NPORT-EX 2 VAS.htm IVY VIP ASSET STRATEGY PORTFOLIO SOI 32
     CONSOLIDATED SCHEDULE OF INVESTMENTS
    Asset Strategy (in thousands)    MARCH 31, 2021 (UNAUDITED)
    

 

COMMON STOCKS    Shares     Value  

 

  

Communication Services

 

Integrated Telecommunication Services – 1.1%

 

Deutsche Telekom AG, Registered Shares(A)

      393       $7,910  
    

 

 

  

Interactive Media & Services – 1.7%

 

Alphabet, Inc., Class A(B)

      6       12,478  
    

 

 

  
Total Communication Services - 2.8%

 

     20,388  

 

  

Consumer Discretionary

 

Apparel, Accessories & Luxury Goods – 1.0%

 

adidas AG(A)

      24       7,424  
    

 

 

  

Auto Parts & Equipment – 0.9%

 

Aptiv plc(B)

      48       6,575  
    

 

 

  

Automobile Manufacturers – 0.4%

 

Subaru Corp.(A)

      155       3,088  
    

 

 

  

General Merchandise Stores – 0.9%

 

Dollar Tree, Inc.(B)

      61       6,933  
    

 

 

  

Internet & Direct Marketing Retail – 1.4%

 

Amazon.com, Inc.(B)

      3       10,625  
    

 

 

  

Leisure Facilities – 0.0%

 

COTA Racing & Entertainment LLC, Class B(B)

      — *      —  
    

 

 

  

Leisure Products – 0.0%

 

Media Group Holdings LLC,
Series H(B)(C)(D)(E)

      32       — * 

Media Group Holdings LLC,
Series T(B)(C)(D)(E)

      4       —  
    

 

 

  
       — * 
    

 

 

  
Total Consumer Discretionary - 4.6%

 

         34,645  

 

  

Consumer Staples

 

Distillers & Vintners – 0.7%

 

Pernod Ricard S.A.(A)

      28       5,326  
    

 

 

  

Household Products – 0.9%

 

Procter & Gamble Co. (The)

      49       6,692  
    

 

 

  

Hypermarkets & Super Centers – 0.8%

 

Wal-Mart Stores, Inc.

      46       6,252  
    

 

 

  

Packaged Foods & Meats – 1.4%

 

China Mengniu Dairy Co. Ltd.(A)

      899       5,148  

Nestle S.A., Registered Shares(A)

      49       5,473  
    

 

 

  
       10,621  
    

 

 

  

Personal Products – 0.8%

 

Unilever plc(A)

      109       6,081  
    

 

 

  
Total Consumer Staples - 4.6%

 

     34,972  

 

  

Energy

 

Oil & Gas Exploration & Production – 0.9%

 

Canadian Natural Resources Ltd.

      215       6,638  
    

 

 

  

Oil & Gas Refining & Marketing – 1.7%

 

Phillips 66

      41       3,379  

Reliance Industries Ltd.(A)

      353       9,663  

Reliance Industries Ltd.(A)

      24        357  
     

 

 

  
        13,399  
     

 

 

  
Total Energy - 2.6%

 

      20,037  

 

  

Financials

 

Diversified Banks – 1.5%

 

BNP Paribas S.A.(A)

      128        7,761  

UniCredit S.p.A.(A)

      362        3,825  
     

 

 

  
        11,586  
     

 

 

  

Financial Exchanges & Data – 0.6%

 

Intercontinental Exchange, Inc.

      40        4,437  
     

 

 

  

Investment Banking & Brokerage – 2.0%

 

Goldman Sachs Group, Inc. (The)

      23        7,453  

Morgan Stanley

      91        7,037  
     

 

 

  
        14,490  
     

 

 

  

Life & Health Insurance – 2.1%

 

AIA Group Ltd.(A)

      606        7,347  

Ping An Insurance (Group) Co. of China Ltd., H Shares(A)

      710        8,451  
     

 

 

  
        15,798  
     

 

 

  

Mortgage REITs – 1.1%

 

AGNC Investment Corp.

      501        8,393  
     

 

 

  

Other Diversified Financial Services – 1.3%

 

ORIX Corp.(A)

      564        9,510  
     

 

 

  

Thrifts & Mortgage Finance – 1.0%

 

Housing Development Finance Corp. Ltd.(A)

      207        7,071  
     

 

 

  
Total Financials - 9.6%

 

      71,285  

 

  

Health Care

 

Biotechnology – 1.1%

 

Genmab A.S.(A)(B)

      16        5,261  

Sarepta Therapeutics, Inc.(B)

      34        2,551  
     

 

 

  
        7,812  
     

 

 

  

Health Care Equipment – 2.6%

 

Koninklijke Philips Electronics N.V., Ordinary Shares(A)

      124        7,105  

Masimo Corp.(B)

      20        4,616  

Zimmer Holdings, Inc.

