0001752724-19-040491.txt : 20190522 0001752724-19-040491.hdr.sgml : 20190522 20190522145904 ACCESSION NUMBER: 0001752724-19-040491 CONFORMED SUBMISSION TYPE: NPORT-EX PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20190331 FILED AS OF DATE: 20190522 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Ivy Variable Insurance Portfolios CENTRAL INDEX KEY: 0000810016 IRS NUMBER: 481146010 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-EX SEC ACT: 1940 Act SEC FILE NUMBER: 811-05017 FILM NUMBER: 19845319 BUSINESS ADDRESS: STREET 1: 6300 LAMAR AVENUE CITY: OVERLAND PARK STATE: KS ZIP: 66202 BUSINESS PHONE: 9132362000 MAIL ADDRESS: STREET 1: P O BOX 29217 CITY: SHAWNEE MISSION STATE: KS ZIP: 66201-9217 FORMER COMPANY: FORMER CONFORMED NAME: Ivy Funds Variable Insurance Portfolios DATE OF NAME CHANGE: 20100301 FORMER COMPANY: FORMER CONFORMED NAME: Ivy Funds Variable Insurance Portfolios, Inc. DATE OF NAME CHANGE: 20080819 FORMER COMPANY: FORMER CONFORMED NAME: W&R TARGET FUNDS INC DATE OF NAME CHANGE: 20001026 0000810016 S000029766 Ivy VIP Limited-Term Bond C000091476 Class II ACCESSION NUMBER: 0001752724-19-039390 NPORT-EX 1 LTB.htm IVY VIP LIMITED-TERM BOND SOI HTML
    SCHEDULE OF INVESTMENTS   
 

  

   Limited-Term Bond (in thousands)    MARCH 31, 2019 (UNAUDITED)
         

 

ASSET-BACKED
SECURITIES

    Principal      Value  

American Airlines Class AA Pass Through Certificates,
Series 2016-2,
3.200%, 6-15-28

    $ 900        879  

SBA Tower Trust,
Series 2016-1 (GTD by SBA Guarantor LLC and SBA Holdings LLC),
2.877%, 7-9-21 (A)

      1,000        991  
     

 

 

  

TOTAL ASSET-BACKED SECURITIES – 0.4%

 

    $ 1,870  
  

 

 

  

(Cost: $1,904)

 

CORPORATE DEBT
SECURITIES

              

Communication Services

 

Cable & Satellite – 0.7%

 

Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal):

      

3.300%, 10-1-20

      1,400        1,413  

3.450%, 10-1-21

      1,000        1,020  

DIRECTV Holdings LLC and DIRECTV Financing Co., Inc., 4.450%, 4-1-24

      1,190        1,246  
     

 

 

  
        3,679  
     

 

 

  

Wireless Telecommunication Service – 0.2%

 

Crown Castle Towers LLC,
3.222%, 5-15-22(A)

      1,000        1,003  
     

 

 

  

Total Communication Services - 0.9%

 

      4,682  
  

 

 

  

Consumer Discretionary

 

Auto Parts & Equipment – 0.7%

 

BorgWarner Automotive, Inc., 8.000%, 10-1-19

      2,000        2,048  

Lear Corp.,
5.375%, 3-15-24

      1,857        1,909  
     

 

 

  
        3,957  
     

 

 

  

Automobile Manufacturers – 0.4%

 

BMW U.S. Capital LLC,
2.150%, 4-6-20(A)

      2,000        1,989  
     

 

 

  

General Merchandise Stores – 0.9%

 

Dollar General Corp., 3.250%, 4-15-23

      1,000        1,006  

Family Dollar Stores, Inc.,
5.000%, 2-1-21

      3,500        3,599  
     

 

 

  
        4,605  
     

 

 

  

Internet & Direct Marketing Retail – 0.5%

 

Alibaba Group Holding Ltd., 2.800%, 6-6-23

      2,500        2,480  
     

 

 

  

Total Consumer Discretionary - 2.5%

 

      13,031  
  

 

 

  

Consumer Staples

 

Brewers – 0.2%

 

Molson Coors Brewing Co.,
2.250%, 3-15-20

      750        745  
     

 

 

  

Distillers & Vintners – 0.6%

 

