portfolios may invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid, and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Portfolios may be inhibited. In addition, a significant portion of the aggregate market value of securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Portfolios.
Certain Portfolios invests a portion of its assets in high yield fixed income securities, which are securities rated lower than BBB- by Standard & Poor’s Financial Services LLC and Baa3 by Moody’s Investor Services, Inc, or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher rated securities. Additionally, lower rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
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Certain Portfolios invests in fixed income securities whose value is derived from an underlying pool of mortgages or consumer loans. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates. Investors receive principal and interest payments as the underlying mortgages and consumer loans are paid back. Some of these securities are CMOs. CMOs are debt securities issued by US government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse effect on a Portfolio’s yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Portfolio may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
Certain Portfolios invests in bank loans and other securities that may subject them to direct indebtedness risk, the risk that the Portfolios will not receive payment of principal, interest, and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer the Portfolio more protection than unsecured loans in the event of nonpayment of scheduled interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by the Portfolio may involve revolving credit facilities or other standby financing commitments that obligate the Portfolio to pay additional cash on a certain date or on demand. These commitments may require each Portfolio to increase its investment in a company at a time when the Portfolio might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that each Portfolio is committed to advance additional funds, it will at all times hold and maintain cash or other high grade debt obligations in an amount sufficient to meet such commitments. When a loan agreement is purchased, the Portfolio may pay an assignment fee. On an ongoing basis, the Portfolio may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by the borrower. Prepayment penalty, facility, commitment, consent, and amendment fees are recorded to income as earned or paid.
As the Portfolio may be required to rely upon another lending institution to collect and pass on to the Portfolio amounts payable with respect to the loan and to enforce the Portfolio’s rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Portfolio from receiving such amounts. The highly leveraged nature of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to the Portfolio.
Certain Portfolios invests in certain obligations that may have liquidity protection designed to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies, or letters of credit obtained by the issuer or sponsor through third parties, through various means of structuring the transaction, or through a combination of such approaches. The Portfolios will not pay any additional fees for such credit support, although the existence of credit support may increase the price of a security.
Certain Portfolios may invest in REITs and are subject to the risks associated with that industry. If a Portfolio holds real estate directly or receives rental income directly from real estate holdings, its tax status as a regulated investment company may be jeopardized. There were no direct real estate holdings during the six months ended June 30, 2023. The Portfolios’ REIT holdings are also affected by interest rate changes, particularly if the REITs they hold use floating rate debt to finance their ongoing operations. The Portfolios also invest in real estate acquired as a result of ownership of securities or other instruments, including issuers that invest, deal, or otherwise engage in transactions in real estate or interests therein. These instruments may include interests in private equity limited partnerships or limited liability companies that hold real estate investments (Real Estate Limited Partnerships). The Portfolios will limit their investments in Real Estate Limited Partnerships to 5% of their total assets at the time of purchase.
Each Portfolio may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair each Portfolio from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Portfolios’ limitation on investments in illiquid securities. Securities
105 |
Notes to financial statements
Ivy Variable Insurance Portfolios
11. Credit and Market Risk (continued)
eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Portfolios’ 15% limit on investments in illiquid securities. Rule 144A securities have been identified on the “Schedules of investments.”
12. Contractual Obligations
Each Portfolio enters into contracts in the normal course of business that contain a variety of indemnifications. Each Portfolio’s maximum exposure under these arrangements is unknown. However, each Portfolio has not had prior claims or losses pursuant to these contracts. Management has reviewed each Portfolio’s existing contracts and expects the risk of loss to be remote.
13. Recent Accounting Pronouncements
In March 2020, FASB issued an Accounting Standards Update (ASU), ASU 2020-04, Reference Rate Reform (Topic 848) - Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. On December 21, 2022, FASB issued ASU 2022-06 to defer the sunset date of Accounting Standards Codification Topic 848 until December 31, 2024. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2024. Management is currently evaluating ASU 2020-04 and ASU 2022-06, but does not believe there will be a material impact.
14. New Regulatory Pronouncement
In October 2022, the Securities and Exchange Commission (SEC) adopted a rule and form amendments relating to tailored shareholder reports for mutual funds and ETFs; and fee information in investment company advertisements. The rule and form amendments will require mutual funds and ETFs to transmit streamlined shareholder reports that highlight key information to investors. The rule amendments will require that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective in January 2023 and there is an 18-month transition period after the effective date of the amendment with a compliance date of July 2024.
15. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in the Portfolios’ financial statements.
106 |
Other Portfolio information (Unaudited)
Ivy Variable Insurance Portfolios
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end funds (other than money market funds) to adopt and implement a program reasonably designed to assess and manage the fund’s “liquidity risk,” defined as the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund.
The Portfolios have adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated a member of the US Operational Risk Group of Macquarie Asset Management as the Program Administrator for each Portfolio in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of each Portfolio’s liquidity risk; (2) classification of each of the Portfolio’s portfolio holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for portfolios that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Portfolio’s net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting each Portfolio’s acquisition of Illiquid investments if, immediately after the acquisition, each Portfolio would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a non-public basis) and to the Board if each Portfolio’s holdings of Illiquid assets exceed 15% of the Portfolio’s net assets. Portfolios with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing each Portfolio’s liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) each Portfolio’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Portfolios during both normal and reasonably foreseeable stressed conditions; and (3) each Portfolio’s holdings of cash and cash equivalents and any borrowing arrangements. Classification of each Portfolio’s portfolio holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. Each Portfolio primarily holds assets that are classified as Highly Liquid, and therefore is not required to establish an HLIM.
At a meeting of the Board held on May 23-25, 2023, the Program Administrator provided a written report to the Board addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from April 1, 2022 through March 31, 2023. The report concluded that the Program is appropriately designed and effectively implemented and that it meets the requirements of Rule 22e-4 and each Portfolio’s liquidity needs. Each Portfolio’s HLIM is set at an appropriate level and the Portfolios complied with their HLIM at all times during the reporting period.
107 |
Each Portfolio files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. Each Portfolio’s Form N-PORT, as well as a description of the policies and procedures that each Portfolio uses to determine how to vote proxies (if any) relating to portfolio securities, is available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that each Portfolio uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in each Portfolio’s most recent Form N-PORT are available without charge on the Portfolios’ website at delawarefunds.com/vip/literature.
Information (if any) regarding how each Portfolio voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Portfolios’ website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
(3032572)
SEMIANN-VIP1-0823
Semiannual report
Ivy Variable Insurance Portfolios
Delaware Ivy VIP Core Equity
Delaware Ivy VIP Corporate Bond
Delaware Ivy VIP Global Growth
Delaware Ivy VIP Limited-Term Bond
Delaware Ivy VIP Value
Delaware VIP Global Value Equity
Delaware VIP Real Estate Securities
June 30, 2023
Table of contents
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM and includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
Other than Macquarie Bank Limited ABN 46 008 583 542 ("Macquarie Bank"), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Portfolios are governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of June 30, 2023, 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.
The Portfolios are distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
All third-party marks cited are the property of their respective owners.
© 2023 Macquarie Management Holdings, Inc.
Disclosure of Portfolio expenses
For the six-month period from January 1, 2023 to June 30, 2023 (Unaudited)
The investment objective of Delaware Ivy VIP Core Equity seeks to provide capital growth and appreciation.
The investment objective of Delaware Ivy VIP Corporate Bond seeks to provide current income consistent with preservation of capital.
The investment objective of Delaware Ivy VIP Global Growth seeks to provide growth of capital.
The investment objective of Delaware Ivy VIP Limited-Term Bond seeks to provide current income consistent with preservation of capital.
The investment objective of Delaware Ivy VIP Value seeks to provide capital appreciation.
The investment objective of Delaware VIP Global Value Equity seeks to provide total return through a combination of current income and capital appreciation.
The investment objective of Delaware VIP Real Estate Securities seeks to provide total return through capital appreciation and current income.
As a shareholder of the Portfolio, you incur ongoing costs, which may include management fees; distribution and service (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2023 to June 30, 2023.
Actual expenses
The first section of the tables shown, “Actual Portfolio return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the tables shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on a Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only. As a shareholder of the Portfolio, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Portfolios' expenses shown in the tables reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
Delaware Ivy VIP Core Equity
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class II | $1,000.00 | $1,147.20 | 0.95% | $5.06 | ||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class II | $1,000.00 | $1,020.08 | 0.95% | $4.76 |
Delaware Ivy VIP Corporate Bond
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class II | $1,000.00 | $1,024.60 | 0.80% | $4.02 | ||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class II | $1,000.00 | $1,020.83 | 0.80% | $4.01 |
1 |
Disclosure of Portfolio expenses
Delaware Ivy VIP Global Growth
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class II | $1,000.00 | $1,108.20 | 1.13% | $5.91 | ||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class II | $1,000.00 | $1,019.19 | 1.13% | $5.66 |
Delaware Ivy VIP Limited-Term Bond
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class II | $1,000.00 | $1,011.80 | 0.90% | $4.49 | ||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class II | $1,000.00 | $1,020.33 | 0.90% | $4.51 |
Delaware Ivy VIP Value
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class II | $1,000.00 | $1,041.90 | 1.02% | $5.16 | ||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class II | $1,000.00 | $1,019.74 | 1.02% | $5.11 |
Delaware VIP Global Value Equity
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class II | $1,000.00 | $1,143.60 | 1.15% | $6.11 | ||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class II | $1,000.00 | $1,019.09 | 1.15% | $5.76 |
Delaware VIP Real Estate Securities
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |||||||||||||
Actual Portfolio return† | ||||||||||||||||
Class II | $1,000.00 | $1,042.20 | 1.21% | $6.13 | ||||||||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||||
Class II | $1,000.00 | $1,018.79 | 1.21% | $6.06 |
* | “Expenses Paid During Period” are equal to the relevant Portfolio's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). | |
† | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
In addition to the Portfolios' expenses reflected above and on the previous page, each Portfolio also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds) in which it invests, including exchange-traded funds. The tables above and on the previous page do not reflect the expenses of any applicable Underlying Funds.
2 |
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Core Equity | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / sector | Percentage of net assets | |||
Common Stocks | 99.07 | % | ||
Communication Services | 6.44 | % | ||
Consumer Discretionary | 8.09 | % | ||
Consumer Staples | 3.77 | % | ||
Energy | 2.39 | % | ||
Financials | 17.30 | % | ||
Healthcare | 11.88 | % | ||
Industrials | 9.43 | % | ||
Information Technology* | 31.51 | % | ||
Materials | 5.54 | % | ||
Utilities | 2.72 | % | ||
Short-Term Investments | 1.07 | % | ||
Total Value of Securities | 100.14 | % | ||
Liabilities Net of Receivables and Other Assets | (0.14 | )% | ||
Total Net Assets | 100.00 | % |
*To monitor compliance with the Portfolio's concentration guidelines as described in the Portfolio's Prospectus and Statement of Additional Information, the Information Technology sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Information Technology sector consisted of Computers, Electronics, Internet, Office/Business Equipment, Semiconductors, and Software. As of June 30, 2023, such amounts, as a percentage of total net assets were 5.34%, 3.15%, 2.29%, 1.15%, 6.92%, and 12.66%, respectively. The percentage in any such single industry will comply with the Portfolio's concentration policy even if the percentage in the Information Technology sector for financial reporting purposes may exceed 25%.
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | |||
Microsoft | 8.96 | % | ||
UnitedHealth Group | 4.73 | % | ||
Alphabet Class A | 4.30 | % | ||
Apple | 4.21 | % | ||
Amazon.com | 4.03 | % | ||
HCA Healthcare | 3.32 | % | ||
TE Connectivity | 3.15 | % | ||
Airbus ADR | 2.73 | % | ||
NextEra Energy | 2.72 | % | ||
Linde | 2.58 | % |
3 |
Security type / sector allocations
Delaware Ivy VIP Corporate Bond | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / sector | Percentage of net assets | |||
Agency Collateralized Mortgage Obligations | 0.00 | % | ||
Convertible Bond | 0.10 | % | ||
Corporate Bonds | 95.50 | % | ||
Banking | 20.30 | % | ||
Basic Industry | 0.92 | % | ||
Brokerage | 2.38 | % | ||
Capital Goods | 4.24 | % | ||
Communications | 10.16 | % | ||
Consumer Cyclical | 6.55 | % | ||
Consumer Non-Cyclical | 8.80 | % | ||
Electric | 8.85 | % | ||
Energy | 5.00 | % | ||
Finance Companies | 2.72 | % | ||
Industrials | 0.08 | % | ||
Insurance | 6.65 | % | ||
Natural Gas | 1.33 | % | ||
Real Estate Investment Trusts | 1.44 | % | ||
Technology | 13.91 | % | ||
Transportation | 1.71 | % | ||
Utilities | 0.46 | % | ||
Municipal Bonds | 0.82 | % | ||
Sovereign Bonds | 0.52 | % | ||
US Treasury Obligations | 2.24 | % | ||
Short-Term Investments | 0.43 | % | ||
Total Value of Securities | 99.61 | % | ||
Receivables and Other Assets Net of Liabilities | 0.39 | % | ||
Total Net Assets | 100.00 | % |
4 |
Security type / sector and country allocations
Delaware Ivy VIP Global Growth | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / country | Percentage of net assets | |||
Common Stocks by Country | 98.97 | % | ||
Canada | 4.52 | % | ||
China | 4.28 | % | ||
Denmark | 1.76 | % | ||
France | 8.67 | % | ||
Germany | 4.45 | % | ||
Hong Kong | 1.45 | % | ||
India | 4.85 | % | ||
Italy | 1.82 | % | ||
Japan | 4.98 | % | ||
Netherlands | 0.81 | % | ||
Taiwan | 1.96 | % | ||
United Kingdom | 3.51 | % | ||
United States | 55.91 | % | ||
Short-Term Investments | 0.70 | % | ||
Total Value of Securities | 99.67 | % | ||
Receivables and Other Assets Net of Liabilities | 0.33 | % | ||
Total Net Assets | 100.00 | % |
Common stocks by sector | Percentage of net assets | |||
Communication Services | 6.76 | % | ||
Consumer Discretionary | 12.47 | % | ||
Consumer Staples | 7.71 | % | ||
Energy | 6.13 | % | ||
Financials | 13.99 | % | ||
Healthcare | 14.23 | % | ||
Industrials | 14.07 | % | ||
Information Technology | 20.45 | % | ||
Materials | 0.81 | % | ||
Utilities | 2.35 | % | ||
Total | 98.97 | % |
5 |
Security type / sector allocations
Delaware Ivy VIP Limited-Term Bond | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / sector | Percentage of net assets | |||
Agency Collateralized Mortgage Obligations | 0.15 | % | ||
Agency Commercial Mortgage-Backed Securities | 6.12 | % | ||
Agency Mortgage-Backed Security | 0.06 | % | ||
Collateralized Debt Obligations | 7.39 | % | ||
Corporate Bonds | 47.86 | % | ||
Banking | 12.92 | % | ||
Basic Industry | 0.94 | % | ||
Brokerage | 0.17 | % | ||
Capital Goods | 4.23 | % | ||
Communications | 5.06 | % | ||
Consumer Cyclical | 3.21 | % | ||
Consumer Non-Cyclical | 4.34 | % | ||
Electric | 3.12 | % | ||
Energy | 3.65 | % | ||
Finance Companies | 0.84 | % | ||
Insurance | 3.30 | % | ||
Natural Gas | 0.36 | % | ||
Real Estate Investment Trusts | 1.49 | % | ||
Technology | 3.70 | % | ||
Transportation | 0.53 | % | ||
Non-Agency Asset-Backed Securities | 7.77 | % | ||
US Treasury Obligations | 28.82 | % | ||
Total Value of Securities | 98.17 | % | ||
Receivables and Other Assets Net of Liabilities | 1.83 | % | ||
Total Net Assets | 100.00 | % |
6 |
Security type / sector allocations and top 10 equity holdings
Delaware Ivy VIP Value | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / sector | Percentage of net assets | |||
Common Stocks | 99.04 | % | ||
Communication Services | 8.91 | % | ||
Consumer Discretionary | 6.56 | % | ||
Consumer Staples | 11.00 | % | ||
Energy | 3.09 | % | ||
Financials | 13.20 | % | ||
Healthcare | 18.45 | % | ||
Industrials | 12.34 | % | ||
Information Technology | 16.13 | % | ||
Materials | 3.02 | % | ||
Real Estate | 3.29 | % | ||
Utilities | 3.05 | % | ||
Short-Term Investments | 0.80 | % | ||
Total Value of Securities | 99.84 | % | ||
Receivables and Other Assets Net of Liabilities | 0.16 | % | ||
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | |||
TJX | 3.36 | % | ||
Cisco Systems | 3.33 | % | ||
Motorola Solutions | 3.31 | % | ||
Equity Residential | 3.30 | % | ||
Baxter International | 3.25 | % | ||
Oracle | 3.22 | % | ||
Honeywell International | 3.22 | % | ||
Cognizant Technology Solutions Class A | 3.22 | % | ||
Merck & Co. | 3.20 | % | ||
Lowe's | 3.20 | % |
7 |
Security type / sector and country allocations
Delaware VIP Global Value Equity | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / country | Percentage of net assets | |||
Common Stocks by Country | 96.62 | % | ||
Denmark | 2.30 | % | ||
France | 14.10 | % | ||
Germany | 10.72 | % | ||
Japan | 4.52 | % | ||
Netherlands | 5.10 | % | ||
Spain | 3.47 | % | ||
Sweden | 7.77 | % | ||
Switzerland | 9.55 | % | ||
United Kingdom | 14.00 | % | ||
United States | 25.09 | % | ||
Preferred Stock | 2.12 | % | ||
Short-Term Investments | 0.95 | % | ||
Total Value of Securities | 99.69 | % | ||
Receivables and Other Assets Net of Liabilities | 0.31 | % | ||
Total Net Assets | 100.00 | % |
Common stocks and preferred stock by sector | Percentage of net assets | |||
Communication Services | 2.19 | % | ||
Consumer Discretionary | 15.49 | % | ||
Consumer Staples* | 41.54 | % | ||
Financials | 2.71 | % | ||
Healthcare | 19.35 | % | ||
Industrials | 9.53 | % | ||
Information Technology | 4.14 | % | ||
Materials | 3.79 | % | ||
Total | 98.74 | % |
*To monitor compliance with the Portfolio's concentration guidelines as described in the Portfolio's Prospectus and Statement of Additional Information, the Consumer Staples sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Consumer Staples sector consisted of Beverages, Cosmetics/Personal Care, Food, and Household Products/Wares. As of June 30, 2023, such amounts, as a percentage of total net assets were 5.07%, 8.68%, 19.20%, and 8.59%, respectively. The percentage in any such single industry will comply with the Portfolio's concentration policy even if the percentage in the Consumer Staples sector for financial reporting purposes may exceed 25%.
8 |
Security type / sector allocations and top 10 equity holdings
Delaware VIP Real Estate Securities | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Portfolio materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different from another fund's sector designations.
Security type / sector | Percentage of net assets | |||
Common Stocks | 97.65 | % | ||
Real Estate Operating Companies/Developer | 1.56 | % | ||
REIT Diversified | 19.19 | % | ||
REIT Healthcare | 11.46 | % | ||
REIT Hotel | 1.99 | % | ||
REIT Industrial | 13.39 | % | ||
REIT Multifamily | 19.17 | % | ||
REIT Office | 2.99 | % | ||
REIT Retail | 16.99 | % | ||
REIT Self-Storage | 10.91 | % | ||
Short-Term Investments | 3.83 | % | ||
Total Value of Securities | 101.48 | % | ||
Liabilities Net of Receivables and Other Assets | (1.48 | )% | ||
Total Net Assets | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
Top 10 equity holdings | Percentage of net assets | |||
Prologis | 9.21 | % | ||
Equinix | 8.42 | % | ||
Welltower | 7.62 | % | ||
Realty Income | 4.86 | % | ||
Digital Realty Trust | 4.78 | % | ||
VICI Properties | 4.49 | % | ||
Public Storage | 4.16 | % | ||
Invitation Homes | 3.83 | % | ||
Extra Space Storage | 3.81 | % | ||
Kite Realty Group Trust | 3.68 | % |
9 |
Delaware Ivy VIP Core Equity | June 30, 2023 (Unaudited) |
Number of shares | Value (US $) | |||||||
Common Stocks — 99.07% t | ||||||||
Communication Services — 6.44% | ||||||||
Alphabet Class A † | 223,460 | $ | 26,748,162 | |||||
Take-Two Interactive Software † | 89,997 | 13,243,959 | ||||||
39,992,121 | ||||||||
Consumer Discretionary — 8.09% | ||||||||
Amazon.com † | 192,047 | 25,035,247 | ||||||
Aptiv † | 129,785 | 13,249,751 | ||||||
AutoZone † | 4,796 | 11,958,154 | ||||||
50,243,152 | ||||||||
Consumer Staples — 3.77% | ||||||||
Costco Wholesale | 29,141 | 15,688,932 | ||||||
Procter & Gamble | 50,944 | 7,730,242 | ||||||
23,419,174 | ||||||||
Energy — 2.39% | ||||||||
ConocoPhillips | 96,429 | 9,991,009 | ||||||
Schlumberger | 98,936 | 4,859,736 | ||||||
14,850,745 | ||||||||
Financials — 17.30% | ||||||||
American Express | 51,399 | 8,953,706 | ||||||
Aon Class A | 33,888 | 11,698,138 | ||||||
Blackstone | 84,252 | 7,832,908 | ||||||
Capital One Financial | 43,315 | 4,737,362 | ||||||
Discover Financial Services | 50,022 | 5,845,071 | ||||||
Fiserv † | 92,883 | 11,717,190 | ||||||
Intercontinental Exchange | 87,292 | 9,870,979 | ||||||
JPMorgan Chase & Co. | 56,654 | 8,239,758 | ||||||
KKR & Co. | 160,496 | 8,987,776 | ||||||
Mastercard Class A | 28,220 | 11,098,926 | ||||||
Morgan Stanley | 120,685 | 10,306,499 | ||||||
Progressive | 62,190 | 8,232,090 | ||||||
107,520,403 | ||||||||
Healthcare — 11.88% | ||||||||
Abbott Laboratories | 57,746 | 6,295,469 | ||||||
Danaher | 38,520 | 9,244,800 | ||||||
HCA Healthcare | 67,914 | 20,610,541 | ||||||
UnitedHealth Group | 61,184 | 29,407,478 | ||||||
Vertex Pharmaceuticals † | 23,520 | 8,276,923 | ||||||
73,835,211 | ||||||||
Industrials — 9.43% | ||||||||
Airbus ADR | 469,085 | 16,952,732 | ||||||
Equifax | 51,172 | 12,040,772 | ||||||
Howmet Aerospace | 174,723 | 8,659,272 | ||||||
Raytheon Technologies | 87,794 | 8,600,300 | ||||||
United Rentals | 27,734 | 12,351,891 | ||||||
58,604,967 | ||||||||
Information Technology — 31.51% | ||||||||
Apple | 134,778 | 26,142,889 | ||||||
Applied Materials | 103,521 | 14,962,925 | ||||||
Intuit | 26,051 | 11,936,308 | ||||||
KLA | 12,677 | 6,148,598 | ||||||
Microchip Technology | 155,366 | 13,919,240 | ||||||
Microsoft | 163,437 | 55,656,836 | ||||||
NVIDIA | 18,934 | 8,009,461 | ||||||
Salesforce † | 52,453 | 11,081,221 | ||||||
Seagate Technology Holdings | 113,661 | 7,032,206 | ||||||
TE Connectivity | 139,802 | 19,594,648 | ||||||
VeriSign † | 62,940 | 14,222,552 | ||||||
Zebra Technologies Class A † | 24,106 | 7,131,278 | ||||||
195,838,162 | ||||||||
Materials — 5.54% | ||||||||
Crown Holdings | 70,132 | 6,092,367 | ||||||
Linde | 42,128 | 16,054,138 | ||||||
Sherwin-Williams | 46,358 | 12,308,976 | ||||||
34,455,481 | ||||||||
Utilities — 2.72% | ||||||||
NextEra Energy | 227,596 | 16,887,623 | ||||||
16,887,623 | ||||||||
Total Common Stocks (cost $494,840,131) | 615,647,039 | |||||||
Short-Term Investments — 1.07% | ||||||||
Money Market Mutual Funds — 1.07% | ||||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 1,662,749 | 1,662,749 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 1,662,750 | 1,662,750 | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 1,662,748 | 1,662,748 | ||||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 1,662,750 | 1,662,750 | ||||||
Total Short-Term Investments (cost $6,650,997) | 6,650,997 | |||||||
Total Value of Securities—100.14% (cost $501,491,128) | $ | 622,298,036 |
t | Narrow industries are utilized for compliance purposes for concentration whereas broad sectors are used for financial reporting. |
† | Non-income producing security. |
Summary of abbreviations:
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
10 |
Delaware Ivy VIP Corporate Bond | June 30, 2023 (Unaudited) |
Principal | ||||||||
amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations — 0.00% | ||||||||
GNMA | ||||||||
Series 2005-23 1.00% 6/17/45 • | 3,627 | $ | 0 | |||||
Total Agency Collateralized Mortgage Obligations (cost $11) | 0 | |||||||
Convertible Bond — 0.10% | ||||||||
Spirit Airlines 1.00% exercise price $42.36, maturity date 5/15/26 | 567,000 | 460,971 | ||||||
Total Convertible Bond (cost $516,069) | 460,971 | |||||||
Corporate Bonds — 95.50% | ||||||||
Banking — 20.30% | ||||||||
Bank of America | ||||||||
1.898% 7/23/31 µ | 1,325,000 | 1,055,739 | ||||||
2.299% 7/21/32 µ | 3,225,000 | 2,580,374 | ||||||
2.482% 9/21/36 µ | 1,310,000 | 1,002,785 | ||||||
2.496% 2/13/31 µ | 4,000,000 | 3,350,917 | ||||||
2.592% 4/29/31 µ | 3,675,000 | 3,087,132 | ||||||
6.204% 11/10/28 µ | 1,890,000 | 1,944,167 | ||||||
Bank of New York Mellon | ||||||||
4.70% 9/20/25 µ, ψ | 1,750,000 | 1,704,062 | ||||||
5.802% 10/25/28 µ | 301,000 | 307,007 | ||||||
5.834% 10/25/33 µ | 1,638,000 | 1,708,473 | ||||||
Barclays | ||||||||
6.224% 5/9/34 µ | 1,275,000 | 1,270,777 | ||||||
7.385% 11/2/28 µ | 1,057,000 | 1,101,900 | ||||||
Citigroup | ||||||||
2.572% 6/3/31 µ | 4,872,000 | 4,066,951 | ||||||
4.412% 3/31/31 µ | 2,735,000 | 2,572,968 | ||||||
5.61% 9/29/26 µ | 2,495,000 | 2,492,941 | ||||||
Citizens Bank 6.064% 10/24/25 µ | 2,565,000 | 2,431,991 | ||||||
Credit Agricole 144A 5.514% 7/5/33 # | 3,415,000 | 3,438,073 | ||||||
Credit Suisse 7.95% 1/9/25 | 4,350,000 | 4,440,453 | ||||||
Deutsche Bank 6.72% 1/18/29 µ | 956,000 | 958,103 | ||||||
Fifth Third Bancorp 6.361% 10/27/28 µ | 1,002,000 | 998,420 | ||||||
Fifth Third Bank 5.852% 10/27/25 µ | 1,100,000 | 1,072,033 | ||||||
Goldman Sachs Group | ||||||||
1.542% 9/10/27 µ | 3,230,000 | 2,840,945 | ||||||
2.383% 7/21/32 µ | 3,325,000 | 2,664,669 | ||||||
3.50% 11/16/26 | 2,000,000 | 1,876,305 | ||||||
3.80% 3/15/30 | 2,550,000 | 2,360,832 | ||||||
4.25% 10/21/25 | 3,250,000 | 3,133,511 | ||||||
Huntington National Bank | ||||||||
4.552% 5/17/28 µ | 573,000 | 534,981 | ||||||
5.65% 1/10/30 | 1,140,000 | 1,089,648 | ||||||
JPMorgan Chase & Co. | ||||||||
2.522% 4/22/31 µ | 10,202,000 | 8,634,891 | ||||||
3.875% 9/10/24 | 1,424,000 | 1,390,787 | ||||||
4.00% 4/1/25 µ, ψ | 1,650,000 | 1,511,169 | ||||||
5.35% 6/1/34 µ | 685,000 | 690,741 | ||||||
KeyBank | ||||||||
4.15% 8/8/25 | 286,000 | 264,419 | ||||||
5.00% 1/26/33 | 2,145,000 | 1,857,355 | ||||||
KeyCorp | ||||||||
3.878% 5/23/25 µ | 1,300,000 | 1,202,591 | ||||||
4.789% 6/1/33 µ | 190,000 | 159,374 | ||||||
Morgan Stanley | ||||||||
1.794% 2/13/32 µ | 3,525,000 | 2,736,288 | ||||||
3.875% 1/27/26 | 3,850,000 | 3,717,778 | ||||||
6.138% 10/16/26 µ | 1,135,000 | 1,146,912 | ||||||
6.342% 10/18/33 µ | 2,115,000 | 2,250,911 | ||||||
PNC Financial Services Group | ||||||||
5.068% 1/24/34 µ | 1,273,000 | 1,221,210 | ||||||
Popular 7.25% 3/13/28 | 2,470,000 | 2,470,000 | ||||||
SVB Financial Group | ||||||||
4.00% 5/15/26 µ, ‡, ψ | 1,360,000 | 99,824 | ||||||
4.57% 4/29/33 µ, ‡ | 1,320,000 | 886,203 | ||||||
Truist Financial | ||||||||