      48        7,664  
     

 

 

  
        19,385  
     

 

 

  

Managed Health Care – 0.9%

 

Anthem, Inc.

      19        6,669  
     

 

 

  

Pharmaceuticals – 2.6%

 

Eli Lilly and Co.

      29        5,354  

GlaxoSmithKline plc(A)

      296        5,248  

Merck KGaA(A)

      52        8,963  
     

 

 

  
        19,565  
     

 

 

  
Total Health Care - 7.2%

 

      53,431  

 

  

Industrials

 

Aerospace & Defense – 1.8%

 

Airbus SE(A)

      69        7,838  

Northrop Grumman Corp.

      17        5,491  
     

 

 

  
        13,329  
     

 

 

  

Construction & Engineering – 1.7%

 

Larsen & Toubro Ltd.(A)

      304        5,894  

Vinci(A)

      62        6,393  
     

 

 

  
        12,287  
     

 

 

  

Construction Machinery & Heavy Trucks – 0.5%

 

Caterpillar, Inc.

      15        3,529  
     

 

 

  

Electrical Components & Equipment – 1.1%

 

Schneider Electric S.A.(A)

      51        7,832  
     

 

 

  

Environmental & Facilities Services – 0.7%

 

Waste Management, Inc.

      40        5,145  
     

 

 

  

Industrial Machinery – 1.5%

 

Ingersoll-Rand, Inc.(B)

      226        11,109  
     

 

 

  

Railroads – 2.5%

 

Canadian Pacific Railway Ltd.

      24        8,932  

Union Pacific Corp.

      45        10,012  
     

 

 

  
        18,944  
     

 

 

  

Trading Companies & Distributors – 1.0%

 

Ferguson plc(A)

      60        7,210  
     

 

 

  
Total Industrials - 10.8%

 

      79,385  

 

  

Information Technology

 

Application Software – 2.9%

 

Adobe, Inc.(B)

      20        9,734  

Intuit, Inc.

      31        11,833  
     

 

 

  
        21,567  
     

 

 

  

Data Processing & Outsourced Services – 3.0%

 

Fiserv, Inc.(B)

      82        9,796  

Visa, Inc., Class A

      62        13,065  
     

 

 

  
        22,861  
     

 

 

  

Internet Services & Infrastructure – 0.5%

 

VeriSign, Inc.(B)

      19        3,833  
     

 

 

  

IT Consulting & Other Services – 0.8%

 

Garter, Inc., Class A(B)

      33        5,970  
     

 

 

  

Semiconductor Equipment – 1.0%

 

ASML Holding N.V., Ordinary Shares(A)

      13        7,617  
     

 

 

  

Semiconductors – 1.1%

 

Marvell Technology Group Ltd.

      39        1,890  

Taiwan Semiconductor Manufacturing Co. Ltd.(A)

      330        6,798  
     

 

 

  
        8,688  
     

 

 

  

Systems Software – 2.5%

 

Microsoft Corp.

      79        18,722  
     

 

 

  

Technology Hardware, Storage & Peripherals – 3.4%

 

Apple, Inc.

      79        9,702  

Samsung Electronics Co.
Ltd.(A)

      140        10,044  

Seagate Technology

      82        6,302  
     

 

 

  
        26,048  
     

 

 

  
Total Information Technology - 15.2%

 

      115,306  

 

  

Materials

 

Diversified Metals & Mining – 0.3%

 

Teck Resources Ltd., Class B

      112        2,142  
     

 

 

  

Gold – 0.5%

      

Barrick Gold Corp.

