NPORT-EX 2 VSCG.htm IVY VIP SMALL CAP GROWTH PORTFOLIO SOI 33
     SCHEDULE OF INVESTMENTS   
    Small Cap Growth (in thousands)    MARCH 31, 2021 (UNAUDITED)
    

 

COMMON STOCKS    Shares      Value  

Communication Services

 

Alternative Carriers – 0.9%

 

Bandwidth, Inc., Class A(A)

      33        $4,197  
     

 

 

  

Broadcasting – 2.6%

 

Gray Television, Inc.

      130        2,398  

Nexstar Broadcasting Group, Inc.

      69        9,689  
     

 

 

  
              12,087  
     

 

 

  
Total Communication Services -
3.5%		      16,284  

Consumer Discretionary

 

Apparel Retail – 0.2%

 

ThredUp, Inc.,
Class A(A)

      40        923  
     

 

 

  

Auto Parts & Equipment – 3.3%

 

Fox Factory Holding Corp.(A)

      65        8,320  

Visteon Corp.(A)

      59        7,214  
     

 

 

  
        15,534  
     

 

 

  

Automotive Retail – 1.7%

 

Lithia Motors, Inc.

      20        7,727  
     

 

 

  

Casinos & Gaming – 2.8%

 

Churchill Downs, Inc.

      39        8,980  

Monarch Casino & Resort, Inc.(A)

      65        3,969  
     

 

 

  
        12,949  
     

 

 

  

Footwear – 1.6%

 

Deckers Outdoor
Corp.(A)

      23        7,449  
     

 

 

  

Home Furnishings – 0.2%

 

Purple Innovation,
Inc.(A)

      26        838  
     

 

 

  

Homebuilding – 0.9%

 

Installed Building Products, Inc.

      10        1,155  

TopBuild Corp.(A)

      15        3,088  
     

 

 

  
        4,243  
     

 

 

  

Hotels, Resorts & Cruise Lines – 3.1%

 

Marriott Vacations Worldwide Corp.

      55        9,505  

Wyndham Destinations, Inc.

      70        4,879  
     

 

 

  
        14,384  
     

 

 

  

Leisure Products – 1.5%

 

Malibu Boats, Inc., Class A(A)

      89        7,106  
     

 

 

  

Restaurants – 1.3%

 

Texas Roadhouse, Inc., Class A(A)

      65        6,250  
     

 

 

  
Total Consumer Discretionary -
16.6%		      77,403  

Consumer Staples

 

Brewers – 0.4%

 

Duckhorn Portfolio, Inc. (The)(A)

      97        1,634  
     

 

 

  

Hypermarkets & Super Centers – 0.9%

 

BJ’s Wholesale Club, Inc.(A)

      94        4,203  
     

 

 

  

Packaged Foods & Meats – 1.2%

 

Nomad Foods Ltd.(A)

      206        5,661  
     

 

 

  
Total Consumer Staples - 2.5%      11,498  

Financials

 

Asset Management & Custody Banks – 1.1%

 

Focus Financial Partners, Inc., Class A(A)

      39        1,643  

Hamilton Lane, Inc., Class A

      40        3,561  
     

 

 

  
        5,204  
     

 

 

  

Financial Exchanges & Data – 1.1%

 

Open Lending Corp., Class A(A)

      145        5,149  
     

 

 

  

Investment Banking & Brokerage – 1.2%

 

LPL Investment Holdings, Inc.

      38        5,352  
     

 

 

  

Regional Banks – 2.5%

 

BancorpSouth Bank

      72        2,343  

Pinnacle Financial Partners, Inc.

      71        6,275  

Seacoast Banking Corp. of Florida(A)

      87        3,155  
     

 

 

  
        11,773  
     

 

 

  
Total Financials - 5.9%                  27,478  

Health Care

 

Biotechnology – 7.5%

 

CareDx, Inc.(A)

      170        11,592  

Insmed, Inc.(A)

      73        2,479  

Novavax, Inc.(A)

      14        2,486  

Veracyte, Inc.(A)

      58        3,107  

Vericel Corp.(A)

      280        15,528  
     

 

 

  
        35,192  
     

 

 

  

Health Care Distributors – 2.3%

 

PetIQ, Inc.(A)

      304        10,705  
     

 

 

  

Health Care Equipment – 5.7%

 

Axonics Modulation Technologies, Inc.(A)

      122        7,290  

Penumbra, Inc.(A)

