NPORT-EX 2 IPIRHHYI.htm IVY PROSHARES INTEREST RATE HEDGED HIGH YIELD INDEX SOI HTML
   SCHEDULE OF INVESTMENTS   
 

 

    

    Ivy ProShares Interest Rate Hedged High Yield Index Fund (in thousands)    DECEMBER 31, 2019 (UNAUDITED)
     
     

 

CORPORATE DEBT

SECURITIES

   Principal   Value  

Communication Services

Alternative Carriers – 3.0%

CommScope Finance LLC,

    

6.000%, 3-1-26(A)

   $300   $319

CommScope Technologies LLC (GTD by CommScope, Inc.),

    

6.000%, 6-15-25(A)

   410   410

Level 3 Financing, Inc. (GTD by Level 3 Parent LLC),

    

4.625%, 9-15-27(A)

   150   154

Zayo Group LLC and Zayo Capital, Inc.:

    

6.000%, 4-1-23

   390   399

5.750%, 1-15-27(A)

   413   419
    1,701

Broadcasting – 5.2%

AMC Networks, Inc.,

    

5.000%, 4-1-24

   250   255

Clear Channel Outdoor Holdings, Inc.,

    

5.125%, 8-15-27(A)

   115   120

Clear Channel Worldwide Holdings, Inc.,

    

9.250%, 2-15-24(A)

   516   571

Nexstar Escrow, Inc.,

    

5.625%, 7-15-27(A)

   175   184

Sirius XM Radio, Inc.:

    

4.625%, 7-15-24(A)

   275   289

5.000%, 8-1-27(A)

   490   517

TEGNA, Inc.,

    

5.000%, 9-15-29(A)

   492   501

Terrier Media Buyer, Inc.,

    

8.875%, 12-15-27(A)

   120   127

Univision Communications, Inc.,

    

5.125%, 2-15-25(A)

   350   346
    2,910

Cable & Satellite – 4.0%

CCO Holdings LLC and CCO Holdings Capital Corp.:

    

5.125%, 5-1-27(A)

   681   719

4.750%, 3-1-30(A)

   350   357

CSC Holdings LLC:

    

6.500%, 2-1-29(A)

   425   474

5.750%, 1-15-30(A)

   200   213

DISH DBS Corp.,

    

7.750%, 7-1-26

   475   503
    2,266

Integrated Telecommunication Services – 3.1%

CenturyLink, Inc.,

    

5.125%, 12-15-26(A)

   270   275

Frontier Communications Corp.:

    

10.500%, 9-15-22

   309   151

11.000%, 9-15-25

   867   420

Sprint Corp.:

    

7.625%, 2-15-25

   300   329

7.625%, 3-1-26

   300   331

West Corp.,

    

8.500%, 10-15-25(A)

   300   240
    1,746

Movies & Entertainment – 2.9%

iHeartCommunications, Inc.,

    

8.375%, 5-1-27

   385   426

Netflix, Inc.:

    

4.875%, 4-15-28

   580   602

5.875%, 11-15-28

   570   632
    1,660

Publishing – 0.6%

Meredith Corp.,

    

6.875%, 2-1-26

   300   312

Wireless Telecommunication Service – 1.7%

SBA Communications Corp.,

    

4.875%, 9-1-24

   255   264

T-Mobile USA, Inc.:

    

6.500%, 1-15-26

   530   568

4.750%, 2-1-28

   115   121
    953
Total Communication Services - 20.5%   11,548

Consumer Discretionary

Auto Parts & Equipment – 1.3%

Panther BF Aggregator 2 L.P.:

    

6.250%, 5-15-26(A)

   175   189

8.500%, 5-15-27(A)

   530   563
    752

Automobile Manufacturers – 0.8%

Tesla, Inc. (GTD by SolarCity Corp.),

    

5.300%, 8-15-25(A)

   456   442

Automotive Retail – 0.5%

Allison Transmission, Inc.,

    

5.000%, 10-1-24(A)

   265   271

Casinos & Gaming – 4.0%

Boyd Gaming Corp.,

    

