CONSOLIDATED SCHEDULE OF INVESTMENTS | ||||
Asset Strategy (in thousands) | MARCH 31, 2021 (UNAUDITED) | |||
COMMON STOCKS | Shares | Value | ||||||
| ||||||||
Communication Services |
| |||||||
Integrated Telecommunication Services – 1.1% |
| |||||||
Deutsche Telekom AG, Registered Shares(A) | 393 | $7,910 | ||||||
|
| |||||||
Interactive Media & Services – 1.7% |
| |||||||
Alphabet, Inc., Class A(B) | 6 | 12,478 | ||||||
|
| |||||||
Total Communication Services - 2.8% |
| 20,388 | ||||||
| ||||||||
Consumer Discretionary |
| |||||||
Apparel, Accessories & Luxury Goods – 1.0% |
| |||||||
adidas AG(A) | 24 | 7,424 | ||||||
|
| |||||||
Auto Parts & Equipment – 0.9% |
| |||||||
Aptiv plc(B) | 48 | 6,575 | ||||||
|
| |||||||
Automobile Manufacturers – 0.4% |
| |||||||
Subaru Corp.(A) | 155 | 3,088 | ||||||
|
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General Merchandise Stores – 0.9% |
| |||||||
Dollar Tree, Inc.(B) | 61 | 6,933 | ||||||
|
| |||||||
Internet & Direct Marketing Retail – 1.4% |
| |||||||
Amazon.com, Inc.(B) | 3 | 10,625 | ||||||
|
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Leisure Facilities – 0.0% |
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COTA Racing & Entertainment LLC, Class B(B) | — | * | — | |||||
|
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Leisure Products – 0.0% |
| |||||||
Media Group Holdings LLC, | 32 | — | * | |||||
Media Group Holdings LLC, | 4 | — | ||||||
|
| |||||||
— | * | |||||||
|
| |||||||
Total Consumer Discretionary - 4.6% |
| 34,645 | ||||||
| ||||||||
Consumer Staples |
| |||||||
Distillers & Vintners – 0.7% |
| |||||||
Pernod Ricard S.A.(A) | 28 | 5,326 | ||||||
|
| |||||||
Household Products – 0.9% |
| |||||||
Procter & Gamble Co. (The) | 49 | 6,692 | ||||||
|
| |||||||
Hypermarkets & Super Centers – 0.8% |
| |||||||
Wal-Mart Stores, Inc. | 46 | 6,252 | ||||||
|
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Packaged Foods & Meats – 1.4% |
| |||||||
China Mengniu Dairy Co. Ltd.(A) | 899 | 5,148 | ||||||
Nestle S.A., Registered Shares(A) | 49 | 5,473 | ||||||
|
| |||||||
10,621 | ||||||||
|
| |||||||
Personal Products – 0.8% |
| |||||||
Unilever plc(A) | 109 | 6,081 | ||||||
|
| |||||||
Total Consumer Staples - 4.6% |
| 34,972 | ||||||
| ||||||||
Energy |
| |||||||
Oil & Gas Exploration & Production – 0.9% |
| |||||||
Canadian Natural Resources Ltd. | 215 | 6,638 | ||||||
|
| |||||||
Oil & Gas Refining & Marketing – 1.7% |
| |||||||
Phillips 66 | 41 | 3,379 | ||||||
Reliance Industries Ltd.(A) | 353 | 9,663 |
Reliance Industries Ltd.(A) | 24 | 357 | ||||||
|
| |||||||
13,399 | ||||||||
|
| |||||||
Total Energy - 2.6% |
| 20,037 | ||||||
| ||||||||
Financials |
| |||||||
Diversified Banks – 1.5% |
| |||||||
BNP Paribas S.A.(A) | 128 | 7,761 | ||||||
UniCredit S.p.A.(A) | 362 | 3,825 | ||||||
|
| |||||||
11,586 | ||||||||
|
| |||||||
Financial Exchanges & Data – 0.6% |
| |||||||
Intercontinental Exchange, Inc. | 40 | 4,437 | ||||||
|
| |||||||
Investment Banking & Brokerage – 2.0% |
| |||||||
Goldman Sachs Group, Inc. (The) | 23 | 7,453 | ||||||
Morgan Stanley | 91 | 7,037 | ||||||
|
| |||||||
14,490 | ||||||||
|
| |||||||
Life & Health Insurance – 2.1% |
| |||||||
AIA Group Ltd.(A) | 606 | 7,347 | ||||||
Ping An Insurance (Group) Co. of China Ltd., H Shares(A) | 710 | 8,451 | ||||||
|
| |||||||
15,798 | ||||||||
|
| |||||||
Mortgage REITs – 1.1% |
| |||||||
AGNC Investment Corp. | 501 | 8,393 | ||||||
|
| |||||||
Other Diversified Financial Services – 1.3% |
| |||||||
ORIX Corp.(A) | 564 | 9,510 | ||||||
|
| |||||||
Thrifts & Mortgage Finance – 1.0% |
| |||||||
Housing Development Finance Corp. Ltd.(A) | 207 | 7,071 | ||||||
|
| |||||||
Total Financials - 9.6% |
| 71,285 | ||||||
| ||||||||
Health Care |
| |||||||
Biotechnology – 1.1% |