4.95% 9/1/25 µ, ψ | 1,765,000 | 1,637,038 | ||||||
6.123% 10/28/33 µ | 996,000 | 1,011,341 | ||||||
US Bancorp | ||||||||
2.491% 11/3/36 µ | 2,300,000 | 1,683,914 | ||||||
4.653% 2/1/29 µ | 785,000 | 750,602 | ||||||
5.727% 10/21/26 µ | 966,000 | 965,854 | ||||||
5.836% 6/12/34 µ | 1,165,000 | 1,173,964 | ||||||
Wells Fargo & Co. 2.879% 10/30/30 µ | 4,080,000 | 3,527,253 | ||||||
97,076,576 | ||||||||
Basic Industry — 0.92% | ||||||||
Celanese US Holdings 6.05% 3/15/25 | 2,025,000 | 2,017,741 | ||||||
Graphic Packaging International | ||||||||
144A 0.821% 4/15/24 # | 2,480,000 | 2,380,253 | ||||||
4,397,994 | ||||||||
Brokerage — 2.38% | ||||||||
Blackstone Holdings Finance | ||||||||
144A 1.60% 3/30/31 # | 950,000 | 705,776 | ||||||
144A 2.00% 1/30/32 # | 3,760,000 | 2,804,263 | ||||||
Jefferies Financial Group 2.625% 10/15/31 | 2,130,000 | 1,653,268 | ||||||
KKR Group Finance VIII 144A 3.50% 8/25/50 # | 4,000,000 | 2,727,921 |
11 |
Schedules of investments
Delaware Ivy VIP Corporate Bond
Principal | ||||||||
amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Brokerage (continued) | ||||||||
National Securities Clearing 144A | ||||||||
1.50% 4/23/25 # | 3,745,000 | $ | 3,483,913 | |||||
11,375,141 | ||||||||
Capital Goods — 4.24% | ||||||||
Ashtead Capital 144A 2.45% 8/12/31 # | 260,000 | 204,223 | ||||||
Boeing 3.75% 2/1/50 | 3,375,000 | 2,536,749 | ||||||
Lennox International 1.35% 8/1/25 | 2,750,000 | 2,508,819 | ||||||
Martin Marietta Materials 0.65% 7/15/23 | 1,165,000 | 1,162,590 | ||||||
Masco 1.50% 2/15/28 | 2,225,000 | 1,896,079 | ||||||
Parker-Hannifin 4.25% 9/15/27 | 250,000 | 242,604 | ||||||
Raytheon Technologies | ||||||||
5.15% 2/27/33 | 2,700,000 | 2,738,089 | ||||||
5.375% 2/27/53 | 745,000 | 774,394 | ||||||
Republic Services 2.30% 3/1/30 | 3,457,000 | 2,952,714 | ||||||
Vontier 2.40% 4/1/28 | 2,973,000 | 2,480,181 | ||||||
Waste Connections 3.50% 5/1/29 | 3,049,000 | 2,806,903 | ||||||
20,303,345 | ||||||||
Communications — 10.16% | ||||||||
AT&T | ||||||||
3.50% 6/1/41 | 2,000,000 | 1,537,306 | ||||||
3.50% 9/15/53 | 2,965,000 | 2,101,071 | ||||||
3.65% 6/1/51 | 3,900,000 | 2,865,281 | ||||||
5.40% 2/15/34 | 295,000 | 295,652 | ||||||
CCO Holdings | ||||||||
144A 4.75% 2/1/32 # | 1,070,000 | 873,709 | ||||||
144A 6.375% 9/1/29 # | 470,000 | 443,325 | ||||||
Cellnex Finance 144A 3.875% 7/7/41 # | 1,320,000 | 968,343 | ||||||
Charter Communications Operating | ||||||||
3.85% 4/1/61 | 2,565,000 | 1,553,576 | ||||||
3.90% 6/1/52 | 1,115,000 | 730,635 | ||||||
4.50% 2/1/24 | 2,306,000 | 2,286,107 | ||||||
Comcast | ||||||||
2.887% 11/1/51 | 1,446,000 | 970,299 | ||||||
3.25% 11/1/39 | 3,875,000 | 3,077,148 | ||||||
3.90% 3/1/38 | 500,000 | 434,891 | ||||||
4.80% 5/15/33 | 2,235,000 | 2,212,589 | ||||||
Crown Castle | ||||||||
1.05% 7/15/26 | 2,500,000 | 2,190,534 | ||||||
3.15% 7/15/23 | 175,000 | 174,788 | ||||||
3.20% 9/1/24 | 2,250,000 | 2,181,547 | ||||||
4.00% 3/1/27 | 2,000,000 | 1,903,380 | ||||||
Directv Financing 144A 5.875% 8/15/27 # | 1,050,000 | 952,151 | ||||||
Discovery Communications 4.00% 9/15/55 | 1,710,000 | 1,138,285 | ||||||
Paramount Global 4.75% 5/15/25 | 1,776,000 | 1,734,572 | ||||||
Sprint Capital 6.875% 11/15/28 | 1,770,000 | 1,877,781 | ||||||
T-Mobile USA | ||||||||
3.30% 2/15/51 | 425,000 | 298,513 | ||||||
3.50% 4/15/25 | 5,555,000 | 5,343,651 | ||||||
4.375% 4/15/40 | 575,000 | 508,190 | ||||||
5.05% 7/15/33 | 2,015,000 | 1,979,371 | ||||||
Verizon Communications | ||||||||
2.65% 11/20/40 | 1,250,000 | 870,059 | ||||||
2.875% 11/20/50 | 1,540,000 | 1,004,643 | ||||||
4.50% 8/10/33 | 3,575,000 | 3,374,902 | ||||||
VZ Secured Financing 144A 5.00% 1/15/32 # | 705,000 | 568,552 | ||||||
Warnermedia Holdings 6.412% 3/15/26 | 2,130,000 | 2,132,246 | ||||||
48,583,097 | ||||||||
Consumer Cyclical — 6.55% | ||||||||
ADT Security 144A 4.875% 7/15/32 # | 969,000 | 829,881 | ||||||
Amazon.com | ||||||||
2.50% 6/3/50 | 4,610,000 | 3,070,340 | ||||||
3.875% 8/22/37 | 5,677,000 | 5,188,517 | ||||||
Aptiv 3.10% 12/1/51 | 2,058,000 | 1,295,701 | ||||||
DR Horton 2.60% 10/15/25 | 3,080,000 | 2,883,361 | ||||||
Ford Motor Credit | ||||||||
6.95% 3/6/26 | 720,000 | 724,532 | ||||||
6.95% 6/10/26 | 1,405,000 | 1,413,318 | ||||||
General Motors Financial | ||||||||
1.25% 1/8/26 | 2,125,000 | 1,896,849 | ||||||
2.40% 10/15/28 | 1,420,000 | 1,203,279 | ||||||
5.85% 4/6/30 | 500,000 | 496,109 | ||||||
6.40% 1/9/33 | 1,550,000 | 1,576,526 | ||||||
Home Depot | ||||||||
3.30% 4/15/40 | 4,500,000 | 3,657,760 | ||||||
4.20% 4/1/43 | 1,670,000 | 1,493,721 | ||||||
NVR 3.00% 5/15/30 | 4,022,000 | 3,487,290 | ||||||
VICI Properties 4.95% 2/15/30 | 2,230,000 | 2,093,937 | ||||||
31,311,121 | ||||||||
Consumer Non-Cyclical — 8.80% | ||||||||
Amgen | ||||||||
2.80% 8/15/41 | 1,750,000 | 1,237,929 | ||||||
5.15% 3/2/28 | 980,000 | 979,818 | ||||||
5.65% 3/2/53 | 700,000 | 709,401 | ||||||
Boston Scientific 1.90% 6/1/25 | 2,000,000 | 1,875,826 | ||||||
Bunge Limited Finance 2.75% 5/14/31 | 1,725,000 | 1,448,860 | ||||||
Cigna Group 5.685% 3/15/26 | 3,335,000 | 3,339,696 |
12 |
Principal | ||||||||
amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Consumer Non-Cyclical (continued) | ||||||||
Clorox 3.90% 5/15/28 | 4,676,000 | $ | 4,464,870 | |||||
Coca-Cola Europacific Partners 144A 0.80% 5/3/24 # | 2,270,000 | 2,180,090 | ||||||
CVS Health | ||||||||
2.70% 8/21/40 | 1,417,000 | 990,197 | ||||||
4.78% 3/25/38 | 1,105,000 | 1,020,385 | ||||||
5.25% 1/30/31 | 830,000 | 827,656 | ||||||
Eli Lilly & Co. 5.00% 2/27/26 | 1,470,000 | 1,471,411 | ||||||
JBS USA Lux 144A 3.00% 2/2/29 # | 1,560,000 | 1,326,780 | ||||||
McCormick & Co. | ||||||||
0.90% 2/15/26 | 3,572,000 | 3,186,129 | ||||||
3.50% 9/1/23 | 771,000 | 767,923 | ||||||
Merck & Co. 2.75% 12/10/51 | 1,005,000 | 694,281 | ||||||
Nestle Holdings | ||||||||
144A 3.90% 9/24/38 # | 1,520,000 | 1,364,275 | ||||||
144A 4.00% 9/24/48 # | 4,020,000 | 3,548,730 | ||||||
Pfizer Investment Enterprises | ||||||||
4.75% 5/19/33 | 2,040,000 | 2,033,107 | ||||||
5.30% 5/19/53 | 1,180,000 | 1,227,750 | ||||||
Royalty Pharma | ||||||||
1.20% 9/2/25 | 3,840,000 | 3,464,481 | ||||||
3.30% 9/2/40 | 325,000 | 231,617 | ||||||
3.35% 9/2/51 | 958,000 | 617,962 | ||||||
3.55% 9/2/50 | 236,000 | 159,581 | ||||||
Universal Health Services 1.65% 9/1/26 | 2,535,000 | 2,217,437 | ||||||
US Foods 144A 4.75% 2/15/29 # | 775,000 | 710,310 | ||||||
42,096,502 | ||||||||
Electric — 8.85% | ||||||||
American Electric Power 5.699% 8/15/25 | 1,330,000 | 1,322,672 | ||||||
Appalachian Power 4.50% 8/1/32 | 1,005,000 | 942,624 | ||||||
Baltimore Gas and Electric 4.25% 9/15/48 | 1,500,000 | 1,281,826 | ||||||
Black Hills 1.037% 8/23/24 | 1,650,000 | 1,559,387 | ||||||
CenterPoint Energy 4.25% 11/1/28 | 505,000 | 473,053 | ||||||
CenterPoint Energy Houston Electric 4.95% 4/1/33 | 2,565,000 | 2,561,867 | ||||||
Commonwealth Edison | ||||||||
2.75% 9/1/51 | 2,500,000 | 1,621,992 | ||||||
3.65% 6/15/46 | 3,000,000 | 2,351,323 | ||||||
Constellation Energy Generation 5.60% 3/1/28 | 1,460,000 | 1,472,300 | ||||||
Consumers Energy 4.625% 5/15/33 | 1,605,000 | 1,562,812 | ||||||
Duke Energy Carolinas | ||||||||
3.95% 11/15/28 | 364,000 | 347,985 | ||||||
5.35% 1/15/53 | 935,000 | 948,586 | ||||||
Duke Energy Indiana 5.40% 4/1/53 | 1,400,000 | 1,413,393 | ||||||
Duke Energy Ohio 5.25% 4/1/33 | 1,000,000 | 1,007,926 | ||||||
Edison International 8.125% 6/15/53 µ | 2,155,000 | 2,204,461 | ||||||
Enel Finance International 144A 6.80% 10/14/25 # | 1,500,000 | 1,528,532 | ||||||
Eversource Energy 5.45% 3/1/28 | 1,510,000 | 1,521,457 | ||||||
Exelon 5.30% 3/15/33 | 870,000 | 867,696 | ||||||
Fells Point Funding Trust 144A 3.046% 1/31/27 # | 1,205,000 | 1,108,534 | ||||||
Louisville Gas and Electric 5.45%4/15/33 | 1,205,000 | 1,228,279 | ||||||
MidAmerican Energy 3.95%8/1/47 | 2,000,000 | 1,631,411 | ||||||
National Rural Utilities | ||||||||
Cooperative Finance 4.40% 11/1/48 | 2,000,000 | 1,717,446 | ||||||
NextEra Energy Capital Holdings | ||||||||
3.00% 1/15/52 | 1,195,000 | 787,551 | ||||||
6.051% 3/1/25 | 2,170,000 | 2,179,127 | ||||||
Oglethorpe Power 4.50% 4/1/47 | 1,450,000 | 1,200,528 | ||||||
Southern California Edison | ||||||||
3.45% 2/1/52 | 800,000 | 573,614 | ||||||
4.125% 3/1/48 | 572,000 | 464,858 | ||||||
4.70% 6/1/27 | 1,011,000 | 994,578 | ||||||
Virginia Electric and Power 4.60% 12/1/48 | 1,736,000 | 1,549,364 | ||||||
Vistra Operations 144A 5.125% 5/13/25 # | 2,110,000 | 2,059,352 | ||||||
WEC Energy Group 5.15% 10/1/27 | 770,000 | 769,403 | ||||||
Wisconsin Electric Power 4.30% 10/15/48 | 1,250,000 | 1,079,884 | ||||||
42,333,821 | ||||||||
Energy — 5.00% | ||||||||
BP Capital Markets America | ||||||||
2.939% 6/4/51 | 3,295,000 | 2,252,706 | ||||||
4.812% 2/13/33 | 1,825,000 | 1,799,338 | ||||||
Cheniere Energy Partners 144A 5.95% 6/30/33 # | 1,490,000 | 1,496,198 | ||||||
Colorado Interstate Gas 144A 4.15% 8/15/26 # | 1,000,000 | 954,822 | ||||||
ConocoPhillips 5.30% 5/15/53 | 1,415,000 | 1,440,550 | ||||||
Energy Transfer 6.25% 4/15/49 | 280,000 | 273,769 | ||||||
Enterprise Products Operating 5.35% 1/31/33 | 380,000 | 386,586 | ||||||
Kinder Morgan | ||||||||
4.80% 2/1/33 | 1,010,000 | 953,221 | ||||||
5.55% 6/1/45 | 1,000,000 | 922,460 | ||||||
Marathon Oil 5.20% 6/1/45 | 1,430,000 | 1,212,223 |
13 |
Schedules of investments
Delaware Ivy VIP Corporate Bond
Principal | ||||||||
amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Energy (continued) | ||||||||
MPLX | ||||||||
5.00% 3/1/33 | 1,115,000 | $ | 1,068,479 | |||||
5.65% 3/1/53 | 600,000 | 561,532 | ||||||
Occidental Petroleum 6.125% 1/1/31 | 1,411,000 | 1,434,162 | ||||||
Sabal Trail Transmission 144A 4.246% 5/1/28 # | 2,500,000 | 2,368,971 | ||||||
Targa Resources Partners | ||||||||
5.00% 1/15/28 | 3,642,000 | 3,479,012 | ||||||
6.875% 1/15/29 | 496,000 | 506,356 | ||||||
Williams Cos. 4.85% 3/1/48 | 3,250,000 | 2,817,981 | ||||||
23,928,366 | ||||||||
Finance Companies — 2.72% | ||||||||
AerCap Ireland Capital DAC | ||||||||
1.65% 10/29/24 | 765,000 | 719,233 | ||||||
1.75% 1/30/26 | 2,182,000 | 1,960,133 | ||||||
3.00% 10/29/28 | 3,846,000 | 3,328,467 | ||||||
3.40% 10/29/33 | 229,000 | 184,171 | ||||||
Air Lease | ||||||||
2.20% 1/15/27 | 445,000 | 394,960 | ||||||
2.875% 1/15/32 | 1,850,000 | 1,486,866 | ||||||
4.125% 12/15/26 µ, ψ | 1,532,000 | 998,891 | ||||||
5.85% 12/15/27 | 990,000 | 989,614 | ||||||
Aviation Capital Group | ||||||||
144A 1.95% 1/30/26 # | 1,408,000 | 1,255,037 | ||||||
144A 1.95% 9/20/26 # | 255,000 | 221,181 | ||||||
144A 6.25% 4/15/28 # | 457,000 | 456,371 | ||||||
Avolon Holdings Funding 144A 3.25% 2/15/27 # | 540,000 | 481,589 | ||||||
Owl Rock Capital 4.00% 3/30/25 | 575,000 | 539,487 | ||||||
13,016,000 | ||||||||
Industrials — 0.08% | ||||||||
University of Southern California 3.028% 10/1/39 | 500,000 | 402,760 | ||||||
402,760 | ||||||||
Insurance — 6.65% | ||||||||
American International Group 5.125% 3/27/33 | 2,250,000 | 2,198,938 | ||||||
Aon | ||||||||
2.80% 5/15/30 | 4,900,000 | 4,246,261 | ||||||
5.00% 9/12/32 | 1,225,000 | 1,210,075 | ||||||
Athene Global Funding | ||||||||
144A 1.985% 8/19/28 # | 5,885,000 | 4,729,609 | ||||||
144A 2.717% 1/7/29 # | 2,935,000 | 2,394,046 | ||||||
Brighthouse Financial 3.85% 12/22/51 | 539,000 | 341,716 | ||||||
First American Financial 2.40% 8/15/31 | 2,100,000 | 1,599,108 | ||||||
New York Life Global Funding | ||||||||
144A 1.20% 8/7/30 # | 1,798,000 | 1,394,118 | ||||||
144A 4.85% 1/9/28 # | 1,880,000 | 1,864,185 | ||||||
Northwestern Mutual Life Insurance 144A 3.85% 9/30/47 # | 3,000,000 | 2,344,050 | ||||||
Principal Life Global Funding II 144A 3.00% 4/18/26 # | 1,000,000 | 927,377 | ||||||
UnitedHealth Group | ||||||||
3.05% 5/15/41 | 3,685,000 | 2,851,600 | ||||||
3.70% 8/15/49 | 1,000,000 | 804,325 | ||||||
4.00% 5/15/29 | 880,000 | 841,606 | ||||||
4.20% 5/15/32 | 1,044,000 | 997,095 | ||||||
4.50% 4/15/33 | 1,500,000 | 1,461,837 | ||||||
5.05% 4/15/53 | 1,605,000 | 1,596,504 | ||||||
31,802,450 | ||||||||
Natural Gas — 1.33% | ||||||||
Sempra Energy 4.875% 10/15/25 µ, ψ | 1,505,000 | 1,403,515 | ||||||
Southern California Gas | ||||||||
4.30% 1/15/49 | 2,505,000 | 2,095,405 | ||||||
5.20% 6/1/33 | 700,000 | 691,117 | ||||||
5.75% 6/1/53 | 765,000 | 774,077 | ||||||
6.35% 11/15/52 | 1,270,000 | 1,409,176 | ||||||
6,373,290 | ||||||||
Real Estate Investment Trusts — 1.44% | ||||||||
Alexandria Real Estate Equities 4.75% 4/15/35 | 1,100,000 | 1,021,929 | ||||||
American Homes 4 Rent 3.625% 4/15/32 | 890,000 | 769,989 | ||||||
Extra Space Storage | ||||||||
2.35% 3/15/32 | 2,892,000 | 2,263,549 | ||||||
2.55% 6/1/31 | 3,485,000 | 2,823,960 | ||||||
6,879,427 | ||||||||
Technology — 13.91% | ||||||||
Adobe 2.30% 2/1/30 | 3,417,000 | 2,999,779 | ||||||
Alphabet 2.05% 8/15/50 | 2,756,000 | 1,726,493 | ||||||
Apple | ||||||||
2.65% 5/11/50 | 675,000 | 470,356 | ||||||
2.65% 2/8/51 | 1,075,000 | 743,200 | ||||||
2.70% 8/5/51 | 1,125,000 | 784,656 | ||||||
4.30% 5/10/33 | 295,000 | 293,563 | ||||||
4.85% 5/10/53 | 1,330,000 | 1,364,011 | ||||||
Autodesk | ||||||||
2.40% 12/15/31 | 460,000 | 376,699 | ||||||
2.85% 1/15/30 | 5,231,000 | 4,589,731 | ||||||
Broadcom | ||||||||
144A 3.419% 4/15/33 # | 2,500,000 | 2,091,802 | ||||||
144A 3.469% 4/15/34 # | 1,483,000 | 1,217,047 |
14 |
Principal | ||||||||
amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Technology (continued) | ||||||||
CDW | ||||||||
2.67% 12/1/26 | 815,000 | $ | 732,701 | |||||
3.276% 12/1/28 | 3,590,000 | 3,120,802 | ||||||
CoStar Group 144A 2.80% 7/15/30 # | 2,431,000 | 2,008,091 | ||||||
Entegris Escrow | ||||||||
144A 4.75% 4/15/29 # | 1,690,000 | 1,570,443 | ||||||
144A 5.95% 6/15/30 # | 955,000 | 916,444 | ||||||
Equinix 2.625% 11/18/24 | 4,895,000 | 4,676,969 | ||||||
Fidelity National Information Services 1.65% 3/1/28 | 2,225,000 | 1,880,104 | ||||||
Fiserv 3.85% 6/1/25 | 4,646,000 | 4,490,383 | ||||||
Global Payments 2.65% 2/15/25 | 4,000,000 | 3,795,680 | ||||||
Leidos 2.30% 2/15/31 | 906,000 | 714,466 | ||||||
Microchip Technology 0.983% 9/1/24 | 2,685,000 | 2,537,131 | ||||||
Micron Technology 5.875% 9/15/33 | 1,395,000 | 1,383,090 | ||||||
Microsoft 2.921% 3/17/52 | 2,975,000 | 2,215,250 | ||||||
NXP 3.875% 6/18/26 | 2,800,000 | 2,690,844 | ||||||
Oracle | ||||||||
3.60% 4/1/50 | 1,129,000 | 807,394 | ||||||
4.65% 5/6/30 | 605,000 | 584,924 | ||||||
5.55% 2/6/53 | 1,096,000 | 1,062,097 | ||||||
PayPal Holdings | ||||||||
2.30% 6/1/30 | 2,110,000 | 1,790,321 | ||||||
3.25% 6/1/50 | 1,100,000 | 798,635 | ||||||
3.90% 6/1/27 | 445,000 | 430,602 | ||||||
Sensata Technologies 144A 3.75% 2/15/31 # | 1,115,000 | 954,876 | ||||||
Texas Instruments 3.875% 3/15/39 | 2,994,000 | 2,684,955 | ||||||
Thomson Reuters 3.35% 5/15/26 | 2,760,000 | 2,628,456 | ||||||
Visa 2.70% 4/15/40 | 4,897,000 | 3,765,669 | ||||||
VMware 4.50% 5/15/25 | 1,650,000 | 1,616,713 | ||||||
66,514,377 | ||||||||
Transportation — 1.71% | ||||||||
Air Canada 144A 3.875% 8/15/26 # | 1,435,000 | 1,331,325 | ||||||
American Airlines 144A 5.50% 4/20/26 # | 1,410,000 | 1,398,142 | ||||||
Burlington Northern Santa Fe 4.55% 9/1/44 | 1,000,000 | 923,231 | ||||||
Delta Air Lines 2020-1 Class AA Pass Through Trust 2.00% 12/10/29 t | 1,251,443 | 1,102,818 | ||||||
ERAC USA Finance | ||||||||
144A 4.90% 5/1/33 # | 945,000 | 924,186 | ||||||
144A 5.40% 5/1/53 # | 590,000 | 589,491 | ||||||
United Airlines 2016-1 Class AA Pass Through Trust 3.10% 1/7/30 t | 2,093,868 | 1,892,329 | ||||||
8,161,522 | ||||||||
Utilities — 0.46% | ||||||||
American Water Capital 4.15% 6/1/49 | 2,600,000 | 2,180,454 | ||||||
2,180,454 | ||||||||
Total Corporate Bonds (cost $515,542,926) | 456,736,243 | |||||||
Municipal Bonds — 0.82% | ||||||||
Commonwealth of Puerto Rico (Restructured) | ||||||||
Series A-1 2.986% 7/1/24 ^ | 16,942 | 16,233 | ||||||
Series A-1 4.00% 7/1/35 | 36,981 | 34,467 | ||||||
GDB Debt Recovery Authority of Puerto Rico Revenue (Taxable) 7.50% 8/20/40 | 1,582,304 | 1,309,357 | ||||||
New York City, New York Industrial Development Agency (Yankee Stadium Project) 144A 11.00% 3/1/29 # | 2,210,000 | 2,554,053 | ||||||
Total Municipal Bonds (cost $3,768,450) | 3,914,110 | |||||||
Sovereign Bonds — 0.52%Δ | ||||||||
Colombia — 0.14% | ||||||||
Colombia Government International Bond 3.25% 4/22/32 | 925,000 | 686,637 | ||||||
686,637 | ||||||||
Mexico — 0.18% | ||||||||
Mexico Government International Bond 3.75% 4/19/71 | 1,250,000 | 836,945 | ||||||
836,945 | ||||||||
United States — 0.20% | ||||||||
Tennessee Valley Authority 2.875% 2/1/27 | 1,000,000 | 940,850 | ||||||
940,850 | ||||||||
Total Sovereign Bonds (cost $3,150,290) | 2,464,432 | |||||||
US Treasury Obligations — 2.24% | ||||||||
US Treasury Bonds | ||||||||
3.625% 2/15/53 | 3,625,000 | 3,480,000 | ||||||
3.875% 2/15/43 | 615,000 | 599,817 |
15 |
Schedules of investments
Delaware Ivy VIP Corporate Bond
Principal | ||||||||
amount° | Value (US $) | |||||||
US Treasury Obligations (continued) | ||||||||
US Treasury Notes 3.50% 1/31/30 | 6,855,000 | $ | 6,653,367 | |||||
Total US Treasury Obligations | ||||||||
(cost $10,939,575) | 10,733,184 |
Number of | ||||||||
shares | ||||||||
Short-Term Investments — 0.43% | ||||||||
Money Market Mutual Funds — 0.43% | ||||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 514,352 | 514,352 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 514,353 | 514,353 | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 514,353 | 514,353 | ||||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 514,353 | 514,353 | ||||||
Total Short-Term Investments | ||||||||
(cost $2,057,411) | 2,057,411 | |||||||
Total Value of Securities—99.61% | ||||||||
(cost $535,974,732) | $ | 476,366,351 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2023. Rate will reset at a future date. |
ψ | Perpetual security. Maturity date represents next call date. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2023, the aggregate value of Rule 144A securities was $70,650,440, which represents 14.77% of the Portfolio's net assets. See Note 9 in “Notes to financial statements." |
‡ | Non-income producing security. Security is currently in default. |
t | Pass Through Agreement. Security represents the contractual right to receive a proportionate amount of underlying payments due to the counterparty pursuant to various agreements related to the rescheduling of obligations and the exchange of certain notes. |
^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
Δ | Securities have been classified by country of risk. |
Summary of abbreviations:
DAC – Designated Activity Company
GNMA – Government National Mortgage Association
ICE – Intercontinental Exchange, Inc.
LIBOR – London Interbank Offered Rate
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
16 |
Delaware Ivy VIP Global Growth | June 30, 2023 (Unaudited) |
Number of | ||||||||
shares | Value (US $) | |||||||
Common Stocks – 98.97%Δ | ||||||||
Canada – 4.52% | ||||||||
Barrick Gold | 58,432 | $ | 989,254 | |||||
Canadian Natural Resources | 47,808 | 2,689,678 | ||||||
Canadian Pacific Kansas City | 22,412 | 1,810,216 | ||||||
5,489,148 | ||||||||
China – 4.28% | ||||||||
China Mengniu Dairy † | 559,000 | 2,112,623 | ||||||
H World Group ADR † | 36,091 | 1,399,609 | ||||||
Tencent Holdings | 39,700 | 1,683,327 | ||||||
5,195,559 | ||||||||
Denmark – 1.76% | ||||||||
Genmab † | 5,629 | 2,133,153 | ||||||
2,133,153 | ||||||||
France – 8.67% | ||||||||
Airbus | 18,909 | 2,733,896 | ||||||
BNP Paribas | 32,249 | 2,035,104 | ||||||
LVMH Moet Hennessy Louis Vuitton | 1,513 | 1,426,626 | ||||||
Thales | 12,308 | 1,844,094 | ||||||
TotalEnergies | 15,287 | 877,545 | ||||||
Vinci | 13,752 | 1,597,919 | ||||||
10,515,184 | ||||||||
Germany – 4.45% | ||||||||
Bayer | 30,119 | 1,667,240 | ||||||
Deutsche Telekom | 100,472 | 2,192,150 | ||||||
RWE | 35,313 | 1,538,810 | ||||||
5,398,200 | ||||||||
Hong Kong – 1.45% | ||||||||
Prudential | 124,544 | 1,758,984 | ||||||
1,758,984 | ||||||||
India – 4.85% | ||||||||
ICICI Bank | 116,297 | 1,331,483 | ||||||
Larsen & Toubro | 64,150 | 1,939,736 | ||||||
NTPC | 569,383 | 1,315,040 | ||||||
State Bank of India | 186,134 | 1,303,666 | ||||||
5,889,925 | ||||||||
Italy – 1.82% | ||||||||
Ferrari | 6,751 | 2,207,225 | ||||||
2,207,225 | ||||||||
Japan – 4.98% | ||||||||
Asahi Group Holdings | 38,100 | 1,478,274 | ||||||
ITOCHU | 37,600 | 1,493,530 | ||||||
Mitsubishi UFJ Financial Group | 253,800 | 1,870,779 | ||||||
ORIX | 66,000 | 1,203,589 | ||||||
6,046,172 | ||||||||
Netherlands – 0.81% | ||||||||
Shell | 32,503 | 979,095 | ||||||
979,095 | ||||||||
Taiwan – 1.96% | ||||||||
Taiwan Semiconductor Manufacturing | 129,000 | 2,383,060 | ||||||
2,383,060 | ||||||||
United Kingdom – 3.51% | ||||||||
AstraZeneca | 14,172 | 2,031,617 | ||||||
Reckitt Benckiser Group | 29,704 | 2,232,281 | ||||||
4,263,898 | ||||||||
United States – 55.91% | ||||||||
Abbott Laboratories | 14,012 | 1,527,588 | ||||||
Alphabet Class A † | 15,220 | 1,821,834 | ||||||
Amazon.com † | 30,879 | 4,025,387 | ||||||
Ambarella † | 14,078 | 1,177,906 | ||||||
Apple | 19,460 | 3,774,656 | ||||||
Aptiv † | 18,124 | 1,850,279 | ||||||
Autodesk † | 6,776 | 1,386,437 | ||||||
Burlington Stores † | 7,453 | 1,173,028 | ||||||
Casey's General Stores | 4,999 | 1,219,156 | ||||||
ConocoPhillips | 22,696 | 2,351,533 | ||||||
Danaher | 6,727 | 1,614,480 | ||||||
Darden Restaurants | 12,095 | 2,020,833 | ||||||
Eli Lilly & Co. | 4,448 | 2,086,023 | ||||||
Etsy † | 12,067 | 1,020,989 | ||||||
Generac Holdings † | 10,327 | 1,540,066 | ||||||
Ingersoll Rand | 28,637 | 1,871,714 | ||||||
Intercontinental Exchange | 12,387 | 1,400,722 | ||||||
Intuit | 5,086 | 2,330,354 | ||||||
KLA | 2,664 | 1,292,093 | ||||||
Mastercard Class A | 7,794 | 3,065,380 | ||||||
Microchip Technology | 15,367 | 1,376,730 | ||||||
Microsoft | 14,359 | 4,889,814 | ||||||
Morgan Stanley | 18,751 | 1,601,335 | ||||||
NVIDIA | 5,217 | 2,206,895 | ||||||
PayPal Holdings † | 21,058 | 1,405,200 | ||||||
Pinterest Class A † | 89,063 | 2,434,983 | ||||||
Procter & Gamble | 15,238 | 2,312,214 | ||||||
Raytheon Technologies | 22,924 | 2,245,635 | ||||||
Schlumberger | 10,974 | 539,043 | ||||||
Seagate Technology Holdings | 31,303 | 1,936,717 | ||||||
Thermo Fisher Scientific | 2,421 | 1,263,157 | ||||||
T-Mobile US † | 427 | 59,310 | ||||||
UnitedHealth Group | 5,349 | 2,570,943 | ||||||
VeriSign † | 9,190 | 2,076,664 |
17 |
Schedules of investments
Delaware Ivy VIP Global Growth
Number of | ||||||||
shares | Value (US $) | |||||||
Common StocksΔ (continued) | ||||||||
United States (continued) | ||||||||
Vertex Pharmaceuticals † | 6,756 | $ | 2,377,504 | |||||
67,846,602 | ||||||||
Total Common Stocks (cost $98,214,245) | 120,106,205 | |||||||
Short-Term Investments – 0.70% | ||||||||
Money Market Mutual Funds – 0.70% | ||||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 212,731 | 212,731 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 212,731 | 212,731 | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 212,732 | 212,732 | ||||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 212,730 | 212,730 | ||||||
Total Short-Term Investments (cost $850,924) | 850,924 | |||||||
Total Value of Securities–99.67% (cost $99,065,169) | $ | 120,957,129 |
Δ | Securities have been classified by country of risk. Aggregate classification by business sector has been presented on page 5 in “Security type / country and sector allocations.” |
† | Non-income producing security. |
Summary of abbreviations:
ADR - American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
18 |
Delaware Ivy VIP Limited-Term Bond | June 30, 2023 (Unaudited) |
Principal | ||||||||
amount° | Value (US $) | |||||||
Agency Collateralized Mortgage Obligations — 0.15% | ||||||||
Freddie Mac REMICs Series 4505 PE 2.50% 5/15/44 | 214,450 | $ | 197,032 | |||||
GNMA Series 2012-39 PA 2.00% 3/16/42 | 271,884 | 246,077 | ||||||
Total Agency Collateralized Mortgage Obligations (cost $488,290) | 443,109 | |||||||
Agency Commercial Mortgage-Backed Securities — 6.12% | ||||||||
FREMF Mortgage Trust | ||||||||
Series 2013-K33 B 144A 3.551% 8/25/46 #, • | 1,009,000 | 1,004,943 | ||||||
Series 2013-K33 C 144A 3.551% 8/25/46 #, • | 1,250,000 | 1,244,470 | ||||||
Series 2013-K35 B 144A 4.192% 12/25/46 #, • | 1,270,000 | 1,263,147 | ||||||
Series 2015-K47 B 144A 3.71% 6/25/48 #, • | 1,170,000 | 1,118,863 | ||||||
Series 2015-KF12 B 144A 12.293% (LIBOR01M + 7.10%, Floor 7.10%) 9/25/22 #, • | 600,484 | 599,182 | ||||||
Series 2016-K723 B 144A 3.613% 11/25/23 #, • | 3,500,000 | 3,470,358 | ||||||
Series 2017-K724 C 144A 3.596% 12/25/49 #, • | 600,000 | 590,672 | ||||||
Series 2017-K729 B 144A 3.799% 11/25/49 #, • | 1,900,000 | 1,829,087 | ||||||
Series 2017-KF33 B 144A 7.743% (LIBOR01M + 2.55%, Floor 2.55%) 6/25/27 #, • | 414,873 | 381,698 | ||||||
Series 2017-KF39 B 144A 7.693% (LIBOR01M + 2.50%, Floor 2.50%) 11/25/24 #, • | 297,733 | 290,798 | ||||||
Series 2017-KF40 B 144A 7.893% (LIBOR01M + 2.70%, Floor 2.70%) 11/25/27 #, • | 484,433 | 457,577 | ||||||
Series 2018-K732 B 144A 4.189% 5/25/25 #, • | 225,000 | 215,486 | ||||||
Series 2018-KF46 B 144A 7.143% (LIBOR01M + 1.95%, Floor 1.95%) 3/25/28 #, • | 490,022 | 445,456 | ||||||
Series 2018-KF47 B 144A 7.193% (LIBOR01M + 2.00%, Floor 2.00%) 5/25/25 #, • | 423,985 | 409,419 | ||||||
Series 2018-KF48 B 144A 7.243% (LIBOR01M + 2.05%, Floor 2.05%) 6/25/28 #, • | 266,109 | 235,915 | ||||||
Series 2018-KF51 B 144A 7.043% (LIBOR01M + 1.85%, Floor 1.85%) 8/25/25 #, • | 840,716 | 807,103 | ||||||
Series 2019-KF60 B 144A 7.543% (LIBOR01M + 2.35%, Floor 2.35%) 2/25/26 #, • | 1,048,107 | 1,000,400 | ||||||
Series 2019-KF61 B 144A 7.393% (LIBOR01M + 2.20%, Floor 2.20%) 4/25/29 #, • | 387,977 | 346,798 | ||||||
Series 2019-KF68 B 144A 7.393% (LIBOR01M + 2.20%, Floor 2.20%) 7/25/26 #, • | 699,206 | 656,142 | ||||||
Series 2019-KF69 B 144A 7.493% (LIBOR01M + 2.30%, Floor 2.30%) 8/25/29 #, • | 404,542 | 367,457 | ||||||
Series 2019-KF70 B 144A 7.493% (LIBOR01M + 2.30%, Floor 2.30%) 9/25/29 #, • | 315,178 | 290,414 | ||||||
Series 2019-KF73 B 144A 7.643% (LIBOR01M + 2.45%, Floor 2.45%) 11/25/29 #, • | 963,923 | 888,955 | ||||||
Series 2020-KF74 B 144A 7.343% (LIBOR01M + 2.15%, Floor 2.15%) 1/25/27 #, • | 213,511 | 202,306 | ||||||
Series 2020-KF75 B 144A 7.443% (LIBOR01M + 2.25%, Floor 2.25%) 12/25/29 #, • | 404,132 | 365,117 | ||||||
Total Agency Commercial Mortgage-Backed Securities (cost $19,377,256) | 18,481,763 | |||||||
Agency Mortgage-Backed Security — 0.06% | ||||||||
Freddie Mac S.F. 20 yr 4.50% 8/1/30 | 194,943 | 191,547 | ||||||
Total Agency Mortgage-Backed Security (cost $203,221) | 191,547 | |||||||
Collateralized Debt Obligations — 7.39% | ||||||||
Benefit Street Partners CLO XX Series 2020-20AAR 144A 6.43% (LIBOR03M + 1.17%, Floor 1.17%) 7/15/34 #, • | 2,000,000 | 1,965,240 | ||||||
Bethpage Park CLO Series 2021-1A A 144A 6.39% (LIBOR03M + 1.13%, Floor 1.13%) 1/15/35 #, • | 600,000 | 589,169 | ||||||
BlueMountain CLO XXX Series 2020-30AAR 144A 6.356% (TSFR03M + 1.37%, Floor 1.37%) 4/15/35 #, • | 1,000,000 | 983,781 | ||||||
Canyon CLO Series 2020-1AAR 144A 6.44% (LIBOR03M + 1.18%, Floor 1.18%) 7/15/34 #, • | 2,200,000 | 2,160,805 | ||||||
CIFC Funding Series 2022-2A A1 144A 6.348% (TSFR03M + 1.32%, Floor 1.32%) 4/19/35 #, • | 2,000,000 | 1,960,402 |
19 |
Schedules of investments
Delaware Ivy VIP Limited-Term Bond
Principal | ||||||||
amount° | Value (US $) | |||||||
Collateralized Debt Obligations (continued) | ||||||||
Dryden 77 CLO Series 2020-77AAR 144A 6.499% (LIBOR03M + 1.12%, Floor 1.12%) 5/20/34 #, • | 1,100,000 | $ | 1,080,357 | |||||
Dryden 83 CLO Series 2020-83A A 144A 6.482% (LIBOR03M + 1.22%, Floor 1.22%) 1/18/32 #, • | 1,935,000 | 1,913,717 | ||||||
Galaxy XXI CLO Series 2015-21AAR 144A 6.27% (LIBOR03M + 1.02%) 4/20/31 #, • | 2,000,000 | 1,971,220 | ||||||
KKR CLO 41 Series 2022-41A A1 144A 6.316% (TSFR03M + 1.33%, Floor 1.33%) 4/15/35 #, • | 2,000,000 | 1,943,666 | ||||||
Octagon Investment Partners 48 Series 2020-3AAR 144A 6.40% (LIBOR03M + 1.15%, Floor 1.15%) 10/20/34 #, • | 2,000,000 | 1,963,226 | ||||||
Regatta XIX Funding Series 2022-1A A1 144A 6.368% (TSFR03M + 1.32%, Floor 1.32%) 4/20/35 #, • | 2,000,000 | 1,950,252 | ||||||
Sound Point CLO XXV Series 2019-4A A1R 144A 6.348% (TSFR03M + 1.28%, Floor 1.28%) 4/25/33 #, • | 2,000,000 | 1,964,820 | ||||||
Venture 42 CLO Series 2021-42A A1A 144A 6.39% (LIBOR03M + 1.13%, Floor 1.13%) 4/15/34 #, • | 415,000 | 402,172 | ||||||
Voya CLO Series 2020-3AAR 144A 6.40% (LIBOR03M + 1.15%, Floor 1.15%) 10/20/34 #, • | 1,500,000 | 1,466,679 | ||||||
Total Collateralized Debt Obligations (cost $22,660,498) | 22,315,506 | |||||||
Corporate Bonds — 47.86% | ||||||||
Banking — 12.92% | ||||||||
Ally Financial 1.45% 10/2/23 | 3,060,000 | 3,019,206 | ||||||
Bank of America | ||||||||
1.843% 2/4/25 µ | 675,000 | 657,747 | ||||||
4.00% 1/22/25 | 1,000,000 | 973,006 | ||||||
4.125% 1/22/24 | 1,000,000 | 991,499 | ||||||
4.20% 8/26/24 | 1,325,000 | 1,300,660 | ||||||
5.501% 6/14/24 • | 825,000 | 823,889 | ||||||
Bank of New York Mellon 5.802% 10/25/28 µ | 573,000 | 584,436 | ||||||
Barclays 7.385% 11/2/28 µ | 315,000 | 328,381 | ||||||
Citigroup | ||||||||
2.014% 1/25/26 µ | 1,275,000 | 1,198,440 | ||||||
3.07% 2/24/28 µ | 215,000 | 197,973 | ||||||
5.50% 9/13/25 | 1,000,000 | 994,632 | ||||||
5.61% 9/29/26 µ | 175,000 | 174,856 | ||||||
Citizens Bank | ||||||||
4.119% 5/23/25 µ | 1,460,000 | 1,383,155 | ||||||
6.064% 10/24/25 µ | 525,000 | 497,776 | ||||||
Credit Agricole 144A 5.301% 7/12/28 # | 250,000 | 249,306 | ||||||
Credit Suisse 7.95% 1/9/25 | 250,000 | 255,198 | ||||||
Deutsche Bank 6.72% 1/18/29 µ | 565,000 | 566,243 | ||||||
Fifth Third Bank 5.852% 10/27/25 µ | 875,000 | 852,754 | ||||||
Goldman Sachs Group | ||||||||
3.85% 7/8/24 | 1,500,000 | 1,471,494 | ||||||
4.25% 10/21/25 | 2,500,000 | 2,410,393 | ||||||
5.88% (SOFR + 0.79%) 12/9/26 • | 1,300,000 | 1,290,079 | ||||||
Huntington National Bank | ||||||||
4.008% 5/16/25 µ | 840,000 | 808,424 | ||||||
5.65% 1/10/30 | 250,000 | 238,958 | ||||||
JPMorgan Chase & Co. | ||||||||
0.653% 9/16/24 µ | 1,000,000 | 988,400 | ||||||
3.875% 9/10/24 | 847,000 | 827,245 | ||||||
4.08% 4/26/26 µ | 4,090,000 | 3,976,203 | ||||||
KeyBank | ||||||||
4.15% 8/8/25 | 835,000 | 771,993 | ||||||
5.85% 11/15/27 | 130,000 | 122,522 | ||||||
KeyCorp 3.878% 5/23/25 µ | 730,000 | 675,301 | ||||||
Morgan Stanley | ||||||||
6.138% 10/16/26 µ | 5,120,000 | 5,173,736 | ||||||
6.296% 10/18/28 µ | 425,000 | 437,102 | ||||||