4.750%, 12-1-27(A)

   150   156

CRC Escrow Issuer LLC and CRC Finco, Inc.,

    

5.250%, 10-15-25(A)

   420   434

Golden Nugget, Inc.,

    

6.750%, 10-15-24(A)

   305   316

MGM Growth Properties Operating Partnership L.P. and MGP Finance Co-Issuer, Inc.,

    

5.625%, 5-1-24

   210   229

MGM Resorts International,

    

5.500%, 4-15-27

   170   189

Scientific Games International, Inc. (GTD by Scientific Games Corp.),

    

5.000%, 10-15-25(A)

   365   382

Wynn Las Vegas LLC and Wynn Las Vegas Capital Corp.,

    

5.500%, 3-1-25(A)

   500   535
    2,241

Consumer Electronics – 0.6%

Spectrum Brands, Inc. (GTD by SB/RH Holdings),

    

5.750%, 7-15-25

   315   329

Internet & Direct Marketing Retail – 0.7%

Argos Merger Sub, Inc.,

    

7.125%, 3-15-23(A)

   430   421

Leisure Facilities – 2.1%

Diamond Sports Group LLC and Diamond Sports Finance Co. (GTD by Diamond Sports Intermediate Holdings LLC):

    

5.375%, 8-15-26(A)

   440   445

6.625%, 8-15-27(A)

   500   486

Six Flags Entertainment Corp.,

    

4.875%, 7-31-24(A)

   262   272
    1,203

Leisure Products – 1.0%

Mattel, Inc.,

    

6.750%, 12-31-25(A)

   510   548

Restaurants – 3.5%

1011778 B.C. Unlimited Liability Co. and New Red Finance, Inc.:

    

4.250%, 5-15-24(A)

   411   421

5.000%, 10-15-25(A)

   766   791

Aramark Services, Inc. (GTD by Aramark Corp.),

    

5.000%, 2-1-28(A)

   310   327

KFC Holding Co., Pizza Hut Holdings LLC and Taco Bell of America LLC:

    

5.000%, 6-1-24(A)

   350   363

5.250%, 6-1-26(A)

   100   105
    2,007

Specialized Consumer Services – 1.1%

Uber Technologies, Inc.:

    

8.000%, 11-1-26(A)

   425   443

7.500%, 9-15-27(A)

   160   164
    607

Specialty Stores – 1.9%

PetSmart, Inc.,

    

5.875%, 6-1-25(A)

   203   207

Staples, Inc.:

    

7.500%, 4-15-26(A)

   550   571

10.750%, 4-15-27(A)

   275   279
    1,057

Tires & Rubber – 0.4%

Goodyear Tire & Rubber Co. (The),

    

5.125%, 11-15-23

   200   204
Total Consumer Discretionary - 17.9%   10,082

Consumer Staples

Agricultural Products – 0.4%

NBM U.S. Holdings, Inc.,

    

7.000%, 5-14-26(A)

   200   217

Drug Retail – 0.8%

Rite Aid Corp.,

    

6.125%, 4-1-23(A)

   485   446

Food Distributors – 0.3%

Performance Food Group, Inc.,

    

5.500%, 10-15-27(A)

   165   176
 

Food Retail – 0.8%

Albertsons Cos. LLC, Safeway, Inc., New Albertson’s, Inc. and Albertson’s LLC:

    

6.625%, 6-15-24

   50   53

5.750%, 3-15-25

   375   388
    441

Packaged Foods & Meats – 2.0%

JBS USA, JBS USA Food Co. and JBS USA Finance, Inc. (GTD by JBS S.A.),

    

6.500%, 4-15-29(A)

   250   278

Post Holdings, Inc.:

    

5.000%, 8-15-26(A)

   564   596

5.750%, 3-1-27(A)

   270   289
    1,163

Total Consumer Staples - 4.3%

   2,443

Energy

Oil & Gas Equipment & Services – 0.5%

Brand Energy & Infrastructure Services, Inc.,

    