      162        3,217  
     

 

 

  
Total Materials - 0.8%

 

      5,359  

 

  
 

Utilities

 

Multi-Utilities – 1.0%

 

E.ON AG(A)

 

     650       7,563  
   

 

 

  

Total Utilities - 1.0%

 

     7,563  

 

  

TOTAL COMMON STOCKS – 59.2%

 

   $ 442,371  

 

  

(Cost: $362,464)

 

    

PREFERRED STOCKS

 

    

 

  

Consumer Discretionary

 

    

Automobile Manufacturers – 1.0%

 

    

Volkswagen AG, 2.260%(A)

 

     27       7,548  
   

 

 

  

Total Consumer Discretionary - 1.0%

 

     7,548  

 

  

TOTAL PREFERRED STOCKS – 1.0%

 

   $ 7,548  

 

  

(Cost: $5,319)

 

    
PURCHASED
OPTIONS		   Number of
Contracts
(Unrounded)		     Notional
Amount		        

 

  

Kansas City Southern, Call $230.00, Expires 6-18-21

     220       22       780  

Pinterest, Inc., Class

A, Call $75.00, Expires 5-21-21

     954       95       675  

Teck Resources Ltd., Class B, Call $22.00, Expires 8-20-21, OTC (Ctrpty: Citibank N.A.)

     1,054       105       141  

Volkswagen AG, Call EUR250.00, Expires 6-18-21, OTC (Ctrpty: Morgan Stanley & Co., Inc.)(F)

     260       26       459  
     

 

 

  

TOTAL PURCHASED OPTIONS – 0.3%

 

   $ 2,055  

 

  

(Cost: $1,376)

 

    
ASSET-BACKED SECURITIES     Principal        

 

  

British Airways Pass-Through Trust, Series 2020-1A, 4.250%, 11-15-32 (G)

 

     $397       415  

United Airlines Pass-Through Certificates, Series 2020-1B, 4.875%, 1-15-26

 

     2,000       2,077  
   

 

 

  

TOTAL ASSET-BACKED SECURITIES – 0.4%

 

   $ 2,492  

 

  

(Cost: $2,397)

 

    

CORPORATE DEBT SECURITIES

 

 

  

Communication Services

 

Cable & Satellite – 0.2%

 

Comcast Corp. (GTD by Comcast Cable Communications and NBCUniversal),
1.500%, 2-15-31

 

     2,000       1,856  
   

 

 

  

Integrated Telecommunication Services – 1.0%

 

AT&T, Inc.:

 

    

2.250%, 2-1-32

 

     1,500       1,426  

3.650%, 6-1-51

 

     2,653       2,566  

Verizon Communications, Inc.:

 

    

2.100%, 3-22-28

 

     650       653  

1.500%, 9-18-30

 

     3,000       2,754  
   

 

 

  
        7,399  
     

 

 

  

Total Communication Services - 1.2%

 

     9,255  

 

  

Consumer Discretionary

 

Apparel Retail – 0.2%

 

Ross Stores, Inc.,
1.875%, 4-15-31

 

     1,500       1,407  
   

 

 

  

Apparel, Accessories & Luxury Goods – 0.4%

 

PVH Corp.,
4.625%, 7-10-25

 

     2,000       2,198  

VF Corp.,
2.800%, 4-23-27

 

     500       527  
   

 

 

  
        2,725  
     

 

 

  

Automobile Manufacturers – 0.4%

 

Nissan Motor Co. Ltd.:

 

    

4.345%, 9-17-27(G)

 

     1,537       1,672  

4.810%, 9-17-30(G)

 

     1,098       1,204  
   

 

 

  
        2,876  
     

 

 

  

Automotive Retail – 0.2%

 

7-Eleven, Inc.,
1.300%, 2-10-28(G)

 

     2,000       1,916  
   

 

 

  

Casinos & Gaming – 0.2%

 

Genting New York LLC and Genny Capital, Inc.,
3.300%, 2-15-26(G)

 

     1,250       1,248  
   

 

 

  

General Merchandise Stores – 0.3%

 

Dollar General Corp.,
3.500%, 4-3-30

 

     2,000       2,156  
   

 

 

  

Internet & Direct Marketing Retail – 1.2%

 

Alibaba Group Holding Ltd., 2.125%, 2-9-31

 

     2,000       1,908  

Amazon.com, Inc.:

 

    

1.500%, 6-3-30

 

     654       623  

2.500%, 6-3-50

 

     218       195  

Expedia Group, Inc.,
3.800%, 2-15-28

 

     1,000       1,059  

Meituan:

 

    

2.125%, 10-28-25(G)

 

     2,439       2,428  

3.050%, 10-28-30(G)

 

     732       712  

Prosus N.V.,
3.832%, 2-8-51(G)

 

     2,500       2,196  
   

 

 

  
        9,121  
     

 

 

  

Leisure Facilities – 0.1%

 

Circuit of the Americas LLC, Series D,
0.000%, 10-2-23(H)

 

     3,642       637  
   

 

 

  

Total Consumer Discretionary - 3.0%

 

     22,086  

 

  

Consumer Staples

 

Brewers – 0.2%

 