Constellation Brands, Inc., 2.250%, 11-6-20

      3,000        2,970  
     

 

 

  

Packaged Foods & Meats – 0.5%

 

Smithfield Foods, Inc.,
2.700%, 1-31-20(A)

      2,800        2,780  
     

 

 

  

Tobacco – 1.1%

 

Altria Group, Inc. (GTD by Philip Morris USA, Inc.),
3.490%, 2-14-22

      2,155        2,190  

B.A.T Capital Corp.,
2.297%, 8-14-20

      3,845        3,807  
     

 

 

  
        5,997  
     

 

 

  

Total Consumer Staples - 2.4%

 

      12,492  
  

 

 

  

Energy

 

Oil & Gas Equipment & Services – 0.5%

 

Enterprise Products Operating LLC (GTD by Enterprise Products Partners L.P.):

      

2.800%, 2-15-21

      800        801  

3.500%, 2-1-22

      2,000        2,039  
     

 

 

  
        2,840  
     

 

 

  

Oil & Gas Exploration & Production – 0.9%

 

Aker BP ASA,
6.000%, 7-1-22(A)

      1,000        1,030  

EQT Corp.,
8.125%, 6-1-19

      2,650        2,672  

Exxon Mobil Corp.,
2.397%, 3-6-22(B)

      1,000        1,000  
     

 

 

  
        4,702  
     

 

 

  

Oil & Gas Storage & Transportation – 2.7%

 

Enbridge, Inc.,
2.900%, 7-15-22

      2,470        2,463  

Energy Transfer Partners L.P.,
4.150%, 10-1-20

      3,860        3,923  

EQT Midstream Partners L.P.,
4.750%, 7-15-23

      1,500        1,531  

Kinder Morgan Energy Partners L.P.:

      

3.500%, 3-1-21

      1,000        1,010  

3.450%, 2-15-23

      1,646        1,665  

Midwest Connector Capital Co. LLC,
3.625%, 4-1-22(A)

      1,000        1,014  

Plains All American Pipeline L.P. and PAA Finance Corp.,
3.850%, 10-15-23

      1,800        1,818  

Sunoco Logistics Partners Operations L.P. (GTD by Sunoco Logistics Partners L.P.),
4.400%, 4-1-21

      800        821  
     

 

 

  
        14,245  
     

 

 

  

Total Energy - 4.1%

 

      21,787  
  

 

 

  

Financials

 

Asset Management & Custody Banks – 0.4%

 

Ares Capital Corp.,
3.875%, 1-15-20

      2,055        2,065  
     

 

 

  

Consumer Finance – 3.8%

 

Ally Financial, Inc.,
4.125%, 3-30-20

      3,932        3,958  

Capital One Bank USA N.A.,
2.300%, 6-5-19

      1,950        1,948  

Discover Bank,
3.100%, 6-4-20

      2,500        2,506  

Ford Motor Credit Co. LLC:

      

2.681%, 1-9-20

      1,000        996  

2.459%, 3-27-20

      3,066        3,041  

General Motors Financial Co., Inc. (GTD by AmeriCredit Financial Services, Inc.):

      

3.200%, 7-6-21

      1,000        996  

3.700%, 5-9-23

      2,450        2,438  

Synchrony Financial,
3.000%, 8-15-19

      4,305        4,306  
     

 

 

  
        20,189  
     

 

 

  

Diversified Banks – 5.5%

 

Bank of America Corp.:

      

4.100%, 7-24-23

      1,666        1,743  

4.000%, 4-1-24

      1,500        1,562  

BB&T Corp.,
3.050%, 6-20-22

      2,100        2,112  

Citizens Bank N.A.,
3.250%, 2-14-22

      1,200        1,211  

Danske Bank A.S.,
5.000%, 1-12-22(A)

      2,250        2,304  

Huntington Bancshares, Inc.,
4.000%, 5-15-25

      2,250        2,341  

KeyBank N.A.,
2.300%, 9-14-22

      2,000        1,972  

Korea Development Bank, 3.250%, 2-19-24

      750        763  

Mitsubishi UFJ Financial Group, Inc.:

      