8.500%, 7-15-25(A)

   310   318

Oil & Gas Exploration & Production – 2.8%

California Resources Corp.,

    

8.000%, 12-15-22(A)

   513   221

Crownrock L.P.,

    

5.625%, 10-15-25(A)

   310   316

Endeavor Energy Resources L.P.,

    

5.750%, 1-30-28(A)

   139   146

Matador Resources Co.,

    

5.875%, 9-15-26

   220   220

Targa Resources Partners L.P.:

    

5.875%, 4-15-26

   290   308

5.500%, 3-1-30(A)

   350   360
    1,571

Oil & Gas Storage & Transportation – 0.9%

Cheniere Energy Partners L.P.,

    

4.500%, 10-1-29(A)

   486   499

Total Energy - 4.2%

   2,388

Financials

Consumer Finance – 3.0%

Ally Financial, Inc.,

    

5.750%, 11-20-25

   264   295

Quicken Loans, Inc.:

    

5.750%, 5-1-25(A)

   210   217

5.250%, 1-15-28(A)

   320   331

Springleaf Finance Corp.:

    

6.125%, 3-15-24

   285   312

7.125%, 3-15-26

   450   521
    1,676

Financial Exchanges & Data – 1.7%

MSCI, Inc.,

    

4.000%, 11-15-29(A)

   350   355

Refinitiv U.S. Holdings, Inc.:

    

6.250%, 5-15-26(A)

   150   164

8.250%, 11-15-26(A)

   415   467
    986

Other Diversified Financial Services – 1.3%

Icahn Enterprises L.P. and Icahn Enterprises Finance Corp.:

    

6.250%, 2-1-22

   500   510

6.250%, 5-15-26

   200   213
    723

Property & Casualty Insurance – 0.7%

Hub International Ltd.,

    

7.000%, 5-1-26(A)

   350   370

Specialized Finance – 2.3%

Banff Merger Sub, Inc.,

    

9.750%, 9-1-26(A)

   360   364

Diamond 1 Finance Corp. and Diamond 2 Finance Corp.:

    

5.875%, 6-15-21(A)

   153   155

7.125%, 6-15-24(A)

   481   508

Navient Corp.,

    

6.500%, 6-15-22

   250   271
    1,298

Total Financials - 9.0%

   5,053

Health Care

Health Care Facilities – 7.7%

Community Health Systems, Inc.:

    

6.250%, 3-31-23

   874   887

8.000%, 3-15-26(A)

   190   196

DaVita HealthCare Partners, Inc.,

    

5.000%, 5-1-25

   403   414

HCA, Inc. (GTD by HCA Holdings, Inc.):

    

5.375%, 2-1-25

   690   763

5.625%, 9-1-28

   484   552

MPH Acquisition Holdings LLC,

    

7.125%, 6-1-24(A)

   361   349

RegionalCare Hospital Partners Holdings, Inc. and Legend Merger Sub, Inc.,

    

9.750%, 12-1-26(A)

   375   424

Tenet Healthcare Corp.,

    

4.875%, 1-1-26(A)

   150   157

THC Escrow Corp. II,

    

6.750%, 6-15-23

   550   604
    4,346

Health Care Services – 1.1%

Envision Healthcare Corp.,

    

8.750%, 10-15-26(A)

   345   214

IQVIA, Inc.,

    

5.000%, 5-15-27(A)

   400   423
    637

Health Care Technology – 1.0%

Change Healthcare Holdings, Inc.,

    

5.750%, 3-1-25(A)

   270   277

Verscend Holding Corp.,

    

9.750%, 8-15-26(A)

   250   274
    551

Life Sciences Tools & Services – 1.5%

Avantor, Inc.:

    

6.000%, 10-1-24(A)

   300   320

9.000%, 10-1-25(A)

   490   548
    868

Managed Health Care – 0.5%

WellCare Health Plans, Inc.,

    

5.250%, 4-1-25

   270   281

Pharmaceuticals – 3.8%

Bausch Health Cos., Inc.,

    