PNC Financial Services Group 5.671% 10/28/25 µ | 310,000 | 307,570 | ||||||
Popular 7.25% 3/13/28 | 215,000 | 215,000 | ||||||
Toronto-Dominion Bank 4.108% 6/8/27 | 731,000 | 699,401 | ||||||
US Bancorp | ||||||||
2.375% 7/22/26 | 844,000 | 771,288 | ||||||
4.653% 2/1/29 µ | 60,000 | 57,371 | ||||||
5.727% 10/21/26 µ | 178,000 | 177,973 | ||||||
Wells Fargo & Co. 3.908% 4/25/26 µ | 2,620,000 | 2,534,372 | ||||||
39,003,982 | ||||||||
Basic Industry — 0.94% | ||||||||
Celanese US Holdings | ||||||||
6.05% 3/15/25 | 140,000 | 139,498 | ||||||
6.165% 7/15/27 | 525,000 | 522,650 |
20 |
Principal | ||||||||
amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Basic Industry (continued) | ||||||||
Graphic Packaging International 144A 0.821% 4/15/24 # | 1,350,000 | $ | 1,295,703 | |||||
Nutrien 5.95% 11/7/25 | 870,000 | 875,596 | ||||||
2,833,447 | ||||||||
Brokerage — 0.17% | ||||||||
LSEGA Financing 144A 0.65% 4/6/24 # | 540,000 | 517,952 | ||||||
517,952 | ||||||||
Capital Goods — 4.23% | ||||||||
Avery Dennison 0.85% 8/15/24 | 375,000 | 353,891 | ||||||
CNH Industrial Capital 1.95% 7/2/23 | 1,550,000 | 1,550,000 | ||||||
General Electric 5.012% 1/1/24 | 186,894 | 186,643 | ||||||
Lennox International 1.35% 8/1/25 | 2,150,000 | 1,961,440 | ||||||
Mauser Packaging Solutions Holding 144A 7.875% 8/15/26 # | 1,560,000 | 1,551,558 | ||||||
Parker-Hannifin | ||||||||
3.65% 6/15/24 | 1,430,000 | 1,401,655 | ||||||
4.25% 9/15/27 | 1,070,000 | 1,038,344 | ||||||
Republic Services 0.875% 11/15/25 | 1,800,000 | 1,620,364 | ||||||
Teledyne Technologies 0.95% 4/1/24 | 1,385,000 | 1,334,172 | ||||||
Waste Management 0.75% 11/15/25 | 1,955,000 | 1,765,333 | ||||||
12,763,400 | ||||||||
Communications — 5.06% | ||||||||
American Tower | ||||||||
0.60% 1/15/24 | 1,300,000 | 1,264,095 | ||||||
1.30% 9/15/25 | 795,000 | 720,809 | ||||||
AT&T | ||||||||
1.70% 3/25/26 | 1,350,000 | 1,230,997 | ||||||
2.95% 7/15/26 | 1,250,000 | 1,176,728 | ||||||
Charter Communications Operating | ||||||||
4.50% 2/1/24 | 1,215,000 | 1,204,519 | ||||||
4.908% 7/23/25 | 1,485,000 | 1,456,706 | ||||||
Crown Castle 3.15% 7/15/23 | 400,000 | 399,515 | ||||||
Crown Castle Towers 144A 3.663% 5/15/45 # | 950,000 | 904,980 | ||||||
Netflix 5.875% 2/15/25 | 1,250,000 | 1,256,125 | ||||||
Sprint 7.875% 9/15/23 | 1,721,000 | 1,726,705 | ||||||
T-Mobile USA 3.75% 4/15/27 | 2,000,000 | 1,894,178 | ||||||
Warnermedia Holdings | ||||||||
3.638% 3/15/25 | 1,690,000 | 1,630,968 | ||||||
6.412% 3/15/26 | 400,000 | 400,422 | ||||||
15,266,747 | ||||||||
Consumer Cyclical — 3.21% | ||||||||
7-Eleven 144A 0.80% 2/10/24 # | 1,000,000 | 969,412 | ||||||
Aptiv 2.396% 2/18/25 | 1,035,000 | 982,782 | ||||||
Ford Motor Credit | ||||||||
2.70% 8/10/26 | 550,000 | 491,557 | ||||||
3.375% 11/13/25 | 1,355,000 | 1,261,240 | ||||||
6.95% 6/10/26 | 265,000 | 266,569 | ||||||
General Motors Financial 1.20% 10/15/24 | 825,000 | 776,469 | ||||||
Hyundai Capital America 144A 1.25% 9/18/23 # | 800,000 | 792,459 | ||||||
MGM Resorts International 5.75% 6/15/25 | 1,780,000 | 1,765,748 | ||||||
VICI Properties 4.95% 2/15/30 | 595,000 | 558,696 | ||||||
Volkswagen Group of America Finance 144A 0.875% 11/22/23 # | 1,850,000 | 1,816,274 | ||||||
9,681,206 | ||||||||
Consumer Non-Cyclical — 4.34% | ||||||||
Amgen 5.15% 3/2/28 | 330,000 | 329,939 | ||||||
Astrazeneca Finance 4.875% 3/3/28 | 365,000 | 364,965 | ||||||
Cigna Group 5.685% 3/15/26 | 630,000 | 630,887 | ||||||
Diageo Capital 3.50% 9/18/23 | 1,000,000 | 995,459 | ||||||
Eli Lilly & Co. 5.00% 2/27/26 | 280,000 | 280,269 | ||||||
HCA 5.20% 6/1/28 | 185,000 | 183,625 | ||||||
Keurig Dr Pepper 0.75% 3/15/24 | 680,000 | 656,386 | ||||||
McCormick & Co. | ||||||||
0.90% 2/15/26 | 1,025,000 | 914,273 | ||||||
3.50% 9/1/23 | 475,000 | 473,104 | ||||||
Medtronic Global Holdings 4.25% 3/30/28 | 570,000 | 556,701 | ||||||
Novartis Capital 3.00% 11/20/25 | 1,250,000 | 1,196,091 | ||||||
Pfizer Investment Enterprises 4.45% 5/19/28 | 405,000 | 398,261 | ||||||
Royalty Pharma | ||||||||
0.75% 9/2/23 | 1,800,000 | 1,783,562 | ||||||
1.20% 9/2/25 | 1,647,000 | 1,485,937 | ||||||
Tenet Healthcare 4.875% 1/1/26 | 815,000 | 794,620 | ||||||
Tyson Foods 3.95% 8/15/24 | 2,000,000 | 1,963,673 | ||||||
Zoetis 5.40% 11/14/25 | 105,000 | 105,349 | ||||||
13,113,101 | ||||||||
Electric — 3.12% | ||||||||
Black Hills 1.037% 8/23/24 | 1,000,000 | 945,083 | ||||||
Duke Energy Carolinas 3.95% 11/15/28 | 1,150,000 | 1,099,403 | ||||||
Edison International 3.55% 11/15/24 | 1,300,000 | 1,257,027 | ||||||
Enel Finance International 144A 4.25% 6/15/25 # | 295,000 | 286,439 | ||||||
Eversource Energy 2.90% 3/1/27 | 225,000 | 207,454 |
21 |
Schedules of investments
Delaware Ivy VIP Limited-Term Bond
Principal | ||||||||
amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Electric (continued) | ||||||||
Fells Point Funding Trust 144A 3.046% 1/31/27 # | 210,000 | $ | 193,188 | |||||
Metropolitan Edison 144A 5.20% 4/1/28 # | 585,000 | 579,573 | ||||||
MidAmerican Energy 3.70% 9/15/23 | 1,045,000 | 1,040,749 | ||||||
National Rural Utilities Cooperative Finance | ||||||||
1.875% 2/7/25 | 1,350,000 | 1,275,281 | ||||||
4.45% 3/13/26 | 550,000 | 541,821 | ||||||
4.80% 3/15/28 | 420,000 | 415,426 | ||||||
NextEra Energy Capital Holdings 6.051% 3/1/25 | 410,000 | 411,725 | ||||||
Southern 4.85% 6/15/28 | 810,000 | 794,363 | ||||||
Vistra Operations 144A 5.125% 5/13/25 # | 385,000 | 375,758 | ||||||
9,423,290 | ||||||||
Energy — 3.65% | ||||||||
ConocoPhillips 2.40% 3/7/25 | 116,000 | 110,621 | ||||||
Eastern Energy Gas Holdings 3.55% 11/1/23 | 1,235,000 | 1,221,672 | ||||||
Enbridge 2.50% 2/14/25 | 820,000 | 779,268 | ||||||
Energy Transfer | ||||||||
4.25% 4/1/24 | 1,132,000 | 1,114,890 | ||||||
5.55% 2/15/28 | 1,295,000 | 1,292,625 | ||||||
Galaxy Pipeline Assets Bidco 144A 1.75% 9/30/27 # | 1,094,055 | 1,010,096 | ||||||
Harvest Operations 144A 1.00% 4/26/24 # | 1,400,000 | 1,344,681 | ||||||
Occidental Petroleum 5.875% 9/1/25 | 1,690,000 | 1,679,959 | ||||||
Plains All American Pipeline 3.85% 10/15/23 | 1,800,000 | 1,790,207 | ||||||
Targa Resources Partners 5.00% 1/15/28 | 695,000 | 663,897 | ||||||
11,007,916 | ||||||||
Finance Companies — 0.84% | ||||||||
AerCap Ireland Capital DAC | ||||||||
1.65% 10/29/24 | 1,115,000 | 1,048,293 | ||||||
3.00% 10/29/28 | 355,000 | 307,230 | ||||||
Air Lease 5.85% 12/15/27 | 185,000 | 184,928 | ||||||
Aviation Capital Group | ||||||||
144A 4.375% 1/30/24 # | 1,000,000 | 983,842 | ||||||
144A 6.25% 4/15/28 # | 26,000 | 25,964 | ||||||
2,550,257 | ||||||||
Insurance — 3.30% | ||||||||
Athene Global Funding | ||||||||
144A 0.914% 8/19/24 # | 850,000 | 794,626 | ||||||
144A 0.95% 1/8/24 # | 1,750,000 | 1,698,469 | ||||||
Humana 5.75% 3/1/28 | 128,000 | 130,334 | ||||||
MassMutual Global Funding II 144A 0.60% 4/12/24 # | 1,900,000 | 1,828,221 | ||||||
Met Tower Global Funding 144A 3.70% 6/13/25 # | 1,280,000 | 1,228,176 | ||||||
Principal Life Global Funding II 144A 0.75% 4/12/24 # | 800,000 | 768,153 | ||||||
Protective Life Global Funding | ||||||||
144A 0.631% 10/13/23 # | 750,000 | 738,657 | ||||||
144A 1.618% 4/15/26 # | 1,350,000 | 1,210,323 | ||||||
UnitedHealth Group 4.25% 1/15/29 | 1,615,000 | 1,570,038 | ||||||
9,966,997 | ||||||||
Natural Gas — 0.36% | ||||||||
Sempra Energy 3.30% 4/1/25 | 1,145,000 | 1,098,792 | ||||||
1,098,792 | ||||||||
Real Estate Investment Trusts — 1.49% | ||||||||
SBA Tower Trust | ||||||||
144A 1.884% 7/15/50 # | 1,155,000 | 1,037,485 | ||||||
144A 2.836% 1/15/50 # | 1,621,000 | 1,539,163 | ||||||
144A 3.869% 10/8/49 #, f | 2,000,000 | 1,938,572 | ||||||
4,515,220 | ||||||||
Technology — 3.70% | ||||||||
Apple 3.00% 2/9/24 | 355,000 | 350,091 | ||||||
Baidu 1.72% 4/9/26 | 379,000 | 340,042 | ||||||
Infor 144A 1.45% 7/15/23 # | 877,000 | 875,508 | ||||||
Oracle 5.80% 11/10/25 | 755,000 | 763,682 | ||||||
Roper Technologies 1.00% 9/15/25 | 1,400,000 | 1,273,438 | ||||||
S&P Global 2.45% 3/1/27 | 740,000 | 683,005 | ||||||
Sensata Technologies | ||||||||
144A 5.00% 10/1/25 # | 1,390,000 | 1,362,097 | ||||||
144A 5.625% 11/1/24 # | 355,000 | 352,641 | ||||||
Thomson Reuters 4.30% 11/23/23 | 1,269,000 | 1,258,762 | ||||||
TSMC Global 144A 1.25% 4/23/26 # | 1,500,000 | 1,340,246 | ||||||
Workday 3.50% 4/1/27 | 50,000 | 47,418 | ||||||
Xilinx 2.95% 6/1/24 | 2,575,000 | 2,513,556 | ||||||
11,160,486 | ||||||||
Transportation — 0.53% | ||||||||
American Airlines 144A 5.50% 4/20/26 # | 181,121 | 179,598 | ||||||
ERAC USA Finance 144A 4.60% 5/1/28 # | 825,000 | 802,134 |
22 |
Principal | ||||||||
amount° | Value (US $) | |||||||
Corporate Bonds (continued) | ||||||||
Transportation (continued) | ||||||||
Penske Truck Leasing 144A 4.40% 7/1/27 # | 670,000 | $ | 632,927 | |||||
1,614,659 | ||||||||
Total Corporate Bonds (cost $150,460,332) | 144,517,452 | |||||||
Non-Agency Asset-Backed Securities — 7.77% | ||||||||
American Express Credit Account Master Trust Series 2023-1 A 4.87% 5/15/28 | 2,000,000 | 1,989,698 | ||||||
BMW Vehicle Lease Trust Series 2022-1 A3 1.10% 3/25/25 | 1,838,450 | 1,807,012 | ||||||
Discover Card Execution Note Trust Series 2022-A4 A 5.03% 10/15/27 | 3,250,000 | 3,233,425 | ||||||
Enterprise Fleet Financing Series 2022-2 A2 144A 4.65% 5/21/29 # | 709,502 | 698,489 | ||||||
Ford Credit Auto Owner Trust Series 2022-A B 1.91% 7/15/27 | 1,350,000 | 1,236,499 | ||||||
Ford Credit Floorplan Master Owner Trust Series 2020-2 A 1.06% 9/15/27 | 3,000,000 | 2,721,610 | ||||||
GM Financial Automobile Leasing Trust Series 2022-1 B 2.23% 2/20/26 | 1,600,000 | 1,531,717 | ||||||
GMF Floorplan Owner Revolving Trust Series 2023-1 A2 144A 0.00% (SOFR + 1.15%) 6/15/28 #, • | 2,250,000 | 2,287,508 | ||||||
GTE Auto Receivables Trust Series 2023-1 A2 144A 5.65% 8/17/26 # | 1,500,000 | 1,491,839 | ||||||
Hyundai Auto Lease Securitization Trust Series 2023-A A3 144A 5.05% 1/15/26 # | 1,300,000 | 1,289,346 | ||||||
Toyota Lease Owner Trust Series 2021-B A3 144A 0.42% 10/21/24 # | 1,145,119 | 1,132,277 | ||||||
Verizon Master Trust Series 2022-2 A 1.53% 7/20/28 | 1,500,000 | 1,408,413 | ||||||
Series 2022-2 B 1.83% 7/20/28 | 1,350,000 | 1,263,236 | ||||||
Volkswagen Auto Lease Trust Series 2022-A A3 3.44% 7/21/25 | 1,400,000 | 1,371,191 | ||||||
Total Non-Agency Asset-Backed Securities (cost $23,926,447) | 23,462,260 | |||||||
US Treasury Obligations — 28.82% | ||||||||
US Treasury Notes | ||||||||
4.00% 6/30/28 | 7,020,000 | 6,982,158 | ||||||
4.125% 6/15/26 | 54,380,000 | 53,836,200 | ||||||
4.25% 12/31/24 | 12,315,000 | 12,144,707 | ||||||
4.625% 6/30/25 | 14,115,000 | 14,051,317 | ||||||
Total US Treasury Obligations | ||||||||
(cost $87,382,936) | 87,014,382 | |||||||
Total Value of Securities—98.17% (cost $304,498,980) | $ | 296,426,019 |
° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
# | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2023, the aggregate value of Rule 144A securities was $78,920,909, which represents 26.14% of the Portfolio's net assets. See Note 9 in “Notes to financial statements." |
• | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2023. Rate will reset at a future date. |
f | Step coupon bond. Stated rate in effect at June 30, 2023 through maturity date. |
23 |
Schedules of investments
Delaware Ivy VIP Limited-Term Bond
The following futures contracts were outstanding at June 30, 2023:1
Futures Contracts
Exchange-Traded
Variation | ||||||||||||||||||||||||
Margin | ||||||||||||||||||||||||
Notional | Value/ | Value/ | Due from | |||||||||||||||||||||
Notional | Cost | Expiration | Unrealized | Unrealized | (Due to) | |||||||||||||||||||
Contracts to Buy (Sell) | Amount | (Proceeds) | Date | Appreciation | Depreciation | Brokers | ||||||||||||||||||
292 | US Treasury 2 yr Notes | $ | 59,376,375 | $ | 60,221,130 | 9/29/23 | $ | — | $ | (844,755 | ) | $ | (9,125 | ) | ||||||||||
(26) | US Treasury 5 yr Notes | (2,784,438 | ) | (2,841,251 | ) | 9/29/23 | 56,813 | — | — | |||||||||||||||
(22) | US Treasury 10 yr Notes | (2,469,844 | ) | (2,516,539 | ) | 9/20/23 | 46,695 | — | (3,094 | ) | ||||||||||||||
Total Futures Contracts | $ | 54,863,340 | $ | 103,508 | $ | (844,755 | ) | $ | (12,219 | ) |
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The notional amounts presented above represent the Portfolio's total exposure in such contracts, whereas only the variation margin is reflected in the Portfolio's net assets.
1 See Note 7 in “Notes to financial statements.”
Summary of abbreviations:
CLO – Collateralized Loan Obligation
DAC – Designated Activity Company
FREMF – Freddie Mac Multifamily
GNMA – Government National Mortgage Association
ICE – Intercontinental Exchange, Inc.
LIBOR – London Interbank Offered Rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
REMIC – Real Estate Mortgage Investment Conduit
S&P – Standard & Poor’s Financial Services LLC
S.F. – Single Family
SOFR – Secured Overnight Financing Rate
TSFR03M – 3 Month Term Secured Overnight Financing Rate
USD – US Dollar
yr – Year
See accompanying notes, which are an integral part of the financial statements.
24 |
Delaware Ivy VIP Value | June 30, 2023 (Unaudited) |
Number of | ||||||||
shares | Value (US $) | |||||||
Common Stocks — 99.04% | ||||||||
Communication Services — 8.91% | ||||||||
Comcast Class A | 255,500 | $ | 10,616,025 | |||||
Verizon Communications | 278,400 | 10,353,696 | ||||||
Walt Disney † | 107,200 | 9,570,816 | ||||||
30,540,537 | ||||||||
Consumer Discretionary — 6.56% | ||||||||
Lowe's | 48,500 | 10,946,450 | ||||||
TJX | 135,900 | 11,522,961 | ||||||
22,469,411 | ||||||||
Consumer Staples — 11.00% | ||||||||
Archer-Daniels-Midland | 129,700 | 9,800,132 | ||||||
Conagra Brands | 293,600 | 9,900,192 | ||||||
Dollar General | 50,000 | 8,489,000 | ||||||
Dollar Tree † | 66,100 | 9,485,350 | ||||||
37,674,674 | ||||||||
Energy — 3.09% | ||||||||
ConocoPhillips | 102,200 | 10,588,942 | ||||||
10,588,942 | ||||||||
Financials — 13.20% | ||||||||
Allstate | 86,102 | 9,388,562 | ||||||
American International Group | 177,700 | 10,224,858 | ||||||
Fidelity National Information Services | 170,729 | 9,338,876 | ||||||
Truist Financial | 256,900 | 7,796,915 | ||||||
US Bancorp | 257,100 | 8,494,584 | ||||||
45,243,795 | ||||||||
Healthcare — 18.45% | ||||||||
Baxter International | 244,300 | 11,130,308 | ||||||
Cigna Group | 36,400 | 10,213,840 | ||||||
CVS Health | 132,124 | 9,133,732 | ||||||
Hologic † | 134,100 | 10,858,077 | ||||||
Johnson & Johnson | 65,900 | 10,907,768 | ||||||
Merck & Co. | 95,000 | 10,962,050 | ||||||
63,205,775 | ||||||||
Industrials — 12.34% | ||||||||
Dover | 71,800 | 10,601,270 | ||||||
Honeywell International | 53,200 | 11,039,000 | ||||||
Northrop Grumman | 22,200 | 10,118,760 | ||||||
Raytheon Technologies | 107,318 | 10,512,871 | ||||||
42,271,901 | ||||||||
Information Technology — 16.13% | ||||||||
Broadcom | 12,022 | 10,428,244 | ||||||
Cisco Systems | 220,800 | 11,424,192 | ||||||
Cognizant Technology Solutions Class A | 169,000 | 11,032,320 | ||||||
Motorola Solutions | 38,700 | 11,349,936 | ||||||
Oracle | 92,700 | 11,039,643 | ||||||
55,274,335 | ||||||||
Materials — 3.02% | ||||||||
DuPont de Nemours | 145,000 | 10,358,800 | ||||||
10,358,800 | ||||||||
Real Estate — 3.29% | ||||||||
Equity Residential | 171,100 | 11,287,467 | ||||||
11,287,467 | ||||||||
Utilities — 3.05% | ||||||||
Edison International | 150,600 | 10,459,170 | ||||||
10,459,170 | ||||||||
Total Common Stocks (cost $341,199,117) | 339,374,807 | |||||||
Short-Term Investments — 0.80% | ||||||||
Money Market Mutual Funds — 0.80% | ||||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 685,021 | 685,021 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 685,020 | 685,020 | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 685,021 | 685,021 | ||||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 685,021 | 685,021 | ||||||
Total Short-Term Investments (cost $2,740,083) | 2,740,083 | |||||||
Total Value of Securities—99.84% (cost $343,939,200) | $ | 342,114,890 |
† | Non-income producing security. |
See accompanying notes, which are an integral part of the financial statements.
25 |
Schedules of investments
Delaware VIP Global Value Equity | June 30, 2023 (Unaudited) |
Number of | ||||||||
shares | Value (US $) | |||||||
Common Stocks – 96.62%Δ | ||||||||
Denmark – 2.30% | ||||||||
Novo Nordisk Class B | 25,170 | $ | 4,065,958 | |||||
4,065,958 | ||||||||
France – 14.10% | ||||||||
Air Liquide | 37,327 | 6,694,041 | ||||||
Danone | 112,850 | 6,915,837 | ||||||
Kering | 4,187 | 2,312,057 | ||||||
Orange | 332,168 | 3,881,863 | ||||||
Sodexo | 46,497 | 5,120,127 | ||||||
24,923,925 | ||||||||
Germany – 10.72% | ||||||||
adidas AG | 30,781 | 5,975,456 | ||||||
Fresenius Medical Care AG & Co. | 41,350 | 1,976,163 | ||||||
Knorr-Bremse | 48,100 | 3,676,938 | ||||||
SAP | 53,561 | 7,316,829 | ||||||
18,945,386 | ||||||||
Japan – 4.52% | ||||||||
Asahi Group Holdings | 48,800 | 1,893,432 | ||||||
Kao | 89,700 | 3,255,205 | ||||||
Makita | 100,700 | 2,846,415 | ||||||
7,995,052 | ||||||||
Netherlands – 5.10% | ||||||||
Koninklijke Ahold Delhaize | 264,390 | 9,013,854 | ||||||
9,013,854 | ||||||||
Spain – 3.47% | ||||||||
Amadeus IT Group † | 80,617 | 6,139,016 | ||||||
6,139,016 | ||||||||
Sweden – 7.77% | ||||||||
Essity Class B | 171,910 | 4,578,251 | ||||||
H & M Hennes & Mauritz Class B | 268,020 | 4,609,222 | ||||||
Securitas Class B | 553,740 | 4,548,283 | ||||||
13,735,756 | ||||||||
Switzerland – 9.55% | ||||||||
Nestle | 76,050 | 9,148,177 | ||||||
Roche Holding | 14,738 | 4,502,017 | ||||||
Swatch Group | 11,030 | 3,225,087 | ||||||
16,875,281 | ||||||||
United Kingdom – 14.00% | ||||||||
Diageo | 164,406 | 7,067,979 | ||||||
Intertek Group | 63,030 | 3,416,726 | ||||||
Smith & Nephew | 417,639 | 6,737,908 | ||||||
Unilever | 144,338 | 7,516,292 | ||||||
24,738,905 | ||||||||
United States – 25.09% | ||||||||
Clorox | 41,390 | 6,582,666 | ||||||
Henry Schein † | 73,666 | 5,974,313 | ||||||
Ingredion | 49,110 | 5,203,204 | ||||||
Kimberly-Clark | 35,171 | 4,855,708 | ||||||
Lamb Weston Holdings | 31,793 | 3,654,605 | ||||||
Merck & Co. | 48,115 | 5,551,990 | ||||||
Otis Worldwide | 26,332 | 2,343,811 | ||||||
Pfizer | 146,994 | 5,391,740 | ||||||
Visa Class A | 20,183 | 4,793,059 | ||||||
44,351,096 | ||||||||
Total Common Stocks (cost $177,015,938) | 170,784,229 | |||||||
Preferred Stock – 2.12% | ||||||||
Germany – 2.12% | ||||||||
Henkel AG & Co. 2.64% ω | 46,796 | 3,742,569 | ||||||
Total Preferred Stock (cost $3,820,587) | 3,742,569 | |||||||
Short-Term Investments – 0.95% | ||||||||
Money Market Mutual Funds – 0.95% | ||||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 420,563 | 420,563 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 420,563 | 420,563 | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 420,563 | 420,563 | ||||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 420,564 | 420,564 | ||||||
Total Short-Term Investments (cost $1,682,253) | 1,682,253 | |||||||
Total Value of Securities–99.69% (cost $182,518,778) | $ | 176,209,051 |
Δ | Securities have been classified by country of risk. Aggregate classification by business sector has been presented on page 8 in “Security type / country and sector allocations.” |
† | Non-income producing security. |
ω | Perpetual security with no stated maturity date. |
Summary of abbreviations:
AG - Aktiengesellschaft
See accompanying notes, which are an integral part of the financial statements.
26 |
Delaware VIP Real Estate Securities | June 30, 2023 (Unaudited) |
Number of | ||||||||
shares | Value (US $) | |||||||
Common Stocks — 97.65% | ||||||||
Real Estate Operating Companies/Developer — 1.56% | ||||||||
Corp Inmobiliaria Vesta ADR † | 9,092 | $ | 292,944 | |||||
DigitalBridge Group | 9,713 | 142,878 | ||||||
435,822 | ||||||||
REIT Diversified — 19.19% | ||||||||
American Tower | 2,163 | 419,492 | ||||||
Digital Realty Trust | 11,733 | 1,336,037 | ||||||
Equinix | 3,005 | 2,355,739 | ||||||
VICI Properties | 39,988 | 1,256,823 | ||||||
5,368,091 | ||||||||
REIT Healthcare — 11.46% | ||||||||
Healthcare Realty Trust | 21,266 | 401,077 | ||||||
Healthpeak Properties | 33,456 | 672,466 | ||||||
Welltower | 26,342 | 2,130,804 | ||||||
3,204,347 | ||||||||
REIT Hotel — 1.99% | ||||||||
Ryman Hospitality Properties | 3,823 | 355,233 | ||||||
Xenia Hotels & Resorts | 16,328 | 200,998 | ||||||
556,231 | ||||||||
REIT Industrial — 13.39% | ||||||||
Americold Realty Trust | 23,510 | 759,373 | ||||||
Prologis | 20,991 | 2,574,126 | ||||||
Rexford Industrial Realty | 7,893 | 412,173 | ||||||
3,745,672 | ||||||||
REIT Multifamily — 19.17% | ||||||||
American Homes 4 Rent Class A | 15,457 | 547,951 | ||||||
Boardwalk Real Estate Investment Trust | 3,684 | 172,944 | ||||||
Canadian Apartment Properties REIT | 6,110 | 234,576 | ||||||
Equity LifeStyle Properties | 12,470 | 834,119 | ||||||
Equity Residential | 12,894 | 850,617 | ||||||
InterRent Real Estate Investment Trust | 16,152 | 156,308 | ||||||
Invitation Homes | 31,103 | 1,069,943 | ||||||
Sun Communities | 5,935 | 774,280 | ||||||
UDR | 16,770 | 720,439 | ||||||
5,361,177 | ||||||||
REIT Office — 2.99% | ||||||||
Alexandria Real Estate Equities | 7,367 | 836,081 | ||||||
836,081 | ||||||||
REIT Retail — 16.99% | ||||||||
Agree Realty | 13,097 | 856,413 | ||||||
Federal Realty Investment Trust | 7,756 | 750,548 | ||||||
Kite Realty Group Trust | 46,080 | 1,029,427 | ||||||
Realty Income | 22,733 | 1,359,206 | ||||||
Simon Property Group | 6,538 | 755,008 | ||||||
4,750,602 | ||||||||
REIT Self-Storage — 10.91% | ||||||||
Extra Space Storage | 7,164 | 1,066,361 | ||||||
Life Storage | 6,169 | 820,230 | ||||||
Public Storage | 3,988 | 1,164,018 | ||||||
3,050,609 | ||||||||
Total Common Stocks | ||||||||
(cost $29,416,398) | 27,308,632 | |||||||
Short-Term Investments — 3.83% | ||||||||
Money Market Mutual Funds — 3.83% | ||||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 267,390 | 267,390 | ||||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 267,390 | 267,390 | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 267,390 | 267,390 | ||||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 267,390 | 267,390 | ||||||
Total Short-Term Investments | ||||||||
(cost $1,069,560) | 1,069,560 | |||||||
Total Value of Securities—101.48% | ||||||||
(cost $30,485,958) | $ | 28,378,192 |
† | Non-income producing security. |
Summary of abbreviations:
ADR – American Depositary Receipt
REIT – Real Estate Investment Trust
See accompanying notes, which are an integral part of the financial statements.
27 |
Statements of assets and liabilities
June 30, 2023 (Unaudited)
Delaware Ivy | Delaware Ivy | Delaware Ivy | Delaware Ivy | |||||||||||||
VIP Core | VIP Corporate | VIP Global | VIP Limited- | |||||||||||||
Equity | Bond | Growth | Term Bond | |||||||||||||
Assets: | ||||||||||||||||
Investments, at value* | $ | 622,298,036 | $ | 476,366,351 | $ | 120,957,129 | $ | 296,426,019 | ||||||||
Cash | — | — | — | 11,090,761 | ||||||||||||
Cash collateral due from broker on futures contracts | — | — | — | 365,054 | ||||||||||||
Dividend and interest receivable | 194,428 | 5,193,896 | 106,277 | 1,772,987 | ||||||||||||
Foreign tax reclaims receivable | 20,068 | — | 94,061 | — | ||||||||||||
Receivable for portfolio shares sold | 3,564 | 651,645 | 349 | 199,465 | ||||||||||||
Receivable for securities sold | — | 1,429,087 | 617,230 | 13,427,021 | ||||||||||||
Other assets | 1,230 | 1,480 | 307 | 600 | ||||||||||||
Total Assets | 622,517,326 | 483,642,459 | 121,775,353 | 323,281,907 | ||||||||||||
Liabilities: | ||||||||||||||||
Due to custodian | — | — | 9 | — | ||||||||||||
Payable for portfolio shares redeemed | 424,427 | 206,840 | 114,651 | 97,453 | ||||||||||||
Investment management fees payable to affiliates | 323,065 | 187,511 | 73,179 | 89,007 | ||||||||||||
Other accrued expenses | 124,856 | 139,626 | 62,295 | 196,320 | ||||||||||||
Distribution fees payable to affiliates | 124,582 | 98,690 | 24,545 | 62,614 | ||||||||||||
Administration expenses payable to affiliates | 98,865 | 95,859 | 20,983 | 58,957 | ||||||||||||
Payable for portfolio securities purchased | — | 4,664,671 | — | 20,816,771 | ||||||||||||
Variation margin due to broker on future contracts | — | — | — | 12,219 | ||||||||||||
Accrued capital gains taxes on appreciated securities | — | — | 120,285 | — | ||||||||||||
Total Liabilities | 1,095,795 | 5,393,197 | 415,947 | 21,333,341 | ||||||||||||
Total Net Assets | $ | 621,421,531 | $ | 478,249,262 | $ | 121,359,406 | $ | 301,948,566 | ||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in capital | $ | 462,827,113 | $ | 570,855,222 | $ | 100,497,330 | $ | 319,570,224 | ||||||||
Total distributable earnings (loss) | 158,594,418 | (92,605,960 | ) | 20,862,076 | (17,621,658 | ) | ||||||||||
Total Net Assets | $ | 621,421,531 | $ | 478,249,262 | $ | 121,359,406 | $ | 301,948,566 | ||||||||
Net Asset Value | ||||||||||||||||
Class II: | ||||||||||||||||
Net assets | $ | 621,421,531 | $ | 478,249,262 | $ | 121,359,406 | $ | 301,948,566 | ||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 52,347,055 | 106,929,309 | 41,488,567 | 66,237,749 | ||||||||||||
Net asset value per share | $ | 11.87 | $ | 4.47 | $ | 2.93 | $ | 4.56 | ||||||||
| ||||||||||||||||
*Investments, at cost | $ | 501,491,128 | $ | 535,974,732 | $ | 99,065,169 | $ | 304,498,980 |
See accompanying notes, which are an integral part of the financial statements.
28 |
Delaware VIP | Delaware VIP | |||||||||||
Delaware Ivy | Global | Real Estate | ||||||||||
VIP Value | Value Equity | Securities | ||||||||||
Assets: | ||||||||||||
Investments, at value* | $ | 342,114,890 | $ | 176,209,051 | $ | 28,378,192 | ||||||
Dividend and interest receivable | 561,176 | 175,754 | 83,132 | |||||||||
Receivable for securities sold | 534,550 | — | — | |||||||||
Foreign tax reclaims receivable | 4,383 | 754,972 | 119 | |||||||||
Receivable for portfolio shares sold | 2,182 | 504 | 6,828 | |||||||||
Receivable due from Advisor | — | — | 16,939 | |||||||||
Other assets | 719 | 451 | — | |||||||||
Total Assets | 343,217,900 | 177,140,732 | 28,485,210 | |||||||||
Liabilities: | ||||||||||||
Due to custodian | 519 | 631 | — | |||||||||
Investment management fees payable to affiliates | 188,603 | 73,249 | — | |||||||||
Payable for portfolio shares redeemed | 149,410 | 58,886 | 39,624 | |||||||||
Other accrued expenses | 92,833 | 179,443 | 180,685 | |||||||||
Distribution fees payable to affiliates | 69,242 | 35,739 | 5,675 | |||||||||
Administration expenses payable to affiliates | 62,244 | 42,639 | 4,634 | |||||||||
Payable for portfolio securities purchased | — | — | 289,181 | |||||||||
Total Liabilities | 562,851 | 390,587 | 519,799 | |||||||||
Total Net Assets | $ | 342,655,049 | $ | 176,750,145 | $ | 27,965,411 | ||||||
Net Assets Consist of: | ||||||||||||
Paid-in capital | $ | 316,373,469 | $ | 176,853,708 | $ | 30,735,665 | ||||||
Total distributable earnings (loss) | 26,281,580 | (103,563 | ) | (2,770,254 | ) | |||||||
Total Net Assets | $ | 342,655,049 | $ | 176,750,145 | $ | 27,965,411 | ||||||
Net Asset Value | ||||||||||||
Class II: | ||||||||||||
Net assets | $ | 342,655,049 | $ | 176,750,145 | $ | 27,965,411 | ||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 70,720,887 | 36,233,495 | 4,812,132 | |||||||||
Net asset value per share | $ | 4.85 | $ | 4.88 | $ | 5.81 | ||||||
| ||||||||||||
*Investments, at cost | $ | 343,939,200 | $ | 182,518,778 | $ | 30,485,958 |
See accompanying notes, which are an integral part of the financial statements.
29 |
Six months ended June 30, 2023 (Unaudited)
Delaware Ivy | Delaware Ivy | Delaware Ivy | Delaware Ivy | |||||||||||||
VIP Core | VIP Corporate | VIP Global | VIP Limited- | |||||||||||||
Equity | Bond | Growth | Term Bond | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends | $ | 4,173,919 | $ | 228,299 | $ | 1,201,940 | $ | — | ||||||||
Securities lending income | 1,191 | 8,107 | 2,090 | 22,894 | ||||||||||||
Interest | — | 9,440,941 | — | 5,374,169 | ||||||||||||
Foreign tax withheld | (35,774 | ) | — | (100,064 | ) | — | ||||||||||
4,139,336 | 9,677,347 | 1,103,966 | 5,397,063 | |||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fees | 2,084,396 | 1,164,692 | 505,390 | 774,465 | ||||||||||||
Distribution expenses — Class II | 744,427 | 612,996 | 148,644 | 387,232 | ||||||||||||
Accounting and administration expenses | 85,347 | 77,780 | 31,917 | 54,903 | ||||||||||||
Trustees’ fees and expenses | 40,189 | 31,651 | 11,324 | 201,538 | ||||||||||||
Audit and tax fees | 13,036 | 19,971 | 14,080 | 19,861 | ||||||||||||
Reports and statements to shareholders servicing expenses | 8,996 | 9,959 | 7,541 | 6,777 | ||||||||||||
Custodian fees | 7,602 | 5,633 | 7,426 | 4,315 | ||||||||||||
Legal fees | 1,377 | 791 | 422 | 1,654 | ||||||||||||
Registration fees | 4 | 4 | 4 | 4 | ||||||||||||
Dividend disbursing and transfer agent fees and expenses | — | 19,600 | — | 12,328 | ||||||||||||
Other | 3,930 | 23,928 | 9,925 | 15,771 | ||||||||||||
2,989,304 | 1,967,005 | 736,673 | 1,478,848 | |||||||||||||
Less expenses waived | (159,931 | ) | — | (64,252 | ) | (78,813 | ) | |||||||||
Total operating expenses | 2,829,373 | 1,967,005 | 672,421 | 1,400,035 | ||||||||||||
Net Investment Income (Loss) | 1,309,963 | 7,710,342 | 431,545 | 3,997,028 | ||||||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments1 | 37,321,465 | (6,860,732 | ) | (622,538 | ) | (1,521,335 | ) | |||||||||
Foreign currencies | — | — | (26,622 | ) | — | |||||||||||
Foreign currency exchange contracts | — | — | (21,214 | ) | — | |||||||||||
Futures contracts | — | — | — | (354,090 | ) | |||||||||||
Net realized gain (loss) | 37,321,465 | (6,860,732 | ) | (670,374 | ) | (1,875,425 | ) | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments1 | 44,851,938 | 11,358,886 | 12,310,245 | 2,260,774 | ||||||||||||
Foreign currencies | — | — | 35,347 | — | ||||||||||||
Futures contracts | — | — | — | (770,624 | ) | |||||||||||
Net change in unrealized appreciation (depreciation) | 44,851,938 | 11,358,886 | 12,345,592 | 1,490,150 | ||||||||||||
Net Realized and Unrealized Gain (Loss) | 82,173,403 | 4,498,154 | 11,675,218 | (385,275 | ) | |||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 83,483,366 | $ | 12,208,496 | $ | 12,106,763 | $ | 3,611,753 |
1 | Includes $13,947 decrease in capital gains tax paid and $120,285 increase in capital gains tax accrued for Delaware Ivy VIP Global Growth. |
See accompanying notes, which are an integral part of the financial statements.