Anheuser-Busch InBev Worldwide, Inc. (GTD by AB INBEV/BBR/COB):

 

    

3.500%, 6-1-30

 

     860       932  

4.500%, 6-1-50

 

     432       490  
   

 

 

  
        1,422  
     

 

 

  

Drug Retail – 0.3%

 

CVS Health Corp.,
1.300%, 8-21-27

 

     2,000       1,921  
   

 

 

  

Food Retail – 0.4%

 

Alimentation Couche-Tard, Inc., 2.950%, 1-25-30(G)

 

     3,000       3,063  
   

 

 

  

Packaged Foods & Meats – 0.3%

 

BRF GmbH,
2.277%, 1-20-32(G)

 

     2,000       1,934  
   

 

 

  

Tobacco – 0.4%

 

Altria Group, Inc. (GTD by Philip Morris USA, Inc.),
3.700%, 2-4-51

 

     3,000       2,733  
   

 

 

  

Total Consumer Staples - 1.6%

 

     11,073  

 

  

Energy

 

Integrated Oil & Gas – 0.1%

 

Petronas Capital Ltd.,
3.500%, 4-21-30(G)

 

     432       462  
   

 

 

  

Oil & Gas Exploration & Production – 0.3%

 

Saudi Arabian Oil Co.:

 

    

1.625%, 11-24-25(G)

 

     940       946  

2.250%, 11-24-30(G)

 

     1,210       1,159  
   

 

 

  
        2,105  
     

 

 

  

Oil & Gas Refining & Marketing – 0.6%

 

Petroleos del Peru S.A., 5.625%, 6-19-47

 

     2,000       2,101  

Valero Energy Corp.,
2.150%, 9-15-27

 

     2,102       2,060  
   

 

 

  
        4,161  
     

 

 

  

Oil & Gas Storage & Transportation – 1.0%

 

Energy Transfer Operating L.P., 3.750%, 5-15-30

 

     2,000       2,062  

Galaxy Pipeline Assets BidCo Ltd.:

 

    

2.160%, 3-31-34(G)

 

     2,000       1,938  

2.625%, 3-31-36(G)

 

     1,500       1,434  

Williams Partners L.P.,
5.100%, 9-15-45

 

     1,500       1,720  
   

 

 

  
        7,154  
     

 

 

  

Total Energy - 2.0%

 

     13,882  

 

  

Financials

 

Asset Management & Custody Banks – 0.6%

 

Ares Capital Corp.,
2.150%, 7-15-26

 

     2,000       1,948  

Citadel Finance LLC,
3.375%, 3-9-26(G)

 

     2,500       2,473  
   

 

 

  
        4,421  
     

 

 

  

Diversified Banks – 7.0%

 

Australia and New Zealand Banking Group Ltd.,
2.570%, 11-25-35(G)

 

     1,881       1,768  

Banco de Credito del Peru:

 

    

3.125%, 7-1-30(G)

 

     1,938       1,942  

3.250%, 9-30-31(G)

 

     2,000       2,000  

Banco Santander S.A.:

 

    

5.375%, 4-17-25(G)

 

     702       788  

1.849%, 3-25-26

 

     2,000       1,996  

Barclays plc,
3.564%, 9-23-35

 

     659       660  

BNP Paribas S.A.,
4.625%, 3-13-27(G)

 

     3,610       4,045  

Credit Agricole S.A.:

 

    

1.907%, 6-16-26(G)

 

     2,657       2,694  

8.125%, 3-23-69(G)

 

     2,000       2,410  

HSBC Holdings plc:

 

    

2.848%, 6-4-31

 

     652       652  
 

6.875%, 12-29-49

      1,089        1,099  

6.375%, 3-17-69

      2,000        2,175  

4.600%, 6-17-69

      1,101        1,089  

ING Groep N.V.,
6.875%, 12-29-49

      2,681        2,790  

Intesa Sanpaolo S.p.A.:

      

3.250%, 9-23-24

      700        745  

3.875%, 7-14-27

      2,351        2,541  

Societe Generale S.A.:

      

1.488%, 12-14-26(G)

      2,000        1,965  

3.653%, 7-8-35(G)

      1,532        1,530  

Standard Chartered plc, 4.300%, 2-19-27(G)

      3,000        3,246  

Svenska Handelsbanken AB,
4.750%, 3-1-69

      3,000        3,142  

Swedbank AB,
5.625%, 3-17-69

      2,000        2,139  

UniCredit S.p.A.:

      

2.569%, 9-22-26(G)

      2,200        2,209  

5.861%, 6-19-32(G)