6.125%, 4-15-25(A)

   815   842

Endo Ltd., Endo Finance LLC and Endo Finco, Inc.,

    

6.000%, 7-15-23(A)

   400   289

IMS Health, Inc.,

    

5.000%, 10-15-26(A)

   200   211

Jaguar Holding Co. II and Pharmaceutical Product Development LLC,

    

6.375%, 8-1-23(A)

   252   260

Par Pharmaceutical, Inc.,

    

7.500%, 4-1-27(A)

   300   298

Valeant Pharmaceuticals International, Inc.,

    

7.000%, 3-15-24(A)

   215   224
    2,124

Total Health Care - 15.6%

   8,807

Industrials

Aerospace & Defense – 3.7%

Bombardier, Inc.:

    

7.500%, 3-15-25(A)

   411   424

7.875%, 4-15-27(A)

   500   514

TransDigm, Inc. (GTD by TransDigm Group, Inc.),

    

6.250%, 3-15-26(A)

   1,050   1,137
    2,075

Air Freight & Logistics – 1.1%

XPO Logistics, Inc.:

    

6.500%, 6-15-22(A)

   274   279

6.750%, 8-15-24(A)

   309   336
    615

Building Products – 0.7%

Beacon Escrow Corp.,

    

4.875%, 11-1-25(A)

   418   420

Construction Machinery & Heavy Trucks – 0.4%

Navistar International Corp. (GTD by Navistar, Inc.),

    

6.625%, 11-1-25(A)

   240   245

Diversified Support Services – 1.4%

United Rentals (North America), Inc. (GTD by United Rentals, Inc.):

    

6.500%, 12-15-26

   240   264

4.875%, 1-15-28

   500   520
    784

Office Services & Supplies – 0.5%

Xerox Corp.,

    

4.125%, 3-15-23

   250   259

Security & Alarm Services – 1.3%

Allied Universal Holdco LLC:

    

6.625%, 7-15-26(A)

   100   107

9.750%, 7-15-27(A)

   300   321

Prime Security Services Borrower LLC and Prime Finance, Inc.,

    

5.750%, 4-15-26(A)

   300   326
    754

Trucking – 0.6%

Herc Holdings, Inc.,

    

5.500%, 7-15-27(A)

   320   337

Total Industrials - 9.7%

   5,489

Information Technology

Application Software – 2.4%

Infor (U.S.), Inc.,

    

6.500%, 5-15-22

   430   436

Solera LLC and Solera Finance, Inc.,

    

10.500%, 3-1-24(A)

   308   327

SS&C Technologies Holdings, Inc.,

    

5.500%, 9-30-27(A)

   530   566
    1,329

Communications Equipment – 0.2%

SSL Robotics LLC,

    

9.750%, 12-31-23(A)

   100   109

Data Processing & Outsourced Services – 0.2%

Exela Intermediate LLC and Exela Finance, Inc.,

    

10.000%, 7-15-23(A)

   320   128
 

Technology Hardware, Storage & Peripherals – 0.5%

Inception Parent, Inc., Inception Merger Sub, Inc. and Rackspace Hosting, Inc.,

    

8.625%, 11-15-24(A)

   295   288
Total Information Technology - 3.3%   1,854

Materials

Aluminum – 0.7%

Novelis Corp. (GTD by Novelis, Inc.):

    

6.250%, 8-15-24(A)

   160   168

5.875%, 9-30-26(A)

   210   223
    391

Commodity Chemicals – 0.9%

NOVA Chemicals Corp.:

    

4.875%, 6-1-24(A)

   215   222

5.250%, 6-1-27(A)

   296   304
    526

Diversified Metals & Mining – 1.0%

First Quantum Minerals Ltd.:

    

7.250%, 4-1-23(A)

   260   269

7.500%, 4-1-25(A)

   300   307
    576

Metal & Glass Containers – 1.8%

Ball Corp.,

    

5.250%, 7-1-25

   240   268

BWAY Holding Co.:

    

5.500%, 4-15-24(A)

   427   440

7.250%, 4-15-25(A)