30 |
Delaware VIP | ||||||||||||
Delaware Ivy | Delaware VIP Global | Real Estate | ||||||||||
VIP Value | Value Equity | Securities | ||||||||||
Investment Income: | ||||||||||||
Dividends | $ | 4,644,701 | $ | 2,868,710 | $ | 527,658 | ||||||
Securities lending income | 1,444 | 19,191 | — | |||||||||
Foreign tax withheld | — | (288,117 | ) | (630 | ) | |||||||
4,646,145 | 2,599,784 | 527,028 | ||||||||||
Expenses: | ||||||||||||
Investment advisory fees | 1,211,092 | 655,247 | 113,230 | |||||||||
Distribution expenses — Class II | 432,533 | 234,017 | 34,948 | |||||||||
Accounting and administration expenses | 57,877 | 42,704 | 20,501 | |||||||||
Trustees’ fees and expenses | 23,119 | 133,207 | 183,354 | |||||||||
Audit and tax fees | 14,152 | 14,080 | 13,665 | |||||||||
Dividend disbursing and transfer agent fees and expenses | 13,998 | 8,827 | 1,177 | |||||||||
Reports and statements to shareholders servicing expenses | 7,023 | 13,492 | 6,968 | |||||||||
Custodian fees | 3,267 | 14,567 | 2,114 | |||||||||
Legal fees | 601 | 722 | 141 | |||||||||
Registration fees | 4 | 4 | 4 | |||||||||
Other | 15,159 | 14,247 | 6,066 | |||||||||
1,778,825 | 1,131,114 | 382,168 | ||||||||||
Less expenses waived | (11,663 | ) | (56,202 | ) | (213,023 | ) | ||||||
Total operating expenses | 1,767,162 | 1,074,912 | 169,145 | |||||||||
Net Investment Income (Loss) | 2,878,983 | 1,524,872 | 357,883 | |||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments | 25,372,060 | 5,081,940 | (961,490 | ) | ||||||||
Foreign currencies | — | (99,130 | ) | 1,006 | ||||||||
Foreign currency exchange contracts | — | 34,687 | (1,360 | ) | ||||||||
Options written | 105,430 | — | — | |||||||||
Net realized gain (loss) | 25,477,490 | 5,017,497 | (961,844 | ) | ||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments | (14,124,844 | ) | 20,369,112 | 1,786,175 | ||||||||
Foreign currencies | — | 8,953 | (1 | ) | ||||||||
Foreign currency exchange contracts | — | — | 20 | |||||||||
Options written | (79,529 | ) | — | — | ||||||||
Net change in unrealized appreciation (depreciation) | (14,204,373 | ) | 20,378,065 | 1,786,194 | ||||||||
Net Realized and Unrealized Gain (Loss) | 11,273,117 | 25,395,562 | 824,350 | |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 14,152,100 | $ | 26,920,434 | $ | 1,182,233 |
See accompanying notes, which are an integral part of the financial statements.
31 |
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy VIP | Delaware Ivy VIP | |||||||||||||||
Core Equity | Corporate Bond | |||||||||||||||
Six months | Six months | |||||||||||||||
ended | ended | |||||||||||||||
6/30/23 | Year ended | 6/30/23 | Year ended | |||||||||||||
(Unaudited) | 12/31/22 | (Unaudited) | 12/31/22 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 1,309,963 | $ | 2,335,588 | $ | 7,710,342 | $ | 13,390,847 | ||||||||
Net realized gain (loss) | 37,321,465 | 57,011,657 | (6,860,732 | ) | (33,707,049 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | 44,851,938 | (186,851,659 | ) | 11,358,886 | (81,820,354 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 83,483,366 | (127,504,414 | ) | 12,208,496 | (102,136,556 | ) | ||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class II | (60,100,427 | ) | (132,497,095 | ) | (13,257,814 | ) | (29,175,316 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class II | 5,402,272 | �� | 103,729,316 | 20,842,108 | 44,249,907 | |||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class II | 60,100,427 | 132,497,095 | 13,257,814 | 29,175,316 | ||||||||||||
65,502,699 | 236,226,411 | 34,099,922 | 73,425,223 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class II | (64,739,973 | ) | (114,008,874 | ) | (46,109,267 | ) | (118,783,168 | ) | ||||||||
Increase (decrease) in net assets derived from capital share transactions | 762,726 | 122,217,537 | (12,009,345 | ) | (45,357,945 | ) | ||||||||||
Net Increase (Decrease) in Net Assets | 24,145,665 | (137,783,972 | ) | (13,058,663 | ) | (176,669,817 | ) | |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 597,275,866 | 735,059,838 | 491,307,925 | 667,977,742 | ||||||||||||
End of period | $ | 621,421,531 | $ | 597,275,866 | $ | 478,249,262 | $ | 491,307,925 |
See accompanying notes, which are an integral part of the financial statements.
32 |
Delaware Ivy VIP | Delaware Ivy VIP | |||||||||||||||
Global Growth | Limited-Term Bond | |||||||||||||||
Six months | Six months | |||||||||||||||
ended | ended | |||||||||||||||
6/30/23 | Year ended | 6/30/23 | Year ended | |||||||||||||
(Unaudited) | 12/31/22 | (Unaudited) | 12/31/22 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 431,545 | $ | 474,746 | $ | 3,997,028 | $ | 5,268,120 | ||||||||
Net realized gain (loss) | (670,374 | ) | 24,008,506 | (1,875,425 | ) | (10,814,903 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | 12,345,592 | (51,924,826 | ) | 1,490,150 | (9,987,172 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 12,106,763 | (27,441,574 | ) | 3,611,753 | (15,533,955 | ) | ||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class II | (24,662,684 | ) | (19,702,418 | ) | (5,233,135 | ) | (7,185,516 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class II | 1,337,134 | 3,494,999 | 17,165,731 | 40,046,133 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class II | 24,662,684 | 19,702,418 | 5,233,135 | 7,185,516 | ||||||||||||
25,999,818 | 23,197,417 | 22,398,866 | 47,231,649 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class II | (9,352,362 | ) | (18,458,069 | ) | (31,629,295 | ) | (102,816,836 | ) | ||||||||
Increase (decrease) in net assets derived from capital share transactions | 16,647,456 | 4,739,348 | (9,230,429 | ) | (55,585,187 | ) | ||||||||||
Net Increase (Decrease) in Net Assets | 4,091,535 | (42,404,644 | ) | (10,851,811 | ) | (78,304,658 | ) | |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 117,267,871 | 159,672,515 | 312,800,377 | 391,105,035 | ||||||||||||
End of period | $ | 121,359,406 | $ | 117,267,871 | $ | 301,948,566 | $ | 312,800,377 |
See accompanying notes, which are an integral part of the financial statements.
33 |
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware VIP | ||||||||||||||||
Delaware Ivy VIP Value | Global Value Equity | |||||||||||||||
Six months | Six months | |||||||||||||||
ended | ended | |||||||||||||||
6/30/23 | Year ended | 6/30/23 | Year ended | |||||||||||||
(Unaudited) | 12/31/22 | (Unaudited) | 12/31/22 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 2,878,983 | $ | 5,136,602 | $ | 1,524,872 | $ | 3,183,092 | ||||||||
Net realized gain (loss) | 25,477,490 | 50,020,103 | 5,017,497 | 2,432,685 | ||||||||||||
Net change in unrealized appreciation (depreciation) | (14,204,373 | ) | (73,733,023 | ) | 20,378,065 | (38,205,586 | ) | |||||||||
Net increase (decrease) in net assets resulting from operations | 14,152,100 | (18,576,318 | ) | 26,920,434 | (32,589,809 | ) | ||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class II | (55,315,506 | ) | (107,862,773 | ) | (5,792,612 | ) | (68,169,217 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class II | 8,248,686 | 89,536,158 | 1,557,924 | 25,275,803 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class II | 55,315,506 | 107,862,773 | 5,792,612 | 68,169,217 | ||||||||||||
63,564,192 | 197,398,931 | 7,350,536 | 93,445,020 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class II | (34,035,398 | ) | (86,414,422 | ) | (80,432,633 | ) | (58,341,351 | ) | ||||||||
Increase (decrease) in net assets derived from capital share transactions | 29,528,794 | 110,984,509 | (73,082,097 | ) | 35,103,669 | |||||||||||
Net Decrease in Net Assets | (11,634,612 | ) | (15,454,582 | ) | (51,954,275 | ) | (65,655,357 | ) | ||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 354,289,661 | 369,744,243 | 228,704,420 | 294,359,777 | ||||||||||||
End of period | $ | 342,655,049 | $ | 354,289,661 | $ | 176,750,145 | $ | 228,704,420 |
See accompanying notes, which are an integral part of the financial statements.
34 |
Delaware VIP | ||||||||
Real Estate Securities | ||||||||
Six months | ||||||||
ended | ||||||||
6/30/23 | Year ended | |||||||
(Unaudited) | 12/31/22 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 357,883 | $ | 500,862 | ||||
Net realized gain (loss) | (961,844 | ) | 2,648,437 | |||||
Net change in unrealized appreciation (depreciation) | 1,786,194 | (12,984,140 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,182,233 | (9,834,841 | ) | |||||
Dividends and Distributions to Shareholders from: | ||||||||
Distributable earnings: | ||||||||
Class II | (3,163,767 | ) | (4,613,545 | ) | ||||
Capital Share Transactions: | ||||||||
Proceeds from shares sold: | ||||||||
Class II | 1,649,618 | 3,868,818 | ||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||
Class II | 3,163,767 | 4,613,545 | ||||||
4,813,385 | 8,482,363 | |||||||
Cost of shares redeemed: | ||||||||
Class II | (2,708,848 | ) | (7,599,015 | ) | ||||
Increase in net assets derived from capital share transactions | 2,104,537 | 883,348 | ||||||
Net Increase (Decrease) in Net Assets | 123,003 | (13,565,038 | ) | |||||
Net Assets: | ||||||||
Beginning of period | 27,842,408 | 41,407,446 | ||||||
End of period | $ | 27,965,411 | $ | 27,842,408 |
See accompanying notes, which are an integral part of the financial statements.
35 |
Delaware Ivy VIP Core Equity Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 11.50 | $ | 17.69 | $ | 14.36 | $ | 12.63 | $ | 10.80 | $ | 12.30 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.03 | 0.05 | 0.03 | 0.06 | 0.06 | 0.07 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 1.60 | (3.18 | ) | 4.01 | 2.44 | 3.10 | (0.53 | ) | ||||||||||||||||
Total from investment operations | 1.63 | (3.13 | ) | 4.04 | 2.50 | 3.16 | (0.46 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.05 | ) | (0.03 | ) | (0.09 | ) | (0.07 | ) | (0.07 | ) | (0.06 | ) | ||||||||||||
Net realized gain | (1.21 | ) | (3.03 | ) | (0.62 | ) | (0.70 | ) | (1.26 | ) | (0.98 | ) | ||||||||||||
Total dividends and distributions | (1.26 | ) | (3.06 | ) | (0.71 | ) | (0.77 | ) | (1.33 | ) | (1.04 | ) | ||||||||||||
Net asset value, end of period | $ | 11.87 | $ | 11.50 | $ | 17.69 | $ | 14.36 | $ | 12.63 | $ | 10.80 | ||||||||||||
Total return3 | 14.72 | % | (17.33 | )% | 28.94 | % | 21.52 | % | 31.09 | % | (4.51 | )% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 621,422 | $ | 597,276 | $ | 735 | 4 | $ | 737 | 4 | $ | 723 | 4 | $ | 626 | 4 | ||||||||
Ratio of expenses to average net assets5 | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||
Ratio of expenses to average net assets prior to fees waived5 | 1.00 | % | 1.01 | % | 0.99 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.44 | % | 0.36 | % | 0.19 | % | 0.51 | % | 0.53 | % | 0.59 | % | ||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 0.39 | % | 0.30 | % | 0.15 | % | 0.46 | % | 0.48 | % | 0.54 | % | ||||||||||||
Portfolio turnover | 26 | % | 47 | % | 29 | % | 58 | % | 80 | % | 99 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. Total return during the period shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
36 |
Delaware Ivy VIP Corporate Bond Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 4.49 | $ | 5.63 | $ | 6.05 | $ | 5.60 | $ | 5.13 | $ | 5.35 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.07 | 0.12 | 0.11 | 0.14 | 0.15 | 0.14 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.04 | (1.00 | ) | (0.17 | ) | 0.46 | 0.47 | (0.24 | ) | |||||||||||||||
Total from investment operations | 0.11 | (0.88 | ) | (0.06 | ) | 0.60 | 0.62 | (0.10 | ) | |||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.13 | ) | (0.12 | ) | (0.12 | ) | (0.15 | ) | (0.15 | ) | (0.11 | ) | ||||||||||||
Net realized gain | — | (0.14 | ) | (0.24 | ) | — | — | (0.01 | ) | |||||||||||||||
Total dividends and distributions | (0.13 | ) | (0.26 | ) | (0.36 | ) | (0.15 | ) | (0.15 | ) | (0.12 | ) | ||||||||||||
Net asset value, end of period | $ | 4.47 | $ | 4.49 | $ | 5.63 | $ | 6.05 | $ | 5.60 | $ | 5.13 | ||||||||||||
Total return3 | 2.46 | % | (15.86 | )% | (0.85 | )% | 10.97 | % | 12.18 | % | (1.90 | )% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 478,249 | $ | 491,308 | $ | 668 | 4 | $ | 685 | 4 | $ | 600 | 4 | $ | 544 | 4 | ||||||||
Ratio of expenses to average net assets5 | 0.80 | % | 0.80 | % | 0.76 | % | 0.77 | % | 0.77 | % | 0.77 | % | ||||||||||||
Ratio of net investment income to average net assets | 3.14 | % | 2.45 | % | 1.90 | % | 2.34 | % | 2.73 | % | 2.77 | % | ||||||||||||
Portfolio turnover | 38 | % | 67 | % | 85 | % | 95 | % | 66 | % | 63 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
37 |
Financial highlights
Delaware Ivy VIP Global Growth Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 3.33 | $ | 4.81 | $ | 4.29 | $ | 3.58 | $ | 8.67 | $ | 9.87 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.01 | 0.01 | 0.02 | — | 0.02 | 0.05 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.32 | (0.87 | ) | 0.72 | 0.72 | 1.45 | (0.58 | ) | ||||||||||||||||
Total from investment operations | 0.33 | (0.86 | ) | 0.74 | 0.72 | 1.47 | (0.53 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | — | 3 | (0.03 | ) | — | (0.01 | ) | (0.06 | ) | (0.05 | ) | |||||||||||||
Net realized gain | (0.73 | ) | (0.59 | ) | (0.22 | ) | — | (6.50 | ) | (0.62 | ) | |||||||||||||
Total dividends and distributions | (0.73 | ) | (0.62 | ) | (0.22 | ) | (0.01 | ) | (6.56 | ) | (0.67 | ) | ||||||||||||
Net asset value, end of period | $ | 2.93 | $ | 3.33 | $ | 4.81 | $ | 4.29 | $ | 3.58 | $ | 8.67 | ||||||||||||
Total return4 | 10.82 | % | (17.49 | )% | 17.86 | % | 20.58 | % | 25.93 | % | (6.27 | )% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 121,359 | $ | 117,268 | $ | 160 | 5 | $ | 156 | 5 | $ | 148 | 5 | $ | 134 | 5 | ||||||||
Ratio of expenses to average net assets6 | 1.13 | % | 1.13 | % | 1.13 | % | 1.13 | % | 1.13 | % | 1.13 | % | ||||||||||||
Ratio of expenses to average net assets prior to fees waived6 | 1.24 | % | 1.24 | % | 1.18 | % | 1.23 | % | 1.21 | % | 1.18 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.73 | % | 0.37 | % | 0.43 | % | 0.06 | % | 0.41 | % | 0.46 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets prior to fees waived | 0.62 | % | 0.26 | % | 0.38 | % | (0.04 | )% | 0.33 | % | 0.41 | % | ||||||||||||
Portfolio turnover | 19 | % | 72 | % | 22 | % | 33 | % | 26 | % | 40 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Amount is less than $(0.005) per share. |
4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. Total return during the period shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
38 |
Delaware Ivy VIP Limited-Term Bond Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 4.58 | $ | 4.89 | $ | 5.01 | $ | 4.95 | $ | 4.84 | $ | 4.88 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.06 | 0.07 | 0.05 | 0.08 | 0.09 | 0.09 | ||||||||||||||||||
Net realized and unrealized gain (loss) | — | (0.28 | ) | (0.07 | ) | 0.12 | 0.11 | (0.05 | ) | |||||||||||||||
Total from investment operations | 0.06 | (0.21 | ) | (0.02 | ) | 0.20 | 0.20 | 0.04 | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.08 | ) | (0.06 | ) | (0.08 | ) | (0.14 | ) | (0.09 | ) | (0.08 | ) | ||||||||||||
Net realized gain | — | (0.04 | ) | (0.02 | ) | — | — | — | ||||||||||||||||
Total dividends and distributions | (0.08 | ) | (0.10 | ) | (0.10 | ) | (0.14 | ) | (0.09 | ) | (0.08 | ) | ||||||||||||
Net asset value, end of period | $ | 4.56 | $ | 4.58 | $ | 4.89 | $ | 5.01 | $ | 4.95 | $ | 4.84 | ||||||||||||
Total return3 | 1.18 | %4 | (4.20 | %) | (0.49 | %) | 4.14 | % | 4.23 | % | 0.78 | % | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 301,949 | $ | 312,800 | $ | 391 | 5 | $ | 430 | 5 | $ | 453 | 5 | $ | 542 | 5 | ||||||||
Ratio of expenses to average net assets6 | 0.90 | % | 0.82 | % | 0.79 | % | 0.81 | % | 0.79 | % | 0.79 | % | ||||||||||||
Ratio of expenses to average net assets prior to fees waived6 | 0.95 | % | 0.82 | % | 0.79 | % | 0.81 | % | 0.79 | % | 0.79 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.58 | % | 1.56 | % | 1.05 | % | 1.60 | % | 1.89 | % | 1.91 | % | ||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 2.53 | % | 1.56 | % | 1.05 | % | 1.60 | % | 1.89 | % | 1.91 | % | ||||||||||||
Portfolio turnover | 82 | % | 144 | % | 48 | % | 74 | % | 54 | % | 53 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Total return during the period reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
39 |
Financial highlights
Delaware Ivy VIP Value Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 5.56 | $ | 8.24 | $ | 6.40 | $ | 6.72 | $ | 5.69 | $ | 6.44 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.05 | 0.09 | 0.08 | 0.09 | 0.11 | 0.07 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.16 | (0.51 | ) | 1.90 | (0.05 | ) | 1.32 | (0.51 | ) | |||||||||||||||
Total from investment operations | 0.21 | (0.42 | ) | 1.98 | 0.04 | 1.43 | (0.44 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.09 | ) | (0.10 | ) | (0.14 | ) | (0.12 | ) | (0.05 | ) | (0.12 | ) | ||||||||||||
Net realized gain | (0.83 | ) | (2.16 | ) | — | (0.24 | ) | (0.35 | ) | (0.19 | ) | |||||||||||||
Total dividends and distributions | (0.92 | ) | (2.26 | ) | (0.14 | ) | (0.36 | ) | (0.40 | ) | (0.31 | ) | ||||||||||||
Net asset value, end of period | $ | 4.85 | $ | 5.56 | $ | 8.24 | $ | 6.40 | $ | 6.72 | $ | 5.69 | ||||||||||||
Total return3 | 4.19 | %4 | (4.90 | %) | 31.18 | % | 1.98 | % | 26.33 | % | (7.24 | %) | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 342,655 | $ | 354,290 | $ | 370 | 5 | $ | 465 | 5 | $ | 511 | 5 | $ | 446 | 5 | ||||||||
Ratio of expenses to average net assets6 | 1.02 | % | 1.01 | % | 1.00 | % | 1.01 | % | 1.00 | % | 1.00 | % | ||||||||||||
Ratio of expenses to average net assets prior to fees waived6 | 1.03 | % | 1.01 | % | 1.00 | % | 1.01 | % | 1.00 | % | 1.00 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.66 | % | 1.37 | % | 1.11 | % | 1.57 | % | 1.81 | % | 1.09 | % | ||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.65 | % | 1.37 | % | 1.11 | % | 1.57 | % | 1.81 | % | 1.09 | % | ||||||||||||
Portfolio turnover | 96 | % | 72 | % | 41 | % | 63 | % | 62 | % | 56 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Total return during the period reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
40 |
Delaware VIP Global Value Equity Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 4.41 | $ | 6.89 | $ | 6.02 | $ | 6.01 | $ | 6.89 | $ | 8.58 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.04 | 0.06 | 0.14 | 0.12 | 0.16 | 0.16 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.59 | (0.85 | ) | 0.87 | 0.03 | 1.17 | (1.07 | ) | ||||||||||||||||
Total from investment operations | 0.63 | (0.79 | ) | 1.01 | 0.15 | 1.33 | (0.91 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.08 | ) | (0.23 | ) | (0.14 | ) | (0.14 | ) | (0.22 | ) | (0.14 | ) | ||||||||||||
Net realized gain | (0.08 | ) | (1.46 | ) | — | — | (1.99 | ) | (0.64 | ) | ||||||||||||||
Total dividends and distributions | (0.16 | ) | (1.69 | ) | (0.14 | ) | (0.14 | ) | (2.21 | ) | (0.78 | ) | ||||||||||||
Net asset value, end of period | $ | 4.88 | $ | 4.41 | $ | 6.89 | $ | 6.02 | $ | 6.01 | $ | 6.89 | ||||||||||||
Total return3 | 14.36 | %4 | (11.32 | )% | 16.97 | % | 3.15 | % | 23.15 | % | (11.68 | )% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 176,750 | $ | 228,704 | $ | 294 | 5 | $ | 315 | 5 | $ | 297 | 5 | $ | 284 | 5 | ||||||||
Ratio of expenses to average net assets6 | 1.15 | % | 1.07 | % | 1.01 | % | 1.03 | % | 1.02 | % | 1.01 | % | ||||||||||||
Ratio of expenses to average net assets prior to fees waived6 | 1.21 | % | 1.07 | % | 1.01 | % | 1.03 | % | 1.02 | % | 1.01 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.63 | % | 1.30 | % | 2.14 | % | 2.19 | % | 2.52 | % | 2.01 | % | ||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.57 | % | 1.30 | % | 2.14 | % | 2.19 | % | 2.52 | % | 2.01 | % | ||||||||||||
Portfolio turnover | 13 | % | 47 | % | 109 | % | 73 | % | 39 | % | 93 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Total return during the period reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
41 |
Financial highlights
Delaware VIP Real Estate Securities Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months | ||||||||||||||||||||||||
ended | ||||||||||||||||||||||||
6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 6.30 | $ | 9.77 | $ | 6.97 | $ | 8.05 | $ | 6.60 | $ | 7.64 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.08 | 0.11 | 0.06 | 0.07 | 0.17 | 0.10 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.16 | (2.44 | ) | 2.95 | (0.46 | ) | 1.43 | (0.54 | ) | |||||||||||||||
Total from investment operations | 0.24 | (2.33 | ) | 3.01 | (0.39 | ) | 1.60 | (0.44 | ) | |||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.13 | ) | (0.07 | ) | (0.08 | ) | (0.12 | ) | (0.12 | ) | (0.11 | ) | ||||||||||||
Net realized gain | (0.60 | ) | (1.07 | ) | (0.13 | ) | (0.57 | ) | (0.03 | ) | (0.49 | ) | ||||||||||||
Total dividends and distributions | (0.73 | ) | (1.14 | ) | (0.21 | ) | (0.69 | ) | (0.15 | ) | (0.60 | ) | ||||||||||||
Net asset value, end of period | $ | 5.81 | $ | 6.30 | $ | 9.77 | $ | 6.97 | $ | 8.05 | $ | 6.60 | ||||||||||||
Total return3 | 4.22 | %4 | (24.87 | )% | 43.68 | % | (3.13 | )% | 24.43 | % | (5.57 | )% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 27,965 | $ | 27,842 | $ | 41 | 5 | $ | 31 | 5 | $ | 35 | 5 | $ | 34 | 5 | ||||||||
Ratio of expenses to average net assets6 | 1.21 | % | 1.23 | % | 1.21 | % | 1.37 | % | 1.26 | % | 1.24 | % | ||||||||||||
Ratio of expenses to average net assets prior to fees waived6 | 2.73 | % | 1.38 | % | 1.30 | % | 1.46 | % | 1.35 | % | 1.33 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.56 | % | 1.51 | % | 0.71 | % | 1.06 | % | 1.36 | % | 1.45 | % | ||||||||||||
Ratio of net investment income to average net assets prior to fees waived | 1.04 | % | 1.36 | % | 0.62 | % | 0.97 | % | 1.27 | % | 1.36 | % | ||||||||||||
Portfolio turnover | 23 | % | 59 | % | 57 | % | 72 | % | 54 | % | 71 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. Total return during the period shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
4 | Total return during the period reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
5 | Net assets reported in millions. |
6 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
42 |
Ivy Variable Insurance Portfolios | June 30, 2023 (Unaudited) |
Ivy Variable Insurance Portfolios (Trust) is organized as a Delaware statutory trust and offers 26 portfolios. These financial statements and the related notes pertain to 7 portfolios: Delaware Ivy VIP Core Equity, Delaware Ivy VIP Corporate Bond, Delaware Ivy VIP Global Growth, Delaware Ivy VIP Limited-Term Bond, Delaware Ivy VIP Value, Delaware VIP Global Value Equity (formerly, Delaware Ivy VIP Global Equity Income), and Delaware VIP Real Estate Securities (formerly Delaware Ivy VIP Securian Real Estate Securities), (each, a Portfolio and collectively, the Portfolios). The Trust is an open-end investment company. Each of the Portfolios, other than Delaware VIP Global Value Equity, are diversified as defined in the Investment Company Act of 1940, as amended (1940 Act). Delaware VIP Global Value Equity is non-diversified as defined in the 1940 Act. Each Portfolio offers Class II shares. The Class II shares carry a distribution and service (12b-1) fee. The shares of the Portfolios are sold only to variable life insurance separate accounts and variable annuity separate accounts.
1. Significant Accounting Policies
Each Portfolio follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Portfolios.
Security Valuation — Equity securities and exchange-traded funds (ETFs), except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities and ETFs traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security or ETF does not trade, the mean between the bid and the ask prices will be used, which approximates fair value. Equity securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. US government and agency securities are valued at the mean between the bid and the ask prices, which approximates fair value. Debt securities are valued based upon valuations provided by an independent pricing service or broker and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. For asset-backed securities, collateralized mortgage obligations (CMOs), commercial mortgage securities, and US government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity, and type as well as broker/dealer-supplied prices. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and the ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Futures contracts and options on futures contracts are valued at the daily quoted settlement prices. Exchange-traded options are valued at the last reported sale price or, if no sales are reported, at the mean between the last reported bid and the ask prices, which approximates fair value. Open-end investment companies, other than ETFs, are valued at their published net asset value (NAV). Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by each Portfolio's valuation designee, Delaware Management Company (DMC). Subject to the oversight of each Trust's Board of Trustees (Board), DMC, as valuation designee, has adopted policies and procedures to fair value securities for which market quotations are not readily available consistent with the requirements of Rule 2a-5 under the 1940 Act. In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Restricted securities and private placements are valued at fair value.
Federal and Foreign Income Taxes — No provision for federal income taxes has been made as each Portfolio intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. Each Portfolio evaluates tax positions taken or expected to be taken in the course of preparing each Portfolio's tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed each Portfolio's tax positions taken or expected to be taken on each Portfolio's federal income tax returns through the six months ended June 30, 2023, and for all open tax years (years ended December 31, 2019–December 31, 2022), and has concluded that no provision for federal income tax is required in each Portfolio's financial statements. In regard to foreign taxes only, each Portfolio has open tax years in certain foreign countries in which it invests in that may date back to the inception of each Portfolio. If applicable, each Portfolio recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statements of operations.” During the six months ended June 30, 2023, the Portfolios did not incur any interest or tax penalties.
43 |
Notes to financial statements
Ivy Variable Insurance Portfolios
1. Significant Accounting Policies (continued)
Foreign Currency Transactions — Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date. The value of all assets and liabilities denominated in foreign currencies is translated daily into US dollars at the exchange rate of such currencies against the US dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Portfolios generally bifurcate that portion of realized gains and losses on investments in debt securities which is due to changes in foreign exchange rates from that which is due to changes in market prices of debt securities. That portion of gains (losses), attributable to changes in foreign exchange rates, is included on the “Statements of operations” under “Net realized gain (loss) on foreign currencies.” For foreign equity securities, the realized gains and losses are included on the “Statements of operations” under “Net realized gain (loss) on investments.” The Portfolios report certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Derivative Financial Instruments — The Portfolios may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Portfolios must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Portfolios' successful use of a derivative financial instrument depends on the investment adviser's ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Portfolios can realize on an investment and/or may result in lower distributions paid to shareholders. The Portfolios' investments in these instruments, if any, are discussed in detail in the Notes to financial statements.
Segregation and Collateralization — In certain cases, based on requirements and agreements with certain exchanges and third-party broker-dealers, the Portfolios may deliver or receive collateral in connection with certain investments (e.g., futures contracts, foreign currency exchange contracts, options written, securities with extended settlement periods, and swaps). 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/received to cover obligations of the Portfolios under derivative contracts, if any, will be reported separately on the "Statements of assets and liabilities" as cash collateral due to/from broker. Securities collateral pledged for the same purpose, if any, is noted on the "Schedules of investments."
Use of Estimates — The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to a Portfolio are charged directly to that Portfolio. Other expenses common to various funds within the Delaware Funds by Macquarie® (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Income and capital gain distributions from any Underlying Funds in which each Portfolio invests are recorded on the ex-dividend date. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively, over the lives of the respective securities using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Realized gains (losses) on paydowns of asset- and mortgage-backed securities are classified as interest income. Distributions received from investments in real estate investment trusts (REITs) are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distributions by the issuer, which are estimated. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Portfolios are aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends and interest have been recorded in accordance with the Portfolios' understanding of the applicable country’s tax rules and rates. Each Portfolio may pay foreign capital gains taxes on certain foreign securities held, which are reported as components of realized losses for financial reporting purposes, whereas such components are treated as
44 |
ordinary loss for federal income tax purposes. Each Portfolio will accrue such taxes as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. The Portfolios declare and pay dividends from net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. The Portfolios may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
Each Portfolio receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than $1, the expenses paid under this arrangement are included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expenses offset included under “Less expenses paid indirectly.”
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its respective investment management agreement, each Portfolio pays DMC, a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly, based on each Portfolio's average daily net assets as follows:
Portfolio | Management Fee (annual rate as a percentage of average daily net assets) | |
Delaware Ivy VIP Core Equity | 0.70% of net assets up to $1 billion; | |
0.65% of net assets over $1 billion and up to $2 billion; | ||
0.60% of net assets over $2 billion and up to $3 billion; | ||
0.55% of net assets over $3 billion. | ||
Delaware Ivy VIP Corporate Bond | 0.475% of net assets up to $1 billion; | |
0.450% of net assets over $1 billion and up to $1.5 billion; | ||
0.40% of net assets over $1.5 billion. | ||
Delaware Ivy VIP Global Growth | 0.85% of net assets up to $1 billion; | |
0.83% of net assets over $1 billion and up to $2 billion; | ||
0.80% of net assets over $2 billion and up to $3 billion; | ||
0.76% of net assets over $3 billion. | ||
Delaware Ivy VIP Limited-Term Bond | 0.50% of net assets up to $500 million; | |
0.45% of net assets over $500 million and up to $1 billion; | ||
0.40% of net assets over $1 billion and up to $1.5 billion; | ||
0.35% of net assets over $1.5 billion. | ||
Delaware Ivy VIP Value | 0.70% of net assets up to $1 billion; | |
0.65% of net assets over $1 billion and up to $2 billion; | ||
0.60% of net assets over $2 billion and up to $3 billion; | ||
0.55% of net assets over $3 billion. | ||
Delaware VIP Global Value Equity | 0.70% of net assets up to $1 billion; | |
0.65% of net assets over $1 billion and up to $2 billion; | ||
0.60% of net assets over $2 billion and up to $3 billion; | ||
0.55% of net assets over $3 billion. | ||
Delaware VIP Real Estate Securities | 0.90% of net assets up to $1 billion; | |
0.87% of net assets over $1 billion and up to $2 billion; | ||
0.84% of net assets over $2 billion and up to $3 billion; | ||
0.80% of net assets over $3 billion. |
DMC has entered into sub-advisory agreements with the following entities on behalf of the Portfolios:
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Notes to financial statements
Ivy Variable Insurance Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
Under agreements between DMC and each of Macquarie Investment Management Europe Limited (MIMEL) and Macquarie Investment Management Global Limited (MIMGL), each of MIMEL and MIMGL serves as sub-advisor to Delaware VIP Real Estate Securities, and along with DMC, are responsible for its day to day management. In addition, each of the Portfolios may use MIMGL to execute Portfolio security trades. For their services, each of MIMEL and MIMGL receive a sub-advisory fee from DMC.
Each of Macquarie Investment Management Austria Kapitalanlage AG (MIMAK), MIMEL, and MIMGL is an affiliate of DMC and is a part of Macquarie Asset Management (MAM). MAM is the marketing name for certain companies comprising the asset management division of Macquarie Group Limited.
With respect to Delaware Ivy VIP Core Equity, Delaware Ivy VIP Global Growth, and Delaware VIP Global Value Equity, DMC has principal responsibility for the portfolio and may seek quantitative support from MIMGL and may utilize MIMGL to execute Portfolio security trades on behalf of DMC.
With respect to Delaware Ivy VIP Corporate Bond and Delaware Ivy VIP Limited-Term Bond, DMC may seek investment advice and recommendations from MIMAK, MIMEL, and MIMGL and may permit each to exercise investment discretion in certain markets where DMC believes it will be beneficial to utilize the specialized market knowledge of each of MIMAK, MIMEL, and/or MIMGL.
Pursuant to the terms of the relevant sub-advisory agreement, an investment sub-advisory fee is paid by DMC to each Affiliated Sub-Advisor.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to each Portfolio. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; 0.0025% of the next $45 billion; and 0.0015% of aggregate average daily net assets in excess of $90 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative NAV basis. These amounts are included on the “Statements of operations” under “Accounting and administration expenses.” For the six months ended June 30, 2023, each Portfolio paid for these services as follows:
Portfolio | Fees | |||
Delaware Ivy VIP Core Equity | $ | 10,852 | ||
Delaware Ivy VIP Corporate Bond | 9,329 | |||
Delaware Ivy VIP Global Growth | 3,760 | |||
Delaware Ivy VIP Limited-Term Bond | 6,621 | |||
Delaware Ivy VIP Value | 7,182 | |||
Delaware VIP Global Value Equity | 4,909 | |||
Delaware VIP Real Estate Securities | 2,412 |
DIFSC is also the transfer agent and dividend disbursing agent of the Portfolios. For these services, DIFSC’s fees are calculated daily and paid monthly, at the annual rate of 0.0075% of the Portfolios’ average daily net assets. These amounts are included on the “Statements of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended June 30, 2023, each Portfolio paid for these services as follows:
Portfolio | Fees | |||
Delaware Ivy VIP Core Equity | $ | 22,734 | ||
Delaware Ivy VIP Corporate Bond | 18,828 | |||
Delaware Ivy VIP Global Growth | 4,551 | |||
Delaware Ivy VIP Limited-Term Bond | 11,878 | |||
Delaware Ivy VIP Value | 13,328 | |||
Delaware VIP Global Value Equity | 7,511 | |||
Delaware VIP Real Estate Securities | 1,080 |
Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to each Portfolio. Sub-transfer agency fees are paid by each Portfolio and are also included on the
46 |
“Statements of operations” under “Dividend disbursing and transfer agent fees and expenses.” These fees are calculated daily and paid as invoices are received on a monthly or quarterly basis.
Pursuant to a distribution agreement and distribution plan, each Portfolio pays DDLP, the distributor and an affiliate of DMC, an annual 12b-1 fee of 0.25% of the average daily net assets of the Class II shares. The fees are calculated daily and paid monthly.
Through April 30, 2024, DMC has contractually agreed to waive all or a portion of its investment advisory fees and/or pay/reimburse expenses (excluding acquired fund fees and expenses, taxes, interest, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations) in order to prevent total annual portfolio operating expenses from exceeding the following specified percentages of certain Portfolio's average daily net assets. These waivers and reimbursements may only be terminated by agreement of DMC and/or each Portfolio. The waivers and reimbursements are accrued daily and received monthly.