      3,047        3,373  

5.459%, 6-30-35(G)

      2,672        2,832  

Wells Fargo & Co.,
3.900%, 3-15-69

      1,500        1,515  
     

 

 

  
        51,345  
     

 

 

  

Diversified Capital Markets – 0.7%

 

Credit Suisse Group AG, 2.193%, 6-5-26(G)

      1,654        1,681  

Deutsche Bank AG,
2.129%, 11-24-26

      2,000        2,005  

UBS Group AG,
2.095%, 2-11-32(G)

      1,500        1,419  
     

 

 

  
        5,105  
     

 

 

  

Financial Exchanges & Data – 0.3%

 

Intercontinental Exchange, Inc.,
1.850%, 9-15-32

      2,408        2,204  
     

 

 

  

Investment Banking & Brokerage – 0.6%

 

Charles Schwab Corp. (The),
4.000%, 6-1-69

      2,000        2,030  

Macquarie Bank Ltd.,
3.624%, 6-3-30(G)

      436        446  

Morgan Stanley,
1.928%, 4-28-32

      2,500        2,362  
     

 

 

  
        4,838  
     

 

 

  

Life & Health Insurance – 0.2%

 

AIA Group Ltd.:

      

3.375%, 4-7-30(G)

      540        575  

3.200%, 9-16-40(G)

      1,098        1,080  
     

 

 

  
        1,655  
     

 

 

  

Multi-Line Insurance – 0.2%

 

Athene Holding Ltd.,
6.150%, 4-3-30

      1,287        1,569  
     

 

 

  

Other Diversified Financial Services – 0.3%

 

Citigroup, Inc.,
1.122%, 1-28-27

      2,500        2,445  
     

 

 

  

Specialized Finance – 0.6%

 

AerCap Ireland Capital Ltd. and AerCap Global Aviation Trust,
4.500%, 9-15-23

      2,657        2,858  

LSEGA Financing plc,
1.375%, 4-6-26(G)

      2,000        1,980  
     

 

 

  
        4,838  
     

 

 

  
Total Financials - 10.5%

 

      78,420  

 

  

Health Care

 

Pharmaceuticals – 0.3%

 

AbbVie, Inc.,
3.200%, 11-21-29

      2,000        2,128  
     

 

 

  
Total Health Care - 0.3%

 

      2,128  

 

  

Industrials

 

Aerospace & Defense – 0.4%

 

Boeing Co. (The):

      

4.875%, 5-1-25

      1,083        1,206  

5.150%, 5-1-30

      1,083        1,247  

5.805%, 5-1-50

      644        811  
     

 

 

  
        3,264  
     

 

 

  

Airlines – 0.3%

 

Southwest Airlines Co., 5.250%, 5-4-25

      2,042        2,323  
     

 

 

  

Airport Services – 0.2%

 

Airport Authority Hong Kong, 1.625%, 2-4-31(G)(I)

      2,000        1,865  
     

 

 

  

Highways & Railtracks – 0.1%

 

Transurban Finance Co. Pty Ltd.,
2.450%, 3-16-31(G)

      611        593  
     

 

 

  
Total Industrials - 1.0%

 

      8,045  

 

  

Information Technology

 

Data Processing & Outsourced Services – 0.3%

 

PayPal Holdings, Inc., 2.300%, 6-1-30

      2,000        1,981  
     

 

 

  

Internet Services & Infrastructure – 0.3%

 

Baidu, Inc.,
1.720%, 4-9-26

      1,970        1,961  
     

 

 

  

IT Consulting & Other Services – 0.1%

 

Leidos, Inc. (GTD by Leidos Holdings, Inc.),
3.625%, 5-15-25(G)

      326        353  
     

 

 

  

Semiconductors – 0.5%

 

Broadcom, Inc.:

      

4.700%, 4-15-25

      541        610  

1.950%, 2-15-28(G)(I)

      1,500        1,466  

Taiwan Semiconductor Manufacturing Co. Ltd., 1.375%, 9-28-30(G)

      1,318        1,222  
     

 

 

  
        3,298  
     

 

 

  

Systems Software – 0.1%

 

VMware, Inc.,
3.900%, 8-21-27

      500        546  
     

 

 

  

Technology Hardware, Storage & Peripherals – 0.4%

 

Apple, Inc.:

      

2.400%, 8-20-50

      878        756  

2.650%, 2-8-51

      2,000        1,828  
     

 

 

  
        2,584  
     

 

 

  
Total Information Technology - 1.7%

 