   310   306
    1,014

Paper Packaging – 0.8%

Reynolds Group Issuer, Inc., Reynolds Group Issuer LLC and Reynolds Group Issuer (Luxembourg) S.A.,

    

5.125%, 7-15-23(A)

   420   430

Total Materials - 5.2%

   2,937

Real Estate

Hotel & Resort REITs – 1.6%

ESH Hospitality, Inc.,

    

5.250%, 5-1-25(A)

   290   300

Hilton Domestic Operating Co., Inc.:

    

5.125%, 5-1-26

   250   263

4.875%, 1-15-30

   325   344
    907

Real Estate Development – 0.6%

Brookfield Property REIT, Inc.,

    

5.750%, 5-15-26(A)

   150   158

Howard Hughs Corp.,

    

5.375%, 3-15-25(A)

   150   157
    315

Specialized REITs – 1.9%

Iron Mountain, Inc.:

    

4.875%, 9-15-27(A)

   240   248

4.875%, 9-15-29(A)

   300   304

Uniti Group L.P., Uniti Group Finance, Inc. and CSL Capital LLC,

    

8.250%, 10-15-23

   225   196

VICI Properties L.P. and VICI Note Co., Inc.,

    

4.625%, 12-1-29(A)

   305   319
    1,067

Total Real Estate - 4.1%

   2,289

Utilities

Electric Utilities – 2.3%

Calpine Corp.:

    

4.500%, 2-15-28(A)

   300   303

5.125%, 3-15-28(A)

   300   306

Vistra Operations Co. LLC:

    

5.625%, 2-15-27(A)

   455   479

5.000%, 7-31-27(A)

   200   209
    1,297

Independent Power Producers & Energy Traders – 0.8%

NRG Energy, Inc.,

    

6.625%, 1-15-27

   396   430

Total Utilities - 3.1%

   1,727

TOTAL CORPORATE DEBT SECURITIES – 96.9%

   $54,617

(Cost: $53,397)

SHORT-TERM

SECURITIES

   Shares    

Money Market Funds (B) - 0.6%

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

    

1.550%

   355   355

TOTAL SHORT-TERM SECURITIES – 0.6%

   $355

(Cost: $355)

TOTAL INVESTMENT SECURITIES – 97.5%

   $54,972

(Cost: $53,752)

CASH AND OTHER ASSETS, NET OF LIABILITIES(C) – 2.5%

   1,406

NET ASSETS – 100.0%

   $56,378

    

 

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 December 31, 2019 the total value of these securities amounted to $38,781 or 68.8% of net assets.

 

(B)

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

 

(C)

Cash of $273 has been pledged as collateral on open futures contracts.

The following futures contracts were outstanding at December 31, 2019 (contracts unrounded):

 

Description    Type    Number
of
    Contracts    		        Expiration Date        Notional
    Amount    		            Value          

Unrealized

Appreciation

  

U.S. 10-Year Treasury Note

    Short    107    3-20-20    10,700    $(13,741)     $70  

U.S. 2-Year Treasury Note

    Short    62    3-31-20    12,400    (13,361)     10  

U.S. 5-Year Treasury Note

    Short    128    3-31-20    12,800    (15,182)     65  
               $(42,284)     $145  

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.

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 Fund.

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 Fund’s investments by the fair value hierarchy levels as of December 31, 2019:

 

          Level 1            Level 2          Level 3    

Assets

         

Investments in Securities

         

Corporate Debt Securities

     $ —      $ 54,617      $ —  

Short-Term Securities

      355        —        —  
  

 

 

  

Total

     $ 355      $ 54,617      $ —  
  

 

 

  

Futures Contracts

     $ 145      $ —      $ —  
  

 

 

  

 

The following acronyms are used throughout this schedule:

 

GTD = Guaranteed
REIT= Real Estate Investment Trust

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

 

Cost

    $53,752

Gross unrealized appreciation

                        2,377

Gross unrealized depreciation

    (1,157)

Net unrealized appreciation

    $1,220