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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 811-6569
IVY FUNDS
(Exact name of registrant as specified in charter)
6300 Lamar Avenue, Overland Park, Kansas 66202
(Address of principal executive offices) (Zip code)
Wendy J. Hills
6300 Lamar Avenue
Overland Park, Kansas 66202
(Name and address of agent for service)
Registrant’s telephone number, including area code: 913-236-2000
Date of fiscal year end: September 30
Date of reporting period: March 31, 2016
Table of Contents
ITEM 1. REPORTS TO STOCKHOLDERS.
1
Table of Contents
Semiannual Report
MARCH 31, 2016
Ticker | ||||||||||||||||||||||||||||
Class A | Class C | Class E | Class I | Class R | Class R6 | Class Y | ||||||||||||||||||||||
IVY FUNDS | ||||||||||||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund | IMAAX | IMACX | IMAIX | IMURX | IMAYX | |||||||||||||||||||||||
Ivy Apollo Strategic Income Fund | IAPOX | ICPOX | IIPOX | IRPOX | IYPOX | |||||||||||||||||||||||
Ivy Emerging Markets Local Currency Debt Fund | IECAX | IECCX | IECEX | IECIX | IECRX | IMMCX | IECYX | |||||||||||||||||||||
Ivy Targeted Return Bond Fund | IRBAX | IRBCX | IRBIX | IRBRX | IRBYX |
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This report is submitted for the general information of the shareholders of Ivy Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by a current Ivy Funds prospectus, or summary prospectus, and current performance information, including current Lipper ranking information.
2 | SEMIANNUAL REPORT | 2016 |
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Ivy Funds | MARCH 31, 2016 (UNAUDITED) |
Henry J. Herrmann, CFA
Dear Shareholder,
Since our last report to you six months ago, the financial markets experienced further volatility, despite moderate economic growth in the U.S. What’s causing the fluctuations?
The simple answer is financial markets dislike uncertainty. In recent months we’ve been faced with significant uncertainty around numerous issues, including:
• | central bank actions; |
• | politics in the U.S., specifically surrounding the presidential election; |
• | credit concerns in the energy sector; |
• | very slow growth in Europe and Japan; |
• | credit quality issues in important emerging economies, including China; |
• | the U.K.’s June vote on exiting the European Union; and |
• | fluctuations in currencies. |
Amid the uncertain backdrop, the U.S. economic expansion has remained relatively good. Our investment team believes the U.S. is the bright spot, supported primarily by the U.S. consumer, who is benefitting from lower energy prices and lower inflation in general. The improved labor market allows for better demand for cars, homes, furnishings and various consumer goods.
When interest rates in the U.S. will rise, and by how much, remains an area of focus for the financial markets. Markets reacted negatively when the Federal Reserve raised rates slightly in December 2015 and seemed to imply more increases were likely. Since then, the Fed seems to have moderated its tightening plans. It’s clear the Fed has become attuned to very sluggish global growth. Future rate increases in the U.S. will be very slow to develop, with job growth and inflation being the most important determinants of central bank policy.
Overseas, the European Central Bank and Bank of Japan are actively engaged in aggressive easing. As of yet, these steps are not leading to strengthening economic activity.
China, in the face of economic softening, has turned toward more aggressive stimulus. We believe moderate economic acceleration is likely in China in 2016, which should be beneficial to broader global growth.
While challenges remain, we do see potential catalysts for growth in several areas and industries, and our team continues to seek investment opportunities around the globe.
Economic Snapshot
3/31/16 | 9/30/15 | |||||||
S&P 500 Index | 2,059.74 | 1,920.03 | ||||||
MSCI EAFE Index | 1,652.04 | 1,644.40 | ||||||
10-Year Treasury Yield | 1.78% | 2.06% | ||||||
U.S. unemployment rate | 5.0% | 5.1% | ||||||
30-year fixed mortgage rate | 3.71% | 3.86% | ||||||
Oil price per barrel | $ | 38.34 | $ | 45.09 |
Sources: Bloomberg, U.S. Department of Labor, MBA, CME
All government statistics shown are subject to periodic revision. The S&P 500 Index is an unmanaged index that tracks the stocks of 500 primarily large-cap U.S. companies. MSCI EAFE Index is an unmanaged index comprised of securities that represent the securities markets in Europe, Australasia and the Far East. It is not possible to invest directly in any of these indexes. Mortgage rates are from BankRate and reflect the overnight national average rate on a conventional 30-year fixed loan. Oil prices reflect the market price of West Texas intermediate grade crude.
Respectfully,
Henry J. Herrmann, CFA
President
The opinions expressed in this letter are those of the President of the Ivy Funds and are current only through the end of the period of the report, as stated on the cover. The President’s views are subject to change at any time, based on market and other conditions, and no forecasts can be guaranteed.
2016 | SEMIANNUAL REPORT | 3 |
Table of Contents
Ivy Funds | (UNAUDITED) |
Expense Example
As a shareholder of a Fund, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments, exchange fees and account fees; and (2) ongoing costs, including management fees, distribution and service fees, and other Fund expenses. The following table is intended to help you understand your ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The example is based on an investment of $1,000 invested at the beginning of the period and held for the six-month period ended March 31, 2016.
Actual Expenses
The first section in the following table provides information about actual account values and actual expenses for each share class. You may use the information in this section, 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, a $7,500 account value divided by $1,000 = 7.5), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period. There may be additional fees charged to holders of certain accounts that are not included in the expenses shown in the table. Fees apply to Individual Retirement Accounts (IRAs), IRA Rollovers, Roth IRAs, Conversion Roth IRAs, Simplified Employee Pension (SEP), Savings Incentive Match Plan for Employees (SIMPLE) IRAs, Tax-Sheltered Accounts (TSAs), Keogh Plans, Owner Only 401(k) (Exclusive K) Plans and Final Pay Plans. As of the close of the six months covered by the table, a customer is charged an annual fee of $18 within each plan type. This fee is waived for IRA Rollovers and Conversion Roth IRAs if the customer owns another type of IRA. Coverdell Education Savings Account plans are charged an annual fee of $10 per customer. With limited exceptions, for Class A and Class C shares, if your Fund account
balance is below $650 on the Friday prior to the last full week of September of each year, the account will be assessed an account fee of $20. You should consider the additional fees that were charged to your Fund account over the six-month period when you estimate the total ongoing expenses paid over the period and the impact of these fees on your ending account value as such additional expenses are not reflected in the information provided in the following table. Additional fees have the effect of reducing investment returns.
Hypothetical Example for Comparison Purposes
The second section in the following table provides information about hypothetical account values and hypothetical expenses for each share class based on the Fund’s actual expense ratio and an assumed rate of return of five percent per year before expenses, which is not the Fund’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 the Fund and other funds. To do so, compare this five percent hypothetical example with the five percent hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads), exchange fees or account fees. Therefore, the second section in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Expenses paid may be impacted by expense reduction arrangements. If those arrangements had not been in place, expenses paid would have been higher. See Note 6 to the Financial Statements for further information.
Actual(1) | Hypothetical(2) | |||||||||||||||||||||||||||
Fund | Beginning Account Value 9-30-15 | Ending Account Value 3-31-16 | Expenses Paid During Period* | Beginning Account Value 9-30-15 | Ending Account Value 3-31-16 | Expenses Paid During Period* | Annualized Expense Ratio Based on the Six-Month Period | |||||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund |
| |||||||||||||||||||||||||||
Class A | $ | 1,000 | $ | 1,018.70 | $ | 6.56 | $ | 1,000 | $ | 1,018.53 | $ | 6.56 | 1.30% | (3) | ||||||||||||||
Class C | $ | 1,000 | $ | 1,014.50 | $ | 10.78 | $ | 1,000 | $ | 1,014.35 | $ | 10.78 | 2.13% | (4) | ||||||||||||||
Class I | $ | 1,000 | $ | 1,020.00 | $ | 5.05 | $ | 1,000 | $ | 1,020.02 | $ | 5.05 | 1.00% | (5) | ||||||||||||||
Class R6 | $ | 1,000 | $ | 1,020.00 | $ | 5.05 | $ | 1,000 | $ | 1,020.02 | $ | 5.05 | 1.00% | (6) | ||||||||||||||
Class Y | $ | 1,000 | $ | 1,018.90 | $ | 6.26 | $ | 1,000 | $ | 1,018.78 | $ | 6.26 | 1.25% | (7) | ||||||||||||||
Ivy Apollo Strategic Income Fund |
| |||||||||||||||||||||||||||
Class A | $ | 1,000 | $ | 1,002.60 | $ | 5.21 | $ | 1,000 | $ | 1,019.84 | $ | 5.25 | 1.15% | (8) | ||||||||||||||
Class C | $ | 1,000 | $ | 999.60 | $ | 8.60 | $ | 1,000 | $ | 1,016.36 | $ | 8.67 | 1.85% | (9) | ||||||||||||||
Class I | $ | 1,000 | $ | 1,003.90 | $ | 3.71 | $ | 1,000 | $ | 1,021.34 | $ | 3.74 | 0.85% | (10) | ||||||||||||||
Class R6 | $ | 1,000 | $ | 1,004.90 | $ | 3.71 | $ | 1,000 | $ | 1,021.34 | $ | 3.74 | 0.85% | (11) | ||||||||||||||
Class Y | $ | 1,000 | $ | 1,002.80 | $ | 4.91 | $ | 1,000 | $ | 1,020.09 | $ | 4.95 | 1.10% | (12) |
4 | SEMIANNUAL REPORT | 2016 |
Table of Contents
ILLUSTRATION OF FUND EXPENSES
Ivy Funds (UNAUDITED) |
Actual(1) | Hypothetical(2) | |||||||||||||||||||||||||||
Fund | Beginning Account Value 9-30-15 | Ending Account Value 3-31-16 | Expenses Paid During Period* | Beginning Account Value 9-30-15 | Ending Account Value 3-31-16 | Expenses Paid During Period* | Annualized Expense Ratio Based on the Six-Month Period | |||||||||||||||||||||
Ivy Emerging Markets Local Currency Debt Fund |
| |||||||||||||||||||||||||||
Class A | $ | 1,000 | $ | 1,081.40 | $ | 6.56 | $ | 1,000 | $ | 1,018.74 | $ | 6.36 | 1.25% | |||||||||||||||
Class C | $ | 1,000 | $ | 1,078.20 | $ | 10.39 | $ | 1,000 | $ | 1,014.99 | $ | 10.07 | 2.00% | |||||||||||||||
Class E | $ | 1,000 | $ | 1,081.40 | $ | 6.45 | $ | 1,000 | $ | 1,018.76 | $ | 6.26 | 1.25% | |||||||||||||||
Class I | $ | 1,000 | $ | 1,083.70 | $ | 5.21 | $ | 1,000 | $ | 1,019.99 | $ | 5.05 | 1.00% | |||||||||||||||
Class R | $ | 1,000 | $ | 1,081.60 | $ | 7.81 | $ | 1,000 | $ | 1,017.49 | $ | 7.57 | 1.50% | |||||||||||||||
Class R6 | $ | 1,000 | $ | 1,083.70 | $ | 5.21 | $ | 1,000 | $ | 1,019.99 | $ | 5.05 | 1.00% | |||||||||||||||
Class Y | $ | 1,000 | $ | 1,081.40 | $ | 6.56 | $ | 1,000 | $ | 1,018.74 | $ | 6.36 | 1.25% | |||||||||||||||
Ivy Targeted Return Bond Fund** |
| |||||||||||||||||||||||||||
Class A | $ | 1,000 | $ | 1,002.00 | $ | 3.30 | $ | 1,000 | $ | 1,018.18 | $ | 6.86 | 1.36% | (13) | ||||||||||||||
Class C | $ | 1,000 | $ | 1,000.00 | $ | 4.90 | $ | 1,000 | $ | 1,014.72 | $ | 10.38 | 2.06% | (14) | ||||||||||||||
Class I | $ | 1,000 | $ | 1,002.00 | $ | 2.40 | $ | 1,000 | $ | 1,020.06 | $ | 4.95 | 0.99% | (15) | ||||||||||||||
Class R6 | $ | 1,000 | $ | 1,003.00 | $ | 2.10 | $ | 1,000 | $ | 1,020.70 | $ | 4.34 | 0.86% | (16) | ||||||||||||||
Class Y | $ | 1,000 | $ | 1,002.00 | $ | 3.00 | $ | 1,000 | $ | 1,018.82 | $ | 6.26 | 1.24% | (17) |
* | Fund expenses for each share class are equal to the Fund’s annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by 183 days in the six-month period ended March 31, 2016, and divided by 366. |
** | Fund expenses for each share class are equal to the Fund’s annualized expense ratio for each share class (provided in the table), multiplied by the average account value over the period, multiplied by 88 days in the six-month period ended March 31, 2016, and divided by 366. Actual inception date of the Fund is 1-4-16 (the date on which shares were first acquired by shareholders). |
(1) | This section uses the Fund’s actual total return and actual Fund expenses. It is a guide to the actual expenses paid by the Fund in the period. The “Ending Account Value” shown is computed using the Fund’s actual return and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. A shareholder may use the information here, together with the dollar amount invested, to estimate the expenses that were paid over the period. For every thousand dollars a shareholder has invested, the expenses are listed in the last column of this section. |
(2) | This section uses a hypothetical five percent annual return and actual Fund expenses. It helps to compare the Fund’s ongoing costs with other mutual funds. A shareholder can compare the Fund’s ongoing costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
(3) | Annualized expense ratio based on the period excluding offering cost was 1.21%. |
(4) | Annualized expense ratio based on the period excluding offering cost was 2.04%. |
(5) | Annualized expense ratio based on the period excluding offering cost was 0.91%. |
(6) | Annualized expense ratio based on the period excluding offering cost was 0.91%. |
(7) | Annualized expense ratio based on the period excluding offering cost was 1.16%. |
(8) | Annualized expense ratio based on the period excluding offering cost was 1.07%. |
(9) | Annualized expense ratio based on the period excluding offering cost was 1.77%. |
(10) | Annualized expense ratio based on the period excluding offering cost was 0.77%. |
(11) | Annualized expense ratio based on the period excluding offering cost was 0.77%. |
(12) | Annualized expense ratio based on the period excluding offering cost was 1.02%. |
(13) | Annualized expense ratio based on the period excluding offering cost was 1.25%. |
(14) | Annualized expense ratio based on the period excluding offering cost was 1.95%. |
(15) | Annualized expense ratio based on the period excluding offering cost was 0.88%. |
(16) | Annualized expense ratio based on the period excluding offering cost was 0.75%. |
(17) | Annualized expense ratio based on the period excluding offering cost was 1.13%. |
The above illustrations are based on ongoing costs only and do not include any transactional costs, such as sales loads or exchange fees.
2016 | SEMIANNUAL REPORT | 5 |
Table of Contents
Ivy Apollo Multi-Asset Income Fund ALL DATA IS AS OF MARCH 31, 2016 (UNAUDITED) |
Asset Allocation
Stocks | 47.9% | |||
Financials | 13.0% | |||
Health Care | 6.0% | |||
Consumer Staples | 5.9% | |||
Telecommunication Services | 5.2% | |||
Industrials | 4.5% | |||
Consumer Discretionary | 4.0% | |||
Utilities | 3.4% | |||
Energy | 3.0% | |||
Materials | 1.8% | |||
Information Technology | 1.1% | |||
Bonds | 33.3% | |||
Corporate Debt Securities | 21.6% | |||
Loans | 10.3% | |||
United States Government Agency Obligations | 0.6% | |||
Other Government Securities | 0.5% | |||
Mortgage-Backed Securities | 0.3% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 18.8% |
Country Weightings
North America | 47.2% | |||
United States | 44.6% | |||
Other North America | 2.6% | |||
Europe | 25.5% | |||
United Kingdom | 9.7% | |||
France | 5.5% | |||
Other Europe | 10.3% | |||
Pacific Basin | 6.5% | |||
Other | 1.6% | |||
Bahamas/Caribbean | 0.2% | |||
South America | 0.2% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 18.8% |
Top 10 Equity Holdings
Company | Country | Sector | Industry | |||
Johnson & Johnson | United States | Health Care | Pharmaceuticals | |||
AT&T, Inc. | United States | Telecommunication Services | Integrated Telecommunication Services | |||
Pfizer, Inc. | United States | Health Care | Pharmaceuticals | |||
Royal Dutch Shell plc, Class A | United Kingdom | Energy | Integrated Oil & Gas | |||
Microsoft Corp. | United States | Information Technology | Systems Software | |||
Marine Harvest ASA | Norway | Consumer Staples | Packaged Foods & Meats | |||
Occidental Petroleum Corp. | United States | Energy | Integrated Oil & Gas | |||
Total S.A. | France | Energy | Integrated Oil & Gas | |||
Orange S.A. | France | Telecommunication Services | Integrated Telecommunication Services | |||
National Grid plc | United Kingdom | Utilities | Multi-Utilities |
See your advisor or www.ivyfunds.com for more information on the Fund’s most recent published Top 10 Equity Holdings.
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
6 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Apollo Multi-Asset Income Fund (in thousands) | MARCH 31, 2016 (UNAUDITED) |
COMMON STOCKS | Shares | Value | ||||||
Australia |
| |||||||
Financials – 0.7% |
| |||||||
DEXUS Property Group | 25 | $ | 154 | |||||
Mirvac Group | 126 | 187 | ||||||
Scentre Group | 110 | 374 | ||||||
Westfield Corp. | 48 | 367 | ||||||
|
| |||||||
1,082 | ||||||||
|
| |||||||
Industrials – 0.4% |
| |||||||
Spotless Group Holdings Ltd. | 746 | 720 | ||||||
|
| |||||||
Materials – 0.6% |
| |||||||
Amcor Ltd. | 66 | 726 | ||||||
Pact Group Holdings Ltd. | 81 | 311 | ||||||
|
| |||||||
1,037 | ||||||||
|
| |||||||
Telecommunication Services – 0.4% |
| |||||||
Telstra Corp. Ltd. ADR | 169 | 690 | ||||||
|
| |||||||
Total Australia – 2.1% |
| $ | 3,529 | |||||
Austria |
| |||||||
Financials – 0.0% |
| |||||||
Buwog AG | 1 | 28 | ||||||
|
| |||||||
Total Austria – 0.0% |
| $ | 28 | |||||
Canada |
| |||||||
Financials – 0.8% |
| |||||||
Allied Properties | 1 | 22 | ||||||
Bank of Montreal | 15 | 909 | ||||||
Canadian Apartments Properties | 3 | 107 | ||||||
Dream Office Real Estate Investment Trust | 1 | 20 | ||||||
H&R Real Estate Investment Trust | 6 | 104 | ||||||
RioCan | 6 | 114 | ||||||
SmartREIT | 2 | 62 | ||||||
|
| |||||||
1,338 | ||||||||
|
| |||||||
Total Canada – 0.8% |
| $ | 1,338 | |||||
Finland |
| |||||||
Financials – 0.0% |
| |||||||
Sponda plc | 2 | 9 | ||||||
|
| |||||||
Total Finland – 0.0% |
| $ | 9 | |||||
France |
| |||||||
Energy – 0.9% |
| |||||||
Total S.A. | 33 | 1,515 | ||||||
|
| |||||||
Financials – 0.7% |
| |||||||
Axa S.A. | 26 | 604 | ||||||
Gecina | 1 | 121 | ||||||
Mercialys S.A. | 1 | 21 | ||||||
Unibail-Rodamco | 1 | 385 | ||||||
|
| |||||||
1,131 | ||||||||
|
| |||||||
Health Care – 0.5% |
| |||||||
Sanofi-Aventis | 10 | 802 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Industrials – 1.4% |
| |||||||
Compagnie de Saint-Gobain | 15 | $ | 670 | |||||
Safran | 12 | 830 | ||||||
Vinci | 12 | 860 | ||||||
|
| |||||||
2,360 | ||||||||
|
| |||||||
Telecommunication Services – 1.3% |
| |||||||
Orange S.A. | 82 | 1,431 | ||||||
Vivendi Universal | 36 | 760 | ||||||
|
| |||||||
2,191 | ||||||||
|
| |||||||
Utilities – 0.5% |
| |||||||
ENGIE | 49 | 763 | ||||||
|
| |||||||
Total France – 5.3% |
| $ | 8,762 | |||||
Germany |
| |||||||
Financials – 0.2% |
| |||||||
Ado Properties S.A. (A) | 2 | 68 | ||||||
alstria office AG | 4 | 63 | ||||||
Deutsche EuroShop AG | 2 | 97 | ||||||
Deutsche Wohnen AG | 5 | 151 | ||||||
LEG Immobilien AG | — | * | 32 | |||||
|
| |||||||
411 | ||||||||
|
| |||||||
Total Germany – 0.2% |
| $ | 411 | |||||
Hong Kong |
| |||||||
Financials – 0.8% |
| |||||||
Hongkong Land Holdings Ltd. | 34 | 203 | ||||||
Link (The) | 45 | 264 | ||||||
Sun Hung Kai Properties Ltd. | 50 | 612 | ||||||
Swire Properties Ltd. | 91 | 246 | ||||||
|
| |||||||
1,325 | ||||||||
|
| |||||||
Total Hong Kong – 0.8% |
| $ | 1,325 | |||||
Ireland |
| |||||||
Materials – 0.2% |
| |||||||
CRH plc | 11 | 320 | ||||||
|
| |||||||
Total Ireland – 0.2% |
| $ | 320 | |||||
Israel |
| |||||||
Health Care – 0.8% |
| |||||||
Teva Pharmaceutical Industries Ltd. ADR | 23 | 1,245 | ||||||
|
| |||||||
Telecommunication Services – 0.6% |
| |||||||
Bezeq – Israel Telecommunication Corp. Ltd. (The) | 459 | 1,036 | ||||||
|
| |||||||
Total Israel – 1.4% |
| $ | 2,281 | |||||
Italy |
| |||||||
Industrials – 0.6% |
| |||||||
Atlantia S.p.A. | 36 | 1,003 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Utilities – 0.2% |
| |||||||
Snam S.p.A. | 56 | $ | 348 | |||||
|
| |||||||
Total Italy – 0.8% |
| $ | 1,351 | |||||
Japan |
| |||||||
Consumer Discretionary – 0.6% |
| |||||||
Bridgestone Corp. | 27 | 994 | ||||||
|
| |||||||
Financials – 1.6% |
| |||||||
Daiwa Office Investment Corp. | — | * | 93 | |||||
Global One Corp. | — | * | 48 | |||||
Ichigo Hotel Investment Corp. | — | * | 41 | |||||
Kenedix Office Investment Corp. | — | * | 103 | |||||
Mitsubishi Estate Co. Ltd. | 34 | 632 | ||||||
Mitsui Fudosan Co. Ltd. | 27 | 674 | ||||||
ORIX JREIT, Inc. | — | * | 110 | |||||
Sumitomo Mitsui Financial Group, Inc. | 21 | 646 | ||||||
Sumitomo Realty & Development Co. Ltd. | 5 | 146 | ||||||
Tokyu, Inc. | — | * | 117 | |||||
|
| |||||||
2,610 | ||||||||
|
| |||||||
Total Japan – 2.2% |
| $ | 3,604 | |||||
Jersey |
| |||||||
Financials – 0.0% |
| |||||||
Atrium European Real Estate Ltd. | 7 | 29 | ||||||
|
| |||||||
Total Jersey – 0.0% |
| $ | 29 | |||||
Mexico |
| |||||||
Financials – 0.0% |
| |||||||
Prologis Property Mexico S.A. de C.V. | 3 | 5 | ||||||
|
| |||||||
Total Mexico – 0.0% |
| $ | 5 | |||||
Netherlands |
| |||||||
Consumer Staples – 0.8% |
| |||||||
Unilever N.V., Certicaaten Van Aandelen | 29 | 1,280 | ||||||
|
| |||||||
Financials – 0.6% |
| |||||||
ING Groep N.V., Certicaaten Van Aandelen | 84 | 1,022 | ||||||
Wereldhave N.V. | — | * | 25 | |||||
|
| |||||||
1,047 | ||||||||
|
| |||||||
Materials – 0.5% |
| |||||||
Royal DSM Heerlen | 14 | 753 | ||||||
|
| |||||||
Total Netherlands – 1.9% |
| $ | 3,080 |
2016 | SEMIANNUAL REPORT | 7 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Apollo Multi-Asset Income Fund (in thousands) MARCH 31, 2016 (UNAUDITED) |
COMMON STOCKS (Continued) | Shares | Value | ||||||
New Zealand |
| |||||||
Telecommunication Services – 0.4% |
| |||||||
Spark New Zealand Ltd. | 274 | $ | 690 | |||||
|
| |||||||
Total New Zealand – 0.4% |
| $ | 690 | |||||
Norway |
| |||||||
Consumer Staples – 1.0% |
| |||||||
Marine Harvest ASA | 113 | 1,734 | ||||||
|
| |||||||
Financials – 0.1% |
| |||||||
Entra ASA | 10 | 90 | ||||||
|
| |||||||
Total Norway – 1.1% |
| $ | 1,824 | |||||
Singapore |
| |||||||
Consumer Discretionary – 0.4% |
| |||||||
Asian Pay Television Trust | 1,348 | 560 | ||||||
|
| |||||||
Financials – 0.0% |
| |||||||
CapitaCommercial Trust | 21 | 23 | ||||||
CapitaLand Ltd. | 23 | 52 | ||||||
CapitaMall Trust | 25 | 39 | ||||||
Global Logistic Properties Ltd. | 17 | 25 | ||||||
Mapletree Commercial Trust | 16 | 17 | ||||||
|
| |||||||
156 | ||||||||
|
| |||||||
Total Singapore – 0.4% |
| $ | 716 | |||||
Spain |
| |||||||
Financials – 0.0% |
| |||||||
Axiare Patrimonio SOCIMI S.A. | 1 | 21 | ||||||
|
| |||||||
Utilities – 0.9% |
| |||||||
Enagas S.A. | 10 | 306 | ||||||
Iberdrola S.A. | 173 | 1,153 | ||||||
|
| |||||||
1,459 | ||||||||
|
| |||||||
Total Spain – 0.9% |
| $ | 1,480 | |||||
Sweden |
| |||||||
Financials – 0.1% |
| |||||||
Hufvudstaden AB | 6 | 101 | ||||||
Wihlborgs Fastigheter AB | 3 | 69 | ||||||
|
| |||||||
170 | ||||||||
|
| |||||||
Industrials – 0.4% |
| |||||||
SKF AB, Class B | 36 | 648 | ||||||
|
| |||||||
Telecommunication Services – 0.4% |
| |||||||
TeliaSonera AB | 124 | 643 | ||||||
|
| |||||||
Total Sweden – 0.9% |
| $ | 1,461 | |||||
Switzerland |
| |||||||
Consumer Staples – 0.4% |
| |||||||
Nestle S.A., Registered Shares | 9 | 682 | ||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Financials – 0.4% |
| |||||||
PSP Swiss Property Ltd., Registered Shares | 1 | $ | 77 | |||||
Zurich Financial Services, Registered Shares | 3 | 640 | ||||||
|
| |||||||
717 | ||||||||
|
| |||||||
Health Care – 0.6% |
| |||||||
Roche Holdings AG, Genusscheine | 3 | 840 | ||||||
|
| |||||||
Total Switzerland – 1.4% |
| $ | 2,239 | |||||
United Kingdom |
| |||||||
Consumer Discretionary – 2.1% |
| |||||||
GKN plc | 150 | 621 | ||||||
Taylor Wimpey plc | 352 | 961 | ||||||
UBM plc | 133 | 1,146 | ||||||
WPP Group plc | 29 | 675 | ||||||
|
| |||||||
3,403 | ||||||||
|
| |||||||
Consumer Staples – 2.0% |
| |||||||
Diageo plc | 28 | 751 | ||||||
Imperial Tobacco Group plc | 23 | 1,296 | ||||||
SABMiller plc | 20 | 1,209 | ||||||
|
| |||||||
3,256 | ||||||||
|
| |||||||
Energy – 1.1% |
| |||||||
Royal Dutch Shell plc, Class A | 77 | 1,865 | ||||||
|
| |||||||
Financials – 1.8% |
| |||||||
Big Yellow Group plc | 4 | 39 | ||||||
British Land Co. plc (The) | 3 | 32 | ||||||
Derwent London plc | 3 | 119 | ||||||
Hammerson plc | 12 | 101 | ||||||
Hansteen Holdings plc | 23 | 35 | ||||||
HSBC Holdings plc | 146 | 913 | ||||||
Land Securities Group plc | 18 | 278 | ||||||
Lloyds Banking Group plc | 667 | 652 | ||||||
LondonMetric Property plc | 16 | 36 | ||||||
Prudential plc | 32 | 602 | ||||||
Shaftesbury plc | 3 | 45 | ||||||
|
| |||||||
2,852 | ||||||||
|
| |||||||
Industrials – 0.8% |
| |||||||
BAE Systems plc | 179 | 1,309 | ||||||
|
| |||||||
Telecommunication Services – 0.5% |
| |||||||
Vodafone Group plc | 249 | 792 | ||||||
|
| |||||||
Utilities – 0.8% |
| |||||||
National Grid plc | 94 | 1,336 | ||||||
|
| |||||||
Total United Kingdom – 9.1% |
| $ | 14,813 | |||||
United States |
| |||||||
Consumer Discretionary – 0.9% |
| |||||||
McDonalds Corp. | 6 | 757 | ||||||
Omnicom Group, Inc. | 8 | 701 | ||||||
|
| |||||||
1,458 | ||||||||
|
|
COMMON STOCKS (Continued) | Shares | Value | ||||||
Consumer Staples – 1.7% |
| |||||||
Altria Group, Inc. | 20 | $ | 1,242 | |||||
Philip Morris International, Inc. | 13 | 1,257 | ||||||
Procter & Gamble Co. (The) | 4 | 312 | ||||||
|
| |||||||
2,811 | ||||||||
|
| |||||||
Energy – 1.0% |
| |||||||
Occidental Petroleum Corp. | 23 | 1,584 | ||||||
|
| |||||||
Financials – 5.2% |
| |||||||
American Assets Trust, Inc. | 1 | 28 | ||||||
American Campus Communities, Inc. | 3 | 122 | ||||||
AvalonBay Communities, Inc. | 3 | 490 | ||||||
Boston Properties, Inc. | 4 | 450 | ||||||
Brixmor Property Group, Inc. | 5 | 125 | ||||||
Camden Property Trust | 5 | 403 | ||||||
Care Capital Properties, Inc. | 3 | 68 | ||||||
CBL & Associates Properties, Inc. | 6 | 74 | ||||||
Columbia Property Trust, Inc. | 3 | 62 | ||||||
Corporate Office Properties Trust | 5 | 120 | ||||||
Cousins Properties, Inc. | 6 | 65 | ||||||
CubeSmart | 6 | 200 | ||||||
DDR Corp. | 8 | 146 | ||||||
Duke Realty Corp. | 5 | 108 | ||||||
DuPont Fabros Technology, Inc. | 2 | 88 | ||||||
EastGroup Properties, Inc. | 1 | 43 | ||||||
Equity Residential | 10 | 715 | ||||||
General Growth Properties, Inc. | 6 | 169 | ||||||
Health Care, Inc. | 8 | 530 | ||||||
Host Hotels & Resorts, Inc. | 10 | 160 | ||||||
Hudson Pacific Properties, Inc. | 4 | 105 | ||||||
JPMorgan Chase & Co. | 11 | 625 | ||||||
LaSalle Hotel Properties | 7 | 170 | ||||||
Medical Properties Trust, Inc. | 1 | 9 | ||||||
New York, Inc. | 2 | 16 | ||||||
Paramount Group, Inc. | 7 | 119 | ||||||
ProLogis | 8 | 355 | ||||||
Public Storage, Inc. | 1 | 320 | ||||||
Ramco-Gershenson Properties Trust | 4 | 68 | ||||||
Retail Properties of America, Inc. | 5 | 84 | ||||||
RLJ Lodging Trust | 5 | 121 | ||||||
Senior Housing Properties Trust | 5 | 86 | ||||||
Simon Property Group, Inc. | 6 | 1,144 | ||||||
SL Green Realty Corp. | 1 | 120 | ||||||
Sovran Self Storage, Inc. | 1 | 130 | ||||||
Spirit Realty Capital, Inc. | 10 | 116 | ||||||
Sunstone Hotel Investors, Inc. | 9 | 130 | ||||||
Taubman Centers, Inc. | 3 | 202 | ||||||
Ventas, Inc. | 3 | 158 | ||||||
Vornado Realty Trust | 3 | 304 | ||||||
|
| |||||||
8,548 | ||||||||
|
|
8 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Apollo Multi-Asset Income Fund (in thousands) MARCH 31, 2016 (UNAUDITED) |
COMMON STOCKS (Continued) | Shares | Value | ||||||
Health Care – 4.1% |
| |||||||
Bristol-Myers Squibb Co. | 10 | $ | 624 | |||||
Eli Lilly and Co. | 8 | 605 | ||||||
Johnson & Johnson | 21 | 2,284 | ||||||
Merck & Co., Inc. | 24 | 1,270 | ||||||
Pfizer, Inc. | 72 | 2,121 | ||||||
|
| |||||||
6,904 | ||||||||
|
| |||||||
Industrials – 0.9% |
| |||||||
Eaton Corp. | 6 | 359 | ||||||
Lockheed Martin Corp. | 5 | 1,208 | ||||||
|
| |||||||
1,567 | ||||||||
|
| |||||||
Information Technology – 1.1% |
| |||||||
Microsoft Corp. | 32 | 1,753 | ||||||
|
| |||||||