| |||||||
Genmab A.S.(A)(B) | 16 | 5,261 | ||||||
Sarepta Therapeutics, Inc.(B) | 34 | 2,551 | ||||||
|
| |||||||
7,812 | ||||||||
|
| |||||||
Health Care Equipment – 2.6% |
| |||||||
Koninklijke Philips Electronics N.V., Ordinary Shares(A) | 124 | 7,105 | ||||||
Masimo Corp.(B) | 20 | 4,616 | ||||||
Zimmer Holdings, Inc. | 48 | 7,664 | ||||||
|
| |||||||
19,385 | ||||||||
|
| |||||||
Managed Health Care – 0.9% |
| |||||||
Anthem, Inc. | 19 | 6,669 | ||||||
|
| |||||||
Pharmaceuticals – 2.6% |
| |||||||
Eli Lilly and Co. | 29 | 5,354 | ||||||
GlaxoSmithKline plc(A) | 296 | 5,248 | ||||||
Merck KGaA(A) | 52 | 8,963 | ||||||
|
| |||||||
19,565 | ||||||||
|
| |||||||
Total Health Care - 7.2% |
| 53,431 | ||||||
| ||||||||
Industrials |
| |||||||
Aerospace & Defense – 1.8% |
| |||||||
Airbus SE(A) | 69 | 7,838 | ||||||
Northrop Grumman Corp. | 17 | 5,491 | ||||||
|
| |||||||
13,329 | ||||||||
|
| |||||||
Construction & Engineering – 1.7% |
| |||||||
Larsen & Toubro Ltd.(A) | 304 | 5,894 | ||||||
Vinci(A) | 62 | 6,393 | ||||||
|
| |||||||
12,287 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks – 0.5% |
| |||||||
Caterpillar, Inc. | 15 | 3,529 | ||||||
|
|
Electrical Components & Equipment – 1.1% |
| |||||||
Schneider Electric S.A.(A) | 51 | 7,832 | ||||||
|
| |||||||
Environmental & Facilities Services – 0.7% |
| |||||||
Waste Management, Inc. | 40 | 5,145 | ||||||
|
| |||||||
Industrial Machinery – 1.5% |
| |||||||
Ingersoll-Rand, Inc.(B) | 226 | 11,109 | ||||||
|
| |||||||
Railroads – 2.5% |
| |||||||
Canadian Pacific Railway Ltd. | 24 | 8,932 | ||||||
Union Pacific Corp. | 45 | 10,012 | ||||||
|
| |||||||
18,944 | ||||||||
|
| |||||||
Trading Companies & Distributors – 1.0% |
| |||||||
Ferguson plc(A) | 60 | 7,210 | ||||||
|
| |||||||
Total Industrials - 10.8% |
| 79,385 | ||||||
| ||||||||
Information Technology |
| |||||||
Application Software – 2.9% |
| |||||||
Adobe, Inc.(B) | 20 | 9,734 | ||||||
Intuit, Inc. | 31 | 11,833 | ||||||
|
| |||||||
21,567 | ||||||||
|
| |||||||
Data Processing & Outsourced Services – 3.0% |
| |||||||
Fiserv, Inc.(B) | 82 | 9,796 | ||||||
Visa, Inc., Class A | 62 | 13,065 | ||||||
|
| |||||||
22,861 | ||||||||
|
| |||||||
Internet Services & Infrastructure – 0.5% |
| |||||||
VeriSign, Inc.(B) | 19 | 3,833 | ||||||
|
| |||||||
IT Consulting & Other Services – 0.8% |
| |||||||
Garter, Inc., Class A(B) | 33 | 5,970 | ||||||
|
| |||||||
Semiconductor Equipment – 1.0% |
| |||||||
ASML Holding N.V., Ordinary Shares(A) | 13 | 7,617 | ||||||
|
| |||||||
Semiconductors – 1.1% |
| |||||||
Marvell Technology Group Ltd. | 39 | 1,890 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd.(A) | 330 | 6,798 | ||||||
|
| |||||||
8,688 | ||||||||
|
| |||||||
Systems Software – 2.5% |
| |||||||
Microsoft Corp. | 79 | 18,722 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 3.4% |
| |||||||
Apple, Inc. | 79 | 9,702 | ||||||
Samsung Electronics Co. | 140 | 10,044 | ||||||
Seagate Technology | 82 | 6,302 | ||||||
|
| |||||||
26,048 | ||||||||
|
| |||||||
Total Information Technology - 15.2% |
| 115,306 | ||||||
| ||||||||
Materials |
| |||||||
Diversified Metals & Mining – 0.3% |
| |||||||
Teck Resources Ltd., Class B | 112 | 2,142 | ||||||
|
| |||||||
Gold – 0.5% | ||||||||
Barrick Gold Corp. | 162 | 3,217 | ||||||
|
| |||||||
Total Materials - 0.8% |
| 5,359 | ||||||
|
Utilities |
| |||||||||||
Multi-Utilities – 1.0% |
| |||||||||||
E.ON AG(A) |
| 650 | 7,563 | |||||||||
|
| |||||||||||
Total Utilities - 1.0% |
| 7,563 | ||||||||||
| ||||||||||||
TOTAL COMMON STOCKS – 59.2% |
| $ | 442,371 | |||||||||
| ||||||||||||
(Cost: $362,464) |
| |||||||||||
PREFERRED STOCKS |
| |||||||||||
| ||||||||||||
Consumer Discretionary |
| |||||||||||
Automobile Manufacturers – 1.0% |
| |||||||||||
Volkswagen AG, 2.260%(A) |