3.535%, 7-26-21

      1,450        1,471  

2.998%, 2-22-22

      500        501  

Mizuho Financial Group, Inc., 2.953%, 2-28-22

      2,100        2,100  

Northern Trust Corp.,
2.375%, 8-2-22

      2,269        2,243  

Royal Bank of Canada,
2.350%, 10-30-20

      5,000        4,980  

U.S. Bancorp,
5.125%, 1-15-67

      3,580        3,626  
     

 

 

  
        28,929  
     

 

 

  

Diversified Capital Markets – 0.1%

 

Deutsche Bank AG,
4.250%, 10-14-21

      875        880  
     

 

 

  

Investment Banking & Brokerage – 1.6%

 

Goldman Sachs Group, Inc. (The):

      

3.500%, 1-23-25

      2,500        2,493  

5.700%, 12-29-49

      1,500        1,500  

Morgan Stanley,
4.875%, 11-1-22

      4,050        4,276  

Morgan Stanley (3-Month U.S. LIBOR plus 110 bps),
3.729%, 5-31-23(C)

      300        300  
     

 

 

  
        8,569  
     

 

 

  

Life & Health Insurance – 0.2%

 

Athene Global Funding,
2.750%, 4-20-20(A)

      1,000        997  
     

 

 

  

Other Diversified Financial Services – 1.4%

 

Citigroup, Inc.:

      

2.700%, 3-30-21

      1,000        999  

2.750%, 4-25-22

      2,000        1,992  

JPMorgan Chase & Co.:

      

2.972%, 1-15-23

      1,500        1,500  

3.125%, 1-23-25

      1,359        1,361  

3.000%, 2-27-30(D)

      850        822  
 

USAA Capital Corp., 2.450%, 8-1-20(A)

      795        794  
     

 

 

  
        7,468  
     

 

 

  

Property & Casualty Insurance – 0.5%

 

ACE INA Holdings, Inc. (GTD by ACE Ltd.),
2.300%, 11-3-20

      2,543        2,531  
     

 

 

  

Regional Banks – 1.4%

 

KeyCorp,
4.150%,  10-29-25

      1,477        1,556  

PNC Bank N.A.,
2.550%, 12-9-21

      1,000        994  

PNC Financial Services Group, Inc. (The),
3.500%, 1-23-24

      2,674        2,747  

SunTrust Banks, Inc.,
3.200%, 4-1-24

      2,100        2,116  
     

 

 

  
        7,413  
     

 

 

  

Specialized Finance – 1.4%

 

Corporacion Andina de Fomento,
3.250%, 2-11-22

      3,000        3,011  

International Lease Finance Corp.,
6.250%, 5-15-19

      3,500        3,513  

Syngenta Finance N.V.,
3.698%, 4-24-20(A)

      750        753  
     

 

 

  
        7,277  
     

 

 

  

Total Financials - 16.3%

 

      86,318  
  

 

 

  

Health Care

 

Biotechnology – 0.2%

 

Amgen, Inc.,
2.200%, 5-11-20

      1,000        995  
     

 

 

  

Health Care Supplies – 0.0%

 

Stryker Corp.,
2.625%, 3-15-21

      213        213  
     

 

 

  

Managed Health Care – 0.5%

 

Halfmoon Parent, Inc.,
3.200%, 9-17-20(A)

      2,500        2,512  
     

 

 

  

Pharmaceuticals – 0.3%

 

Bayer U.S. Finance II LLC,
3.875%, 12-15-23(A)

      1,500        1,512  
     

 

 

  

Total Health Care - 1.0%

 

      5,232  
  

 

 

  

Industrials

 

Aerospace & Defense – 0.3%

 

BAE Systems plc,
4.750%, 10-11-21(A)

      1,170        1,218  

Northrop Grumman Corp.,
3.250%, 8-1-23

      680        688  
     

 

 

  
        1,906  
     

 

 

  

Airlines – 0.5%

 

Aviation Capital Group Corp.,
2.875%, 1-20-22(A)

      1,000        985  

Delta Air Lines, Inc.,
3.400%, 4-19-21

      1,800        1,808  
     

 

 

  
        2,793  
     

 

 

  

Environmental & Facilities Services – 0.2%

 