      10,723  

 

  

Materials

 

Diversified Metals & Mining – 0.4%

 

Glencore Funding LLC:

      

1.625%, 9-1-25(G)

      659        659  

2.500%, 9-1-30(G)

      1,537        1,478  

Teck Resources Ltd.,
3.900%, 7-15-30

      1,000        1,045  
     

 

 

  
        3,182  
     

 

 

  

Steel – 0.4%

 

CSN Resources S.A., 7.625%, 2-13-23(G)

      2,960        3,071  
     

 

 

  
Total Materials - 0.8%

 

      6,253  

 

  

Real Estate

 

Industrial REITs – 0.5%

 

Aircastle Ltd.,
5.250%, 8-11-25(G)

      1,466        1,601  

Avolon Holdings Funding Ltd., 2.750%, 2-21-28(G)

      2,500        2,349  
     

 

 

  
        3,950  
     

 

 

  
Total Real Estate - 0.5%

 

      3,950  

 

  

Utilities

 

Electric Utilities – 0.7%

 

Chile Electricity PEC S.p.A., 0.000%, 1-25-28(G)(H)

      1,000        815  

FEL Energy VI S.a.r.l., 5.750%, 12-1-40(G)

      2,000        2,050  

Virginia Electric and Power Co., Series A,
2.450%, 12-15-50

      2,500        2,136  
     

 

 

  
        5,001  
     

 

 

  

Independent Power Producers & Energy Traders – 0.2%

 

NRG Energy, Inc.:

      

2.000%, 12-2-25(G)

      1,100        1,100  

2.450%, 12-2-27(G)

      110        109  
     

 

 

  
        1,209  
     

 

 

  
Total Utilities - 0.9%

 

      6,210  

 

  

TOTAL CORPORATE DEBT SECURITIES – 23.5%

 

    $ 172,025  

(Cost: $176,968)

 

MORTGAGE-BACKED SECURITIES

 

   

 

  

Non-Agency REMIC/CMO - 0.2%

 

Homeward Opportunities Fund I Trust, Series 2019-1, Class B1 (Mortgage spread to 10-year U.S. Treasury index),
4.800%, 1-25-59(G)(J)

      1,061        1,069  

Merrill Lynch Mortgage Investors Trust, Series 1998-C1, Class F,
6.250%, 11-15-26

      214        218  

Verus Securitization Trust, Series 2019-2, Class B1 (Mortgage spread to 5-year U.S. Treasury index),
4.440%, 5-25-59(G)(J)

      531        535  
     

 

 

  
        1,822  
     

 

 

  

TOTAL MORTGAGE-BACKED SECURITIES – 0.2%

 

      $1,822  

 

  

(Cost: $1,830)

 

OTHER GOVERNMENT SECURITIES(K)

 

   

 

  

Chile - 0.3%

 

Republic of Chile,
2.550%, 1-27-32

      2,000        2,015  
     

 

 

  

Colombia - 0.0%

 

Republic of Colombia, 3.125%, 4-15-31

      327        320  
     

 

 

  

Mexico - 0.2%

 

United Mexican States,
5.000%, 4-27-51

      1,500        1,626  
     

 

 

  

TOTAL OTHER GOVERNMENT SECURITIES – 0.5%

 

      $3,961  

 

  

(Cost: $4,192)

 

UNITED STATES GOVERNMENT AGENCY OBLIGATIONS

 

   

 

  

Mortgage-Backed Obligations - 6.4%

 

Federal Home Loan Mortgage Corp. Agency REMIC/CMO:

      

0.638%, 11-25-29(L)

      2,023        100  

1.328%, 6-25-30(L)

      1,796        189  

4.500%, 1-15-43(L)

      3,997        660  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (1-Month U.S. LIBOR plus 615 bps),
6.044%, 11-15-47(J)(L)

      2,099        397  
 

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index),
3.536%, 12-25-49(G)(J)

      2,751        2,946  

Federal Home Loan Mortgage Corp. Agency REMIC/CMO (Mortgage spread to 7-year U.S. Treasury index),
3.853%, 2-25-51(G)(J)

      600        647  

Federal Home Loan Mortgage Corp. Fixed Rate Participation Certificates,
2.500%, 1-1-51

      2,192        2,254  

Federal National Mortgage Association Agency REMIC/CMO:

      

4.500%, 10-25-40(L)

      1,966        364  

4.500%, 5-25-47(L)

      1,673        279  

5.000%, 3-25-49(L)

      1,407        237  

Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 562 bps), 5.511%, 6-25-45(J)(L)