| 27 | 7,548 | |||||||||
|
| |||||||||||
Total Consumer Discretionary - 1.0% |
| 7,548 | ||||||||||
| ||||||||||||
TOTAL PREFERRED STOCKS – 1.0% |
| $ | 7,548 | |||||||||
| ||||||||||||
(Cost: $5,319) |
| |||||||||||
PURCHASED OPTIONS | Number of Contracts (Unrounded) | Notional Amount | ||||||||||
| ||||||||||||
Kansas City Southern, Call $230.00, Expires 6-18-21 | 220 | 22 | 780 | |||||||||
Pinterest, Inc., Class A, Call $75.00, Expires 5-21-21 | 954 | 95 | 675 | |||||||||
Teck Resources Ltd., Class B, Call $22.00, Expires 8-20-21, OTC (Ctrpty: Citibank N.A.) | 1,054 | 105 | 141 | |||||||||
Volkswagen AG, Call EUR250.00, Expires 6-18-21, OTC (Ctrpty: Morgan Stanley & Co., Inc.)(F) | 260 | 26 | 459 | |||||||||
|
| |||||||||||
TOTAL PURCHASED OPTIONS – 0.3% |
| $ | 2,055 | |||||||||
| ||||||||||||
(Cost: $1,376) |
| |||||||||||
ASSET-BACKED SECURITIES | Principal | |||||||||||
| ||||||||||||
British Airways Pass-Through Trust, Series 2020-1A, 4.250%, 11-15-32 (G) |
| $397 | 415 | |||||||||
United Airlines Pass-Through Certificates, Series 2020-1B, 4.875%, 1-15-26 |
| 2,000 | 2,077 | |||||||||
|
| |||||||||||
TOTAL ASSET-BACKED SECURITIES – 0.4% |
| $ | 2,492 | |||||||||
| ||||||||||||
(Cost: $2,397) |
|
CORPORATE DEBT SECURITIES |
| |||||||||||
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Communication Services |
| |||||||||||
Cable & Satellite – 0.2% |
| |||||||||||
Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal), |
| 2,000 | 1,856 | |||||||||
|
| |||||||||||
Integrated Telecommunication Services – 1.0% |
| |||||||||||
AT&T, Inc.: |
| |||||||||||
2.250%, 2-1-32 |
| 1,500 | 1,426 | |||||||||
3.650%, 6-1-51 |
| 2,653 | 2,566 | |||||||||
Verizon Communications, Inc.: |
| |||||||||||
2.100%, 3-22-28 |
| 650 | 653 | |||||||||
1.500%, 9-18-30 |
| 3,000 | 2,754 | |||||||||
|
| |||||||||||
7,399 | ||||||||||||
|
| |||||||||||
Total Communication Services - 1.2% |
| 9,255 | ||||||||||
| ||||||||||||
Consumer Discretionary |
| |||||||||||
Apparel Retail – 0.2% |
| |||||||||||
Ross Stores, Inc., |
| 1,500 | 1,407 | |||||||||
|
| |||||||||||
Apparel, Accessories & Luxury Goods – 0.4% |
| |||||||||||
PVH Corp., |
| 2,000 | 2,198 | |||||||||
VF Corp., |
| 500 | 527 | |||||||||
|
| |||||||||||
2,725 | ||||||||||||
|
| |||||||||||
Automobile Manufacturers – 0.4% |
| |||||||||||
Nissan Motor Co. Ltd.: |
| |||||||||||
4.345%, 9-17-27(G) |
| 1,537 | 1,672 | |||||||||
4.810%, 9-17-30(G) |
| 1,098 | 1,204 | |||||||||
|
| |||||||||||
2,876 | ||||||||||||
|
| |||||||||||
Automotive Retail – 0.2% |
| |||||||||||
7-Eleven, Inc., |
| 2,000 | 1,916 | |||||||||
|
| |||||||||||
Casinos & Gaming – 0.2% |
| |||||||||||
Genting New York LLC and Genny Capital, Inc., |
| 1,250 | 1,248 | |||||||||
|
| |||||||||||
General Merchandise Stores – 0.3% |
| |||||||||||
Dollar General Corp., |
| 2,000 | 2,156 | |||||||||
|
| |||||||||||
Internet & Direct Marketing Retail – 1.2% |
| |||||||||||
Alibaba Group Holding Ltd., 2.125%, 2-9-31 |
| 2,000 | 1,908 | |||||||||
Amazon.com, Inc.: |
| |||||||||||
1.500%, 6-3-30 |
| 654 | 623 | |||||||||
2.500%, 6-3-50 |
| 218 | 195 | |||||||||
Expedia Group, Inc., |
| 1,000 | 1,059 | |||||||||
Meituan: |
| |||||||||||
2.125%, 10-28-25(G) |
| 2,439 | 2,428 | |||||||||
3.050%, 10-28-30(G) |
| 732 | 712 | |||||||||
Prosus N.V., |
| 2,500 | 2,196 | |||||||||
|
| |||||||||||
9,121 | ||||||||||||
|
| |||||||||||
Leisure Facilities – 0.1% |
| |||||||||||
Circuit of the Americas LLC, Series D, |
| 3,642 | 637 | |||||||||
|
| |||||||||||
Total Consumer Discretionary - 3.0% |
| 22,086 | ||||||||||
| ||||||||||||
Consumer Staples |
| |||||||||||
Brewers – 0.2% |
| |||||||||||
Anheuser-Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB): |
|
3.500%, 6-1-30 |
| 860 | 932 | |||||||||
4.500%, 6-1-50 |