Waste Management, Inc. (GTD by Waste Management Holdings, Inc.),
2.400%, 5-15-23

      988        972  
     

 

 

  

Industrial Conglomerates – 0.2%

 

General Electric Capital Corp.,
5.012%, 1-1-24

      849        853  
     

 

 

  

Total Industrials - 1.2%

 

      6,524  
  

 

 

  

Information Technology

 

Communications Equipment – 0.4%

 

L-3 Communications Corp.,
3.950%, 5-28-24

      2,000        2,055  
     

 

 

  

Data Processing & Outsourced Services – 0.4%

 

Visa, Inc.,
2.800%, 12-14-22

      2,056        2,077  
     

 

 

  

Semiconductors – 0.4%

 

Broadcom Corp. and Broadcom Cayman Finance Ltd. (GTD by Broadcom Ltd.),
2.375%, 1-15-20

      2,250        2,239  
     

 

 

  

Systems Software – 0.6%

 

CA, Inc.,
5.375%, 12-1-19

      1,500        1,520  

Microsoft Corp.,
2.875%, 2-6-24

      1,750        1,772  
     

 

 

  
        3,292  
     

 

 

  

Total Information Technology - 1.8%

 

      9,663  
  

 

 

  

Materials

 

Specialty Chemicals – 0.9%

 

Methanex Corp.,
3.250%, 12-15-19

      4,500        4,497  
     

 

 

  

Total Materials - 0.9%

 

      4,497  
  

 

 

  

Real Estate

 

Specialized REITs – 1.2%

 

American Tower Corp.:

      

3.300%, 2-15-21(B)

      2,000        2,019  

5.900%, 11-1-21

      800        856  

2.250%, 1-15-22

      2,165        2,133  

Crown Castle International Corp.:

      

2.250%, 9-1-21

      500        493  

4.875%, 4-15-22

      1,000        1,054  
     

 

 

  
        6,555  
     

 

 

  

Total Real Estate - 1.2%

 

      6,555  
  

 

 

  

Utilities

 

Electric Utilities – 2.0%

 

CenterPoint Energy, Inc.,
2.500%, 9-1-22

      3,000        2,939  

Duke Energy Carolinas LLC,
2.500%, 3-15-23

      2,500        2,485  

Entergy Texas, Inc.,
2.550%, 6-1-21

      1,275        1,259  

MidAmerican Energy Co., 3.700%, 9-15-23

      1,045        1,084  

National Rural Utilities Cooperative Finance Corp.,
2.400%, 4-25-22

      2,000        1,987  

Virginia Electric and Power Co., Series C,
2.750%, 3-15-23

      1,000        998  
     

 

 

  
        10,752  
     

 

 

  

Total Utilities - 2.0%

 

      10,752  
  

 

 

  

TOTAL CORPORATE DEBT SECURITIES – 34.3%

 

    $ 181,533  
  

 

 

  

(Cost: $181,204)

 

MORTGAGE-BACKED
SECURITIES

              

Commercial Mortgage-Backed Securities – 0.1%

 

Bear Stearns Deutsche Bank Trust, Commercial Mortgage Pass-Through Certificates, Series 2005-AFR1, Class C,
5.097%, 9-15-27(A)

      640        645  
     

 

 

  

Non-Agency REMIC/CMO – 1.4%

 

Citigroup Commercial Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2004-C2 (Mortgage spread to 2-year U.S. Treasury index),
6.312%, 10-15-41(A)(C)

      3,500        3,511  

JPMorgan Chase Commercial Mortgage Securities Trust, Commerical Mortage Pass-Through Certificates,
Series 2014-FRR1,
4.286%, 11-27-49(A)

      3,700        3,673  
     

 

 

  
        7,184  
     

 

 

  

TOTAL MORTGAGE-BACKED SECURITIES – 1.5%

 

    $ 7,829  
  

 

 

  

(Cost: $8,110)

 

MUNICIPAL BONDS –
TAXABLE

              

California – 0.7%

 

CA Various Purp GO Bonds,
7.700%, 11-1-30

      3,355        3,627  
     

 

 

  

TOTAL MUNICIPAL BONDS - TAXABLE – 0.7%

 

    $ 3,627  
  

 

 

  

(Cost: $3,659)