Materials – 0.5% |
| |||||||
International Paper Co. | 19 | 800 | ||||||
|
| |||||||
Telecommunication Services – 1.6% |
| |||||||
American Tower Corp., Class A | 3 | 276 | ||||||
AT&T, Inc. | 58 | 2,264 | ||||||
|
| |||||||
2,540 | ||||||||
|
| |||||||
Utilities – 1.0% |
| |||||||
American Electric Power Co., Inc. | 9 | 627 | ||||||
PPL Corp. | 25 | 962 | ||||||
|
| |||||||
1,589 | ||||||||
|
| |||||||
Total United States – 18.0% |
| $ | 29,554 | |||||
TOTAL COMMON STOCKS – 47.9% | $ | 78,849 | ||||||
(Cost: $76,499) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Australia |
| |||||||
Materials – 0.0% |
| |||||||
FMG Resources Pty Ltd. | ||||||||
9.750%, 3-1-22 (B) | $ | 72 | 72 | |||||
|
| |||||||
Total Australia – 0.0% |
| $ | 72 | |||||
Austria |
| |||||||
Consumer Staples – 0.1% |
| |||||||
JBS Investments GmbH (GTD by JBS S.A. and JBS Hungary Holdings Kft.) | ||||||||
7.750%, | 200 | 198 | ||||||
|
| |||||||
Total Austria – 0.1% |
| $ | 198 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Canada |
| |||||||
Consumer Discretionary – 0.1% |
| |||||||
Gateway Casinos & Entertainment Ltd. | ||||||||
8.500%, 11-26-20 (B)(C) | CAD | 200 | $ | 145 | ||||
|
| |||||||
Energy – 0.4% |
| |||||||
EnCana Corp. | ||||||||
6.500%, 8-15-34 | $ | 62 | 53 | |||||
Seven Generations Energy Ltd.: | ||||||||
8.250%, 5-15-20 (B) | 254 | 255 | ||||||
6.750%, 5-1-23 (B) | 241 | 228 | ||||||
|
| |||||||
536 | ||||||||
|
| |||||||
Health Care – 0.6% |
| |||||||
Concordia Healthcare Corp. | ||||||||
9.500%, 10-21-22 (B) | 488 | 470 | ||||||
VPII Escrow Corp. | ||||||||
7.500%, 7-15-21 (B) | 371 | 309 | ||||||
VRX Escrow Corp. | ||||||||
5.375%, 3-15-20 (B) | 72 | 59 | ||||||
|
| |||||||
838 | ||||||||
|
| |||||||
Industrials – 0.2% |
| |||||||
GFL Environmental, Inc. | ||||||||
7.875%, 4-1-20 (B) | 400 | 397 | ||||||
|
| |||||||
Information Technology – 0.3% |
| |||||||
Kronos Acquisition Holdings, Inc. | ||||||||
9.000%, 8-15-23 (B) | 432 | 395 | ||||||
Open Text Corp. | ||||||||
5.625%, 1-15-23 (B) | 224 | 228 | ||||||
|
| |||||||
623 | ||||||||
|
| |||||||
Total Canada – 1.6% |
| $ | 2,539 | |||||
Cayman Islands |
| |||||||
Telecommunication Services – 0.1% |
| |||||||
Sable International Finance Ltd. | ||||||||
6.875%, 8-1-22 (B) | 200 | 200 | ||||||
|
| |||||||
Total Cayman Islands – 0.1% |
| $ | 200 | |||||
China |
| |||||||
Financials – 0.1% |
| |||||||
Industrial and Commercial Bank of China Ltd. | ||||||||
4.875%, 9-21-25 | 200 | 206 | ||||||
|
| |||||||
Total China – 0.1% |
| $ | 206 | |||||
Israel |
| |||||||
Energy – 0.1% |
| |||||||
Delek & Avner Tamar Bond Ltd. | ||||||||
5.082%, 12-30-23 (B) | 150 | 149 | ||||||
|
| |||||||
Total Israel – 0.1% |
| $ | 149 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Jersey |
| |||||||
Financials – 0.3% |
| |||||||
Lincoln Finance Ltd. | ||||||||
6.875%, 4-15-21 (B)(C) | EUR | 148 | $ | 175 | ||||
Mercury BondCo plc | ||||||||
8.250%, 5-30-21 (C)(D) | 282 | 325 | ||||||
|
| |||||||
500 | ||||||||
|
| |||||||
Total Jersey – 0.3% |
| $ | 500 | |||||
Luxembourg |
| |||||||
Consumer Discretionary – 1.3% |
| |||||||
Altice Financing S.A.: | ||||||||
6.500%, 1-15-22 (B) | $ | 100 | 102 | |||||
6.625%, 2-15-23 (B) | 387 | 387 | ||||||
7.750%, 7-15-25 (B) | 152 | 149 | ||||||
Altice S.A.: | ||||||||
7.750%, 5-15-22 (B) | 600 | 589 | ||||||
7.625%, 2-15-25 (B) | 200 | 192 | ||||||
Intelsat Jackson Holdings S.A. | ||||||||
8.000%, 2-15-24 (B) | 240 | 247 | ||||||
Nielsen Finance | ||||||||
5.500%, 10-1-21 (B) | 400 | 416 | ||||||
|
| |||||||
2,082 | ||||||||
|
| |||||||
Energy – 0.1% |
| |||||||
Globe Luxembourg SCA | ||||||||
9.625%, 5-1-18 (B)(E) | 200 | 152 | ||||||
|
| |||||||
Industrials – 0.3% |
| |||||||
Silver II Borrower SCA and Silver II U.S. Holdings | ||||||||
7.750%, 12-15-20 (B) | 630 | 498 | ||||||
|
| |||||||
Telecommunication Services – 0.2% |
| |||||||
Wind Acquisition Finance S.A. | ||||||||
4.750%, 7-15-20 (B) | 327 | 309 | ||||||
|
| |||||||
Total Luxembourg – 1.9% |
| $ | 3,041 | |||||
Macau |
| |||||||
Consumer Discretionary – 0.3% |
| |||||||
Wynn Macau Ltd. | ||||||||
5.250%, 10-15-21 (B) | 600 | 566 | ||||||
|
| |||||||
Total Macau – 0.3% |
| $ | 566 | |||||
Mexico |
| |||||||
Materials – 0.1% |
| |||||||
CEMEX S.A.B. de C.V., Convertible | ||||||||
3.750%, 3-15-18 | 235 | 245 | ||||||
|
| |||||||
Total Mexico – 0.1% |
| $ | 245 | |||||
Netherlands |
| |||||||
Consumer Discretionary – 0.2% |
| |||||||
VTR Finance B.V. | ||||||||
6.875%, 1-15-24 (B) | 350 | 343 | ||||||
|
|
2016 | SEMIANNUAL REPORT | 9 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Apollo Multi-Asset Income Fund (in thousands) MARCH 31, 2016 (UNAUDITED) |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Industrials – 0.1% |
| |||||||
Cimpress N.V. | ||||||||
7.000%, 4-1-22 (B) | $ | 210 | $ | 208 | ||||
|
| |||||||
Total Netherlands – 0.3% |
| $ | 551 | |||||
Peru |
| |||||||
Financials – 0.1% |
| |||||||
Corporacion Financiera de Desarrolla S.A. | ||||||||
4.750%, 2-8-22 (B) | 200 | 210 | ||||||
|
| |||||||
Total Peru – 0.1% |
| $ | 210 | |||||
United Kingdom |
| |||||||
Consumer Discretionary – 0.2% |
| |||||||
Virgin Media Secured Finance plc | ||||||||
6.000%, 4-15-21 (C) | GBP | 96 | 144 | |||||
Vougeot Bidco plc | ||||||||
7.875%, 7-15-20 (C) | 135 | 202 | ||||||
|
| |||||||
346 | ||||||||
|
| |||||||
Financials – 0.2% |
| |||||||
Keystone Financing plc | ||||||||
9.500%, 10-15-19 (C) | 100 | 148 | ||||||
Odeon & UCI Finco plc | ||||||||
9.000%, 8-1-18 (C) | 100 | 148 | ||||||
|
| |||||||
296 | ||||||||
|
| |||||||
Industrials – 0.1% |
| |||||||
Algeco Scotsman Global Finance plc | ||||||||
8.500%, 10-15-18 (B) | $ | 200 | 154 | |||||
|
| |||||||
Total United Kingdom – 0.5% |
| $ | 796 | |||||
United States |
| |||||||
Consumer Discretionary – 5.8% |
| |||||||
Acosta, Inc. | ||||||||
7.750%, 10-1-22 (B) | 150 | 139 | ||||||
Altice U.S. Finance II Corp. | ||||||||
7.750%, 7-15-25 (B) | 395 | 389 | ||||||
AMC Networks, Inc. | ||||||||
5.000%, 4-1-24 | 17 | 17 | ||||||
B-Corp Merger Sub, Inc. | ||||||||
8.250%, 6-1-19 | 450 | 351 | ||||||
Bon-Ton Stores, Inc. (The) | ||||||||
8.000%, 6-15-21 | 447 | 191 | ||||||
Boyd Gaming Corp. | ||||||||
6.375%, 4-1-26 (B) | 23 | 24 | ||||||
Cablevision Systems Corp. | ||||||||
5.875%, 9-15-22 | 620 | 522 | ||||||
Clear Channel Outdoor Holdings, Inc. | ||||||||
6.500%, 11-15-22 | 315 | 313 | ||||||
Clear Channel Worldwide Holdings, Inc., Series B | ||||||||
7.625%, 3-15-20 | 775 | 712 | ||||||
Cumulus Media, Inc. | ||||||||
7.750%, 5-1-19 | 72 | 27 | ||||||
DISH DBS Corp.: | ||||||||
6.750%, 6-1-21 | 197 | 203 | ||||||
5.875%, 11-15-24 | 22 | 20 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Discretionary (Continued) |
| |||||||
Hot Topic, Inc. | ||||||||
9.250%, 6-15-21 (B) | $ | 222 | $ | 223 | ||||
HT Intermediate Holdings Corp. | ||||||||
12.000%, 5-15-19 (B)(D) | 350 | 319 | ||||||
Jo-Ann Stores Holdings, Inc. | ||||||||
9.750%, 10-15-19 (B)(D) | 237 | 190 | ||||||
Jo-Ann Stores, Inc. | ||||||||
8.125%, 3-15-19 (B) | 630 | 579 | ||||||
Laureate Education, Inc. | ||||||||
10.000%, 9-1-19 (B)(E) | 472 | 347 | ||||||
MDC Partners, Inc. | ||||||||
6.500%, 5-1-24 (B) | 40 | 41 | ||||||
MGM Resorts International | ||||||||
6.000%, 3-15-23 | 225 | 232 | ||||||
Neiman Marcus Group Ltd., Inc. | ||||||||
8.000%, 10-15-21 (B) | 710 | 610 | ||||||
Neptune Finco Corp.: | ||||||||
10.125%, 1-15-23 (B) | 200 | 214 | ||||||
10.875%, 10-15-25 (B) | 352 | 385 | ||||||
Nielsen Finance LLC and Nielsen Finance Co. | ||||||||
5.000%, 4-15-22 (B) | 400 | 410 | ||||||
Palace Entertainment Holdings LLC | ||||||||
8.875%, 4-15-17 (B) | 455 | 441 | ||||||
Pinnacle Operating Corp. | ||||||||
9.000%, 11-15-20 (B) | 350 | 302 | ||||||
PulteGroup, Inc. (GTD by Pulte Home Corp., Centex Homes and Del Webb Corp.) | ||||||||
4.250%, 3-1-21 | 112 | 114 | ||||||
Radio One, Inc. (GTD by TV One LLC) | ||||||||
7.375%, 4-15-22 (B) | 147 | 132 | ||||||
Sinclair Television Group, Inc. | ||||||||
5.875%, 3-15-26 (B) | 225 | 231 | ||||||
Univision Communications, Inc. | ||||||||
8.500%, 5-15-21 (B) | 359 | 366 | ||||||
Wave Holdco LLC and Wave Holdco Corp. | ||||||||
8.250%, | 75 | 73 | ||||||
WaveDivision Escrow LLC and WaveDivision Escrow Corp. | ||||||||
8.125%, 9-1-20 (B) | 72 | 71 | ||||||
WMG Acquisition Corp. | ||||||||
6.750%, 4-15-22 (B) | 647 | 641 | ||||||
YUM! Brands, Inc. | ||||||||
6.250%, 3-15-18 | 128 | 135 | ||||||
|
| |||||||
8,964 | ||||||||
|
| |||||||
Consumer Staples – 0.8% |
| |||||||
JBS USA LLC and JBS USA Finance, Inc.: | ||||||||
7.250%, 6-1-21 (B) | 21 | 21 | ||||||
5.875%, 7-15-24 (B) | 234 | 211 | ||||||
5.750%, 6-15-25 (B) | 305 | 267 | ||||||
Post Holdings, Inc.: | ||||||||
7.375%, 2-15-22 | 272 | 288 | ||||||
7.750%, 3-15-24 (B) | 230 | 252 | ||||||
Prestige Brands, Inc. | ||||||||
5.375%, 12-15-21 (B) | 200 | 203 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Staples (Continued) |
| |||||||
Simmons Foods, Inc. | ||||||||
7.875%, 10-1-21 (B) | $ | 280 | $ | 236 | ||||
|
| |||||||
1,478 | ||||||||
|
| |||||||
Energy – 1.0% |
| |||||||
California Resources Corp.: | ||||||||
8.000%, 12-15-22 (B) | 27 | 10 | ||||||
6.000%, 11-15-24 | 15 | 3 | ||||||
Chesapeake Energy Corp. | ||||||||
6.500%, 8-15-17 | 24 | 16 | ||||||
Clayton Williams Energy, Inc. | ||||||||
7.750%, 4-1-19 | 306 | 153 | ||||||
Endeavor Energy Resources L.P. | ||||||||
7.000%, 8-15-21 (B) | 797 | 746 | ||||||
Laredo Petroleum, Inc. | ||||||||
7.375%, 5-1-22 | 671 | 581 | ||||||
ONEOK, Inc. | ||||||||
7.500%, 9-1-23 | 160 | 156 | ||||||
PBF Holding Co. LLC and PBF Finance Corp. | ||||||||
7.000%, 11-15-23 (B) | 46 | 44 | ||||||
|
| |||||||
1,709 | ||||||||
|
| |||||||
Financials – 1.5% |
| |||||||
Aircastle Ltd.: | ||||||||
5.125%, 3-15-21 | 552 | 575 | ||||||
5.500%, 2-15-22 | 387 | 404 | ||||||
5.000%, 4-1-23 | 63 | 63 | ||||||
Balboa Merger Sub, Inc. | ||||||||
11.375%, 12-1-21 (B) | 72 | 63 | ||||||
Hub International Ltd. | ||||||||
7.875%, 10-1-21 (B) | 222 | 219 | ||||||
New Cotai LLC and New Cotai Capital Corp. | ||||||||
10.625%, 5-1-19 (B)(D) | 255 | 181 | ||||||
Onex USI Acquisition Corp. | ||||||||
7.750%, 1-15-21 (B) | 350 | 350 | ||||||
Patriot Merger Corp. | ||||||||
9.000%, 7-15-21 (B) | 350 | 336 | ||||||
Provident Funding Associates L.P. and PFG Finance Corp. | ||||||||
6.750%, 6-15-21 (B) | 480 | 455 | ||||||
|
| |||||||
2,646 | ||||||||
|
| |||||||
Health Care – 1.8% |
| |||||||
Acadia Healthcare Co., Inc. | ||||||||
6.500%, 3-1-24 (B) | 230 | 239 | ||||||
Centene Escrow Corp.: | ||||||||
5.625%, 2-15-21 (B) | 256 | 267 | ||||||
6.125%, 2-15-24 (B) | 22 | 23 | ||||||
ConvaTec Healthcare E S.A. | ||||||||
10.500%, 12-15-18 (B) | 161 | 166 | ||||||
Greatbatch Ltd. | ||||||||
9.125%, 11-1-23 (B) | 72 | 71 | ||||||
HCA, Inc. | ||||||||
5.250%, 6-15-26 | 262 | 269 | ||||||
Jaguar Holding Co. II and Pharmaceutical Product Development LLC | ||||||||
6.375%, 8-1-23 (B) | �� | 472 | 484 | |||||
LifePoint Health, Inc. | ||||||||
5.500%, 12-1-21 | 225 | 235 |
10 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Apollo Multi-Asset Income Fund (in thousands) MARCH 31, 2016 (UNAUDITED) |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Health Care (Continued) |
| |||||||
MPH Acquisition Holdings LLC | ||||||||
6.625%, 4-1-22 (B) | $ | 400 | $ | 415 | ||||
Surgery Center Holdings, Inc. | ||||||||
8.875%, 4-15-21 (B) | 299 | 299 | ||||||
Team Health, Inc. | ||||||||
7.250%, 12-15-23 (B) | 79 | 85 | ||||||
Universal Hospital Services, Inc. | ||||||||
7.625%, 8-15-20 | 199 | 184 | ||||||
|
| |||||||
2,737 | ||||||||
|
| |||||||
Industrials – 1.4% |
| |||||||
Florida East Coast Holdings Corp. and Florida East Coast Industries LLC | ||||||||
6.750%, 5-1-19 (B) | 360 | 360 | ||||||
GCP Appled Technologies, Inc. | ||||||||
9.500%, 2-1-23 (B) | 162 | 176 | ||||||
HD Supply, Inc.: | ||||||||
5.250%, 12-15-21 (B) | 225 | 236 | ||||||
5.750%, 4-15-24 (B) | 102 | 105 | ||||||
inVentiv Health, Inc. | ||||||||
9.000%, 1-15-18 (B) | 161 | 166 | ||||||
KLX, Inc. | ||||||||
5.875%, 12-1-22 (B) | 38 | 38 | ||||||
Masco Corp.: | ||||||||
3.500%, 4-1-21 | 177 | 178 | ||||||
4.375%, 4-1-26 | 110 | 112 | ||||||
Sensata Technologies UK Financing Co. plc | ||||||||
5.625%, 11-1-24 (B) | 161 | 167 | ||||||
Standard Industries, Inc. | ||||||||
5.500%, 2-15-23 (B) | 161 | 164 | ||||||
Summit Materials LLC and Summit Materials Finance Corp.: | ||||||||
8.500%, 4-15-22 (B) | 22 | 23 | ||||||
6.125%, 7-15-23 | 47 | 45 | ||||||
TransDigm Group, Inc. | ||||||||
7.500%, 7-15-21 | 150 | 157 | ||||||
TransDigm, Inc.: | ||||||||
6.000%, 7-15-22 | 197 | 196 | ||||||
6.500%, 7-15-24 | 197 | 195 | ||||||
XPO Logistics, Inc. | ||||||||
6.500%, 6-15-22 (B) | 54 | 52 | ||||||
|
| |||||||
2,370 | ||||||||
|
| |||||||
Information Technology – 2.0% |
| |||||||
Alliance Data Systems Corp.: | ||||||||
6.375%, 4-1-20 (B) | 130 | 132 | ||||||
5.375%, 8-1-22 (B) | 662 | 621 | ||||||
Ensemble S Merger Sub, Inc. | ||||||||
9.000%, 9-30-23 (B) | 72 | 71 | ||||||
First Data Corp. | ||||||||
5.000%, 1-15-24 (B) | 225 | 225 | ||||||
Freescale Semiconductor, Inc. | ||||||||
5.000%, 5-15-21 (B) | 235 | 243 | ||||||
Infor (U.S.), Inc. | ||||||||
5.750%, 8-15-20 (B) | 115 | 118 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Information Technology (Continued) |
| |||||||
Infor Software Parent LLC and Infor Software Parent, Inc. | ||||||||
7.125%, 5-1-21 (B)(D) | $ | 425 | $ | 318 | ||||
Italics Merger Sub, Inc. | ||||||||
7.125%, 7-15-23 (B) | 450 | 434 | ||||||
Micron Technology, Inc.: | ||||||||
5.875%, 2-15-22 | 632 | 547 | ||||||
5.500%, 2-1-25 | 222 | 180 | ||||||
NCR Escrow Corp. | ||||||||
6.375%, 12-15-23 | 202 | 208 | ||||||
West Corp. | ||||||||
5.375%, 7-15-22 (B) | 156 | 143 | ||||||
Western Digital Corp.: | ||||||||
7.375%, 4-1-23 (B) | 30 | 31 | ||||||
10.500%, 4-1-24 (B) | 30 | 30 | ||||||
|
| |||||||
3,301 | ||||||||
|
| |||||||
Materials – 0.3% |
| |||||||
Hillman Group, Inc. (The) | ||||||||
6.375%, 7-15-22 (B) | 195 | 163 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
5.000%, 1-15-22 (B) | 225 | 230 | ||||||
PSPC Escrow II Corp. | ||||||||
10.375%, 5-1-21 (B) | 38 | 37 | ||||||
Wise Metals Intermediate Holdings | ||||||||
9.750%, 6-15-19 (B)(D) | 406 | 185 | ||||||
|
| |||||||
615 | ||||||||
|
| |||||||
Telecommunication Services – 1.5% |
| |||||||
Frontier Communications Corp.: | ||||||||
8.875%, 9-15-20 (B) | 397 | 414 | ||||||
9.250%, 7-1-21 | 72 | 73 | ||||||
GCI, Inc. | ||||||||
6.875%, 4-15-25 | 375 | 383 | ||||||
Level 3 Escrow II, Inc. | ||||||||
5.375%, 8-15-22 | 391 | 397 | ||||||
Level 3 Financing, Inc. | ||||||||
5.250%, 3-15-26 (B) | 225 | 227 | ||||||
Sprint Corp.: | ||||||||
7.250%, 9-15-21 | 558 | 427 | ||||||
7.875%, 9-15-23 | 302 | 230 | ||||||
Sprint Nextel Corp.: | ||||||||
6.000%, 12-1-16 | 43 | 43 | ||||||
9.125%, 3-1-17 | 27 | 27 | ||||||
8.375%, 8-15-17 | 87 | 86 | ||||||
9.000%, 11-15-18 (B) | 33 | 35 | ||||||
7.000%, 8-15-20 | 27 | 21 | ||||||
T-Mobile USA, Inc.: | ||||||||
6.000%, 4-15-24 | 116 | 117 | ||||||
6.500%, 1-15-26 | 42 | 44 | ||||||
|
| |||||||
2,524 | ||||||||
|
| |||||||
Total United States – 16.1% |
| $ | 26,344 | |||||
TOTAL CORPORATE DEBT SECURITIES – 21.6% | $ | 35,617 | ||||||
(Cost: $35,111) |
MORTGAGE-BACKED SECURITIES | Principal | Value | ||||||
United States – 0.3% |
| |||||||
Ballyrock Ltd., Series 2014-1A, Class C | ||||||||
4.067%, 10-20-26 (B)(E) | $ | 470 | $ | 382 | ||||
U.S. Residential Opportunity Fund Trust 2015-1III, Class A | ||||||||
3.721%, 1-27-35 (B)(E) | 127 | 126 | ||||||
|
| |||||||
508 | ||||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES – 0.3% | $ | 508 | ||||||
(Cost: $493) | ||||||||
OTHER GOVERNMENT SECURITIES (F) | ||||||||
Chile – 0.1% |
| |||||||
Banco del Estado de Chile | ||||||||
3.875%, 2-8-22 (B) | 150 | 159 | ||||||
|
| |||||||
Indonesia – 0.2% |
| |||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||
4.350%, 9-10-24 | 200 | 200 | ||||||
PT Pelabuhan Indonesia II | ||||||||
4.250%, 5-5-25 | 200 | 191 | ||||||
|
| |||||||
391 | ||||||||
|
| |||||||
Mexico – 0.1% |
| |||||||
United Mexican States | ||||||||
3.625%, 3-15-22 | 100 | 103 | ||||||
|
| |||||||
South Africa – 0.1% |
| |||||||
Republic of South Africa | ||||||||
5.500%, 3-9-20 | 100 | 106 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 0.5% |
| $ | 759 | |||||
(Cost: $733) | ||||||||
LOANS (E) | ||||||||
Cayman Islands |
| |||||||
Information Technology – 0.1% |
| |||||||
Avago Technologies Ltd. | ||||||||
4.250%, 2-1-23 | 193 | 192 | ||||||
|
| |||||||
Total Cayman Islands – 0.1% |
| $ | 192 | |||||
France |
| |||||||
Health Care – 0.2% |
| |||||||
Ethypharm: | ||||||||
5.500%, 9-30-22 (C) | EUR3 | 3 | ||||||
0.000%, 9-30-22 (C)(G) | 226 | 256 | ||||||
|
| |||||||
259 | ||||||||
|
| |||||||
Total France – 0.2% |
| $ | 259 |
2016 | SEMIANNUAL REPORT | 11 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Apollo Multi-Asset Income Fund (in thousands) MARCH 31, 2016 (UNAUDITED) |
LOANS (E) (Continued) | Principal | Value | ||||||
Luxembourg |
| |||||||
Consumer Discretionary – 0.3% |
| |||||||
Eircom Finco S.a.r.l. | ||||||||
4.500%, 5-31-22 (C) | EUR | 264 | $ | 297 | ||||
Formula One Holdings Ltd. and Delta Two S.a.r.l. | ||||||||
4.750%, | $ | 160 | 155 | |||||
|
| |||||||
452 | ||||||||
|
| |||||||
Total Luxembourg – 0.3% |
| $ | 452 | |||||
United Kingdom |
| |||||||
Energy – 0.1% |
| |||||||
KCA Deutag Alpha Ltd. | ||||||||
6.250%, 5-16-20 | 196 | 132 | ||||||
|
| |||||||
Total United Kingdom – 0.1% |
| $ | 132 | |||||
United States |
| |||||||
Consumer Discretionary – 2.9% |
| |||||||
Academy Sports + Outdoors: | ||||||||
5.000%, 7-2-22 | 159 | 151 | ||||||
Advantage Sales & Marketing, Inc. | ||||||||
7.500%, 7-25-22 | 400 | 360 | ||||||
BJ’s Wholesale Club, Inc. | ||||||||
8.500%, 3-31-20 | 350 | 321 | ||||||
Bureau Van Dijk Electronic Publishing B.V. | ||||||||
0.000%, | GBP | 560 | 785 | |||||
Charter Communicatons, Inc. | ||||||||
3.250%, 8-24-21 | $ | 230 | 229 | |||||
Dollar Tree, Inc. | ||||||||
3.500%, 7-6-22 | 135 | 136 | ||||||
GNC Holdings, Inc. | ||||||||
0.000%, | 240 | 237 | ||||||
Hotel del Coronado | ||||||||
6.426%, 12-9-17 | 460 | 465 | ||||||
KIK Custom Products, Inc.: | ||||||||
5.750%, | 219 | 211 | ||||||
5.250%, 5-21-22 | 219 | 218 | ||||||
6.000%, 8-26-22 | 221 | 213 | ||||||
Mattress Holding Corp. | ||||||||
6.250%, | 250 | 248 | ||||||
PETCO Animal Supplies, Inc. | ||||||||
5.750%, 1-26-23 | 245 | 245 | ||||||
Scientific Games Corp. | ||||||||
0.000%, | 229 | 222 | ||||||
Staples, Inc. and Staples Escrow LLC | ||||||||
4.750%, 2-2-22 | 250 | 250 | ||||||
Talbots, Inc. (The): | ||||||||
5.500%, 3-19-20 | 221 | 206 | ||||||
9.500%, 3-19-21 | 222 | 206 | ||||||
|
| |||||||
4,703 | ||||||||
|
| |||||||
Consumer Staples – 0.3% |
| |||||||
Albertson’s Holdings LLC | ||||||||
5.500%, 3-21-19 | 254 | 254 | ||||||
TriMark USA, Inc. | ||||||||
5.250%, 8-22-21 | 219 | 216 | ||||||
|
| |||||||
470 | ||||||||
|
|
LOANS (E) (Continued) | Principal | Value | ||||||
Financials – 1.9% |
| |||||||
Ascensus, Inc. | ||||||||
5.500%, 12-3-22 | $ | 195 | $ | 188 | ||||
AWAS Aviation Capital Ltd. | ||||||||
0.000%, 3-18-18 (G) | 240 | 239 | ||||||
Edelman Financial Center LLC | ||||||||
6.500%, 12-16-22 | 219 | 215 | ||||||
Global Payments, Inc. | ||||||||
0.000%, 3-24-23 (G) | 240 | 241 | ||||||
Inland Retail Real Estate Trust, Inc. | ||||||||
6.935%, 4-1-19 | 1,400 | 1,378 | ||||||
Institutional Shareholder Services, Inc. | ||||||||
5.000%, 5-12-21 | 219 | 208 | ||||||
Transfirst Holdings, Inc. | ||||||||
6.250%, 11-12-21 | 224 | 224 | ||||||
TransFirst, Inc. | ||||||||
10.500%, 11-12-22 | 230 | 230 | ||||||
TransUnion | ||||||||
0.000%, 4-9-21 (G) | 229 | 227 | ||||||
WP Mustang Holdings LLC | ||||||||
8.500%, 5-29-22 | 72 | 71 | ||||||
|
| |||||||
3,221 | ||||||||
|
| |||||||
Health Care – 1.0% |
| |||||||
Atrium Innovations, Inc. | ||||||||
7.750%, 8-10-21 | 400 | 322 | ||||||
Endo Pharmaceuticals Holdings, Inc. | ||||||||
3.750%, 9-25-22 | 222 | 218 | ||||||
HCA, Inc.: | ||||||||
0.000%, 5-1-18 (G) | 219 | 219 | ||||||
3.683%, 3-8-23 | 225 | 226 | ||||||
MPH Acquisition Holdings LLC | ||||||||
0.000%, 3-31-21 (G) | 222 | 220 | ||||||
Schumacher Group | ||||||||
5.000%, 7-31-22 | 209 | 206 | ||||||
Team Health Holdings, Inc. | ||||||||
4.500%, 11-23-22 | 209 | 209 | ||||||
Valeant Pharmaceuticals International, Inc. | ||||||||
4.000%, 4-1-22 | 159 | 150 | ||||||
|
| |||||||
1,770 | ||||||||
|
| |||||||
Industrials – 1.1% |
| |||||||
Aramark Services, Inc. | ||||||||
3.250%, 9-7-19 | 214 | 213 | ||||||
Cast & Crew Payroll LLC | ||||||||
4.750%, 8-3-22 | 219 | 211 | ||||||
DAE Aviation Holdings, Inc. | ||||||||
5.250%, 7-7-22 | 159 | 159 | ||||||
Dynacast International LLC | ||||||||
9.500%, 1-30-23 | 103 | 95 | ||||||
GCA Services Group, Inc.: | ||||||||
5.750%, 2-10-23 | 172 | 172 | ||||||
5.750%, 2-22-23 | 58 | 58 | ||||||
KAR Auction Services, Inc. | ||||||||
4.188%, 3-9-23 | 225 | 225 | ||||||
Packers Holdings LLC | ||||||||
5.000%, 12-3-21 | 219 | 218 | ||||||
Solera LLC and Solera Finance, Inc. | ||||||||
5.750%, 3-4-23 | 225 | 225 |
LOANS (E) (Continued) | Principal | Value | ||||||
Industrials (Continued) |
| |||||||
United Site Services, Inc.: | ||||||||
7.250%, 8-5-21 | $ | 1 | $ | 1 | ||||
5.750%, 8-5-21 | 220 | 217 | ||||||
|
| |||||||
1,794 | ||||||||
|
| |||||||
Information Technology – 1.5% |
| |||||||
Applied Systems, Inc. | ||||||||
7.500%, 1-23-22 | 850 | 801 | ||||||
First Data Corp. | ||||||||
3.932%, 3-24-18 | 129 | 129 | ||||||
Infor (U.S.), Inc. | ||||||||
0.000%, | 224 | 217 | ||||||
Misys plc and Magic Newco LLC | ||||||||
12.000%, 6-12-19 | 500 | 513 | ||||||
ON Semiconductor Corp. | ||||||||
0.000%, | 240 | 240 | ||||||
RedPrairie Corp.: | ||||||||
6.000%, 12-21-18 | 79 | 73 | ||||||
0.000%, | 3 | 3 | ||||||
11.250%, 12-21-19 | 28 | 22 | ||||||
Survey Sampling International: | ||||||||
7.500%, 12-17-20 | — | * | — | * | ||||
6.000%, 12-17-20 | 136 | 134 | ||||||
TIBCO Software, Inc. | ||||||||
0.000%, | 255 | 229 | ||||||
Western Digital Corp. | ||||||||
0.000%, | 240 | 237 | ||||||
|
| |||||||
2,598 | ||||||||
|
| |||||||
Materials – 0.3% |
| |||||||
FMG Resources Pty Ltd | ||||||||
0.000%, | 101 | 85 | ||||||
Huntsman International LLC | ||||||||
0.000%, | 240 | 239 | ||||||
MacDermid, Inc. | ||||||||
0.000%, | 15 | 14 | ||||||
|
| |||||||
338 | ||||||||
|
| |||||||
Telecommunication Services – 0.4% |
| |||||||
Level 3 Financing, Inc. | ||||||||
4.000%, 8-1-19 | 250 | 250 | ||||||
Lightower Fiber Networks | ||||||||
4.000%, 4-13-20 | 224 | 222 | ||||||
Zayo Group LLC | ||||||||
4.500%, 5-6-21 | 244 | 245 | ||||||
|
| |||||||
717 | ||||||||
|
| |||||||
Utilities – 0.2% |
| |||||||
Calpine Corp.: | ||||||||
0.000%, | 224 | 223 | ||||||
4.000%, 1-15-23 | 124 | 123 | ||||||
|
| |||||||
346 | ||||||||
|
| |||||||
Total United States – 9.6% |
| $ | 15,957 | |||||
TOTAL LOANS – 10.3% |
| $ | 16,992 | |||||
(Cost: $17,045) |
12 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Apollo Multi-Asset Income Fund (in thousands) MARCH 31, 2016 (UNAUDITED) |
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | Principal | Value | ||||||
United States – 0.6% |
| |||||||
Federal National Mortgage Association Agency REMIC/CMO: | ||||||||
7.000%, 10-25-31 (H) | $ | 531 | $ | 125 | ||||
6.317%, 3-25-35 (E)(H) | 1,216 | 202 | ||||||
6.767%, 5-25-36 (E)(H) | 1,055 | 200 | ||||||
3.500%, 10-25-41 (H) | 554 | 77 | ||||||
1.759%, 4-25-45 (E)(H) | 1,053 | 76 | ||||||
Government National Mortgage Association Agency REMIC/CMO: | ||||||||
1.080%, 6-20-36 (E)(H) | 4,580 | 241 | ||||||
1.649%, 1-20-42 (E)(H) | 2,189 | 84 | ||||||
|
| |||||||
1,005 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 0.6% |
| $ | 1,005 | |||||
(Cost: $977) |
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper (I) – 15.5% |
| |||||||
Campbell Soup Co. | ||||||||
0.460%, 4-25-16 | $ | 3,900 | $ | 3,899 | ||||
Hershey Co. (The) | ||||||||
0.300%, 4-12-16 | 3,500 | 3,500 | ||||||
J.M. Smucker Co. (The) | ||||||||
0.650%, 4-1-16 | 4,090 | 4,089 | ||||||
John Deere Canada ULC (GTD by Deere & Co.) | ||||||||
0.370%, 4-20-16 | 5,000 | 4,999 | ||||||
Novartis Finance Corp. (GTD by Novartis AG) | ||||||||
0.410%, 4-4-16 | 2,000 | 2,000 | ||||||
Rockwell Automation, Inc. | ||||||||
0.440%, 4-13-16 | 4,000 | 3,999 | ||||||
United Technologies Corp. | ||||||||
0.730%, 4-4-16 | 3,000 | 3,000 | ||||||
|
| |||||||
25,486 | ||||||||
|
|
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Master Note – 5.3% |
| |||||||
Toyota Motor Credit Corp. | ||||||||
0.443%, | $ | 8,719 | $ | 8,719 | ||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 20.8% |
| $ | 34,205 | |||||
(Cost: $34,205) | ||||||||
TOTAL INVESTMENT SECURITIES – 102.0% |
| $ | 167,935 | |||||
(Cost: $165,063) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (2.0)% |
| (3,240 | ) | |||||
NET ASSETS – 100.0% | $ | 164,695 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | No dividends were paid during the preceding 12 months. |
(B) | Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2016 the total value of these securities amounted to $25,383 or 15.4% of net assets. |
(C) | Principal amounts are denominated in the indicated foreign currency, where applicable (CAD - Canadian Dollar, EUR - Euro and GBP - British Pound). |
(D) | Payment-in-kind bonds. |
(E) | Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2016. |
(F) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(G) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(H) | Interest-only security. Amount shown as principal represents notional amount for computation of interest. |
(I) | Rate shown is the yield to maturity at March 31, 2016. |
(J) | Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2016. Date shown represents the date that the variable rate resets. |
2016 | SEMIANNUAL REPORT | 13 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Apollo Multi-Asset Income Fund (in thousands) MARCH 31, 2016 (UNAUDITED) |
The following forward foreign currency contracts were outstanding at March 31, 2016:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||
Australian Dollar | 1,474 | U.S. Dollar | 1,122 | 4-26-16 | Citibank N.A. | $ | — | $ | 6 | |||||||||||||||
British Pound | 3,606 | U.S. Dollar | 5,217 | 4-26-16 | Citibank N.A. | 37 | — | |||||||||||||||||
Euro | 6,948 | U.S. Dollar | 7,864 | 4-26-16 | Citibank N.A. | — | 47 | |||||||||||||||||
Canadian Dollar | 192 | U.S. Dollar | 148 | 4-26-16 | Morgan Stanley International | — | — | * | ||||||||||||||||
British Pound | 450 | U.S. Dollar | 642 | 6-30-16 | JPMorgan Securities LLC | — | 4 | |||||||||||||||||
Euro | 710 | U.S. Dollar | 786 | 6-30-16 | JPMorgan Securities LLC | — | 25 | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | 37 | $ | 82 | |||||||||||||||||||||
|
|
The following total return swap agreements were outstanding at March 31, 2016:
Counterparty | Underlying Security | Termination Date | Notional Amount(1) | Financing Fee(2)(3) | Unrealized Appreciation | |||||||||
Morgan Stanley & Co., Inc. | iBoxx $ Liquid High Yield Index | 06/20/2016 | $ | 151 | 3M LIBOR less 0.41528% | $ | 1 |
(1) | Notional amount changes by the percentage change of the price of the index applied to the notional amount. |
(2) | The Fund receives the financing fee multiplied by the notional amount each quarter. |
(3) | At the termination date, a net cash flow is exchanged where the market-linked total return is equivalent to the return of the underlying index less a financing rate, if any. As the receiver, a Fund would owe payments on any net positive total return, and would receive payments in the event of a negative total return. |
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of March 31, 2016. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Common Stocks | $ | 78,849 | $ | — | $ | — | ||||||
Corporate Debt Securities | — | 35,617 | — | |||||||||
Mortgage-Backed Securities | — | 508 | — | |||||||||
Other Government Securities | — | 759 | — | |||||||||
Loans | — | 16,035 | 957 | |||||||||
United States Government Agency Obligations | — | 1,005 | — | |||||||||
Short-Term Securities | — | 34,205 | — | |||||||||
Total | $ | 78,849 | $ | 88,129 | $ | 957 | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 37 | $ | — | ||||||
Total Return Swaps | $ | — | $ | 1 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 82 | $ | — |
During the period ended March 31, 2016, there were no transfers between any levels.