Operating expense | ||
limitation as a | ||
percentage of average | ||
daily net assets | ||
Portfolio | Class II Shares | |
Delaware Ivy VIP Core Equity | 0.95% | |
Delaware Ivy VIP Global Growth | 1.13% | |
Delaware Ivy VIP Limited-Term Bond | 0.81%1 | |
Delaware Ivy VIP Value | 1.01%1 | |
Delaware VIP Global Value Equity | 1.04%1 | |
Delaware VIP Real Estate Securities | 1.21% |
1 Effective May 1, 2023.
As provided in the investment management agreement, each Portfolio bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal and regulatory reporting services to each Portfolio. These amounts are included on the “Statements of operations” under “Legal fees.” For the six months ended June 30, 2023, each Portfolio paid for internal legal and regulatory reporting services provided by DMC and/or its affiliates’ employees as follows:
Portfolio | Fees | |||
Delaware Ivy VIP Core Equity | $ | 4,922 | ||
Delaware Ivy VIP Corporate Bond | 4,060 | |||
Delaware Ivy VIP Global Growth | 982 | |||
Delaware Ivy VIP Limited-Term Bond | 2,558 | |||
Delaware Ivy VIP Value | 4,505 | |||
Delaware VIP Global Value Equity | 1,601 | |||
Delaware VIP Real Estate Securities | 234 |
Trustees’ fees include expenses accrued by each Portfolio for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Portfolios.
In addition to the management fees and other expenses of a Portfolio, a Portfolio indirectly bears the investment management fees and other expenses of any Underlying Funds including ETFs in which it invests. The amount of these fees and expenses incurred indirectly by a Portfolio will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of any Underlying Funds at different times.
47 |
Notes to financial statements
Ivy Variable Insurance Portfolios
3. Investments
For the six months ended June 30, 2023, each Portfolio made purchases and sales of investment securities other than short-term investments as follows:
Purchases | Sales | |||||||||||||||
other than | Purchases of | other than | Sales of | |||||||||||||
US government | US government | US government | US government | |||||||||||||
Portfolio | securities | securities | securities | securities | ||||||||||||
Delaware Ivy VIP Core Equity | $ | 155,342,023 | $ | — | $ | 199,552,514 | $ | — | ||||||||
Delaware Ivy VIP Corporate Bond | 166,688,941 | 22,026,644 | 166,893,240 | 13,209,377 | ||||||||||||
Delaware Ivy VIP Global Growth | 22,810,208 | — | 30,597,566 | — | ||||||||||||
Delaware Ivy VIP Limited-Term Bond | 27,263,320 | 220,490,826 | 63,362,414 | 197,353,090 | ||||||||||||
Delaware Ivy VIP Value | 329,856,436 | — | 344,357,080 | — | ||||||||||||
Delaware VIP Global Value Equity | 25,480,632 | — | 104,202,713 | — | ||||||||||||
Delaware VIP Real Estate Securities | 6,380,287 | — | 6,874,585 | — |
At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments and derivatives for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments and derivatives for each Portfolio were as follows:
Aggregate | Aggregate | Net unrealized | ||||||||||||||
unrealized | unrealized | appreciation | ||||||||||||||
Cost of | appreciation | depreciation | (depreciation) | |||||||||||||
investments | of investments | of investments | of investments | |||||||||||||
Portfolio | and derivatives | and derivatives | and derivatives | and derivatives | ||||||||||||
Delaware Ivy VIP Core Equity | $ | 501,491,128 | $ | 125,015,242 | $ | (4,208,334 | ) | $ | 120,806,908 | |||||||
Delaware Ivy VIP Corporate Bond | 535,974,732 | 1,874,642 | (61,483,023 | ) | (59,608,381 | ) | ||||||||||
Delaware Ivy VIP Global Growth | 99,065,169 | 25,829,257 | (3,937,297 | ) | 21,891,960 | |||||||||||
Delaware Ivy VIP Limited-Term Bond | 304,498,980 | 277,551 | (9,091,759 | ) | (8,814,208 | ) | ||||||||||
Delaware Ivy VIP Value | 343,939,200 | 21,641,229 | (23,465,539 | ) | (1,824,310 | ) | ||||||||||
Delaware VIP Global Value Equity | 182,518,778 | 13,525,041 | (19,834,768 | ) | (6,309,727 | ) | ||||||||||
Delaware VIP Real Estate Securities | 30,485,958 | 803,797 | (2,911,563 | ) | (2,107,766 | ) |
At June 30, 2023, capital loss carryforwards available to offset future realized capital gains were as follows:
Loss carryforward character | ||||||||||||
Short-term | Long-term | Total | ||||||||||
Delaware Ivy VIP Corporate Bond | $ | 17,768,478 | $ | 15,939,098 | $ | 33,707,576 | ||||||
Delaware Ivy VIP Limited-Term Bond | 5,905,522 | 4,965,433 | 10,870,955 |
US GAAP defines fair value as the price that each Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established 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 assumptions that market participants would use in pricing the
48 |
asset or liability based on the best information available under the circumstances. Each Portfolio's investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized as follows:
Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
Level 2 – | Other observable inputs, including, but 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. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
Level 3 – | Significant unobservable inputs, including each Portfolio's own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. Each Portfolio may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following tables summarize the valuation of each Portfolio's investments by fair value hierarchy levels as of June 30, 2023:
Delaware Ivy | ||||
VIP Core Equity | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Common Stocks | $ | 615,647,039 | ||
Short-Term Investments | 6,650,997 | |||
Total Value of Securities | $ | 622,298,036 |
Delaware Ivy VIP Corporate Bond | ||||||||||||
Level 1 | Level 2 | Total | ||||||||||
Securities | ||||||||||||
Assets: | ||||||||||||
Agency Collateralized Mortgage Obligations | $ | — | $ | — | $ | — | ||||||
Convertible Bond | — | 460,971 | 460,971 | |||||||||
Corporate Bonds | — | 456,736,243 | 456,736,243 | |||||||||
Municipal Bonds | — | 3,914,110 | 3,914,110 | |||||||||
Sovereign Bonds | — | 2,464,432 | 2,464,432 | |||||||||
US Treasury Obligations | — | 10,733,184 | 10,733,184 | |||||||||
Short-Term Investments | 2,057,411 | — | 2,057,411 | |||||||||
Total Value of Securities | $ | 2,057,411 | $ | 474,308,940 | $ | 476,366,351 |
49 |
Notes to financial statements
Ivy Variable Insurance Portfolios
3. Investments (continued)
Delaware Ivy VIP Global Growth | ||||||||||||
Level 1 | Level 2 | Total | ||||||||||
Securities | ||||||||||||
Assets: | ||||||||||||
Common Stocks | ||||||||||||
Communication Services | $ | 4,316,127 | $ | 3,875,477 | $ | 8,191,604 | ||||||
Consumer Discretionary | 11,490,125 | 3,633,851 | 15,123,976 | |||||||||
Consumer Staples | 3,531,370 | 5,823,178 | 9,354,548 | |||||||||
Energy | 5,580,254 | 1,856,640 | 7,436,894 | |||||||||
Financials | 7,472,637 | 9,503,605 | 16,976,242 | |||||||||
Healthcare | 11,439,695 | 5,832,010 | 17,271,705 | |||||||||
Industrials | 7,467,631 | 9,609,175 | 17,076,806 | |||||||||
Information Technology | 22,448,266 | 2,383,060 | 24,831,326 | |||||||||
Materials | 989,254 | — | 989,254 | |||||||||
Utilities | — | 2,853,850 | 2,853,850 | |||||||||
Short-Term Investments | 850,924 | — | 850,924 | |||||||||
Total Value of Securities | $ | 75,586,283 | $ | 45,370,846 | $ | 120,957,129 |
Delaware Ivy VIP Limited-Term Bond | ||||||||||||
Level 1 | Level 2 | Total | ||||||||||
Securities | ||||||||||||
Assets: | ||||||||||||
Agency Collateralized Mortgage Obligations | $ | — | $ | 443,109 | $ | 443,109 | ||||||
Agency Commercial Mortgage-Backed Securities | — | 18,481,763 | 18,481,763 | |||||||||
Agency Mortgage-Backed Security | — | 191,547 | 191,547 | |||||||||
Collateralized Debt Obligations | — | 22,315,506 | 22,315,506 | |||||||||
Corporate Bonds | — | 144,517,452 | 144,517,452 | |||||||||
Non-Agency Asset-Backed Securities | — | 23,462,260 | 23,462,260 | |||||||||
US Treasury Obligations | — | 87,014,382 | 87,014,382 | |||||||||
Total Value of Securities | $ | — | $ | 296,426,019 | $ | 296,426,019 | ||||||
Derivatives1 | ||||||||||||
Assets: | ||||||||||||
Futures Contracts | $ | 103,508 | $ | — | $ | 103,508 | ||||||
Liabilities: | ||||||||||||
Futures Contracts | $ | (844,755 | ) | $ | — | $ | (844,755 | ) |
1Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end.
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Delaware Ivy | ||||
VIP Value | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Common Stocks | $ | 339,374,807 | ||
Short-Term Investments | 2,740,083 | |||
Total Value of Securities | $ | 342,114,890 |
Delaware VIP Global Value Equity | ||||||||||||
Level 1 | Level 2 | Total | ||||||||||
Securities | ||||||||||||
Assets: | ||||||||||||
Common Stocks | ||||||||||||
Communication Services | $ | — | $ | 3,881,863 | $ | 3,881,863 | ||||||
Consumer Discretionary | — | 27,380,965 | 27,380,965 | |||||||||
Consumer Staples | 20,296,183 | 49,389,027 | 69,685,210 | |||||||||
Financials | 4,793,059 | — | 4,793,059 | |||||||||
Healthcare | 16,918,043 | 17,282,046 | 34,200,089 | |||||||||
Industrials | 2,343,811 | 14,488,362 | 16,832,173 | |||||||||
Information Technology | — | 7,316,829 | 7,316,829 | |||||||||
Materials | — | 6,694,041 | 6,694,041 | |||||||||
Preferred Stock | — | 3,742,569 | 3,742,569 | |||||||||
Short-Term Investments | 1,682,253 | — | 1,682,253 | |||||||||
Total Value of Securities | $ | 46,033,349 | $ | 130,175,702 | $ | 176,209,051 |
Delaware VIP | ||||
Real Estate | ||||
Securities | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Common Stocks | $ | 27,308,632 | ||
Short-Term Investments | 1,069,560 | |||
Total Value of Securities | $ | 28,378,192 |
During the six months ended June 30, 2023, there were no transfers into or out of Level 3 investments. Each Portfolio’s policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when a Portfolio has a significant amount of Level 3 investments at the beginning or end of the period in relation to each Portfolio's net assets. During the six months ended June 30, 2023, there were no Level 3 investments.
51 |
Notes to financial statements
Ivy Variable Insurance Portfolios
4. Capital Shares
Transactions in capital shares were as follows:
Delaware Ivy VIP | Delaware Ivy VIP | Delaware Ivy VIP | ||||||||||||||||||||||
Core Equity | Corporate Bond | Global Growth | ||||||||||||||||||||||
Six months | Six months | Six months | ||||||||||||||||||||||
ended | Year ended | ended | Year ended | ended | Year ended | |||||||||||||||||||
6/30/23 | 12/31/22 | 6/30/23 | 12/31/22 | 6/30/23 | 12/31/22 | |||||||||||||||||||
Shares sold: | ||||||||||||||||||||||||
Class II | 452,294 | 7,334,597 | 4,526,661 | 9,529,153 | 397,740 | 956,613 | ||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||
Class II | 5,347,013 | 11,746,196 | 2,992,735 | 6,328,702 | 8,714,729 | 6,062,282 | ||||||||||||||||||
5,799,307 | 19,080,793 | 7,519,396 | 15,857,855 | 9,112,469 | 7,018,895 | |||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||
Class II | (5,385,783 | ) | (8,696,962 | ) | (10,113,018 | ) | (24,951,447 | ) | (2,814,110 | ) | (4,999,033 | ) | ||||||||||||
Net increase (decrease) | 413,524 | 10,383,831 | (2,593,622 | ) | (9,093,592 | ) | 6,298,359 | 2,019,862 |
Delaware Ivy VIP | Delaware VIP | |||||||||||||||||||||||
Limited-Term Bond | Delaware Ivy VIP Value | Global Value Equity | ||||||||||||||||||||||
Six months | Six months | Six months | ||||||||||||||||||||||
ended | Year ended | ended | Year ended | ended | Year ended | |||||||||||||||||||
6/30/23 | 12/31/22 | 6/30/23 | 12/31/22 | 6/30/23 | 12/31/22 | |||||||||||||||||||
Shares sold: | ||||||||||||||||||||||||
Class II | 3,713,205 | 8,694,870 | 1,475,704 | 13,056,901 | 326,096 | 5,661,424 | ||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||
Class II | 1,145,106 | 1,555,307 | 11,769,256 | 19,434,734 | 1,187,011 | 15,493,004 | ||||||||||||||||||
4,858,311 | 10,250,177 | 13,244,960 | 32,491,635 | 1,513,107 | 21,154,428 | |||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||
Class II | (6,849,230 | ) | (22,012,355 | ) | (6,197,083 | ) | (13,697,429 | ) | (17,154,445 | ) | (12,011,799 | ) | ||||||||||||
Net increase | (1,990,919 | ) | (11,762,178 | ) | 7,047,877 | 18,794,206 | (15,641,338 | ) | 9,142,629 |
52 |
Delaware VIP | ||||||||
Real Estate Securities | ||||||||
Six months | ||||||||
ended | Year ended | |||||||
6/30/23 | 12/31/22 | |||||||
Shares sold: | ||||||||
Class II | 261,785 | 511,994 | ||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||
Class II | 566,983 | 660,966 | ||||||
828,768 | 1,172,960 | |||||||
Shares redeemed: | ||||||||
Class II | (433,201 | ) | (995,485 | ) | ||||
Net increase | 395,567 | 177,475 |
5. Line of Credit
Each Portfolio, along with certain other funds in the Delaware Funds (Participants), is a participant in a $355,000,000 revolving line of credit (Agreement) intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the Agreement, the Participants are charged an annual commitment fee of 0.15%, which is allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants are permitted to borrow up to a maximum of one-third of their net assets under the Agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the Agreement expires on October 31, 2023.
Each Portfolio had no amounts outstanding as of June 30, 2023, or at any time during the period then ended.
6. Interfund Lending Program
Pursuant to an exemptive order issued by the SEC (Order), the Ivy Funds and Ivy Variable Insurance Portfolios (collectively, the Funds, only for purposes of this Note 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. This program is in existence but is not currently in use. The Funds made no Interfund Loans under the Interfund Lending Program during the six months ended June 30, 2023.
7. Derivatives
US GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts — Each Portfolio may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. Each Portfolio may enter into these contracts to fix the US dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. Each Portfolio may also enter into these contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies. In addition, each Portfolio may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
53 |
Notes to financial statements
Ivy Variable Insurance Portfolios
7. Derivatives (continued)
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, each Portfolio could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. Each Portfolio's maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between each Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolio to cover each Portfolio's exposure to the counterparty. Open foreign currency exchange contracts, if any, are disclosed on the “Schedules of investments.”
During the six months ended June 30, 2023, Delaware Ivy VIP Global Growth and Delaware VIP Real Estate Securities used foreign currency exchange contracts to facilitate or expedite the settlement of portfolio transactions and Delaware VIP Global Value Equity used foreign currency exchange contracts to fix the US dollar value of a security between trade date and settlement date.
During the six months ended June 30, 2023, Delaware Ivy VIP Global Growth and Delaware VIP Global Value Equity experienced net realized and unrealized gains or losses attributable to foreign currency holdings, which are disclosed on the “Statements of operations.”
Futures Contracts — A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. The Portfolios may use futures contracts in the normal course of pursuing its investment objective. The Portfolios may invest in futures contracts to hedge its existing portfolio securities against fluctuations in value caused by changes in prevailing market interest rates. Upon entering into a futures contract, the Portfolios deposit cash or pledge US government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Portfolios as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Portfolios because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. Delaware Ivy VIP Limited-Term Bond posted $365,054 cash collateral as margin for open futures contracts, which is included in “Cash collateral due from broker on futures contracts” on the “Statements of assets and liabilities.” Open futures contracts, if any, are disclosed on the “Schedules of investments.”
During the six months ended June 30, 2023, Delaware Ivy VIP Limited-Term Bond invested in futures contracts to hedge the Portfolio’s existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions.
During the six months ended June 30, 2023, Delaware Ivy Limited-Term Bond experienced net realized and unrealized gains or losses attributable to futures contracts, which are disclosed on the “Statements of operations.”
Options Contracts — During the six months ended June 30, 2023, Delaware Ivy VIP Corporate Bond and Delaware Ivy VIP Value entered into options contracts in the normal course of pursuing its investment objective. The Portfolio may buy or write options contracts for any number of reasons, including without limitation: to manage each Portfolios exposure to changes in securities prices caused by interest rates or market conditions and foreign currencies; as an efficient means of adjusting the Portfolio's overall exposure to certain markets; to protect the value of portfolio securities; and as a cash management tool. The Portfolio may buy or write call or put options on securities, futures, swaps, swaptions, financial indices, and foreign currencies. When the Portfolio buys an option, a premium is paid and an asset is recorded and adjusted on a daily basis to reflect the current market value of the option purchased. When the Portfolio writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the option written. Premiums received from writing options that expire unexercised are treated by the Portfolio on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is treated as realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Portfolio has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Portfolio. The Portfolio, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. When writing options, the
54 |
Portfolio is subject to minimal counterparty risk because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change. Open options contracts, if any, are disclosed on the “Schedules of investments.”
During the six months ended June 30, 2023, Delaware Ivy VIP Value used options contracts to receive premiums for writing options.
During the six months ended June 30, 2023, Delaware Ivy VIP Value experienced net realized and unrealized gains or losses attributable to options contracts, which are disclosed on the “Statements of operations.”
Swap Contracts — Each Portfolio may enter into CDS contracts in the normal course of pursuing its investment objective. Each Portfolio may enter into CDS contracts in order to hedge against a credit event, to enhance total return or to gain exposure to certain securities or markets. 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).
Credit Default Swaps. A CDS contract is a risk-transfer instrument through which one party (purchaser of protection) transfers to another party (seller of protection) the financial risk of a credit event (as defined in the CDS agreement), as it relates to a particular reference security or basket of securities (such as an index). In exchange for the protection offered by the seller of protection, the purchaser of protection agrees to pay the seller of protection a periodic amount at a stated rate that is applied to the notional amount of the CDS contract. In addition, an upfront payment may be made or received by the Portfolio in connection with an unwinding or assignment of a CDS contract. Upon the occurrence of a credit event, the seller of protection would pay the par (or other agreed-upon) value of the reference security (or basket of securities) to the counterparty. Credit events generally include, among others, bankruptcy, failure to pay, and obligation default.
During the six months ended June 30, 2023, Delaware Ivy VIP Limited-Term Bond entered into CDS contracts as a seller of protection. Periodic payments (receipts) on such contracts are accrued daily and recorded as unrealized losses (gains) on swap contracts. Upon payment (receipt), such amounts are recorded as realized losses (gains) on swap contracts. Upfront payments made or received in connection with CDS contracts are amortized over the expected life of the CDS contracts as unrealized losses (gains) on swap contracts. The change in value of CDS contracts is recorded daily as unrealized appreciation or depreciation. A realized gain or loss is recorded upon a credit event (as defined in the CDS agreement) or the maturity or termination of the agreement. Initial margin and variation margin are posted to central counterparties for centrally cleared CDS basket trades, as determined by the applicable central counterparty. During the six months ended June 30, 2023, Delaware Ivy Limited-Term Bond did not enter into any CDS contracts as a purchaser of protection.
CDS contracts may involve greater risks than if the Portfolio had invested in the reference obligation directly. CDS contracts are subject to general market risk, liquidity risk, counterparty risk, and credit risk. The Portfolio’s maximum risk of loss from counterparty credit risk, either as the seller of protection or the buyer of protection, is the fair value of the contract. This risk is mitigated by (1) for bilateral swap contracts, having a netting arrangement between the Portfolio and the counterparty and by the posting of collateral by the counterparty to the Portfolio to cover the Portfolio’s exposure to the counterparty, and (2) for cleared swaps, trading these instruments through a central counterparty. No CDS contracts were outstanding at June 30, 2023.
Swaps Generally. For centrally cleared swaps, payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded by the Portfolio as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The value of open swaps may differ from that which would be realized in the event the Portfolio terminated its position in the contract on a given day. Risks of entering into these contracts include the potential inability of the counterparty to meet the terms of the contracts. This type of risk is generally limited to the amount of favorable movement in the value of the underlying security, instrument, or basket of instruments, if any, at the day of default. Risks also arise from potential losses from adverse market movements and such losses could exceed the unrealized amounts shown on the “Schedules of investments.”
55 |
Notes to financial statements
Ivy Variable Insurance Portfolios
7. Derivatives (continued)
The table below summarizes the average daily balance of derivative holdings by certain Portfolio during the six months ended June 30, 2023:
Long Derivative Volume | ||||
Delaware Ivy VIP | ||||
Global Growth | ||||
Foreign currency exchange contracts (average notional value) | $ | 49,593 |
Long Derivative Volume | ||||||||
Delaware Ivy VIP | Delaware VIP | |||||||
Limited-Term Bond | Global Value Equity | |||||||
Foreign currency exchange contracts (average notional value) | $ | — | $ | 112,994 | ||||
Futures contracts (average notional value) | 58,939,350 | — |
Long Derivative Volume | ||||
Delaware VIP | ||||
Real Estate Securities | ||||
Foreign currency exchange contracts (average notional value) | $ | 833 |
Short Derivative Volume | ||||
Delaware Ivy VIP | ||||
Global Growth | ||||
Foreign currency exchange contracts (average notional value) | $ | 53,879 |
Short Derivative Volume | ||||||||||||
Delaware Ivy VIP | Delaware VIP | |||||||||||
Limited-Term Bond | Delaware Ivy VIP Value | Global Value Equity | ||||||||||
Foreign currency exchange contracts (average notional value) | $ | — | $ | — | $ | 511,735 | ||||||
Futures contracts (average notional value) | 10,829,138 | — | — | |||||||||
Options contracts (average notional value)* | — | 3,796 | — |
Short Derivative Volume | ||||
Delaware VIP | ||||
Real Estate Securities | ||||
Foreign currency exchange contracts (average notional value) | $ | 517 |
* Long represents purchased options and short represents written options.
** Long represents buying protection and short represents selling protection.
8. Securities Lending
Each Portfolio, along with other funds in the Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such
56 |
security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by each Portfolio of the Trust is generally invested in a series of individual separate accounts, each corresponding to a Portfolio. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; certain money market funds; and asset-backed securities. Each Portfolio can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to each Portfolio or, at the discretion of the lending agent, replace the loaned securities. Each Portfolio continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. Each Portfolio has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, each Portfolio receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among each Portfolio, the security lending agent, and the borrower. Each Portfolio records security lending income net of allocations to the security lending agent and the borrower.
Each Portfolio may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in each collateral investment account defaulted or became impaired. Under those circumstances, the value of each Portfolio's cash collateral account may be less than the amount each Portfolio would be required to return to the borrowers of the securities and each Portfolio would be required to make up for this shortfall.
At June 30, 2023, each Portfolio had no securities out on loan.
9. Credit and Market Risk
The global outbreak of COVID-19 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 outbreak, its full economic impact and ongoing effects at the macro-level and on individual businesses are unpredictable and may result in significant and prolonged effects on a Portfolio's performance.
When interest rates rise, fixed income securities (i.e. debt obligations) generally will decline in value. These declines in value are greater for fixed income securities with longer maturities or durations. Interest rate changes are influenced by a number of factors, such as government policy, monetary policy, inflation expectations, and the supply and demand of bonds. A fund may be subject to a greater risk of rising interest rates when interest rates are low or inflation rates are high or rising.
IBOR is the risk that changes related to the use of the London interbank offered rate (LIBOR) and other interbank offered rate (collectively, IBORs) could have adverse impacts on financial instruments that reference LIBOR (or the corresponding IBOR). The abandonment of LIBOR could affect the value and liquidity of instruments that reference LIBOR. The use of alternative reference rate products may impact investment strategy performance. These risks may also apply with respect to changes in connection with other IBORs, such as the euro overnight index average (EONIA), which are also the subject of recent reform.
57 |
Notes to financial statements
Ivy Variable Insurance Portfolios
9. Credit and Market Risk (continued)
Investments in equity securities in general are subject to market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which each Portfolio invests will cause the NAV of each Portfolio to fluctuate.
Some countries in which the Portfolios may invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid, and more volatile than the major securities markets in the United States. Consequently, acquisition and disposition of securities by the Portfolios may be inhibited. In addition, a significant portion of the aggregate market value of securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Portfolios.
Certain Portfolios invests a portion of its assets in high yield fixed income securities, which are securities rated lower than BBB- by Standard & Poor's Financial Services LLC and Baa3 by Moody’s Investor Services, Inc, or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher rated securities. Additionally, lower rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
Certain Portfolios invests in fixed income securities whose value is derived from an underlying pool of mortgages or consumer loans. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates. Investors receive principal and interest payments as the underlying mortgages and consumer loans are paid back. Some of these securities are CMOs. CMOs are debt securities issued by US government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse effect on a Portfolio's yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Portfolio may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
Certain Portfolios invests in bank loans and other securities that may subject them to direct indebtedness risk, the risk that the Portfolios will not receive payment of principal, interest, and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer the Portfolio more protection than unsecured loans in the event of nonpayment of scheduled interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by the Portfolio may involve revolving credit facilities or other standby financing commitments that obligate the Portfolio to pay additional cash on a certain date or on demand. These commitments may require each Portfolio to increase its investment in a company at a time when the Portfolio might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that each Portfolio is committed to advance additional funds, it will at all times hold and maintain cash or other high grade debt obligations in an amount sufficient to meet such commitments. When a loan agreement is purchased, the Portfolio may pay an assignment fee. On an ongoing basis, the Portfolio may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by the borrower. Prepayment penalty, facility, commitment, consent, and amendment fees are recorded to income as earned or paid.
As the Portfolio may be required to rely upon another lending institution to collect and pass on to the Portfolio amounts payable with respect to the loan and to enforce the Portfolio's rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Portfolio from receiving such amounts. The highly leveraged nature of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to the Portfolio.
58 |
Certain Portfolios invests in certain obligations that may have liquidity protection designed to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies, or letters of credit obtained by the issuer or sponsor through third parties, through various means of structuring the transaction, or through a combination of such approaches. The Portfolios will not pay any additional fees for such credit support, although the existence of credit support may increase the price of a security.
Certain Portfolios may invest in REITs and are subject to the risks associated with that industry. If a Portfolio holds real estate directly or receives rental income directly from real estate holdings, its tax status as a regulated investment company may be jeopardized. There were no direct real estate holdings during the six months ended June 30, 2023. The Portfolios' REIT holdings are also affected by interest rate changes, particularly if the REITs they hold use floating rate debt to finance their ongoing operations. The Portfolios also invest in real estate acquired as a result of ownership of securities or other instruments, including issuers that invest, deal, or otherwise engage in transactions in real estate or interests therein. These instruments may include interests in private equity limited partnerships or limited liability companies that hold real estate investments (Real Estate Limited Partnerships). The Portfolios will limit their investments in Real Estate Limited Partnerships to 5% of their total assets at the time of purchase.
Each Portfolio may invest up to 15% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair each Portfolio from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Portfolios' limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Portfolios' 15% limit on investments in illiquid securities. Rule 144A securities have been identified on the “Schedules of investments.”
10. Contractual Obligations
Each Portfolio enters into contracts in the normal course of business that contain a variety of indemnifications. Each Portfolio's maximum exposure under these arrangements is unknown. However, each Portfolio has not had prior claims or losses pursuant to these contracts. Management has reviewed each Portfolio's existing contracts and expects the risk of loss to be remote.
11. Recent Accounting Pronouncements
In March 2020, FASB issued an Accounting Standards Update (ASU), ASU 2020-04, Reference Rate Reform (Topic 848) - Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. On December 21, 2022, FASB issued ASU 2022-06 to defer the sunset date of Accounting Standards Codification Topic 848 until December 31, 2024. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2024. Management is currently evaluating ASU 2020-04 and ASU 2022-06, but does not believe there will be a material impact.
12. New Regulatory Pronouncement
In October 2022, the Securities and Exchange Commission (SEC) adopted a rule and form amendments relating to tailored shareholder reports for mutual funds and ETFs; and fee information in investment company advertisements. The rule and form amendments will require mutual funds and ETFs to transmit streamlined shareholder reports that highlight key information to investors. The rule amendments will require that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective in January 2023 and there is an 18-month transition period after the effective date of the amendment with a compliance date of July 2024.
13. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in the Portfolios' financial statements.
59 |
Other Portfolio information (Unaudited)
Ivy Variable Insurance Portfolios
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end portfolios (other than money market portfolios) to adopt and implement a program reasonably designed to assess and manage the portfolio’s “liquidity risk,” defined as the risk that the portfolio could not meet requests to redeem shares issued by the portfolio without significant dilution of remaining investors’ interests in the portfolio.
The Portfolios have adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated a member of the US Operational Risk Group of Macquarie Asset Management as the Program Administrator for each Portfolio in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of each Portfolio's liquidity risk; (2) classification of each of the Portfolio's portfolio holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for funds that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Portfolio's net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting each Portfolio’s acquisition of Illiquid investments if, immediately after the acquisition, each Portfolio would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a non-public basis) and to the Board if each Portfolio’s holdings of Illiquid assets exceed 15% of the Portfolio’s net assets. Portfolios with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing each Portfolio’s liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) each Portfolio’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Portfolios during both normal and reasonably foreseeable stressed conditions; and (3) each Portfolio’s holdings of cash and cash equivalents and any borrowing arrangements. Classification of each Portfolio’s portfolio holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. Each Portfolio primarily holds assets that are classified as Highly Liquid, and therefore is not required to establish an HLIM.
At a meeting of the Board held on May 23-25, 2023, the Program Administrator provided a written report to the Board addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from April 1, 2022 through March 31, 2023. The report concluded that the Program is appropriately designed and effectively implemented and that it meets the requirements of Rule 22e-4 and each Portfolio’s liquidity needs. Each Portfolio’s HLIM is set at an appropriate level and the Portfolios complied with their HLIM at all times during the reporting period.
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Each Portfolio files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. Each Portfolio’s Form N-PORT, as well as a description of the policies and procedures that each Portfolio uses to determine how to vote proxies (if any) relating to portfolio securities, is available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that each Portfolio uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in each Portfolio’s most recent Form N-PORT are available without charge on the Portfolios’ website at delawarefunds.com/vip/literature.
Information (if any) regarding how each Portfolio voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Portfolios’ website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
(3032581)
SEMIANN-VIP2-0823
Semiannual report
Ivy Variable Insurance Portfolios
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
June 30, 2023
Table of contents
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM and includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
Other than Macquarie Bank Limited ABN 46 008 583 542 ("Macquarie Bank"), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Portfolios are governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of June 30, 2023, 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.
The Portfolios are distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
All third-party marks cited are the property of their respective owners.
© 2023 Macquarie Management Holdings, Inc.
Disclosure of Portfolio expenses
For the six-month period from January 1, 2023 to June 30, 2023 (Unaudited)
The investment objective of Delaware Ivy VIP Pathfinder Aggressive is to seek to provide growth of capital consistent with a more aggressive level of risk as compared to the other Delaware Ivy VIP Pathfinder Portfolios.
The investment objective of Delaware Ivy VIP Pathfinder Conservative is to seek to provide total return consistent with a conservative level of risk as compared to the other Delaware Ivy VIP Pathfinder Portfolios.
The investment objective of Delaware Ivy VIP Pathfinder Moderate is to seek to provide total return consistent with a moderate level of risk compared to the other Delaware Ivy VIP Pathfinder Portfolios.
The investment objective of Delaware Ivy VIP Pathfinder Moderately Aggressive is to seek to provide growth of capital, but also to seek income consistent with a moderately aggressive level of risk as compared to the other Delaware Ivy VIP Pathfinder Portfolios.
The investment objective of Delaware Ivy VIP Pathfinder Moderately Conservative is to seek to provide total return consistent with a moderately conservative level of risk as compared to the other Delaware Ivy VIP Pathfinder Portfolios.
The investment objective of Delaware Ivy VIP Pathfinder Moderate – Managed Volatility is to seek to provide total return consistent with a moderate level of risk as compared to the other Delaware Ivy VIP Pathfinder Managed Volatility Portfolios, while seeking to manage volatility of investment return.
The investment objective of Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility is to seek to provide growth of capital, but also to seek income consistent with a moderately aggressive level of risk as compared to the other Delaware Ivy VIP Pathfinder Managed Volatility Portfolios, while seeking to manage volatility of investment return.
The investment objective of Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility is to seek to provide total return consistent with a moderately conservative level of risk compared to the other Delaware Ivy VIP Pathfinder Managed Volatility Portfolios, while seeking to manage volatility of investment return.
As a shareholder of the Portfolio, you incur ongoing costs, which may include management fees; distribution and service (12b-1) fees; and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The examples are based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2023 to June 30, 2023.
Actual expenses
The first section of the tables shown, “Actual Portfolio return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the tables shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on a Portfolio's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio's actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in each Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only. As a shareholder of the Portfolio, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Portfolios' expenses shown in the tables reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
Delaware Ivy VIP Pathfinder Aggressive
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |||||||||||
Actual Portfolio return† | ||||||||||||||
Class II | $ | 1,000.00 | $ | 1,118.30 | 0.36% | $ | 1.89 | |||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||
Class II | $ | 1,000.00 | $ | 1,023.01 | 0.36% | $ | 1.81 |
1 |
Disclosure of Portfolio expenses
Delaware Ivy VIP Pathfinder Conservative
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |||||||||||
Actual Portfolio return† | ||||||||||||||
Class II | $ | 1,000.00 | $ | 1,072.90 | 0.27% | $ | 1.39 | |||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||
Class II | $ | 1,000.00 | $ | 1,023.46 | 0.27% | $ | 1.35 |
Delaware Ivy VIP Pathfinder Moderate
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |||||||||||
Actual Portfolio return† | ||||||||||||||
Class II | $ | 1,000.00 | $ | 1,096.20 | 0.05% | $ | 0.26 | |||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||
Class II | $ | 1,000.00 | $ | 1,024.55 | 0.05% | $ | 0.25 |
Delaware Ivy VIP Pathfinder Moderately Aggressive
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |||||||||||
Actual Portfolio return† | ||||||||||||||
Class II | $ | 1,000.00 | $ | 1,107.60 | 0.06% | $ | 0.31 | |||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||
Class II | $ | 1,000.00 | $ | 1,024.50 | 0.06% | $ | 0.30 |
Delaware Ivy VIP Pathfinder Moderately Conservative
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |||||||||||
Actual Portfolio return† | ||||||||||||||
Class II | $ | 1,000.00 | $ | 1,085.30 | 0.10% | $ | 0.52 | |||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||
Class II | $ | 1,000.00 | $ | 1,024.30 | 0.10% | $ | 0.50 |
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |||||||||||
Actual Portfolio return† | ||||||||||||||
Class II | $ | 1,000.00 | $ | 1,087.00 | 0.33% | $ | 1.71 | |||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||
Class II | $ | 1,000.00 | $ | 1,023.16 | 0.33% | $ | 1.66 |
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |||||||||||
Actual Portfolio return† | ||||||||||||||
Class II | $ | 1,000.00 | $ | 1,097.10 | 0.58% | $ | 3.02 | |||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||
Class II | $ | 1,000.00 | $ | 1,021.92 | 0.58% | $ | 2.91 |
2 |
Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility
Expense analysis of an investment of $1,000
Beginning Account Value 1/1/23 | Ending Account Value 6/30/23 | Annualized Expense Ratio | Expenses Paid During Period 1/1/23 to 6/30/23* | |||||||||||
Actual Portfolio return† | ||||||||||||||
Class II | $ | 1,000.00 | $ | 1,072.60 | 0.76% | $ | 3.91 | |||||||
Hypothetical 5% return (5% return before expenses) | ||||||||||||||
Class II | $ | 1,000.00 | $ | 1,021.03 | 0.76% | $ | 3.81 |
*“Expenses Paid During Period” are equal to the relevant Portfolio’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period).
† Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns.
In addition to the Portfolios’ expenses reflected above and on the previous pages, each Portfolio also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds) in which it invests. The tables above and on the previous page do not reflect the expenses of any Underlying Funds.