 

UNITED STATES
GOVERNMENT AGENCY
OBLIGATIONS

              

Agency Obligations – 0.8%

 

Federal Home Loan Bank,
2.250%, 7-21-31

      1,640        1,613  

U.S. Department of Transportation,
6.001%, 12-7-21(A)

      2,500        2,728  
     

 

 

  
        4,341  
     

 

 

  

Mortgage-Backed Obligations –10.3%

 

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 250 bps),
4.990%, 11-25-24(A)(C)

      737        742  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 255 bps),
5.040%, 6-25-27(A)(C)

      950        954  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 435 bps),
6.840%, 11-25-21(A)(C)

      2,923        3,000  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (3-Year U.S. Treasury index plus 315 bps),
4.623%, 11-25-49(A)(C)

      2,120        2,165  
 

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 1-Month U.S. LIBOR):

    

5.740%, 6-25-21(A)(C)

     593       595  

6.490%, 9-25-22(A)(C)

     359       363  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 3-year U.S. Treasury index):

    

5.502%, 4-25-20(A)(C)

     880       899  

3.390%, 7-25-22(A)(C)

     1,720       1,734  

3.976%, 2-25-46(A)(C)

     70       71  

3.630%, 11-25-47(A)(C)

     1,500       1,509  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index):

    

3.487%, 11-25-23(A)(C)

     600       583  

3.579%, 11-25-23(A)(C)

     3,500       3,469  

4.336%, 12-25-44(A)(C)

     6,047       6,264  

3.871%, 5-25-45(A)(C)

     600       615  

3.557%, 6-25-45(A)(C)

     1,000       999  

3.630%, 7-25-46(A)(C)

     2,000       2,003  

3.500%, 8-25-46(A)(C)

     2,370       2,397  

4.606%, 11-25-46(A)(C)

     1,557       1,618  

3.565%, 11-25-47(A)(C)

     2,724       2,751  

3.540%, 2-25-48(A)(C)

     1,000       1,012  

3.880%, 2-25-50(A)(C)

     2,014       2,024  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 7-year U.S. Treasury index):

    

4.055%, 5-25-25(A)(C)

     225       227  

3.637%, 8-25-48(A)(C)

     1,000       962  

3.779%, 10-25-48(A)(C)

     1,125       1,135  

3.675%, 11-25-49(A)(C)

     1,900       1,891  

3.647%, 11-25-50(A)(C)

     2,800       2,793  

Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates:

    

3.000%, 9-1-28

     2,164       2,186  

4.500%, 8-1-30

     600       631  

2.500%, 5-15-44

     609       603  

Federal National Mortgage Association Agency REMIC/CMO, 2.000%, 6-25-39

     1,836       1,809  

Federal National Mortgage Association Fixed Rate Pass-Through Certificates:

    

2.210%, 10-1-19

     2,187       2,185  

4.646%, 7-1-20

     524       532  

3.680%, 2-1-21

     558       559  

4.381%, 6-1-21

     941       975  

2.000%, 10-25-41

     1,559       1,516  

Government National Mortgage Association Agency REMIC/CMO, 2.000%, 3-16-42

     849       830  
   

 

 

  
      54,601  
   

 

 

  

TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 11.1%

 

   $ 58,942  
 

 

 

  

(Cost: $59,160)

 

UNITED STATES
GOVERNMENT
OBLIGATIONS

            

Treasury Obligations – 47.6%

 

U.S. Treasury Notes:

    

1.750%, 11-30-19

     6,000       5,973  

2.375%, 4-30-20

     15,500       15,496  

2.500%, 5-31-20

     10,000       10,014  

2.125%, 8-31-20

     1,000       997  

2.625%, 8-31-20

     2,000       2,007  

2.750%, 9-30-20

     1,000       1,006  

1.750%, 10-31-20

     25,000       24,770  

2.875%, 10-31-20

     11,300       11,393  

2.625%, 11-15-20

     10,000       10,045  

2.500%, 2-28-21

     1,000       1,004  

2.625%, 5-15-21

     21,500       21,655  

2.750%, 9-15-21

     1,000       1,012  

2.875%, 10-15-21

     18,400       18,684  

2.000%, 12-31-21

     8,000       7,954  

2.125%, 12-31-21

     16,000       15,954  

1.875%, 2-28-22

     15,000       14,851  

1.750%, 5-31-22

     2,750       2,710  

2.000%, 7-31-22

     24,000       23,828  

2.125%, 12-31-22

     11,000       10,960  

2.375%, 1-31-23

     10,000       10,055  

2.500%, 3-31-23

     5,850       5,911  

2.750%, 4-30-23

     8,000       8,161  

2.875%, 9-30-23

     4,000       4,109  

2.875%, 10-31-23

     1,500       1,542  

2.500%, 1-31-24(B)