      3,362        649  

Federal National Mortgage Association Agency REMIC/CMO (1-Month U.S. LIBOR plus 625 bps):

      

6.011%, 4-25-45(J)(L)

      1,686        384  

5.991%, 4-25-46(J)(L)

      3,923        694  

5.991%, 8-25-46(J)(L)

      4,024        719  

6.141%, 6-25-48(J)(L)

      8,835        1,915  

Federal National Mortgage Association Agency REMIC/CMO (Mortgage spread to 5-year U.S. Treasury index),
2.802%, 2-25-27(J)

      1,976        2,131  

Federal National Mortgage Association Fixed Rate Pass-Through Certificates:

      

3.500%, 8-1-48

      7,733        8,190  

3.500%, 11-1-49

      6,974        7,474  

3.000%, 8-1-50

      1,101        1,169  

2.000%, 12-1-50

      3,579        3,576  

2.000%, 1-1-51

      2,850        2,861  

Government National Mortgage Association Fixed Rate Pass-Through Certificates,
3.500%, 6-20-50

      9,251        9,764  
     

 

 

  
        47,599  
     

 

 

  

TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS – 6.4%

 

    $ 47,599  

(Cost: $48,220)

 

UNITED STATES GOVERNMENT OBLIGATIONS

 

Treasury Obligations - 1.7%

 

U.S. Treasury Bonds:

      

0.875%, 11-15-30(I)

      2,100        1,942  

2.750%, 8-15-47

      4,710        5,034  

1.625%, 11-15-50

      5,000        4,167  

U.S. Treasury Notes, 1.125%, 2-15-31(I)

      1,900        1,795  
     

 

 

  
        12,938  
     

 

 

  

TOTAL UNITED STATES GOVERNMENT OBLIGATIONS – 1.7%

 

    $ 12,938  

(Cost: $13,346)

 

BULLION – 4.7%

     
 Troy
Ounces		  
 		         

Gold

      21        35,312  
     

 

 

  

(Cost: $25,266)

 

SHORT-TERM SECURITIES

      Shares           

Money Market Funds(N) - 2.1%

 

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

      705        705  

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

      14,767        14,767  
     

 

 

  
        15,472  
     

 

 

  

TOTAL SHORT-TERM SECURITIES – 2.1%

 

      $15,472  

(Cost: $15,472)

 

TOTAL INVESTMENT SECURITIES – 100.0%

 

    $ 743,595  

(Cost: $656,850)

 

CASH AND OTHER ASSETS, NET OF LIABILITIES – 0.0%

 

      142  

NET ASSETS – 100.0%

 

    $ 743,737  
 

Notes to Consolidated Schedule of Investments

* Not shown due to rounding.

(A) Listed on an exchange outside the United States.

(B) No dividends were paid during the preceding 12 months.

(C) Restricted securities. At March 31, 2021, the Portfolio owned the following restricted securities:

 

Security    Acquisition Date(s)      Shares          Cost      Value  

Media Group Holdings LLC, Series H

      8-29-13 to 10-31-13        32      $ 22,298      $ – *   

Media Group Holdings LLC, Series T

      7-2-13 to 1-23-15        4        8,413        –  
        

 

 

  
         $         30,711      $             – *   
        

 

 

  
    The total value of these securities represented 0.0% of net assets at March 31, 2021.

 

 

(D)

Investment is owned by an entity that is treated as a corporation for U.S. tax purposes and is owned by the Portfolio and consolidated.

(E)

Securities whose value was determined using significant unobservable inputs.

(F)

Principal amount and exercise prices are denominated in the indicated foreign currency, where applicable (CNY - Chinese Yuan Renminbi and EUR — Euro).

(G)

Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2021 the total value of these securities amounted to $87,111 or 11.7% of net assets.

(H)

Zero coupon bond.

(I)

All or a portion of securities with an aggregate value of $4,080 are on loan.

(J)

Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2021. Description of the reference rate and spread, if applicable, are included in the security description.

(K)

Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities.

(L)

Interest-only security. Amount shown as principal represents notional amount for computation of interest.

(M)

Investment made with cash collateral received from securities on loan.