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
CMO = Collateralized Mortgage Obligation
GTD = Guaranteed
REMIC = Real Estate Mortgage Investment Conduit
14 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Apollo Multi-Asset Income Fund (in thousands) MARCH 31, 2016 (UNAUDITED) |
Market Sector Diversification |
| |||
(as a % of net assets) |
| |||
Financials | 17.4% | |||
Consumer Discretionary | 15.1% | |||
Health Care | 9.6% | |||
Industrials | 7.7% | |||
Telecommunication Services | 7.4% | |||
Consumer Staples | 7.1% |
Information Technology | 5.0% | |||
Energy | 4.7% | |||
Utilities | 3.6% | |||
Materials | 2.5% | |||
United States Government and Government Agency Obligations | 0.6% | |||
Other Government Securities | 0.5% | |||
Other+ | 18.8% |
+ | Includes cash and other assets (net of liabilities), and cash equivalents |
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 15 |
Table of Contents
PORTFOLIO HIGHLIGHTS
ALL DATA IS AS OF MARCH 31, 2016 (UNAUDITED) |
Asset Allocation
Bonds | 78.8% | |||
Corporate Debt Securities | 53.4% | |||
Loans | 12.6% | |||
United States Government and Government Agency Obligations | 11.0% | |||
Other Government Securities | 1.4% | |||
Mortgage-Backed Securities | 0.4% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 21.2% |
Quality Weightings
Investment Grade | 36.4% | |||
AAA | 0.4% | |||
AA | 10.4% | |||
A | 11.5% | |||
BBB | 14.1% | |||
Non-Investment Grade | 42.4% | |||
BB | 9.6% | |||
B | 18.1% | |||
CCC | 11.9% | |||
Below CCC | 0.0% | |||
Non-rated | 2.8% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 21.2% |
Our preference is to always use ratings obtained from Standard & Poor’s. For securities not rated by Standard & Poor’s, ratings are obtained from Moody’s. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
Country Weightings
North America | 61.7% | |||
United States | 53.2% | |||
Mexico | 5.1% | |||
Other North America | 3.4% | |||
Europe | 7.4% | |||
Pacific Basin | 3.6% | |||
South America | 2.5% | |||
Bahamas/Caribbean | 2.1% | |||
Other | 1.5% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 21.2% |
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
16 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Apollo Strategic Income Fund (in thousands) | MARCH 31, 2016 (UNAUDITED) |
CORPORATE DEBT SECURITIES | Principal | Value | ||||||
Argentina |
| |||||||
Energy – 0.5% |
| |||||||
YPF Sociedad Anonima | ||||||||
8.500%, 3-23-21 (A) | $ | 1,000 | $ | 1,001 | ||||
|
| |||||||
Total Argentina – 0.5% |
| $ | 1,001 | |||||
Australia |
| |||||||
Materials – 0.1% |
| |||||||
FMG Resources Pty Ltd. | ||||||||
9.750%, 3-1-22 (A) | 200 | 200 | ||||||
|
| |||||||
Total Australia – 0.1% |
| $ | 200 | |||||
Austria |
| |||||||
Consumer Staples – 0.1% |
| |||||||
JBS Investments GmbH (GTD by JBS S.A. and JBS Hungary Holdings Kft.) | ||||||||
7.750%, 10-28-20 (A) | 200 | 198 | ||||||
|
| |||||||
Total Austria – 0.1% |
| $ | 198 | |||||
Bahrain |
| |||||||
Financials – 0.4% |
| |||||||
HDFC Bank Ltd. | ||||||||
3.000%, 3-6-18 | 750 | 759 | ||||||
|
| |||||||
Total Bahrain – 0.4% |
| $ | 759 | |||||
British Virgin Islands |
| |||||||
Financials – 0.6% |
| |||||||
Horsepower Finance Ltd. | ||||||||
2.100%, 3-3-17 | 1,000 | 1,004 | ||||||
|
| |||||||
Telecommunication Services – 0.1% |
| |||||||
HKT Capital No. 2 Ltd. | ||||||||
3.625%, 4-2-25 | 200 | 203 | ||||||
|
| |||||||
Total British Virgin Islands – 0.7% |
| $ | 1,207 | |||||
Canada |
| |||||||
Consumer Discretionary – 0.2% |
| |||||||
Gateway Casinos & Entertainment Ltd. | ||||||||
8.500%, | CAD400 | 290 | ||||||
|
| |||||||
Energy – 0.4% |
| |||||||
EnCana Corp. | ||||||||
6.500%, 8-15-34 | $ | 97 | 82 | |||||
Seven Generations Energy Ltd.: | ||||||||
8.250%, 5-15-20 (A) | 445 | 446 | ||||||
6.750%, 5-1-23 (A) | 390 | 370 | ||||||
|
| |||||||
898 | ||||||||
|
| |||||||
Financials – 0.7% |
| |||||||
Bank of Montreal | ||||||||
1.800%, 7-31-18 | 500 | 502 | ||||||
Royal Bank of Canada | ||||||||
2.500%, 1-19-21 | 750 | 766 | ||||||
|
| |||||||
1,268 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Health Care – 0.9% |
| |||||||
Concordia Healthcare Corp. | ||||||||
9.500%, 10-21-22 (A) | $ | 868 | $ | 837 | ||||
VPII Escrow Corp. | ||||||||
7.500%, 7-15-21 (A) | 568 | 473 | ||||||
VRX Escrow Corp. | ||||||||
5.375%, 3-15-20 (A) | 135 | 110 | ||||||
|
| |||||||
1,420 | ||||||||
|
| |||||||
Industrials – 0.3% |
| |||||||
GFL Environmental, Inc. | ||||||||
7.875%, 4-1-20 (A) | 600 | 596 | ||||||
|
| |||||||
Information Technology – 0.5% |
| |||||||
Kronos Acquisition Holdings, Inc. | ||||||||
9.000%, 8-15-23 (A) | 840 | 769 | ||||||
Open Text Corp. | ||||||||
5.625%, 1-15-23 (A) | 252 | 257 | ||||||
|
| |||||||
1,026 | ||||||||
|
| |||||||
Total Canada – 3.0% |
| $ | 5,498 | |||||
Cayman Islands |
| |||||||
Financials – 0.4% |
| |||||||
Continental Senior Trust | ||||||||
5.750%, 1-18-17 (A) | 750 | 771 | ||||||
|
| |||||||
Materials – 0.4% |
| |||||||
Fibria Overseas Finance Ltd. | ||||||||
5.250%, 5-12-24 | 800 | 776 | ||||||
|
| |||||||
Telecommunication Services – 0.4% |
| |||||||
Hutchison Whampoa International (12) (II) Ltd. | ||||||||
2.000%, 11-8-17 (A) | 500 | 502 | ||||||
Sable International Finance Ltd. | ||||||||
6.875%, 8-1-22 (A) | 200 | 200 | ||||||
|
| |||||||
702 | ||||||||
|
| |||||||
Total Cayman Islands – 1.2% |
| $ | 2,249 | |||||
Chile |
| |||||||
Materials – 0.6% |
| |||||||
Inversiones CMPC S.A. (GTD by Empresas CMPC S.A.) | ||||||||
4.750%, 1-19-18 (A) | 1,000 | 1,033 | ||||||
|
| |||||||
Total Chile – 0.6% |
| $ | 1,033 | |||||
China |
| |||||||
Financials – 0.1% |
| |||||||
Industrial and Commercial Bank of China Ltd. | ||||||||
4.875%, 9-21-25 | 200 | 206 | ||||||
|
| |||||||
Information Technology – 0.1% |
| |||||||
Alibaba Group Holding Ltd. | ||||||||
1.625%, 11-28-17 | 250 | 249 | ||||||
|
| |||||||
Total China – 0.2% |
| $ | 455 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Columbia |
| |||||||
Financials – 0.4% |
| |||||||
Banco de Bogota S.A. | ||||||||
5.000%, 1-15-17 (A) | $ | 750 | $ | 759 | ||||
|
| |||||||
Utilities – 0.5% |
| |||||||
Empresas Publicas de Medellin | ||||||||
7.625%, 7-29-19 (A) | 697 | 790 | ||||||
|
| |||||||
Total Columbia – 0.9% |
| $ | 1,549 | |||||
India |
| |||||||
Financials – 0.2% |
| |||||||
Indian Railway Finance Corp. | ||||||||
3.417%, 10-10-17 | 319 | 325 | ||||||
|
| |||||||
Total India – 0.2% |
| $ | 325 | |||||
Indonesia |
| |||||||
Financials – 0.3% |
| |||||||
Bank Rakyat Indonesia | ||||||||
2.950%, 3-28-18 | 500 | 502 | ||||||
|
| |||||||
Utilities – 0.3% |
| |||||||
Majapahit Holding B.V. | ||||||||
7.750%, 10-17-16 | 500 | 516 | ||||||
|
| |||||||
Total Indonesia – 0.6% |
| $ | 1,018 | |||||
Israel |
| |||||||
Energy – 0.1% |
| |||||||
Delek & Avner Tamar Bond Ltd. | ||||||||
5.082%, 12-30-23 (A) | 150 | 149 | ||||||
|
| |||||||
Total Israel – 0.1% |
| $ | 149 | |||||
Japan |
| |||||||
Financials – 0.4% |
| |||||||
Mizuho Bank Ltd. | ||||||||
2.450%, 4-16-19 (A) | 750 | 758 | ||||||
|
| |||||||
Total Japan – 0.4% |
| $ | 758 | |||||
Jersey |
| |||||||
Financials – 0.3% |
| |||||||
Lincoln Finance Ltd. | ||||||||
6.875%, | EUR161 | 190 | ||||||
Mercury BondCo plc | ||||||||
8.250%, | 318 | 366 | ||||||
|
| |||||||
556 | ||||||||
|
| |||||||
Total Jersey – 0.3% |
| $ | 556 | |||||
Luxembourg |
| |||||||
Consumer Discretionary – 1.8% |
| |||||||
Altice Financing S.A.: | ||||||||
6.500%, 1-15-22 (A) | $ | 100 | 102 | |||||
6.625%, 2-15-23 (A) | 613 | 615 |
2016 | SEMIANNUAL REPORT | 17 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Apollo Strategic Income Fund (in thousands) MARCH 31, 2016 (UNAUDITED) |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Discretionary (Continued) |
| |||||||
Altice Financing S.A. (Continued): |
| |||||||
7.750%, 7-15-25 (A) | $ | 248 | $ | 242 | ||||
Altice S.A.: | ||||||||
7.750%, 5-15-22 (A) | 1,000 | 983 | ||||||
7.625%, 2-15-25 (A) | 400 | 383 | ||||||
Intelsat Jackson Holdings S.A. | ||||||||
8.000%, 2-15-24 (A) | 260 | 268 | ||||||
Nielsen Finance | ||||||||
5.500%, 10-1-21 (A) | 600 | 624 | ||||||
|
| |||||||
3,217 | ||||||||
|
| |||||||
Energy – 0.1% |
| |||||||
Globe Luxembourg SCA | ||||||||
9.625%, 5-1-18 (A)(D) | 200 | 152 | ||||||
|
| |||||||
Industrials – 0.4% |
| |||||||
Silver II Borrower SCA and Silver II U.S. Holdings | ||||||||
7.750%, 12-15-20 (A) | 970 | 766 | ||||||
|
| |||||||
Total Luxembourg – 2.3% |
| $ | 4,135 | |||||
Macau |
| |||||||
Consumer Discretionary – 0.4% |
| |||||||
Wynn Macau Ltd. | ||||||||
5.250%, 10-15-21 (A) | 800 | 754 | ||||||
|
| |||||||
Total Macau – 0.4% |
| $ | 754 | |||||
Mexico |
| |||||||
Consumer Discretionary – 0.8% |
| |||||||
Grupo Televisa S.A.B. de C.V. | ||||||||
6.000%, 5-15-18 | 1,250 | 1,355 | ||||||
|
| |||||||
Consumer Staples – 1.7% |
| |||||||
Coca-Cola FEMSA S.A.B. de C.V. | ||||||||
2.375%, 11-26-18 | 750 | 762 | ||||||
Grupo Bimbo S.A.B. de C.V. | ||||||||
4.500%, 1-25-22 (A) | 1,250 | 1,325 | ||||||
Kimberly-Clark de Mexico | ||||||||
3.800%, 4-8-24 (A) | 1,000 | 1,036 | ||||||
|
| |||||||
3,123 | ||||||||
|
| |||||||
Financials – 1.1% |
| |||||||
Banco Santander S.A. | ||||||||
4.125%, 11-9-22 (A) | 750 | 772 | ||||||
Nacional Financiera SNC | ||||||||
3.375%, 11-5-20 (A) | 750 | 756 | ||||||
PLA Administradora Industrial | ||||||||
5.250%, 11-10-22 (A) | 500 | 483 | ||||||
|
| |||||||
2,011 | ||||||||
|
| |||||||
Materials – 0.4% |
| |||||||
CEMEX S.A.B. de C.V. | ||||||||
5.875%, 3-25-19 (A) | 500 | 503 | ||||||
CEMEX S.A.B. de C.V., Convertible | ||||||||
3.750%, 3-15-18 | 265 | 276 | ||||||
|
| |||||||
779 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Telecommunication Services – 0.6% |
| |||||||
Telefonos de Mexico S.A.B de C.V. (GTD by America Movil S.A.B. de C.V.) | ||||||||
5.500%, 11-15-19 | $ | 1,000 | $ | 1,118 | ||||
|
| |||||||
Total Mexico – 4.6% |
| $ | 8,386 | |||||
Netherlands |
| |||||||
Consumer Discretionary – 0.8% |
| |||||||
Myriad International Holdings B.V. | ||||||||
6.375%, 7-28-17 (A) | 800 | 835 | ||||||
VTR Finance B.V. | ||||||||
6.875%, 1-15-24 (A) | 650 | 637 | ||||||
|
| |||||||
1,472 | ||||||||
|
| |||||||
Financials – 0.4% |
| |||||||
Rabobank Nederland | ||||||||
2.500%, 1-19-21 | 750 | 759 | ||||||
|
| |||||||
Industrials – 0.2% |
| |||||||
Cimpress N.V. | ||||||||
7.000%, 4-1-22 (A) | 390 | 386 | ||||||
|
| |||||||
Total Netherlands – 1.4% |
| $ | 2,617 | |||||
Norway |
| |||||||
Financials – 0.3% |
| |||||||
DNB Bank ASA | ||||||||
3.200%, 4-3-17 (A) | 500 | 509 | ||||||
|
| |||||||
Total Norway – 0.3% |
| $ | 509 | |||||
Panama |
| |||||||
Financials – 0.4% |
| |||||||
Banco Latinoamericano de Comercio Exterior S.A. | ||||||||
3.750%, 4-4-17 (A) | 750 | 762 | ||||||
|
| |||||||
Total Panama – 0.4% |
| $ | 762 | |||||
Peru |
| |||||||
Financials – 0.4% |
| |||||||
BBVA Banco Continental S.A. | ||||||||
3.250%, 4-8-18 (A) | 500 | 507 | ||||||
Corporacion Financiera de Desarrolla S.A. | ||||||||
4.750%, 2-8-22 (A) | 200 | 210 | ||||||
|
| |||||||
717 | ||||||||
|
| |||||||
Total Peru – 0.4% |
| $ | 717 | |||||
Singapore |
| |||||||
Financials – 0.4% |
| |||||||
DBS Bank Ltd. | ||||||||
3.625%, 9-21-22 (A) | 750 | 768 | ||||||
|
| |||||||
Total Singapore – 0.4% |
| $ | 768 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
South Korea |
| |||||||
Financials – 0.8% |
| |||||||
Kookmin Bank | ||||||||
2.125%, 10-21-20 (A) | $ | 750 | $ | 753 | ||||
Woori Bank | ||||||||
2.625%, 7-20-21 (A) | 750 | 766 | ||||||
|
| |||||||
1,519 | ||||||||
|
| |||||||
Telecommunication Services – 0.3% |
| |||||||
SK Broadband Co. Ltd. | ||||||||
2.875%, 10-29-18 | 500 | 509 | ||||||
|
| |||||||
Total South Korea – 1.1% |
| $ | 2,028 | |||||
United Arab Emirates |
| |||||||
Financials – 0.4% |
| |||||||
ICICI Bank Ltd. | ||||||||
4.700%, 2-21-18 (A) | 750 | 782 | ||||||
|
| |||||||
Utilities – 0.3% |
| |||||||
Abu Dhabi National Energy Co. | ||||||||
2.500%, 1-12-18 (A) | 500 | 501 | ||||||
|
| |||||||
Total United Arab Emirates – 0.7% |
| $ | 1,283 | |||||
United Kingdom |
| |||||||
Consumer Discretionary – 0.2% |
| |||||||
Virgin Media Secured Finance plc | ||||||||
6.000%, 4-15-21 (B) | GBP90 | 135 | ||||||
Vougeot Bidco plc | ||||||||
7.875%, 7-15-20 (B) | 119 | 177 | ||||||
|
| |||||||
312 | ||||||||
|
| |||||||
Consumer Staples – 0.4% |
| |||||||
BAT International Finance plc | ||||||||
1.850%, 6-15-18 (A) | $ | 750 | 756 | |||||
|
| |||||||
Financials – 1.2% |
| |||||||
Keystone Financing plc | ||||||||
9.500%, 10-15-19 (B) | GBP212 | 314 | ||||||
Odeon & UCI Finco plc | ||||||||
9.000%, 8-1-18 (B) | 212 | 314 | ||||||
Royal Bank of Scotland Group plc (The) | ||||||||
1.875%, 3-31-17 | $ | 750 | 749 | |||||
State Bank of India | ||||||||
3.250%, 4-18-18 (A) | 750 | 763 | ||||||
|
| |||||||
2,140 | ||||||||
|
| |||||||
Industrials – 0.1% |
| |||||||
Algeco Scotsman Global Finance plc | ||||||||
8.500%, 10-15-18 (A) | 350 | 270 | ||||||
|
| |||||||
Total United Kingdom – 1.9% |
| $ | 3,478 |
18 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Apollo Strategic Income Fund (in thousands) MARCH 31, 2016 (UNAUDITED) |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
United States |
| |||||||
Consumer Discretionary – 8.2% |
| |||||||
Acosta, Inc. | ||||||||
7.750%, 10-1-22 (A) | $ | 300 | $ | 278 | ||||
Altice U.S. Finance II Corp. | ||||||||
7.750%, 7-15-25 (A) | 605 | 596 | ||||||
AMC Networks, Inc. | ||||||||
5.000%, 4-1-24 | 27 | 27 | ||||||
B-Corp Merger Sub, Inc. | ||||||||
8.250%, 6-1-19 | 650 | 507 | ||||||
Bon-Ton Stores, Inc. (The) | ||||||||
8.000%, 6-15-21 | 825 | 353 | ||||||
Boyd Gaming Corp. | ||||||||
6.375%, 4-1-26 (A) | 36 | 37 | ||||||
Cablevision Systems Corp. | ||||||||
5.875%, 9-15-22 | 1,068 | 899 | ||||||
Clear Channel Outdoor Holdings, Inc. | ||||||||
6.500%, 11-15-22 | 485 | 483 | ||||||
Clear Channel Worldwide Holdings, Inc., Series B | ||||||||
7.625%, 3-15-20 | 1,225 | 1,124 | ||||||
Cumulus Media, Inc. | ||||||||
7.750%, 5-1-19 | 200 | 76 | ||||||
Daimler Finance North America LLC | ||||||||
1.375%, 8-1-17 (A) | 500 | 501 | ||||||
DISH DBS Corp.: | ||||||||
6.750%, 6-1-21 | 350 | 361 | ||||||
5.875%, 11-15-24 | 35 | 32 | ||||||
Hot Topic, Inc. | ||||||||
9.250%, 6-15-21 (A) | 400 | 401 | ||||||
HT Intermediate Holdings Corp. | ||||||||
12.000%, | 545 | 496 | ||||||
Jo-Ann Stores Holdings, Inc. | ||||||||
9.750%, | 355 | 284 | ||||||
Jo-Ann Stores, Inc. | ||||||||
8.125%, 3-15-19 (A) | 970 | 892 | ||||||
Laureate Education, Inc. | ||||||||
10.000%, | 875 | 643 | ||||||
MDC Partners, Inc. | ||||||||
6.500%, 5-1-24 (A) | 62 | 63 | ||||||
MGM Resorts International | ||||||||
6.000%, 3-15-23 | 275 | 284 | ||||||
Neiman Marcus Group Ltd., Inc. | ||||||||
8.000%, 10-15-21 (A) | 1,170 | 1,006 | ||||||
Neptune Finco Corp.: | ||||||||
10.125%, 1-15-23 (A) | 400 | 428 | ||||||
10.875%, 10-15-25 (A) | 648 | 708 | ||||||
Nielsen Finance LLC and Nielsen Finance Co. | ||||||||
5.000%, 4-15-22 (A) | 600 | 615 | ||||||
Palace Entertainment Holdings LLC | ||||||||
8.875%, 4-15-17 (A) | 745 | 723 | ||||||
Pinnacle Operating Corp. | ||||||||
9.000%, 11-15-20 (A) | 650 | 561 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Consumer Discretionary (Continued) |
| |||||||
PulteGroup, Inc. (GTD by Pulte Home Corp., Centex Homes and Del Webb Corp.) | ||||||||
4.250%, 3-1-21 | $ | 138 | $ | 140 | ||||
Radio One, Inc. (GTD by TV One LLC) | ||||||||
7.375%, 4-15-22 (A) | 186 | 167 | ||||||
Sinclair Television Group, Inc. | ||||||||
5.875%, 3-15-26 (A) | 275 | 282 | ||||||
Univision Communications, Inc. | ||||||||
8.500%, 5-15-21 (A) | 395 | 403 | ||||||
Wave Holdco LLC and Wave Holdco Corp. | ||||||||
8.250%, | 209 | 204 | ||||||
WaveDivision Escrow LLC and WaveDivision Escrow Corp. | ||||||||
8.125%, 9-1-20 (A) | 200 | 198 | ||||||
WMG Acquisition Corp. | ||||||||
6.750%, 4-15-22 (A) | 975 | 965 | ||||||
YUM! Brands, Inc. | ||||||||
6.250%, 3-15-18 | 163 | 172 | ||||||
|
| |||||||
14,909 | ||||||||
|
| |||||||
Consumer Staples – 3.1% |
| |||||||
Anheuser-Busch InBev S.A./N.V. | ||||||||
2.650%, 2-1-21 | 1,500 | 1,542 | ||||||
Bunge Ltd. Finance Corp. | ||||||||
3.500%, 11-24-20 | 750 | 760 | ||||||
JBS USA LLC and JBS USA Finance, Inc.: | ||||||||
7.250%, 6-1-21 (A) | 33 | 33 | ||||||
5.875%, 7-15-24 (A) | 373 | 337 | ||||||
5.750%, 6-15-25 (A) | 458 | 401 | ||||||
Philip Morris International, Inc. | ||||||||
1.375%, 2-25-19 | 1,000 | 1,004 | ||||||
Post Holdings, Inc.: | ||||||||
7.375%, 2-15-22 | 500 | 529 | ||||||
7.750%, 3-15-24 (A) | 370 | 406 | ||||||
Prestige Brands, Inc. | ||||||||
5.375%, 12-15-21 (A) | 350 | 354 | ||||||
Simmons Foods, Inc. | ||||||||
7.875%, 10-1-21 (A) | 515 | 434 | ||||||
|
| |||||||
5,800 | ||||||||
|
| |||||||
Energy – 1.8% |
| |||||||
California Resources Corp.: | ||||||||
8.000%, 12-15-22 (A) | 64 | 25 | ||||||
6.000%, 11-15-24 | 37 | 8 | ||||||
Chesapeake Energy Corp. | ||||||||
6.500%, 8-15-17 | 66 | 44 | ||||||
Clayton Williams Energy, Inc. | ||||||||
7.750%, 4-1-19 | 457 | 229 | ||||||
Endeavor Energy Resources L.P. | ||||||||
7.000%, 8-15-21 (A) | 1,268 | 1,185 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Energy (Continued) |
| |||||||
Laredo Petroleum, Inc. | ||||||||
7.375%, 5-1-22 | $ | 1,077 | $ | 933 | ||||
ONEOK, Inc. | ||||||||
7.500%, 9-1-23 | 340 | 332 | ||||||
PBF Holding Co. LLC and PBF Finance Corp. | ||||||||
7.000%, 11-15-23 (A) | 93 | 88 | ||||||
Reliance Holding USA, Inc. | ||||||||
4.500%, 10-19-20 (A) | 500 | 538 | ||||||
|
| |||||||
3,382 | ||||||||
|
| |||||||
Financials – 4.6% |
| |||||||
Aircastle Ltd.: | ||||||||
5.125%, 3-15-21 | 871 | 908 | ||||||
5.500%, 2-15-22 | 613 | 639 | ||||||
5.000%, 4-1-23 | 97 | 97 | ||||||
Australia & New Zealand Banking Group Ltd. | ||||||||
2.000%, 11-16-18 | 500 | 504 | ||||||
Balboa Merger Sub, Inc. | ||||||||
11.375%, 12-1-21 (A) | 200 | 175 | ||||||
HSBC USA, Inc.: | ||||||||
1.625%, 1-16-18 | 750 | 749 | ||||||
2.750%, 8-7-20 | 1,000 | 1,005 | ||||||
Hub International Ltd. | ||||||||
7.875%, 10-1-21 (A) | 400 | 394 | ||||||
Hyundai Capital America | ||||||||
2.000%, 3-19-18 (A) | 500 | 504 | ||||||
KeyBank N.A. | ||||||||
2.500%, 12-15-19 | 1,000 | 1,012 | ||||||
New Cotai LLC and New Cotai Capital Corp. | ||||||||
10.625%, 5-1-19 (A)(C) | 480 | 341 | ||||||
Onex USI Acquisition Corp. | ||||||||
7.750%, 1-15-21 (A) | 650 | 650 | ||||||
Patriot Merger Corp. | ||||||||
9.000%, 7-15-21 (A) | 650 | 624 | ||||||
Provident Funding Associates L.P. and PFG Finance Corp. | ||||||||
6.750%, 6-15-21 (A) | 750 | 711 | ||||||
|
| |||||||
8,313 | ||||||||
|
| |||||||
Health Care – 2.5% |
| |||||||
Acadia Healthcare Co., Inc. | ||||||||
6.500%, 3-1-24 (A) | 270 | 281 | ||||||
Centene Escrow Corp.: | ||||||||
5.625%, 2-15-21 (A) | 323 | 337 | ||||||
6.125%, 2-15-24 (A) | 35 | 37 | ||||||
ConvaTec Healthcare E S.A. | ||||||||
10.500%, 12-15-18 (A) | 189 | 195 | ||||||
Fresenius U.S. Finance II, Inc. | ||||||||
4.250%, 2-1-21 (A) | 600 | 617 | ||||||
Greatbatch Ltd. | ||||||||
9.125%, 11-1-23 (A) | 200 | 198 | ||||||
HCA, Inc. | ||||||||
5.250%, 6-15-26 | 333 | 341 | ||||||
Jaguar Holding Co. II and Pharmaceutical Product Development LLC | ||||||||
6.375%, 8-1-23 (A) | 650 | 667 | ||||||
LifePoint Health, Inc. | ||||||||
5.500%, 12-1-21 | 275 | 287 |
2016 | SEMIANNUAL REPORT | 19 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Apollo Strategic Income Fund (in thousands) MARCH 31, 2016 (UNAUDITED) |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Health Care (Continued) |
| |||||||
MPH Acquisition Holdings LLC | ||||||||
6.625%, 4-1-22 (A) | $ | 600 | $ | 625 | ||||
Surgery Center Holdings, Inc. | ||||||||
8.875%, 4-15-21 (A) | 467 | 467 | ||||||
Team Health, Inc. | ||||||||
7.250%, 12-15-23 (A) | 107 | 114 | ||||||
Universal Hospital Services, Inc. | ||||||||
7.625%, 8-15-20 | 330 | 305 | ||||||
|
| |||||||
4,471 | ||||||||
|
| |||||||
Industrials – 2.7% |
| |||||||
BAE Systems Holdings, Inc. | ||||||||
6.375%, 6-1-19 (A) | 750 | 843 | ||||||
Florida East Coast Holdings Corp. and Florida East Coast Industries LLC | ||||||||
6.750%, 5-1-19 (A) | 540 | 540 | ||||||
GCP Appled Technologies, Inc. | ||||||||
9.500%, 2-1-23 (A) | 162 | 176 | ||||||
HD Supply, Inc.: | ||||||||
5.250%, 12-15-21 (A) | 275 | 289 | ||||||
5.750%, 4-15-24 (A) | 159 | 163 | ||||||
inVentiv Health, Inc. | ||||||||
9.000%, 1-15-18 (A) | 189 | 195 | ||||||
KLX, Inc. | ||||||||
5.875%, 12-1-22 (A) | 58 | 57 | ||||||
Lockheed Martin Corp. | ||||||||
2.500%, 11-23-20 | 750 | 769 | ||||||
Masco Corp.: | ||||||||
3.500%, 4-1-21 | 217 | 219 | ||||||
4.375%, 4-1-26 | 133 | 135 | ||||||
Sensata Technologies UK Financing Co. plc | ||||||||
5.625%, 11-1-24 (A) | 189 | 197 | ||||||
Standard Industries, Inc. | ||||||||
5.500%, 2-15-23 (A) | 189 | 193 | ||||||
Summit Materials LLC and Summit Materials Finance Corp.: | ||||||||
8.500%, 4-15-22 (A) | 34 | 35 | ||||||
6.125%, 7-15-23 | 72 | 68 | ||||||
TransDigm Group, Inc. | ||||||||
7.500%, 7-15-21 | 400 | 419 | ||||||
TransDigm, Inc.: | ||||||||
6.000%, 7-15-22 | 350 | 349 | ||||||
6.500%, 7-15-24 | 350 | 347 | ||||||
XPO Logistics, Inc. | ||||||||
6.500%, 6-15-22 (A) | 84 | 82 | ||||||
|
| |||||||
5,076 | ||||||||
|
| |||||||
Information Technology – 3.3% |
| |||||||
Alliance Data Systems Corp.: | ||||||||
6.375%, 4-1-20 (A) | 235 | 239 | ||||||
5.375%, 8-1-22 (A) | 1,130 | 1,060 | ||||||
Ensemble S Merger Sub, Inc. | ||||||||
9.000%, 9-30-23 (A) | 200 | 196 | ||||||
First Data Corp. | ||||||||
5.000%, 1-15-24 (A) | 275 | 275 | ||||||
Freescale Semiconductor, Inc. | ||||||||
5.000%, 5-15-21 (A) | 265 | 274 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Information Technology (Continued) |
| |||||||
Infor (U.S.), Inc. | ||||||||
5.750%, 8-15-20 (A) | $ | 146 | $ | 150 | ||||
Infor Software Parent LLC and Infor Software Parent, Inc. | ||||||||
7.125%, 5-1-21 (A)(C) | 575 | 430 | ||||||
Italics Merger Sub, Inc. | ||||||||
7.125%, 7-15-23 (A) | 620 | 598 | ||||||
L-3 Communications Corp. | ||||||||
5.200%, 10-15-19 | 750 | 798 | ||||||
Micron Technology, Inc.: | ||||||||
5.875%, 2-15-22 | 990 | 857 | ||||||
5.500%, 2-1-25 | 400 | 324 | ||||||
NCR Escrow Corp. | ||||||||
6.375%, 12-15-23 | 320 | 330 | ||||||
West Corp. | ||||||||
5.375%, 7-15-22 (A) | 246 | 226 | ||||||
Western Digital Corp.: | ||||||||
7.375%, 4-1-23 (A) | 46 | 47 | ||||||
10.500%, 4-1-24 (A) | 46 | 46 | ||||||
|
| |||||||
5,850 | ||||||||
|
| |||||||
Materials – 0.5% |
| |||||||
Hillman Group, Inc. (The) | ||||||||
6.375%, 7-15-22 (A) | 370 | 309 | ||||||
Owens-Brockway Glass Container, Inc. | ||||||||
5.000%, 1-15-22 (A) | 275 | 281 | ||||||
PSPC Escrow II Corp. | ||||||||
10.375%, 5-1-21 (A) | 58 | 56 | ||||||
Wise Metals Intermediate Holdings | ||||||||
9.750%, | 594 | 270 | ||||||
|
| |||||||
916 | ||||||||
|
| |||||||
Telecommunication Services – 3.2% |
| |||||||
American Tower Corp. | ||||||||
3.400%, 2-15-19 | 600 | 617 | ||||||
Frontier Communications Corp.: | ||||||||
8.875%, 9-15-20 (A) | 650 | 678 | ||||||
9.250%, 7-1-21 | 200 | 204 | ||||||
GCI, Inc. | ||||||||
6.875%, 4-15-25 | 600 | 612 | ||||||
Level 3 Escrow II, Inc. | ||||||||
5.375%, 8-15-22 | 609 | 619 | ||||||
Level 3 Financing, Inc. | ||||||||
5.250%, 3-15-26 (A) | 275 | 277 | ||||||
Sprint Corp.: | ||||||||
7.250%, 9-15-21 | 987 | 754 | ||||||
7.875%, 9-15-23 | 511 | 390 | ||||||
Sprint Nextel Corp.: | ||||||||
6.000%, 12-1-16 | 68 | 68 | ||||||
9.125%, 3-1-17 | 42 | 43 | ||||||
8.375%, 8-15-17 | 135 | 133 | ||||||
9.000%, 11-15-18 (A) | 52 | 54 | ||||||
7.000%, 8-15-20 | 42 | 33 | ||||||
T-Mobile USA, Inc.: | ||||||||
6.000%, 4-15-24 | 182 | 184 | ||||||
6.500%, 1-15-26 | 101 | 105 | ||||||
Verizon Communications, Inc. | ||||||||
6.100%, 4-15-18 | 1,000 | 1,091 | ||||||
|
| |||||||
5,862 | ||||||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Utilities – 0.3% |
| |||||||
Sempra Energy | ||||||||
2.850%, 11-15-20 | $ | 500 | $ | 509 | ||||
|
| |||||||
Total United States – 30.2% |
| $ | 55,088 | |||||
TOTAL CORPORATE DEBT SECURITIES – 53.4% |
| $ | 97,480 | |||||
(Cost: $96,664) | ||||||||
MORTGAGE-BACKED SECURITIES | ||||||||
United States – 0.4% |
| |||||||
Ballyrock Ltd., Series 2014-1A, Class C | ||||||||
4.067%, | 530 | 430 | ||||||
U.S. Residential Opportunity Fund Trust 2015-1III, Class A | ||||||||
3.721%, | 269 | 267 | ||||||
|
| |||||||
697 | ||||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES – 0.4% |
| $ | 697 | |||||
(Cost: $681) | ||||||||
OTHER GOVERNMENT SECURITIES (E) | ||||||||
Chile – 0.1% |
| |||||||
Banco del Estado de Chile | ||||||||
3.875%, 2-8-22 (A) | 150 | 159 | ||||||
|
| |||||||
Indonesia – 0.2% |
| |||||||
Perusahaan Penerbit SBSN Indonesia III | ||||||||
4.350%, 9-10-24 | 200 | 200 | ||||||
PT Pelabuhan Indonesia II | ||||||||
4.250%, 5-5-25 | 200 | 191 | ||||||
|
| |||||||
391 | ||||||||
|
| |||||||
Mexico – 0.5% |
| |||||||
United Mexican States: | ||||||||
5.625%, 1-15-17 | 1,000 | 1,031 | ||||||
3.625%, 3-15-22 | 50 | 52 | ||||||
|
| |||||||
1,083 | ||||||||
|
| |||||||
South Africa – 0.1% |
| |||||||
Republic of South Africa | ||||||||
5.500%, 3-9-20 | 100 | 106 | ||||||
|
| |||||||
South Korea – 0.3% |
| |||||||
Korea Development Bank (The) | ||||||||
1.500%, 1-22-18 | 500 | 500 | ||||||
|
| |||||||
Supranational – 0.2% |
| |||||||
Central American Bank for Economic Integration | ||||||||
3.875%, 2-9-17 (A) | 275 | 277 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 1.4% |
| $ | 2,516 | |||||
(Cost: $2,491) |
20 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Apollo Strategic Income Fund (in thousands) MARCH 31, 2016 (UNAUDITED) |
LOANS (D) | Principal | Value | ||||||
Cayman Islands |
| |||||||
Information Technology – 0.2% |
| |||||||
Avago Technologies Ltd. | ||||||||
4.250%, 2-1-23 | $ | 316 | $ | 314 | ||||
|
| |||||||
Total Cayman Islands – 0.2% |
| $ | 314 | |||||
France |
| |||||||
Health Care – 0.2% |
| |||||||
Ethypharm: | ||||||||
5.500%, 9-30-22 (B) | EUR | 6 | 6 | |||||
0.000%, 9-30-22 (B)(F) | 274 | 311 | ||||||
|
| |||||||
317 | ||||||||
|
| |||||||
Total France – 0.2% |
| $ | 317 | |||||
Luxembourg |
| |||||||
Consumer Discretionary – 0.4% |
| |||||||
Eircom Finco S.a.r.l. | ||||||||
4.500%, 5-31-22 (B) | 336 | 378 | ||||||
Formula One Holdings Ltd. and Delta Two S.a.r.l. | ||||||||
4.750%, 7-30-21 | $ | 340 | 330 | |||||
|
| |||||||
708 | ||||||||
|
| |||||||
Total Luxembourg – 0.4% |
| $ | 708 | |||||
United Kingdom |
| |||||||
Energy – 0.2% |
| |||||||
KCA Deutag Alpha Ltd. | ||||||||
6.250%, 5-16-20 | 423 | 285 | ||||||
|
| |||||||
Total United Kingdom – 0.2% |
| $ | 285 | |||||
United States |
| |||||||
Consumer Discretionary – 3.3% |
| |||||||
Academy Sports + Outdoors: | ||||||||
5.000%, 7-2-22 | 338 | 321 | ||||||
Advantage Sales & Marketing, Inc. | ||||||||
7.500%, 7-25-22 | 600 | 539 | ||||||
BJ’s Wholesale Club, Inc. | ||||||||
8.500%, 3-31-20 | 650 | 597 | ||||||
Bureau Van Dijk Electronic Publishing B.V. | ||||||||
0.000%, 9-23-21 (B)(F) | GBP | 607 | 850 | |||||
Charter Communicatons, Inc. | ||||||||
3.250%, 8-24-21 | $ | 270 | 269 | |||||
Dollar Tree, Inc. | ||||||||
3.500%, 7-6-22 | 212 | 212 | ||||||
GNC Holdings, Inc. | ||||||||
0.000%, 3-4-19 (F) | 260 | 257 | ||||||
Hotel del Coronado | ||||||||
6.426%, 12-9-17 | 540 | 546 | ||||||
KIK Custom Products, Inc.: | ||||||||
5.750%, 11-19-21 | 278 | 269 | ||||||
5.250%, 5-21-22 | 279 | 278 | ||||||
6.000%, 8-26-22 | 398 | 383 | ||||||
Mattress Holding Corp. | ||||||||
6.250%, 10-20-21 | 250 | 248 | ||||||
PETCO Animal Supplies, Inc. | ||||||||
5.750%, 1-26-23 | 255 | 255 |
LOANS (D) (Continued) | Principal | Value | ||||||
Consumer Discretionary (Continued) |
| |||||||
Scientific Games Corp. | ||||||||
0.000%, 10-18-20 (F) | $ | 269 | $ | 260 | ||||
Staples, Inc. and Staples Escrow LLC | ||||||||
4.750%, 2-2-22 | 250 | 250 | ||||||
Talbots, Inc. (The): | ||||||||
5.500%, 3-19-20 | 398 | 371 | ||||||
9.500%, 3-19-21 | 400 | 372 | ||||||
|
| |||||||
6,277 | ||||||||
|
| |||||||
Consumer Staples – 0.3% |
| |||||||
Albertson’s Holdings LLC | ||||||||
5.500%, 3-21-19 | 244 | 244 | ||||||
TriMark USA, Inc. | ||||||||
5.250%, 8-22-21 | 279 | 275 | ||||||
|
| |||||||
519 | ||||||||
|
| |||||||
Financials – 2.1% |
| |||||||
Ascensus, Inc. | ||||||||
5.500%, 12-3-22 | 304 | 294 | ||||||
AWAS Aviation Capital Ltd. | ||||||||
0.000%, 3-18-18 (F) | 260 | 259 | ||||||
Edelman Financial Center LLC | ||||||||
6.500%, 12-16-22 | 279 | 274 | ||||||
Global Payments, Inc. | ||||||||
0.000%, 3-24-23 (F) | 260 | 261 | ||||||
Inland Retail Real Estate Trust, Inc. | ||||||||
6.935%, 4-1-19 | 1,600 | 1,574 | ||||||
Institutional Shareholder Services, Inc. | ||||||||
5.000%, 5-12-21 | 279 | 265 | ||||||
Transfirst Holdings, Inc. | ||||||||
6.250%, 11-12-21 | 274 | 274 | ||||||
TransFirst, Inc. | ||||||||
10.500%, 11-12-22 | 270 | 270 | ||||||
TransUnion | ||||||||
0.000%, 4-9-21 (F) | 269 | 266 | ||||||
WP Mustang Holdings LLC | ||||||||
8.500%, 5-29-22 | 200 | 197 | ||||||
|
| |||||||
3,934 | ||||||||
|
| |||||||
Health Care – 1.4% |
| |||||||
Atrium Innovations, Inc. | ||||||||
7.750%, 8-10-21 | 600 | 483 | ||||||
Endo Pharmaceuticals Holdings, Inc. | ||||||||
3.750%, 9-25-22 | 260 | 256 | ||||||
HCA, Inc.: | ||||||||
0.000%, 5-1-18 (F) | 279 | 278 | ||||||
3.683%, 3-8-23 | 275 | 276 | ||||||
MPH Acquisition Holdings LLC | ||||||||
0.000%, 3-31-21 (F) | 272 | 269 | ||||||
Schumacher Group | ||||||||
5.000%, 7-31-22 | 289 | 284 | ||||||
Team Health Holdings, Inc. | ||||||||
4.500%, 11-23-22 | 289 | 289 | ||||||
Valeant Pharmaceuticals International, Inc. | ||||||||
4.000%, 4-1-22 | 338 | 319 | ||||||
|
| |||||||
2,454 | ||||||||
|
| |||||||
Industrials – 1.3% |
| |||||||
Aramark Services, Inc. | ||||||||
3.250%, 9-7-19 | 261 | 260 |
LOANS (D) (Continued) | Principal | Value | ||||||
Industrials (Continued) |
| |||||||
Cast & Crew Payroll LLC | ||||||||
4.750%, 8-3-22 | $ | 279 | $ | 269 | ||||
DAE Aviation Holdings, Inc. | ||||||||
5.250%, 7-7-22 | 338 | 337 | ||||||
Dynacast International LLC | ||||||||
9.500%, 1-30-23 | 210 | 193 | ||||||
GCA Services Group, Inc.: | ||||||||
5.750%, 2-10-23 | 202 | 203 | ||||||
5.750%, 2-22-23 | 68 | 68 | ||||||
KAR Auction Services, Inc. | ||||||||
4.188%, 3-9-23 | 275 | 276 | ||||||
Packers Holdings LLC | ||||||||
5.000%, 12-3-21 | 279 | 278 | ||||||
Solera LLC and Solera Finance, Inc. | ||||||||
5.750%, 3-4-23 | 275 | 274 | ||||||
United Site Services, Inc.: | ||||||||
7.250%, 8-5-21 | 1 | 1 | ||||||
5.750%, 8-5-21 | 279 | 277 | ||||||