     11,250       11,386  

2.125%, 2-29-24

     500       497  

2.500%, 5-15-24

     10,000       10,119  
   

 

 

  
      252,093  
   

 

 

  

TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 47.6%

 

   $ 252,093  
 

 

 

  

(Cost: $249,773)

 

SHORT-TERM SECURITIES

            

Commercial Paper(E) – 2.6%

 

Anheuser-Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB), 2.681%, 4-3-19

     1,000       1,000  

AT&T, Inc.,
2.960%, 5-30-19

     6,000       5,970  

Energy Transfer L.P., 3.051%, 4-1-19

     1,850       1,850  

Walgreens Boots Alliance, Inc., 2.930%, 6-18-19

     5,000       4,968  
   

 

 

  
      13,788  
   

 

 

  

Master Note – 1.0%

 

Toyota Motor Credit Corp. (1-Month U.S. LIBOR plus 15 bps),
2.710%, 4-5-19(F)

     5,204       5,204  
   

 

 

  

Money Market Funds – 0.0%

 

Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares,
2.360%, (G)(H)

     216       216  
   

 

 

  

TOTAL SHORT-TERM SECURITIES – 3.6%

 

   $ 19,208  
 

 

 

  

(Cost: $19,205)

 

TOTAL INVESTMENT SECURITIES – 99.2%

 

   $ 525,102  
 

 

 

  

(Cost: $523,015)

 

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.8%

      3,988  
  

 

 

  

NET ASSETS – 100.0%

    $ 529,090  
  

 

 

  
 

Notes to Schedule of Investments

 

(A)

Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2019 the total value of these securities amounted to $73,214 or 13.8% of net assets.

(B)

All or a portion of securities with an aggregate value of $3,679 are on loan.

(C)

Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2019. Description of the reference rate and spread, if applicable, are included in the security description.

(D)

Step bond that pays an initial coupon rate for the first period and then a higher or lower coupon rate for the following periods. Interest rate disclosed is that which is in effect at March 31, 2019.

(E)

Rate shown is the yield to maturity at March 31, 2019.

(F)

Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2019. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description.

(G)

Investment made with cash collateral received from securities on loan.

(H)

Rate shown is the annualized 7-day yield at March 31, 2019.

Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.

Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.

Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.

An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized as follows:

 

•  

Level 1 - Observable 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 market value of investments.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2019:

 

     Level 1      Level 2      Level 3  

Assets

         

Investments in Securities

         

Asset-Backed Securities

    $ —        $ 1,870      $ —    

Corporate Debt Securities

      —          181,533        —    

Mortgage-Backed Securities

      —          7,829        —    

Municipal Bonds

      —          3,627        —    

United States Government Agency Obligations

      —          58,942        —    

United States Government Obligations

      —          252,093        —    

Short-Term Securities

      216        18,992        —    
  

 

 

     

 

 

     

 

 

  

Total

    $ 216      $ 524,886      $ —    
  

 

 

     

 

 

     

 

 

  

The following acronyms are used throughout this schedule:

CMO = Collateralized Mortgage Obligation

GTD = Guaranteed

LIBOR = London Interbank Offered Rate

REIT = Real Estate Investment Trusts

REMIC = Real Estate Mortgage Investment Conduit

For Federal income tax purposes, cost of investments owned at March 31, 2019 and the related unrealized appreciation (depreciation) were as follows:

 

Cost

    $ 523,015  
  

 

 

  

Gross unrealized appreciation

      3,755  

Gross unrealized depreciation

      (1,668 ) 
  

 

 

  

Net unrealized appreciation

    $ 2,087