| 432 | 490 | |||||||||
|
| |||||||||||
1,422 | ||||||||||||
|
| |||||||||||
Drug Retail – 0.3% |
| |||||||||||
CVS Health Corp., |
| 2,000 | 1,921 | |||||||||
|
| |||||||||||
Food Retail – 0.4% |
| |||||||||||
Alimentation Couche-Tard, Inc., 2.950%, 1-25-30(G) |
| 3,000 | 3,063 | |||||||||
|
| |||||||||||
Packaged Foods & Meats – 0.3% |
| |||||||||||
BRF GmbH, |
| 2,000 | 1,934 | |||||||||
|
| |||||||||||
Tobacco – 0.4% |
| |||||||||||
Altria Group, Inc. (GTD by Philip Morris USA, Inc.), |
| 3,000 | 2,733 | |||||||||
|
| |||||||||||
Total Consumer Staples - 1.6% |
| 11,073 | ||||||||||
| ||||||||||||
Energy |
| |||||||||||
Integrated Oil & Gas – 0.1% |
| |||||||||||
Petronas Capital Ltd., |
| 432 | 462 | |||||||||
|
| |||||||||||
Oil & Gas Exploration & Production – 0.3% |
| |||||||||||
Saudi Arabian Oil Co.: |
| |||||||||||
1.625%, 11-24-25(G) |
| 940 | 946 | |||||||||
2.250%, 11-24-30(G) |
| 1,210 | 1,159 | |||||||||
|
| |||||||||||
2,105 | ||||||||||||
|
| |||||||||||
Oil & Gas Refining & Marketing – 0.6% |
| |||||||||||
Petroleos del Peru S.A., 5.625%, 6-19-47 |
| 2,000 | 2,101 | |||||||||
Valero Energy Corp., |
| 2,102 | 2,060 | |||||||||
|
| |||||||||||
4,161 | ||||||||||||
|
| |||||||||||
Oil & Gas Storage & Transportation – 1.0% |
| |||||||||||
Energy Transfer Operating L.P., 3.750%, 5-15-30 |
| 2,000 | 2,062 | |||||||||
Galaxy Pipeline Assets BidCo Ltd.: |
| |||||||||||
2.160%, 3-31-34(G) |
| 2,000 | 1,938 | |||||||||
2.625%, 3-31-36(G) |
| 1,500 | 1,434 | |||||||||
Williams Partners L.P., |
| 1,500 | 1,720 | |||||||||
|
| |||||||||||
7,154 | ||||||||||||
|
| |||||||||||
Total Energy - 2.0% |
| 13,882 | ||||||||||
| ||||||||||||
Financials |
| |||||||||||
Asset Management & Custody Banks – 0.6% |
| |||||||||||
Ares Capital Corp., |
| 2,000 | 1,948 | |||||||||
Citadel Finance LLC, |
| 2,500 | 2,473 | |||||||||
|
| |||||||||||
4,421 | ||||||||||||
|
| |||||||||||
Diversified Banks – 7.0% |
| |||||||||||
Australia and New Zealand Banking Group Ltd., |
| 1,881 | 1,768 | |||||||||
Banco de Credito del Peru: |
| |||||||||||
3.125%, 7-1-30(G) |
| 1,938 | 1,942 | |||||||||
3.250%, 9-30-31(G) |
| 2,000 | 2,000 | |||||||||
Banco Santander S.A.: |
| |||||||||||
5.375%, 4-17-25(G) |
| 702 | 788 | |||||||||
1.849%, 3-25-26 |
| 2,000 | 1,996 | |||||||||
Barclays plc, |
| 659 | 660 | |||||||||
BNP Paribas S.A., |
| 3,610 | 4,045 | |||||||||
Credit Agricole S.A.: |
| |||||||||||
1.907%, 6-16-26(G) |
| 2,657 | 2,694 | |||||||||
8.125%, 3-23-69(G) |
| 2,000 | 2,410 | |||||||||
HSBC Holdings plc: |
| |||||||||||
2.848%, 6-4-31 |
| 652 | 652 |
6.875%, 12-29-49 | 1,089 | 1,099 | ||||||
6.375%, 3-17-69 | 2,000 | 2,175 | ||||||
4.600%, 6-17-69 | 1,101 | 1,089 | ||||||
ING Groep N.V., | 2,681 | 2,790 | ||||||
Intesa Sanpaolo S.p.A.: | ||||||||
3.250%, 9-23-24 | 700 | 745 | ||||||
3.875%, 7-14-27 | 2,351 | 2,541 | ||||||
Societe Generale S.A.: | ||||||||
1.488%, 12-14-26(G) | 2,000 | 1,965 | ||||||
3.653%, 7-8-35(G) | 1,532 | 1,530 | ||||||
Standard Chartered plc, 4.300%, 2-19-27(G) | 3,000 | 3,246 | ||||||
Svenska Handelsbanken AB, | 3,000 | 3,142 | ||||||
Swedbank AB, | 2,000 | 2,139 | ||||||
UniCredit S.p.A.: | ||||||||
2.569%, 9-22-26(G) | 2,200 | 2,209 | ||||||
5.861%, 6-19-32(G) | 3,047 | 3,373 | ||||||
5.459%, 6-30-35(G) | 2,672 | 2,832 | ||||||
Wells Fargo & Co., | 1,500 | 1,515 | ||||||
|
| |||||||
51,345 | ||||||||
|
| |||||||
Diversified Capital Markets – 0.7% |
| |||||||
Credit Suisse Group AG, 2.193%, 6-5-26(G) | 1,654 | 1,681 | ||||||
Deutsche Bank AG, | 2,000 | 2,005 | ||||||
UBS Group AG, | 1,500 | 1,419 | ||||||
|
| |||||||
5,105 | ||||||||
|
| |||||||
Financial Exchanges & Data – 0.3% |
| |||||||
Intercontinental Exchange, Inc., | 2,408 | 2,204 | ||||||
|
| |||||||
Investment Banking & Brokerage – 0.6% |
| |||||||