|
| |||||||
2,436 | ||||||||
|
| |||||||
Information Technology – 2.2% |
| |||||||
Applied Systems, Inc. | ||||||||
7.500%, 1-23-22 | 1,250 | 1,176 | ||||||
First Data Corp. | ||||||||
3.932%, 3-24-18 | 274 | 274 | ||||||
Infor (U.S.), Inc. | ||||||||
0.000%, 6-3-20 (F) | 274 | 266 | ||||||
Misys plc and Magic Newco LLC | ||||||||
12.000%, 6-12-19 | 950 | 974 | ||||||
ON Semiconductor Corp. | ||||||||
0.000%, 3-31-23 (F) | 260 | 260 | ||||||
RedPrairie Corp.: | ||||||||
6.000%, 12-21-18 | 120 | 111 | ||||||
0.000%, 12-21-18 (F) | 4 | 3 | ||||||
11.250%, 12-21-19 | 44 | 35 | ||||||
Survey Sampling International: | ||||||||
7.500%, 12-17-20 | 1 | 1 | ||||||
6.000%, 12-17-20 | 290 | 284 | ||||||
TIBCO Software, Inc. | ||||||||
0.000%, 12-4-20 (F) | 400 | 359 | ||||||
Western Digital Corp. | ||||||||
0.000%, 3-16-23 (F) | 260 | 257 | ||||||
|
| |||||||
4,000 | ||||||||
|
| |||||||
Materials – 0.3% |
| |||||||
FMG Resources Pty Ltd | ||||||||
0.000%, 6-30-19 (F) | 161 | 135 | ||||||
Huntsman International LLC | ||||||||
0.000%, 3-24-23 (F) | 260 | 259 | ||||||
MacDermid, Inc. | ||||||||
0.000%, 6-7-20 (F) | 25 | 24 | ||||||
|
| |||||||
418 | ||||||||
|
| |||||||
Telecommunication Services – 0.4% |
| |||||||
Level 3 Financing, Inc. | ||||||||
4.000%, 8-1-19 | 250 | 250 | ||||||
Lightower Fiber Networks | ||||||||
4.000%, 4-13-20 | 274 | 271 | ||||||
Zayo Group LLC | ||||||||
4.500%, 5-6-21 | 254 | 255 | ||||||
|
| |||||||
776 | ||||||||
|
|
2016 | SEMIANNUAL REPORT | 21 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Apollo Strategic Income Fund (in thousands) MARCH 31, 2016 (UNAUDITED) |
LOANS (D) (Continued) | Principal | Value | ||||||
Utilities – 0.3% |
| |||||||
Calpine Corp.: | ||||||||
0.000%, 10-9-19 (F) | $ | 274 | $ | 273 | ||||
4.000%, 1-15-23 | 202 | 201 | ||||||
|
| |||||||
474 | ||||||||
|
| |||||||
Total United States – 11.6% |
| $ | 21,288 | |||||
TOTAL LOANS – 12.6% |
| $ | 22,912 | |||||
(Cost: $23,082) | ||||||||
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS | ||||||||
United States – 5.7% |
| |||||||
Federal Home Loan Mortgage Corp. Agency REMIC/CMO: | ||||||||
2.699%, 5-25-18 | 1,500 | 1,536 | ||||||
4.881%, | 2,150 | 2,240 | ||||||
3.562%, | 350 | 357 | ||||||
Federal National Mortgage Association Agency REMIC/CMO: | ||||||||
2.990%, 11-1-18 | 300 | 311 | ||||||
2.480%, 6-1-19 | 290 | 299 | ||||||
7.000%, 10-25-31 (G) | 623 | 147 | ||||||
6.317%, | 1,487 | 247 | ||||||
6.767%, | 1,342 | 254 | ||||||
2.000%, 4-25-40 | 2,052 | 2,066 | ||||||
3.500%, 10-25-41 (G) | 904 | 126 | ||||||
3.000%, 2-25-44 | 329 | 347 | ||||||
1.759%, | 2,238 | 161 | ||||||
2.500%, 11-25-45 | 272 | 278 | ||||||
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: | ||||||||
4.490%, 5-1-19 | 485 | 527 | ||||||
4.637%, 7-1-20 | 714 | 783 |
UNITED STATES GOVERNMENT AGENCY | Principal | Value | ||||||
United States (Continued) |
| |||||||
Government National Mortgage Association Agency REMIC/CMO: | ||||||||
1.080%, | $ | 5,377 | $ | 282 | ||||
1.649%, | 3,425 | 132 | ||||||
Government National Mortgage Association Fixed Rate Pass-Through Certificates | ||||||||
3.500%, 4-20-34 | 266 | 277 | ||||||
|
| |||||||
10,370 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 5.7% |
| $ | 10,370 | |||||
(Cost: $10,337) | ||||||||
UNITED STATES GOVERNMENT OBLIGATIONS | ||||||||
United States – 5.3% |
| |||||||
U.S. Treasury Bonds | ||||||||
2.250%, 11-15-25 | 1,800 | 1,874 | ||||||
U.S. Treasury Notes: | ||||||||
0.625%, 9-30-17 | 3,100 | 3,096 | ||||||
1.125%, 1-15-19 | 1,500 | 1,512 | ||||||
1.375%, 9-30-20 | 3,100 | 3,127 | ||||||
|
| |||||||
9,609 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 5.3% |
| $ | 9,609 | |||||
(Cost: $9,557) |
SHORT-TERM SECURITIES | Principal | Value | ||||||
Commercial Paper (H) – 18.4% |
| |||||||
Baxter International, Inc. | ||||||||
0.710%, 4-1-16 | $ | 3,000 | $ | 3,000 | ||||
Becton Dickinson & Co. | ||||||||
0.761%, 4-5-16 | 3,000 | 3,000 | ||||||
Campbell Soup Co. | ||||||||
0.460%, 4-25-16 | 2,000 | 1,999 | ||||||
Essilor International S.A. | ||||||||
0.430%, 4-4-16 | 2,000 | 2,000 | ||||||
Hershey Co. (The) | ||||||||
0.300%, 4-12-16 | 1,500 | 1,500 | ||||||
J.M. Smucker Co. (The) | ||||||||
0.650%, 4-1-16 | 2,973 | 2,973 | ||||||
John Deere Canada ULC (GTD by Deere & Co.) | ||||||||
0.370%, 4-20-16 | 3,000 | 2,999 | ||||||
Novartis Finance Corp. (GTD by Novartis AG) | ||||||||
0.410%, 4-4-16 | 5,000 | 5,000 | ||||||
Rockwell Automation, Inc. | ||||||||
0.440%, 4-13-16 | 5,000 | 4,999 | ||||||
United Technologies Corp. | ||||||||
0.730%, 4-4-16 | 6,000 | 6,000 | ||||||
|
| |||||||
33,470 | ||||||||
|
| |||||||
Master Note – 3.3% |
| |||||||
Toyota Motor Credit Corp. | ||||||||
0.443%, 4-6-16 (I) | 6,032 | 6,032 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 21.7% |
| $ | 39,502 | |||||
(Cost: $39,502) | ||||||||
TOTAL INVESTMENT SECURITIES – 100.5% | $ | 183,086 | ||||||
(Cost: $182,314) | ||||||||
LIABILITIES, NET OF CASH AND OTHER ASSETS – (0.5)% | (897 | ) | ||||||
NET ASSETS – 100.0% | $ | 182,189 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2016 the total value of these securities amounted to $62,826 or 34.5% of net assets. |
(B) | Principal amounts are denominated in the indicated foreign currency, where applicable (CAD - Canadian Dollar, EUR - Euro and GBP - British Pound). |
(C) | Payment-in-kind bonds. |
(D) | Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2016. |
(E) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(F) | All or a portion of this position has not settled. Full contract rates do not take effect until settlement date. |
(G) | Interest-only security. Amount shown as principal represents notional amount for computation of interest. |
(H) | Rate shown is the yield to maturity at March 31, 2016. |
22 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Apollo Strategic Income Fund (in thousands) MARCH 31, 2016 (UNAUDITED) |
(I) | Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2016. Date shown represents the date that the variable rate resets. |
The following forward foreign currency contracts were outstanding at March 31, 2016:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||
British Pound | 660 | U.S. Dollar | 940 | 6-30-16 | JPMorgan Securities LLC | $ | — | $ | 8 | |||||||||||||||
Euro | 840 | U.S. Dollar | 929 | 6-30-16 | JPMorgan Securities LLC | — | 30 | |||||||||||||||||
Canadian Dollar | 384 | U.S. Dollar | 295 | 4-26-16 | Morgan Stanley International | — | — | * | ||||||||||||||||
|
| |||||||||||||||||||||||
$ | — | $ | 38 | |||||||||||||||||||||
|
|
The following total return swap agreements were outstanding at March 31, 2016:
Counterparty | Underlying Security | Termination Date | Notional Amount(1) | Financing Fee(2)(3) | Unrealized Appreciation | |||||
Morgan Stanley & Co., Inc. | iBoxx $ Liquid High Yield Index | 06/20/2016 | $227 | 3M LIBOR less 0.41528% | $1 |
(1) | Notional amount changes by the percentage change of the price of the index applied to the notional amount. |
(2) | The Fund receives the financing fee multiplied by the notional amount each quarter. |
(3) | At the termination date, a net cash flow is exchanged where the market-linked total return is equivalent to the return of the underlying index less a financing rate, if any. As the receiver, a Fund would owe payments on any net positive total return, and would receive payments in the event of a negative total return. |
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of March 31, 2016. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Corporate Debt Securities | $ | — | $ | 97,480 | $ | — | ||||||
Mortgage-Backed Securities | — | 697 | — | |||||||||
Other Government Securities | — | 2,516 | — | |||||||||
Loans | — | 21,634 | 1,278 | |||||||||
United States Government Agency Obligations | — | 10,370 | — | |||||||||
United States Government Obligations | — | 9,609 | — | |||||||||
Short-Term Securities | — | 39,502 | — | |||||||||
Total | $ | — | $ | 181,808 | $ | 1,278 | ||||||
Total Return Swaps | $ | — | $ | 1 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 38 | $ | — |
During the period ended March 31, 2016, there were no transfers between any levels.
The following acronyms are used throughout this schedule:
CMO = Collateralized Mortgage Obligation
GTD = Guaranteed
REMIC = Real Estate Mortgage Investment Conduit
2016 | SEMIANNUAL REPORT | 23 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Apollo Strategic Income Fund (in thousands) MARCH 31, 2016 (UNAUDITED) |
Market Sector Diversification | ||||
(as a % of net assets) | ||||
Financials | 16.3% | |||
Consumer Discretionary | 16.1% | |||
United States Government and Government Agency Obligations | 11.0% | |||
Information Technology | 6.3% | |||
Consumer Staples | 5.6% |
Telecommunication Services | 5.0% | |||
Industrials | 5.0% | |||
Health Care | 5.0% | |||
Energy | 3.1% | |||
Materials | 2.3% | |||
Utilities | 1.7% | |||
Other Government Securities | 1.4% | |||
Other+ | 21.2% |
+ | Includes cash and other assets (net of liabilities), and cash equivalents |
See Accompanying Notes to Financial Statements.
24 | SEMIANNUAL REPORT | 2016 |
Table of Contents
PORTFOLIO HIGHLIGHTS | ALL DATA IS AS OF MARCH 31, 2016 (UNAUDITED) |
Asset Allocation
Bonds | 78.7% | |||
Other Government Securities | 78.7% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 21.3% |
Quality Weightings
Investment Grade | 67.3% | |||
AA | 6.4% | |||
A | 24.9% | |||
BBB | 36.0% | |||
Non-Investment Grade | 11.4% | |||
BB | 10.4% | |||
Non-rated | 1.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 21.3% |
Our preference is to always use ratings obtained from Standard & Poor’s. For securities not rated by Standard & Poor’s, ratings are obtained from Moody’s. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
Lipper Rankings
Category: Lipper Emerging Markets Local Currency Debt Funds | Rank | Percentile | ||
1 Year | 14/98 | 15 |
Past performance is no guarantee of future results. Rankings are for Class A shares and are based on average annual total returns, but do not consider sales charges. Rankings for other share classes may vary.
Country Weightings
Pacific Basin | 23.9% | |||
Philippines | 5.9% | |||
Turkey | 4.7% | |||
Indonesia | 4.5% | |||
Malaysia | 4.4% | |||
Thailand | 4.3% | |||
Other Pacific Basin | 0.1% | |||
South America | 21.7% | |||
Brazil | 6.4% | |||
Chile | 6.3% | |||
Columbia | 4.5% | |||
Peru | 4.5% | |||
Europe | 20.0% | |||
Poland | 6.9% | |||
Hungary | 4.5% | |||
Russia | 4.3% | |||
Romania | 4.3% | |||
Africa | 7.2% | |||
South Africa | 7.2% | |||
North America | 5.9% | |||
Mexico | 5.9% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 21.3% |
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
2016 | SEMIANNUAL REPORT | 25 |
Table of Contents
SCHEDULE OF INVESTMENTS Ivy Emerging Markets Local Currency Debt Fund (in thousands) | MARCH 31, 2016 (UNAUDITED) |
OTHER GOVERNMENT SECURITIES (A) | Principal | Value | ||||||
Brazil – 6.4% |
| |||||||
Brazil Letras do Tesouro Nacional: | ||||||||
0.000%, | BRL | 1,240 | $ | 276 | ||||
0.000%, | 3,000 | 628 | ||||||
0.000%, | 1,000 | 195 | ||||||
Brazil Notas do Tesouro Nacional: | ||||||||
10.000%, | 500 | 129 | ||||||
10.000%, | 2,822 | 686 | ||||||
10.000%, | 870 | 205 | ||||||
10.000%, | 1,902 | 428 | ||||||
|
| |||||||
2,547 | ||||||||
|
| |||||||
Chile – 6.3% |
| |||||||
Republic of Chile | ||||||||
5.500%, | CLP | 1,631,500 | 2,521 | |||||
|
| |||||||
Columbia – 4.5% |
| |||||||
Colombian TES: | ||||||||
5.000%, | COP | 58,000 | 18 | |||||
10.000%, | 1,017,000 | 380 | ||||||
6.000%, | 4,006,500 | 1,103 | ||||||
7.750%, | 931,000 | 293 | ||||||
|
| |||||||
1,794 | ||||||||
|
| |||||||
Hungary – 4.5% |
| |||||||
Hungary Government Bond: | ||||||||
4.000%, | HUF | 50,000 | 191 | |||||
6.500%, | 12,000 | 50 | ||||||
7.000%, | 89,250 | 411 | ||||||
6.000%, | 126,240 | 564 | ||||||
5.500%, | 127,410 | 562 | ||||||
|
| |||||||
1,778 | ||||||||
|
| |||||||
Indonesia – 4.5% |
| |||||||
Indonesia Government Bond: | ||||||||
6.125%, | IDR | 4,500,000 | 285 | |||||
9.000%, | 10,950,000 | 877 | ||||||
8.250%, | 600,000 | 45 |
OTHER (Continued) | Principal | Value | ||||||
Indonesia (Continued) |
| |||||||
8.375%, | IDR | 5,500,000 | $ | 419 | ||||
8.750%, | 2,200,000 | 170 | ||||||
|
| |||||||
1,796 | ||||||||
|
| |||||||
Malaysia – 4.4% |
| |||||||
Malaysia Government Bond: | ||||||||
3.172%, | MYR | 780 | 201 | |||||
3.394%, | 400 | 103 | ||||||
4.378%, | 700 | 185 | ||||||
3.889%, | 220 | 57 | ||||||
3.418%, | 1,070 | 270 | ||||||
3.795%, | 1,000 | 258 | ||||||
4.181%, | 280 | 73 | ||||||
4.392%, | 180 | 48 | ||||||
4.498%, | 160 | 42 | ||||||
4.232%, | 250 | 65 | ||||||
4.127%, | 122 | 31 | ||||||
4.935%, | 1,613 | 427 | ||||||
|
| |||||||
1,760 | ||||||||
|
| |||||||
Mexico – 5.9% |
| |||||||
Mexican Bonos: | ||||||||
7.250%, | MXN | 10,190 | 603 | |||||
5.000%, | 4,000 | 234 | ||||||
8.500%, | 2,000 | 127 | ||||||
10.000%, | 3,510 | 261 | ||||||
7.500%, | 1,300 | 83 | ||||||
7.750%, | 2,560 | 167 | ||||||
7.750%, | 780 | 51 | ||||||
10.000%, | 4,387 | 351 | ||||||
7.750%, | 7,020 | 457 | ||||||
|
| |||||||
2,334 | ||||||||
|
| |||||||
Peru – 4.5% |
| |||||||
Republic of Peru: | ||||||||
8.200%, | PEN | 375 | 123 |
OTHER GOVERNMENT (Continued) | Principal | Value | ||||||
Peru (Continued) |
| |||||||
6.950%, 8-12-31 (C) | PEN | 1,010 | $ | 296 | ||||
6.900%, 8-12-37 (C) | 3,742 | 1,071 | ||||||
6.850%, 2-12-42 (C) | 1,050 | 291 | ||||||
|
| |||||||
1,781 | ||||||||
|
| |||||||
Philippines – 5.9% |
| |||||||
Republic of Philippines: | ||||||||
3.900%, | PHP | 43,000 | 920 | |||||
6.250%, 1-14-36 (C) | 60,000 | 1,448 | ||||||
|
| |||||||
2,368 | ||||||||
|
| |||||||
Poland – 6.9% |
| |||||||
Poland Government Bond: | ||||||||
5.000%, 4-25-16 (C) | PLN | 2,840 | 763 | |||||
4.750%, 4-25-17 (C) | 1,510 | 419 | ||||||
5.250%, | 650 | 184 | ||||||
2.500%, 7-25-18 (C) | 650 | 178 | ||||||
5.750%, 9-23-22 (C) | 700 | 226 | ||||||
4.000%, 10-25-23 (C) | 1,128 | 333 | ||||||
2.500%, 7-25-26 (C) | 200 | 52 | ||||||
5.750%, 4-25-29 (C) | 1,723 | 587 | ||||||
|
| |||||||
2,742 | ||||||||
|
| |||||||
Romania – 4.3% |
| |||||||
Romania Government Bond: | ||||||||
5.900%, 7-26-17 (C) | RON | 1,220 | 331 | |||||
5.750%, 4-29-20 (C) | 460 | 133 | ||||||
5.950%, 6-11-21 (C) | 100 | 30 | ||||||
5.850%, 4-26-23 (C) | 3,330 | 999 | ||||||
4.750%, 2-24-25 (C) | 825 | 233 | ||||||
|
| |||||||
1,726 | ||||||||
|
| |||||||
Russia – 4.3% |
| |||||||
Russia Government Bond: | ||||||||
7.400%, 4-19-17 (C) | RUB | 25,800 | 376 | |||||
7.000%, 8-16-23 (C) | 10,000 | 133 | ||||||
7.050%, 1-19-28 (C) | 93,724 | 1,209 | ||||||
|
| |||||||
1,718 | ||||||||
|
| |||||||
South Africa – 7.2% |
| |||||||
Republic of South Africa: | ||||||||
13.500%, | ZAR | 2,693 | 187 | |||||
8.250%, 9-15-17 (C) | 11,475 | 779 | ||||||
7.250%, 1-15-20 (C) | 950 | 61 | ||||||
6.750%, 3-31-21 (C) | 4,140 | 259 | ||||||
6.500%, 2-28-41 (C) | 5,100 | 239 | ||||||
8.750%, 1-31-44 (C) | 400 | 24 | ||||||
8.750%, 2-28-48 (C) | 22,190 | 1,335 | ||||||
|
| |||||||
2,884 | ||||||||
|
|
26 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS Ivy Emerging Markets Local Currency Debt Fund (in thousands) | MARCH 31, 2016 (UNAUDITED) |
OTHER GOVERNMENT (Continued) | Principal | Value | ||||||
South Korea – 0.1% |
| |||||||
Export Import Bank Korea | ||||||||
8.000%, | IDR | 700,000 | $ | 52 | ||||
|
| |||||||
Thailand – 4.3% |
| |||||||
Thailand Government Bond: | ||||||||
3.250%, | THB | 2,600 | 76 | |||||
3.875%, | 10,500 | 322 | ||||||
2.550%, | 6,500 | 193 | ||||||
3.650%, | 14,523 | 461 | ||||||
3.580%, | 1,000 | 33 | ||||||
4.260%, | 16,600 | 619 | ||||||
|
| |||||||
1,704 | ||||||||
|
| |||||||
Turkey – 4.7% |
| |||||||
Turkey Government Bond: | ||||||||
8.300%, | TRY | 200 | 69 |
OTHER GOVERNMENT (Continued) | Principal | Value | ||||||
Turkey (Continued) |
| |||||||
10.400%, | TRY | 440 | $ | 159 | ||||
8.800%, 9-27-23 (C) | 1,740 | 588 | ||||||
10.400%, | 90 | 33 | ||||||
9.000%, 7-24-24 (C) | 950 | 323 | ||||||
8.000%, 3-12-25 (C) | 2,167 | 691 | ||||||
|
| |||||||
1,863 | ||||||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 78.7% |
| $ | 31,368 | |||||
(Cost: $33,681) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Commercial Paper (D) – 11.8% |
| |||||||
Baxter International, Inc. | ||||||||
0.730%, 4-4-16 | $ | 1,200 | 1,200 | |||||
Becton Dickinson & Co. | ||||||||
0.761%, 4-5-16 | 1,000 | 1,000 | ||||||
J.M. Smucker Co. (The) | ||||||||
0.650%, 4-1-16 | 1,374 | 1,374 | ||||||
Novartis Finance Corp. (GTD by Novartis AG) | ||||||||
0.350%, 4-18-16 | 1,100 | 1,100 | ||||||
|
| |||||||
4,674 | ||||||||
|
|
SHORT-TERM SECURITIES (Continued) | Principal | Value | ||||||
Master Note – 3.4% |
| |||||||
Toyota Motor Credit Corp. | ||||||||
0.443%, 4-6-16 (E) | $ | 1,374 | $ | 1,374 | ||||
|
| |||||||
United States Government Agency Obligations – 2.1% |
| |||||||
Overseas Private Investment Corp. (GTD by U.S. Government) | ||||||||
0.360%, 4-6-16 (E) | 850 | 850 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 17.3% |
| $ | 6,898 | |||||
(Cost: $6,898) | ||||||||
TOTAL INVESTMENT SECURITIES – 96.0% |
| $ | 38,266 | |||||
(Cost: $40,579) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 4.0% |
| 1,610 | ||||||
NET ASSETS – 100.0% |
| $ | 39,876 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(B) | Zero coupon bond. |
(C) | Principal or notional amounts are denominated in the indicated foreign currency, where applicable (BRL - Brazilian Real, CLP - Chilean Peso, CNY - China Yuan Renminbi, COP - Columbian Peso, HKD - Hong Kong Dollar, HUF - Hungarian Forint, IDR - Indonesian Rupiah, MXN - Mexican Peso, MYR - Malaysian Ringgit, PEN - Peruvian Neuvo Sol, PHP - Philippine Peso, PLN - Polish Zloty, RON - Romania Leu, RUB - Russian Ruble, SGD - Singapore Dollar, THB - Thai Baht, TRY - Turkish New Lira and ZAR - South African Rand). |
(D) | Rate shown is the yield to maturity at March 31, 2016. |
(E) | Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2016. Date shown represents the date that the variable rate resets. |
The following forward foreign currency contracts were outstanding at March 31, 2016:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||
Hungarian Forint | 220,813 | U.S. Dollar | 799 | 4-1-16 | Barclays Capital, Inc. | $ | — | $ | 2 | |||||||||||||||||
Brazilian Real | 110 | U.S. Dollar | 27 | 4-4-16 | Barclays Capital, Inc. | — | 3 | |||||||||||||||||||
U.S. Dollar | 266 | Brazilian Real | 973 | 4-4-16 | Barclays Capital, Inc. | 4 | — | |||||||||||||||||||
Colombian Peso | 350,000 | U.S. Dollar | 104 | 4-6-16 | Barclays Capital, Inc. | — | 13 | |||||||||||||||||||
U.S. Dollar | 129 | Colombian Peso | 412,914 | 4-6-16 | Barclays Capital, Inc. | 9 | — | |||||||||||||||||||
Mexican Peso | 2,015 | U.S. Dollar | 112 | 4-7-16 | Barclays Capital, Inc. | — | 4 | |||||||||||||||||||
Mexican Peso | 1,800 | U.S. Dollar | 96 | 4-11-16 | Barclays Capital, Inc. | — | 9 | |||||||||||||||||||
South African Rand | 11,014 | U.S. Dollar | 681 | 4-13-16 | Barclays Capital, Inc. | — | 64 | |||||||||||||||||||
U.S. Dollar | 409 | South African Rand | 6,470 | 4-13-16 | Barclays Capital, Inc. | 28 | — | |||||||||||||||||||
U.S. Dollar | 807 | Malaysian Ringgit | 3,574 | 4-14-16 | Barclays Capital, Inc. | 111 | — | |||||||||||||||||||
Chilean Peso | 160,000 | U.S. Dollar | 223 | 4-18-16 | Barclays Capital, Inc. | — | 16 | |||||||||||||||||||
U.S. Dollar | 362 | Chilean Peso | 244,000 | 4-18-16 | Barclays Capital, Inc. | 2 | — | |||||||||||||||||||
U.S. Dollar | 188 | Indonesian Rupiah | 2,508,477 | 4-18-16 | Barclays Capital, Inc. | 1 | — |
2016 | SEMIANNUAL REPORT | 27 |
Table of Contents
SCHEDULE OF INVESTMENTS Ivy Emerging Markets Local Currency Debt Fund (in thousands) | MARCH 31, 2016 (UNAUDITED) |
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||
U.S. Dollar | 75 | Indian Rupee | 5,100 | 4-20-16 | Barclays Capital, Inc. | $ | 2 | $ | — | |||||||||||||||||
Euro | 104 | Singapore Dollar | 160 | 4-21-16 | Barclays Capital, Inc. | — | — | * | ||||||||||||||||||
Singapore Dollar | 800 | Euro | 523 | 4-21-16 | Barclays Capital, Inc. | 2 | — | |||||||||||||||||||
U.S. Dollar | 113 | Russian Ruble | 7,800 | 4-22-16 | Barclays Capital, Inc. | 2 | — | |||||||||||||||||||
U.S. Dollar | 798 | Hungarian Forint | 220,813 | 5-2-16 | Barclays Capital, Inc. | 2 | — | |||||||||||||||||||
Brazilian Real | 973 | U.S. Dollar | 265 | 5-3-16 | Barclays Capital, Inc. | — | 4 | |||||||||||||||||||
U.S. Dollar | 66 | Brazilian Real | 242 | 5-3-16 | Barclays Capital, Inc. | 1 | — | |||||||||||||||||||
Russian Ruble | 1,900 | U.S. Dollar | 25 | 5-5-16 | Barclays Capital, Inc. | — | 3 | |||||||||||||||||||
U.S. Dollar | 793 | Russian Ruble | 61,495 | 5-5-16 | Barclays Capital, Inc. | 114 | — | |||||||||||||||||||
Euro | 148 | Polish Zloty | 630 | 5-9-16 | Barclays Capital, Inc. | 1 | — | |||||||||||||||||||
Polish Zloty | 440 | Euro | 101 | 5-9-16 | Barclays Capital, Inc. | — | 3 | |||||||||||||||||||
U.S. Dollar | 747 | Romanian Leu | 3,059 | 5-9-16 | Barclays Capital, Inc. | 33 | — | |||||||||||||||||||
U.S. Dollar | 250 | Russian Ruble | 17,300 | 5-18-16 | Barclays Capital, Inc. | 4 | — | |||||||||||||||||||
U.S. Dollar | 606 | Peruvian New Sol | 2,167 | 5-25-16 | Barclays Capital, Inc. | 43 | — | |||||||||||||||||||
U.S. Dollar | 29 | Turkish New Lira | 87 | 5-25-16 | Barclays Capital, Inc. | 1 | — | |||||||||||||||||||
U.S. Dollar | 61 | Chilean Peso | 43,000 | 5-26-16 | Barclays Capital, Inc. | 3 | — | |||||||||||||||||||
U.S. Dollar | 118 | Chilean Peso | 80,000 | 6-21-16 | Barclays Capital, Inc. | — | * | — | ||||||||||||||||||
U.S. Dollar | 238 | Colombian Peso | 740,000 | 6-22-16 | Barclays Capital, Inc. | 7 | — | |||||||||||||||||||
U.S. Dollar | 783 | Hungarian Forint | 220,813 | 4-1-16 | Citibank N.A. | 17 | — | |||||||||||||||||||
Mexican Peso | 11,072 | U.S. Dollar | 620 | 4-7-16 | Citibank N.A. | — | 21 | |||||||||||||||||||
U.S. Dollar | 1,843 | Mexican Peso | 32,066 | 4-7-16 | Citibank N.A. | 13 | — | |||||||||||||||||||
Mexican Peso | 2,100 | U.S. Dollar | 111 | 4-11-16 | Citibank N.A. | — | 10 | |||||||||||||||||||
U.S. Dollar | 170 | Mexican Peso | 3,100 | 4-11-16 | Citibank N.A. | 10 | — | |||||||||||||||||||
South African Rand | 17,322 | U.S. Dollar | 1,054 | 4-13-16 | Citibank N.A. | — | 118 | |||||||||||||||||||
U.S. Dollar | 472 | South African Rand | 7,746 | 4-13-16 | Citibank N.A. | 52 | — | |||||||||||||||||||
Philippine Peso | 12,000 | U.S. Dollar | 258 | 4-18-16 | Citibank N.A. | — | 3 | |||||||||||||||||||
Thai Baht | 900 | U.S. Dollar | 25 | 4-18-16 | Citibank N.A. | — | — | * | ||||||||||||||||||
Euro | 210 | U.S. Dollar | 233 | 4-20-16 | Citibank N.A. | — | 6 | |||||||||||||||||||
Singapore Dollar | 160 | Euro | 104 | 4-21-16 | Citibank N.A. | — | — | * | ||||||||||||||||||
Singapore Dollar | 350 | U.S. Dollar | 256 | 4-21-16 | Citibank N.A. | — | 4 | |||||||||||||||||||
U.S. Dollar | 271 | Euro | 242 | 4-21-16 | Citibank N.A. | 5 | — | |||||||||||||||||||
Polish Zloty | 855 | U.S. Dollar | 226 | 4-22-16 | Citibank N.A. | — | 3 | |||||||||||||||||||
Euro | 321 | Polish Zloty | 1,370 | 5-9-16 | Citibank N.A. | 1 | — | |||||||||||||||||||
Polish Zloty | 2,510 | U.S. Dollar | 636 | 5-9-16 | Citibank N.A. | — | 36 | |||||||||||||||||||
Romanian Leu | 221 | U.S. Dollar | 56 | 5-9-16 | Citibank N.A. | — | — | * | ||||||||||||||||||
U.S. Dollar | 660 | Euro | 588 | 5-9-16 | Citibank N.A. | 10 | — | |||||||||||||||||||
U.S. Dollar | 38 | Romanian Leu | 150 | 5-9-16 | Citibank N.A. | 1 | — | |||||||||||||||||||
Turkish New Lira | 1,285 | U.S. Dollar | 426 | 5-25-16 | Citibank N.A. | — | 24 | |||||||||||||||||||
U.S. Dollar | 977 | Turkish New Lira | 2,840 | 5-25-16 | Citibank N.A. | 16 | — | |||||||||||||||||||
U.S. Dollar | 171 | Malaysian Ringgit | 730 | 8-26-16 | Citibank N.A. | 17 | — | |||||||||||||||||||
Hong Kong Dollar | 3,600 | U.S. Dollar | 464 | 9-19-16 | Citibank N.A. | — | — | * | ||||||||||||||||||
Brazilian Real | 863 | U.S. Dollar | 214 | 4-4-16 | Credit Suisse International | — | 26 | |||||||||||||||||||
U.S. Dollar | 860 | Colombian Peso | 2,825,006 | 4-6-16 | Credit Suisse International | 81 | — | |||||||||||||||||||
Malaysian Ringgit | 400 | U.S. Dollar | 96 | 4-14-16 | Credit Suisse International | — | 6 | |||||||||||||||||||
Chilean Peso | 80,000 | U.S. Dollar | 116 | 4-18-16 | Credit Suisse International | — | 3 | |||||||||||||||||||
Philippine Peso | 12,905 | U.S. Dollar | 277 | 4-18-16 | Credit Suisse International | — | 3 | |||||||||||||||||||
Russian Ruble | 8,300 | U.S. Dollar | 116 | 4-18-16 | Credit Suisse International | — | 7 | |||||||||||||||||||
U.S. Dollar | 674 | Philippine Peso | 31,500 | 4-18-16 | Credit Suisse International | 11 | — | |||||||||||||||||||
U.S. Dollar | 121 | Russian Ruble | 8,200 | 4-22-16 | Credit Suisse International | 1 | — | |||||||||||||||||||
U.S. Dollar | 47 | Peruvian New Sol | 160 | 5-25-16 | Credit Suisse International | 1 | — | |||||||||||||||||||
Chilean Peso | 63,000 | U.S. Dollar | 90 | 5-26-16 | Credit Suisse International | — | 3 | |||||||||||||||||||
Chilean Peso | 63,000 | U.S. Dollar | 93 | 6-21-16 | Credit Suisse International | — | 1 | |||||||||||||||||||
Colombian Peso | 370,000 | U.S. Dollar | 119 | 6-22-16 | Credit Suisse International | — | 3 | |||||||||||||||||||
U.S. Dollar | 119 | Colombian Peso | 370,000 | 6-22-16 | Credit Suisse International | 3 | — | |||||||||||||||||||
South African Rand | 2,074 | U.S. Dollar | 133 | 4-13-16 | Deutsche Bank AG | — | 7 | |||||||||||||||||||
U.S. Dollar | 201 | South African Rand | 3,151 | 4-13-16 | Deutsche Bank AG | 12 | — | |||||||||||||||||||
Hungarian Forint | 54,796 | U.S. Dollar | 197 | 5-2-16 | Deutsche Bank AG | — | 1 | |||||||||||||||||||
U.S. Dollar | 69 | Hungarian Forint | 19,051 | 5-2-16 | Deutsche Bank AG | — | * | — | ||||||||||||||||||
Malaysian Ringgit | 1,520 | U.S. Dollar | 411 | 5-25-16 | Deutsche Bank AG | 19 | — | |||||||||||||||||||
Turkish New Lira | 199 | U.S. Dollar | 69 | 5-25-16 | Deutsche Bank AG | — | 1 | |||||||||||||||||||
U.S. Dollar | 234 | Turkish New Lira | 680 | 5-25-16 | Deutsche Bank AG | 4 | — | |||||||||||||||||||
Colombian Peso | 480,000 | U.S. Dollar | 147 | 4-6-16 | Goldman Sachs International | — | 13 | |||||||||||||||||||
U.S. Dollar | 104 | Colombian Peso | 340,000 | 4-6-16 | Goldman Sachs International | 10 | — | |||||||||||||||||||
U.S. Dollar | 120 | Mexican Peso | 2,100 | 4-7-16 | Goldman Sachs International | 1 | — |
28 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS Ivy Emerging Markets Local Currency Debt Fund (in thousands) | MARCH 31, 2016 (UNAUDITED) |
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||||
South African Rand | 3,290 | U.S. Dollar | 207 | 4-13-16 | Goldman Sachs International | $ | — | $ | 16 | |||||||||||||||||
U.S. Dollar | 803 | South African Rand | 12,754 | 4-13-16 | Goldman Sachs International | 59 | — | |||||||||||||||||||
Russian Ruble | 8,300 | U.S. Dollar | 115 | 4-18-16 | Goldman Sachs International | — | 8 | |||||||||||||||||||
U.S. Dollar | 152 | Indonesian Rupiah | 2,000,000 | 4-18-16 | Goldman Sachs International | — | — | * | ||||||||||||||||||
U.S. Dollar | 26 | Thai Baht | 900 | 4-18-16 | Goldman Sachs International | — | — | * | ||||||||||||||||||
U.S. Dollar | 236 | Euro | 210 | 4-20-16 | Goldman Sachs International | 3 | — | |||||||||||||||||||
U.S. Dollar | 120 | Russian Ruble | 8,200 | 4-22-16 | Goldman Sachs International | 1 | — | |||||||||||||||||||
U.S. Dollar | 242 | Malaysian Ringgit | 970 | 4-25-16 | Goldman Sachs International | 7 | — | |||||||||||||||||||
U.S. Dollar | 760 | Thai Baht | 26,710 | 4-25-16 | Goldman Sachs International | — | 1 | |||||||||||||||||||
U.S. Dollar | 134 | Russian Ruble | 10,248 | 5-5-16 | Goldman Sachs International | 17 | — | |||||||||||||||||||
U.S. Dollar | 81 | Peruvian New Sol | 278 | 5-25-16 | Goldman Sachs International | 2 | — | |||||||||||||||||||
U.S. Dollar | 119 | Colombian Peso | 370,000 | 6-22-16 | Goldman Sachs International | 3 | — | |||||||||||||||||||
U.S. Dollar | 200 | Malaysian Ringgit | 857 | 8-26-16 | Goldman Sachs International | 21 | — | |||||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 768 | $ | 445 | |||||||||||||||||||||||
|
|
The following interest rate swap agreements were outstanding at March 31, 2016:
Counterparty | Pay/Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Notional Amount(c) | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||
Citibank N.A. | Receive | 3-Month Hong Kong Interbank Offered Rate | 2.280 | % | 10/28/2024 | HKD | 101 | $ | (6 | ) | $ | (6 | ) | |||||||||||||
Citibank N.A. | Pay | 3-Month Kuala Lumpur Interbank Offered Rate | 4.425 | % | 10/8/2020 | MYR | 258 | 7 | 8 | |||||||||||||||||
Citibank N.A. | Pay | 3-Month Shaghai Interbank Offered Rate | 3.680 | % | 11/11/2016 | CNY | 205 | 1 | 1 | |||||||||||||||||
Deutsche Bank AG | Pay | 6-Month Association of Banks in Singapore Swap Offer Rate | 2.000 | % | 10/17/2021 | SGD | 468 | 1 | 3 | |||||||||||||||||
JPMorgan Chase Bank N.A. | Receive | 3-Month Hong Kong Interbank Offered Rate | 1.565 | % | 10/16/2021 | HKD | 397 | (4 | ) | (5 | ) | |||||||||||||||
JPMorgan Chase Bank N.A. | Receive | 3-Month Hong Kong Interbank Offered Rate | 1.925 | % | 10/16/2021 | 734 | (20 | ) | (22 | ) | ||||||||||||||||
JPMorgan Chase Bank N.A. | Pay | 3-Month Shaghai Interbank Offered Rate | 3.750 | % | 11/6/2016 | CNY | 205 | 1 | 1 | |||||||||||||||||
JPMorgan Chase Bank N.A. | Pay | 3-Month Shaghai Interbank Offered Rate | 3.880 | % | 12/11/2017 | 33 | 1 | 1 | ||||||||||||||||||
JPMorgan Chase Bank N.A. | Pay | 6-Month LIBOR | 9.800 | % | 10/9/2022 | $ | 448 | 48 | 57 | |||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 29 | $ | 38 | |||||||||||||||||||||||
|
|
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of March 31, 2016. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Other Government Securities | $ | — | $ | 31,368 | $ | — | ||||||
Short-Term Securities | — | 6,898 | — | |||||||||
Total | $ | — | $ | 38,266 | $ | — | ||||||
Forward Foreign Currency Contracts | $ | — | $ | 768 | $ | — | ||||||
Interest Rate Swaps | $ | — | $ | 71 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 445 | $ | — | ||||||
Interest Rate Swaps | $ | — | $ | 33 | $ | — |
During the period ended March 31, 2016, there were no transfers between Level 1 and 2.