(N)

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

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

 

Underlying Security   Long/Short    Counterparty    Maturity
Date		      Notional
Amount(F)		      Financing
Fee(1)(2)		    Value      Upfront
Payments/
(Receipts)		    Unrealized
Appreciation		  

China Government Bond

  

Long

    Morgan Stanley &
Co. International
plc		      05/22/2021        CNY9,135      7-Day China
Fixing Repo
Rates plus
65 bps		      $108      $—      $108  
                

 

 

  

 

(1)

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

 

(2)

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

The following written options were outstanding at March 31, 2021 (contracts and exercise prices unrounded):    

 

Underlying Security

    Counterparty, if OTC      Type      Number of
Contracts		      Notional
Amount		      Expiration Month      Exercise Price      Premium
Received		      Value  

Kansas City Southern

      N/A        Put        220        22        June 2021        $185.00        $142        $(54 ) 

Pinterest, Inc., Class A

      N/A        Put        954        96        May 2021        55.00        358        (95 ) 
     N/A        Call        954        95        May 2021        100.00        174        (120 ) 

Teck Resources Ltd., Class B

      Citibank N.A.        Put        1,054        105        August 2021        16.00        97        (98 ) 
     Citibank N.A.        Call        1,054        105        August 2021        30.00        30        (32 ) 

Volkswagen AG

      Morgan Stanley & Co., Inc.        Put        260        26        June 2021        EUR175.00        37        (38 ) 
     Morgan Stanley & Co., Inc.        Call        260        26        June 2021        300.00        153        (201 ) 
                    

 

 

  
                       $991        $(638 ) 
                    

 

 

  

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

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

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

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

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

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

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

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

 

      Level 1      Level 2      Level 3  

Assets

         

Investments in Securities

         

Common Stocks

    $ 442,371      $ —      $ — * 

Preferred Stocks

      7,548        —        —  

Purchased Options

      1,455        600        —  

Asset-Backed Securities

      —        2,492        —  

Corporate Debt Securities

      —        172,025        —  

Mortgage-Backed Securities

      —        1,822        —  

Other Government Securities

      —        3,961        —  

United States Government Agency Obligations

      —        47,599        —  

United States Government Obligations

      —        12,938        —  

Bullion

      35,312        —        —  

Short-Term Securities

      15,472        —        —  

Total

    $   502,158      $   241,437      $ — * 

Total Return Swaps

    $ —      $ 108      $ —  

Liabilities

         

Written Options

    $ 215      $ 423      $ —  

During the period ended March 31, 2021, there were no transfers between any levels.

BASIS FOR CONSOLIDATION OF THE ASSET STRATEGY PORTFOLIO

Ivy VIP ASF II, Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated as a wholly owned subsidiary acting as an investment vehicle for the Asset Strategy Portfolio (referred to as “the Portfolio” in this subsection). Ivy VIP ASF III (SBP) (“the Company”), a Delaware limited liability company, was incorporated as a wholly owned company acting as investment vehicle for the Portfolio. The Subsidiary and the Company act as investment vehicles for the Portfolio, in order to effect certain investments for the Portfolio consistent with the Portfolio’s investment objectives and policies as specified in its prospectus and statement of additional information.

The Portfolio’s investment portfolio has been consolidated and includes the portfolio holdings of the Portfolio, its Subsidiary and the Company. The consolidated financial statements include the accounts of the Portfolio and its Subsidiary and the Company. All inter-company transactions and balances have been eliminated. A subscription agreement was entered into between the Portfolio and its Subsidiary and the Company comprising the entire issued share capital of the Subsidiary and the Company with the intent that the Portfolio will remain the sole shareholder and retain all rights. Under the Articles of Association, shares issued by the Subsidiary and the Company confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the Subsidiary and the Company and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the Subsidiary and the Company.

See the table below for details regarding the structure, incorporation and relationship as of September 30, 2020 of each Subsidiary and Company to the Portfolio (amounts in thousands).

 

Subsidiary/Company    Date of
Incorporation		    Subscription
Agreement		   

Portfolio Net

Assets

    Subsidiary/Company
Net Assets		   

Percentage
of Portfolio

Net Assets

Ivy VIP ASF II, Ltd.

    1-31-13    4-10-13    $743,737    $35,490    4.77%

Ivy VIP ASF III (SBP), LLC

    4-9-13    4-23-13    743,737    26    0.00

The following acronyms are used throughout this schedule:

CMO = Collateralized Mortgage Obligation

GTD = Guaranteed

ICE = Intercontinental Exchange

LIBOR = London Interbank Offered Rate

OTC = Over the Counter

REIT = Real Estate Investment Trust

REMIC = Real Estate Mortgage Investment Conduit

 

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

 

Cost

      $656,850  
  

 

 

  

Gross unrealized appreciation

                      137,369  

Gross unrealized depreciation

      (50,624 ) 
  

 

 

  

Net unrealized appreciation

      $86,745