Charles Schwab Corp. (The), | 2,000 | 2,030 | ||||||
Macquarie Bank Ltd., | 436 | 446 | ||||||
Morgan Stanley, | 2,500 | 2,362 | ||||||
|
| |||||||
4,838 | ||||||||
|
| |||||||
Life & Health Insurance – 0.2% |
| |||||||
AIA Group Ltd.: | ||||||||
3.375%, 4-7-30(G) | 540 | 575 | ||||||
3.200%, 9-16-40(G) | 1,098 | 1,080 | ||||||
|
| |||||||
1,655 | ||||||||
|
| |||||||
Multi-Line Insurance – 0.2% |
| |||||||
Athene Holding Ltd., | 1,287 | 1,569 | ||||||
|
| |||||||
Other Diversified Financial Services – 0.3% |
| |||||||
Citigroup, Inc., | 2,500 | 2,445 | ||||||
|
| |||||||
Specialized Finance – 0.6% |
| |||||||
AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust, | 2,657 | 2,858 | ||||||
LSEGA Financing plc, | 2,000 | 1,980 | ||||||
|
| |||||||
4,838 | ||||||||
|
| |||||||
Total Financials - 10.5% |
| 78,420 | ||||||
| ||||||||
Health Care |
| |||||||
Pharmaceuticals – 0.3% |
| |||||||
AbbVie, Inc., | 2,000 | 2,128 | ||||||
|
| |||||||
Total Health Care - 0.3% |
| 2,128 | ||||||
| ||||||||
Industrials |
| |||||||
Aerospace & Defense – 0.4% |
| |||||||
Boeing Co. (The): |
4.875%, 5-1-25 | 1,083 | 1,206 | ||||||
5.150%, 5-1-30 | 1,083 | 1,247 | ||||||
5.805%, 5-1-50 | 644 | 811 | ||||||
|
| |||||||
3,264 | ||||||||
|
| |||||||
Airlines – 0.3% |
| |||||||
Southwest Airlines Co., 5.250%, 5-4-25 | 2,042 | 2,323 | ||||||
|
| |||||||
Airport Services – 0.2% |
| |||||||
Airport Authority Hong Kong, 1.625%, 2-4-31(G)(I) | 2,000 | 1,865 | ||||||
|
| |||||||
Highways & Railtracks – 0.1% |
| |||||||
Transurban Finance Co. Pty Ltd., | 611 | 593 | ||||||
|
| |||||||
Total Industrials - 1.0% |
| 8,045 | ||||||
| ||||||||
Information Technology |
| |||||||
Data Processing & Outsourced Services – 0.3% |
| |||||||
PayPal Holdings, Inc., 2.300%, 6-1-30 | 2,000 | 1,981 | ||||||
|
| |||||||
Internet Services & Infrastructure – 0.3% |
| |||||||
Baidu, Inc., | 1,970 | 1,961 | ||||||
|
| |||||||
IT Consulting & Other Services – 0.1% |
| |||||||
Leidos, Inc. (GTD by Leidos Holdings, Inc.), | 326 | 353 | ||||||
|
| |||||||
Semiconductors – 0.5% |
| |||||||
Broadcom, Inc.: | ||||||||
4.700%, 4-15-25 | 541 | 610 | ||||||
1.950%, 2-15-28(G)(I) | 1,500 | 1,466 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd., 1.375%, 9-28-30(G) | 1,318 | 1,222 | ||||||
|
| |||||||
3,298 | ||||||||
|
| |||||||
Systems Software – 0.1% |
| |||||||
VMware, Inc., | 500 | 546 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.4% |
| |||||||
Apple, Inc.: | ||||||||
2.400%, 8-20-50 | 878 | 756 | ||||||
2.650%, 2-8-51 | 2,000 | 1,828 | ||||||
|
| |||||||
2,584 | ||||||||
|
| |||||||
Total Information Technology - 1.7% |
| 10,723 | ||||||
| ||||||||
Materials |
| |||||||
Diversified Metals & Mining – 0.4% |
| |||||||
Glencore Funding LLC: | ||||||||
1.625%, 9-1-25(G) | 659 | 659 | ||||||
2.500%, 9-1-30(G) | 1,537 | 1,478 | ||||||
Teck Resources Ltd., | 1,000 | 1,045 | ||||||
|
| |||||||
3,182 | ||||||||
|
| |||||||
Steel – 0.4% |
| |||||||
CSN Resources S.A., 7.625%, 2-13-23(G) | 2,960 | 3,071 | ||||||
|
| |||||||
Total Materials - 0.8% |
| 6,253 | ||||||
| ||||||||
Real Estate |
| |||||||
Industrial REITs – 0.5% |
| |||||||
Aircastle Ltd., | 1,466 | 1,601 | ||||||
Avolon Holdings Funding Ltd., 2.750%, 2-21-28(G) | 2,500 | 2,349 | ||||||
|
| |||||||
3,950 | ||||||||
|
| |||||||
Total Real Estate - 0.5% |
| 3,950 | ||||||
|
Utilities |
| |||||||
Electric Utilities – 0.7% |
| |||||||
Chile Electricity PEC S.p.A., 0.000%, 1-25-28(G)(H) | 1,000 | 815 | ||||||
FEL Energy VI S.a.r.l., 5.750%, 12-1-40(G) | 2,000 | 2,050 | ||||||
Virginia Electric and Power Co., Series A, | 2,500 | 2,136 | ||||||
|
| |||||||
5,001 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders – 0.2% |
| |||||||
NRG Energy, Inc.: | ||||||||
2.000%, 12-2-25(G) | 1,100 | 1,100 | ||||||
2.450%, 12-2-27(G) | 110 | 109 | ||||||