3 |
As of June 30, 2023 (Unaudited)
Delaware Ivy VIP Pathfinder Aggressive
Security type | Percentage of net assets | ||
Affiliated Mutual Funds | 99.97 | % | |
Fixed Income Funds | 14.01 | % | |
Global / International Equity Funds | 29.44 | % | |
US Equity Funds | 56.52 | % | |
Short-Term Investments | 0.24 | % | |
Total Value of Securities | 100.21 | % | |
Liabilities Net of Receivables and Other Assets | (0.21 | )% | |
Total Net Assets | 100.00 | % |
Delaware Ivy VIP Pathfinder Conservative
Security type | Percentage of net assets | ||
Affiliated Mutual Funds | 99.90 | % | |
Fixed Income Funds | 53.06 | % | |
Global / International Equity Funds | 10.05 | % | |
US Equity Funds | 36.79 | % | |
Short-Term Investments | 0.25 | % | |
Total Value of Securities | 100.15 | % | |
Liabilities Net of Receivables and Other Assets | (0.15 | )% | |
Total Net Assets | 100.00 | % |
Delaware Ivy VIP Pathfinder Moderate
Security type | Percentage of net assets | ||
Affiliated Mutual Funds | 99.79 | % | |
Fixed Income Funds | 33.28 | % | |
Global / International Equity Funds | 19.82 | % | |
US Equity Funds | 46.69 | % | |
Short-Term Investments | 0.25 | % | |
Total Value of Securities | 100.04 | % | |
Liabilities Net of Receivables and Other Assets | (0.04 | )% | |
Total Net Assets | 100.00 | % |
Delaware Ivy VIP Pathfinder Moderately Aggressive
Security type | Percentage of net assets | ||
Affiliated Mutual Funds | 99.80 | % | |
Fixed Income Funds | 23.59 | % | |
Global / International Equity Funds | 24.63 | % | |
US Equity Funds | 51.58 | % | |
Short-Term Investments | 0.24 | % | |
Total Value of Securities | 100.04 | % | |
Liabilities Net of Receivables and Other Assets | (0.04 | )% | |
Total Net Assets | 100.00 | % | |
Delaware Ivy VIP Pathfinder Moderately Conservative | |||
Security type | Percentage of net assets | ||
Affiliated Mutual Funds | 99.85 | % | |
Fixed Income Funds | 43.10 | % | |
Global / International Equity Funds | 14.97 | % | |
US Equity Funds | 41.78 | % | |
Short-Term Investments | 0.24 | % | |
Total Value of Securities | 100.09 | % | |
Liabilities Net of Receivables and Other Assets | (0.09 | )% | |
Total Net Assets | 100.00 | % |
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility
Security type | Percentage of net assets | ||
Affiliated Mutual Funds | 97.99 | % | |
Fixed Income Funds | 32.69 | % | |
Global / International Equity Funds | 19.47 | % | |
US Equity Funds | 45.83 | % | |
Short-Term Investments | 1.98 | % | |
Total Value of Securities | 99.97 | % | |
Receivables and Other Assets Net of Liabilities | 0.03 | % | |
Total Net Assets | 100.00 | % |
4 |
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility
Security type | Percentage of net assets | ||
Affiliated Mutual Funds | 98.13 | % | |
Fixed Income Funds | 23.19 | % | |
Global / International Equity Funds | 24.23 | % | |
US Equity Funds | 50.71 | % | |
Short-Term Investments | 1.98 | % | |
Total Value of Securities | 100.11 | % | |
Liabilities Net of Receivables and Other Assets | (0.11 | )% | |
Total Net Assets | 100.00 | % |
Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility
Security type | Percentage of net assets | ||
Affiliated Mutual Funds | 98.21 | % | |
Fixed Income Funds | 42.44 | % | |
Global / International Equity Funds | 14.71 | % | |
US Equity Funds | 41.06 | % | |
Short-Term Investments | 1.99 | % | |
Total Value of Securities | 100.20 | % | |
Liabilities Net of Receivables and Other Assets | (0.20 | )% | |
Total Net Assets | 100.00 | % |
5 |
Delaware Ivy VIP Pathfinder Aggressive | June 30, 2023 (Unaudited) |
Number of shares | Value (US $) | |||||
Affiliated Mutual Funds — 99.97%<< | ||||||
Fixed Income Funds — 14.01% | ||||||
Delaware Ivy VIP Corporate Bond Class II | 1,059,487 | $ | 4,735,906 | |||
Delaware Ivy VIP High Income Class I | 49,282 | 136,511 | ||||
Delaware Ivy VIP Limited-Term Bond Class II | 628,900 | 2,867,783 | ||||
7,740,200 | ||||||
Global / International Equity Funds — 29.44% | ||||||
Delaware Ivy VIP International | ||||||
Core Equity Class II | 688,712 | 10,640,607 | ||||
Delaware VIP Global Value Equity Class II | 1,152,187 | 5,622,670 | ||||
16,263,277 | ||||||
US Equity Funds — 56.52% | ||||||
Delaware Ivy VIP Core Equity Class II | 701,818 | 8,330,577 | ||||
Delaware Ivy VIP Growth Class II | 1,013,940 | 9,277,549 | ||||
Delaware Ivy VIP Mid Cap Growth Class I | 342,649 | 3,436,775 | ||||
Delaware Ivy VIP Small Cap Growth Class II | 111,899 | 649,015 | ||||
Delaware Ivy VIP Smid Cap Core Class II | 175,933 | 1,889,522 | ||||
Delaware Ivy VIP Value Class II | 1,573,916 | 7,633,493 | ||||
31,216,931 | ||||||
Total Affiliated Mutual Funds (cost $70,149,414) | 55,220,408 | |||||
Short-Term Investments — 0.24% | ||||||
Money Market Mutual Funds — 0.24% | ||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 34,029 | 34,029 | ||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 34,030 | 34,030 | ||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 34,030 | 34,030 | ||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 34,030 | 34,030 | ||||
Total Short-Term Investments (cost $136,119) | 136,119 | |||||
Total Value of Securities—100.21% (cost $70,285,533) | $ | 55,356,527 |
<< | Affiliated company. See Note 2 in “Notes to financial statements.” |
See accompanying notes, which are an integral part of the financial statements.
6 |
Delaware Ivy VIP Pathfinder Conservative | June 30, 2023 (Unaudited) |
Number of shares | Value (US $) | |||||
Affiliated Mutual Funds — 99.90%<< | ||||||
Fixed Income Funds — 53.06% | ||||||
Delaware Ivy VIP Corporate Bond Class II | 5,274,640 | $ | 23,577,642 | |||
Delaware Ivy VIP High Income Class I | 382,629 | 1,059,881 | ||||
Delaware Ivy VIP Limited-Term Bond Class II | 4,659,438 | 21,247,035 | ||||
45,884,558 | ||||||
Global / International Equity Funds — 10.05% | ||||||
Delaware Ivy VIP International Core Equity Class II | 367,951 | 5,684,856 | ||||
Delaware VIP Global Value Equity Class II | 617,016 | 3,011,037 | ||||
8,695,893 | ||||||
US Equity Funds — 36.79% | ||||||
Delaware Ivy VIP Core Equity Class II | 714,342 | 8,479,246 | ||||
Delaware Ivy VIP Growth Class II | 1,031,935 | 9,442,206 | ||||
Delaware Ivy VIP Mid Cap Growth Class I | 350,083 | 3,511,336 | ||||
Delaware Ivy VIP Small Cap Growth Class II | 114,565 | 664,475 | ||||
Delaware Ivy VIP Smid Cap Core Class II | 181,018 | 1,944,133 | ||||
Delaware Ivy VIP Value Class II | 1,602,019 | 7,769,791 | ||||
31,811,187 | ||||||
Total Affiliated Mutual Funds (cost $107,363,999) | 86,391,638 | |||||
Short-Term Investments — 0.25% | ||||||
Money Market Mutual Funds — 0.25% | ||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 53,170 | 53,170 | ||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 53,170 | 53,170 | ||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 53,169 | 53,169 | ||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 53,170 | 53,170 | ||||
Total Short-Term Investments (cost $212,679) | 212,679 | |||||
Total Value of Securities—100.15% (cost $107,576,678) | $ | 86,604,317 | ||||
<< | Affiliated company. See Note 2 in “Notes to financial statements.” |
See accompanying notes, which are an integral part of the financial statements.
7 |
Schedules of investments
Delaware Ivy VIP Pathfinder Moderate | June 30, 2023 (Unaudited) |
Number of shares | Value (US $) | |||||
Affiliated Mutual Funds — 99.79%<< | ||||||
Fixed Income Funds — 33.28% | ||||||
Delaware Ivy VIP Corporate Bond Class II | 18,323,594 | $ | 81,906,467 | |||
Delaware Ivy VIP High Income Class I | 1,240,969 | 3,437,484 | ||||
Delaware Ivy VIP Limited-Term Bond Class II | 14,895,549 | 67,923,702 | ||||
153,267,653 | ||||||
Global / International Equity Funds — 19.82% | ||||||
Delaware Ivy VIP International Core Equity Class II | 3,863,192 | 59,686,319 | ||||
Delaware VIP Global Value Equity Class II | 6,472,693 | 31,586,740 | ||||
91,273,059 | ||||||
US Equity Funds — 46.69% | ||||||
Delaware Ivy VIP Core Equity Class II | 4,831,528 | 57,350,229 | ||||
Delaware Ivy VIP Growth Class II | 6,980,340 | 63,870,113 | ||||
Delaware Ivy VIP Mid Cap Growth Class I | 2,359,491 | 23,665,697 | ||||
Delaware Ivy VIP Small Cap Growth Class II | 783,176 | 4,542,422 | ||||
Delaware Ivy VIP Smid Cap Core Class II | 1,215,203 | 13,051,277 | ||||
Delaware Ivy VIP Value Class II | 10,835,476 | 52,552,059 | ||||
215,031,797 | ||||||
Total Affiliated Mutual Funds (cost $576,459,450) | 459,572,509 | |||||
Short-Term Investments — 0.25% | ||||||
Money Market Mutual Funds — 0.25% | ||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 283,443 | 283,443 | ||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 283,443 | 283,443 | ||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 283,443 | 283,443 | ||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 283,443 | 283,443 | ||||
Total Short-Term Investments (cost $1,133,772) | 1,133,772 | |||||
Total Value of Securities—100.04% (cost $577,593,222) | $ | 460,706,281 | ||||
<< | Affiliated company. See Note 2 in “Notes to financial statements.” |
See accompanying notes, which are an integral part of the financial statements.
8 |
Delaware Ivy VIP Pathfinder Moderately Aggressive | June 30, 2023 (Unaudited) |
Number of shares | Value (US $) | |||||
Affiliated Mutual Funds — 99.80%<< | ||||||
Fixed Income Funds — 23.59% | ||||||
Delaware Ivy VIP Corporate Bond Class II | 16,805,929 | $ | 75,122,504 | |||
Delaware Ivy VIP High Income Class I | 1,034,220 | 2,864,789 | ||||
Delaware Ivy VIP Limited-Term Bond Class II | 12,448,245 | 56,763,997 | ||||
134,751,290 | ||||||
Global / International Equity Funds — 24.63% | ||||||
Delaware Ivy VIP International Core Equity Class II | 5,959,966 | 92,081,481 | ||||
Delaware VIP Global Value Equity Class II | 9,971,778 | 48,662,275 | ||||
140,743,756 | ||||||
US Equity Funds — 51.58% | ||||||
Delaware Ivy VIP Core Equity Class II | 6,621,035 | 78,591,677 | ||||
Delaware Ivy VIP Growth Class II | 9,565,732 | 87,526,448 | ||||
Delaware Ivy VIP Mid Cap Growth Class I | 3,238,277 | 32,479,920 | ||||
Delaware Ivy VIP Small Cap Growth Class II | 1,067,102 | 6,189,193 | ||||
Delaware Ivy VIP Smid Cap Core Class II | 1,669,496 | 17,930,384 | ||||
Delaware Ivy VIP Value Class II | 14,848,760 | 72,016,483 | ||||
294,734,105 | ||||||
Total Affiliated Mutual Funds (cost $717,048,572) | 570,229,151 | |||||
�� | ||||||
Short-Term Investments — 0.24% | ||||||
Money Market Mutual Funds — 0.24% | ||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 352,331 | 352,331 | ||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 352,331 | 352,331 | ||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 352,330 | 352,330 | ||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 352,331 | 352,331 | ||||
Total Short-Term Investments (cost $1,409,323) | 1,409,323 | |||||
Total Value of Securities—100.04% (cost $718,457,895) | $ | 571,638,474 |
<< | Affiliated company. See Note 2 in “Notes to financial statements.” |
See accompanying notes, which are an integral part of the financial statements.
9 |
Schedules of investments
Delaware Ivy VIP Pathfinder Moderately Conservative | June 30, 2023 (Unaudited) |
Number of shares | Value (US $) | |||||
Affiliated Mutual Funds — 99.85%<< | ||||||
Fixed Income Funds — 43.10% | ||||||
Delaware Ivy VIP Corporate Bond Class II | 6,956,915 | $ | 31,097,410 | |||
Delaware Ivy VIP High Income Class I | 493,475 | 1,366,926 | ||||
Delaware Ivy VIP Limited-Term Bond Class II | 5,949,858 | 27,131,353 | ||||
59,595,689 | ||||||
Global / International Equity Funds — 14.97% | ||||||
Delaware Ivy VIP International Core Equity Class II | 875,950 | 13,533,428 | ||||
Delaware VIP Global Value Equity Class II | 1,467,862 | 7,163,165 | ||||
20,696,593 | ||||||
US Equity Funds — 41.78% | ||||||
Delaware Ivy VIP Core Equity Class II | 1,298,318 | 15,411,035 | ||||
Delaware Ivy VIP Growth Class II | 1,875,736 | 17,162,985 | ||||
Delaware Ivy VIP Mid Cap Growth Class I | 634,177 | 6,360,795 | ||||
Delaware Ivy VIP Small Cap Growth Class II | 210,275 | 1,219,594 | ||||
Delaware Ivy VIP Smid Cap Core Class II | 326,094 | 3,502,250 | ||||
Delaware Ivy VIP Value Class II | 2,911,661 | 14,121,558 | ||||
57,778,217 | ||||||
Total Affiliated Mutual Funds (cost $172,297,371) | 138,070,499 | |||||
Short-Term Investments — 0.24% | ||||||
Money Market Mutual Funds — 0.24% | ||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 84,906 | 84,906 | ||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 84,906 | 84,906 | ||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 84,906 | 84,906 | ||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 84,906 | 84,906 | ||||
Total Short-Term Investments (cost $339,624) | 339,624 | |||||
Total Value of Securities—100.09% (cost $172,636,995) | $ | 138,410,123 |
<< | Affiliated company. See Note 2 in “Notes to financial statements.” |
See accompanying notes, which are an integral part of the financial statements.
10 |
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility | June 30, 2023 (Unaudited) |
Number of shares | Value (US $) | |||||
Affiliated Mutual Funds — 97.99%<< | ||||||
Fixed Income Funds — 32.69% | ||||||
Delaware Ivy VIP Corporate Bond Class II | 17,589,504 | $ | 78,625,084 | |||
Delaware Ivy VIP High Income Class I | 1,176,242 | 3,258,190 | ||||
Delaware Ivy VIP Limited-Term Bond Class II | 14,283,444 | 65,132,505 | ||||
147,015,779 | ||||||
Global / International Equity Funds — 19.47% | ||||||
Delaware Ivy VIP International Core Equity Class II | 3,707,484 | 57,280,625 | ||||
Delaware VIP Global Value Equity Class II | 6,199,722 | 30,254,642 | ||||
87,535,267 | ||||||
US Equity Funds — 45.83% | ||||||
Delaware Ivy VIP Core Equity Class II | 4,633,693 | 55,001,932 | ||||
Delaware Ivy VIP Growth Class II | 6,697,331 | 61,280,582 | ||||
Delaware Ivy VIP Mid Cap Growth Class I | 2,259,443 | 22,662,218 | ||||
Delaware Ivy VIP Small Cap Growth Class II | 738,645 | 4,284,141 | ||||
Delaware Ivy VIP Smid Cap Core Class II | 1,160,715 | 12,466,078 | ||||
Delaware Ivy VIP Value Class II | 10,391,829 | 50,400,369 | ||||
206,095,320 | ||||||
Total Affiliated Mutual Funds (cost $552,508,100) | 440,646,366 | |||||
Short-Term Investments — 1.98% | ||||||
Money Market Mutual Funds — 1.98% | ||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 2,227,104 | 2,227,104 | ||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 2,227,104 | 2,227,104 | ||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 2,227,104 | 2,227,104 | ||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 2,227,104 | 2,227,104 | ||||
Total Short-Term Investments (cost $8,908,416) | 8,908,416 | |||||
Total Value of Securities—99.97% (cost $561,416,516) | $ | 449,554,782 |
<< | Affiliated company. See Note 2 in “Notes to financial statements.” |
The following futures contracts were outstanding at June 30, 2023:1
Futures Contracts
Exchange-Traded
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Depreciation | Variation Margin Due from (Due to) Brokers | |||||||||||||||
(39) | E-Mini S&P 500 Index | $ | (8,752,088 | ) | $ | (8,542,251 | ) | 9/15/23 | $ | (209,837 | ) | $ | (102,375 | ) |
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The notional amounts presented above represent the Portfolio’s total exposure in such contracts, whereas only the variation margin is reflected in the Portfolio’s net assets.
1 | See Note 6 in “Notes to financial statements.” |
11 |
Schedules of investments
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility
Summary of abbreviations:
S&P – Standard & Poor’s Financial Services LLC
See accompanying notes, which are an integral part of the financial statements.
12 |
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility | June 30, 2023 (Unaudited) |
Number of shares | Value (US $) | |||||
Affiliated Mutual Funds — 98.13%<< | ||||||
Fixed Income Funds — 23.19% | ||||||
Delaware Ivy VIP Corporate Bond Class II | 2,268,262 | $ | 10,139,131 | |||
Delaware Ivy VIP High Income Class I | 137,011 | 379,521 | ||||
Delaware Ivy VIP Limited-Term Bond Class II | 1,679,022 | 7,656,342 | ||||
18,174,994 | ||||||
Global / International Equity Funds — 24.23% | ||||||
Delaware Ivy VIP International Core Equity Class II | 804,461 | 12,428,922 | ||||
Delaware VIP Global Value Equity Class II | 1,344,347 | 6,560,413 | ||||
18,989,335 | ||||||
US Equity Funds — 50.71% | ||||||
Delaware Ivy VIP Core Equity Class II | 893,816 | 10,609,603 | ||||
Delaware Ivy VIP Growth Class II | 1,291,343 | 11,815,789 | ||||
Delaware Ivy VIP Mid Cap Growth Class I | 436,025 | 4,373,331 | ||||
Delaware Ivy VIP Small Cap Growth Class II | 142,012 | 823,669 | ||||
Delaware Ivy VIP Smid Cap Core Class II | 224,157 | 2,407,444 | ||||
Delaware Ivy VIP Value Class II | 2,004,519 | 9,721,918 | ||||
39,751,754 | ||||||
Total Affiliated Mutual Funds (cost $97,934,346) | 76,916,083 | |||||
Short-Term Investments — 1.98% | ||||||
Money Market Mutual Funds — 1.98% | ||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 388,415 | 388,415 | ||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 388,416 | 388,416 | ||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 388,415 | 388,415 | ||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 388,415 | 388,415 | ||||
Total Short-Term Investments (cost $1,553,661) | 1,553,661 | |||||
Total Value of Securities—100.11% (cost $99,488,007) | $ | 78,469,744 |
<< | Affiliated company. See Note 2 in “Notes to financial statements.” |
The following futures contracts were outstanding at June 30, 2023:1
Futures Contracts
Exchange-Traded
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Depreciation | Variation Margin Due from (Due to) Brokers | |||||||||||||||
(6) | E-Mini S&P 500 Index | $ | (1,346,475 | ) | $ | (1,314,192 | ) | 9/15/23 | $ | (32,283 | ) | $ | (15,750 | ) |
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The notional amounts presented above represent the Portfolio’s total exposure in such contracts, whereas only the variation margin is reflected in the Portfolio’s net assets.
1 | See Note 6 in “Notes to financial statements.” |
13 |
Schedules of investments
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility
Summary of abbreviations:
S&P – Standard & Poor’s Financial Services LLC
See accompanying notes, which are an integral part of the financial statements.
14 |
Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility | June 30, 2023 (Unaudited) |
Number of shares | Value (US $) | |||||
Affiliated Mutual Funds — 98.21%<< | ||||||
Fixed Income Funds — 42.44% | ||||||
Delaware Ivy VIP Corporate Bond Class II | 1,543,689 | $ | 6,900,292 | |||
Delaware Ivy VIP High Income Class I | 107,745 | 298,453 | ||||
Delaware Ivy VIP Limited-Term Bond Class II | 1,322,300 | 6,029,687 | ||||
13,228,432 | ||||||
Global / International Equity Funds — 14.71% | ||||||
Delaware Ivy VIP International Core Equity Class II | 194,159 | 2,999,755 | ||||
Delaware VIP Global Value Equity Class II | 324,523 | 1,583,673 | ||||
4,583,428 | ||||||
US Equity Funds — 41.06% | ||||||
Delaware Ivy VIP Core Equity Class II | 287,857 | 3,416,864 | ||||
Delaware Ivy VIP Growth Class II | 415,877 | 3,805,278 | ||||
Delaware Ivy VIP Mid Cap Growth Class I | 140,150 | 1,405,703 | ||||
Delaware Ivy VIP Small Cap Growth Class II | 45,749 | 265,341 | ||||
Delaware Ivy VIP Smid Cap Core Class II | 71,956 | 772,808 | ||||
Delaware Ivy VIP Value Class II | 645,551 | 3,130,920 | ||||
12,796,914 | ||||||
Total Affiliated Mutual Funds (cost $39,369,511) | 30,608,774 | |||||
Short-Term Investments — 1.99% | ||||||
Money Market Mutual Funds — 1.99% | ||||||
BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | 154,840 | 154,840 | ||||
Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | 154,840 | 154,840 | ||||
Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | 154,839 | 154,839 | ||||
Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | 154,839 | 154,839 | ||||
Total Short-Term Investments (cost $619,358) | 619,358 | |||||
Total Value of Securities—100.20% (cost $39,988,869) | $ | 31,228,132 |
<< | Affiliated company. See Note 2 in “Notes to financial statements.” |
The following futures contracts were outstanding at June 30, 2023:1
Futures Contracts
Exchange-Traded
Contracts to Buy (Sell) | Notional Amount | Notional Cost (Proceeds) | Expiration Date | Value/ Unrealized Depreciation | Variation Margin Due from (Due to) Brokers | |||||||||||||||
(3) | E-Mini S&P 500 Index | $ | (673,237 | ) | $ | (657,096 | ) | 9/15/23 | $ | (16,141 | ) | $ | (7,875 | ) |
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The notional amounts presented above represent the Portfolio’s total exposure in such contracts, whereas only the variation margin is reflected in the Portfolio’s net assets.
1 | See Note 6 in “Notes to financial statements.” |
15 |
Schedules of investments
Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility
Summary of abbreviations:
S&P – Standard & Poor’s Financial Services LLC
See accompanying notes, which are an integral part of the financial statements.
16 |
Statements of assets and liabilities
Ivy Variable Insurance Portfolios | June 30, 2023 (Unaudited) |
Delaware Ivy VIP Pathfinder Aggressive | Delaware Ivy VIP Pathfinder Conservative | Delaware Ivy VIP Pathfinder Moderate | Delaware Ivy VIP Pathfinder Moderately Aggressive | ||||||||||||||
Assets: | |||||||||||||||||
Investments, at value* | $ | 136,119 | $ | 212,679 | $ | 1,133,772 | $ | 1,409,323 | |||||||||
Investments of affiliated issuers, at value** | 55,220,408 | 86,391,638 | 459,572,509 | 570,229,151 | |||||||||||||
Dividends receivable | 561 | 896 | 4,915 | 6,631 | |||||||||||||
Receivable for portfolio shares sold | 525 | 23,952 | 895 | 426 | |||||||||||||
Receivable for securities sold | — | — | 280,595 | 222,885 | |||||||||||||
Total Assets | 55,357,613 | 86,629,165 | 460,992,686 | 571,868,416 | |||||||||||||
Liabilities: | |||||||||||||||||
Other accrued expenses | 108,016 | 123,270 | 115,948 | 170,801 | |||||||||||||
Administration expenses payable to affiliates | 8,538 | 13,978 | 88,041 | 107,529 | |||||||||||||
Payable for portfolio shares redeemed | 2,242 | 701 | 269,419 | 208,330 | |||||||||||||
Payable for securities purchased | — | 17,243 | — | — | |||||||||||||
Total Liabilities | 118,796 | 155,192 | 473,408 | 486,660 | |||||||||||||
Total Net Assets | $ | 55,238,817 | $ | 86,473,973 | $ | 460,519,278 | $ | 571,381,756 | |||||||||
Net Assets Consist of: | |||||||||||||||||
Paid-in capital | $ | 65,967,355 | $ | 102,681,597 | $ | 549,397,015 | $ | 680,538,619 | |||||||||
Total distributable earnings (loss) | (10,728,538 | ) | (16,207,624 | ) | (88,877,737 | ) | (109,156,863 | ) | |||||||||
Total Net Assets | $ | 55,238,817 | $ | 86,473,973 | $ | 460,519,278 | $ | 571,381,756 | |||||||||
Net Asset Value | |||||||||||||||||
Class II: | |||||||||||||||||
Net assets | $ | 55,238,817 | $ | 86,473,973 | $ | 460,519,278 | $ | 571,381,756 | |||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 15,596,732 | 22,227,595 | 126,069,299 | 156,390,673 | |||||||||||||
Net asset value per share | $ | 3.54 | $ | 3.89 | $ | 3.65 | $ | 3.65 | |||||||||
*Investments, at cost | $ | 136,119 | $ | 212,679 | $ | 1,133,772 | $ | 1,409,323 | |||||||||
**Investments of affiliated issuers, at cost | 70,149,414 | 107,363,999 | 576,459,450 | 717,048,572 |
See accompanying notes, which are an integral part of the financial statements.
17 |
Statements of assets and liabilities
Ivy Variable Insurance Portfolios
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 | ||||||||||||||
Assets: | |||||||||||||||||
Investments, at value* | $ | 339,624 | $ | 8,908,416 | $ | 1,553,661 | $ | 619,358 | |||||||||
Investments of affiliated issuers, at value** | 138,070,499 | 440,646,366 | 76,916,083 | 30,608,774 | |||||||||||||
Cash collateral due from broker on futures contracts | — | 436,800 | 67,200 | 33,600 | |||||||||||||
Receivable for securities sold | 27,069 | 64,958 | 36,513 | 14,760 | |||||||||||||
Dividends receivable | 1,435 | 36,556 | 6,396 | 2,538 | |||||||||||||
Receivable for portfolio shares sold | 114 | 141,696 | — | — | |||||||||||||
Total Assets | 138,438,741 | 450,234,792 | 78,579,853 | 31,279,030 | |||||||||||||
Liabilities: | |||||||||||||||||
Other accrued expenses | 106,003 | 233,693 | 145,615 | 88,190 | |||||||||||||
Administration expenses payable to affiliates | 27,444 | 96,749 | 12,234 | 9,851 | |||||||||||||
Payable for portfolio shares redeemed | 23,775 | 34,702 | 6,662 | 2,434 | |||||||||||||
Investment management fees payable to affiliates | — | 73,097 | 12,774 | 5,068 | |||||||||||||
Variation margin due to broker on future contracts | — | 102,375 | 15,750 | 7,875 | |||||||||||||
Total Liabilities | 157,222 | 540,616 | 193,035 | 113,418 | |||||||||||||
Total Net Assets | $ | 138,281,519 | $ | 449,694,176 | $ | 78,386,818 | $ | 31,165,612 | |||||||||
Net Assets Consist of: | |||||||||||||||||
Paid-in capital | $ | 164,745,150 | $ | 535,066,587 | $ | 94,492,016 | $ | 38,558,292 | |||||||||
Total distributable earnings (loss) | (26,463,631 | ) | (85,372,411 | ) | (16,105,198 | ) | (7,392,680 | ) | |||||||||
Total Net Assets | $ | 138,281,519 | $ | 449,694,176 | $ | 78,386,818 | $ | 31,165,612 | |||||||||
Net Asset Value | |||||||||||||||||
Class II: | |||||||||||||||||
Net assets | $ | 138,281,519 | $ | 449,694,176 | $ | 78,386,818 | $ | 31,165,612 | |||||||||
Shares of beneficial interest outstanding, unlimited authorization, no par | 36,578,064 | 117,376,267 | 19,390,382 | 10,378,446 | |||||||||||||
Net asset value per share | $ | 3.78 | $ | 3.83 | $ | 4.04 | $ | 3.00 | |||||||||
*Investments, at cost | $ | 339,624 | $ | 8,908,416 | $ | 1,553,661 | $ | 619,358 | |||||||||
**Investments of affiliated issuers, at cost | 172,297,371 | 552,508,100 | 97,934,346 | 39,369,511 |
See accompanying notes, which are an integral part of the financial statements.
18 |
Ivy Variable Insurance Portfolios | Six months ended June 30, 2023 (Unaudited) |
Delaware Ivy VIP Pathfinder Aggressive | Delaware Ivy VIP Pathfinder Conservative | Delaware Ivy VIP Pathfinder Moderate | Delaware Ivy VIP Pathfinder Moderately Aggressive | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from affiliated funds | $ | 606,919 | $ | 1,371,857 | $ | 6,238,652 | $ | 7,013,441 | ||||||||
Dividends | 3,104 | 4,807 | 26,171 | 33,035 | ||||||||||||
610,023 | 1,376,664 | 6,264,823 | 7,046,476 | |||||||||||||
Expenses: | ||||||||||||||||
Trustees’ fees and expenses | 55,282 | 67,177 | 3,531 | 34,167 | ||||||||||||
Accounting and administration expenses | 22,083 | 25,732 | 72,130 | 84,768 | ||||||||||||
Audit and tax fees | 6,695 | 6,695 | 6,695 | 6,695 | ||||||||||||
Reports and statements to shareholders servicing expenses | 6,628 | 6,773 | 6,380 | 7,441 | ||||||||||||
Dividend disbursing and transfer agent fees and expenses | 2,112 | 3,414 | 23,018 | 22,460 | ||||||||||||
Custodian fees | 348 | 452 | 541 | 757 | ||||||||||||
Legal fees | 130 | 181 | 1,311 | 815 | ||||||||||||
Registration fees | 4 | 4 | 4 | 4 | ||||||||||||
Other | 4,722 | 4,891 | 9,906 | 11,064 | ||||||||||||
Total operating expenses | 98,004 | 115,319 | 123,516 | 168,171 | ||||||||||||
Net Investment Income (Loss) | 512,019 | 1,261,345 | 6,141,307 | 6,878,305 | ||||||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Affiliated investments | 229,949 | 108,508 | (1,816,209 | ) | (1,796,305 | ) | ||||||||||
Capital gain distributions received from investments in affiliated funds | 3,528,740 | 3,499,615 | 24,272,717 | 33,372,148 | ||||||||||||
Net realized gain (loss) | 3,758,689 | 3,608,123 | 22,456,508 | 31,575,843 | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Affiliated investments | 1,867,284 | 1,187,084 | 14,684,306 | 20,503,380 | ||||||||||||
Net Realized and Unrealized Gain (Loss) | 5,625,973 | 4,795,207 | 37,140,814 | 52,079,223 | ||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 6,137,992 | $ | 6,056,552 | $ | 43,282,121 | $ | 58,957,528 |
See accompanying notes, which are an integral part of the financial statements.
19 |
Statements of operations
Ivy Variable Insurance Portfolios
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 | |||||||||||||
Investment Income: | ||||||||||||||||
Dividends from affiliated funds | $ | 2,028,172 | $ | 5,914,373 | $ | 941,556 | $ | 444,776 | ||||||||
Dividends | 7,833 | 228,436 | 40,033 | 16,024 | ||||||||||||
2,036,005 | 6,142,809 | 981,589 | 460,800 | |||||||||||||
Expenses: | ||||||||||||||||
Investment advisory fees | — | 440,632 | 78,061 | 30,566 | ||||||||||||
Accounting and administration expenses | 32,523 | 75,580 | 24,759 | 21,793 | ||||||||||||
Trustees’ fees and expenses | 8,743 | 171,802 | 100,859 | 43,270 | ||||||||||||
Reports and statements to shareholders servicing expenses | 6,994 | 7,803 | 6,655 | 7,063 | ||||||||||||
Audit and tax fees | 6,695 | 7,140 | 7,141 | 7,140 | ||||||||||||
Dividend disbursing and transfer agent fees and expenses | 5,544 | 12,543 | 3,064 | 1,262 | ||||||||||||
Custodian fees | 568 | 845 | 684 | 849 | ||||||||||||
Legal fees | 487 | 1,169 | 192 | 192 | ||||||||||||
Registration fees | 4 | 4 | 4 | 4 | ||||||||||||
Other | 4,551 | 13,473 | 3,679 | 4,185 | ||||||||||||
Total operating expenses | 66,109 | 730,991 | 225,098 | 116,324 | ||||||||||||
Net Investment Income (Loss) | 1,969,896 | 5,411,818 | 756,491 | 344,476 | ||||||||||||
Net Realized and Unrealized Gain (Loss): | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Affiliated investments | (454,076 | ) | 1,500,188 | 263,320 | (131,276 | ) | ||||||||||
Capital gain distributions received from investments in affiliated funds | 6,422,100 | 23,005,297 | 4,480,527 | 1,407,292 | ||||||||||||
Futures contracts | — | (1,748,279 | ) | (294,150 | ) | (125,356 | ) | |||||||||
Net realized gain (loss) | 5,968,024 | 22,757,206 | 4,449,697 | 1,150,660 | ||||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Affiliated investments | 3,413,313 | 10,061,881 | 2,299,202 | 768,629 | ||||||||||||
Futures contracts | — | (1,072,745 | ) | (178,544 | ) | (80,624 | ) | |||||||||
Net change in unrealized appreciation (depreciation) | 3,413,313 | 8,989,136 | 2,120,658 | 688,005 | ||||||||||||
Net Realized and Unrealized Gain (Loss) | 9,381,337 | 31,746,342 | 6,570,355 | 1,838,665 | ||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 11,351,233 | $ | 37,158,160 | $ | 7,326,846 | $ | 2,183,141 |
See accompanying notes, which are an integral part of the financial statements.
20 |
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy VIP Pathfinder Aggressive | Delaware Ivy VIP Pathfinder Conservative | |||||||||||||||
Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 512,019 | $ | 730,169 | $ | 1,261,345 | $ | 1,344,569 | ||||||||
Net realized gain (loss) | 3,758,689 | 11,397,591 | 3,608,123 | 10,604,260 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 1,867,284 | (24,141,867 | ) | 1,187,084 | (27,145,808 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 6,137,992 | (12,014,107 | ) | 6,056,552 | (15,196,979 | ) | ||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class II | (12,148,744 | ) | (6,081,792 | ) | (11,950,259 | ) | (9,920,864 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class II | 310,446 | 1,236,646 | 4,133,477 | 2,994,346 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class II | 12,148,744 | 6,081,792 | 11,950,259 | 9,920,864 | ||||||||||||
12,459,190 | 7,318,438 | 16,083,736 | 12,915,210 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class II | (4,862,009 | ) | (9,528,375 | ) | (7,952,327 | ) | (13,546,107 | ) | ||||||||
Increase (decrease) in net assets derived from capital share transactions | 7,597,181 | (2,209,937 | ) | 8,131,409 | (630,897 | ) | ||||||||||
Net Increase (Decrease) in Net Assets | 1,586,429 | (20,305,836 | ) | 2,237,702 | (25,748,740 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 53,652,388 | 73,958,224 | 84,236,271 | 109,985,011 | ||||||||||||
End of period | $ | 55,238,817 | $ | 53,652,388 | $ | 86,473,973 | $ | 84,236,271 |
See accompanying notes, which are an integral part of the financial statements.
21 |
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy VIP Pathfinder Moderate | Delaware Ivy VIP Pathfinder Moderately Aggressive | |||||||||||||||
Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 6,141,307 | $ | 7,564,552 | $ | 6,878,305 | $ | 8,995,333 | ||||||||
Net realized gain (loss) | 22,456,508 | 78,657,240 | 31,575,843 | 107,664,298 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 14,684,306 | (180,279,220 | ) | 20,503,380 | (236,925,647 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 43,282,121 | (94,057,428 | ) | 58,957,528 | (120,266,016 | ) | ||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class II | (86,452,608 | ) | (62,270,198 | ) | (117,087,462 | ) | (78,642,243 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class II | 372,006 | 1,889,732 | 1,292,657 | 3,808,521 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class II | 86,452,608 | 62,270,198 | 117,087,462 | 78,642,243 | ||||||||||||
86,824,614 | 64,159,930 | 118,380,119 | 82,450,764 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class II | (48,730,235 | ) | (77,015,239 | ) | (54,863,003 | ) | (94,266,630 | ) | ||||||||
Increase (decrease) in net assets derived from capital share transactions | 38,094,379 | (12,855,309 | ) | 63,517,116 | (11,815,866 | ) | ||||||||||
Net Increase (Decrease) in Net Assets | (5,076,108 | ) | (169,182,935 | ) | 5,387,182 | (210,724,125 | ) | |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 465,595,386 | 634,778,321 | 565,994,574 | 776,718,699 | ||||||||||||
End of period | $ | 460,519,278 | $ | 465,595,386 | $ | 571,381,756 | $ | 565,994,574 |
See accompanying notes, which are an integral part of the financial statements.