      22        5,887  

Tactile Systems Technology, Inc.(A)

      127        6,925  

Tandem Diabetes Care,
Inc.(A)

      75        6,588  
     

 

 

  
        26,690  
     

 

 

  

Health Care Services – 3.8%

 

1Life Healthcare, Inc.(A)

      82        3,202  

AMN Healthcare Services, Inc.(A)

      87        6,429  

Castle Biosciences, Inc.(A)

      33        2,265  

LHC Group, Inc.(A)

      31        5,989  
     

 

 

  
        17,885  
     

 

 

  

Health Care Supplies – 2.1%

 

Haemonetics Corp.(A)

      60        6,700  

OraSure Technologies,
Inc.(A)

      273        3,188  
     

 

 

  
        9,888  
     

 

 

  

Health Care Technology – 3.2%

 

Omnicell, Inc.(A)

      56        7,214  

Simulations Plus, Inc.

      29        1,836  

Tabula Rasa HealthCare, Inc.(A)(B)

      68        3,146  

Vocera Communications, Inc.(A)

      67        2,563  
     

 

 

  
        14,759  
     

 

 

  

Life Sciences Tools & Services – 1.5%

 

NeoGenomics, Inc.(A)

      100        4,822  

Quanterix Corp.(A)

      36        2,091  
     

 

 

  
        6,913  
     

 

 

  

Managed Health Care – 1.1%

 

Progyny, Inc.(A)

      111        4,946  
     

 

 

  
Total Health Care - 27.2%            126,978  

Industrials

 

Aerospace & Defense – 1.7%

 

Mercury Computer Systems, Inc.(A)

      111        7,823  
     

 

 

  

Air Freight & Logistics – 1.0%

 

Air Transport Services Group, Inc.(A)

      155        4,539  
     

 

 

  

Construction & Engineering – 1.3%

 

Valmont Industries, Inc.

      26        6,076  
     

 

 

  

Electrical Components & Equipment – 2.2%

 

EnerSys

      64        5,845  

Plug Power, Inc.(A)

      131        4,687  
     

 

 

  
        10,532  
     

 

 

  

Environmental & Facilities Services – 1.2%

 

Clean Harbors, Inc.(A)

      65        5,486  
     

 

 

  

Industrial Machinery – 4.5%

 

Altra Industrial Motion Corp.

      101        5,563  

Desktop Metal, Inc.,
Class A(A)(B)

      64        959  

John Bean Technologies Corp.

      25        3,341  

Kennametal, Inc.

      154        6,136  

Kornit Digital Ltd.(A)

      17        1,690  

RBC Bearings, Inc.(A)

      16        3,187  
     

 

 

  
              20,876  
     

 

 

  

Security & Alarm Services – 2.6%

 

Brink’s Co. (The)

      157        12,447  
     

 

 

  

Trucking – 1.8%

 

Knight Transportation, Inc.

      175        8,428  
     

 

 

  
Total Industrials - 16.3%            76,207  

Information Technology

 

Application Software – 7.7%

 

Five9, Inc.(A)

      93        14,505  

LivePerson, Inc.(A)

      109        5,743  

Mimecast Ltd.(A)

      113        4,538  

Q2 Holdings, Inc.(A)

      73        7,285  

Smartsheet, Inc., Class A(A)

      61        3,870  
     

 

 

  
        35,941  
     

 

 

  

Communications Equipment – 1.2%

 

Viavi Solutions, Inc.(A)

      356        5,586  
     

 

 

  

Data Processing & Outsourced Services – 3.0%

 

EVO Payments, Inc.,
Class A(A)

      174        4,795  

Shift4 Payments, Inc., Class A(A)

      112        9,207  
     

 

 

  
        14,002  
     

 

 

  

Internet Services & Infrastructure – 1.0%

 

Switch, Inc., Class A

      277        4,500  
     

 

 

  

IT Consulting & Other Services – 1.8%

 

Globant S.A.(A)

      40        8,402  
     

 

 

  

Semiconductor Equipment – 1.2%

 

Enphase Energy, Inc.(A)

      35        5,709  
     

 

 

  
 

Semiconductors – 3.3%

 

Allegro MicroSystems, Inc.(A)

      169        4,293  

Monolithic Power Systems, Inc.