|
| |||||||
1,209 | ||||||||
|
| |||||||
Total Utilities - 0.9% |
| 6,210 | ||||||
| ||||||||
TOTAL CORPORATE DEBT SECURITIES – 23.5% |
| $ | 172,025 | |||||
(Cost: $176,968) |
| |||||||
MORTGAGE-BACKED SECURITIES |
| |||||||
| ||||||||
Non-Agency REMIC/CMO - 0.2% |
| |||||||
Homeward Opportunities Fund I Trust, Series 2019-1, Class B1 (Mortgage spread to 10-year U.S. Treasury index), | 1,061 | 1,069 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 1998-C1, Class F, | 214 | 218 | ||||||
Verus Securitization Trust, Series 2019-2, Class B1 (Mortgage spread to 5-year U.S. Treasury index), | 531 | 535 | ||||||
|
| |||||||
1,822 | ||||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES – 0.2% |
| $1,822 | ||||||
| ||||||||
(Cost: $1,830) |
| |||||||
OTHER GOVERNMENT SECURITIES(K) |
| |||||||
| ||||||||
Chile - 0.3% |
| |||||||
Republic of Chile, | 2,000 | 2,015 | ||||||
|
| |||||||
Colombia - 0.0% |
| |||||||
Republic of Colombia, 3.125%, 4-15-31 | 327 | 320 | ||||||
|
| |||||||
Mexico - 0.2% |
| |||||||
United Mexican States, | 1,500 | 1,626 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 0.5% |
| $3,961 | ||||||
| ||||||||
(Cost: $4,192) |
| |||||||
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS |
| |||||||
| ||||||||
Mortgage-Backed Obligations - 6.4% |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO: | ||||||||
0.638%, 11-25-29(L) | 2,023 | 100 | ||||||
1.328%, 6-25-30(L) | 1,796 | 189 | ||||||
4.500%, 1-15-43(L) | 3,997 | 660 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 615 bps), | 2,099 | 397 |
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index), | 2,751 | 2,946 | ||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 7-year U.S. Treasury index), | 600 | 647 | ||||||
Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates, | 2,192 | 2,254 | ||||||
Federal National Mortgage Association Agency REMIC/CMO: | ||||||||
4.500%, 10-25-40(L) | 1,966 | 364 | ||||||
4.500%, 5-25-47(L) | 1,673 | 279 | ||||||
5.000%, 3-25-49(L) | 1,407 | 237 | ||||||
Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 562 bps), 5.511%, 6-25-45(J)(L) | 3,362 | 649 | ||||||
Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 625 bps): | ||||||||
6.011%, 4-25-45(J)(L) | 1,686 | 384 | ||||||
5.991%, 4-25-46(J)(L) | 3,923 | 694 | ||||||
5.991%, 8-25-46(J)(L) | 4,024 | 719 | ||||||
6.141%, 6-25-48(J)(L) | 8,835 | 1,915 | ||||||
Federal National Mortgage Association Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index), | 1,976 | 2,131 | ||||||
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | ||||||||
3.500%, 8-1-48 | 7,733 | 8,190 | ||||||
3.500%, 11-1-49 | 6,974 | 7,474 | ||||||
3.000%, 8-1-50 | 1,101 | 1,169 | ||||||
2.000%, 12-1-50 | 3,579 | 3,576 | ||||||
2.000%, 1-1-51 | 2,850 | 2,861 | ||||||
Government National Mortgage Association Fixed Rate Pass-Through Certificates, | 9,251 | 9,764 | ||||||
|
| |||||||
47,599 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 6.4% |
| $ | 47,599 | |||||
(Cost: $48,220) |
| |||||||
UNITED STATES GOVERNMENT OBLIGATIONS |
| |||||||
Treasury Obligations - 1.7% |
| |||||||
U.S. Treasury Bonds: | ||||||||
0.875%, 11-15-30(I) | 2,100 | 1,942 | ||||||
2.750%, 8-15-47 | 4,710 | 5,034 | ||||||
1.625%, 11-15-50 | 5,000 | 4,167 | ||||||
U.S. Treasury Notes, 1.125%, 2-15-31(I) | 1,900 | 1,795 | ||||||
|
| |||||||
12,938 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 1.7% |
| $ | 12,938 | |||||
(Cost: $13,346) |
|
BULLION – 4.7% | | Troy Ounces | | |||||
Gold | 21 | 35,312 | ||||||
|
| |||||||
(Cost: $25,266) |
| |||||||
SHORT-TERM SECURITIES | Shares | |||||||
Money Market Funds(N) - 2.1% |
| |||||||
Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 0.010%(M) | 705 | 705 | ||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.040% | 14,767 | 14,767 | ||||||