22 |
Delaware Ivy VIP Pathfinder Moderately Conservative | Delaware Ivy VIP Pathfinder Moderate – Managed Volatility | |||||||||||||||
Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 1,969,896 | $ | 2,132,493 | $ | 5,411,818 | $ | 5,714,104 | ||||||||
Net realized gain (loss) | 5,968,024 | 20,548,446 | 22,757,206 | 75,281,018 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 3,413,313 | (49,466,726 | ) | 8,989,136 | (150,472,174 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 11,351,233 | (26,785,787 | ) | 37,158,160 | (69,477,052 | ) | ||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class II | (22,773,720 | ) | (17,346,896 | ) | (82,781,703 | ) | (95,792,163 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class II | 144,079 | 355,804 | 6,290,268 | 14,043,254 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class II | 22,773,720 | 17,346,896 | 82,781,703 | 95,792,163 | ||||||||||||
22,917,799 | 17,702,700 | 89,071,971 | 109,835,417 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class II | (11,203,880 | ) | (23,039,255 | ) | (29,335,682 | ) | (38,808,203 | ) | ||||||||
Increase (decrease) in net assets derived from capital share transactions | 11,713,919 | (5,336,555 | ) | 59,736,289 | 71,027,214 | |||||||||||
Net Increase (Decrease) in Net Assets | 291,432 | (49,469,238 | ) | 14,112,746 | (94,242,001 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 137,990,087 | 187,459,325 | 435,581,430 | 529,823,431 | ||||||||||||
End of period | $ | 138,281,519 | $ | 137,990,087 | $ | 449,694,176 | $ | 435,581,430 |
See accompanying notes, which are an integral part of the financial statements.
23 |
Statements of changes in net assets
Ivy Variable Insurance Portfolios
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility | Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility | |||||||||||||||
Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | Six months ended 6/30/23 (Unaudited) | Year ended 12/31/22 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 756,491 | $ | 947,038 | $ | 344,476 | $ | 346,958 | ||||||||
Net realized gain (loss) | 4,449,697 | 16,311,485 | 1,150,660 | 4,894,350 | ||||||||||||
Net change in unrealized appreciation (depreciation) | 2,120,658 | (31,244,145 | ) | 688,005 | (10,218,499 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 7,326,846 | (13,985,622 | ) | 2,183,141 | (4,977,191 | ) | ||||||||||
Dividends and Distributions to Shareholders from: | ||||||||||||||||
Distributable earnings: | ||||||||||||||||
Class II | (17,522,898 | ) | (8,050,737 | ) | (5,354,770 | ) | (11,995,385 | ) | ||||||||
Capital Share Transactions: | ||||||||||||||||
Proceeds from shares sold: | ||||||||||||||||
Class II | 1,331,014 | 2,070,590 | 1,359,783 | 2,289,664 | ||||||||||||
Net asset value of shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class II | 17,522,898 | 8,050,737 | 5,354,770 | 11,995,385 | ||||||||||||
18,853,912 | 10,121,327 | 6,714,553 | 14,285,049 | |||||||||||||
Cost of shares redeemed: | ||||||||||||||||
Class II | (7,571,117 | ) | (12,569,340 | ) | (2,599,029 | ) | (7,078,676 | ) | ||||||||
Increase (decrease) in net assets derived from capital share transactions | 11,282,795 | (2,448,013 | ) | 4,115,524 | 7,206,373 | |||||||||||
Net Increase (Decrease) in Net Assets | 1,086,743 | (24,484,372 | ) | 943,895 | (9,766,203 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 77,300,075 | 101,784,447 | 30,221,717 | 39,987,920 | ||||||||||||
End of period | $ | 78,386,818 | $ | 77,300,075 | $ | 31,165,612 | $ | 30,221,717 |
See accompanying notes, which are an integral part of the financial statements.
24 |
Delaware Ivy VIP Pathfinder Aggressive Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 4.07 | $ | 5.47 | $ | 4.92 | $ | 5.00 | $ | 4.60 | $ | 5.16 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.04 | 0.05 | 0.08 | 0.09 | 0.07 | 0.13 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.41 | (0.97 | ) | 0.82 | 0.52 | 0.92 | (0.32 | ) | ||||||||||||||||
Total from investment operations | 0.45 | (0.92 | ) | 0.90 | 0.61 | 0.99 | (0.19 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.27 | ) | (0.09 | ) | (0.09 | ) | (0.07 | ) | (0.14 | ) | (0.09 | ) | ||||||||||||
Net realized gain | (0.71 | ) | (0.39 | ) | (0.26 | ) | (0.62 | ) | (0.45 | ) | (0.28 | ) | ||||||||||||
Total dividends and distributions | (0.98 | ) | (0.48 | ) | (0.35 | ) | (0.69 | ) | (0.59 | ) | (0.37 | ) | ||||||||||||
Net asset value, end of period | $ | 3.54 | $ | 4.07 | $ | 5.47 | $ | 4.92 | $ | 5.00 | $ | 4.60 | ||||||||||||
Total return3 | 11.83% | (16.72 | )% | 18.93% | 15.70% | 23.24% | (4.27 | )% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 55,239 | $ | 53,652 | $ | 74 | 4 | $ | 68 | 4 | $ | 66 | 4 | $ | 59 | 4 | ||||||||
Ratio of expenses to average net assets5 | 0.36% | 0.21% | 0.07% | 0.12% | 0.09% | 0.09% | ||||||||||||||||||
Ratio of net investment income to average net assets | 1.87% | 1.24% | 1.62% | 1.91% | 1.41% | 2.49% | ||||||||||||||||||
Portfolio turnover | 15% | 30% | 18% | 21% | 18% | 51% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
25 |
Financial highlights
Delaware Ivy VIP Pathfinder Conservative Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 4.22 | $ | 5.50 | $ | 5.31 | $ | 5.15 | $ | 4.83 | $ | 5.16 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.06 | 0.07 | 0.13 | 0.10 | 0.09 | 0.10 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.24 | (0.84 | ) | 0.39 | 0.49 | 0.59 | (0.20 | ) | ||||||||||||||||
Total from investment operations | 0.30 | (0.77 | ) | 0.52 | 0.59 | 0.68 | (0.10 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.19 | ) | (0.13 | ) | (0.10 | ) | (0.09 | ) | (0.10 | ) | (0.06 | ) | ||||||||||||
Net realized gain | (0.44 | ) | (0.38 | ) | (0.23 | ) | (0.34 | ) | (0.26 | ) | (0.17 | ) | ||||||||||||
Total dividends and distributions | (0.63 | ) | (0.51 | ) | (0.33 | ) | (0.43 | ) | (0.36 | ) | (0.23 | ) | ||||||||||||
Net asset value, end of period | $ | 3.89 | $ | 4.22 | $ | 5.50 | $ | 5.31 | $ | 5.15 | $ | 4.83 | ||||||||||||
Total return3 | 7.29% | (14.09 | )% | 10.18% | 12.67% | 14.66% | (1.93 | )% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 86,474 | $ | 84,236 | $ | 110 | 4 | $ | 112 | 4 | $ | 99 | 4 | $ | 94 | 4 | ||||||||
Ratio of expenses to average net assets5 | 0.27% | 0.15% | 0.06% | 0.08% | 0.07% | 0.07% | ||||||||||||||||||
Ratio of net investment income to average net assets | 2.99% | 1.44% | 2.32% | 2.02% | 1.71% | 1.89% | ||||||||||||||||||
Portfolio turnover | 14% | 29% | 27% | 41% | 31% | 39% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
26 |
Delaware Ivy VIP Pathfinder Moderate Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 4.10 | $ | 5.51 | $ | 5.15 | $ | 5.19 | $ | 4.89 | $ | 5.40 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.05 | 0.07 | 0.11 | 0.10 | 0.08 | 0.12 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.32 | (0.91 | ) | 0.61 | 0.51 | 0.79 | (0.31 | ) | ||||||||||||||||
Total from investment operations | 0.37 | (0.84 | ) | 0.72 | 0.61 | 0.87 | (0.19 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.24 | ) | (0.12 | ) | (0.11 | ) | (0.09 | ) | (0.14 | ) | (0.08 | ) | ||||||||||||
Net realized gain | (0.58 | ) | (0.45 | ) | (0.25 | ) | (0.56 | ) | (0.43 | ) | (0.24 | ) | ||||||||||||
Total dividends and distributions | (0.82 | ) | (0.57 | ) | (0.36 | ) | (0.65 | ) | (0.57 | ) | (0.32 | ) | ||||||||||||
Net asset value, end of period | $ | 3.65 | $ | 4.10 | $ | 5.51 | $ | 5.15 | $ | 5.19 | $ | 4.89 | ||||||||||||
Total return3 | 9.62% | (15.26 | )% | 14.66% | 14.35% | 19.05% | (3.90 | )% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 460,519 | $ | 465,595 | $ | 635 | 4 | $ | 656 | 4 | $ | 680 | 4 | $ | 703 | 4 | ||||||||
Ratio of expenses to average net assets5 | 0.05% | 0.06% | 0.03% | 0.04% | 0.04% | 0.03% | ||||||||||||||||||
Ratio of net investment income to average net assets | 2.65% | 1.46% | 2.05% | 2.05% | 1.62% | 2.26% | ||||||||||||||||||
Portfolio turnover | 12% | 28% | 18% | 21% | 17% | 36% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
27 |
Financial highlights
Delaware Ivy VIP Pathfinder Moderately Aggressive Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 4.15 | $ | 5.66 | $ | 5.18 | $ | 5.32 | $ | 4.98 | $ | 5.59 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.05 | 0.06 | 0.10 | 0.10 | 0.08 | 0.13 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.36 | (0.96 | ) | 0.75 | 0.52 | 0.92 | (0.37 | ) | ||||||||||||||||
Total from investment operations | 0.41 | (0.90 | ) | 0.85 | 0.62 | 1.00 | (0.24 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.26 | ) | (0.12 | ) | (0.10 | ) | (0.09 | ) | (0.15 | ) | (0.10 | ) | ||||||||||||
Net realized gain | (0.65 | ) | (0.49 | ) | (0.27 | ) | (0.67 | ) | (0.51 | ) | (0.27 | ) | ||||||||||||
Total dividends and distributions | (0.91 | ) | (0.61 | ) | (0.37 | ) | (0.76 | ) | (0.66 | ) | (0.37 | ) | ||||||||||||
Net asset value, end of period | $ | 3.65 | $ | 4.15 | $ | 5.66 | $ | 5.18 | $ | 5.32 | $ | 4.98 | ||||||||||||
Total return3 | 10.76% | (15.90 | )% | 16.88% | 15.12% | 21.40% | (4.71 | )% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 571,382 | $ | 565,995 | $ | 777 | 4 | $ | 799 | 4 | $ | 829 | 4 | $ | 838 | 4 | ||||||||
Ratio of expenses to average net assets5 | 0.06% | 0.06% | 0.03% | 0.04% | 0.03% | 0.03% | ||||||||||||||||||
Ratio of net investment income to average net assets | 2.41% | 1.43% | 1.88% | 2.02% | 1.56% | 2.35% | ||||||||||||||||||
Portfolio turnover | 14% | 28% | 17% | 20% | 19% | 39% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
28 |
Delaware Ivy VIP Pathfinder Moderately Conservative Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 4.18 | $ | 5.53 | $ | 5.26 | $ | 5.22 | $ | 4.90 | $ | 5.32 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.06 | 0.06 | 0.12 | 0.10 | 0.08 | 0.11 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.27 | (0.87 | ) | 0.51 | 0.50 | 0.70 | (0.24 | ) | ||||||||||||||||
Total from investment operations | 0.33 | (0.81 | ) | 0.63 | 0.60 | 0.78 | (0.13 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.21 | ) | (0.13 | ) | (0.11 | ) | (0.10 | ) | (0.12 | ) | (0.07 | ) | ||||||||||||
Net realized gain | (0.52 | ) | (0.41 | ) | (0.25 | ) | (0.46 | ) | (0.34 | ) | (0.22 | ) | ||||||||||||
Total dividends and distributions | (0.73 | ) | (0.54 | ) | (0.36 | ) | (0.56 | ) | (0.46 | ) | (0.29 | ) | ||||||||||||
Net asset value, end of period | $ | 3.78 | $ | 4.18 | $ | 5.53 | $ | 5.26 | $ | 5.22 | $ | 4.90 | ||||||||||||
Total return3 | 8.53% | (14.71 | )% | 12.37% | 13.52% | 16.85% | (2.67 | )% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 138,282 | $ | 137,990 | $ | 187 | 4 | $ | 195 | 4 | $ | 202 | 4 | $ | 205 | 4 | ||||||||
Ratio of expenses to average net assets5 | 0.10% | 0.17% | 0.04% | 0.06% | 0.05% | 0.05% | ||||||||||||||||||
Ratio of net investment income to average net assets | 2.87% | 1.39% | 2.17% | 2.09% | 1.67% | 2.07% | ||||||||||||||||||
Portfolio turnover | 12% | 31% | 20% | 25% | 18% | 34% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
29 |
Financial highlights
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 4.33 | $ | 6.33 | $ | 5.77 | $ | 5.84 | $ | 5.33 | $ | 5.78 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.05 | 0.06 | 0.11 | 0.10 | 0.08 | 0.11 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.30 | (0.89 | ) | 0.62 | 0.34 | 0.82 | (0.33 | ) | ||||||||||||||||
Total from investment operations | 0.35 | (0.83 | ) | 0.73 | 0.44 | 0.90 | (0.22 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.21 | ) | (0.17 | ) | (0.10 | ) | (0.08 | ) | (0.11 | ) | (0.06 | ) | ||||||||||||
Net realized gain | (0.64 | ) | (1.00 | ) | (0.07 | ) | (0.43 | ) | (0.28 | ) | (0.17 | ) | ||||||||||||
Total dividends and distributions | (0.85 | ) | (1.17 | ) | (0.17 | ) | (0.51 | ) | (0.39 | ) | (0.23 | ) | ||||||||||||
Net asset value, end of period | $ | 3.83 | $ | 4.33 | $ | 6.33 | $ | 5.77 | $ | 5.84 | $ | 5.33 | ||||||||||||
Total return3 | 8.70% | (13.22 | )% | 12.99% | 9.07% | 17.32% | (4.00 | )% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 449,694 | $ | 435,581 | $ | 530 | 4 | $ | 729 | 4 | $ | 707 | 4 | $ | 606 | 4 | ||||||||
Ratio of expenses to average net assets5 | 0.33% | 0.26% | 0.22% | 0.23% | 0.23% | 0.23% | ||||||||||||||||||
Ratio of net investment income to average net assets | 2.46% | 1.24% | 1.87% | 1.78% | 1.39% | 2.00% | ||||||||||||||||||
Portfolio turnover | 14% | 32% | 19% | 42% | 9% | 28% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
30 |
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 4.75 | $ | 6.11 | $ | 5.46 | $ | 5.63 | $ | 5.15 | $ | 5.66 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.05 | 0.06 | 0.09 | 0.09 | 0.07 | 0.11 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.38 | (0.91 | ) | 0.73 | 0.33 | 0.88 | (0.37 | ) | ||||||||||||||||
Total from investment operations | 0.43 | (0.85 | ) | 0.82 | 0.42 | 0.95 | (0.26 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.27 | ) | (0.10 | ) | (0.09 | ) | (0.07 | ) | (0.12 | ) | (0.07 | ) | ||||||||||||
Net realized gain | (0.87 | ) | (0.41 | ) | (0.08 | ) | (0.52 | ) | (0.35 | ) | (0.18 | ) | ||||||||||||
Total dividends and distributions | (1.14 | ) | (0.51 | ) | (0.17 | ) | (0.59 | ) | (0.47 | ) | (0.25 | ) | ||||||||||||
Net asset value, end of period | $ | 4.04 | $ | 4.75 | $ | 6.11 | $ | 5.46 | $ | 5.63 | $ | 5.15 | ||||||||||||
Total return3 | 9.71% | (14.00 | )% | 15.24% | 9.71% | 19.29% | (4.75 | )% | ||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 78,387 | $ | 77,300 | $ | 102 | 4 | $ | 96 | 4 | $ | 93 | 4 | $ | 84 | 4 | ||||||||
Ratio of expenses to average net assets5 | 0.58% | 0.35% | 0.26% | 0.29% | 0.27% | 0.27% | ||||||||||||||||||
Ratio of net investment income to average net assets | 1.94% | 1.12% | 1.58% | 1.68% | 1.32% | 2.04% | ||||||||||||||||||
Portfolio turnover | 15% | 44% | 18% | 41% | 16% | 37% |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
31 |
Financial highlights
Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility Class II
Selected data for the share of the Portfolio outstanding throughout each period were as follows:
Six months ended 6/30/231 | Year ended | |||||||||||||||||||||||
(Unaudited) | 12/31/22 | 12/31/21 | 12/31/20 | 12/31/19 | 12/31/18 | |||||||||||||||||||
Net asset value, beginning of period | $ | 3.39 | $ | 6.02 | $ | 5.64 | $ | 5.58 | $ | 5.19 | $ | 5.55 | ||||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income2 | 0.04 | 0.04 | 0.12 | 0.09 | 0.08 | 0.10 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.19 | (0.79 | ) | 0.47 | 0.39 | 0.66 | (0.24 | ) | ||||||||||||||||
Total from investment operations | 0.23 | (0.75 | ) | 0.59 | 0.48 | 0.74 | (0.14 | ) | ||||||||||||||||
Less dividends and distributions from: | ||||||||||||||||||||||||
Net investment income | (0.15 | ) | (0.27 | ) | (0.09 | ) | (0.08 | ) | (0.10 | ) | (0.05 | ) | ||||||||||||
Net realized gain | (0.47 | ) | (1.61 | ) | (0.12 | ) | (0.34 | ) | (0.25 | ) | (0.17 | ) | ||||||||||||
Total dividends and distributions | (0.62 | ) | (1.88 | ) | (0.21 | ) | (0.42 | ) | (0.35 | ) | (0.22 | ) | ||||||||||||
Net asset value, end of period | $ | 3.00 | $ | 3.39 | $ | 6.02 | $ | 5.64 | $ | 5.58 | $ | 5.19 | ||||||||||||
Total return3 | 7.26 | % | (12.71 | )% | 10.72 | % | 9.61 | % | 14.89 | % | (2.90 | )% | ||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||
Net assets, end of period (000 omitted) | $ | 31,166 | $ | 30,222 | $ | 40 | 4 | $ | 86 | 4 | $ | 80 | 4 | $ | 73 | 4 | ||||||||
Ratio of expenses to average net assets5 | 0.76 | % | 0.53 | % | 0.26 | % | 0.30 | % | 0.27 | % | 0.29 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.25 | % | 1.02 | % | 2.06 | % | 1.77 | % | 1.45 | % | 1.79 | % | ||||||||||||
Portfolio turnover | 15 | % | 43 | % | 24 | % | 45 | % | 14 | % | 28 | % |
1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
2 | Calculated using average shares outstanding. |
3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Ivy Variable Insurance Portfolios serves as an underlying investment vehicle. |
4 | Net assets reported in millions. |
5 | Expense ratios do not include expenses of any investment companies in which the Portfolio invests. |
See accompanying notes, which are an integral part of the financial statements.
32 |
Ivy Variable Insurance Portfolios | June 30, 2023 (Unaudited) |
Ivy Variable Insurance Portfolios (Trust) is organized as a Delaware statutory trust and offers 26 portfolios. These financial statements and the related notes pertain to 8 portfolios: Delaware Ivy VIP Pathfinder Aggressive, Delaware Ivy VIP Pathfinder Conservative, Delaware Ivy VIP Pathfinder Moderate, Delaware Ivy VIP Pathfinder Moderately Aggressive, and Delaware Ivy VIP Pathfinder Moderately Conservative (collectively, the “Pathfinder Portfolios”), Delaware Ivy VIP Pathfinder Moderate – Managed Volatility, Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility, and Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility (collectively, the “Managed Volatility Portfolios”) (each, a Portfolio and collectively, the Portfolios). The Trust is an open-end investment company. Each of the Portfolios are diversified as defined in the Investment Company Act of 1940, as amended (1940 Act).
Each Portfolio offers Class II shares. The shares of the Portfolios are sold only to variable life insurance separate accounts and variable annuity separate accounts.
1. Significant Accounting Policies
Each Portfolio follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Portfolios.
Security Valuation — Open-end investment companies, other than exchange-traded funds (ETFs) are valued at their published net asset value (NAV). Futures contracts are valued at the daily quoted settlement prices. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by each Portfolio’s valuation designee, Delaware Management Company (DMC). Subject to the oversight of the Trust’s Board of Trustees (Board), DMC, as valuation designee, has adopted policies and procedures to fair value securities for which market quotations are not readily available consistent with the requirements of Rule 2a-5 under the 1940 Act. In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Restricted securities and private placements are valued at fair value.
Federal and Foreign Income Taxes — No provision for federal income taxes has been made as each Portfolio intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. Each Portfolio evaluates tax positions taken or expected to be taken in the course of preparing each Portfolio’s tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed each Portfolio’s tax positions taken or expected to be taken on each Portfolio’s federal income tax returns through the six months ended June 30, 2023, and for all open tax years (years ended December 31, 2019–December 31, 2022), and has concluded that no provision for federal income tax is required in each Portfolio’s financial statements. If applicable, each Portfolio recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statements of operations.” During the six months ended June 30, 2023, the Portfolios did not incur any interest or tax penalties.
Underlying Funds — Each Portfolio may invest in other investment companies (Underlying Funds) to the extent permitted by the 1940 Act. The Underlying Funds in which each Portfolio may invest include ETFs. Each Portfolio will indirectly bear the investment management fees and other expenses of the Underlying Funds.
Derivative Financial Instruments — Each Portfolio may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, each Portfolio must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. Each Portfolio’s successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Portfolios can realize on an investment and/or may result in lower distributions paid to shareholders. Each Portfolio’s investments in these instruments, if any, are discussed in detail in the Notes to financial statements.
33 |
Notes to financial statements
Ivy Variable Insurance Portfolios
1. Significant Accounting Policies (continued)
Segregation and Collateralizations — In certain cases, based on requirements and agreements with certain exchanges and third-party broker-dealers, each Portfolio may deliver or receive collateral in connection with certain investments (e.g., futures contracts, foreign currency exchange contracts, options written, securities with extended settlement periods, and swaps). 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/received to cover obligations of each Portfolio under derivative contracts, if any, will be reported separately on the “Statements of assets and liabilities” as cash collateral due to/from broker. Securities collateral pledged for the same purpose, if any, is noted on the “Schedules of investments.”
Use of Estimates — The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to a Portfolio are charged directly to that Portfolio. Other expenses common to various funds within the Delaware Funds by Macquarie® (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Income and capital gain distributions from any Underlying Funds in which a Portfolio invests are recorded on the ex-dividend date. Each Portfolio declares net investment income and distributions from net realized gain on investments, if any, following the close of the fiscal year. Each Portfolio may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its respective investment management agreement, each Portfolio (other than the Pathfinder Portfolios) pays DMC, a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly, based on each Portfolio’s average daily net assets as follows:
Portfolio | Management Fee (annual rate as a percentage of average daily net assets) | |
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility | 0.20% of net assets up to $500 million; | |
0.17% of net assets over $500 million and up to $1 billion; | ||
0.15% of net assets over $1 billion. | ||
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility | 0.20% of net assets up to $500 million; | |
0.17% of net assets over $500 million and up to $1 billion; | ||
0.15% of net assets over $1 billion. | ||
Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility | 0.20% of net assets up to $500 million; | |
0.17% of net assets over $500 million and up to $1 billion; | ||
0.15% of net assets over $1 billion. |
The Pathfinder Portfolios pay no management fees.
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.
34 |
DMC has entered into sub-advisory agreements with the following entities on behalf of the Portfolios:
Macquarie Investment Management Austria Kapitalanlage AG (MIMAK) is a part of Macquarie Asset Management (MAM). MAM is the marketing name for certain companies comprising the asset management division of Macquarie Group Limited. With respect to the Portfolios for which MIMAK serves as a sub-advisor, DMC has principal responsibility for all investment advisory services and may seek investment advice and recommendations from MIMAK and DMC may also permit MIMAK to execute Portfolio security trades on behalf of DMC and exercise investment discretion for securities in certain markets where DMC believes it will be beneficial to utilize MIMAK’s specialized market knowledge.
Securian serves as sub-advisor to the Managed Volatility Portfolios. The sub-advisor makes investment decisions in accordance with the Portfolio’s investment objectives, policies and restrictions under the supervision of DMC and the Board. DMC pays all applicable costs of the sub-advisor.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to each Portfolio. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; 0.0025% of the next $45 billion; and 0.0015% of aggregate average daily net assets in excess of $90 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative NAV basis. These amounts are included on the “Statements of operations” under “Accounting and administration expenses.” For the six months ended June 30, 2023, each Portfolio paid for these services as follows:
Portfolio | Fees | |||
Delaware Ivy VIP Pathfinder Aggressive | $ | 2,805 | ||
Delaware Ivy VIP Pathfinder Conservative | 3,251 | |||
Delaware Ivy VIP Pathfinder Moderate | 8,916 | |||
Delaware Ivy VIP Pathfinder Moderately Aggressive | 10,480 | |||
Delaware Ivy VIP Pathfinder Moderately Conservative | 4,043 | |||
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility | 8,529 | |||
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility | 3,156 | |||
Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility | 2,449 |
DIFSC is also the transfer agent and dividend disbursing agent of the Portfolios. For these services, DIFSC’s fees are calculated daily and paid monthly, at the annual rate of 0.0075% of the Portfolios’ average daily net assets. These amounts are included on the “Statements of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended June 30, 2023, each Portfolio paid for these services as follows:
Portfolio | Fees | |||
Delaware Ivy VIP Pathfinder Aggressive | $ | 2,083 | ||
Delaware Ivy VIP Pathfinder Conservative | 3,224 | |||
Delaware Ivy VIP Pathfinder Moderate | 17,748 | |||
Delaware Ivy VIP Pathfinder Moderately Aggressive | 21,754 | |||
Delaware Ivy VIP Pathfinder Moderately Conservative | 5,255 | |||
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility | 16,746 | |||
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility | 2,980 | |||
Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility | 1,168 |
Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to each Portfolio. Sub-transfer agency fees are paid by each Portfolio and are also included on the “Statements of operations” under “Dividend disbursing and transfer agent fees and expenses.” These fees are calculated daily and paid as invoices are received on a monthly or quarterly basis.
35 |
Notes to financial statements
Ivy Variable Insurance Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
As provided in the investment management agreement, each Portfolio bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal and regulatory reporting services to each Portfolio. These amounts are included on the “Statements of operations” under “Legal fees.” For the six months ended June 30, 2023, each Portfolio paid for internal legal and regulatory reporting services provided by DMC and/or its affiliates’ employees as follows:
Portfolio | Fees | |||
Delaware Ivy VIP Pathfinder Aggressive | $ | 452 | ||
Delaware Ivy VIP Pathfinder Conservative | 695 | |||
Delaware Ivy VIP Pathfinder Moderate | 3,850 | |||
Delaware Ivy VIP Pathfinder Moderately Aggressive | 4,721 | |||
Delaware Ivy VIP Pathfinder Moderately Conservative | 1,137 | |||
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility | 3,627 | |||
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility | 647 | |||
Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility | 252 |
Trustees’ fees include expenses accrued by each Portfolio for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Portfolios.
In addition to the management fees and other expenses of a Portfolio, a Portfolio indirectly bears the investment management fees and other expenses of any Underlying Funds, including ETFs in which it invests. The amount of these fees and expenses incurred indirectly by a Portfolio will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of any Underlying Funds at different times.