2016 | SEMIANNUAL REPORT | 29 |
Table of Contents
SCHEDULE OF INVESTMENTS Ivy Emerging Markets Local Currency Debt Fund (in thousands) | MARCH 31, 2016 (UNAUDITED) |
The following acronym is used throughout this schedule:
GTD = Guaranteed
Market Sector Diversification |
| |||
(as a % of net assets) |
| |||
Other Government Securities | 78.7% | |||
Other+ | 21.3% |
+ | Includes cash and other assets (net of liabilities), and cash equivalents |
See Accompanying Notes to Financial Statements.
30 | SEMIANNUAL REPORT | 2016 |
Table of Contents
PORTFOLIO HIGHLIGHTS
ALL DATA IS AS OF MARCH 31, 2016 (UNAUDITED) |
Asset Allocation
Purchased Options | 0.1% | |||
Bonds | 95.4% | |||
United States Government and Government Agency Obligations | 46.5% | |||
Corporate Debt Securities | 30.9% | |||
Other Government Securities | 18.0% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents+ | 4.5% |
Quality Weightings
Investment Grade | 85.0% | |||
AAA | 1.7% | |||
AA | 48.5% | |||
A | 10.6% | |||
BBB | 24.2% | |||
Non-Investment Grade | 10.4% | |||
BB | 7.6% | |||
B | 1.9% | |||
Non-rated | 0.9% | |||
Cash and Other Assets (Net of Liabilities), and Cash Equivalents and Purchased Options+ | 4.6% |
Our preference is to always use ratings obtained from Standard & Poor’s. For securities not rated by Standard & Poor’s, ratings are obtained from Moody’s. We do not evaluate these ratings, but simply assign them to the appropriate credit quality category as determined by the rating agency.
Country Weightings
North America | 58.6% | |||
United States | 55.2% | |||
Other North America | 3.4% | |||
Europe | 26.0% | |||
Italy | 3.5% | |||
Other Europe | 22.5% | |||
Pacific Basin | 5.9% | |||
Other | 2.6% | |||
South America | 2.3% | |||
Cash and Other Assets (Net of Liabilities), Cash Equivalents+ and Purchased Options | 4.6% |
+ | Cash equivalents are defined as highly liquid securities with maturities of less than three months. Cash equivalents may include U.S. Government Treasury bills, bank certificates of deposit, bankers’ acceptances, corporate commercial paper and other money market instruments. |
2016 | SEMIANNUAL REPORT | 31 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Targeted Return Bond Fund (in thousands) | MARCH 31, 2016 (UNAUDITED) |
PURCHASED OPTIONS | Number of Contracts or Notional Amounts (Unrounded) | Value | ||||||
10-Year Euro Bund June Futures, | ||||||||
Call EUR175.00, Expires | 12 | $ | — | * | ||||
AUD versus USD, | ||||||||
Call $1.25, Expires | 500,000 | 6 | ||||||
EUR versus USD, | ||||||||
Put $1.09, | 3,100,000 | 2 | ||||||
U.S. 10-Year Treasury Note June Futures, | ||||||||
Call $142.50, | 47 | — | * | |||||
U.S. 5-Year Treasury Note June Futures, | ||||||||
Call $126.50, | 45 | — | * | |||||
U.S. Treasury Long Bond June Futures: | ||||||||
Put $161.00, | 10 | 4 | ||||||
Put $160.00, | 16 | 14 | ||||||
Call $165.00, | 17 | 38 | ||||||
Call $197.00, | 13 | — | * | |||||
USD versus CNH, | ||||||||
Call $7.00, | 2,100,000 | 9 | ||||||
USD versus JPY, | ||||||||
Call $123.00, | 700,000 | 3 | ||||||
|
| |||||||
TOTAL PURCHASED |
| $ | 76 | |||||
(Cost: $165) | ||||||||
CORPORATE DEBT SECURITIES | Principal | |||||||
Consumer Discretionary |
| |||||||
Automobile Manufacturers – 0.3% |
| |||||||
Volkswagen Group of America, Inc., | ||||||||
1.650%, | $ | 200 | 197 | |||||
Internet Retail – 0.8% |
| |||||||
Expedia, Inc., | ||||||||
2.500%, 6-3-22 (A) | EUR | 100 | 112 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Internet Retail (Continued) |
| |||||||
Priceline Group, Inc. (The), | ||||||||
2.150%, 11-25-22 (A) | EUR | 300 | $ | 353 | ||||
|
| |||||||
465 | ||||||||
|
| |||||||
Total Consumer Discretionary – 1.1% |
| 662 | ||||||
Consumer Staples |
| |||||||
Brewers – 0.7% |
| |||||||
Anheuser-Busch InBev S.A./N.V., | ||||||||
3.300%, 2-1-23 | $ | 400 | 416 | |||||
|
| |||||||
Drug Retail – 0.3% |
| |||||||
CVS Health Corp., | ||||||||
5.125%, 7-20-45 | 140 | 162 | ||||||
|
| |||||||
Total Consumer Staples – 1.0% |
| 578 | ||||||
Energy |
| |||||||
Integrated Oil & Gas – 1.2% |
| |||||||
Exxon Mobil Corp., | ||||||||
3.043%, 3-1-26 | 170 | 174 | ||||||
Petrobras Global Finance B.V., | ||||||||
5.750%, 1-20-20 | 90 | 78 | ||||||
Total S.A., | ||||||||
2.250%, 12-29-49 (A) | EUR | 400 | 428 | |||||
|
| |||||||
680 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production – 1.6% |
| |||||||
BP Capital Markets plc (GTD by BP plc), | ||||||||
1.109%, 2-16-23 (A) | 200 | 230 | ||||||
CNOOC Finance (2015) Australia Pty Ltd. (GTD by CNOOC Ltd.), | ||||||||
2.625%, 5-5-20 | $ | 270 | 270 | |||||
CNOOC Finance (2015) Australia Pty Ltd. and CNOOC Finance (2015) USA LLC (GTD by CNOOC Ltd.), | ||||||||
3.500%, 5-5-25 | 210 | 207 | ||||||
Kunlun Energy Co. Ltd., | ||||||||
3.750%, 5-13-25 | 250 | 248 | ||||||
|
| |||||||
955 | ||||||||
|
| |||||||
Total Energy – 2.8% |
| 1,635 | ||||||
Financials |
| |||||||
Asset Management & Custody Banks – 0.3% |
| |||||||
Exor S.p.A., | ||||||||
2.125%, 12-2-22 (A) | EUR | 170 | 195 | |||||
|
| |||||||
Diversified Banks – 9.8% |
| |||||||
Aareal Bank AG, | ||||||||
1.875%, 4-1-19 | $ | 200 | 201 | |||||
ABN AMRO Bank N.V.: | ||||||||
2.875%, 6-30-25 (A) | EUR | 300 | 348 | |||||
2.875%, 1-18-28 (A) | 200 | 229 | ||||||
Allied Irish Banks plc, | ||||||||
7.375%, 12-29-49 (A) | 200 | 204 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Diversified Banks (Continued) |
| |||||||
Banco Santander S.A., | ||||||||
6.250%, 3-12-49 (A) | EUR | 100 | $ | 102 | ||||
Bank of China Ltd., | ||||||||
3.875%, 6-30-25 | $ | 210 | 223 | |||||
Bankia S.A., | ||||||||
4.000%, 5-22-24 (A) | EUR | 200 | 218 | |||||
BPCE S.A., | ||||||||
4.500%, 3-15-25 | $ | 300 | 297 | |||||
Commerzbank AG, | ||||||||
7.750%, 3-16-21 (A) | EUR | 200 | 275 | |||||
Coventry Building Society, | ||||||||
6.375%, 12-29-49 (A) | GBP | 200 | 254 | |||||
Danske Bank A.S., | ||||||||
5.875%, 10-29-49 (A) | EUR | 200 | 227 | |||||
Erste Group Bank AG, | ||||||||
5.500%, 5-26-25 | $ | 200 | 196 | |||||
HSBC Holdings plc, | ||||||||
3.000%, 6-30-25 (A) | EUR | 400 | 461 | |||||
Industrial and Commercial Bank of China Ltd., | ||||||||
2.351%, 11-13-17 | $ | 250 | 252 | |||||
National Australia Bank Ltd., | ||||||||
8.000%, 9-29-49 | 190 | 194 | ||||||
Nordea Bank AB, | ||||||||
5.500%, 9-29-49 | 200 | 194 | ||||||
Oversea-Chinese Banking Corp. Ltd., | ||||||||
3.750%, 11-15-22 | 200 | 205 | ||||||
Rabobank Nederland, | ||||||||
3.375%, 5-21-25 | 250 | 252 | ||||||
Royal Bank of Scotland Group plc (The), | ||||||||
3.625%, 3-25-24 (A) | EUR | 200 | 221 | |||||
Skandinaviska Enskilda Banken AB, | ||||||||
5.750%, 11-29-49 | $ | 200 | 194 | |||||
Svenska Handelsbanken AB, | ||||||||
5.250%, 12-29-49 | 400 | 383 | ||||||
Swedbank AB, | ||||||||
5.500%, 12-29-49 | 400 | 393 | ||||||
United Overseas Bank Ltd., | ||||||||
2.500%, 3-18-20 | 200 | 205 | ||||||
|
| |||||||
5,728 | ||||||||
|
| |||||||
Investment Banking & Brokerage – 1.6% |
| |||||||
Credit Suisse Group (Guernsey) I Ltd., | ||||||||
7.875%, 2-24-41 | 100 | 101 | ||||||
Goldman Sachs Group, Inc. (The), | ||||||||
3.750%, 5-22-25 | 200 | 205 | ||||||
Morgan Stanley, | ||||||||
2.500%, 1-24-19 | 200 | 203 | ||||||
UBS AG, | ||||||||
4.750%, 5-22-23 | 400 | 405 | ||||||
|
| |||||||
914 | ||||||||
|
| |||||||
Life & Health Insurance – 0.7% |
| |||||||
Assicurazioni Generali S.p.A., | ||||||||
5.125%, 9-16-24 (A) | EUR | 120 | 176 | |||||
China Life Insurance Co. Ltd., | ||||||||
4.000%, 7-3-75 | $ | 230 | 228 | |||||
|
| |||||||
404 | ||||||||
|
|
32 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Targeted Return Bond Fund (in thousands) | MARCH 31, 2016 (UNAUDITED) |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Other Diversified Financial Services – 3.4% |
| |||||||
Citigroup, Inc., | ||||||||
2.125%, 9-10-26 (A) | EUR | 100 | 117 | |||||
HBOS Capital Funding L.P., | ||||||||
6.461%, 11-29-49 (A) | GBP | 50 | 73 | |||||
John Deere Capital Corp., | ||||||||
2.800%, 3-6-23 | $ | 391 | 397 | |||||
JPMorgan Chase & Co., | ||||||||
2.625%, 4-23-21 (A) | EUR | 200 | 249 | |||||
KBC Groep N.V.: | ||||||||
1.875%, 3-11-27 (A) | 300 | 333 | ||||||
5.625%, 3-29-49 (A) | 300 | 332 | ||||||
Nomura Europe Finance N.V., | ||||||||
1.125%, 6-3-20 (A) | 100 | 114 | ||||||
Nykredit Realkredit A/S, | ||||||||
4.000%, 6-3-36 (A) | 300 | 336 | ||||||
|
| |||||||
1,951 | ||||||||
|
| |||||||
Property & Casualty Insurance – 0.6% |
| |||||||
Berkshire Hathaway, Inc., | ||||||||
1.125%, 3-16-27 (A) | 300 | 325 | ||||||
|
| |||||||
Regional Banks – 1.6% |
| |||||||
Emirates NBD PJSC, | ||||||||
1.750%, 3-23-22 (A) | 250 | 273 | ||||||
International Bank of Azerbaijan, | ||||||||
5.625%, 6-11-19 | $ | 200 | 185 | |||||
Intesa Sanpaola S.p.A., | ||||||||
3.928%, 9-15-26 (A) | EUR | 200 | 233 | |||||
Intesa Sanpaolo S.p.A., | ||||||||
1.125%, 3-4-22 (A) | 200 | 226 | ||||||
|
| |||||||
917 | ||||||||
|
| |||||||
Specialized Finance – 0.7% |
| |||||||
ICBCIL Finance Co. Ltd., | ||||||||
2.625%, 3-19-18 | $ | 200 | 201 | |||||
Swedish Export Credit Corp., | ||||||||
1.875%, 6-23-20 | 200 | 203 | ||||||
|
| |||||||
404 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 0.5% |
| |||||||
Nationwide Building Society, | ||||||||
6.875%, 3-11-49 (A) | GBP | 200 | 269 | |||||
|
| |||||||
Total Financials – 19.2% |
| 11,107 | ||||||
Health Care |
| |||||||
Pharmaceuticals – 1.2% |
| |||||||
Bayer AG, | ||||||||
2.375%, 4-2-75 (A) | EUR | 300 | 333 | |||||
Merck KGaA, | ||||||||
3.375%, 12-12-74 (A) | 343 | 394 | ||||||
|
| |||||||
727 | ||||||||
|
| |||||||
Total Health Care – 1.2% |
| 727 | ||||||
Industrials |
| |||||||
Marine Ports & Services – 1.0% |
| |||||||
CCCI Treasure Ltd. (GTD by China Communications Construction Co. Ltd.), | ||||||||
3.500%, 12-29-49 | $ | 250 | 249 |
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Marine Ports & Services (Continued) |
| |||||||
DP World Ltd., | ||||||||
6.850%, 7-2-37 | $ | 350 | $ | 357 | ||||
|
| |||||||
606 | ||||||||
|
| |||||||
Total Industrials – 1.0% |
| 606 | ||||||
Information Technology |
| |||||||
Technology Hardware, Storage & |
| |||||||
Hewlett Packard Enterprise Co.: | ||||||||
4.900%, 10-15-25 | 190 | 195 | ||||||
6.350%, 10-15-45 | 100 | 98 | ||||||
International Business Machines Corp., | ||||||||
1.750%, 3-7-28 (A) | EUR | 100 | 116 | |||||
|
| |||||||
409 | ||||||||
|
| |||||||
Total Information |
| 409 | ||||||
Materials |
| |||||||
Diversified Metals & Mining – 0.3% |
| |||||||
Glencore Funding LLC, | ||||||||
4.000%, 4-16-25 (B) | $ | 200 | 157 | |||||
|
| |||||||
Metal & Glass Containers – 0.2% |
| |||||||
Ball Corp., | ||||||||
4.375%, 12-15-23 (A) | EUR | 100 | 122 | |||||
|
| |||||||
Specialty Chemicals – 0.2% |
| |||||||
INEOS Finance plc, | ||||||||
4.000%, 5-1-23 (A) | 100 | 110 | ||||||
|
| |||||||
Total Materials – 0.7% |
| 389 | ||||||
Telecommunication Services |
| |||||||
Integrated Telecommunication |
| |||||||
Telecom Italia S.p.A., | ||||||||
7.375%, 12-15-17 (A) | GBP | 150 | 233 | |||||
Verizon Communications, Inc.: | ||||||||
3.650%, 9-14-18 | $ | 400 | 421 | |||||
6.550%, 9-15-43 | 150 | 197 | ||||||
Wind Acquisition Finance S.A., | ||||||||
4.000%, 7-15-20 (A) | EUR | 130 | 147 | |||||
|
| |||||||
998 | ||||||||
|
| |||||||
Wireless Telecommunication Service – 0.4% |
| |||||||
Bharti Airtel Ltd., | ||||||||
4.375%, 6-10-25 | $ | 220 | 224 | |||||
|
| |||||||
Total Telecommunication |
| 1,222 | ||||||
Utilities |
| |||||||
Electric Utilities – 0.4% |
| |||||||
Enel S.p.A., | ||||||||
6.500%, 1-10-74 (A) | EUR | 200 | 246 | |||||
|
|
CORPORATE DEBT SECURITIES (Continued) | Principal | Value | ||||||
Multi-Utilities – 0.7% |
| |||||||
Centrica plc, | ||||||||
3.000%, 4-10-76 (A) | EUR | 300 | $ | 301 | ||||
Gas Natural SDG S.A., | ||||||||
3.375%, 12-29-49 (A) | 100 | 102 | ||||||
|
| |||||||
403 | ||||||||
|
| |||||||
Total Utilities – 1.1% |
| 649 | ||||||
TOTAL CORPORATE DEBT |
| $ | 17,984 | |||||
(Cost: $17,505) | ||||||||
OTHER GOVERNMENT SECURITIES (C) | ||||||||
Brazil – 0.7% |
| |||||||
Federal Republic of Brazil, | ||||||||
4.875%, 1-22-21 | $ | 400 | 404 | |||||
|
| |||||||
Cameroon – 0.3% |
| |||||||
Republic of Cameroon, | ||||||||
9.500%, 11-19-25 | 200 | 188 | ||||||
|
| |||||||
Canada – 0.3% |
| |||||||
Province of Ontario, | ||||||||
2.000%, 1-30-19 | 200 | 203 | ||||||
|
| |||||||
Columbia – 0.7% |
| |||||||
Republic of Columbia, | ||||||||
4.375%, 7-12-21 | 400 | 417 | ||||||
|
| |||||||
Croatia – 0.4% |
| |||||||
Republic of Croatia, | ||||||||
6.000%, 1-26-24 | 200 | 218 | ||||||
|
| |||||||
Hungary – 0.7% |
| |||||||
Hungary Government Bond, | ||||||||
5.375%, 3-25-24 | 340 | 381 | ||||||
|
| |||||||
Indonesia – 0.6% |
| |||||||
Indonesia Government Bond, | ||||||||
3.375%, 7-30-25 (A) | EUR | 290 | 329 | |||||
|
| |||||||
Ireland – 0.9% |
| |||||||
Bank of Ireland, | ||||||||
7.375%, 12-29-49 (A) | 200 | 218 | ||||||
Irish Government Bond, | ||||||||
2.400%, 5-15-30 (A) | 220 | 292 | ||||||
|
| |||||||
510 | ||||||||
|
| |||||||
Italy – 1.3% |
| |||||||
Italy Government Bond, | ||||||||
6.000%, 5-1-31 (A) | 425 | 754 | ||||||
|
| |||||||
Lithuania – 0.4% |
| |||||||
Republic of Lithuania, | ||||||||
6.625%, 2-1-22 | $ | 200 | 242 | |||||
|
|
2016 | SEMIANNUAL REPORT | 33 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Targeted Return Bond Fund (in thousands) | MARCH 31, 2016 (UNAUDITED) |
OTHER GOVERNMENT SECURITIES (C) (Continued) | Principal | Value | ||||||
Mexico – 3.1% |
| |||||||
Mexican Bonos, | ||||||||
10.000%, | MXN | 14,130 | $ | 1,050 | ||||
United Mexican States: | ||||||||
4.000%, | $ | 400 | 419 | |||||
4.125%, | 200 | 210 | ||||||
3.625%, | EUR | 100 | 122 | |||||
|
| |||||||
1,801 | ||||||||
|
| |||||||
Norway – 1.4% |
| |||||||
Norway Government Bond, | ||||||||
1.750%, | NOK | 6,169 | 787 | |||||
|
| |||||||
Panama – 0.8% |
| |||||||
Republic of Panama, | ||||||||
5.200%, | $ | 400 | 441 | |||||
|
| |||||||
Peru – 0.9% |
| |||||||
Republic of Peru, | ||||||||
7.350%, | 400 | 526 | ||||||
|
| |||||||
Philippines – 0.4% |
| |||||||
Republic of Philippines, | ||||||||
5.500%, | 200 | 250 | ||||||
|
| |||||||
Poland – 0.3% |
| |||||||
Republic of Poland, | ||||||||
5.000%, | 177 | 198 | ||||||
|
| |||||||
Romania – 1.0% |
| |||||||
Romania Government Bond, | ||||||||
3.875%, | EUR | 510 | 603 | |||||
|
|
OTHER GOVERNMENT SECURITIES (C) (Continued) | Principal | Value | ||||||
Slovenia – 0.7% |
| |||||||
Republic of Slovenia: | ||||||||
5.850%, 5-10-23 | $ | 260 | $ | 300 | ||||
3.125%, | EUR | 80 | 102 | |||||
|
| |||||||
402 | ||||||||
|
| |||||||
South Africa – 0.4% |
| |||||||
Republic of South Africa, | ||||||||
5.875%, 9-16-25 | $ | 200 | 216 | |||||
|
| |||||||
South Korea – 0.4% |
| |||||||
Korea Development Bank (The), | ||||||||
3.000%, 3-17-19 | 200 | 207 | ||||||
|
| |||||||
Spain – 1.3% |
| |||||||
Spain Government Bond: | ||||||||
5.750%, | EUR | 200 | 346 | |||||
5.150%, | 250 | 431 | ||||||
|
| |||||||
777 | ||||||||
|
| |||||||
Sri Lanka – 0.3% |
| |||||||
Republic of Sri Lanka, | ||||||||
6.850%, 11-3-25 | $ | 210 | 200 | |||||
|
| |||||||
Turkey – 0.7% |
| |||||||
Republic of Turkey, | ||||||||
4.250%, 4-14-26 | 430 | 419 | ||||||
|
| |||||||
TOTAL OTHER GOVERNMENT SECURITIES – 18.0% |
| $ | 10,473 | |||||
(Cost: $10,010) |
UNITED STATES GOVERNMENT OBLIGATIONS | Principal | Value | ||||||
Treasury Obligations – 46.5% |
| |||||||
U.S. Treasury Bonds: | ||||||||
4.500%, 2-15-36 | $ | 2,000 | $ | 2,745 | ||||
3.000%, | 700 | 756 | ||||||
U.S. Treasury Notes: | ||||||||
3.000%, 9-30-16 | 7,800 | 7,898 | ||||||
3.250%, | 5,800 | 5,949 | ||||||
4.500%, 5-15-17 | 1,100 | 1,147 | ||||||
1.500%, 5-31-20 (E) | 3,600 | 3,655 | ||||||
2.625%, | 1,600 | 1,702 | ||||||
2.750%, | 2,320 | 2,514 | ||||||
2.000%, 2-15-25 | 230 | 235 | ||||||
0.750%, 2-15-45 | 503 | 487 | ||||||
|
| |||||||
27,088 | ||||||||
|
| |||||||
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 46.5% |
| $ | 27,088 | |||||
(Cost: $26,784) | ||||||||
SHORT-TERM SECURITIES | ||||||||
Master Note – 1.9% |
| |||||||
Toyota Motor Credit Corp., | ||||||||
0.443%, 4-6-16 (F) | 1,094 | 1,094 | ||||||
|
| |||||||
TOTAL SHORT-TERM SECURITIES – 1.9% |
| $ | 1,094 | |||||
(Cost: $1,094) | ||||||||
TOTAL INVESTMENT SECURITIES – 97.4% |
| $ | 56,715 | |||||
(Cost: $55,558) | ||||||||
CASH AND OTHER ASSETS, NET OF LIABILITIES – 2.6% |
| 1,528 | ||||||
NET ASSETS – 100.0% |
| $ | 58,243 |
Notes to Schedule of Investments
* | Not shown due to rounding. |
(A) | Principal amounts are denominated in the indicated foreign currency, where applicable (AUD - Australian Dollar, CNH - Chinese Yuan Renminbi, EUR - Euro, GBP - British Pound, JPY - Japanese Yen, MXN - Mexican Peso and NOK - Norwegian Krone). |
(B) | Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2016 the total value of these securities amounted to $354 or 0.6% of net assets. |
(C) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
(D) | All or a portion of securities with an aggregate value of $269 are held in collateralized accounts for OTC derivatives collateral as governed by International Swaps and Derivatives Association, Inc. Master Agreements. |
(E) | All or a portion of securities with an aggregate value of $284 have been pledged as collateral on open futures contracts. |
(F) | Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2016. Date shown represents the date that the variable rate resets. |
34 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Targeted Return Bond Fund (in thousands) | MARCH 31, 2016 (UNAUDITED) |
The following centrally cleared credit default swaps – sold protection(1) were outstanding at March 31, 2016:
Index | Receive Fixed Rate | Maturity Date | Notional Amount(2) | Value | Unrealized Appreciation (Depreciation) | |||||||||||||
5-Year Credit Derivatives Index – High Yield | 5.000% | 6-20-21 | 1,100,000 | $ | 31 | $ | 13 | |||||||||||
5-Year Credit Derivatives Index – Investment Grade | 1.000% | 12-20-20 | 500,000 | 3 | 2 | |||||||||||||
5-Year Credit Derivatives Index – Investment Grade | 1.000% | 6-20-21 | 500,000 | 5 | — | * | ||||||||||||
|
| |||||||||||||||||
$ | 39 | $ | 15 | |||||||||||||||
|
|
The following over the counter credit default swaps – sold protection(1) were outstanding at March 31, 2016:
Issuer | Counterparty | Receive Fixed Rate | Maturity Date | Notional Amount(2) | Premiums Paid | Value | Unrealized Depreciation | |||||||||||||||||
Glencore International AG | Citibank N.A. | 5.000% | 6-20-21 | 200 | $—* | $ | — | * | $ | — | * |
(1) | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the underlying securities comprising the refererenced index. |
(2) | The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
The following forward foreign currency contracts were outstanding at March 31, 2016:
Currency to be Delivered | Currency to be Received | Settlement Date | Counterparty | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||
U.S. Dollar | 513 | Norwegian Krone | 4,397 | 4-6-16 | Barclays Capital, Inc. | $ | 18 | $ | — | |||||||||||||||
Colombian Peso | 3,270,887 | U.S. Dollar | 1,026 | 6-8-16 | Barclays Capital, Inc. | — | 57 | |||||||||||||||||
British Pound | 150 | U.S. Dollar | 209 | 4-6-16 | Citibank N.A. | — | 6 | |||||||||||||||||
Malaysian Ringgit | 1,680 | U.S. Dollar | 400 | 4-19-16 | Citibank N.A. | — | 32 | |||||||||||||||||
Euro | 839 | U.S. Dollar | 910 | 4-6-16 | Deutsche Bank AG | — | 44 | |||||||||||||||||
Euro | 1,655 | U.S. Dollar | 1,839 | 4-6-16 | Goldman Sachs International | — | 44 | |||||||||||||||||
Mexican Peso | 7,520 | U.S. Dollar | 414 | 4-6-16 | Goldman Sachs International | — | 21 | |||||||||||||||||
Norwegian Krone | 6,170 | U.S. Dollar | 720 | 4-6-16 | Goldman Sachs International | — | 26 | |||||||||||||||||
Swedish Krona | 1,650 | Norwegian Krone | 1,669 | 4-6-16 | Goldman Sachs International | — | 2 | |||||||||||||||||
Turkish New Lira | 2,286 | U.S. Dollar | 765 | 4-6-16 | Goldman Sachs International | — | 46 | |||||||||||||||||
U.S. Dollar | 1,600 | Euro | 1,434 | 5-10-16 | Goldman Sachs International | 34 | — | |||||||||||||||||
Chilean Peso | 690,761 | U.S. Dollar | 995 | 6-7-16 | Goldman Sachs International | — | 30 | |||||||||||||||||
U.S. Dollar | 1 | Euro | 1 | 4-4-16 | Morgan Stanley International | — | * | — | ||||||||||||||||
British Pound | 163 | New Zealand Dollar | 357 | 4-6-16 | Morgan Stanley International | 13 | — | |||||||||||||||||
British Pound | 544 | U.S. Dollar | 777 | 4-6-16 | Morgan Stanley International | — | 3 | |||||||||||||||||
Euro | 425 | Japanese Yen | 53,999 | 4-6-16 | Morgan Stanley International | — | 4 | |||||||||||||||||
Euro | 320 | Mexican Peso | 6,335 | 4-6-16 | Morgan Stanley International | 2 | — | |||||||||||||||||
Euro | 7,246 | U.S. Dollar | 7,925 | 4-6-16 | Morgan Stanley International | — | 321 | |||||||||||||||||
Mexican Peso | 10,685 | U.S. Dollar | 595 | 4-6-16 | Morgan Stanley International | — | 22 | |||||||||||||||||
New Zealand Dollar | 391 | British Pound | 175 | 4-6-16 | Morgan Stanley International | — | 19 | |||||||||||||||||
Norwegian Krone | 390 | U.S. Dollar | 45 | 4-6-16 | Morgan Stanley International | — | 2 | |||||||||||||||||
South African Rand | 7,841 | U.S. Dollar | 510 | 4-6-16 | Morgan Stanley International | — | 21 | |||||||||||||||||
Swedish Krona | 2,270 | Euro | 245 | 4-6-16 | Morgan Stanley International | — | 1 | |||||||||||||||||
U.S. Dollar | 390 | Euro | 350 | 4-6-16 | Morgan Stanley International | 8 | — | |||||||||||||||||
Brazilian Real | 1,804 | U.S. Dollar | 500 | 4-25-16 | Morgan Stanley International | 1 | — | |||||||||||||||||
Brazilian Real | 2,336 | U.S. Dollar | 580 | 5-11-16 | Morgan Stanley International | — | 63 | |||||||||||||||||
South Korean Won | 619,226 | U.S. Dollar | 501 | 6-7-16 | Morgan Stanley International | — | 38 | |||||||||||||||||
|
| |||||||||||||||||||||||
$ | 76 | $ | 802 | |||||||||||||||||||||
|
|
2016 | SEMIANNUAL REPORT | 35 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Targeted Return Bond Fund (in thousands) | MARCH 31, 2016 (UNAUDITED) |
The following futures contracts were outstanding at March 31, 2016 (contracts unrounded):
Description | Type | Expiration Date | Number of Contracts | Value | Unrealized Appreciation (Depreciation) | |||||||||||||
Euro-Bobl 5-Year Bond | Long | 6-10-16 | 1 | $ | 149 | $ | 1 | |||||||||||
Euro-BTP Italian Government Bond | Short | 6-10-16 | 20 | (3,200 | ) | (34 | ) | |||||||||||
Euro-Bund 10-Year Bond | Short | 6-10-16 | 14 | (2,602 | ) | (8 | ) | |||||||||||
Euro-Buxl 30-Year Bond | Short | 6-10-16 | 10 | (1,918 | ) | (14 | ) | |||||||||||
10-Year United Kingdom Gilt | Short | 6-30-16 | 1 | (174 | ) | 1 | ||||||||||||
U.S. 10-Year Treasury Note | Short | 6-30-16 | 65 | (8,475 | ) | (4 | ) | |||||||||||
U.S. 10-Year Ultra Treasury Note | Short | 6-30-16 | 2 | (282 | ) | (2 | ) | |||||||||||
U.S. Treasury Long Bond | Long | 6-30-16 | 20 | 3,289 | (3 | ) | ||||||||||||
U.S. 2-Year Treasury Note | Short | 7-6-16 | 4 | (875 | ) | (3 | ) | |||||||||||
U.S. 5-Year Treasury Note | Short | 7-6-16 | 26 | (3,150 | ) | (8 | ) | |||||||||||
|
| |||||||||||||||||
$ | (17,238 | ) | $ | (74 | ) | |||||||||||||
|
|
The following written options were outstanding at March 31, 2016 (contracts and exercise prices unrounded):
Underlying Security | Counterparty, if OTC | Type | Number of Contracts or Notional Amount | Expiration Month | Exercise Price | Premium Received | Value | |||||||||||||||
AUD versus USD | Goldman Sachs International | Put | 500,000 | September 2016 | $ | 1.67 | $ | 5 | $ | — | * | |||||||||||
EUR versus USD | Goldman Sachs International | Call | 3,100,000 | May 2016 | 1.15 | 28 | (23 | ) | ||||||||||||||
Markit iTraxx Europe Crossover 5-Year Index | JPMorgan Chase Bank N.A. | Put | 1,000,000 | April 2016 | EUR | 500.00 | 15 | — | * | |||||||||||||
JPMorgan Chase Bank N.A. | Put | 500,000 | April 2016 | 550.00 | 9 | — | * | |||||||||||||||
U.S. Treasury Long Bond June Futures | N/A | Call | 16 | May 2016 | $ | 171.00 | 41 | (10 | ) | |||||||||||||
USD versus BRL | Morgan Stanley & Co., Inc. | Call | 500,000 | April 2016 | 3.85 | 3 | (2 | ) | ||||||||||||||
USD versus CNH | Morgan Stanley & Co., Inc. | Put | 2,100,000 | March 2017 | 6.30 | 10 | (5 | ) | ||||||||||||||
USD versus JPY | JPMorgan Chase Bank N.A. | Put | 700,000 | October 2016 | 115.00 | 35 | (30 | ) | ||||||||||||||
|
| |||||||||||||||||||||
$ | 146 | $ | (70 | ) | ||||||||||||||||||
|
|
The following table is a summary of the valuation of the Fund’s investments by the fair value hierarchy levels as of March 31, 2016. See Note 3 to the Financial Statements for further information regarding fair value measurement.