      21        7,512  

SiTime Corp.(A)

      39        3,805  
     

 

 

  
        15,610  
     

 

 

  

Systems Software – 3.7%

 

Proofpoint, Inc.(A)

      29        3,706  

SailPoint Technologies Holdings, Inc.(A)

      74        3,748  

Varonis Systems, Inc.(A)

      189        9,680  
     

 

 

  
        17,134  
     

 

 

  

Technology Hardware, Storage & Peripherals – 1.3%

 

   

NCR Corp.(A)

      162        6,145  
     

 

 

  
Total Information Technology -
24.2%		      113,029  

Materials

 

Specialty Chemicals – 0.4%

 

Danimer Scientific, Inc. Class A(A)(B)

      52        1,971  
  

 

 

  
Total Materials - 0.4%            1,971  
TOTAL COMMON STOCKS –
96.6%		      $450,848  

(Cost: $309,491)

 

SHORT-TERM
SECURITIES		                

Money Market Funds(D) – 3.2%

 

Dreyfus Institutional Preferred Government Money Market Fund - Institutional Shares, 0.010%(C)

      573        573  

State Street Institutional U.S. Government Money Market Fund - Premier Class, 0.040%

      14,294        14,294  
     

 

 

  
        14,867  
     

 

 

  

TOTAL SHORT-TERM SECURITIES – 3.2%

 

    $ 14,867  

(Cost: $14,867)

 

TOTAL INVESTMENT SECURITIES – 99.8%

 

    $ 465,715  

(Cost: $324,358)

 

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.2%

 

      853  

NET ASSETS – 100.0%

 

    $ 466,568  

 

 

 

Notes to Schedule of Investments

 

*Not shown

due to rounding.

(A)

No dividends were paid during the preceding 12 months.

(B)

All or a portion of securities with an aggregate value of $5,252 are on loan.

(C)

Investment made with cash collateral received from securities on loan.

(D)

Rate shown is the annualized 7-day yield at March 31, 2021.

The following total return swap agreements were outstanding at March 31, 2021:    

 

Underlying Security  

Long/Short

    Counterparty      Maturity
Date		      Notional
Amount		      Financing
Fee(1)(2)		    Value     Upfront
Payments/
(Receipts)		    Unrealized
Depreciation		  

Biotech Custom Index

  

Long

      JPMorgan Chase Bank N.A.        07/01/2021      $ 14,555      1-Month
LIBOR minus
0.2 bps		    $ (2,005 )    $—      $(2,005)  

(1)

The Portfolio pays the financing fee multiplied by the notional amount if long on the swap agreement. If the Portfolio is short on the swap agreement, the Portfolio receives the financing fee multiplied by the notional amount.    

 

(2)

At the termination date, a net cash flow is exchanged where the market-linked total return is equivalent to the return of the underlying security less a financing rate, if any. If the Portfolio is long on the swap agreement, the Portfolio would receive payments on any net positive total return, and would owe payments in the event of a negative total return. If the Portfolio is short on the swap agreement, the Portfolio would owe payments on any net positive total return, and would receive payments in the event of a negative total return.

The following table represents security positions within the total return basket swap as of March 31, 2021:

 

Reference Entity

      Shares      
 Notional
Amount		  
 		      Value        % of Value  

Arrowhead Pharmaceuticals, Inc.

      1       $599        $(83)        4.1%  

Natera, Inc.

      1       590        (81)        4.1

Ultragenyx Pharmaceutical, Inc.

      1       586        (81)        4.0

Mirati Therapeutics, Inc.

      — *      558        (77)        3.8

Halozyme Therapeutics, Inc.

      2       503        (69)        3.5

Fate Therapeutics, Inc.

      1       468        (64)        3.2

Blueprint Medicines Corp.

      1       467        (64)        3.2

Bridgebio Pharma, Inc.

      1       402        (55)        2.8

Invitae Corp.

      1       402        (55)        2.8

Medpace Holdings, Inc.

      — *      398        (55)        2.7

Emergent BioSolutions, Inc.

      1       370        (51)        2.5

TG Therapeutics, Inc.

      1       354        (49)        2.4

Twist Bioscience Corp.

      — *      328        (45)        2.3

Denali Therapeutics, Inc.

      1       319        (44)        2.2

Intellia Therapeutics, Inc.

      1       312        (43)        2.1

Insmed, Inc.

      1       304        (42)        2.1

Biohaven Pharmaceutical Holding Co. Ltd.

      1       291        (40)        2.0

Kodiak Sciences, Inc.

      — *      289        (40)        2.0

PTC Therapeutics, Inc.

      1       270        (37)        1.9

Allakos, Inc.