36 |
A summary of the transactions in affiliated companies during the six months ended June 30, 2023 was as follows:
Value, beginning of period | Gross additions | Gross reductions | Net realized gain (loss) on affiliated funds | Net change in unrealized appreciation (depreciation) on affiliated funds | Value, end of period | Shares | Income distributions | Capital gain distributions | ||||||||||||||||||||||||||||
Delaware Ivy VIP Pathfinder Aggressive | ||||||||||||||||||||||||||||||||||||
Affiliated Mutual Funds—99.97% | ||||||||||||||||||||||||||||||||||||
Delaware Ivy VIP Core Equity Class II | ||||||||||||||||||||||||||||||||||||
$ | 8,309,520 | $ | 903,002 | $ | 1,212,229 | $ | 79,396 | $ | 250,888 | $ | 8,330,577 | 701,818 | $ | 31,034 | $ | 779,076 | ||||||||||||||||||||
Delaware Ivy VIP Corporate Bond Class II | ||||||||||||||||||||||||||||||||||||
4,867,678 | 361,310 | 473,755 | 5,001 | (24,328 | ) | 4,735,906 | 1,059,487 | 131,884 | — | |||||||||||||||||||||||||||
Delaware Ivy VIP Growth Class II | ||||||||||||||||||||||||||||||||||||
7,807,635 | 1,164,400 | 891,488 | 77,178 | 1,119,824 | 9,277,549 | 1,013,940 | — | 875,083 | ||||||||||||||||||||||||||||
Delaware Ivy VIP High Income Class I | ||||||||||||||||||||||||||||||||||||
136,941 | 9,805 | 8,248 | 271 | (2,258 | ) | 136,511 | 49,282 | 8,925 | — | |||||||||||||||||||||||||||
Delaware Ivy VIP International Core Equity Class II | ||||||||||||||||||||||||||||||||||||
8,927,923 | 1,995,762 | 1,069,393 | 24,994 | 761,321 | 10,640,607 | 688,712 | 169,368 | — | ||||||||||||||||||||||||||||
Delaware Ivy VIP Limited-Term Bond Class II | ||||||||||||||||||||||||||||||||||||
2,975,531 | 227,633 | 323,993 | 4,683 | (16,071 | ) | 2,867,783 | 628,900 | 49,984 | — | |||||||||||||||||||||||||||
Delaware Ivy VIP Mid Cap Growth Class I | ||||||||||||||||||||||||||||||||||||
3,489,119 | 437,511 | 703,305 | 40,707 | 172,743 | 3,436,775 | 342,649 | — | 377,163 | ||||||||||||||||||||||||||||
Delaware Ivy VIP Small Cap Growth Class II | ||||||||||||||||||||||||||||||||||||
566,767 | 168,862 | 59,395 | 2,447 | (29,666 | ) | 649,015 | 111,899 | — | 96,670 | |||||||||||||||||||||||||||
Delaware Ivy VIP Smid Cap Core Class II | ||||||||||||||||||||||||||||||||||||
840,566 | 1,373,712 | 170,300 | 2,005 | (156,461 | ) | 1,889,522 | 175,933 | 3,860 | 189,943 | |||||||||||||||||||||||||||
Delaware Ivy VIP Value Class II | ||||||||||||||||||||||||||||||||||||
7,946,363 | 1,414,504 | 816,706 | 19,452 | (930,120 | ) | 7,633,493 | 1,573,916 | 115,949 | 1,121,741 | |||||||||||||||||||||||||||
Delaware VIP Global Value Equity Class II | ||||||||||||||||||||||||||||||||||||
7,709,813 | 192,558 | 2,974,928 | (26,185 | ) | 721,412 | 5,622,670 | 1,152,187 | 95,915 | 89,064 | |||||||||||||||||||||||||||
Total | $ | 53,577,856 | $ | 8,249,059 | $ | 8,703,740 | $ | 229,949 | $ | 1,867,284 | $ | 55,220,408 | $ | 606,919 | $ | 3,528,740 |
37 |
Notes to financial statements
Ivy Variable Insurance Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
Value, beginning of period | Gross additions | Gross reductions | Net realized gain (loss) on affiliated funds | Net change in unrealized appreciation (depreciation) on affiliated funds | Value, end of period | Shares | Income distributions | Capital gain distributions | ||||||||||||||||||||||||||||
Delaware Ivy VIP Pathfinder Conservative | ||||||||||||||||||||||||||||||||||||
Affiliated Mutual Funds—99.90% | ||||||||||||||||||||||||||||||||||||
Delaware Ivy VIP Core Equity Class II | ||||||||||||||||||||||||||||||||||||
$ | 8,446,149 | $ | 1,285,553 | $ | 1,604,767 | $ | 104,157 | $ | 248,154 | $ | 8,479,246 | 714,342 | $ | 31,117 | $ | 781,163 | ||||||||||||||||||||
Delaware Ivy VIP Corporate Bond Class II | ||||||||||||||||||||||||||||||||||||
23,753,438 | 2,138,734 | 2,237,111 | (98,111 | ) | 20,692 | 23,577,642 | 5,274,640 | 646,799 | — | |||||||||||||||||||||||||||
Delaware Ivy VIP Growth Class II | ||||||||||||||||||||||||||||||||||||
7,646,428 | 1,542,821 | 931,147 | 71,561 | 1,112,543 | 9,442,206 | 1,031,935 | — | 877,338 | ||||||||||||||||||||||||||||
Delaware Ivy VIP High Income Class I | ||||||||||||||||||||||||||||||||||||
1,075,018 | 115,222 | 116,125 | (3,674 | ) | (10,560 | ) | 1,059,881 | 382,629 | 69,151 | — | ||||||||||||||||||||||||||
Delaware Ivy VIP International Core Equity Class II | ||||||||||||||||||||||||||||||||||||
4,381,713 | 1,477,781 | 568,387 | (10,681 | ) | 404,430 | 5,684,856 | 367,951 | 89,101 | — | |||||||||||||||||||||||||||
Delaware Ivy VIP Limited-Term Bond Class II | ||||||||||||||||||||||||||||||||||||
21,633,645 | 1,982,320 | 2,278,775 | (9,768 | ) | (80,387 | ) | 21,247,035 | 4,659,438 | 364,979 | — | ||||||||||||||||||||||||||
Delaware Ivy VIP Mid Cap Growth Class I | ||||||||||||||||||||||||||||||||||||
3,487,273 | 595,118 | 790,306 | 45,395 | 173,856 | 3,511,336 | 350,083 | — | 379,474 | ||||||||||||||||||||||||||||
Delaware Ivy VIP Small Cap Growth Class II | ||||||||||||||||||||||||||||||||||||
568,281 | 174,301 | 50,564 | 2,265 | (29,808 | ) | 664,475 | 114,565 | — | 97,734 | |||||||||||||||||||||||||||
Delaware Ivy VIP Smid Cap Core Class II | ||||||||||||||||||||||||||||||||||||
992,441 | 1,230,353 | 149,324 | 7,053 | (136,390 | ) | 1,944,133 | 181,018 | 3,906 | 192,221 | |||||||||||||||||||||||||||
Delaware Ivy VIP Value Class II | ||||||||||||||||||||||||||||||||||||
7,782,313 | 1,770,600 | 882,613 | 33,851 | (934,360 | ) | 7,769,791 | 1,602,019 | 116,261 | 1,124,752 | |||||||||||||||||||||||||||
Delaware VIP Global Value Equity Class II | ||||||||||||||||||||||||||||||||||||
4,325,899 | 255,776 | 1,956,012 | (33,540 | ) | 418,914 | 3,011,037 | 617,016 | 50,543 | 46,933 | |||||||||||||||||||||||||||
Total | $ | 84,092,598 | $ | 12,568,579 | $ | 11,565,131 | $ | 108,508 | $ | 1,187,084 | $ | 86,391,638 | $ | 1,371,857 | $ | 3,499,615 |
38 |
Value, beginning of period | Gross additions | Gross reductions | Net realized gain (loss) on affiliated funds | Net change in unrealized appreciation (depreciation) on affiliated funds | Value, end of period | Shares | Income distributions | Capital gain distributions | ||||||||||||||||||||||||||||
Delaware Ivy VIP Pathfinder Moderate | ||||||||||||||||||||||||||||||||||||
Affiliated Mutual Funds—99.79% | ||||||||||||||||||||||||||||||||||||
Delaware Ivy VIP Core Equity Class II | ||||||||||||||||||||||||||||||||||||
$ | 59,352,293 | $ | 5,837,302 | $ | 10,250,393 | $ | 686,656 | $ | 1,724,371 | $ | 57,350,229 | 4,831,528 | $ | 214,331 | $ | 5,380,596 | ||||||||||||||||||||
Delaware Ivy VIP Corporate Bond Class II | ||||||||||||||||||||||||||||||||||||
86,729,772 | 4,570,387 | 9,136,642 | (669,291 | ) | 412,241 | 81,906,467 | 18,323,594 | 2,288,883 | — | |||||||||||||||||||||||||||
Delaware Ivy VIP Growth Class II | ||||||||||||||||||||||||||||||||||||
54,967,647 | 7,930,493 | 7,392,655 | 650,307 | 7,714,321 | 63,870,113 | 6,980,340 | — | 6,043,708 | ||||||||||||||||||||||||||||
Delaware Ivy VIP High Income Class I | ||||||||||||||||||||||||||||||||||||
3,596,805 | 238,622 | 352,957 | (43,804 | ) | (1,182 | ) | 3,437,484 | 1,240,969 | 226,127 | — | ||||||||||||||||||||||||||
Delaware Ivy VIP International Core Equity Class II | ||||||||||||||||||||||||||||||||||||
50,793,405 | 12,126,396 | 7,693,542 | 55,798 | 4,404,262 | 59,686,319 | 3,863,192 | 953,088 | — | ||||||||||||||||||||||||||||
Delaware Ivy VIP Limited-Term Bond Class II | ||||||||||||||||||||||||||||||||||||
72,655,898 | 3,731,953 | 8,214,979 | (37,192 | ) | (211,978 | ) | 67,923,702 | 14,895,549 | 1,188,230 | — | ||||||||||||||||||||||||||
Delaware Ivy VIP Mid Cap Growth Class I | ||||||||||||||||||||||||||||||||||||
24,744,881 | 2,989,974 | 5,606,799 | 193,392 | 1,344,249 | 23,665,697 | 2,359,491 | — | 2,605,975 | ||||||||||||||||||||||||||||
Delaware Ivy VIP Small Cap Growth Class II | ||||||||||||||||||||||||||||||||||||
4,051,684 | 1,083,794 | 410,433 | 18,178 | (200,801 | ) | 4,542,422 | 783,176 | — | 678,886 | |||||||||||||||||||||||||||
Delaware Ivy VIP Smid Cap Core Class II | ||||||||||||||||||||||||||||||||||||
6,417,745 | 8,943,347 | 1,298,359 | 24,149 | (1,035,605 | ) | 13,051,277 | 1,215,203 | 26,711 | 1,314,423 | |||||||||||||||||||||||||||
Delaware Ivy VIP Value Class II | ||||||||||||||||||||||||||||||||||||
55,944,488 | 9,691,254 | 6,856,172 | 200,592 | (6,428,103 | ) | 52,552,059 | 10,835,476 | 800,798 | 7,747,251 | |||||||||||||||||||||||||||
Delaware VIP Global Value Equity Class II | ||||||||||||||||||||||||||||||||||||
45,371,063 | 1,042,362 | 18,894,222 | (2,894,994 | ) | 6,962,531 | 31,586,740 | 6,472,693 | 540,484 | 501,878 | |||||||||||||||||||||||||||
Total | $ | 464,625,681 | $ | 58,185,884 | $ | 76,107,153 | $ | (1,816,209 | ) | $ | 14,684,306 | $ | 459,572,509 | $ | 6,238,652 | $ | 24,272,717 |
39 |
Notes to financial statements
Ivy Variable Insurance Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
Value, beginning of period | Gross additions | Gross reductions | Net realized gain (loss) on affiliated funds | Net change in unrealized appreciation (depreciation) on affiliated funds | Value, end of period | Shares | Income distributions | Capital gain distributions | ||||||||||||||||||||||||||||
Delaware Ivy VIP Pathfinder Moderately Aggressive | ||||||||||||||||||||||||||||||||||||
Affiliated Mutual Funds—99.80% | ||||||||||||||||||||||||||||||||||||
Delaware Ivy VIP Core Equity Class II | ||||||||||||||||||||||||||||||||||||
$ | 79,864,427 | $ | 7,979,830 | $ | 12,426,048 | $ | 793,010 | $ | 2,380,458 | $ | 78,591,677 | 6,621,035 | $ | 293,903 | $ | 7,378,189 | ||||||||||||||||||||
Delaware Ivy VIP Corporate Bond Class II | ||||||||||||||||||||||||||||||||||||
78,364,378 | 4,699,023 | 7,661,365 | (232,192 | ) | (47,340 | ) | 75,122,504 | 16,805,929 | 2,100,031 | — | ||||||||||||||||||||||||||
Delaware Ivy VIP Growth Class II | ||||||||||||||||||||||||||||||||||||
74,554,657 | 10,769,280 | 9,152,099 | 784,143 | 10,570,467 | 87,526,448 | 9,565,732 | — | 8,287,487 | ||||||||||||||||||||||||||||
Delaware Ivy VIP High Income Class I | ||||||||||||||||||||||||||||||||||||
2,914,623 | 197,177 | 207,159 | (12,899 | ) | (26,953 | ) | 2,864,789 | 1,034,220 | 186,977 | — | ||||||||||||||||||||||||||
Delaware Ivy VIP International Core Equity Class II | ||||||||||||||||||||||||||||||||||||
77,920,695 | 17,852,427 | 10,516,014 | 69,133 | 6,755,240 | 92,081,481 | 5,959,966 | 1,471,324 | — | ||||||||||||||||||||||||||||
Delaware Ivy VIP Limited-Term Bond Class II | ||||||||||||||||||||||||||||||||||||
59,833,995 | 3,455,180 | 6,306,075 | 62,961 | (282,064 | ) | 56,763,997 | 12,448,245 | 993,641 | — | |||||||||||||||||||||||||||
Delaware Ivy VIP Mid Cap Growth Class I | ||||||||||||||||||||||||||||||||||||
33,445,130 | 4,047,538 | 7,065,152 | 254,337 | 1,798,067 | 32,479,920 | 3,238,277 | — | 3,577,436 | ||||||||||||||||||||||||||||
Delaware Ivy VIP Small Cap Growth Class II | ||||||||||||||||||||||||||||||||||||
5,469,580 | 1,480,268 | 506,297 | 20,847 | (275,205 | ) | 6,189,193 | 1,067,102 | — | 925,056 | |||||||||||||||||||||||||||
Delaware Ivy VIP Smid Cap Core Class II | ||||||||||||||||||||||||||||||||||||
8,353,165 | 12,634,463 | 1,640,956 | 19,448 | (1,435,736 | ) | 17,930,384 | 1,669,496 | 36,726 | 1,807,232 | |||||||||||||||||||||||||||
Delaware Ivy VIP Value Class II | ||||||||||||||||||||||||||||||||||||
75,879,634 | 13,260,292 | 8,512,193 | 202,791 | (8,814,041 | ) | 72,016,483 | 14,848,760 | 1,098,101 | 10,623,492 | |||||||||||||||||||||||||||
Delaware VIP Global Value Equity Class II | ||||||||||||||||||||||||||||||||||||
68,220,136 | 1,636,382 | 27,316,846 | (3,757,884 | ) | 9,880,487 | 48,662,275 | 9,971,778 | 832,738 | 773,256 | |||||||||||||||||||||||||||
Total | $ | 564,820,420 | $ | 78,011,860 | $ | 91,310,204 | $ | (1,796,305 | ) | $ | 20,503,380 | $ | 570,229,151 | $ | 7,013,441 | $ | 33,372,148 |
40 |
Value, beginning of period | Gross additions | Gross reductions | Net realized gain (loss) on affiliated funds | Net change in unrealized appreciation (depreciation) on affiliated funds | Value, end of period | Shares | Income distributions | Capital gain distributions | ||||||||||||||||||||||||||||
Delaware Ivy VIP Pathfinder Moderately Conservative | ||||||||||||||||||||||||||||||||||||
Affiliated Mutual Funds—99.85% | ||||||||||||||||||||||||||||||||||||
Delaware Ivy VIP Core Equity Class II | ||||||||||||||||||||||||||||||||||||
$ | 15,716,991 | $ | 1,744,670 | $ | 2,695,493 | $ | 183,336 | $ | 461,531 | $ | 15,411,035 | 1,298,318 | $ | 56,897 | $ | 1,428,346 | ||||||||||||||||||||
Delaware Ivy VIP Corporate Bond Class II | ||||||||||||||||||||||||||||||||||||
32,317,356 | 1,669,716 | 2,786,570 | (249,497 | ) | 146,405 | 31,097,410 | 6,956,915 | 858,794 | — | |||||||||||||||||||||||||||
Delaware Ivy VIP Growth Class II | ||||||||||||||||||||||||||||||||||||
14,411,974 | 2,162,956 | 1,609,791 | 133,733 | 2,064,113 | 17,162,985 | 1,875,736 | — | 1,604,373 | ||||||||||||||||||||||||||||
Delaware Ivy VIP High Income Class I | ||||||||||||||||||||||||||||||||||||
1,412,879 | 98,442 | 126,139 | (15,234 | ) | (3,022 | ) | 1,366,926 | 493,475 | 89,103 | — | ||||||||||||||||||||||||||
Delaware Ivy VIP International Core Equity Class II | ||||||||||||||||||||||||||||||||||||
11,117,098 | 2,859,665 | 1,416,973 | (33,458 | ) | 1,007,096 | 13,533,428 | 875,950 | 213,486 | — | |||||||||||||||||||||||||||
Delaware Ivy VIP Limited-Term Bond Class II | ||||||||||||||||||||||||||||||||||||
28,491,106 | 1,674,809 | 2,930,434 | (9,964 | ) | (94,164 | ) | 27,131,353 | 5,949,858 | 469,177 | — | ||||||||||||||||||||||||||
Delaware Ivy VIP Mid Cap Growth Class I | ||||||||||||||||||||||||||||||||||||
6,523,096 | 829,786 | 1,400,328 | 27,641 | 380,600 | 6,360,795 | 634,177 | — | 691,666 | ||||||||||||||||||||||||||||
Delaware Ivy VIP Small Cap Growth Class II | ||||||||||||||||||||||||||||||||||||
1,063,792 | 288,562 | 83,135 | 4,224 | (53,849 | ) | 1,219,594 | 210,275 | — | 179,800 | |||||||||||||||||||||||||||
Delaware Ivy VIP Smid Cap Core Class II | ||||||||||||||||||||||||||||||||||||
1,764,846 | 2,266,372 | 274,921 | 7,630 | (261,677 | ) | 3,502,250 | 326,094 | 7,091 | 348,928 | |||||||||||||||||||||||||||
Delaware Ivy VIP Value Class II | ||||||||||||||||||||||||||||||||||||
14,668,067 | 2,665,420 | 1,556,957 | 51,675 | (1,706,647 | ) | 14,121,558 | 2,911,661 | 212,580 | 2,056,589 | |||||||||||||||||||||||||||
Delaware VIP Global Value Equity Class II | ||||||||||||||||||||||||||||||||||||
10,267,465 | 280,530 | 4,303,595 | (554,162 | ) | 1,472,927 | 7,163,165 | 1,467,862 | 121,044 | 112,398 | |||||||||||||||||||||||||||
Total | $ | 137,754,670 | $ | 16,540,928 | $ | 19,184,336 | $ | (454,076 | ) | $ | 3,413,313 | $ | 138,070,499 | $ | 2,028,172 | $ | 6,422,100 |
41 |
Notes to financial statements
Ivy Variable Insurance Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
Value, beginning of period | Gross additions | Gross reductions | Net realized gain (loss) on affiliated funds | Net change in unrealized appreciation (depreciation) on affiliated funds | Value, end of period | Shares | Income distributions | Capital gain distributions | ||||||||||||||||||||||||||||
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility | ||||||||||||||||||||||||||||||||||||
Affiliated Mutual Funds—97.99% | ||||||||||||||||||||||||||||||||||||
Delaware Ivy VIP Core Equity Class II | ||||||||||||||||||||||||||||||||||||
$ | 54,402,743 | $ | 6,510,425 | $ | 8,120,077 | $ | 566,170 | $ | 1,642,671 | $ | 55,001,932 | 4,633,693 | $ | 203,281 | $ | 5,103,206 | ||||||||||||||||||||
Delaware Ivy VIP Corporate Bond Class II | ||||||||||||||||||||||||||||||||||||
79,518,275 | 5,955,309 | 6,537,610 | 63,399 | (374,289 | ) | 78,625,084 | 17,589,504 | 2,171,337 | — | |||||||||||||||||||||||||||
Delaware Ivy VIP Growth Class II | ||||||||||||||||||||||||||||||||||||
50,394,112 | 8,631,921 | 5,508,585 | 468,821 | 7,294,313 | 61,280,582 | 6,697,331 | — | 5,732,141 | ||||||||||||||||||||||||||||
Delaware Ivy VIP High Income Class I | ||||||||||||||||||||||||||||||||||||
3,276,111 | 254,103 | 225,871 | 8,134 | (54,287 | ) | 3,258,190 | 1,176,242 | 212,419 | — | |||||||||||||||||||||||||||
Delaware Ivy VIP International Core Equity Class II | ||||||||||||||||||||||||||||||||||||
46,556,770 | 12,153,484 | 5,548,202 | 299,714 | 3,818,859 | 57,280,625 | 3,707,484 | 904,179 | — | ||||||||||||||||||||||||||||
Delaware Ivy VIP Limited-Term Bond Class II | ||||||||||||||||||||||||||||||||||||
66,518,884 | 4,986,972 | 6,098,618 | 68,039 | (342,772 | ) | 65,132,505 | 14,283,444 | 1,126,328 | — | |||||||||||||||||||||||||||
Delaware Ivy VIP Mid Cap Growth Class I | ||||||||||||||||||||||||||||||||||||
22,675,757 | 3,233,070 | 4,657,169 | 392,801 | 1,017,759 | 22,662,218 | 2,259,443 | — | 2,468,206 | ||||||||||||||||||||||||||||
Delaware Ivy VIP Small Cap Growth Class II | ||||||||||||||||||||||||||||||||||||
3,655,995 | 1,115,709 | 308,881 | 14,455 | (193,137 | ) | 4,284,141 | 738,645 | — | 634,375 | |||||||||||||||||||||||||||
Delaware Ivy VIP Smid Cap Core Class II | ||||||||||||||||||||||||||||||||||||
5,866,926 | 8,455,473 | 911,838 | 35,492 | (979,975 | ) | 12,466,078 | 1,160,715 | 25,281 | 1,244,046 | |||||||||||||||||||||||||||
Delaware Ivy VIP Value Class II | ||||||||||||||||||||||||||||||||||||
51,289,718 | 10,086,246 | 5,057,727 | 170,995 | (6,088,863 | ) | 50,400,369 | 10,391,829 | 759,515 | 7,347,864 | |||||||||||||||||||||||||||
Delaware VIP Global Value Equity Class II | ||||||||||||||||||||||||||||||||||||
41,555,010 | 1,526,920 | 16,561,058 | (587,832 | ) | 4,321,602 | 30,254,642 | 6,199,722 | 512,033 | 475,459 | |||||||||||||||||||||||||||
Total | $ | 425,710,301 | $ | 62,909,632 | $ | 59,535,636 | $ | 1,500,188 | $ | 10,061,881 | $ | 440,646,366 | $ | 5,914,373 | $ | 23,005,297 |
42 |
Value, beginning of period | Gross additions | Gross reductions | Net realized gain (loss) on affiliated funds | Net change in unrealized appreciation (depreciation) on affiliated funds | Value, end of period | Shares | Income distributions | Capital gain distributions | ||||||||||||||||||||||||||||
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility | ||||||||||||||||||||||||||||||||||||
Affiliated Mutual Funds—98.12% | ||||||||||||||||||||||||||||||||||||
Delaware Ivy VIP Core Equity Class II | ||||||||||||||||||||||||||||||||||||
$ | 10,695,462 | $ | 1,256,476 | $ | 1,779,976 | $ | 120,945 | $ | 316,696 | $ | 10,609,603 | 893,816 | $ | 39,485 | $ | 991,250 | ||||||||||||||||||||
Delaware Ivy VIP Corporate Bond Class II | ||||||||||||||||||||||||||||||||||||
10,492,320 | 870,518 | 1,183,649 | (36,837 | ) | (3,221 | ) | 10,139,131 | 2,268,262 | 282,077 | — | ||||||||||||||||||||||||||
Delaware Ivy VIP Growth Class II | ||||||||||||||||||||||||||||||||||||
9,978,977 | 1,647,938 | 1,348,714 | 120,783 | 1,416,805 | 11,815,789 | 1,291,343 | — | 1,113,417 | ||||||||||||||||||||||||||||
Delaware Ivy VIP High Income Class I | ||||||||||||||||||||||||||||||||||||
386,176 | 29,207 | 30,708 | (596 | ) | (4,558 | ) | 379,521 | 137,011 | 24,734 | — | ||||||||||||||||||||||||||
Delaware Ivy VIP International Core Equity Class II | ||||||||||||||||||||||||||||||||||||
10,433,923 | 2,592,671 | 1,524,966 | 33,209 | 894,085 | 12,428,922 | 804,461 | 197,642 | — | ||||||||||||||||||||||||||||
Delaware Ivy VIP Limited-Term Bond Class II | ||||||||||||||||||||||||||||||||||||
8,021,556 | 620,950 | 955,712 | 8,013 | (38,465 | ) | 7,656,342 | 1,679,022 | 133,380 | — | |||||||||||||||||||||||||||
Delaware Ivy VIP Mid Cap Growth Class I | ||||||||||||||||||||||||||||||||||||
4,464,741 | 632,213 | 999,933 | 33,366 | 242,944 | 4,373,331 | 436,025 | — | 479,864 | ||||||||||||||||||||||||||||
Delaware Ivy VIP Small Cap Growth Class II | ||||||||||||||||||||||||||||||||||||
726,038 | 221,766 | 90,231 | 3,488 | (37,392 | ) | 823,669 | 142,012 | — | 122,889 | |||||||||||||||||||||||||||
Delaware Ivy VIP Smid Cap Core Class II | ||||||||||||||||||||||||||||||||||||
1,110,331 | 1,733,565 | 248,657 | 5,766 | (193,561 | ) | 2,407,444 | 224,157 | 4,919 | 242,051 | |||||||||||||||||||||||||||
Delaware Ivy VIP Value Class II | ||||||||||||||||||||||||||||||||||||
10,156,292 | 1,933,980 | 1,223,346 | 39,732 | (1,184,740 | ) | 9,721,918 | 2,004,519 | 147,528 | 1,427,250 | |||||||||||||||||||||||||||
Delaware VIP Global Value Equity Class II | ||||||||||||||||||||||||||||||||||||
9,130,221 | 329,303 | 3,725,171 | (64,549 | ) | 890,609 | 6,560,413 | 1,344,347 | 111,791 | 103,806 | |||||||||||||||||||||||||||
Total | $ | 75,596,037 | $ | 11,868,587 | $ | 13,111,063 | $ | 263,320 | $ | 2,299,202 | $ | 76,916,083 | $ | 941,556 | $ | 4,480,527 |
43 |
Notes to financial statements
Ivy Variable Insurance Portfolios
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
Value, beginning of period | Gross additions | Gross reductions | Net realized gain (loss) on affiliated funds | Net change in unrealized appreciation (depreciation) on affiliated funds | Value, end of period | Shares | Income distributions | Capital gain distributions | ||||||||||||||||||||||||||||
Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility | ||||||||||||||||||||||||||||||||||||
Affiliated Mutual Funds—98.21% | ||||||||||||||||||||||||||||||||||||
Delaware Ivy VIP Core Equity Class II | ||||||||||||||||||||||||||||||||||||
$ | 3,373,303 | $ | 510,151 | $ | 607,249 | $ | 38,394 | $ | 102,265 | $ | 3,416,864 | 287,857 | $ | 12,481 | $ | 313,315 | ||||||||||||||||||||
Delaware Ivy VIP Corporate Bond Class II | ||||||||||||||||||||||||||||||||||||
6,938,449 | 682,277 | 694,114 | (45,718 | ) | 19,398 | 6,900,292 | 1,543,689 | 188,412 | — | |||||||||||||||||||||||||||
Delaware Ivy VIP Growth Class II | ||||||||||||||||||||||||||||||||||||
3,093,813 | 631,892 | 400,720 | 30,789 | 449,504 | 3,805,278 | 415,877 | — | 351,925 | ||||||||||||||||||||||||||||
Delaware Ivy VIP High Income Class I | ||||||||||||||||||||||||||||||||||||
300,573 | 32,012 | 30,134 | (3,834 | ) | (164 | ) | 298,453 | 107,745 | 19,292 | — | ||||||||||||||||||||||||||
Delaware Ivy VIP International Core Equity Class II | ||||||||||||||||||||||||||||||||||||
2,385,312 | 741,068 | 338,310 | (2,677 | ) | 214,362 | 2,999,755 | 194,159 | 46,816 | — | |||||||||||||||||||||||||||
Delaware Ivy VIP Limited-Term Bond Class II | ||||||||||||||||||||||||||||||||||||
6,120,455 | 675,553 | 741,723 | (10,456 | ) | (14,142 | ) | 6,029,687 | 1,322,300 | 103,094 | — | ||||||||||||||||||||||||||
Delaware Ivy VIP Mid Cap Growth Class I | ||||||||||||||||||||||||||||||||||||
1,399,749 | 244,978 | 327,086 | 14,804 | 73,258 | 1,405,703 | 140,150 | — | 151,386 | ||||||||||||||||||||||||||||
Delaware Ivy VIP Small Cap Growth Class II | ||||||||||||||||||||||||||||||||||||
228,609 | 69,196 | 21,730 | 1,000 | (11,734 | ) | 265,341 | 45,749 | — | 38,832 | |||||||||||||||||||||||||||
Delaware Ivy VIP Smid Cap Core Class II | ||||||||||||||||||||||||||||||||||||
377,552 | 520,842 | 70,899 | 1,808 | (56,495 | ) | 772,808 | 71,956 | 1,547 | 76,106 | |||||||||||||||||||||||||||
Delaware Ivy VIP Value Class II | ||||||||||||||||||||||||||||||||||||
3,148,804 | 729,814 | 385,746 | 13,365 | (375,317 | ) | 3,130,920 | 645,551 | 46,630 | 451,118 | |||||||||||||||||||||||||||
Delaware VIP Global Value Equity Class II | ||||||||||||||||||||||||||||||||||||
2,203,298 | 135,475 | 954,043 | (168,751 | ) | 367,694 | 1,583,673 | 324,523 | 26,504 | 24,610 | |||||||||||||||||||||||||||
Total | $ | 29,569,917 | $ | 4,973,258 | $ | 4,571,754 | $ | (131,276 | ) | $ | 768,629 | $ | 30,608,774 | $ | 444,776 | $ | 1,407,292 |
3. Investments
For the six months ended June 30, 2023, each Portfolio made purchases and sales of investment securities other than short-term investments as follows:
Portfolio | Purchases other than US government securities | Sales other than US government securities | ||||||
Delaware Ivy VIP Pathfinder Aggressive | $ | 8,249,059 | $ | 8,703,740 | ||||
Delaware Ivy VIP Pathfinder Conservative | 12,568,579 | 11,565,131 | ||||||
Delaware Ivy VIP Pathfinder Moderate | 58,185,884 | 76,107,153 | ||||||
Delaware Ivy VIP Pathfinder Moderately Aggressive | 78,011,860 | 91,310,204 | ||||||
Delaware Ivy VIP Pathfinder Moderately Conservative | 16,540,928 | 19,184,336 | ||||||
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility | 62,909,632 | 59,535,636 | ||||||
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility | 11,868,587 | 13,111,063 | ||||||
Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility | 4,973,258 | 4,571,754 |
44 |
At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments and derivatives for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments and derivatives for each Portfolio were as follows:
Portfolio | Cost of investments and derivatives | Aggregate unrealized appreciation of investments and derivatives | Aggregate unrealized depreciation of investments and derivatives | Net unrealized appreciation (depreciation) of investments and derivatives | ||||||||||||
Delaware Ivy VIP Pathfinder Aggressive | $ | 70,285,533 | $ | — | $ | (14,929,006 | ) | $ | (14,929,006 | ) | ||||||
Delaware Ivy VIP Pathfinder Conservative | 107,576,678 | — | (20,972,361 | ) | (20,972,361 | ) | ||||||||||
Delaware Ivy VIP Pathfinder Moderate | 577,593,222 | — | (116,886,941 | ) | (116,886,941 | ) | ||||||||||
Delaware Ivy VIP Pathfinder Moderately Aggressive | 718,457,895 | — | (146,819,421 | ) | (146,819,421 | ) | ||||||||||
Delaware Ivy VIP Pathfinder Moderately Conservative | 172,636,995 | — | (34,226,872 | ) | (34,226,872 | ) | ||||||||||
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility | 561,416,516 | — | (112,071,571 | ) | (112,071,571 | ) | ||||||||||
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility | 99,488,007 | — | (21,050,546 | ) | (21,050,546 | ) | ||||||||||
Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility | 39,988,869 | — | (8,776,878 | ) | (8,776,878 | ) |
US GAAP defines fair value as the price that each Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established 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 assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. Each Portfolio’s investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized as follows:
Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
Level 2 – | Other observable inputs, including, but 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. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
Level 3 – | Significant unobservable inputs, including each Portfolio’s own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. Each Portfolio may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
45 |
Notes to financial statements
Ivy Variable Insurance Portfolios
3. Investments (continued)
The following tables summarize the valuation of each Portfolio’s investments by fair value hierarchy levels as of June 30, 2023:
Delaware Ivy VIP Pathfinder Aggressive | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Affiliated Mutual Funds | $ | 55,220,408 | ||
Short-Term Investments | 136,119 | |||
Total Value of Securities | $ | 55,356,527 | ||
Delaware Ivy VIP Pathfinder Conservative | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Affiliated Mutual Funds | $ | 86,391,638 | ||
Short-Term Investments | 212,679 | |||
Total Value of Securities | $ | 86,604,317 | ||
Delaware Ivy VIP Pathfinder Moderate | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Affiliated Mutual Funds | $ | 459,572,509 | ||
Short-Term Investments | 1,133,772 | |||
Total Value of Securities | $ | 460,706,281 | ||
Delaware Ivy VIP Pathfinder Moderately Aggressive | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Affiliated Mutual Funds | $ | 570,229,151 | ||
Short-Term Investments | 1,409,323 | |||
Total Value of Securities | $ | 571,638,474 |
46 |
Delaware Ivy VIP Pathfinder Moderately Conservative | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Affiliated Mutual Funds | $ | 138,070,499 | ||
Short-Term Investments | 339,624 | |||
Total Value of Securities | $ | 138,410,123 | ||
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Affiliated Mutual Funds | $ | 440,646,366 | ||
Short-Term Investments | 8,908,416 | |||
Total Value of Securities | $ | 449,554,782 | ||
Derivatives1 | ||||
Liabilities: | ||||
Futures Contracts | $ | (209,837 | ) |
1Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end.
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Affiliated Mutual Funds | $ | 76,916,083 | ||
Short-Term Investments | 1,553,661 | |||
Total Value of Securities | $ | 78,469,744 | ||
Derivatives1 | ||||
Liabilities: | ||||
Futures Contracts | $ | (32,283 | ) |
1Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end.
47 |
Notes to financial statements
Ivy Variable Insurance Portfolios
3. Investments (continued)
Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility | ||||
Level 1 | ||||
Securities | ||||
Assets: | ||||
Affiliated Mutual Funds | $ | 30,608,774 | ||
Short-Term Investments | 619,358 | |||
Total Value of Securities | $ | 31,228,132 | ||
Derivatives1 | ||||
Liabilities: | ||||
Futures Contracts | $ | (16,141 | ) |
1Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end.
During the six months ended June 30, 2023, there were no transfers into or out of Level 3 investments. Each Portfolio’s policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when a Portfolio has a significant amount of Level 3 investments at the beginning or end of the period in relation to each Portfolio’s net assets. During the six months ended June 30, 2023, there were no Level 3 investments.
4. Capital Shares
Transactions in capital shares were as follows:
Delaware Ivy VIP Pathfinder Aggressive | Delaware Ivy VIP Pathfinder Conservative | Delaware Ivy VIP Pathfinder Moderate | ||||||||||||||||||||||
Six months ended 6/30/23 | Year ended 12/31/22 | Six months ended 6/30/23 | Year ended 12/31/22 | Six months ended 6/30/23 | Year ended 12/31/22 | |||||||||||||||||||
Shares sold: | ||||||||||||||||||||||||
Class II | 74,203 | 278,057 | 998,042 | 668,715 | 88,389 | 435,677 | ||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||
Class II | 3,541,908 | 1,497,978 | 3,136,551 | 2,339,827 | 24,284,440 | 15,187,853 | ||||||||||||||||||
3,616,111 | 1,776,035 | 4,134,593 | 3,008,542 | 24,372,829 | 15,623,530 | |||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||
Class II | (1,207,530 | ) | (2,118,183 | ) | (1,888,249 | ) | (3,018,788 | ) | (11,908,638 | ) | (17,135,328 | ) | ||||||||||||
Net increase (decrease) | 2,408,581 | (342,148 | ) | 2,246,344 | (10,246 | ) | 12,464,191 | (1,511,798 | ) |
48 |
Delaware Ivy VIP Pathfinder Moderately Aggressive | Delaware Ivy VIP Pathfinder Moderately Conservative | Delaware Ivy VIP Pathfinder Moderate – Managed Volatility | ||||||||||||||||||||||
Six months ended 6/30/23 | Year ended 12/31/22 | Six months ended 6/30/23 | Year ended 12/31/22 | Six months ended 6/30/23 | Year ended 12/31/22 | |||||||||||||||||||
Shares sold: | ||||||||||||||||||||||||
Class II | 318,067 | 896,493 | 34,764 | 78,272 | 1,428,913 | 2,885,467 | ||||||||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||||||||||
Class II | 32,982,384 | 18,995,711 | 6,171,740 | 4,130,213 | 22,134,145 | 22,122,901 | ||||||||||||||||||
33,300,451 | 19,892,204 | 6,206,504 | 4,208,485 | 23,563,058 | 25,008,368 | |||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||
Class II | (13,408,773 | ) | (20,729,425 | ) | (2,659,916 | ) | (5,072,321 | ) | (6,852,416 | ) | (8,036,060 | ) | ||||||||||||
Net increase (decrease) | 19,891,678 | (837,221 | ) | 3,546,588 | (863,836 | ) | 16,710,642 | 16,972,308 |
Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility | Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility | |||||||||||||||
Six months ended 6/30/23 | Year ended 12/31/22 | Six months ended 6/30/23 | Year ended 12/31/22 | |||||||||||||
Shares sold: | ||||||||||||||||
Class II | 276,060 | 390,290 | 398,090 | 595,866 | ||||||||||||
Shares issued upon reinvestment of dividends and distributions: | ||||||||||||||||
Class II | 4,447,436 | 1,698,468 | 1,821,350 | 3,517,708 | ||||||||||||
4,723,496 | 2,088,758 | 2,219,440 | 4,113,574 | |||||||||||||
Shares redeemed: | ||||||||||||||||
Class II | (1,616,862 | ) | (2,473,446 | ) | (756,452 | ) | (1,842,890 | ) | ||||||||
Net increase (decrease) | 3,106,634 | (384,688 | ) | 1,462,988 | 2,270,684 |
5. Interfund Lending Program
Pursuant to an exemptive order issued by the SEC (Order), the Ivy Funds and Ivy Variable Insurance Portfolios (collectively, the Funds, only for purposes of this Note 5) 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. This program is in existence but is not currently in use. The Funds made no Interfund Loans under the Interfund Lending Program during the six months ended June 30, 2023.
49 |
Notes to financial statements
Ivy Variable Insurance Portfolios
6. Derivatives
US GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Futures Contracts — A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. The Portfolios may use futures contracts in the normal course of pursuing its investment objective. The Portfolios may invest in futures contracts to hedge its existing portfolio securities against fluctuations in value caused by changes in prevailing market interest rates. Upon entering into a futures contract, the Portfolios deposit cash or pledge US government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Portfolios as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Portfolios because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. The Managed Volatility Portfolios posted cash collateral as margin for open futures contracts, which is disclosed on the “Statements of assets and liabilities” under “Cash collateral due from broker on futures contracts.” Open futures contracts, if any, are disclosed on the “Schedules of investments.”
During the six months ended June 30, 2023, the Managed Volatility Portfolios invested in futures contracts to hedge the Portfolios’ existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions.
During the six months ended June 30, 2023, the Managed Volatility Portfolios experienced net realized and unrealized gains or losses attributable to futures contracts, which are disclosed on the “Statements of operations.”
The table below summarizes the average quarterly balance of derivative holdings by each Portfolio during the six months ended June 30, 2023:
Short Derivative Volume | ||||||||||||
Delaware Ivy VIP Pathfinder Moderate – Managed Volatility | Delaware Ivy VIP Pathfinder Moderately Aggressive – Managed Volatility | Delaware Ivy VIP Pathfinder Moderately Conservative – Managed Volatility | ||||||||||
Futures contracts (average notional value) | $ | 20,954,062 | $ | 3,562,959 | $ | 1,572,624 |
7. Securities Lending
Each Portfolio, along with other funds in the Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
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Cash collateral received by each Portfolio of the Trust is generally invested in a series of individual separate accounts, each corresponding to a Portfolio. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; certain money market funds; and asset-backed securities. Each Portfolio can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to each Portfolio or, at the discretion of the lending agent, replace the loaned securities. Each Portfolio continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. Each Portfolio has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, each Portfolio receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among each Portfolio, the security lending agent, and the borrower. Each Portfolio records security lending income net of allocations to the security lending agent and the borrower.
Each Portfolio may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in each collateral investment account defaulted or became impaired. Under those circumstances, the value of each Portfolio’s cash collateral account may be less than the amount each Portfolio would be required to return to the borrowers of the securities and each Portfolio would be required to make up for this shortfall.
At June 30, 2023, the Portfolios had no securities out on loan.
8. Credit and Market Risk
The global outbreak of COVID-19 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 outbreak, its full economic impact and ongoing effects at the macro-level and on individual businesses are unpredictable and may result in significant and prolonged effects on a Portfolio’s performance.
Because each Portfolio invests substantially all of its assets in Ivy Variable Insurance Portfolios mutual 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.
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 and are not obligated to dispose of securities whose issuers subsequently default.
In the normal course of business, 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 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, the Underlying Funds may be exposed to counterparty credit risk, or the risk that an entity with which the Underlying Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Underlying Funds manage counterparty credit risk by entering into transactions only with counterparties that
51 |
Notes to financial statements
Ivy Variable Insurance Portfolios
8. Credit and Market Risk (continued)
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 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.
IBOR is the risk that changes related to the use of the London interbank offered rate (LIBOR) and other interbank offered rate (collectively, IBORs) could have adverse impacts on financial instruments that reference LIBOR (or the corresponding IBOR). The abandonment of LIBOR could affect the value and liquidity of instruments that reference LIBOR. The use of alternative reference rate products may impact investment strategy performance. These risks may also apply with respect to changes in connection with other IBORs, such as the euro overnight index average (EONIA), which are also the subject of recent reform.
9. Contractual Obligations
Each Portfolio enters into contracts in the normal course of business that contain a variety of indemnifications. Each Portfolio’s maximum exposure under these arrangements is unknown. However, each Portfolio has not had prior claims or losses pursuant to these contracts. Management has reviewed each Portfolio’s existing contracts and expects the risk of loss to be remote.
10. New Regulatory Pronouncement
In October 2022, the Securities and Exchange Commission (SEC) adopted a rule and form amendments relating to tailored shareholder reports for mutual funds and ETFs; and fee information in investment company advertisements. The rule and form amendments will require mutual funds and ETFs to transmit streamlined shareholder reports that highlight key information to investors. The rule amendments will require that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective in January 2023 and there is an 18-month transition period after the effective date of the amendment with a compliance date of July 2024.
11. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in the Portfolios’ financial statements.
52 |
Other Portfolio information (Unaudited)
Ivy Variable Insurance Portfolios
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end portfolios (other than money market portfolios) to adopt and implement a program reasonably designed to assess and manage the portfolio’s “liquidity risk,” defined as the risk that the portfolio could not meet requests to redeem shares issued by the portfolio without significant dilution of remaining investors’ interests in the portfolio.
The Portfolios have adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated a member of the US Operational Risk Group of Macquarie Asset Management as the Program Administrator for each Portfolio in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of each Portfolio’s liquidity risk; (2) classification of each of the Portfolio’s holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for portfolios that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Portfolio’s net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting each Portfolio’s acquisition of Illiquid investments if, immediately after the acquisition, each Portfolio would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a non-public basis) and to the Board if each Portfolio’s holdings of Illiquid assets exceed 15% of the Portfolio’s net assets. Portfolios with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing each Portfolio’s liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) each Portfolio’s investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Portfolios during both normal and reasonably foreseeable stressed conditions; and (3) each Portfolio’s holdings of cash and cash equivalents and any borrowing arrangements. Classification of each Portfolio’s holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. Each Portfolio primarily holds assets that are classified as Highly Liquid, and therefore is not required to establish an HLIM.
At a meeting of the Board held on May 23-25, 2023, the Program Administrator provided a written report to the Board addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from April 1, 2022 through March 31, 2023. The report concluded that the Program is appropriately designed and effectively implemented and that it meets the requirements of Rule 22e-4 and each Portfolio’s liquidity needs. Each Portfolio’s HLIM is set at an appropriate level and the Portfolios complied with their HLIM at all times during the reporting period.
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Each Portfolio files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. Each Portfolio’s Form N-PORT, as well as a description of the policies and procedures that each Portfolio uses to determine how to vote proxies (if any) relating to portfolio securities, is available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that each Portfolio uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in each Portfolio’s most recent Form N-PORT are available without charge on the Portfolios’ website at delawarefunds.com/vip/literature.
Information (if any) regarding how each Portfolio voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Portfolios’ website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
(3032820)
SEMIANN-VIP-PF-0823
Item 2. | Code of Ethics |
Not applicable.
Item 3. | Audit Committee Financial Expert |
Not applicable.
Item 4. | Principal Accountant Fees and Services |
Not applicable.
Item 5. | Audit Committee of Listed Registrants |
Not applicable.
Item 6. | Investments |
(a) Included as part of report to shareholders filed under Item 1 of this Form N-CSR.
(b) Divestment of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Not applicable.
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders |
Not applicable.
Item 11. | Controls and Procedures |
The registrant’s principal executive officer and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the Investment Company Act of 1940 (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the
Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)) and provide reasonable assurance that the information required to be disclosed by the registrant in its reports or statements filed under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission.
There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d)) that occurred during the period covered by the report to stockholders included herein that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. | Exhibits |
(a) | (1) Code of Ethics |
Not applicable.
(3) Written solicitations to purchase securities pursuant to Rule 23c-1 under the Securities Exchange Act of 1934.
Not applicable.
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
/s/ SHAWN K. LYTLE | ||
By: | Shawn K. Lytle | |
Title: | President and Chief Executive Officer | |
Date: | September 5, 2023 |
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.
/s/ SHAWN K. LYTLE | ||
By: | Shawn K. Lytle | |
Title: | President and Chief Executive Officer | |
Date: | September 5, 2023 | |
/s/ RICHARD SALUS | ||
By: | Richard Salus | |
Title: | Chief Financial Officer | |
Date: | September 5, 2023 |