|
| |||||||
15,472 | ||||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 2.1% |
| $15,472 | ||||||
(Cost: $15,472) |
| |||||||
TOTAL INVESTMENT SECURITIES – 100.0% |
| $ | 743,595 | |||||
(Cost: $656,850) |
| |||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0% |
| 142 | ||||||
NET ASSETS – 100.0% |
| $ | 743,737 |
Notes to Consolidated Schedule of Investments
* Not shown due to rounding.
(A) Listed on an exchange outside the United States.
(B) No dividends were paid during the preceding 12 months.
(C) Restricted securities. At March 31, 2021, the Portfolio owned the following restricted securities:
Security | Acquisition Date(s) | Shares | Cost | Value | ||||||||||||
Media Group Holdings LLC, Series H | 8-29-13 to 10-31-13 | 32 | $ | 22,298 | $ | – | * | |||||||||
Media Group Holdings LLC, Series T | 7-2-13 to 1-23-15 | 4 | 8,413 | – | ||||||||||||
|
| |||||||||||||||
$ | 30,711 | $ | – | * | ||||||||||||
|
| |||||||||||||||
The total value of these securities represented 0.0% of net assets at March 31, 2021. |
|
(D) | Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is owned by the Portfolio and consolidated. |
(E) | Securities whose value was determined using significant unobservable inputs. |
(F) | Principal amount and exercise prices are denominated in the indicated foreign currency, where applicable (CNY - Chinese Yuan Renminbi and EUR — Euro). |
(G) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021 the total value of these securities amounted to $87,111 or 11.7% of net assets. |
(H) | Zero coupon bond. |
(I) | All or a portion of securities with an aggregate value of $4,080 are on loan. |
(J) | Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2021. Description of the reference rate and spread, if applicable, are included in the security description. |
(K) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(L) | Interest-only security. Amount shown as principal represents notional amount for computation of interest. |
(M) | Investment made with cash collateral received from securities on loan. |
(N) | Rate shown is the annualized 7-day yield at March 31, 2021. |
The following total return swap agreements were outstanding at March 31, 2021:
Underlying Security | Long/Short | Counterparty | Maturity Date | Notional Amount(F) | Financing Fee(1)(2) | Value | Upfront Payments/ (Receipts) | Unrealized Appreciation | ||||||||||||||||
China Government Bond | Long | Morgan Stanley & Co. International plc | 05/22/2021 | CNY9,135 | 7-Day China Fixing Repo Rates plus 65 bps | $108 | $— | $108 | ||||||||||||||||
|
|
(1) | The Portfolio pays the financing fee multiplied by the notional amount if long on the swap agreement. If the Portfolio is short on the swap agreement, the Portfolio receives the financing fee multiplied by the notional amount. |
(2) | At the termination date, a net cash flow is exchanged where the market-linked total return is equivalent to the return of the underlying security less a financing rate, if any. If the Portfolio is long on the swap agreement, the Portfolio would receive payments on any net positive total return, and would owe payments in the event of a negative total return. If the Portfolio is short on the swap agreement, the Portfolio would owe payments on any net positive total return, and would receive payments in the event of a negative total return. |
The following written options were outstanding at March 31, 2021 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts | Notional Amount | Expiration Month | Exercise Price | Premium Received | Value | ||||||||||||||||||||||||
Kansas City Southern | N/A | Put | 220 | 22 | June 2021 | $185.00 | $142 | $(54 | ) | |||||||||||||||||||||||
Pinterest, Inc., Class A | N/A | Put | 954 | 96 | May 2021 | 55.00 | 358 | (95 | ) | |||||||||||||||||||||||