      — *      249        (34)        1.7

Novavax, Inc.

      — *      243        (33)        1.7

Veracyte, Inc.

      1       237        (33)        1.6

Apellis Pharmaceuticals, Inc.

      1       225        (31)        1.5

Pacira BioSciences, Inc.

      — *      223        (31)        1.5

Amicus Therapeutics, Inc.

      3       223        (31)        1.5

Vir Biotechnology, Inc.

      1       221        (30)        1.5

FibroGen, Inc.

      1       220        (30)        1.5

Turning Point Therapeutics, Inc.

      — *      215        (30)        1.5

Editas Medicine, Inc.

      1       206        (28)        1.4

ChemoCentryx, Inc.

      1       202        (28)        1.4

Corcept Therapeutics, Inc.

      1       202        (28)        1.4

Xencor, Inc.

      1       198        (27)        1.4

Ligand Pharmaceuticals, Inc.

      — *      195        (27)        1.3

Heron Therapeutics, Inc.

      2       194        (27)        1.3

NanoString Technologies, Inc.

      — *      190        (26)        1.3

Arvinas, Inc.

      — *      178        (25)        1.2

Karuna Therapeutics, Inc.

      — *      169        (23)        1.2

Ironwood Pharmaceuticals, Inc.

      2       158        (22)        1.1

Allogene Therapeutics, Inc.

      1       153        (21)        1.0

Dicerna Pharmaceuticals, Inc.

      1       148        (20)        1.0

Deciphera Pharmaceuticals, Inc.

      — *      148        (20)        1.0

Axsome Therapeutics, Inc.

      — *      147        (20)        1.0

SpringWorks Therapeutics, Inc.

      — *      135        (19)        0.9

Kura Oncology, Inc.

      1       131        (18)        0.9

Sorrento Therapeutics, Inc.

      2       129        (18)        0.9

Sangamo Therapeutics, Inc.

      1       129        (18)        0.9

Inovio Pharmaceuticals, Inc.

      2       124        (17)        0.9

Revance Therapeutics, Inc.

      1       107        (15)        0.7

REGENXBIO, Inc.

      — *      105        (14)        0.7

Cytokinetics, Inc.

      1       102        (14)        0.7

Madrigal Pharmaceuticals, Inc.

      — *      99        (14)        0.7

Zogenix, Inc.

      1       96        (13)        0.7

Travere Therapeutics, Inc.

      1       92        (13)        0.6

Intercept Pharmaceuticals, Inc.

      1       87        (12)        0.6

Alector, Inc.

      1       84        (12)        0.6

Y-mAbs Therapeutics, Inc.

      — *      81        (11)        0.6

Coherus Biosciences, Inc.

      1       75        (11)        0.5

Translate Bio, Inc.

      1       73        (10)        0.5

Theravance Biopharma, Inc.

      — *      72        (10)        0.5

Innoviva, Inc.

      1       67        (9)        0.5

Karyopharm Therapeutics, Inc.

      1       67        (9)        0.5

Mersana Therapeutics, Inc.

      1       65        (9)        0.4

Esperion Therapeutics, Inc.

      — *      64        (9)        0.4

Kadmon Holdings, Inc.

      2       57        (8)        0.4

Adverum Biotechnologies, Inc.

      1       53        (7)        0.4

Epizyme, Inc.

      1       41        (6)        0.3

Akebia Therapeutics, Inc.

      2       38        (5)        0.3

Athenex, Inc.

      1       28        (4)        0.2
       

 

 

     
              $ (2,005)     
       

 

 

     

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

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

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

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

• Level 1 - Observable inputs such as quoted prices, available in active markets, for identical assets or liabilities.

• Level 2 - Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

• Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2021:

 

      Level 1      Level 2      Level 3  

Assets

         

Investments in Securities

         

Common Stocks

      $     450,848      $ —      $ —    

Short-Term Securities

      14,867        —        —    
  

 

 

  

Total

      $ 465,715      $ —      $ —    
  

 

 

  

Total Return Swaps

      $ —      $           2,005      $               —    

The following acronym is used throughout this schedule:

LIBOR = London Interbank Offered Rate

For Federal income tax purposes, cost of investments owned at March 31, 2021 and the related unrealized appreciation (depreciation) were as follows:

 

Cost

      $324,358  
  

 

 

  

Gross unrealized appreciation

                  147,427  

Gross unrealized depreciation

      (6,070)  
  

 

 

  

Net unrealized appreciation

      $141,357