Level 1 | Level 2 | Level 3 | ||||||||||
Assets | ||||||||||||
Investments in Securities | ||||||||||||
Purchased Options | $ | 56 | $ | 20 | $ | — | ||||||
Corporate Debt Securities | — | 17,984 | — | |||||||||
Other Government Securities | — | 10,473 | — | |||||||||
United States Government Obligations | — | 27,088 | — | |||||||||
Short-Term Securities | — | 1,094 | — | |||||||||
Total | $ | 56 | $ | 56,659 | $ | — | ||||||
Centrally Cleared Credit Default Swaps | $ | — | $ | 15 | $ | — | ||||||
Over the Counter Credit Default Swaps | $ | — | $ | — | * | $ | — | |||||
Forward Foreign Currency Contracts | $ | — | $ | 76 | $ | — | ||||||
Futures Contracts | $ | 2 | $ | — | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 802 | $ | — | ||||||
Futures Contracts | $ | 76 | $ | — | $ | — | ||||||
Written Options | $ | 10 | $ | 60 | $ | — |
During the period ended March 31, 2016, there were no transfers between Level 1 and 2.
The following acronyms are used throughout this schedule:
GTD = Guaranteed
OTC = Over the Counter
36 | SEMIANNUAL REPORT | 2016 |
Table of Contents
SCHEDULE OF INVESTMENTS
Ivy Targeted Return Bond Fund (in thousands) | MARCH 31, 2016 (UNAUDITED) |
Country Diversification |
| |||
(as a % of net assets) |
| |||
United States | 55.2% | |||
Italy | 3.5% | |||
United Kingdom | 3.1% | |||
Mexico | 3.1% | |||
Sweden | 2.4% | |||
Germany | 2.0% | |||
Spain | 1.9% | |||
Netherlands | 1.5% |
Norway | 1.4% | |||
France | 1.3% | |||
Ireland | 1.3% | |||
Hong Kong | 1.2% | |||
Belgium | 1.2% | |||
United Arab Emirates | 1.1% | |||
Romania | 1.0% | |||
Denmark | 1.0% | |||
Other Countries | 13.2% | |||
Other+ | 4.6% |
+ | Includes options, cash and other assets (net of liabilities), and cash equivalents |
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 37 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
Ivy Funds | AS OF MARCH 31, 2016 (UNAUDITED) |
(In thousands, except per share amounts) | Ivy Apollo Multi- Asset Income Fund | Ivy Apollo Strategic Income Fund | Ivy Emerging Markets Local Currency Debt Fund | Ivy Targeted Return Bond Fund | ||||||||||||
ASSETS | ||||||||||||||||
Investments in unaffiliated securities at value+ | $ | 167,935 | $ | 183,086 | $ | 38,266 | $ | 56,715 | ||||||||
Investments at Value | 167,935 | 183,086 | 38,266 | 56,715 | ||||||||||||
Cash | 99 | 407 | 130 | 15 | ||||||||||||
Cash denominated in foreign currencies at value+ | 631 | 1 | 28 | 191 | ||||||||||||
Restricted cash | — | — | — | 78 | ||||||||||||
Investment securities sold receivable | 2,638 | 2,277 | 578 | 889 | ||||||||||||
Dividends and interest receivable | 1,114 | 1,790 | 636 | 486 | ||||||||||||
Capital shares sold receivable | 1,963 | 1,329 | 118 | 563 | ||||||||||||
Receivable from affiliates | 61 | 75 | 182 | 27 | ||||||||||||
Unrealized appreciation on forward foreign currency contracts | 37 | — | 768 | 76 | ||||||||||||
Unrealized appreciation on swap agreements | 1 | 1 | 71 | — | ||||||||||||
Variation margin receivable | — | — | — | 20 | ||||||||||||
Prepaid and other assets | 80 | 87 | 51 | 115 | ||||||||||||
Total Assets | 174,559 | 189,053 | 40,828 | 59,175 | ||||||||||||
LIABILITIES | ||||||||||||||||
Investment securities purchased payable | 9,649 | 6,731 | 395 | — | * | |||||||||||
Capital shares redeemed payable | 81 | 39 | 26 | 1 | ||||||||||||
Independent Trustees and Chief Compliance Officer fees payable | 1 | — | * | — | * | — | ||||||||||
Distribution and service fees payable | 1 | 1 | — | * | — | * | ||||||||||
Shareholder servicing payable | 23 | 22 | 11 | 4 | ||||||||||||
Investment management fee payable | 3 | 4 | 1 | 1 | ||||||||||||
Accounting services fee payable | 7 | 7 | 3 | 2 | ||||||||||||
Unrealized depreciation on forward foreign currency contracts | 82 | 38 | 445 | 802 | ||||||||||||
Unrealized depreciation on swap agreements | — | — | 33 | — | * | |||||||||||
Variation margin payable | — | — | — | 38 | ||||||||||||
Written options at value+ | — | — | — | 70 | ||||||||||||
Other liabilities | 17 | 22 | 38 | 14 | ||||||||||||
Total Liabilities | 9,864 | 6,864 | 952 | 932 | ||||||||||||
Total Net Assets | $ | 164,695 | $ | 182,189 | $ | 39,876 | $ | 58,243 | ||||||||
NET ASSETS | ||||||||||||||||
Capital paid in (shares authorized – unlimited) | $ | 163,121 | $ | 181,308 | $ | 45,840 | $ | 57,996 | ||||||||
Undistributed (distributions in excess of) net investment income | 376 | 308 | (3,301 | ) | 58 | |||||||||||
Accumulated net realized loss | (1,602 | ) | (122 | ) | (717 | ) | (265 | ) | ||||||||
Net unrealized appreciation (depreciation) | 2,800 | 695 | (1,946 | ) | 454 | |||||||||||
Total Net Assets | $ | 164,695 | $ | 182,189 | $ | 39,876 | $ | 58,243 | ||||||||
CAPITAL SHARES OUTSTANDING: | ||||||||||||||||
Class A | 13,800 | 15,450 | 2,587 | 4,087 | ||||||||||||
Class C | 777 | 652 | 216 | 371 | ||||||||||||
Class E | N/A | N/A | 200 | N/A | ||||||||||||
Class I | 1,120 | 1,341 | 964 | 800 | ||||||||||||
Class R | N/A | N/A | 200 | N/A | ||||||||||||
Class R6 | 276 | 523 | 69 | 205 | ||||||||||||
Class Y | 338 | 394 | 307 | 350 | ||||||||||||
NET ASSET VALUE PER SHARE: | ||||||||||||||||
Class A | $10.10 | $9.92 | $8.77 | $10.02 | ||||||||||||
Class C | $10.14 | $9.92 | $8.69 | $10.00 | ||||||||||||
Class E | N/A | N/A | $8.77 | N/A | ||||||||||||
Class I | $10.10 | $9.92 | $8.80 | $10.02 | ||||||||||||
Class R | N/A | N/A | $8.75 | N/A | ||||||||||||
Class R6 | $10.10 | $9.93 | $8.80 | $10.03 | ||||||||||||
Class Y | $10.10 | $9.92 | $8.77 | $10.02 | ||||||||||||
+COST | ||||||||||||||||
Investments in unaffiliated securities at cost | $ | 165,063 | $ | 182,314 | $ | 40,579 | $ | 55,558 | ||||||||
Cash denominated in foreign currencies at cost | 620 | 1 | 28 | 191 | ||||||||||||
Written options premiums received at cost | — | — | — | 146 |
*Not shown due to rounding.
See Accompanying Notes to Financial Statements.
38 | SEMIANNUAL REPORT | 2016 |
Table of Contents
Ivy Funds | FOR THE SIX MONTHS ENDED MARCH 31, 2016 (UNAUDITED) |
(In thousands) | Ivy Apollo Multi-Asset Income Fund(1) | Ivy Apollo Strategic Income Fund(1) | Ivy Emerging Markets Local Currency Debt Fund | Ivy Targeted Return Bond Fund(2) | ||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Dividends from unaffiliated securities | $ | 966 | $ | — | $ | — | $ | — | ||||||||
Foreign dividend withholding tax | (60 | ) | — | — | — | |||||||||||
Interest and amortization from unaffiliated securities | 1,102 | 2,281 | 1,032 | 217 | ||||||||||||
Foreign interest withholding tax | (1 | ) | (2 | ) | (9 | ) | (4 | ) | ||||||||
Total Investment Income | 2,007 | 2,279 | 1,023 | 213 | ||||||||||||
EXPENSES | ||||||||||||||||
Investment management fee | 330 | 378 | 177 | 93 | ||||||||||||
Distribution and service fees: | ||||||||||||||||
Class A | 93 | 109 | 29 | 15 | ||||||||||||
Class C | 24 | 19 | 9 | 9 | ||||||||||||
Class E | N/A | N/A | 2 | N/A | ||||||||||||
Class R | N/A | N/A | 4 | N/A | ||||||||||||
Class Y | 4 | 4 | 3 | 2 | ||||||||||||
Shareholder servicing: | ||||||||||||||||
Class A | 68 | 64 | 34 | 7 | ||||||||||||
Class C | 3 | 2 | 1 | — | * | |||||||||||
Class E | N/A | N/A | — | * | N/A | |||||||||||
Class I | 7 | 9 | 6 | 3 | ||||||||||||
Class R | N/A | N/A | 2 | N/A | ||||||||||||
Class R6 | — | * | — | * | — | * | — | * | ||||||||
Class Y | 2 | 3 | 2 | 1 | ||||||||||||
Registration fees | 8 | 11 | 41 | 3 | ||||||||||||
Offering cost | 43 | 43 | — | 11 | ||||||||||||
Custodian fees | 41 | 10 | 22 | 1 | ||||||||||||
Independent Trustees and Chief Compliance Officer fees | 1 | 1 | 1 | — | ||||||||||||
Accounting services fee | 42 | 43 | 15 | 4 | ||||||||||||
Professional fees | 1 | 1 | 47 | 1 | ||||||||||||
Other | 8 | 3 | 30 | 14 | ||||||||||||
Total Expenses | 675 | 700 | 425 | 164 | ||||||||||||
Less: | ||||||||||||||||
Expenses in excess of limit | (61 | ) | (75 | ) | (182 | ) | (27 | ) | ||||||||
Total Net Expenses | 614 | 625 | 243 | 137 | ||||||||||||
Net Investment Income | 1,393 | 1,654 | 780 | 76 | ||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investments in unaffiliated securities | (1,292 | ) | (158 | ) | (3,381 | ) | 158 | |||||||||
Futures contracts | — | — | 32 | (417 | ) | |||||||||||
Written options | — | — | 2 | 16 | ||||||||||||
Swap agreements | 2 | 3 | (30 | ) | 3 | |||||||||||
Forward foreign currency contracts | (301 | ) | 38 | 97 | (1 | ) | ||||||||||
Foreign currency exchange transactions | (1 | ) | (2 | ) | 73 | (42 | ) | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments in unaffiliated securities | 2,872 | 772 | 5,137 | 1,157 | ||||||||||||
Futures contracts | — | — | 5 | (74 | ) | |||||||||||
Written options | — | — | (2 | ) | 76 | |||||||||||
Swap agreements | 1 | 1 | 70 | 15 | ||||||||||||
Forward foreign currency contracts | (45 | ) | (38 | ) | 190 | (726 | ) | |||||||||
Foreign currency exchange transactions | (28 | ) | (40 | ) | 49 | 6 | ||||||||||
Net Realized and Unrealized Gain | 1,208 | 576 | 2,242 | 177 | ||||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 2,601 | $ | 2,230 | $ | 3,022 | $ | 247 |
* | Not shown due to rounding. |
(1) | For the period from October 1, 2015 (commencement of operations) to March 31, 2016. |
(2) | For the period from January 4, 2016 (commencement of operations) to March 31, 2016. |
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 39 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
Ivy Funds
Ivy Apollo Multi- Asset Income Fund | Ivy Apollo Strategic Income Fund | Ivy Emerging Markets Local Currency Debt Fund | Ivy Targeted Return Bond Fund | |||||||||||||||||
(In thousands) | Period from 10-1-15 of operations) to | Period from 10-1-15 | Six months ended 3-31-16 (Unaudited) | Year ended 9-30-15 | Period from 1-4-16 (commencement of operations) to 3-31-16 (Unaudited) | |||||||||||||||
INCREASE (DECREASE) IN NET ASSETS | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income | $ | 1,393 | $ | 1,654 | $ | 780 | $ | 1,619 | $ | 76 | ||||||||||
Net realized loss on investments | (1,592 | ) | (119 | ) | (3,207 | ) | (2,973 | ) | (283 | ) | ||||||||||
Net change in unrealized appreciation (depreciation) | 2,800 | 695 | 5,449 | (5,882 | ) | 454 | ||||||||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | 2,601 | 2,230 | 3,022 | (7,236 | ) | 247 | ||||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||
Net investment income: | ||||||||||||||||||||
Class A | (866 | ) | (1,075 | ) | — | (402 | ) | — | ||||||||||||
Class C | (3 | ) | (32 | ) | — | (24 | ) | — | ||||||||||||
Class E | N/A | N/A | — | (32 | ) | N/A | ||||||||||||||
Class I | (98 | ) | (146 | ) | — | (151 | ) | — | ||||||||||||
Class R | N/A | N/A | — | (29 | ) | N/A | ||||||||||||||
Class R6 | (24 | ) | (60 | ) | — | — | — | |||||||||||||
Class Y | (29 | ) | (36 | ) | — | (49 | ) | — | ||||||||||||
Net realized gains: | ||||||||||||||||||||
Class A | (6 | ) | — | — | (6 | ) | — | |||||||||||||
Class C | — | * | — | — | (1 | ) | — | |||||||||||||
Class E | N/A | N/A | — | — | * | N/A | ||||||||||||||
Class I | (1 | ) | — | — | (2 | ) | — | |||||||||||||
Class R | N/A | N/A | — | (1 | ) | N/A | ||||||||||||||
Class R6 | — | * | — | — | — | — | ||||||||||||||
Class Y | — | * | — | — | (1 | ) | — | |||||||||||||
Total Distributions to Shareholders | (1,027 | ) | (1,349 | ) | — | (698 | ) | — | ||||||||||||
Capital Share Transactions | 163,121 | 181,308 | (5,125 | ) | 13,054 | 57,996 | ||||||||||||||
Net Increase (Decrease) in Net Assets | 164,695 | 182,189 | (2,103 | ) | 5,120 | 58,243 | ||||||||||||||
Net Assets, Beginning of Period | — | — | 41,979 | 36,859 | — | |||||||||||||||
Net Assets, End of Period | $ | 164,695 | $ | 182,189 | $ | 39,876 | $ | 41,979 | $ | 58,243 | ||||||||||
Undistributed (distributions in excess of) net investment income | $ | 376 | $ | 308 | $ | (3,301 | ) | $ | (1,223 | ) | $ | 58 |
* | Not shown due to rounding. |
See Accompanying Notes to Financial Statements.
40 | SEMIANNUAL REPORT | 2016 |
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2016 | SEMIANNUAL REPORT | 41 |
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Ivy Funds | FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD |
IVY APOLLO MULTI-ASSET INCOME FUND
Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Gain on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | $ | 10.00 | $ | 0.15 | $ | 0.04 | $ | 0.19 | $ | (0.09 | ) | $ | — | * | $ | (0.09 | ) | |||||||||||
Class C Shares |
| |||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.00 | 0.10 | 0.04 | 0.14 | — | * | — | * | — | * | ||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.00 | 0.14 | 0.06 | 0.20 | (0.10 | ) | — | * | (0.10 | ) | ||||||||||||||||||
Class R6 Shares |
| |||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.00 | 0.14 | 0.06 | 0.20 | (0.10 | ) | — | * | (0.10 | ) | ||||||||||||||||||
Class Y Shares |
| |||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.00 | 0.13 | 0.06 | 0.19 | (0.09 | ) | — | * | (0.09 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | For the period from October 1, 2015 (commencement of operations of the class) through March 31, 2016. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended March 31, 2016. |
(7) | Ratio of expenses to average net assets excluding offering cost was 1.21%. |
(8) | Ratio of expenses to average net assets excluding offering cost was 2.04%. |
(9) | Ratio of expenses to average net assets excluding offering cost was 0.91%. |
(10) | Ratio of expenses to average net assets excluding offering cost was 1.16%. |
42 | SEMIANNUAL REPORT | 2016 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | $ | 10.10 | 1.87 | % | $ | 140 | 1.30 | %(5)(7) | 3.03 | %(5) | 1.43 | %(5) | 2.90 | %(5) | 32 | %(6) | ||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.14 | 1.45 | 8 | 2.13 | (5)(8) | 2.01 | (5) | 2.13 | (5) | 2.01 | (5) | 32 | (6) | |||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.10 | 2.00 | 11 | 1.00 | (5)(9) | 2.83 | (5) | 1.15 | (5) | 2.68 | (5) | 32 | (6) | |||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.10 | 2.00 | 3 | 1.00 | (5)(9) | 2.87 | (5) | 1.01 | (5) | 2.86 | (5) | 32 | (6) | |||||||||||||||||||
Class Y Shares | ||||||||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.10 | 1.89 | 3 | 1.25 | (5)(10) | 2.55 | (5) | 1.40 | (5) | 2.40 | (5) | 32 | (6) |
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 43 |
Table of Contents
FINANCIAL HIGHLIGHTS
Ivy Funds | FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD |
IVY APOLLO STRATEGIC INCOME FUND
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized and Unrealized Loss on Investments | Total from Investment Operations | Distributions From Net Investment Income | Distributions From Net Realized Gains | Total Distributions | ||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | $ | 10.00 | $ | 0.14 | $ | (0.12 | ) | $ | 0.02 | $ | (0.10 | ) | $ | — | $ | (0.10 | ) | |||||||||||
Class C Shares |
| |||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.00 | 0.11 | (0.11 | ) | 0.00 | * | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.00 | 0.14 | (0.10 | ) | 0.04 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Class R6 Shares |
| |||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.00 | 0.14 | (0.09 | ) | 0.05 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Class Y Shares |
| |||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.00 | 0.13 | (0.10 | ) | 0.03 | (0.11 | ) | — | (0.11 | ) |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | For the period from October 1, 2015 (commencement of operations of the class) through March 31, 2016. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended March 31, 2016. |
(7) | Ratio of expenses to average net assets excluding offering cost was 1.07%. |
(8) | Ratio of expenses to average net assets excluding offering cost was 1.77%. |
(9) | Ratio of expenses to average net assets excluding offering cost was 0.77%. |
(10) | Ratio of expenses to average net assets excluding offering cost was 1.02%. |
44 | SEMIANNUAL REPORT | 2016 |
Table of Contents
Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | $ | 9.92 | 0.26 | % | $ | 154 | 1.15 | %(5)(7) | 3.02 | %(5) | 1.28 | %(5) | 2.89 | %(5) | 22 | %(6) | ||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 9.92 | -0.04 | 6 | 1.85 | (5)(8) | 2.21 | (5) | 1.97 | (5) | 2.09 | (5) | 22 | (6) | |||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 9.92 | 0.39 | 13 | 0.85 | (5)(9) | 2.90 | (5) | 1.03 | (5) | 2.72 | (5) | 22 | (6) | |||||||||||||||||||
Class R6 Shares |
| |||||||||||||||||||||||||||||||
Period ended 3-31-2016 unaudited)(4) | 9.93 | 0.49 | 5 | 0.85 | (5)(9) | 2.89 | (5) | 0.89 | (5) | 2.85 | (5) | 22 | (6) | |||||||||||||||||||
Class Y Shares |
| |||||||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 9.92 | 0.28 | 4 | 1.10 | (5)(10) | 2.72 | (5) | 1.28 | (5) | 2.54 | (5) | 22 | (6) |
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 45 |
Table of Contents
FINANCIAL HIGHLIGHTS
Ivy Funds | FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD |
IVY EMERGING MARKETS LOCAL CURRENCY DEBT FUND
Net Asset Value, Beginning of Period | Net Investment Income(1) | Net Realized Gain (Loss) on | Total from Investment | Distributions From Net Investment Income | Distributions From Net | Total Distributions | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||
Six-month period ended 3-31-2016 (unaudited) | $ | 8.11 | $ | 0.16 | $ | 0.50 | $ | 0.66 | $ | — | $ | — | $ | — | ||||||||||||||
Year ended 9-30-2015 | 9.76 | 0.34 | (1.83 | ) | (1.49 | ) | (0.16 | ) | — | * | (0.16 | ) | ||||||||||||||||
Period ended 9-30-2014(5) | 10.00 | 0.16 | (0.40 | ) | (0.24 | ) | — | — | — | |||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||
Six-month period ended 3-31-2016 (unaudited) | 8.06 | 0.13 | 0.50 | 0.63 | — | — | — | |||||||||||||||||||||
Year ended 9-30-2015 | 9.73 | 0.27 | (1.83 | ) | (1.56 | ) | (0.11 | ) | — | * | (0.11 | ) | ||||||||||||||||
Period ended 9-30-2014(5) | 10.00 | 0.13 | (0.40 | ) | (0.27 | ) | — | — | — | |||||||||||||||||||
Class E Shares | ||||||||||||||||||||||||||||
Six-month period ended 3-31-2016 (unaudited) | 8.11 | 0.17 | 0.49 | 0.66 | — | — | — | |||||||||||||||||||||
Year ended 9-30-2015 | 9.76 | 0.33 | (1.82 | ) | (1.49 | ) | (0.16 | ) | — | * | (0.16 | ) | ||||||||||||||||
Period ended 9-30-2014(5) | 10.00 | 0.16 | (0.40 | ) | (0.24 | ) | — | — | — | |||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||
Six-month period ended 3-31-2016 (unaudited) | 8.12 | 0.18 | 0.50 | 0.68 | — | — | — | |||||||||||||||||||||
Year ended 9-30-2015 | 9.77 | 0.36 | (1.84 | ) | (1.48 | ) | (0.17 | ) | — | * | (0.17 | ) | ||||||||||||||||
Year ended 9-30-2014(5) | 10.00 | 0.17 | (0.40 | ) | (0.23 | ) | — | — | — | |||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||||
Six-month period ended 3-31-2016 (unaudited) | 8.09 | 0.15 | 0.51 | 0.66 | — | — | — | |||||||||||||||||||||
Year ended 9-30-2015 | 9.74 | 0.31 | (1.82 | ) | (1.51 | ) | (0.14 | ) | — | * | (0.14 | ) | ||||||||||||||||
Period ended 9-30-2014(5) | 10.00 | 0.15 | (0.41 | ) | (0.26 | ) | — | — | — | |||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||||||||
Six-month period ended 3-31-2016 (unaudited) | 8.12 | 0.18 | 0.50 | 0.68 | — | — | — | |||||||||||||||||||||
Period ended 9-30-2015(6) | 9.08 | 0.23 | (1.19 | ) | (0.96 | ) | — | — | — | |||||||||||||||||||
Class Y Shares | ||||||||||||||||||||||||||||
Six-month period ended 3-31-2016 (unaudited) | 8.11 | 0.16 | 0.50 | 0.66 | — | — | — | |||||||||||||||||||||
Year ended 9-30-2015 | 9.76 | 0.34 | (1.83 | ) | (1.49 | ) | (0.16 | ) | — | * | (0.16 | ) | ||||||||||||||||
Period ended 9-30-2014(5) | 10.00 | 0.16 | (0.40 | ) | (0.24 | ) | — | — | — |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | Annualized. |
(5) | For the period from April 30, 2014 (commencement of operations of the class) through September 30, 2014. |
(6) | For the period from January 30, 2015 (commencement of operations of the class) through September 30, 2015. |
(7) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the year ended September 30, 2014. |
(8) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the year ended September 30, 2015. |
(9) | Ratio of expenses to average net assets excluding offering cost was 2.00%. |
(10) | Ratio of expenses to average net assets excluding offering cost was 1.80%. |
(11) | Ratio of expenses to average net assets excluding offering cost was 2.50%. |
(12) | Ratio of expenses to average net assets excluding offering cost was 2.47%. |
(13) | Ratio of expenses to average net assets excluding offering cost was 1.72%. |
(14) | Ratio of expenses to average net assets excluding offering cost was 1.71%. |
(15) | Ratio of expenses to average net assets excluding offering cost was 1.62%. |
(16) | Ratio of expenses to average net assets excluding offering cost was 1.61%. |
(17) | Ratio of expenses to average net assets excluding offering cost was 2.33%. |
(18) | Ratio of expenses to average net assets excluding offering cost was 1.96%. |
(19) | Ratio of expenses to average net assets excluding offering cost was 1.47%. |
(20) | Ratio of expenses to average net assets excluding offering cost was 1.86%. |
46 | SEMIANNUAL REPORT | 2016 |
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Net Asset Value, End | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income to Average Net Assets Including Expense Waiver | Ratio of Expenses to | Ratio of Net Investment Income to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||||||||
Six-month period ended 3-31-2016 (unaudited) | $ | 8.77 | 8.14 | % | $ | 22 | 1.25 | %(4) | 3.95 | %(4) | 2.26 | %(4) | 2.94 | %(4) | 32 | % | ||||||||||||||||
Year ended 9-30-2015 | 8.11 | -15.45 | 26 | 1.25 | 3.81 | 2.21 | (9) | 2.85 | 40 | |||||||||||||||||||||||
Period ended 9-30-2014(5) | 9.76 | -2.40 | 20 | 1.25 | (4) | 3.70 | (4) | 2.18 | (4)(10) | 2.77 | (4) | 18 | (7) | |||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||||||||
Six-month period ended 3-31-2016 (unaudited) | 8.69 | 7.82 | 2 | 2.00 | (4) | 3.26 | (4) | 2.72 | (4) | 2.54 | (4) | 32 | ||||||||||||||||||||
Year ended 9-30-2015 | 8.06 | -16.12 | 2 | 2.00 | 2.98 | 2.71 | (11) | 2.27 | 40 | |||||||||||||||||||||||
Period ended 9-30-2014(5) | 9.73 | -2.70 | 2 | 2.00 | (4) | 2.95 | (4) | 2.85 | (4)(12) | 2.10 | (4) | 18 | (7) | |||||||||||||||||||
Class E Shares | ||||||||||||||||||||||||||||||||
Six-month period ended 3-31-2016 (unaudited) | 8.77 | 8.14 | 2 | 1.25 | (4) | 4.02 | (4) | 1.93 | (4) | 3.34 | (4) | 32 | ||||||||||||||||||||
Year ended 9-30-2015 | 8.11 | -15.45 | 2 | 1.26 | 3.72 | 1.93 | (13) | 3.05 | 40 | |||||||||||||||||||||||
Period ended 9-30-2014(5) | 9.76 | -2.40 | 2 | 1.25 | (4) | 3.72 | (4) | 2.09 | (4)(14) | 2.88 | (4) | 18 | (7) | |||||||||||||||||||
Class I Shares | ||||||||||||||||||||||||||||||||
Six-month period ended 3-31-2016 (unaudited) | 8.80 | 8.37 | 8 | 1.00 | (4) | 4.26 | (4) | 1.84 | (4) | 3.42 | (4) | 32 | ||||||||||||||||||||
Year ended 9-30-2015 | 8.12 | -15.29 | 8 | 1.00 | 4.00 | 1.83 | (15) | 3.17 | 40 | |||||||||||||||||||||||
Period ended 9-30-2014(5) | 9.77 | -2.30 | 8 | 1.00 | (4) | 3.97 | (4) | 1.99 | (4)(16) | 2.98 | (4) | 18 | (7) | |||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||||||||
Six-month period ended 3-31-2016 (unaudited) | 8.75 | 8.16 | 2 | 1.50 | (4) | 3.76 | (4) | 2.43 | (4) | 2.83 | (4) | 32 | ||||||||||||||||||||
Year ended 9-30-2015 | 8.09 | -15.63 | 2 | 1.50 | 3.48 | 2.54 | (17) | 2.44 | 40 | |||||||||||||||||||||||
Period ended 9-30-2014(5) | 9.74 | -2.60 | 2 | 1.50 | (4) | 3.47 | (4) | 2.59 | (4)(18) | 2.38 | (4) | 18 | (7) | |||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||||||||||||
Six-month period ended 3-31-2016 (unaudited) | 8.80 | 8.37 | 1 | 1.00 | (4) | 4.38 | (4) | 1.69 | (4) | 3.69 | (4) | 32 | ||||||||||||||||||||
Period ended 9-30-2015(6) | 8.12 | -10.57 | — | * | 1.00 | (4) | 4.03 | (4) | 1.68 | (4)(19) | 3.35 | (4) | 40 | (8) | ||||||||||||||||||
Class Y Shares | ||||||||||||||||||||||||||||||||
Six-month period ended 3-31-2016 (unaudited) | 8.77 | 8.14 | 3 | 1.25 | (4) | 4.01 | (4) | 2.08 | (4) | 3.18 | (4) | 32 | ||||||||||||||||||||
Year ended 9-30-2015 | 8.11 | -15.45 | 2 | 1.25 | 3.73 | 2.07 | (20) | 2.91 | 40 | |||||||||||||||||||||||
Period ended 9-30-2014(5) | 9.76 | -2.40 | 3 | 1.25 | (4) | 3.72 | (4) | 2.24 | (4)(20) | 2.73 | (4) | 18 | (7) |
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 47 |
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FINANCIAL HIGHLIGHTS
Ivy Funds | FOR A SHARE OF CAPITAL STOCK OUTSTANDING THROUGHOUT EACH PERIOD |
IVY TARGETED RETURN BOND FUND
Net Asset Value, Beginning of Period | Net Investment | Net Realized and Unrealized Gain on Investments | Total from Investment | Distributions From Net Investment Income | Distributions From Net | Total Distributions | ||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | $ | 10.00 | $ | 0.02 | $ | 0.00 | * | $ | 0.02 | $ | — | $ | — | $ | — | |||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.00 | 0.00 | * | 0.00 | 0.00 | * | — | — | — | |||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.00 | 0.02 | 0.00 | * | 0.02 | — | — | — | ||||||||||||||||||||
Class R6 Shares |
| |||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.00 | 0.03 | 0.00 | * | 0.03 | — | — | — | ||||||||||||||||||||
Class Y Shares |
| |||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.00 | 0.02 | 0.00 | * | 0.02 | — | — | — |
* | Not shown due to rounding. |
(1) | Based on average weekly shares outstanding. |
(2) | Based on net asset value, which does not reflect the sales charge, redemption fee or contingent deferred sales charge, if applicable. Total returns for periods less than one year are not annualized. |
(3) | Ratios excluding expense waivers are included only for periods in which the class had waived or reimbursed expenses. |
(4) | For the period from October 1, 2015 (commencement of operations of the class) through March 31, 2016. |
(5) | Annualized. |
(6) | Portfolio turnover is calculated at the fund level. Percentage indicated was calculated for the period ended March 31, 2016. |
(7) | Ratio of expenses to average net assets excluding offering cost was 1.25%. |
(8) | Ratio of expenses to average net assets excluding offering cost was 1.95%. |
(9) | Ratio of expenses to average net assets excluding offering cost was 0.88%. |
(10) | Ratio of expenses to average net assets excluding offering cost was 0.75%. |
(11) | Ratio of expenses to average net assets excluding offering cost was 1.13%. |
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Net Asset Value, End of Period | Total Return(2) | Net Assets, End of Period (in millions) | Ratio of Expenses to Average Net Assets Including Expense Waiver | Ratio of Net Investment Income (Loss) to Average Net Assets Including Expense Waiver | Ratio of Expenses to Average Net Assets Excluding Expense Waiver(3) | Ratio of Net Investment Income (Loss) to Average Net Assets Excluding Expense Waiver(3) | Portfolio Turnover Rate | |||||||||||||||||||||||||
Class A Shares |
| |||||||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | $ | 10.02 | 0.20 | % | $ | 40 | 1.36 | %(5)(7) | 0.72 | %(5) | 1.62 | %(5) | 0.46 | %(5) | 27 | %(6) | ||||||||||||||||
Class C Shares |
| |||||||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.00 | — | 4 | 2.06 | (5)(8) | -0.05 | (5) | 2.32 | (5) | -0.31 | (5) | 27 | (6) | |||||||||||||||||||
Class I Shares |
| |||||||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.02 | 0.20 | 8 | 0.99 | (5)(9) | 1.00 | (5) | 1.26 | (5) | 0.73 | (5) | 27 | (6) | |||||||||||||||||||
Class R6 Shares |
| |||||||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.03 | 0.30 | 2 | 0.86 | (5)(10) | 1.13 | (5) | 1.12 | (5) | 0.87 | (5) | 27 | (6) | |||||||||||||||||||
Class Y Shares |
| |||||||||||||||||||||||||||||||
Period ended 3-31-2016 (unaudited)(4) | 10.02 | 0.20 | 4 | 1.24 | (5)(11) | 0.76 | (5) | 1.51 | (5) | 0.49 | (5) | 27 | (6) |
See Accompanying Notes to Financial Statements.
2016 | SEMIANNUAL REPORT | 49 |
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Ivy Funds | MARCH 31, 2016 (UNAUDITED) |
1. | ORGANIZATION |
Ivy Funds, a Delaware statutory trust (the “Trust”), is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Ivy Apollo Multi-Asset Income Fund, Ivy Apollo Strategic Income Fund, Ivy Emerging Markets Local Currency Debt Fund and Ivy Targeted Return Bond Fund (each, a “Fund”) are four series of the Trust and are the only series of the Trust included in these financial statements. The investment objective(s), policies and risk factors of each Fund are described more fully in the Funds’ Prospectus and Statement of Additional Information (“SAI”). Each Fund’s investment manager is Ivy Investment Management Company (“IICO” or the “Manager”).