N/A | Call | 954 | 95 | May 2021 | 100.00 | 174 | (120 | ) | ||||||||||||||||||||||||
Teck Resources Ltd., Class B | Citibank N.A. | Put | 1,054 | 105 | August 2021 | 16.00 | 97 | (98 | ) | |||||||||||||||||||||||
Citibank N.A. | Call | 1,054 | 105 | August 2021 | 30.00 | 30 | (32 | ) | ||||||||||||||||||||||||
Volkswagen AG | Morgan Stanley & Co., Inc. | Put | 260 | 26 | June 2021 | EUR175.00 | 37 | (38 | ) | |||||||||||||||||||||||
Morgan Stanley & Co., Inc. | Call | 260 | 26 | June 2021 | 300.00 | 153 | (201 | ) | ||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
$991 | $(638 | ) | ||||||||||||||||||||||||||||||
|
|
Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.
An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized as follows:
• Level 1 - Observable inputs such as quoted prices, available in active markets, for identical assets or liabilities.
• Level 2 - Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.
• Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2021:
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 442,371 | $ | — | $ | — | * | |||||
Preferred Stocks | 7,548 | — | — | |||||||||
Purchased Options | 1,455 | 600 | — | |||||||||
Asset-Backed Securities | — | 2,492 | — | |||||||||
Corporate Debt Securities | — | 172,025 | — | |||||||||
Mortgage-Backed Securities | — | 1,822 | — | |||||||||
Other Government Securities | — | 3,961 | — | |||||||||
United States Government Agency Obligations | — | 47,599 | — | |||||||||
United States Government Obligations | — | 12,938 | — | |||||||||
Bullion | 35,312 | — | — | |||||||||
Short-Term Securities | 15,472 | — | — | |||||||||
Total | $ | 502,158 | $ | 241,437 | $ | — | * | |||||
Total Return Swaps | $ | — | $ | 108 | $ | — | ||||||
Liabilities | ||||||||||||
Written Options | $ | 215 | $ | 423 | $ | — |
During the period ended March 31, 2021, there were no transfers between any levels.
BASIS FOR CONSOLIDATION OF THE ASSET STRATEGY PORTFOLIO
Ivy VIP ASF II, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated as a wholly owned subsidiary acting as an investment vehicle for the Asset Strategy Portfolio (referred to as “the Portfolio” in this subsection). Ivy VIP ASF III (SBP) (“the Company”), a Delaware limited liability company, was incorporated as a wholly owned company acting as investment vehicle for the Portfolio. The Subsidiary and the Company act as investment vehicles for the Portfolio, in order to effect certain investments for the Portfolio consistent with the Portfolio’s investment objectives and policies as specified in its prospectus and statement of additional information.
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 and 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 September 30, 2020 of each Subsidiary and Company to the Portfolio (amounts in thousands).
Subsidiary/Company | Date of Incorporation | Subscription Agreement | Portfolio Net Assets | Subsidiary/Company Net Assets | Percentage Net Assets | |||||
Ivy VIP ASF II, Ltd. | 1-31-13 | 4-10-13 | $743,737 | $35,490 | 4.77% | |||||
Ivy VIP ASF III (SBP), LLC | 4-9-13 | 4-23-13 | 743,737 | 26 | 0.00 |
The following acronyms are used throughout this schedule:
CMO = Collateralized Mortgage Obligation
GTD = Guaranteed
ICE = Intercontinental Exchange
LIBOR = London Interbank Offered Rate
OTC = Over the Counter
REIT = Real Estate Investment Trust
REMIC = Real Estate Mortgage Investment Conduit
For Federal income tax purposes, cost of investments owned at March 31, 2021 and the related unrealized appreciation (depreciation) were as follows:
Cost | $656,850 | |||
|
| |||
Gross unrealized appreciation | 137,369 | |||
Gross unrealized depreciation | (50,624 | ) | ||
|
| |||
Net unrealized appreciation | $86,745 |