Each Fund offers Class A, Class C, Class I, Class R6 and Class Y shares. Ivy Emerging Markets Local Currency Debt Fund also offers Class E and Class R shares. Class A and Class E shares are sold at their offering price, which is normally net asset value (“NAV”) plus a front-end sales charge. For Class A shares, a 1% contingent deferred sales charge (“CDSC”) is only imposed on shares purchased at NAV for $1 million or more that are subsequently redeemed within 12 months of purchase. Class C shares are sold without a front-end sales charge, but may be subject to a CDSC. Class I, Class R, Class R6 and Class Y shares are sold without either a front-end sales charge or a CDSC. All classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Net investment income, net assets and NAV per share may differ due to each class having its own expenses, such as transfer agent and shareholder servicing fees, directly attributable to that class. Class A, C, E, R and Y have a distribution and service plan. Class I and Class R6 shares are not included in the plan.
2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by each Fund.
Security Transactions and Related Investment Income. Security transactions are accounted for on the trade date (date the order to buy or sell is executed). Realized gains and losses are calculated on the identified cost basis. Interest income is recorded on the accrual basis and includes paydown gain (loss) and accretion of discounts and amortization of premiums. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. All or a portion of the distributions received from a real estate investment trust or publicly traded partnership may be designated as a reduction of cost of the related investment and/or realized gain.
Foreign Currency Translation. Each Fund’s accounting records are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies are translated into U.S. dollars daily, using foreign exchange rates obtained from an independent pricing service authorized by the Board of Trustees of the Trust (the “Board”). Purchases and sales of investment securities and accruals of income and expenses are translated at the rate of exchange prevailing on the date of the transaction. For assets and liabilities other than investments in securities, net realized and unrealized gains and losses from foreign currency translation arise from changes in currency exchange rates. Each Fund combines fluctuations from currency exchange rates and fluctuations in value when computing net realized gain (loss) and net change in unrealized appreciation (depreciation) on investments. Foreign exchange rates are typically valued as of the close of the New York Stock Exchange (“NYSE”), normally 4:00 P.M. Eastern time, on each day the NYSE is open for trading.
Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.
Income Taxes. It is the policy of each Fund to distribute all of its taxable income and capital gains to its shareholders and otherwise qualify as a regulated investment company under Subchapter M of the Internal Revenue Code. In addition, each Fund intends to pay distributions as required to avoid imposition of excise tax. Accordingly, no provision has been made for Federal income taxes. The Funds file income tax returns in U.S. federal and applicable state jurisdictions. The Funds’ tax returns are subject to examination by the relevant taxing authority until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax returns. Management of the Trust periodically reviews all tax positions to assess that it is more likely than not that the position would be sustained upon examination by the relevant tax authority based on the technical merits of each position. As of the date of these financial statements, management believes that no liability for unrecognized tax positions is required.
Dividends and Distributions to Shareholders. Dividends and distributions to shareholders are recorded by each Fund on the business day following record date. Net investment income dividends and capital gains distributions are determined in accordance with income tax regulations which may differ from accounting principles generally accepted in the United States of America (“U.S. GAAP”). If the total dividends and distributions made in any tax year exceeds net investment income and accumulated realized capital gains, a portion of the total distribution may be treated as a tax return of capital.
Segregation and Collateralization. In cases in which the 1940 Act and the interpretive positions of the Securities and Exchange Commission (“SEC”), the Dodd Frank Wall Street Reform and Consumer Protection Act, or the interpretive rules and regulations of the U.S. Commodities Futures Trading Commission require that a Fund either deliver collateral or segregate assets in connection with certain investments (e.g., dollar rolls, financial futures contracts, foreign currency exchange contracts, options written, securities with extended settlement periods and swaps), the Fund will segregate collateral or designate on its books and records cash or other liquid securities having a value at least equal to the amount that is required to be physically segregated for the benefit of the counterparty. Furthermore, based on requirements and agreements with certain exchanges and third party broker-dealers, each party has requirements to deliver/deposit cash or securities as collateral for certain investments. Certain countries require that cash reserves be held while investing in companies incorporated in that country. These cash reserves and cash collateral that has been pledged to cover obligations of the Funds under derivative contracts, if any, will be reported separately on the Statement of Assets and Liabilities as “Restricted cash.” Securities collateral pledged for the same purpose, if any, is noted on the Schedule of Investments.
50 | SEMIANNUAL REPORT | 2016 |
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Concentration of Market and Credit Risk. In the normal course of business, the Funds 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 Funds may decline in response to certain events, including those directly involving the issuers whose securities are owned by the 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 Funds may be exposed to counterparty credit risk, or the risk that an entity with which the Funds have unsettled or open transactions may fail to or be unable to perform on its commitments. The Funds manage counterparty credit risk by entering into transactions only with counterparties that they believe have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. Financial assets, which potentially expose the Funds to market, issuer and counterparty credit risks, consist principally of financial instruments and receivables due from counterparties. The extent of the Funds’ exposure to market, issuer and counterparty credit risks with respect to these financial assets is generally approximated by their value recorded on the Funds’ Statement of Assets and Liabilities, less any collateral held by the Funds.
Certain Funds may hold high-yield and/or non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Funds may acquire securities in default and are not obligated to dispose of securities whose issuers subsequently default.
Certain 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, as reflected on the Statement of Assets and Liabilities.
If a 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 Fund, or, in the case of hedging positions, that the 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.
Inflation-Indexed Bonds. Certain Funds may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statement of Operations, even though investors do not receive their principal until maturity.
Interest Only Obligations. These securities entitle the owner to receive only the interest portion from a bond, Treasury note or pool of mortgages. These securities are generally created by a third party separating a bond or pool of mortgages into distinct interest-only and principal-only securities. As the principal (par) amount of a bond or pool of mortgages is paid down, the amount of interest income earned by the owner will decline as well.
Loans. Certain Funds may invest in loans, the interest rates of which float or adjust periodically based upon a specified adjustment schedule, benchmark indicator, or prevailing interest rates, the debtor of which may be a domestic or foreign corporation, partnership or other entity (“Borrower”). Loans generally pay interest at rates which are periodically redetermined by reference to a base lending rate plus a premium. These base lending rates generally include prime rates of one or more major U.S. banks, London Interbank Offered Rate (“LIBOR”) rates or certificates of deposit rates. Loans often require prepayments from excess cash flow or permit the Borrower to repay at its election. The degree to which Borrowers repay cannot be predicted with accuracy. As a result, the actual maturity may be substantially less than the stated maturities. Loans are exempt from registration under the Securities Act of 1933, as amended, may contain certain restrictions on resale, and cannot be sold publicly. A Fund’s investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties.
When a Fund purchases assignments, it acquires all the rights and obligations under the loan agreement of the assigning lender. Assignments may, however, be arranged through private negotiations between potential assignees and potential assignors, and the rights and obligations acquired by the purchaser of an assignment may differ from, and be more limited than those held by the assigning lender. When a Fund purchases a participation of a loan interest, the Fund typically enters into a contractual agreement with the lender or other third party selling the participation. A participation interest in loans includes the right to receive payments of principal, interest and any fees to which it is entitled from the lender and only upon receipt by the lender of payments from the Borrower, but not from the Borrower directly. When investing in a participation interest, if a Borrower is unable to meet its obligations under a loan agreement, a Fund generally has no right to enforce compliance with the terms of the loan agreement. As a result, the Fund assumes the credit risk of the Borrower, the selling participant, and any other persons that are interpositioned between the Fund and the Borrower. If the lead lender in a typical lending syndicate becomes insolvent, enters Federal Deposit Insurance Corporation (“FDIC”) receivership or, if not FDIC insured, enters into bankruptcy, the Fund may incur certain costs and delays in receiving payment or may suffer a loss of principal and/or interest.
Payment In-Kind Securities. Certain Funds may invest in payment in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statement of Assets and Liabilities.
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Securities on a When-Issued or Delayed Delivery Basis. Certain Funds may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by a Fund on a when-issued basis normally take place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of a Fund’s NAV to the extent the Fund executes such transactions while remaining substantially fully invested. When a Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield IICO, or the Fund’s investment subadviser, as applicable, consider advantageous. The Fund maintains internally designated assets with a value equal to or greater than the amount of its purchase commitments. The Fund may also sell securities that it purchased on a when-issued or delayed delivery basis prior to settlement of the original purchase.
Custodian Fees. “Custodian fees” on the Statement of Operations may include interest expense incurred by a Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. A Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by that Fund. The “Earnings credit” line item, if shown, represents earnings on cash balances maintained by that Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.
Offering costs. Each Fund bears all costs associated with the offering expenses of the Fund including legal, printing and support services. All such costs are amortized as an expense of the new Fund on a straight-line basis over twelve months from commencement of operations.
Independent Trustees and Chief Compliance Officer Fees. Fees paid to the Independent Trustees can be paid in cash or deferred to a later date, at the election of the Trustee according to the Deferred Fee Agreement entered into between the Trust and the Trustee(s). Each Fund records its portion of the deferred fees as a liability on the Statement of Assets and Liabilities. All fees paid in cash plus any appreciation (depreciation) in the underlying deferred plan are shown on the Statement of Operations. Additionally, fees paid to the Chief Compliance Officer of the Funds are shown on the Statement of Operations.
Indemnifications. The Trust’s organizational documents provide current and former Trustees and Officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Trust. In the normal course of business, the Trust may also enter into contracts that provide general indemnification. The Trust’s maximum exposure under these arrangements is unknown and is dependent on future claims that may be made against the Trust. The risk of material loss from such claims is considered remote.
Basis of Preparation. Each Fund is an investment company and follows accounting and reporting guidance in the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 (“ASC 946”). The accompanying financial statements were prepared in accordance with U.S. GAAP, including but not limited to ASC 946. U.S. GAAP requires the use of estimates made by management. Management believes that estimates and valuations are appropriate; however, actual results may differ from those estimates, and the valuations reflected in the accompanying financial statements may differ from the value ultimately realized upon sale or maturity.
Subsequent Events. Management has performed a review for subsequent events through the date this report was issued.
3. | INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS |
Each Fund’s investments are reported at fair value. Fair value is defined as the price that each Fund would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date. Each Fund calculates the NAV of its shares as of the close of the NYSE, normally 4:00 P.M. Eastern time, on each day the NYSE is open for trading.
For purposes of calculating the NAV, the portfolio securities and other assets are valued on each business day using pricing and valuation methods as adopted by the Board. Where market quotes are readily available, fair value is generally determined on the basis of last reported sales prices, or if no sales are reported, based on quotes obtained from a quotation reporting system, established market makers, or pricing services.
Prices for fixed-income securities are typically based on quotes that are obtained from an independent pricing service authorized by the Board. To determine values of fixed-income securities, the independent pricing service utilizes such factors as current quotations by broker/dealers, coupon, maturity, quality, type of issue, trading characteristics, and other yield and risk factors it deems relevant in determining valuations. Securities that cannot be valued by the independent pricing service may be valued using quotes obtained from dealers that make markets in the securities.
Short-term securities with maturities of 60 days or less are valued based on quotes that are obtained from an independent pricing service authorized by the Board as described in the preceding paragraph above.
Because many foreign markets close before the NYSE, events may occur between the close of the foreign market and the close of the NYSE that could have a material impact on the valuation of foreign securities. Waddell & Reed Services Company (“WRSCO”), pursuant to procedures adopted by the Board, evaluates the impact of these events and may adjust the valuation of foreign securities to reflect the fair value as of the close of the NYSE. In addition, all securities for which values are not readily available or are deemed unreliable are appraised at fair value as determined in good faith under the supervision of the Board.
Where market quotes are not readily available, portfolio securities or assets are valued at fair value, as determined in good faith by the Board or Valuation Committee pursuant to procedures approved by the Board.
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Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information or broker quotes), including where events occur after the close of the relevant market, but prior to the NYSE close, that materially affect the values of a Fund’s securities or assets. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which the securities trade do not open for trading for the entire day and no other market prices are available.
The Board has delegated to WRSCO the responsibility for monitoring significant events that may materially affect the values of a Fund’s securities or assets and for determining whether the value of the applicable securities or assets should be re-evaluated in light of such significant events. The Board has established a Valuation Committee to administer and oversee the valuation process, including the use of third party pricing vendors.
The Board has adopted methods for valuing securities and other assets in circumstances where market quotes are not readily available. For instances in which daily market quotes are not readily available, investments may be valued, pursuant to procedures established by the Board, with reference to other securities or indices. In the event that the security or asset cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or asset will be determined in good faith by the Valuation Committee in accordance with the procedures adopted by the Board.
When a Fund uses these fair valuation methods applied by WRSCO that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Board or persons acting at their direction believe accurately reflects fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. The prices used by a Fund may differ from the value that will ultimately be realized at the time the securities are sold.
WRSCO is responsible for monitoring the implementation of the pricing and valuation policies through a series of activities to provide reasonable comfort of the accuracy of prices including: 1) periodic vendor due diligence meetings to review methodologies, new developments, and process at vendors, 2) daily and monthly multi-source pricing comparisons reviewed and submitted to the Valuation Committee, and 3) daily review of unpriced, stale, and variance reports with exceptions reviewed by management and the Valuation Committee.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputs is summarized as follows:
Level 1 – Observable input such as quoted prices, available in active markets, for identical assets or liabilities.
Level 2 – Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.
Level 3 – Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.
A description of the valuation techniques applied to the Funds’ major classes of assets and liabilities measured at fair value on a recurring basis follows:
Asset-Backed Securities and Mortgage-Backed Securities. The fair value of asset-backed securities and mortgage-backed securities are estimated using recently executed transactions and based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, and otherwise they would be categorized as Level 3.
Corporate Bonds. The fair value of corporate bonds, as obtained from an independent pricing service, is estimated using various techniques, which consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (where observable), bond spreads, fundamental data relating to the issuer, and credit default swap spreads adjusted for any basis difference between cash and derivative instruments. While most corporate bonds are categorized in Level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they are categorized in Level 3 of the fair value hierarchy.
Derivative Instruments. Forward foreign currency contracts are valued based upon the closing prices of the forward currency rates determined at the close of the NYSE provided by an independent pricing service. Swaps derive their value from underlying asset prices, indices, reference rates and other inputs or a combination of these factors. Swaps are valued by an independent pricing service unless the price is unavailable, in which case they are valued at the price provided by a dealer in that security. Futures contracts traded on an exchange are generally valued at the settlement price. Listed options are ordinarily valued at the mean of the last bid and ask price provided by an independent pricing service unless the price is
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unavailable, in which case they are valued at a quotation obtained from a broker-dealer. Over-the-counter (“OTC”) options are ordinarily valued at the mean of the last bid and ask price provided by an independent pricing service for a comparable listed option unless such a price is unavailable, in which case they are valued at a quotation obtained from a broker-dealer. If no comparable listed option exists from which to obtain a price from an independent pricing service and a quotation cannot be obtained from a broker-dealer, the OTC option will be valued using a model reasonably designed to provide a current market price.
Listed derivatives that are actively traded are valued based on quoted prices from the exchange and are categorized in Level 1 of the fair value hierarchy. OTC derivative contracts include forward foreign currency contracts, swap agreements, and option contracts related to interest rates, foreign currencies, credit standing of reference entities, equity prices, or commodity prices. Depending on the product and the terms of the transaction, the fair value of the OTC derivative products are modeled taking into account the counterparties’ creditworthiness and using a series of techniques, including simulation models. Many pricing models do not entail material subjectivity because the methodologies employed do not necessitate significant judgments and the pricing inputs are observed from actively quoted markets, as is the case with interest rate swap and option contracts. OTC derivative products valued using pricing models with significant observable inputs are categorized within Level 2 of the fair value hierarchy.
Equity Securities. Equity securities traded on U.S. or foreign securities exchanges or included in a national market system are valued at the official closing price at the close of each business day unless otherwise stated below. OTC equity securities and listed securities for which no price is readily available are valued at the average of the last bid and asked prices.
Mutual funds, including investment funds, typically are valued at the NAV reported as of the valuation date.
Securities that are stated at the last reported sales price or closing price on the day of valuation taken from the primary exchange where the security is principally traded and to the extent these securities are actively traded and valuation adjustments are not applied, they are categorized in Level 1 of the fair value hierarchy.
Foreign securities, for which the primary trading market closes at the same time or after the NYSE, are valued based on quotations from the primary market in which they are traded and categorized in Level 1. Because many foreign securities markets and exchanges close prior to the close of the NYSE, closing prices for foreign securities in those markets or on those exchanges do not reflect the events that occur after that close. Certain foreign securities may be fair valued using a pricing service that considers the correlation of the trading patterns of the foreign security to the intra-day trading in the U.S. markets for investments such as American Depositary Receipts, financial futures, exchange-traded funds, and the movement of certain indices of securities based on a statistical analysis of their historical relationship; such valuations generally are categorized in Level 2.
Preferred stock, repurchase agreements, and other equities traded on inactive markets or valued by reference to similar instruments are also generally categorized in Level 2.
Loans. Loans are valued using a price or composite price from one or more brokers or dealers as obtained from an independent pricing service. The fair value of loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources. Loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable in which case they would be categorized as Level 3.
Municipal Bonds. Municipal bonds are fair valued based on pricing models used by and obtained from an independent pricing service that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-wants lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Other Government Securities. Other government securities include emerging market sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. The fair value of other government securities is estimated using various techniques, which consider recently executed transactions in securities of the issuer or comparable issuers, market price quotations (where observable), bond spreads, fundamental data relating to the issuer, and credit default swap spreads adjusted for any basis difference between cash and derivative instruments. While most other government securities are categorized in Level 2 of the fair value hierarchy, in instances where lower relative weight is placed on transaction prices, quotations, or similar observable inputs, they are categorized in Level 3 of the fair value hierarchy.
Restricted Securities. Restricted securities that are deemed to be both Rule 144A securities and illiquid, as well as restricted securities held in non-public entities, are included in Level 3 of the fair value hierarchy to the extent that significant inputs to valuation are unobservable, because they trade infrequently, and, therefore, the inputs are unobservable. Restricted securities that are valued at a discount to similar publicly traded securities may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety; otherwise they may be categorized as Level 3.
U.S. Government and Agency Securities. U.S. government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Accordingly, U.S. government and agency securities are normally categorized in Level 1 or 2 of the fair value hierarchy depending on the liquidity and transparency of the market.
Transfers from Level 2 to Level 3 occurred primarily due to the lack of observable market data due to decreased market activity or information for these securities. Transfers from Level 3 to Level 2 occurred primarily due to the increased availability of observable market data due to increased market activity or information. Transfers between levels represent the values as of the beginning of the reporting period.
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For fair valuations using unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to total realized and unrealized gains or losses, purchases and sales, and transfers in or out of the Level 3 category during the period. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and Level 3 reconciliation, if any, have been included in the Notes to the Schedule of Investments for each respective Fund.
Net realized gain (loss) and net unrealized appreciation (depreciation), shown on the reconciliation of Level 3 investments if applicable, are included on the Statement of Operations in net realized gain (loss) on investments in unaffiliated and/or affiliated securities and in net change in unrealized appreciation (depreciation) on investments in unaffiliated and/or affiliated securities, respectively. Additionally, the net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of March 31, 2016, if applicable, is included on the Statement of Operations in net change in unrealized appreciation (depreciation) on investments in unaffiliated and/or affiliated securities.
4. | DERIVATIVE INSTRUMENTS ($ amounts in thousands unless indicated otherwise) |
The following disclosures contain information on why and how the Funds use derivative instruments, the associated risks of investing in derivative instruments, and how derivative instruments affect the Funds’ financial positions and results of operations when presented by primary underlying risk exposure.
Forward Foreign Currency Contracts. Certain Funds may enter into forward foreign currency contracts (“forward contracts”) for the purchase or sale of a foreign currency at a negotiated rate at a future date. Forward contracts are reported on a schedule following the Schedule of Investments. Forward contracts will be valued daily based upon the closing prices of the forward currency rates provided by an independent pricing service determined at the close of the NYSE as provided by a bank, dealer or independent pricing service. The resulting unrealized appreciation and depreciation is reported on the Statement of Assets and Liabilities as a receivable or payable and on the Statement of Operations within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) on the Statement of Operations.
Risks to a Fund related to the use of such contracts include both market and credit risk. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. Credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, a Fund’s maximum loss will consist of the aggregate unrealized gain on appreciated contracts that is not collateralized.
Ivy Apollo Multi-Asset Income Fund, Ivy Apollo Strategic Income Fund, Ivy Emerging Markets Local Currency Debt Fund and Ivy Targeted Return Bond Fund enter into forward foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to, or hedge exposure away from foreign currencies (foreign currency exchange rate risk).
Futures Contracts. Certain Funds may engage in buying and selling futures contracts. Upon entering into a futures contract, the Fund is required to deposit, in a segregated account, an amount equal to a varying specified percentage of the contract amount. This amount is known as the initial margin. Subsequent payments (variation margins) are made or received by the Fund each day, dependent on the daily fluctuations in the value of the underlying debt security or index.
Futures contracts are reported on a schedule following the Schedule of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are identified on the Schedule of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted on the Statement of Assets and Liabilities. The net change in unrealized appreciation (depreciation) is reported on the Statement of Operations. Realized gains (losses) are reported on the Statement of Operations at the closing or expiration of futures contracts.
Risks of entering into futures contracts include the possibility of loss of securities or cash held as collateral, that there may be an illiquid market where the Fund is unable to close the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
Ivy Emerging Markets Local Currency Debt Fund and Ivy Targeted Return Bond Fund invest in long and/or short positions in futures contracts to gain exposure to, or economically hedge against, changes in interest rates (interest rate risk), changes in the value of equity securities (equity risk) or foreign currencies (foreign currency exchange rate risk).
Option Contracts. Options purchased by a Fund are accounted for in the same manner as portfolio securities. The cost of instruments acquired through the exercise of call options is increased by the premium paid to purchase the call. The proceeds from instruments sold through the exercise of put options are decreased by the premium paid to purchase the put.
When a Fund writes (sells) an option, an amount equal to the premium received by the Fund is recorded as a liability. The amount of the liability is subsequently adjusted to reflect the current value of the option written. When an option expires on its stipulated expiration date or a Fund enters into a closing purchase transaction, the Fund realizes a gain (or loss if the cost of a closing purchase transaction exceeds the premium received when the call option was sold), and the liability related to such option is extinguished. When a written call option is exercised, the premium is added to the proceeds from the sale of the underlying instrument in determining whether a Fund has realized a gain or loss. For each Fund, when a written put is exercised, the cost basis of the instruments purchased by a Fund is reduced by the amount of the premium received.
Investments in options, whether purchased or written, involve certain risks. Writing put options and purchasing call options may increase a Fund’s exposure to the underlying instrument. With written options, there may be times when a Fund will be required to purchase or sell instruments to
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meet its obligation under the option contract where the required action is not beneficial to the Fund, due to unfavorable movement of the market price of the underlying instrument. Additionally, to the extent a Fund enters into OTC option transactions with counterparties, the Fund will be exposed to the risk that counterparties to these OTC transactions will be unable to meet their obligations under the terms of the transaction.
Ivy Emerging Markets Local Currency Debt Fund and Ivy Targeted Return Bond Fund may purchase and write call and put options to increase or decrease hedging exposure to underlying instruments (which may include credit risk, equity risk, foreign currency exchange rate risk, event risk and/or interest rate risk), increase exposure to various equity markets or certain sectors, gain exposure to or facilitate trading in certain securities and/or, in the case of options written, to generate returns from options premiums.
Swap Agreements. Certain Funds may invest in swap agreements. Swap agreements are bilaterally negotiated agreements between a Fund and counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements may be privately negotiated in the over the counter market (“OTC swaps”) or may be cleared through a third party, known as a central counterparty or derivatives clearing organization (“centrally cleared swaps”).
Swaps are marked to market daily and changes in value are recorded as unrealized appreciation (depreciation) on the Statement of Operations. Daily changes in valuation of centrally cleared swaps, if any, are recorded as variation margin receivable or variation margin payable on the Statement of Assets and Liabilities. Payments received or made by the Fund are recorded as realized gain or loss on the Statement of Operations. Any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as swap premiums paid and swap premiums received, respectively, if any, on the Statement of Assets and Liabilities and amortized over the term of the swap. A liquidation payment received or made at the termination or maturity of the swap is recorded as realized gain or loss on the Statement of Operations.
Upon entering into a centrally cleared swap, a Fund is required to deposit initial margin with the broker in the form of cash or securities. Securities deposited as initial margin, if any, are designated on the Schedule of Investments. Cash deposited as initial margin is identified on the Schedule of Investments and is recorded as restricted cash on the Statement of Assets and Liabilities.
Credit default swap agreements on corporate issuers or credit indices involve one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a write-down, principal shortfall, interest shortfall or default of the corporate issuer or all or part of the referenced entities comprising the credit index. As a buyer, if an underlying credit event occurs, a Fund will either (i) receive from the seller an amount equal to the notional amount of the swap and deliver the corporate issuer security or underlying securities comprising the index, or (ii) receive a net settlement of cash equal to the notional amount of the swap less the recovery value of the corporate issuer security or underlying securities comprising the index. As a seller (writer), if an underlying credit event occurs, a Fund will either pay the buyer an amount equal to the notional amount of the swap and take delivery of the corporate issuer security or underlying securities comprising the index or pay a net settlement of cash equal to the notional amount of the swap less the recovery value of the corporate issuer security or underlying securities comprising the index.
Ivy Targeted Return Bond Fund enters into credit default swaps to protect bonds owned by a Fund against default.
Interest rate swaps are agreements in which one party pays a stream of interest payments, either fixed or floating, for another party’s stream of interest payments, either fixed or floating, on the same notional amount for a specified period of time.
Ivy Emerging Markets Local Currency Debt Fund enters into interest rate swaps to gain or reduce exposure to interest rates or to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed rate bonds, which may decrease when interest rates rise (interest rate risk).
Total return swaps involve a commitment to pay or receive periodic interest payments in exchange for a market-linked return based on a security or a basket of securities representing a variety of securities or a particular index. To the extent the total return of the security, index or other financial measure underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty.
Ivy Apollo Multi-Asset Income Fund and Ivy Apollo Strategic Income Fund enter into total return swaps to hedge exposure to a security or market.
The creditworthiness of the counterparty with which a Fund enters into a swap agreement is monitored by IICO. If a firm’s creditworthiness declines, the value of the agreement would likely decline, potentially resulting in losses. If a default occurs by the counterparty to such a transaction, the Fund will have contractual remedies pursuant to the agreement related to the transaction. The maximum loss a Fund may incur consists of the aggregate unrealized gain on appreciated contracts that is not collateralized.
Collateral and rights of offset. A Fund may mitigate credit risk with respect to OTC derivative counterparties through credit support annexes (“CSA”) included with an International Swaps and Derivatives Association, Inc. (“ISDA”) Master Agreement which is the standard contract governing most derivative transactions between the Fund and each of its counterparties. The CSA allows the Fund and its counterparty to offset certain derivative financial instruments’ payables and/or receivables against each other and/or with collateral, which is generally held by the Fund’s custodian. The amount of collateral moved to/from applicable counterparties is based upon minimum transfer amounts specified in the CSA. To the extent amounts due to the Fund from its counterparties are not fully collateralized contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. See Note 2 “Segregation and Collateralization” for additional information with respect to collateral practices.
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Offsetting of Assets and Liabilities. The following tables present financial instruments that are either (1) offset or (2) subject to an enforceable master netting arrangement or similar agreement as of March 31, 2016:
Assets
Gross Amounts Not Offset on the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||
Fund | Gross Amounts of Recognized Assets | Gross Amounts Offset on the Statement of Assets and Liabilities | Net Amounts of Assets Presented on the Statement of Assets and Liabilities | Financial Instruments and Derivatives Available for Offset | Non-Cash Collateral Received | Cash Collateral Received | Net Amount Receivable | |||||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | $ | 37 | $ | — | $ | 37 | $ | (37 | ) | $ | — | $ | — | $ | — | |||||||||||||
Unrealized appreciation on swap agreements | 1 | — | 1 | — | — | — | 1 | |||||||||||||||||||||
Total | $ | 38 | $ | — | $ | 38 | $ | (37 | ) | $ | — | $ | — | $ | 1 | |||||||||||||
Ivy Apollo Strategic Income Fund | ||||||||||||||||||||||||||||
Unrealized appreciation on swap agreements | $ | 1 | $ | — | $ | 1 | $ | — | $ | — | $ | — | $ | 1 | ||||||||||||||
Ivy Emerging Markets Local Currency Debt Fund | ||||||||||||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | $ | 768 | $ | — | $ | 768 | $ | (359 | ) | $ | — | $ | — | $ | 409 | |||||||||||||
Unrealized appreciation on swap agreements | 71 | — | 71 | (33 | ) | — | — | 38 | ||||||||||||||||||||
Total | $ | 839 | $ | — | $ | 839 | $ | (392 | ) | $ | — | $ | — | $ | 447 | |||||||||||||
Ivy Targeted Return Bond Fund | ||||||||||||||||||||||||||||
Investments in unaffiliated securities at value* | $ | 20 | $ | — | $ | 20 | $ | (20 | ) | $ | — | $ | — | $ | — | |||||||||||||
Unrealized appreciation on forward foreign currency contracts | 76 | — | 76 | (76 | ) | — | — | — | ||||||||||||||||||||
Total | $ | 96 | $ | — | $ | 96 | $ | (96 | ) | $ | — | $ | — | $ | — |
*Purchased | options are reported as investments in unaffiliated securities on the Statement of Assets and Liabilities. |
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Liabilities
Gross Amounts Not Offset on the Statement of Assets and Liabilities | ||||||||||||||||||||||||||||
Fund | Gross Amounts of Recognized Liabilities | Gross Amounts Offset on the Statement of Assets and Liabilities | Net Amounts of Liabilities Presented on the Statement of Assets and Liabilities | Financial Instruments and Derivatives Available for Offset | Non-Cash Collateral Pledged | Cash Collateral Pledged | Net Amount Payable | |||||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | $ | 82 | $ | — | $ | 82 | $ | (37 | ) | $ | — | $ | — | $ | 45 | |||||||||||||
Ivy Apollo Strategic Income Fund | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | $ | 38 | $ | — | $ | 38 | $ | — | $ | — | $ | — | $ | 38 | ||||||||||||||
Ivy Emerging Markets Local Currency Debt Fund | ||||||||||||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | $ | 445 | $ | — | $ | 445 | $ | (359 | ) | $ | — | $ | — | $ | 86 | |||||||||||||
Unrealized depreciation on swap agreements | 33 | — | 33 | (33 | ) | — | — | — | ||||||||||||||||||||
Total | $ | 478 | $ | — | $ | 478 | $ | (392 | ) | $ | — | $ | — | $ | 86 | |||||||||||||
Ivy Targeted Return Bond Fund | ||||||||||||||||||||||||||||
Written options at value | $ | 60 | $ | — | $ | 60 | $ | (20 | ) | $ | — | $ | — | $ | 40 | |||||||||||||
Unrealized depreciation on forward foreign currency contracts | 802 | — | 802 | (107 | ) | (274 | ) | — | 421 | |||||||||||||||||||
Unrealized depreciation on swap agreements | — | * | — | — | * | — | — | — | — | * | ||||||||||||||||||
Total | $ | 862 | $ | — | $ | 862 | $ | (127 | ) | $ | (274 | ) | $ | — | $ | 461 |
*Not | shown due to rounding. |
Additional Disclosure Related to Derivative Instruments
Fair values of derivative instruments as of March 31, 2016:
Assets | Liabilities | |||||||||||||
Fund | Type of Risk Exposure | Statement of Assets & Liabilities Location | Value | Statement of Assets & Liabilities Location | Value | |||||||||
Ivy Apollo Multi-Asset Income Fund | Foreign currency | Unrealized appreciation on forward foreign currency contracts | $ | 37 | Unrealized depreciation on forward foreign currency contracts | $ | 82 | |||||||
Interest rate | Unrealized appreciation on swap agreements | 1 | — | |||||||||||
Ivy Apollo Strategic Income Fund | Foreign currency | — | Unrealized depreciation on forward foreign currency contracts | 38 | ||||||||||
Interest rate | Unrealized appreciation on swap agreements | 1 | — | |||||||||||
Ivy Emerging Markets Local Currency Debt Fund | Foreign currency | Unrealized appreciation on forward foreign currency contracts | 768 | Unrealized depreciation on forward foreign currency contracts | 445 | |||||||||
Interest rate | Unrealized appreciation on swap agreements | 71 | Unrealized depreciation on swap agreements | 33 | ||||||||||
Ivy Targeted Return Bond Fund | Credit | — | Written options at value | — | * | |||||||||
Unrealized appreciation on centrally cleared credit default swap agreements*** | 15 | Unrealized depreciation on over the counter default swap agreements | — | * | ||||||||||
Foreign currency | Investments in unaffiliated securities at value** | 20 | Written options at value | 60 | ||||||||||
Unrealized appreciation on forward foreign currency contracts | 76 | Unrealized depreciation on forward foreign currency contracts | 802 | |||||||||||
Interest rate | Investments in unaffiliated securities at value** | 56 | Written options at value | 10 | ||||||||||
Unrealized appreciation on futures contracts*** | 2 | Unrealized depreciation on futures contracts*** | 76 |
* | Not shown due to rounding. |
** | Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments. |
*** | The value presented includes cumulative gain (loss) on open futures contracts and centrally cleared credit default swap agreements; however, the value reflected on the accompanying Statement of Assets and Liabilities is only the unsettled variation margin receivable (payable) as of period ended March 31, 2016. |
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Amount of realized gain (loss) on derivatives recognized on the Statement of Operations for the period ended March 31, 2016:
Net realized gain (loss) on: | ||||||||||||||||||||||||||
Fund | Type of Risk Exposure | Investments in unaffiliated securities* | Swap agreements | Futures contracts | Written options | Forward foreign currency contracts | Total | |||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund | Interest rate | $ | — | $ | 2 | $ | — | $ | — | $ | — | $ | 2 | |||||||||||||
Foreign currency | — | — | — | — | (301 | ) | (301 | ) | ||||||||||||||||||
Ivy Apollo Strategic Income Fund | Interest rate | — | 3 | — | — | — | 3 | |||||||||||||||||||
Foreign currency | — | — | — | — | 38 | 38 | ||||||||||||||||||||
Ivy Emerging Markets Local Currency Debt Fund | Interest rate | (5) | (30) | 32 | 2 | — | (1) | |||||||||||||||||||
Foreign currency | — | — | — | — | 97 | 97 | ||||||||||||||||||||
Ivy Targeted Return Bond Fund | Credit | — | 3 | — | — | — | 3 | |||||||||||||||||||
Currency | 3 | — | — | — | — | 3 | ||||||||||||||||||||
Foreign currency | — | — | — | — | (1) | (1) | ||||||||||||||||||||
Interest rate | (12 | ) | — | (417 | ) | 16 | — | (413 | ) |
* | Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments. |
Change in unrealized appreciation (depreciation) on derivatives recognized on the Statement of Operations for the period ended March 31, 2016:
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||
Fund | Type of Risk Exposure | Investments in unaffiliated securities* | Swap agreements | Futures contracts | Written options | Forward foreign currency contracts | Total | |||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund | Interest rate | $ | — | $ | 1 | $ | — | $ | — | $ | — | $ | 1 | |||||||||||||
Foreign currency | — | — | — | — | (45 | ) | (45 | ) | ||||||||||||||||||
Ivy Apollo Strategic Income Fund | Interest rate | — | 1 | — | — | — | 1 | |||||||||||||||||||
Foreign currency | — | — | — | — | (38 | ) | (38 | ) | ||||||||||||||||||
Ivy Emerging Markets Local Currency Debt Fund | Foreign currency | — | — | — | — | 190 | 190 | |||||||||||||||||||
Interest rate | 5 | 70 | 5 | (2 | ) | — | 78 | |||||||||||||||||||
Ivy Targeted Return Bond Fund | Credit | — | 15 | — | 25 | — | 40 | |||||||||||||||||||
Currency | (64) | — | — | 19 | — | (45) | ||||||||||||||||||||
Foreign currency | — | — | — | — | (726) | (726) | ||||||||||||||||||||
Interest rate | (25) | — | (74 | ) | 32 | — | (67 | ) |
* | Purchased options are reported as investments in unaffiliated securities and are reflected on the accompanying Schedule of Investments. |
During the period ended March 31, 2016, the average derivative volume was as follows:
Fund | Forward foreign currency contracts(1) | Long futures contracts(1) | Short futures contracts(1) | Swap agreements(2) | Purchased options(1) | Written options(1) | ||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund | $ | 61 | $ | — | $ | — | $ | 34 | $ | — | $ | — | ||||||||||||
Ivy Apollo Strategic Income Fund | 1 | — | — | 51 | — | — | ||||||||||||||||||
Ivy Emerging Markets Local Currency Debt Fund | 112 | 392 | 834 | 33,557 | — | * | — | * | ||||||||||||||||
Ivy Targeted Return Bond Fund | 100 | 653 | 7,343 | 329 | 31 | 24 |
*Not | shown due to rounding. |
(1) | Average value outstanding during the period. |
(2) | Average notional amount outstanding during the period. |
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5. WRITTEN OPTION ACTIVITY ($ amounts in thousands)
Transactions in written options were as follows:
Fund | Outstanding at 9-30-15 | Options written | Options closed | Options exercised | Options expired | Outstanding at 3-31-16 | ||||||||||||||||||
Ivy Emerging Markets Local Currency Debt Fund | ||||||||||||||||||||||||
Number of Contracts | 14 | — | — | — | (14 | ) | N/A | |||||||||||||||||
Premium Received | $ | 2 | $ | — | $ | — | $ | — | $ | (2 | ) | N/A | ||||||||||||
Ivy Targeted Return Bond Fund | ||||||||||||||||||||||||
Number of Contracts or Notional Amounts | N/A | 8,400,033 | (10 | ) | — | (7 | ) | 8,400,016 | ||||||||||||||||
Premium Received | N/A | $ | 165 | $ | (13 | ) | $ | — | $ | (6 | ) | $ | 146 |
6. | INVESTMENT MANAGEMENT AND PAYMENTS TO AFFILIATED PERSONS ($ amounts in thousands unless indicated otherwise) |
Management Fees. IICO, a wholly owned subsidiary of Waddell & Reed Financial, Inc. (“WDR”), serves as each Fund’s investment manager. The management fee is accrued daily by each Fund at the following annual rates as a percentage of average daily net assets:
Fund (M - Millions) | $0 to $1,000M | $1,000 to $2,000M | $2,000 to $3,000M | $3,000 to $5,000M | $5,000 to $10,000M | Over $10,000M | ||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund | 0.700 | % | 0.650 | % | 0.610 | % | 0.580 | % | 0.580 | % | 0.580 | % | ||||||||||||
Ivy Apollo Strategic Income Fund | 0.680 | 0.620 | 0.580 | 0.570 | 0.570 | 0.570 | ||||||||||||||||||
Ivy Emerging Markets Local Currency Debt Fund | 0.900 | 0.850 | 0.800 | 0.800 | 0.750 | 0.720 | ||||||||||||||||||
Ivy Targeted Return Bond Fund | 0.900 | 0.850 | 0.800 | 0.800 | 0.750 | 0.750 |
IICO has entered into Subadvisory Agreements with the following entities on behalf of the Funds:
Under an agreement between IICO and Apollo Credit Management, LLC (“Apollo”), Apollo serves as subadviser for the total return strategy of each of the Ivy Apollo Multi-Asset Income Fund and Ivy Apollo Strategic Income Fund. Under an agreement between IICO and LaSalle Investment Management Securities, LLC (“LaSalle”), LaSalle serves as subadviser for the global real estate strategy of the Ivy Apollo Multi-Asset Income Fund. Under an agreement between IICO and Pictet Asset Management Limited (“Pictet UK”) and Pictet Asset Management (Singapore) PTE Ltd. (“Pictet Singapore”, and collectively with Pictet UK, “Pictet”), Pictet serves as subadvisors to Ivy Emerging Markets Local Currency Debt Fund. Under an agreement between IICO and Pictet Asset Management SA (“Pictet AM CH”), Pictet AM CH serves as subadvisor to Ivy Targeted Return Bond Fund. Each subadviser makes investment decisions in accordance with the Fund’s investment objectives, policies and restrictions under the supervision of IICO and the oversight of the Board. IICO pays all applicable costs of the subadvisers.
Accounting Services Fees. The Trust has an Accounting and Administrative Services Agreement with WRSCO, doing business as WI Services Company (“WISC”), an indirect subsidiary of WDR. Under the agreement, WISC acts as the agent in providing bookkeeping and accounting services and assistance to the Trust, including maintenance of Fund records, pricing of Fund shares and preparation of certain shareholder reports. For these services, each Fund pays WISC a monthly fee of one-twelfth of the annual fee based on the average net asset levels shown in the following table:
(M - Millions) | $0 to $10M | $10 to $25M | $25 to $50M | $50 to $100M | $100 to $200M | $200 to $350M | $350 to $550M | $550 to $750M | $750 to $1,000M | Over $1,000M | ||||||||||||||||||||||||||||||
Annual Fee Rate | $ | 0.00 | $ | 11.50 | $ | 23.10 | $ | 35.50 | $ | 48.40 | $ | 63.20 | $ | 82.50 | $ | 96.30 | $ | 121.60 | $ | 148.50 |
In addition, for each class of shares in excess of one, each Fund pays WISC a monthly per-class fee equal to 2.5% of the monthly accounting services base fee.
Each Fund also pays WISC a monthly administrative fee at the annual rate of 0.01%, or one basis point, for the first $1 billion of net assets with no fee charged for net assets in excess of $1 billion. This fee is voluntarily waived by WISC until a Fund’s net assets are at least $10 million and is included in “Accounting services fee” on the Statement of Operations.
Shareholder Servicing. General. Under the Shareholder Servicing Agreement between the Trust and WISC, with respect to Class A, Class C and Class E shares, for each shareholder account that was in existence at any time during the prior month, each Fund pays a monthly fee that ranges from $1.5042 to $1.6958 per account; however, WISC has agreed to reduce that fee if the number of total shareholder accounts within the Complex (Waddell & Reed Advisors Funds, InvestEd Portfolios and Ivy Funds) reaches certain levels. Effective June 6, 2011 for Class R shares, each Fund pays a monthly fee equal to one-twelfth of 0.25 of 1% of the average daily net assets of the class for the preceding month. Prior to June 6, 2011 the fee was 0.20 of 1%. For Class I and Class Y shares, each Fund pays a monthly fee equal to one-twelfth of 0.15 of 1% of the average daily net assets of the class for the preceding month. For Class R6 shares, each Fund pays WISC a monthly fee equal to one-twelfth of 0.01 of 1% of the average daily net assets of the class for the preceding month. Each Fund also reimburses WISC for certain out-of-pocket costs for all classes.
Networked accounts. For certain networked accounts (that is, those accounts whose Fund shares are purchased through certain financial intermediaries), WISC has agreed to reduce its per account fees charged to the Funds to $0.50 per month per shareholder account. Additional fees may be paid by the Funds to those intermediaries. The Fund will reimburse WISC for such costs if the annual rate of the third-party per account charges for a Fund are less than or equal to $12.00 per account or an annual fee of 0.14 of 1% that is based on average daily net assets.
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Broker accounts. Certain broker-dealers that maintain shareholder accounts with each Fund through an omnibus account provide transfer agent and other shareholder-related services that would otherwise be provided by WISC if the individual accounts that comprise the omnibus account were opened by their beneficial owners directly. Each Fund may pay such broker-dealers a per account fee for each open account within the omnibus account (up to $18.00 per account), or a fixed rate fee (up to an annual fee of 0.20 of 1% that is based on average daily net assets), based on the average daily NAV of the omnibus account (or a combination thereof).
Distribution and Service Plan. Class A and Class E Shares. Under a Distribution and Service Plan adopted by the Trust pursuant to Rule 12b–1 under the 1940 Act (the “Distribution and Service Plan”), each Fund may pay a distribution and/or service fee to Ivy Funds Distributors, Inc. (“IFDI”) for Class A and Class E shares in an amount not to exceed 0.25% of the Fund’s average annual net assets. The fee is to be paid to compensate IFDI for amounts it expends in connection with the distribution of the Class A and Class E shares and/or provision of personal services to Fund shareholders and/or maintenance of shareholder accounts of that class.
Class C Shares. Under the Distribution and Service Plan, each Fund may pay IFDI a service fee not to exceed 0.25% and a distribution fee not to exceed 0.75% of the Fund’s average annual net assets for Class C shares to compensate IFDI for its services in connection with the distribution of shares of that class and/or provision of personal services to Class C shareholders and/or maintenance of shareholder accounts of that class.
Class R Shares. Under the Distribution and Service Plan, each Fund may pay IFDI a fee of up to 0.50%, on an annual basis, of the average daily net assets of the Fund’s Class R shares to compensate IFDI for, either directly or through third parties, distributing the Class R shares of that Fund, providing personal services to Class R shareholders and/or maintaining Class R shareholder accounts.
Class Y Shares. Under the Distribution and Service Plan, each Fund may pay IFDI a fee of up to 0.25%, on an annual basis, of the average daily net assets of the Fund’s Class Y shares to compensate IFDI for, either directly or through third parties, distributing the Class Y shares of that Fund, providing personal services to Class Y shareholders and/or maintaining Class Y shareholder accounts.
Sales Charges. As principal underwriter for the Trust’s shares, IFDI receives sales commissions (which are not an expense of the Trust) for sales of Class A and Class E shares. A CDSC may be assessed against a shareholder’s redemption amount of Class C or certain Class A and Class E shares and is paid to IFDI. During the period ended March 31, 2016, IFDI received the following amounts in sales commissions and CDSCs:
Gross Sales Commissions | CDSC | Commissions Paid(1) | ||||||||||||||||||
Class A | Class C | Class E | ||||||||||||||||||
Ivy Apollo Multi-Asset Income Fund | $ | 125 | $ | — | $ | — | * | N/A | $ | 131 | ||||||||||
Ivy Apollo Strategic Income Fund | 150 | — | 1 | N/A | 154 | |||||||||||||||
Ivy Emerging Markets Local Currency Debt Fund | 4 | — | — | * | $ | — | 3 | |||||||||||||
Ivy Targeted Return Bond Fund | 29 | — | — | N/A | 16 |
* | Not shown due to rounding. |
(1) | IFDI reallowed/paid this portion of the sales charge to financial advisors and selling broker-dealers. |
Expense Reimbursements and/or Waivers. Fund and class expense limitations and related waivers/reimbursements for the period ended March 31, 2016 were as follows:
Fund Name | Share Class Name | Type of Expense Limit | Commencement Date | End Date | Expense Limit | Amount of Expense Waiver/ Reimbursement | Expense Reduced | |||||||||
Ivy Apollo Multi-Asset Income Fund | All Classes | Contractual | 10-1-2015 | 1-31-2017 | N/A | $ | 1 | (1) | Investment Management Fee | |||||||
Class A | Contractual | 10-1-2015 | 1-31-2017 | 1.30% | $ | 50 | 12b-1 Fees and/or Shareholder Servicing | |||||||||
Class C | Contractual | 10-1-2015 | 1-31-2017 | 2.17% | $ | — | N/A | |||||||||
Class I | Contractual | 10-1-2015 | 1-31-2017 | 1.00% | $ | 7 | Shareholder Servicing | |||||||||
Class R6 | Contractual | 10-1-2015 | 1-31-2017 | 1.00% | $ | — | * | Shareholder Servicing | ||||||||
Class Y | Contractual | 10-1-2015 | 1-31-2017 | 1.25% | $ | 3 | 12b-1 Fees and/or Shareholder Servicing | |||||||||
Ivy Apollo Strategic Income Fund | All Classes | Contractual | 10-1-2015 | 1-31-2017 | N/A | $ | 18 | (1) | Investment Management Fee | |||||||
Class A | Contractual | 10-1-2015 | 1-31-2017 | 1.15% | $ | 43 | 12b-1 Fees and/or Shareholder Servicing | |||||||||
Class C | Contractual | 10-1-2015 | 1-31-2017 | 1.85% | $ | 2 | 12b-1 Fees and/or Shareholder Servicing | |||||||||
Class I | Contractual | �� | 10-1-2015 | 1-31-2017 | 0.85% | $ | 9 | Shareholder Servicing | ||||||||
Class R6 | Contractual | 10-1-2015 | 1-31-2017 | 0.85% | $ | — | * | Shareholder Servicing | ||||||||
Class Y | Contractual | 10-1-2015 | 1-31-2017 | 1.10% | $ | 3 | 12b-1 Fees and/or Shareholder Servicing |
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Fund Name | Share Class Name | Type of Expense Limit | Commencement Date | End Date | Expense Limit | Amount of Expense Waiver/ Reimbursement | Expense Reduced | |||||||||
Ivy Emerging Markets Local Currency Debt Fund | All Classes | Contractual | 4-30-2014 | 1-31-2017 | N/A | $ | 133 | (2) | Investment Management Fee | |||||||
Class A | Contractual | 4-30-2014 | 1-31-2017 | 1.25% | $ | 39 | 12b-1 Fees and/or Shareholder Servicing | |||||||||
Class C | Contractual | 4-30-2014 | 1-31-2017 | 2.00% | $ | — | * | 12b-1 Fees and/or Shareholder Servicing | ||||||||
Class E | Contractual | 4-30-2014 | 1-31-2017 | 1.40% | $ | — | N/A | |||||||||
Class I | Contractual | 4-30-2014 | 1-31-2017 | 1.00% | $ | 6 | Shareholder Servicing | |||||||||
Class R | Contractual | 4-30-2014 | 1-31-2017 | 1.50% | $ | 2 | 12b-1 Fees and/or Shareholder Servicing | |||||||||
Class R6 | Contractual | 1-30-2015 | 1-31-2017 | 1.00% | $ | — | * | Shareholder Servicing | ||||||||
Class Y | Contractual | 4-30-2014 | 1-31-2017 | 1.25% | $ | 2 | 12b-1 Fees and/or Shareholder Servicing | |||||||||
Class Y | Contractual | 4-30-2014 | 1-31-2017 | Not to exceed Class A | $ | — | N/A | |||||||||
Ivy Targeted Return Bond Fund | All Classes | Contractual | 1-4-2016 | 1-31-2017 | N/A | $ | 27 | (1) | Investment Management Fee | |||||||
Class A | Contractual | 1-4-2016 | 1-31-2017 | 1.38% | $ | — | N/A | |||||||||
Class C | Contractual | 1-4-2016 | 1-31-2017 | 2.08% | $ | — | N/A | |||||||||
Class I | Contractual | 1-4-2016 | 1-31-2017 | 1.00% | $ | — | * | Shareholder Servicing | ||||||||
Class R6 | Contractual | 1-4-2016 | 1-31-2017 | 0.87% | $ | — | * | Shareholder Servicing | ||||||||
Class Y | Contractual | 1-4-2016 | 1-31-2017 | 1.25% | $ | — | * | 12b-1 Fees and/or Shareholder Servicing | ||||||||
Class Y | Contractual | 1-4-2016 | 1-31-2017 | Not to exceed Class A | $ | — | N/A |
* | Not shown due to rounding. |
(1) | Due to Class A, Class C, Class I, Class R6 and/or Class Y contractual expense limits, investment management fees were waived for all share classes. |
(2) | Due to Class A, Class C, Class E, Class I, Class R, Class R6 and/or Class Y contractual expense limits, investment management fees were waived for all share classes. |
Any amounts due to the Funds as a reimbursement but not paid as of March 31, 2016 are shown as a receivable from affiliates on the Statement of Assets and Liabilities.
7. | RELATED PARTY TRANSACTIONS |
Certain Funds are permitted to purchase or sell securities from or to certain affiliated funds under specified conditions outlined in procedures adopted by the Board. The procedures have been designed to ensure that any purchase or sale of securities by the Funds from or to another fund or portfolio that are, or could be, considered an affiliate by virtue of having a common investment adviser (or affiliated investment advisers), common Trustees and/or common officers complies with Rule 17a-7 of the Act. Further, as defined under the procedures, each transaction is effected at the current market price. During the period ended March 31, 2016, the Funds below engaged in purchases and sales of securities pursuant to Rule 17a-7 of the Act (amounts in thousands):
Fund | Purchases | Sales | ||||||
Ivy Apollo Multi-Asset Income Fund | $ | 7,370 | $ | — | ||||
Ivy Apollo Strategic Income Fund | 12,312 | — |
8. | INTERFUND LENDING PROGRAM |
Pursuant to an exemptive order issued by the SEC (“Order”), the Trust and the Advisors Fund Complex (Waddell & Reed Advisors Funds, Ivy Funds Variable Insurance Portfolios and InvestEd Portfolios; referred to with the Funds for purposes of this section as Funds) have the ability to lend money to, and borrow money from, each other pursuant to a master interfund lending agreement (“Interfund Lending Program”). Under the Interfund Lending Program, the Funds may lend or borrow money for temporary purposes directly to or from one another (each an “Interfund Loan”), subject to meeting the conditions of the Order. The interest rate to be charged on an Interfund Loan is the average of the overnight repurchase agreement rate and the short-term bank loan rate. The Funds made no Interfund Loans under the Interfund Lending Program during the period ended March 31, 2016.
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9. | INVESTMENT SECURITIES TRANSACTIONS ($ amounts in thousands) |
The cost of purchases and the proceeds from maturities and sales of investment securities (excluding short-term securities) for the period ended March 31, 2016, were as follows:
Purchases | Sales | |||||||||||||||
U.S. Government | Other Issuers | U.S. Government | Other Issuers | |||||||||||||
Ivy Apollo Multi-Asset Income Fund | $ | 1,063 | $ | 156,579 | $ | — | $ | 25,543 | ||||||||
Ivy Apollo Strategic Income Fund | 20,338 | 140,563 | 277 | 19,112 | ||||||||||||
Ivy Emerging Markets Local Currency Debt Fund | — | 9,820 | — | 14,194 | ||||||||||||
Ivy Targeted Return Bond Fund | 25,930 | 31,774 | 6,904 | 3,802 |
10. | CAPITAL SHARE TRANSACTIONS (All amounts in thousands) |
The Trust has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class of each Fund. Transactions in shares of beneficial interest were as follows:
Ivy Apollo Multi-Asset Income Fund(1) | Ivy Apollo Strategic Income Fund(1) | Ivy Emerging Markets Local Currency Debt Fund | ||||||||||||||||||||||||||||||
Period from 10-1-15 to 3-31-16 | Period from 10-1-15 to 3-31-16 | Six months ended 3-31-16 | Year ended 9-30-15 | |||||||||||||||||||||||||||||
Shares | Value | Shares | Value | Shares | Value | Shares | Value | |||||||||||||||||||||||||
Shares issued from sale of shares: | ||||||||||||||||||||||||||||||||
Class A | 15,460 | $ | 154,696 | 19,012 | $ | 187,809 | 376 | $ | 3,130 | 2,008 | $ | 18,309 | ||||||||||||||||||||
Class C | 1,010 | 10,121 | 661 | 6,518 | 3 | 23 | 9 | 80 | ||||||||||||||||||||||||
Class E | N/A | N/A | N/A | N/A | — | — | — | — | ||||||||||||||||||||||||
Class I | 2,020 | 20,404 | 2,542 | 25,405 | 36 | 290 | 278 | 2,548 | ||||||||||||||||||||||||
Class R | N/A | N/A | N/A | N/A | — | — | — | — | ||||||||||||||||||||||||
Class R6 | 479 | 4,836 | 525 | 5,243 | 14 | 115 | 68 | 603 | ||||||||||||||||||||||||
Class Y | 644 | 6,510 | 404 | 4,013 | — | — | 3 | 34 | ||||||||||||||||||||||||
Shares issued in reinvestment of distributions to shareholders: |
| |||||||||||||||||||||||||||||||
Class A | 79 | 782 | 78 | 756 | — | — | 28 | 253 | ||||||||||||||||||||||||
Class C | — | * | 2 | 1 | 10 | — | — | — | * | 2 | ||||||||||||||||||||||
Class E | N/A | N/A | N/A | N/A | — | — | — | — | ||||||||||||||||||||||||
Class I | 1 | 8 | — | * | 5 | — | — | 2 | 17 | |||||||||||||||||||||||
Class R | N/A | N/A | N/A | N/A | — | — | — | — | ||||||||||||||||||||||||
Class R6 | 1 | 4 | — | * | 1 | — | — | — | — | |||||||||||||||||||||||
Class Y | — | * | 2 | — | * | 4 | — | — | — | * | 1 | |||||||||||||||||||||
Shares redeemed: | ||||||||||||||||||||||||||||||||
Class A | (1,739 | ) | (17,463 | ) | (3,640 | ) | (36,211 | ) | (1,039 | ) | (8,472 | ) | (811 | ) | (7,175 | ) | ||||||||||||||||
Class C | (232 | ) | (2,359 | ) | (10 | ) | (100 | ) | (2 | ) | (16 | ) | (14 | ) | (135 | ) | ||||||||||||||||
Class E | N/A | N/A | N/A | N/A | — | — | — | — | ||||||||||||||||||||||||
Class I | (902 | ) | (9,214 | ) | (1,201 | ) | (12,026 | ) | (19 | ) | (157 | ) | (161 | ) | (1,407 | ) | ||||||||||||||||
Class R | N/A | N/A | N/A | N/A | — | — | — | — | ||||||||||||||||||||||||
Class R6 | (204 | ) | (2,081 | ) | (2 | ) | (22 | ) | (4 | ) | (30 | ) | (8 | ) | (74 | ) | ||||||||||||||||
Class Y | (306 | ) | (3,127 | ) | (10 | ) | (97 | ) | (1 | ) | (8 | ) | — | * | (2 | ) | ||||||||||||||||
Net increase (decrease) | 16,311 | $ | 163,121 | 18,360 | $ | 181,308 | (636 | ) | $ | (5,125 | ) | 1,402 | $ | 13,054 |
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Ivy Targeted Return Bond Fund(2) | ||||||||
Period from 1-4-16 to 3-31-16 | ||||||||
Shares | Value | |||||||
Shares issued from sale of shares: | ||||||||
Class A | 4,175 | $ | 41,605 | |||||
Class C | 371 | 3,710 | ||||||
Class I | 800 | 8,000 | ||||||
Class R6 | 204 | 2,046 | ||||||
Class Y | 350 | 3,500 | ||||||
Shares redeemed: | ||||||||
Class A | (87 | ) | (865 | ) | ||||
Class C | — | — | ||||||
Class I | — | — | ||||||
Class R6 | — | — | ||||||
Class Y | — | — | ||||||
Net increase | 5,813 | $ | 57,996 |
* | Not shown due to rounding. |
(1) | Period from October 1, 2015 (commencement of operations) to March 31, 2016. |
(2) | Period from January 4, 2016 (commencement of operations) to March 31, 2016. |
11. | COMMITMENTS |
Bridge loan commitments may obligate a Fund to furnish temporary financing to a borrower until permanent financing can be arranged. In connection with these commitments, the Fund earns a commitment fee, typically set as a percentage of the commitment amount. Such fee income is included in interest income on the Statements of Operations. At March 31, 2016, there were no outstanding bridge loan commitments.
12. | FEDERAL INCOME TAX MATTERS ($ amounts in thousands) |
For Federal income tax purposes, cost of investments owned at March 31, 2016 and the related unrealized appreciation (depreciation) were as follows:
Fund | Cost of Investments | Gross Appreciation | Gross Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
Ivy Apollo Multi-Asset Income Fund | $ | 165,161 | $ | 4,933 | $ | 2,159 | $ | 2,774 | ||||||||
Ivy Apollo Strategic Income Fund | 182,314 | 2,329 | 1,557 | 772 | ||||||||||||
Ivy Emerging Markets Local Currency Debt Fund | 40,924 | 635 | 3,293 | (2,658 | ) | |||||||||||
Ivy Targeted Return Bond Fund | 55,558 | 1,291 | 134 | 1,157 |
For Federal income tax purposes, the Funds’ distributed and undistributed earnings and profit for the year ended September 30, 2015 and the post-October and late-year ordinary activity were as follows:
Fund | Distributed Ordinary Income | Undistributed Ordinary Income | Distributed Long-Term Capital Gains | Undistributed Long-Term Capital Gains | Tax Return of Capital | Post- October Capital Losses Deferred | Late- Year Ordinary Losses Deferred | |||||||||||||||||||||
Ivy Emerging Markets Local Currency Debt Fund | $ | 688 | $ | — | $ | 10 | $ | — | $ | — | $ | — | $ | 914 |
Internal Revenue Code regulations permit each Fund to elect to defer into its next fiscal year capital losses incurred between each November 1 and the end of its fiscal year. Each Fund is also permitted to defer into its next fiscal year late-year ordinary losses that arise from the netting of activity generated between each November 1 and the end of its fiscal year on certain specified ordinary items.
Accumulated capital losses represent net capital loss carryovers as of September 30, 2015 that may be available to offset future realized capital gains and thereby reduce future capital gains distributions. As of September 30, 2015, the capital loss carryovers were as follows:
Fund | Short- Term Capital Loss Carryover | Long- Term Capital Loss Carryover | ||||||
Ivy Emerging Markets Local Currency Debt Fund. . . . | $ | 250 | $ | 25 |
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APPROVAL OF INVESTMENT MANAGEMENT AGREEMENTS
Ivy Funds
Approvals for Ivy Apollo Strategic Income Fund and Ivy Apollo Multi-Asset Income Fund
At a meeting of the Board of Trustees (the “Board”) of Ivy Funds (the “Trust”) held on August 11, 2015, the trustees, including all of the trustees who are not “interested persons” (the “Independent Trustees”), as defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”), considered and approved an amendment to the Investment Management Agreement (the “Management Agreement”) between Ivy Investment Management Company (“IICO”) and the Trust, on behalf of Ivy Apollo Strategic Income Fund and Ivy Apollo Multi-Asset Income Fund (the “Funds”), to include the Funds under the Management Agreement. The Board considered and approved two investment subadvisory agreements (the “Subadvisory Agreements”). The Board also considered and approved an investment subadvisory agreement between IICO and Apollo Credit Management, LLC (“Apollo”) with respect to the Funds. The Board also considered and approved an investment subadvisory agreement by and among IICO, LaSalle Investment Management Securities, LLC and LaSalle investment Management Securities B.V. (collectively, “LaSalle”) with respect to Ivy Apollo Multi-Asset Income Fund. The Funds are newly created series of the Trust.
The Independent Trustees were assisted in their consideration of the Management Agreement and the Subadvisory Agreements (together, the “Agreements”) by independent legal counsel, and met with such counsel separately from representatives of IICO. Independent legal counsel had provided the Board with a memorandum that discussed the various factors that the Board should consider as part of its review of the Agreements, including, among other things, the nature and the quality of the services proposed to be provided to the Funds by IICO, LaSalle and Apollo, potential profitability of each of IICO, LaSalle and Apollo (including any fall-out benefits) from their proposed relationship with the Funds, projected economies of scale, the role played by the Independent Trustees and information on comparative fees and expenses. The material factors and conclusions that formed the basis for the Board’s determination to approve the Agreements are discussed below.
In considering the Agreements, the Board noted that although the Funds had not yet commenced operations, the Funds appeared to be designed to be able to achieve acceptable performance. The Board also considered the proposed expenses of the Funds, the cost of the services proposed to be provided by IICO, LaSalle and Apollo, including as compared to the other Funds in the Trust family and comparable funds. The Board also noted the proposed expense cap agreement, and concluded that the proposed expenses of the Funds were acceptable. The Board did not discuss possible economies of scale because the Funds had not yet commenced operations. The Board noted that it would monitor profitability once the Funds began operations. The Board considered the nature, extent and quality of services proposed to be provided to the Funds by IICO, LaSalle and Apollo, taking into account the investment objectives and strategies of the Funds, the Board’s experience with IICO and LaSalle and with respect to Apollo, the information that IICO had presented to the Board on Apollo, Apollo’s prior presentation on its capabilities and global resources available to it, and other materials previously provided to the Board on the Funds. In addition, the Board reviewed the resources and key personnel of IICO, LaSalle and Apollo. The Board also considered other services proposed to be provided to the Fund by IICO based upon its current experiences with IICO, such as IICO’s ability to monitor adherence to the Funds’ investment restrictions, producing reports, providing support services for the Board and Board committees on Fund matters, communicating with shareholders and overseeing the activities of other service providers, including monitoring compliance with various policies and procedures and with applicable laws and regulations. The Board also took into account the compliance environment at Apollo, noting that a review of Apollo’s compliance environment had occurred previously. The Board concluded that the nature and extent of services to be provided by IICO, LaSalle and Apollo are reasonable, considering the quality of the services currently provided by IICO for other Funds of the Trust. The Board also discussed whether either of IICO, LaSalle or Apollo would derive any other direct or indirect benefits from serving as investment adviser or subadviser, as the case may be, to the Funds. The Board considered the benefits that would accrue to IICO, LaSalle and Apollo from their relationship with the Funds, including the fact that a variety of services for the Funds were proposed to be provided by affiliates of IICO, including distribution, shareholder servicing and transfer agency services. After consideration of these and other factors, the Board concluded that none of IICO, LaSalle or Apollo or any of their affiliates would receive any additional direct benefits that would preclude the Board from approving the Agreements for the Funds.
Ivy Targeted Return Bond Fund
At a meeting of the Board of Trustees (the “Board”) of Ivy Funds (the “Trust”) held on November 16, 2015, the trustees, including all of the trustees who are not “interested persons” (the “Independent Trustees”), as defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended (the “1940 Act”), considered and approved an amendment to the Investment Management Agreement (the “Management Agreement”) between Ivy Investment Management Company (“IICO”) and the Trust, on behalf of Ivy Targeted Return Bond Fund (the “Fund”), to include the Fund under the Management Agreement. The Board also considered and approved an investment subadvisory agreement (the “Sub-advisory Agreement”) between IICO, Pictet Asset Management SA, and Pictet Asset Management Limited (collectively, “Pictet”). The Fund is a newly created series of the Trust.
The Independent Trustees were assisted in their consideration of the Management Agreement and the Sub-advisory Agreement (together, the “Agreements”) by independent legal counsel, and met with such counsel separately from representatives of IICO. Independent legal counsel had provided the Board with a memorandum that discussed the various factors that the Board should consider as part of its review of the Agreements, including, among other things, the nature and the quality of the services proposed to be provided to the Fund by IICO and Pictet, potential profitability of each of IICO and Pictet (including any fall-out benefits) from their proposed relationship with the Fund, projected economies of scale, the role played by the Independent Trustees and information on comparative fees and expenses. The material factors and conclusions that formed the basis for the Board’s determination to approve the Agreements are discussed below.
In considering the Agreements, the Board noted that although the Fund had not yet commenced operations, the Fund appeared to be designed to be able to achieve acceptable performance. The Board also considered the proposed expenses of the Fund, the cost of the services proposed to be provided by IICO and Pictet, including as compared to the other Funds in the Trust family and comparable funds. The Board also reviewed the Fund’s proposed benchmark, as well as management’s explanation on how the Fund is designed to fit in with the Trust’s other fixed-income
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strategies. The Board also took into account the proposed expense cap agreement and concluded that the proposed expenses of the Fund were acceptable. The Board did not discuss possible economies of scale because the Fund had not yet commenced operations. The Board noted that it would monitor profitability once the Fund began operations. The Board considered the nature, extent and quality of services proposed to be provided to the Fund by IICO and Pictet, taking into account the investment objective and strategy of the Fund, the Board’s experience with each of IICO of Pictet, additional information that IICO had presented to the Board on Pictet, Pictet’s presentation on its capabilities and global resources, Pictet’s prior performance in managing this strategy and its prior performance in sub-advising the Ivy Emerging Markets Local Currency Debt Fund (the “EMLCD Fund”), and other materials previously provided to the Board on the Fund. In addition, the Board reviewed the resources and key personnel of IICO and Pictet. The Board also considered other services proposed to be provided to the Fund by IICO based upon its current experiences with IICO, such as IICO’s ability to monitor adherence to the Fund’s investment restrictions, producing reports, providing support services for the Board and Board committees on Fund matters, communicating with shareholders and overseeing the activities of other service providers, including monitoring compliance with various policies and procedures and with applicable laws and regulations. The Board also took into account the compliance environment at IICO. The Board concluded that the nature and extent of the services proposed to be provided by IICO and Pictet are reasonable, considering the quality of the services currently provided by IICO and Pictet for other Funds, and with respect to Pictet, based upon its current role as investment sub-adviser to the EMLCD Fund series of the Trust, and based upon its presentation and experience. The Board also discussed whether either of IICO or Pictet would derive any other direct or indirect benefits from serving as investment adviser and subadviser, respectively, to the Fund. The Board considered the benefits that would accrue to IICO and Pictet from their relationship with the Fund, including the fact that a variety of services for the Fund were proposed to be provided by affiliates of IICO, including distribution, shareholder servicing and transfer agency services. After consideration of these and other factors, the Board concluded that none of IICO, Pictet, or any of their affiliates would receive any additional direct benefits that would preclude the Board from approving the Agreements for the Fund.
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Ivy Funds
Proxy Voting Guidelines
A description of the policies and procedures Ivy Funds uses to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1.800.777.6472 and (ii) on the Securities and Exchange Commission’s (“SEC”) website at www.sec.gov.
Proxy Voting Records
Information regarding how the Trust voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available on Form N-PX through the Ivy Funds’ website at www.ivyfunds.com and on the SEC’s website at www.sec.gov.
QUARTERLY PORTFOLIO SCHEDULE INFORMATION
Ivy Funds
Portfolio holdings can be found on the Trust’s website at www.ivyfunds.com. Alternatively, a complete schedule of portfolio holdings of each Fund for the first and third quarters of each fiscal year is filed with the SEC and can be found on the Trust’s Form N-Q. These holdings may be viewed in the following ways:
• | On the SEC’s website at www.sec.gov. |
• | For review and copy at the SEC’s Public Reference Room in Washington, DC. Information on the operations of the Public Reference Room may be obtained by calling 1.800.SEC.0330. |
TO ALL TRADITIONAL IRA PLANHOLDERS:
Ivy Funds
As required by law, we are hereby providing notice to you that income tax may be withheld automatically from any distribution or withdrawal from a traditional IRA. A Fund is generally required to withhold taxes unless you make a written election not to have taxes withheld. The election may be made on the distribution/withdrawal form provided by Waddell & Reed, Inc. which can be obtained from your Waddell & Reed representative or by submitting Internal Revenue Service Form W–4P. Once made, an election can be revoked by providing written notice to Waddell & Reed, Inc. If you elect not to have tax withheld you may be required to make payments of estimated tax. Penalties may be imposed by the IRS if withholding and estimated tax payments are not adequate.
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The Ivy Funds Family
Domestic Equity Funds
Ivy Core Equity Fund
Ivy Dividend Opportunities Fund
Ivy Large Cap Growth Fund
Ivy Micro Cap Growth Fund
Ivy Mid Cap Growth Fund
Ivy Mid Cap Income Opportunities Fund
Ivy Small Cap Growth Fund
Ivy Small Cap Value Fund
Ivy Tax-Managed Equity Fund
Ivy Value Fund
Global/International Funds
Ivy Cundill Global Value Fund
Ivy Emerging Markets Equity Fund
Ivy Emerging Markets Local Currency Debt Fund
Ivy European Opportunities Fund
Ivy Global Equity Income Fund
Ivy Global Growth Fund
Ivy Global Income Allocation Fund
Ivy International Core Equity Fund
Ivy Managed International Opportunities Fund
Speciality Funds
Ivy Apollo Multi-Asset Income Fund
Ivy Asset Strategy Fund
Ivy Balanced Fund
Ivy Energy Fund
Ivy Global Natural Resources Fund
Ivy LaSalle Global Real Estate Fund1
1(formerly known as Ivy Global Real Estate Fund)
Ivy LaSalle Global Risk-Managed Real Estate Fund2
2(formerly known as Ivy Global Risk-Managed Real Estate Fund)
Ivy Real Estate Securities Fund
Ivy Science and Technology Fund
Fixed Income Funds
Ivy Apollo Strategic Income Fund
Ivy Bond Fund
Ivy Global Bond Fund
Ivy High Income Fund
Ivy Limited-Term Bond Fund
Ivy Money Market Fund
Ivy Municipal Bond Fund
Ivy Municipal High Income Fund
Ivy Targeted Return Bond Fund
1.800.777.6472
Visit us online at www.ivyfunds.com
The Ivy Funds are managed by Ivy Investment Management Company and distributed by its subsidiary, Ivy Funds Distributor, Inc.
Investors should consider the investment objectives, risks, charges and expenses of a fund carefully before investing. For a prospectus containing this and other information for the Ivy Funds, call your financial advisor or visit us online at www.ivyfunds.com. Please read the prospectus, or summary prospectus, carefully before investing.
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SEMIANN-APEMTR (3/16)
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ITEM 2. CODE OF ETHICS
Required in annual report only.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT
Required in annual report only.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Required in annual report only.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
See Item 1 Shareholder Report.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s board of directors.
ITEM 11. CONTROLS AND PROCEDURES.
(a) | The Registrant’s Principal Executive Officer and Principal Financial Officer, or persons performing similar functions, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, have concluded that such controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) are effective and adequately designed to ensure that information required to be disclosed by the Registrant in its reports that it files or submits is accumulated and communicated to the Registrant’s management, including the Principal Executive Officer and Principal Financial Officer, or persons performing similar functions, as appropriate, to allow timely decisions regarding required disclosure. |
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(b) | There were no significant changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the registrant’s second fiscal half-year that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. EXHIBITS.
(a)(1) | Required in annual report only. |
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)).
Attached hereto as Exhibit 99.CERT.
(b) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)).
Attached hereto as Exhibit 99.906CERT.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
IVY FUNDS | ||
(Registrant) | ||
By | /s/ Wendy J. Hills | |
Wendy J. Hills, Vice President and Secretary | ||
Date: | June 9, 2016 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By | /s/ Henry J. Herrmann | |
Henry J. Herrmann, President and Principal Executive Officer | ||
Date: | June 9, 2016 | |
By | /s/ Joseph W. Kauten | |
Joseph W. Kauten, Vice President and Principal Financial Officer | ||
Date: | June 9, 2016 |